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: November 30, 2016



Item 1. Schedule of Investments:













Putnam High Income Securities Fund

The fund's portfolio
11/30/16 (Unaudited)
CORPORATE BONDS AND NOTES (41.9%)(a)
Principal amount Value
Basic materials (5.4%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6.875%, 6/1/23 $105,000 $107,100
Allegheny Technologies, Inc. sr. unsec. unsub. notes 9.375%, 6/1/19 115,000 121,038
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 20,000 18,400
ArcelorMittal SA sr. unsec. unsub. bonds 10.85%, 6/1/19 (France) 65,000 76,375
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 100,000 108,750
ArcelorMittal SA sr. unsec. unsub. notes 8.00%, 10/15/39 (France) 10,000 10,575
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 150,000 159,375
Blue Cube Spinco, Inc. company guaranty sr. unsec. unsub. notes 9.75%, 10/15/23 120,000 141,000
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 160,000 159,600
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 145,000 141,738
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10.75%, 8/15/23 189,000 216,405
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 110,000 110,550
Celanese US Holdings, LLC company guaranty sr. unsec. notes 5.875%, 6/15/21 (Germany) 115,000 128,143
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 200,000 198,770
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 95,000 93,575
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 80,000 79,000
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 65,000 61,425
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7.875%, 11/1/19 (Luxembourg) 220,000 217,525
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 60,000 61,800
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.00%, 2/15/21 (Canada) 45,000 44,213
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 2/15/20 (Canada) 165,000 163,144
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6.75%, 2/1/22 55,000 57,200
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 2/15/23 110,000 117,700
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 3.55%, 3/1/22 (Indonesia) 10,000 9,465
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9.50%, 2/1/23 230,000 260,475
HD Supply, Inc. 144A company guaranty sr. unsec. notes 5.75%, 4/15/24 55,000 56,238
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9.50%, 10/1/20 (Canada) 160,000 168,400
Huntsman International, LLC company guaranty sr. unsec. notes 5.125%, 11/15/22 165,000 167,475
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 95,000 103,550
Kraton Polymers LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 10.50%, 4/15/23 125,000 138,438
Louisiana-Pacific Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 110,000 106,838
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 150,000 157,125
Mercer International, Inc. company guaranty sr. unsec. notes 7.00%, 12/1/19 (Canada) 60,000 61,800
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 7.00%, 4/15/20 (Canada) 60,000 61,650
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 45,000 45,169
Norbord, Inc. 144A company guaranty sr. notes 6.25%, 4/15/23 (Canada) 145,000 150,771
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 195,000 194,756
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 105,000 109,200
Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27 15,000 16,463
PQ Corp. 144A company guaranty sr. notes 6.75%, 11/15/22 30,000 31,688
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6.875%, 7/15/33 80,000 82,400
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6.50%, 12/1/20 75,000 84,844
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5.25%, 4/1/23 100,000 103,125
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5.125%, 12/1/24 40,000 40,600
Sealed Air Corp. 144A company guaranty sr. unsec. notes 4.875%, 12/1/22 35,000 35,788
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 110,000 127,050
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 8/15/22 135,000 142,088
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 80,000 84,600
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 10,000 10,375
Steel Dynamics, Inc. 144A sr. unsec. bonds 5.00%, 12/15/26 35,000 35,175
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 4.75%, 1/15/22 (Canada) 45,000 45,563
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 40,000 38,000
Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8.50%, 6/1/24 (Canada) 15,000 17,438
Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8.00%, 6/1/21 (Canada) 25,000 27,313
TMS International Corp. 144A company guaranty sr. unsec. sub. notes 7.625%, 10/15/21 180,000 146,925
Tronox Finance, LLC company guaranty sr. unsec. notes 6.375%, 8/15/20 20,000 18,225
Tronox Finance, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/22 60,000 54,750
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 85,000 88,613
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 100,000 101,750
USG Corp. 144A company guaranty sr. unsec. notes 5.875%, 11/1/21 20,000 20,881
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 100,000 102,635
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 150,000 136,500
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 175,000 185,500
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 95,000 101,888
6,264,928
Capital goods (3.5%)
Advanced Disposal Services, Inc. 144A sr. unsec. notes 5.625%, 11/15/24 180,000 178,200
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7.75%, 11/15/19 105,000 116,288
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.375%, 9/15/24 80,000 78,600
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.00%, 3/15/22 145,000 143,550
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) 200,000 209,000
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 95,000 98,374
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.50%, 9/1/22 140,000 142,800
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.25%, 7/15/24 80,000 79,600
Berry Plastics Corp. company guaranty notes 6.00%, 10/15/22 45,000 47,306
Berry Plastics Corp. company guaranty notes 5.50%, 5/15/22 55,000 57,200
Berry Plastics Corp. company guaranty unsub. notes 5.125%, 7/15/23 35,000 35,306
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 115,000 113,850
Bombardier, Inc. 144A sr. unsec. unsub. notes 4.75%, 4/15/19 (Canada) 20,000 19,925
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 150,000 164,625
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 65,000 73,613
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 350,000 334,250
KLX, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/1/22 190,000 194,275
Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) 160,000 208,479
Manitowoc Foodservice, Inc. sr. unsec. notes 9.50%, 2/15/24 200,000 228,000
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 135,000 131,963
Moog, Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/22 130,000 132,275
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 105,000 108,150
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/22 55,000 57,338
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8.25%, 2/15/21 (New Zealand) 71,093 73,403
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes 7.00%, 7/15/24 100,000 105,563
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 12/15/24 95,000 97,850
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/26 45,000 44,228
Terex Corp. company guaranty sr. unsec. notes 6.00%, 5/15/21 45,000 45,563
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8.75%, 7/15/23 230,000 236,900
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 55,000 56,994
TransDigm, Inc. 144A company guaranty sr. unsec. sub. bonds 6.375%, 6/15/26 70,000 71,225
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4.75%, 4/29/25 150,000 150,281
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4.50%, 4/29/22 150,000 154,875
3,989,849
Communication services (4.8%)
Altice SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) 400,000 418,949
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 35,000 37,625
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6.625%, 1/31/22 35,000 36,225
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5.25%, 9/30/22 50,000 51,875
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 65,000 65,650
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 160,000 169,400
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 35,000 35,963
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 125,000 128,047
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 5,000 5,000
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 25,000 26,031
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 240,000 236,700
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 70,000 68,950
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 300,000 281,220
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 50,000 52,563
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 255,000 293,888
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 200,000 166,500
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 80,000 81,100
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 55,000 55,138
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 155,000 160,038
Frontier Communications Corp. sr. unsec. notes 8.875%, 9/15/20 40,000 41,750
Frontier Communications Corp. sr. unsec. unsub. notes 7.625%, 4/15/24 30,000 25,875
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7.50%, 4/1/21 (Bermuda) 80,000 57,950
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 4,000 4,030
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7.75%, 6/1/21 (Luxembourg) 25,000 8,656
Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds 8.125%, 6/1/23 (Luxembourg) 35,000 11,988
Level 3 Communications, Inc. sr. unsec. unsub. notes 5.75%, 12/1/22 25,000 25,563
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 1/15/24 25,000 25,125
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 8/15/22 25,000 25,438
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 25,000 25,620
Quebecor Media, Inc. 144A sr. unsec. notes 7.375%, 1/15/21 (Canada) CAD 75,000 57,682
Qwest Corp. sr. unsec. unsub. notes 7.25%, 9/15/25 $65,000 69,998
SFR Group SA 144A company guaranty sr. notes 7.375%, 5/1/26 (France) 200,000 199,500
SFR Group SA 144A company guaranty sr. notes 6.00%, 5/15/22 (France) 200,000 202,000
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 260,000 250,094
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 60,000 62,100
Sprint Communications, Inc. sr. unsec. unsub. notes 8.375%, 8/15/17 80,000 83,225
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 115,000 126,356
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 275,000 283,938
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 265,000 271,625
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/23 140,000 147,875
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 220,000 235,125
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.25%, 4/1/21 165,000 171,806
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633%, 4/28/21 45,000 46,969
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 1/15/22 125,000 130,625
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) 195,000 199,875
West Corp. 144A company guaranty sr. unsec. sub. notes 5.375%, 7/15/22 180,000 172,800
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. sub. notes 10.25%, 7/15/19 120,000 126,300
Windstream Services, LLC company guaranty sr. unsec. notes 6.375%, 8/1/23 120,000 104,400
5,565,150
Consumer cyclicals (8.1%)
AMC Entertainment Holdings, Inc. 144A sr. unsec. sub. bonds 5.875%, 11/15/26 35,000 35,263
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5.875%, 2/15/22 40,000 41,726
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 65,000 65,488
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 105,000 107,888
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10.25%, 3/1/22 145,000 135,213
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8.00%, 6/15/21 100,000 49,500
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 75,000 79,688
Boyd Gaming Corp. 144A company guaranty sr. unsec. unsub. bonds 6.375%, 4/1/26 35,000 36,488
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6.50%, 12/15/20 (Canada) 100,000 101,500
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 85,000 85,196
Caesars Growth Properties Holdings, LLC/Caesars Growth Properties Finance, Inc. company guaranty notes 9.375%, 5/1/22 90,000 96,300
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 6.25%, 12/15/21 140,000 149,800
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 55,000 56,513
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 30,000 31,519
CCM Merger, Inc. 144A company guaranty sr. unsec. notes 9.125%, 5/1/19 58,000 60,248
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5.25%, 3/15/21 60,000 62,040
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 65,650
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 190,000 186,675
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 330,000 333,300
Dakota Merger Sub, Inc. 144A sr. notes 7.75%, 9/1/23 160,000 160,000
Dakota Merger Sub, Inc. 144A sr. unsec. notes 10.75%, 9/1/24 65,000 60,938
Dollar Tree, Inc. company guaranty sr. unsec. unsub. notes 5.75%, 3/1/23 45,000 48,038
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 125,000 132,188
EMI Music Publishing Group North America Holdings, Inc. 144A sr. unsec. notes 7.625%, 6/15/24 95,000 101,650
Entercom Radio, LLC company guaranty sr. unsec. notes 10.50%, 12/1/19 100,000 102,625
Fiat Chryslet Automobiles NV sr. unsec. unsub. notes 5.25%, 4/15/23 (Italy) 200,000 198,500
General Motors Co. sr. unsec. notes 5.20%, 4/1/45 20,000 18,988
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 85,000 81,011
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 3.45%, 4/10/22 70,000 69,045
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4.875%, 11/1/20 140,000 147,000
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 50,000 51,125
Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 110,000 105,016
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6.625%, 7/25/22 (Canada) CAD 170,000 132,724
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 $70,000 69,825
Hilton Domestic Operating Co., Inc. 144A sr. unsec. sub. notes 4.25%, 9/1/24 20,000 19,600
Howard Hughes Corp. (The) 144A sr. unsec. notes 6.875%, 10/1/21 220,000 231,968
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 130,000 102,375
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5.875%, 3/15/21 95,000 98,859
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 195,000 193,050
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 180,000 180,450
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8.125%, 10/1/19 60,000 64,875
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65%, 6/1/20 20,000 19,900
JC Penney Corp, Inc. 144A company guaranty sr. notes 5.875%, 7/1/23 25,000 25,625
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%, 10/15/19(PIK) 80,000 76,000
L Brands, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/21 95,000 105,213
L Brands, Inc. company guaranty sr. unsec. sub. notes 5.625%, 2/15/22 50,000 53,125
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.875%, 2/1/22 75,000 77,250
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.375%, 1/15/24 45,000 46,350
Lear Corp. company guaranty sr. unsec. notes 5.25%, 1/15/25 15,000 15,769
Lear Corp. company guaranty sr. unsec. unsub. notes 5.375%, 3/15/24 35,000 36,575
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 60,000 61,050
LG FinanceCo Corp. 144A sr. unsec. unsub. notes 5.875%, 11/1/24 110,000 108,900
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 50,000 49,750
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.625%, 3/15/23 110,000 111,925
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 11/15/20 (Canada) 135,000 134,325
MGM Resorts International company guaranty sr. unsec. notes 5.25%, 3/31/20 20,000 20,988
MGM Resorts International company guaranty sr. unsec. unsub. notes 8.625%, 2/1/19 70,000 77,700
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 65,000 71,013
Navistar International Corp. company guaranty sr. unsec. notes 8.25%, 11/1/21 84,000 83,475
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7.125%, 6/1/28 125,000 113,750
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/15/21(PIK) 175,000 132,125
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.00%, 10/15/21 60,000 47,100
Nexstar Escrow Corp. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 105,000 103,950
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 76,500
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 90,000 92,475
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 55,000 56,719
Penn National Gaming, Inc. sr. unsec. sub. notes 5.875%, 11/1/21 140,000 145,250
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 160,000 163,600
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 60,000 57,830
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 70,000 68,775
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 150,000 165,375
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 90,000 89,213
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 2/1/25 45,000 45,000
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23 110,000 111,788
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 140,000 142,100
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 130,000 131,625
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 360,000 337,500
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6.25%, 9/1/20 35,000 28,525
Scientific Games International, Inc. 144A company guaranty sr. notes 7.00%, 1/1/22 95,000 100,225
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 225,000 222,188
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 70,000 72,888
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 1/15/21 175,000 180,381
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 65,000 67,438
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6.625%, 11/15/22 5,000 5,325
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%, 11/15/24 160,000 162,800
Standard Industries, Inc./NJ 144A sr. unsec. notes 5.125%, 2/15/21 15,000 15,600
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6.375%, 6/1/21 180,000 179,100
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5.25%, 4/15/21 35,000 35,788
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/1/24 45,000 45,225
Tempur Sealy International, Inc. company guaranty sr. unsec. unsub. bonds 5.50%, 6/15/26 55,000 54,725
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/1/23 20,000 18,900
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 125,000 121,900
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4.50%, 3/1/21 30,000 30,675
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 105,000 99,488
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 105,000 105,000
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 95,000 91,200
9,340,200
Consumer staples (2.0%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 6.00%, 4/1/22 (Canada) 230,000 239,775
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 45,000 45,788
Ashtead Capital, Inc. 144A company guaranty notes 5.625%, 10/1/24 200,000 208,500
BlueLine Rental Finance Corp. 144A notes 7.00%, 2/1/19 85,000 81,600
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 180,000 180,450
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21 275,000 281,875
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6.00%, 5/1/22 115,000 130,813
Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 90,000 93,600
JBS USA Lux SA/JBS USA Finance, Inc. 144A sr. unsec. notes 8.25%, 2/1/20 (Brazil) 40,000 41,100
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 90,900
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 90,900
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 75,000 74,625
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 50,000 49,781
Landry's, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 65,000 65,000
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5.75%, 3/15/25 55,000 54,863
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5.375%, 12/15/21 90,000 92,700
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 6.25%, 8/1/24 50,000 49,375
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5.75%, 2/15/21 165,000 163,969
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 150,000 160,335
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9.75%, 2/1/19(PIK) 26,575 17,274
WhiteWave Foods Co. (The) company guaranty sr. unsec. notes 5.375%, 10/1/22 130,000 143,325
2,356,548
Energy (5.2%)
Anadarko Petroleum Corp. sr. unsec. unsub. notes 5.55%, 3/15/26 60,000 65,845
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 50,000 50,938
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 65,000 65,975
Antero Resources Finance Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 90,000 92,363
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.625%, 6/1/24 (Canada) 85,000 71,188
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 6/1/21 (Canada) 15,000 12,544
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 210,000 168,000
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 9/15/20 30,000 31,050
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 145,000 153,411
Cenovus Energy, Inc. sr. unsec. bonds 4.45%, 9/15/42 (Canada) 55,000 45,384
Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22 178,000 184,230
Concho Resources, Inc. company guaranty sr. unsec. notes 5.50%, 4/1/23 180,000 185,400
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/22 50,000 51,375
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 75,000 69,375
Continental Resources, Inc. company guaranty sr. unsec. sub. notes 5.00%, 9/15/22 150,000 149,625
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 80,000 77,800
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 85,000 71,400
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 122,000 126,575
Devon Financing Company, LLC company guaranty sr. unsec. unsub. bonds 7.875%, 9/30/31 130,000 158,517
Diamondback Energy, Inc. 144A company guaranty sr. unsec. notes 4.75%, 11/1/24 45,000 45,056
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 290,000 242,875
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 8.00%, 11/29/24 60,000 61,800
Halcon Resources Corp. 144A company guaranty notes 8.625%, 2/1/20 130,000 132,600
Hess Corp. sr. unsec. unsub. notes 7.30%, 8/15/31 65,000 71,505
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 145,000 150,800
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7.375%, 5/1/22 185,000 192,400
Laredo Petroleum, Inc. company guaranty sr. unsec. sub. notes 5.625%, 1/15/22 35,000 34,913
Marathon Oil Corp. sr. unsec. unsub. notes 3.85%, 6/1/25 45,000 41,861
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 45,000 39,263
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.50%, 3/15/21 (Canada) 75,000 67,500
Murphy Oil Corp. sr. unsec. unsub. notes 6.875%, 8/15/24 115,000 121,038
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 210,000 217,875
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 65,000 65,975
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 50,000 51,250
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 205,000 211,150
Precision Drilling Corp. company guaranty sr. unsec. notes 5.25%, 11/15/24 (Canada) 5,000 4,450
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.75%, 12/15/23 (Canada) 40,000 40,600
Range Resources Corp. 144A company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 180,000 181,800
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 11/15/23 50,000 47,500
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 7/15/22 45,000 43,200
Sabine Pass Liquefaction, LLC sr. notes 5.625%, 4/15/23 230,000 240,350
Sabine Pass Liquefaction, LLC 144A sr. bonds 5.00%, 3/15/27 80,000 79,000
Sabine Pass Liquefaction, LLC 144A sr. notes 5.875%, 6/30/26 125,000 132,031
Samson Investment Co. company guaranty sr. unsec. notes 9.75%, 2/15/20 (In default)(NON) 245,000 13,934
SandRidge Energy, Inc. company guaranty notes 8.75%, 6/1/20(F) 105,000 210
Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6.75%, 5/1/23 (Canada) 65,000 68,331
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8.25%, 5/15/20 (Canada) 120,000 127,200
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 105,000 11
Seventy Seven Operating, LLC escrow company guaranty sr. unsec. unsub. notes 6.625%, 11/15/19(F) 115,000 12
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 100,000 101,250
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 65,000 61,263
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 60,000 61,650
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 50,000 50,625
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 95,000 95,238
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. bonds 5.375%, 2/1/27 65,000 64,188
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 5.125%, 2/1/25 30,000 29,606
Tervita Corp. 144A sr. unsec. notes 10.875%, 2/15/18 (Canada) (In default)(NON) 30,000 450
Tesoro Logistics LP/Tesoro Logistics Finance Corp. company guaranty sr. unsec. notes 5.25%, 1/15/25 35,000 35,438
Triangle USA Petroleum Corp. 144A company guaranty sr. unsec. notes 6.75%, 7/15/22 (In default)(NON) 55,000 13,475
Unit Corp. company guaranty sr. unsec. sub. notes 6.625%, 5/15/21 30,000 27,300
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5.75%, 3/15/21 20,000 19,700
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5.00%, 3/15/19 95,000 93,813
Williams Cos., Inc. (The) sr. unsec. unsub. notes 8.75%, 3/15/32 45,000 52,650
Williams Cos., Inc. (The) sr. unsec. unsub. notes 7.875%, 9/1/21 71,000 81,118
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6.125%, 7/15/22 35,000 35,916
Williams Partners LP/ACMP Finance Corp. sr. unsec. sub. notes 4.875%, 3/15/24 60,000 60,480
Williams Partners LP/ACMP Finance Corp. sr. unsec. unsub. notes 4.875%, 5/15/23 195,000 196,950
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 30,000 33,075
WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20 130,000 137,150
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 150,000 153,704
5,962,524
Financials (4.5%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 105,000 100,013
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 175,000 198,625
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.00%, 3/15/20 60,000 66,900
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 9/15/20 50,000 55,313
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 12/1/17 90,000 93,263
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 120,000 118,800
Ally Financial, Inc. unsec. sub. notes 8.00%, 12/31/18 65,000 70,688
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 100,000 128,250
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 55,000 55,000
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 50,000 52,035
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 50,000 51,656
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 3/15/23 75,000 77,461
CIT Group, Inc. sr. unsec. notes 3.875%, 2/19/19 45,000 45,788
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 65,000 67,113
CIT Group, Inc. sr. unsec. unsub. notes 5.375%, 5/15/20 80,000 84,600
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 100,000 104,125
CIT Group, Inc. 144A sr. unsec. notes 5.50%, 2/15/19 185,000 195,291
Citigroup, Inc. jr. unsec. unsub. FRN Ser. T, 6.25%, perpetual maturity 25,000 25,688
CNG Holdings, Inc./OH 144A sr. notes 9.375%, 5/15/20 125,000 99,688
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 155,000 154,806
Credit Acceptance Corp. company guaranty sr. unsec. notes 7.375%, 3/15/23 50,000 51,125
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 110,000 110,825
DFC Finance Corp. 144A company guaranty sr. notes 10.50%, 6/15/20 85,000 51,850
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 110,000 127,809
E*Trade Financial Corp. sr. unsec. unsub. notes 5.375%, 11/15/22 90,000 95,379
E*Trade Financial Corp. sr. unsec. unsub. notes 4.625%, 9/15/23 105,000 105,788
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 60,000 58,050
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8.125%, 7/15/19(PIK) 70,000 69,300
HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21 155,000 158,294
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 215,000 214,039
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 95,000 91,438
International Lease Finance Corp. sr. unsec. unsub. notes 6.25%, 5/15/19 80,000 85,900
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 60,000 65,475
iStar, Inc. sr. unsec. notes 5.00%, 7/1/19(R) 5,000 4,913
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.80%, 3/15/37 75,000 84,000
Lloyds Banking Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) 249,000 253,980
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. 144A company guaranty sr. unsec. notes 5.625%, 5/1/24 45,000 47,138
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6.375%, 3/1/24(R) 50,000 51,250
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 7.875%, 10/1/20 100,000 102,250
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 130,000 130,325
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5.875%, 3/15/22 110,000 114,125
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. sub. notes 6.75%, 12/15/19 55,000 55,963
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7.25%, 12/15/21 65,000 65,000
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6.75%, 6/15/21 170,000 171,275
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648%, perpetual maturity (United Kingdom) 265,000 303,756
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 8.25%, 12/15/20 40,000 41,650
Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 40,000 39,350
Stearns Holdings, Inc. 144A company guaranty sr. notes 9.375%, 8/15/20 90,000 89,213
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8.50%, 9/15/18 170,000 139,400
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 100,000 101,375
USI, Inc./NY 144A sr. unsec. notes 7.75%, 1/15/21 125,000 126,875
Wayne Merger Sub, LLC 144A sr. unsec. notes 8.25%, 8/1/23 120,000 121,500
5,173,713
Health care (3.6%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 6.125%, 3/15/21 155,000 160,038
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 5.125%, 7/1/22 75,000 72,563
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7.875%, 9/1/23 210,000 199,500
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 110,000 111,771
Centene Corp. sr. unsec. unsub. notes 5.625%, 2/15/21 35,000 36,050
Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25 25,000 23,938
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 110,000 108,350
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 205,000 136,709
Concordia International Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/23 (Canada) 175,000 66,500
Concordia International Corp. 144A sr. notes 9.00%, 4/1/22 (Canada) 20,000 18,400
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6.625%, 5/15/22 165,000 137,775
DPx Holdings BV 144A sr. unsec. sub. notes 7.50%, 2/1/22 (Netherlands) 135,000 141,750
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 100,000 87,250
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) 210,000 186,900
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 10/15/22 125,000 127,813
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 100,000 100,108
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 275,000 299,063
HCA, Inc. company guaranty sr. sub. notes 3.75%, 3/15/19 65,000 66,300
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 30,000 33,375
HCA, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 2/1/25 35,000 34,256
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 135,000 139,061
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sr. notes 7.875%, 2/15/21 45,000 47,475
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 125,000 107,500
MEDNAX, Inc. 144A company guaranty sr. unsec. unsub. notes 5.25%, 12/1/23 45,000 45,675
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 75,000 75,094
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95%, 4/1/24(R) 85,000 86,169
Service Corp. International/US sr. unsec. notes 5.375%, 1/15/22 110,000 113,850
Service Corp. International/US sr. unsec. unsub. notes 5.375%, 5/15/24 255,000 265,226
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 110,000 110,550
Tenet Healthcare Corp. company guaranty sr. bonds 4.375%, 10/1/21 60,000 57,150
Tenet Healthcare Corp. company guaranty sr. FRN 4.35%, 6/15/20 110,000 110,000
Tenet Healthcare Corp. company guaranty sr. notes 6.25%, 11/1/18 225,000 234,563
Tenet Healthcare Corp. company guaranty sr. notes 4.75%, 6/1/20 25,000 24,719
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 140,000 142,625
Tenet Healthcare Corp. 144A company guaranty notes 7.50%, 1/1/22 35,000 35,984
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 100,000 74,000
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 225,000 167,625
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.625%, 12/1/21 10,000 7,700
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.50%, 3/1/23 55,000 40,425
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.375%, 3/15/20 105,000 88,200
4,122,000
Technology (2.4%)
Avaya, Inc. 144A company guaranty notes 10.50%, 3/1/21 150,000 67,875
Avaya, Inc. 144A company guaranty sr. notes 7.00%, 4/1/19 300,000 261,375
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 180,000 187,650
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 295,000 322,278
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 130,000 135,597
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. unsec. notes 5.875%, 6/15/21 20,000 21,065
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 165,000 172,735
First Data Corp. 144A notes 5.75%, 1/15/24 120,000 121,500
First Data Corp. 144A sr. notes 5.375%, 8/15/23 105,000 108,675
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 140,000 140,000
Infor Software Parent LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 225,000 225,563
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 155,000 159,263
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 60,000 62,850
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 47,363
Micron Technology, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 2/15/22 105,000 108,675
Micron Technology, Inc. 144A sr. notes 7.50%, 9/15/23 60,000 66,300
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 170,000 170,425
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 155,000 171,275
Zebra Technologies Corp. sr. unsec. unsub. bonds 7.25%, 10/15/22 145,000 156,794
2,818,558
Transportation (0.3%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 135,000 128,250
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 250,000 256,250
384,500
Utilities and power (2.1%)
AES Corp./Virginia (The) sr. unsec. notes 8.00%, 6/1/20 45,000 52,425
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 270,000 263,925
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 45,000 43,875
AES Corp./Virginia (The) sr. unsec. unsub. notes 7.375%, 7/1/21 145,000 160,588
Boardwalk Pipelines LP company guaranty sr. unsec. unsub. bonds 5.95%, 6/1/26 55,000 58,369
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 225,000 214,875
Calpine Corp. 144A company guaranty sr. notes 6.00%, 1/15/22 30,000 31,275
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 25,000 26,094
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 95,000 101,289
Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22 10,000 9,500
Dynegy, Inc. company guaranty sr. unsec. notes 6.75%, 11/1/19 180,000 181,800
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 125,000 115,000
El Paso Natural Gas Co., LLC company guaranty sr. unsec. notes 8.625%, 1/15/22 40,000 48,518
Energy Transfer Equity LP company guaranty sr. notes 7.50%, 10/15/20 107,000 119,573
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 45,000 46,125
GenOn Americas Generation, LLC sr. unsec. notes 9.125%, 5/1/31 100,000 81,000
GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 95,000 63,175
Hiland Partners Holdings, LLC/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. sub. notes 5.50%, 5/15/22 30,000 31,050
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 7.875%, 5/15/21 75,000 77,813
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 6.625%, 1/15/27 120,000 111,000
NRG Energy, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/26 85,000 83,088
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 55,000 58,188
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5.875%, 3/1/22 140,000 154,786
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5.50%, 4/15/23 75,000 77,537
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4.50%, 11/1/23 80,000 80,863
Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22 130,000 130,650
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. company guaranty sr. notes 11.50%, 10/1/20 60,000 600
2,422,981
Total corporate bonds and notes (cost $48,620,092) $48,400,951

CONVERTIBLE BONDS AND NOTES (30.1%)(a)
Principal amount Value
Basic materials (0.2%)
Cemex SAB de CV cv. unsec. sub. notes 3.75%, 3/15/18 (Mexico) $220,000 $245,163
245,163
Capital goods (0.5%)
Dycom Industries, Inc. cv. sr. unsec. notes 0.75%, 9/15/21 535,000 559,744
559,744
Communication services (2.3%)
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A cv. company guaranty sr. unsec. notes 8.25%, 12/1/40 199,000 207,955
DISH Network Corp. 144A cv. sr. unsec. bonds 3.375%, 8/15/26 2,230,000 2,492,025
Powerwave Technologies, Inc. cv. unsec. sub. notes 3.875%, 10/1/27 (In default)(F)(NON) 1,160,000 116
2,700,096
Communications equipment (0.8%)
Ciena Corp. cv. sr. unsec. notes 4.00%, 12/15/20 618,000 816,146
Novatel Wireless, Inc. cv. sr. unsec. unsub. notes 5.50%, 6/15/20 169,000 153,473
969,619
Computers (0.9%)
Avid Technology, Inc. cv. sr. unsec. notes 2.00%, 6/15/20 274,000 183,751
Citrix Systems, Inc. cv. sr. unsec. notes 0.50%, 4/15/19 435,000 491,550
Verint Systems, Inc. cv. sr. unsec. notes 1.50%, 6/1/21 410,000 391,550
1,066,851
Consumer cyclicals (6.0%)
CalAtlantic Group, Inc. cv. company guaranty sr. unsec. unsub. notes 1.625%, 5/15/18 480,000 569,700
CalAtlantic Group, Inc. cv. company guaranty sr. unsec. unsub. notes 1.25%, 8/1/32 365,000 379,144
Euronet Worldwide, Inc. cv. sr. unsec. bonds 1.50%, 10/1/44 535,000 617,256
Liberty Interactive, LLC cv. sr. unsec. notes 3.50%, 1/15/31 890,000 477,263
Liberty Interactive, LLC 144A cv. sr. unsec. bonds 1.75%, 9/30/46 790,000 834,438
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.25%, 9/30/46 549,000 568,215
Macquarie Infrastructure Corp. cv. sr. unsec. unsub. notes 2.00%, 10/1/23 942,000 942,589
Navistar International Corp. cv. sr. unsec. sub. bonds 4.75%, 4/15/19 644,000 617,838
Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes 1.00%, 3/15/18 570,000 918,769
Tesla Motors, Inc. cv. sr. unsec. sub. notes 1.25%, 3/1/21 1,170,000 981,338
6,906,550
Consumer staples (0.6%)
Vector Group, Ltd. cv. sr. unsec. sub. notes 1.75%, 4/15/20 610,000 684,725
684,725
Electronics (4.3%)
Microchip Technology, Inc. cv. sr. unsec. sub. bonds 1.625%, 2/15/25 1,265,000 1,677,706
Micron Technology, Inc. cv. sr. unsec. bonds 3.00%, 11/15/43 890,000 816,019
Micron Technology, Inc. cv. sr. unsec. bonds Ser. E, 1.625%, 2/15/33 765,000 1,393,734
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.00%, 12/1/20 515,000 514,356
TTM Technologies, Inc. cv. sr. unsec. notes 1.75%, 12/15/20 398,000 604,711
5,006,526
Energy (2.3%)
Chesapeake Energy Corp. 144A cv. sr. unsec. bonds 5.50%, 9/15/26 585,000 618,638
Energy XXI, Ltd. cv. sr. unsec. bonds 3.00%, 12/15/18 (acquired various dates from 11/19/13 to 1/24/14, cost $446,469) (In default)(NON)(RES) 451,000 2,255
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 276,000 381,225
SandRidge Energy, Inc. cv. company guaranty sr. unsec. sub. notes zero %, 10/4/20 23,719 28,863
SEACOR Holdings, Inc. cv. sr. unsec. bonds 3.00%, 11/15/28 621,000 525,521
Stone Energy Corp. cv. company guaranty sr. unsec. sub. notes 1.75%, 3/1/17 (In default)(NON) 840,000 511,350
Trico Marine Services, Inc. cv. sr. unsec. notes 3.00%, 1/15/27 (In default)(F)(NON) 500,000 13,750
Whiting Petroleum Corp. cv. company guaranty sr. unsec. unsub. notes 1.25%, 4/1/20 640,000 559,600
2,641,202
Financials (2.8%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. unsub. notes 5.25%, 12/1/18(R) 631,000 701,199
Radian Group, Inc. cv. sr. unsec. notes 2.25%, 3/1/19 370,000 502,969
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4.00%, 1/15/19(R) 1,051,000 1,180,404
TCP Capital Corp. cv. sr. unsec. bonds 5.25%, 12/15/19 827,000 861,114
3,245,686
Health care (3.8%)
Brookdale Senior Living, Inc. cv. sr. unsec. unsub. notes 2.75%, 6/15/18 720,000 697,050
China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4.00%, 8/15/17 (China) (In default)(F)(NON) 763,000 61,040
China Medical Technologies, Inc. 144A cv. sr. unsec. notes 6.25%, 12/15/17 (China) (In default)(F)(NON) 445,000 31,150
HealthSouth Corp. cv. sr. unsec. sub. notes 2.00%, 12/1/43 709,000 842,381
Hologic, Inc. cv. sr. unsec. unsub. notes stepped-coupon 2.00% (zero %, 3/1/18) 3/1/42(STP) 880,000 1,163,800
Impax Laboratories, Inc. cv. sr. unsec. notes 2.00%, 6/15/22 365,000 291,544
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. bonds 1.875%, 8/15/21 (Ireland) 951,000 909,988
Medidata Solutions, Inc. cv. sr. unsec. notes 1.00%, 8/1/18 370,000 425,038
4,421,991
Semiconductor (1.4%)
Jazz US Holdings, Inc. cv. company guaranty sr. unsec. notes 8.00%, 12/31/18 223,000 408,369
Novellus Systems, Inc. cv. company guaranty sr. unsec. notes 2.625%, 5/15/41 370,000 1,150,469
1,558,838
Software (0.9%)
Safeguard Scientifics, Inc. cv. sr. unsec. bonds 5.25%, 5/15/18 970,000 972,425
972,425
Technology services (2.3%)
j2 Global, Inc. cv. sr. unsec. notes 3.25%, 6/15/29 570,000 701,813
salesforce.com, Inc. cv. sr. unsec. unsub. notes 0.25%, 4/1/18 405,000 482,203
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 405,000 374,878
Yahoo!, Inc. cv. sr. unsec. bonds zero %, 12/1/18 1,060,000 1,068,613
2,627,507
Transportation (1.0%)
Atlas Air Worldwide Holdings, Inc. cv. sr. unsec. bonds 2.25%, 6/1/22 319,000 318,402
Echo Global Logistics, Inc. cv. sr. unsec. notes 2.50%, 5/1/20 385,000 375,134
Scorpio Tankers, Inc. 144A cv. sr. unsec. sub. notes 2.375%, 7/1/19 612,000 473,918
1,167,454
Total convertible bonds and notes (cost $35,750,392) $34,774,377

CONVERTIBLE PREFERRED STOCKS (17.8%)(a)
Shares Value
Basic materials (—%)
Smurfit-Stone Container Corp. escrow zero % cv. pfd.(F) 65,720 $657
657
Capital goods (1.1%)
Arconic, Inc. $2.688 cv. pfd.(NON) 20,158 638,001
Belden, Inc. $6.75 cv. pfd. 6,351 673,270
1,311,271
Communication services (3.5%)
American Tower Corp. $5.50 cv. pfd.(R) 12,285 1,248,463
Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. 21,872 1,077,196
T-Mobile US, Inc. Ser. A, $2.75 cv. pfd. 19,014 1,694,146
4,019,805
Consumer cyclicals (1.7%)
FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. pfd.(R) 37,550 903,547
Fiat Chrysler Automobiles NV Ser. FCAU, $7.875 cv. pfd. (Italy) 15,943 1,039,005
1,942,552
Consumer staples (0.9%)
Tyson Foods, Inc. $2.375 cv. pfd. 16,257 1,019,314
1,019,314
Energy (0.9%)
Hess Corp. $2.00 cv. pfd. 11,340 760,574
Southwestern Energy Co. Ser. B, $3.125 cv. pfd. 11,845 323,605
1,084,179
Financials (5.6%)
Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd.(R) 22,100 772,119
AMG Capital Trust II $2.575 cv. pfd. 14,140 764,444
Banc of California, Inc. $4.00 cv. pfd. 8,217 573,300
Bank of America Corp. Ser. L, 7.25% cv. pfd. 773 898,613
EPR Properties Ser. C, $1.438 cv. pfd.(R) 37,670 1,059,469
iStar, Inc. $2.25 cv. pfd.(R) 7,445 396,446
Mandatory Exchangeable Trust 144A $5.75 cv. pfd. 3,671 423,854
Wells Fargo & Co. Ser. L, 7.50% cv. pfd. 790 949,975
Welltower, Inc. Ser. I, $3.25 cv. pfd.(R) 12,177 711,593
6,549,813
Health care (1.8%)
Allergan PLC Ser. A, 5.50% cv. pfd. 1,900 1,362,300
Anthem, Inc. $2.63 cv. pfd. 12,115 566,134
Teva Pharmaceutical Industries, Ltd. 7.00% cv. pfd. (Israel) 172 113,503
2,041,937
Utilities and power (2.3%)
DTE Energy Co. $3.25 cv. pfd.(NON) 14,790 754,290
Dynegy, Inc. $7.00 cv. pfd. 3,046 197,503
El Paso Energy Capital Trust I $2.375 cv. pfd. 1,069 53,751
Exelon Corp. $3.25 cv. pfd. 18,828 867,406
NextEra Energy, Inc. $3.06 cv. pfd. 16,310 766,570
2,639,520
Total convertible preferred stocks (cost $19,978,541) $20,609,048

COMMON STOCKS (3.0%)(a)
Shares Value
ACC Claims Holding, LLC Class A (Units)(F) 199,505 $1,197
Ally Financial, Inc. 5,435 105,548
Berry Plastics Group, Inc.(NON) 1,155 57,484
Boise Cascade Co.(NON) 3,297 75,172
CIT Group, Inc. 1,606 65,605
Eldorado Resorts, Inc.(NON) 4,445 61,119
Gaming and Leisure Properties, Inc.(R) 2,520 76,885
General Motors Co. 1,650 56,975
Halcon Resources Corp.(NON) 5,898 56,090
Live Nation Entertainment, Inc.(NON) 1,865 51,623
Milagro Oil & Gas, Inc. (Units)(F) 39 24,603
NVIDIA Corp. 23,735 2,188,367
Penn National Gaming, Inc.(NON) 6,025 80,012
Prairie Provident Resources, Inc. (Canada)(NON) 1,316 735
Rite Aid Corp.(NON) 7,265 57,829
SandRidge Energy, Inc.(NON) 1,006 23,037
Service Corp. International/US 3,110 83,939
Seventy Seven Energy, Inc.(NON) 3,306 80,534
Vistra Energy Corp.(NON) 1,027 14,327
Xilinx, Inc. 5,880 317,402
Total common stocks (cost $2,772,859) $3,478,483

SENIOR LOANS (0.2%)(a)(c)
Principal amount Value
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11.25%, 3/1/17 (In default)(NON) $121,050 $133,155
Jeld-Wen, Inc. bank term loan FRN Ser. B, 4.75%, 7/1/22 44,550 44,884
Total senior loans (cost $164,534) $178,039

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Halcon Resources Corp. 9/9/20 $14.04 1,601 $3,986
Seventy Seven Energy, Inc. 8/1/21 23.82 905 6,335
Total warrants (cost $3,620) $10,321

SHORT-TERM INVESTMENTS (6.7%)(a)
Shares Value
Putnam Short Term Investment Fund 0.51%(AFF) 7,717,110 $7,717,110
Total short-term investments (cost $7,717,110) $7,717,110

TOTAL INVESTMENTS
Total investments (cost $115,007,148)(b) $115,168,329













FORWARD CURRENCY CONTRACTS at 11/30/16 (aggregate face value $181,388) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Canadian Dollar Buy 1/18/17 $223 $228 $(5)
Canadian Dollar Sell 1/18/17 223 225 2
Citibank, N.A.
Canadian Dollar Buy 1/18/17 75 76 (1)
JPMorgan Chase Bank N.A.
Canadian Dollar Buy 1/18/17 149 154 (5)
State Street Bank and Trust Co.
Canadian Dollar Sell 1/18/17 127,370 130,322 2,952
WestPac Banking Corp.
Canadian Dollar Sell 1/18/17 49,235 50,383 1,148
Total $4,091












Key to holding's currency abbreviations
CAD Canadian Dollar
USD / $ United States Dollar
Key to holding's abbreviations
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 November 30, 2016 (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 $115,630,374.
(b) The aggregate identified cost on a tax basis is $115,794,819, resulting in gross unrealized appreciation and depreciation of $7,458,399 and $8,084,889, respectively, or net unrealized depreciation of $626,490.
(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 $2,255, or less than 0.1% of net assets.
(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 $8,648,919 $5,084,471 $8,299 $7,717,110
Totals $4,152,662 $8,648,919 $5,084,471 $8,299 $7,717,110
**** 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.
At the close of the reporting period, the fund maintained liquid assets totaling $9 to cover certain derivative contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The 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 had a net liability position of $9 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund at period end for these 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*:
    Basic materials $75,172 $— $—
    Capital goods 57,484 — —
    Communication services — — 1,197
    Consumer cyclicals 249,729 — —
    Consumer staples 57,829 — —
    Energy 160,396 — 24,603
    Financials 248,038 — —
    Health care 83,939 — —
    Technology 2,505,769 — —
    Utilities and power 14,327 — —
Total common stocks 3,452,683 — 25,800
Convertible bonds and notes — 34,668,321 106,056
Convertible preferred stocks 2,488,750 18,119,641 657
Corporate bonds and notes — 48,400,718 233
Senior loans — 178,039 —
Warrants 3,986 6,335 —
Short-term investments 7,717,110 — —
Totals by level $13,662,529 $101,373,054 $132,746



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $4,091 $—
Totals by level $— $4,091 $—


* 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 $4,102 $11
Equity contracts 10,321 —
Total $14,423 $11


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)$290,000
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 "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
   
      Bank of America N.A. Citibank, N.A. JPMorgan Chase Bank N.A. State Street Bank and Trust Co. WestPac Banking Corp.   Total
                   
  Assets:                
  Forward currency contracts#   $2  $—  $—  $2,952  $1,148    $4,102 
  Total Assets   $2  $—  $—  $2,952  $1,148    $4,102 
                   
  Liabilities:                
  Forward currency contracts#   $5  $1  $5  $—  $—    $11 
  Total Liabilities   $5  $1  $5  $—  $—    $11 
                   
  Total Financial and Derivative Net Assets   $(3) $(1) $(5) $2,952  $1,148    $4,091 
  Total collateral received (pledged)##†   $—  $—  $—  $—  $—     
  Net amount   $(3) $(1) $(5) $2,952  $1,148     
                   
                   
†  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 26, 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: January 26, 2017

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: January 26, 2017