N-Q 1 a_highyield.htm PUTNAM HIGH YIELD ADVANTAGE FUND a_highyield.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM N-Q
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT 
INVESTMENT COMPANY
 
Investment Company Act file number: (811-04616)   
 
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 
  800 Boylston Street 
  Boston, Massachusetts 02199-3600 
 
Registrant’s telephone number, including area code:  (617) 292-1000 
 
Date of fiscal year end: November 30, 2010     
 
Date of reporting period: August 31, 2010     

 

Item 1. Schedule of Investments:


Putnam High Yield Advantage Fund       
 
The fund's portfolio       
8/31/10 (Unaudited)       
 
CORPORATE BONDS AND NOTES (89.0%)(a)       
    Principal amount  Value 
 
Advertising and marketing services (0.1%)       
Lamar Media Corp. 144A sr. sub. notes 7 7/8s, 2018    $535,000  $551,719 
      551,719 
 
Automotive (3.0%)       
Affinia Group, Inc. 144A sr. notes 10 3/4s, 2016    1,185,000  1,309,425 
Allison Transmission, Inc. 144A company guaranty sr.       
unsec. notes 11 1/4s, 2015 (PIK)    3,950,400  4,266,432 
American Axle & Manufacturing, Inc. company guaranty       
sr. unsec. notes 5 1/4s, 2014    3,360,000  2,982,000 
Dana Corp. escrow sr. notes 5.85s, 2015 (acquired       
4/24/08, cost $1,429) (In default) (F)(NON)(RES)    2,135,000  2 
Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011    1,510,000  1,596,825 
Ford Motor Credit Co., LLC sr. unsec. notes 8 1/8s,       
2020    1,925,000  2,098,250 
Ford Motor Credit Co., LLC sr. unsec. unsub. notes       
7 1/2s, 2012    740,000  776,827 
General Motors Corp. sr. unsec. notes 8 1/4s, 2023       
(In default) (NON)    3,010,000  940,625 
General Motors Corp. sr. unsec. unsub. notes 8 3/8s,       
2033 (In default) (NON)    2,770,000  886,400 
Lear Corp. company guaranty sr. unsec. bond 7 7/8s,       
2018    345,000  357,075 
Lear Corp. company guaranty sr. unsec. notes 8 1/8s,       
2020    2,750,000  2,853,125 
Navistar International Corp. sr. notes 8 1/4s, 2021    2,595,000  2,711,775 
TRW Automotive, Inc. company guaranty sr. unsec.       
unsub. notes Ser. REGS, 6 3/8s, 2014  EUR  1,725,000  2,179,318 
TRW Automotive, Inc. 144A company guaranty sr. notes       
7 1/4s, 2017    $720,000  736,200 
      23,694,279 
 
Basic materials (8.3%)       
Aleris International, Inc. company guaranty sr. unsec.       
notes 9s, 2014 (In default) (NON)(PIK)    1,905,000  3,810 
AMH Holdings, Inc. sr. disc. unsec. notes 11 1/4s, 2014    705,000  714,694 
Associated Materials, LLC/Associated Materials       
Finance, Inc. company guaranty sr. notes 9 7/8s, 2016    1,875,000  1,987,500 
Chemtura Corp. 144A company guaranty sr. unsec. notes       
7 7/8s, 2018    350,000  357,438 
Clondalkin Acquisition BV 144A company guaranty sr.       
notes FRN 2.53706s, 2013 (Netherlands)    1,700,000  1,483,250 
Compass Minerals International, Inc. company guaranty       
sr. unsec. notes 8s, 2019    1,975,000  2,054,000 
Ferro Corp. sr. unsec. notes 7 7/8s, 2018    590,000  601,800 
FMG Finance Pty Ltd. 144A sr. sec. notes 10 5/8s, 2016       
(Australia)    3,175,000  3,679,031 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes       
8 3/8s, 2017    4,375,000  4,856,250 
Georgia-Pacific, LLC sr. unsec. unsub. notes 9 1/2s,       
2011    1,335,000  1,428,450 
Georgia-Pacific, LLC 144A company guaranty sr. unsec.       
notes 7s, 2015    395,000  408,825 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance,       
ULC company guaranty 9 3/4s, 2014    1,150,000  1,129,875 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance,       
ULC company guaranty sr. notes 8 7/8s, 2018    435,000  402,375 
Huntsman International, LLC company guaranty sr.       
unsec. sub. notes 7 7/8s, 2014    1,030,000  1,037,725 
Huntsman International, LLC 144A sr. sub. notes       
8 5/8s, 2020    795,000  788,044 
Ineos Finance PLC 144A company guaranty sr. notes 9s,       
2015 (United Kingdom)    860,000  870,750 
Ineos Group Holdings PLC company guaranty sr. notes       
7 7/8s, 2016 (United Kingdom)  EUR  755,000  724,872 
Jefferson Smurfit escrow bonds 8 1/4s, 2012    $540,000  14,175 
LBI Escrow Corp. 144A sr. notes 8s, 2017    2,235,000  2,399,831 
Lyondell Chemical Co. sr. notes 11s, 2018    5,114,692  5,555,834 
Metals USA, Inc. company guaranty sr. unsec. notes       
11 1/8s, 2015    1,280,000  1,353,600 
Momentive Performance Materials, Inc. company guaranty       
sr. notes 12 1/2s, 2014    1,995,000  2,206,969 
Momentive Performance Materials, Inc. company guaranty       
sr. unsec. notes 9 3/4s, 2014    1,440,000  1,405,800 
NewPage Corp. company guaranty sr. notes 11 3/8s, 2014    1,425,000  1,157,813 
Novelis, Inc. company guaranty sr. unsec. notes       
11 1/2s, 2015    1,525,000  1,677,500 
Novelis, Inc. company guaranty sr. unsec. notes       
7 1/4s, 2015    2,605,000  2,611,513 
PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s,       
2014 (Austria)  EUR  495,000  710,144 
PE Paper Escrow GmbH 144A sr. notes 12s, 2014 (Austria)    $2,055,000  2,319,581 
Rhodia SA sr. unsec. notes FRN Ser. REGS, 3.585s, 2013       
(France)  EUR  262,000  325,552 
Rohm & Haas Co. sr. unsec. unsub. notes 7.85s, 2029    $2,425,000  2,789,254 
Smurfit Capital Funding PLC company guaranty sr.       
unsec. unsub. notes 7 1/2s, 2025 (Ireland)    70,000  63,963 
Smurfit Kappa Funding PLC sr. unsec. sub. notes       

 


7 3/4s, 2015 (Ireland)  2,287,000  2,287,000 
Solutia, Inc. company guaranty sr. unsec. notes     
8 3/4s, 2017  1,045,000  1,118,150 
Solutia, Inc. company guaranty sr. unsec. notes     
7 7/8s, 2020  860,000  903,000 
Steel Dynamics, Inc. company guaranty sr. unsec.     
unsub. notes 6 3/4s, 2015  1,235,000  1,262,788 
Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s,     
2016  1,835,000  1,894,638 
Steel Dynamics, Inc. 144A company guaranty sr. unsec.     
notes 7 5/8s, 2020  555,000  568,875 
Stone Container Corp. escrow bonds 8 3/8s, 2012     
(In default) (NON)  1,960,000  51,450 
Teck Resources Limited. sr. notes 10 3/4s, 2019     
(Canada)  1,265,000  1,571,763 
Teck Resources Limited. sr. notes 10 1/4s, 2016     
(Canada)  2,095,000  2,532,331 
Tube City IMS Corp. company guaranty sr. unsec. sub.     
notes 9 3/4s, 2015  1,550,000  1,584,875 
Verso Paper Holdings, LLC/Verso Paper, Inc. company     
guaranty Ser. B, 11 3/8s, 2016  825,000  660,000 
Verso Paper Holdings, LLC/Verso Paper, Inc. company     
guaranty sr. sec. notes FRN Ser. B, 4.21563s, 2014  1,675,000  1,373,500 
Verso Paper Holdings, LLC/Verso Paper, Inc. sr. notes     
11 1/2s, 2014  1,220,000  1,287,100 
    64,215,688 
 
Broadcasting (2.4%)     
Belo Corp. sr. unsec. unsub. notes 8s, 2016  405,000  429,300 
Clear Channel Communications, Inc. company guaranty     
unsec. unsub. notes 10 3/4s, 2016  1,395,000  1,028,813 
Clear Channel Communications, Inc. sr. unsec. unsub.     
notes 5s, 2012  785,000  718,275 
Clear Channel Worldwide Holdings, Inc. company     
guaranty sr. unsec. unsub. notes 9 1/4s, 2017  655,000  679,563 
Clear Channel Worldwide Holdings, Inc. company     
guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017  2,170,000  2,275,788 
DIRECTV Holdings, LLC company guaranty sr. unsec.     
notes 7 5/8s, 2016  840,000  926,100 
Dish DBS Corp. company guaranty sr. unsec. notes     
7 7/8s, 2019  1,820,000  1,897,350 
Dish DBS Corp. company guaranty 7 1/8s, 2016  1,445,000  1,477,513 
Gray Television, Inc. company guaranty sr. notes     
10 1/2s, 2015  1,740,000  1,674,750 
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc.     
144A sr. notes 8 7/8s, 2017  1,745,000  1,773,356 
Sinclair Broadcast Group, Inc. company guaranty 8s,     
2012  295,000  295,000 
Sirius XM Radio, Inc. 144A sr. notes 9 3/4s, 2015  555,000  603,563 
Umbrella Acquisition, Inc. 144A company guaranty sr.     
unsec. unsub. notes 9 3/4s, 2015 (PIK)  2,215,512  1,993,961 
Univision Communications, Inc. 144A sr. sec. notes     
12s, 2014  440,000  476,850 
XM Satellite Radio, Inc. 144A company guaranty sr.     
unsec. notes 13s, 2013  1,530,000  1,732,725 
XM Satellite Radio, Inc. 144A sr. notes 11 1/4s, 2013  370,000  403,300 
Young Broadcasting, Inc. company guaranty sr. sub.     
notes 8 3/4s, 2014 (In default) (F)(NON)  395,000  -- 
Young Broadcasting, Inc. company guaranty sr. unsec.     
sub. notes 10s, 2011 (In default) (F)(NON)  1,142,000  -- 
    18,386,207 
 
Building materials (1.9%)     
Building Materials Corp. 144A company guaranty sr.     
notes 7 1/2s, 2020  1,335,000  1,331,663 
Building Materials Corp. 144A sr. notes 7s, 2020  580,000  577,100 
Building Materials Corp. 144A sr. notes 6 7/8s, 2018  615,000  598,088 
Goodman Global Group, Inc. sr. unsec. disc. notes zero     
%, 2014  3,885,000  2,466,975 
Goodman Global, Inc. company guaranty sr. unsec. sub.     
notes 13 1/2s, 2016  1,030,000  1,130,425 
Owens Corning, Inc. company guaranty unsec. unsub.     
notes 9s, 2019  3,995,000  4,714,100 
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. notes     
11s, 2013  3,505,866  3,694,306 
    14,512,657 
 
Cable television (2.1%)     
Atlantic Broadband Finance, LLC company guaranty     
9 3/8s, 2014  855,000  861,413 
Cablevision Systems Corp. sr. unsec. unsub. notes 8s,     
2020  470,000  501,725 
Cablevision Systems Corp. sr. unsec. unsub. notes     
7 3/4s, 2018  880,000  926,200 
Cablevision Systems Corp. 144A sr. notes 8 5/8s, 2017  1,620,000  1,765,800 
CCH II, LLC sr. notes 13 1/2s, 2016  3,554,581  4,212,178 
CCO Holdings LLC/CCO Holdings Capital Corp. 144A     
company guaranty sr. notes 7 7/8s, 2018  710,000  734,850 
Cequel Communications Holdings I LLC/Cequel Capital     
Corp. 144A sr. notes 8 5/8s, 2017  2,720,000  2,774,400 
Charter Communications Operating LLC/Charter     
Communications Operating Capital 144A company guaranty     
sr. notes 8s, 2012  1,470,000  1,547,175 
CSC Holdings LLC sr. unsec. unsub. notes 8 1/2s, 2014  250,000  273,125 
CSC Holdings, Inc. sr. notes 6 3/4s, 2012  146,000  152,205 
Mediacom Broadband, LLC/Mediacom Broadband Corp. sr.     

 


unsec. unsub. notes 8 1/2s, 2015    485,000  481,363 
Mediacom LLC/Mediacom Capital Corp. sr. unsec. notes       
9 1/8s, 2019    675,000  675,000 
NTL Cable PLC sr. notes 9 1/8s, 2016 (United Kingdom)    750,000  801,563 
Virgin Media Finance PLC company guaranty sr. notes       
Ser. 1, 9 1/2s, 2016 (United Kingdom)    730,000  817,600 
      16,524,597 
 
Capital goods (4.2%)       
ACCO Brands Corp. company guaranty sr. notes 10 5/8s,       
2015    1,020,000  1,122,000 
Altra Holdings, Inc. company guaranty sr. notes       
8 1/8s, 2016    2,435,000  2,483,700 
BBC Holding Corp. sr. notes 8 7/8s, 2014    2,000,000  1,905,000 
Berry Plastics Corp. 144A sr. notes 9 1/2s, 2018    1,250,000  1,150,000 
Case New Holland, Inc. 144A sr. notes 7 7/8s, 2017       
(Netherlands)    1,065,000  1,120,913 
Cedar Fair LP/Canada's Wonderland Co./Magnum       
Management Corp. 144A company guaranty sr. unsec.       
notes 9 1/8s, 2018    255,000  259,463 
Cleaver-Brooks, Inc. 144A sr. notes 12 1/4s, 2016    1,545,000  1,589,419 
Crown European Holdings SA 144A sr. notes 7 1/8s, 2018       
(France)  EUR  370,000  481,098 
Kratos Defense & Security Solutions, Inc. company       
guaranty sr. notes 10s, 2017    $1,745,000  1,801,713 
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France)    3,260,000  4,081,853 
Mueller Water Products, Inc. company guaranty sr.       
unsec. notes 7 3/8s, 2017    1,705,000  1,436,463 
Mueller Water Products, Inc. 144A company guaranty sr.       
unsec. unsub. notes 8 3/4s, 2020    245,000  246,225 
Owens-Brockway Glass Container, Inc. company guaranty       
6 3/4s, 2014  EUR  695,000  893,077 
Reynolds Group DL Escrow, Inc./Reynolds Group Escrow,       
LLC 144A company guaranty sr. notes 7 3/4s, 2016       
(Luxembourg)    $780,000  785,850 
Reynolds Group Issuer, Inc. 144A sr. notes 8 1/2s, 2018    2,140,000  2,054,400 
Ryerson Holding Corp. 144A sr. disc. notes zero %, 2015    1,335,000  597,413 
Ryerson Tull, Inc. company guaranty sr. sec. notes       
12s, 2015    2,985,000  3,070,819 
Tenneco, Inc. company guaranty 8 5/8s, 2014    1,155,000  1,183,875 
Tenneco, Inc. company guaranty sr. unsec. notes       
8 1/8s, 2015    1,095,000  1,137,431 
Tenneco, Inc. 144A sr. notes 7 3/4s, 2018    625,000  637,500 
Thermadyne Holdings Corp. company guaranty sr. unsec.       
sub. notes 10 1/2s, 2014    1,581,000  1,598,786 
Thermon Industries, Inc. 144A company guaranty sr.       
notes 9 1/2s, 2017    1,700,000  1,742,500 
TransDigm, Inc. company guaranty sr. sub. notes       
7 3/4s, 2014    575,000  592,250 
TransDigm, Inc. company guaranty sr. unsec. sub. notes       
7 3/4s, 2014    455,000  468,650 
      32,440,398 
 
Coal (1.8%)       
Arch Coal, Inc. company guaranty sr. unsec. notes       
7 1/4s, 2020    1,370,000  1,390,550 
Arch Western Finance, LLC company guaranty sr. notes       
6 3/4s, 2013    1,286,000  1,292,430 
CONSOL Energy, Inc. 144A company guaranty sr. unsec.       
notes 8 1/4s, 2020    2,950,000  3,130,688 
CONSOL Energy, Inc. 144A company guaranty sr. unsec.       
notes 8s, 2017    1,735,000  1,830,425 
International Coal Group, Inc. sr. notes 9 1/8s, 2018    1,540,000  1,632,400 
Peabody Energy Corp. company guaranty 7 3/8s, 2016    3,395,000  3,700,550 
Peabody Energy Corp. company guaranty sr. unsec.       
unsub. notes 6 1/2s, 2020    760,000  798,950 
      13,775,993 
 
Commercial and consumer services (2.0%)       
Aramark Corp. company guaranty 8 1/2s, 2015    1,710,000  1,763,438 
Aramark Corp. company guaranty sr. unsec. notes FRN       
3.96563s, 2015    315,000  288,225 
Corrections Corporation of America company guaranty       
sr. notes 7 3/4s, 2017    2,270,000  2,423,225 
Lender Processing Services, Inc. company guaranty sr.       
unsec. unsub. notes 8 1/8s, 2016    1,108,000  1,185,560 
National Money Mart Co. 144A company guaranty sr.       
unsec. unsub. notes 10 3/8s, 2016 (Canada)    1,820,000  1,911,000 
PHH Corp. 144A sr. unsec. notes 9 1/4s, 2016    805,000  814,056 
Reddy Ice Corp. company guaranty sr. notes 11 1/4s,       
2015    1,245,000  1,262,069 
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s,       
2016    2,700,000  2,727,000 
Travelport LLC company guaranty 11 7/8s, 2016    1,055,000  1,115,663 
Travelport LLC company guaranty 9 7/8s, 2014    1,155,000  1,180,988 
Travelport LLC/Travelport, Inc. 144A company guaranty       
sr. unsec. notes 9s, 2016    735,000  727,650 
      15,398,874 
 
Conglomerates (0.1%)       
SPX Corp. 144A company guaranty sr. unsec. notes       
6 7/8s, 2017    555,000  571,650 
      571,650 

 


Consumer (1.0%)       
Jarden Corp. company guaranty sr. sub. notes Ser. 1,       
7 1/2s, 2020  EUR  250,000  310,169 
Jarden Corp. company guaranty sr. unsec. notes 8s, 2016    $605,000  639,031 
Jarden Corp. company guaranty sr. unsec. sub. notes       
7 1/2s, 2017    2,255,000  2,297,281 
Visant Corp. company guaranty sr. unsec. sub. notes       
7 5/8s, 2012    2,040,000  2,037,450 
Yankee Acquisition Corp. company guaranty sr. notes       
Ser. B, 8 1/2s, 2015    2,545,000  2,576,813 
      7,860,744 
 
Consumer staples (6.1%)       
Archibald Candy Corp. company guaranty 10s, 2010 (In       
default) (F)(NON)    415,457  6,416 
Avis Budget Car Rental, LLC company guaranty sr.       
unsec. unsub. notes 9 5/8s, 2018    365,000  381,425 
Avis Budget Car Rental, LLC company guaranty sr.       
unsec. unsub. notes 7 3/4s, 2016    1,475,000  1,427,063 
Avis Budget Car Rental, LLC company guaranty sr.       
unsec. unsub. notes 7 5/8s, 2014    2,545,000  2,538,638 
Central Garden & Pet Co. sr. sub. notes 8 1/4s, 2018    1,765,000  1,778,238 
Chiquita Brands International, Inc. sr. notes 7 1/2s,       
2014    1,065,000  1,058,344 
Chiquita Brands International, Inc. sr. unsec. unsub.       
notes 8 7/8s, 2015    290,000  293,625 
CKE Restaurants, Inc. 144A sr. notes 11 3/8s, 2018    2,920,000  2,847,000 
Claire's Stores, Inc. 144A company guaranty sr. unsec.       
notes 9 5/8s, 2015 (In default) (NON)(PIK)    67,329  58,745 
Constellation Brands, Inc. company guaranty sr. unsec.       
unsub. notes 7 1/4s, 2016    1,935,000  2,026,913 
Dean Foods Co. company guaranty 7s, 2016    1,080,000  1,012,500 
Dole Food Co. 144A sr. notes 8s, 2016    1,530,000  1,577,813 
Dole Food Co., Inc. sr. notes 13 7/8s, 2014    741,000  891,053 
Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014    2,645,000  2,654,919 
Games Merger Corp. 144A sr. notes 11s, 2018    2,210,000  2,320,500 
Great Atlantic & Pacific Tea Co. 144A sr. notes       
11 3/8s, 2015    968,000  699,380 
Hertz Corp. company guaranty 8 7/8s, 2014    2,180,000  2,239,950 
Hertz Holdings Netherlands BV 144A sr. bond 8 1/2s,       
2015 (Netherlands)  EUR  1,450,000  1,924,277 
JBS USA LLC/JBS USA Finance, Inc. sr. notes 11 5/8s,       
2014    $585,000  670,556 
Libbey Glass, Inc. 144A sr. notes 10s, 2015    695,000  738,438 
Michael Foods, Inc. 144A sr. notes 9 3/4s, 2018    715,000  750,750 
Pinnacle Foods Finance LLC/Pinnacle Foods Finance       
Corp. sr. notes 9 1/4s, 2015    655,000  672,194 
Pinnacle Foods Finance LLC/Pinnacle Foods Finance       
Corp. 144A sr. unsec. notes 9 1/4s, 2015    630,000  646,538 
Prestige Brands, Inc. 144A company guaranty sr. unsec.       
notes 8 1/4s, 2018    1,035,000  1,047,938 
Revlon Consumer Products Corp. company guaranty sr.       
notes 9 3/4s, 2015    1,050,000  1,090,688 
Rite Aid Corp. company guaranty sr. notes 10 1/4s, 2019    515,000  529,163 
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017    780,000  704,925 
Rite Aid Corp. company guaranty sr. unsec. unsub.       
notes 9 1/2s, 2017    1,885,000  1,493,863 
Rite Aid Corp. 144A company guaranty sr. unsub. notes       
8s, 2020    445,000  442,219 
RSC Equipment Rental, Inc. 144A sr. sec. notes 10s,       
2017    1,010,000  1,100,900 
Smithfield Foods, Inc. sr. unsec. notes 7s, 2011    410,000  418,713 
Smithfield Foods, Inc. 144A sr. sec. notes 10s, 2014    2,325,000  2,595,281 
Spectrum Brands, Inc. sr. unsec. sub. bonds 12s, 2019       
(PIK)    1,940,063  2,080,718 
Spectrum Brands, Inc. 144A sr. notes 9 1/2s, 2018    895,000  941,988 
SUPERVALU, Inc. sr. unsec. notes 8s, 2016    1,010,000  1,012,525 
Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014    1,510,000  1,821,438 
Wendy's/Arby's Restaurants LLC company guaranty sr.       
unsec. unsub. notes 10s, 2016    2,980,000  3,129,000 
      47,624,634 
 
Energy (oil field) (1.9%)       
Complete Production Services, Inc. company guaranty       
8s, 2016    1,255,000  1,270,688 
Expro Finance Luxemburg 144A sr. notes 8 1/2s, 2016       
(Luxembourg)    2,060,000  1,926,100 
Helix Energy Solutions Group, Inc. 144A sr. unsec.       
notes 9 1/2s, 2016    3,695,000  3,639,575 
Hercules Offshore, Inc. 144A sr. notes 10 1/2s, 2017    790,000  718,900 
Key Energy Services, Inc. company guaranty sr. unsec.       
unsub. notes 8 3/8s, 2014    2,220,000  2,292,150 
Offshore Logistics, Inc. company guaranty 6 1/8s, 2013    1,455,000  1,462,275 
Pride International, Inc. sr. unsec. notes 7 3/8s, 2014    1,890,000  1,936,456 
Stallion Oilfield Holdings Ltd. 144A sr. notes       
10 1/2s, 2015    185,000  187,775 
Trico Shipping AS 144A sr. notes 13 7/8s, 2014 (Norway)    1,095,000  958,125 
      14,392,044 
 
Entertainment (0.6%)       
AMC Entertainment, Inc. company guaranty 11s, 2016    771,000  815,333 
Cinemark, Inc. company guaranty sr. unsec. notes       
8 5/8s, 2019    655,000  686,113 
Marquee Holdings, Inc. sr. disc. notes 9.505s, 2014    1,840,000  1,508,800 

 


Regal Entertainment Group company guaranty sr. unsec.     
notes 9 1/8s, 2018  485,000  497,125 
Universal City Development Partners, Ltd. 144A sr.     
notes 8 7/8s, 2015  625,000  634,375 
Universal City Development Partners, Ltd. 144A sr.     
sub. notes 10 7/8s, 2016  490,000  523,075 
    4,664,821 
 
Financials (8.1%)     
Ally Financial Inc. 144A company guaranty sr. unsec.     
unsub. notes 7 1/2s, 2020  2,415,000  2,390,850 
American General Finance Corp. sr. unsec. notes Ser.     
MTN, 6.9s, 2017  3,525,000  2,731,875 
American General Finance Corp. sr. unsec. notes Ser.     
MTNI, Class I, 4 7/8s, 2012  1,835,000  1,672,144 
American General Finance Corp. sr. unsec. notes, MTN     
Ser. J, 5 5/8s, 2011  565,000  549,463 
American International Group, Inc. jr. sub. bonds FRB     
8.175s, 2058  785,000  673,138 
BAC Capital Trust VI bank guaranty jr. unsec. sub.     
notes 5 5/8s, 2035  1,130,000  987,166 
BAC Capital Trust XI bank guaranty jr. unsec. sub.     
notes 6 5/8s, 2036  990,000  982,859 
BankAmerica Capital II bank guaranty jr. unsec. sub.     
notes 8s, 2026  405,000  412,594 
Capital One Capital IV company guaranty jr. unsec.     
sub. notes FRN 6.745s, 2037  1,000,000  950,000 
CB Richard Ellis Services, Inc. company guaranty sr.     
unsec. sub. notes 11 5/8s, 2017  1,040,000  1,180,400 
CIT Group, Inc. sr. bond 7s, 2017  6,744,172  6,341,626 
CIT Group, Inc. sr. bond 7s, 2016  4,052,978  3,850,329 
CIT Group, Inc. sr. bond 7s, 2015  2,396,786  2,303,911 
CIT Group, Inc. sr. bond 7s, 2014  761,786  741,789 
CIT Group, Inc. sr. bond 7s, 2013  1,616,191  1,602,049 
E*Trade Financial Corp. sr. unsec. notes 7 3/8s, 2013  975,000  926,250 
E*Trade Financial Corp. sr. unsec. unsub. notes     
12 1/2s, 2017 (PIK)  1,450,000  1,616,750 
GMAC, Inc. 144A company guaranty sr. unsec. notes 8s,     
2020  795,000  814,875 
GMAC, LLC company guaranty sr. unsec. notes 7 1/4s,     
2011  530,000  538,613 
GMAC, LLC company guaranty sr. unsec. notes 7s, 2012  548,000  558,960 
GMAC, LLC company guaranty sr. unsec. notes 6 7/8s,     
2012  1,521,000  1,555,223 
GMAC, LLC company guaranty sr. unsec. notes 6 5/8s,     
2012  1,013,000  1,030,728 
GMAC, LLC company guaranty sr. unsec. notes Ser. 8,     
6 3/4s, 2014  1,553,000  1,541,353 
GMAC, LLC company guaranty sr. unsec. unsub. notes     
6 7/8s, 2011  915,000  931,013 
GMAC, LLC company guaranty sr. unsec. unsub. notes FRN     
2.738s, 2014  156,000  134,117 
GMAC, LLC sr. unsec. unsub. notes 6 7/8s, 2011  1,035,000  1,052,273 
GMAC, LLC sr. unsec. unsub. notes 6 3/4s, 2014  884,000  873,720 
GMAC, LLC 144A company guaranty sr. unsec. notes 8.3s,     
2015  895,000  930,800 
HBOS Capital Funding LP 144a bank guaranty jr. unsec.     
sub. FRB 6.071s, 2049 (Jersey)  1,045,000  815,100 
HBOS PLC 144A sr. unsec. sub. notes 6 3/4s, 2018     
(United Kingdom)  1,650,000  1,613,139 
HUB International Holdings, Inc. 144A sr. sub. notes     
10 1/4s, 2015  555,000  524,475 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.     
company guaranty sr. unsec. notes 8s, 2018  3,215,000  3,198,925 
Interactive Data Corp. 144A company guaranty sr. notes     
10 1/4s, 2018  1,470,000  1,525,125 
iStar Financial, Inc. sr. unsec. unsub. notes Ser. B,     
5.95s, 2013 (R)  545,000  408,750 
Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015  510,000  543,150 
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017  1,362,000  1,365,405 
NB Capital Trust IV jr. unsec. sub. notes 8 1/4s, 2027  400,000  409,875 
Nuveen Investments, Inc. company guaranty sr. unsec.     
unsub. notes 10 1/2s, 2015  1,695,000  1,610,250 
Provident Funding Associates 144A sr. notes 10 1/4s,     
2017  1,505,000  1,531,338 
Residential Capital LLC company guaranty jr. notes     
9 5/8s, 2015  3,625,000  3,588,750 
Royal Bank of Scotland Group PLC jr. unsec. sub. bonds     
FRB 7.648s, 2049 (United Kingdom)  1,410,000  1,198,500 
SLM Corp. sr. notes Ser. MTN, 8s, 2020  1,235,000  1,080,625 
SLM Corp. sr. unsec. unsub. notes Ser. MTNA, 5s, 2013  3,940,000  3,713,450 
USI Holdings Corp. 144A company guaranty sr. unsec.     
notes FRN 4.25125s, 2014  330,000  279,675 
    63,281,400 
 
 
Gaming and lottery (2.8%)     
American Casino & Entertainment Properties LLC sr.     
notes 11s, 2014  1,460,000  1,423,500 
Ameristar Casinos, Inc. company guaranty sr. unsec.     
notes 9 1/4s, 2014  1,875,000  1,987,500 
Harrah's Operating Co., Inc. company guaranty sr.     
notes 10s, 2018  2,712,000  2,115,360 
Harrah's Operating Co., Inc. company guaranty sr.     
notes 10s, 2015  435,000  388,238 
Harrah's Operating Co., Inc. sr. notes 11 1/4s, 2017  3,435,000  3,675,450 
Isle of Capri Casinos, Inc. company guaranty 7s, 2014  2,539,000  2,189,888 
Mashantucket Western Pequot Tribe 144A bonds 8 1/2s,     

 


2015 (In default) (NON)  1,995,000  319,200 
MGM Mirage, Inc. company guaranty sr. unsec. notes     
6 5/8s, 2015  710,000  561,788 
MGM Mirage, Inc. sr. notes 10 3/8s, 2014  260,000  283,400 
MGM Mirage, Inc. 144A sr. notes 9s, 2020  330,000  342,375 
MTR Gaming Group, Inc. company guaranty sr. notes     
12 5/8s, 2014  2,085,000  2,189,250 
Penn National Gaming, Inc. sr. unsec. sub. notes     
8 3/4s, 2019  385,000  402,325 
Pinnacle Entertainment, Inc. company guaranty sr.     
unsec. notes 8 5/8s, 2017  410,000  429,475 
Pinnacle Entertainment, Inc. company guaranty sr.     
unsec. sub. notes 8 3/4s, 2020  215,000  207,475 
Pinnacle Entertainment, Inc. company guaranty sr.     
unsec. sub. notes 7 1/2s, 2015  2,045,000  1,978,538 
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A     
company guaranty 1st mtge. notes 7 3/4s, 2020  885,000  893,850 
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016  2,466,000  2,650,950 
    22,038,562 
 
Health care (7.1%)     
Biomet, Inc. company guaranty sr. unsec. bond 10s, 2017  1,985,000  2,153,725 
Capella Healthcare, Inc. 144A company guaranty sr.     
notes 9 1/4s, 2017  2,050,000  2,121,750 
Community Health Systems, Inc. company guaranty     
8 7/8s, 2015  1,985,000  2,059,438 
DaVita, Inc. company guaranty 6 5/8s, 2013  1,793,000  1,801,965 
DaVita, Inc. company guaranty sr. unsec. sub. notes     
7 1/4s, 2015  510,000  527,213 
Elan Finance PLC/Elan Finance Corp. 144A company     
guaranty sr. notes 8 3/4s, 2016 (Ireland)  2,070,000  2,007,900 
HCA, Inc. company guaranty sr. notes 9 7/8s, 2017  515,000  562,638 
HCA, Inc. company guaranty sr. notes 9 5/8s, 2016 (PIK)  2,163,000  2,322,521 
HCA, Inc. company guaranty sr. notes 8 1/2s, 2019  2,865,000  3,140,756 
HCA, Inc. sr. sec. notes 9 1/4s, 2016  2,735,000  2,933,288 
HCA, Inc. sr. sec. notes 9 1/8s, 2014  2,930,000  3,076,500 
Health Management Associates, Inc. sr. notes 6 1/8s,     
2016  1,765,000  1,709,844 
IASIS Healthcare/IASIS Capital Corp. sr. sub. notes     
8 3/4s, 2014  1,160,000  1,183,200 
Multiplan, Inc. 144A company guaranty sr. notes     
9 7/8s, 2018  1,190,000  1,195,950 
Omnicare, Inc. sr. sub. notes 6 1/8s, 2013  464,000  457,040 
Psychiatric Solutions, Inc. company guaranty 7 3/4s,     
2015  750,000  774,375 
Psychiatric Solutions, Inc. company guaranty sr.     
unsec. sub. notes 7 3/4s, 2015  565,000  583,363 
Quintiles Transnational Corp. 144A sr. notes 9 1/2s,     
2014 (PIK)  1,130,000  1,152,600 
Select Medical Corp. company guaranty 7 5/8s, 2015  1,910,000  1,800,175 
Service Corporation International sr. notes 7s, 2017  205,000  212,175 
Service Corporation International sr. unsec. unsub.     
notes 6 3/4s, 2016  2,005,000  2,055,125 
Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013  2,790,000  2,786,513 
Sun Healthcare Group, Inc. company guaranty sr. unsec.     
unsub. notes 9 1/8s, 2015  215,000  224,406 
Surgical Care Affiliates, Inc. 144A sr. sub. notes     
10s, 2017  2,220,000  2,233,875 
Surgical Care Affiliates, Inc. 144A sr. unsec. notes     
8 7/8s, 2015 (PIK)  577,149  578,592 
Talecris Biotherapeutics Holdings Corp. company     
guaranty sr. unsec. notes 7 3/4s, 2016  1,160,000  1,261,500 
Tenet Healthcare Corp. company guaranty sr. notes 10s,     
2018  560,000  630,000 
Tenet Healthcare Corp. sr. notes 9s, 2015  3,480,000  3,706,200 
Tenet Healthcare Corp. 144A sr. unsec. notes 8s, 2020  1,460,000  1,416,200 
United Surgical Partners International, Inc. company     
guaranty sr. unsec. sub. notes 8 7/8s, 2017  655,000  671,375 
US Oncology Holdings, Inc. sr. unsec. notes FRN     
6.64344s, 2012 (PIK)  2,368,000  2,225,920 
US Oncology, Inc. company guaranty sr. unsec. sub.     
notes 10 3/4s, 2014  1,360,000  1,404,200 
Ventas Realty LP/Capital Corp. company guaranty 9s,     
2012 (R)  3,150,000  3,333,897 
Ventas Realty LP/Capital Corp. sr. notes 6 3/4s, 2017     
(R)  125,000  130,308 
Ventas Realty LP/Capital Corp. sr. notes 6 5/8s,     
2014 (R)  690,000  717,142 
    55,151,669 
 
Homebuilding (1.5%)     
Beazer Homes USA, Inc. company guaranty sr. unsec.     
unsub. notes 9 1/8s, 2018  850,000  752,250 
Lennar Corp. 144A company guaranty sr. unsec. notes     
6.95s, 2018  2,085,000  1,842,619 
M/I Schottenstein Homes, Inc. company guaranty sr.     
unsec. notes 6 7/8s, 2012  2,335,000  2,320,406 
Meritage Homes Corp. company guaranty 6 1/4s, 2015  475,000  452,438 
Meritage Homes Corp. company guaranty sr. unsec.     
unsub. notes 7.15s, 2020  175,000  161,000 
Realogy Corp. company guaranty sr. notes 11s, 2014     
(PIK)  459,589  371,118 
Realogy Corp. company guaranty sr. unsec. notes     
10 1/2s, 2014  3,405,000  2,775,075 
Standard Pacific Corp. company guaranty sr. notes     
10 3/4s, 2016  1,235,000  1,299,838 
Standard Pacific Corp. company guaranty sr. unsec.     

 


unsub. notes 7s, 2015  925,000  851,000 
Standard Pacific Corp. company guaranty sr. unsec.     
unsub. notes 6 1/4s, 2014  680,000  634,100 
    11,459,844 
 
Household furniture and appliances (0.3%)     
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014  945,000  945,000 
Sealy Mattress Co. 144A company guaranty sr. sec.     
notes 10 7/8s, 2016  1,345,000  1,499,675 
    2,444,675 
 
Lodging/Tourism (0.5%)     
FelCor Lodging LP company guaranty sr. notes 10s,     
2014 (R)  2,775,000  2,962,313 
Marina District Finance Co., Inc. 144A company     
guaranty sr. notes 9 7/8s, 2018  480,000  478,800 
Marina District Finance Co., Inc. 144A company     
guaranty sr. notes 9 1/2s, 2015  480,000  476,400 
    3,917,513 
 
Media (1.5%)     
Affinion Group, Inc. company guaranty 11 1/2s, 2015  1,560,000  1,639,950 
Affinion Group, Inc. company guaranty 10 1/8s, 2013  605,000  620,125 
Interpublic Group of Companies, Inc. (The) sr. unsec.     
notes 10s, 2017  330,000  379,500 
Nielsen Finance LLC/Nielsen Finance Co. company     
guaranty 10s, 2014  1,400,000  1,470,000 
Nielsen Finance LLC/Nielsen Finance Co. company     
guaranty sr. unsec. sub. disc. notes stepped-coupon     
zero % (12 1/2s, 8/1/11), 2016 (STP)  2,470,000  2,448,388 
Nielsen Finance LLC/Nielsen Finance Co. sr. notes     
11 5/8s, 2014  360,000  403,650 
QVC Inc. 144A sr. notes 7 3/8s, 2020  885,000  898,275 
QVC Inc. 144A sr. sec. notes 7 1/2s, 2019  1,575,000  1,606,500 
WMG Acquisition Corp. company guaranty sr. sec. notes     
9 1/2s, 2016  1,320,000  1,379,400 
WMG Acquisition Corp. company guaranty sr. sub. notes     
7 3/8s, 2014  740,000  677,100 
WMG Holdings Corp. company guaranty sr. unsec. disc.     
notes 9 1/2s, 2014  380,000  361,000 
    11,883,888 
 
Oil and gas (7.9%)     
ATP Oil & Gas Corp. 144A sr. notes 11 7/8s, 2015  670,000  541,025 
Chaparral Energy, Inc. company guaranty 8 1/2s, 2015  1,128,000  1,071,600 
Chaparral Energy, Inc. company guaranty sr. unsec.     
notes 8 7/8s, 2017  1,310,000  1,257,600 
Chesapeake Energy Corp. company guaranty 6 1/2s, 2017  220,000  223,300 
Chesapeake Energy Corp. company guaranty sr. unsec.     
notes 9 1/2s, 2015  400,000  450,000 
Compton Petroleum Corp. company guaranty 7 5/8s, 2013     
(Canada)  3,170,000  2,742,050 
Comstock Resources, Inc. company guaranty sr. unsub.     
notes 8 3/8s, 2017  1,090,000  1,114,525 
Comstock Resources, Inc. sr. notes 6 7/8s, 2012  2,015,000  2,020,038 
Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s,     
2015 (Canada)  2,630,000  2,630,000 
Connacher Oil and Gas, Ltd. 144A sr. sec. notes     
11 3/4s, 2014 (Canada)  1,410,000  1,529,850 
Crosstex Energy/Crosstex Energy Finance Corp. company     
guaranty sr. unsec. notes 8 7/8s, 2018  1,785,000  1,843,013 
Denbury Resources, Inc. company guaranty 7 1/2s, 2013  179,000  181,461 
Denbury Resources, Inc. company guaranty sr. sub.     
notes 9 3/4s, 2016  330,000  363,825 
Denbury Resources, Inc. company guaranty sr. unsec.     
sub. notes 8 1/4s, 2020  1,240,000  1,323,700 
Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015  1,895,000  1,951,850 
Ferrellgas LP/Ferrellgas Finance Corp. sr. notes     
6 3/4s, 2014  2,890,000  2,904,450 
Ferrellgas Partners LP sr. unsec. notes Ser. UNRE,     
6 3/4s, 2014  505,000  507,525 
Forest Oil Corp. sr. notes 8s, 2011  3,201,000  3,349,046 
Inergy LP/Inergy Finance Corp. sr. unsec. notes     
6 7/8s, 2014  3,590,000  3,607,950 
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2016  300,000  311,625 
Newfield Exploration Co. sr. unsec. sub. notes 7 1/8s,     
2018  360,000  376,200 
Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s,     
2014  3,230,000  3,302,675 
Offshore Group Investments, Ltd. 144A sr. notes     
11 1/2s, 2015  945,000  942,638 
OPTI Canada, Inc. company guaranty sr. sec. notes     
8 1/4s, 2014 (Canada)  1,360,000  1,060,800 
OPTI Canada, Inc. company guaranty sr. sec. notes     
7 7/8s, 2014 (Canada)  3,190,000  2,456,300 
OPTI Canada, Inc. 144A company guaranty sr. notes     
9 3/4s, 2013 (Canada)  370,000  366,300 
OPTI Canada, Inc. 144A sr. notes 9s, 2012 (Canada)  125,000  125,313 
PetroHawk Energy Corp. company guaranty sr. unsec.     
notes 10 1/2s, 2014  455,000  508,463 
PetroHawk Energy Corp. 144A company guaranty sr.     
unsec. notes 7 1/4s, 2018  1,185,000  1,176,113 
Petroleum Development Corp. company guaranty sr.     
unsec. notes 12s, 2018  1,985,000  2,133,875 
Plains Exploration & Production Co. company guaranty     

 


7 3/4s, 2015  365,000  370,475 
Plains Exploration & Production Co. company guaranty     
7s, 2017  3,065,000  3,011,363 
Quicksilver Resources, Inc. company guaranty 7 1/8s,     
2016  480,000  460,800 
Quicksilver Resources, Inc. company guaranty sr.     
unsec. notes 8 1/4s, 2015  565,000  576,300 
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016  1,265,000  1,454,750 
Range Resources Corp. company guaranty sr. sub. notes     
6 3/4s, 2020  640,000  644,800 
Rosetta Resources, Inc. 144A company guaranty sr.     
unsec. notes 9 1/2s, 2018  1,485,000  1,514,700 
Sabine Pass LNG LP sec. notes 7 1/2s, 2016  2,975,000  2,636,594 
SandRidge Energy, Inc. 144A company guaranty sr.     
unsec. unsub. notes 8s, 2018  3,285,000  3,087,900 
SandRidge Energy, Inc. 144A sr. unsec. notes 9 7/8s,     
2016  570,000  567,150 
Whiting Petroleum Corp. company guaranty 7s, 2014  1,245,000  1,288,575 
Williams Cos., Inc. (The) notes 7 3/4s, 2031  1,800,000  2,091,796 
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021  541,000  657,016 
Williams Cos., Inc. (The) 144A notes 6 3/8s, 2010  700,000  702,122 
    61,437,451 
 
Publishing (0.7%)     
American Media Operations, Inc. sr. unsec. sub. notes     
company guaranty 8 7/8s, 2011 (F)  85,000  46,963 
American Media Operations, Inc. 144A company guaranty     
sr. unsec. sub. notes 8 7/8s, 2011 (F)  11,090  6,127 
Cengage Learning Acquisitions, Inc. 144A sr. notes     
10 1/2s, 2015  2,045,000  1,952,975 
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018  1,250,000  1,190,625 
Cenveo Corp. 144A company guaranty sr. unsec. notes     
10 1/2s, 2016  490,000  489,388 
McClatchy Co. (The) 144A company guaranty sr. notes     
11 1/2s, 2017  1,430,000  1,476,475 
Vertis, Inc. company guaranty sr. sec. notes Ser. A,     
8 1/2s, 2012 (PIK)  647,071  571,040 
    5,733,593 
 
Regional Bells (1.2%)     
Cincinnati Bell, Inc. company guaranty sr. unsec.     
notes 7s, 2015  700,000  679,000 
Cincinnati Bell, Inc. company guaranty sr. unsec. sub.     
notes 8 3/4s, 2018  1,685,000  1,609,175 
Frontier Communications Corp. sr. unsec. notes 8 1/2s,     
2020  1,485,000  1,575,956 
Frontier Communications Corp. sr. unsec. notes 8 1/4s,     
2017  1,730,000  1,829,475 
Frontier Communications Corp. sr. unsec. notes 8 1/4s,     
2014  570,000  615,600 
Frontier Communications Corp. sr. unsec. notes 8 1/8s,     
2018  945,000  999,338 
Qwest Communications International, Inc. company     
guaranty 7 1/2s, 2014  70,000  71,313 
Qwest Corp. sr. unsec. unsub. notes 8 3/8s, 2016  445,000  518,425 
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025  1,135,000  1,173,306 
    9,071,588 
 
Retail (3.0%)     
Autonation, Inc. company guaranty sr. unsec. notes     
6 3/4s, 2018  505,000  506,894 
Blockbuster, Inc. 144A company guaranty sr. notes     
11 3/4s, 2014 (In default) (NON)  1,057,000  539,070 
Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s,     
2014  2,005,000  1,864,650 
Burlington Coat Factory Warehouse Corp. company     
guaranty sr. unsec. notes 11 1/8s, 2014  1,318,000  1,364,130 
Dollar General Corp. company guaranty sr. unsec. notes     
10 5/8s, 2015  1,092,000  1,198,470 
Federated Retail Holdings, Inc. company guaranty sr.     
unsec. notes 5.9s, 2016  1,455,000  1,502,288 
Harry & David Operations Corp. company guaranty sr.     
unsec. notes 9s, 2013  1,355,000  887,525 
Harry & David Operations Corp. company guaranty sr.     
unsec. notes FRN 5.29688s, 2012  385,000  248,325 
Limited Brands, Inc. company guaranty sr. unsec.     
unsub. notes 7s, 2020  640,000  668,800 
Macy's Retail Holdings, Inc. company guaranty sr.     
unsec. unsub. notes 8 7/8s, 2015  545,000  615,850 
Michaels Stores, Inc. company guaranty 11 3/8s, 2016  1,490,000  1,598,025 
Michaels Stores, Inc. company guaranty 10s, 2014  1,140,000  1,188,450 
Neiman-Marcus Group, Inc. company guaranty sr. unsec.     
notes 9s, 2015 (PIK)  3,251,144  3,291,783 
Neiman-Marcus Group, Inc. company guaranty sr. unsec.     
sub. notes 10 3/8s, 2015  820,000  834,350 
Toys R Us Property Co., LLC company guaranty sr.     
unsec. notes 10 3/4s, 2017  2,755,000  3,106,263 
Toys R Us Property Co., LLC 144A sr. notes 8 1/2s, 2017  1,420,000  1,476,800 
Toys R US-Delaware, Inc. 144A company guaranty sr.     
notes 7 3/8s, 2016  365,000  368,650 
United Auto Group, Inc. company guaranty 7 3/4s, 2016  2,240,000  2,139,200 
    23,399,523 
 
Technology (4.5%)     
Advanced Micro Devices, Inc. sr. unsec. notes 8 1/8s,     

 


2017  1,130,000  1,155,425 
Advanced Micro Devices, Inc. 144A sr. notes 7 3/4s,     
2020  500,000  495,000 
Ceridian Corp. company guaranty sr. unsec. notes     
12 1/4s, 2015 (PIK)  1,696,350  1,543,679 
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015  2,040,000  1,889,550 
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s,     
2015  570,000  599,213 
Fidelity National Information Services, Inc. 144A     
company guaranty sr. notes 7 7/8s, 2020  895,000  939,750 
Fidelity National Information Services, Inc. 144A     
company guaranty sr. notes 7 5/8s, 2017  895,000  933,038 
First Data Corp. company guaranty sr. unsec. notes     
10.55s, 2015 (PIK)  4,208,513  3,166,906 
First Data Corp. company guaranty sr. unsec. notes     
9 7/8s, 2015  15,000  11,400 
First Data Corp. company guaranty sr. unsec. sub.     
notes 11 1/4s, 2016  1,960,000  1,288,700 
First Data Corp. 144A company guaranty sr. notes     
8 7/8s, 2020  600,000  601,500 
Freescale Semiconductor, Inc. company guaranty sr.     
unsec. notes 9 1/8s, 2014 (PIK)  3,473,855  3,222,001 
Freescale Semiconductor, Inc. company guaranty sr.     
unsec. sub. notes 10 1/8s, 2016  332,000  272,240 
Freescale Semiconductor, Inc. 144A company guaranty     
sr. notes 10 1/8s, 2018  900,000  924,750 
Freescale Semiconductor, Inc. 144A company guaranty     
sr. notes 9 1/4s, 2018  1,645,000  1,649,113 
Iron Mountain, Inc. company guaranty 8 3/4s, 2018  155,000  163,525 
Iron Mountain, Inc. company guaranty sr. unsec. sub.     
notes 8s, 2020  75,000  78,188 
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021  540,000  573,750 
Jazz Technologies, Inc. 144A notes 8s, 2015 (F)  989,000  850,540 
Lucent Technologies, Inc. unsec. debs. 6.45s, 2029  210,000  141,750 
NXP BV/NXP Funding, LLC company guaranty Ser. EXCH,     
9 1/2s, 2015 (Netherlands)  1,675,000  1,628,938 
NXP BV/NXP Funding, LLC company guaranty sr. sec.     
notes FRN Ser. EXCH, 3.27594s, 2013 (Netherlands)  1,305,000  1,220,175 
NXP BV/NXP Funding, LLC sec. notes Ser. EXCH, 7 7/8s,     
2014 (Netherlands)  725,000  728,625 
NXP BV/NXP Funding, LLC 144A company guaranty sr.     
notes 9 3/4s, 2018 (Netherlands)  1,860,000  1,915,800 
STATS ChipPAC, Ltd. 144A company guaranty sr. unsec.     
notes 7 1/2s, 2015 (Singapore)  235,000  244,694 
SunGard Data Systems, Inc. company guaranty 10 1/4s,     
2015  2,347,000  2,464,350 
SunGard Data Systems, Inc. company guaranty 9 1/8s,     
2013  1,362,000  1,390,943 
Syniverse Technologies, Inc. sr. sub. notes Ser. B,     
7 3/4s, 2013  345,000  351,555 
Unisys Corp. sr. unsec. unsub. notes 12 1/2s, 2016  485,000  531,075 
Unisys Corp. 144A company guaranty sr. sub. notes     
14 1/4s, 2015  2,630,000  3,090,250 
Xerox Capital Trust I company guaranty 8s, 2027  965,000  984,113 
    35,050,536 
 
Telecommunications (7.5%)     
Angel Lux Common Sarl 144A sr. bond 8 7/8s, 2016     
(Denmark)  455,000  477,750 
CC Holdings GS V, LLC/Crown Castle GS III Corp. 144A     
sr. sec. notes 7 3/4s, 2017  2,370,000  2,583,300 
Clearwire Communications, LLC/Clearwire Finance, Inc.     
144A company guaranty sr. notes 12s, 2015  2,205,000  2,205,000 
Clearwire Communications, LLC/Clearwire Finance, Inc.     
144A company guaranty sr. notes 12s, 2015  1,570,000  1,573,925 
Digicel Group, Ltd. 144A sr. notes 10 1/2s, 2018     
(Jamaica)  925,000  992,063 
Digicel Group, Ltd. 144A sr. notes 8 1/4s, 2017     
(Jamaica)  1,030,000  1,069,913 
Digicel Group, Ltd. 144A sr. unsec. notes 8 7/8s, 2015     
(Jamaica)  1,060,000  1,067,950 
Inmarsat Finance PLC 144A company guaranty sr. notes     
7 3/8s, 2017 (United Kingdom)  185,000  189,625 
Intelsat Bermuda, Ltd. company guaranty sr. unsec.     
notes 11 1/2s, 2017 (Luxembourg) (PIK)  780,000  803,400 
Intelsat Bermuda, Ltd. company guaranty sr. unsec.     
notes 11 1/4s, 2017 (Luxembourg)  3,165,000  3,275,775 
Intelsat Intermediate Holding Co., Ltd. company     
guaranty sr. unsec. notes 9 1/2s, 2015 (Luxembourg)  1,040,000  1,079,000 
Intelsat Intermediate Holding Co., Ltd. company     
guaranty sr. unsec. notes 9 1/4s, 2015 (Luxembourg)  690,000  710,700 
Intelsat Jackson Holding Co. company guaranty sr.     
unsec. notes 11 1/4s, 2016 (Bermuda)  4,295,000  4,619,702 
Intelsat Subsidiary Holding Co., Ltd. company guaranty     
sr. unsec. notes 8 7/8s, 2015 (Bermuda)  960,000  991,200 
Intelsat Subsidiary Holding Co., Ltd. company guaranty     
sr. unsec. notes 8 1/2s, 2013 (Bermuda)  1,095,000  1,108,688 
Level 3 Financing, Inc. company guaranty 9 1/4s, 2014  2,965,000  2,612,906 
MetroPCS Wireless, Inc. company guaranty sr. unsec.     
notes 9 1/4s, 2014  3,800,000  3,952,000 
Nextel Communications, Inc. company guaranty sr.     
unsec. notes Ser. D, 7 3/8s, 2015  2,805,000  2,776,950 
NII Capital Corp. company guaranty sr. unsec. unsub.     
notes 10s, 2016  2,450,000  2,747,063 
PAETEC Holding Corp. company guaranty sr. notes     
8 7/8s, 2017  1,280,000  1,324,800 
PAETEC Holding Corp. company guaranty sr. unsec.     
unsub. notes 9 1/2s, 2015  1,380,000  1,376,550 

 


SBA Telecommunications, Inc. company guaranty sr.       
unsec. notes 8 1/4s, 2019    745,000  808,325 
SBA Telecommunications, Inc. company guaranty sr.       
unsec. notes 8s, 2016    1,365,000  1,455,431 
Sprint Capital Corp. company guaranty 6 7/8s, 2028    3,560,000  2,972,600 
Sprint Nextel Corp. sr. notes 8 3/8s, 2017    3,850,000  3,975,125 
Sprint Nextel Corp. sr. unsec. notes 6s, 2016    535,000  499,556 
West Corp. company guaranty 9 1/2s, 2014    2,370,000  2,417,400 
Wind Acquisition Finance SA 144A sr. notes 11 3/4s,       
2017 (Netherlands)    2,805,000  3,085,500 
Wind Acquisition Finance SA 144A sr. notes 11 3/4s,       
2017 (Netherlands)  EUR  150,000  207,870 
Wind Acquisition Holdings Finance SA 144A company       
guaranty sr. notes zero %, 2017 (Italy) (PIK)    $1,248,248  1,291,937 
Windstream Corp. company guaranty 8 5/8s, 2016    2,505,000  2,586,413 
Windstream Corp. company guaranty 8 1/8s, 2013    795,000  847,669 
Windstream Corp. company guaranty sr. unsec. unsub.       
notes 7 7/8s, 2017    270,000  274,050 
      57,960,136 
 
Telephone (0.4%)       
Cricket Communications, Inc. company guaranty 9 3/8s,       
2014    1,930,000  1,954,125 
Cricket Communications, Inc. company guaranty sr.       
unsub. notes 7 3/4s, 2016    1,445,000  1,491,963 
      3,446,088 
 
Textiles (0.8%)       
Hanesbrands, Inc. company guaranty sr. unsec. notes       
FRN Ser. B, 4.12113s, 2014    2,785,000  2,645,750 
Hanesbrands, Inc. sr. unsec. notes 8s, 2016    980,000  1,020,425 
Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016    1,135,000  1,194,588 
Levi Strauss & Co. sr. unsec. unsub. notes 7 5/8s, 2020    1,205,000  1,226,088 
      6,086,851 
 
Tire and rubber (0.4%)       
Goodyear Tire & Rubber Co. (The) sr. unsec. notes       
10 1/2s, 2016    2,850,000  3,163,500 
      3,163,500 
 
Transportation (0.4%)       
Inaer Aviation Finance Ltd. 144A sr. notes 9 1/2s,       
2017 (Spain)  EUR  930,000  1,139,732 
RailAmerica, Inc. company guaranty sr. notes 9 1/4s,       
2017    $1,828,000  1,983,380 
      3,123,112 
 
Utilities and power (4.9%)       
AES Corp. (The) sr. unsec. notes 8s, 2020    520,000  546,000 
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017    2,355,000  2,478,638 
AES Corp. (The) 144A sec. notes 8 3/4s, 2013    859,000  874,033 
Calpine Corp. 144A company guaranty sr. notes 7 7/8s,       
2020    1,340,000  1,346,700 
Calpine Corp. 144A sr. sec. notes 7 1/4s, 2017    2,467,000  2,460,833 
Colorado Interstate Gas Co. debs. 6.85s, 2037 (Canada)    1,430,000  1,524,188 
Dynegy Holdings, Inc. sr. unsec. notes 7 3/4s, 2019    1,970,000  1,270,650 
Dynegy-Roseton Danskamme company guaranty Ser. B,       
7.67s, 2016    2,180,000  1,972,900 
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016    755,000  555,869 
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013    530,000  482,963 
Edison Mission Energy sr. unsec. notes 7.2s, 2019    1,035,000  688,275 
Edison Mission Energy sr. unsec. notes 7s, 2017    45,000  30,713 
El Paso Corp. sr. unsec. notes 12s, 2013    960,000  1,154,400 
El Paso Corp. sr. unsec. notes 7s, 2017    750,000  792,097 
El Paso Corp. sr. unsec. notes Ser. GMTN, 7.8s, 2031    705,000  706,763 
El Paso Natural Gas Co. debs. 8 5/8s, 2022    765,000  970,288 
Energy Future Holdings Corp. company guaranty sr.       
unsec. notes 11 1/4s, 2017 (PIK)    349,500  167,760 
Energy Future Holdings Corp. 144A sr. sec. bond 10s,       
2020    560,000  539,282 
Energy Future Intermediate Holdings Co., LLC sr. notes       
10s, 2020    835,000  802,420 
Ipalco Enterprises, Inc. sr. sec. notes 8 5/8s, 2011    420,000  441,000 
Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s,       
2016    230,000  240,350 
Mirant Americas Generation, Inc. sr. unsec. notes       
9 1/8s, 2031    1,245,000  1,115,831 
Mirant Americas Generation, Inc. sr. unsec. notes       
8.3s, 2011    1,400,000  1,436,750 
Mirant North America, LLC company guaranty 7 3/8s, 2013    2,960,000  3,026,600 
NRG Energy, Inc. company guaranty 7 3/8s, 2017    935,000  945,519 
NRG Energy, Inc. sr. notes 7 3/8s, 2016    6,160,000  6,206,200 
PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015    275,000  294,594 
Sierra Pacific Resources sr. unsec. notes 8 5/8s, 2014    1,550,000  1,594,563 
Sierra Pacific Resources sr. unsec. unsub. notes       
6 3/4s, 2017    190,000  196,047 
Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s,       
2028    305,000  338,926 
Texas Competitive Electric Holdings Co., LLC company       
guaranty sr. unsec. notes zero %, 2016 (United       
Kingdom) (PIK)    2,255,093  1,307,954 
Texas Competitive Electric Holdings Co., LLC company       
guaranty sr. unsec. notes Ser. B, 10 1/4s, 2015       

 


(United Kingdom)  2,430,000  1,549,125 
Utilicorp United, Inc. sr. unsec. notes 7.95s, 2011  68,000  69,831 
    38,128,062 
Total corporate bonds and notes (cost $673,553,852)    $691,392,296 
 
 
SENIOR LOANS (5.8%)(a)(c)     
  Principal amount  Value 
 
Basic materials (0.4%)     
Ineos Holdings, Ltd. bank term loan FRN Ser. B2,     
7.501s, 2013 (United Kingdom)  $950,000  $940,500 
Ineos Holdings, Ltd. bank term loan FRN Ser. C2,     
8.001s, 2014 (United Kingdom)  950,000  940,500 
Smurfit-Stone Container Enterprises, Inc. bank term     
loan FRN 6 3/4s, 2016  1,140,000  1,143,257 
    3,024,257 
 
Broadcasting (0.3%)     
Clear Channel Communications, Inc. bank term loan FRN     
Ser. B, 3.966s, 2016  889,253  707,327 
Univision Communications, Inc. bank term loan FRN     
Ser. B, 2.566s, 2014  1,436,642  1,234,434 
    1,941,761 
 
Capital goods (0.2%)     
Exopack Holding Corp. bank term loan FRN 4 3/4s, 2014  1,825,000  1,813,594 
    1,813,594 
 
Communication services (0.2%)     
CCO Holdings, LLC / CCO Holdings Capital Corp. bank     
term loan FRN Ser. D, 3.038s, 2014  1,275,000  1,162,163 
    1,162,163 
 
Consumer cyclicals (1.6%)     
CCM Merger, Inc. bank term loan FRN Ser. B, 8 1/2s,     
2012  2,303,156  2,279,406 
Cedar Fair LP bank term loan FRN Ser. B, 5 1/2s, 2016  650,000  652,336 
Dex Media West, LLC bank term loan FRN Ser. A, 7s, 2014  258,700  223,829 
GateHouse Media, Inc. bank term loan FRN Ser. B,     
2.33s, 2014  821,204  316,369 
GateHouse Media, Inc. bank term loan FRN Ser. DD,     
2.275s, 2014  306,419  118,048 
Golden Nugget, Inc. bank term loan FRN 3.303s, 2014     
(PIK)  135,209  109,096 
Golden Nugget, Inc. bank term loan FRN Ser. B, 3.32s,     
2014 (PIK)  237,534  191,660 
QVC, Inc. bank term loan FRN 5.762s, 2014  96,498  96,329 
Reynolds Consumer Products, Inc. bank term loan FRN     
Ser. B, 6 1/4s, 2015  894,375  889,680 
Six Flags Theme Parks bank term loan FRN 9 1/4s, 2016  1,165,000  1,189,756 
Six Flags Theme Parks bank term loan FRN Ser. B, 6s,     
2016  1,770,584  1,767,819 
Thomas Learning bank term loan FRN Ser. B, 3.03s, 2014  893,521  790,969 
Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014     
(In default) (NON)  3,524,169  2,222,742 
Visteon Corp. bank term loan FRN Ser. B, 5 1/4s, 2013  1,785,000  1,914,413 
    12,762,452 
 
Consumer staples (0.5%)     
Claire's Stores, Inc. bank term loan FRN 3.088s, 2014  2,268,914  1,939,908 
Revlon Consumer Products bank term loan FRN 6s, 2015  1,201,988  1,189,323 
Rite-Aid Corp. bank term loan FRN Ser. B, 2.046s, 2014  117,188  104,510 
Spectrum Brands, Inc. bank term loan FRN 8s, 2016  535,000  540,573 
    3,774,314 
 
Energy (0.1%)     
MEG Energy Corp. bank term loan FRN 6s, 2016 (Canada)  466,475  465,309 
    465,309 
 
Financials (0.7%)     
AGFS Funding Co. bank term loan FRN 7 1/4s, 2015  1,520,000  1,501,950 
CB Richard Ellis Services, Inc. bank term loan FRN     
Ser. B, 5 1/2s, 2013  506,754  506,596 
HUB International Holdings, Inc. bank term loan FRN     
6 3/4s, 2014  803,925  788,851 
Interactive Data Corp. bank term loan FRN Ser. B,     
6 3/4s, 2016  1,250,000  1,257,291 
iStar Financial, Inc. bank term loan FRN 1.766s, 2011  1,260,000  1,122,188 
Nuveen Investments, Inc. bank term loan FRN Ser. B,     
3.511s, 2014  414,735  366,133 
    5,543,009 
 
Gaming and lottery (0.1%)     
Harrah's Operating Co., Inc. bank term loan FRN     
Ser. B, 9 1/2s, 2016  492,525  502,649 
Harrah's Operating Co., Inc. bank term loan FRN     
Ser. B2, 3.498s, 2015  760,000  651,354 

 


    1,154,003 
 
Health care (0.3%)     
Ardent Health Systems bank term loan FRN Ser. B,     
6 1/2s, 2015  1,670,813  1,627,998 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term     
loan FRN 5.725s, 2014 (PIK)  827,629  786,247 
Select Medical Corp. bank term loan FRN Ser. B,     
2.339s, 2012  235,002  228,393 
    2,642,638 
 
Homebuilding (0.1%)     
Realogy Corp. bank term loan FRN 0.109s, 2013  81,654  70,456 
Realogy Corp. bank term loan FRN Ser. B, 3.295s, 2013  476,326  411,001 
    481,457 
 
Retail (0.1%)     
Burlington Coat Factory Warehouse Corp. bank term loan     
FRN Ser. B, 2.6s, 2013  566,539  536,654 
    536,654 
 
Technology (0.2%)     
Compucom Systems, Inc. bank term loan FRN 3.82s, 2014  587,735  561,287 
First Data Corp. bank term loan FRN Ser. B1, 3.017s,     
2014  946,586  808,030 
    1,369,317 
 
Telecommunications (--%)     
Level 3 Financing, Inc. bank term loan FRN Ser. B,     
8.956s, 2014  265,000  286,034 
    286,034 
 
Transportation (0.4%)     
Swift Transportation Co., Inc. bank term loan FRN     
6.563s, 2014  3,293,304  3,186,272 
    3,186,272 
 
Utilities and power (0.6%)     
TXU Energy Corp. bank term loan FRN Ser. B2, 3.975s,     
2014  1,987,874  1,506,063 
TXU Energy Corp. bank term loan FRN Ser. B3, 3.796s,     
2014  4,241,750  3,197,219 
    4,703,282 
 
Total senior loans (cost $46,909,692)    $44,846,516 
 
 
CONVERTIBLE BONDS AND NOTES (1.9%)(a)     
  Principal amount  Value 
Advanced Micro Devices, Inc. cv. sr. unsec. notes 6s,     
2015  $191,000  $186,941 
Alliant Techsystems, Inc. cv. company guaranty sr.     
sub. notes 3s, 2024  1,360,000  1,431,400 
Digital Realty Trust LP 144A cv. sr. unsec. notes     
5 1/2s, 2029 (R)  805,000  1,183,853 
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016  700,000  973,070 
General Cable Corp. cv. unsec. sub. notes     
stepped-coupon 4 1/2s (2 1/4s, 11/15/19) 2029 (STP)  1,185,000  1,033,913 
General Growth Properties, Inc. 144A cv. sr. notes     
3.98s, 2027 (In default) (NON)(R)  770,000  813,313 
Level 3 Communications, Inc. cv. sr. unsec. unsub.     
notes 5 1/4s, 2011  480,000  470,400 
Level 3 Communications, Inc. cv. sr. unsec. unsub.     
notes 3 1/2s, 2012  1,000,000  921,250 
Owens Brockway Glass Container, Inc. 144A cv. company     
guaranty sr. notes 3s, 2015  895,000  849,266 
Pantry, Inc. (The) cv. company guaranty sr. unsec.     
sub. notes 3s, 2012  2,155,000  2,020,313 
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014  510,000  571,200 
Trinity Industries, Inc. cv. unsec. sub. notes 3 7/8s,     
2036  1,000,000  827,500 
TRW Automotive, Inc. 144A cv. company guaranty sr.     
notes 3 1/2s, 2015  825,000  1,129,219 
Virgin Media, Inc. cv. sr. unsec. notes 6 1/2s, 2016  970,000  1,311,925 
XM Satellite Radio Holdings, Inc. 144A cv. sr. unsec.     
sub. notes 7s, 2014  893,000  870,764 
Total convertible bonds and notes (cost $12,876,646)    $14,594,327 
 
 
ASSET-BACKED SECURITIES (0.4%)(a)     
  Principal amount  Value 
Neon Capital, Ltd. 144A     
limited recourse sec. notes Ser. 95, 2.319s, 2013     
(Cayman Islands) (F) (g)  $3,901,050  $1,402,580 
limited recourse sec. notes Ser. 97, 1.105s, 2013     
(Cayman Islands) (F) (g)  6,684,836  1,815,240 
Total asset-backed securities (cost $2,040,547)    $3,217,820 
 
 
SHORT-TERM INVESTMENTS (0.5%)(a)     

 


  Principal amount/shares  Value 
Putnam Money Market Liquidity Fund 0.15% (e)  3,801,625  $3,801,625 
U.S. Treasury Bills for an effective yield of 0.30%,     
November 18, 2010  $140,000  139,959 
Total short-term investments (cost $3,941,535)    $3,941,584 
 
TOTAL INVESTMENTS     
Total investments (cost $739,322,272) (b)    $757,992,543 

 


FORWARD CURRENCY CONTRACTS at 8/31/10 (aggregate face value $12,262,685) (Unaudited)      
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Bank of America, N.A.             
  Euro  Sell  9/15/10  $601,045  $628,361  $27,316 
 
Barclays Bank PLC             
  Euro  Sell  9/15/10  979,072  1,023,407  44,335 
 
Citibank, N.A.             
  Euro  Buy  9/15/10  592,053  618,680  (26,627) 
 
Credit Suisse AG             
  Euro  Sell  9/15/10  2,321,735  2,427,234  105,499 
 
Deutsche Bank AG             
  Euro  Buy  9/15/10  799,873  835,894  (36,021) 
 
Goldman Sachs International             
  Euro  Sell  9/15/10  1,406,997  1,469,475  62,478 
 
HSBC Bank USA, National Association             
  Euro  Sell  9/15/10  318,759  333,012  14,253 
 
JPMorgan Chase Bank, N.A.             
  Euro  Buy  9/15/10  6,459  6,745  (286) 
 
Royal Bank of Scotland PLC (The)             
  Euro  Buy  9/15/10  248,346  250,604  (2,258) 
 
UBS AG             
  Euro  Sell  9/15/10  4,283,426  4,475,696  192,270 
 
Westpac Banking Corp.             
  Euro  Sell  9/15/10  185,404  193,577  8,173 
 
Total            $389,132 

 


Key to holding's currency abbreviations

EUR  Euro 
 
Key to holding's abbreviations
 
FRB  Floating Rate Bonds 
FRN  Floating Rate Notes 
GMTN  Global Medium Term Notes 
MTN  Medium Term Notes 
MTNA  Medium Term Notes Class A 
MTNI  Medium Term Notes Class I 

Notes to the fund's portfolio

Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from December 1, 2009 through August 31, 2010 (the reporting period).

(a) Percentages indicated are based on net assets of $777,210,144.

(b) The aggregate identified cost on a tax basis is $739,406,665, resulting in gross unrealized appreciation and depreciation of $38,923,621 and $20,337,743, respectively, or net unrealized appreciation of $18,585,878.

(NON) Non-income-producing security.

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

(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at the close of the reporting period was $2, or less than 0.1% of net assets.

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

(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.

Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.

(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Investment Management, LLC (Putnam Management), the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $21,267 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $211,653,216 and $232,769,300, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.

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

(g) The notes are secured by debt and equity securities and equity participation agreements held by Neon Capital, Ltd.

(R) Real Estate Investment Trust.

At the close of the reporting period, the fund maintained liquid assets totaling $59,341 to cover certain derivatives contracts.

Debt obligations are considered secured unless otherwise indicated.

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

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

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

Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets and are classified as Level 1 securities. If no sales are reported-- as in the case of some securities traded over-the-counter-- a security is valued at its last reported bid price and is generally categorized as a Level 2 security. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Investment Management, LLC (Putnam Management), the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC.


Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which considers such factors as security prices, yields, maturities and ratings) . Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2.

The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.

Forward currency contracts: The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments), or for other investment purposes. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates.

The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.

Outstanding contracts on forward currency contracts at the close of the reporting period are indicative of the volume of activity during the period.

Master agreements: The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $296,550 at the close of the reporting period. Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time.

Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.

At the close of the reporting period, the fund had a net liability position of $65,192 on derivative contracts subject to the Master Agreements. There was no collateral posted by the fund.


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 
Asset-backed securities  $-- $--  $3,217,820 
 
Convertible bonds and notes  --  14,594,327  -- 
Corporate bonds and notes  --  690,482,248  910,048 
Senior loans  --  44,846,516  -- 
Short-term investments  3,801,625  139,959  -- 
Totals by level  $3,801,625  $750,063,050  $4,127,868 
 
    Valuation inputs  
Other financial instruments:  Level 1 Level 2  Level 3 
Forward currency contracts  $--  $389,132  $--
Totals by level  $--  $389,132  $-- 

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

Market Values of Derivative Instruments as of the close of the reporting period

  Asset derivatives  Liability derivatives 
 
Derivatives not accounted for as hedging instruments under ASC 815 Market value  Market value 
Foreign exchange contracts  $454,324  $(65,192) 
Total  $454,324  $(65,192) 

 

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 Advantage Fund

By (Signature and Title):

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

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

By (Signature and Title):

/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: October 29, 2010

By (Signature and Title):

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