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, 2017
Date of reporting period: May 31, 2017



Item 1. Schedule of Investments:













Putnam High Income Securities Fund

The fund's portfolio
5/31/17 (Unaudited)
CORPORATE BONDS AND NOTES (41.4%)(a)
Principal amount Value
Basic materials (5.9%)
A Schulman, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 6/1/23 $100,000 $106,250
Allegheny Technologies, Inc. sr. unsec. unsub. notes 9.375%, 6/1/19 115,000 125,135
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 20,000 19,900
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 100,000 112,000
ArcelorMittal SA sr. unsec. unsub. notes 7.50%, 10/15/39 (France) 10,000 11,198
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 150,000 162,000
Blue Cube Spinco, Inc. company guaranty sr. unsec. unsub. notes 9.75%, 10/15/23 120,000 146,400
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 160,000 167,200
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 180,000 186,750
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10.75%, 8/15/23 144,000 167,040
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 155,000 160,813
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 115,000 117,588
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 140,000 142,450
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 400,000 422,040
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 60,000 62,400
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 115,000 127,363
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 75,000 80,054
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 180,000 176,850
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7.875%, 11/1/19 (Luxembourg) 220,000 213,950
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 60,000 62,700
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.00%, 2/15/21 (Canada) 100,000 104,750
Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 140,000 146,650
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 3.55%, 3/1/22 (Indonesia) 10,000 9,350
Freeport-McMoRan, Inc. 144A company guaranty sr. unsec. notes 6.75%, 2/1/22 (Indonesia) 55,000 56,925
Freeport-McMoRan, Inc. 144A company guaranty sr. unsec. unsub. notes 6.875%, 2/15/23 (Indonesia) 110,000 115,225
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9.50%, 2/1/23 230,000 262,200
Grinding Media, Inc./MC Grinding Media Canada, Inc. 144A sr. sub. notes 7.375%, 12/15/23 30,000 32,363
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) 55,000 59,091
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 95,000 107,825
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 10.50%, 4/15/23 115,000 133,113
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 60,000 63,150
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 165,000 167,063
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 175,000 187,688
Mercer International, Inc. 144A sr. unsec. notes 6.50%, 2/1/24 (Canada) 25,000 26,000
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 7.00%, 4/15/20 (Canada) 60,000 61,050
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 75,000 76,688
New Gold, Inc. 144A sr. unsec. notes 6.375%, 5/15/25 (Canada) 30,000 30,750
Norbord, Inc. 144A company guaranty sr. notes 6.25%, 4/15/23 (Canada) 145,000 155,237
NOVA Chemicals Corp. 144A sr. unsec. bonds 5.25%, 6/1/27 (Canada) 116,000 116,145
NOVA Chemicals Corp. 144A sr. unsec. notes 4.875%, 6/1/24 (Canada) 64,000 64,160
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 195,000 201,825
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 105,000 110,513
Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27 15,000 16,725
Park-Ohio Industries, Inc. 144A company guaranty sr. unsec. notes 6.625%, 4/15/27 120,000 125,250
Platform Specialty Products Corp. 144A sr. unsec. notes 10.375%, 5/1/21 15,000 16,631
Platform Specialty Products Corp. 144A sr. unsec. notes 6.50%, 2/1/22 65,000 66,950
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6.875%, 7/15/33 80,000 88,000
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5.125%, 12/1/24 40,000 42,100
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 110,000 129,250
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 35,000 35,613
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 8/15/22 135,000 139,928
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 80,000 84,700
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 65,000 67,194
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 4.75%, 1/15/22 (Canada) 45,000 47,025
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 40,000 39,350
Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8.50%, 6/1/24 (Canada) 15,000 17,306
TMS International Corp. 144A company guaranty sr. unsec. sub. notes 7.625%, 10/15/21 115,000 116,438
Tronox Finance, LLC company guaranty sr. unsec. notes 6.375%, 8/15/20 45,000 45,450
Tronox Finance, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/22 85,000 88,294
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 140,000 146,300
U.S. Concrete, Inc. 144A company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 50,000 52,250
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 80,000 80,800
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 100,000 106,000
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 150,000 145,500
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 170,000 183,388
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 140,000 158,200
7,201,234
Capital goods (3.4%)
Advanced Disposal Services, Inc. 144A sr. unsec. notes 5.625%, 11/15/24 195,000 200,119
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 5.00%, 10/1/24 110,000 111,925
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7.75%, 11/15/19 105,000 115,763
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) 200,000 218,000
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 95,000 98,895
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.50%, 9/1/22 140,000 144,200
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.25%, 7/15/24 80,000 81,600
Berry Plastics Corp. company guaranty notes 6.00%, 10/15/22 45,000 47,981
Berry Plastics Corp. company guaranty notes 5.50%, 5/15/22 55,000 57,338
Berry Plastics Corp. company guaranty unsub. notes 5.125%, 7/15/23 35,000 36,680
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 165,000 183,356
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 150,000 165,000
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 65,000 75,400
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 390,000 396,825
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 8.00%, 5/15/22 135,000 137,025
KLX, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/1/22 190,000 200,465
Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) 160,000 210,407
Manitowoc Foodservice, Inc. sr. unsec. notes 9.50%, 2/15/24 200,000 232,000
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 205,000 206,538
Moog, Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/22 115,000 119,888
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 105,000 109,725
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/22 55,000 57,269
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes 7.00%, 7/15/24 100,000 107,625
Tennant Co. 144A company guaranty sr. unsec. notes 5.625%, 5/1/25 25,000 26,063
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 45,000 45,506
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8.75%, 7/15/23 (United Kingdom) 280,000 297,500
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 70,000 71,750
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 80,000 83,200
TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 35,000 36,225
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4.75%, 4/29/25 150,000 157,875
4,157,543
Communication services (4.7%)
Altice SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) 400,000 425,438
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 35,000 39,288
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5.25%, 9/30/22 50,000 51,750
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 175,000 184,979
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 215,000 230,588
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 90,000 96,188
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 125,000 131,485
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 5,000 5,344
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 25,000 26,500
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 240,000 244,951
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 70,000 71,400
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 180,000 191,286
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 350,000 357,438
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 50,000 55,250
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 255,000 296,914
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 200,000 193,000
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 80,000 85,200
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 55,000 51,425
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 135,000 132,806
Frontier Communications Corp. sr. unsec. notes 8.875%, 9/15/20 40,000 42,550
Frontier Communications Corp. sr. unsec. unsub. notes 7.625%, 4/15/24 30,000 25,238
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7.50%, 4/1/21 (Bermuda) 80,000 71,400
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 4,000 4,318
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7.75%, 6/1/21 (Luxembourg) 8,000 4,460
Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds 8.125%, 6/1/23 (Luxembourg) 35,000 18,703
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 25,000 26,500
SFR Group SA 144A company guaranty sr. notes 7.375%, 5/1/26 (France) 200,000 216,374
SFR Group SA 144A company guaranty sr. notes 6.00%, 5/15/22 (France) 200,000 208,750
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 225,000 249,469
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 60,000 66,375
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 43,000 47,193
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 275,000 317,625
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 265,000 300,857
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/23 140,000 149,100
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 220,000 238,425
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 55,000 58,575
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 30,000 31,090
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 1/15/26 55,000 60,706
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 1/15/22 125,000 131,563
Videotron Ltd./Videotron Ltee. 144A sr. unsec. bonds 5.125%, 4/15/27 (Canada) 50,000 51,750
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) 195,000 207,675
West Corp. 144A company guaranty sr. unsec. sub. notes 5.375%, 7/15/22 180,000 182,925
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. sub. notes 10.25%, 7/15/19 106,000 109,837
Windstream Services, LLC company guaranty sr. unsec. notes 6.375%, 8/1/23 115,000 97,538
5,790,226
Consumer cyclicals (8.0%)
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 2/15/22 40,000 41,840
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 65,000 67,477
AMC Entertainment Holdings, Inc. 144A company guaranty sr. unsec. sub. bonds 6.125%, 5/15/27 60,000 62,025
AMC Entertainment Holdings, Inc. 144A sr. unsec. sub. bonds 5.875%, 11/15/26 75,000 77,250
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 105,000 111,956
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10.25%, 3/1/22 175,000 182,875
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8.00%, 6/15/21 100,000 37,000
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 75,000 81,188
Boyd Gaming Corp. company guaranty sr. unsec. unsub. notes 6.375%, 4/1/26 35,000 38,189
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6.50%, 12/15/20 (Canada) 100,000 103,250
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 85,000 87,550
Caesars Growth Properties Holdings, LLC/Caesars Growth Properties Finance, Inc. company guaranty notes 9.375%, 5/1/22 155,000 168,175
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 6.25%, 12/15/21 65,000 72,231
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 55,000 59,263
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 30,000 31,650
CCM Merger, Inc. 144A sr. unsec. notes 6.00%, 3/15/22 35,000 36,138
CDK Global, Inc. 144A sr. unsec. bonds 4.875%, 6/1/27 45,000 45,478
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 65,000 66,788
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 65,000 66,137
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 70,000 70,263
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 330,000 341,138
Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 160,000 168,400
Diamond Resorts International, Inc. 144A sr. unsec. notes 10.75%, 9/1/24 120,000 127,200
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 125,000 135,625
Eldorado Resorts, Inc. 144A sr. unsec. unsub. notes 6.00%, 4/1/25 30,000 31,538
EMI Music Publishing Group North America Holdings, Inc. 144A sr. unsec. notes 7.625%, 6/15/24 115,000 126,788
EW Scripps Co. (The) 144A company guaranty sr. unsec. notes 5.125%, 5/15/25 65,000 66,544
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%, 11/1/20 140,000 148,400
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 50,000 54,125
Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 105,000 106,575
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6.625%, 7/25/22 (Canada) CAD 170,000 130,251
GW Honos Security Corp. 144A company guaranty sr. unsec. notes 8.75%, 5/15/25 (Canada) $125,000 129,063
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 70,000 70,000
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. 144A sr. unsec. bonds 4.875%, 4/1/27 120,000 124,200
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 155,000 159,844
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 130,000 102,943
IHS Markit Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 45,000 47,250
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 195,000 212,063
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 265,000 274,606
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 35,000 36,925
JC Penney Corp., Inc. company guaranty sr. unsec. unsub. notes 5.65%, 6/1/20 10,000 9,925
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%, 10/15/19(PIK) 80,000 79,600
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.875%, 2/1/22 75,000 77,813
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.375%, 1/15/24 45,000 47,273
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 60,000 62,635
Lions Gate Entertainment Corp. 144A sr. unsec. unsub. notes 5.875%, 11/1/24 110,000 115,088
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 50,000 50,625
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.625%, 3/15/23 160,000 168,000
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) 25,000 25,313
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 11/15/20 (Canada) 135,000 139,131
MGM Resorts International company guaranty sr. unsec. notes 5.25%, 3/31/20 20,000 21,287
MGM Resorts International company guaranty sr. unsec. unsub. notes 8.625%, 2/1/19 70,000 77,350
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 65,000 72,963
Navistar International Corp. company guaranty sr. unsec. notes 8.25%, 11/1/21 214,000 216,943
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7.125%, 6/1/28 125,000 90,156
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/15/21(PIK) 70,000 33,950
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.00%, 10/15/21 60,000 31,050
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 160,000 161,200
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 60,000 61,200
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. sub. notes 5.50%, 10/1/21 (Luxembourg) 110,000 113,988
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 75,000 77,156
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 90,000 94,500
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 55,000 57,475
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 75,000 75,844
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 160,000 165,600
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 60,000 59,850
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 70,000 70,525
PetSmart, Inc. 144A sr. unsec. notes 7.125%, 3/15/23 40,000 37,300
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 150,000 172,755
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 90,000 95,119
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 45,000 46,238
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23 110,000 114,813
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 195,000 197,438
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 130,000 136,338
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 360,000 391,950
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6.25%, 9/1/20 35,000 34,519
Scientific Games International, Inc. 144A company guaranty sr. notes 7.00%, 1/1/22 155,000 165,463
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 225,000 231,469
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 125,000 133,125
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 135,000 139,050
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 170,000 171,063
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 65,000 69,069
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6.625%, 11/15/22 5,000 5,256
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 12/15/24 110,000 116,600
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 175,000 183,969
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 70,000 71,663
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 85,000 83,831
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/1/23 60,000 60,450
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 125,000 131,719
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4.50%, 3/1/21 30,000 31,500
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 110,000 108,625
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 105,000 107,494
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 95,000 93,575
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 90,000 92,476
9,723,746
Consumer staples (1.9%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 6.00%, 4/1/22 (Canada) 140,000 145,733
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 45,000 46,294
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 85,000 85,000
Ashtead Capital, Inc. 144A company guaranty notes 5.625%, 10/1/24 200,000 214,000
BlueLine Rental Finance Corp./BlueLine Rental, LLC 144A company guaranty sub. notes 9.25%, 3/15/24 185,000 193,325
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 180,000 189,000
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 95,175
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 80,000 67,500
High Ridge Brands Co. 144A company guaranty sr. unsec. notes 8.875%, 3/15/25 95,000 93,575
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 94,433
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 93,627
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 130,000 133,250
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 25,000 25,625
Landry's, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 65,000 67,113
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5.75%, 3/15/25 55,000 56,375
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5.375%, 12/15/21 65,000 66,300
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 6.25%, 8/1/24 110,000 97,625
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5.75%, 2/15/21 165,000 154,376
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 165,000 163,895
2,371,659
Energy (5.9%)
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp. 144A sr. unsec. notes 7.50%, 5/1/25 55,000 57,063
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. 144A company guaranty sr. unsec. notes 7.875%, 12/15/24 195,000 204,263
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 30,000 30,750
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 30,000 30,338
Antero Resources Finance Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 90,000 92,588
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 75,000 76,875
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 6/1/21 (Canada) 15,000 13,969
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7.50%, 12/1/20 60,000 53,400
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 205,000 153,494
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 170,000 189,550
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 250,000 268,438
Cheniere Corpus Christi Holdings, LLC 144A company guaranty sr. bonds 5.125%, 6/30/27 90,000 91,238
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5.75%, 3/15/23 75,000 70,313
Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22 158,000 170,838
Chesapeake Energy Corp. 144A company guaranty sr. unsec. bonds 8.00%, 6/15/27 50,000 49,000
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes 8.00%, 1/15/25 45,000 44,775
Concho Resources, Inc. company guaranty sr. unsec. notes 5.50%, 4/1/23 180,000 185,850
Concho Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/25 85,000 86,700
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/22 20,000 20,625
Continental Resources, Inc. company guaranty sr. unsec. bonds 4.90%, 6/1/44 100,000 85,562
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 100,000 93,440
Continental Resources, Inc. company guaranty sr. unsec. sub. notes 5.00%, 9/15/22 150,000 150,188
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 80,000 78,200
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 145,000 148,625
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 85,000 64,919
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 122,000 125,050
Devon Financing Company, LLC company guaranty sr. unsec. unsub. bonds 7.875%, 9/30/31 105,000 139,550
Diamondback Energy, Inc. 144A company guaranty sr. unsec. notes 5.375%, 5/31/25 155,000 159,650
Diamondback Energy, Inc. 144A company guaranty sr. unsec. notes 4.75%, 11/1/24 45,000 45,113
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 8.125%, 9/15/23 125,000 132,813
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 7.75%, 9/1/22 20,000 16,000
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 290,000 265,350
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 8.00%, 2/15/25 110,000 94,050
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 8.00%, 11/29/24 30,000 30,975
FTS International, Inc. 144A company guaranty sr. sub. FRN 8.631%, 6/15/20 25,000 25,438
Halcon Resources Corp. 144A company guaranty notes 12.00%, 2/15/22 25,000 28,875
Hess Corp. sr. unsec. unsub. notes 7.30%, 8/15/31 65,000 78,733
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 110,000 116,050
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7.375%, 5/1/22 185,000 190,550
Laredo Petroleum, Inc. company guaranty sr. unsec. sub. notes 5.625%, 1/15/22 35,000 34,344
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 60,000 51,900
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 35,000 30,013
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 35,000 34,213
Murphy Oil Corp. sr. unsec. unsub. notes 6.875%, 8/15/24 115,000 120,463
Murray Energy Corp. 144A notes 11.25%, 4/15/21 80,000 61,200
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 170,000 180,200
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 55,000 57,475
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 110,000 97,041
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6.50%, 11/1/21 25,000 25,313
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 50,000 50,438
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 145,000 146,631
Parsley Energy LLC/Parsley Finance Corp. 144A company guaranty sr. unsec. sub. notes 5.375%, 1/15/25 90,000 91,125
Precision Drilling Corp. company guaranty sr. unsec. notes 5.25%, 11/15/24 (Canada) 5,000 4,625
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.75%, 12/15/23 (Canada) 95,000 98,088
Range Resources Corp. 144A company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 180,000 186,750
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 11/15/23 50,000 49,781
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 7/15/22 70,000 70,350
Sabine Pass Liquefaction, LLC sr. notes 5.875%, 6/30/26 80,000 90,261
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 50,000 53,489
SemGroup Corp. 144A company guaranty sr. unsec. notes 6.375%, 3/15/25 95,000 93,813
Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6.75%, 5/1/23 (Canada) 120,000 126,300
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8.25%, 5/15/20 (Canada) 120,000 125,400
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 79,800
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 100,000 101,000
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 65,000 60,125
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 60,000 58,800
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 50,000 49,250
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 95,000 93,991
Stone Energy Corp. company guaranty notes 7.50%, 5/31/22 171,065 165,505
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. bonds 5.375%, 2/1/27 65,000 67,763
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 5.125%, 2/1/25 30,000 31,050
Tesoro Logistics LP/Tesoro Logistics Finance Corp. company guaranty sr. unsec. notes 5.25%, 1/15/25 50,000 52,875
Weatherford International, Ltd. company guaranty sr. unsec. unsub. notes 8.25%, 6/15/23 25,000 26,500
Weatherford International, Ltd. 144A company guaranty sr. unsec. sub. notes 9.875%, 2/15/24 40,000 45,000
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5.75%, 3/15/21 20,000 19,650
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5.00%, 3/15/19 95,000 94,763
Williams Cos., Inc. (The) sr. unsec. unsub. notes 8.75%, 3/15/32 45,000 58,050
Williams Partners LP/ACMP Finance Corp. sr. unsec. sub. notes 4.875%, 3/15/24 60,000 62,175
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 30,000 32,850
WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20 130,000 137,150
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 150,000 151,500
7,226,231
Financials (4.0%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 105,000 106,313
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 120,000 126,900
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 220,000 265,650
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.00%, 3/15/20 60,000 68,370
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 12/1/17 90,000 91,935
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 120,000 124,650
Ally Financial, Inc. unsec. sub. notes 8.00%, 12/31/18 65,000 70,444
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 100,000 133,000
ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 85,000 83,300
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 55,000 58,850
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 50,000 55,313
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 50,000 54,695
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 3/15/23 75,000 78,188
CIT Group, Inc. sr. unsec. notes 3.875%, 2/19/19 45,000 46,181
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 65,000 69,875
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 100,000 108,220
CIT Group, Inc. 144A sr. unsec. notes 5.50%, 2/15/19 62,000 65,410
Citigroup, Inc. jr. unsec. sub. FRN Ser. T, 6.25%, perpetual maturity 25,000 27,281
CNG Holdings, Inc./OH 144A sr. notes 9.375%, 5/15/20 125,000 108,750
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 155,000 162,556
Credit Acceptance Corp. company guaranty sr. unsec. notes 7.375%, 3/15/23 50,000 50,625
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 55,000 55,413
DFC Finance Corp. 144A company guaranty sr. notes 10.50%, 6/15/20 85,000 50,150
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 110,000 136,436
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 60,000 61,310
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8.125%, 7/15/19(PIK) 70,000 70,175
HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21 155,000 161,975
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 65,000 67,925
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 60,000 62,475
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 65,000 66,706
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 95,000 97,256
Intelsat Connect Finance SA 144A company guaranty sr. unsec. sub. notes 12.50%, 4/1/22 (Luxembourg) 9,000 7,830
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 60,000 67,950
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22(R) 40,000 40,700
iStar, Inc. sr. unsec. notes 5.00%, 7/1/19(R) 5,000 5,056
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.80%, 3/15/37 75,000 90,750
Lloyds Banking Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) 249,000 273,900
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 110,000 113,575
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 5.625%, 5/1/24(R) 45,000 48,544
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 130,000 132,763
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. sub. notes 6.75%, 12/15/19 55,000 57,613
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7.25%, 12/15/21 65,000 68,413
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 120,000 122,400
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648%, perpetual maturity (United Kingdom) 265,000 319,988
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 8.25%, 12/15/20 40,000 44,100
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.125%, 5/15/22 70,000 72,303
Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 40,000 41,100
Stearns Holdings, Inc. 144A company guaranty sr. notes 9.375%, 8/15/20 90,000 91,800
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5.25%, 4/15/21 35,000 35,831
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/1/24 45,000 47,025
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 95,000 97,138
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8.50%, 9/15/18 170,000 161,500
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 100,000 104,750
USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 95,000 96,188
4,927,544
Health care (3.5%)
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7.875%, 9/1/23 155,000 149,963
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 110,000 119,522
Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25 25,000 25,813
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 110,000 114,730
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 105,000 108,859
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 250,000 222,188
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8.00%, 11/15/19 15,000 15,075
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 7.125%, 7/15/20 35,000 34,475
Concordia International Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/23 (Canada) 175,000 35,438
Concordia International Corp. 144A sr. notes 9.00%, 4/1/22 (Canada) 20,000 14,900
Eagle Holding Co II, LLC 144A sr. unsec. unsub. notes 7.625%, 5/15/22(PIK) 35,000 36,104
Endo DAC/Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) 210,000 193,463
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 100,000 90,750
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 10/15/22 125,000 129,688
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 100,000 108,630
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 275,000 302,156
HCA, Inc. company guaranty sr. sub. notes 3.75%, 3/15/19 65,000 66,463
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 30,000 34,575
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 135,000 142,763
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 80,000 89,800
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 125,000 115,000
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 75,000 79,594
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 20,000 20,150
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 6.625%, 5/15/22 165,000 157,163
Patheon Holdings I BV 144A sr. unsec. sub. notes 7.50%, 2/1/22 (Netherlands) 135,000 144,281
Service Corp. International/US sr. unsec. notes 5.375%, 1/15/22 110,000 113,300
Service Corp. International/US sr. unsec. unsub. notes 5.375%, 5/15/24 255,000 268,681
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 110,000 113,300
Tenet Healthcare Corp. company guaranty sr. FRN 4.631%, 6/15/20 110,000 110,825
Tenet Healthcare Corp. company guaranty sr. notes 6.25%, 11/1/18 225,000 237,375
Tenet Healthcare Corp. company guaranty sr. notes 4.75%, 6/1/20 25,000 25,844
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 140,000 149,975
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 175,000 140,875
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 225,000 183,234
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.625%, 12/1/21 10,000 8,575
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.50%, 3/1/23 55,000 44,424
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.375%, 3/15/20 105,000 97,787
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 135,000 142,764
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 35,000 36,743
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 50,000 52,688
4,277,933
Technology (2.0%)
Avaya, Inc. 144A company guaranty sr. notes 7.00%, 4/1/19 (In default)(NON) 300,000 245,250
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 320,000 356,625
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 130,000 141,198
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. unsec. notes 5.875%, 6/15/21 20,000 21,138
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 165,000 178,200
First Data Corp. 144A notes 5.75%, 1/15/24 120,000 126,750
First Data Corp. 144A sr. notes 5.375%, 8/15/23 105,000 110,250
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 140,000 149,232
Infor Software Parent LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 225,000 232,313
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 155,000 161,394
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 60,000 62,250
Iron Mountain, Inc. company guaranty sr. unsec. notes 6.00%, 8/15/23(R) 105,000 111,300
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 6.00%, 10/1/20(R) 45,000 46,913
Micron Technology, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 2/15/22 105,000 109,725
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 170,000 176,375
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 205,000 234,725
2,463,638
Transportation (0.3%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 135,000 129,263
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 205,000 212,688
341,951
Utilities and power (1.8%)
AES Corp./Virginia (The) sr. unsec. notes 8.00%, 6/1/20 45,000 51,638
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 270,000 280,125
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 45,000 45,675
AES Corp./Virginia (The) sr. unsec. unsub. notes 7.375%, 7/1/21 145,000 165,663
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 225,000 213,469
Calpine Corp. 144A company guaranty sr. notes 6.00%, 1/15/22 30,000 31,200
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 25,000 25,813
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 95,000 105,637
Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22 105,000 103,425
Dynegy, Inc. company guaranty sr. unsec. notes 6.75%, 11/1/19 55,000 56,581
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 155,000 150,350
Energy Transfer Equity LP company guaranty sr. notes 7.50%, 10/15/20 92,000 102,810
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 45,000 48,038
GenOn Americas Generation, LLC sr. unsec. notes 9.125%, 5/1/31 100,000 90,500
GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 95,000 69,113
Hiland Partners Holdings, LLC/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. sub. notes 5.50%, 5/15/22 30,000 31,200
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 85,000 86,700
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 120,000 117,900
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 7.875%, 5/15/21 75,000 77,625
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 55,000 59,986
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4.50%, 11/1/23 80,000 84,456
Remote Escrow Finance Vehicle, LLC 144A sr. notes 10.50%, 6/1/22 35,000 36,400
Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22 130,000 131,950
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20 60,000 300
2,166,554
Total corporate bonds and notes (cost $49,360,989) $50,648,259

CONVERTIBLE BONDS AND NOTES (37.6%)(a)
Principal amount Value
Basic materials (0.4%)
Cemex SAB de CV cv. unsec. sub. notes 3.72%, 3/15/20 (Mexico) $455,000 $502,206
502,206
Capital goods (1.9%)
Aerojet Rocketdyne Holdings, Inc. 144A cv. sr. unsec. sub. notes 2.25%, 12/15/23 491,000 530,894
Dycom Industries, Inc. cv. sr. unsec. notes 0.75%, 9/15/21 535,000 599,534
Greenbrier Cos., Inc. (The) 144A cv. sr. unsec. notes 2.875%, 2/1/24 470,000 494,088
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 385,000 366,953
Kaman Corp. 144A cv. sr. unsec. notes 3.25%, 5/1/24 324,000 321,975
2,313,444
Communication services (2.4%)
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A cv. company guaranty sr. unsec. notes 8.25%, 12/1/40 199,000 205,109
DISH Network Corp. 144A cv. sr. unsec. bonds 3.375%, 8/15/26 2,230,000 2,710,844
Powerwave Technologies, Inc. cv. unsec. sub. notes 3.875%, 10/1/27 (In default)(F)(NON) 1,160,000 116
2,916,069
Communications equipment (0.7%)
Ciena Corp. cv. sr. unsec. notes 4.00%, 12/15/20 618,000 849,364
849,364
Components (0.3%)
Finisar Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/15/36 427,000 406,984
406,984
Computers (1.8%)
Avid Technology, Inc. cv. sr. unsec. notes 2.00%, 6/15/20 274,000 204,301
Citrix Systems, Inc. cv. sr. unsec. notes 0.50%, 4/15/19 435,000 536,138
HubSpot, Inc. 144A cv. sr. unsec. notes 0.25%, 6/1/22 501,000 503,818
Inseego Corp. cv. sr. unsec. sub. notes 5.50%, 6/15/22 151,000 102,491
RealPage, Inc. 144A cv. sr. unsec. notes 1.50%, 11/15/22 448,000 467,040
Verint Systems, Inc. cv. sr. unsec. notes 1.50%, 6/1/21 410,000 397,700
2,211,488
Consumer cyclicals (6.5%)
CalAtlantic Group, Inc. cv. company guaranty sr. unsec. unsub. notes 1.625%, 5/15/18 480,000 578,400
CalAtlantic Group, Inc. cv. company guaranty sr. unsec. unsub. notes 1.25%, 8/1/32 365,000 367,053
Euronet Worldwide, Inc. cv. sr. unsec. bonds 1.50%, 10/1/44 535,000 684,466
Liberty Interactive, LLC cv. sr. unsec. notes 3.50%, 1/15/31 890,000 475,038
Liberty Interactive, LLC 144A cv. sr. unsec. bonds 1.75%, 9/30/46 790,000 918,869
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 510,000 596,649
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.25%, 9/30/46 404,000 435,815
Macquarie Infrastructure Corp. cv. sr. unsec. unsub. notes 2.00%, 10/1/23 812,000 801,343
Navistar International Corp. cv. sr. unsec. sub. bonds 4.75%, 4/15/19 644,000 624,680
Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes 1.00%, 3/15/18 535,000 1,057,963
Square, Inc. 144A cv. sr. unsec. notes 0.375%, 3/1/22 437,000 524,400
Tesla Motors, Inc. cv. sr. unsec. sub. notes 1.25%, 3/1/21 845,000 928,972
7,993,648
Consumer staples (0.7%)
Vector Group, Ltd. cv. sr. unsec. sub. notes 1.75%, 4/15/20 695,000 797,513
797,513
Electronics (7.0%)
Advanced Micro Devices, Inc. cv. sr. unsec. unsub. notes 2.125%, 9/1/26 108,000 172,800
Intel Corp. cv. jr. unsec. sub. notes 3.25%, 8/1/39 290,000 508,588
Microchip Technology, Inc. 144A cv. sr. unsec. sub. notes 1.625%, 2/15/27 2,731,000 3,015,980
Micron Technology, Inc. cv. sr. unsec. bonds 3.00%, 11/15/43 890,000 1,019,606
Micron Technology, Inc. cv. sr. unsec. bonds Ser. E, 1.625%, 2/15/33 700,000 1,960,875
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.00%, 12/1/20 685,000 741,941
OSI Systems, Inc. 144A cv. sr. unsec. unsub. notes 1.25%, 9/1/22 551,000 550,656
TTM Technologies, Inc. cv. sr. unsec. notes 1.75%, 12/15/20 323,000 572,719
8,543,165
Energy (2.1%)
Chesapeake Energy Corp. 144A cv. sr. unsec. bonds 5.50%, 9/15/26 1,175,000 1,133,141
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 276,000 300,668
SEACOR Holdings, Inc. cv. sr. unsec. bonds 3.00%, 11/15/28 621,000 542,599
Whiting Petroleum Corp. cv. company guaranty sr. unsec. unsub. notes 1.25%, 4/1/20 640,000 558,800
2,535,208
Financials (3.1%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. unsub. notes 5.25%, 12/1/18(R) 631,000 714,608
Colony Starwood Homes 144A cv. sr. unsec. notes 3.50%, 1/15/22(R) 449,000 479,588
Encore Capital Group, Inc. cv. company guaranty sr. unsec. bonds 3.00%, 7/1/20 205,000 207,178
Hercules Capital, Inc. 144A cv. sr. unsec. notes 4.375%, 2/1/22 311,000 315,665
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4.00%, 1/15/19(R) 1,051,000 1,171,865
TCP Capital Corp. cv. sr. unsec. bonds 5.25%, 12/15/19 827,000 869,901
3,758,805
Health care (4.7%)
Brookdale Senior Living, Inc. cv. sr. unsec. unsub. notes 2.75%, 6/15/18 655,000 647,631
China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4.00%, 8/15/17 (China) (In default)(F)(NON) 763,000 48,832
China Medical Technologies, Inc. 144A cv. sr. unsec. notes 6.25%, 12/15/17 (China) (In default)(F)(NON) 445,000 24,920
Emergent BioSolutions, Inc. cv. sr. unsec. unsub. bonds 2.875%, 1/15/21 125,000 155,859
Hologic, Inc. cv. sr. unsec. unsub. notes stepped-coupon 2.00% (zero %, 3/1/18) 3/1/42(STP) 880,000 1,247,950
Impax Laboratories, Inc. cv. sr. unsec. notes 2.00%, 6/15/22 365,000 312,531
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. bonds 1.875%, 8/15/21 (Ireland) 951,000 1,009,249
Medicines Co. (The) 144A cv. sr. unsec. unsub. notes 2.75%, 7/15/23 350,000 373,188
Medidata Solutions, Inc. cv. sr. unsec. notes 1.00%, 8/1/18 265,000 342,016
Neurocrine Biosciences, Inc. 144A cv. sr. unsec. notes 2.25%, 5/15/24 470,000 455,900
Pacira Pharmaceuticals, Inc. (Delaware) 144A cv. sr. unsec. sub. notes 2.375%, 4/1/22 544,000 555,220
Sucampo Pharmaceuticals, Inc. cv. sr. unsec. notes 3.25%, 12/15/21 645,000 613,153
5,786,449
Semiconductor (2.6%)
Cypress Semiconductor Corp. 144A cv. sr. unsec. notes 4.50%, 1/15/22 395,000 485,603
Integrated Device Technology, Inc. cv. sr. unsec. unsub. notes 0.875%, 11/15/22 465,000 487,959
Jazz US Holdings, Inc. cv. company guaranty sr. unsec. notes 8.00%, 12/31/18 153,000 387,759
Novellus Systems, Inc. cv. company guaranty sr. unsec. notes 2.625%, 5/15/41 258,000 1,183,575
Teradyne, Inc. 144A cv. sr. unsec. notes 1.25%, 12/15/23 450,000 570,094
3,114,990
Software (0.8%)
Safeguard Scientifics, Inc. cv. sr. unsec. bonds 5.25%, 5/15/18 970,000 979,700
979,700
Technology services (1.7%)
J2 Cloud Services, LLC cv. sr. unsec. notes 3.25%, 6/15/29 570,000 776,981
Proofpoint, Inc. cv. sr. unsec. unsub. notes 0.75%, 6/15/20 340,000 416,713
salesforce.com, Inc. cv. sr. unsec. unsub. notes 0.25%, 4/1/18 405,000 551,306
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 405,000 371,334
2,116,334
Transportation (0.9%)
Atlas Air Worldwide Holdings, Inc. cv. sr. unsec. bonds 2.25%, 6/1/22 319,000 326,975
Echo Global Logistics, Inc. cv. sr. unsec. notes 2.50%, 5/1/20 385,000 360,938
Scorpio Tankers, Inc. 144A cv. sr. unsec. sub. notes 2.375%, 7/1/19 462,000 408,293
1,096,206
Total convertible bonds and notes (cost $43,525,504) $45,921,573

CONVERTIBLE PREFERRED STOCKS (17.0%)(a)
Shares Value
Basic materials (—%)
Smurfit-Stone Container Corp. escrow zero % cv. pfd.(F) 65,720 $657
657
Capital goods (1.6%)
Arconic, Inc. $2.688 cv. pfd. 20,158 867,600
Belden, Inc. $6.75 cv. pfd. 5,761 572,355
Rexnord Corp. $2.88 cv. pfd. 9,862 523,574
1,963,529
Communication services (3.4%)
American Tower Corp. $5.50 cv. pfd.(R) 12,870 1,536,356
Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. 21,872 1,105,218
T-Mobile US, Inc. Ser. A, $2.75 cv. pfd. 13,234 1,446,212
4,087,786
Consumer cyclicals (1.2%)
FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. pfd.(R) 37,550 970,435
Stanley Black & Decker, Inc. $5.375 cv. pfd.(NON) 4,889 509,580
1,480,015
Consumer staples (0.4%)
Tyson Foods, Inc. $2.375 cv. pfd. 8,377 521,468
521,468
Energy (0.7%)
Hess Corp. $2.00 cv. pfd. 11,340 636,061
Southwestern Energy Co. Ser. B, $3.125 cv. pfd. 15,795 241,190
Triangle USA Petroleum Corp. 6.75% cv. pfd.(F) 24 24,000
901,251
Financials (5.0%)
Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd.(R) 14,245 507,256
AMG Capital Trust II $2.575 cv. pfd. 14,140 812,166
Bank of America Corp. Ser. L, 7.25% cv. pfd. 773 954,655
EPR Properties Ser. C, $1.438 cv. pfd.(R) 37,670 1,068,299
iStar, Inc. $2.25 cv. pfd.(R) 7,445 380,291
Mandatory Exchangeable Trust 144A $5.75 cv. pfd. 4,456 637,609
Wells Fargo & Co. Ser. L, 7.50% cv. pfd. 785 993,025
Welltower, Inc. Ser. I, $3.25 cv. pfd.(R) 12,177 789,983
6,143,284
Health care (2.6%)
Allergan PLC Ser. A, 5.50% cv. pfd. 1,770 1,417,363
Anthem, Inc. $2.63 cv. pfd. 12,115 624,649
Becton Dickinson and Co. Ser. A, $3.063 cv. pfd.(NON) 20,150 1,078,227
3,120,239
Utilities and power (2.1%)
DTE Energy Co. $3.25 cv. pfd. 16,040 886,370
Dynegy, Inc. $7.00 cv. pfd. 3,046 188,547
El Paso Energy Capital Trust I $2.375 cv. pfd. 1,069 52,749
Great Plains Energy, Inc. $3.50 cv. pfd. 10,015 521,782
NextEra Energy, Inc. $3.06 cv. pfd. 17,600 932,624
2,582,072
Total convertible preferred stocks (cost $19,188,087) $20,800,301

COMMON STOCKS (2.4%)(a)
Shares Value
ACC Claims Holdings, LLC Class A (Units)(F) 199,505 $1,197
Ally Financial, Inc. 5,535 102,619
Banc of California, Inc. 36,547 741,904
Bank of America Corp. 11,665 261,413
Berry Plastics Group, Inc.(NON) 1,155 66,978
CIT Group, Inc. 1,606 72,350
Eldorado Resorts, Inc.(NON) 967 20,065
Gaming and Leisure Properties, Inc.(R) 2,520 92,509
Halcon Resources Corp.(NON) 5,898 35,860
Keane Group, Inc.(NON) 5,621 86,451
Live Nation Entertainment, Inc.(NON) 900 31,041
Milagro Oil & Gas, Inc. (Units)(F) 39 3,159
NVIDIA Corp. 6,255 902,909
SandRidge Energy, Inc.(NON) 2,270 44,923
Seven Generations Energy, Ltd. (Canada)(NON) 2,990 53,631
Stone Energy Corp.(NON) 3,230 70,091
Tervita Corp. Class A (Canada) 127 799
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights)(F) 1,028 1,079
Triangle USA Petroleum Corp.(F) 985 13,554
Xilinx, Inc. 4,345 289,855
Total common stocks (cost $2,103,172) $2,892,387

SENIOR LOANS (0.1%)(a)(c)
Principal amount Value
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11.75%, 3/1/18 (In default)(NON) $121,050 $142,359
Total senior loans (cost $120,129) $142,359

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Halcon Resources Corp. 9/9/20 14.04 1,601 $1,361
Total warrants (cost $—) $1,361

SHORT-TERM INVESTMENTS (1.0%)(a)
Shares Value
Putnam Short Term Investment Fund 0.89%(AFF) 1,200,320 $1,200,320
Total short-term investments (cost $1,200,320) $1,200,320

TOTAL INVESTMENTS
Total investments (cost $115,498,201)(b) $121,606,560













FORWARD CURRENCY CONTRACTS at 5/31/17 (aggregate face value $234,033) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Citibank, N.A.
Canadian Dollar Sell 7/19/17 $29,784 $29,903 $119
State Street Bank and Trust Co.
Canadian Dollar Sell 7/19/17 154,478 155,669 1,191
WestPac Banking Corp.
Canadian Dollar Sell 7/19/17 48,011 48,461 450
Total $1,760












Key to holding's currency abbreviations
CAD Canadian 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
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, 2016 through May 31, 2017 (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 $122,268,457.
(b) The aggregate identified cost on a tax basis is $116,285,872, resulting in gross unrealized appreciation and depreciation of $10,719,917 and $5,399,229, respectively, or net unrealized appreciation of $5,320,688.
(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.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(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 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** $4,152,662 $20,263,643 $23,215,985 $16,976 $1,200,320
Totals $4,152,662 $20,263,643 $23,215,985 $16,976 $1,200,320
** 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 by Putnam Management 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 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 $66,978 $— $—
    Communication services — — 1,197
    Consumer cyclicals 51,106 — —
    Energy 290,956 14,353 3,159
    Financials 1,270,795 — —
    Technology 1,192,764 — —
    Utilities and power — 1,079 —
Total common stocks 2,872,599 15,432 4,356
Convertible bonds and notes — 45,847,705 73,868
Convertible preferred stocks 2,465,058 18,334,586 657
Corporate bonds and notes — 50,648,236 23
Senior loans — 142,359 —
Warrants 1,361 — —
Short-term investments 1,200,320 — —
Totals by level $6,539,338 $114,988,318 $78,904


Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $1,760 $—
Totals by level $— $1,760 $—


* 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 $1,760 $—
Equity contracts 1,361 —
Total $3,121 $—


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)$240,000
Warrants (number of warrants)2,000
   
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 "(AFF)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
               
Citibank, N.A. State Street Bank and Trust Co. WestPac Banking Corp. Total
Assets:
Forward currency contracts# $119 $1,191 $450 $1,760
Total Assets $119 $1,191 $450 $1,760
Liabilities:
Forward currency contracts# $— $— $— $—
Total Liabilities $— $— $— $—
Total Financial and Derivative Net Assets $119 $1,191 $450 $1,760
Total collateral received (pledged)##† $— $— $—
Net amount $119 $1,191 $450
†  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: July 28, 2017

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: July 28, 2017

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: July 28, 2017