|
|
|
|
|
|
|
| Putnam High Income Securities Fund |
|
| The fund's portfolio |
| 11/30/11 (Unaudited) |
|
|
| CORPORATE BONDS AND NOTES (41.6%)(a) |
|
| | | | | Principal amount | Value |
|
|
|
| Basic materials (2.9%) |
|
| AbitibiBowater, Inc. 144A company guaranty sr. notes 10 1/4s, 2018 (Canada) | | | | $25,000 | $27,188 |
|
| Associated Materials, LLC company guaranty sr. notes 9 1/8s, 2017 | | | | 140,000 | 118,475 |
|
| Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 | | | | 165,000 | 160,463 |
|
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6 5/8s, 2018 (Germany) | | | | 55,000 | 57,475 |
|
| Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) | | | | 140,000 | 142,450 |
|
| Compass Minerals International, Inc. company guaranty sr. unsec. notes 8s, 2019 | | | | 115,000 | 121,325 |
|
| Dynacast International, LLC/Dynacast Finance, Inc. 144A notes 9 1/4s, 2019 | | | | 35,000 | 32,638 |
|
| Edgen Murray Corp. company guaranty sr. notes 12 1/4s, 2015 | | | | 50,000 | 44,375 |
|
| Exopack Holding Corp. 144A sr. notes 10s, 2018 | | | | 80,000 | 79,200 |
|
| Ferro Corp. sr. unsec. notes 7 7/8s, 2018 | | | | 160,000 | 159,600 |
|
| FMG Resources August 2006 Pty, Ltd. 144A company guaranty sr. unsec notes 6 3/8s, 2016 (Australia) | | | | 5,000 | 4,700 |
|
| FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia) | | | | 95,000 | 92,388 |
|
| FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia) | | | | 90,000 | 86,850 |
|
| FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia) | | | | 150,000 | 137,242 |
|
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020 | | | | 55,000 | 43,175 |
|
| Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 | | | | 90,000 | 81,225 |
|
| Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 | | | | 90,000 | 91,350 |
|
| Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020 | | | | 75,000 | 76,125 |
|
| INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom) | | | | 200,000 | 198,500 |
|
| INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (United Kingdom) | | | EUR | 105,000 | 99,310 |
|
| Lyondell Chemical Co. company guaranty sr. sec. loans 8s, 2017 | | | | $88,000 | 95,480 |
|
| Lyondell Chemical Co. sr. notes 11s, 2018 | | | | 159,712 | 172,090 |
|
| Momentive Performance Materials, Inc. notes 9s, 2021 | | | | 185,000 | 131,813 |
|
| NewPage Corp. company guaranty sr. notes 11 3/8s, 2014 (In default)(NON) | | | | 65,000 | 45,338 |
|
| Nexeo Solutions, LLC/Nexeo Solutions Finance Corp. 144A company guaranty sr. sub. notes 8 3/8s, 2018 | | | | 35,000 | 34,213 |
|
| Norbord, Inc. sr. unsub. plants equip. 7 1/4s, 2012 (Canada) | | | | 45,000 | 44,775 |
|
| Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 | | | | 195,000 | 205,725 |
|
| Novelis, Inc. company guaranty sr. unsec. notes 7 1/4s, 2015 | | | | 120,000 | 118,200 |
|
| Old All, Inc. company guaranty sr. unsec. notes 9s, 2014 (In default)(F)(NON) | | | | 230,000 | 1 |
|
| PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, 2014 (Austria) | | | EUR | 55,000 | 77,226 |
|
| PE Paper Escrow GmbH 144A sr. notes 12s, 2014 (Austria) | | | | $140,000 | 149,100 |
|
| Pregis Corp. company guaranty sr. sub. notes 12 3/8s, 2013 | | | | 70,000 | 65,100 |
|
| Sealed Air Corp. 144A sr. unsec. notes 8 3/8s, 2021 | | | | 25,000 | 26,688 |
|
| Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s, 2015 (Ireland) | | | | 100,000 | 100,500 |
|
| Smurfit Kappa Treasury company guaranty sr. unsec. unsub. debs 7 1/2s, 2025 (Ireland) | | | | 20,000 | 18,300 |
|
| Solo Cup Co. company guaranty notes 10 1/2s, 2013 | | | | 30,000 | 30,300 |
|
| Solutia, Inc. company guaranty sr. unsec. notes 8 3/4s, 2017 | | | | 90,000 | 97,200 |
|
| Solutia, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 | | | | 165,000 | 176,138 |
|
| Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016 | | | | 65,000 | 66,950 |
|
| Thompson Creek Metals Co., Inc. 144A company guaranty sr. notes 7 3/8s, 2018 (Canada) | | | | 55,000 | 46,200 |
|
| TPC Group, LLC company guaranty sr. notes 8 1/4s, 2017 | | | | 110,000 | 109,725 |
|
| Tube City IMS Corp. company guaranty sr. unsec. sub. notes 9 3/4s, 2015 | | | | 160,000 | 161,200 |
|
| Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty sr. notes 8 3/4s, 2019 | | | | 75,000 | 48,750 |
|
|
| |
3,875,066 |
|
| Capital goods (2.7%) |
|
| Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016 | | | | 185,000 | 191,938 |
|
| American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 | | | | 50,000 | 47,875 |
|
| American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 5 1/4s, 2014 | | | | 60,000 | 58,200 |
|
| American Axle & Manufacturing, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 | | | | 5,000 | 4,825 |
|
| American Axle & Manufacturing, Inc. 144A company guaranty sr. notes 9 1/4s, 2017 | | | | 121,000 | 127,655 |
|
| Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland) | | | EUR | 100,000 | 129,424 |
|
| BE Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020 | | | | $35,000 | 37,275 |
|
| Berry Plastics Corp. company guaranty notes FRN 4.222s, 2014 | | | | 75,000 | 69,000 |
|
| Berry Plastics Corp. company guaranty sr. notes 9 1/2s, 2018 | | | | 80,000 | 76,500 |
|
| Berry Plastics Corp. notes 9 3/4s, 2021 | | | | 85,000 | 81,175 |
|
| Berry Plastics Holding Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2016 | | | | 50,000 | 46,000 |
|
| Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 | | | | 100,000 | 101,000 |
|
| Crown Americas, LLC/Crown Americas Capital Corp. III company guaranty sr. unsec. notes 6 1/4s, 2021 | | | | 45,000 | 46,688 |
|
| Exide Technologies sr. notes 8 5/8s, 2018 | | | | 185,000 | 148,000 |
|
| JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 | | | | 120,000 | 121,500 |
|
| Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 | | | | 215,000 | 216,613 |
|
| Kratos Defense & Security Solutions, Inc. 144A company guaranty sr. notes 10s, 2017 | | | | 10,000 | 10,075 |
|
| Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France) | | | | 285,000 | 348,743 |
|
| Meritor, Inc. company guaranty sr. unsec. notes 8 1/8s, 2015 | | | | 35,000 | 30,975 |
|
| Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020 | | | | 15,000 | 15,919 |
|
| Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 | | | | 280,000 | 270,900 |
|
| Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017 | | | | 75,000 | 76,875 |
|
| Reynolds Group DL Escrow, Inc./Reynolds Group Escrow, LLC 144A company guaranty sr. notes 8 3/4s, 2016 | | | | 115,000 | 118,738 |
|
| Reynolds Group Issuer, Inc. 144A company guaranty sr. notes 7 1/8s, 2019 | | | | 100,000 | 97,750 |
|
| Reynolds Group Issuer, Inc. 144A company guaranty sr. unsec. notes 9s, 2019 | | | | 120,000 | 108,000 |
|
| Ryerson Holding Corp. sr. disc. notes zero %, 2015 | | | | 45,000 | 20,025 |
|
| Ryerson, Inc. company guaranty sr. notes 12s, 2015 | | | | 225,000 | 225,563 |
|
| Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 | | | | 50,000 | 50,750 |
|
| Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 | | | | 90,000 | 90,450 |
|
| Terex Corp. company guaranty sr. unsec. notes 10 7/8s, 2016 | | | | 55,000 | 61,050 |
|
| Terex Corp. sr. unsec. sub. notes 8s, 2017 | | | | 200,000 | 194,500 |
|
| Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017 | | | | 175,000 | 175,000 |
|
| Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017 | | | | 93,000 | 98,580 |
|
| TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018 | | | | 145,000 | 149,350 |
|
|
| |
3,646,911 |
|
| Communication services (5.3%) |
|
| Adelphia Communications Corp. escrow bonds zero %, 2012 | | | | 20,000 | 62 |
|
| Adelphia Communications Corp. escrow bonds zero %, 2012 | | | | 235,000 | 729 |
|
| AMC Networks, Inc. 144A company guaranty sr. unsec notes 7 3/4s, 2021 | | | | 10,000 | 10,575 |
|
| Atlantic Broadband Finance, LLC company guaranty 9 3/8s, 2014 | | | | 225,000 | 223,313 |
|
| Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018 | | | | 85,000 | 85,850 |
|
| Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 | | | | 180,000 | 188,100 |
|
| Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 | | | | 35,000 | 35,525 |
|
| CCH II, LLC/CCH II Capital company guaranty sr. unsec. notes 13 1/2s, 2016 | | | | 49,815 | 57,412 |
|
| CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018 | | | | 110,000 | 113,988 |
|
| CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 | | | | 95,000 | 91,675 |
|
| CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 | | | | 70,000 | 70,000 |
|
| CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019 | | | | 85,000 | 85,850 |
|
| Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. notes 8 5/8s, 2017 | | | | 125,000 | 127,188 |
|
| Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018 | | | | 130,000 | 115,700 |
|
| Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2017 | | | | 714,000 | 414,120 |
|
| Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 | | | | 120,000 | 101,400 |
|
| Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 | | | | 110,000 | 92,950 |
|
| Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020 | | | | 195,000 | 153,075 |
|
| Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 | | | | 115,000 | 114,713 |
|
| Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 | | | | 45,000 | 48,263 |
|
| CSC Holdings, LLC 144A sr. unsec. unsub. notes 6 3/4s, 2021 | | | | 65,000 | 65,325 |
|
| Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) | | | | 165,000 | 162,525 |
|
| EH Holding Corp. 144A sr. notes 6 1/2s, 2019 | | | | 130,000 | 127,075 |
|
| EH Holding Corp. 144A sr. unsec. notes 7 5/8s, 2021 | | | | 145,000 | 142,463 |
|
| Equinix, Inc. sr. unsec. notes 7s, 2021 | | | | 75,000 | 76,500 |
|
| Frontier Communications Corp. sr. unsec. notes 8 1/2s, 2020 | | | | 110,000 | 104,500 |
|
| Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017 | | | | 65,000 | 63,294 |
|
| Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2014 | | | | 25,000 | 25,813 |
|
| Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 | | | | 35,000 | 33,294 |
|
| Intelsat Jackson Holdings SA 144A company guaranty sr. notes 7 1/2s, 2021 (Bermuda) | | | | 140,000 | 133,000 |
|
| Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) | | | | 322,187 | 295,607 |
|
| Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg) | | | | 580,000 | 533,600 |
|
| Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)(PIK) | | | | 85,000 | 77,988 |
|
| Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 | | | | 80,000 | 80,800 |
|
| Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2014 | | | | 194,000 | 197,638 |
|
| Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 8 1/8s, 2019 | | | | 20,000 | 18,900 |
|
| Mediacom Broadband, LLC/Mediacom Broadband Corp. sr. unsec. unsub. notes 8 1/2s, 2015 | | | | 50,000 | 51,250 |
|
| Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019 | | | | 55,000 | 57,338 |
|
| MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 | | | | 190,000 | 181,450 |
|
| Nextel Communications, Inc. company guaranty sr. unsec. notes Ser. D, 7 3/8s, 2015 | | | | 95,000 | 83,600 |
|
| NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 | | | | 90,000 | 102,150 |
|
| NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021 | | | | 40,000 | 40,400 |
|
| PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017 | | | | 50,000 | 54,000 |
|
| PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 | | | | 160,000 | 173,200 |
|
| Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) | | | CAD | 75,000 | 72,249 |
|
| Qwest Communications International, Inc. company guaranty 7 1/2s, 2014 | | | | $20,000 | 20,125 |
|
| Qwest Corp. notes 6 3/4s, 2021 | | | | 130,000 | 135,548 |
|
| Qwest Corp. sr. unsec. notes 7 1/2s, 2014 | | | | 90,000 | 98,550 |
|
| Qwest Corp. sr. unsec. unsub. notes 8 3/8s, 2016 | | | | 20,000 | 22,675 |
|
| Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 | | | | 65,000 | 66,625 |
|
| SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019 | | | | 55,000 | 59,194 |
|
| SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8s, 2016 | | | | 145,000 | 155,150 |
|
| Sprint Capital Corp. company guaranty 6 7/8s, 2028 | | | | 295,000 | 205,763 |
|
| Sprint Nextel Corp. sr. notes 8 3/8s, 2017 | | | | 185,000 | 158,638 |
|
| Sprint Nextel Corp. sr. unsec. notes 6s, 2016 | | | | 80,000 | 63,800 |
|
| Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018 | | | | 115,000 | 116,150 |
|
| Videotron Ltee sr. notes 6 7/8s, 2021 (Canada) | | | CAD | 75,000 | 72,533 |
|
| Virgin Media Finance PLC company guaranty sr. notes Ser. 1, 9 1/2s, 2016 (United Kingdom) | | | | $175,000 | 191,625 |
|
| Wind Acquisition Finance SA 144A company guaranty sr. notes 7 1/4s, 2018 (Netherlands) | | | | 80,000 | 69,800 |
|
| Wind Acquisition Finance SA 144A sr. notes 11 3/4s, 2017 (Netherlands) | | | | 110,000 | 94,875 |
|
| Wind Acquisition Holdings Finance SA 144A company guaranty sr. notes 12 1/4s, 2017 (Italy)(PIK) | | | | 120,671 | 92,917 |
|
| Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 | | | | 35,000 | 35,700 |
|
| Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2013 | | | | 95,000 | 100,463 |
|
| Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 | | | | 125,000 | 130,625 |
|
| Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 | | | | 75,000 | 73,875 |
|
|
| |
7,049,078 |
|
| Consumer cyclicals (9.2%) |
|
| Academy Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019 | | | | 15,000 | 14,550 |
|
| Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015 | | | | 105,000 | 87,675 |
|
| Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018 | | | | 135,000 | 112,388 |
|
| Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 | | | | 125,000 | 108,750 |
|
| AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 | | | | 165,000 | 150,150 |
|
| American Casino & Entertainment Properties LLC sr. notes 11s, 2014 | | | | 177,000 | 177,000 |
|
| American Media, Inc. 144A notes 13 1/2s, 2018 | | | | 18,955 | 14,690 |
|
| ARAMARK Holdings Corp. 144A sr. unsec. notes 8 5/8s, 2016(PIK) | | | | 50,000 | 50,750 |
|
| Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 | | | | 40,000 | 41,500 |
|
| Beazer Homes USA, Inc. company guaranty sr. unsec. notes 6 7/8s, 2015 | | | | 65,000 | 46,800 |
|
| Beazer Homes USA, Inc. company guaranty sr. unsec. unsub. notes 9 1/8s, 2018 | | | | 65,000 | 42,900 |
|
| Beazer Homes USA, Inc. sr. unsec. notes 9 1/8s, 2019 | | | | 40,000 | 26,100 |
|
| Bon-Ton Department Stores, Inc. (The) company guaranty 10 1/4s, 2014 | | | | 175,000 | 112,438 |
|
| Brickman Group Holdings, Inc. 144A sr. notes 9 1/8s, 2018 | | | | 30,000 | 26,400 |
|
| Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020 | | | | 100,000 | 106,000 |
|
| Building Materials Corp. 144A sr. notes 7s, 2020 | | | | 45,000 | 46,575 |
|
| Building Materials Corp. 144A sr. notes 6 7/8s, 2018 | | | | 50,000 | 50,250 |
|
| Building Materials Corp. 144A sr. notes 6 3/4s, 2021 | | | | 40,000 | 39,800 |
|
| Burlington Coat Factory Warehouse Corp. 144A company guaranty sr. unsec. notes 10s, 2019 | | | | 90,000 | 86,625 |
|
| Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018 | | | | 447,000 | 286,080 |
|
| Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2015 | | | | 30,000 | 26,700 |
|
| Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 | | | | 220,000 | 228,800 |
|
| Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 | | | | 20,000 | 21,750 |
|
| Cengage Learning Acquisitions, Inc. 144A sr. notes 10 1/2s, 2015 | | | | 80,000 | 58,000 |
|
| Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018 | | | | 125,000 | 106,563 |
|
| Cenveo Corp. 144A company guaranty sr. unsec. notes 10 1/2s, 2016 | | | | 40,000 | 33,800 |
|
| Chrysler Group, LLC/CG Co-Issuer, Inc. 144A company guaranty sr. notes 8 1/4s, 2021 | | | | 200,000 | 169,500 |
|
| Cinemark USA, Inc. company guaranty sr. unsec. notes 8 5/8s, 2019 | | | | 85,000 | 91,375 |
|
| Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 | | | | 25,000 | 24,938 |
|
| CityCenter Holdings LLC/CityCenter Finance Corp. 144A company guaranty sr. notes 10 3/4s, 2017(PIK) | | | | 163,615 | 161,979 |
|
| Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021 | | | | 120,000 | 99,000 |
|
| Clear Channel Communications, Inc. company guaranty unsec. unsub. notes 10 3/4s, 2016 | | | | 260,000 | 163,800 |
|
| Clear Channel Communications, Inc. sr. unsec. notes 5 1/2s, 2014 | | | | 100,000 | 67,500 |
|
| Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2017 | | | | 20,000 | 20,950 |
|
| Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017 | | | | 160,000 | 168,400 |
|
| Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015 | | | | 205,000 | 209,100 |
|
| Cumulus Media, Inc. 144A sr. notes 7 3/4s, 2019 | | | | 125,000 | 108,125 |
|
| DISH DBS Corp. company guaranty 7 1/8s, 2016 | | | | 60,000 | 61,650 |
|
| DISH DBS Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 | | | | 135,000 | 143,100 |
|
| DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 | | | | 100,000 | 97,500 |
|
| Entercom Radio, LLC 144A company guaranty sr. sub. notes 10 1/2s, 2019 | | | | 110,000 | 106,150 |
|
| FelCor Lodging LP company guaranty sr. notes 10s, 2014(R) | | | | 151,000 | 161,570 |
|
| FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) | | | | 165,000 | 153,450 |
|
| Ford Motor Credit Co., LLC sr. unsec. notes 8 1/8s, 2020 | | | | 315,000 | 371,700 |
|
| Ford Motor Credit Co., LLC sr. unsec. notes 7s, 2015 | | | | 110,000 | 118,414 |
|
| Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 3/4s, 2021 | | | | 200,000 | 203,975 |
|
| Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015 | | | | 130,000 | 120,900 |
|
| Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 | | | | 85,000 | 84,044 |
|
| Hanesbrands, Inc. sr. unsec. notes 8s, 2016 | | | | 75,000 | 80,813 |
|
| Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 | | | | 240,000 | 256,800 |
|
| Isle of Capri Casinos, Inc. company guaranty 7s, 2014 | | | | 195,000 | 180,375 |
|
| Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 | | | | 90,000 | 82,800 |
|
| Jarden Corp. company guaranty sr. unsec. notes 8s, 2016 | | | | 50,000 | 54,000 |
|
| Jarden Corp. company guaranty sr. unsec. sub. notes 7 1/2s, 2017 | | | | 280,000 | 296,800 |
|
| Jeld-Wen Escrow Corp. 144A sr. notes 12 1/4s, 2017 | | | | 110,000 | 114,400 |
|
| Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 | | | | 10,000 | 10,925 |
|
| Lamar Media Corp. company guaranty sr. sub. notes 7 7/8s, 2018 | | | | 40,000 | 41,300 |
|
| Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016 | | | | 145,000 | 141,375 |
|
| Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016 | | | | 80,000 | 82,400 |
|
| Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 | | | | 100,000 | 103,750 |
|
| M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 | | | | 180,000 | 157,950 |
|
| Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016 | | | | 160,000 | 176,835 |
|
| Macy's Retail Holdings, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2015 | | | | 75,000 | 86,518 |
|
| Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)(NON) | | | | 200,000 | 9,000 |
|
| Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) | | | | 125,000 | 117,500 |
|
| MGM Resorts International company guaranty sr. notes 9s, 2020 | | | | 25,000 | 27,250 |
|
| MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016 | | | | 40,000 | 36,500 |
|
| MGM Resorts International company guaranty sr. unsec. notes 6 5/8s, 2015 | | | | 50,000 | 47,250 |
|
| MGM Resorts International sr. notes 10 3/8s, 2014 | | | | 20,000 | 22,400 |
|
| MGM Resorts International sr. notes 6 3/4s, 2012 | | | | 2,000 | 2,010 |
|
| Michaels Stores, Inc. company guaranty 11 3/8s, 2016 | | | | 225,000 | 236,250 |
|
| MTR Gaming Group, Inc. 144A notes 11 1/2s, 2019 | | | | 290,000 | 241,425 |
|
| Navistar International Corp. sr. notes 8 1/4s, 2021 | | | | 204,000 | 212,160 |
|
| Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 | | | | 125,000 | 115,000 |
|
| Nexstar Broadcasting, Inc./Mission Broadcasting, Inc. company guaranty sr. notes 8 7/8s, 2017 | | | | 105,000 | 106,050 |
|
| Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018 | | | | 205,000 | 216,788 |
|
| Nortek, Inc. 144A company guaranty sr. notes 8 1/2s, 2021 | | | | 45,000 | 37,013 |
|
| Nortek, Inc. 144A company guaranty sr. unsec. notes 10s, 2018 | | | | 125,000 | 116,250 |
|
| Owens Corning company guaranty sr. unsec. notes 9s, 2019 | | | | 225,000 | 265,500 |
|
| Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019 | | | | 30,000 | 32,250 |
|
| Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 7 3/4s, 2016 | | | | 150,000 | 152,250 |
|
| PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 | | | | 65,000 | 68,250 |
|
| PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 | | | | 60,000 | 61,800 |
|
| Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017 | | | | 35,000 | 36,750 |
|
| Pinnacle Entertainment, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2015 | | | | 180,000 | 174,600 |
|
| Pulte Group, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 | | | | 105,000 | 101,063 |
|
| Pulte Group, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 | | | | 80,000 | 64,600 |
|
| QVC Inc. 144A sr. notes 7 1/2s, 2019 | | | | 90,000 | 95,625 |
|
| QVC Inc. 144A sr. notes 7 3/8s, 2020 | | | | 65,000 | 69,063 |
|
| Realogy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 | | | | 90,000 | 77,513 |
|
| Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 | | | | 35,000 | 30,100 |
|
| Regal Entertainment Group company guaranty sr. unsec. notes 9 1/8s, 2018 | | | | 160,000 | 167,200 |
|
| ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 | | | | 100,000 | 105,000 |
|
| Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A sr. notes 8 5/8s, 2017 | | | | 155,000 | 153,063 |
|
| Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 | | | | 200,000 | 156,000 |
|
| Scotts Miracle-Gro Co. (The) 144A sr. notes 6 5/8s, 2020 | | | | 90,000 | 90,900 |
|
| Sealy Mattress Co. 144A company guaranty sr. sec. notes 10 7/8s, 2016 | | | | 101,000 | 110,090 |
|
| Sears Holdings Corp. company guaranty 6 5/8s, 2018 | | | | 85,000 | 67,256 |
|
| Standard Pacific Corp. company guaranty sr. unsec. unsub. notes 7s, 2015 | | | | 25,000 | 23,750 |
|
| SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A notes 8 5/8s, 2016 | | | | 40,000 | 41,000 |
|
| Toys R Us - Delaware, Inc. 144A company guaranty sr. notes 7 3/8s, 2016 | | | | 30,000 | 29,700 |
|
| Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017 | | | | 110,000 | 112,475 |
|
| Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017 | | | | 145,000 | 156,238 |
|
| Travelport, LLC company guaranty 11 7/8s, 2016 | | | | 120,000 | 39,000 |
|
| Travelport, LLC company guaranty 9 7/8s, 2014 | | | | 125,000 | 75,625 |
|
| Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 | | | | 75,000 | 42,844 |
|
| TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 6 3/8s, 2014 | | | EUR | 60,000 | 81,527 |
|
| TRW Automotive, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2014 | | | EUR | 80,000 | 108,703 |
|
| Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 | | | | $100,000 | 82,500 |
|
| Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 | | | | 115,000 | 108,675 |
|
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company guaranty 1st mtge. notes 7 3/4s, 2020 | | | | 70,000 | 75,425 |
|
| XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 13s, 2013 | | | | 145,000 | 163,850 |
|
| XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018 | | | | 130,000 | 133,900 |
|
| Yankee Candle Co. company guaranty sr. notes Ser. B, 8 1/2s, 2015 | | | | 190,000 | 189,525 |
|
| YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016(PIK) | | | | 95,000 | 83,125 |
|
| Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 | | | | 210,000 | 212,625 |
|
|
| |
12,259,401 |
|
| Consumer staples (3.6%) |
|
| ACCO Brands Corp. company guaranty sr. notes 10 5/8s, 2015 | | | | 80,000 | 88,600 |
|
| AE Escrow Corp. 144A sr. unsec. notes 9 3/4s, 2020 | | | | 35,000 | 35,000 |
|
| Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 5/8s, 2018 | | | | 30,000 | 30,225 |
|
| Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2016 | | | | 150,000 | 149,250 |
|
| Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018 | | | | 75,000 | 81,844 |
|
| Central Garden & Pet Co. company guaranty sr. sub. notes 8 1/4s, 2018 | | | | 65,000 | 63,050 |
|
| CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016(PIK) | | | | 63,393 | 58,955 |
|
| Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 | | | | 80,000 | 58,400 |
|
| Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 | | | | 145,000 | 158,775 |
|
| Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 | | | | 150,000 | 162,375 |
|
| Dave & Buster's, Inc. company guaranty sr. unsec. unsub. notes 11s, 2018 | | | | 130,000 | 133,250 |
|
| Dean Foods Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2018 | | | | 30,000 | 31,500 |
|
| Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016 | | | | 95,000 | 92,150 |
|
| DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 | | | | 175,000 | 181,125 |
|
| Dole Food Co. sr. notes 13 7/8s, 2014 | | | | 94,000 | 108,805 |
|
| Dole Food Co. 144A sr. notes 8s, 2016 | | | | 35,000 | 36,050 |
|
| Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 | | | | 105,000 | 109,463 |
|
| Hertz Corp. company guaranty sr. unsec. notes 7 1/2s, 2018 | | | | 45,000 | 45,113 |
|
| Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) | | | EUR | 110,000 | 148,826 |
|
| JBS USA, LLC/JBS USA Finance, Inc. company guaranty sr. unsec. notes 11 5/8s, 2014 | | | | $60,000 | 66,750 |
|
| JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 | | | | 335,000 | 304,850 |
|
| Landry's Acquisition Co. 144A company guaranty notes 11 5/8s, 2015 | | | | 30,000 | 30,750 |
|
| Landry's Restaurants, Inc. company guaranty sr. notes 11 5/8s, 2015 | | | | 20,000 | 20,850 |
|
| Landry's Restaurants, Inc. 144A company guaranty sr. notes 11 5/8s, 2015 | | | | 45,000 | 46,913 |
|
| Libbey Glass, Inc. sr. notes 10s, 2015 | | | | 72,000 | 76,680 |
|
| Michael Foods, Inc. company guaranty sr. unsec notes 9 3/4s, 2018 | | | | 55,000 | 56,650 |
|
| Pinnacle Foods Finance, LLC/Pinnacle Foods Finance Corp. company guaranty sr. unsec. notes 9 1/4s, 2015 | | | | 45,000 | 46,013 |
|
| Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018 | | | | 135,000 | 137,025 |
|
| Reddy Ice Corp. company guaranty sr. notes 11 1/4s, 2015 | | | | 125,000 | 115,000 |
|
| Revlon Consumer Products Corp. company guaranty notes 9 3/4s, 2015 | | | | 80,000 | 85,200 |
|
| Rite Aid Corp. company guaranty sr. notes 10 1/4s, 2019 | | | | 40,000 | 43,200 |
|
| Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017 | | | | 65,000 | 63,700 |
|
| Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017 | | | | 250,000 | 218,750 |
|
| Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 | | | | 35,000 | 37,800 |
|
| Roadhouse Financing, Inc. notes 10 3/4s, 2017 | | | | 75,000 | 74,250 |
|
| Service Corporation International sr. notes 7s, 2019 | | | | 50,000 | 51,875 |
|
| Service Corporation International sr. notes 7s, 2017 | | | | 65,000 | 69,550 |
|
| Service Corporation International sr. unsec. 7 3/8s, 2014 | | | | 125,000 | 135,625 |
|
| Smithfield Foods, Inc. company guaranty sr. notes 10s, 2014 | | | | 130,000 | 148,850 |
|
| Spectrum Brands, Inc. sr. notes 9 1/2s, 2018 | | | | 95,000 | 103,313 |
|
| Spectrum Brands, Inc. sr. unsec. sub. bonds 12s, 2019 | | | | 117,016 | 126,816 |
|
| Spectrum Brands, Inc. 144A company guaranty notes 9 1/2s, 2018 | | | | 50,000 | 54,375 |
|
| Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019 | | | | 85,000 | 82,663 |
|
| Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014 | | | | 305,000 | 351,513 |
|
| United Rentals North America, Inc. company guaranty sr. unsec. sub. notes 8 3/8s, 2020 | | | | 45,000 | 43,875 |
|
| United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2019 | | | | 80,000 | 86,400 |
|
| Wendy's Co. (The) company guaranty sr. unsec. unsub. notes 10s, 2016 | | | | 225,000 | 246,375 |
|
| West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018 | | | | 55,000 | 54,863 |
|
| West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 | | | | 65,000 | 65,000 |
|
|
| |
4,818,230 |
|
| Energy (5.8%) |
|
| Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 | | | | 80,000 | 76,000 |
|
| Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019 | | | | 85,000 | 81,175 |
|
| Anadarko Finance Co. company guaranty sr. unsec. unsub. notes Ser. B, 7 1/2s, 2031 | | | | 210,000 | 252,845 |
|
| Anadarko Petroleum Corp. sr. notes 5.95s, 2016 | | | | 75,000 | 83,615 |
|
| Anadarko Petroleum Corp. sr. unsec. notes 6 3/8s, 2017 | | | | 15,000 | 17,192 |
|
| Anadarko Petroleum Corp. sr. unsec. notes 6.2s, 2040 | | | | 50,000 | 54,666 |
|
| Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020 | | | | 105,000 | 102,900 |
|
| Arch Coal, Inc. 144A company guaranty sr. unsec. notes 7s, 2019 | | | | 110,000 | 107,250 |
|
| Arch Western Finance, LLC company guaranty sr. notes 6 3/4s, 2013 | | | | 45,000 | 45,000 |
|
| ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s, 2015 | | | | 50,000 | 33,000 |
|
| Brigham Exploration Co. company guaranty sr. unsec. notes 8 3/4s, 2018 | | | | 59,000 | 71,685 |
|
| Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 | | | | 235,000 | 233,238 |
|
| Carrizo Oil & Gas, Inc. 144A company guaranty sr. unsec notes 8 5/8s, 2018 | | | | 30,000 | 29,550 |
|
| Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020 | | | | 85,000 | 90,950 |
|
| Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 7/8s, 2017 | | | | 155,000 | 158,100 |
|
| Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 | | | | 45,000 | 44,325 |
|
| Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 | | | | 35,000 | 39,375 |
|
| Chesapeake Midstream Partners LP/CHKM Finance Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 | | | | 45,000 | 43,650 |
|
| Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 6 5/8s, 2019 | | | | 115,000 | 113,419 |
|
| Complete Production Services, Inc. company guaranty 8s, 2016 | | | | 100,000 | 104,000 |
|
| Comstock Resources, Inc. company guaranty sr. unsub. notes 8 3/8s, 2017 | | | | 110,000 | 107,800 |
|
| Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 | | | | 120,000 | 121,500 |
|
| CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 | | | | 215,000 | 231,125 |
|
| CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017 | | | | 130,000 | 138,450 |
|
| CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2021 | | | | 20,000 | 19,700 |
|
| Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018 | | | | 230,000 | 244,950 |
|
| Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020 | | | | 95,000 | 102,600 |
|
| Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 | | | | 65,000 | 65,650 |
|
| EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 | | | | 250,000 | 230,000 |
|
| Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 9 1/8s, 2017 | | | | 75,000 | 77,250 |
|
| Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021 | | | | 85,000 | 72,888 |
|
| Forbes Energy Services Ltd. company guaranty sr. unsec notes 9s, 2019 | | | | 80,000 | 74,400 |
|
| Frac Tech Services, LLC/Frac Tech Finance, Inc. 144A company guaranty sr. notes 7 5/8s, 2018 | | | | 115,000 | 115,863 |
|
| Goodrich Petroleum Corp. 144A sr. notes 8 7/8s, 2019 | | | | 185,000 | 181,300 |
|
| Helix Energy Solutions Group, Inc. 144A sr. unsec. notes 9 1/2s, 2016 | | | | 345,000 | 358,800 |
|
| Hercules Offshore, Inc. 144A sr. notes 10 1/2s, 2017 | | | | 60,000 | 57,600 |
|
| Inergy LP/Inergy Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021 | | | | 135,000 | 128,250 |
|
| James River Coal Co. company guaranty sr. unsec. unsub. notes 7 7/8s, 2019 | | | | 45,000 | 34,200 |
|
| Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 | | | | 80,000 | 79,000 |
|
| Kodiak Oil & Gas Corp. 144A sr. notes 8 1/8s, 2019 | | | | 125,000 | 126,875 |
|
| Laredo Petroleum, Inc. 144A sr. notes 9 1/2s, 2019 | | | | 160,000 | 165,800 |
|
| MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada) | | | | 90,000 | 90,450 |
|
| Milagro Oil & Gas 144A notes 10 1/2s, 2016 | | | | 120,000 | 85,200 |
|
| Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 | | | | 50,000 | 52,500 |
|
| Newfield Exploration Co. sr. unsec. sub. notes 7 1/8s, 2018 | | | | 90,000 | 94,500 |
|
| Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s, 2014 | | | | 210,000 | 212,100 |
|
| Offshore Group Investments, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) | | | | 120,000 | 128,700 |
|
| OPTI Canada, Inc. company guaranty sr. sec. notes 8 1/4s, 2014 (Canada) (In default)(NON) | | | | 15,000 | 10,069 |
|
| OPTI Canada, Inc. company guaranty sr. sec. notes 7 7/8s, 2014 (Canada) (In default)(NON) | | | | 105,000 | 70,350 |
|
| Peabody Energy Corp. company guaranty 7 3/8s, 2016 | | | | 185,000 | 200,263 |
|
| Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 | | | | 10,000 | 10,100 |
|
| Peabody Energy Corp. 144A sr. unsec. notes 6s, 2018 | | | | 245,000 | 244,694 |
|
| Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014 | | | | 135,000 | 150,356 |
|
| Petroleum Development Corp. company guaranty sr. unsec. notes 12s, 2018 | | | | 265,000 | 283,550 |
|
| Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 3/4s, 2022 | | | | 175,000 | 178,500 |
|
| Quicksilver Resources, Inc. company guaranty sr. unsec. notes 8 1/4s, 2015 | | | | 50,000 | 51,000 |
|
| Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016 | | | | 70,000 | 78,750 |
|
| Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020 | | | | 50,000 | 54,750 |
|
| Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 | | | | 135,000 | 144,788 |
|
| Sabine Pass LNG LP sec. notes 7 1/2s, 2016 | | | | 185,000 | 183,381 |
|
| SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 | | | | 25,000 | 22,875 |
|
| SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018 | | | | 230,000 | 220,800 |
|
| SandRidge Energy, Inc. 144A sr. unsec. notes 9 7/8s, 2016 | | | | 55,000 | 56,650 |
|
| SM Energy Co. 144A sr. unsec. notes 6 5/8s, 2019 | | | | 55,000 | 55,550 |
|
| SM Energy Co. 144A sr. unsec. notes 6 1/2s, 2021 | | | | 50,000 | 50,000 |
|
| Trinidad Drilling, Ltd. 144A sr. unsec. notes 7 7/8s, 2019 (Canada) | | | | 25,000 | 25,500 |
|
| Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 | | | | 30,000 | 29,580 |
|
| Whiting Petroleum Corp. company guaranty 7s, 2014 | | | | 90,000 | 95,400 |
|
| Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 | | | | 115,000 | 145,113 |
|
| WPX Energy, Inc. 144A sr. unsec. notes 6s, 2022 | | | | 70,000 | 68,775 |
|
| WPX Energy, Inc. 144A sr. unsec. notes 5 1/4s, 2017 | | | | 145,000 | 142,463 |
|
|
| |
7,752,643 |
|
| Financials (4.3%) |
|
| ABN Amro North American Holding Preferred Capital Repackage Trust I 144A jr. sub. bonds FRB 6.523s, perpetual maturity | | | | 195,000 | 143,325 |
|
| ACE Cash Express, Inc. 144A sr. notes 11s, 2019 | | | | 90,000 | 81,900 |
|
| Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 | | | | 90,000 | 82,700 |
|
| Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015 | | | | 65,000 | 65,813 |
|
| Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2020 | | | | 60,000 | 59,175 |
|
| Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 | | | | 65,000 | 62,806 |
|
| Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN 2.526s, 2014 | | | | 65,000 | 56,580 |
|
| Ally Financial, Inc. unsec. sub. notes 8s, 2018 | | | | 65,000 | 60,288 |
|
| American International Group, Inc. jr. sub. bonds FRB 8.175s, 2058 | | | | 140,000 | 123,550 |
|
| BAC Capital Trust VI bank guaranty jr. unsec. sub. notes 5 5/8s, 2035 | | | | 85,000 | 68,763 |
|
| BankAmerica Capital II bank guaranty jr. unsec. sub. notes 8s, 2026 | | | | 30,000 | 27,900 |
|
| Capital One Capital IV company guaranty jr. unsec. sub. notes FRN 6.745s, 2037 | | | | 105,000 | 103,556 |
|
| CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 | | | | 35,000 | 35,263 |
|
| CB Richard Ellis Services, Inc. company guaranty sr. unsec. sub. notes 11 5/8s, 2017 | | | | 170,000 | 194,225 |
|
| CIT Group, Inc. sr. bonds 7s, 2017 | | | | 354 | 350 |
|
| CIT Group, Inc. sr. bonds 7s, 2016 | | | | 538 | 532 |
|
| CIT Group, Inc. 144A bonds 7s, 2017 | | | | 556,000 | 547,605 |
|
| CIT Group, Inc. 144A bonds 7s, 2016 | | | | 289,000 | 285,388 |
|
| CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 | | | | 135,000 | 136,688 |
|
| CNO Financial Group, Inc. 144A company guaranty sr. notes 9s, 2018 | | | | 105,000 | 110,250 |
|
| Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019 | | | | 110,000 | 108,075 |
|
| Dresdner Funding Trust I 144A bonds 8.151s, 2031 | | | | 140,000 | 89,600 |
|
| E*Trade Financial Corp. sr. notes 6 3/4s, 2016 | | | | 80,000 | 78,000 |
|
| E*Trade Financial Corp. sr. unsec. unsub. notes 12 1/2s, 2017 | | | | 82,000 | 92,660 |
|
| HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. FRB 6.071s, perpetual maturity (Jersey) | | | | 175,000 | 106,750 |
|
| HBOS PLC 144A sr. unsec. sub. notes 6 3/4s, 2018 (United Kingdom) | | | | 135,000 | 107,797 |
|
| HBOS PLC 144A unsec. sub. bonds 6s, 2033 (United Kingdom) | | | | 60,000 | 37,300 |
|
| HUB International Holdings, Inc. 144A sr. sub. notes 10 1/4s, 2015 | | | | 180,000 | 174,150 |
|
| HUB International Holdings, Inc. 144A sr. unsec. unsub. notes 9s, 2014 | | | | 115,000 | 112,988 |
|
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 | | | | 240,000 | 244,800 |
|
| ING Groep NV jr. unsec. sub. notes 5.775s, perpetual maturity (Netherlands) | | | | 40,000 | 26,800 |
|
| International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 | | | | 15,000 | 13,425 |
|
| Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017 | | | | 168,000 | 169,680 |
|
| Liberty Mutual Group, Inc. 144A company guaranty jr. sub. notes FRB 10 3/4s, 2058 | | | | 25,000 | 30,125 |
|
| Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 | | | | 50,000 | 43,250 |
|
| Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. notes FRN 7s, 2037 | | | | 30,000 | 24,900 |
|
| MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec notes 6 7/8s, 2021(R) | | | | 50,000 | 49,500 |
|
| National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada) | | | | 190,000 | 201,875 |
|
| NB Capital Trust IV jr. unsec. sub. notes 8 1/4s, 2027 | | | | 30,000 | 27,900 |
|
| Nuveen Investments, Inc. company guaranty sr. unsec. unsub. notes 10 1/2s, 2015 | | | | 145,000 | 138,475 |
|
| Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R) | | | | 125,000 | 123,125 |
|
| Provident Funding Associates LP/PFG Finance Corp. 144A sr. notes 10 1/4s, 2017 | | | | 135,000 | 128,250 |
|
| Provident Funding Associates LP/PFG Finance Corp. 144A sr. notes 10 1/8s, 2019 | | | | 60,000 | 48,600 |
|
| Regions Financing Trust II company guaranty jr. unsec. sub. bonds FRB 6 5/8s, 2047 | | | | 210,000 | 168,000 |
|
| Residential Capital LLC company guaranty jr. notes 9 5/8s, 2015 | | | | 225,000 | 135,563 |
|
| Royal Bank of Scotland Group PLC jr. unsec. sub. bonds FRB 7.648s, perpetual maturity (United Kingdom) | | | | 265,000 | 182,188 |
|
| SLM Corp. sr. notes Ser. MTN, 8s, 2020 | | | | 45,000 | 43,988 |
|
| SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 | | | | 290,000 | 289,125 |
|
| Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017 | | | | 295,000 | 198,388 |
|
| Springleaf Finance Corp. sr. unsec. notes Ser. MTNI, 5.85s, 2013 | | | | 65,000 | 55,088 |
|
| Springleaf Finance Corp. sr. unsec. notes Ser. MTNI, 4 7/8s, 2012 | | | | 120,000 | 113,474 |
|
| Ventas Realty LP/Capital Corp. company guaranty 9s, 2012(R) | | | | 100,000 | 102,392 |
|
|
| |
5,712,888 |
|
| Health care (2.8%) |
|
| Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019 | | | | 95,000 | 89,775 |
|
| Biomet, Inc. company guaranty sr. unsec. notes 10s, 2017 | | | | 90,000 | 96,975 |
|
| Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017 | | | | 130,000 | 128,538 |
|
| CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. notes 8s, 2019 | | | | 40,000 | 38,800 |
|
| ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) | | | | 200,000 | 180,500 |
|
| DaVita, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020 | | | | 30,000 | 29,475 |
|
| DaVita, Inc. company guaranty sr. unsec. notes 6 3/8s, 2018 | | | | 90,000 | 88,425 |
|
| Elan Finance PLC/Elan Finance Corp. company guaranty sr. unsec. notes 8 3/4s, 2016 (Ireland) | | | | 160,000 | 170,400 |
|
| Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 | | | | 100,000 | 98,250 |
|
| Endo Pharmaceuticals Holdings, Inc. 144A company guaranty sr. unsec. notes 7s, 2019 | | | | 70,000 | 71,750 |
|
| Grifols, Inc. 144A company guaranty sr. notes 8 1/4s, 2018 | | | | 170,000 | 175,100 |
|
| HCA, Inc. company guaranty sr. notes 9 7/8s, 2017 | | | | 29,000 | 31,320 |
|
| HCA, Inc. company guaranty sr. notes 8 1/2s, 2019 | | | | 215,000 | 232,200 |
|
| HCA, Inc. sr. notes 6.95s, 2012 | | | | 70,000 | 70,700 |
|
| HCA, Inc. sr. notes 6 1/2s, 2020 | | | | 385,000 | 382,113 |
|
| HCA, Inc. sr. unsec. notes 7 1/2s, 2022 | | | | 110,000 | 107,800 |
|
| Health Management Associates, Inc. sr. notes 6 1/8s, 2016 | | | | 245,000 | 249,288 |
|
| IASIS Healthcare, LLC/IASIS Capital Corp. 144A sr. notes 8 3/8s, 2019 | | | | 205,000 | 170,663 |
|
| Jaguar Holding Co.II/ Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019(FWC) | | | | 120,000 | 120,600 |
|
| Kinetics Concept/KCI USA 144A company guaranty notes 10 1/2s, 2018 | | | | 165,000 | 158,400 |
|
| Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 | | | | 95,000 | 94,763 |
|
| Select Medical Corp. company guaranty 7 5/8s, 2015 | | | | 37,000 | 34,318 |
|
| Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 | | | | 80,000 | 76,800 |
|
| Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015(PIK) | | | | 131,119 | 129,808 |
|
| Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019 | | | | 85,000 | 85,956 |
|
| Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018 | | | | 15,000 | 16,875 |
|
| Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 | | | | 55,000 | 59,950 |
|
| Tenet Healthcare Corp. 144A company guaranty notes 6 1/4s, 2018 | | | | 135,000 | 132,975 |
|
| United Surgical Partners International, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2017 | | | | 265,000 | 263,013 |
|
| Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020 | | | | 20,000 | 18,825 |
|
| Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 | | | | 45,000 | 43,425 |
|
| Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017 | | | | 120,000 | 115,500 |
|
| Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016 | | | | 4,000 | 2,560 |
|
|
| |
3,765,840 |
|
| Technology (2.3%) |
|
| Advanced Micro Devices, Inc. sr. unsec. notes 8 1/8s, 2017 | | | | 55,000 | 55,963 |
|
| Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020 | | | | 105,000 | 105,525 |
|
| Alcatel-Lucent USA, Inc. unsec. debs. 6.45s, 2029 | | | | 25,000 | 18,000 |
|
| Avaya, Inc. company guaranty sr. unsec. notes 10 1/8s, 2015 | | | | 70,000 | 55,300 |
|
| Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015 | | | | 235,000 | 183,888 |
|
| Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 | | | | 55,000 | 49,225 |
|
| Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) | | | | 227,350 | 177,901 |
|
| Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 | | | | 55,000 | 41,938 |
|
| Eagle Parent Inc. 144A sr. notes 8 5/8s, 2019 | | | | 130,000 | 120,575 |
|
| Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020 | | | | 35,000 | 37,100 |
|
| Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017 | | | | 65,000 | 68,900 |
|
| First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015 | | | | 150,116 | 136,606 |
|
| First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016 | | | | 190,000 | 154,850 |
|
| First Data Corp. 144A company guaranty notes 8 1/4s, 2021 | | | | 140,000 | 121,100 |
|
| First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 | | | | 55,000 | 51,700 |
|
| First Data Corp. 144A sr. bonds 12 5/8s, 2021 | | | | 200,000 | 165,000 |
|
| Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020 | | | | 114,000 | 116,850 |
|
| Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018 | | | | 49,000 | 52,185 |
|
| Freescale Semiconductor, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 | | | | 115,000 | 119,888 |
|
| Iron Mountain, Inc. company guaranty 8 3/4s, 2018 | | | | 55,000 | 56,650 |
|
| Iron Mountain, Inc. company guaranty sr. sub. notes 7 3/4s, 2019 | | | | 45,000 | 46,463 |
|
| Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 | | | | 25,000 | 26,250 |
|
| Jazz Technologies, Inc. company guaranty sr. unsec. notes 8s, 2015(F) | | | | 446,000 | 439,309 |
|
| NXP BV/NXP Funding, LLC 144A company guaranty sr. notes 9 3/4s, 2018 (Netherlands) | | | | 150,000 | 163,125 |
|
| Seagate HDD Cayman 144A company guaranty sr. unsec. notes 7 3/4s, 2018 (Cayman Islands) | | | | 85,000 | 87,550 |
|
| SunGard Data Systems, Inc. company guaranty 10 1/4s, 2015 | | | | 116,000 | 119,480 |
|
| SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 | | | | 95,000 | 94,050 |
|
| Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019 | | | | 120,000 | 123,000 |
|
|
| |
2,988,371 |
|
| Transportation (0.5%) |
|
| Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018 (Luxembourg) | | | | 200,000 | 190,000 |
|
| AMGH Merger Sub, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 | | | | 125,000 | 123,750 |
|
| CHC Helicopter SA 144A company guaranty sr. notes 9 1/4s, 2020 (Luxembourg) | | | | 100,000 | 86,000 |
|
| Kansas City Southern de Mexico SA de CV sr. unsec. unsub. notes 8s, 2018 (Mexico) | | | | 15,000 | 16,388 |
|
| Kansas City Southern de Mexico SA de CV sr. unsec. unsub. notes 6 1/8s, 2021 (Mexico) | | | | 25,000 | 25,940 |
|
| Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 | | | | 140,000 | 145,600 |
|
| Western Express, Inc. 144A sr. notes 12 1/2s, 2015 | | | | 130,000 | 48,100 |
|
|
| |
635,778 |
|
| Utilities and power (2.2%) |
|
| AES Corp. (The) sr. unsec. notes 8s, 2020 | | | | 55,000 | 59,469 |
|
| AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 | | | | 85,000 | 91,375 |
|
| AES Corp. (The) 144A sr. notes 7 3/8s, 2021 | | | | 75,000 | 78,188 |
|
| Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 | | | | 100,000 | 104,000 |
|
| Calpine Corp. 144A sr. notes 7 1/4s, 2017 | | | | 185,000 | 188,700 |
|
| Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 (Canada) | | | | 95,000 | 102,324 |
|
| Dolphin Subsidiary II, Inc. 144A sr. unsec. notes 7 1/4s, 2021 | | | | 70,000 | 73,675 |
|
| Dolphin Subsidiary II, Inc. 144A sr. unsec. notes 6 1/2s, 2016 | | | | 155,000 | 160,813 |
|
| Dynegy Holdings, LLC sr. unsec. notes 7 3/4s, 2019 (In default)(NON) | | | | 215,000 | 149,425 |
|
| Edison Mission Energy sr. unsec. notes 7 3/4s, 2016 | | | | 75,000 | 52,125 |
|
| Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 | | | | 20,000 | 18,800 |
|
| Edison Mission Energy sr. unsec. notes 7.2s, 2019 | | | | 85,000 | 50,150 |
|
| Edison Mission Energy sr. unsec. notes 7s, 2017 | | | | 40,000 | 25,100 |
|
| El Paso Corp. sr. unsec. notes Ser. GMTN, 7.8s, 2031 | | | | 100,000 | 115,000 |
|
| El Paso Natural Gas Co. debs. 8 5/8s, 2022 | | | | 40,000 | 49,875 |
|
| Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020 | | | | 45,000 | 46,125 |
|
| Energy Future Intermediate Holding Co., LLC sr. notes 9 3/4s, 2019 | | | | 256,000 | 252,800 |
|
| Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 | | | | 62,000 | 63,860 |
|
| Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 | | | | 155,000 | 160,425 |
|
| GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 | | | | 190,000 | 188,575 |
|
| GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 | | | | 25,000 | 25,250 |
|
| Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016 | | | | 25,000 | 26,250 |
|
| NRG Energy, Inc. company guaranty 7 3/8s, 2017 | | | | 100,000 | 104,000 |
|
| NRG Energy, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2021 | | | | 325,000 | 308,750 |
|
| NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020 | | | | 70,000 | 71,750 |
|
| PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015 | | | | 84,000 | 93,030 |
|
| Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s, 2028 | | | | 15,000 | 17,108 |
|
| Texas Competitive/Texas Competitive Electric Holdings Co., LLC company guaranty notes 15s, 2021 | | | | 75,000 | 44,250 |
|
| Texas Competitive/Texas Competitive Electric Holdings Co., LLC company guaranty sr. unsec. notes 10 1/2s, 2016(PIK) | | | | 199,151 | 77,669 |
|
| Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020 | | | | 85,000 | 70,550 |
|
|
| |
2,869,411 |
|
|
| Total corporate bonds and notes (cost $57,029,590) |
$55,373,617 |
|
|
| CONVERTIBLE BONDS AND NOTES (27.1%)(a) |
|
| | | | | Principal amount | Value |
|
|
|
| Basic materials (1.1%) |
|
| Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 | | | | $535,000 | $579,138 |
|
| U.S. Steel Corp. cv. sr. unsec. notes 4s, 2014 | | | | 520,000 | 575,432 |
|
| USEC, Inc. cv. sr. unsec. notes 3s, 2014 | | | | 600,000 | 308,250 |
|
|
| |
1,462,820 |
|
| Capital goods (2.3%) |
|
| General Cable Corp. cv. unsec. sub. notes stepped-coupon 4 1/2s (2 1/4s, 11/15/19) 2029(STP) | | | | 1,160,000 | 1,135,350 |
|
| Icahn Enterprises LP 144A cv. sr. unsec. notes FRN 4s, 2013 | | | | 630,000 | 592,200 |
|
| Meritor, Inc. cv. company guaranty sr. unsec. notes stepped-coupon 4 5/8s (zero %, 3/1/16) 2026(STP) | | | | 965,000 | 717,719 |
|
| Owens-Brockway Glass Container, Inc. 144A cv. company guaranty sr. unsec. notes 3s, 2015 | | | | 655,000 | 603,419 |
|
|
| |
3,048,688 |
|
| Communication services (4.1%) |
|
| Cogent Communication Group, Inc. cv. sr. unsec. notes 1s, 2027 | | | | 733,000 | 652,370 |
|
| Equinix, Inc. cv. sr. unsec. sub. notes 4 3/4s, 2016 | | | | 830,000 | 1,153,700 |
|
| Leap Wireless International, Inc. cv. sr. unsec. notes 4 1/2s, 2014 | | | | 1,280,000 | 1,113,600 |
|
| Level 3 Communications, Inc. cv. sr. unsec. unsub. notes 6 1/2s, 2016 | | | | 645,000 | 879,619 |
|
| Powerwave Technologies, Inc. cv. sr. unsec. sub. notes 3 7/8s, 2027 | | | | 1,160,000 | 626,458 |
|
| Virgin Media, Inc. cv. sr. unsec. notes 6 1/2s, 2016 (United Kingdom) | | | | 750,000 | 1,055,625 |
|
|
| |
5,481,372 |
|
| Consumer cyclicals (5.1%) |
|
| CBIZ, Inc. 144A cv. sr. sub. notes 4 7/8s, 2015 | | | | 397,000 | 426,775 |
|
| Charming Shoppes, Inc. cv. sr. unsec. notes 1 1/8s, 2014 | | | | 1,270,000 | 1,130,300 |
|
| Digital River, Inc. 144A cv. sr. unsec. notes 2s, 2030 | | | | 790,000 | 645,825 |
|
| Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016 | | | | 631,000 | 894,443 |
|
| Liberty Media, LLC cv. sr. unsec. unsub. notes 3 1/2s, 2031 | | | | 1,900,000 | 1,047,375 |
|
| Live Nation Entertainment, Inc. cv. sr. unsec. notes 2 7/8s, 2027 | | | | 1,070,000 | 956,313 |
|
| MGM Resorts International Co. cv. company guaranty sr. unsec. notes 4 1/4s, 2015 | | | | 1,020,000 | 946,050 |
|
| XM Satellite Radio, Inc. 144A cv. company guaranty sr. unsec. sub. notes 7s, 2014 | | | | 622,000 | 803,935 |
|
|
| |
6,851,016 |
|
| Consumer staples (0.8%) |
|
| Rite Aid Corp. cv. sr. unsec. unsub. notes 8 1/2s, 2015 | | | | 470,000 | 493,500 |
|
| Spartan Stores, Inc. cv. sr. unsec. notes 3 3/8s, 2027 | | | | 618,000 | 571,650 |
|
|
| |
1,065,150 |
|
| Energy (2.5%) |
|
| Alpha Natural Resources, Inc. cv. sr. unsec. notes 2 3/8s, 2015 | | | | 570,000 | 531,525 |
|
| Endeavour International Corp. 144A cv. company guaranty sr. unsec. notes 5 1/2s, 2016 | | | | 643,000 | 485,722 |
|
| Goodrich Petroleum Corp. cv. sr. unsec. unsub. notes 5s, 2029 | | | | 494,000 | 461,890 |
|
| Helix Energy Solutions Group, Inc. cv. sr. unsec. unsub. notes 3 1/4s, 2025 | | | | 690,000 | 699,488 |
|
| James River Coal Co. 144A cv. sr. unsec. notes 3 1/8s, 2018 | | | | 689,000 | 422,013 |
|
| Peabody Energy Corp. cv. jr. unsec. sub. debs. 4 3/4s, 2041 | | | | 670,000 | 703,835 |
|
| Trico Marine Services, Inc. cv. sr. unsec. debs. 3s, 2027 (In default)(NON) | | | | 500,000 | 5,000 |
|
|
| |
3,309,473 |
|
| Financials (2.9%) |
|
| Ares Capital Corp. 144A cv. sr. unsec. notes 5 3/4s, 2016 | | | | 785,000 | 748,812 |
|
| Digital Realty Trust LP 144A cv. sr. unsec. notes 5 1/2s, 2029(R) | | | | 545,000 | 857,013 |
|
| iStar Financial, Inc. cv. sr. unsec. unsub. notes FRN 0.872s, 2012(R) | | | | 820,000 | 749,316 |
|
| KKR Financial Holdings, LLC cv. sr. unsec. notes 7 1/2s, 2017 | | | | 598,000 | 779,643 |
|
| Morgans Hotel Group Co. cv. sr. sub. notes 2 3/8s, 2014 | | | | 920,000 | 747,500 |
|
|
| |
3,882,284 |
|
| Health care (3.6%) |
|
| Brookdale Senior Living, Inc. cv. sr. unsec. unsub. notes 2 3/4s, 2018 | | | | 940,000 | 769,625 |
|
| China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4s, 2013 (China) | | | | 763,000 | 488,320 |
|
| China Medical Technologies, Inc. 144A cv. sr. unsec. notes 6 1/4s, 2016 (China) | | | | 445,000 | 186,544 |
|
| Dendreon Corp. cv. sr. unsec. notes 2 7/8s, 2016 | | | | 500,000 | 351,250 |
|
| Hologic, Inc. cv. sr. unsec. notes stepped-coupon 2s (zero %, 12/15/16) 2037(STP) | | | | 365,000 | 404,238 |
|
| Hologic, Inc. cv. sr. unsec. unsub. notes stepped-coupon 2s (zero %, 12/15/13) 2037(STP) | | | | 1,010,000 | 954,450 |
|
| LifePoint Hospitals, Inc. cv. sr. sub. notes 3 1/2s, 2014 | | | | 485,000 | 502,581 |
|
| Providence Service Corp. (The) cv. sr. unsec. sub. notes 6 1/2s, 2014 | | | | 302,000 | 295,205 |
|
| Teleflex, Inc. cv. sr. unsec. sub. notes 3 7/8s, 2017 | | | | 700,000 | 831,250 |
|
|
| |
4,783,463 |
|
| Technology (4.3%) |
|
| Advanced Micro Devices, Inc. cv. sr. unsec. notes 6s, 2015 | | | | 1,414,000 | 1,382,185 |
|
| Quantum Corp. cv. sr. unsec. sub. notes 3 1/2s, 2015 | | | | 538,000 | 519,843 |
|
| Safeguard Scientifics, Inc. cv. sr. unsec. sub. notes 10 1/8s, 2014 | | | | 1,800,000 | 2,463,750 |
|
| TeleCommunication Systems, Inc. 144A cv. sr. unsec. notes 4 1/2s, 2014 | | | | 875,000 | 733,906 |
|
| TTM Technologies, Inc. cv. sr. unsec. notes 3 1/4s, 2015 | | | | 545,000 | 572,931 |
|
|
| |
5,672,615 |
|
| Transportation (0.4%) |
|
| Genco Shipping & Trading, Ltd. cv. sr. unsec. notes 5s, 2015 | | | | 670,000 | 462,300 |
|
|
| |
462,300 |
|
|
| Total convertible bonds and notes (cost $35,634,616) |
$36,019,181 |
|
|
| CONVERTIBLE PREFERRED STOCKS (25.4%)(a) |
|
| | | | | Shares | Value |
|
|
|
| Basic materials (1.0%) |
|
| Smurfit-Stone Container Corp. (Escrow) zero % cv. pfd.(F) | | | | 65,720 | $657 |
|
| Vale Capital II $3.375 cv. pfd. (Cayman Islands) | | | | 19,570 | 1,273,273 |
|
|
| |
1,273,930 |
|
| Communication services (1.9%) |
|
| Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. | | | | 28,570 | 1,135,658 |
|
| Crown Castle International Corp. $3.125 cum. cv. pfd. | | | | 22,708 | 1,342,724 |
|
|
| |
2,478,382 |
|
| Consumer cyclicals (5.6%) |
|
| Callaway Golf Co. Ser. B, 7.50% cv. pfd. | | | | 6,030 | 580,388 |
|
| FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. pfd.(R) | | | | 62,060 | 1,320,711 |
|
| General Motors Co. Ser. B, $2.375 cv. pfd. | | | | 67,775 | 2,312,822 |
|
| Interpublic Group of Cos, Inc. (The) Ser. B, 5.25% cv. pfd. | | | | 1,170 | 1,116,692 |
|
| Nielsen Holdings NV $3.125 cv. pfd. | | | | 21,515 | 1,196,772 |
|
| Stanley Black & Decker, Inc. $4.75 cv. pfd. | | | | 8,247 | 937,436 |
|
|
| |
7,464,821 |
|
| Consumer staples (1.7%) |
|
| Bunge, Ltd. $4.875 cv. pfd. | | | | 11,750 | 1,135,344 |
|
| Dole Food Automatic Exchange 144A 7.00% cv. pfd. | | | | 45,742 | 380,116 |
|
| Newell Financial Trust I $2.625 cum. cv. pfd. | | | | 18,460 | 800,703 |
|
|
| |
2,316,163 |
|
| Energy (2.1%) |
|
| Apache Corp. Ser. D, $3.00 cv. pfd. | | | | 24,370 | 1,379,951 |
|
| Chesapeake Energy Corp. 144A 5.75% cv. pfd. | | | | 1,292 | 1,403,435 |
|
|
| |
2,783,386 |
|
| Financials (8.5%) |
|
| Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd. | | | | 28,010 | 662,997 |
|
| AMG Capital Trust II $2.575 cv. pfd. | | | | 31,375 | 1,255,000 |
|
| Assured Guaranty, Ltd. $4.25 cv. pfd. (Bermuda) | | | | 5,265 | 217,550 |
|
| Bank of America Corp. Ser. L, 7.25% cv. pfd. | | | | 1,802 | 1,394,298 |
|
| Citigroup, Inc. $7.50 cv. pfd. | | | | 20,240 | 1,709,066 |
|
| Entertainment Properties Trust Ser. C, $1.438 cum. cv. pfd. | | | | 41,435 | 799,439 |
|
| Hartford Financial Services Group, Inc. (The) $1.182 cv. pfd. | | | | 30,825 | 602,629 |
|
| Health Care REIT, Inc. Ser. I, $3.25 cv. pfd. | | | | 20,775 | 1,017,975 |
|
| Huntington Bancshares Ser. A, 8.50% cv. pfd. | | | | 844 | 884,512 |
|
| MetLife, Inc. $3.75 cv. pfd. | | | | 18,970 | 1,153,186 |
|
| Wells Fargo & Co. Ser. L, 7.50% cv. pfd. | | | | 1,575 | 1,660,050 |
|
|
| |
11,356,702 |
|
| Technology (1.0%) |
|
| Lucent Technologies Capital Trust I 7.75% cv. pfd. | | | | 1,255 | 801,631 |
|
| Unisys Corp. Ser. A, 6.25% cv. pfd. | | | | 7,597 | 530,840 |
|
|
| |
1,332,471 |
|
| Transportation (0.5%) |
|
| Swift Mandatory Common Exchange Security Trust 144A 6.00% cv. pfd. | | | | 76,740 | 710,137 |
|
|
| |
710,137 |
|
| Utilities and power (3.1%) |
|
| AES Trust III $3.375 cv. pfd. | | | | 30,565 | 1,497,685 |
|
| El Paso Energy Capital Trust I $2.375 cv. pfd. | | | | 1,069 | 49,195 |
|
| Great Plains Energy, Inc. $6.00 cv. pfd. | | | | 19,895 | 1,260,149 |
|
| PPL Corp. $4.375 cv. pfd. | | | | 24,135 | 1,323,081 |
|
|
| |
4,130,110 |
|
|
| Total convertible preferred stocks (cost $36,714,630) |
$33,846,102 |
|
|
| COMMON STOCKS (2.0%)(a) |
|
| | | | | Shares | Value |
|
|
|
| Alliance HealthCare Services, Inc.(NON) | | | | 4,248 | $5,183 |
|
| Alpha Natural Resources, Inc.(NON) | | | | 1,380 | 33,120 |
|
| Avis Budget Group, Inc.(NON) | | | | 3,210 | 37,878 |
|
| Bohai Bay Litigation, LLC (Escrow)(F) | | | | 406 | 1,267 |
|
| Chesapeake Energy Corp. | | | | 2,190 | 55,495 |
|
| Cincinnati Bell, Inc.(NON) | | | | 31,355 | 92,184 |
|
| CIT Group, Inc.(NON) | | | | 936 | 31,693 |
|
| Compton Petroleum Corp. (Canada)(NON) | | | | 5,645 | 29,806 |
|
| CONSOL Energy, Inc. | | | | 1,500 | 62,460 |
|
| Deepocean Group (Shell) (acquired 6/9/11, cost $131,921) (Norway)(RES) | | | | 9,098 | 122,823 |
|
| El Paso Corp. | | | | 58,196 | 1,455,482 |
|
| FelCor Lodging Trust, Inc.(NON)(R) | | | | 8,485 | 22,316 |
|
| Fortescue Metals Group, Ltd. (Australia) | | | | 9,200 | 45,325 |
|
| Freeport-McMoRan Copper & Gold, Inc. Class B (Indonesia) | | | | 1,770 | 70,092 |
|
| General Motors Co.(NON) | | | | 2,830 | 60,251 |
|
| Harry & David Holdings, Inc.(F) | | | | 124 | 9,300 |
|
| Interpublic Group of Companies, Inc. (The) | | | | 6,010 | 56,374 |
|
| Jarden Corp. | | | | 1,855 | 57,765 |
|
| L-3 Communications Holdings, Inc. | | | | 965 | 63,980 |
|
| Newfield Exploration Co.(NON) | | | | 1,895 | 86,791 |
|
| NII Holdings, Inc.(NON) | | | | 2,425 | 55,799 |
|
| Quicksilver Resources, Inc.(NON) | | | | 4,455 | 36,086 |
|
| Spectrum Brands Holdings, Inc.(NON) | | | | 3,329 | 93,279 |
|
| Stallion Oilfield Holdings, Ltd. | | | | 693 | 21,830 |
|
| Terex Corp.(NON) | | | | 2,105 | 32,480 |
|
| Trump Entertainment Resorts, Inc.(F) | | | | 152 | 646 |
|
| TRW Automotive Holdings Corp.(NON) | | | | 790 | 25,801 |
|
| Vantage Drilling Co.(NON) | | | | 38,638 | 46,366 |
|
| Vertis Holdings, Inc.(F) | | | | 481 | 2,083 |
|
|
| Total common stocks (cost $2,428,160) |
$2,713,955 |
|
|
| UNITS (0.8%)(a) |
|
| | | | | Units | Value |
|
|
|
| Ashland, Inc. cv. jr. unsec. sub. debs. units 6 1/2s, 2029 | | | | 1,540,000 | $1,078,000 |
|
|
| Total units (cost $1,258,835) |
$1,078,000 |
|
|
| PREFERRED STOCKS (0.2%)(a) |
|
| | | | | Shares | Value |
|
|
|
| Ally Financial, Inc. 144A Ser. G, 7.00% cum. pfd. | | | | 111 | $77,762 |
|
| GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. | | | | 6,800 | 129,200 |
|
|
| Total preferred stocks (cost $260,815) |
$206,962 |
|
|
| WARRANTS (—%)(a)(NON) |
|
| | | Expiration date | Strike Price | Warrants | Value |
|
|
|
| Smurfit Kappa Group PLC 144A (Ireland)(F) | | 10/1/13 | EUR 0.001 | 119 | $3,735 |
|
| Tower Semiconductor, Ltd. 144A (Israel)(F) | | 6/30/15 | $0.01 | 168,777 | 40,506 |
|
|
| Total warrants (cost $38,280) |
$44,241 |
|
|
| SENIOR LOANS (—%)(a)(c) |
|
| | | | | Principal amount | Value |
|
|
|
| GateHouse Media, Inc. bank term loan FRN Ser. B, 2.24s, 2014 | | | | $54,268 | $11,973 |
|
| GateHouse Media, Inc. bank term loan FRN Ser. DD, 2.24s, 2014 | | | | 20,249 | 4,468 |
|
|
| Total senior loans (cost $72,000) |
$16,441 |
|
|
| SHORT-TERM INVESTMENTS (2.2%)(a) |
|
| | | | | Shares | Value |
|
|
|
| Putnam Money Market Liquidity Fund 0.10%(e) | | | | 2,985,480 | $2,985,480 |
|
|
| Total short-term investments (cost $2,985,480) |
$2,985,480 |
|
|
| TOTAL INVESTMENTS |
|
|
| Total investments (cost $136,422,406)(b) |
$132,283,979 |
|