N-Q 1 a_highyield.htm PUTNAM HIGH YIELD TRUST a_highyield.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- 02796)   
 
Exact name of registrant as specified in charter:  Putnam High Yield Trust 
 
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109 
Name and address of agent for service:  Beth S. Mazor, Vice President 
  One Post Office Square 
  Boston, Massachusetts 02109 
 
Copy to:  John W. Gerstmayr, Esq. 
  Ropes & Gray LLP 
  One International Place 
  Boston, Massachusetts 02110 
 
Registrant’s telephone number, including area code:  (617) 292-1000 
Date of fiscal year end: August 31, 2010   
Date of reporting period: May 31, 2010   

 

Item 1. Schedule of Investments:


Putnam High Yield Trust       
 
The fund's portfolio       
5/31/10 (Unaudited)       
 
CORPORATE BONDS AND NOTES (84.5%)(a)       
    Principal amount  Value 
 
Advertising and marketing services (0.1%)       
Lamar Media Corp. 144A sr. sub. notes 7 7/8s, 2018    $855,000  $842,175 
      842,175 
 
Automotive (2.8%)       
Affinia Group, Inc. 144A sr. notes 10 3/4s, 2016    1,950,000  2,096,250 
Allison Transmission, Inc. 144A company guaranty sr.       
unsec. notes 11 1/4s, 2015 (PIK)    6,663,000  6,996,150 
American Axle & Manufacturing, Inc. company guaranty       
sr. unsec. notes 5 1/4s, 2014    3,610,000  3,050,450 
Dana Corp. escrow sr. notes 5.85s, 2015 (acquired       
4/24/08, cost $3,671) (In default) (F)(NON)(RES)    5,483,000  5 
Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011    202,000  210,080 
Ford Motor Credit Co., LLC sr. unsec. notes 8 1/8s,       
2020    4,490,000  4,467,550 
Ford Motor Credit Co., LLC sr. unsec. unsub. notes       
7 1/2s, 2012    2,275,000  2,314,838 
General Motors Corp. sr. unsec. notes 8 1/4s, 2023       
(In default) (NON)    4,870,000  1,521,875 
General Motors Corp. sr. unsec. unsub. notes 8 3/8s,       
2033 (In default) (NON)    4,765,000  1,548,625 
Lear Corp. company guaranty sr. unsec. bond 7 7/8s,       
2018    565,000  550,875 
Lear Corp. company guaranty sr. unsec. notes 8 1/8s,       
2020    3,740,000  3,655,850 
Navistar International Corp. sr. notes 8 1/4s, 2021    4,165,000  4,175,413 
TRW Automotive, Inc. company guaranty sr. unsec.       
unsub. notes Ser. REGS, 6 3/8s, 2014  EUR  3,040,000  3,606,128 
Visteon Corp. sr. unsec. unsub. notes 7s, 2014    $1,105,000  1,176,825 
Visteon Corp. 144A sr. unsec. notes 12 1/4s, 2016    591,000  691,470 
      36,062,384 
 
Basic materials (8.1%)       
Aleris International, Inc. company guaranty sr. unsec.       
notes 9s, 2014 (In default) (NON)(PIK)    4,534,000  23,804 
AMH Holdings, Inc. sr. disc. unsec. notes 11 1/4s, 2014    1,140,000  1,134,300 
Associated Materials, LLC/Associated Materials       
Finance, Inc. company guaranty sr. notes 9 7/8s, 2016    3,140,000  3,375,500 
Builders FirstSource, Inc. 144A company guaranty sr.       
notes FRN 13s, 2016    2,685,000  2,738,700 
Catalyst Paper Corp. company guaranty sr. unsec.       
unsub. notes 7 3/8s, 2014 (Canada)    581,000  289,048 
Clondalkin Acquisition BV 144A company guaranty sr.       
notes FRN 2.257s, 2013 (Netherlands)    3,107,000  2,932,231 
Compass Minerals International, Inc. 144A sr. notes       
8s, 2019    3,295,000  3,426,800 
FMG Finance Pty Ltd. 144A sr. sec. notes 10 5/8s, 2016       
(Australia)    4,430,000  4,873,000 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes       
8 3/8s, 2017    8,941,000  9,700,985 
Georgia-Pacific, LLC 144A company guaranty sr. unsec.       
notes 7s, 2015    2,630,000  2,630,000 
HeidelbergCement AG company guaranty sr. unsec. unsub.       
notes 8s, 2017 (Germany)  EUR  755,000  896,984 
HeidelbergCement AG company guaranty unsec. unsub.       
notes 8 1/2s, 2019 (Germany)  EUR  505,000  596,772 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance,       
ULC company guaranty 9 3/4s, 2014    $3,073,000  2,934,715 
Huntsman International, LLC 144A sr. sub. notes       
8 5/8s, 2020    1,270,000  1,196,975 
Ineos Finance PLC 144A company guaranty sr. notes 9s,       
2015 (United Kingdom)    1,380,000  1,366,200 
Ineos Group Holdings PLC company guaranty sr. notes       
7 7/8s, 2016 (United Kingdom)  EUR  1,215,000  1,048,524 
Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012       
(In default) (NON)    $1,217,000  1,031,408 
LBI Escrow Corp. 144A sr. notes 8s, 2017    6,535,000  6,649,363 
Lyondell Chemical Co. sr. notes 11s, 2018    3,600,000  3,816,000 
Metals USA, Inc. company guaranty sr. unsec. notes       
11 1/8s, 2015    2,128,000  2,165,240 
Momentive Performance Materials, Inc. company guaranty       
sr. unsec. notes 9 3/4s, 2014    4,558,000  4,341,495 
NewPage Corp. company guaranty sr. notes 11 3/8s, 2014    1,680,000  1,570,800 
NewPage Holding Corp. sr. unsec. unsub. notes FRN       
7.527s, 2013 (PIK)    1,791,260  223,908 
Novelis, Inc. company guaranty sr. unsec. notes       
11 1/2s, 2015    1,990,000  2,159,150 
Novelis, Inc. company guaranty sr. unsec. notes       
7 1/4s, 2015    4,589,000  4,301,270 
PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s,       
2014 (Austria)  EUR  875,000  1,164,976 
PE Paper Escrow GmbH 144A sr. notes 12s, 2014 (Austria)    $3,425,000  3,750,375 
Rohm & Haas Co. sr. unsec. unsub. notes 7.85s, 2029    2,957,000  3,212,763 
Smurfit Kappa Acquisition 144A company guaranty sr.       
notes 7 3/4s, 2019 (Ireland)  EUR  735,000  874,840 
Smurfit Kappa Funding PLC sr. unsec. sub. notes       
7 3/4s, 2015 (Ireland)    $4,392,000  4,276,710 

 


Smurfit-Stone Container Corp. sr. notes unsec. unsub.     
notes 8 3/8s, 2012 (In default) (NON)  2,163,000  1,811,513 
Solutia, Inc. company guaranty sr. unsec. notes     
8 3/4s, 2017  865,000  886,625 
Solutia, Inc. company guaranty sr. unsec. notes     
7 7/8s, 2020  1,370,000  1,366,575 
Steel Dynamics, Inc. company guaranty sr. unsec.     
unsub. notes 7 3/8s, 2012  250,000  255,625 
Steel Dynamics, Inc. company guaranty sr. unsec.     
unsub. notes 6 3/4s, 2015  1,340,000  1,293,100 
Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s,     
2016  2,625,000  2,618,438 
Steel Dynamics, Inc. 144A company guaranty sr. unsec.     
notes 7 5/8s, 2020  880,000  871,200 
Teck Resources, Ltd. sr. notes 10 3/4s, 2019 (Canada)  1,615,000  1,946,075 
Teck Resources, Ltd. sr. notes 10 1/4s, 2016 (Canada)  3,935,000  4,623,625 
Teck Resources, Ltd. sr. unsec. notes 6 1/8s, 2035     
(Canada)  1,520,000  1,455,856 
Tube City IMS Corp. company guaranty sr. unsec. sub.     
notes 9 3/4s, 2015  1,100,000  1,089,000 
Verso Paper Holdings, LLC/Verso Paper, Inc. company     
guaranty Ser. B, 11 3/8s, 2016  1,355,000  1,175,463 
Verso Paper Holdings, LLC/Verso Paper, Inc. company     
guaranty sr. sec. notes FRN Ser. B, 4.094s, 2014  2,960,000  2,464,200 
Verso Paper Holdings, LLC/Verso Paper, Inc. 144A sr.     
notes 11 1/2s, 2014  1,960,000  2,092,300 
    102,652,431 
 
Broadcasting (2.3%)     
Belo Corp. sr. unsec. unsub. notes 8s, 2016  695,000  696,738 
Clear Channel Communications, Inc. company guaranty     
unsec. unsub. notes 10 3/4s, 2016  2,240,000  1,657,600 
Clear Channel Communications, Inc. sr. unsec. notes     
5 1/2s, 2014  680,000  379,100 
Clear Channel Worldwide Holdings, Inc. 144A company     
guaranty sr. unsec. unsub. notes Ser. A, 9 1/4s, 2017  1,085,000  1,098,563 
Clear Channel Worldwide Holdings, Inc. 144A company     
guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017  3,600,000  3,663,000 
DIRECTV Holdings, LLC company guaranty sr. unsec.     
notes 6 3/8s, 2015  2,760,000  2,846,250 
DISH DBS Corp. company guaranty sr. unsec. notes     
7 7/8s, 2019  3,050,000  3,080,500 
Echostar DBS Corp. company guaranty 7 1/8s, 2016  2,532,000  2,481,360 
Gray Television, Inc. 144A company guaranty sr. notes     
10 1/2s, 2015  2,435,000  2,301,075 
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc.     
144A sr. notes 8 7/8s, 2017  2,845,000  2,816,550 
Sirius XM Radio, Inc. 144A sr. notes 9 3/4s, 2015  1,315,000  1,393,900 
Umbrella Acquisition, Inc. 144A company guaranty sr.     
unsec. unsub. notes 9 3/4s, 2015 (PIK)  3,920,348  3,327,395 
Univision Communications, Inc. 144A sr. sec. notes     
12s, 2014  635,000  682,625 
XM Satellite Radio, Inc. 144A company guaranty sr.     
unsec. notes 13s, 2013  2,715,000  2,972,925 
Young Broadcasting, Inc. company guaranty sr. sub.     
notes 8 3/4s, 2014 (In default) (NON)  1,025,000  1,281 
Young Broadcasting, Inc. company guaranty sr. unsec.     
sub. notes 10s, 2011 (In default) (NON)  3,903,000  7,806 
    29,406,668 
 
Building materials (1.7%)     
Building Materials Corp. 144A company guaranty sr.     
notes 7 1/2s, 2020  2,135,000  2,081,625 
Building Materials Corp. 144A sr. notes 7s, 2020  2,425,000  2,400,750 
Goodman Global Group, Inc. 144A sr. disc. notes zero     
%, 2014  5,815,000  3,459,925 
Goodman Global, Inc. company guaranty sr. unsec. sub.     
notes 13 1/2s, 2016  1,650,000  1,815,000 
Owens Corning, Inc. company guaranty unsec. unsub.     
notes 9s, 2019  6,815,000  7,922,438 
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. notes     
11s, 2013  3,924,199  4,081,167 
    21,760,905 
 
Cable television (2.1%)     
Adelphia Communications Corp. escrow bonds zero %, 2011  81,000  1,004 
Adelphia Communications Corp. escrow bonds zero %, 2010  4,000  50 
Adelphia Communications Corp. escrow bonds zero %, 2010  4,000  50 
Adelphia Communications Corp. escrow bonds zero %, 2011  2,223,000  27,565 
Adelphia Communications Corp. escrow bonds zero %, 2010  2,906,000  36,034 
Atlantic Broadband Finance, LLC company guaranty     
9 3/8s, 2014  1,781,000  1,798,810 
Cablevision Systems Corp. sr. unsec. unsub. notes 8s,     
2020  755,000  743,675 
Cablevision Systems Corp. sr. unsec. unsub. notes     
7 3/4s, 2018  1,420,000  1,388,050 
Cablevision Systems Corp. 144A sr. notes 8 5/8s, 2017  2,795,000  2,808,975 
CCH II, LLC sr. notes 13 1/2s, 2016  5,538,928  6,348,996 
CCO Holdings LLC/CCO Holdings Capital Corp. 144A     
company guaranty sr. notes 7 7/8s, 2018  1,140,000  1,118,625 
Cequel Communications Holdings I LLC/Cequel Capital     
Corp.Capital Corp. 144A sr. notes 8 5/8s, 2017  4,390,000  4,236,350 
Charter Communications Operating LLC/Charter     
Communications Operating Capital 144A company guaranty     
sr. notes 8s, 2012  2,350,000  2,452,813 
CSC Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2014  117,000  121,680 

 


Mediacom Broadband, LLC/Mediacom Broadband Corp. sr.       
unsec. unsub. notes 8 1/2s, 2015    760,000  754,300 
Mediacom LLC/Mediacom Capital Corp. 144A sr. notes       
9 1/8s, 2019    1,165,000  1,153,350 
NTL Cable PLC sr. notes 9 1/8s, 2016 (United Kingdom)    1,979,000  2,001,264 
Virgin Media Finance PLC company guaranty sr. notes       
8 3/8s, 2019 (United Kingdom)    395,000  395,000 
Virgin Media Finance PLC company guaranty sr. notes       
Ser. 1, 9 1/2s, 2016 (United Kingdom)    1,030,000  1,055,750 
Virgin Media Finance PLC company guaranty sr. unsec.       
unsub. notes 9 1/2s, 2016 (United Kingdom)  EUR  255,000  329,132 
      26,771,473 
 
Capital goods (3.6%)       
ACCO Brands Corp. company guaranty sr. notes 10 5/8s,       
2015    $1,755,000  1,899,788 
Altra Holdings, Inc. 144A sr. notes 8 1/8s, 2016    3,080,000  3,072,300 
BBC Holding Corp. sr. notes 8 7/8s, 2014    3,780,000  3,628,800 
Berry Plastics Corp. 144A sr. notes 9 1/2s, 2018    2,055,000  1,839,225 
Bombardier, Inc. 144A sr. unsec. notes FRN 3.808s,       
2013 (Canada)  EUR  1,000  1,205 
Cleaver-Brooks, Inc. 144A sr. notes 12 1/4s, 2016    $2,455,000  2,473,413 
Kratos Defense & Security Solutions, Inc. 144A sr.       
notes 10s, 2017    2,795,000  2,767,050 
L-3 Communications Corp. company guaranty Ser. B,       
6 3/8s, 2015    1,855,000  1,855,000 
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France)    7,826,000  9,357,102 
Mueller Water Products, Inc. company guaranty sr.       
unsec. notes 7 3/8s, 2017    3,940,000  3,486,900 
Owens-Brockway Glass Container, Inc. company guaranty       
6 3/4s, 2014  EUR  652,000  785,442 
Reddy Ice Corp. 144A sr. notes 11 1/4s, 2015    $2,000,000  2,020,000 
Ryerson Holding Corp. 144A sr. disc. notes zero %, 2015    3,890,000  1,765,088 
Ryerson Tull, Inc. company guaranty sr. sec. notes       
12s, 2015    4,838,000  4,922,665 
TD Funding Corp. 144A company guaranty sr. sub. notes       
7 3/4s, 2014    735,000  735,000 
Tenneco, Inc. company guaranty 8 5/8s, 2014    710,000  702,900 
Thermadyne Holdings Corp. company guaranty sr. unsec.       
sub. notes 11 1/2s, 2014    2,635,000  2,704,169 
Transdigm, Inc. company guaranty sr. unsec. sub. notes       
7 3/4s, 2014    1,591,000  1,587,023 
      45,603,070 
 
Coal (1.6%)       
Arch Western Finance, LLC company guaranty sr. notes       
6 3/4s, 2013    4,520,000  4,463,500 
CONSOL Energy, Inc. 144A company guaranty sr. unsec.       
notes 8 1/4s, 2020    4,745,000  4,845,831 
CONSOL Energy, Inc. 144A company guaranty sr. unsec.       
notes 8s, 2017    2,785,000  2,830,256 
International Coal Group, Inc. sr. notes 9 1/8s, 2018    2,595,000  2,595,000 
Peabody Energy Corp. company guaranty 7 3/8s, 2016    5,441,000  5,645,038 
      20,379,625 
 
Commercial and consumer services (1.4%)       
Aramark Corp. company guaranty 8 1/2s, 2015    3,319,000  3,310,703 
Corrections Corporation of America company guaranty       
sr. notes 7 3/4s, 2017    3,640,000  3,749,200 
Lender Processing Services, Inc. company guaranty sr.       
unsec. unsub. notes 8 1/8s, 2016    1,757,000  1,853,635 
National Money Mart Co. 144A company guaranty sr.       
notes 10 3/8s, 2016 (Canada)    2,165,000  2,197,475 
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s,       
2016    4,315,000  3,969,800 
Travelport LLC company guaranty 11 7/8s, 2016    1,759,000  1,772,193 
Travelport LLC company guaranty 9 7/8s, 2014    1,028,000  1,025,430 
      17,878,436 
 
Consumer (1.1%)       
Jarden Corp. company guaranty sr. sub. notes Ser. 1,       
7 1/2s, 2020  EUR  410,000  529,666 
Jarden Corp. company guaranty sr. unsec. notes 8s, 2016    $1,120,000  1,143,800 
Jarden Corp. company guaranty sr. unsec. sub. notes       
7 1/2s, 2020    590,000  578,200 
Jarden Corp. company guaranty sr. unsec. sub. notes       
7 1/2s, 2017    3,136,000  3,073,280 
Visant Corp. company guaranty sr. unsec. sub. notes       
7 5/8s, 2012    3,982,000  3,981,502 
Yankee Acquisition Corp. company guaranty sr. notes       
Ser. B, 8 1/2s, 2015    4,337,000  4,347,843 
      13,654,291 
 
Consumer staples (5.0%)       
Archibald Candy Corp. company guaranty 10s, 2010 (In       
default) (F)(NON)    774,063  11,954 
Avis Budget Car Rental, LLC company guaranty sr.       
unsec. unsub. notes 7 3/4s, 2016    2,987,000  2,777,910 
Avis Budget Car Rental, LLC company guaranty sr.       
unsec. unsub. notes 7 5/8s, 2014    2,447,000  2,324,650 
Avis Budget Car Rental, LLC 144A company guaranty sr.       
notes 9 5/8s, 2018    585,000  585,000 
Central Garden & Pet Co. sr. sub. notes 8 1/4s, 2018    2,840,000  2,811,600 

 


Chiquita Brands International, Inc. sr. notes 7 1/2s,     
2014  2,424,000  2,351,280 
Chiquita Brands International, Inc. sr. unsec. unsub.     
notes 8 7/8s, 2015  738,000  717,705 
Constellation Brands, Inc. company guaranty sr. unsec.     
unsub. notes 7 1/4s, 2016  3,323,000  3,306,385 
Dean Foods Co. company guaranty 7s, 2016  570,000  523,688 
Dole Food Co. 144A sr. sec. notes 8s, 2016  1,405,000  1,408,513 
Dole Food Co., Inc. sr. notes 13 7/8s, 2014  1,372,000  1,584,660 
Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014  3,418,000  3,375,275 
Games Merger Corp. 144A sr. notes 11s, 2018  3,530,000  3,477,050 
Great Atlantic & Pacific Tea Co. 144A sr. notes     
11 3/8s, 2015  1,762,000  1,621,040 
Hertz Corp. company guaranty 8 7/8s, 2014  4,725,000  4,748,625 
JBS USA LLC/JBS USA Finance, Inc. sr. notes 11 5/8s,     
2014  1,050,000  1,153,005 
Libbey Glass, Inc. 144A sr. notes 10s, 2015  1,180,000  1,224,250 
Pinnacle Foods Finance LLC sr. notes 9 1/4s, 2015  1,450,000  1,446,375 
Pinnacle Foods Finance LLC 144A sr. unsec. notes     
9 1/4s, 2015  1,045,000  1,042,388 
Prestige Brands, Inc. 144A company guaranty sr. unsec.     
notes 8 1/4s, 2018  1,650,000  1,654,125 
Revlon Consumer Products 144A company guaranty sr.     
notes 9 3/4s, 2015  1,720,000  1,750,100 
Rite Aid Corp. company guaranty sr. notes 10 1/4s, 2019  880,000  895,400 
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017  886,000  797,400 
Rite Aid Corp. company guaranty sr. unsec. unsub.     
notes 9 1/2s, 2017  3,472,000  2,786,280 
RSC Equipment Rental, Inc. 144A sr. sec. notes 10s,     
2017  1,695,000  1,824,244 
Smithfield Foods, Inc. sr. unsec. notes 7s, 2011  775,000  782,750 
Smithfield Foods, Inc. sr. unsec. notes Ser. B,     
7 3/4s, 2013  2,640,000  2,574,000 
Smithfield Foods, Inc. 144A sr. sec. notes 10s, 2014  1,660,000  1,777,238 
Spectrum Brands, Inc. sr. unsec. sub. bonds 12s, 2019     
(PIK)  1,854,087  1,965,332 
Supervalu, Inc. sr. unsec. notes 8s, 2016  1,865,000  1,837,025 
Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014  2,508,000  2,946,900 
Wendy's/Arby's Restaurants LLC company guaranty sr.     
unsec. unsub. notes 10s, 2016  4,985,000  5,147,013 
    63,229,160 
 
 
Energy (oil field) (2.5%)     
Complete Production Services, Inc. company guaranty     
8s, 2016  2,055,000  2,024,175 
Expro Finance Luxemburg 144A sr. notes 8 1/2s, 2016     
(Luxembourg)  2,630,000  2,551,100 
Helix Energy Solutions Group, Inc. 144A sr. unsec.     
notes 9 1/2s, 2016  6,787,000  6,651,260 
Hercules Offshore, Inc. 144A sr. notes 10 1/2s, 2017  1,350,000  1,255,500 
Key Energy Services, Inc. company guaranty sr. unsec.     
unsub. notes 8 3/8s, 2014  4,200,000  4,179,000 
Offshore Logistics, Inc. company guaranty 6 1/8s, 2013  3,652,000  3,542,440 
Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011  1,523,597  1,538,220 
Pride International, Inc. sr. unsec. notes 7 3/8s, 2014  2,793,000  2,848,860 
Stallion Oilfield Holdings Ltd. 144A sr. notes     
10 1/2s, 2015  2,960,000  2,819,400 
Thermon Industries, Inc. 144A company guaranty sr.     
notes 9 1/2s, 2017  2,790,000  2,762,100 
Trico Shipping AS 144A sr. notes 11 7/8s, 2014 (Norway)  1,735,000  1,617,888 
    31,789,943 
 
Entertainment (0.5%)     
Cinemark, Inc. company guaranty sr. unsec. notes     
8 5/8s, 2019  1,125,000  1,136,250 
Marquee Holdings, Inc. sr. disc. notes 9.505s, 2014  4,678,000  3,812,570 
Universal City Development Partners, Ltd. 144A sr.     
notes 8 7/8s, 2015  1,075,000  1,064,250 
Universal City Development Partners, Ltd. 144A sr.     
sub. notes 10 7/8s, 2016  715,000  722,150 
    6,735,220 
 
Financials (7.2%)     
American General Finance Corp. sr. unsec. notes Ser.     
MTN, 6.9s, 2017  5,670,000  4,507,650 
American General Finance Corp. sr. unsec. notes Ser.     
MTNI, Class I, 4 7/8s, 2012  3,035,000  2,731,500 
American General Finance Corp. sr. unsec. notes, MTN     
Ser. J, 5 5/8s, 2011  906,000  869,760 
BAC Capital Trust VI bank guaranty jr. unsec. sub.     
notes 5 5/8s, 2035  1,820,000  1,467,612 
BAC Capital Trust XI bank guaranty jr. unsec. sub.     
notes 6 5/8s, 2036  1,695,000  1,463,580 
BankAmerica Capital II bank guaranty jr. unsec. sub.     
notes 8s, 2026  695,000  674,150 
CB Richard Ellis Services, Inc. company guaranty sr.     
unsec. sub. notes 11 5/8s, 2017  1,525,000  1,700,375 
CIT Group, Inc. sr. bond 7s, 2017  10,316,311  9,310,471 
CIT Group, Inc. sr. bond 7s, 2016  5,738,079  5,207,307 
CIT Group, Inc. sr. bond 7s, 2015  1,867,848  1,723,090 
CIT Group, Inc. sr. bond 7s, 2014  1,225,848  1,152,297 
CIT Group, Inc. sr. bond 7s, 2013  2,591,231  2,494,060 
E*Trade Financial Corp. sr. unsec. notes 7 3/8s, 2013  1,695,000  1,559,400 
E*Trade Financial Corp. sr. unsec. unsub. notes     
12 1/2s, 2017 (PIK)  2,369,000  2,629,590 
GMAC, Inc. 144A company guaranty sr. unsec. notes 8s,     

 


2020    1,270,000  1,231,900 
GMAC, LLC company guaranty sr. unsec. notes 7s, 2012    2,455,000  2,439,656 
GMAC, LLC company guaranty sr. unsec. notes 6 7/8s,       
2012    4,210,000  4,157,375 
GMAC, LLC company guaranty sr. unsec. notes 6 5/8s,       
2012    1,291,000  1,271,635 
GMAC, LLC company guaranty sr. unsec. notes Ser. 8,       
6 3/4s, 2014    4,734,000  4,509,135 
GMAC, LLC company guaranty sr. unsec. unsub. notes FRN       
2.452s, 2014    624,000  512,609 
GMAC, LLC sr. unsec. unsub. notes 6 3/4s, 2014    1,442,000  1,367,927 
GMAC, LLC 144A company guaranty sr. unsec. notes 8.3s,       
2015    1,485,000  1,490,569 
HBOS PLC 144A sr. unsec. sub. notes 6 3/4s, 2018       
(United Kingdom)    2,805,000  2,647,906 
HUB International Holdings, Inc. 144A sr. sub. notes       
10 1/4s, 2015    1,156,000  1,057,740 
Icahn Enterprises LP/Ichan Enterprises Finance Corp.       
144A sr. notes 8s, 2018    5,295,000  4,977,300 
iStar Financial, Inc. sr. unsec. unsub. notes Ser. B,       
5.95s, 2013 (R)    960,000  770,400 
Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015    1,345,000  1,375,263 
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017    1,824,000  1,755,600 
NB Capital Trust IV jr. unsec. sub. notes 8 1/4s, 2027    680,000  659,600 
Nuveen Investments, Inc. company guaranty sr. unsec.       
unsub. notes 10 1/2s, 2015    2,492,000  2,242,800 
Provident Funding Associates 144A sr. notes 10 1/4s,       
2017    1,425,000  1,417,875 
Residential Capital LLC company guaranty jr. notes       
9 5/8s, 2015    6,165,000  5,918,400 
Reynolds Group DL Escrow, Inc./Reynolds Group Escrow,       
LLC 144A sr. sec. notes 7 3/4s, 2016 (Luxembourg)    1,330,000  1,316,700 
Reynolds Group Issuer, Inc. 144A sr. notes 8 1/2s, 2018    3,365,000  3,196,750 
Royal Bank of Scotland Group PLC jr. unsec. sub. bonds       
FRB 7.648s, 2049 (United Kingdom)  EUR  2,285,000  1,736,600 
SLM Corp. sr. notes Ser. MTN, 8s, 2020    $1,975,000  1,756,759 
SLM Corp. sr. unsec. unsub. notes Ser. MTNA, 5s, 2013    6,590,000  6,217,823 
USI Holdings Corp. 144A company guaranty sr. unsec.       
notes FRN 4.311s, 2014    756,000  604,800 
      92,123,964 
 
Gaming and lottery (2.9%)       
American Casino & Entertainment Properties LLC sr.       
notes 11s, 2014    2,560,000  2,425,600 
Ameristar Casinos, Inc. company guaranty sr. unsec.       
notes 9 1/4s, 2014    1,760,000  1,804,000 
Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014    605,000  544,500 
Harrah's Operating Co., Inc. company guaranty sr.       
notes 10s, 2018    5,856,000  4,626,240 
Harrah's Operating Co., Inc. company guaranty sr.       
notes 10s, 2015    710,000  621,250 
Harrah's Operating Co., Inc. sr. notes 11 1/4s, 2017    4,810,000  5,038,475 
Harrahs Operating Escrow, LLC/Harrahs Escrow Corp.       
144A sr. notes 12 3/4s, 2018    1,065,000  985,125 
Isle of Capri Casinos, Inc. company guaranty 7s, 2014    2,875,000  2,483,281 
Mashantucket Western Pequot Tribe 144A bonds 8 1/2s,       
2015 (In default) (NON)    4,615,000  1,015,300 
MGM Mirage, Inc. company guaranty sr. unsec. notes       
6 5/8s, 2015    1,160,000  910,600 
MGM Mirage, Inc. sr. notes 6 3/4s, 2012    2,000  1,845 
MGM Mirage, Inc. 144A sr. notes 9s, 2020    515,000  516,288 
MGM Mirage, Inc. 144A sr. sec. notes 10 3/8s, 2014    485,000  515,313 
MTR Gaming Group, Inc. company guaranty sr. notes       
12 5/8s, 2014    3,455,000  3,455,000 
Penn National Gaming, Inc. 144A sr. unsec. sub. notes       
8 3/4s, 2019    675,000  685,125 
Pinnacle Entertainment, Inc. company guaranty sr.       
unsec. sub. notes 7 1/2s, 2015    495,000  460,350 
Pinnacle Entertainment, Inc. 144A sr. notes 8 5/8s,       
2017    725,000  732,250 
Pinnacle Entertainment, Inc. 144A sr. sub. notes       
8 3/4s, 2020    2,540,000  2,349,500 
Station Casinos, Inc. sr. notes 6s, 2012       
(In default) (NON)    3,504,000  219,000 
Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,       
2015 (In default) (NON)    8,703,000  21,758 
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st       
mtge. Ser. EXCH, 6 5/8s, 2014    2,215,000  2,192,850 
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016    4,580,000  4,900,600 
      36,504,250 
 
Health care (6.9%)       
Biomet, Inc. company guaranty sr. unsec. bond 10s, 2017    4,425,000  4,679,438 
Community Health Systems, Inc. company guaranty       
8 7/8s, 2015    1,969,000  2,015,764 
DaVita, Inc. company guaranty 6 5/8s, 2013    3,127,000  3,103,548 
DaVita, Inc. company guaranty sr. unsec. sub. notes       
7 1/4s, 2015    820,000  815,900 
Elan Finance PLC/Elan Finance Corp. 144A company       
guaranty sr. notes 8 3/4s, 2016 (Ireland)    3,550,000  3,479,000 
HCA, Inc. company guaranty sr. notes 9 5/8s, 2016 (PIK)    4,305,000  4,531,013 
HCA, Inc. sr. sec. notes 9 1/4s, 2016    4,080,000  4,273,800 
HCA, Inc. sr. sec. notes 9 1/8s, 2014    4,712,000  4,959,380 
HCA, Inc. 144A sr. sec. notes 8 1/2s, 2019    4,655,000  4,864,475 
Health Management Associates, Inc. sr. notes 6 1/8s,       
2016    3,165,000  2,971,144 
IASIS Healthcare/IASIS Capital Corp. sr. sub. notes       

 


8 3/4s, 2014  80,000  80,000 
Lantheus Medical Imaging, Inc. 144A sr. notes 9 3/4s,     
2017  1,725,000  1,656,000 
Psychiatric Solutions, Inc. company guaranty 7 3/4s,     
2015  4,455,000  4,566,375 
Psychiatric Solutions, Inc. company guaranty sr.     
unsec. sub. notes 7 3/4s, 2015  935,000  958,375 
Quintiles Transnational Corp. 144A sr. notes 9 1/2s,     
2014 (PIK)  1,055,000  1,052,363 
Select Medical Corp. company guaranty 7 5/8s, 2015  3,095,000  2,909,300 
Service Corporation International debs. 7 7/8s, 2013  3,506,000  3,400,820 
Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013  6,211,000  6,024,670 
Sun Healthcare Group, Inc. company guaranty sr. unsec.     
unsub. notes 9 1/8s, 2015  279,000  290,858 
Surgical Care Affiliates, Inc. 144A sr. sub. notes     
10s, 2017  3,850,000  3,782,625 
Surgical Care Affiliates, Inc. 144A sr. unsec. notes     
8 7/8s, 2015 (PIK)  2,717,852  2,663,495 
Talecris Biotherapeutics Holdings Corp. 144A sr.     
unsec. notes 7 3/4s, 2016  1,850,000  1,803,750 
Tenet Healthcare Corp. 144A company guaranty sr. sec.     
notes 10s, 2018  1,340,000  1,468,975 
Tenet Healthcare Corp. 144A company guaranty sr. sec.     
notes 9s, 2015  5,394,000  5,663,700 
United Surgical Partners International, Inc. company     
guaranty sr. unsec. sub. notes 8 7/8s, 2017  1,000,000  1,000,000 
US Oncology Holdings, Inc. sr. unsec. notes FRN     
6.643s, 2012 (PIK)  4,034,000  3,590,260 
US Oncology, Inc. company guaranty sr. unsec. sub.     
notes 10 3/4s, 2014  2,142,000  2,187,518 
Ventas Realty LP/Capital Corp. company guaranty 9s,     
2012 (R)  6,916,000  7,354,170 
Ventas Realty LP/Capital Corp. sr. notes 6 5/8s,     
2014 (R)  1,556,000  1,563,780 
    87,710,496 
  
Homebuilding (1.5%)     
Beazer Homes USA, Inc. company guaranty sr. unsec.     
unsub. notes 9 1/8s, 2018  2,000,000  1,880,000 
Lennar Corp. 144A company guaranty sr. unsec. notes     
6.95s, 2018  2,520,000  2,255,400 
M/I Schottenstein Homes, Inc. company guaranty sr.     
unsec. notes 6 7/8s, 2012  3,787,000  3,682,858 
Realogy Corp. company guaranty sr. notes 11s, 2014     
(PIK)  790,270  663,827 
Realogy Corp. company guaranty sr. unsec. notes     
10 1/2s, 2014  5,650,000  4,802,500 
Standard Pacific Corp. company guaranty sr. notes     
10 3/4s, 2016  1,950,000  2,115,750 
Standard Pacific Corp. company guaranty sr. notes     
8 3/8s, 2018  1,115,000  1,064,825 
Standard Pacific Corp. company guaranty sr. unsec.     
unsub. notes 7s, 2015  1,690,000  1,554,800 
Standard Pacific Corp. company guaranty sr. unsec.     
unsub. notes 6 1/4s, 2014  1,135,000  1,061,225 
    19,081,185 
 
Household furniture and appliances (0.2%)     
Sealy Mattress Co. 144A company guaranty sr. sec.     
notes 10 7/8s, 2016  2,331,000  2,552,445 
    2,552,445 
 
Lodging/Tourism (0.4%)     
FelCor Lodging LP company guaranty sr. notes 10s,     
2014 (R)  3,790,000  3,790,000 
Host Marriott LP company guaranty Ser. Q, 6 3/4s, 2016     
(R)  117,000  114,660 
Seminole Hard Rock Entertainment, Inc. 144A sr. notes     
FRN 2.757s, 2014  1,541,000  1,325,260 
    5,229,920 
 
Media (1.7%)     
Affinion Group, Inc. company guaranty 11 1/2s, 2015  1,766,000  1,823,395 
Affinion Group, Inc. company guaranty 10 1/8s, 2013  1,340,000  1,363,450 
Affinity Group, Inc. sr. sub. notes 9s, 2012  4,466,000  3,126,200 
Interpublic Group of Companies, Inc. (The) sr. unsec.     
notes 10s, 2017  650,000  712,563 
Liberty Media, LLC sr. notes 5.7s, 2013  2,175,000  2,175,000 
Nielsen Finance LLC/Nielsen Finance Co. company     
guaranty 10s, 2014  2,866,000  2,912,573 
Nielsen Finance LLC/Nielsen Finance Co. company     
guaranty sr. unsec. sub. disc. notes stepped-coupon     
zero % (12 1/2s, 8/1/11), 2016 (STP)  4,160,000  3,848,000 
QVC Inc. 144A sr. notes 7 3/8s, 2020  1,425,000  1,382,250 
QVC Inc. 144A sr. sec. notes 7 1/2s, 2019  710,000  692,250 
WMG Acquisition Corp. company guaranty sr. sub. notes     
7 3/8s, 2014  1,265,000  1,190,681 
WMG Acquisition Corp. 144A sr. sec. notes 9 1/2s, 2016  2,280,000  2,359,800 
WMG Holdings Corp. company guaranty sr. unsec. disc.     
notes 9 1/2s, 2014  655,000  641,900 
    22,228,062 
 
Oil and gas (7.7%)     

 


ATP Oil & Gas Corp. 144A sr. notes 11 7/8s, 2015  1,142,000  896,470 
Chaparral Energy, Inc. company guaranty sr. unsec.     
notes 8 7/8s, 2017  4,203,000  3,803,715 
Chesapeake Energy Corp. company guaranty sr. unsec.     
notes 9 1/2s, 2015  790,000  855,175 
Compton Petroleum Corp. company guaranty 7 5/8s, 2013     
(Canada)  5,369,000  4,187,820 
Comstock Resources, Inc. company guaranty sr. unsub.     
notes 8 3/8s, 2017  1,255,000  1,236,175 
Comstock Resources, Inc. sr. notes 6 7/8s, 2012  3,950,000  3,940,125 
Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s,     
2015 (Canada)  4,277,000  4,105,920 
Connacher Oil and Gas, Ltd. 144A sr. sec. notes     
11 3/4s, 2014 (Canada)  2,435,000  2,544,575 
Crosstex Energy/Crosstex Energy Finance Corp. 144A sr.     
notes 8 7/8s, 2018  2,960,000  2,915,600 
Denbury Resources, Inc. company guaranty sr. sub.     
notes 9 3/4s, 2016  475,000  507,063 
Denbury Resources, Inc. company guaranty sr. unsec.     
sub. notes 8 1/4s, 2020  2,062,000  2,118,705 
Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015  3,647,000  3,637,883 
Ferrellgas LP/Ferrellgas Finance Corp. sr. notes     
6 3/4s, 2014  5,849,000  5,702,775 
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec.     
notes Ser. UNRE, 6 3/4s, 2014  374,000  364,650 
Forest Oil Corp. sr. notes 8s, 2011  4,280,000  4,451,200 
Inergy LP/Inergy Finance Corp. sr. unsec. notes     
6 7/8s, 2014  6,319,000  6,192,620 
Newfield Exploration Co. sr. unsec. sub. notes 7 1/8s,     
2018  490,000  483,875 
Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s,     
2014  6,054,000  6,069,135 
OPTI Canada, Inc. company guaranty sr. sec. notes     
8 1/4s, 2014 (Canada)  2,275,000  1,945,125 
OPTI Canada, Inc. company guaranty sr. sec. notes     
7 7/8s, 2014 (Canada)  5,540,000  4,709,000 
PetroHawk Energy Corp. company guaranty 9 1/8s, 2013  4,421,000  4,531,525 
PetroHawk Energy Corp. company guaranty sr. unsec.     
notes 10 1/2s, 2014  585,000  618,638 
Petroleum Development Corp. company guaranty sr.     
unsec. notes 12s, 2018  3,325,000  3,424,750 
Plains Exploration & Production Co. company guaranty     
7 3/4s, 2015  787,000  766,341 
Plains Exploration & Production Co. company guaranty     
7s, 2017  4,966,000  4,543,890 
Quicksilver Resources, Inc. company guaranty 7 1/8s,     
2016  1,017,000  917,843 
Quicksilver Resources, Inc. company guaranty sr.     
unsec. notes 8 1/4s, 2015  1,223,000  1,192,425 
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016  1,585,000  1,727,650 
Range Resources Corp. company guaranty sr. unsec. sub.     
notes 7 1/2s, 2017  790,000  793,950 
Rosetta Resources, Inc. 144A company guaranty sr.     
unsec. notes 9 1/2s, 2018  2,355,000  2,319,675 
Sabine Pass LNG LP sec. notes 7 1/2s, 2016  4,446,000  3,690,180 
Sabine Pass LNG LP sr. sec. notes 7 1/4s, 2013  745,000  685,400 
SandRidge Energy, Inc. 144A company guaranty sr.     
unsec. unsub. notes 8s, 2018  5,452,000  4,879,540 
SandRidge Energy, Inc. 144A sr. unsec. notes 9 7/8s,     
2016  925,000  911,125 
Whiting Petroleum Corp. company guaranty 7s, 2014  2,107,000  2,120,169 
Williams Cos., Inc. (The) notes 7 3/4s, 2031  474,000  517,129 
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021  1,033,000  1,193,923 
Williams Cos., Inc. (The) 144A notes 6 3/8s, 2010  1,915,000  1,937,815 
    97,439,574 
 
Publishing (0.9%)     
American Media Operations, Inc. 144A sr. sub. notes     
14s, 2013 (PIK)  3,730,636  2,424,913 
American Media Operations, Inc. 144A sr. unsec. notes     
9s, 2013 (PIK)  318,584  207,080 
Cengage Learning Acquisitions, Inc. 144A sr. notes     
10 1/2s, 2015  3,280,000  2,976,600 
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018  2,080,000  2,022,800 
Cenveo Corp. 144A company guaranty sr. unsec. notes     
10 1/2s, 2016  394,000  394,493 
McClatchy Co. (The) 144A company guaranty sr. notes     
11 1/2s, 2017  2,365,000  2,376,825 
Vertis, Inc. company guaranty sr. notes 13 1/2s, 2014     
(PIK)  3,160,547  1,359,035 
    11,761,746 
 
Regional Bells (1.1%)     
Cincinnati Bell, Inc. company guaranty sr. unsec.     
notes 7s, 2015  1,218,000  1,135,785 
Cincinnati Bell, Inc. company guaranty sr. unsec. sub.     
notes 8 3/4s, 2018  1,025,000  948,125 
Frontier Communications Corp. sr. unsec. notes 8 1/8s,     
2018  2,540,000  2,482,850 
Frontier Communications Corp. 144A sr. notes 8 1/2s,     
2020  2,615,000  2,575,775 
Frontier Communications Corp. 144A sr. notes 8 1/4s,     
2017  2,770,000  2,742,300 
Qwest Communications International, Inc. company     
guaranty 7 1/2s, 2014  462,000  455,070 
Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012  810,000  865,688 
Qwest Corp. sr. unsec. unsub. notes 8 3/8s, 2016  750,000  813,750 

 


Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025  2,586,000  2,534,280 
    14,553,623 
 
Retail (3.2%)     
Autonation, Inc. company guaranty sr. unsec. notes     
6 3/4s, 2018  800,000  784,000 
Blockbuster, Inc. 144A company guaranty sr. notes     
11 3/4s, 2014  1,810,000  1,067,900 
Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s,     
2014  3,336,000  3,319,320 
Burlington Coat Factory Warehouse Corp. company     
guaranty sr. unsec. notes 11 1/8s, 2014  3,121,000  3,222,433 
Dollar General Corp. company guaranty sr. unsec. notes     
10 5/8s, 2015  2,028,000  2,210,520 
Harry & David Operations Corp. company guaranty sr.     
unsec. notes 9s, 2013  2,279,000  1,447,165 
Harry & David Operations Corp. company guaranty sr.     
unsec. notes FRN 5.252s, 2012  1,012,000  609,730 
Limited Brands, Inc. company guaranty sr. unsec.     
unsub. notes 7s, 2020  1,040,000  1,032,200 
Macy's Retail Holdings, Inc. company guaranty sr.     
unsec. unsub. notes 8 7/8s, 2015  2,580,000  2,844,450 
Michaels Stores, Inc. company guaranty 11 3/8s, 2016  4,555,000  4,685,956 
Neiman-Marcus Group, Inc. company guaranty sr. unsec.     
notes 9s, 2015 (PIK)  6,290,434  6,141,036 
Neiman-Marcus Group, Inc. company guaranty sr. unsec.     
sub. notes 10 3/8s, 2015  1,415,000  1,393,775 
Toys R Us Property Co., LLC 144A company guaranty sr.     
unsec. notes 10 3/4s, 2017  4,475,000  4,956,063 
Toys R Us Property Co., LLC 144A sr. notes 8 1/2s, 2017  2,400,000  2,478,000 
United Auto Group, Inc. company guaranty 7 3/4s, 2016  4,421,000  4,166,793 
    40,359,341 
  
Technology (4.5%)     
Advanced Micro Devices, Inc. 144A sr. unsec. notes     
8 1/8s, 2017  1,485,000  1,457,156 
Ceridian Corp. company guaranty sr. unsec. notes     
12 1/4s, 2015 (PIK)  2,751,850  2,628,017 
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015  3,360,000  3,196,200 
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s,     
2015  1,462,000  1,551,548 
First Data Corp. company guaranty sr. unsec. notes     
10.55s, 2015 (PIK)  7,036,938  5,436,035 
First Data Corp. company guaranty sr. unsec. notes     
9 7/8s, 2015  1,495,000  1,218,425 
First Data Corp. company guaranty sr. unsec. sub.     
notes 11 1/4s, 2016  3,375,000  2,160,000 
Freescale Semiconductor, Inc. company guaranty sr.     
unsec. notes 9 1/8s, 2014 (PIK)  3,405,424  2,945,692 
Freescale Semiconductor, Inc. company guaranty sr.     
unsec. notes 8 7/8s, 2014  2,061,000  1,860,053 
Freescale Semiconductor, Inc. company guaranty sr.     
unsec. sub. notes 10 1/8s, 2016  3,728,000  3,001,040 
Freescale Semiconductor, Inc. 144A company guaranty     
sr. notes 10 1/8s, 2018  1,495,000  1,547,325 
Freescale Semiconductor, Inc. 144A company guaranty     
sr. notes 9 1/4s, 2018  2,645,000  2,625,163 
Iron Mountain, Inc. company guaranty 8 3/4s, 2018  698,000  715,450 
Iron Mountain, Inc. company guaranty 7 3/4s, 2015  112,000  112,560 
Iron Mountain, Inc. company guaranty 6 5/8s, 2016  211,000  207,835 
Iron Mountain, Inc. company guaranty sr. unsec. sub.     
notes 8s, 2020  533,000  525,005 
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021  960,000  974,400 
Lucent Technologies, Inc. unsec. debs. 6.45s, 2029  529,000  359,720 
New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011     
(Cayman Islands) (In default) (F)(NON)  2,748,000  239,351 
NXP BV/NXP Funding, LLC company guaranty Ser. EXCH,     
9 1/2s, 2015 (Netherlands)  2,275,000  1,959,344 
NXP BV/NXP Funding, LLC company guaranty sr. sec.     
notes FRN Ser. EXCH, 3.053s, 2013 (Netherlands)  1,795,000  1,548,188 
NXP BV/NXP Funding, LLC sec. notes Ser. EXCH, 7 7/8s,     
2014 (Netherlands)  3,455,000  3,187,238 
SunGard Data Systems, Inc. company guaranty 10 1/4s,     
2015  3,027,000  3,061,054 
SunGard Data Systems, Inc. company guaranty 9 1/8s,     
2013  3,490,000  3,524,900 
SunGard Data Systems, Inc. company guaranty sr. unsec.     
unsub. notes 10 5/8s, 2015  589,000  621,395 
Syniverse Technologies, Inc. sr. sub. notes Ser. B,     
7 3/4s, 2013  3,058,000  2,996,840 
Unisys Corp. sr. unsec. unsub. notes 12 1/2s, 2016  835,000  905,975 
Unisys Corp. 144A company guaranty sr. sub. notes     
14 1/4s, 2015  4,285,000  4,992,025 
Xerox Capital Trust I company guaranty 8s, 2027  1,647,000  1,644,317 
    57,202,251 
 
Telecommunications (7.1%)     
CC Holdings GS V, LLC/Crown Castle GS III Corp. 144A     
sr. sec. notes 7 3/4s, 2017  1,095,000  1,160,700 
Clearwire Communications, LLC/Clearwire Finance, Inc.     
144A company guaranty sr. notes 12s, 2015  3,545,000  3,438,650 
Clearwire Communications, LLC/Clearwire Finance, Inc.     
144A company guaranty sr. notes 12s, 2015  2,640,000  2,574,000 
Crown Castle International Corp. sr. unsec. notes     
7 1/8s, 2019  710,000  688,700 
Digicel Group, Ltd. 144A sr. notes 10 1/2s, 2018     

 


(Jamaica)    1,490,000  1,508,625 
Digicel Group, Ltd. 144A sr. notes 8 1/4s, 2017       
(Jamaica)    2,540,000  2,489,200 
Digicel Group, Ltd. 144A sr. unsec. notes 8 7/8s, 2015       
(Jamaica)    1,614,000  1,561,545 
Inmarsat Finance PLC 144A company guaranty sr. notes       
7 3/8s, 2017 (United Kingdom)    1,295,000  1,291,763 
Intelsat Bermuda, Ltd. company guaranty sr. unsec.       
notes 11 1/4s, 2017 (Bermuda)    7,185,000  7,077,225 
Intelsat Intermediate Holding Co., Ltd. company       
guaranty sr. unsec. notes 9 1/2s, 2015 (Bermuda)    765,000  776,475 
Intelsat Intermediate Holding Co., Ltd. company       
guaranty sr. unsec. notes 9 1/4s, 2015 (Bermuda)    2,118,000  2,096,820 
Intelsat Jackson Holding Co. company guaranty sr.       
unsec. notes 11 1/4s, 2016 (Bermuda)    7,644,000  8,083,530 
Intelsat Subsidiary Holding Co., Ltd. company guaranty       
sr. unsec. notes 8 7/8s, 2015 (Bermuda)    1,825,000  1,843,250 
Intelsat Subsidiary Holding Co., Ltd. company guaranty       
sr. unsec. notes 8 1/2s, 2013 (Bermuda)    557,000  561,178 
Level 3 Financing, Inc. company guaranty 9 1/4s, 2014    4,142,000  3,769,220 
Level 3 Financing, Inc. company guaranty 8 3/4s, 2017    1,088,000  924,800 
MetroPCS Wireless, Inc. company guaranty sr. unsec.       
notes 9 1/4s, 2014    6,625,000  6,823,750 
Nextel Communications, Inc. company guaranty sr.       
unsec. notes Ser. D, 7 3/8s, 2015    6,135,000  5,782,238 
NII Capital Corp. company guaranty sr. unsec. unsub.       
notes 10s, 2016    4,930,000  5,275,100 
Nordic Telephone Co. Holdings ApS 144A sr. sec. bond       
8 7/8s, 2016 (Denmark)    931,000  954,275 
PAETEC Holding Corp. company guaranty sr. unsec.       
unsub. notes 9 1/2s, 2015    936,000  910,260 
PAETEC Holding Corp. 144A company guaranty sr. notes       
8 7/8s, 2017    2,080,000  2,054,000 
SBA Telecommunications, Inc. 144A company guaranty sr.       
notes 8 1/4s, 2019    465,000  484,763 
SBA Telecommunications, Inc. 144A company guaranty sr.       
notes 8s, 2016    2,360,000  2,430,800 
Sprint Capital Corp. company guaranty 6 7/8s, 2028    6,828,000  5,675,775 
Sprint Nextel Corp. sr. notes 8 3/8s, 2017    2,705,000  2,657,663 
West Corp. company guaranty 9 1/2s, 2014    3,923,000  3,903,385 
Wind Acquisition Finance SA 144A sr. notes 11 3/4s,       
2017 (Netherlands)    4,555,000  4,646,100 
Wind Acquisition Finance SA 144A sr. notes 11 3/4s,       
2017 (Netherlands)  EUR  255,000  319,728 
Wind Acquisition Holdings Finance SA 144A company       
guaranty sr. notes zero %, 2017 (Italy) (PIK)    $1,910,000  1,795,400 
Windstream Corp. company guaranty 8 5/8s, 2016    4,962,000  4,912,380 
Windstream Corp. company guaranty 8 1/8s, 2013    1,975,000  1,994,750 
      90,466,048 
 
Telephone (0.6%)       
Cricket Communications, Inc. company guaranty 9 3/8s,       
2014    3,612,000  3,639,090 
Cricket Communications, Inc. company guaranty sr.       
unsub. notes 7 3/4s, 2016    1,855,000  1,882,825 
Integra Telecom Holdings, Inc. 144A sr. notes 10 3/4s,       
2016    1,755,000  1,693,575 
      7,215,490 
  
Textiles (0.7%)       
Hanesbrands, Inc. company guaranty sr. unsec. notes       
FRN Ser. B, 3.831s, 2014    4,750,000  4,441,250 
Hanesbrands, Inc. sr. unsec. notes 8s, 2016    1,640,000  1,664,600 
Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016    972,000  1,008,450 
Levi Strauss & Co. 144A sr. notes 7 5/8s, 2020    1,965,000  1,915,875 
      9,030,175 
  
Tire and rubber (0.3%)       
Goodyear Tire & Rubber Co. (The) sr. unsec. notes       
10 1/2s, 2016    4,125,000  4,372,500 
      4,372,500 
 
Transportation (0.3%)       
RailAmerica, Inc. company guaranty sr. notes 9 1/4s,       
2017    3,121,000  3,245,840 
      3,245,840 
 
Utilities and power (4.5%)       
AES Corp. (The) sr. unsec. notes 8s, 2020    1,291,000  1,252,270 
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017    1,655,000  1,626,038 
AES Corp. (The) 144A sec. notes 8 3/4s, 2013    1,240,000  1,258,600 
AES Corp. (The) 144A sr. notes 9 3/4s, 2016    270,000  286,875 
Calpine Corp. 144A sr. sec. notes 7 1/4s, 2017    4,228,000  3,963,750 
Colorado Interstate Gas Co. debs. 6.85s, 2037 (Canada)    3,247,000  3,263,628 
Dynegy Holdings, Inc. sr. unsec. notes 7 3/4s, 2019    2,320,000  1,676,200 
Dynegy-Roseton Danskamme company guaranty Ser. B,       
7.67s, 2016    4,885,000  4,420,925 
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016    1,916,000  1,389,100 
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013    435,000  386,063 
Edison Mission Energy sr. unsec. notes 7.2s, 2019    1,900,000  1,235,000 
Edison Mission Energy sr. unsec. notes 7s, 2017    60,000  40,575 
El Paso Corp. sr. unsec. notes 12s, 2013    1,005,000  1,150,725 
El Paso Corp. sr. unsec. notes Ser. GMTN, 7.8s, 2031    121,000  114,950 

 


El Paso Natural Gas Co. debs. 8 5/8s, 2022  1,597,000  1,877,919 
Energy Future Holdings Corp. company guaranty sr.     
unsec. notes zero %, 2017 (PIK)  2,877,900  1,849,051 
Energy Future Holdings Corp. sr. notes 9 3/4s, 2019  1,646,000  1,559,585 
Ipalco Enterprises, Inc. sr. sec. notes 8 5/8s, 2011  914,000  952,845 
Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s,     
2016  562,000  571,835 
Mirant Americas Generation, Inc. sr. unsec. notes     
9 1/8s, 2031  2,070,000  1,873,350 
Mirant Americas Generation, Inc. sr. unsec. notes     
8.3s, 2011  1,866,000  1,903,320 
Mirant North America, LLC company guaranty 7 3/8s, 2013  4,782,000  4,793,955 
NRG Energy, Inc. company guaranty 7 3/8s, 2017  2,440,000  2,354,600 
NRG Energy, Inc. sr. notes 7 3/8s, 2016  9,600,000  9,288,000 
PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015  440,000  470,800 
Sierra Pacific Resources sr. unsec. notes 8 5/8s, 2014  2,367,000  2,435,051 
Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s,     
2028  639,000  672,342 
Texas Competitive Electric Holdings Co., LLC company     
guaranty sr. unsec. notes zero %, 2016 (United     
Kingdom) (PIK)  3,638,781  2,365,208 
Texas Competitive Electric Holdings Co., LLC company     
guaranty sr. unsec. notes Ser. B, 10 1/4s, 2015     
(United Kingdom)  4,025,000  2,696,750 
Utilicorp United, Inc. sr. unsec. notes 7.95s, 2011  156,000  162,195 
    57,891,505 
Total corporate bonds and notes (cost $1,094,878,904)    $1,075,734,196 
 
 
SENIOR LOANS (6.1%)(a)(c)     
  Principal amount  Value 
 
Automotive (0.1%)     
Visteon Corp. bank term loan FRN Ser. B, 5 1/4s, 2013  $1,860,000  $1,990,200 
    1,990,200 
 
Basic materials (0.4%)     
Ineos Holdings, Ltd. bank term loan FRN Ser. B2,     
7.501s, 2013 (United Kingdom)  1,593,854  1,541,058 
Ineos Holdings, Ltd. bank term loan FRN Ser. C2,     
8.001s, 2014 (United Kingdom)  1,593,854  1,541,058 
Smurfit-Stone Container Enterprises, Inc. bank term     
loan FRN 6 3/4s, 2016 (U)  1,880,000  1,871,595 
    4,953,711 
 
Broadcasting (0.3%)     
Clear Channel Communications, Inc. bank term loan FRN     
Ser. B, 4.0041s, 2016  1,999,026  1,538,001 
Univision Communications, Inc. bank term loan FRN     
Ser. B, 2.5401s, 2014  2,327,282  1,996,008 
    3,534,009 
 
Capital goods (--%)     
Hawker Beechcraft Acquisition Co., LLC bank term loan     
FRN Ser. B, 2.3371s, 2014  156,121  128,280 
    128,280 
 
Communication services (0.2%)     
CCO Holdings, LLC / CCO Holdings Capital Corp. bank     
term loan FRN Ser. D, 3.0378s, 2014  2,430,000  2,172,420 
    2,172,420 
 
Consumer cyclicals (1.4%)     
CCM Merger, Inc. bank term loan FRN Ser. B, 8 1/2s,     
2012  3,395,128  3,326,520 
Dex Media West, LLC bank term loan FRN Ser. A, 7 1/2s,     
2014  685,121  628,941 
GateHouse Media, Inc. bank term loan FRN Ser. B,     
2.36s, 2014  2,394,574  1,085,791 
GateHouse Media, Inc. bank term loan FRN Ser. DD,     
2.3416s, 2014  893,497  405,146 
QVC, Inc. bank term loan FRN 5.8413s, 2014  170,438  169,906 
Reynolds Consumer Products, Inc. bank term loan FRN     
Ser. B, 6 1/4s, 2015  1,520,438  1,515,876 
Six Flags Theme Parks bank term loan FRN 9 1/4s, 2016  1,980,000  1,987,425 
Six Flags Theme Parks bank term loan FRN Ser. B, 6s,     
2016  2,970,000  2,950,356 
Thomas Learning bank term loan FRN Ser. B, 2.79s, 2014  1,436,411  1,240,341 
Travelport, LLC bank term loan FRN Ser. C, 10 1/2s,     
2013  506,175  501,113 
Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014     
(In default) (NON)  6,410,500  3,922,425 
    17,733,840 
 
Consumer staples (0.7%)     
Claire's Stores, Inc. bank term loan FRN 3.0401s, 2014  3,187,495  2,674,509 
Pinnacle Foods Holding Corp. bank term loan FRN     
Ser. B, 2.7777s, 2014  2,521,429  2,367,443 
Revlon Consumer Products bank term loan FRN 6s, 2015  1,925,000  1,872,865 
Rite-Aid Corp. bank term loan FRN 9 1/2s, 2015  2,057,776  2,086,714 
Rite-Aid Corp. bank term loan FRN Ser. B, 2.0829s, 2014  327,149  288,709 

 


    9,290,240 
 
Energy (0.1%)     
MEG Energy Corp. bank term loan FRN 6s, 2016 (Canada)  766,150  754,898 
    754,898 
 
Entertainment (0.2%)     
Universal City Development Partners, Ltd. bank term     
loan FRN Ser. B, 5.5025s, 2014  3,192,000  3,176,678 
    3,176,678 
 
Financials (0.6%)     
American General Finance Corp. bank term loan FRN     
7 1/4s, 2015  2,435,000  2,357,080 
CB Richard Ellis Services, Inc. bank term loan FRN     
Ser. B, 6s, 2013  1,189,507  1,184,303 
HUB International Holdings, Inc. bank term loan FRN     
6 3/4s, 2014  1,378,075  1,341,901 
iStar Financial, Inc. bank term loan FRN 1.751s, 2011  2,045,000  1,853,281 
Nuveen Investments, Inc. bank term loan FRN Ser. B,     
3.3247s, 2014  1,145,028  970,206 
    7,706,771 
 
Gaming and lottery (0.1%)     
Harrah's Operating Co., Inc. bank term loan FRN     
Ser. B, 7.8155s, 2016  857,850  858,445 
    858,445 
 
Health care (0.8%)     
Ardent Health Systems bank term loan FRN Ser. B,     
6 1/2s, 2016  2,690,000  2,629,475 
Fenwal, Inc. bank term loan FRN 5.7878s, 2014  500,000  417,500 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term     
loan FRN 5.5878s, 2014  7,161,786  6,499,321 
Select Medical Corp. bank term loan FRN Ser. B,     
2.4841s, 2012  434,398  417,204 
    9,963,500 
 
Homebuilding (0.1%)     
Realogy Corp. bank term loan FRN 0.081s, 2013  231,990  195,567 
Realogy Corp. bank term loan FRN Ser. B, 3.2915s, 2013  861,676  726,393 
    921,960 
 
Technology (0.3%)     
Compucom Systems, Inc. bank term loan FRN 3.86s, 2014  1,082,139  1,022,622 
First Data Corp. bank term loan FRN Ser. B1, 3.0872s,     
2014  2,940,000  2,476,950 
    3,499,572 
 
Telecommunications (--%)     
Level 3 Financing, Inc. bank term loan FRN Ser. B,     
8.9556s, 2014  235,000  251,744 
    251,744 
 
Transportation (0.4%)     
Swift Transportation Co., Inc. bank term loan FRN     
8 1/4s, 2014  5,490,119  5,074,929 
    5,074,929 
 
Utilities and power (0.4%)     
TXU Energy Corp. bank term loan FRN Ser. B2, 3.9692s,     
2014  187,892  144,341 
TXU Energy Corp. bank term loan FRN Ser. B3, 3.797s,     
2014  7,305,534  5,579,602 
    5,723,943 
Total senior loans (cost $83,043,858)    $77,735,140 
 
 
COMMON STOCKS (3.2%)(a)     
  Shares  Value 
AboveNet, Inc. (NON)  5,060  $232,052 
AES Corp. (The) (NON)  144,010  1,478,983 
Alliance Imaging, Inc. (NON)  340,211  1,891,573 
Alpha Natural Resources, Inc. (NON)  29,775  1,142,467 
American Media, Inc. 144A (F)(NON)  63,915  6 
Avis Budget Group, Inc. (NON)  70,380  834,003 
Bohai Bay Litigation, LLC (Escrow) (F)(NON)(AFF)  3,899  12,165 
Charter Communications, Inc. Class A (NON)  20,090  723,240 
CIT Group, Inc. (NON)  31,093  1,143,911 
Dana Holding Corp. (NON)  120,744  1,311,280 
Decrane Aircraft Holdings, Inc. (F)(NON)  29,311  29 
El Paso Corp.  120,275  1,363,919 
FelCor Lodging Trust, Inc. (NON)(R)  182,130  1,231,199 
Freeport-McMoRan Copper & Gold, Inc. Class B  32,280  2,261,214 
Interpublic Group of Companies, Inc. (The) (NON)  132,405  1,105,582 
Louisiana-Pacific Corp. (NON)  151,171  1,284,954 
LyondellBasell Industries NV Class A (Netherlands)     

 


(NON)      60,583  1,076,560 
LyondellBasell Industries NV Class B (Netherlands)         
(NON)      23,128  409,366 
Macy's, Inc.      85,175  1,891,737 
Nortek, Inc. (NON)      64,161  2,887,245 
Pactiv Corp. (NON)      36,820  1,052,316 
PetroHawk Energy Corp. (NON)      88,840  1,708,393 
Public Service Enterprise Group, Inc.      58,200  1,782,666 
Qwest Communications International, Inc.      322,791  1,691,425 
Sealy Corp. (NON)      407,153  1,323,247 
Service Corporation International      240,756  2,056,056 
Spectrum Brands, Inc. (NON)      92,910  2,577,323 
Sprint Nextel Corp. (NON)      408,745  2,096,862 
Stallion Oilfield Holdings, Ltd. (NON)      78,077  1,717,694 
Thermadyne Holdings Corp. (NON)      69,804  792,275 
TRW Automotive Holdings Corp. (NON)      69,320  2,085,146 
Vertis Holdings, Inc. (F)(NON)      135,886  136 
Total common stocks (cost $41,364,584)        $41,165,024 
 
 
CONVERTIBLE BONDS AND NOTES (2.7%)(a)         
      Principal amount  Value 
Acquicor Technology, Inc. 144A cv. notes 8s, 2011      $2,120,000  $2,003,400 
Advanced Micro Devices, Inc. cv. sr. unsec. notes 6s,         
2015      1,980,000  1,920,600 
Alexandria Real Estate Equities, Inc. 144A cv. company         
guaranty sr. unsec. notes 3.7s, 2027 (R)      2,145,000  2,099,419 
Alliant Techsystems, Inc. cv. company guaranty sr.         
sub. notes 3s, 2024      2,180,000  2,278,100 
Digital Realty Trust LP 144A cv. sr. unsec. notes         
5 1/2s, 2029 (R)      1,665,000  2,328,919 
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016      1,173,000  1,647,561 
General Cable Corp. cv. unsec. sub. notes         
stepped-coupon 4 1/2s (2 1/4s, 11/15/19) 2029 (STP)      1,929,000  2,037,506 
L-3 Communications Holdings, Inc. cv. company sr.         
unsec. bonds 3s, 2035      505,000  510,681 
L-3 Communications Holdings, Inc. 144A cv. company         
guaranty sr. unsec. bonds 3s, 2035      1,361,000  1,376,311 
Leap Wireless International, Inc. cv. sr. unsec. notes         
4 1/2s, 2014      1,575,000  1,321,031 
Level 3 Communications, Inc. cv. sr. unsec. unsub.         
notes 5 1/4s, 2011      800,000  768,000 
Level 3 Communications, Inc. cv. sr. unsec. unsub.         
notes 3 1/2s, 2012      1,880,000  1,701,400 
Owens Brockway Glass Container, Inc. 144A cv. sr.         
notes 3s, 2015      1,460,000  1,412,842 
Pantry, Inc. (The) cv. company guaranty sr. unsec.         
sub. notes 3s, 2012      4,669,000  4,248,790 
Safeguard Scientifics, Inc. cv. sr. unsec. sub. notes         
10 1/8s, 2014      382,000  397,280 
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014      930,000  1,027,069 
Trinity Industries, Inc. cv. unsec. sub. notes 3 7/8s,         
2036      4,169,000  3,429,003 
Virgin Media, Inc. cv. sr. unsec. notes 6 1/2s, 2016      1,625,000  1,840,313 
XM Satellite Radio Holdings, Inc. 144A cv. sr. unsec.         
sub. notes 7s, 2014      1,532,000  1,535,983 
Total convertible bonds and notes (cost $30,713,566)        $33,884,208 
 
 
CONVERTIBLE PREFERRED STOCKS (0.6%)(a)         
      Shares  Value 
Crown Castle International Corp. $3.125 cum. cv. pfd.      34,320  $1,885,455 
Dole Food Automatic Exchange 144A 7.00% cv. pfd.      103,165  998,637 
Great Plains Energy, Inc. $6.00 cv. pfd.      20,030  1,204,805 
Hartford Financial Services Group, Inc. (The) $1.182         
cv. pfd.      74,594  1,776,083 
Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd.         
(In default) (NON)      4,338  6,290 
XL Capital, Ltd. $2.687 cv. pfd.      70,185  1,895,697 
Total convertible preferred stocks (cost $11,599,398)        $7,766,967 
 
 
PREFERRED STOCKS (0.3%)(a)         
      Shares  Value 
Decrane Aircraft Holdings, Inc. $16.00 pfd. (PIK)      21,000  $147,000 
GMAC, Inc. 144A Ser. G, 7.00% cum. pfd.      4,532  3,408,914 
Total preferred stocks (cost $1,926,029)        $3,555,914 
 
 
MORTGAGE-BACKED SECURITIES (--%)(a)         
      Principal amount  Value 
Mach One Commercial Mortgage Trust 144A         
Ser. 04-1A, Class J, 5.45s, 2040      $2,190,000  $147,784 
Ser. 04-1A, Class K, 5.45s, 2040      880,000  50,600 
Ser. 04-1A, Class L, 5.45s, 2040      400,000  53,000 
Total mortgage-backed securities (cost $2,807,309)        $251,384 
 
 
WARRANTS (--%)(a)(NON)         
  Expiration date  Strike Price  Warrants  Value 
AboveNet, Inc.  9/08/10  $24.00  977  $69,367 
Charter Communication Class A  11/30/14  46.86  420  2,583 
Decrane Aircraft Holdings Co. Class B  6/30/10  116.00  1  -- 
Decrane Aircraft Holdings Co. Class B  6/30/10  116.00  1  -- 
New ASAT (Finance), Ltd. (Cayman Islands) (F)  2/01/11  0.01  714,514  -- 
Smurfit Kappa Group PLC 144A (Ireland)  10/01/13  EUR 0.001  4,137  164,693 

 


Vertis Holdings, Inc. (F)  10/18/15  $0.01  9,578  1 
ZSC Specialty Chemicals PLC 144A (United Kingdom)  6/30/11  0.01  269,866  2,699 
ZSC Specialty Chemicals PLC (Preferred) 144A (United         
Kingdom)  6/30/11  0.01  269,866  2,699 
Total warrants (cost $555,683)        $242,042 
 
 
U.S GOVERNMENT AGENCY OBLIGATIONS (--%)(a)         
      Principal amount  Value 
Freddie Mac sr. unsec. notes 5.4s, March 17, 2021 (i)      $130,000  $147,593 
Total U.S government agency obligations (cost $147,593)        $147,593 
 
 
U.S. TREASURY OBLIGATIONS (--%)(a)         
      Principal amount  Value 
U.S. Treasury Notes 1.75s, March 31, 2014 (i)      $142,000  $142,675 
Total U.S. treasury obligations (cost $142,674)        $142,675 
 
 
SHORT-TERM INVESTMENTS (1.0%)(a)         
    Principal amount/shares  Value 
Putnam Money Market Liquidity Fund -0.24% (e)      12,348,012  $12,348,012 
SSgA Prime Money Market Fund (i)      $140,000  140,000 
U.S. Treasury Bills for an effective yield of 0.30%,         
November 18, 2010      250,000  249,532 
Total short-term investments (cost $12,737,661)        $12,737,544 
 
 
TOTAL INVESTMENTS         
Total investments (cost $1,279,917,259) (b)        $1,253,362,687 

 


FORWARD CURRENCY CONTRACTS TO BUY at 5/31/10 (Unaudited)

    Aggregate  Delivery  Unrealized 
  Value  face value  date  (depreciation) 
Euro  $1,695,263  $1,817,451  6/17/10  $(122,188) 
Total        $(122,188) 

 


FORWARD CURRENCY CONTRACTS TO SELL at 5/31/10 (Unaudited)

    Aggregate  Delivery  Unrealized 
  Value  face value  date  appreciation 
Euro  $11,397,870  $12,219,138  6/17/10  $821,268 
Total        $821,268 

 


Key to holding's currency abbreviations

EUR  Euro 

 

Key to holding's abbreviations

FRB  Floating Rate Bonds 
FRN  Floating Rate Notes 
GMTN  Global Medium Term Notes 
MTN  Medium Term Notes 
MTNA  Medium Term Notes Class A 
MTNI  Medium Term Notes Class I 

 

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, 2009 through May 31, 2010 (the reporting period).

(a) Percentages indicated are based on net assets of $1,273,450,412.

(b) The aggregate identified cost on a tax basis is $1,283,503,328, resulting in gross unrealized appreciation and depreciation of $53,310,217 and $83,450,858, respectively, or net unrealized depreciation of $30,140,641.

(NON) Non-income-producing security.

(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.

(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at the close of the reporting period was $5, 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) Transactions during the period with companies in which the fund owned at least 5% of the voting securities were as follows:

  Purchase  Sales  Dividend   
Affiliates  cost  proceeds  income  Value 
Bohai Bay Litigation, LLC (Escrow)  $--  $--  $--  $12,165 
  --  --  --  -- 
 
Totals  $--  $--  $--  $12,165 

 

Market values are shown for those securities affiliated at period end.

(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.

(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Investment Management, LLC (Putnam Management), the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $16,038 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $334,406,012 and $327,227,524, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.

(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (ASC 820) based on the securities valuation inputs.

(i) Securities purchased with cash or securities received, that were pledged to the fund for collateral on certain derivative contracts.

(R) Real Estate Investment Trust.

(U) This security, in part or in entirety, represents unfunded loan commitments. As of the close of the reporting period, the fund had unfunded loan commitments of $1,880,000, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:

Borrower  Unfunded commitments 
Smurfit-Stone Container Enterprises, Inc.  $1,880,000 
 
Totals  $-- 

 

At the close of the reporting period, liquid assets totaling $116,811 have been segregated to cover certain derivatives contracts.

Debt obligations are considered secured unless otherwise indicated.

144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

The rates shown on FRB and FRN are the current interest rates at the close of the reporting period.


The dates shown on debt obligations are the original maturity dates.

Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets and are classified as Level 1 securities. If no sales are reported-- as in the case of some securities traded over-the-counter-- a security is valued at its last reported bid price and is generally categorized as a Level 2 security. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Investment Management, LLC (Putnam Management), the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which considers such factors as security prices, yields, maturities and ratings). Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. 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. 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 and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. 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 may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments), or for other investment purposes. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.

The fund had an average contract amount of approximately $18,600,000 on forward currency contracts for the reporting period.

Master agreements: The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which can not be sold or repledged totaled $129,987 at the close of the reporting period. 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 $122,188 on 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:       
Basic materials  $5,032,094  $--  $-- 
Capital goods  1,844,591  --  29 
Communication services  4,743,579  --  -- 
Conglomerates  --  --  12,165 
Consumer cyclicals  8,948,191  2,887,245  142 
Consumer staples  5,467,382  --  -- 
Energy  4,568,554  --  -- 
Financials  1,143,911  --  -- 
Health care  1,891,573  --  -- 
Utilities and power  4,625,568  --  -- 
Total common stocks  38,265,443  2,887,245  12,336 
Convertible bonds and notes  --  33,884,208  -- 
Convertible preferred stocks  --  7,766,967  -- 
Corporate bonds and notes  --  1,075,482,886  251,310 
Mortgage-backed securities  --  251,384  -- 
Preferred stocks  --  3,555,914  -- 
Senior loans  --  77,735,140  -- 
Warrants  69,367  172,674  1 
U.S. treasury obligations  --  142,675  -- 
U.S. government agency obligations --  147,593  -- 
Short-term investments  12,488,012  249,532  -- 
Totals by level  $50,822,822  $1,202,276,218  $263,647 
 
 
 
 
    Valuation inputs  
Other financial instruments:  Level 1  Level 2  Level 3 
Forward currency contracts to buy  $--  $(122,188)  $-- 
Forward currency contracts to sell  --  821,268  -- 
Totals by level  $--  $699,080  $-- 

 

At the start and/or close of the reporting period, Level 3 investments in securities and other financial instruments were not considered a significant portion of the fund's portfolio.

Market Values 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  Market value  Market value 
Foreign exchange contracts  $821,268  $122,188 
Equity contracts  242,042  -- 
Total  $1,063,310  $122,188 

 

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 Yield Trust

By (Signature and Title):

/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: July 29, 2010

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 29, 2010

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: July 29, 2010