a_highincomesecurities.htm


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05133)
Exact name of registrant as specified in charter: Putnam High Income Securities Fund
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: August 31, 2018
Date of reporting period: May 31, 2018



Item 1. Schedule of Investments:













Putnam High Income Securities Fund


The fund's portfolio
5/31/18 (Unaudited)
CONVERTIBLE BONDS AND NOTES (43.0%)(a)
Principal amount Value
Basic materials (0.7%)
Cemex SAB de CV cv. unsec. sub. notes 3.72%, 3/15/20, (Mexico) $455,000 $451,343
Patrick Industries, Inc. 144A cv. sr. unsec. notes 1.00%, 2/1/23 491,000 481,440
932,783
Capital goods (2.4%)
Aerojet Rocketdyne Holdings, Inc. cv. sr. unsec. sub. notes 2.25%, 12/15/23 386,000 500,656
Dycom Industries, Inc. cv. sr. unsec. notes 0.75%, 9/15/21 535,000 620,520
Greenbrier Cos., Inc. (The) cv. sr. unsec. notes 2.875%, 2/1/24 470,000 530,713
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 385,000 297,172
II-VI, Inc. 144A cv. sr. unsec. notes 0.25%, 9/1/22 453,000 515,601
Kaman Corp. cv. sr. unsec. notes 3.25%, 5/1/24 449,000 556,258
3,020,920
Communication services (1.8%)
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 1,875,000 1,662,788
Powerwave Technologies, Inc. cv. unsec. sub. notes 3.875%, 10/1/27, (In default)(NON)(F) 1,160,000 116
RingCentral, Inc. 144A cv. sr. unsec. notes zero %, 3/15/23 524,000 581,855
2,244,759
Communications equipment (0.7%)
Ciena Corp. cv. sr. unsec. notes 4.00%, 12/15/20 618,000 822,957
822,957
Components (0.3%)
Finisar Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/15/36 427,000 386,246
386,246
Computers (3.6%)
Akamai Technologies, Inc. 144A cv. sr. unsec. notes 0.125%, 5/1/25 534,000 541,339
Avid Technology, Inc. cv. sr. unsec. notes 2.00%, 6/15/20 225,000 194,625
Citrix Systems, Inc. cv. sr. unsec. notes 0.50%, 4/15/19 435,000 636,475
HubSpot, Inc. cv. sr. unsec. notes 0.25%, 6/1/22 441,000 615,985
Nutanix, Inc. 144A cv. sr. unsec. notes zero %, 1/15/23 387,000 494,658
RealPage, Inc. cv. sr. unsec. notes 1.50%, 11/15/22 587,000 876,715
Vocera Communications, Inc. 144A cv. sr. unsec. notes 1.50%, 5/15/23 425,000 446,446
Western Digital Corp. 144A cv. company guaranty sr. unsec. notes 1.50%, 2/1/24 676,000 699,501
4,505,744
Consumer cyclicals (6.2%)
Caesars Entertainment Corp. cv. sr. unsec. notes 5.00%, 10/1/24 416,860 769,649
Euronet Worldwide, Inc. cv. sr. unsec. bonds 1.50%, 10/1/44 535,000 656,014
Liberty Interactive, LLC 144A cv. sr. unsec. bonds 1.75%, 9/30/46 710,000 733,652
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 510,000 629,697
Liberty Media Corp. cv. sr. unsec. unsub. bonds 2.25%, 9/30/46 404,000 420,694
Live Nation Entertainment, Inc. 144A cv. sr. unsec. notes 2.50%, 3/15/23 559,000 560,193
Macquarie Infrastructure Corp. cv. sr. unsec. unsub. notes 2.00%, 10/1/23 577,000 513,437
Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes 0.35%, 6/15/20 710,000 1,149,325
Square, Inc. cv. sr. unsec. unsub. notes 0.375%, 3/1/22 152,000 387,119
Square, Inc. 144A cv. sr. unsec. notes 0.50%, 5/15/23 714,000 748,971
Tesla, Inc. cv. sr. unsec. sub. notes 1.25%, 3/1/21 1,150,000 1,158,432
7,727,183
Consumer staples (2.1%)
Chegg, Inc. 144A cv. sr. unsec. notes 0.25%, 5/15/23 349,000 419,868
IAC FinanceCo, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 10/1/22 455,000 543,295
Liberty Expedia Holdings, Inc. cv. sr. unsec. unsub. bonds 1.00%, 6/30/47 617,000 604,147
Vector Group, Ltd. cv. sr. unsec. sub. notes 1.75%, 4/15/20 695,000 729,970
Wayfair, Inc. 144A cv. sr. unsec. sub. notes 0.375%, 9/1/22 297,000 328,453
2,625,733
Electronics (7.2%)
Intel Corp. cv. jr. unsec. sub. notes 3.25%, 8/1/39 440,000 1,173,630
Microchip Technology, Inc. cv. sr. unsec. sub. notes 1.625%, 2/15/27 2,731,000 3,471,812
Micron Technology, Inc. cv. sr. unsec. bonds 3.00%, 11/15/43 1,115,000 2,198,490
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.625%, 10/15/23 402,000 564,011
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.00%, 12/1/20 357,000 523,481
OSI Systems, Inc. cv. sr. unsec. unsub. notes 1.25%, 9/1/22 551,000 507,748
TTM Technologies, Inc. cv. sr. unsec. notes 1.75%, 12/15/20 323,000 613,257
9,052,429
Energy (2.4%)
Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 5.50%, 9/15/26 1,175,000 1,133,955
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 426,000 550,245
SEACOR Holdings, Inc. cv. sr. unsec. bonds 3.00%, 11/15/28 621,000 599,923
Whiting Petroleum Corp. cv. company guaranty sr. unsec. unsub. notes 1.25%, 4/1/20 770,000 727,893
3,012,016
Financials (2.8%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23(R) 526,000 512,452
Heritage Insurance Holdings, Inc. 144A cv. company guaranty sr. unsec. bonds 5.875%, 8/1/37 275,000 350,266
IH Merger Sub, LLC cv. company guaranty sr. unsec. notes 3.50%, 1/15/22(R) 604,000 659,053
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 710,000 704,597
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4.00%, 1/15/19(R) 431,000 470,059
TCP Capital Corp. cv. sr. unsec. bonds 5.25%, 12/15/19 827,000 853,677
3,550,104
Health care (5.6%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 0.599%, 8/1/24 730,000 723,472
Brookdale Senior Living, Inc. cv. sr. unsec. unsub. notes 2.75%, 6/15/18 655,000 653,824
China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4.00%, 8/15/18, (China) (In default)(NON)(F) 763,000 48,832
China Medical Technologies, Inc. 144A cv. sr. unsec. notes 6.25%, 12/17/18, (China) (In default)(NON)(F) 445,000 24,920
Clovis Oncology, Inc. cv. sr. unsec. notes 1.25%, 5/1/25 490,000 459,309
Insmed, Inc. cv. sr. unsec. sub. notes 1.75%, 1/15/25 358,000 355,579
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 2.25%, 6/15/22 345,000 457,125
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. bonds 1.875%, 8/15/21, (Ireland) 951,000 1,022,180
Medicines Co. (The) cv. sr. unsec. notes 2.50%, 1/15/22 705,000 819,918
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 410,000 589,657
Pacira Pharmaceuticals, Inc./Delaware cv. sr. unsec. sub. notes 2.375%, 4/1/22 614,000 579,657
Supernus Pharmaceuticals, Inc. 144A cv. sr. unsec. notes 0.625%, 4/1/23 539,000 632,458
Teladoc, Inc. 144A cv. sr. unsec. notes 3.00%, 12/15/22 460,000 625,287
6,992,218
Semiconductor (2.6%)
Cypress Semiconductor Corp. cv. sr. unsec. notes 4.50%, 1/15/22 395,000 545,100
Integrated Device Technology, Inc. cv. sr. unsec. unsub. notes 0.875%, 11/15/22 465,000 545,494
Jazz US Holdings, Inc. cv. company guaranty sr. unsec. notes 8.00%, 12/31/18 125,000 324,688
Novellus Systems, Inc. cv. company guaranty sr. unsec. notes 2.625%, 5/15/41 228,000 1,348,623
Teradyne, Inc. cv. sr. unsec. notes 1.25%, 12/15/23 410,000 549,577
3,313,482
Software (1.7%)
Everbridge, Inc. cv. sr. unsec. unsub. notes 1.50%, 11/1/22 440,000 644,463
Okta, Inc. 144A cv. sr. unsec. notes 0.25%, 2/15/23 655,000 863,231
Workday, Inc. 144A cv. sr. unsec. notes 0.25%, 10/1/22 517,000 571,075
2,078,769
Technology services (2.1%)
Carbonite, Inc. cv. sr. unsec. unsub. notes 2.50%, 4/1/22 435,000 701,884
J2 Global, Inc. cv. sr. unsec. notes 3.25%, 6/15/29 590,000 786,747
Proofpoint, Inc. cv. sr. unsec. unsub. notes 0.75%, 6/15/20 285,000 424,963
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 760,000 715,833
2,629,427
Transportation (0.8%)
Air Transport Services Group, Inc. 144A cv. sr. unsec. notes 1.125%, 10/15/24 614,000 585,450
Scorpio Tankers, Inc. 144A cv. sr. unsec. sub. notes 2.375%, 7/1/19 462,000 445,386
1,030,836
Total convertible bonds and notes (cost $49,798,951) $53,925,606

CORPORATE BONDS AND NOTES (38.2%)(a)
Principal amount Value
Basic materials (5.8%)
A Schulman, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 6/1/23 $50,000 $52,513
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 85,000 92,625
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 50,000 50,500
American Woodmark Corp. 144A company guaranty sr. unsec. notes 4.875%, 3/15/26 125,000 119,375
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 100,000 107,250
ArcelorMittal SA sr. unsec. unsub. notes 7.25%, 10/15/39 (France) 120,000 139,200
Beacon Escrow Corp. 144A sr. unsec. notes 4.875%, 11/1/25 100,000 92,000
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 100,000 103,470
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 145,000 150,981
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 160,000 155,000
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 210,000 210,788
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 175,000 171,892
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 115,000 113,563
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 280,000 274,932
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 400,000 405,000
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 105,000 87,150
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 40,000 38,900
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 80,000 85,800
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 70,000 73,520
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 180,000 170,550
Cornerstone Chemical Co. 144A company guaranty sr. notes 6.75%, 8/15/24 140,000 138,950
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 60,000 61,275
Crown Americas, LLC/Crown Americas Capital Corp. VI 144A company guaranty sr. unsec. notes 4.75%, 2/1/26 55,000 51,953
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada) 295,000 288,731
Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 125,000 120,625
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 6.875%, 2/15/23 (Indonesia) 110,000 117,975
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 85,000 82,875
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) 90,000 94,500
Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 125,000 118,125
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 50,000 55,125
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 10.50%, 4/15/23 115,000 127,087
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 60,000 61,800
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 190,000 186,200
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 34,000 35,700
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 115,000 118,163
Mercer International, Inc. 144A sr. unsec. notes 5.50%, 1/15/26 (Canada) 90,000 88,200
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 75,000 76,313
New Gold, Inc. 144A sr. unsec. notes 6.375%, 5/15/25 (Canada) 30,000 29,813
Northwest Acquisitions ULC/Dominion Finco, Inc. 144A notes 7.125%, 11/1/22 45,000 45,563
NOVA Chemicals Corp. 144A sr. unsec. bonds 5.25%, 6/1/27 (Canada) 116,000 109,910
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 190,000 186,219
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 110,000 111,375
Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27 15,000 16,500
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 145,000 148,988
Pisces Midco, Inc. 144A sr. notes 8.00%, 4/15/26 95,000 92,506
Platform Specialty Products Corp. 144A company guaranty sr. unsec. notes 5.875%, 12/1/25 135,000 129,938
Platform Specialty Products Corp. 144A sr. unsec. notes 6.50%, 2/1/22 65,000 66,625
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 125,000 149,688
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 35,000 34,608
Steel Dynamics, Inc. company guaranty sr. unsec. notes 4.125%, 9/15/25 30,000 28,350
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 80,000 81,600
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 65,000 66,056
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 4.75%, 1/15/22 (Canada) 45,000 45,464
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 40,000 38,650
Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8.50%, 6/1/24 (Canada) 15,000 16,556
TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25 125,000 129,375
TopBuild Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 130,000 128,050
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A sr. unsec. notes 5.375%, 9/1/25 (Luxembourg) 70,000 69,125
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 40,000 38,800
Tronox, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/15/26 85,000 83,831
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 170,000 172,763
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 80,000 82,700
USG Corp. 144A company guaranty sr. unsec. bonds 4.875%, 6/1/27 120,000 119,586
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 75,000 77,906
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 190,000 186,200
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 70,000 72,450
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 140,000 153,650
7,231,451
Capital goods (2.8%)
Advanced Disposal Services, Inc. 144A sr. unsec. notes 5.625%, 11/15/24 90,000 90,000
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 5.00%, 10/1/24 70,000 69,388
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 30,000 28,088
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7.75%, 11/15/19 105,000 110,381
Apergy Corp. 144A sr. unsec. notes 6.375%, 5/1/26 40,000 40,700
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) 200,000 209,000
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 120,000 124,844
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 55,000 55,963
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 35,000 34,650
Berry Global, Inc. 144A notes 4.50%, 2/15/26 40,000 37,400
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 180,000 199,800
Bombardier, Inc. 144A sr. unsec. notes 7.50%, 12/1/24 (Canada) 95,000 98,800
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 170,000 181,050
Cortes NP Acquisition Corp. 144A sr. unsec. notes 9.25%, 10/15/24 20,000 19,600
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 85,000 92,225
FXI Holdings, Inc. 144A sr. notes 7.875%, 11/1/24 85,000 84,150
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 186,000 188,093
GFL Environmental, Inc. 144A sr. unsec. notes 5.375%, 3/1/23 (Canada) 110,000 103,263
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 165,000 167,888
Hulk Finance Corp. 144A sr. unsec. notes 7.00%, 6/1/26 (Canada) 160,000 155,200
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 130,000 128,538
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 105,000 108,465
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 85,000 81,813
Tennant Co. company guaranty sr. unsec. unsub. notes 5.625%, 5/1/25 80,000 80,200
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 12/15/24 70,000 67,550
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/26 15,000 13,683
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8.75%, 7/15/23 (United Kingdom) 81,000 84,443
Titan Acquisition, Ltd./Titan Co-Borrower, LLC. 144A sr. unsec. notes 7.75%, 4/15/26 (Canada) 155,000 147,250
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 90,000 91,296
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 75,000 75,375
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 80,000 81,600
Trident Merger Sub, Inc. 144A sr. unsec. notes 6.625%, 11/1/25 95,000 93,575
Vertiv Intermediate Holding Corp. 144A sr. unsec. notes 12.00%, 2/15/22(PIK) 40,000 37,900
Wabash National Corp. 144A company guaranty sr. unsec. notes 5.50%, 10/1/25 105,000 101,850
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 75,000 72,375
Wrangler Buyer Corp. 144A sr. unsec. notes 6.00%, 10/1/25 140,000 133,350
3,489,746
Communication services (4.2%)
Altice Luxembourg SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) 400,000 384,000
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 35,000 36,925
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 175,000 168,928
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 215,000 216,881
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 90,000 88,173
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 125,000 124,219
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 5,000 4,988
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 25,000 25,313
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 240,000 238,805
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 35,000 34,829
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 235,000 235,588
CommScope Technologies, LLC 144A company guaranty sr. unsec. unsub. notes 5.00%, 3/15/27 80,000 74,800
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 245,000 231,574
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 50,000 52,750
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 255,000 282,731
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 200,000 171,500
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 210,000 174,500
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 35,000 28,000
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 85,000 76,500
Frontier Communications Corp. 144A company guaranty notes 8.50%, 4/1/26 135,000 130,781
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7.50%, 4/1/21 (Bermuda) 20,000 19,550
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 4,000 4,230
Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Bermuda) 250,000 259,375
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 25,000 25,406
SFR Group SA 144A company guaranty sr. notes 7.375%, 5/1/26 (France) 200,000 194,500
SFR Group SA 144A company guaranty sr. notes 6.00%, 5/15/22 (France) 200,000 198,500
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 225,000 215,438
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 60,000 62,400
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 43,000 44,041
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 330,000 346,335
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 265,000 274,275
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 220,000 229,878
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 55,000 53,969
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 30,000 29,850
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 95,000 88,825
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 1/15/26 55,000 57,406
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 40,000 37,600
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) 195,000 197,925
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 90,000 87,075
Windstream Services, LLC company guaranty sr. unsec. notes 6.375%, 8/1/23 110,000 63,525
5,271,888
Consumer cyclicals (7.5%)
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. notes 6.125%, 5/15/27 60,000 57,870
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/26 75,000 73,031
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 2/15/22 40,000 40,500
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 65,000 63,538
American Builders & Contractors Supply Co., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/26 25,000 24,563
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 105,000 106,838
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10.25%, 3/1/22 60,000 29,400
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 75,000 78,750
Boyd Gaming Corp. company guaranty sr. unsec. unsub. notes 6.375%, 4/1/26 35,000 35,875
Boyne USA, Inc. 144A company guaranty notes 7.25%, 5/1/25 40,000 41,600
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6.50%, 12/15/20 (Canada) 100,000 101,500
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 85,000 86,169
Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 85,000 85,744
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 170,000 163,200
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 40,000 40,300
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 65,000 62,803
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 70,000 70,000
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 330,000 337,013
Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 260,000 250,575
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 145,000 138,475
Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 210,000 224,700
Diamond Resorts International, Inc. 144A sr. unsec. notes 10.75%, 9/1/24 120,000 131,700
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 45,000 47,306
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 85,000 84,363
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 80,000 80,000
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 50,000 49,612
Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 80,000 75,600
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6.625%, 7/25/22 (Canada) CAD 170,000 134,449
GW Honos Security Corp. 144A company guaranty sr. unsec. notes 8.75%, 5/15/25 (Canada) $125,000 127,188
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 70,000 68,338
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 145,000 138,838
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 215,000 207,744
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 (In default)(NON) 130,000 101,725
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 115,000 114,281
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 25,000 23,625
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 230,000 250,125
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 225,000 231,750
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 65,000 67,925
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 55,000 51,150
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 65,000 61,425
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 60,000 59,706
Lennar Corp. 144A company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 55,000 56,513
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 50,000 48,625
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 60,000 59,850
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) 50,000 51,438
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 10/1/25 (Canada) 75,000 74,288
Meredith Corp. 144A sr. unsec. notes 6.875%, 2/1/26 135,000 136,350
MGM Resorts International company guaranty sr. unsec. unsub. notes 8.625%, 2/1/19 70,000 72,386
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 65,000 68,819
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 175,000 180,688
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7.125%, 6/1/28 125,000 100,625
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75% (9.50%), 10/15/21(PIK) 76,807 54,533
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.00%, 10/15/21 60,000 42,900
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 260,000 254,319
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 60,000 57,900
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 75,000 74,398
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 90,000 90,900
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 90,000 85,950
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 160,000 163,600
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 60,000 59,100
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 100,000 98,520
PetSmart, Inc. 144A sr. unsec. notes 7.125%, 3/15/23 40,000 19,232
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 160,000 184,000
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 90,000 89,550
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 160,000 159,200
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 135,000 136,377
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 340,000 364,653
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 215,000 214,129
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 125,000 127,813
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 110,000 104,500
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 150,000 145,455
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 170,000 164,050
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 65,000 64,350
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6.625%, 11/15/22 5,000 5,163
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 12/15/24 110,000 111,513
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 175,000 171,938
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 70,000 65,625
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 10,000 9,175
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 85,000 81,069
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/1/23 60,000 54,000
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 100,000 99,470
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 85,000 85,956
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 110,000 101,299
Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. unsec. notes 8.75%, 7/15/25 175,000 175,875
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 105,000 103,688
WMG Acquisition Corp. 144A company guaranty sr. unsec. notes 5.50%, 4/15/26 30,000 29,700
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 95,000 90,013
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 5.375%, 4/15/26 75,000 75,094
Wyndham Worldwide Corp. sr. unsec. unsub. bonds 4.50%, 4/1/27 150,000 148,092
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 195,000 186,469
9,418,444
Consumer staples (2.1%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 120,000 114,300
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 45,000 44,944
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 85,000 80,538
Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 115,000 115,000
BlueLine Rental Finance Corp./BlueLine Rental, LLC 144A company guaranty sub. notes 9.25%, 3/15/24 210,000 224,064
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 220,000 224,950
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 180,000 160,425
Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 90,000 88,200
Diamond (BC) BV 144A sr. unsec. notes 5.625%, 8/15/25 EUR 100,000 103,565
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 $80,000 50,400
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 165,000 172,013
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 230,000 232,588
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 125,000 120,000
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 90,000 87,975
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 90,000 88,875
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 60,000 56,400
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 130,000 128,863
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 25,000 24,563
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 135,000 128,270
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 4/15/28 85,000 80,759
Netflix, Inc. 144A sr. unsec. unsub. bonds 5.875%, 11/15/28 60,000 60,318
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 6.25%, 8/1/24 215,000 123,088
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 135,000 138,375
2,648,473
Energy (5.3%)
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. company guaranty sr. unsec. notes 7.875%, 12/15/24 190,000 199,025
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 30,000 30,450
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 90,000 90,945
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 30,000 30,150
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 60,000 64,650
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7.50%, 12/1/20 85,000 86,063
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 55,000 48,542
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 250,000 260,938
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 90,000 89,438
Chesapeake Energy Corp. company guaranty sr. unsec. FRN (BBA LIBOR USD 3 Month + 3.25%), 5.598%, 4/15/19 40,000 39,900
Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 6/15/27 35,000 34,738
Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 1/15/25 80,000 79,500
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5.75%, 3/15/23 75,000 70,500
Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22 166,000 175,545
Continental Resources, Inc. company guaranty sr. unsec. bonds 4.90%, 6/1/44 145,000 143,420
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 100,000 97,784
Continental Resources, Inc. company guaranty sr. unsec. sub. notes 5.00%, 9/15/22 20,000 20,303
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 80,000 81,622
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 145,000 143,550
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 5.625%, 10/15/25 100,000 97,252
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 65,000 60,450
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 107,000 113,688
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 155,000 153,450
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 11/1/24 45,000 43,425
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 150,000 147,375
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 5.50%, 1/30/26 45,000 44,100
Energy Transfer Partners LP jr. unsec. sub. FRB Ser. B, 6.625%, perpetual maturity 240,000 224,520
Ensco PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) 115,000 109,538
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 67,000 65,660
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 9.375%, 5/1/24 98,000 76,959
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 8.00%, 2/15/25 65,000 46,963
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 8.00%, 11/29/24 30,000 29,700
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 7.75%, 5/15/26 85,000 86,488
Extraction Oil & Gas, Inc. 144A sr. unsec. notes 5.625%, 2/1/26 105,000 100,538
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26 135,000 135,675
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 155,000 154,806
Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 150,000 143,250
Jagged Peak Energy, LLC 144A company guaranty sr. unsec. notes 5.875%, 5/1/26 75,000 74,063
Jonah Energy, LLC/Jonah Energy Finance Corp. 144A company guaranty sr. unsec. notes 7.25%, 10/15/25 45,000 35,606
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 15,000 13,538
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 35,000 31,588
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 60,000 60,131
Murray Energy Corp. 144A notes 11.25%, 4/15/21 110,000 46,750
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 5.75%, 2/1/25 130,000 123,175
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 170,000 178,075
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 55,000 56,581
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 70,000 65,625
Noble Holding International, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 2/1/26 40,000 40,750
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 10,000 10,200
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 138,000 140,070
Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 85,000 85,638
QEP Resources, Inc. sr. unsec. notes 5.625%, 3/1/26 85,000 81,175
Range Resources Corp. company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 100,000 102,750
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5.00%, 10/1/22 55,000 57,019
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4.50%, 11/1/23 80,000 80,762
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 11/15/23 5,000 4,663
SemGroup Corp. company guaranty sr. unsec. notes 6.375%, 3/15/25 40,000 37,800
SESI, LLC company guaranty sr. unsec. notes 7.75%, 9/15/24 85,000 88,188
SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 40,000 40,750
Seven Generations Energy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 9/30/25 (Canada) 75,000 72,281
Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6.75%, 5/1/23 (Canada) 35,000 36,488
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 105,000 11
Seventy Seven Operating, LLC escrow company guaranty sr. unsec. unsub. notes 6.625%, 11/15/19(F) 115,000 12
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 85,000 86,488
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 50,000 46,875
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 60,000 61,050
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 35,000 35,525
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 50,000 50,750
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. bonds 5.50%, 1/15/28 80,000 77,300
Talos Production, LLC/Talos Production Finance, Inc. 144A company guaranty notes 11.00%, 4/3/22 171,065 178,335
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.375%, 2/1/27 65,000 62,969
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. unsub. bonds 5.00%, 1/15/28 150,000 140,955
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.875%, 4/15/26 30,000 30,141
Trinidad Drilling, Ltd. 144A company guaranty sr. unsec. notes 6.625%, 2/15/25 (Canada) 110,000 104,775
USA Compression Partners LP/USA Compression Finance Corp. 144A sr. unsec. notes 6.875%, 4/1/26 120,000 123,600
Vermilion Energy, Inc. 144A company guaranty sr. unsec. notes 5.625%, 3/15/25 (Canada) 80,000 79,200
Weatherford International, LLC 144A company guaranty sr. unsec. notes 9.875%, 3/1/25 45,000 43,875
Weatherford International, Ltd. company guaranty sr. unsec. sub. notes 9.875%, 2/15/24 140,000 137,200
Weatherford International, Ltd. company guaranty sr. unsec. unsub. notes 8.25%, 6/15/23 25,000 24,250
Whiting Petroleum Corp. 144A sr. unsec. notes 6.625%, 1/15/26 60,000 61,425
Williams Cos., Inc. (The) sr. unsec. unsub. notes 8.75%, 3/15/32 45,000 58,500
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 15,000 17,025
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 45,000 44,915
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 25,000 26,250
6,675,992
Financials (3.7%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 105,000 105,525
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 120,000 123,900
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 220,000 264,000
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.00%, 3/15/20 60,000 64,351
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 120,000 122,340
Ally Financial, Inc. unsec. sub. notes 8.00%, 12/31/18 65,000 66,690
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 100,000 126,250
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 55,000 56,513
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 50,000 53,063
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 50,000 53,104
CIT Group, Inc. sr. unsec. notes 3.875%, 2/19/19 22,500 22,584
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 75,000 75,656
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 60,000 60,900
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 55,000 55,894
CNG Holdings, Inc. 144A sr. notes 9.375%, 5/15/20 125,000 124,375
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 155,000 155,775
Credit Acceptance Corp. company guaranty sr. unsec. notes 7.375%, 3/15/23 50,000 51,875
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 55,000 55,138
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 110,000 138,157
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 60,000 57,636
Fairfax Financial Holdings, Ltd. 144A sr. unsec. notes 4.85%, 4/17/28 (Canada) 55,000 54,705
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 75,000 74,813
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 115,000 114,391
goeasy, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 11/1/22 (Canada) 70,000 74,550
HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 100,000 100,080
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 65,000 66,463
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 60,000 61,425
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 65,000 66,219
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 95,000 95,950
Intelsat Connect Finance SA 144A company guaranty sr. unsec. sub. notes 12.50%, 4/1/22 (Luxembourg) 9,000 8,685
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 60,000 64,220
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22(R) 40,000 40,000
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22(R) 40,000 38,850
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.80%, 3/15/37 45,000 53,775
Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 110,000 110,000
Lloyds Banking Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) 249,000 260,516
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 140,000 134,750
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 5.625%, 5/1/24(R) 45,000 45,450
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 4.50%, 1/15/28(R) 35,000 31,413
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 130,000 131,300
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 120,000 116,400
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648%, perpetual maturity (United Kingdom) 170,000 212,288
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 85,000 84,575
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.125%, 5/15/22 95,000 96,900
Starwood Property Trust, Inc. sr. unsec. notes 5.00%, 12/15/21(R) 55,000 55,825
Starwood Property Trust, Inc. 144A sr. unsec. notes 4.75%, 3/15/25(R) 105,000 101,063
Stearns Holdings, Inc. 144A company guaranty sr. notes 9.375%, 8/15/20 90,000 91,125
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 90,000 90,113
Travelport Corporate Finance PLC 144A company guaranty sr. notes 6.00%, 3/15/26 (United Kingdom) 60,000 60,300
USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 95,000 95,713
WeWork Cos, Inc. 144A company guaranty sr. unsec. notes 7.875%, 5/1/25 160,000 150,622
4,616,205
Health care (3.3%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 135,000 127,238
ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 150,000 128,766
BioScrip, Inc. company guaranty sr. unsec. notes 8.875%, 2/15/21 55,000 52,800
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 110,000 115,638
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 110,000 111,100
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 40,000 40,428
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 115,000 107,238
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 275,000 144,375
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 7.125%, 7/15/20 85,000 71,400
Concordia International Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/23 (Canada) (In default)(NON) 175,000 10,500
Endo DAC/Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) 210,000 154,875
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 160,000 118,800
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 100,000 99,625
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 200,000 209,000
HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 185,000 172,513
HCA, Inc. company guaranty sr. sub. notes 3.75%, 3/15/19 65,000 65,163
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 30,000 32,738
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 135,000 135,709
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 80,000 88,600
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 125,000 100,156
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 75,000 74,993
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 20,000 19,000
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 6.625%, 5/15/22 165,000 163,048
Service Corp. International sr. unsec. notes 5.375%, 1/15/22 110,000 111,375
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 30,000 28,605
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 255,000 257,231
Sotera Health Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 110,000 111,375
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 140,000 144,550
Tenet Healthcare Corp. sr. unsec. notes 8.125%, 4/1/22 60,000 62,775
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Netherlands) 200,000 202,967
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 30,000 29,438
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 9.25%, 4/1/26 95,000 99,715
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 9.00%, 12/15/25 80,000 83,700
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 175,000 161,875
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 225,000 212,625
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.625%, 12/1/21 10,000 9,910
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 160,000 167,600
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 35,000 36,372
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 85,000 86,488
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 50,000 49,875
4,200,179
Technology (2.1%)
Avaya, Inc. 144A escrow notes 7.00%, 4/1/19 300,000 —
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 375,000 402,924
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 130,000 136,530
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. unsec. notes 5.875%, 6/15/21 20,000 20,533
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 120,000 125,724
First Data Corp. 144A notes 5.75%, 1/15/24 175,000 175,656
First Data Corp. 144A sr. notes 5.375%, 8/15/23 105,000 106,481
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 225,000 228,938
Infor Software Parent, LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 155,000 155,775
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 105,000 106,706
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 60,000 60,975
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28(R) 45,000 42,356
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 150,000 137,813
Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) 90,000 112,127
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 170,000 169,150
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 165,000 183,101
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 135,000 130,822
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 170,000 166,175
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 125,000 122,969
2,584,755
Transportation (0.1%)
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 145,000 148,444
148,444
Utilities and power (1.3%)
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 270,000 272,700
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 45,000 45,225
AES Corp./Virginia (The) sr. unsec. notes 4.50%, 3/15/23 40,000 40,000
AES Corp./Virginia (The) sr. unsec. unsub. bonds 5.125%, 9/1/27 45,000 44,325
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 175,000 159,250
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 85,000 80,325
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 25,000 24,875
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 95,000 103,768
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 180,000 193,275
Dynegy, Inc. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 55,000 60,363
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 135,000 140,063
Energy Transfer Equity LP sr. sub. notes 5.50%, 6/1/27 45,000 45,619
GenOn Americas Generation, LLC sr. unsec. notes 9.125%, 5/1/31 (In default)(NON) 100,000 52,500
GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 (In default)(NON) 95,000 85,500
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 90,000 96,525
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 120,000 123,900
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/28 40,000 39,600
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20 60,000 450
1,608,263
Total corporate bonds and notes (cost $48,763,020) $47,893,840

CONVERTIBLE PREFERRED STOCKS (13.0%)(a)
Shares Value
Basic materials (—%)
Smurfit-Stone Container Corp. escrow zero % cv. pfd.(F) 65,720 $657
657
Capital goods (1.0%)
Belden, Inc. $6.75 cv. pfd. 5,761 450,525
Rexnord Corp. Ser. A, $2.875 cv. pfd. 13,732 856,273
1,306,798
Communication services (1.8%)
Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. 21,872 1,099,304
Crown Castle International Corp. Ser. A, 6.875% cv. pfd. 1,119 1,167,430
2,266,734
Consumer cyclicals (0.7%)
Stanley Black & Decker, Inc. $5.375 cv. pfd. 7,964 846,818
846,818
Energy (0.9%)
Hess Corp. $4.00 cv. pfd. 15,490 1,057,347
Nine Point Energy 6.75% cv. pfd. 24 26,484
1,083,831
Financials (5.0%)
Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd.(R) 14,245 499,745
AMG Capital Trust II $2.575 cv. pfd. 14,140 839,247
Bank of America Corp. Ser. L, 7.25% cv. pfd. 993 1,256,890
EPR Properties Ser. C, $1.438 cv. pfd.(R) 37,670 986,954
iStar, Inc. Ser. J, $2.25 cv. pfd.(R) 7,445 348,013
RLJ Lodging Trust Ser. A, $0.488 cv. pfd. 37,550 960,529
Wells Fargo & Co. Ser. L, 7.50% cv. pfd. 585 733,912
Welltower, Inc. Ser. I, $3.25 cv. pfd.(R) 12,177 700,829
6,326,119
Health care (1.2%)
Becton Dickinson and Co. Ser. A, $3.063 cv. pfd. 24,930 1,445,110
1,445,110
Technology (0.8%)
Mandatory Exchangeable Trust Securities 144A $5.75 cv. pfd. 4,456 988,685
988,685
Utilities and power (1.6%)
DTE Energy Co. $3.25 cv. pfd. 16,040 826,645
NextEra Energy, Inc. $3.062 cv. pfd. 15,700 891,193
Vistra Energy Corp. $7.00 cv. pfd.(NON) 3,046 299,422
2,017,260
Total convertible preferred stocks (cost $14,609,429) $16,282,012

COMMON STOCKS (1.6%)(a)
Shares Value
ACC Claims Holdings, LLC Class A (Units)(F) 199,505 $1,197
Ally Financial, Inc. 4,660 119,529
Avaya Holdings Corp.(NON) 4,326 95,475
Bank of America Corp. 8,630 250,615
Berry Plastics Group, Inc.(NON) 1,830 88,371
Caesars Entertainment Corp.(NON) 944 11,470
Charter Communications, Inc. Class A(NON) 245 63,955
CIT Group, Inc. 1,606 80,188
Crown Holdings, Inc.(NON) 1,030 44,640
Danaher Corp. 1,805 179,200
Halcon Resources Corp.(NON) 5,898 28,546
Lennar Corp. Class A 10,821 559,879
Lennar Corp. Class B 216 8,938
Live Nation Entertainment, Inc.(NON) 900 38,367
MWO Holdings, LLC (Units)(F) 39 3,159
Nine Point Energy(F) 1,190 16,374
SandRidge Energy, Inc.(NON) 2,270 33,006
Seven Generations Energy, Ltd. Class A (Canada)(NON) 2,990 38,695
T-Mobile US, Inc.(NON) 3,319 184,868
Talos Energy, Inc.(NON) 3,230 103,748
Tervita Corp. Class A (Canada) 127 882
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 1,028 535
U.S. Concrete, Inc.(NON) 884 53,880
Total common stocks (cost $2,080,778) $2,005,517

SENIOR LOANS (—%)(a)(c)
Principal amount Value
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 7.509%, 10/16/23 $55,000 $54,588
Total senior loans (cost $54,932) $54,588

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Halcon Resources Corp. 9/9/20 $14.04 1,601 $1,047
Total warrants (cost $—) $1,047

SHORT-TERM INVESTMENTS (4.1%)(a)
Shares Value
Putnam Short Term Investment Fund 1.94%(AFF) 5,146,482 $5,146,482
Total short-term investments (cost $5,146,482) $5,146,482

TOTAL INVESTMENTS
Total investments (cost $120,453,592) $125,309,092













FORWARD CURRENCY CONTRACTS at 5/31/18 (aggregate face value $308,639) (Unaudited)


Counterparty Currency Contract type* Delivery date Value Aggregate face value Unrealized appreciation/
(depreciation)
Bank of America N.A.
Euro Sell 6/20/18 $118,801 $126,052 $7,251
Citibank, N.A.
Canadian Dollar Sell 7/18/18 20,153 20,318 165
State Street Bank and Trust Co.
Canadian Dollar Sell 7/18/18 160,998 162,269 1,271
Unrealized appreciation 8,687
Unrealized (depreciation) —
Total $8,687

* The exchange currency for all contracts listed is the United States Dollar.












Key to holding's currency abbreviations
CAD Canadian Dollar
EUR Euro
USD / $ United States Dollar
Key to holding's abbreviations
DAC Designated Activity Company
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from September 1, 2017 through May 31, 2018 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $125,462,067.
(NON) This security is non-income-producing.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:

Name of affiliate Fair value as of 8/31/17 Purchase cost Sale proceeds Investment income Shares outstanding and fair value as of 5/31/18
Short-term investments
Putnam Short Term Investment Fund** $2,900,362 $21,078,840 $18,832,720 $38,055 $5,146,482
Total Short-term investments $2,900,362 $21,078,840 $18,832,720 $38,055 $5,146,482
** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.

(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs.
(R) Real Estate Investment Trust.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, is presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund did not have a net liability position on open derivative contracts subject to the Master Agreements.












ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Basic materials $53,880 $— $—
    Capital goods 133,011 — —
    Communication services 248,823 — 1,197
    Conglomerates 179,200 — —
    Consumer cyclicals 618,654 — —
    Energy 203,995 882 19,533
    Financials 450,332 — —
    Technology 95,475 — —
    Utilities and power — 535 —
Total common stocks 1,983,370 1,417 20,730
Convertible bonds and notes — 53,851,738 73,868
Convertible preferred stocks 960,529 15,320,826 657
Corporate bonds and notes — 47,893,817 23
Senior loans — 54,588 —
Warrants 1,047 — —
Short-term investments 5,146,482 — —
Totals by level $8,091,428 $117,122,386 $95,278



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $8,687 $—
Totals by level $— $8,687 $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.

During the reporting period, transfers within the fair value hierarchy, if any (other than certain transfers involving non-U.S. equity securities as described in the Security valuation note above), did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Foreign exchange contracts $8,687 $—
Equity contracts 1,047 —
Total $9,734 $—

The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Forward currency contracts (contract amount)$320,000
Warrants (number of warrants)1,601

For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com



Item 2. Controls and Procedures:
(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.
(b) Changes in internal control over financial reporting: Not applicable

Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam High Income Securities Fund
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: July 19, 2018

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: July 19, 2018

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: July 19, 2018