UNITED STATES SECURITIES AND EXCHANGE COMMISSION |
Washington, D.C. 20549 |
FORM N-CSR |
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES |
Investment Company Act file number: | (811- 02796) |
Exact name of registrant as specified in charter: | Putnam High Yield Trust |
Address of principal executive offices: | One Post Office Square, Boston, Massachusetts 02109 |
Name and address of agent for service: | Robert T. Burns, Vice President One Post Office Square Boston, Massachusetts 02109 |
Copy to: | John W. Gerstmayr, Esq. Ropes & Gray LLP 800 Boylston Street Boston, Massachusetts 02199-3600 |
Registrant’s telephone number, including area code: | (617) 292-1000 |
Date of fiscal year end: | August 31, 2013 |
Date of reporting period : | September 1, 2012 — August 31, 2013 |
Item 1. Report to Stockholders: |
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: |
Putnam
High Yield
Trust
Annual report
8 | 31 | 13
Message from the Trustees | 1 | ||
About the fund | 2 | ||
Performance snapshot | 4 | ||
Interview with your fund’s portfolio manager | 5 | ||
Your fund’s performance | 11 | ||
Your fund’s expenses | 14 | ||
Terms and definitions | 16 | ||
Other information for shareholders | 17 | ||
Important notice regarding Putnam’s privacy policy | 18 | ||
Trustee approval of management contract | 19 | ||
Financial statements | 24 | ||
Federal tax information | 70 | ||
About the Trustees | 71 | ||
Officers | 73 | ||
Consider these risks before investing: Lower-rated bonds may offer higher yields in return for more risk. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions and factors related to a specific issuer or industry. You can lose money by investing in the fund.
Message from the Trustees
Dear Fellow Shareholder:
Investors have been digesting a wide array of economic and geopolitical developments in recent months. While economic growth has continued despite the negative impact of the federal budget sequester, the Federal Reserve’s expected tapering of its $85 billion-a-month bond-buying program has prompted greater market volatility, and bond yields have risen substantially.
There is concern that the reduction of Fed purchases will cause long-term interest rates to move higher, running the risk of curtailing the recovery. Already, mortgage rates have jumped and housing market data appear less robust than earlier in the year. Overseas, instability in Egypt and Syria has contributed to higher oil prices, which could undermine the reasonably positive trends in consumer spending. Fortunately, the eurozone posted positive GDP growth in the second calendar quarter after many months of contraction, though the 17-nation currency bloc continues to grapple with significant economic challenges.
While we cannot forecast with precision how economic or geopolitical events will unfold over the coming months, we have confidence that a long-term investment program remains valuable. Putnam’s in-depth fundamental research, active investing, and risk management strategies can serve investors well through changing markets. To address a diverse range of financial goals, Putnam’s investment professionals integrate innovative thinking with traditional and alternative approaches.
We also believe in the importance of relying on the guidance of a professional advisor who can help you develop a financial plan suited to your goals and risk tolerance.
We would like to welcome new shareholders of the fund and to thank you for investing with Putnam. We would also like to extend our thanks to Elizabeth Kennan, who recently retired from the Board of Trustees, for her 20 years of dedicated service.
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart do not reflect a sales charge of 4.00%; had they, returns would have been lower. See pages 5 and 11–13 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.
* The fund’s benchmark, the JPMorgan Developed High Yield Index, was introduced on 12/31/94, which post-dates the inception of the fund’s class A shares.
4 | High Yield Trust |
Interview with your fund’s portfolio manager
Paul, what was the market environment like for high-yield bonds during the 12 months ended August 31, 2013?
Relative to other fixed-income sectors, high-yield bonds performed well, as they were one of the few asset classes to post solidly positive returns against the backdrop of broadly negative performance. For example, the Barclays U.S. Aggregate Bond Index — the primary benchmark for taxable investment-grade bonds — returned –2.47% for the past 12 months. Most of the volatility in bonds occurred in May and June, in response to signals from the Federal Reserve that it could begin scaling back its bond-buying program later in 2013 and end it by mid 2014, sooner than investors expected. During this time, interest rates rose and yield curves steepened globally. High-yield bonds also declined, hampered more by capital flows and market “technicals” — supply and demand dynamics — than by any breakdown in fundamental support. As the marketplace adjusted its expectations about when the Fed may begin to wind down quantitative easing, high-yield bonds rallied in July before pulling back modestly and settling into a trading range in August.
Before we discuss the fund’s performance, would you briefly summarize your investment philosophy and process?
From a philosophical perspective, we believe the potential to outperform in the high-yield
This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 8/31/13. See pages 4 and 11–13 for additional fund performance information. Index descriptions can be found on pages 16–17.
High Yield Trust | 5 |
market comes from pursuing capital appreciation in bonds that are backed by improving corporate fundamentals. Consistent with this philosophy, we have an unwavering commitment to rigorous fundamental research. In conducting credit research, we employ classic financial analysis, while also evaluating companies according to the following characteristics: sustainable competitive advantage, viability of the capital structure, free cash flow trends, and adequate downside protection. Our investment process is a blend of “top down,” based on our views of the market’s fundamental, valuation, and technical characteristics, and “bottom up” by which we construct the portfolio with input from portfolio managers and analysts who have specialized expertise in various market segments.
What factors influenced the fund’s relative performance?
At the sector/industry level, security selection in automotive, coupled with beneficial overweights in financials, chemicals, and telecommunications, were the biggest contributors to the fund’s results versus the index. Conversely, security selection in metals/mining, combined with underweights in transportation and industrials, detracted from relative performance. From a credit-quality standpoint, the portfolio was underweight in higher-quality high-yield bonds — those rated BB or Ba — with more
Credit qualities are shown as a percentage of the fund’s net assets as of 8/31/13. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. The chart reflects Moody’s ratings; percentages may include bonds or derivatives not rated by Moody’s but rated by Standard & Poor’s (S&P) or, if unrated by S&P, by Fitch ratings, and then included in the closest equivalent Moody’s rating. Ratings may vary over time.
Credit quality includes bonds and represents only the fixed-income portion of the portfolio. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. The fund itself has not been rated by an independent rating agency.
6 | High Yield Trust |
emphasis on the middle- and lower-quality credit tiers. We offset this positioning with a stake in bank-loan securities, and we also held a cash buffer to help bring portfolio risk to near neutral versus the benchmark.
Which holdings helped versus the index?
Travelport, a provider of computerized registration systems to the travel industry, was the top individual contributor, as the company witnessed a substantial year-over-year increase in online bookings. Additionally, early in the period, the company resolved a long-standing dispute with American Airlines.
Additional contributors included automaker General Motors; Rite Aid, which is one of the country’s largest drug store chains; telecommunication services provider Sprint Communications; and satellite services company Intelsat.
Which investments detracted versus the benchmark?
Exide Technologies, which makes lead-acid batteries for cars and other machines, was the biggest relative detractor. The company has suffered from declining profitability,
This table shows the fund’s top 10 holdings and the percentage of the fund’s net assets that each represented as of 8/31/13. Short-term holdings and derivatives, if any, are excluded. Holdings may vary over time.
High Yield Trust | 7 |
due in part to steep restructuring expenses, weaker-than-expected demand in some markets, and higher lead-input costs. Exide filed for bankruptcy protection in June.
A position in multinational steelmaker ArcelorMittal also detracted, primarily due to continuing weakness in overseas residential and commercial construction. Additionally, the company’s bonds were downgraded to below investment grade in 2012, which led many investors to sell their positions.
Additional detractors included California-based electric utility Edison International, real estate finance company Residential Capital, and semiconductor supplier Advanced Micro Devices. These holdings were sold during the period.
What is your outlook for the coming months?
At period-end, the fundamental backdrop for high-yield bonds remained solid, issuers were in reasonably good financial shape, and the default rate was still near the historic low. Moreover, high-yield bonds have historically done well during periods of moderate economic growth.
From a valuation standpoint, high-yield bond spreads — the yield advantage they offer over Treasuries — have widened and are attractive relative to the historical average. At current levels, we believe spreads provide
This chart shows how the fund’s credit quality has changed over the past six months. Credit qualities are shown as a percentage of the fund’s net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. The chart reflects Moody’s ratings; percentages may include bonds or derivatives not rated by Moody’s but rated by S&P or, if unrated by S&P, by Fitch ratings, and then included in the closest equivalent Moody’s rating. Ratings will vary over time.
Credit quality includes bonds and represents only the fixed-income portion of the portfolio. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. The fund itself has not been rated by an independent rating agency.
8 | High Yield Trust |
fair compensation for investing in a group of companies that, in our view, are fundamentally solid, against the backdrop of a low default rate.
When interest rates were lower and credit spreads were tighter, a significant proportion of high-yield bonds were trading at premium prices, meaning above their par value. Because high-yield bonds can generally be called away by the issuer prior to their maturity dates, the market was effectively stuck at higher prices without providing much call protection. Now, with rates at higher levels and bond prices lower, we believe the market is offering better opportunities for capital appreciation plus higher yields.
When capital market conditions are favorable, and there has been a long period of cost-cutting and productivity enhancements by larger U.S. companies, historically that has been a time when these companies look to add product lines, markets, and/or scale. Frequently, they will acquire smaller companies to accomplish those goals. So, it is possible that some of the high-yield issuers we hold could be merger or acquisition targets in the months ahead, which could potentially generate incremental returns for the fund.
Given this outlook, where are you finding the most attractive investment opportunities?
We believe there are still compelling opportunities in the middle- and lower-quality tiers of the market. We also continue to like bank loans because many of the companies issuing these securities have refinanced the obligations that they accumulated during 2007–2009, and now sport much stronger credit profiles. Additionally, bank-loan securities, as well as middle- and lower-quality high-yield bonds, tend to be less sensitive to interest-rate movements, which could provide the fund with some degree of insulation during periods when rates spike higher.
On an industry group basis, we remain skeptical of some of the more cyclical categories, such as metals/mining, but have a positive outlook for retailers and cable/wireless.
Thanks for bringing us up to date, Paul.
The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.
Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.
Portfolio Manager Paul D. Scanlon is Co-Head of Fixed Income at Putnam. He has an M.B.A. from The University of Chicago Booth School of Business and a B.A. from Colgate University. A CFA charterholder, Paul joined Putnam in 1999 and has been in the investment industry since 1986.
In addition to Paul, your fund’s portfolio managers are Norman P. Boucher and Robert L. Salvin.
High Yield Trust | 9 |
IN THE NEWS
At its September meeting, the Federal Open Market Committee surprised investors by delaying the tapering of its $85 billion-a-month bond-buying stimulus program. Declaring that the challenges facing the U.S. economy are diminishing “only gradually,” Fed Chairman Ben Bernanke said the central bank will wait to curtail its quantitative easing program until there is more evidence of a sustained recovery. Bernanke in his comments noted a deceleration of U.S. job growth in the past three months. The bond-buying stimulus program was established in the fall of 2012 to stimulate the economy and employment growth, and is widely credited with buoying equity prices and holding down long-term interest rates. Previously, when the Fed chairman signaled in May 2013 that the Fed’s bond purchases could be scaled back in the final months of this year, the news sent tremors through bond markets and contributed to an abrupt increase in Treasury yields.
10 | High Yield Trust |
Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended August 31, 2013, the end of its most recent fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R and class Y shares are not available to all investors. See the Terms and Definitions section in this report for definitions of the share classes offered by your fund.
Fund performance Total return for periods ended 8/31/13
Class A | Class B | Class C | Class M | Class R | Class Y | |||||
(inception dates) | (2/14/78) | (3/1/93) | (3/19/02) | (7/3/95) | (1/21/03) | (12/31/98) | ||||
Before | After | Before | After | Net | Net | |||||
sales | sales | Before | After | Before | After | sales | sales | asset | asset | |
charge | charge | CDSC | CDSC | CDSC | CDSC | charge | charge | value | value | |
Annual average | ||||||||||
(life of fund) | 8.80% | 8.67% | 7.90% | 7.90% | 7.97% | 7.97% | 8.43% | 8.33% | 8.49% | 8.88% |
10 years | 118.39 | 109.66 | 102.92 | 102.92 | 102.49 | 102.49 | 112.66 | 105.75 | 110.32 | 122.56 |
Annual average | 8.12 | 7.68 | 7.33 | 7.33 | 7.31 | 7.31 | 7.84 | 7.48 | 7.72 | 8.33 |
5 years | 57.62 | 51.31 | 51.82 | 49.82 | 51.77 | 51.77 | 55.38 | 50.33 | 54.58 | 59.03 |
Annual average | 9.53 | 8.64 | 8.71 | 8.42 | 8.70 | 8.70 | 9.21 | 8.49 | 9.10 | 9.72 |
3 years | 29.88 | 24.69 | 26.81 | 23.81 | 26.97 | 26.97 | 28.69 | 24.51 | 28.54 | 30.51 |
Annual average | 9.11 | 7.63 | 8.24 | 7.38 | 8.28 | 8.28 | 8.77 | 7.58 | 8.73 | 9.28 |
1 year | 7.84 | 3.53 | 7.05 | 2.05 | 7.10 | 6.10 | 7.50 | 4.00 | 7.60 | 8.03 |
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A and M shares reflect the deduction of the maximum 4.00% and 3.25% sales charge, respectively, levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R and Y shares have no initial sales charge or CDSC. Performance for class B, C, M, R, and Y shares before their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and the higher operating expenses for such shares, except for class Y shares, for which 12b-1 fees are not applicable.
For a portion of the periods, the fund had expense limitations, without which returns would have been lower.
Class B share performance does not reflect conversion to class A shares.
High Yield Trust | 11 |
Comparative index returns For periods ended 8/31/13
JPMorgan Developed High | Lipper High Yield Funds | |
Yield Index | category average* | |
Annual average (life of fund) | —† | 8.55% |
10 years | 142.36% | 109.07 |
Annual average | 9.26 | 7.62 |
5 years | 74.30 | 55.20 |
Annual average | 11.75 | 9.15 |
3 years | 35.44 | 28.74 |
Annual average | 10.64 | 8.77 |
1 year | 8.06 | 7.09 |
Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
* Over the 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 8/31/13, there were 541, 442, 392, 262, and 9 funds, respectively, in this Lipper category.
† The fund’s benchmark, the JPMorgan Developed High Yield Index, was introduced on 12/31/94, which post-dates the inception of the fund’s class A shares.
Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class B and class C shares would have been valued at $20,292 and $20,249, respectively, and no contingent deferred sales charges would apply. A $10,000 investment in the fund’s class M shares ($9,675 after sales charge) would have been valued at $20,575. A $10,000 investment in the fund’s class R and class Y shares would have been valued at $21,032 and $22,256, respectively.
12 | High Yield Trust |
Fund price and distribution information For the 12-month period ended 8/31/13
Distributions | Class A | Class B | Class C | Class M | Class R | Class Y | ||
Number | 12 | 12 | 12 | 12 | 12 | 12 | ||
Income | $0.480 | $0.420 | $0.420 | $0.456 | $0.461 | $0.504 | ||
Capital gains | — | — | — | — | — | — | ||
Total | $0.480 | $0.420 | $0.420 | $0.456 | $0.461 | $0.504 | ||
Before | After | Net | Net | Before | After | Net | Net | |
sales | sales | asset | asset | sales | sales | asset | asset | |
Share value | charge | charge | value | value | charge | charge | value | value |
8/31/12 | $7.76 | $8.08 | $7.74 | $7.69 | $7.78 | $8.04 | $7.61 | $7.63 |
8/31/13 | 7.88 | 8.21 | 7.86 | 7.81 | 7.90 | 8.17 | 7.72 | 7.73 |
Before | After | Net | Net | Before | After | Net | Net | |
sales | sales | asset | asset | sales | sales | asset | asset | |
Current rate (end of period) | charge | charge | value | value | charge | charge | value | value |
Current dividend rate 1 | 6.09% | 5.85% | 5.34% | 5.38% | 5.77% | 5.58% | 5.91% | 6.52% |
Current 30-day SEC yield 2 | N/A | 4.83 | 4.28 | 4.28 | N/A | 4.62 | 4.78 | 5.27 |
The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A and M shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (4.00% for class A shares and 3.25% for class M shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.
1 Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by share price before or after sales charge at period-end.
2 Based only on investment income and calculated using the maximum offering price for each share class, in accordance with SEC guidelines.
Fund performance as of most recent calendar quarter
Total return for periods ended 9/30/13
Class A | Class B | Class C | Class M | Class R | Class Y | |||||
(inception dates) | (2/14/78) | (3/1/93) | (3/19/02) | (7/3/95) | (1/21/03) | (12/31/98) | ||||
Before | After | Before | After | Net | Net | |||||
sales | sales | Before | After | Before | After | sales | sales | asset | asset | |
charge | charge | CDSC | CDSC | CDSC | CDSC | charge | charge | value | value | |
Annual average | ||||||||||
(life of fund) | 8.81% | 8.68% | 7.91% | 7.91% | 7.98% | 7.98% | 8.44% | 8.34% | 8.50% | 8.90% |
10 years | 115.32 | 106.71 | 100.57 | 100.57 | 99.65 | 99.65 | 110.20 | 103.37 | 107.41 | 119.74 |
Annual average | 7.97 | 7.53 | 7.21 | 7.21 | 7.16 | 7.16 | 7.71 | 7.36 | 7.57 | 8.19 |
5 years | 72.28 | 65.39 | 66.22 | 64.22 | 65.75 | 65.75 | 70.02 | 64.49 | 69.11 | 73.96 |
Annual average | 11.49 | 10.59 | 10.70 | 10.43 | 10.64 | 10.64 | 11.20 | 10.47 | 11.08 | 11.71 |
3 years | 27.16 | 22.07 | 24.31 | 21.31 | 24.29 | 24.29 | 26.32 | 22.21 | 25.98 | 28.08 |
Annual average | 8.34 | 6.87 | 7.52 | 6.65 | 7.52 | 7.52 | 8.10 | 6.92 | 8.00 | 8.60 |
1 year | 7.28 | 2.99 | 6.62 | 1.62 | 6.53 | 5.53 | 7.07 | 3.59 | 7.02 | 7.60 |
See the discussion following the Fund performance table on page 11 for information about the calculation of fund performance.
High Yield Trust | 13 |
Your fund’s expenses
As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.
Expense ratios
Class A | Class B | Class C | Class M | Class R | Class Y | |
Total annual operating expenses | ||||||
for the fiscal year ended 8/31/12 | 1.02% | 1.77% | 1.77% | 1.27% | 1.27% | 0.77% |
Annualized expense ratio for | ||||||
the six-month period ended | ||||||
8/31/13* | 1.02% | 1.77% | 1.77% | 1.27% | 1.27% | 0.77% |
Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report. Expenses are shown as a percentage of average net assets.
* For the fund’s most recent fiscal half year; may differ from expense ratios based on one-year data in the financial highlights.
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in the fund from March 1, 2013, to August 31, 2013. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Class A | Class B | Class C | Class M | Class R | Class Y | |
Expenses paid per $1,000*† | $5.18 | $8.96 | $8.97 | $6.44 | $6.44 | $3.91 |
Ending value (after expenses) | $1,013.60 | $1,008.60 | $1,009.90 | $1,012.10 | $1,011.30 | $1,014.10 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 8/31/13. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.
14 | High Yield Trust |
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended August 31, 2013, use the following calculation method. To find the value of your investment on March 1, 2013, call Putnam at 1-800-225-1581.
Compare expenses using the SEC’s method
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Class A | Class B | Class C | Class M | Class R | Class Y | |
Expenses paid per $1,000*† | $5.19 | $9.00 | $9.00 | $6.46 | $6.46 | $3.92 |
Ending value (after expenses) | $1,020.06 | $1,016.28 | $1,016.28 | $1,018.80 | $1,018.80 | $1,021.32 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 8/31/13. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period; and then dividing that result by the number of days in the year.
High Yield Trust | 15 |
Terms and definitions
Important terms
Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.
After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 4.00% maximum sales charge for class A shares and 3.25% for class M shares.
Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.
Share classes
Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).
Class B shares are not subject to an initial sales charge. They may be subject to a CDSC.
Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.
Class M shares have a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC (except on certain redemptions of shares bought without an initial sales charge).
Class R shares are not subject to an initial sales charge or CDSC and are available only to certain defined contribution plans.
Class Y shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.
Fixed-income terms
Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.
Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.
Comparative indexes
Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
BofA Merrill Lynch U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.
JPMorgan Developed High Yield Index is an unmanaged index of high-yield fixed-income securities issued in developed countries.
S&P 500 Index is an unmanaged index of common stock performance.
Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.
16 | High Yield Trust |
Lipper is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.
Other information for shareholders
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2013, are available in the Individual Investors section of putnam.com, and on the Securities and Exchange Commission (SEC) website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund’s Forms N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of August 31, 2013, Putnam employees had approximately $387,000,000 and the Trustees had approximately $93,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
High Yield Trust | 17 |
Important notice regarding Putnam’s privacy policy
In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.
It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.
Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.
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Trustee approval of management contract
General conclusions
The Board of Trustees of the Putnam funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management (“Putnam Management”) and the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”). The Board of Trustees, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Putnam funds (“Independent Trustees”).
At the outset of the review process, members of the Board’s independent staff and independent legal counsel met with representatives of Putnam Management to review the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review and to discuss possible changes in these materials that might be necessary or desirable for the coming year. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2013, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for the Putnam funds and the Independent Trustees.
In May 2013, the Contract Committee met in executive session to discuss and consider its preliminary recommendations with respect to the continuance of the contracts. At the Trustees’ June 20, 2013 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its final recommendations. The Contract Committee then recommended, and the Independent Trustees approved, the continuance of your fund’s management and sub-management contracts, effective July 1, 2013, subject to certain changes in the sub-management contract noted below. (Because PIL is an affiliate of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL, the Trustees have not evaluated PIL as a separate entity, and all subsequent references to Putnam Management below should be deemed to include reference to PIL as necessary or appropriate in the context.)
The Independent Trustees’ approval was based on the following conclusions:
• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, and the costs incurred by Putnam Management in providing services to the fund, and
• That the fee schedule represented an appropriate sharing between fund
High Yield Trust | 19 |
shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.
These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others, and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years. For example, with some minor exceptions, the current fee arrangements in the management contracts for the Putnam funds were implemented at the beginning of 2010 following extensive review and discussion by the Trustees, as well as approval by shareholders.
As noted above, the Trustees considered certain administrative revisions to your fund’s sub-management contract. Putnam Management recommended that the sub-management contract be revised to reduce the sub-management fee that Putnam Management pays to PIL with respect to the portion of the portfolios of certain funds, but not your fund, that may be allocated to PIL from time to time. The Independent Trustees’ approval of this recommendation was based on their conclusion that these changes would have no practical effect on Putnam Management’s continued responsibility for the management of these funds or the costs borne by fund shareholders and would not result in any reduction in the nature and quality of services provided to the funds.
Management fee schedules and total expenses
The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to shareholders.
In reviewing fees and expenses, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment style, changes in Putnam Management’s operating costs or profitability, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not warrant changes to the management fee structure of your fund.
Under its management contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with economies of scale in the form of reduced fee levels as assets under management in the Putnam family of funds increase. The Trustees concluded that the fee schedule in effect for your fund represented an appropriate sharing of economies of scale between fund shareholders and Putnam Management.
As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. In order to ensure that expenses of the Putnam funds continue to meet competitive standards, the Trustees and Putnam Management have implemented certain expense limitations. These expense limitations were: (i) a contractual expense limitation applicable to all retail open-end funds of 32 basis points on investor servicing fees and expenses and
20 | High Yield Trust |
(ii) a contractual expense limitation applicable to all open-end funds of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, investor servicing fees, distribution fees, investment-related expenses, interest, taxes, brokerage commissions, extraordinary expenses and acquired fund fees and expenses). These expense limitations serve in particular to maintain competitive expense levels for funds with large numbers of small shareholder accounts and funds with relatively small net assets. Most funds, including your fund, had sufficiently low expenses that these expense limitations did not apply. Putnam Management’s support for these expense limitations was an important factor in the Trustees’ decision to approve the continuance of your fund’s management and sub-management contracts.
The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Lipper Inc. This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fee), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the 3rd quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the 3rd quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2012 (the first quintile representing the least expensive funds and the fifth quintile the most expensive funds). The fee and expense data reported by Lipper as of December 31, 2012 reflected the most recent fiscal year-end data available in Lipper’s database at that time.
In connection with their review of the management fees and total expenses of the Putnam funds, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management’s revenues, expenses and profitability, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution, and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place represented reasonable compensation for the services being provided and represented an appropriate sharing of such economies of scale as may exist in the management of the Putnam funds at that time.
The information examined by the Trustees as part of their annual contract review for the Putnam funds has included for many years information regarding fees charged by Putnam Management and its affiliates to institutional clients such as defined benefit pension plans, college endowments, and the like. This information included comparisons of those fees with fees charged to the funds, as well as an assessment of the differences in the services provided to these different types of clients. The Trustees observed that the differences in fee rates between institutional clients and mutual funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect historical competitive forces operating in separate markets. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average
High Yield Trust | 21 |
for mutual funds than for institutional clients, as well as the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its institutional clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.
Investment performance
The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of the Putnam funds’ investment process and performance by the work of the investment oversight committees of the Trustees, which meet on a regular basis with the funds’ portfolio teams and with the Chief Investment Officer and other senior members of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them, and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.
The Trustees considered that 2012 was a year of strong competitive performance for many of the Putnam funds, with only a relatively small number of exceptions. They noted that this strong performance was exemplified by the fact that the Putnam funds were recognized by Barron’s as the best performing mutual fund complex for 2012—the sec ond time in four years that Putnam Management has achieved this distinction for the Putnam funds. They also noted, however, the disappointing investment performance of some funds for periods ended December 31, 2012 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor performance trends to assess the effectiveness of these efforts and to evaluate whether additional actions to address areas of underperformance are warranted.
For purposes of evaluating investment performance, the Trustees generally focus on competitive industry rankings for the one-year, three-year, and five-year periods. For a number of Putnam funds with relatively unique investment mandates, the Trustees evaluated performance based on comparisons of their absolute returns with the returns of selected investment benchmarks or targeted annualized returns. In the case of your fund, the Trustees considered that its class A share cumulative total return performance at net asset value was in the following quartiles of its Lipper Inc. peer group (Lipper High Yield Funds) for the one-year, three-year and five-year periods ended December 31, 2012 (the first quartile representing the best-performing funds and the fourth quartile the worst-performing funds):
One-year period | 2nd | ||
Three-year period | 3rd | ||
Five-year period | 2nd | ||
Over the one-year, three-year and five-year periods ended December 31, 2012, there were 514, 440 and 380 funds, respectively, in your fund’s Lipper peer group. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)
Brokerage and soft-dollar allocations; investor servicing
The Trustees considered various potential ben-efits that Putnam Management may receive in connection with the services it provides under
22 | High Yield Trust |
the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used primarily to acquire brokerage and research services that enhance Putnam Management’s investment capabilities and supplement Putnam Management’s internal research efforts. However, the Trustees noted that a portion of available soft dollars continues to be used to pay fund expenses. The Trustees indicated their continued intent to monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee and also indicated their continued intent to monitor the allocation of the Putnam funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.
Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual review of your fund’s management and sub-management contracts, the Trustees reviewed your fund’s investor servicing agreement with Putnam Investor Services, Inc. (“PSERV”) and its distributor’s contracts and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are reasonable in relation to the nature and quality of such services, the fees paid by competitive funds, and the costs incurred by PSERV and PRM, as applicable, in providing such services.
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Financial statements
These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal year.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
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Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders
Putnam High Yield Trust:
We have audited the accompanying statement of assets and liabilities of Putnam High Yield Trust (the fund), including the fund’s portfolio, as of August 31, 2013, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2013, by correspondence with the custodian and brokers or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Putnam High Yield Trust as of August 31, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
October 9, 2013
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The fund’s portfolio 8/31/13
CORPORATE BONDS AND NOTES (87.2%)* | Principal amount | Value | |
Advertising and marketing services (0.5%) | |||
Affinion Group, Inc. company guaranty sr. unsec. notes | |||
7 7/8s, 2018 | $2,995,000 | $2,336,100 | |
Affinion Group, Inc. company guaranty sr. unsec. sub. notes | |||
11 1/2s, 2015 | 1,069,000 | 922,013 | |
Griffey Intermediate, Inc. /Griffey Finance Sub LLC 144A sr. | |||
notes 7s, 2020 | 2,380,000 | 2,100,350 | |
Lamar Media Corp. company guaranty sr. sub. notes | |||
5 7/8s, 2022 | 1,465,000 | 1,475,988 | |
6,834,451 | |||
Automotive (0.9%) | |||
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes | |||
8 1/4s, 2021 | 2,525,000 | 2,771,187 | |
General Motors Escrow escrow notes 8 1/4s, 2023 | 2,555,000 | 38,325 | |
Motors Liquidation Co. Escrow escrow notes 8 3/8s, 2033 | 2,390,000 | 35,850 | |
Navistar International Corp. sr. notes 8 1/4s, 2021 | 3,786,000 | 3,767,070 | |
Schaeffler Finance BV company guaranty sr. notes Ser. REGS, | |||
8 3/4s, 2019 (Netherlands) | EUR | 345,000 | 512,965 |
Schaeffler Finance BV 144A company guaranty sr. notes 8 1/2s, | |||
2019 (Netherlands) | $1,280,000 | 1,438,400 | |
Schaeffler Finance BV 144A company guaranty sr. notes 7 3/4s, | |||
2017 (Netherlands) | 945,000 | 1,060,762 | |
Schaeffler Finance BV 144A sr. notes 4 3/4s, 2021 (Netherlands) | 1,515,000 | 1,424,100 | |
TRW Automotive, Inc. 144A company guaranty sr. notes | |||
7 1/4s, 2017 | 1,055,000 | 1,192,150 | |
12,240,809 | |||
Basic materials (8.7%) | |||
Ainsworth Lumber Co., Ltd. 144A sr. notes 7 1/2s, | |||
2017 (Canada) | 855,000 | 901,769 | |
ArcelorMittal sr. unsec. bonds 10.35s, 2019 (France) | 4,460,000 | 5,284,742 | |
ArcelorMittal sr. unsec. unsub. notes 7 1/2s, 2039 (France) | 990,000 | 910,800 | |
Ashland, Inc. 144A company guaranty sr. unsec. unsub. notes | |||
4 3/4s, 2022 | 420,000 | 392,700 | |
Ashland, Inc. 144A sr. unsec. notes 4 3/4s, 2022 | 1,375,000 | 1,285,624 | |
Atkore International, Inc. company guaranty sr. notes | |||
9 7/8s, 2018 | 2,400,000 | 2,598,000 | |
Axiall Corp. 144A company guaranty sr. unsec. notes | |||
4 7/8s, 2023 | 235,000 | 217,963 | |
Boise Cascade Co. company guaranty sr. unsec. notes | |||
6 3/8s, 2020 | 1,610,000 | 1,662,324 | |
Boise Cascade Co. 144A company guaranty sr. unsec. notes | |||
6 3/8s, 2020 | 640,000 | 660,800 | |
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. | |||
notes 4 5/8s, 2022 (Germany) | 1,510,000 | 1,398,638 | |
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) | 2,818,000 | 2,888,450 | |
Cemex Finance, LLC 144A company guaranty sr. bonds 9 1/2s, | |||
2016 (Mexico) | 574,000 | 605,570 | |
Cemex Finance, LLC 144A company guaranty sr. notes 9 3/8s, | |||
2022 (Mexico) | 1,595,000 | 1,670,762 | |
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, | |||
2019 (Mexico) | 2,335,000 | 2,264,950 | |
26 | High Yield Trust |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value | |
Basic materials cont. | |||
Cemex SAB de CV 144A company guaranty sr. notes 5 7/8s, | |||
2019 (Mexico) | $1,230,000 | $1,165,424 | |
Compass Minerals International, Inc. company guaranty sr. | |||
unsec. notes 8s, 2019 | 2,532,000 | 2,709,240 | |
Eagle Spinco, Inc. 144A company guaranty sr. unsec. notes | |||
4 5/8s, 2021 | 290,000 | 272,600 | |
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, | |||
2020 (Canada) | 865,000 | 826,075 | |
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 | 1,365,000 | 1,443,488 | |
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, | |||
2019 (Australia) | 1,635,000 | 1,745,362 | |
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, | |||
2015 (Australia) | 15,000 | 15,450 | |
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, | |||
2018 (Australia) | 2,677,000 | 2,737,232 | |
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes | |||
6 7/8s, 2022 (Australia) | 650,000 | 641,875 | |
FQM Akubra, Inc. 144A company guaranty sr. unsec. notes | |||
7 1/2s, 2021 (Canada) | 600,000 | 601,500 | |
Graphic Packaging International, Inc. company guaranty | |||
sr. unsec. notes 4 3/4s, 2021 | 2,005,000 | 1,924,800 | |
HD Supply, Inc. company guaranty sr. unsec. unsub. notes | |||
11 1/2s, 2020 | 3,371,000 | 3,994,634 | |
HD Supply, Inc. 144A sr. unsec. notes 7 1/2s, 2020 | 2,115,000 | 2,210,174 | |
Hexion U.S. Finance Corp. company guaranty sr. notes | |||
6 5/8s, 2020 | 120,000 | 118,500 | |
Hexion U.S. Finance Corp. 144A sr. notes 6 5/8s, 2020 | 685,000 | 676,438 | |
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC | |||
company guaranty notes 9s, 2020 | 1,375,000 | 1,361,250 | |
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC | |||
company guaranty sr. notes 8 7/8s, 2018 | 3,300,000 | 3,374,250 | |
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC | |||
144A company guaranty sr. notes 8 7/8s, 2018 | 1,017,000 | 1,041,153 | |
Huntsman International, LLC company guaranty sr. unsec. sub. | |||
notes 8 5/8s, 2021 | 1,903,000 | 2,121,844 | |
Huntsman International, LLC company guaranty sr. unsec. sub. | |||
notes 8 5/8s, 2020 | 2,465,000 | 2,723,825 | |
Huntsman International, LLC company guaranty sr. unsec. | |||
unsub. notes 4 7/8s, 2020 | 2,465,000 | 2,347,912 | |
IAMGOLD Corp. 144A company guaranty sr. unsec. notes | |||
6 3/4s, 2020 (Canada) | 2,755,000 | 2,383,074 | |
Ineos Finance PLC 144A company guaranty sr. notes 8 3/8s, | |||
2019 (United Kingdom) | 1,380,000 | 1,511,100 | |
Ineos Finance PLC 144A company guaranty sr. notes 7 1/2s, | |||
2020 (United Kingdom) | 615,000 | 654,975 | |
INEOS Group Holdings SA 144A company guaranty sr. unsec. | |||
notes 6 1/8s, 2018 (Luxembourg) | 2,425,000 | 2,340,124 | |
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes | |||
Ser. REGS, 7 7/8s, 2016 (Luxembourg) | EUR | 1,448,362 | 1,929,541 |
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 | $3,663,000 | 4,097,981 | |
High Yield Trust | 27 |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value | |
Basic materials cont. | |||
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. | |||
notes 7 1/2s, 2020 | $2,385,000 | $2,569,837 | |
Momentive Performance Materials, Inc. company guaranty | |||
sr. notes 10s, 2020 | 660,000 | 681,450 | |
Momentive Performance Materials, Inc. company guaranty | |||
sr. notes 8 7/8s, 2020 | 1,620,000 | 1,684,800 | |
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes | |||
7s, 2020 (Canada) | 1,510,000 | 1,536,424 | |
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) | 760,000 | 729,600 | |
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 | 1,770,000 | 1,924,874 | |
Nufarm Australia, Ltd. 144A company guaranty sr. notes 6 3/8s, | |||
2019 (Australia) | 1,458,000 | 1,476,224 | |
Orion Engineered Carbons Bondco GmbH 144A company | |||
guaranty sr. notes 9 5/8s, 2018 (Germany) | 451,000 | 498,355 | |
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, | |||
2017 (Sweden) | 2,380,000 | 2,433,550 | |
PolyOne Corp. 144A sr. unsec. notes 5 1/4s, 2023 | 1,335,000 | 1,278,262 | |
PQ Corp. 144A sr. notes 8 3/4s, 2018 | 2,725,000 | 2,868,062 | |
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A | |||
company guaranty sr. unsec. notes 10s, 2020 | 1,183,000 | 1,295,384 | |
Ryerson, Inc./Joseph T Ryerson & Son, Inc. 144A company | |||
guaranty sr. notes 9s, 2017 | 2,511,000 | 2,605,162 | |
Sealed Air Corp. 144A company guaranty sr. unsec. notes | |||
6 7/8s, 2033 | 420,000 | 390,600 | |
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 | 1,515,000 | 1,443,037 | |
Smurfit Kappa Acquisitions company guaranty sr. bonds 7 1/4s, | |||
2017 (Ireland) | EUR | 200,000 | 276,402 |
Smurfit Kappa Acquisitions 144A company guaranty sr. notes | |||
4 7/8s, 2018 (Ireland) | $980,000 | 980,186 | |
Smurfit Kappa Treasury company guaranty sr. unsec. unsub. | |||
debs 7 1/2s, 2025 (Ireland) | 1,458,000 | 1,589,220 | |
Steel Dynamics, Inc. company guaranty sr. unsec. notes | |||
7 5/8s, 2020 | 630,000 | 680,400 | |
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | |||
6 3/8s, 2022 | 435,000 | 453,488 | |
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | |||
6 1/8s, 2019 | 1,580,000 | 1,659,000 | |
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes | |||
5 1/4s, 2023 | 270,000 | 256,500 | |
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, | |||
2020 (Belgium) | 4,218,000 | 4,734,704 | |
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 | 2,335,000 | 2,381,700 | |
Tronox Finance, LLC 144A company guaranty sr. unsec. notes | |||
6 3/8s, 2020 | 2,940,000 | 2,807,700 | |
USG Corp. sr. unsec. notes 9 3/4s, 2018 | 2,354,000 | 2,712,984 | |
Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. | |||
notes 6s, 2023 | 3,911,000 | 3,793,670 | |
Weyerhaeuser Co. sr. unsec. unsub. debs. 7 1/8s, 2023 R | 1,530,000 | 1,779,373 | |
117,233,861 |
28 | High Yield Trust |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value |
Broadcasting (2.2%) | ||
Clear Channel Communications, Inc. company guaranty | ||
sr. notes 9s, 2021 | $1,381,000 | $1,311,950 |
Clear Channel Communications, Inc. company guaranty | ||
sr. unsec. unsub. notes 9s, 2019 | 3,725,000 | 3,585,312 |
Clear Channel Worldwide Holdings, Inc. company guaranty | ||
sr. unsec. notes 7 5/8s, 2020 | 3,410,000 | 3,418,524 |
Clear Channel Worldwide Holdings, Inc. sr. unsec. notes | ||
6 1/2s, 2022 | 2,775,000 | 2,768,062 |
Cumulus Media Holdings, Inc. company guaranty sr. unsec. | ||
unsub. notes 7 3/4s, 2019 | 1,070,000 | 1,086,050 |
Entercom Radio, LLC company guaranty sr. unsec. sub. notes | ||
10 1/2s, 2019 | 2,520,000 | 2,853,900 |
Gray Television, Inc. company guaranty sr. unsec. notes | ||
7 1/2s, 2020 | 1,925,000 | 2,030,874 |
LIN Television Corp. company guaranty sr. unsec. notes | ||
6 3/8s, 2021 | 965,000 | 965,000 |
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. | ||
unsub. notes 6 7/8s, 2020 | 2,300,000 | 2,323,000 |
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc. company | ||
guaranty sr. notes 8 7/8s, 2017 | 1,430,000 | 1,540,824 |
Sinclair Television Group, Inc. company guaranty sr. unsec. notes | ||
5 3/8s, 2021 | 945,000 | 895,388 |
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 | 1,010,000 | 997,375 |
Univision Communications, Inc. 144A company guaranty | ||
sr. unsec. notes 8 1/2s, 2021 | 2,515,000 | 2,722,487 |
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 | 1,475,000 | 1,598,531 |
XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes | ||
7 5/8s, 2018 | 1,305,000 | 1,419,188 |
29,516,465 | ||
Building materials (1.0%) | ||
Building Materials Corp. 144A company guaranty sr. notes | ||
7 1/2s, 2020 | 2,170,000 | 2,300,200 |
Building Materials Corp. 144A sr. notes 7s, 2020 | 1,385,000 | 1,471,563 |
Jeld-Wen Escrow Corp. 144A sr. notes 12 1/4s, 2017 | 2,417,000 | 2,749,338 |
Masonite International Corp. 144A company guaranty sr. notes | ||
8 1/4s, 2021 (Canada) | 2,844,000 | 3,099,960 |
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 | 3,111,000 | 3,406,545 |
Owens Corning company guaranty sr. unsec. notes 9s, 2019 | 642,000 | 773,610 |
13,801,216 | ||
Cable television (3.0%) | ||
Adelphia Communications Corp. escrow bonds zero %, 2014 | 81,000 | 608 |
Adelphia Communications Corp. escrow bonds zero %, 2014 | 2,223,000 | 16,673 |
Adelphia Communications Corp. escrow bonds zero %, 2013 | 4,000 | 30 |
Adelphia Communications Corp. escrow bonds zero %, 2013 | 4,000 | 30 |
Adelphia Communications Corp. escrow bonds zero %, 2013 | 2,906,000 | 21,795 |
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 | 2,947,000 | 3,352,213 |
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 | 903,000 | 991,043 |
CCO Holdings, LLC/CCO Holdings Capital Corp. company | ||
guaranty sr. unsec. notes 6 1/2s, 2021 | 2,142,000 | 2,168,775 |
CCO Holdings, LLC/CCO Holdings Capital Corp. company | ||
guaranty sr. unsec. notes 5 1/4s, 2022 | 2,255,000 | 2,057,688 |
High Yield Trust | 29 |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value | |
Cable television cont. | |||
CCO Holdings, LLC/CCO Holdings Capital Corp. company | |||
guaranty sr. unsec. unsub. notes 7 3/8s, 2020 | $1,885,000 | $2,016,950 | |
CCO Holdings, LLC/CCO Holdings Capital Corp. company | |||
guaranty sr. unsec. unsub. notes 6 5/8s, 2022 | 1,585,000 | 1,608,775 | |
CCO Holdings, LLC/CCO Holdings Capital Corp. company | |||
guaranty sr. unsec. unsub. notes 5 1/8s, 2023 | 3,075,000 | 2,759,813 | |
CCO Holdings, LLC/CCO Holdings Capital Corp. company | |||
guaranty sr. unsub. notes 7s, 2019 | 2,351,000 | 2,480,305 | |
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 | 1,540,000 | 1,620,850 | |
DISH DBS Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 | 1,805,000 | 2,035,138 | |
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 | 825,000 | 860,063 | |
Lynx I Corp. 144A sr. notes 5 3/8s, 2021 (United Kingdom) | 1,065,000 | 1,041,038 | |
Lynx II Corp. 144A sr. unsec. notes 6 3/8s, 2023 | |||
(United Kingdom) | 1,065,000 | 1,057,013 | |
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. unsub. notes | |||
7 1/4s, 2022 | 1,495,000 | 1,566,013 | |
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, | |||
2023 (Canada) | 2,310,000 | 2,154,075 | |
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, | |||
2021 (Canada) | CAD | 1,680,000 | 1,702,649 |
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH | |||
144A company guaranty sr. notes 7 1/2s, 2019 (Germany) | $1,275,000 | 1,376,208 | |
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, | |||
2022 (Canada) | 3,210,000 | 2,985,300 | |
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. | |||
company guaranty sr. unsec. notes 10 1/4s, 2019 | 5,634,000 | 6,042,465 | |
39,915,510 | |||
Capital goods (6.4%) | |||
Accudyne Industries Borrower/Accudyne Industries, LLC | |||
144A company guaranty sr. unsec. unsub. notes 7 3/4s, | |||
2020 (Luxembourg) | 1,025,000 | 1,060,875 | |
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020 | 4,910,000 | 5,180,050 | |
American Axle & Manufacturing, Inc. company guaranty | |||
sr. unsec. notes 7 3/4s, 2019 | 5,160,000 | 5,676,000 | |
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, | |||
2017 (Ireland) | EUR | 2,020,000 | 2,841,450 |
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. | |||
144A sr. unsec. notes 7s, 2020 (Ireland) | $2,200,000 | 2,134,000 | |
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 | 825,000 | 816,750 | |
Berry Plastics Corp. company guaranty unsub. notes | |||
9 3/4s, 2021 | 1,627,000 | 1,883,253 | |
Beverage Packaging Holdings Luxembourg II SA company | |||
guaranty sr. sub. notes Ser. REGS, 9 1/2s, 2017 | EUR | 1,295,000 | 1,754,325 |
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017 ‡‡ | $2,775,000 | 2,927,625 | |
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) | 831,000 | 818,535 | |
Bombardier, Inc. 144A sr. unsec. notes 7 3/4s, 2020 (Canada) | 1,325,000 | 1,470,750 | |
Briggs & Stratton Corp. company guaranty sr. unsec. notes | |||
6 7/8s, 2020 | 3,934,000 | 4,248,720 | |
Consolidated Container Co. LLC/Consolidated Container | |||
Capital, Inc. 144A company guaranty sr. unsec. notes | |||
10 1/8s, 2020 | 360,000 | 388,800 | |
30 | High Yield Trust |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value | |
Capital goods cont. | |||
Crown Americas LLC/Crown Americas Capital Corp. IV 144A | |||
company guaranty sr. unsec. notes 4 1/2s, 2023 | $1,776,000 | $1,642,800 | |
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France) | EUR | 610,000 | 864,100 |
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 | $2,035,000 | 2,065,525 | |
Exide Technologies sr. notes 8 5/8s, 2018 (In default) † | 2,430,000 | 1,676,700 | |
Gestamp Funding Luxembourg SA 144A sr. notes 5 5/8s, | |||
2020 (Luxembourg) | 3,810,000 | 3,676,650 | |
Kratos Defense & Security Solutions, Inc. company guaranty | |||
sr. notes 10s, 2017 | 1,000,000 | 1,080,000 | |
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) | 3,931,000 | 4,879,874 | |
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes | |||
5 7/8s, 2022 | 2,345,000 | 2,315,688 | |
MasTec, Inc. company guaranty sr. unsec. unsub. notes | |||
4 7/8s, 2023 | 2,775,000 | 2,556,469 | |
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 | 3,305,000 | 3,412,413 | |
Polypore International, Inc. company guaranty sr. unsec. notes | |||
7 1/2s, 2017 | 1,640,000 | 1,738,400 | |
Renaissance Acquisition Corp. 144A company guaranty | |||
sr. unsec. unsub. notes 6 7/8s, 2021 | 410,000 | 400,775 | |
Rexel SA 144A company guaranty sr. unsec. unsub. notes | |||
6 1/8s, 2019 (France) | 2,825,000 | 2,930,938 | |
Reynolds Group Issuer, Inc. Reynolds Group Issuer, LLC/ | |||
Reynolds Group Issuer Lu company guaranty sr. notes | |||
7 7/8s, 2019 | 1,235,000 | 1,358,500 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/ | |||
Reynolds Group Issuer Lu company guaranty sr. notes | |||
5 3/4s, 2020 | 1,815,000 | 1,799,119 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/ | |||
Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. | |||
notes 9 7/8s, 2019 | 3,870,000 | 4,111,875 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/ | |||
Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. | |||
notes 9s, 2019 | 195,000 | 201,338 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/ | |||
Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. | |||
notes 8 1/4s, 2021 (New Zealand) | 240,000 | 237,000 | |
Schaeffler Holding Finance BV 144A company guaranty | |||
sr. notes 6 7/8s, 2018 (Netherlands) ‡‡ | 3,445,000 | 3,601,670 | |
Schaeffler Holding Finance BV 144A sr. notes 6 7/8s, 2018 | |||
(Netherlands) ‡‡ | EUR | 1,175,000 | 1,599,527 |
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 | $2,120,000 | 2,273,700 | |
Terex Corp. company guaranty sr. unsec. unsub. notes | |||
6 1/2s, 2020 | 590,000 | 615,075 | |
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 | 3,450,000 | 3,467,250 | |
Thermadyne Holdings Corp. company guaranty | |||
sr. notes 9s, 2017 | 2,130,000 | 2,295,075 | |
TransDigm, Inc. company guaranty unsec. sub. notes | |||
7 3/4s, 2018 | 2,845,000 | 3,044,150 | |
Triumph Group, Inc. unsec. sub. FRN notes 4 7/8s, 2021 | 1,000,000 | 980,000 | |
86,025,744 |
High Yield Trust | 31 |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value |
Coal (0.9%) | ||
Alpha Natural Resources, Inc. company guaranty sr. unsec. | ||
notes 6 1/4s, 2021 | $1,040,000 | $871,000 |
Alpha Natural Resources, Inc. company guaranty sr. unsec. | ||
notes 6s, 2019 | 1,050,000 | 897,750 |
CONSOL Energy, Inc. company guaranty sr. unsec. notes | ||
8 1/4s, 2020 | 4,445,000 | 4,711,700 |
CONSOL Energy, Inc. company guaranty sr. unsec. | ||
notes 8s, 2017 | 3,535,000 | 3,729,425 |
Peabody Energy Corp. company guaranty sr. unsec. notes | ||
7 3/8s, 2016 | 218,000 | 243,615 |
Peabody Energy Corp. company guaranty sr. unsec. unsub. | ||
notes 6 1/2s, 2020 | 262,000 | 260,035 |
Peabody Energy Corp. company guaranty sr. unsec. unsub. | ||
notes 6s, 2018 | 1,310,000 | 1,303,450 |
12,016,975 | ||
Commercial and consumer services (1.4%) | ||
DH Services Luxembourg Sarl 144A company guaranty | ||
sr. unsec. notes 7 3/4s, 2020 (Luxembourg) | 2,170,000 | 2,240,525 |
Igloo Holdings Corp. 144A sr. unsec. unsub. notes | ||
8 1/4s, 2017 ‡‡ | 3,045,000 | 3,113,513 |
Lender Processing Services, Inc. company guaranty sr. unsec. | ||
unsub. notes 5 3/4s, 2023 | 3,180,000 | 3,315,150 |
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 | 2,710,000 | 2,947,125 |
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 | 3,739,000 | 4,010,078 |
Travelport, LLC company guaranty sr. unsec. sub. notes | ||
11 7/8s, 2016 | 1,404,000 | 1,375,920 |
Travelport, LLC/Travelport Holdings, Inc. 144A company | ||
guaranty sr. unsec. unsub. notes 13 7/8s, 2016 ‡‡ | 1,565,675 | 1,636,130 |
18,638,441 | ||
Consumer (0.2%) | ||
Spectrum Brands Escrow Corp. 144A sr. unsec. notes | ||
6 5/8s, 2022 | 140,000 | 143,150 |
Spectrum Brands Escrow Corp. 144A sr. unsec. notes | ||
6 3/8s, 2020 | 175,000 | 180,688 |
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. | ||
notes 6 3/4s, 2020 | 1,604,000 | 1,692,220 |
2,016,058 | ||
Consumer staples (5.8%) | ||
Ashtead Capital, Inc. 144A company guaranty sr. notes | ||
6 1/2s, 2022 | 1,480,000 | 1,557,700 |
Avis Budget Car Rental, LLC company guaranty sr. unsec. | ||
unsub. notes 9 3/4s, 2020 | 730,000 | 836,763 |
Avis Budget Car Rental, LLC company guaranty sr. unsec. | ||
unsub. notes 8 1/4s, 2019 | 705,000 | 766,688 |
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company | ||
guaranty sr. unsec. unsub. notes 5 1/2s, 2023 | 1,010,000 | 940,563 |
B&G Foods, Inc. company guaranty sr. unsec. notes | ||
4 5/8s, 2021 | 1,385,000 | 1,288,050 |
Barry Callebaut Services NV 144A company guaranty sr. unsec. | ||
notes 5 1/2s, 2023 (Belgium) | 2,310,000 | 2,319,818 |
Burger King Corp. company guaranty sr. unsec. notes | ||
9 7/8s, 2018 | 1,830,000 | 2,058,750 |
32 | High Yield Trust |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value | |
Consumer staples cont. | |||
Carrols Restaurant Group, Inc. company guaranty sr. notes | |||
11 1/4s, 2018 | $1,625,000 | $1,828,125 | |
Claire’s Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 | 2,695,000 | 2,897,125 | |
Claire’s Stores, Inc. 144A sr. notes 9s, 2019 | 3,095,000 | 3,447,056 | |
Constellation Brands, Inc. company guaranty sr. unsec. notes | |||
4 1/4s, 2023 | 675,000 | 617,625 | |
Constellation Brands, Inc. company guaranty sr. unsec. unsub. | |||
notes 7 1/4s, 2016 | 3,123,000 | 3,532,894 | |
Constellation Brands, Inc. company guaranty sr. unsec. unsub. | |||
notes 6s, 2022 | 2,351,000 | 2,486,183 | |
Corrections Corp. of America company guaranty sr. unsec. notes | |||
4 1/8s, 2020 R | 545,000 | 512,300 | |
Corrections Corp. of America sr. unsec. FRN notes 4 5/8s, 2023 R | 680,000 | 632,400 | |
Dave & Buster’s, Inc. company guaranty sr. unsec. unsub. | |||
notes 11s, 2018 | 2,962,000 | 3,284,118 | |
Dean Foods Co. company guaranty sr. unsec. unsub. notes | |||
9 3/4s, 2018 | 583,000 | 660,248 | |
Dean Foods Co. company guaranty sr. unsec. unsub. | |||
notes 7s, 2016 | 2,215,000 | 2,425,425 | |
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 | 2,600,000 | 2,892,500 | |
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 | 1,000,000 | 1,067,500 | |
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, | |||
2023 (Brazil) | 1,845,000 | 1,624,031 | |
Hawk Acquisition Sub, Inc. 144A sr. notes 4 1/4s, 2020 | 3,060,000 | 2,891,700 | |
Hertz Corp. (The) company guaranty sr. unsec. notes | |||
7 1/2s, 2018 | 920,000 | 993,600 | |
Hertz Corp. (The) company guaranty sr. unsec. notes | |||
6 1/4s, 2022 | 1,315,000 | 1,338,013 | |
Hertz Corp. (The) company guaranty sr. unsec. notes | |||
5 7/8s, 2020 | 1,605,000 | 1,647,131 | |
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, | |||
2015 (Netherlands) | EUR | 2,245,000 | 3,107,567 |
JBS USA, LLC/JBS USA Finance, Inc. company guaranty | |||
sr. unsec. notes 11 5/8s, 2014 (Brazil) | $1,050,000 | 1,102,500 | |
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes | |||
8 1/4s, 2020 (Brazil) | 810,000 | 844,425 | |
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes | |||
7 1/4s, 2021 (Brazil) | 3,390,000 | 3,466,275 | |
Landry’s Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 | 1,520,000 | 1,607,400 | |
Landry’s, Inc. 144A sr. unsec. notes 9 3/8s, 2020 | 2,645,000 | 2,816,925 | |
Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020 | 1,265,000 | 1,351,969 | |
Post Holdings, Inc. company guaranty sr. unsec. notes | |||
7 3/8s, 2022 | 1,250,000 | 1,318,750 | |
Post Holdings, Inc. 144A sr. unsec. unsub. notes 7 3/8s, 2022 | 250,000 | 263,750 | |
Prestige Brands, Inc. company guaranty sr. unsec. notes | |||
8 1/4s, 2018 | 3,090,000 | 3,298,575 | |
Revlon Consumer Products Corp. 144A company guaranty | |||
sr. unsec. notes 5 3/4s, 2021 | 3,210,000 | 3,057,525 | |
Rite Aid Corp. company guaranty sr. notes 10 1/4s, 2019 | 880,000 | 991,100 | |
High Yield Trust | 33 |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value | |
Consumer staples cont. | |||
Rite Aid Corp. company guaranty sr. unsec. unsub. notes | |||
9 1/4s, 2020 | $2,300,000 | $2,601,875 | |
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 | 740,000 | 820,475 | |
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022 | 1,960,000 | 2,013,900 | |
Sun Merger Sub, Inc. 144A company guaranty sr. unsec. sub. | |||
notes 5 7/8s, 2021 | 530,000 | 527,350 | |
Sun Merger Sub, Inc. 144A sr. unsec. notes 5 1/4s, 2018 | 1,865,000 | 1,865,000 | |
United Rentals North America, Inc. company guaranty sr. unsec. | |||
notes 7 5/8s, 2022 | 2,520,000 | 2,709,000 | |
Wells Enterprises, Inc. 144A sr. notes 6 3/4s, 2020 | 332,000 | 341,130 | |
78,651,797 | |||
Energy (oil field) (1.0%) | |||
FTS International Services, LLC/FTS International Bonds, Inc. | |||
144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 | 2,149,000 | 2,294,058 | |
Hiland Partners LP/Hiland Partners Finance Corp. 144A | |||
company guaranty sr. notes 7 1/4s, 2020 | 1,415,000 | 1,468,063 | |
Key Energy Services, Inc. company guaranty unsec. unsub. | |||
notes 6 3/4s, 2021 | 2,918,000 | 2,881,525 | |
Offshore Group Investment, Ltd. company guaranty sr. notes | |||
7 1/2s, 2019 (Cayman Islands) | 2,800,000 | 2,910,138 | |
Offshore Group Investment, Ltd. company guaranty sr. notes | |||
7 1/8s, 2023 (Cayman Islands) | 2,030,000 | 1,953,875 | |
Tervita Corp. 144A company guaranty sr. unsec. unsub. notes | |||
9s, 2018 (Canada) | CAD | 1,300,000 | 1,259,221 |
Trinidad Drilling, Ltd. 144A sr. unsec. notes 7 7/8s, | |||
2019 (Canada) | $505,000 | 534,038 | |
13,300,918 | |||
Entertainment (1.1%) | |||
AMC Entertainment, Inc. company guaranty sr. sub. notes | |||
9 3/4s, 2020 | 1,825,000 | 2,085,063 | |
Carmike Cinemas, Inc. company guaranty notes 7 3/8s, 2019 | 1,160,000 | 1,249,900 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management | |||
Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 | 420,000 | 459,900 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management | |||
Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 | 1,360,000 | 1,298,800 | |
Cinemark USA, Inc. company guaranty sr. unsec. notes | |||
5 1/8s, 2022 | 770,000 | 719,950 | |
Cinemark USA, Inc. company guaranty sr. unsec. notes | |||
4 7/8s, 2023 | 345,000 | 317,400 | |
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes | |||
7 3/8s, 2021 | 345,000 | 371,738 | |
Regal Entertainment Group company guaranty sr. unsec. notes | |||
9 1/8s, 2018 | 1,577,000 | 1,722,873 | |
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2025 | 1,770,000 | 1,628,400 | |
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 | 1,040,000 | 975,000 | |
Six Flags Entertainment Corp. 144A company guaranty | |||
sr. unsec. unsub. notes 5 1/4s, 2021 | 4,044,000 | 3,821,580 | |
14,650,604 | |||
Financials (8.8%) | |||
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub., LLC 144A | |||
sr. unsec. notes 7 7/8s, 2020 | 2,720,000 | 2,774,400 | |
ACE Cash Express, Inc. 144A sr. notes 11s, 2019 | 1,252,000 | 1,192,530 | |
34 | High Yield Trust |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value | |
Financials cont. | |||
Air Lease Corp. company guaranty sr. unsec. unsub. notes | |||
4 3/4s, 2020 | $1,250,000 | $1,240,625 | |
Air Lease Corp. sr. unsec. notes 5 5/8s, 2017 | 1,320,000 | 1,415,700 | |
Ally Financial, Inc. company guaranty sr. unsec. unsub. | |||
notes 8s, 2031 | 1,500,000 | 1,725,000 | |
Ally Financial, Inc. company guaranty sr. unsec. unsub. | |||
notes 8s, 2020 | 1,270,000 | 1,462,088 | |
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes | |||
7 1/2s, 2020 | 670,000 | 753,750 | |
Ally Financial, Inc. unsec. sub. notes 8s, 2018 | 1,542,000 | 1,754,025 | |
American International Group, Inc. jr. sub. FRB bonds | |||
8.175s, 2068 | 2,202,000 | 2,581,845 | |
BBVA International Preferred SAU bank guaranty jr. unsec. sub. | |||
FRN notes 5.919s, perpetual maturity (Spain) | 1,140,000 | 1,014,600 | |
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes | |||
6 5/8s, 2020 | 3,232,000 | 3,434,000 | |
CBRE Services, Inc. company guaranty sr. unsec. unsub. | |||
notes 5s, 2023 | 405,000 | 375,638 | |
CIT Group, Inc. company guaranty sr. notes 5s, 2023 | 1,435,000 | 1,338,138 | |
CIT Group, Inc. sr. unsec. notes 5s, 2022 | 850,000 | 803,250 | |
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 | 2,460,000 | 2,472,300 | |
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 | 590,000 | 637,200 | |
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 | 1,635,000 | 1,675,875 | |
Citigroup, Inc. unsec. sub. notes 4 3/4s, 2019 | EUR | 870,000 | 1,135,313 |
CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020 | $2,450,000 | 2,296,875 | |
CNO Financial Group, Inc. 144A company guaranty sr. notes | |||
6 3/8s, 2020 | 1,500,000 | 1,571,250 | |
Community Choice Financial, Inc. company guaranty sr. notes | |||
10 3/4s, 2019 | 2,950,000 | 2,743,500 | |
Dresdner Funding Trust I 144A bonds 8.151s, 2031 | 4,775,000 | 4,727,250 | |
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 | 3,910,000 | 4,105,500 | |
HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. | |||
FRB bonds 6.071s, perpetual maturity (Jersey) | 1,625,000 | 1,566,094 | |
HBOS PLC 144A sr. unsec. sub. notes 6 3/4s, 2018 | |||
(United Kingdom) | 2,655,000 | 2,902,589 | |
HBOS PLC 144A unsec. sub. bonds 6s, 2033 (United Kingdom) | 1,050,000 | 999,233 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | |||
guaranty sr. unsec. notes 8s, 2018 | 1,525,000 | 1,605,063 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A | |||
unsec. sub. notes 6s, 2020 | 2,208,000 | 2,196,960 | |
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 | 490,000 | 505,925 | |
International Lease Finance Corp. sr. unsec. unsub. notes | |||
5 7/8s, 2022 | 2,715,000 | 2,640,338 | |
International Lease Finance Corp. sr. unsec. unsub. notes | |||
4 5/8s, 2021 | 955,000 | 878,600 | |
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018 R | 1,605,000 | 1,729,388 | |
iStar Financial, Inc. sr. unsec. unsub. notes Ser. B, 9s, 2017 R | 1,385,000 | 1,573,706 | |
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. | |||
sub. FRN notes 7s, 2037 | 550,000 | 558,250 | |
High Yield Trust | 35 |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value | |
Financials cont. | |||
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. | |||
sub. bonds 7.8s, 2037 | $1,565,000 | $1,760,625 | |
Lloyds TSB Bank PLC jr. sub. FRN notes Ser. EMTN, 13s, | |||
perpetual maturity (United Kingdom) | GBP | 1,765,000 | 4,073,401 |
MPT Operating Partnership LP/MPT Finance Corp. company | |||
guaranty sr. unsec. unsub. notes 6 3/8s, 2022 R | $1,305,000 | 1,331,100 | |
National Money Mart Co. company guaranty sr. unsec. unsub. | |||
notes 10 3/8s, 2016 (Canada) | 1,317,000 | 1,372,973 | |
Nationstar Mortgage, LLC/Nationstar Capital Corp. company | |||
guaranty sr. unsec. notes 9 5/8s, 2019 | 1,105,000 | 1,237,600 | |
Nationstar Mortgage, LLC/Nationstar Capital Corp. company | |||
guaranty sr. unsec. notes 7 7/8s, 2020 | 1,380,000 | 1,455,900 | |
Nationstar Mortgage, LLC/Nationstar Capital Corp. company | |||
guaranty sr. unsec. unsub. notes 6 1/2s, 2021 | 1,160,000 | 1,125,200 | |
Nationstar Mortgage, LLC/Nationstar Capital Corp. FRN notes | |||
6 1/2s, 2018 | 1,420,000 | 1,430,650 | |
Neuberger Berman Group LLC/Neuberger Berman Finance | |||
Corp. 144A sr. notes 5 7/8s, 2022 | 1,715,000 | 1,753,588 | |
Neuberger Berman Group LLC/Neuberger Berman Finance | |||
Corp. 144A sr. notes 5 5/8s, 2020 | 1,125,000 | 1,167,188 | |
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 | 2,020,000 | 1,984,650 | |
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 | 1,400,000 | 1,379,000 | |
Onex USI Acquisition Corp. 144A sr. unsec. notes 7 3/4s, 2021 | 3,435,000 | 3,443,588 | |
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016 | 514,000 | 598,810 | |
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 | 2,285,000 | 2,433,525 | |
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 | 2,565,000 | 2,532,938 | |
Provident Funding Associates LP/PFG Finance Corp. 144A | |||
company guaranty sr. unsec. notes 6 3/4s, 2021 | 2,781,000 | 2,815,763 | |
Provident Funding Associates LP/PFG Finance Corp. 144A | |||
sr. notes 10 1/8s, 2019 | 1,835,000 | 2,032,263 | |
Royal Bank of Scotland Group PLC jr. sub. FRN notes Ser. U, | |||
7.64s, perpetual maturity (United Kingdom) | 1,200,000 | 1,068,000 | |
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB bonds | |||
7.648s, perpetual maturity (United Kingdom) | 5,780,000 | 5,606,600 | |
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 | 3,260,000 | 3,716,400 | |
Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017 | 5,780,000 | 5,888,375 | |
Springleaf Finance Corp. 144A sr. unsec. notes 6s, 2020 | 1,175,000 | 1,089,813 | |
Stearns Holdings, Inc. 144A bank guaranty sr. unsec. FRN notes | |||
9 3/8s, 2020 | 3,683,000 | 3,765,868 | |
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes | |||
8 1/2s, 2018 | 2,800,000 | 2,877,000 | |
118,327,616 | |||
Gaming and lottery (1.9%) | |||
Caesars Entertainment Operating Co., Inc. sr. notes | |||
11 1/4s, 2017 | 466,000 | 479,980 | |
Caesars Escrow Corp. sr. unsec. unsub. FRN notes 9s, 2020 | 6,100,000 | 5,856,000 | |
CCM Merger, Inc. 144A company guaranty sr. unsec. notes | |||
9 1/8s, 2019 | 1,900,000 | 1,995,000 | |
Great Canadian Gaming Corp. 144A company guaranty | |||
sr. unsec. notes 6 5/8s, 2022 (Canada) | CAD | 1,310,000 | 1,266,022 |
36 | High Yield Trust |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value | |
Gaming and lottery cont. | |||
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes | |||
5 7/8s, 2021 | $770,000 | $712,250 | |
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. | |||
notes 8 7/8s, 2020 | 795,000 | 822,825 | |
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. | |||
notes 7 3/4s, 2019 | 2,050,000 | 2,116,625 | |
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 | 5,381,465 | 5,677,446 | |
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. | |||
144A sr. notes 9 1/2s, 2019 | 1,880,000 | 2,030,400 | |
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes | |||
12 1/8s, 2018 | 3,821,000 | 4,250,863 | |
25,207,411 | |||
Health care (7.2%) | |||
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. | |||
notes 6 1/8s, 2021 | 2,575,000 | 2,562,124 | |
AmSurg Corp. company guaranty sr. unsec. unsub. notes | |||
5 5/8s, 2020 | 2,795,000 | 2,822,950 | |
Aviv Healthcare Properties LP company guaranty sr. unsec. | |||
notes 7 3/4s, 2019 | 2,083,000 | 2,228,810 | |
Biomet, Inc. company guaranty sr. unsec. unsub. notes | |||
6 1/2s, 2020 | 2,835,000 | 2,905,874 | |
Capella Healthcare, Inc. company guaranty sr. unsec. notes | |||
9 1/4s, 2017 | 2,365,000 | 2,521,681 | |
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. | |||
notes 9 7/8s, 2019 | EUR | 2,945,000 | 4,312,506 |
CHS/Community Health Systems, Inc. company guaranty | |||
sr. notes 5 1/8s, 2018 | $5,230,000 | 5,347,674 | |
CHS/Community Health Systems, Inc. company guaranty | |||
sr. unsec. unsub. notes 8s, 2019 | 950,000 | 997,500 | |
ConvaTec Finance International SA 144A sr. unsec. notes 8 1/4s, | |||
2019 (Luxembourg) ‡‡ | 4,140,000 | 4,077,900 | |
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, | |||
2017 (Luxembourg) | EUR | 1,000,000 | 1,406,381 |
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, | |||
2018 (Luxembourg) | $3,644,000 | 4,090,390 | |
Envision Healthcare Corp. company guaranty sr. unsec. unsub. | |||
notes 8 1/8s, 2019 | 1,816,000 | 1,963,550 | |
Fresenius Medical Care US Finance II, Inc. 144A company | |||
guaranty sr. unsec. notes 5 5/8s, 2019 | 1,945,000 | 2,003,350 | |
HCA, Inc. company guaranty sr. notes 8 1/2s, 2019 | 1,963,000 | 2,120,040 | |
HCA, Inc. sr. notes 6 1/2s, 2020 | 6,665,000 | 7,173,205 | |
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 | 705,000 | 766,688 | |
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 | 4,218,000 | 4,428,900 | |
Healthcare Technology Intermediate, Inc. 144A sr. unsec. notes | |||
7 3/8s, 2018 ‡‡ | 1,515,000 | 1,535,831 | |
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty | |||
sr. unsec. notes 8 3/8s, 2019 | 1,004,000 | 1,051,690 | |
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 | 980,000 | 1,005,724 | |
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 144A sr. unsec. | |||
notes 9 1/2s, 2019 | 1,060,000 | 1,197,800 | |
High Yield Trust | 37 |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value |
Health care cont. | ||
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes | ||
10 1/2s, 2018 | $6,460,000 | $7,097,924 |
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty | ||
sr. unsec. notes 12 1/2s, 2019 | 453,000 | 471,686 |
MPH Intermediate Holding Co. 2 144A sr. unsec. notes | ||
8 3/8s, 2018 ‡‡ | 1,370,000 | 1,397,400 |
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 | 1,015,000 | 1,124,112 |
Omega Healthcare Investors, Inc. company guaranty sr. unsec. | ||
notes 6 3/4s, 2022 R | 1,645,000 | 1,747,812 |
Service Corp. International/US sr. notes 7s, 2019 | 1,100,000 | 1,177,000 |
Service Corp. International/US 144A sr. unsec. notes | ||
5 3/8s, 2022 | 955,000 | 927,543 |
Sky Growth Acquisition Corp. 144A company guaranty | ||
sr. unsec. notes 7 3/8s, 2020 | 4,117,000 | 4,261,094 |
Stewart Enterprises, Inc. company guaranty sr. unsec. notes | ||
6 1/2s, 2019 | 2,025,000 | 2,156,624 |
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017 | 3,185,000 | 3,296,474 |
Teleflex, Inc. company guaranty sr. unsec. sub. notes | ||
6 7/8s, 2019 | 330,000 | 346,500 |
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 | 2,270,000 | 2,400,524 |
Tenet Healthcare Corp. 144A company guaranty sr. notes | ||
4 1/2s, 2021 | 1,800,000 | 1,656,000 |
Tenet Healthcare Corp. 144A company guaranty sr. notes | ||
4 3/8s, 2021 | 2,125,000 | 1,928,437 |
United Surgical Partners International, Inc. company guaranty | ||
sr. unsec. unsub. notes 9s, 2020 | 1,880,000 | 2,072,700 |
Valeant Pharmaceuticals International 144A company guaranty | ||
sr. notes 7s, 2020 | 410,000 | 430,500 |
Valeant Pharmaceuticals International 144A company guaranty | ||
sr. unsec. notes 6 7/8s, 2018 | 1,555,000 | 1,648,300 |
Valeant Pharmaceuticals International 144A company guaranty | ||
sr. unsec. notes 6 3/8s, 2020 | 430,000 | 436,450 |
Valeant Pharmaceuticals International 144A sr. notes | ||
6 3/4s, 2017 | 3,345,000 | 3,558,243 |
VPII Escrow Corp. 144A sr. unsec. notes 6 3/4s, 2018 (Canada) | 2,495,000 | 2,641,581 |
97,297,472 | ||
Homebuilding (2.2%) | ||
Beazer Homes USA, Inc. company guaranty sr. notes | ||
6 5/8s, 2018 | 1,705,000 | 1,796,643 |
Beazer Homes USA, Inc. company guaranty sr. unsec. notes | ||
8 1/8s, 2016 | 2,041,000 | 2,224,690 |
Beazer Homes USA, Inc. company guaranty sr. unsec. notes | ||
7 1/4s, 2023 | 1,475,000 | 1,489,750 |
Beazer Homes USA, Inc. company guaranty sr. unsec. unsub. | ||
notes 9 1/8s, 2018 | 335,000 | 352,588 |
Brookfield Residential Properties, Inc. 144A company guaranty | ||
sr. unsec. notes 6 1/2s, 2020 (Canada) | 2,880,000 | 2,944,800 |
Brookfield Residential Properties, Inc./Brookfield Residential | ||
US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, | ||
2022 (Canada) | 1,275,000 | 1,256,135 |
38 | High Yield Trust |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value |
Homebuilding cont. | ||
D.R. Horton, Inc. company guaranty sr. unsec. FRN notes | ||
5 3/4s, 2023 | $520,000 | $512,200 |
K Hovnanian Enterprises, Inc. 144A company guaranty notes | ||
9 1/8s, 2020 | 412,000 | 443,930 |
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 | 675,000 | 713,813 |
Lennar Corp. company guaranty sr. unsec. unsub. notes | ||
6.95s, 2018 | 910,000 | 987,350 |
Lennar Corp. 144A company guaranty sr. unsec. notes 5s, 2022 | 980,000 | 899,150 |
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 | 1,645,000 | 1,756,037 |
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, | ||
2020 (Canada) | 2,460,000 | 2,416,950 |
Pulte Group, Inc. company guaranty sr. unsec. notes | ||
7 5/8s, 2017 | 2,270,000 | 2,565,100 |
Pulte Group, Inc. company guaranty sr. unsec. unsub. notes | ||
7 7/8s, 2032 | 2,550,000 | 2,613,750 |
Realogy Corp. 144A company guaranty sr. notes 9s, 2020 | 585,000 | 674,213 |
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 | 500,000 | 543,750 |
Standard Pacific Corp. company guaranty sr. unsec. notes | ||
6 1/4s, 2021 | 980,000 | 982,450 |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. | ||
144A company guaranty sr. unsec. notes 7 3/4s, 2020 | 607,000 | 664,665 |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. | ||
144A company guaranty sr. unsec. notes 5 1/4s, 2021 | 955,000 | 904,863 |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. | ||
144A sr. notes 7 3/4s, 2020 | 2,384,000 | 2,604,520 |
29,347,347 | ||
Lodging/Tourism (1.6%) | ||
CityCenter Holdings LLC/CityCenter Finance Corp. company | ||
guaranty notes 10 3/4s, 2017 ‡‡ | 3,738,321 | 4,028,041 |
FelCor Lodging LP company guaranty sr. notes 10s, 2014 R | 1,287,000 | 1,386,743 |
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019 R | 680,000 | 712,300 |
FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023 R | 720,000 | 669,600 |
MGM Resorts International company guaranty sr. unsec. notes | ||
7 5/8s, 2017 | 3,225,000 | 3,555,563 |
MGM Resorts International company guaranty sr. unsec. notes | ||
6 7/8s, 2016 | 965,000 | 1,039,788 |
MGM Resorts International company guaranty sr. unsec. notes | ||
6 3/4s, 2020 | 1,715,000 | 1,749,300 |
MGM Resorts International company guaranty sr. unsec. unsub. | ||
notes 8 5/8s, 2019 | 2,589,000 | 2,906,153 |
MGM Resorts International company guaranty sr. unsec. unsub. | ||
notes 7 3/4s, 2022 | 1,505,000 | 1,602,825 |
MGM Resorts International company guaranty sr. unsec. unsub. | ||
notes 6 5/8s, 2021 | 570,000 | 578,550 |
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP | ||
Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 | 3,065,000 | 2,911,750 |
21,140,613 | ||
Media (0.3%) | ||
Gibson Brands, Inc. 144A sr. unsec. notes 8 7/8s, 2018 | 2,755,000 | 2,816,988 |
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty | ||
sr. unsec. notes 4 1/2s, 2020 | 1,093,000 | 1,038,350 |
3,855,338 |
High Yield Trust | 39 |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value | |
Oil and gas (11.2%) | |||
Access Midstream Partners LP/ACMP Finance Corp. company | |||
guaranty sr. unsec. notes 5 7/8s, 2021 | $1,047,000 | $1,075,793 | |
Access Midstream Partners LP/ACMP Finance Corp. company | |||
guaranty sr. unsec. unsub. notes 6 1/8s, 2022 | 2,810,000 | 2,887,275 | |
Access Midstream Partners LP/ACMP Finance Corp. company | |||
guaranty sr. unsec. unsub. notes 4 7/8s, 2023 | 2,620,000 | 2,433,325 | |
Athlon Holdings LP/Athlon Finance Corp. 144A company | |||
guaranty sr. unsec. notes 7 3/8s, 2021 | 3,855,000 | 3,903,188 | |
Atlas Pipeline Partners LP /Atlas Pipeline Finance Corp. 144A | |||
company guaranty sr. notes 6 5/8s, 2020 | 860,000 | 864,300 | |
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 | 1,310,000 | 1,401,700 | |
Aurora USA Oil & Gas Inc., 144A sr. notes 9 7/8s, 2017 | 2,135,000 | 2,252,425 | |
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes | |||
8 5/8s, 2018 | 4,636,000 | 5,041,650 | |
Chaparral Energy, Inc. company guaranty sr. unsec. notes | |||
9 7/8s, 2020 | 1,880,000 | 2,105,600 | |
Chaparral Energy, Inc. company guaranty sr. unsec. notes | |||
8 1/4s, 2021 | 2,785,000 | 2,903,362 | |
Chesapeake Energy Corp. company guaranty sr. unsec. bonds | |||
6 1/4s, 2017 | EUR | 790,000 | 1,107,930 |
Chesapeake Energy Corp. company guaranty sr. unsec. notes | |||
9 1/2s, 2015 | $1,945,000 | 2,146,793 | |
Chesapeake Energy Corp. company guaranty sr. unsec. notes | |||
5 3/4s, 2023 | 675,000 | 671,625 | |
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield | |||
Finance, Inc. company guaranty sr. unsec. unsub. notes | |||
6 5/8s, 2019 | 2,580,000 | 2,592,900 | |
Comstock Resources, Inc. company guaranty sr. unsub. notes | |||
8 3/8s, 2017 | 1,255,000 | 1,311,474 | |
Concho Resources, Inc. company guaranty sr. unsec. notes | |||
6 1/2s, 2022 | 1,650,000 | 1,749,000 | |
Concho Resources, Inc. company guaranty sr. unsec. unsub. | |||
notes 5 1/2s, 2023 | 1,480,000 | 1,435,600 | |
Concho Resources, Inc. company guaranty sr. unsec. unsub. | |||
notes 5 1/2s, 2022 | 1,222,000 | 1,194,504 | |
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) | 2,246,000 | 1,583,430 | |
Continental Resources, Inc. company guaranty sr. unsec. | |||
notes 5s, 2022 | 6,245,000 | 6,307,450 | |
Continental Resources, Inc. company guaranty sr. unsec. notes | |||
4 1/2s, 2023 | 1,020,000 | 1,002,150 | |
Crosstex Energy LP/Crosstex Energy Finance Corp. company | |||
guaranty sr. unsec. notes 8 7/8s, 2018 | 2,840,000 | 3,017,500 | |
Crosstex Energy LP/Crosstex Energy Finance Corp. company | |||
guaranty sr. unsec. notes 7 1/8s, 2022 | 905,000 | 927,624 | |
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes | |||
7 1/8s, 2021 | 1,370,000 | 1,356,300 | |
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes | |||
8 1/4s, 2020 | 2,062,000 | 2,268,200 | |
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes | |||
6 3/8s, 2021 | 1,280,000 | 1,340,800 | |
40 | High Yield Trust |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value |
Oil and gas cont. | ||
EXCO Resources, Inc. company guaranty sr. unsec. notes | ||
7 1/2s, 2018 | $4,173,000 | $4,089,540 |
Forbes Energy Services Ltd. company guaranty sr. unsec. | ||
notes 9s, 2019 | 1,865,000 | 1,874,324 |
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. | ||
notes 8 7/8s, 2019 | 4,030,000 | 4,150,900 |
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes | ||
7 3/4s, 2020 | 1,345,000 | 1,405,524 |
Halcon Resources Corp. company guaranty sr. unsec. unsub. | ||
notes 8 7/8s, 2021 | 6,490,000 | 6,506,225 |
Hercules Offshore, Inc. 144A company guaranty sr. notes | ||
7 1/8s, 2017 | 235,000 | 249,100 |
Hercules Offshore, Inc. 144A sr. notes 10 1/2s, 2017 | 2,825,000 | 2,987,437 |
Hercules Offshore, Inc. 144A sr. unsec. notes 8 3/4s, 2021 | 875,000 | 929,688 |
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. | ||
notes 8 1/8s, 2019 | 3,785,000 | 4,144,574 |
Kodiak Oil & Gas Corp. 144A sr. unsec. unsub. notes | ||
5 1/2s, 2022 | 850,000 | 820,250 |
Laredo Petroleum, Inc. company guaranty sr. unsec. notes | ||
7 3/8s, 2022 | 905,000 | 954,775 |
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. | ||
notes 9 1/2s, 2019 | 3,579,000 | 3,981,637 |
Linn Energy LLC/Linn Energy Finance Corp. company guaranty | ||
sr. unsec. notes 6 1/2s, 2019 | 2,510,000 | 2,359,400 |
Linn Energy LLC/Linn Energy Finance Corp. 144A company | ||
guaranty sr. unsec. notes 6 1/4s, 2019 | 2,000,000 | 1,840,000 |
Lone Pine Resources Canada, Ltd. company guaranty sr. unsec. | ||
notes 10 3/8s, 2017 (Canada) (In default) † | 699,000 | 440,370 |
MEG Energy Corp. 144A company guaranty sr. unsec. notes | ||
6 1/2s, 2021 (Canada) | 1,755,000 | 1,785,712 |
MEG Energy Corp. 144A company guaranty sr. unsec. notes | ||
6 3/8s, 2023 (Canada) | 1,175,000 | 1,172,062 |
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 | ||
(In default) † | 2,825,000 | 2,175,250 |
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 | 2,585,000 | 2,572,074 |
Newfield Exploration Co. sr. unsec. sub. notes 7 1/8s, 2018 | 490,000 | 508,375 |
Newfield Exploration Co. sr. unsec. unsub. notes 5 5/8s, 2024 | 1,130,000 | 1,090,450 |
Northern Oil and Gas, Inc. company guaranty sr. unsec. | ||
notes 8s, 2020 | 3,790,000 | 3,846,850 |
Oasis Petroleum, Inc. company guaranty sr. unsec. notes | ||
6 7/8s, 2023 | 1,445,000 | 1,515,444 |
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, | ||
2020 (Canada) | 4,985,000 | 4,735,750 |
Plains Exploration & Production Co. company guaranty | ||
sr. unsec. notes 6 3/4s, 2022 | 4,078,000 | 4,337,871 |
Range Resources Corp. company guaranty sr. sub. notes | ||
6 3/4s, 2020 | 1,080,000 | 1,163,700 |
Range Resources Corp. company guaranty sr. unsec. sub. | ||
notes 5s, 2022 | 1,070,000 | 1,045,925 |
Rosetta Resources, Inc. company guaranty sr. unsec. notes | ||
9 1/2s, 2018 | 4,155,000 | 4,487,400 |
High Yield Trust | 41 |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value |
Oil and gas cont. | ||
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. | ||
notes 5 5/8s, 2021 | $815,000 | $786,475 |
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016 | 4,071,000 | 4,483,189 |
Sabine Pass LNG LP 144A sr. notes 6 1/2s, 2020 | 1,060,000 | 1,065,300 |
Samson Investment Co. 144A sr. unsec. notes 10 1/4s, 2020 | 3,830,000 | 4,002,350 |
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. | ||
notes 7 1/2s, 2021 | 580,000 | 577,100 |
Seven Generations Energy Ltd. 144A sr. unsec. notes 8 1/4s, | ||
2020 (Canada) | 890,000 | 916,433 |
Shelf Drilling Holdings Ltd. 144A sr. notes 8 5/8s, 2018 | 2,340,000 | 2,486,250 |
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 | 1,255,000 | 1,311,475 |
SM Energy Co. sr. unsec. notes 6 1/2s, 2021 | 1,105,000 | 1,160,250 |
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 | 435,000 | 452,400 |
Suburban Propane Partners LP/Suburban Energy Finance Corp. | ||
sr. unsec. notes 7 3/8s, 2021 | 1,448,000 | 1,524,020 |
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 | 2,200,000 | 2,249,500 |
Whiting Petroleum Corp. company guaranty notes 7s, 2014 | 2,107,000 | 2,149,140 |
Williams Cos., Inc. (The) notes 7 3/4s, 2031 | 293,000 | 335,104 |
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 | 639,000 | 759,744 |
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 | 890,000 | 887,775 |
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 | 3,913,000 | 4,147,780 |
151,346,790 | ||
Publishing (0.1%) | ||
American Media, Inc. 144A notes 13 1/2s, 2018 | 334,251 | 341,772 |
Gannett Co., Inc. 144A sr. unsec. FRN notes 5 1/8s, 2020 | 1,360,000 | 1,339,600 |
1,681,372 | ||
Regional Bells (0.6%) | ||
Cincinnati Bell, Inc. company guaranty sr. unsec. notes | ||
8 3/8s, 2020 | 415,000 | 438,863 |
CyrusOne LP/CyrusOne Finance Corp. company guaranty | ||
sr. unsec. notes 6 3/8s, 2022 | 885,000 | 889,425 |
Frontier Communications Corp. sr. unsec. notes 9 1/4s, 2021 | 325,000 | 368,875 |
Frontier Communications Corp. sr. unsec. notes 8 1/2s, 2020 | 2,045,000 | 2,234,162 |
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 | 3,790,000 | 4,197,425 |
8,128,750 | ||
Retail (3.1%) | ||
Academy, Ltd./Academy Finance Corp. 144A company | ||
guaranty sr. unsec. notes 9 1/4s, 2019 | 2,035,000 | 2,269,024 |
Autonation, Inc. company guaranty sr. unsec. notes | ||
6 3/4s, 2018 | 800,000 | 900,000 |
Autonation, Inc. company guaranty sr. unsec. unsub. notes | ||
5 1/2s, 2020 | 760,000 | 796,100 |
Bon-Ton Department Stores, Inc. (The) company guaranty notes | ||
10 5/8s, 2017 | 1,259,000 | 1,259,000 |
Bon-Ton Department Stores, Inc. (The) 144A notes 8s, 2021 | 2,345,000 | 2,268,788 |
Burlington Coat Factory Warehouse Corp. company guaranty | ||
sr. unsec. notes 10s, 2019 | 2,375,000 | 2,648,125 |
Burlington Holdings, LLC/Burlington Holding Finance, Inc. 144A | ||
sr. unsec. notes 9s, 2018 ‡‡ | 545,000 | 557,263 |
CST Brands, Inc. 144A company guaranty sr. unsec. | ||
notes 5s, 2023 | 3,442,000 | 3,269,900 |
42 | High Yield Trust |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value |
Retail cont. | ||
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes | ||
9 3/4s, 2019 ‡‡ | $1,085,000 | $1,117,550 |
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 | 2,845,000 | 3,022,812 |
L Brands, Inc. sr. notes 5 5/8s, 2022 | 1,155,000 | 1,157,888 |
Michaels FinCo Holdings, LLC/Michaels FinCo, Inc. 144A | ||
sr. unsec. notes 7 1/2s, 2018 ‡‡ | 2,909,000 | 2,916,273 |
Michaels Stores, Inc. company guaranty notes 11 3/8s, 2016 | 2,771,000 | 2,864,549 |
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 | 4,365,000 | 4,441,388 |
Neiman-Marcus Group, Inc. (The) company guaranty sr. notes | ||
7 1/8s, 2028 | 1,996,000 | 1,996,000 |
New Academy Finance Co., LLC/New Academy Finance Corp. | ||
144A sr. unsec. notes 8s, 2018 ‡‡ | 1,510,000 | 1,547,750 |
Penske Automotive Group, Inc. company guaranty sr. unsec. | ||
sub. notes 5 3/4s, 2022 | 2,165,000 | 2,143,350 |
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes | ||
9 1/4s, 2018 | 1,455,000 | 1,558,669 |
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017 ‡‡ | 1,395,000 | 1,419,413 |
Rent-A-Center, Inc. 144A sr. unsec. notes 4 3/4s, 2021 | 1,580,000 | 1,465,450 |
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes | ||
10 1/4s, 2016 ‡‡ | 2,175,000 | 2,234,834 |
41,854,126 | ||
Technology (4.7%) | ||
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. | ||
notes 6 3/8s, 2020 | 1,010,000 | 1,020,100 |
Alcatel-Lucent USA, Inc. sr. unsec. unsub. notes 6.45s, 2029 | 1,029,000 | 792,330 |
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 | 1,486,000 | 1,147,935 |
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 | 5,845,000 | 5,348,175 |
Ceridian Corp. company guaranty sr. unsec. notes | ||
12 1/4s, 2015 ‡‡ | 1,094,850 | 1,111,273 |
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 | 1,115,000 | 1,128,938 |
Ceridian Corp. 144A sr. notes 8 7/8s, 2019 | 1,375,000 | 1,543,438 |
Ceridian Corp. 144A sr. unsec. notes 11s, 2021 | 3,819,000 | 4,401,398 |
Epicor Software Corp. company guaranty sr. unsec. notes | ||
8 5/8s, 2019 | 2,027,000 | 2,138,485 |
First Data Corp. company guaranty sr. unsec. notes | ||
12 5/8s, 2021 | 5,621,000 | 6,077,706 |
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 | 5,941,000 | 6,074,673 |
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 | 2,680,000 | 2,780,500 |
First Data Corp. 144A company guaranty sr. unsec. notes | ||
11 1/4s, 2021 | 1,880,000 | 1,927,000 |
First Data Corp. 144A company guaranty sr. unsec. sub. notes | ||
11 3/4s, 2021 | 1,950,000 | 1,823,250 |
Freescale Semiconductor, Inc. company guaranty sr. unsec. | ||
notes 10 3/4s, 2020 | 1,447,000 | 1,598,935 |
Freescale Semiconductor, Inc. 144A company guaranty sr. notes | ||
9 1/4s, 2018 | 3,000,000 | 3,240,000 |
Infor US, Inc. company guaranty sr. unsec. notes 9 3/8s, 2019 | 1,390,000 | 1,546,375 |
Infor US, Inc. company guaranty sr. unsec. unsub. notes | ||
11 1/2s, 2018 | 1,390,000 | 1,612,400 |
High Yield Trust | 43 |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value |
Technology cont. | ||
Iron Mountain, Inc. company guaranty sr. sub. notes | ||
7 3/4s, 2019 | $890,000 | $983,450 |
Iron Mountain, Inc. company guaranty sr. unsec. unsub. | ||
notes 6s, 2023 | 2,400,000 | 2,382,000 |
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021 | 370,000 | 402,375 |
Jazz Technologies, Inc. company guaranty sr. unsec. | ||
notes 8s, 2015 | 2,261,000 | 2,102,730 |
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) | 5,140,000 | 4,865,935 |
SunGard Data Systems, Inc. unsec. sub. notes 6 5/8s, 2019 | 1,400,000 | 1,421,000 |
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 | 3,173,000 | 3,395,110 |
Syniverse Holdings, Inc. company guaranty sr. unsec. notes | ||
9 1/8s, 2019 | 2,610,000 | 2,805,750 |
63,671,261 | ||
Telecommunications (6.8%) | ||
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A | ||
company guaranty sr. notes 12s, 2017 | 1,050,000 | 1,212,750 |
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019 | 1,020,000 | 1,096,500 |
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 | 1,895,000 | 1,790,775 |
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) | 2,510,000 | 2,660,600 |
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) | 1,695,000 | 1,762,800 |
Equinix, Inc. sr. unsec. notes 7s, 2021 | 1,285,000 | 1,374,950 |
Hughes Satellite Systems Corp. company guaranty sr. notes | ||
6 1/2s, 2019 | 2,130,000 | 2,241,825 |
Hughes Satellite Systems Corp. company guaranty sr. unsec. | ||
notes 7 5/8s, 2021 | 2,826,000 | 3,030,885 |
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes | ||
7 1/2s, 2021 (Bermuda) | 2,026,000 | 2,188,080 |
Intelsat Luxembourg SA 144A company guaranty sr. unsec. | ||
notes 8 1/8s, 2023 (Luxembourg) | 5,415,000 | 5,658,675 |
Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, | ||
2021 (Luxembourg) | 7,259,000 | 7,476,770 |
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. | ||
notes 9 3/8s, 2019 | 868,000 | 952,630 |
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. | ||
notes 8 5/8s, 2020 | 1,980,000 | 2,118,600 |
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. | ||
notes 8 1/8s, 2019 | 470,000 | 497,025 |
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. | ||
notes 7s, 2020 | 1,479,000 | 1,490,093 |
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. | ||
unsub. notes 6 5/8s, 2023 | 3,666,000 | 3,638,505 |
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. | ||
unsub. notes 6 1/4s, 2021 | 4,159,000 | 4,148,603 |
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, | ||
2016 (Mexico) | 425,000 | 415,438 |
NII Capital Corp. company guaranty sr. unsec. unsub. notes | ||
8 7/8s, 2019 (Mexico) | 613,000 | 510,323 |
NII Capital Corp. company guaranty sr. unsec. unsub. notes | ||
7 5/8s, 2021 (Mexico) | 2,677,000 | 2,047,905 |
NII International Telecom Sarl 144A company guaranty sr. unsec. | ||
notes 11 3/8s, 2019 (Luxembourg) | 410,000 | 440,750 |
44 | High Yield Trust |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value | |
Telecommunications cont. | |||
NII International Telecom Sarl 144A company guaranty sr. unsec. | |||
notes 7 7/8s, 2019 (Luxembourg) | $2,525,000 | $2,379,813 | |
PAETEC Holding Corp. company guaranty sr. unsec. notes | |||
9 7/8s, 2018 | 1,075,000 | 1,195,938 | |
Qwest Corp. sr. unsec. notes 6 3/4s, 2021 | 1,500,000 | 1,609,457 | |
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 | 2,436,000 | 2,694,379 | |
SBA Telecommunications, Inc. company guaranty sr. unsec. | |||
notes 8 1/4s, 2019 | 982,000 | 1,065,470 | |
SBA Telecommunications, Inc. notes 5 3/4s, 2020 | 2,285,000 | 2,296,425 | |
Sprint Capital Corp. company guaranty 6 7/8s, 2028 | 5,247,000 | 4,735,418 | |
Sprint Nextel Corp. sr. notes 8 3/8s, 2017 | 2,555,000 | 2,867,988 | |
Sprint Nextel Corp. sr. unsec. unsub. notes 9 1/8s, 2017 | 710,000 | 814,725 | |
Sprint Nextel Corp. sr. unsec. unsub. notes 7s, 2020 | 3,165,000 | 3,267,863 | |
Sprint Nextel Corp. 144A company guaranty sr. unsec. | |||
notes 9s, 2018 | 6,506,000 | 7,612,020 | |
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 | 1,959,000 | 2,101,028 | |
Wind Acquisition Finance SA company guaranty sr. notes | |||
Ser. REGS, 7 3/8s, 2018 (Luxembourg) | EUR | 500,000 | 672,581 |
Wind Acquisition Finance SA 144A company guaranty sr. notes | |||
7 1/4s, 2018 (Luxembourg) | $2,375,000 | 2,422,500 | |
Wind Acquisition Finance SA 144A sr. notes 11 3/4s, | |||
2017 (Luxembourg) | 875,000 | 914,375 | |
Wind Acquisition Holdings Finance SA 144A company guaranty | |||
sr. notes 12 1/4s, 2017 (Luxembourg) ‡‡ | 1,359,653 | 1,390,245 | |
Windstream Holdings, Inc. company guaranty sr. unsec. notes | |||
6 3/8s, 2023 | 1,235,000 | 1,116,131 | |
Windstream Holdings, Inc. company guaranty sr. unsec. unsub. | |||
notes 8 1/8s, 2018 | 825,000 | 884,813 | |
Windstream Holdings, Inc. company guaranty sr. unsec. unsub. | |||
notes 7 7/8s, 2017 | 1,938,000 | 2,151,180 | |
Windstream Holdings, Inc. company guaranty sr. unsec. unsub. | |||
notes 7 3/4s, 2021 | 2,047,000 | 2,093,058 | |
91,039,889 | |||
Telephone (0.1%) | |||
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 | 540,000 | 529,200 | |
T-Mobile USA, Inc. 144A sr. unsec. notes 5 1/4s, 2018 | 960,000 | 969,600 | |
1,498,800 | |||
Textiles (0.1%) | |||
Hanesbrands, Inc. sr. unsec. notes 8s, 2016 | 905,000 | 957,038 | |
Quiksilver, Inc./QS Wholesale, Inc. 144A company guaranty | |||
sr. unsec. notes 7 7/8s, 2018 | 255,000 | 261,375 | |
Quiksilver, Inc./QS Wholesale, Inc. 144A sr. unsec. | |||
notes 10s, 2020 | 250,000 | 253,125 | |
1,471,538 | |||
Transportation (1.2%) | |||
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, | |||
2018 (Luxembourg) | 4,295,000 | 4,499,013 | |
Aguila 3 SA 144A company guaranty sr. unsec. notes 7 7/8s, | |||
2018 (Luxembourg) | 1,080,000 | 1,131,300 | |
Air Medical Group Holdings, Inc. company guaranty sr. notes | |||
9 1/4s, 2018 | 2,732,000 | 2,947,145 | |
High Yield Trust | 45 |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value |
Transportation cont. | ||
CHC Helicopter SA company guaranty sr. notes 9 1/4s, | ||
2020 (Canada) | $2,650,000 | $2,716,250 |
Swift Services Holdings, Inc. company guaranty sr. | ||
notes 10s, 2018 | 2,345,000 | 2,591,225 |
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty | ||
sr. unsec. notes 6 3/8s, 2023 | 2,010,000 | 1,984,875 |
15,869,808 | ||
Utilities and power (4.2%) | ||
AES Corp. (VA) sr. unsec. notes 8s, 2020 | 1,291,000 | 1,465,285 |
AES Corp. (VA) sr. unsec. unsub. notes 9 3/4s, 2016 | 270,000 | 314,550 |
AES Corp. (VA) sr. unsec. unsub. notes 8s, 2017 | 2,405,000 | 2,765,750 |
AES Corp. (VA) sr. unsec. unsub. notes 7 3/8s, 2021 | 2,965,000 | 3,231,850 |
AES Corp. (VA) sr. unsec. unsub. notes 4 7/8s, 2023 | 950,000 | 871,625 |
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 | 3,227,000 | 3,477,093 |
Calpine Corp. 144A sr. notes 7 1/4s, 2017 | 1,348,000 | 1,405,290 |
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 | 3,047,000 | 3,412,040 |
DPL, Inc. sr. unsec. notes 6 1/2s, 2016 | 3,010,000 | 3,175,550 |
Dynegy Holdings Escrow, LLC escrow bonds 7 3/4s, 2019 | 2,590,000 | 3,238 |
El Paso Corp. sr. unsec. notes 7s, 2017 | 1,000,000 | 1,114,249 |
El Paso Corp. sr. unsec. notes Ser. GMTN, 7.8s, 2031 | 121,000 | 127,030 |
El Paso Natural Gas Co. debs. 8 5/8s, 2022 | 1,597,000 | 2,058,255 |
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. | ||
sr. notes 10s, 2020 | 3,234,000 | 3,407,828 |
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. | ||
144A notes 12 1/4s, 2022 | 2,875,000 | 3,198,438 |
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. | ||
144A sr. notes 10s, 2020 | 940,000 | 988,175 |
Energy Transfer Equity L.P. company guaranty sr. unsec. notes | ||
7 1/2s, 2020 | 3,360,000 | 3,662,400 |
EP Energy, LLC/Everest Acquisition Finance, Inc. company | ||
guaranty sr. notes 6 7/8s, 2019 | 1,035,000 | 1,099,688 |
EP Energy, LLC/Everest Acquisition Finance, Inc. company | ||
guaranty sr. unsec. notes 7 3/4s, 2022 | 695,000 | 743,650 |
EP Energy/EP Energy Finance, Inc. sr. unsec. notes 9 3/8s, 2020 | 3,355,000 | 3,694,694 |
EPE Holdings, LLC/EP Energy Bond Co., Inc. 144A sr. unsec. | ||
notes 8 1/8s, 2017 ‡‡ | 1,579,987 | 1,615,537 |
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 | 2,225,000 | 2,336,250 |
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 | 765,000 | 851,063 |
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 | 610,000 | 689,300 |
NRG Energy, Inc. company guaranty sr. unsec. notes | ||
7 7/8s, 2021 | 4,166,000 | 4,478,450 |
PNM Resources, Inc. unsec. unsub. notes 9 1/4s, 2015 | 265,000 | 296,469 |
Regency Energy Partners company guaranty sr. unsec. unsub. | ||
notes 5 1/2s, 2023 | 1,720,000 | 1,659,800 |
Regency Energy Partners 144A company guaranty sr. unsec. | ||
notes 4 1/2s, 2023 | 2,100,000 | 1,874,250 |
Regency Energy Partners LP/Regency Energy Finance Corp. | ||
company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 | 200,000 | 212,000 |
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028 | 639,000 | 769,631 |
46 | High Yield Trust |
CORPORATE BONDS AND NOTES (87.2%)* cont. | Principal amount | Value |
Utilities and power cont. | ||
Texas Competitive/Texas Competitive Electric Holdings Co., LLC | ||
company guaranty notes 15s, 2021 | $2,756,000 | $647,660 |
Texas Competitive/Texas Competitive Electric Holdings Co., LLC | ||
144A company guaranty sr. notes 11 1/2s, 2020 | 1,345,000 | 936,456 |
56,583,544 | ||
Total corporate bonds and notes (cost $1,150,500,489) | $1,173,164,524 | |
SENIOR LOANS (4.9%)* c | Principal amount | Value |
Basic materials (0.1%) | ||
Oxea Sarl bank term loan FRN 8 1/4s, 2020 (Germany) | $1,365,000 | $1,358,175 |
1,358,175 | ||
Capital goods (—%) | ||
Mirror Bidco Corp. bank term loan FRN 5 1/4s, | ||
2019 (Luxembourg) | 403,400 | 406,257 |
406,257 | ||
Communication services (0.3%) | ||
Asurion Corp. bank term loan FRN 11s, 2019 | 1,960,000 | 2,038,400 |
Cricket Communications, Inc. bank term loan FRN Ser. C, | ||
4 3/4s, 2020 | 1,425,000 | 1,428,563 |
3,466,963 | ||
Consumer cyclicals (2.6%) | ||
Academy, Ltd. bank term loan FRN Ser. B, 4 1/2s, 2018 | 535,950 | 537,708 |
Aot Bedding Super Holdings, LLC bank term loan FRN 5s, 2019 | 1,358,175 | 1,361,570 |
Burlington Coat Factory Warehouse Corp. bank term loan FRN | ||
Ser. B2, 4 1/4s, 2017 | 368,842 | 370,779 |
Caesars Entertainment Operating Co., Inc. bank term loan FRN | ||
Ser. B6, 5.443s, 2018 | 6,605,653 | 5,915,157 |
CCM Merger, Inc. bank term loan FRN Ser. B, 5s, 2017 | 3,696,044 | 3,717,603 |
Clear Channel Communications, Inc. bank term loan FRN Ser. D, | ||
6.936s, 2019 | 6,046,000 | 5,559,297 |
Cumulus Media Holdings, Inc. bank term loan FRN 7 1/2s, 2019 | 1,694,746 | 1,725,464 |
Golden Nugget, Inc. bank term loan FRN Ser. B, 3.19s, 2014 ‡‡ | 1,359,444 | 1,340,752 |
Golden Nugget, Inc. bank term loan FRN Ser. DD, 3.19s, 2014 ‡‡ | 773,796 | 763,156 |
Harrah’s bank term loan FRN Ser. B, 9 1/2s, 2016 | 829,900 | 824,482 |
J. Crew Group, Inc. bank term loan FRN Ser. B, 4s, 2018 | 634,847 | 633,486 |
J.C. Penney Corp., Inc. bank term loan FRN 6s, 2018 | 945,000 | 920,868 |
Neiman-Marcus Group, Inc. (The) bank term loan FRN 4s, 2018 | 2,142,000 | 2,139,993 |
Travelport, LLC bank term loan FRN 9 1/2s, 2016 | 3,482,499 | 3,607,288 |
Travelport, LLC bank term loan FRN 8 3/8s, 2016 ‡‡ | 945,921 | 949,074 |
Travelport, LLC bank term loan FRN 6 1/4s, 2019 | 2,000,000 | 2,018,334 |
Univision Communications, Inc. bank term loan FRN Ser. C1, | ||
4 1/2s, 2020 | 1,375,311 | 1,371,444 |
Yonkers Racing Corp. bank term loan FRN 4 1/4s, 2019 | 1,415,000 | 1,407,925 |
35,164,380 | ||
Consumer staples (0.2%) | ||
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020 | 1,150,000 | 1,155,750 |
Rite Aid Corp. bank term loan FRN 4 7/8s, 2021 | 1,145,000 | 1,150,725 |
WNA Holdings, Inc. bank term loan FRN 8 1/2s, 2020 | 500,000 | 503,125 |
2,809,600 |
High Yield Trust | 47 |
SENIOR LOANS (4.9%)* c cont. | Principal amount | Value |
Energy (0.4%) | ||
Frac Tech International, LLC bank term loan FRN Ser. B, | ||
8 1/2s, 2016 | $2,613,102 | $2,555,397 |
Offshore Group Investment, Ltd. bank term loan FRN Ser. B, | ||
5 3/4s, 2019 (Cayman Islands) | 872,813 | 882,086 |
Tervita Corp. bank term loan FRN Ser. B, 6 1/4s, 2018 (Canada) | 2,303,425 | 2,278,232 |
5,715,715 | ||
Financials (0.4%) | ||
iStar Financial, Inc. bank term loan FRN 4 1/2s, 2017 R | 1,980 | 1,985 |
iStar Financial, Inc. bank term loan FRN Ser. A2, 7s, 2017 R | 585,618 | 602,455 |
Nuveen Investments, Inc. bank term loan FRN 6 1/2s, 2019 | 3,765,000 | 3,736,763 |
Springleaf Financial Funding Co. bank term loan FRN Ser. B, | ||
5 1/2s, 2017 | 849,600 | 849,388 |
5,190,591 | ||
Health care (0.3%) | ||
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 | 1,910,400 | 1,912,788 |
Kinetic Concepts, Inc. bank term loan FRN Ser. D1, 4 1/2s, 2018 | 679,858 | 683,541 |
Par Pharmaceutical Cos., Inc. bank term loan FRN Ser. B, | ||
4 1/4s, 2019 | 1,434,181 | 1,427,010 |
Pharmaceutical Product Development, Inc. bank term loan FRN | ||
Ser. B, 4 1/4s, 2018 | 601,391 | 603,270 |
4,626,609 | ||
Transportation (0.2%) | ||
Air Medical Group Holdings, Inc. bank term loan FRN | ||
7 5/8s, 2018 ‡‡ | 2,860,000 | 2,831,400 |
2,831,400 | ||
Utilities and power (0.4%) | ||
Texas Competitive Electric Holdings Co., LLC bank term loan | ||
FRN 4.712s, 2017 | 7,314,407 | 4,944,086 |
4,944,086 | ||
Total senior loans (cost $68,568,399) | $66,513,776 | |
COMMON STOCKS (1.7%)* | Shares | Value |
Air Methods Corp. | 20,115 | $823,106 |
Calpine Corp. † | 98,200 | 1,898,206 |
CIT Group, Inc. † | 22,503 | 1,077,219 |
DISH Network Corp. Class A | 28,200 | 1,267,872 |
Elizabeth Arden, Inc. † | 42,675 | 1,482,103 |
General Motors Co. † | 85,011 | 2,897,175 |
Harry & David Holdings, Inc. † | 2,716 | 325,920 |
Huntsman Corp. | 125,275 | 2,192,313 |
Jarden Corp. † | 29,620 | 1,272,179 |
Kodiak Oil & Gas Corp. † | 250,980 | 2,507,290 |
LyondellBasell Industries NV Class A | 12,183 | 854,637 |
Motors Liquidation Co. GUC Trust (Units) † | 5,059 | 152,276 |
Newfield Exploration Co. † | 29,820 | 710,312 |
NII Holdings, Inc. † | 156,645 | 936,737 |
Terex Corp. † | 49,414 | 1,433,006 |
Tribune Co. † | 24,806 | 1,478,438 |
Tribune Co. Class 1C F | 2,165,993 | 541,498 |
48 | High Yield Trust |
COMMON STOCKS (1.7%)* cont. | Shares | Value | ||
Trump Entertainment Resorts, Inc. † | 3,732 | $7,464 | ||
Vantage Drilling Co. † | 781,628 | 1,344,400 | ||
Total common stocks (cost $26,191,392) | $23,202,151 | |||
CONVERTIBLE PREFERRED STOCKS (0.9%)* | Shares | Value | ||
EPR Properties Ser. C, $1.44 cv. pfd. | 114,663 | $2,458,088 | ||
General Motors Co. Ser. B, $2.375 cv. pfd. | 55,378 | 2,689,294 | ||
MetLife, Inc. $3.75 cv. pfd. | 37,735 | 2,064,105 | ||
United Technologies Corp. $3.75 cv. pfd. | 26,200 | 1,627,282 | ||
Weyerhaeuser Co. Ser. A, $3.188 cv. pfd. † R | 52,831 | 2,823,157 | ||
Total convertible preferred stocks (cost $11,110,869) | $11,661,926 | |||
PREFERRED STOCKS (0.5%)* | Shares | Value | ||
Ally Financial, Inc. 144A 7.00% cum. pfd. | 3,362 | $3,145,781 | ||
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. | 98,915 | 2,622,237 | ||
M/I Homes, Inc. $2.438 pfd. | 53,597 | 1,352,252 | ||
Total preferred stocks (cost $5,495,246) | $7,120,270 | |||
CONVERTIBLE BONDS AND NOTES (0.3%)* | Principal amount | Value | ||
DFC Global Corp. 144A cv. sr. unsec. unsub. notes 3 1/4s, 2017 | $1,704,000 | $1,568,532 | ||
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016 R | 907,000 | 1,083,298 | ||
XM Satellite Radio, Inc. 144A cv. company guaranty sr. unsec. | ||||
sub. notes 7s, 2014 | 995,000 | 1,997,463 | ||
Total convertible bonds and notes (cost $3,990,478) | $4,649,293 | |||
WARRANTS (0.1%)*† | Expiration | Strike | ||
date | price | Warrants | Value | |
Charter Communications, Inc. Class A | 11/30/14 | $46.86 | 420 | $31,714 |
General Motors Co. | 7/10/19 | 18.33 | 18,319 | 314,537 |
General Motors Co. | 7/10/16 | 10.00 | 18,319 | 451,747 |
Tower Semiconductor, Ltd. 144A (Israel) F | 6/30/15 | 0.01 | 672,570 | — |
Total warrants (cost $770,298) | $797,998 | |||
SHORT-TERM INVESTMENTS (2.1%)* | Principal amount/shares | Value | ||
Putnam Short Term Investment Fund 0.07% L | 28,118,678 | $28,118,678 | ||
U.S. Treasury Bills with an effective yield of 0.10%, | ||||
July 24, 2014 ∆ | $221,000 | 220,791 | ||
Total short-term investments (cost $28,339,476) | $28,339,469 | |||
TOTAL INVESTMENTS | ||||
Total investments (cost $1,294,966,647) | $1,315,449,407 |
High Yield Trust | 49 |
Key to holding’s currency abbreviations
CAD | Canadian Dollar |
EUR | Euro |
GBP | British Pound |
Key to holding’s abbreviations
EMTN | Euro Medium Term Notes |
FRB | Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period |
FRN | Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period |
GMTN | Global Medium Term Notes |
MTN | Medium Term Notes |
Notes to the fund’s portfolio
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from September 1, 2012 through August 31, 2013 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to “OTC”, if any, represent over-the-counter.
* Percentages indicated are based on net assets of $1,345,593,597.
† Non-income-producing security.
‡‡ Income may be received in cash or additional securities at the discretion of the issuer.
∆ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
c Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 6).
F Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities’ valuation inputs (Note 1).
L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
R Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $302,666 to cover certain derivatives contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
50 | High Yield Trust |
FORWARD CURRENCY CONTRACTS at 8/31/13 (aggregate face value $29,649,316)
Unrealized | ||||||
Contract | Delivery | Aggregate | appreciation/ | |||
Counterparty | Currency | type | date | Value | face value | (depreciation) |
Bank of America N.A. | ||||||
Canadian Dollar | Sell | 10/18/13 | $252,642 | $253,022 | $380 | |
Euro | Sell | 9/18/13 | 955,332 | 946,454 | (8,878) | |
Barclays Bank PLC | ||||||
British Pound | Sell | 9/18/13 | 4,087,357 | 4,044,868 | (42,489) | |
Euro | Sell | 9/18/13 | 2,228,272 | 2,208,654 | (19,618) | |
Citibank, N.A. | ||||||
Euro | Sell | 9/18/13 | 94,767 | 93,873 | (894) | |
Credit Suisse International | ||||||
Euro | Sell | 9/18/13 | 3,415,829 | 3,356,401 | (59,428) | |
Deutsche Bank AG | ||||||
Euro | Sell | 9/18/13 | 2,000,012 | 1,968,134 | (31,878) | |
Goldman Sachs International | ||||||
Euro | Sell | 9/18/13 | 2,186,374 | 2,172,161 | (14,213) | |
HSBC Bank USA, National Association | ||||||
Euro | Sell | 9/18/13 | 1,364,931 | 1,343,755 | (21,176) | |
JPMorgan Chase Bank N.A. | ||||||
Canadian Dollar | Sell | 10/18/13 | 830,476 | 832,027 | 1,551 | |
Euro | Sell | 9/18/13 | 2,478,604 | 2,455,949 | (22,655) | |
State Street Bank and Trust Co. | ||||||
Canadian Dollar | Sell | 10/18/13 | 1,051,349 | 1,038,450 | (12,899) | |
Euro | Sell | 9/18/13 | 2,489,706 | 2,467,647 | (22,059) | |
UBS AG | ||||||
Euro | Sell | 9/18/13 | 2,382,780 | 2,360,406 | (22,374) | |
WestPac Banking Corp. | ||||||
Canadian Dollar | Sell | 10/18/13 | 1,736,158 | 1,751,119 | 14,961 | |
Euro | Sell | 9/18/13 | 2,378,550 | 2,356,396 | (22,154) | |
Total | $(283,823) |
High Yield Trust | 51 |
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:
Valuation inputs | ||||
Investments in securities: | Level 1 | Level 2 | Level 3 | |
Common stocks*: | ||||
Basic materials | $3,046,950 | $— | $— | |
Capital goods | 1,433,006 | — | — | |
Communication services | 2,204,609 | — | — | |
Consumer cyclicals | 5,800,068 | 7,464 | 541,498 | |
Consumer staples | 1,482,103 | 325,920 | — | |
Energy | 4,562,002 | — | — | |
Financials | 1,077,219 | — | — | |
Health care | 823,106 | — | — | |
Utilities and power | 1,898,206 | — | — | |
Total common stocks | 22,327,269 | 333,384 | 541,498 | |
Convertible bonds and notes | — | 4,649,293 | — | |
Convertible preferred stocks | 1,627,282 | 10,034,644 | — | |
Corporate bonds and notes | — | 1,173,164,524 | — | |
Preferred stocks | — | 7,120,270 | — | |
Senior loans | — | 66,513,776 | — | |
Warrants | 766,284 | 31,714 | — | |
Short-term investments | 28,118,678 | 220,791 | — | |
Totals by level | $52,839,513 | $1,262,068,396 | $541,498 | |
Valuation inputs | ||||
Other financial instruments: | Level 1 | Level 2 | Level 3 | |
Forward currency contracts | $— | $(283,823) | $— | |
Totals by level | $— | $(283,823) | $— |
* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund’s portfolio.
The accompanying notes are an integral part of these financial statements.
52 | High Yield Trust |
Statement of assets and liabilities 8/31/13
ASSETS | |
Investment in securities, at value (Note 1): | |
Unaffiliated issuers (identified cost $1,266,847,969) | $1,287,330,729 |
Affiliated issuers (identified cost $28,118,678) (Notes 1 and 5) | 28,118,678 |
Cash | 1,549,632 |
Dividends, interest and other receivables | 24,255,727 |
Receivable for shares of the fund sold | 973,774 |
Receivable for investments sold | 8,457,612 |
Receivable for sales of delayed delivery securities (Notes 1 and 6) | 1,537,240 |
Unrealized appreciation on forward currency contracts (Note 1) | 16,892 |
Total assets | 1,352,240,284 |
LIABILITIES | |
Payable for investments purchased | 2,788,917 |
Payable for shares of the fund repurchased | 1,301,535 |
Payable for compensation of Manager (Note 2) | 684,602 |
Payable for custodian fees (Note 2) | 7,900 |
Payable for investor servicing fees (Note 2) | 337,913 |
Payable for Trustee compensation and expenses (Note 2) | 503,828 |
Payable for administrative services (Note 2) | 2,805 |
Payable for distribution fees (Note 2) | 539,863 |
Unrealized depreciation on forward currency contracts (Note 1) | 300,715 |
Other accrued expenses | 178,609 |
Total liabilities | 6,646,687 |
Net assets | $1,345,593,597 |
REPRESENTED BY | |
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $1,587,876,825 |
Undistributed net investment income (Note 1) | 10,591,900 |
Accumulated net realized loss on investments and foreign currency transactions (Note 1) | (273,073,478) |
Net unrealized appreciation of investments and assets and liabilities in foreign currencies | 20,198,350 |
Total — Representing net assets applicable to capital shares outstanding | $1,345,593,597 |
(Continued on next page)
High Yield Trust | 53 |
Statement of assets and liabilities (Continued)
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
Net asset value and redemption price per class A share | |
($1,060,904,523 divided by 134,701,813 shares) | $7.88 |
Offering price per class A share (100/96.00 of $7.88)* | $8.21 |
Net asset value and offering price per class B share ($20,076,509 divided by 2,553,107 shares)** | $7.86 |
Net asset value and offering price per class C share ($48,785,272 divided by 6,248,467 shares)** | $7.81 |
Net asset value and redemption price per class M share ($20,740,516 divided by 2,624,965 shares) | $7.90 |
Offering price per class M share (100/96.75 of $7.90)† | $8.17 |
Net asset value, offering price and redemption price per class R share | |
($12,462,413 divided by 1,614,652 shares) | $7.72 |
Net asset value, offering price and redemption price per class Y share | |
($182,624,364 divided by 23,615,554 shares) | $7.73 |
* On single retail sales of less than $100,000. On sales of $100,000 or more the offering price is reduced.
** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
† On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.
The accompanying notes are an integral part of these financial statements.
54 | High Yield Trust |
Statement of operations Year ended 8/31/13
INVESTMENT INCOME | |
Interest (net of foreign tax of $10,107) (including interest income of $56,921 from investments | |
in affiliated issuers) (Note 5) | $103,894,389 |
Dividends (net of foreign tax of $14,272) | 1,513,042 |
Total investment income | 105,407,431 |
EXPENSES | |
Compensation of Manager (Note 2) | 8,476,385 |
Investor servicing fees (Note 2) | 2,160,229 |
Custodian fees (Note 2) | 32,779 |
Trustee compensation and expenses (Note 2) | 136,619 |
Distribution fees (Note 2) | 3,883,592 |
Administrative services (Note 2) | 42,337 |
Other | 492,413 |
Total expenses | 15,224,354 |
Expense reduction (Note 2) | (22,985) |
Net expenses | 15,201,369 |
Net investment income | 90,206,062 |
Net realized gain on investments (Notes 1 and 3) | 35,811,089 |
Net realized gain on swap contracts (Note 1) | 159,375 |
Net realized loss on foreign currency transactions (Note 1) | (1,203,669) |
Net unrealized appreciation of assets and liabilities in foreign currencies during the year | 346,127 |
Net unrealized depreciation of investments during the year | (12,030,663) |
Net gain on investments | 23,082,259 |
Net increase in net assets resulting from operations | $113,288,321 |
The accompanying notes are an integral part of these financial statements.
High Yield Trust | 55 |
Statement of changes in net assets
INCREASE (DECREASE) IN NET ASSETS | Year ended 8/31/13 | Year ended 8/31/12 |
Operations: | ||
Net investment income | $90,206,062 | $95,270,886 |
Net realized gain (loss) on investments | ||
and foreign currency transactions | 34,766,795 | (1,921,965) |
Net unrealized appreciation (depreciation) of investments | ||
and assets and liabilities in foreign currencies | (11,684,536) | 72,311,246 |
Net increase in net assets resulting from operations | 113,288,321 | 165,660,167 |
Distributions to shareholders (Note 1): | ||
From ordinary income | ||
Net investment income | ||
Class A | (70,288,846) | (79,446,561) |
Class B | (1,115,428) | (1,224,939) |
Class C | (2,998,982) | (2,886,813) |
Class M | (1,218,277) | (1,309,140) |
Class R | (732,306) | (658,116) |
Class Y | (12,635,291) | (10,766,199) |
Redemption fees (Note 1) | 21,935 | 113,029 |
Increase (decrease) from capital share transactions (Note 4) | (150,938,810) | 120,955,448 |
Total increase (decrease) in net assets | (126,617,684) | 190,436,876 |
NET ASSETS | ||
Beginning of year | 1,472,211,281 | 1,281,774,405 |
End of year (including undistributed net investment income | ||
of $10,591,900 and $10,736,928, respectively) | $1,345,593,597 | $1,472,211,281 |
The accompanying notes are an integral part of these financial statements.
56 | High Yield Trust |
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High Yield Trust | 57 |
Financial highlights (For a common share outstanding throughout the period)
INVESTMENT OPERATIONS: | LESS DISTRIBUTIONS: | RATIOS AND SUPPLEMENTAL DATA: | ||||||||||||
Ratio | Ratio | |||||||||||||
Net realized | of expenses | of net investment | ||||||||||||
Net asset value, | and unrealized | Total from | From | Total return | Net assets, | to average | income (loss) | Portfolio | ||||||
beginning | Net investment | gain (loss) | investment | net investment | Total | Redemption | Non-recurring | Net asset value, | at net asset | end of period | net assets | to average | turnover | |
Period ended | of period | income (loss) a | on investments | operations | income | distributions | fees b | reimbursements | end of period | value (%) c | (in thousands) | (%) d | net assets (%) | (%) |
Class A | ||||||||||||||
August 31, 2013 | $7.76 | .49 | .11 | .60 | (.48) | (.48) | — | — | $7.88 | 7.84 | $1,060,905 | 1.02 | 6.11 | 51 |
August 31, 2012 | 7.39 | .51 | .38 | .89 | (.52) | (.52) | — | — | 7.76 | 12.49 | 1,200,821 | 1.02 | 6.81 | 46 |
August 31, 2011 | 7.40 | .56 | (.03) | .53 | (.54) | (.54) | — | — e,f,g | 7.39 | 7.07 | 1,108,763 | 1.00 | 7.15 | 72 |
August 31, 2010 | 6.68 | .56 | .70 | 1.26 | (.54) | (.54) | — | — h | 7.40 | 19.29 | 1,120,786 | 1.04 i | 7.67 i | 71 |
August 31, 2009 | 7.21 | .49 | (.48) | .01 | (.54) | (.54) | — | — j,k | 6.68 | 1.73 | 1,070,781 | 1.13 i | 8.37 i | 44 |
Class B | ||||||||||||||
August 31, 2013 | $7.74 | .43 | .11 | .54 | (.42) | (.42) | — | — | $7.86 | 7.05 | $20,077 | 1.77 | 5.34 | 51 |
August 31, 2012 | 7.38 | .45 | .37 | .82 | (.46) | (.46) | — | — | 7.74 | 11.51 | 20,589 | 1.77 | 6.08 | 46 |
August 31, 2011 | 7.39 | .50 | (.03) | .47 | (.48) | (.48) | — | — e,f,g | 7.38 | 6.24 | 22,545 | 1.75 | 6.43 | 72 |
August 31, 2010 | 6.67 | .50 | .70 | 1.20 | (.48) | (.48) | — | — h | 7.39 | 18.39 | 41,109 | 1.79 i | 6.96 i | 71 |
August 31, 2009 | 7.19 | .45 | (.47) | (.02) | (.50) | (.50) | — | — j,k | 6.67 | 1.12 | 65,487 | 1.88 i | 7.75 i | 44 |
Class C | ||||||||||||||
August 31, 2013 | $7.69 | .42 | .12 | .54 | (.42) | (.42) | — | — | $7.81 | 7.10 | $48,785 | 1.77 | 5.36 | 51 |
August 31, 2012 | 7.34 | .45 | .36 | .81 | (.46) | (.46) | — | — | 7.69 | 11.48 | 55,496 | 1.77 | 6.02 | 46 |
August 31, 2011 | 7.35 | .49 | (.02) | .47 | (.48) | (.48) | — | — e,f,g | 7.34 | 6.34 | 38,589 | 1.75 | 6.39 | 72 |
August 31, 2010 | 6.65 | .50 | .69 | 1.19 | (.49) | (.49) | — | — h | 7.35 | 18.19 | 38,400 | 1.79 i | 6.92 i | 71 |
August 31, 2009 | 7.17 | .45 | (.47) | (.02) | (.50) | (.50) | — | — j,k | 6.65 | 1.14 | 34,786 | 1.88 i | 7.58 i | 44 |
Class M | ||||||||||||||
August 31, 2013 | $7.78 | .47 | .11 | .58 | (.46) | (.46) | — | — | $7.90 | 7.50 | $20,741 | 1.27 | 5.84 | 51 |
August 31, 2012 | 7.41 | .49 | .38 | .87 | (.50) | (.50) | — | — | 7.78 | 12.16 | 20,501 | 1.27 | 6.56 | 46 |
August 31, 2011 | 7.42 | .54 | (.03) | .51 | (.52) | (.52) | — | — e,f,g | 7.41 | 6.74 | 18,768 | 1.25 | 6.90 | 72 |
August 31, 2010 | 6.69 | .54 | .71 | 1.25 | (.52) | (.52) | — | — h | 7.42 | 19.12 | 19,218 | 1.29 i | 7.46 i | 71 |
August 31, 2009 | 7.23 | .47 | (.48) | (.01) | (.53) | (.53) | — | — j,k | 6.69 | 1.36 | 17,087 | 1.38 i | 8.03 i | 44 |
Class R | ||||||||||||||
August 31, 2013 | $7.61 | .46 | .11 | .57 | (.46) | (.46) | — | — | $7.72 | 7.60 | $12,462 | 1.27 | 5.83 | 51 |
August 31, 2012 | 7.26 | .48 | .37 | .85 | (.50) | (.50) | — | — | 7.61 | 12.17 | 10,744 | 1.27 | 6.54 | 46 |
August 31, 2011 | 7.30 | .52 | (.04) | .48 | (.52) | (.52) | — | — e,f,g | 7.26 | 6.49 | 8,473 | 1.25 | 6.86 | 72 |
August 31, 2010 | 6.61 | .53 | .69 | 1.22 | (.53) | (.53) | — | — h | 7.30 | 18.80 | 5,085 | 1.29 i | 7.36 i | 71 |
August 31, 2009 | 7.16 | .46 | (.48) | (.02) | (.53) | (.53) | — | — j,k | 6.61 | 1.23 | 2,296 | 1.38 i | 7.93 i | 44 |
Class Y | ||||||||||||||
August 31, 2013 | $7.63 | .49 | .11 | .60 | (.50) | (.50) | — | — | $7.73 | 8.03 | $182,624 | .77 | 6.30 | 51 |
August 31, 2012 | 7.28 | .52 | .37 | .89 | (.54) | (.54) | — | — | 7.63 | 12.71 | 164,060 | .77 | 7.01 | 46 |
August 31, 2011 | 7.31 | .57 | (.04) | .53 | (.56) | (.56) | — | — e,f,g | 7.28 | 7.18 | 84,635 | .75 | 7.41 | 72 |
August 31, 2010 | 6.61 | .57 | .69 | 1.26 | (.56) | (.56) | — | — h | 7.31 | 19.49 | 99,244 | .79 i | 7.80 i | 71 |
August 31, 2009 | 7.14 | .54 | (.52) | .02 | (.55) | (.55) | — | — j,k | 6.61 | 1.98 | 42,372 | .88 i | 9.11 i | 44 |
See notes to financial highlights at the end of this section.
The accompanying notes are an integral part of these financial statements.
58 | High Yield Trust | High Yield Trust | 59 |
Financial highlights (Continued)
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Amount represents less than $0.01 per share.
c Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
d Includes amounts paid through expense offset and brokerage/service arrangements (Note 2).
e Reflects a non-recurring reimbursement pursuant to a settlement between the Securities and Exchange Commission (the SEC) and Zurich Capital Markets, Inc., which amounted to less than $0.01 per share outstanding on December 21, 2010.
f Reflects a non-recurring reimbursement pursuant to a settlement between the SEC and Southwest Securities, which amounted to less than $0.01 per share outstanding on August 22, 2011.
g Reflects a non-recurring reimbursement related to restitution amounts in connection with a distribution plan approved by the SEC which amounted to less than $0.01 per share outstanding on July 21, 2011. Also reflects a non-recurring reimbursement related to short-term trading related lawsuits, which amounted to less than $0.01 per share outstanding on May 11, 2011.
h Reflects a non-recurring reimbursement pursuant to a settlement between the SEC and Prudential Securities, Inc., which amounted to less than $0.01 per share outstanding on March 30, 2010.
i Reflects an involuntary contractual expense limitation in effect during the period. For periods prior to August 31, 2009, certain fund expenses were waived in connection with the fund’s investment in Putnam Prime Money Market Fund. As a result of such limitation and/or waivers, the expenses of each class reflect a reduction of the following amounts:
Percentage of | |
average net assets | |
August 31, 2010 | 0.01% |
August 31, 2009 | 0.04 |
j Reflects non-recurring reimbursement pursuant to a settlement between the SEC and Millennium Partners, L.P., Millennium Management, LLC and Millennium International Management, LLC, which amounted to less than $0.01 per share outstanding on June 23, 2009.
k Reflects non-recurring reimbursement pursuant to a settlement between the SEC and Bear Stearns & Co., Inc. and Bear Stearns Securities Corp., which amounted to less than $0.01 per share outstanding on May 21, 2009.
The accompanying notes are an integral part of these financial statements.
60 | High Yield Trust |
Notes to financial statements 8/31/13
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from September 1, 2012 through August 31, 2013.
Putnam High Yield Trust (the fund) is a Massachusetts business trust, which is registered under the Investment Company Act of 1940, as amended, as a diversified open-end management investment company. The investment objective of the fund is to seek high current income. Capital growth is a secondary goal when consistent with achieving high current income. The fund invests mainly in bonds that are obligations of U.S. companies, are below investment-grade in quality (sometimes referred to as “junk bonds”), and have intermediate- to long-term maturities (three years or longer). Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell investments. Putnam Management typically uses to a significant extent derivatives, such as futures, options, warrants and swap contracts, for both hedging and non-hedging purposes.
The fund offers class A, class B, class C, class M, class R and class Y shares. Class A and class M shares are sold with a maximum front-end sales charge of 4.00% and 3.25%, respectively, and generally do not pay a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, do not pay a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within six years of purchase. Class C shares have a one-year 1.00% contingent deferred sales charge and do not convert to class A shares. Class R shares, which are not available to all investors, are sold at net asset value. The expenses for class A, class B, class C, class M and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C, class M and class R shares, but do not bear a distribution fee. Class Y shares are not available to all investors.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
Note 1: Significant accounting policies
The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A short-term trading fee of 1.00% may have applied to redemptions (including exchanges into another fund) of shares purchased before June 24, 2013 and held for 30 days or less. The short-term trading fee was accounted for as an addition to paid-in-capital. No short-term trading fee applies to shares purchased on or after June 24, 2013.
Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.
Security valuation Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under Accounting Standards Codification 820 Fair Value Measurements and Disclosures (ASC 820). If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
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Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes, is recorded on the accrual basis. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain. All premiums/discounts are amortized/accreted on a yield-to-maturity basis.
The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations. Securities purchased or sold on a delayed delivery basis may be settled a month or more after the trade date; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The market value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on
62 | High Yield Trust |
investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure on currency.
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. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Credit default contracts The fund entered into OTC credit default contracts to gain exposure on individual names and/or baskets of securities.
In an OTC credit default contract, the protection buyer typically makes an upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The OTC credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant OTC credit default contract.
OTC credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities
High Yield Trust | 63 |
as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $283,823 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund for these agreements totaled $220,779.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Line of credit The fund participates, along with other Putnam funds, in a $315 million unsecured committed line of credit and a $185 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to the Federal Funds rate plus 1.25% for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.02% of the committed line of credit and $50,000 for the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.11% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.
At August 31, 2013, the fund had a capital loss carryover of $270,572,594 available to the extent allowed by the Code to offset future net capital gain, if any. The amounts of the carryovers and the expiration dates are:
Loss carryover | |||
Short-term | Long-term | Total | Expiration |
$14,070,646 | N/A | $14,070,646 | August 31, 2014 |
2,600,677 | N/A | 2,600,677 | August 31, 2015 |
20,028,690 | N/A | 20,028,690 | August 31, 2016 |
96,252,247 | N/A | 96,252,247 | August 31, 2017 |
137,620,334 | N/A | 137,620,334 | August 31, 2018 |
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Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. These differences include temporary and/or permanent differences from foreign currency gains and losses, the expiration of capital loss carryover and interest on payment-in-kind securities. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. For the reporting period ended, the fund reclassified $1,361,960 to decrease undistributed net investment income, $46,551,215 to decrease paid-in-capital and $47,913,175 to decrease accumulated net realized loss.
The tax basis components of distributable earnings and the federal tax cost as of the close of the reporting period were as follows:
Unrealized appreciation | $49,507,982 |
Unrealized depreciation | (31,526,107) |
Net unrealized appreciation | 17,981,875 |
Undistributed ordinary income | 10,556,134 |
Capital loss carryforward | (270,572,594) |
Cost for federal income tax purposes | $1,297,467,532 |
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of most open-end funds, as defined in the fund’s management contract, sponsored by Putnam Management. Such annual rates may vary as follows:
0.720% | of the first $5 billion, | 0.520% | of the next $50 billion, | |
0.670% | of the next $5 billion, | 0.500% | of the next $50 billion, | |
0.620% | of the next $10 billion, | 0.490% | of the next $100 billion and | |
0.570% | of the next $10 billion, | 0.485% | of any excess thereafter. | |
Putnam Management has contractually agreed, through June 30, 2014, to waive fees or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.
Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. Putnam Management pays a quarterly sub-management fee to PIL for its services at an annual rate of 0.40% of the average net assets of the portion of the fund managed by PIL.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing based on the fund’s retail asset level, the number of shareholder accounts in the fund and the level of defined contribution plan assets in the fund.
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Investor servicing fees will not exceed an annual rate of 0.32% of the fund’s average net assets. During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
Class A | $1,713,923 | Class R | 18,180 | |
Class B | 31,024 | Class Y | 282,947 | |
Class C | 82,819 | Total | $2,160,229 | |
Class M | 31,336 | |||
The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. The fund also reduced expenses through brokerage/service arrangements. For the reporting period, the fund’s expenses were reduced by $2,860 under the expense offset arrangements and by $20,125 under the brokerage/service arrangements.
Each independent Trustee of the fund receives an annual Trustee fee, of which $960, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
The fund has adopted distribution plans (the Plans) with respect to its class A, class B, class C, class M and class R shares pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide for payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to 0.35%, 1.00%, 1.00%, 1.00% and 1.00% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. The Trustees have approved payment by the fund at an annual rate of 0.25%, 1.00%, 1.00%, 0.50% and 0.50% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. During the reporting period, the class specific expenses related to distribution fees were as follows:
Class A | $2,935,625 | Class M | 107,093 | |
Class B | 212,197 | Class R | 61,955 | |
Class C | 566,722 | Total | $3,883,592 | |
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $105,443 and $1,574 from the sale of class A and class M shares, respectively, and received $6,218 and $2,892 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.
A deferred sales charge of up to 1.00% and 0.40% is assessed on certain redemptions of class A and class M shares, respectively. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $1,138 and no monies on class A and class M redemptions, respectively.
Note 3: Purchases and sales of securities
During the reporting period, cost of purchases and proceeds from sales of investment securities other than short-term investments aggregated $719,491,030 and $784,595,289, respectively. There were no purchases or proceeds from sales of long-term U.S. government securities.
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Note 4: Capital shares
At the close of the reporting period, there was an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows:
Year ended 8/31/13 | Year ended 8/31/12 | |||
Class A | Shares | Amount | Shares | Amount |
Shares sold | 21,804,509 | $173,313,922 | 34,603,070 | $257,372,755 |
Shares issued in connection with | ||||
reinvestment of distributions | 7,204,465 | 57,377,940 | 8,041,510 | 60,004,281 |
29,008,974 | 230,691,862 | 42,644,580 | 317,377,036 | |
Shares repurchased | (49,147,241) | (392,299,954) | (37,764,464) | (282,634,506) |
Net increase (decrease) | (20,138,267) | $(161,608,092) | 4,880,116 | $34,742,530 |
Year ended 8/31/13 | Year ended 8/31/12 | |||
Class B | Shares | Amount | Shares | Amount |
Shares sold | 709,108 | $5,662,139 | 818,793 | $6,136,475 |
Shares issued in connection with | ||||
reinvestment of distributions | 118,540 | 942,793 | 132,881 | 989,647 |
827,648 | 6,604,932 | 951,674 | 7,126,122 | |
Shares repurchased | (933,183) | (7,446,631) | (1,346,359) | (10,015,198) |
Net decrease | (105,535) | $(841,699) | (394,685) | $(2,889,076) |
Year ended 8/31/13 | Year ended 8/31/12 | |||
Class C | Shares | Amount | Shares | Amount |
Shares sold | 1,586,887 | $12,542,989 | 3,427,730 | $25,646,267 |
Shares issued in connection with | ||||
reinvestment of distributions | 319,592 | 2,524,873 | 293,914 | 2,180,852 |
1,906,479 | 15,067,862 | 3,721,644 | 27,827,119 | |
Shares repurchased | (2,873,548) | (22,766,965) | (1,764,456) | (13,116,578) |
Net increase (decrease) | (967,069) | $(7,699,103) | 1,957,188 | $14,710,541 |
Year ended 8/31/13 | Year ended 8/31/12 | |||
Class M | Shares | Amount | Shares | Amount |
Shares sold | 446,065 | $3,585,023 | 514,074 | $3,867,375 |
Shares issued in connection with | ||||
reinvestment of distributions | 135,211 | 1,080,006 | 150,094 | 1,122,364 |
581,276 | 4,665,029 | 664,168 | 4,989,739 | |
Shares repurchased | (593,030) | (4,774,557) | (560,581) | (4,187,525) |
Net increase (decrease) | (11,754) | $(109,528) | 103,587 | $802,214 |
Year ended 8/31/13 | Year ended 8/31/12 | |||
Class R | Shares | Amount | Shares | Amount |
Shares sold | 786,964 | $6,179,658 | 731,567 | $5,356,536 |
Shares issued in connection with | ||||
reinvestment of distributions | 89,692 | 700,640 | 81,688 | 598,532 |
876,656 | 6,880,298 | 813,255 | 5,955,068 | |
Shares repurchased | (673,713) | (5,275,342) | (567,904) | (4,141,958) |
Net increase | 202,943 | $1,604,956 | 245,351 | $1,813,110 |
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Year ended 8/31/13 | Year ended 8/31/12 | |||
Class Y | Shares | Amount | Shares | Amount |
Shares sold | 30,645,741 | $240,677,450 | 21,442,542 | $156,553,363 |
Shares issued in connection with | ||||
reinvestment of distributions | 1,486,648 | 11,637,988 | 933,782 | 6,879,275 |
32,132,389 | 252,315,438 | 22,376,324 | 163,432,638 | |
Shares repurchased | (30,026,585) | (234,600,782) | (12,490,355) | (91,656,509) |
Net increase | 2,105,804 | $17,714,656 | 9,885,969 | $71,776,129 |
Note 5: Transactions with affiliated issuers
Transactions during the reporting period with Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund, which are under common ownership or control, were as follows:
Market value at | Market value | ||||
the beginning | at the end of | ||||
of the reporting | Investment | the reporting | |||
Name of affiliate | period | Purchase cost | Sale proceeds | income | period |
Putnam Money Market | |||||
Liquidity Fund* | $50,219,752 | $223,549,707 | $273,769,459 | $45,389 | $— |
Putnam Short Term | |||||
Investment Fund* | — | 365,812,571 | 337,693,893 | 11,532 | 28,118,678 |
Totals | $50,219,752 | $589,362,278 | $611,463,352 | $56,921 | $28,118,678 |
* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.
Note 6: Senior loan commitments
Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
Note 7: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher yielding, lower rated bonds that may have a higher rate of default.
Note 8: Summary of derivative activity
The average volume of activity for the reporting period for any derivative type that was held during the period is listed below and was as follows:
Forward currency contracts (contract amount) | $32,700,000 |
Warrants (number of warrants) | 710,000 |
OTC credit default swap contracts (notional) | —* |
* For the reporting period, the transaction volume was minimal.
68 | High Yield Trust |
The following is a summary of the market values of derivative instruments as of the close of the reporting period:
Market values of derivative instruments as of the close of the reporting period
Asset derivatives | Liability derivatives | |||
Derivatives not | ||||
accounted for as | Statement of | Statement of | ||
hedging instruments | assets and | assets and | ||
under ASC 815 | liabilities location | Market value | liabilities location | Market value |
Foreign exchange | ||||
contracts | Receivables | $16,892 | Payables | $300,715 |
Investments, | ||||
Receivables, | Payables, | |||
Net assets — | Net assets — | |||
Unrealized | Unrealized | |||
Equity contracts | appreciation | 797,998 | depreciation | — |
Total | $814,890 | $300,715 | ||
The following is a summary of realized and change in unrealized gains or losses of derivative instruments on the Statement of operations for the reporting period (see Note 1):
Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments
Derivatives not accounted for as hedging | Forward currency | ||
instruments under ASC 815 | contracts | Swaps | Total |
Credit contracts | $— | $159,375 | $159,375 |
Foreign exchange contracts | (1,262,368) | — | (1,262,368) |
Total | $(1,262,368) | $159,375 | $(1,102,993) |
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investments
Derivatives not accounted for as hedging | Forward currency | ||
instruments under ASC 815 | Warrants | contracts | Total |
Foreign exchange contracts | $— | $350,298 | $350,298 |
Equity contracts | 270,242 | — | 270,242 |
Total | $270,242 | $350,298 | $620,540 |
Note 9: New accounting pronouncement
In January 2013, ASU 2013–01, “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities,” amended ASU No. 2011–11, “Disclosures about Offsetting Assets and Liabilities.” The ASUs create new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of assets and liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013 and interim periods within those annual periods. Putnam Management is currently evaluating the application of ASUs 2013–01 and 2011–11 and their impact, if any, on the fund’s financial statements.
High Yield Trust | 69 |
Federal tax information (Unaudited)
The fund designated 1.28% of ordinary income distributions as qualifying for the dividends received deduction for corporations.
For the reporting period ended, the fund hereby designates 1.44%, or the maximum amount allowable, of its taxable ordinary income distributions as qualified dividends taxed at the individual net capital gain rates.
The Form 1099 that will be mailed to you in January 2014 will show the tax status of all distributions paid to your account in calendar 2013.
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About the Trustees
Independent Trustees
High Yield Trust | 71 |
* Mr. Reynolds is an “interested person” (as defined in the Investment Company Act of 1940) of the fund and Putnam Investments. He is President and Chief Executive Officer of Putnam Investments, as well as the President of your fund and each of the other Putnam funds.
The address of each Trustee is One Post Office Square, Boston, MA 02109.
As of August 31, 2013, there were 116 Putnam funds. All Trustees serve as Trustees of all Putnam funds.
Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 75, removal, or death.
72 | High Yield Trust |
Officers
In addition to Robert L. Reynolds, the other officers of the fund are shown below:
Jonathan S. Horwitz (Born 1955) | Janet C. Smith (Born 1965) |
Executive Vice President, Principal Executive | Vice President, Principal Accounting Officer, |
Officer, and Compliance Liaison | and Assistant Treasurer |
Since 2004 | Since 2007 |
Director of Fund Administration Services, | |
Steven D. Krichmar (Born 1958) | Putnam Investments and Putnam Management |
Vice President and Principal Financial Officer | |
Since 2002 | Susan G. Malloy (Born 1957) |
Chief of Operations, Putnam Investments and | Vice President and Assistant Treasurer |
Putnam Management | Since 2007 |
Director of Accounting & Control Services, | |
Robert T. Burns (Born 1961) | Putnam Investments and Putnam Management |
Vice President and Chief Legal Officer | |
Since 2011 | James P. Pappas (Born 1953) |
General Counsel, Putnam Investments, Putnam | Vice President |
Management, and Putnam Retail Management | Since 2004 |
Director of Trustee Relations, | |
Robert R. Leveille (Born 1969) | Putnam Investments and Putnam Management |
Vice President and Chief Compliance Officer | |
Since 2007 | Mark C. Trenchard (Born 1962) |
Chief Compliance Officer, Putnam Investments, | Vice President and BSA Compliance Officer |
Putnam Management, and Putnam Retail | Since 2002 |
Management | Director of Operational Compliance, |
Putnam Investments and Putnam | |
Michael J. Higgins (Born 1976) | Retail Management |
Vice President, Treasurer, and Clerk | |
Since 2010 | Nancy E. Florek (Born 1957) |
Manager of Finance, Dunkin’ Brands (2008– | Vice President, Director of Proxy Voting and |
2010); Senior Financial Analyst, Old Mutual Asset | Corporate Governance, Assistant Clerk, |
Management (2007–2008); Senior Financial | and Associate Treasurer |
Analyst, Putnam Investments (1999–2007) | Since 2000 |
The principal occupations of the officers for the past five years have been with the employers as shown above although in some cases, they have held different positions with such employers. The address of each Officer is One Post Office Square, Boston, MA 02109.
High Yield Trust | 73 |
The Putnam family of funds
The following is a list of Putnam’s open-end mutual funds offered to the public. Investors should carefully consider the investment objective, risks, charges, and expenses of a fund before investing. For a prospectus, or a summary prospectus if available, containing this and other information for any Putnam fund or product, call your financial advisor at 1-800-225-1581 and ask for a prospectus. Please read the prospectus carefully before investing.
Growth | International Value Fund |
Growth Opportunities Fund | Multi-Cap Value Fund |
International Growth Fund | Small Cap Value Fund |
Multi-Cap Growth Fund | |
Small Cap Growth Fund | Income |
Voyager Fund | American Government Income Fund |
Diversified Income Trust | |
Blend | Emerging Markets Income Fund |
Asia Pacific Equity Fund | Floating Rate Income Fund |
Capital Opportunities Fund | Global Income Trust |
Capital Spectrum Fund | High Yield Advantage Fund |
Emerging Markets Equity Fund | High Yield Trust |
Equity Spectrum Fund | Income Fund |
Europe Equity Fund | Money Market Fund* |
Global Equity Fund | Short Duration Income Fund |
International Capital Opportunities Fund | U.S. Government Income Trust |
International Equity Fund | |
Investors Fund | Tax-free income |
Low Volatility Equity Fund | AMT-Free Municipal Fund |
Multi-Cap Core Fund | Intermediate-Term Municipal Income Fund |
Research Fund | Short-Term Municipal Income Fund |
Strategic Volatility Equity Fund | Tax Exempt Income Fund |
Tax Exempt Money Market Fund* | |
Value | Tax-Free High Yield Fund |
Convertible Securities Fund | |
Equity Income Fund | State tax-free income funds: |
George Putnam Balanced Fund | Arizona, California, Massachusetts, Michigan, |
Global Dividend Fund | Minnesota, New Jersey, New York, Ohio, |
The Putnam Fund for Growth and Income | and Pennsylvania. |
* An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund.
74 | High Yield Trust |
Absolute Return | Putnam RetirementReady® Funds — portfolios |
Absolute Return 100 Fund® | with automatically adjusting allocations to |
Absolute Return 300 Fund® | stocks, bonds, and money market instruments, |
Absolute Return 500 Fund® | becoming more conservative over time. |
Absolute Return 700 Fund® | |
RetirementReady 2055 Fund | |
Global Sector | RetirementReady 2050 Fund |
Global Consumer Fund | RetirementReady 2045 Fund |
Global Energy Fund | RetirementReady 2040 Fund |
Global Financials Fund | RetirementReady 2035 Fund |
Global Health Care Fund | RetirementReady 2030 Fund |
Global Industrials Fund | RetirementReady 2025 Fund |
Global Natural Resources Fund | RetirementReady 2020 Fund |
Global Sector Fund | RetirementReady 2015 Fund |
Global Technology Fund | |
Global Telecommunications Fund | Putnam Retirement Income Lifestyle |
Global Utilities Fund | Funds — portfolios with managed |
allocations to stocks, bonds, and money | |
Asset Allocation | market investments to generate |
Putnam Global Asset Allocation Funds — | retirement income. |
portfolios with allocations to stocks, bonds, | |
and money market instruments that are | Retirement Income Fund Lifestyle 1 |
adjusted dynamically within specified ranges | Retirement Income Fund Lifestyle 2 |
as market conditions change. | Retirement Income Fund Lifestyle 3 |
Dynamic Asset Allocation Balanced Fund | |
Dynamic Asset Allocation | |
Conservative Fund | |
Dynamic Asset Allocation Growth Fund | |
Dynamic Risk Allocation Fund |
Check your account balances and the most recent month-end performance in the Individual Investors section at putnam.com.
High Yield Trust | 75 |
Services for shareholders
Investor services
Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.
Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.
Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.
Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.
Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.
Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.
Check-writing service You have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.
Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.
For more information
Visit the Individual Investors section at putnam.com A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.
Call us toll free at 1-800-225-1581 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.
76 | High Yield Trust |
Fund information
Founded over 75 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.
Investment Manager | Trustees | Robert R. Leveille |
Putnam Investment | Jameson A. Baxter, Chair | Vice President and |
Management, LLC | Liaquat Ahamed | Chief Compliance Officer |
One Post Office Square | Ravi Akhoury | |
Boston, MA 02109 | Barbara M. Baumann | Michael J. Higgins |
Charles B. Curtis | Vice President, Treasurer, | |
Investment Sub-Manager | Robert J. Darretta | and Clerk |
Putnam Investments Limited | Katinka Domotorffy | |
57–59 St James’s Street | John A. Hill | Janet C. Smith |
London, England SW1A 1LD | Paul L. Joskow | Vice President, |
Kenneth R. Leibler | Principal Accounting Officer, | |
Investment Sub-Advisor | Robert E. Patterson | and Assistant Treasurer |
The Putnam Advisory | George Putnam, III | |
Company, LLC | Robert L. Reynolds | Susan G. Malloy |
One Post Office Square | W. Thomas Stephens | Vice President and |
Boston, MA 02109 | Assistant Treasurer | |
Officers | ||
Marketing Services | Robert L. Reynolds | James P. Pappas |
Putnam Retail Management | President | Vice President |
One Post Office Square | ||
Boston, MA 02109 | Jonathan S. Horwitz | Mark C. Trenchard |
Executive Vice President, | Vice President and | |
Custodian | Principal Executive Officer, and | BSA Compliance Officer |
State Street Bank | Compliance Liaison | |
and Trust Company | Nancy E. Florek | |
Steven D. Krichmar | Vice President, Director of | |
Legal Counsel | Vice President and | Proxy Voting and Corporate |
Ropes & Gray LLP | Principal Financial Officer | Governance, Assistant Clerk, |
and Associate Treasurer | ||
Independent Registered | Robert T. Burns | |
Public Accounting Firm | Vice President and | |
KPMG LLP | Chief Legal Officer |
This report is for the information of shareholders of Putnam High Yield Trust. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
Item 2. Code of Ethics: |
(a) The fund’s principal executive, financial and accounting officers are employees of Putnam Investment Management, LLC, the Fund’s investment manager. As such they are subject to a comprehensive Code of Ethics adopted and administered by Putnam Investments which is designed to protect the interests of the firm and its clients. The Fund has adopted a Code of Ethics which incorporates the Code of Ethics of Putnam Investments with respect to all of its officers and Trustees who are employees of Putnam Investment Management, LLC. For this reason, the Fund has not adopted a separate code of ethics governing its principal executive, financial and accounting officers. |
(c) In July 2013, the Code of Ethics of Putnam Investment Management, LLC was amended. The changes to the Code of Ethics were as follows: (i) eliminating the requirement for employees to hold their shares of Putnam mutual funds for specified periods of time, (ii) removing the requirement to preclear transactions in certain kinds of exchange-traded funds and exchange-traded notes, although reporting of all such instruments remains required; (iii) eliminating the excessive trading rule related to employee transactions in securities requiring preclearance under the Code; (iv) adding provisions related to monitoring of employee trading; (v) changing from a set number of shares to a set dollar value of stock of mid- and large-cap companies on the Restricted List that can be purchased or sold; (vi) adding a requirement starting in March 2014 for employees to generally use certain approved brokers that provide Putnam with an electronic feed of transactions and statements for their personal brokerage accounts; and (vii) certain other changes. |
Item 3. Audit Committee Financial Expert: |
The Funds’ Audit and Compliance Committee is comprised solely of Trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations implementing Section 407 of the Sarbanes-Oxley Act (the “Regulations”)). The Trustees believe that each of the members of the Audit and Compliance Committee also possess a combination of knowledge and experience with respect to financial accounting matters, as well as other attributes, that qualify them for service on the Committee. In addition, the Trustees have determined that each of Mr. Leibler, Mr. Hill, Mr. Darretta and Ms. Baumann qualifies as an “audit committee financial expert” (as such term has been defined by the Regulations) based on their review of his or her pertinent experience and education. The SEC has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the Audit and Compliance Committee and the Board of Trustees in the absence of such designation or identification. |
Item 4. Principal Accountant Fees and Services: |
The following table presents fees billed in each of the last two fiscal years for services rendered to the fund by the fund’s independent auditor: |
Fiscal year ended | Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
August 31, 2013 | $77,467 | $-- | $6,457 | $ — | |
August 31, 2012 | $81,549 | $-- | $6,300 | $ — |
For the fiscal years ended August 31, 2013 and August 31, 2012, the fund’s independent auditor billed aggregate non-audit fees in the amounts of $6,457 and $6,300 respectively, to the fund, Putnam Management and any entity controlling, controlled by or under common control with Putnam Management that provides ongoing services to the fund. |
Audit Fees represent fees billed for the fund’s last two fiscal years relating to the audit and review of the financial statements included in annual reports and registration statements, and other services that are normally provided in connection with statutory and regulatory filings or engagements. |
Audit-Related Fees represent fees billed in the fund’s last two fiscal years for services traditionally performed by the fund’s auditor, including accounting consultation for proposed transactions or concerning financial accounting and reporting standards and other audit or attest services not required by statute or regulation. |
Tax Fees represent fees billed in the fund’s last two fiscal years for tax compliance, tax planning and tax advice services. Tax planning and tax advice services include assistance with tax audits, employee benefit plans and requests for rulings or technical advice from taxing authorities. |
Pre-Approval Policies of the Audit and Compliance Committee. The Audit and Compliance Committee of the Putnam funds has determined that, as a matter of policy, all work performed for the funds by the funds’ independent auditors will be pre-approved by the Committee itself and thus will generally not be subject to pre-approval procedures. |
The Audit and Compliance Committee also has adopted a policy to pre-approve the engagement by Putnam Management and certain of its affiliates of the funds’ independent auditors, even in circumstances where pre-approval is not required by applicable law. Any such requests by Putnam Management or certain of its affiliates are typically submitted in writing to the Committee and explain, among other things, the nature of the proposed engagement, the estimated fees, and why this work should be performed by that particular audit firm as opposed to another one. In reviewing such requests, the Committee considers, among other things, whether the provision of such services by the audit firm are compatible with the independence of the audit firm. |
The following table presents fees billed by the fund’s independent auditor for services required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. |
Fiscal year ended | Audit-Related Fees | Tax Fees | All Other Fees | Total Non-Audit Fees | |
August 31, 2013 | $ — | $ — | $ — | $ — | |
August 31, 2012 | $ — | $ — | $ — | $ — |
Item 5. Audit Committee of Listed Registrants |
Not applicable |
Item 6. Schedule of Investments: |
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
Not applicable |
Item 8. Portfolio Managers of Closed-End Investment Companies |
Not Applicable |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
Not applicable |
Item 10. Submission of Matters to a Vote of Security Holders: |
Not applicable |
Item 11. 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 12. Exhibits: |
(a)(1) The Code of Ethics of The Putnam Funds, which incorporates the Code of Ethics of Putnam Investments, is filed herewith. |
(a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith. |
(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
SIGNATURES |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
Putnam High Yield Trust |
By (Signature and Title): |
/s/Janet C. Smith Janet C. Smith Principal Accounting Officer |
Date: October 29, 2013 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
By (Signature and Title): |
/s/Jonathan S. Horwitz Jonathan S. Horwitz Principal Executive Officer |
Date: October 29, 2013 |
By (Signature and Title): |
/s/Steven D. Krichmar Steven D. Krichmar Principal Financial Officer |
Date: October 29, 2013 |