N-Q 1 a_highyieldadv.htm PUTNAM HIGH YIELD ADVANTAGE FUND a_highyieldadv.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- 04616 )

Exact name of registrant as specified in charter: Putnam High Yield Advantage Fund

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: November 30, 2007

Date of reporting period: February 28, 2007

Item 1. Schedule of Investments:

Putnam High Yield Advantage Fund       
 
The fund's portfolio       
2/28/07 (Unaudited)       
 
CORPORATE BONDS AND NOTES (88.3%)(a)       
    Principal   
    amount  Value 
Advertising and Marketing Services (0.2%)       
Lamar Media Corp. company guaranty 7 1/4s, 2013    $1,145,000  $1,162,175 
Lamar Media Corp. company guaranty Ser. B, 6 5/8s, 2015    760,000  748,600 
      1,910,775 
 
Automotive (4.4%)       
American Axle & Manufacturing, Inc. company guaranty       
7 7/8s, 2017    1,425,000  1,425,000 
ArvinMeritor, Inc. sr. unsecd. notes 8 1/8s, 2015    380,000  385,700 
Dana Corp. notes 5.85s, 2015  USD  2,135,000  1,553,213 
Ford Motor Co. notes 7.45s, 2031    $2,700,000  2,166,750 
Ford Motor Credit Corp. notes 7 7/8s, 2010    3,630,000  3,692,527 
Ford Motor Credit Corp. sr. notes 9 7/8s, 2011    5,600,000  6,035,915 
Ford Motor Credit Corp. sr. unsec 8s, 2016    795,000  789,351 
Ford Motor Credit Corp. sr. unsec. FRN 8.11s, 2012    625,000  628,202 
Ford Motor Credit Corp. 144A sr. unsecd. notes 9 3/4s,       
2010    1,970,000  2,110,741 
General Motors Corp. debs. 9.4s, 2021    425,000  426,063 
General Motors Corp. notes 7.2s, 2011    6,985,000  6,810,375 
Meritor Automotive, Inc. notes 6.8s, 2009    282,000  285,525 
Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014    3,030,000  3,158,775 
TRW Automotive, Inc. sr. notes 9 3/8s, 2013    440,000  472,450 
TRW Automotive, Inc. sr. sub. notes 11s, 2013    2,820,000  3,091,425 
UCI Holdco, Inc. 144A sr. notes 12.37s, 2013 (PIK)    1,845,000  1,886,513 
      34,918,525 
 
Basic Materials (8.7%)       
Abitibi-Consolidated, Inc. notes 7 3/4s, 2011 (Canada)    1,285,000  1,259,300 
Abitibi-Consolidated, Inc. notes 6s, 2013 (Canada)    1,175,000  1,034,000 
AK Steel Corp. company guaranty 7 3/4s, 2012    2,785,000  2,819,813 
Aleris International, Inc. 144A sr. notes 9s, 2014    1,470,000  1,558,200 
Aleris International, Inc. 144A sr. sub. notes 10s,       
2016    1,660,000  1,751,300 
BCP Crystal US Holdings Corp. sr. sub. notes 9 5/8s,       
2014    487,000  541,179 
Builders FirstSource, Inc. company guaranty FRB 9.61s,       
2012    2,350,000  2,397,000 
Century Aluminum Co. company guaranty 7 1/2s, 2014    1,135,000  1,160,538 
Chaparral Steel Co. company guaranty 10s, 2013    4,210,000  4,704,675 
Chesapeake Corp. sr. sub. notes 7s, 2014  EUR  290,000  371,556 
Cognis Holding GmbH & Co. 144A sr. notes 12.876s, 2015       
(Germany) (PIK)  EUR  1,443,672  1,988,614 
Covalence Specialty Materials Corp. 144A sr. sub.       
notes 10 1/4s, 2016    $3,630,000  3,457,575 
Crystal US Holdings, LLC sr. disc. notes       
stepped-coupon Ser. A, zero % (10s, 10/1/09), 2014       
(STP)    4,505,000  3,941,875 
Domtar, Inc. notes 7 1/8s, 2015 (Canada)    135,000  135,506 
Domtar, Inc. notes 5 3/8s, 2013 (Canada)    2,725,000  2,520,625 
Georgia-Pacific Corp. debs. 9 1/2s, 2011    3,215,000  3,592,763 
Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011       
(Canada)    475,000  505,875 
Hercules, Inc. company guaranty 6 3/4s, 2029    425,000  425,000 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance,       
ULC 144A sr. notes 9 3/4s, 2014    745,000  789,700 
Huntsman, LLC company guaranty 11 5/8s, 2010    3,000  3,255 
Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012    1,200,000  1,224,000 
Jefferson Smurfit Corp. company guaranty 7 1/2s, 2013    20,000  19,900 
JSG Holding PLC 144A sr. notes 11 1/2s, 2015 (Ireland)       
(PIK)  EUR  1,295,000  1,824,511 
Lyondell Chemical Co. company guaranty 8 1/4s, 2016    $940,000  1,010,500 
Lyondell Chemical Co. company guaranty 8s, 2014    1,505,000  1,584,013 
MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland)    1,735,000  1,841,269 
Metals USA, Inc. sec. notes 11 1/8s, 2015    1,085,000  1,204,350 
Momentive Performance Materials, Inc. 144A sr. notes       
9 3/4s, 2014    3,215,000  3,367,713 
Mosaic Co. (The) 144A sr. notes 7 5/8s, 2016    1,115,000  1,162,388 
Mosaic Co. (The) 144A sr. notes 7 3/8s, 2014    670,000  691,775 
Nalco Co. sr. sub. notes 8 7/8s, 2013    2,795,000  2,976,675 
Nell AF S.a.r.l. 144A sr. notes 8 3/8s, 2015       
(Luxembourg)    1,485,000  1,566,675 
Nell AF S.a.r.l. 144A sr. notes 8 3/8s, 2015       
(Luxembourg)  EUR  1,055,000  1,540,808 
NewPage Corp. sec. notes 10s, 2012    $820,000  893,800 
Newpage Holding Corp. sr. notes 12.389s, 2013 (PIK)    795,000  802,950 
Norske Skog Canada, Ltd. company guaranty Ser. D,       
8 5/8s, 2011 (Canada)    2,000,000  2,040,000 
Novelis, Inc. company guaranty 7 1/4s, 2015 (acquired       
various dates from 01/26/07 to 02/05/07, cost       
$1,081,863) (RES)    1,060,000  1,102,400 
PCI Chemicals Canada sec. sr. notes 10s, 2008 (Canada)    237,041  243,560 

Rockwood Specialties Group, Inc. company guaranty       
7 5/8s, 2014  EUR  1,680,000  2,358,043 
Stone Container Corp. sr. notes 9 3/4s, 2011    $385,000  398,956 
Stone Container Corp. sr. notes 8 3/8s, 2012    4,170,000  4,253,400 
Tube City IMS Corp. 144A sr. sub. notes 9 3/4s, 2015    1,455,000  1,527,750 
Ucar Finance, Inc. company guaranty 10 1/4s, 2012    278,000  292,595 
Wheeling-Pittsburgh Steel Corp. sr. notes Ser. A, 5s,       
2011 (PIK)    280,632  218,191 
Wheeling-Pittsburgh Steel Corp. sr. notes Ser. B, 6s,       
2010 (PIK)    159,303  123,858 
      69,228,429 
 
Beverage (0.2%)       
Constellation Brands, Inc. company guaranty Ser. B,       
8s, 2008    1,640,000  1,668,700 
Constellation Brands, Inc. sr. sub. notes Ser. B,       
8 1/8s, 2012    145,000  150,800 
      1,819,500 
 
Broadcasting (2.2%)       
DirecTV Holdings, LLC company guaranty 6 3/8s, 2015    3,515,000  3,378,794 
Echostar DBS Corp. company guaranty 7s, 2013    1,495,000  1,536,113 
Echostar DBS Corp. company guaranty 6 5/8s, 2014    270,000  272,700 
Echostar DBS Corp. sr. notes 6 3/8s, 2011    4,585,000  4,607,925 
Ion Media Networks, Inc. 144A sec. FRN 11.61s, 2013    995,000  1,039,775 
Ion Media Networks, Inc. 144A sec. FRN 8.61s, 2012    1,200,000  1,221,000 
LIN Television Corp. company guaranty Ser. B, 6 1/2s,       
2013    500,000  487,500 
Sirius Satellite Radio, Inc. sr. unsecd. notes 9 5/8s,       
2013    2,060,000  2,080,600 
Young Broadcasting, Inc. company guaranty 10s, 2011    2,322,000  2,304,585 
Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014    1,065,000  1,001,100 
      17,930,092 
 
Building Materials (0.9%)       
Associated Materials, Inc. company guaranty 9 3/4s,       
2012    930,000  971,850 
NTK Holdings, Inc. sr. disc. notes zero %, 2014    2,045,000  1,605,325 
Texas Industries, Inc. sr. unsecd. notes 7 1/4s, 2013    1,480,000  1,509,600 
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub.       
notes 8 1/2s, 2014    2,755,000  2,803,213 
      6,889,988 
 
Cable Television (3.0%)       
Atlantic Broadband Finance, LLC company guaranty       
9 3/8s, 2014    1,530,000  1,568,250 
CCH I Holdings, LLC company guaranty stepped-coupon       
12 1/8s (12 1/8s, 1/15/07), 2015 (STP)    135,000  133,313 
CCH I, LLC/Capital Corp. sec. notes 11s, 2015    8,844,000  9,197,760 
CCH II, LLC/Capital Corp. sr. notes Ser. B, 10 1/4s,       
2010    2,545,000  2,672,250 
CCH, LLC/Capital Corp. sr. notes 10 1/4s, 2010    515,000  542,038 
CSC Holdings, Inc. debs. 7 5/8s, 2018    1,335,000  1,351,688 
CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011    1,445,000  1,484,738 
CSC Holdings, Inc. 144A sr. notes 6 3/4s, 2012    2,635,000  2,608,650 
Intelsat Intermediate Holding Co., Ltd. company       
guaranty stepped-coupon zero %, 2015 (Bermuda) (STP)    690,000  570,975 
NTL Cable PLC sr. notes 9 1/8s, 2016 (United Kingdom)    820,000  871,250 
Rainbow National Services, LLC 144A sr. notes 8 3/4s,       
2012    2,445,000  2,597,813 
Rainbow National Services, LLC 144A sr. sub. debs.       
10 3/8s, 2014    505,000  565,600 
      24,164,325 
 
Capital Goods (5.7%)       
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016    555,000  555,000 
Allied Waste North America, Inc. company guaranty       
6 7/8s, 2017    2,665,000  2,645,013 
Allied Waste North America, Inc. company guaranty Ser.       
B, 8 1/2s, 2008    1,495,000  1,571,619 
American Railcar Industries, Inc. 144A sr. unsec       
7 1/2s, 2014    355,000  361,213 
Amsted Industries, Inc. 144A sr. notes 10 1/4s, 2011    3,290,000  3,524,413 
Baldor Electric Co. company guaranty 8 5/8s, 2017    1,910,000  2,005,500 
Bombardier, Inc. 144A sr. notes 8s, 2014 (Canada) (S)    565,000  590,425 
Crown Americas, LLC/Crown Americas Capital Corp. sr.       
notes 7 5/8s, 2013    1,975,000  2,039,188 
Crown Euro Holdings SA company guaranty 6 1/4s, 2011       
(France)  EUR  1,550,000  2,118,161 
Graham Packaging Co., Inc. sub. notes 9 7/8s, 2014    $495,000  509,850 
Greenbrier Cos., Inc. company guaranty 8 3/8s, 2015    1,990,000  2,019,850 
Hexcel Corp. sr. sub. notes 6 3/4s, 2015    1,150,000  1,141,375 
L-3 Communications Corp. company guaranty 6 1/8s, 2013    2,950,000  2,913,125 
L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015    575,000  560,625 
L-3 Communications Corp. sr. sub. notes Class B,       
6 3/8s, 2015    2,460,000  2,447,700 
Legrand SA debs. 8 1/2s, 2025 (France)    3,850,000  4,485,250 
Manitowoc Co., Inc. (The) company guaranty 10 1/2s,       
2012    1,377,000  1,473,390 

Milacron Escrow Corp. sec. notes 11 1/2s, 2011    1,885,000  1,847,300 
Owens Brockway Glass Container, Inc. company guaranty       
6 3/4s, 2014  EUR  2,630,000  3,585,343 
Ray Acquisition SCA 144A sec. notes 9 3/8s, 2015       
(France)  EUR  735,000  1,110,403 
RBS Global, Inc. / Rexnord Corp. 144A company guaranty       
9 1/2s, 2014    $1,650,000  1,740,750 
RBS Global, Inc. / Rexnord Corp. 144A sr. notes       
8 7/8s, 2016    365,000  372,300 
Solo Cup Co. sr. sub. notes 8 1/2s, 2014    1,670,000  1,448,725 
TD Funding Corp. 144A sr. sub. notes 7 3/4s, 2014    1,265,000  1,299,788 
Tekni-Plex, Inc. 144A sec. notes 10 7/8s, 2012    1,875,000  2,100,000 
Titan International, Inc. 144A sr. notes 8s, 2012    1,280,000  1,305,600 
      45,771,906 
 
Commercial and Consumer Services (0.1%)       
iPayment, Inc. company guaranty 9 3/4s, 2014    735,000  753,375 
 
Communication Services (8.8%)       
American Cellular Corp. company guaranty 9 1/2s, 2009    785,000  777,150 
American Cellular Corp. sr. notes Ser. B, 10s, 2011    1,410,000  1,499,888 
American Tower Corp. sr. notes 7 1/2s, 2012    1,300,000  1,350,375 
American Towers, Inc. company guaranty 7 1/4s, 2011    815,000  842,506 
BCM Ireland Finance Ltd. 144A FRN 8.814s, 2016 (Cayman       
Islands)  EUR  630,000  867,431 
Centennial Cellular Operating Co., LLC company       
guaranty 10 1/8s, 2013    $845,000  913,656 
Centennial Communications Corp. sr. notes 10s, 2013    1,275,000  1,377,000 
Centennial Communications Corp. sr. notes FRN 11.11s,       
2013    420,000  443,100 
Cincinnati Bell, Inc. company guaranty 7s, 2015    885,000  881,681 
Citizens Communications Co. notes 9 1/4s, 2011    1,465,000  1,629,813 
Cricket Communications, Inc. 144A sr. notes 9 3/8s,       
2014    1,715,000  1,809,325 
Digicel Group, Ltd. 144A sr. notes 8 7/8s, 2015       
(Bermuda)    1,435,000  1,400,919 
Digicel, Ltd. 144A sr. notes 9 1/4s, 2012 (Jamaica)    1,375,000  1,464,375 
Dobson Cellular Systems sec. notes 9 7/8s, 2012    1,625,000  1,767,188 
Dobson Communications Corp. sr. notes FRN 9.61s, 2012    855,000  882,788 
Idearc Inc. 144A sr. notes 8s, 2016    5,060,000  5,199,150 
Inmarsat Finance PLC company guaranty stepped-coupon       
zero % (10 3/8s, 11/15/08), 2012 (United Kingdom) (STP)    3,566,000  3,343,125 
Intelsat Bermuda, Ltd. 144A sr. notes 11 1/4s, 2016       
(Bermuda)    3,835,000  4,343,138 
Intelsat Bermuda, Ltd. 144A sr. unsec. FRN 8.876s,       
2015 (Bermuda)    660,000  675,675 
Intelsat Subsidiary Holding Co., Ltd. sr. notes       
8 1/2s, 2013 (Bermuda)    795,000  828,788 
iPCS, Inc. sr. notes 11 1/2s, 2012    1,025,000  1,132,625 
Level 3 Communications, Inc. sr. notes 11 1/2s, 2010    1,625,000  1,803,750 
Level 3 Financing, Inc. company guaranty 12 1/4s, 2013    890,000  1,039,075 
Level 3 Financing, Inc. 144A sr. notes 9 1/4s, 2014    1,865,000  1,913,956 
Level 3 Financing, Inc. 144A sr. notes 8 3/4s, 2017    1,070,000  1,074,013 
MetroPCS Wireless Inc. 144A sr. notes 9 1/4s, 2014    1,740,000  1,827,000 
Nordic Telephone Co. Holdings ApS 144A sr. notes       
8 7/8s, 2016 (Denmark)    380,000  409,450 
PanAmSat Corp. company guaranty 9s, 2014    1,025,000  1,107,000 
Qwest Communications International, Inc. company       
guaranty 7 1/2s, 2014    3,885,000  4,025,831 
Qwest Corp. debs. 7 1/4s, 2025    1,135,000  1,173,306 
Qwest Corp. notes 8 7/8s, 2012    4,675,000  5,165,875 
Qwest Corp. sr. notes 7 5/8s, 2015    1,765,000  1,884,138 
Qwest Corp. sr. unsec 7 1/2s, 2014    795,000  843,694 
Rogers Wireless, Inc. sec. notes 7 1/2s, 2015 (Canada)    1,090,000  1,162,213 
Rogers Wireless, Inc. sr. sub. notes 8s, 2012 (Canada)    1,360,000  1,450,100 
Rural Cellular Corp. sr. notes 9 7/8s, 2010    665,000  703,238 
Rural Cellular Corp. sr. sub. FRN 11.11s, 2012    545,000  566,800 
Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010    1,495,000  1,534,244 
Syniverse Technologies, Inc. sr. sub. notes Ser. B,       
7 3/4s, 2013    1,330,000  1,336,650 
Time Warner Telecom, Inc. company guaranty 9 1/4s, 2014    1,605,000  1,721,363 
West Corp. 144A sr. notes 9 1/2s, 2014    765,000  805,163 
West Corp. 144A sr. sub. notes 11s, 2016    520,000  562,900 
Windstream Corp. company guaranty 8 5/8s, 2016    2,880,000  3,153,600 
Windstream Corp. company guaranty 8 1/8s, 2013    1,530,000  1,650,488 
      70,343,543 
 
Consumer (0.7%)       
Jostens IH Corp. company guaranty 7 5/8s, 2012    4,540,000  4,653,500 
Yankee Acquisition Corp. 144A sr. notes 8 1/2s, 2015    725,000  741,313 
Yankee Acquisition Corp. 144A sr. sub. notes 9 3/4s,       
2017    360,000  369,000 
      5,763,813 
 
Consumer Goods (2.1%)       
Church & Dwight Co., Inc. company guaranty 6s, 2012    1,805,000  1,764,388 
Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014    2,215,000  2,270,375 
Jarden Corp. company guaranty 7 1/2s, 2017    1,430,000  1,449,663 
Playtex Products, Inc. company guaranty 9 3/8s, 2011    1,960,000  2,026,150 

Playtex Products, Inc. sec. notes 8s, 2011  3,505,000  3,662,725 
Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012  2,313,000  2,393,955 
Spectrum Brands, Inc. company guaranty 7 3/8s, 2015  3,215,000  2,736,769 
Spectrum Brands, Inc. sr. sub. notes 8 1/2s, 2013  840,000  772,800 
    17,076,825 
 
Consumer Services (0.6%)     
Rental Services Corp. 144A bonds 9 1/2s, 2014  1,010,000  1,075,650 
United Rentals NA, Inc. company guaranty 6 1/2s, 2012  890,000  894,450 
United Rentals NA, Inc. sr. sub. notes 7s, 2014  2,725,000  2,738,625 
    4,708,725 
 
Energy (9.9%)       
Arch Western Finance, LLC sr. notes 6 3/4s, 2013  4,050,000  3,979,125 
Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012     
(Cayman Islands)  1,585,000  1,652,363 
Chaparral Energy, Inc. 144A sr. notes 8 7/8s, 2017  1,465,000  1,494,300 
CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014     
(Canada)  3,325,000  3,266,813 
Chesapeake Energy Corp. sr. notes 7 1/2s, 2013  3,385,000  3,528,863 
Chesapeake Energy Corp. sr. notes 7s, 2014  1,125,000  1,155,938 
Complete Production Services, Inc. 144A sr. notes 8s,     
2016  2,535,000  2,592,038 
Compton Petroleum Corp. company guaranty 7 5/8s, 2013     
(Canada)  3,215,000  3,150,700 
Comstock Resources, Inc. sr. notes 6 7/8s, 2012  1,775,000  1,717,313 
Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015  1,065,000  1,075,650 
Dresser-Rand Group, Inc. company guaranty 7 3/8s, 2014  1,070,000  1,086,050 
Encore Acquisition Co. sr. sub. notes 6 1/4s, 2014  880,000  811,800 
Encore Acquisition Co. sr. sub. notes 6s, 2015  3,290,000  2,944,550 
EXCO Resources, Inc. company guaranty 7 1/4s, 2011  3,265,000  3,305,813 
Forest Oil Corp. sr. notes 8s, 2011  2,365,000  2,465,513 
Hanover Compressor Co. sr. notes 9s, 2014  1,315,000  1,426,775 
Hanover Equipment Trust sec. notes Ser. B, 8 3/4s, 2011  645,000  670,800 
Harvest Operations Corp. sr. notes 7 7/8s, 2011     
(Canada)  2,350,000  2,267,750 
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. notes     
9s, 2016  770,000  820,050 
Hornbeck Offshore Services, Inc. sr. notes Ser. B,     
6 1/8s, 2014  955,000  902,475 
Inergy LP/Inergy Finance Corp. sr. notes 6 7/8s, 2014  3,750,000  3,693,750 
Massey Energy Co. sr. notes 6 5/8s, 2010  3,475,000  3,518,438 
Newfield Exploration Co. sr. notes 7 5/8s, 2011  3,120,000  3,287,700 
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014  2,095,000  2,079,288 
Offshore Logistics, Inc. company guaranty 6 1/8s, 2013  1,860,000  1,767,000 
Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011  1,605,522  1,644,824 
Pacific Energy Partners/Pacific Energy Finance Corp.     
sr. notes 7 1/8s, 2014  1,350,000  1,415,572 
Peabody Energy Corp. company guaranty 7 3/8s, 2016  930,000  971,850 
Peabody Energy Corp. sr. notes 5 7/8s, 2016  2,610,000  2,479,500 
PetroHawk Energy Corp. company guaranty 9 1/8s, 2013  3,855,000  4,095,938 
Pogo Producing Co. sr. sub. notes 7 7/8s, 2013  955,000  966,938 
Pogo Producing Co. sr. sub. notes 6 7/8s, 2017  2,040,000  1,989,000 
Pride International, Inc. sr. notes 7 3/8s, 2014  3,300,000  3,382,500 
Quicksilver Resources, Inc. company guaranty 7 1/8s,     
2016  1,370,000  1,342,600 
Stallion Oilfield Services/Stallion Oilfield Finance     
Corp. 144A sr. unsec 9 3/4s, 2015  1,820,000  1,901,900 
Targa Resources, Inc. 144A company guaranty 8 1/2s,     
2013  2,115,000  2,146,725 
Whiting Petroleum Corp. company guaranty 7s, 2014  2,530,000  2,498,375 
    79,496,577 
 
Entertainment (1.6%)     
AMC Entertainment, Inc. company guaranty 11s, 2016  1,061,000  1,205,561 
AMC Entertainment, Inc. sr. sub. notes 8s, 2014  305,000  312,625 
Avis Budget Car Rental, LLC 144A sr. notes 7 3/4s,     
2016 (S)  1,475,000  1,497,125 
Avis Budget Car Rental, LLC 144A sr. notes 7 5/8s, 2014  965,000  979,475 
Cinemark USA, Inc. sr. sub. notes 9s, 2013  550,000  584,375 
Cinemark, Inc. sr. disc. notes stepped-coupon zero %     
(9 3/4s, 3/15/09), 2014 (STP)  3,565,000  3,199,588 
Hertz Corp. company guaranty 8 7/8s, 2014  1,940,000  2,090,350 
Marquee Holdings, Inc. sr. disc. notes stepped-coupon     
zero % (12s, 8/15/09), 2014 (STP)  1,840,000  1,619,200 
Universal City Florida Holding Co. sr. notes 8 3/8s,     
2010  545,000  565,438 
Universal City Florida Holding Co. sr. notes FRN     
10.11s, 2010  950,000  983,250 
    13,036,987 
 
Financial (2.8%)     
Crescent Real Estate Equities LP notes 7 1/2s, 2007 (R)  1,205,000  1,211,025 
E*Trade Finance Corp. sr. notes 8s, 2011  3,350,000  3,509,125 
Finova Group, Inc. notes 7 1/2s, 2009  2,962,000  873,790 
General Motors Acceptance Corp. notes 7 3/4s, 2010  5,565,000  5,748,745 
General Motors Acceptance Corp. notes 7s, 2012  605,000  614,897 
General Motors Acceptance Corp. notes 6 7/8s, 2012  5,420,000  5,461,306 
General Motors Acceptance Corp. notes 6 3/4s, 2014  4,610,000  4,597,654 

    22,016,542 
 
Food (2.2%)     
Archibald Candy Corp. company guaranty 10s, 2007 (In     
default) (F)(NON)  424,297  22,170 
Chiquita Brands International, Inc. sr. notes 8 7/8s,       
2015  290,000  275,500 
Chiquita Brands International, Inc. sr. notes 7 1/2s,     
2014  1,665,000  1,506,825 
Dean Foods Co. company guaranty 7s, 2016  2,365,000  2,441,863 
Del Monte Corp. company guaranty 6 3/4s, 2015  1,320,000  1,300,200 
Del Monte Corp. sr. sub. notes 8 5/8s, 2012  2,625,000  2,756,250 
Nutro Products, Inc. 144A sr. notes FRN 9.4s, 2013  930,000  966,038 
Pilgrim's Pride Corp. sr. unsec 7 5/8s, 2015  2,045,000  2,024,550 
Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s,     
2013  3,555,000  3,821,625 
Swift & Co. company guaranty 10 1/8s, 2009  1,575,000  1,618,313 
Swift & Co. sr. sub. notes 12 1/2s, 2010  770,000  806,575 
    17,539,909 
 
Gaming & Lottery (3.7%)     
Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012  545,000  561,350 
Boyd Gaming Corp. sr. sub. notes 7 1/8s, 2016  2,110,000  2,073,075 
Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014  440,000  437,800 
MGM Mirage, Inc. company guaranty 8 1/2s, 2010  1,670,000  1,788,988 
MGM Mirage, Inc. company guaranty 6s, 2009  3,320,000  3,315,850 
Mirage Resorts, Inc. debs. 7 1/4s, 2017  355,000  353,225 
Park Place Entertainment Corp. sr. sub. notes 7 7/8s,     
2010  1,575,000  1,661,625 
Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s,     
2012  1,207,000  1,243,210 
Resorts International Hotel and Casino, Inc. company     
guaranty 11 1/2s, 2009  2,110,000  2,204,950 
Scientific Games Corp. company guaranty 6 1/4s, 2012  2,215,000  2,187,313 
Station Casinos, Inc. sr. notes 6s, 2012  2,740,000  2,657,800 
Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,     
2015  4,000,000  4,000,000 
Wimar Opco, LLC. 144A sr. sub. notes 9 5/8s, 2014  4,915,000  4,945,719 
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st     
mtge. 6 5/8s, 2014  2,310,000  2,286,900 
    29,717,805 
 
Health Care (5.5%)     
Accellent, Inc. company guaranty 10 1/2s, 2013  1,810,000  1,882,400 
Community Health Systems, Inc. sr. sub. notes 6 1/2s,     
2012  690,000  693,450 
DaVita, Inc. company guaranty 6 5/8s, 2013  1,605,000  1,600,988 
Elan Finance PLC/Elan Finance Corp. company guaranty     
7 3/4s, 2011 (Ireland)  1,240,000  1,219,850 
HCA, Inc. sr. notes 7 7/8s, 2011  930,000  943,950 
HCA, Inc. 144A sec. notes 9 1/4s, 2016  3,185,000  3,411,931 
HCA, Inc. 144A sec. notes 9 1/8s, 2014  1,105,000  1,176,825 
HCA, Inc. 144A sec. sr. notes 9 5/8s, 2016 (PIK)  2,730,000  2,948,400 
Health Management Associates, Inc. sr. notes 6 1/8s,     
2016  1,665,000  1,633,616 
MedQuest, Inc. company guaranty Ser. B, 11 7/8s, 2012  1,960,000  1,803,200 
Omnicare, Inc. sr. sub. notes 6 7/8s, 2015  510,000  504,900 
Omnicare, Inc. sr. sub. notes 6 1/8s, 2013  2,629,000  2,533,699 
Psychiatric Solutions, Inc. company guaranty 7 3/4s,     
2015  2,080,000  2,111,200 
Select Medical Corp. company guaranty 7 5/8s, 2015  2,070,000  1,821,600 
Service Corporation International debs. 7 7/8s, 2013  1,185,000  1,220,550 
Service Corporation International sr. notes 7s, 2017  740,000  747,400 
Service Corporation International sr. notes 6 3/4s,     
2016  2,650,000  2,643,375 
Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013  3,010,000  2,904,650 
Tenet Healthcare Corp. notes 7 3/8s, 2013  2,560,000  2,393,600 
Tenet Healthcare Corp. sr. notes 9 7/8s, 2014  1,050,000  1,068,375 
US Oncology, Inc. company guaranty 9s, 2012  2,025,000  2,141,437 
Vanguard Health Holding Co. II, LLC sr. sub. notes 9s,     
2014  1,895,000  1,947,112 
Ventas Realty LP/Capital Corp. company guaranty 9s,     
2012 (R)  2,230,000  2,505,963 
Ventas Realty LP/Capital Corp. company guaranty     
6 3/4s, 2010 (R)  865,000  883,381 
Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014     
(R)  690,000  701,213 
Ventas Realty LP/Capital Corp. sr. notes 6 1/2s, 2016     
(R)  850,000  858,500 
    44,301,565 
 
Homebuilding (0.7%)     
K. Hovnanian Enterprises, Inc. company guaranty     
8 7/8s, 2012  770,000  789,250 
K. Hovnanian Enterprises, Inc. sr. notes 6 1/2s, 2014  600,000  574,500 
Meritage Homes Corp. company guaranty 6 1/4s, 2015 (S)  800,000  752,000 
Standard Pacific Corp. sr. notes 7 3/4s, 2013  1,905,000  1,905,000 
Standard Pacific Corp. sr. notes 6 1/2s, 2008  545,000  545,000 
Technical Olympic USA, Inc. company guaranty 9s, 2010  1,300,000  1,280,500 

      5,846,250 
 
Household Furniture and Appliances (0.5%)       
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014    3,765,000  3,972,075 
 
Lodging/Tourism (0.5%)       
FelCor Lodging LP company guaranty 8 1/2s, 2008 (R)    955,000  1,025,430 
Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)    2,955,000  2,999,325 
      4,024,755 
 
Media (1.1%)       
Affinion Group, Inc. company guaranty 11 1/2s, 2015    1,340,000  1,453,900 
Affinion Group, Inc. company guaranty 10 1/8s, 2013    2,210,000  2,386,800 
Affinity Group, Inc. sr. sub. notes 9s, 2012    2,000,000  2,040,000 
Interpublic Group of Companies, Inc. notes 6 1/4s, 2014    495,000  465,300 
Nielsen Finance LLC/Nielsen Finance Co. 144A sr. disc.       
notes stepped-coupon zero % (12 1/2s, 8/2/11), 2016       
(Netherlands) (STP)    765,000  536,455 
Nielsen Finance LLC/Nielsen Finance Co. 144A sr. notes       
10s, 2014 (Netherlands)    1,645,000  1,797,162 
      8,679,617 
 
Publishing (2.8%)       
American Media, Inc. company guaranty 8 7/8s, 2011    550,000  500,500 
American Media, Inc. company guaranty Ser. B, 10 1/4s,       
2009    1,875,000  1,785,938 
CanWest Media, Inc. company guaranty 8s, 2012 (Canada)    1,691,600  1,742,348 
Cenveo Corp., sr. sub. notes 7 7/8s, 2013    700,000  687,750 
Dex Media West, LLC/Dex Media Finance Co. sr. notes       
Ser. B, 8 1/2s, 2010    1,500,000  1,571,250 
Dex Media, Inc. disc. notes stepped-coupon zero % (9s,       
11/15/08), 2013 (STP)    935,000  864,875 
Dex Media, Inc. notes 8s, 2013    545,000  569,525 
PRIMEDIA, Inc. company guaranty 8 7/8s, 2011    2,000,000  2,055,000 
PRIMEDIA, Inc. sr. notes 8s, 2013    2,350,000  2,414,625 
R.H. Donnelley Corp. sr. disc. notes Ser. A-2, 6 7/8s,       
2013    1,545,000  1,506,375 
R.H. Donnelley Corp. sr. notes 6 7/8s, 2013    765,000  745,875 
R.H. Donnelley Corp. sr. notes Ser. A-3, 8 7/8s, 2016    1,540,000  1,643,950 
Reader's Digest Association, Inc. (The) 144A sr. sub.       
notes 9s, 2017    1,425,000  1,417,875 
Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009    3,290,000  3,355,800 
Vertis, Inc. 144A sub. notes 13 1/2s, 2009    1,435,000  1,363,250 
      22,224,936 
 
Restaurants (0.3%)       
Buffets, Inc. company guaranty 12 1/2s, 2014    2,215,000  2,325,750 
 
Retail (2.6%)       
Asbury Automotive Group, Inc. sr. sub. notes 8s, 2014    1,925,000  1,965,906 
Autonation, Inc. company guaranty 7s, 2014    380,000  385,225 
Autonation, Inc. company guaranty FRB 7.374s, 2013    590,000  598,850 
Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s,       
2014    2,095,000  2,220,700 
Harry & David Holdings Inc. company guaranty FRB       
10.36s, 2012    385,000  391,738 
Harry & David Holdings, Inc. company guaranty 9s, 2013    1,355,000  1,385,488 
Michaels Stores, Inc. 144A sr. sub. notes 11 3/8s, 2016    1,435,000  1,556,975 
Movie Gallery, Inc. sr. unsecd. notes 11s, 2012    840,000  751,800 
Neiman-Marcus Group, Inc. company guaranty 9s, 2015    3,585,000  3,943,500 
Pathmark Stores, Inc. company guaranty 8 3/4s, 2012    1,575,000  1,620,281 
Rite Aid Corp. company guaranty 7 1/2s, 2015    1,325,000  1,318,375 
Rite Aid Corp. sec. notes 8 1/8s, 2010    1,930,000  1,980,663 
United Auto Group, Inc. 144A sr. sub. notes 7 3/4s,       
2016    1,690,000  1,719,575 
Victoria ACQ II 144A sr. unsecd. notes 11.587s, 2015       
(Netherlands) (PIK)  EUR  491,040  663,433 
      20,502,509 
 
Technology (6.0%)       
Activant Solutions, Inc. company guaranty 9 1/2s, 2016    890,000  874,424 
Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012    1,398,000  1,439,940 
Amkor Technologies, Inc. sr. notes 7 3/4s, 2013    1,910,000  1,852,700 
Amkor Technologies, Inc. sr. unsecd. notes 9 1/4s, 2016    955,000  974,100 
Avago Technologies Finance company guaranty 10 1/8s,       
2013 (Singapore)    395,000  422,650 
Avago Technologies Finance company guaranty FRN       
10.86s, 2013 (Singapore)    35,000  36,575 
Celestica, Inc. sr. sub. notes 7 7/8s, 2011 (Canada)       
(S)    750,000  736,875 
Celestica, Inc. sr. sub. notes 7 5/8s, 2013 (Canada)    905,000  862,013 
Compucom Systems, Inc. 144A sr. notes 12s, 2014    1,580,000  1,655,050 
Freescale Semiconductor, Inc. 144A sr. notes 9 1/8s,       
2014 (PIK)    1,970,000  1,997,087 
Freescale Semiconductor, Inc. 144A sr. notes 8 7/8s,       
2014    3,935,000  3,989,105 
Freescale Semiconductor, Inc. 144A sr. sub. notes       
10 1/8s, 2016 (S)    1,970,000  2,016,787 
Iron Mountain, Inc. company guaranty 8 3/4s, 2018    670,000  715,224 

Iron Mountain, Inc. company guaranty 8 5/8s, 2013  2,560,000  2,630,400 
Iron Mountain, Inc. sr. sub. notes 8 1/4s, 2011  175,000  175,875 
Lucent Technologies, Inc. debs. 6.45s, 2029  2,755,000  2,507,050 
Lucent Technologies, Inc. notes 5 1/2s, 2008  520,000  516,100 
New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011     
(Cayman Islands)  1,235,000  1,160,900 
Nortel Networks, Ltd. 144A company guaranty 10 3/4s,     
2016 (Canada)  575,000  641,125 
Nortel Networks, Ltd. 144A company guaranty FRN 9.61s,     
2011 (Canada)  1,770,000  1,893,900 
NXP BV/NXP Funding, LLC 144A sec. FRN 8.11s, 2013     
(Netherlands)  1,660,000  1,697,350 
NXP BV/NXP Funding, LLC 144A sec. notes 7 7/8s, 2014     
(Netherlands)  2,685,000  2,772,262 
Open Solutions, Inc. 144A sr. sub. notes 9 3/4s, 2015  1,045,000  1,078,963 
Seagate Technology Hdd Holdings company guaranty 6.8s,     
2016 (Cayman Islands)  940,000  945,573 
Solectron Global Finance Corp. company guaranty 8s,     
2016  790,000  790,000 
SunGard Data Systems, Inc. company guaranty 10 1/4s,     
2015  2,576,000  2,801,400 
SunGard Data Systems, Inc. company guaranty 9 1/8s,     
2013  4,502,000  4,805,884 
UGS Capital Corp. II 144A sr. notes 10.348s, 2011 (PIK)  819,358  833,696 
UGS Corp. company guaranty 10s, 2012  1,080,000  1,182,600 
Unisys Corp. sr. notes 8s, 2012  1,395,000  1,408,950 
Xerox Corp. sr. notes 7 5/8s, 2013    605,000  656,530 
Xerox Corp. sr. notes 6 7/8s, 2011  1,265,000  1,339,468 
Xerox Corp. unsec. sr. notes 6 3/4s, 2017  750,000  792,814 
    48,203,370 
 
Textiles (1.2%)     
Hanesbrands, Inc. 144A sr. notes FRN 8.735s, 2014  2,375,000  2,428,438 
Levi Strauss & Co. sr. notes 9 3/4s, 2015  3,140,000  3,454,000 
Levi Strauss & Co. sr. notes 8 7/8s, 2016  1,490,000  1,605,475 
Oxford Industries, Inc. sr. notes 8 7/8s, 2011  1,740,000  1,809,600 
    9,297,513 
 
Tire & Rubber (0.4%)     
Goodyear Tire & Rubber Co. (The) notes 8 1/2s, 2007  335,000  335,000 
Goodyear Tire & Rubber Co. (The) sr. notes 9s, 2015  1,400,000  1,520,750 
Goodyear Tire & Rubber Co. (The) 144A sr. notes     
8 5/8s, 2011  890,000  945,625 
    2,801,375 
 
Transportation (0.7%)     
CalAir, LLC/CalAir Capital Corp. company guaranty     
8 1/8s, 2008  3,085,000  3,081,144 
Delta Air Lines, Inc. notes 8.3s, 2029  1,920,000  1,142,400 
Northwest Airlines, Inc. company guaranty 10s, 2009  1,330,000  1,250,200 
    5,473,744 
 
Utilities & Power (8.2%)     
AES Corp. (The) 144A sec. notes 9s, 2015  2,960,000  3,170,900 
AES Corp. (The) 144A sec. notes 8 3/4s, 2013  3,055,000  3,268,850 
CMS Energy Corp. sr. notes 8.9s, 2008  870,000  902,625 
CMS Energy Corp. sr. notes 8 1/2s, 2011  490,000  531,650 
CMS Energy Corp. sr. notes 7 3/4s, 2010  740,000  777,000 
Colorado Interstate Gas Co. debs. 6.85s, 2037  1,430,000  1,547,649 
Colorado Interstate Gas Co. sr. notes 5.95s, 2015  405,000  410,089 
Dynegy-Roseton Danskamme company guaranty Ser. A,     
7.27s, 2010  1,460,000  1,489,200 
Dynegy-Roseton Danskamme company guaranty Ser. B,     
7.67s, 2016  2,180,000  2,316,250 
Edison Mission Energy sr. unsec 7 3/4s, 2016  735,000  779,100 
Edison Mission Energy sr. unsec 7 1/2s, 2013  885,000  924,825 
El Paso Corp. notes 7 3/4s, 2010  745,000  793,425 
El Paso Corp. sr. notes 8.05s, 2030  1,425,000  1,596,000 
El Paso Corp. sr. notes 7 3/8s, 2012  1,340,000  1,427,100 
El Paso Corp. sr. notes Ser. MTN, 7.8s, 2031  1,380,000  1,505,925 
El Paso Natural Gas Co. debs. 8 5/8s, 2022  765,000  945,827 
El Paso Production Holding Co. company guaranty     
7 3/4s, 2013  4,150,000  4,336,750 
Ferrellgas LP/Finance sr. notes 6 3/4s, 2014  2,200,000  2,156,000 
Midwest Generation, LLC sec. sr. notes 8 3/4s, 2034  4,395,000  4,735,613 
Mirant Americas Generation, Inc. sr. notes 8.3s, 2011     
(In default) (NON)  1,530,000  1,568,250 
Mirant North America, LLC company guaranty 7 3/8s, 2013  2,390,000  2,455,725 
Mission Energy Holding Co. sec. notes 13 1/2s, 2008  2,875,000  3,137,344 
Nevada Power Co. 2nd mtge. 9s, 2013  1,366,000  1,477,314 
NRG Energy, Inc. company guaranty 7 3/8s, 2017  935,000  951,363 
NRG Energy, Inc. sr. notes 7 3/8s, 2016  4,970,000  5,069,400 
Orion Power Holdings, Inc. sr. notes 12s, 2010  940,000  1,090,400 
SEMCO Energy, Inc. sr. notes 7 3/4s, 2013  1,990,000  2,033,466 
Sierra Pacific Power Co. general ref. mtge. 6 1/4s,     
2012  485,000  501,112 
Sierra Pacific Resources sr. notes 8 5/8s, 2014  1,630,000  1,765,191 
Teco Energy, Inc. notes 7.2s, 2011  680,000  720,800 
Teco Energy, Inc. notes 7s, 2012  1,165,000  1,223,250 

Teco Energy, Inc. sr. notes 6 3/4s, 2015    140,000  147,000 
Tennessee Gas Pipeline Co. debs. 7s, 2028  305,000  333,770 
Tennessee Gas Pipeline Co. unsec. notes 7 1/2s, 2017  610,000  685,655 
Transcontinental Gas Pipeline Corp. debs. 7 1/4s, 2026  1,055,000  1,156,544 
Utilicorp United, Inc. sr. notes 9.95s, 2011  68,000  74,460 
Williams Cos., Inc. (The) notes 8 3/4s, 2032  2,150,000  2,461,750 
Williams Cos., Inc. (The) notes 7 3/4s, 2031  1,225,000  1,304,625 
Williams Cos., Inc. (The) notes 7 5/8s, 2019  2,170,000  2,354,450 
Williams Cos., Inc. (The) 144A notes 6 3/8s, 2010  700,000  709,625 
Williams Partners LP/ Williams Partners Finance Corp.     
144A bonds 7 1/4s, 2017  705,000  740,250 
    65,576,522 
Total corporate bonds and notes (cost $690,968,704)    $706,317,622 
 
SENIOR LOANS (2.7%)(a)(c)     
  Principal   
  amount  Value 
Burlington Coat Factory Warehouse Corp. bank term loan     
FRN Ser. B, 7.61s, 2013  $442,125  $442,309 
Charter Communications bank term loan FRN 7.985s, 2013  353,261  355,535 
Dana Corporation bank term loan FRN 7.82s, 2008  450,000  450,486 
Dex Media West, LLC/Dex Media Finance Co. bank term     
loan FRN Ser. B, 6.861s, 2010  248,242  248,326 
Federal Mogul Corp. bank term loan FRN Ser. A, 7.57s,     
2008  1,165,000  1,157,960 
Federal Mogul Corp. bank term loan FRN Ser. B, 7.82s,     
2008  2,700,000  2,679,187 
Freeport McMoran Inc. bank term loan FRN 1s, 2008 (F)  2,150,000  2,150,000 
Health Management Associates, Inc. bank term loan FRN     
7.11s, 2014  1,845,000  1,858,261 
Healthsouth Corp. bank term loan FRN Ser. B, 8.61s,     
2013  2,288,500  2,308,523 
Key Energy Services, Inc. bank term loan FRN 7.86s,     
2010  310,000  311,937 
Key Energy Services, Inc. bank term loan FRN Ser. B,     
7.861s, 2012  325,000  327,030 
Leap Wireless International, Inc. bank term loan FRN     
Ser. B, 8.114s, 2013  199,000  201,138 
Mediacom Communications Corp. bank term loan FRN Ser.     
C, 7.117s, 2015  1,234,375  1,236,358 
Michaels Stores, Inc. bank term loan FRN Ser. B,     
8 1/8s, 2013  756,957  763,697 
Neiman Marcus Group, Inc. bank term loan FRN Ser. B,     
7.602s, 2013  330,245  333,856 
Novelis, Inc. bank term loan FRN 7.61s, 2012  145,891  145,994 
Novelis, Inc. bank term loan FRN Ser. B, 7.61s, 2012  253,389  253,570 
Pinnacle Foods Holding Corp. bank term loan FRN 7.36s,     
2010  373,678  374,798 
Sandridge Energy bank term loan FRN 10.19s, 2013  2,900,000  2,914,500 
Six Flags, Inc. bank term loan FRN Ser. B, 8.61s, 2009  534,846  540,444 
Solo Cup Co. bank term loan FRN 11.57s, 2012  425,000  434,562 
Trump Hotel & Casino Resort, Inc. bank term loan FRN     
5.62s, 2012  210,000  211,574 
Trump Hotel & Casino Resort, Inc. bank term loan FRN     
Ser. B-1, 7.87s, 2012  208,939  210,505 
VWR International, Inc. bank term loan FRN Ser. B,     
7.61s, 2011  26,173  26,352 
Wesco Aircraft Hardware Co. bank term loan FRN 7.6s,     
2013  400,000  402,750 
Wesco Aircraft Hardware Corp. bank term loan FRN     
11.1s, 2014  1,275,000  1,301,561 
Young Broadcasting, Inc. bank term loan FRN Ser. B,     
7.937s, 2012  80,043  80,267 
 
Total senior loans (cost $21,678,093)    $21,721,480 
 
ASSET-BACKED SECURITIES (1.2%)(a)     
  Principal   
  amount  Value 
Neon Capital, Ltd. 144A     
limited recourse sec. notes Ser. 95, 2.319s, 2013     
(Cayman Islands) (F)  $3,901,050  $1,444,972 
limited recourse sec. notes Ser. 94, 1.686s, 2013     
(Cayman Islands) (F)  6,271,893  5,397,315 
limited recourse sec. notes Ser. 97, 1.105s, 2013     
(Cayman Islands) (F)  6,684,836  2,792,630 
 
Total asset-backed securities (cost $11,807,062)    $9,634,917 
 
CONVERTIBLE BONDS AND NOTES (0.9%)(a)     
  Principal   
  amount  Value 
Acquicor Technology, Inc. 144A cv. notes 8s, 2011  $822,000  $858,990 
DRS Technologies, Inc. 144A cv. unsec. notes 2s, 2026  3,085,000  3,293,238 
LIN Television Corp. cv. sr. sub. notes 2 1/2s, 2033  640,000  611,200 
Sinclair Broadcast Group, Inc. cv. sr. sub. notes     
stepped-coupon 4 7/8s (2s, 1/15/11) 2018 (STP)  1,060,000  1,025,550 
Trinity Industries, Inc. cv. sub. notes 3 7/8s, 2036  1,060,000  1,181,900 

Total convertible bonds and notes (cost $6,415,184)    $6,970,878 
 
COLLATERALIZED MORTGAGE OBLIGATIONS (0.5%)(a)     
    Principal   
  amount  Value 
DLJ Commercial Mortgage Corp. 144A Ser. 98-CF2,     
Class B5, 5.95s, 2031  $1,581,791  $1,506,055 
GE Capital Commercial Mortgage Corp. 144A Ser. 00-1,     
Class G, 6.131s, 2033  1,025,000  938,623 
Mach One Commercial Mortgage Trust 144A     
Ser. 04-1A, Class J, 5.45s, 2040  1,000,000  850,664 
Ser. 04-1A, Class K, 5.45s, 2040  365,000  297,561 
Ser. 04-1A, Class L, 5.45s, 2040  165,000  123,660 
 
Total collateralized mortgage obligations (cost $3,123,108)    $3,716,563 
 
FOREIGN GOVERNMENT BONDS AND NOTES (0.2%)(a) (cost $1,576,218)     
  Principal   
  amount  Value 
Argentina (Republic of) FRB 5.475s, 2012  $1,698,750  $1,608,377 
 
 
SHORT-TERM INVESTMENTS (6.1%)(a)     
  Principal   
  amount/shares  Value 
Short-term investments held as collateral for loaned     
securities with yields ranging from 5.29% to 5.46% and     
due dates ranging from March 1, 2007 to April 29, 2007     
(d)  $3,950,972  $3,944,720 
Putnam Prime Money Market Fund (e)  44,578,213  44,578,213 
 
Total short-term investments (cost $48,522,933)    $48,522,933 
 
TOTAL INVESTMENTS     
Total investments (cost $784,091,302)(b)    $798,492,770 

FORWARD CURRENCY CONTRACTS TO BUY at 2/28/07 (aggregate face value $3,057,161) (Unaudited)
 
      Aggregate  Delivery  Unrealized 
  Value  face value  date    appreciation/ 
Canadian Dollar  $516,350  $514,128  4/18/07  $2,222 
Euro  2,576,369  2,543,033  3/22/07  $33,336 
Total            $35,558 

FORWARD CURRENCY CONTRACTS TO SELL at 2/28/07 (Unaudited) 
   
 
    Aggregate  Delivery  Unrealized 
  Value  face value  date  appreciation/ 
Euro  $18,727,206  $18,946,335  3/22/07  $219,129 

CREDIT DEFAULT CONTRACTS OUTSTANDING at 2/28/07 (Unaudited)         
  Upfront        Fixed payments  Unrealized 
Swap counterparty /  premium  Notional  Termination  received (paid) by  appreciation/ 
Referenced debt*  received (paid)**  amount  date  fund per annum  (depreciation) 
Bank of America, N.A.           
L-3 Communications           
Corp. 7 5/8%, 6/15/12  $--  $650,000    6/20/11  (90 bp)  $(5,210) 
DJ CDX NA HY Series 7           
Index  182,925  4,065,000  12/20/11  (325 bp)  43,262 
 
Citibank, N.A.           
Ford Motor Co., 7.45%,           
7/16/31  --  770,000  6/20/07  620 bp  22,443 
 
Visteon Corp., 7%,           
3/10/14  --  1,000,000  6/20/09  605 bp  75,292 
 
CreditSuisse First Boston International           
Ford Motor Co., 7.45%,           
7/16/31  --  1,725,000  9/20/07  (487.5 bp)  (46,612) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  2,090,000  9/20/08  725 bp  188,327 
 
Ford Motor Co., 7.45%,           
7/16/31  --  365,000  9/20/07  (485 bp)  (9,792) 
L-3 Communications           
Corp. 7 5/8%, 6/15/12  --  985,000  3/20/12  (91 bp)  (2,087) 
 
Deutsche Bank AG           
Ford Motor Co., 7.45%,           
7/16/31  --  1,078,000  6/20/07  595 bp  27,940 
 
Visteon Corp., 7%,           
3/10/14  --  375,000  6/20/09  535 bp  17,291 
 
Goldman Sachs Capital Markets, L.P.           
Ford Motor Co., 7.45%,           
7/16/31  --  770,000  6/20/07  630 bp  21,673 
 
Goldman Sachs International           
Any one of the           
underlying securities           
in the basket of BB           
CMBS securities  --  1,485,000  (a)  2.461%  125,354 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  1,725,000  9/20/08  620 bp  130,337 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  1,725,000  9/20/07  (427.5 bp)  (45,542) 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  365,000  9/20/07  (425 bp)  (9,571) 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  365,000  9/20/08  620 bp  27,520 
 
L-3 Communications           
Corp. 7 5/8%, 6/15/12  --  405,000  9/20/11  (108 bp)  (5,610) 
 
Standard Pacific Corp.,           
6 7/8%, 5/15/11  --  1,140,000  9/20/11  (353 bp)  (80,715) 
 
JPMorgan Chase Bank, N.A.           
Ford Motor Co., 7.45%,           
7/16/31  --  770,000  6/20/07  635 bp  23,026 
 
Ford Motor Co., 7.45%,           
7/16/31  --  1,005,000  6/20/07  665 bp  28,653 
 
Ford Motor Co., 7.45%,           
7/16/31  --  295,000  9/20/07  (345 bp)  (5,075) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  295,000  9/20/08  550 bp  17,897 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  295,000  9/20/07  (350 bp)  (5,512) 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  295,000  9/20/08  500 bp  16,308 
 
Lehman Brothers Special Financing, Inc.           
Goodyear Tire & Rubber,           
7.857%, 8/15/11  --  1,775,000  3/20/12  185 bp  (5,486) 
 
Merrill Lynch Capital Services, Inc.           
Ford Motor Co., 7.45%,           
7/16/31  --  860,000  9/20/07  (345 bp)  (18,107) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  860,000  9/20/08  570 bp  55,067 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  1,205,000  9/20/07  (335 bp)  (23,171) 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  1,205,000  9/20/08  500 bp  66,614 
 
Morgan Stanley Capital Services, Inc.           
Ford Motor Co., 7.45%,           
7/16/31  --  295,000  9/20/07  (345 bp)  (6,211) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  295,000  9/20/08  560 bp  18,392 

General Motors Corp.,         
7 1/8%, 7/15/13  -- 295,000  9/20/07  (335 bp)  (5,740) 
 
General Motors Corp.,         
7 1/8%, 7/15/13  -- 295,000  9/20/08  500 bp  16,308 
 
Visteon Corp., 7%,           
3/10/14  -- 639,932  6/20/09  535 bp  38,096 
 
 
Total        $685,359 

* Payments related to the reference 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.

(a) Terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference entity are liquidated.

NOTES

(a) Percentages indicated are based on net assets of $799,747,084.

(b) The aggregate identified cost on a tax basis is $784,037,121, resulting in gross unrealized appreciation and depreciation of $25,357,040 and $10,901,391, respectively, or net unrealized appreciation of $14,455,649.

(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 rate shown for senior loans are the current interest rates at February 28, 2007. 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.

(NON) Non-income-producing security.

(S) Securities on loan, in part or in entirety, at February 28, 2007.

(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 February 28, 2007 was $1,102,400 or 0.14% of net assets.

(PIK) Income may be received in cash or additional securities at the discretion of the issuer.

(d) The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. At February 28, 2007, the value of securities loaned amounted to $3,851,455. Certain of these securities were sold prior to year/period-end. The fund received cash collateral of $3,944,720, which is pooled with collateral of other Putnam funds into 28 issues of high-grade, short-term investments.

(e) The fund invests in Putnam Prime Money Market 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, LLC. Investments in Putnam Prime Money Market Fund are valued at its closing net asset value each business day. Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $375,337 for the period ended February 28, 2007. During the period ended February 28, 2007, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $91,132,519 and $65,851,893, respectively.

(F) Security is valued at fair value following procedures approved by the Trustees.

At February 28, 2007, liquid assets totaling $33,912,932 have been designated as collateral for open forward commitments and swap contracts.

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 Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at February 28, 2007.

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. 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. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the basis of valuations furnished by an independent pricing service or dealers, approved by the Trustees. 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. 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. 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. Certain investments, including certain restricted securities, are also valued at fair value following procedures approved by the Trustees. 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 at a given point in time and does not reflect an actual market price, which may be different by a material amount.

Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.

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). 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. Risks may exceed amounts recognized on the statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Credit default contracts The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. Payments are made upon a credit default event of the disclosed primary referenced obligation or all other equally ranked obligations of the reference entity. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as unrealized gain or loss.

Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. 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, 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 comparable publicly traded securities or that the counterparty may default on its obligation to perform. Risks of loss may exceed amounts recognized on the statement of assets and liabilities. Credit default contracts outstanding at period end, if any, are 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: Effective January 1, 2007, the fund retained State Street Bank and Trust Company ("State Street") as its custodian. Putnam Fiduciary Trust Company, the fund's previous custodian, is managing the transfer of the fund's assets to State Street. This transfer is expected to be completed for all Putnam funds during the first half of 2007, with PFTC remaining as custodian with respect to fund assets until the assets are transferred. Also effective January 1, 2007, the fund's investment manager, Putnam Investment Management, LLC entered into a Master Sub-Accounting Services Agreement with State Street, under which the investment manager has delegated to State Street responsibility for providing certain administrative, pricing, and bookkeeping services for the fund.

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 Advantage Fund

By (Signature and Title):

/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: April 27, 2007

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/ Charles E. Porter
Charles E. Porter

Principal Executive Officer
Date: April 27, 2007

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: April 27, 2007