Item 1. Schedule of Investments:
--------------------------------
Putnam Managed High Yield Trust
QUARTERLY PORTFOLIO HOLDINGS
8-31-04
Putnam Managed High Yield Trust
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The fund's portfolio
August 31, 2004 (Unaudited)
Corporate bonds and notes (90.0%) (a)
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Principal amount Value
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Advertising and Marketing Services (0.2%)
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$100,000 Lamar Media Corp. company guaranty 7
1/4s, 2013 $106,500
Automotive (2.1%)
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50,000 ArvinMeritor, Inc. notes 8 3/4s, 2012 55,000
100,000 Collins & Aikman Products company
guaranty 10 3/4s, 2011 103,000
30,000 Dana Corp. notes 10 1/8s, 2010 34,350
225,000 Dana Corp. notes 9s, 2011 268,875
15,000 Dana Corp. notes 7s, 2029 15,075
40,000 Delco Remy International, Inc. company
guaranty 11s, 2009 42,700
205,000 Delco Remy International, Inc. sr. sub.
notes 9 3/8s, 2012 208,588
30,000 Dura Operating Corp. company guaranty
Ser. B, 8 5/8s, 2012 31,125
150,000 Lear Corp. company guaranty Ser. B,
8.11s, 2009 174,072
115,000 Meritor Automotive, Inc. notes 6.8s,
2009 118,450
105,000 Metaldyne Corp. 144A sr. notes 10s, 2013 103,688
EUR 20,000 Teksid Aluminum 144A company guaranty 11
3/8s, 2011 (Luxembourg) 22,115
$70,000 Tenneco Automotive, Inc. company
guaranty Ser. B, 11 5/8s, 2009 74,725
130,000 Tenneco Automotive, Inc. sec. notes Ser.
B, 10 1/4s, 2013 150,475
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1,402,238
Beverage (0.1%)
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45,000 Constellation Brands, Inc. company
guaranty Ser. B, 8s, 2008 49,613
45,000 Constellation Brands, Inc. sr. sub.
notes Ser. B, 8 1/8s, 2012 49,163
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98,776
Broadcasting (2.8%)
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210,000 British Sky Broadcasting PLC company
guaranty 6 7/8s, 2009 (United Kingdom) 231,005
300,000 DirecTV Holdings, LLC sr. notes 8 3/8s,
2013 341,250
440,000 Diva Systems Corp. sr. disc. notes Ser.
B, 12 5/8s, 2008 (In default) (NON) 550
52,000 Echostar DBS Corp. sr. notes 9 1/8s,
2009 57,395
280,000 Echostar DBS Corp. sr. notes 6 3/8s,
2011 280,700
260,000 Granite Broadcasting Corp. sec. notes 9
3/4s, 2010 245,050
105,000 Gray Television, Inc. company guaranty 9
1/4s, 2011 117,338
6,090 Knology, Inc. 144A sr. notes 12s, 2009
(PIK) 5,786
155,000 Rainbow National Services, LLC 144A sr.
notes 8 3/4s, 2012 158,100
60,000 Sinclair Broadcast Group, Inc. company
guaranty 8 3/4s, 2011 64,800
301,000 Young Broadcasting, Inc. company
guaranty 10s, 2011 307,773
65,000 Young Broadcasting, Inc. sr. sub. notes
8 3/4s, 2014 62,319
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1,872,066
Building Materials (0.6%)
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60,000 Building Materials Corp. company
guaranty 8s, 2008 60,900
95,000 Dayton Superior Corp. sec. notes 10
3/4s, 2008 101,175
45,000 Interface, Inc. sr. sub. notes 9 1/2s,
2014 46,125
115,000 Nortek, Inc. 144A sr. sub. notes 8 1/2s,
2014 119,888
5,000 Owens Corning bonds 7 1/2s, 2018 (In
default) (NON) 2,300
120,000 Owens Corning notes 7 1/2s, 2005 (In
default) (NON) 54,900
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385,288
Cable Television (3.0%)
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10,000 Adelphia Communications Corp. notes Ser.
B, 9 7/8s, 2005 (In default) (NON) 9,000
20,000 Adelphia Communications Corp. sr. notes
10 7/8s, 2010 (In default) (NON) 18,250
90,000 Adelphia Communications Corp. sr. notes
10 1/4s, 2011 (In default) (NON) 83,250
5,000 Adelphia Communications Corp. sr. notes
10 1/4s, 2006 (In default) (NON) 4,525
5,000 Adelphia Communications Corp. sr. notes
9 3/8s, 2009 (In default) (NON) 4,600
40,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 (In default) (NON) 36,000
80,000 Atlantic Broadband Finance, LLC 144A sr.
sub. notes 9 3/8s, 2014 75,400
270,000 Cablevision Systems Corp. 144A sr. notes
8s, 2012 276,750
70,000 Charter Communications Holdings,
LLC/Capital Corp. sr. disc. notes
stepped-coupon zero % (12 1/8s,
1/15/07), 2012 (STP) 40,950
35,000 Charter Communications Holdings,
LLC/Capital Corp. sr. disc. notes
stepped-coupon zero % (11 3/4s,
5/15/06), 2011 (STP) 22,225
90,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 11 1/8s,
2011 75,150
200,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 10 3/4s,
2009 168,000
75,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 10 1/4s,
2010 61,688
265,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 10s, 2011 209,350
200,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 9 5/8s, 2009 161,500
20,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 8 5/8s, 2009 15,900
75,000 CSC Holdings, Inc. debs. 7 5/8s, 2018 75,375
80,000 CSC Holdings, Inc. sr. notes Ser. B, 7
5/8s, 2011 83,000
80,000 CSC Holdings, Inc. 144A sr. notes 6
3/4s, 2012 79,600
270,000 Kabel Deutsheland GmbH 144A sr. notes 10
5/8s, 2014 (Germany) 276,750
30,000 Quebecor Media, Inc. sr. disc. notes
stepped-coupon zero % (13 3/4s,
7/15/06), 2011 (Canada) (STP) 28,575
155,000 Quebecor Media, Inc. sr. notes 11 1/8s,
2011 (Canada) 178,250
50,000 Videotron Ltee company guaranty 6 7/8s,
2014 (Canada) 50,500
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2,034,588
Capital Goods (9.9%)
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370,000 AEP Industries, Inc. sr. sub. notes 9
7/8s, 2007 379,250
221,742 Air2 US 144A sinking fund Ser. D,
12.266s, 2020 (In default) (NON) 2
240,000 Allied Waste North America, Inc. company
guaranty Ser. B, 8 1/2s, 2008 263,400
330,000 Allied Waste North America, Inc. company
guaranty Ser. B, 7 5/8s, 2006 346,088
90,000 Allied Waste North America, Inc. sec.
notes 6 1/2s, 2010 90,000
115,000 Argo-Tech Corp. 144A sr. notes 9 1/4s,
2011 121,325
35,000 BE Aerospace, Inc. sr. notes 8 1/2s,
2010 37,800
220,000 BE Aerospace, Inc. sr. sub. notes Ser.
B, 8s, 2008 214,225
15,000 Berry Plastics Corp. company guaranty 10
3/4s, 2012 16,838
145,000 Blount, Inc. company guaranty 13s, 2009 154,606
60,000 Blount, Inc. company guaranty 7s, 2005 62,100
80,000 Blount, Inc. sr. sub. notes 8 7/8s, 2012 83,600
110,000 Browning-Ferris Industries, Inc. debs.
7.4s, 2035 97,900
100,000 Browning-Ferris Industries, Inc. sr.
notes 6 3/8s, 2008 101,500
EUR 15,000 Crown Holdings SA bonds 10 1/4s, 2011
(France) 20,642
$320,000 Crown Holdings SA notes 10 7/8s, 2013
(France) 372,000
95,000 Crown Holdings SA notes 9 1/2s, 2011
(France) 105,450
476,000 Decrane Aircraft Holdings Co. company
guaranty 17s, 2008 180,880
120,000 Earle M. Jorgensen Co. sec. notes 9
3/4s, 2012 133,200
75,000 FIMEP SA sr. notes 10 1/2s, 2013
(France) 86,625
EUR 60,000 Flender Holdings 144A sr. notes 11s,
2010 (Germany) 83,149
$93,000 Flowserve Corp. company guaranty 12
1/4s, 2010 105,555
25,000 Hexcel Corp. sr. sub. notes 9 3/4s, 2009 26,313
DEM 140,000 Impress Metal Packaging Holding NV sr.
sub. notes 9 7/8s, 2007 (Netherlands) 86,760
$130,000 Invensys, PLC notes 9 7/8s, 2011 (United
Kingdom) 131,950
85,000 K&F Industries, Inc. sr. sub. notes Ser.
B, 9 5/8s, 2010 94,138
23,000 K&F Industries, Inc. sr. sub. notes Ser.
B, 9 1/4s, 2007 23,748
325,000 L-3 Communications Corp. company
guaranty 6 1/8s, 2013 320,125
615,000 Legrand SA debs. 8 1/2s, 2025 (France) 669,581
140,000 Manitowoc Co., Inc. (The) company
guaranty 10 1/2s, 2012 159,600
EUR 25,000 Manitowoc Co., Inc. (The) company
guaranty 10 3/8s, 2011 33,461
$290,000 Manitowoc Co., Inc. (The) sr. notes 7
1/8s, 2013 299,425
35,000 Mueller Group, Inc. 144A sec. FRN 5.89s,
2011 35,788
95,000 Mueller Group, Inc. 144A sr. sub. notes
10s, 2012 101,888
180,000 Owens-Brockway Glass company guaranty 8
1/4s, 2013 189,900
90,000 Owens-Brockway Glass company guaranty 7
3/4s, 2011 95,400
170,000 Owens-Brockway Glass sr. sec. notes 8
3/4s, 2012 188,700
65,000 Pliant Corp. sec. notes 11 1/8s, 2009 69,713
250,000 Sequa Corp. sr. notes Ser. B, 8 7/8s,
2008 268,750
165,000 Siebe PLC 144A sr. unsub. 6 1/2s, 2010
(United Kingdom) 148,500
60,000 Solo Cup Co. sr. sub. notes 8 1/2s, 2014 58,200
110,000 Tekni-Plex, Inc. company guaranty Ser.
B, 12 3/4s, 2010 105,600
75,000 Tekni-Plex, Inc. 144A sr. sec. notes 8
3/4s, 2013 72,000
35,000 Terex Corp. company guaranty 9 1/4s,
2011 39,200
190,000 Terex Corp. company guaranty Ser. B, 10
3/8s, 2011 214,700
90,000 Titan Corp. (The) company guaranty 8s,
2011 92,925
70,000 Trimas Corp. company guaranty 9 7/8s,
2012 74,200
60,000 Vought Aircraft Industries, Inc. sr.
notes 8s, 2011 59,550
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6,716,250
Chemicals (5.8%)
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130,000 Acetex Corp. sr. notes 10 7/8s, 2009
(Canada) 143,000
10,000 Avecia Group PLC company guaranty 11s,
2009 (United Kingdom) 8,000
205,000 BCP Caylux Holdings Luxembourg SCA 144A
sr. sub. notes 9 5/8s, 2014 (Luxembourg) 220,119
185,000 Compass Minerals Group, Inc. company
guaranty 10s, 2011 205,350
50,000 Compass Minerals International, Inc. sr.
disc. notes stepped-coupon zero % (12s,
6/1/08), 2013 (STP) 39,000
130,000 Compass Minerals International, Inc. sr.
notes stepped-coupon zero % (12 3/4s,
12/15/07), 2012 (STP) 106,600
95,000 Equistar Chemicals LP notes 8 3/4s, 2009 99,988
290,000 Equistar Chemicals LP/Equistar Funding
Corp. company guaranty 10 1/8s, 2008 321,900
180,000 Hercules, Inc. company guaranty 11 1/8s,
2007 211,500
140,000 Hercules, Inc. 144A sr. sub. notes 6
3/4s, 2029 138,950
35,000 Huntsman Advanced Materials, LLC 144A
sec. FRN 10s, 2008 36,750
40,000 Huntsman Advanced Materials, LLC 144A
sec. notes 11s, 2010 45,600
140,000 Huntsman Co., LLC sr. disc. notes zero
%, 2008 83,300
220,000 Huntsman ICI Chemicals, Inc. company
guaranty 10 1/8s, 2009 226,600
270,000 Huntsman ICI Holdings sr. disc. notes
zero %, 2009 137,700
EUR 75,000 Huntsman International, LLC sr. sub.
notes Ser. EXCH, 10 1/8s, 2009 91,907
$120,000 Huntsman, LLC company guaranty 11 5/8s,
2010 134,400
60,000 Huntsman, LLC 144A company guaranty 11
1/2s, 2012 61,500
95,000 Innophos, Inc. 144A sr. sub. notes 8
7/8s, 2014 98,800
230,000 ISP Chemco, Inc. company guaranty Ser.
B, 10 1/4s, 2011 255,875
10,000 Lyondell Chemical Co. bonds 11 1/8s,
2012 11,375
130,000 Lyondell Chemical Co. company guaranty
10 1/2s, 2013 146,250
100,000 Lyondell Chemical Co. company guaranty 9
1/2s, 2008 106,875
65,000 Lyondell Chemical Co. notes Ser. A, 9
5/8s, 2007 69,469
225,000 Millennium America, Inc. company
guaranty 9 1/4s, 2008 245,250
25,000 Millennium America, Inc. 144A sr. notes
9 1/4s, 2008 27,250
EUR 10,000 Nalco Co. 144A sr. notes 7 3/4s, 2011 12,923
EUR 10,000 Nalco Co. 144A sr. sub. notes 9s, 2013 12,904
$300,000 Nalco Co. 144A sr. sub. notes 8 7/8s,
2013 323,625
31,547 PCI Chemicals Canada sec. sr. notes 10s,
2008 (Canada) 30,758
70,155 Pioneer Companies, Inc. sec. FRN 5.086s,
2006 66,296
25,000 Resolution Performance Products, LLC sr.
notes 9 1/2s, 2010 26,063
110,000 Rhodia SA unsub. notes 10 1/4s, 2010
(France) 112,200
27,275 Sterling Chemicals, Inc. sec. notes 10s,
2007 (PIK) 25,639
75,000 United Agri Products 144A sr. notes 8
1/4s, 2011 80,625
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3,964,341
Commercial and Consumer Services (0.9%)
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190,000 Coinmach Corp. sr. notes 9s, 2010 191,900
181,488 Derby Cycle Corp. (The) sr. notes 10s,
2008 (In default) (NON) 18
DEM 97,550 Derby Cycle Corp. (The) sr. notes 9
3/8s, 2008 (In default) (NON) 6
$115,000 IESI Corp. company guaranty 10 1/4s,
2012 124,488
245,000 Laidlaw International, Inc. sr. notes 10
3/4s, 2011 279,300
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595,712
Communication Services (7.3%)
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60,000 Alamosa Delaware, Inc. company guaranty
11s, 2010 66,450
50,000 Alamosa Delaware, Inc. company guaranty
stepped-coupon zero % (12s, 7/31/05),
2009 (STP) 49,750
70,000 Alamosa Delaware, Inc. sr. notes 8 1/2s,
2012 69,650
35,000 American Cellular Corp. company guaranty
9 1/2s, 2009 28,175
85,000 American Cellular Corp. sr. notes Ser.
B, 10s, 2011 69,063
310,000 American Tower Corp. sr. notes 9 3/8s,
2009 330,925
65,000 American Tower Corp. 144A sr. notes 7
1/2s, 2012 65,650
125,000 American Towers, Inc. company guaranty 7
1/4s, 2011 129,375
100,000 Asia Global Crossing, Ltd. sr. notes 13
3/8s, 2010 (Bermuda) (In default) (NON) 8,000
165,000 Centennial Cellular Operating Co.
company guaranty 10 1/8s, 2013 169,538
25,000 Cincinnati Bell Telephone Co. company
guaranty 6.3s, 2028 21,875
100,000 Cincinnati Bell, Inc. company guaranty 7
1/4s, 2013 94,000
70,000 Cincinnati Bell, Inc. notes 7 1/4s, 2023 61,250
195,000 Cincinnati Bell, Inc. sr. sub. notes 8
3/8s, 2014 172,575
308,182 Colo.com, Inc. 144A sr. notes 13 7/8s,
2010 (In default) (NON) 31
205,000 Crown Castle International Corp. sr.
notes 9 3/8s, 2011 236,775
45,000 Eircom Funding notes 8 1/4s, 2013
(Ireland) 48,600
65,000 Fairpoint Communications, Inc. sr. sub.
notes 12 1/2s, 2010 69,550
177,439 Firstworld Communication Corp. sr. disc.
notes zero % , 2008 (In default) (NON) 18
20,728 Globix Corp. company guaranty 11s, 2008
(PIK) 17,308
175,000 Inmarsat Finance PLC 144A company
guaranty 7 5/8s, 2012 (United Kingdom) 171,500
55,000 iPCS, Inc. 144A sr. notes 11 1/2s, 2012 57,613
135,000 Level 3 Financing, Inc. 144A sr. notes
10 3/4s, 2011 114,075
120,000 Madison River Capital Corp. sr. notes 13
1/4s, 2010 128,100
293,000 MCI, Inc. sr. notes 7.735s, 2014 270,659
45,000 MCI, Inc. sr. notes 6.688s, 2009 42,413
205,000 Nextel Communications, Inc. sr. notes 9
1/2s, 2011 231,650
205,000 Nextel Communications, Inc. sr. notes 9
3/8s, 2009 217,300
290,000 Nextel Communications, Inc. sr. notes 7
3/8s, 2015 303,050
55,000 Nextel Partners, Inc. sr. notes 12 1/2s,
2009 64,075
225,000 Nextel Partners, Inc. sr. notes 8 1/8s,
2011 234,563
160,000 Qwest Communications International, Inc.
144A sr. notes 7 1/2s, 2014 142,400
475,000 Qwest Corp. 144A notes 9 1/8s, 2012 509,394
65,000 Qwest Services Corp. 144A notes 14 1/2s,
2014 77,188
85,000 Qwest Services Corp. 144A notes 14s,
2010 98,813
50,000 Rogers Cantel, Ltd. debs. 9 3/4s, 2016
(Canada) 57,750
40,000 Rogers Wireless, Inc. sec. notes 9 5/8s,
2011 (Canada) 45,400
45,000 Rural Cellular Corp. sr. notes 9 7/8s,
2010 44,663
30,000 SBA Communications Corp. sr. notes 10
1/4s, 2009 31,575
55,000 SBA Telecommunications Inc./SBA
Communication Corp. sr. disc. notes
stepped-coupon zero % (9 3/4s,
12/15/07), 2011 (STP) 42,900
110,000 TSI Telecommunication Services, Inc.
company guaranty Ser. B, 12 3/4s, 2009 122,100
87,000 UbiquiTel Operating Co. bonds
stepped-coupon zero % (14s, 4/15/05),
2010 (STP) 89,175
65,000 UbiquiTel Operating Co. sr. notes 9
7/8s, 2011 66,625
100,000 Western Wireless Corp. sr. notes 9 1/4s,
2013 102,750
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4,974,289
Conglomerates (0.6%)
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55,000 Tyco International Group SA company
guaranty 6 3/4s, 2011 (Luxembourg) 61,463
325,000 Tyco International Group SA company
guaranty 6s, 2013 (Luxembourg) 347,963
5,000 Tyco International Group SA notes 6
3/8s, 2011 (Luxembourg) 5,478
-------------
414,904
Consumer (1.0%)
-----------------------------------------------------------------------------------------------------------
165,000 Icon Health & Fitness company guaranty
11 1/4s, 2012 179,850
170,000 Jostens Holding Corp. sr. disc. notes
stepped-coupon zero % (10 1/4s,
12/1/08), 2013 (STP) 112,200
100,000 Jostens, Inc. sr. sub. notes 12 3/4s,
2010 112,875
260,000 Samsonite Corp. 144A sr. sub. notes 8
7/8s, 2011 267,800
-------------
672,725
Consumer Goods (1.2%)
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125,000 Armkel, LLC/Armkel Finance sr. sub.
notes 9 1/2s, 2009 136,250
45,000 Elizabeth Arden, Inc. company guaranty 7
3/4s, 2014 46,575
200,000 Playtex Products, Inc. company guaranty
9 3/8s, 2011 203,250
140,000 Playtex Products, Inc. 144A sec. notes
8s, 2011 145,950
135,000 Prestige Brands, Inc. 144A sr. sub.
notes 9 1/4s, 2012 134,325
125,000 Remington Arms Co., Inc. company
guaranty 10 1/2s, 2011 115,000
45,000 Scotts Co. (The) sr. sub. notes 6 5/8s,
2013 47,025
-------------
828,375
Consumer Services (0.3%)
-----------------------------------------------------------------------------------------------------------
100,000 Brand Services, Inc. company guaranty
12s, 2012 114,000
130,000 Williams Scotsman, Inc. company guaranty
9 7/8s, 2007 128,050
-------------
242,050
Energy (6.2%)
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190,000 Arch Western Finance, LLC 144A sr. notes
7 1/2s, 2013 196,650
90,000 Belden & Blake Corp. 144A sec. notes 8
3/4s, 2012 93,825
110,000 BRL Universal Equipment sec. notes 8
7/8s, 2008 117,425
100,000 CHC Helicopter Corp. sr. sub. notes 7
3/8s, 2014 (Canada) 101,125
75,000 Chesapeake Energy Corp. company guaranty
9s, 2012 85,500
45,000 Chesapeake Energy Corp. company guaranty
7 3/4s, 2015 48,263
210,000 Chesapeake Energy Corp. sr. notes 7
1/2s, 2013 225,750
60,000 Chesapeake Energy Corp. sr. notes 7s,
2014 61,800
95,000 Comstock Resources, Inc. sr. notes 6
7/8s, 2012 95,475
140,000 Dresser, Inc. company guaranty 9 3/8s,
2011 150,500
14,000 El Paso Energy Partners LP company
guaranty Ser. B, 8 1/2s, 2011 15,750
90,000 Encore Acquisition Co. company guaranty
8 3/8s, 2012 99,000
45,000 Encore Acquisition Co. sr. sub. notes 6
1/4s, 2014 43,875
130,000 Exco Resources, Inc. company guaranty 7
1/4s, 2011 136,500
70,000 Forest Oil Corp. company guaranty 7
3/4s, 2014 74,200
35,000 Forest Oil Corp. sr. notes 8s, 2011 38,325
35,000 Forest Oil Corp. sr. notes 8s, 2008 38,150
70,000 Forest Oil Corp. 144A sr. notes 8s, 2011 76,825
70,000 Hanover Compressor Co. sr. notes 9s,
2014 75,075
65,000 Hanover Compressor Co. sr. notes 8 5/8s,
2010 69,225
95,000 Hanover Compressor Co. sub. notes zero %,
2007 80,038
65,000 Hanover Equipment Trust sec. notes Ser.
A, 8 1/2s, 2008 69,388
65,000 Hornbeck Offshore Services, Inc. sr.
notes 10 5/8s, 2008 71,500
65,000 KCS Energy, Inc. sr. notes 7 1/8s, 2012 66,625
50,000 Key Energy Services, Inc. sr. notes 6
3/8s, 2013 47,750
90,000 Massey Energy Co. sr. notes 6 5/8s, 2010 93,150
130,000 Newfield Exploration Co. sr. notes 7
5/8s, 2011 142,675
75,000 Newfield Exploration Co. 144A sr. sub.
notes 6 5/8s, 2014 76,313
120,000 Offshore Logistics, Inc. company
guaranty 6 1/8s, 2013 118,800
75,000 Pacific Energy Partners/Pacific Energy
Finance Corp. 144A sr. notes 7 1/8s,
2014 79,313
100,000 Parker Drilling Co. company guaranty
Ser. B, 10 1/8s, 2009 106,250
135,000 Peabody Energy Corp. sr. notes 5 7/8s,
2016 128,925
30,000 Pemex Project Funding Master Trust
company guaranty 8 5/8s, 2022 33,789
160,000 Pemex Project Funding Master Trust
company guaranty 7 3/8s, 2014 172,800
100,000 Petro Geo-Services notes 10s, 2010
(Norway) 107,500
70,000 Plains All American Pipeline LP/Plains
All American Finance Corp. company
guaranty 7 3/4s, 2012 81,038
100,000 Plains Exploration & Production Co.
company guaranty Ser. B, 8 3/4s, 2012 111,500
55,000 Plains Exploration & Production Co. sr.
sub. notes 8 3/4s, 2012 61,325
85,000 Plains Exploration & Production Co. 144A
sr. notes 7 1/8s, 2014 90,100
110,000 Pogo Producing Co. sr. sub. notes Ser.
B, 8 1/4s, 2011 120,725
130,000 Pride International, Inc. 144A sr. notes
7 3/8s, 2014 138,450
100,000 Seabulk International, Inc. company
guaranty 9 1/2s, 2013 104,250
170,000 Star Gas Partners LP/Star Gas Finance
Co. sr. notes 10 1/4s, 2013 183,600
25,000 Universal Compression, Inc. sr. notes 7
1/4s, 2010 26,000
45,000 Vintage Petroleum, Inc. sr. notes 8
1/4s, 2012 49,050
25,000 Vintage Petroleum, Inc. sr. sub. notes 7
7/8s, 2011 26,188
-------------
4,230,280
Entertainment (1.5%)
-----------------------------------------------------------------------------------------------------------
100,000 AMC Entertainment, Inc. sr. sub. notes 9
7/8s, 2012 104,000
7,000 AMC Entertainment, Inc. sr. sub. notes 9
1/2s, 2011 7,140
100,000 AMC Entertainment, Inc. 144A sr. sub.
notes 8s, 2014 93,250
155,000 Cinemark USA, Inc. sr. sub. notes 9s,
2013 171,663
180,000 Cinemark, Inc. sr. disc. notes
stepped-coupon zero % (9 3/4s, 3/15/07),
2014 (STP) 123,975
45,000 LCE Acquisition Corp. 144A company
guaranty 9s, 2014 45,675
175,000 Six Flags, Inc. sr. notes 9 5/8s, 2014 162,313
335,000 Six Flags, Inc. sr. notes 8 7/8s, 2010 308,200
-------------
1,016,216
Financial (1.4%)
-----------------------------------------------------------------------------------------------------------
55,000 Crescent Real Estate Equities LP notes 7
1/2s, 2007 (R) 56,100
145,000 Crescent Real Estate Equities LP sr.
notes 9 1/4s, 2009 (R) 155,150
175,000 E*Trade Finance Corp. 144A sr. notes 8s,
2011 178,500
258,390 Finova Group, Inc. notes 7 1/2s, 2009 128,872
66,000 iStar Financial, Inc. sr. notes 8 3/4s,
2008 (R) 75,075
25,000 iStar Financial, Inc. sr. notes 7s, 2008
(R) 26,844
125,000 iStar Financial, Inc. sr. notes 6s, 2010
(R) 127,813
85,000 UBS AG/Jersey Branch sr. notes Ser.
EMTN, 9.14s, 2008 (Jersey) 88,400
100,000 Western Financial Bank sub. debs. 9
5/8s, 2012 110,000
-------------
946,754
Food (1.3%)
-----------------------------------------------------------------------------------------------------------
60,740 Archibald Candy Corp. company guaranty
10s, 2007 (In default) (NON)(PIK) 40,088
35,000 Dean Foods Co. sr. notes 6 5/8s, 2009 37,231
40,000 Del Monte Corp. company guaranty Ser. B,
9 1/4s, 2011 44,000
100,000 Del Monte Corp. sr. sub. notes 8 5/8s,
2012 111,250
45,000 Dole Food Co. sr. notes 8 7/8s, 2011 48,150
35,000 Dole Food Co. sr. notes 8 5/8s, 2009 37,275
130,000 Eagle Family Foods company guaranty Ser.
B, 8 3/4s, 2008 97,500
195,000 Land O'Lakes, Inc. sr. notes 8 3/4s,
2011 181,838
185,000 Pinnacle Foods Holding Corp. 144A sr.
sub. notes 8 1/4s, 2013 176,213
110,000 Premier International Foods PLC sr.
notes 12s, 2009 (United Kingdom) 116,600
-------------
890,145
Forest Products and Packaging (2.4%)
-----------------------------------------------------------------------------------------------------------
75,000 Georgia-Pacific Corp. bonds 7 3/4s, 2029 78,000
130,000 Georgia-Pacific Corp. company guaranty 9
3/8s, 2013 153,075
210,000 Georgia-Pacific Corp. debs. 7.7s, 2015 234,675
250,000 Georgia-Pacific Corp. debs. 9 1/2s, 2011 306,875
10,000 Jefferson Smurfit Corp. company guaranty
7 1/2s, 2013 10,450
EUR 5,000 MDP Acquisitions PLC sr. notes 10 1/8s,
2012 (Ireland) 6,783
$215,000 MDP Acquisitions PLC sr. notes 9 5/8s,
2012 (Ireland) 241,875
65,213 MDP Acquisitions PLC sub. notes 15 1/2s,
2013 (Ireland) (PIK) 75,647
75,000 Norske Skog Canada, Ltd. sr. notes 7
3/8s, 2014 (Canada) 76,313
145,000 Potlatch Corp. company guaranty 10s,
2011 163,850
5,000 Smurfit-Stone Container Corp. company
guaranty 8 1/4s, 2012 5,450
140,000 Stone Container Corp. sr. notes 8 3/8s,
2012 154,000
40,000 Stone Container Corp. sr. notes 9 3/4s,
2011 44,700
35,000 Stone Container Finance 144A company
guaranty 7 3/8s, 2014 (Canada) 36,138
25,000 Tembec Industries, Inc. company guaranty
7 3/4s, 2012 (Canada) 25,250
-------------
1,613,081
Gaming & Lottery (4.2%)
-----------------------------------------------------------------------------------------------------------
60,000 Ameristar Casinos, Inc. company guaranty
10 3/4s, 2009 67,650
20,000 Argosy Gaming Co. sr. sub. notes 9s,
2011 22,400
130,000 Argosy Gaming Co. sr. sub. notes 7s,
2014 132,600
160,000 Boyd Gaming Corp. sr. sub. notes 8 3/4s,
2012 175,200
30,000 Boyd Gaming Corp. sr. sub. notes 7 3/4s,
2012 31,688
70,000 Chumash Casino & Resort Enterprise 144A
sr. notes 9s, 2010 77,000
55,000 Herbst Gaming, Inc. 144A sr. sub. notes
8 1/8s, 2012 55,413
185,000 Hollywood Park, Inc. company guaranty
Ser. B, 9 1/4s, 2007 190,319
40,000 Inn of the Mountain Gods sr. notes 12s,
2010 45,200
75,000 Mandalay Resort Group sr. notes 6 3/8s,
2011 76,875
10,000 MGM Mirage, Inc. coll. sr. notes 6 7/8s,
2008 10,700
205,000 MGM Mirage, Inc. company guaranty 8
1/2s, 2010 230,625
60,000 MGM Mirage, Inc. company guaranty 6s,
2009 60,900
220,000 Mohegan Tribal Gaming Authority sr. sub.
notes 6 3/8s, 2009 223,850
155,000 Park Place Entertainment Corp. sr. notes
7 1/2s, 2009 172,050
85,000 Park Place Entertainment Corp. sr. notes
7s, 2013 91,163
95,000 Park Place Entertainment Corp. sr. sub.
notes 8 7/8s, 2008 107,588
100,000 Penn National Gaming, Inc. company
guaranty Ser. B, 11 1/8s, 2008 109,750
185,000 Penn National Gaming, Inc. sr. sub.
notes 8 7/8s, 2010 202,575
95,000 Pinnacle Entertainment, Inc. sr. sub.
notes 8 3/4s, 2013 97,850
45,000 Pinnacle Entertainment, Inc. sr. sub.
notes 8 1/4s, 2012 45,225
120,000 Resorts International Hotel and Casino,
Inc. company guaranty 11 1/2s, 2009 136,200
90,000 Station Casinos, Inc. sr. notes 6s, 2012 90,225
90,000 Station Casinos, Inc. sr. sub. notes 6
7/8s, 2016 89,888
215,000 Trump Atlantic City Associates company
guaranty 11 1/4s, 2006 182,481
90,000 Venetian Casino Resort, LLC company
guaranty 11s, 2010 102,488
-------------
2,827,903
Health Care (5.5%)
-----------------------------------------------------------------------------------------------------------
125,000 Alderwoods Group, Inc. 144A sr. notes 7
3/4s, 2012 130,000
105,000 AmerisourceBergen Corp. company guaranty
7 1/4s, 2012 112,350
100,000 AmerisourceBergen Corp. sr. notes 8
1/8s, 2008 109,750
170,000 Ardent Health Services, Inc. sr. sub.
notes 10s, 2013 182,750
60,000 Extendicare Health Services, Inc.
company guaranty 9 1/2s, 2010 67,050
100,000 Extendicare Health Services, Inc. sr.
sub. notes 6 7/8s, 2014 99,000
70,000 Hanger Orthopedic Group, Inc. company
guaranty 10 3/8s, 2009 65,100
50,000 HCA, Inc. debs. 7.19s, 2015 53,948
60,000 HCA, Inc. notes 8.36s, 2024 66,302
70,000 HCA, Inc. notes 7.69s, 2025 73,347
10,000 HCA, Inc. notes 7s, 2007 10,733
35,000 HCA, Inc. notes 5 3/4s, 2014 34,696
185,000 Healthsouth Corp. notes 7 5/8s, 2012 176,675
75,000 Healthsouth Corp. sr. notes 8 1/2s, 2008 75,000
45,000 Healthsouth Corp. sr. notes 8 3/8s, 2011 44,213
45,000 Healthsouth Corp. sr. sub. notes 10
3/4s, 2008 46,575
85,000 IASIS Healthcare/IASIS Capital Corp.
144A sr. sub. notes 8 3/4s, 2014 89,250
65,000 Insight Health Services Corp. 144A
company guaranty 9 7/8s, 2011 65,813
51,360 Magellan Health Services, Inc. sr. notes
Ser. A, 9 3/8s, 2008 55,469
180,000 Mediq, Inc. debs. 13s, 2009 (In default)
(NON) 18
35,000 MedQuest, Inc. company guaranty Ser. B,
11 7/8s, 2012 39,550
180,000 MQ Associates, Inc. 144A sr. disc. notes
zero % , 2012 112,050
120,000 Omnicare, Inc. sr. sub. notes 6 1/8s,
2013 116,400
133,000 PacifiCare Health Systems, Inc. company
guaranty 10 3/4s, 2009 154,280
130,000 Province Healthcare Co. sr. sub. notes 7
1/2s, 2013 145,600
40,000 Service Corp. International debs. 7
7/8s, 2013 41,300
15,000 Service Corp. International notes 7.2s,
2006 15,675
5,000 Service Corp. International notes 6
7/8s, 2007 5,175
20,000 Service Corp. International notes 6
1/2s, 2008 20,650
50,000 Service Corp. International notes Ser.
*, 7.7s, 2009 53,125
140,000 Service Corp. International 144A sr.
notes 6 3/4s, 2016 134,750
130,000 Stewart Enterprises, Inc. notes 10 3/4s,
2008 143,650
85,000 Tenet Healthcare Corp. notes 7 3/8s,
2013 78,625
10,000 Tenet Healthcare Corp. sr. notes 6 1/2s,
2012 8,850
155,000 Tenet Healthcare Corp. sr. notes 6 3/8s,
2011 137,563
180,000 Tenet Healthcare Corp. 144A sr. notes 9
7/8s, 2014 187,650
130,000 Triad Hospitals, Inc. sr. notes 7s, 2012 135,525
305,000 Triad Hospitals, Inc. sr. sub. notes 7s,
2013 306,906
85,000 Universal Hospital Services, Inc. sr.
notes 10 1/8s, 2011 86,275
55,000 US Oncology, Inc. 144A sr. notes 9s,
2012 57,613
40,000 US Oncology, Inc. 144A sr. sub. notes 10
3/4s, 2014 42,100
55,000 Ventas Realty LP/Capital Corp. company
guaranty 9s, 2012 61,325
60,000 VWR International, Inc. 144A sr. notes 6
7/8s, 2012 61,800
-------------
3,704,476
Homebuilding (2.1%)
-----------------------------------------------------------------------------------------------------------
70,000 Beazer Homes USA, Inc. company guaranty
8 5/8s, 2011 76,125
25,000 Beazer Homes USA, Inc. company guaranty
8 3/8s, 2012 27,188
20,000 D.R. Horton, Inc. company guaranty 8s,
2009 22,700
120,000 D.R. Horton, Inc. sr. notes 7 7/8s, 2011 136,800
25,000 D.R. Horton, Inc. sr. notes 6 7/8s, 2013 26,938
50,000 D.R. Horton, Inc. sr. notes 5 7/8s, 2013 50,625
90,000 K. Hovnanian Enterprises, Inc. company
guaranty 8 7/8s, 2012 100,350
70,000 K. Hovnanian Enterprises, Inc. company
guaranty 6 3/8s, 2014 68,950
50,000 K. Hovnanian Enterprises, Inc. sr. notes
6 1/2s, 2014 49,625
50,000 Meritage Corp. company guaranty 9 3/4s,
2011 55,750
35,000 Meritage Corp. sr. notes 7s, 2014 34,388
70,000 Schuler Homes, Inc. company guaranty 10
1/2s, 2011 80,325
135,000 Standard Pacific Corp. sr. notes 7 3/4s,
2013 142,088
10,000 Standard Pacific Corp. sr. notes 6 7/8s,
2011 10,375
215,000 Standard Pacific Corp. sr. notes 6 1/4s,
2014 206,938
55,000 Technical Olympic USA, Inc. company
guaranty 10 3/8s, 2012 59,813
80,000 Technical Olympic USA, Inc. company
guaranty 9s, 2010 84,800
30,000 WCI Communities, Inc. company guaranty
10 5/8s, 2011 33,675
130,000 WCI Communities, Inc. company guaranty 9
1/8s, 2012 143,650
-------------
1,411,103
Household Furniture and Appliances (0.3%)
-----------------------------------------------------------------------------------------------------------
200,000 Sealy Mattress Co. 144A sr. sub. notes 8
1/4s, 2014 206,500
Leisure (0.1%)
-----------------------------------------------------------------------------------------------------------
80,000 K2, Inc. 144A sr. notes 7 3/8s, 2014 82,800
Lodging/Tourism (2.2%)
-----------------------------------------------------------------------------------------------------------
32,000 FelCor Lodging LP company guaranty 10s,
2008 (R) 33,680
115,000 Gaylord Entertainment Co. sr. notes 8s,
2013 119,313
200,000 Hilton Hotels Corp. notes 7 5/8s, 2012 229,500
73,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 (R) 75,190
60,000 Host Marriott LP company guaranty Ser.
G, 9 1/4s, 2007 (R) 67,200
98,000 Host Marriott LP sr. notes Ser. E, 8
3/8s, 2006 (R) 104,125
165,000 Host Marriott LP 144A sr. notes 7s, 2012
(R) 167,888
95,000 ITT Corp. debs. 7 3/8s, 2015 100,700
105,000 ITT Corp. notes 6 3/4s, 2005 108,938
210,000 John Q. Hammons Hotels LP/John Q.
Hammons Hotels Finance Corp. III 1st
mtge. Ser. B, 8 7/8s, 2012 234,675
130,000 MeriStar Hospitality Corp. company
guaranty 9 1/8s, 2011 (R) 133,900
65,000 MeriStar Hospitality Corp. company
guaranty 9s, 2008 (R) 66,950
80,000 Starwood Hotels & Resorts Worldwide,
Inc. company guaranty 7 3/8s, 2007 85,600
-------------
1,527,659
Media (0.7%)
-----------------------------------------------------------------------------------------------------------
130,000 Affinity Group, Inc. sr. sub. notes 9s,
2012 135,850
85,000 Capital Records, Inc. 144A company
guaranty 8 3/8s, 2009 92,438
140,000 Vivendi Universal SA sr. notes 6 1/4s,
2008 (France) 149,800
100,000 Warner Music Group 144A sr. sub. notes 7
3/8s, 2014 99,500
-------------
477,588
Metals (2.1%)
-----------------------------------------------------------------------------------------------------------
120,000 AK Steel Corp. company guaranty 7 3/4s,
2012 112,800
80,000 Armco, Inc. sr. notes 8 7/8s, 2008 79,200
60,000 Century Aluminum Co. 144A company
guaranty 7 1/2s, 2014 61,500
166,278 Doe Run Resources Corp. company guaranty
Ser. A1, 11 3/4s, 2008 (PIK) 124,709
175,000 Gerdau Ameristeel Corp. sr. notes 10
3/8s, 2011 (Canada) 198,625
85,000 International Steel Group, Inc. 144A sr.
notes 6 1/2s, 2014 82,025
10,000 Kaiser Aluminum & Chemical Corp. sr.
notes Ser. B, 10 7/8s, 2006 (In default)
(NON) 9,775
120,000 Kaiser Aluminum & Chemical Corp. sr.
sub. notes 12 3/4s, 2003 (In default)
(NON)(DEF) 24,900
EUR 80,000 SGL Carbon SA 144A sr. notes 8 1/2s,
2012 (Luxembourg) 99,735
$110,000 Steel Dynamics, Inc. company guaranty 9
1/2s, 2009 121,550
175,000 Ucar Finance, Inc. company guaranty 10
1/4s, 2012 198,625
214,000 United States Steel Corp. sr. notes 9
3/4s, 2010 240,750
7,201 Wheeling-Pittsburgh Steel Corp. sr.
notes 6s, 2010 5,041
13,998 Wheeling-Pittsburgh Steel Corp. sr.
notes 5s, 2011 9,799
40,000 WHX Corp. sr. notes 10 1/2s, 2005 38,000
-------------
1,407,034
Other (3.5%)
-----------------------------------------------------------------------------------------------------------
2,375,000 Dow Jones CDX HY 144A pass-through
certificates 7 3/4s, 2009 2,383,906
Publishing (4.0%)
-----------------------------------------------------------------------------------------------------------
185,000 Dex Media West, LLC/Dex Media Finance
Co. sr. notes Ser. B, 8 1/2s, 2010 208,356
85,000 Dex Media, Inc. 144A disc. notes
stepped-coupon zero % (9s, 11/15/08),
2013 (STP) 62,263
345,000 Dex Media, Inc. 144A notes 8s, 2013 357,938
308,134 Hollinger Participation Trust 144A sr.
notes 12 1/8s, 2010 (Canada) (PIK) 347,421
140,000 Houghton Mifflin Co. sr. sub. notes 9
7/8s, 2013 146,125
175,000 MediaNews Group, Inc. sr. sub. notes 6
7/8s, 2013 176,313
185,000 PRIMEDIA, Inc. company guaranty 8 7/8s,
2011 181,300
80,000 PRIMEDIA, Inc. company guaranty 7 5/8s,
2008 78,400
135,000 PRIMEDIA, Inc. 144A sr. notes 8s, 2013 124,875
65,000 Reader's Digest Association, Inc. (The)
sr. notes 6 1/2s, 2011 65,650
20,000 RH Donnelley Finance Corp. I company
guaranty 8 7/8s, 2010 22,525
170,000 RH Donnelley Finance Corp. I 144A sr.
notes 8 7/8s, 2010 191,463
85,000 RH Donnelley Finance Corp. I 144A sr.
sub. notes 10 7/8s, 2012 100,513
245,000 Vertis, Inc. company guaranty Ser. B, 10
7/8s, 2009 265,213
120,000 Vertis, Inc. sub. 144A notes 13 1/2s,
2009 121,350
110,000 Von Hoffman Press, Inc. company guaranty
10 1/4s, 2009 122,375
41,050 Von Hoffman Press, Inc. debs. 13s, 2009
(PIK) 42,692
105,000 WRC Media Corp. sr. sub. notes 12 3/4s,
2009 95,550
-------------
2,710,322
Restaurants (0.3%)
-----------------------------------------------------------------------------------------------------------
80,000 Domino's, Inc. sr. sub. notes 8 1/4s,
2011 85,600
155,000 Sbarro, Inc. company guaranty 11s, 2009 139,888
-------------
225,488
Retail (2.2%)
-----------------------------------------------------------------------------------------------------------
80,000 Asbury Automotive Group, Inc. sr. sub.
notes 8s, 2014 78,000
160,000 Autonation, Inc. company guaranty 9s,
2008 182,800
90,000 Finlay Fine Jewelry Corp. 144A sr. notes
8 3/8s, 2012 95,850
155,000 JC Penney Co., Inc. debs. 7.95s, 2017 175,150
30,000 JC Penney Co., Inc. debs. 7.65s, 2016 33,225
90,000 JC Penney Co., Inc. debs. 7 1/8s, 2023 93,375
20,000 JC Penney Co., Inc. notes 9s, 2012 24,000
5,000 JC Penney Co., Inc. notes 8s, 2010 5,638
80,000 Jean Coutu Group, Inc. 144A sr. notes 7
5/8s, 2012 (Canada) 82,400
155,000 Jean Coutu Group, Inc. 144A sr. sub.
notes 8 1/2s, 2014 (Canada) 156,163
100,000 Rite Aid Corp. company guaranty 9 1/2s,
2011 110,000
5,000 Rite Aid Corp. debs. 6 7/8s, 2013 4,600
15,000 Rite Aid Corp. notes 7 1/8s, 2007 15,300
40,000 Rite Aid Corp. sec. notes 8 1/8s, 2010 42,000
75,000 Rite Aid Corp. sr. notes 9 1/4s, 2013 79,125
5,000 Rite Aid Corp. 144A notes 6s, 2005 5,050
195,000 Saks, Inc. company guaranty 7s, 2013 195,975
70,000 Toys "R" Us, Inc. notes 7 5/8s, 2011 69,125
70,000 United Auto Group, Inc. company guaranty
9 5/8s, 2012 77,700
-------------
1,525,476
Technology (3.6%)
-----------------------------------------------------------------------------------------------------------
82,000 AMI Semiconductor, Inc. company guaranty
10 3/4s, 2013 95,325
65,000 Amkor Technologies, Inc. sr. notes 7
3/4s, 2013 54,600
70,000 Amkor Technologies, Inc. sr. sub. notes
10 1/2s, 2009 63,350
150,000 Celestica, Inc. sr.sub. notes 7 7/8s,
2011 (Canada) 156,938
87,000 DigitalNet Holdings, Inc. sr. notes 9s,
2010 94,395
160,000 Freescale Semiconductor, Inc. 144A sr.
notes 7 1/8s, 2014 162,600
115,000 Iron Mountain, Inc. company guaranty 8
5/8s, 2013 124,200
125,000 Iron Mountain, Inc. company guaranty 7
3/4s, 2015 130,000
10,000 Lucent Technologies, Inc. debs. 6 1/2s,
2028 7,850
175,000 Lucent Technologies, Inc. debs. 6.45s,
2029 137,375
10,000 Lucent Technologies, Inc. notes 5 1/2s,
2008 9,625
65,000 New ASAT Finance, Ltd. 144A company
guaranty 9 1/4s, 2011 54,600
175,000 Nortel Networks Corp. notes 6 1/8s, 2006
(Canada) 177,625
153,000 ON Semiconductor Corp. company guaranty
13s, 2008 172,125
65,000 SCG Holding Corp. 144A notes zero %,
2011 91,325
110,000 Seagate Technology Hdd Holdings company
guaranty 8s, 2009 (Cayman Islands) 115,500
155,000 UGS Corp. 144A sr. sub. notes 10s, 2012 168,950
130,000 Xerox Capital Trust I company guaranty
8s, 2027 124,475
55,000 Xerox Corp. company guaranty 9 3/4s,
2009 63,938
65,000 Xerox Corp. notes Ser. MTN, 7.2s, 2016 65,325
210,000 Xerox Corp. sr. notes 7 5/8s, 2013 223,125
125,000 Xerox Corp. sr. notes 6 7/8s, 2011 129,375
-------------
2,422,621
Textiles (0.8%)
-----------------------------------------------------------------------------------------------------------
240,000 Levi Strauss & Co. sr. notes 12 1/4s,
2012 249,000
75,000 Oxford Industries, Inc. 144A sr. notes 8
7/8s, 2011 80,250
40,000 Phillips-Van Heusen Corp. sr. notes 7
1/4s, 2011 41,300
120,000 Russell Corp. company guaranty 9 1/4s,
2010 129,300
68,000 William Carter Holdings Co. (The)
company guaranty Ser. B, 10 7/8s, 2011 76,840
-------------
576,690
Tire & Rubber (0.4%)
-----------------------------------------------------------------------------------------------------------
35,000 Goodyear Tire & Rubber Co. (The) notes 8
1/2s, 2007 36,313
180,000 Goodyear Tire & Rubber Co. (The) notes
7.857s, 2011 169,200
35,000 Goodyear Tire & Rubber Co. (The) notes 6
3/8s, 2008 34,125
-------------
239,638
Tobacco (0.2%)
-----------------------------------------------------------------------------------------------------------
110,000 North Atlantic Trading Co. sr. notes 9
1/4s, 2012 107,250
Transportation (1.2%)
-----------------------------------------------------------------------------------------------------------
95,000 American Airlines, Inc. pass-through
certificates Ser. 01-1, 6.817s, 2011 83,600
170,000 Calair, LLC/Calair Capital Corp. company
guaranty 8 1/8s, 2008 128,350
41,742 Delta Air Lines, Inc. pass-through
certificates Ser. 02-1, 7.779s, 2012 17,114
200,000 Kansas City Southern Railway Co. company
guaranty 9 1/2s, 2008 217,250
30,000 Kansas City Southern Railway Co. company
guaranty 7 1/2s, 2009 30,300
120,000 Navistar International Corp. company
guaranty Ser. B, 9 3/8s, 2006 129,000
120,000 Northwest Airlines, Inc. company
guaranty 7 5/8s, 2005 117,300
63,692 NWA Trust sr. notes Ser. A, 9 1/4s, 2012 63,772
40,000 Travel Centers of America, Inc. company
guaranty 12 3/4s, 2009 46,400
-------------
833,086
Utilities & Power (8.0%)
-----------------------------------------------------------------------------------------------------------
13,000 AES Corp. (The) sr. notes 8 7/8s, 2011 14,170
4,000 AES Corp. (The) sr. notes 8 3/4s, 2008 4,300
130,000 AES Corp. (The) 144A sec. notes 9s, 2015 144,625
190,000 AES Corp. (The) 144A sec. notes 8 3/4s,
2013 211,375
100,000 Allegheny Energy Supply 144A bonds 8
1/4s, 2012 106,000
65,000 Allegheny Energy Supply 144A sec. notes
10 1/4s, 2007 71,500
90,000 Calpine Canada Energy Finance company
guaranty 8 1/2s, 2008 (Canada) 57,600
305,000 Calpine Corp. 144A sec. notes 8 1/2s,
2010 239,425
50,000 CenterPoint Energy Resources Corp. debs.
6 1/2s, 2008 54,051
25,000 CenterPoint Energy Resources Corp. sr.
notes Ser. B, 7 7/8s, 2013 29,492
15,000 CMS Energy Corp. pass-through
certificates 7s, 2005 15,094
130,000 CMS Energy Corp. sr. notes 8.9s, 2008 141,375
40,000 CMS Energy Corp. sr. notes 8 1/2s, 2011 43,400
30,000 CMS Energy Corp. 144A sr. notes 7 3/4s,
2010 31,650
180,000 DPL, Inc. sr. notes 6 7/8s, 2011 187,200
55,000 Dynegy Holdings, Inc. sr. notes 6 7/8s,
2011 51,150
245,000 Dynegy Holdings, Inc. 144A sec. notes 10
1/8s, 2013 275,625
65,000 Dynegy-Roseton Danskamme company
guaranty Ser. A, 7.27s, 2010 63,375
100,000 Dynegy-Roseton Danskamme company
guaranty Ser. B, 7.67s, 2016 88,250
45,000 Edison Mission Energy sr. notes 10s,
2008 52,200
40,000 El Paso CGP Co. notes 7 3/4s, 2010 38,450
65,000 El Paso Corp. sr. notes 7 3/8s, 2012 60,775
160,000 El Paso Corp. sr. notes Ser. MTN, 7
3/4s, 2032 135,800
30,000 El Paso Natural Gas Co. debs. 8 5/8s,
2022 32,100
30,000 El Paso Natural Gas Co. sr. notes Ser.
A, 7 5/8s, 2010 31,800
170,000 El Paso Production Holding Co. company
guaranty 7 3/4s, 2013 167,025
115,000 Ferrellgas Partners LP/Ferrellgas
Partners Finance sr. notes 6 3/4s, 2014 114,425
35,000 Kansas Gas & Electric debs. 8.29s, 2016 36,225
225,000 Midwest Generation, LLC sec. sr. notes 8
3/4s, 2034 239,063
145,000 Mission Energy Holding Co. sec. notes 13
1/2s, 2008 182,338
70,000 Monongahela Power Co. 144A 1st. mtge.
6.7s, 2014 73,145
115,000 Nevada Power Co. 2nd mtge. 9s, 2013 128,800
175,000 Northwest Pipeline Corp. company
guaranty 8 1/8s, 2010 197,094
10,000 Northwestern Corp. debs. 6.95s, 2028 (In
default) (NON) 8,550
20,000 Northwestern Corp. notes 8 3/4s, 2012
(In default) (NON) 17,400
25,000 Northwestern Corp. notes 7 7/8s, 2007
(In default) (NON) 21,750
415,000 NRG Energy, Inc. 144A sr. sec. notes 8s,
2013 435,750
100,000 Orion Power Holdings, Inc. sr. notes
12s, 2010 125,000
140,000 PG&E Corp. sec. notes 6 7/8s, 2008 151,900
25,000 PG&E Gas Transmission Northwest sr.
notes 7.1s, 2005 25,750
105,000 PSEG Energy Holdings, Inc. notes 7 3/4s,
2007 111,563
85,000 SEMCO Energy, Inc. sr. notes 7 3/4s,
2013 89,250
110,000 SEMCO Energy, Inc. 144A sr. notes 7
3/4s, 2013 103,950
25,000 Sierra Pacific Power Co. 144A general
ref. mtge. 6 1/4s, 2012 24,750
165,000 Sierra Pacific Resources 144A sr. notes
8 5/8s, 2014 173,250
20,000 Southern California Edison Co. notes 6
3/8s, 2006 20,972
55,000 Teco Energy, Inc. notes 10 1/2s, 2007 63,525
35,000 Teco Energy, Inc. notes 7.2s, 2011 36,838
55,000 Teco Energy, Inc. notes 7s, 2012 56,925
15,000 Tennessee Gas Pipeline Co. debs. 7s,
2028 14,044
45,000 Tennessee Gas Pipeline Co. unsecd. notes
7 1/2s, 2017 46,181
20,000 Transcontinental Gas Pipeline Corp.
debs. 7 1/4s, 2026 20,550
105,000 Utilicorp Canada Finance Corp. company
guaranty 7 3/4s, 2011 (Canada) 107,100
75,000 Utilicorp United, Inc. sr. notes 9.95s,
2011 81,750
70,000 Western Resources, Inc. sr. notes 9
3/4s, 2007 80,250
25,000 Williams Cos., Inc. (The) notes 8 3/4s,
2032 28,063
25,000 Williams Cos., Inc. (The) notes 8 1/8s,
2012 28,750
95,000 Williams Cos., Inc. (The) notes 7 5/8s,
2019 102,600
120,000 Williams Cos., Inc. (The) sr. notes 8
5/8s, 2010 139,200
73,041 York Power Funding 144A notes 12s, 2007
(Cayman Islands) (In default) (NON) 7
-------------
5,434,515
-----------------------------------------------------------------------------------------------------------
Total Corporate bonds and notes (cost $59,904,436) $61,108,633
Common stocks (1.6%) (a)
-----------------------------------------------------------------------------------------------------------
Number of shares Value
-----------------------------------------------------------------------------------------------------------
307 AboveNet, Inc. (NON)(S) $7,368
384 Alderwoods Group, Inc. (NON) 3,537
180,000 AMRESCO Creditor Trust (acquired dates
from 5/5/99 to 5/10/00, cost $38,828)
(RES)(NON)(R) 180
40 Arch Wireless, Inc. Class A (NON) 1,220
324 Archibald Candy Corp. (NON) 16
195 Birch Telecom, Inc. (NON) 2
84 Comdisco Holding Co., Inc.(S) 1,953
505,286 Contifinancial Corp. Liquidating Trust
Units 10,106
3,010 Covad Communications Group, Inc.
(NON)(S) 4,395
383 Crown Castle International Corp.
(NON)(S) 5,481
5,403 Globix Corp. (NON) 14,912
115,000 iPCS Escrow, Inc. (NON) 115
3,277 iPCS, Inc. (NON) 60,952
33 Knology, Inc. (NON) 115
19 Leucadia National Corp. 1,026
1,111 Lodgian, Inc. (NON) 11,577
20,000 Loewen Group International, Inc. (NON) 2
136 Polymer Group, Inc. Class A (NON) 1,673
576 PSF Group Holdings, Inc. 144A Class A
(NON) 863,685
10 Sterling Chemicals, Inc. (NON) 230
178 Sun Healthcare Group, Inc. (NON) 1,531
259,509 VFB LLC (acquired dates from 12/21/99 to
10/27/00, cost $214,226) (RES)(NON) 49,307
40,417 VS Holdings, Inc. (NON) 2,021
816 Washington Group International, Inc.
(NON) 28,707
-------------
Total Common stocks (cost $3,939,660) $1,070,111
Foreign government bonds and notes (1.1%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$35,000 Colombia (Republic of) bonds 10 3/8s,
2033 $37,975
35,000 Colombia (Republic of) bonds Ser. NOV, 9
3/4s, 2009 38,938
30,000 Colombia (Republic of) notes 10 3/4s,
2013 34,620
115,000 Ecuador (Republic of) bonds
stepped-coupon Ser. REGS, 8s (9s,
8/15/05), 2030 (STP) 90,275
140,000 Indonosia (Republic of) 144A sr. notes 6
3/4s, 2014 134,050
45,000 Peru (Republic of) bonds 8 3/4s, 2033 43,200
130,000 Russia (Federation of) unsub.
stepped-coupon 5s (7 1/2s, 3/31/07),
2030 (STP) 124,670
125,000 Ukraine (Government of) 144A bonds
7.65s, 2013 125,625
120,000 United Mexican States bonds Ser. MTN,
8.3s, 2031 137,580
-------------
Total Foreign government bonds and notes (cost $703,988) $766,933
Preferred stocks (0.9%) (a)
-----------------------------------------------------------------------------------------------------------
Number of shares Value
-----------------------------------------------------------------------------------------------------------
4,137 Avecia Group PLC $4.00 pfd. (United
Kingdom)(PIK) $58,952
1,828 Doane Pet Care Co. $7.125 pfd. 76,776
3 Dobson Communications Corp. 13.00% pfd.
(PIK) 1,815
80 First Republic Capital Corp. 144A 10.50%
pfd. 83,600
2,152 iStar Financial, Inc. Ser. F, $1.95 cum.
pfd. (R) 53,800
19 Paxson Communications Corp. 14.25% cum.
pfd. (PIK)(S) 163,400
100 PRIMEDIA, Inc. Ser. F, $9.20 cum. pfd. 8,750
36 Rural Cellular Corp. Ser. B, 11.375%
cum. pfd. (PIK) 29,880
286 Rural Cellular Corp. 12.25% pfd. (PIK) 165,880
-------------
Total Preferred stocks (cost $776,544) $642,853
Units (0.3%) (a)
-----------------------------------------------------------------------------------------------------------
Number of units Value
-----------------------------------------------------------------------------------------------------------
160,000 Morrison Knudsen Corp. escrow zero %,
2032 $10,000
446 XCL Equity Units 197,851
-------------
Total Units (cost $913,569) $207,851
Convertible bonds and notes (0.3%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$85,000 Amkor Technologies, Inc. cv. notes 5
3/4s, 2006 $78,731
490,000 Cybernet Internet Services
International, Inc. 144A cv. sr. disc.
notes 13s, 2009 (Denmark) (In default)
(NON) 5
65,000 Fairchild Semiconductor International,
Inc. cv. company guaranty 5s, 2008 64,350
50,000 WCI Communities, Inc. cv. sr. sub. notes
4s, 2023 56,875
-------------
Total Convertible bonds and notes (cost $609,323) $199,961
Convertible preferred stocks (0.3%) (a)
-----------------------------------------------------------------------------------------------------------
Number of shares Value
-----------------------------------------------------------------------------------------------------------
1,537 Crown Castle International Corp. $3.125
cum. cv. pfd. $70,510
917 Omnicare, Inc. $2.00 cv. pfd. 45,277
1,160 Williams Cos., Inc. (The) 144A $2.75 cv.
pfd. 81,345
-------------
Total Convertible preferred stocks (cost $157,687) $197,132
Senior Loans (0.2%) (a) (c)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
90,000 Olympus Cable bank term loan FRN Ser. B,
6 1/2s, 2010 87,621
26,448 Huntsman Corp. bank term loan FRN Ser.
A, 5.813s, 2007 26,519
4,237 Huntsman Corp. bank term loan FRN Ser.
B, 11.560s, 2007 4,248
-------------
Total Senior Loans (cost $108,851) $118,388
Brady bonds (0.1%) (a) (cost $67,449)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$72,800 Peru (Republic of) FRB Ser. PDI, 5s,
2017 $66,161
Warrants (0.1%) (a) (NON)
-----------------------------------------------------------------------------------------------------------
Number of warrants Expiration date Value
-----------------------------------------------------------------------------------------------------------
108 AboveNet, Inc. 9/8/2008 $810
127 AboveNet, Inc. 9/8/2010 762
200 Dayton Superior Corp. 144A 6/15/2009 1
1 Doe Run Resources Corp. 144A 12/31/2012 1
205 Huntsman Co., LLC 144A 5/15/2011 38,947
89 MDP Acquisitions PLC 144A 10/1/2013 2,470
70 Mikohn Gaming Corp. 144A 8/15/2008 21
8 NTL, Inc. 1/13/2011 38
80 Pliant Corp. 144A 6/1/2010 1
120 Travel Centers of America, Inc. 144A 5/1/2009 600
350 Ubiquitel, Inc. 144A 4/15/2010 1
503 Washington Group International, Inc.
Ser. A 1/25/2006 4,426
575 Washington Group International, Inc.
Ser. B 1/25/2006 3,881
310 Washington Group International, Inc.
Ser. C 1/25/2006 1,860
190 XM Satellite Radio Holdings, Inc. 144A 3/15/2010 10,640
-------------
Total Warrants (cost $154,669) $64,459
Asset-backed securities (0.1%) (a) (cost $60,000)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$60,000 Verdi Synthetic CLO 144A Ser. 1A, Class
E2, 11.15s, 2010 $60,066
Short-term investments (3.8%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$152,064 Short-term investments held as
collateral for loaned securities with
yields ranging from 1.52% to 1.71% and
due dates ranging from September 1, 2004
to September 24, 2004 (d) $152,022
2,400,195 Putnam Prime Money Market (e) 2,400,195
-------------
Total Short-term investments (cost $2,552,217) $2,552,217
-----------------------------------------------------------------------------------------------------------
Total Investments (cost $69,948,393) (b) $67,054,765
-----------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------
Forward currency contracts to buy at August 31, 2004 (Unaudited)
(aggregate face value $70,573)
-------------------------------------------------------------------------
Aggregate Delivery Unrealized
Value face value date appreciation
-------------------------------------------------------------------------
Euro $70,900 $70,573 12/15/04 $327
-------------------------------------------------------------------------
-------------------------------------------------------------------------
Forward currency contracts to sell at August 31, 2004 (Unaudited)
(aggregate face value $517,791)
-------------------------------------------------------------------------
Aggregate Delivery Unrealized
Value face value date depreciation
-------------------------------------------------------------------------
Euro $519,858 $517,791 12/15/04 $(2,067)
-------------------------------------------------------------------------
NOTES
(a) Percentages indicated are based on net assets of $67,875,403.
(b) The aggregate identified cost on a tax basis is $70,244,476,
resulting in gross unrealized appreciation and depreciation of
$3,332,852 and $6,522,563, respectively, or net unrealized depreciation
of $3,189,711.
(c) Senior loans are exempt from registration under the Security Act of
1933, as amended, but contain certain restrictions on resale and cannot
be sold publicly. Theses loans pay interest at rates which adjust
periodically. The interest rate shown for senior loans are the current
interest rates at August 31, 2004. 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.
(DEF) Security is in default of principal and interest.
(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 August 31, 2004 was
$49,487 or 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the
discretion of the issuer.
(R) Real Estate Investment Trust.
(S) Securities on loan, in part or in entirety, at August 31, 2004.
(d) The fund may lend securities, through its agents, to qualified
borrowers in order to earn additional income. The loans are
collateralized by cash and/or securities in an amount at least equal to
the market value of the securities loaned. The market value of
securities loaned is determined daily and any additional required
collateral is allocated to the fund on the next business day. The risk
of borrower default will be borne by the fund's agents; the fund will
bear the risk of loss with respect to the investment of the cash
collateral. Income from securities lending is included in investment
income on the statement of operations. At August 31, the value of
securities loaned amounted to $146,766. The fund received cash
collateral of $152,022 which is pooled with collateral of other Putnam
funds into 20 issuers of high grade short-term investments.
(e) The fund invests in the Putnam Prime Money Market Fund, an open-end
management investment company managed by Putnam Management. Management
fees paid by the fund are reduced by an amount equal to the management
fees paid by Putnam Prime Money Market Fund with respect to assets
invested by the fund in Putnam Prime Money Market Fund. Income
distributions earned by the fund are recorded as income in the statement
of operations and totaled $3,666 for the period ended August 31, 2004.
144A after the name of a security represents those exempt from
registration under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes
(FRN) are the current interest rates at August 31, 2004.
Security valuation Market quotations are not considered to be readily
available for certain debt obligations; such investments are valued at
fair value on the basis of valuations furnished by an independent
pricing service or dealers, approved by the Trustees. Such services or
dealers determine valuations for normal institutional-size trading units
of such securities using methods based on market transactions for
comparable securities and various relationships, generally recognized by
institutional traders, between securities. Many securities markets and
exchanges outside the U.S. close prior to the close of the New York
Stock Exchange and therefore the closing prices for securities in such
markets or on such exchanges may not fully reflect events that occur
after such close but before the close of the New York Stock Exchange.
Accordingly, on certain days, the fund will fair value foreign
securities taking into account multiple factors, including movements in
the U.S. securities markets. The number of days on which fair value
prices will be used will depend on market activity and it is possible
that fair value prices will be used by the fund to a significant extent.
Securities quoted in foreign currencies are translated into U.S. dollars
at the current exchange rate.
Short-term investments having remaining maturities of 60 days or less
are valued at amortized cost, which approximates fair value.
Other investments, including restricted securities, are valued at fair
value following procedures approved by the Trustees. Such valuations and
procedures are reviewed periodically by the Trustees.
Forward currency contracts The fund may buy and sell forward currency
contracts, which are agreements between two parties to buy and sell
currencies at a set price on a future date. These contracts are used to
protect against a decline in value relative to the U.S. dollar of the
currencies in which its portfolio securities are denominated or quoted
(or an increase in the value of a currency in which securities a fund
intends to buy are denominated, when a fund holds cash reserves and
short term investments). The U.S. dollar value of forward currency
contracts is determined using current forward currency exchange rates
supplied by a quotation service. The market value of the contract will
fluctuate with changes in currency exchange rates. The contract is
marked to market daily and the change in market value is recorded as an
unrealized gain or loss. When the contract is closed, the fund records
a realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was
closed. The fund could be exposed to risk if the value of the
currency changes unfavorably, if the counterparties to the contracts are
unable to meet the terms of their contracts or if the fund is unable to
enter into a closing position. Risks may exceed amounts recognized on
the statement of assets and liabilities. Forward currency contracts
outstanding at period end, if any, are listed after the fund's
portfolio.
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:
------------------
A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2
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.
NAME OF REGISTRANT
By (Signature and Title): /s/ Michael T. Healy
--------------------------
Michael T. Healy
Principal Accounting Officer
Date: October 27, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, this report has been signed
below by the following persons on behalf of the registrant and in
the capacities and on the dates indicated.
By (Signature and Title): /s/ Charles E. Porter
---------------------------
Charles E. Porter
Principal Executive Officer
Date: October 27, 2004
By (Signature and Title): /s/ Steven D. Krichmar
---------------------------
Steven D. Krichmar
Principal Financial Officer
Date: October 27, 2004