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: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109

Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036

Registrant's telephone number, including area code: (617) 292-1000

Date of fiscal year end: August 31, 2016

Date of reporting period: May 31, 2016

Item 1. Schedule of Investments:

Putnam High Yield Trust
The fund's portfolio
5/31/16 (Unaudited)
CORPORATE BONDS AND NOTES (83.4%)(a)
		Principal amount	Value
Advertising and marketing services (0.6%)
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5 7/8s, 2022		$1,815,000	$1,896,675
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2024		989,000	1,035,978
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5 7/8s, 2025		1,340,000	1,393,600
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2024		1,670,000	1,740,975
			6,067,228
Automotive (0.4%)
Fiat Chryslet Automobiles NV sr. unsec. unsub. notes 5 1/4s, 2023 (Italy)		2,835,000	2,820,825
Lear Corp. company guaranty sr. unsec. notes 5 1/4s, 2025		290,000	308,850
Lear Corp. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024		690,000	729,675
Navistar International Corp. company guaranty sr. unsec. notes 8 1/4s, 2021		1,505,000	1,068,550
			4,927,900
Broadcasting (2.5%)
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7 5/8s, 2020		1,865,000	1,790,400
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022		3,395,000	3,407,731
Entercom Radio, LLC company guaranty sr. unsec. notes 10 1/2s, 2019		1,205,000	1,274,288
Gray Television, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2020		3,400,000	3,565,750
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019		2,740,000	2,150,900
LIN Television Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022		748,000	756,415
Sinclair Television Group, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021		1,478,000	1,559,290
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024		2,755,000	2,823,875
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6s, 2024		1,330,000	1,401,488
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020		1,360,000	1,407,600
TEGNA, Inc. 144A company guaranty sr. unsec. unsub. notes 4 7/8s, 2021		1,020,000	1,040,400
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2023		1,240,000	1,193,500
Tribune Media Co. company guaranty sr. unsec. notes 5 7/8s, 2022		2,305,000	2,328,050
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5 1/8s, 2025		1,909,000	1,894,683
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021		935,000	977,075
			27,571,445
Building materials (0.9%)
Masonite International Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023		2,458,000	2,568,610
Nortek, Inc. company guaranty sr. unsec. sub. notes 8 1/2s, 2021		3,518,000	3,671,913
Standard Industries, Inc. 144A sr. unsec. notes 6s, 2025		1,460,000	1,551,250
Standard Industries, Inc. 144A sr. unsec. notes 5 3/8s, 2024		2,030,000	2,075,675
Standard Industries, Inc./NJ 144A sr. unsec. notes 5 1/8s, 2021		280,000	290,500
			10,157,948
Cable television (5.3%)
Altice SA 144A company guaranty sr. unsec. notes 7 3/4s, 2022 (Luxembourg)		3,995,000	4,054,925
Altice SA 144A company guaranty sr. unsec. notes 7 5/8s, 2025 (Luxembourg)		2,635,000	2,598,769
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017		737,000	783,984
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018		903,000	961,695
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. bonds 5 1/8s, 2023		3,220,000	3,308,550
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 5/8s, 2022		1,585,000	1,681,685
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022		3,328,000	3,411,200
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5 1/2s, 2026		1,345,000	1,358,450
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2024		3,843,000	3,996,720
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5 3/4s, 2026		634,000	649,850
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021		3,980,000	3,797,955
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021		950,000	907,250
CSC Holdings, LLC sr. unsec. unsub. bonds 5 1/4s, 2024		1,500,000	1,350,000
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021		750,000	770,625
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024		1,750,000	1,619,643
Neptune Finco Corp. 144A sr. unsec. unsub. notes 10 7/8s, 2025		1,670,000	1,899,625
Neptune Finco Corp. 144A sr. unsec. unsub. notes 10 1/8s, 2023		2,175,000	2,436,000
Numericable-SFR SA 144A company guaranty sr. notes 7 3/8s, 2026 (France)		2,275,000	2,294,906
Numericable-SFR SA 144A company guaranty sr. notes 6s, 2022 (France)		4,570,000	4,559,146
Numericable-SFR SA 144A sr. bonds 6 1/4s, 2024 (France)		3,440,000	3,354,000
Numericable-SFR SA 144A sr. bonds 5 5/8s, 2024 (France)	EUR	410,000	472,637
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada)		$460,000	471,500
Unitymedia GmbH 144A company guaranty sr. notes 6 1/8s, 2025 (Germany)		1,920,000	1,980,192
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada)		2,930,000	3,047,200
Virgin Media Finance PLC 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (United Kingdom)		1,265,000	1,301,369
Virgin Media Secured Finance PLC 144A sr. notes 5 3/8s, 2021 (United Kingdom)		958,500	996,840
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2019		3,789,000	3,945,296
			58,010,012
Capital goods (7.1%)
Advanced Disposal Services, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020		6,428,000	6,620,840
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5 3/8s, 2024		3,035,000	2,974,300
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5s, 2022		602,000	605,010
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2024 (Ireland)		3,950,000	4,029,000
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6 1/2s, 2023 (Canada)		2,010,000	2,055,225
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022		605,000	611,050
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024		3,624,000	3,506,220
Berry Plastics Corp. 144A company guaranty notes 6s, 2022		865,000	888,788
Bombardier, Inc. 144A sr. unsec. unsub. notes 4 3/4s, 2019 (Canada)		2,415,000	2,288,213
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020		3,493,000	3,824,835
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7 3/8s, 2026		935,000	1,028,500
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. sub. notes 7 3/4s, 2020 (Luxembourg)		1,277,000	1,257,845
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6s, 2022		5,510,000	4,821,250
KLX, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2022		3,781,000	3,724,285
Legrand France SA sr. unsec. unsub. notes 8 1/2s, 2025 (France)		3,362,000	4,524,869
Manitowoc Foodservice, Inc. 144A sr. unsec. notes 9 1/2s, 2024		4,597,000	5,056,700
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023		3,890,000	3,598,250
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022		2,856,000	2,902,410
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2025		1,240,000	1,274,100
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2022		2,630,000	2,715,475
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019		779,000	808,213
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019		490,000	499,800
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand)		395,000	410,326
Schaeffler Holding Finance BV 144A company guaranty sr. sub. notes 6 7/8s, 2018 (Netherlands)(PIK)		1,540,000	1,586,200
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024		1,538,000	1,593,676
Terex Corp. company guaranty sr. unsec. notes 6s, 2021		3,007,000	2,973,171
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8 3/4s, 2023		3,930,000	3,880,875
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021		500,000	529,534
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2024		2,156,000	2,199,120
TransDigm, Inc. 144A company guaranty sr. unsec. sub. bonds 6 3/8s, 2026		1,460,000	1,461,825
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2025		3,175,000	3,175,000
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2022		1,130,000	1,136,215
			78,561,120
Chemicals (2.6%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2023		2,435,000	2,428,913
Blue Cube Spinco, Inc. 144A company guaranty sr. unsec. notes 9 3/4s, 2023		2,085,000	2,408,175
Celanese US Holdings, LLC company guaranty sr. unsec. notes 5 7/8s, 2021 (Germany)		2,309,000	2,511,038
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7s, 2025		890,000	780,419
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6 5/8s, 2023		1,325,000	1,189,188
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024		3,400,000	3,213,000
Huntsman International, LLC company guaranty sr. unsec. notes 5 1/8s, 2022		1,480,000	1,491,100
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020		1,775,000	1,806,063
Kraton Polymers LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 10 1/2s, 2023		2,405,000	2,543,288
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden)		2,440,000	2,440,000
PQ Corp. 144A company guaranty sr. notes 6 3/4s, 2022		650,000	676,000
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2023		1,620,000	1,632,798
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024		3,842,000	4,062,915
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021		970,000	1,005,764
			28,188,661
Commercial and consumer services (0.3%)
Mustang Merger Corp. 144A sr. unsec. notes 8 1/2s, 2021		530,000	553,850
Sabre GLBL, Inc. 144A company guaranty sr. notes 5 3/8s, 2023		2,675,000	2,735,188
			3,289,038
Construction (2.9%)
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023		3,180,000	3,370,800
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2023		2,870,000	3,121,125
Builders FirstSource, Inc. 144A sr. notes 7 5/8s, 2021		1,842,000	1,934,100
Cemex Finance, LLC 144A company guaranty sr. notes 9 3/8s, 2022 (Mexico)		1,595,000	1,730,575
Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico)		1,205,000	1,174,875
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico)		675,000	712,193
Cemex SAB de CV 144A company guaranty sr. notes 6 1/8s, 2025 (Mexico)		550,000	534,875
Cemex SAB de CV 144A company guaranty sr. sub. notes 5.7s, 2025 (Mexico)		2,020,000	1,901,325
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8s, 2021		585,000	552,825
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9 1/2s, 2023		4,498,000	4,992,780
HD Supply, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2020		2,326,000	2,453,930
HD Supply, Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2024		1,105,000	1,149,200
U.S. Concrete, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2024		1,735,000	1,735,000
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021		485,000	509,856
USG Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2025		1,975,000	2,098,438
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6s, 2023		3,911,000	3,637,230
			31,609,127
Consumer (0.4%)
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018		1,725,000	914,250
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5 3/4s, 2025		1,390,000	1,452,550
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2022		140,000	149,275
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2020		175,000	183,531
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2024		1,350,000	1,427,625
			4,127,231
Consumer staples (4.6%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 6s, 2022 (Canada)		3,850,000	3,989,563
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4 5/8s, 2022 (Canada)		990,000	1,009,800
Ashtead Capital, Inc. 144A company guaranty notes 6 1/2s, 2022		2,345,000	2,456,388
Ashtead Capital, Inc. 144A company guaranty notes 5 5/8s, 2024		1,630,000	1,650,375
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022		1,000,000	920,000
BlueLine Rental Finance Corp. 144A notes 7s, 2019		2,530,000	2,137,850
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8s, 2022		3,305,000	3,114,963
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021		5,374,000	5,387,435
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023		295,000	303,481
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022		2,576,000	2,907,614
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R)		3,555,000	3,608,325
Corrections Corp. of America company guaranty sr. unsec. sub. notes 4 1/8s, 2020(R)		545,000	562,713
Dean Foods Co. 144A company guaranty sr. unsec. notes 6 1/2s, 2023		3,060,000	3,182,400
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021		2,815,000	2,111,250
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil)		1,845,000	1,785,038
JBS USA, LLC/JBS USA Finance, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 (Brazil)		685,000	705,550
JBS USA, LLC/JBS USA Finance, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 (Brazil)		589,000	606,670
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil)		120,000	124,800
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018		460,000	464,600
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2025		1,160,000	1,169,431
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2024		450,000	473,625
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2021		2,015,000	2,040,188
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5 3/4s, 2021		4,440,000	4,440,000
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2023		3,081,000	3,258,158
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK)		675,000	371,250
WhiteWave Foods Co. (The) company guaranty sr. unsec. notes 5 3/8s, 2022		1,150,000	1,229,063
			50,010,530
Energy (8.2%)
Anadarko Petroleum Corp. sr. unsec. unsub. notes 5.55s, 2026		1,200,000	1,278,821
Antero Resources Corp. company guaranty sr. unsec. notes 5 5/8s, 2023		1,145,000	1,116,375
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5 1/8s, 2022		1,000,000	957,500
Antero Resources Finance Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2021		1,365,000	1,330,875
Archrock Partners LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6s, 2022		4,158,000	3,575,880
Archrock Partners LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6s, 2021		415,000	358,975
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 (Canada)		1,707,000	1,322,925
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5 1/8s, 2021 (Canada)		255,000	206,550
California Resources Corp. 144A company guaranty notes 8s, 2022		4,125,000	3,011,250
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) (In default)(NON)		1,390,500	615,296
Chesapeake Energy Corp. 144A company guaranty notes 8s, 2022		2,688,000	2,163,840
Concho Resources, Inc. company guaranty sr. unsec. notes 5 1/2s, 2023		3,545,000	3,545,000
Continental Resources, Inc. company guaranty sr. unsec. notes 3.8s, 2024		605,000	527,863
Continental Resources, Inc. company guaranty sr. unsec. sub. notes 5s, 2022		1,765,000	1,667,925
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023		1,580,000	1,438,788
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021		478,000	339,978
Denbury Resources, Inc. 144A company guaranty notes 9s, 2021		2,785,000	2,739,744
Devon Financing Company, LLC company guaranty sr. unsec. unsub. bonds 7 7/8s, 2031		1,095,000	1,172,273
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 6 3/8s, 2023		1,045,000	532,950
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9 3/8s, 2020		4,915,000	3,157,888
Halcon Resources Corp. company guaranty sr. unsec. notes 9 3/4s, 2020		45,000	8,888
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021		6,110,000	1,206,725
Halcon Resources Corp. 144A company guaranty notes 8 5/8s, 2020		1,240,000	1,165,600
Hess Corp. sr. unsec. unsub. notes 7.3s, 2031		1,310,000	1,417,594
Key Energy Services, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2021		2,088,000	506,340
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022		3,965,000	3,989,781
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada)		2,338,000	93,520
Linn Energy, LLC/Linn Energy Finance Corp. 144A company guaranty notes 12s, 2020 (In default)(NON)		5,923,000	1,628,825
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. notes 10 3/8s, 2017 (Canada)(F)		699,000	38
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7s, 2024 (Canada)		1,097,000	844,690
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada)		755,000	594,563
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2017 (In default)(NON)(FWC)		2,825,000	932,250
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/4s, 2022		3,240,000	3,256,200
Newfield Exploration Co. sr. unsec. unsub. notes 5 5/8s, 2024		1,130,000	1,124,350
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/8s, 2026		2,140,000	2,087,163
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 1/2s, 2021		906,000	826,725
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2023		1,130,000	1,022,650
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022		3,445,000	3,169,400
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2023		1,120,000	929,600
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2022		600,000	517,500
Sabine Pass Liquefaction, LLC sr. notes 6 1/4s, 2022		1,385,000	1,416,163
Sabine Pass Liquefaction, LLC sr. notes 5 5/8s, 2023		1,850,000	1,868,500
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016		1,908,000	1,950,930
Sabine Pass LNG LP company guaranty sr. sub. notes 6 1/2s, 2020		1,060,000	1,106,375
Samson Investment Co. company guaranty sr. unsec. notes 9 3/4s, 2020 (In default)(NON)		4,125,000	61,875
SandRidge Energy, Inc. 144A company guaranty notes 8 3/4s, 2020 (In default)(NON)		2,760,000	1,090,200
Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6 3/4s, 2023 (Canada)		2,300,000	2,328,750
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8 1/4s, 2020 (Canada)		1,470,000	1,534,313
Seventy Seven Energy, Inc. sr. unsec. sub. notes 6 1/2s, 2022 (In default)(NON)		1,280,000	70,400
Seventy Seven Operating, LLC company guaranty sr. unsec. unsub. notes 6 5/8s, 2019 (In default)(NON)		3,145,000	1,438,838
SM Energy Co. sr. unsec. notes 6 1/2s, 2021		1,255,000	1,173,425
SM Energy Co. sr. unsec. sub. notes 5s, 2024		2,593,000	2,217,300
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023		1,213,000	1,109,895
SM Energy Co. sr. unsec. unsub. notes 6 1/8s, 2022		820,000	750,300
Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada)	CAD	1,400,000	896,786
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) (In default)(NON)		$665,000	129,675
Triangle USA Petroleum Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2022		1,190,000	255,850
Unit Corp. company guaranty sr. unsec. sub. notes 6 5/8s, 2021		652,000	472,700
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021		623,000	527,993
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5s, 2019		1,845,000	1,660,500
Williams Cos., Inc. (The) sr. unsec. sub. notes 4.55s, 2024		415,000	362,088
Williams Cos., Inc. (The) sr. unsec. unsub. notes 7 7/8s, 2021		639,000	674,145
Williams Cos., Inc. (The) sr. unsec. unsub. notes 7 3/4s, 2031		438,000	431,430
Williams Cos., Inc. (The) sr. unsec. unsub. notes 3.7s, 2023		485,000	408,613
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022		1,986,000	1,946,526
Williams Partners LP/ACMP Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2023		1,925,000	1,751,750
WPX Energy, Inc. sr. unsec. notes 7 1/2s, 2020		1,430,000	1,401,400
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022		5,101,000	4,590,900
			90,010,718
Entertainment (1.8%)
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022		1,760,000	1,777,600
AMC Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5 3/4s, 2025		1,920,000	1,905,600
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022		1,846,000	1,892,150
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4 7/8s, 2023		1,179,000	1,167,210
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4 7/8s, 2020		2,805,000	2,934,731
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2026		1,010,000	1,052,925
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2025		770,000	766,150
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2023		2,170,000	2,218,825
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2022		1,817,000	1,871,510
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021		3,704,000	3,835,936
			19,422,637
Financials (8.2%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022		2,615,000	2,536,550
Ally Financial, Inc. company guaranty sr. unsec. notes 8s, 2031		5,627,000	6,611,725
Ally Financial, Inc. sub. unsec. notes 5 3/4s, 2025		1,460,000	1,478,250
American International Group, Inc. jr. unsec. sub. FRB 8.175s, 2058		2,072,000	2,569,280
Banco Bilbao Vizcaya Argentaria SA jr. unsec. sub. FRB 9s, perpetual maturity (Spain)		1,200,000	1,242,000
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.1s, perpetual maturity		1,010,000	1,030,200
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025		495,000	514,812
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023		363,000	372,419
CIT Group, Inc. sr. unsec. sub. notes 5s, 2023		1,435,000	1,460,113
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020		1,560,000	1,634,100
CIT Group, Inc. sr. unsec. unsub. notes 5s, 2022		1,536,000	1,572,480
Citigroup, Inc. jr. unsec. sub. FRN Ser. Q, 5.95s, perpetual maturity		645,000	629,681
CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020		2,780,000	1,438,650
CNO Financial Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2025		1,255,000	1,292,650
CNO Financial Group, Inc. sr. unsec. unsub. notes 4 1/2s, 2020		1,325,000	1,368,063
Credit Acceptance Corp. company guaranty sr. unsec. notes 7 3/8s, 2023		1,060,000	1,020,250
Credit Acceptance Corp. company guaranty sr. unsec. notes 6 1/8s, 2021		1,930,000	1,862,450
Credit Suisse Group AG 144A jr. unsec. sub. FRN 6 1/4s, perpetual maturity (Switzerland)		525,000	505,313
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020		2,555,000	1,603,263
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151s, 2031		2,092,000	2,468,351
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022		1,020,000	1,065,900
E*Trade Financial Corp. sr. unsec. unsub. notes 4 5/8s, 2023		2,150,000	2,176,875
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2025(R)		2,165,000	2,100,050
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRN 6.15s, 2066		1,016,000	335,280
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8 1/8s, 2019(PIK)		705,000	662,700
HUB International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021		2,858,000	2,800,840
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6s, 2020		2,183,000	2,112,747
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022		1,902,000	1,749,840
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037		830,000	917,150
Lloyds Bank PLC jr. unsec. sub. FRN Ser. EMTN, 13s, perpetual maturity (United Kingdom)	GBP	1,265,000	3,045,054
Lloyds Banking Group PLC jr. unsec. sub. FRB 7 1/2s, perpetual maturity (United Kingdom)		$343,000	343,858
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 3/8s, 2024(R)		995,000	1,064,650
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 3/8s, 2022(R)		1,440,000	1,506,600
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2020		1,380,000	1,307,550
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021		2,940,000	2,544,923
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022		2,340,000	2,436,525
Ocwen Financial Corp. sr. unsec. notes 6 5/8s, 2019		934,000	670,145
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. sub. notes 6 3/4s, 2019		1,180,000	1,191,800
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021		2,337,000	2,360,370
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021		1,440,000	1,260,000
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021		2,791,000	2,651,450
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 8s, perpetual maturity (United Kingdom)		1,055,000	1,035,037
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648s, perpetual maturity (United Kingdom)		6,390,000	7,540,200
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7 1/2s, perpetual maturity (United Kingdom)		1,340,000	1,281,375
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 8 1/4s, 2020		760,000	790,400
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021		835,000	826,650
Springleaf Finance Corp. sr. unsec. unsub. notes 5 1/4s, 2019		615,000	587,325
Stearns Holdings, Inc. 144A company guaranty sr. notes 9 3/8s, 2020		1,625,000	1,531,563
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8 1/2s, 2018		1,919,000	1,477,630
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024		2,636,000	2,629,410
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021		2,220,000	2,208,900
VEREIT Operating Partnership LP company guaranty sr. unsec. unsub. bonds 4 7/8s, 2026(R)		360,000	369,207
Walter Investment Management Corp. company guaranty sr. unsec. notes 7 7/8s, 2021		1,215,000	698,625
Wayne Merger Sub, LLC 144A sr. unsec. notes 8 1/4s, 2023		1,739,000	1,725,958
			90,217,187
Forest products and packaging (2.1%)
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020		3,958,000	4,007,475
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg)		4,150,000	4,056,625
Louisiana-Pacific Corp. company guaranty sr. unsec. notes 7 1/2s, 2020		2,550,000	2,642,438
Mercer International, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada)		2,664,000	2,683,980
Norbord, Inc. 144A company guaranty sr. notes 6 1/4s, 2023 (Canada)		2,635,000	2,690,994
Pactiv LLC sr. unsec. unsub. bonds 8 3/8s, 2027		260,000	265,200
Pactiv, LLC sr. unsec. unsub. notes 7.95s, 2025		1,385,000	1,398,850
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033		2,177,000	2,285,850
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7 1/2s, 2025 (Ireland)		2,863,000	3,374,761
			23,406,173
Gaming and lottery (2.5%)
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2023		2,470,000	2,589,795
Boyd Gaming Corp. 144A company guaranty sr. unsec. unsub. bonds 6 3/8s, 2026		730,000	751,900
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7s, 2023		2,475,000	2,586,375
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada)	CAD	3,139,000	2,447,575
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021		$1,765,000	1,842,219
Penn National Gaming, Inc. sr. unsec. sub. notes 5 7/8s, 2021		2,599,000	2,670,473
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019		1,097,000	1,128,539
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018		6,261,000	6,511,440
Scientific Games International, Inc. company guaranty sr. unsec. notes 10s, 2022		7,434,000	6,021,540
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020		675,000	408,375
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022		565,000	570,650
			27,528,881
Health care (7.9%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 6 1/8s, 2021		3,145,000	3,231,488
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 5 1/8s, 2022		1,675,000	1,683,375
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2023		2,910,000	2,560,800
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022		2,415,000	2,481,413
Centene Escrow Corp. 144A sr. unsec. notes 6 1/8s, 2024		2,175,000	2,290,558
Centene Escrow Corp. 144A sr. unsec. notes 5 5/8s, 2021		675,000	702,000
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2021		1,170,000	1,168,538
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022		2,150,000	1,847,689
Concordia Healthcare Corp. 144A company guaranty sr. unsec. notes 7s, 2023 (Canada)		2,755,000	2,569,038
ConvaTec Healthcare E SA 144A company guaranty sr. unsec. unsub. notes 10 1/2s, 2018 (Luxembourg)		2,131,000	2,202,921
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022		3,825,000	3,122,156
DPx Holdings BV 144A sr. unsec. sub. notes 7 1/2s, 2022 (Netherlands)		2,280,000	2,337,000
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2023		1,298,000	1,129,260
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 6s, 2025 (Ireland)		875,000	759,063
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6s, 2023 (Ireland)		3,850,000	3,392,813
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2022		2,685,000	2,611,163
HCA, Inc. company guaranty sr. bonds 5 1/4s, 2026		1,955,000	2,008,763
HCA, Inc. company guaranty sr. notes 6 1/2s, 2020		4,955,000	5,450,500
HCA, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2022		705,000	799,294
HCA, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2025		690,000	700,350
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2023		2,605,000	2,659,705
JLL/Delta Dutch Pledgeco BV 144A sr. unsec. notes 8 3/4s, 2020 (Netherlands)(PIK)		2,660,000	2,653,350
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sub. notes 10 1/2s, 2018		3,820,000	3,820,000
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sr. notes 7 7/8s, 2021		1,695,000	1,818,362
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2025 (Luxembourg)		2,050,000	1,850,125
MEDNAX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2023		910,000	931,048
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2022		1,605,000	1,603,042
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95s, 2024(R)		2,145,000	2,180,954
Service Corp. International/US sr. unsec. notes 5 3/8s, 2022		2,554,000	2,665,738
Service Corp. International/US sr. unsec. unsub. notes 5 3/8s, 2024		3,800,000	3,933,000
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6 1/2s, 2023		1,285,000	1,307,488
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021		3,175,000	3,194,844
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018		860,000	907,300
Tenet Healthcare Corp. company guaranty sr. sub. notes 6s, 2020		2,520,000	2,652,300
Tenet Healthcare Corp. 144A company guaranty sr. FRN 4.134s, 2020		2,920,000	2,905,400
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 7s, 2020		1,425,000	1,286,063
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2025		2,100,000	1,756,125
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2023		2,345,000	1,975,663
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021		925,000	781,625
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023		1,100,000	913,000
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2020		1,620,000	1,429,650
			86,272,964
Homebuilding (2.5%)
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5 3/4s, 2023		1,944,000	2,019,330
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada)		3,150,000	3,197,250
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada)		815,000	777,306
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2021		2,948,000	3,158,045
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2024		1,230,000	1,297,650
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021		5,030,000	5,105,450
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022		500,000	496,250
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2021		1,375,000	1,405,938
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada)		3,056,000	2,971,960
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032		2,499,000	2,811,375
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2026		2,505,000	2,553,547
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024		1,535,000	1,504,300
			27,298,401
Household furniture and appliances (0.1%)
Tempur Sealy International, Inc. 144A company guaranty sr. unsec. unsub. bonds 5 1/2s, 2026		1,160,000	1,165,800
			1,165,800
Lodging/Tourism (0.7%)
MGM Growth Properties Operating Partnership LP/MGP Escrow Co-Issuer, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024		920,000	966,000
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019		569,000	644,393
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021		945,000	1,017,056
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021		4,607,000	4,560,930
			7,188,379
Media (0.4%)
EMI Music Publishing Group North America Holdings, Inc. 144A sr. unsec. notes 7 5/8s, 2024		2,005,000	2,052,619
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2021 (Luxembourg)		2,680,000	2,787,200
			4,839,819
Metals (3.2%)
ArcelorMittal SA sr. unsec. unsub. bonds 10.85s, 2019 (France)		1,525,000	1,788,063
ArcelorMittal SA sr. unsec. unsub. bonds 6 1/8s, 2025 (France)		2,199,000	2,149,523
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7 1/4s, 2022 (Canada)		1,654,000	1,265,310
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada)		1,520,000	1,200,800
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada)		1,554,000	1,243,200
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022		960,000	900,000
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023		1,590,000	1,478,700
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 3.55s, 2022 (Indonesia)		230,000	192,625
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada)		3,634,000	3,016,220
JMC Steel Group, Inc. 144A sr. unsec. notes 8 1/4s, 2018		3,385,000	3,452,700
Joseph T Ryerson & Son, Inc. 144A sr. notes 11s, 2022		1,980,000	2,034,450
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 (Canada)		1,405,000	1,410,269
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 (Canada)		1,060,000	1,001,700
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020		5,045,000	5,234,188
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022		3,670,000	3,853,500
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2024		855,000	878,684
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023		1,150,000	1,179,670
Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8 1/2s, 2024 (Canada)		320,000	328,400
Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8s, 2021 (Canada)		480,000	490,800
TMS International Corp. 144A company guaranty sr. unsec. sub. notes 7 5/8s, 2021		3,680,000	2,576,000
			35,674,802
Regional Bells (0.7%)
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021		1,605,000	1,496,663
Frontier Communications Corp. 144A sr. unsec. notes 11s, 2025		2,393,000	2,434,878
Frontier Communications Corp. 144A sr. unsec. notes 10 1/2s, 2022		2,555,000	2,660,394
Frontier Communications Corp. 144A sr. unsec. notes 8 7/8s, 2020		785,000	834,063
			7,425,998
Retail (2.4%)
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017		2,434,000	2,074,985
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021		1,941,000	786,105
Dollar Tree, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2023		870,000	918,938
Dollar Tree, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2020		605,000	630,713
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8 1/8s, 2019		2,320,000	2,372,200
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65s, 2020		420,000	388,500
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK)		1,815,000	1,588,125
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019		3,805,000	3,700,363
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021		215,000	239,456
L Brands, Inc. company guaranty sr. unsec. sub. notes 5 5/8s, 2022		1,470,000	1,569,225
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028		1,996,000	1,796,400
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8 3/4s, 2021(PIK)		3,665,000	2,574,663
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8s, 2021		3,085,000	2,329,175
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2026		1,305,000	1,295,213
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022		2,490,000	2,552,250
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024		1,860,000	1,860,000
			26,676,311
Technology (4.0%)
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021		1,400,000	395,500
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019		6,075,000	4,404,375
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6s, 2025		3,111,000	3,165,443
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35s, 2046		505,000	514,080
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45s, 2023		2,740,000	2,786,150
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7s, 2023		3,915,000	3,968,831
First Data Corp. 144A notes 5 3/4s, 2024		2,590,000	2,590,000
First Data Corp. 144A sr. notes 5 3/8s, 2023		2,095,000	2,147,375
Infor US, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022		5,627,000	5,162,773
Infor US, Inc. 144A company guaranty sr. notes 5 3/4s, 2020		734,000	768,784
Iron Mountain, Inc. company guaranty sr. unsec. notes 6s, 2023(R)		2,400,000	2,502,000
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 6s, 2020(R)		915,000	965,325
Micron Technology, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022		2,195,000	1,997,450
Micron Technology, Inc. 144A sr. notes 7 1/2s, 2023		1,110,000	1,165,500
NXP BV/NXP Funding, LLC 144A Company guaranty sr. unsec. notes 4 5/8s, 2023 (Netherlands)		3,045,000	3,060,255
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023		3,135,000	3,119,325
SoftBank Corp. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2020 (Japan)		935,000	960,713
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019		820,000	401,800
Zebra Technologies Corp. sr. unsec. unsub. bonds 7 1/4s, 2022		3,565,000	3,801,181
			43,876,860
Telecommunications (3.2%)
Altice Finco SA 144A company guaranty sr. unsec. unsub. notes 7 5/8s, 2025 (Luxembourg)		1,100,000	1,025,750
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica)		3,465,000	3,005,888
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 (Jamaica)		2,585,000	2,274,800
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda)		926,000	629,680
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg)		379,000	112,753
Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds 8 1/8s, 2023 (Luxembourg)		758,000	225,505
Level 3 Communications, Inc. sr. unsec. unsub. notes 5 3/4s, 2022		1,925,000	1,968,313
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021		965,000	1,008,425
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024		1,005,000	1,022,789
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2022		1,275,000	1,294,125
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025		1,656,000	1,769,347
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6 7/8s, 2028		5,247,000	3,915,574
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018		2,086,000	2,218,983
Sprint Corp. company guaranty sr. unsec. sub. notes 7 7/8s, 2023		7,240,000	5,647,200
Sprint Corp. company guaranty sr. unsec. sub. notes 7 1/4s, 2021		4,075,000	3,300,750
West Corp. 144A company guaranty sr. unsec. sub. notes 5 3/8s, 2022		4,885,000	4,433,138
Wind Acquisition Finance SA 144A company guaranty notes 7 3/8s, 2021 (Luxembourg)		1,405,000	1,329,481
			35,182,501
Telephone (1.8%)
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 5/8s, 2023		2,054,000	2,172,105
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 3/8s, 2025		4,140,000	4,336,650
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021		1,444,000	1,512,590
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6s, 2023		405,000	422,213
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.836s, 2023		145,000	153,700
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633s, 2021		2,015,000	2,120,788
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022		2,353,000	2,482,415
Windstream Services, LLC company guaranty sr. unsec. notes 7 3/4s, 2021		3,317,000	2,894,083
Windstream Services, LLC company guaranty sr. unsec. notes 6 3/8s, 2023		4,699,000	3,615,317
			19,709,861
Textiles (0.1%)
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4 5/8s, 2024		1,450,000	1,450,000
			1,450,000
Tire and rubber (0.3%)
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022		2,766,000	2,396,048
Goodyear Tire & Rubber Co. (The) company guaranty sr. unsec. notes 5s, 2026		755,000	763,494
			3,159,542
Transportation (0.8%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6 3/8s, 2023		3,445,000	3,350,263
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023		5,382,000	5,355,090
			8,705,353
Utilities and power (4.9%)
AES Corp./Virginia (The) sr. unsec. notes 8s, 2020		791,000	923,493
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025		3,836,000	3,836,000
AES Corp./Virginia (The) sr. unsec. notes 4 7/8s, 2023		950,000	938,125
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021		3,465,000	3,958,763
Boardwalk Pipelines LP company guaranty sr. unsec. unsub. bonds 5.95s, 2026		840,000	842,218
Calpine Corp. sr. unsec. sub. notes 5 3/4s, 2025		4,635,000	4,484,363
Calpine Corp. 144A company guaranty sr. notes 6s, 2022		900,000	942,750
Calpine Corp. 144A company guaranty sr. sub. notes 5 7/8s, 2024		550,000	576,125
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85s, 2037		3,492,000	3,377,888
DPL, Inc. sr. unsec. sub. notes 6 1/2s, 2016		231,000	234,465
Dynegy, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022		225,000	217,125
Dynegy, Inc. company guaranty sr. unsec. notes 6 3/4s, 2019		4,379,000	4,389,948
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7 5/8s, 2024		150,000	144,000
El Paso Natural Gas Co., LLC company guaranty sr. unsec. notes 8 5/8s, 2022		1,597,000	1,828,257
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default)(NON)		2,519,128	2,903,295
Energy Transfer Equity LP company guaranty sr. notes 7 1/2s, 2020		1,785,000	1,820,700
Energy Transfer Equity LP sr. sub. notes 5 7/8s, 2024		1,440,000	1,335,600
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031		1,285,000	905,925
GenOn Americas Generation, LLC sr. unsec. notes 8 1/2s, 2021		3,241,000	2,430,750
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018		610,000	480,375
GenOn Energy, Inc. sr. unsec. sub. notes 9 7/8s, 2020		765,000	548,888
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 7 7/8s, 2021		6,021,000	6,246,788
NRG Energy, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2026		2,050,000	2,044,875
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5s, 2022		1,260,000	1,236,885
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021		200,000	205,796
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022		1,840,000	1,878,158
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023		1,720,000	1,682,370
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023		1,177,000	1,107,180
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022		2,385,000	2,289,600
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON)		1,345,000	416,950
			54,227,655
Total corporate bonds and notes (cost $965,473,996)			$915,960,082
SENIOR LOANS (5.3%)(a)(c)
		Principal amount	Value
Basic materials (0.1%)
Kraton Polymers, LLC/Kraton Polymers Capital Corp. bank term loan FRN Ser. B , 6s, 2022		$1,120,000	$1,107,400
Solenis International LP bank term loan FRN 7 3/4s, 2022		235,000	214,438
			1,321,838
Capital goods (0.1%)
Manitowac Foodservice, Inc. bank term loan FRN 5 3/4s, 2023		1,225,846	1,234,529
			1,234,529
Communication services (0.2%)
Asurion, LLC bank term loan FRN 8 1/2s, 2021		1,865,000	1,820,706
			1,820,706
Consumer cyclicals (3.5%)
Academy, Ltd. bank term loan FRN Ser. B, 5s, 2022		2,545,066	2,463,412
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11 1/4s, 2017		5,210,117	5,216,630
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 11 3/4s, 2017		1,029,825	1,035,832
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021		3,669,638	3,424,994
CPG International, Inc. bank term loan FRN Ser. B, 4 3/4s, 2020		856,780	855,709
DBP Holding Corp. bank term loan FRN Ser. B, 5 1/4s, 2019		916,070	837,059
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019		2,301,368	1,724,587
iHeartCommunications, Inc. bank term loan FRN Ser. D, 7.189s, 2019		2,546,000	1,952,993
J Crew Group, Inc. bank term loan FRN Ser. B, 4s, 2021		3,031,797	2,251,652
Jeld-Wen, Inc. bank term loan FRN 5 1/4s, 2021		1,522,292	1,523,560
Jeld-Wen, Inc. bank term loan FRN Ser. B, 4 3/4s, 2022		1,880,550	1,882,117
Navistar, Inc. bank term loan FRN Ser. B, 6 1/2s, 2020		3,872,408	3,659,425
PET Acquisition Merger Sub, LLC bank term loan FRN Ser. B1, 5 3/4s, 2023		2,977,538	2,996,680
ROC Finance, LLC bank term loan FRN 5s, 2019		2,302,578	2,198,962
Scientific Games International, Inc. bank term loan FRN Ser. B2, 6s, 2021		1,466,288	1,451,625
Talbots, Inc. (The) bank term loan FRN 9 1/2s, 2021		1,563,988	1,450,599
Talbots, Inc. (The) bank term loan FRN 5 1/2s, 2020		1,573,340	1,520,240
Travelport Finance Sarl bank term loan FRN Ser. B, 5 3/4s, 2021 (Luxembourg)		1,048,892	1,050,859
Yonkers Racing Corp. bank term loan FRN 4 1/4s, 2019		1,260,127	1,234,399
			38,731,334
Consumer staples (0.1%)
Del Monte Foods, Inc. bank term loan FRN 8 1/4s, 2021		1,440,000	1,068,000
			1,068,000
Energy (0.3%)
MEG Energy Corp. bank term loan FRN Ser. B, 3 3/4s, 2020 (Canada)		2,230,000	1,949,856
Western Refining, Inc. bank term loan FRN Ser. B2, 4 1/2s, 2023		980,000	961,625
			2,911,481
Financials (—%)
iStar, Inc. bank term loan FRN Ser. A2, 7s, 2017(R)		412,702	411,670
			411,670
Health care (0.6%)
AMAG Pharmaceuticals, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021		950,625	943,495
Concordia Healthcare Corp. bank term loan FRN Ser. B, 5 1/4s, 2021 (Canada)		2,189,513	2,168,986
Multiplan, Inc. bank term loan FRN Ser. B, 5s, 2023		960,000	966,240
Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Netherlands)		820,317	806,474
Quorum Health Corp. bank term loan FRN 6 3/4s, 2022		1,295,000	1,290,953
			6,176,148
Technology (0.3%)
Avaya, Inc. bank term loan FRN Ser. B7, 6 1/4s, 2020		2,575,976	1,867,583
ON Semiconductor Corp. bank term loan FRN Ser. B, 5 1/4s, 2023		1,220,000	1,228,896
			3,096,479
Utilities and power (0.1%)
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.918s, 2017		4,891,407	1,532,933
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.918s, 2017		50,201	15,733
			1,548,666
Total senior loans (cost $64,046,379)			$58,320,851
COMMON STOCKS (1.7%)(a)
		Shares	Value
Ally Financial, Inc.(NON)		122,265	$2,193,434
Berry Plastics Group, Inc.(NON)		62,115	2,433,045
Boise Cascade Co.(NON)		56,335	1,293,452
CIT Group, Inc.		35,508	1,216,504
DISH Network Corp. Class A(NON)		28,200	1,407,180
Eldorado Resorts, Inc.(NON)		87,925	1,310,083
Gaming and Leisure Properties, Inc.(R)		50,034	1,646,619
General Motors Co.		31,956	999,584
Hilton Worldwide Holdings, Inc.		42,995	893,436
Live Nation Entertainment, Inc.(NON)		72,585	1,752,928
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON)		87,188	872
Lone Pine Resources, Inc. Class A (Canada)(F)(NON)		87,188	872
Penn National Gaming, Inc.(NON)		139,835	2,191,214
Service Corp. International/US		60,225	1,650,165
Tribune Media Co. Class 1C(F)		297,958	74,489
Vantage Drilling International (Units) (Cayman Islands)(NON)		1,472	125,120
Total common stocks (cost $18,210,200)			$19,188,997
CONVERTIBLE PREFERRED STOCKS (1.1%)(a)
		Shares	Value
Allergan PLC Ser. A, 5.50% cv. pfd.		2,467	$2,083,776
American Tower Corp. $5.50 cv. pfd.(R)		23,000	2,429,375
Crown Castle International Corp. Ser. A, $4.50 cv. pfd.(R)		14,630	1,596,426
EPR Properties Ser. C, $1.438 cv. pfd.(R)		75,313	2,093,114
T-Mobile US, Inc. Ser. A, $2.75 cv. pfd.		40,485	2,928,685
Tyson Foods, Inc. $2.375 cv. pfd.		15,619	1,105,044
Total convertible preferred stocks (cost $11,001,343)			$12,236,420
CONVERTIBLE BONDS AND NOTES (0.4%)(a)
		Principal amount	Value
iStar, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R)		$1,377,000	$1,431,219
Jazz US Holdings, Inc. cv. company guaranty sr. unsec. notes 8s, 2018		1,132,000	1,710,028
Navistar International Corp. cv. sr. unsec. sub. bonds 4 1/2s, 2018		886,000	508,896
ON Semiconductor Corp. 144A cv. company guaranty sr. unsec. unsub. notes 1s, 2020		1,008,000	919,800
Total convertible bonds and notes (cost $4,204,236)			$4,569,943
SHORT-TERM INVESTMENTS (7.5%)(a)
		Principal amount/shares	Value
Putnam Short Term Investment Fund 0.41%(AFF)	Shares	80,823,785	$80,823,785
U.S. Treasury Bills 0.26%, June 23, 2016(SEGCCS)		$220,000	219,970
U.S. Treasury Bills 0.25%, June 16, 2016(SEGSF)(SEGCCS)		1,338,000	1,337,885
U.S. Treasury Bills 0.28%, June 9, 2016(SEGSF)(SEGCCS)		364,000	363,982
U.S. Treasury Bills 0.18%, June 2, 2016		66,000	66,000
Total short-term investments (cost $82,811,589)			$82,811,622
TOTAL INVESTMENTS
Total investments (cost $1,145,747,743)(b)			$1,093,087,915

FORWARD CURRENCY CONTRACTS at 5/31/16 (aggregate face value $9,392,225) (Unaudited)
						Unrealized
		Contract	Delivery		Aggregate	appreciation/
Counterparty	Currency	type	date	Value	face value	(depreciation)
Credit Suisse International
	British Pound	Buy	6/15/16	$766,960	$744,768	$22,192
	British Pound	Sell	6/15/16	766,960	777,331	10,371
Goldman Sachs International
	British Pound	Buy	6/15/16	836,631	813,073	23,558
	British Pound	Sell	6/15/16	836,631	847,863	11,232
	Euro	Sell	6/15/16	507,812	496,685	(11,127)
JPMorgan Chase Bank N.A.
	Canadian Dollar	Sell	7/21/16	1,109,852	1,109,054	(798)
State Street Bank and Trust Co.
	Canadian Dollar	Sell	7/21/16	2,171,510	2,171,637	127
UBS AG
	British Pound	Sell	6/15/16	2,572,902	2,431,814	(141,088)
Total						$(85,533)

	CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 5/31/16 (Unaudited)
			Upfront				Payments
			premium			Termi-	received	Unrealized
			received		Notional	nation	(paid) by fund	appreciation/
	Referenced debt*	Rating***	(paid)**		amount	date	per annum	(depreciation)
	NA HY Series 25 Index	B+/P	$314,015		$24,750,000	12/20/20	500 bp	$1,473,745
	Total		$314,015	$1,473,745
*	Payments related to the referenced debt are made upon a credit default event.
**	Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
***	Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at May 31, 2016. Securities rated by Putnam are indicated by "/P." Securities rated by Fitch are indicated by "/F."

Key to holding's currency abbreviations
CAD	Canadian Dollar
EUR	Euro
GBP	British Pound
Key to holding's abbreviations
EMTN	Euro Medium Term Notes
FRB	Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN	Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
MTN	Medium Term Notes

	Notes to the fund's portfolio
	Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from September 1, 2015 through May 31, 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 $1,098,863,811.
(b)	The aggregate identified cost on a tax basis is $1,145,972,401, resulting in gross unrealized appreciation and depreciation of $28,293,810 and $81,178,296, respectively, or net unrealized depreciation of $52,884,486.
(NON)	This security is non-income-producing.
(PIK)	Income may be received in cash or additional securities at the discretion of the issuer.
(AFF)	Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:
	Name of affiliate	Fair value at the beginning of the reporting period	Purchase cost	Sale proceeds	Investment income	Fair value at the end of the reporting period
	Putnam Short Term Investment Fund*	$42,679,199	$325,152,494	$287,007,908	$182,992	$80,823,785
	* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.
(SEGSF)	This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS)	This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(FWC)	Forward commitment, in part or in entirety.
(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 $24,912,581 to cover certain derivative contracts.
	Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
	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 foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
	To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
	To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
	Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge currency exposures.
	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.
	Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk, and to gain exposure on individual names and/or baskets of securities.
	In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
	In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
	For the fund's average notional amount on credit default 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 $141,886 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $121,988 and may include amounts related to unsettled 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	$1,293,452	$—	$—
Capital goods	2,433,045	—	—
Communication services	1,407,180	—	—
Consumer cyclicals	7,147,245	—	74,489
Energy	125,120	—	1,744
Financials	5,056,557	—	—
Health care	1,650,165	—	—
Total common stocks	19,112,764	—	76,233
Convertible bonds and notes	—	4,569,943	—
Convertible preferred stocks	—	12,236,420	—
Corporate bonds and notes	—	915,960,044	38
Senior loans	—	58,320,851	—
Short-term investments	80,823,785	1,987,837	—
Totals by level	$99,936,549	$993,075,095	$76,271
		Valuation inputs
Other financial instruments:	Level 1	Level 2	Level 3
Forward currency contracts	$—	$(85,533)	$—
Credit default contracts	—	1,159,730	—
Totals by level	$—	$1,074,197	$—
* 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, 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
Credit contracts	$1,159,730	$—
Foreign exchange contracts	67,480	153,013
Total	$1,227,210	$153,013
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)		$11,900,000
Centrally cleared credit default contracts (notional)		$17,900,000
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.
		Barclays Capital Inc. (clearing broker)	Credit Suisse International	Goldman Sachs International	JPMorgan Chase Bank N.A.	State Street Bank and Trust Co.	UBS AG	Total
	Assets:
	Centrally cleared credit default contracts§	—	—	—	—	—	—	—
	Forward currency contracts#	—	32,563	34,790	—	127	—	67,480
	Total Assets	$—	$32,563	$34,790	$—	$127	$—	$67,480
	Liabilities:
	Centrally cleared credit default contracts§	16,481	—	—	—	—	—	16,481
	Forward currency contracts#	—	—	11,127	798	—	141,088	153,013
	Total Liabilities	$16,481	$—	$11,127	$798	$—	$141,088	$169,494
	Total Financial and Derivative Net Assets	$(16,481)	$32,563	$23,663	$(798)	$127	$(141,088)	$(102,014)
	Total collateral received (pledged)##†	$—	$—	$—	$—	$—	$(121,988)
	Net amount	$(16,481)	$32,563	$23,663	$(798)	$127	$(19,100)
†	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.
§	Includes current day's variation margin only, which is not collateralized.  Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.
	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 28, 2016

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

By (Signature and Title):

/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: July 28, 2016

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: July 28, 2016