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, 2014 |
Date of reporting period: | September 1, 2013 — February 28, 2014 |
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: |
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Putnam
High Yield
Trust
Semiannual report
2 | 28 | 14
Message from the Trustees | 1 | |
About the fund | 2 | |
Performance snapshot | 4 | |
Interview with your fund’s portfolio manager | 5 | |
Your fund’s performance | 10 | |
Your fund’s expenses | 12 | |
Terms and definitions | 14 | |
Other information for shareholders | 15 | |
Trustee approval of management contract | 16 | |
Financial statements | 23 | |
Shareholder meeting results | 68 | |
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:
Stock and bond markets have exhibited some volatility this year, as the global economy continues to heal slowly, and new geopolitical risks have emerged. This fluctuating investment climate drives home the importance of portfolio diversification.
In this environment, we believe Putnam’s active investment research and strategies are well suited to serve investors pursuing income and capital appreciation goals.
We are pleased to report that this investment focus continues to garner Putnam recognition in the mutual fund industry. In 2013 — and for the third time in five years — Barron’s ranked Putnam one of the top two mutual fund families based on total returns across asset classes. Reflecting a commitment to long-term results, Putnam ranked second out of 55 mutual fund families for the five-year period that ended in December 2013.
In addition to sound investment strategies, your portfolio also benefits from sound advice, we believe. An experienced advisor can help you assess your individual needs, time horizon, and risk tolerance — and can help guide you toward your investment goals.
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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 10–12 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.
† Returns for the six-month period are not annualized, but cumulative.
4 | High Yield Trust |
Interview with your fund’s portfolio manager
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Paul, what was the market environment like for high-yield bonds during the six months ended February 28, 2014?
The early months of the period were marked by uncertainty surrounding Congressional debate about the U.S. debt ceiling and a partial shutdown of the federal government. However, on October 17, President Obama signed a short-term bill that suspended the debt ceiling and funded the government through mid-January 2014, to end the government shutdown. With this significant concern at least temporarily resolved, investor risk appetite returned. The debt-ceiling issue was ultimately settled in February.
At its December policy meeting, the Federal Reserve announced the first reduction in its bond-buying program, which was somewhat earlier than investors were anticipating. The central bank agreed to reduce its purchases by $10 billion per month beginning in January, citing improving labor market conditions as its rationale. Bond yields spiked on the news, with the yield on the benchmark 10-year U.S. Treasury reaching 3.04% by the end of December.
In January, with the Fed beginning the process of reducing its stimulative bond-buying, lackluster economic data — most notably a disappointing reading on the Institute for Supply Management’s [ISM] Purchasing Managers Index — coupled with concern about emerging-market [EM] currencies, caused investors to assume a
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This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 2/28/14. See pages 4 and 10–12 for additional fund performance information. Index descriptions can be found on page 14.
High Yield Trust | 5 |
more risk-averse posture. Asset flows shifted toward the relative safety of U.S. Treasuries, pushing the yield on the 10-year note down to 2.67%, its lowest level since mid-November.
By February, with EM stress abating, high-yield investors were encouraged by the resiliency of U.S. stocks and lower Treasury yields, along with robust inflows into the asset class amid light new supply. The high-yield market was also buoyed by investors largely dismissing weak economic data as a function of severe weather, and by the fact that the crisis in Ukraine remained localized.
For the period as a whole, high-yield bonds were among the best-performing fixed-income sectors. Against this backdrop, the fund trailed its benchmark but modestly outpaced the average return of its Lipper peer group.
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 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. We have three portfolio managers who are sector specialists in the following areas: information technology and telecommunications, cyclical industries, and non-cyclical industries. They work in conjunction with Putnam’s industry analysts to conduct research and construct
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Credit qualities are shown as a percentage of the fund’s net assets as of 2/28/14. 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 |
the portfolio. 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 build the portfolio using the insights gained from our research.
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Turning to performance, what factors had the greatest influence on the fund’s results versus its benchmark?
In general, the fund was overweight in lower-quality high-yield bonds and bank loans — those rated Caa and below— with lighter-than-benchmark exposure to Ba-rated securities. We offset this positioning by holding a modest cash buffer to help bring portfolio credit risk to near neutral versus the benchmark.
At the sector/industry level, overweights in financials and chemicals, along with security selection in gaming, lodging, and leisure helped the fund’s relative performance. Conversely, underweights in metals and mining, health care, and transportation hampered our performance versus the
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This table shows the fund’s top 10 holdings and the percentage of the fund’s net assets that each represented as of 2/28/14. Short-term holdings and derivatives, if any, are excluded. Holdings may vary over time.
High Yield Trust | 7 |
benchmark, as did adverse security selection in utilities.
Which holdings helped versus the index?
The top individual contributors included overweights in global payments processing company First Data, telecommunications services provider Sprint Communications, chemicals maker Huntsman, and hotel and casino operator Caesars Entertainment.
Which investments weren’t as productive?
The biggest individual detractor versus the benchmark was wireless services provider NII Holdings, which announced shortly after period-end that it plans to explore strategic options following a warning in February that it faces long-term liquidity issues.
The fund reduced its dividend rate in December 2013. What factors led to that decision?
The fund’s monthly distribution rate per class A share was lowered from $0.040 to $0.035. This reduction resulted from the consistent refinancing of existing high-yield debt that occurred during the period, whereby higher-coupon older bonds matured and were replaced with lower-coupon securities.
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 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 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 |
Similar reductions were made to other share classes.
What is your outlook for the high-yield market over the coming months?
In our view, the prospects for U.S. economic growth continue to look favorable, buoyed by improving trends in employment, housing, and corporate capital expenditures. Additionally, despite the fact that the Fed has begun tapering its bond buying, overall monetary policy remains accommodative. Moreover, the smooth transition from Ben Bernanke to Janet Yellen as Fed chair reflects investors’ expectations that current monetary policy will continue. We believe the weak economic readings in January, such as the ISM Purchasing Managers Index mentioned previously, as well as disappointing automobile sales, were largely the result of adverse weather conditions affecting some of the country’s most densely populated regions.
At period-end, the high-yield default rate stood at 0.67%, its lowest level since December 2007, and considerably below the long-term average of 3.9%. Given our generally constructive view of fundamentals, we believe the default rate could remain low through 2015. While high-yield and bank-loan spreads compressed during the period, they were still above the euphorically tight levels that we saw in 2007 and remained closer to their historical averages. Consequently, in light of our fundamental view of the market and low default expectations, we believe spreads are fairly attractive.
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. 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 |
Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended February 28, 2014, the end of the first half of its current 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 2/28/14
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) | 8.87% | 8.75% | 8.63% | 8.63% | 8.04% | 8.04% | 8.50% | 8.40% | 8.56% | 8.96% |
10 years | 111.27 | 102.82 | 99.66 | 99.66 | 95.92 | 95.92 | 105.66 | 98.98 | 103.44 | 115.25 |
Annual average | 7.77 | 7.33 | 7.16 | 7.16 | 6.96 | 6.96 | 7.48 | 7.12 | 7.36 | 7.97 |
5 years | 116.58 | 107.92 | 108.86 | 106.86 | 108.38 | 108.38 | 113.62 | 106.68 | 112.77 | 118.82 |
Annual average | 16.71 | 15.77 | 15.87 | 15.65 | 15.82 | 15.82 | 16.39 | 15.63 | 16.30 | 16.95 |
3 years | 25.25 | 20.24 | 22.31 | 19.31 | 22.43 | 22.43 | 24.25 | 20.21 | 24.22 | 26.19 |
Annual average | 7.79 | 6.34 | 6.94 | 6.06 | 6.98 | 6.98 | 7.51 | 6.33 | 7.50 | 8.06 |
1 year | 8.33 | 4.00 | 7.41 | 2.41 | 7.46 | 6.46 | 7.98 | 4.47 | 7.93 | 8.55 |
6 months | 6.87 | 2.60 | 6.49 | 1.49 | 6.40 | 5.40 | 6.70 | 3.23 | 6.72 | 7.04 |
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 reflects conversion to class A shares after eight years.
10 | High Yield Trust |
Comparative index returns For periods ended 2/28/14
JPMorgan Developed High | Lipper High Yield Funds | |
Yield Index | category average* | |
Annual average (life of fund) | —† | 8.63% |
10 years | 135.79% | 103.66 |
Annual average | 8.96 | 7.34 |
5 years | 141.66 | 112.86 |
Annual average | 19.30 | 16.21 |
3 years | 32.55 | 24.92 |
Annual average | 9.85 | 7.69 |
1 year | 9.33 | 7.50 |
6 months | 7.85 | 6.67 |
Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
* Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 2/28/14, there were 602, 570, 464, 394, 270, 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.
Fund price and distribution information For the six-month period ended 2/28/14
Distributions | Class A | Class B | Class C | Class M | Class R | Class Y | ||
Number | 6 | 6 | 6 | 6 | 6 | 6 | ||
Income | $0.225 | $0.195 | $0.195 | $0.213 | $0.213 | $0.237 | ||
Capital gains | — | — | — | — | — | — | ||
Total | $0.225 | $0.195 | $0.195 | $0.213 | $0.213 | $0.237 | ||
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 |
8/31/13 | $7.88 | $8.21 | $7.86 | $7.81 | $7.90 | $8.17 | $7.72 | $7.73 |
2/28/14 | 8.19 | 8.53 | 8.17 | 8.11 | 8.21 | 8.49 | 8.02 | 8.03 |
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 | 5.13% | 4.92% | 4.41% | 4.44% | 4.82% | 4.66% | 4.94% | 5.53% |
Current 30-day SEC yield 2 | N/A | 4.02 | 3.44 | 3.44 | N/A | 3.81 | 3.94 | 4.44 |
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.
High Yield Trust | 11 |
Fund performance as of most recent calendar quarter
Total return for periods ended 3/31/13
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) | 8.86% | 8.73% | 8.61% | 8.61% | 8.03% | 8.03% | 8.49% | 8.39% | 8.55% | 8.95% |
10 years | 110.63 | 102.21 | 99.07 | 99.07 | 95.57 | 95.57 | 105.29 | 98.62 | 103.11 | 114.88 |
Annual average | 7.73 | 7.29 | 7.13 | 7.13 | 6.94 | 6.94 | 7.46 | 7.10 | 7.34 | 7.95 |
5 years | 113.42 | 104.88 | 105.66 | 103.66 | 105.57 | 105.57 | 110.75 | 103.90 | 109.66 | 115.20 |
Annual average | 16.37 | 15.42 | 15.51 | 15.29 | 15.50 | 15.50 | 16.08 | 15.31 | 15.96 | 16.57 |
3 years | 25.39 | 20.37 | 22.60 | 19.60 | 22.71 | 22.71 | 24.54 | 20.50 | 24.37 | 26.33 |
Annual average | 7.83 | 6.38 | 7.03 | 6.15 | 7.06 | 7.06 | 7.59 | 6.41 | 7.54 | 8.10 |
1 year | 7.32 | 3.03 | 6.54 | 1.54 | 6.58 | 5.58 | 6.98 | 3.50 | 7.04 | 7.52 |
6 months | 6.13 | 1.88 | 5.74 | 0.74 | 5.79 | 4.79 | 5.95 | 2.50 | 5.97 | 6.14 |
See the discussion following the Fund performance table on page 10 for information about the calculation of fund performance.
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 8/31/13 | 1.02% | 1.77% | 1.77% | 1.27% | 1.27% | 0.77% |
Annualized expense ratio for the | ||||||
six-month period ended 2/28/14 | 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.
12 | High Yield Trust |
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in the fund from September 1, 2013, to February 28, 2014. 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*† | $5.23 | $9.06 | $9.06 | $6.51 | $6.51 | $3.95 |
Ending value (after expenses) | $1,068.70 | $1,064.90 | $1,064.00 | $1,067.00 | $1,067.20 | $1,070.40 |
* 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 2/28/14. 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.
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended February 28, 2014, use the following calculation method. To find the value of your investment on September 1, 2013, call Putnam at 1-800-225-1581.
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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*† | $5.11 | $8.85 | $8.85 | $6.36 | $6.36 | $3.86 |
Ending value (after expenses) | $1,019.74 | $1,016.02 | $1,016.02 | $1,018.50 | $1,018.50 | $1,020.98 |
* 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 2/28/14. 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.
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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 employer-sponsored retirement 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.
14 | 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
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.
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 SEC’s 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 February 28, 2014, Putnam employees had approximately $460,000,000 and the Trustees had approximately $109,000,000 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 | 15 |
Trustee approval of management contract
Putnam Investment Management (“Putnam Management”) serves as investment manager to your fund under a management contract. In addition, Putnam Management’s affiliate, Putnam Investments Limited (“PIL”), provides services to your fund under a sub-management contract between Putnam Management and PIL. Putnam Management is majority owned (directly and indirectly) by Power Corporation of Canada, a diversified international management and holding company with interests in companies in the financial services, communications and other business sectors. Until his death on October 8, 2013, The Honourable Paul G. Desmarais, both directly and through holding companies, controlled a majority of the voting shares of Power Corporation of Canada. Upon his death, Mr. Desmarais’ voting control of shares of Power Corporation of Canada was transferred to The Desmarais Family Residuary Trust (the “Transfer”). As a technical matter, the Transfer may have constituted an “assignment” within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”), causing your fund’s existing management and sub-management contracts to terminate automatically. On October 18, 2013, the Trustees, including all of the Trustees who are not “interested persons” (as this term is defined in the 1940 Act) of the Putnam funds (the “Independent Trustees”), approved interim management contracts between the Putnam funds and Putnam Management and the continuance of your fund’s sub-management contract to address this possibility and to avoid disruption of investment advisory and other services provided to the Putnam funds. At a subsequent meeting on November 22, 2013, the Trustees, including all of the Independent Trustees, approved new definitive management contracts between the Putnam funds • and Putnam Management and determined to recommend their approval to the shareholders of the Putnam funds at a shareholder meeting called for February 27, 2014. The Trustees also approved new sub-management contracts, to be effective at the same time as the new definitive management contracts. The fund’s shareholders approved your fund’s new management contract at a special meeting on February 27, 2014.
In considering whether to approve your fund’s interim management contract and the continuance of your fund’s sub-management contract in October, and in considering whether to approve your fund’s new definitive management contract and its new sub-management contract in November, the Trustees took into account that they had recently approved the continuation (through June 30, 2014) of the fund’s previous management and sub-management contracts at their meeting in June 2013. The Trustees considered that the terms of the interim management contract and new definitive management contract were identical to those of the previous management contract, except for the effective dates and initial terms and for certain non-substantive changes. They also considered that the terms of the sub-management contract were identical to those of the previous sub-management contract, except for the effective dates and initial terms. In light of the substantial similarity between the proposed contracts and the previous versions of these contracts approved by the Trustees at their June 2013 meeting, the Trustees relied to a considerable extent on their review of these contracts in connection with their June meeting. In addition, the Trustees considered a number other factors relating to the Transfer, including, but not limited to, the following:
Information about the operations of The Desmarais Family Residuary Trust, including that Paul Desmarais, Jr. and André Desmarais,
16 | High Yield Trust |
Mr. Desmarais’ sons, were expected to exercise, jointly, voting control over the Power Corporation of Canada shares controlled by The Desmarais Family Residuary Trust.
• That Paul Desmarais, Jr. and André Desmarais had been playing active managerial roles at Power Corporation of Canada, with responsibility for the oversight of Power Corporation of Canada’s subsidiaries, including Putnam Investments, since Power Corporation of Can-ada had acquired Putnam Investments in 2007, including serving as Directors of Putnam Investments, and that the Transfer would not affect their responsibilities as officers of Power Corporation of Canada.
• The intention expressed by representatives of Power Corporation of Canada and its subsidiaries, Power Financial Corporation and Great-West Lifeco, that there would be no change to the operations or management of Putnam Investments, to Putnam Management’s management of the funds or to investment, advisory and other services provided to the funds by Putnam Management and its affiliates as a result of the Transfer.
• Putnam Management’s assurances that, following the Transfer, Putnam Management would continue to provide the same level of services to each fund and that the Transfer will not have an adverse impact on the ability of Putnam Management and its affiliates to continue to provide high quality investment advisory and other services to the funds.
• Putnam Management’s assurances that there are no current plans to make any changes to the operations of the funds, existing management fees, expense limitations, distribution arrangements, or the quality of any services provided to the funds or their shareholders, as a result of the Transfer.
• The benefits that the funds have received and may potentially receive as a result of Putnam Management being a member of the Power Corporation of Canada group of companies, which promotes the stability of the Putnam organization.
• Putnam Investments’ commitment to bear a reasonable share of the expenses incurred by the Putnam Funds in connection with the Transfer.
General conclusions in connection with the Trustees’ June 2013 approval of the fund’s management and sub-management contracts
As noted above, in connection with their deliberations in October and November 2013, in addition to the factors described above, the Trustees considered their recent approval of your fund’s management and sub-management contracts in June 2013. The Board oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management and sub-management contracts. The Board, 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 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
High Yield Trust | 17 |
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’ June 2013 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 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 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,
18 | High Yield Trust |
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 profitabil-ity, 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 (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 third 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 third quintile in total expenses (excluding any applicable 12b-1
High Yield Trust | 19 |
fees) as of December 31, 2012 (the first quin-tile 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 profit-ability, 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 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.
20 High Yield Trust |
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 second 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 underperfor-mance 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 total returns with the returns of selected investment benchmarks or targeted 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 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 ben-efits 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
High Yield Trust | 21 |
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.
22 High Yield Trust |
Financial statements
A guide to financial statements
These sections of the report, as well as the accompanying Notes, 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 period.
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. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.
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.
High Yield Trust | 23 |
The fund’s portfolio 2/28/14 (Unaudited)
CORPORATE BONDS AND NOTES (86.0%)* | Principal amount | Value | |
Advertising and marketing services (0.5%) | |||
CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas | |||
Capital Corp. 144A company guaranty sr. unsec. notes | |||
5 5/8s, 2024 | $1,525,000 | $1,570,750 | |
Griffey Intermediate, Inc./Griffey Finance Sub, LLC 144A | |||
sr. unsec. notes 7s, 2020 | 3,235,000 | 2,822,538 | |
Lamar Media Corp. company guaranty sr. sub. notes | |||
5 7/8s, 2022 | 1,815,000 | 1,923,900 | |
Lamar Media Corp. 144A company guaranty sr. unsec. notes | |||
5 3/8s, 2024 | 979,000 | 1,010,818 | |
7,328,006 | |||
Automotive (1.1%) | |||
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes | |||
8 1/4s, 2021 | 2,525,000 | 2,859,563 | |
Chrysler Group, LLC/CG Co-Issuer, Inc. 144A company guaranty | |||
notes 8 1/4s, 2021 | 785,000 | 887,050 | |
Chrysler Group, LLC/CG Co-Issuer, Inc. 144A company guaranty | |||
notes 8s, 2019 | 980,000 | 1,079,225 | |
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 | 1,911,000 | 1,977,885 | |
General Motors Co. escrow notes 8 1/4s, 2023 | 2,555,000 | 38,325 | |
Motors Liquidation Co. escrow sr. unsec. unsub. notes | |||
8 3/8s, 2033 | 2,390,000 | 35,850 | |
Navistar International Corp. sr. notes 8 1/4s, 2021 | 3,626,000 | 3,798,235 | |
Schaeffler Finance BV company guaranty sr. notes Ser. REGS, | |||
8 3/4s, 2019 (Netherlands) | EUR | 345,000 | 536,324 |
Schaeffler Finance BV 144A company guaranty sr. notes 8 1/2s, | |||
2019 (Netherlands) | $1,007,000 | 1,125,323 | |
Schaeffler Finance BV 144A company guaranty sr. notes 7 3/4s, | |||
2017 (Netherlands) | 945,000 | 1,086,750 | |
Schaeffler Finance BV 144A sr. notes 4 3/4s, 2021 (Netherlands) | 1,515,000 | 1,533,938 | |
TRW Automotive, Inc. 144A company guaranty sr. notes | |||
7 1/4s, 2017 | 1,055,000 | 1,205,338 | |
16,163,806 | |||
Basic materials (7.9%) | |||
Ainsworth Lumber Co., Ltd. 144A sr. notes 7 1/2s, | |||
2017 (Canada) | 855,000 | 915,919 | |
ArcelorMittal SA sr. unsec. bonds 10.35s, 2019 (France) | 4,460,000 | 5,669,712 | |
ArcelorMittal SA sr. unsec. unsub. notes 7 1/2s, 2039 (France) | 990,000 | 1,032,075 | |
Ashland, Inc. company guaranty sr. unsec. unsub. notes | |||
4 3/4s, 2022 | 1,795,000 | 1,806,219 | |
Atkore International, Inc. company guaranty sr. notes | |||
9 7/8s, 2018 | 2,160,000 | 2,324,700 | |
Boise Cascade Co. company guaranty sr. unsec. notes | |||
6 3/8s, 2020 | 2,831,000 | 3,022,093 | |
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. | |||
notes 4 5/8s, 2022 (Germany) | 1,510,000 | 1,506,225 | |
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) | 3,978,000 | 4,286,295 | |
Cemex Finance, LLC 144A company guaranty sr. notes 9 3/8s, | |||
2022 (Mexico) | 1,595,000 | 1,827,870 | |
Cemex SAB de CV 144A company guaranty sr. notes 7 1/4s, | |||
2021 (Mexico) | 1,815,000 | 1,946,588 | |
24 High Yield Trust |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Basic materials cont. | |||
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, | |||
2019 (Mexico) | $2,335,000 | $2,457,588 | |
Cemex SAB de CV 144A company guaranty sr. notes 5 7/8s, | |||
2019 (Mexico) | 2,425,000 | 2,497,750 | |
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. | |||
notes 8s, 2021 | 2,195,000 | 2,348,650 | |
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, | |||
2020 (Canada) | 865,000 | 852,458 | |
Exopack Holdings SA 144A company guaranty sr. unsec. notes | |||
7 7/8s, 2019 (Luxembourg) | 2,080,000 | 2,158,000 | |
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 | 1,915,000 | 2,034,688 | |
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. | |||
notes 7s, 2021 (Canada) | 339,000 | 350,018 | |
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. | |||
notes 6 3/4s, 2020 (Canada) | 339,000 | 349,170 | |
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, | |||
2019 (Australia) | 1,635,000 | 1,802,588 | |
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, | |||
2018 (Australia) | 2,677,000 | 2,810,850 | |
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes | |||
6 7/8s, 2022 (Australia) | 650,000 | 708,500 | |
Graphic Packaging International, Inc. company guaranty | |||
sr. unsec. notes 4 3/4s, 2021 | 575,000 | 577,875 | |
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 | 3,560,000 | 3,898,200 | |
HD Supply, Inc. company guaranty sr. unsec. unsub. notes | |||
11 1/2s, 2020 | 1,366,000 | 1,666,520 | |
Hexion U.S. Finance Corp. company guaranty sr. notes | |||
6 5/8s, 2020 | 805,000 | 832,169 | |
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC | |||
company guaranty notes 9s, 2020 | 1,375,000 | 1,412,813 | |
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC | |||
company guaranty sr. notes 8 7/8s, 2018 | 3,302,000 | 3,442,335 | |
Huntsman International, LLC company guaranty sr. unsec. sub. | |||
notes 8 5/8s, 2021 | 2,538,000 | 2,867,940 | |
Huntsman International, LLC company guaranty sr. unsec. sub. | |||
notes 8 5/8s, 2020 | 885,000 | 976,819 | |
Huntsman International, LLC company guaranty sr. unsec. | |||
unsub. notes 4 7/8s, 2020 | 3,175,000 | 3,234,531 | |
IAMGOLD Corp. 144A company guaranty sr. unsec. notes | |||
6 3/4s, 2020 (Canada) | 1,600,000 | 1,408,000 | |
Ineos Finance PLC 144A company guaranty sr. notes 8 3/8s, | |||
2019 (United Kingdom) | 1,380,000 | 1,528,350 | |
Ineos Finance PLC 144A company guaranty sr. notes 7 1/2s, | |||
2020 (United Kingdom) | 1,090,000 | 1,196,275 | |
INEOS Group Holdings SA 144A company guaranty sr. unsec. | |||
notes 6 1/8s, 2018 (Luxembourg) | 3,295,000 | 3,418,563 | |
INEOS Group Holdings SA 144A company guaranty sr. unsec. | |||
notes 5 7/8s, 2019 (Luxembourg) | 805,000 | 829,150 | |
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 | 3,663,000 | 4,230,765 | |
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. | |||
notes 7 1/2s, 2020 | 2,385,000 | 2,647,350 | |
High Yield Trust | 25 |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Basic materials cont. | |||
Momentive Performance Materials, Inc. company guaranty | |||
sr. notes 10s, 2020 | $970,000 | $1,035,475 | |
Momentive Performance Materials, Inc. company guaranty | |||
sr. notes 8 7/8s, 2020 | 2,640,000 | 2,824,800 | |
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes | |||
7s, 2020 (Canada) | 1,510,000 | 1,570,400 | |
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) | 760,000 | 754,300 | |
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 | 1,770,000 | 1,991,250 | |
Nufarm Australia, Ltd. 144A company guaranty sr. unsec. notes | |||
6 3/8s, 2019 (Australia) | 1,174,000 | 1,210,688 | |
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, | |||
2017 (Sweden) | 2,720,000 | 2,920,600 | |
PQ Corp. 144A sr. notes 8 3/4s, 2018 | 2,725,000 | 2,997,500 | |
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A | |||
company guaranty sr. unsec. notes 10s, 2020 | 488,000 | 544,120 | |
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty | |||
sr. notes 9s, 2017 | 1,141,000 | 1,243,690 | |
Sealed Air Corp. 144A company guaranty sr. unsec. notes | |||
6 7/8s, 2033 | 420,000 | 424,200 | |
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 | 1,515,000 | 1,533,938 | |
Smurfit Kappa Acquisitions 144A company guaranty sr. notes | |||
4 7/8s, 2018 (Ireland) | 980,000 | 1,019,574 | |
Smurfit Kappa Treasury Funding, Ltd. company guaranty | |||
sr. unsub. notes 7 1/2s, 2025 (Ireland) | 1,458,000 | 1,618,380 | |
Steel Dynamics, Inc. company guaranty sr. unsec. notes | |||
7 5/8s, 2020 | 630,000 | 683,550 | |
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | |||
6 3/8s, 2022 | 435,000 | 477,413 | |
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes | |||
5 1/4s, 2023 | 270,000 | 277,425 | |
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, | |||
2020 (Belgium) | 4,218,000 | 4,787,430 | |
TMS International Corp. 144A company guaranty sr. unsec. | |||
notes 7 5/8s, 2021 | 620,000 | 669,600 | |
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 | 2,115,000 | 2,284,200 | |
Tronox Finance, LLC company guaranty sr. unsec. unsub. notes | |||
6 3/8s, 2020 | 1,015,000 | 1,042,913 | |
USG Corp. 144A company guaranty sr. unsec. notes | |||
5 7/8s, 2021 | 485,000 | 516,525 | |
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. | |||
bonds 6s, 2023 | 3,911,000 | 3,842,558 | |
113,146,140 | |||
Broadcasting (2.9%) | |||
Clear Channel Communications, Inc. company guaranty | |||
sr. notes 9s, 2021 | 1,381,000 | 1,446,598 | |
Clear Channel Communications, Inc. company guaranty | |||
sr. notes 9s, 2019 | 3,725,000 | 3,911,250 | |
Clear Channel Worldwide Holdings, Inc. company guaranty | |||
sr. unsec. notes 7 5/8s, 2020 | 1,865,000 | 2,018,863 | |
Clear Channel Worldwide Holdings, Inc. company guaranty | |||
sr. unsec. unsub. notes 6 1/2s, 2022 | 3,800,000 | 4,047,000 | |
26 High Yield Trust |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Broadcasting cont. | |||
Cumulus Media Holdings, Inc. company guaranty sr. unsec. | |||
unsub. notes 7 3/4s, 2019 | $1,902,000 | $2,054,160 | |
Entercom Radio, LLC company guaranty sr. unsec. sub. notes | |||
10 1/2s, 2019 | 2,520,000 | 2,904,300 | |
Gray Television, Inc. company guaranty sr. unsec. notes | |||
7 1/2s, 2020 | 3,425,000 | 3,733,250 | |
LIN Television Corp. company guaranty sr. unsec. notes | |||
6 3/8s, 2021 | 965,000 | 1,022,900 | |
Nexstar Broadcasting, Inc. company guaranty sr. unsec. unsub. | |||
notes 6 7/8s, 2020 | 3,965,000 | 4,272,288 | |
Sinclair Television Group, Inc. company guaranty sr. unsec. notes | |||
6 3/8s, 2021 | 3,668,000 | 3,878,910 | |
Sinclair Television Group, Inc. company guaranty sr. unsec. notes | |||
5 3/8s, 2021 | 945,000 | 949,725 | |
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 | 1,010,000 | 1,045,350 | |
Sirius XM Holdings, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 | 3,430,000 | 3,605,788 | |
Townsquare Radio, LLC/Townsquare Radio, Inc. 144A company | |||
guaranty sr. unsec. notes 9s, 2019 | 1,440,000 | 1,594,800 | |
Univision Communications, Inc. 144A company guaranty | |||
sr. unsec. notes 8 1/2s, 2021 | 3,350,000 | 3,722,688 | |
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 | 815,000 | 902,613 | |
41,110,483 | |||
Building materials (1.2%) | |||
Building Materials Corp. of America 144A company guaranty | |||
sr. notes 7 1/2s, 2020 | 2,170,000 | 2,349,025 | |
Building Materials Corp. of America 144A company guaranty | |||
sr. notes 7s, 2020 | 1,385,000 | 1,485,413 | |
Building Materials Corp. of America 144A sr. unsec. notes | |||
6 3/4s, 2021 | 1,040,000 | 1,128,400 | |
Jeld-Wen, Inc. 144A sr. notes 12 1/4s, 2017 | 1,333,000 | 1,489,628 | |
Masonite International Corp. 144A company guaranty sr. notes | |||
8 1/4s, 2021 (Canada) | 3,314,000 | 3,645,400 | |
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 | 3,111,000 | 3,429,878 | |
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 | 2,062,000 | 2,309,440 | |
Owens Corning company guaranty sr. unsec. notes 9s, 2019 | 642,000 | 799,824 | |
16,637,008 | |||
Capital goods (5.9%) | |||
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes | |||
8 1/4s, 2020 | 6,125,000 | 6,645,625 | |
American Axle & Manufacturing, Inc. company guaranty | |||
sr. unsec. notes 7 3/4s, 2019 | 5,160,000 | 5,946,900 | |
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022 | 825,000 | 850,781 | |
Berry Plastics Corp. company guaranty unsub. notes | |||
9 3/4s, 2021 | 1,627,000 | 1,887,320 | |
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 | 2,050,000 | 2,165,313 | |
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017 ‡‡ | 2,775,000 | 2,941,500 | |
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) | 831,000 | 841,388 | |
Bombardier, Inc. 144A sr. unsec. notes 7 3/4s, 2020 (Canada) | 1,325,000 | 1,477,375 | |
Briggs & Stratton Corp. company guaranty sr. unsec. notes | |||
6 7/8s, 2020 | 3,427,000 | 3,803,970 | |
High Yield Trust | 27 |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Capital goods cont. | |||
Crown Americas, LLC/Crown Americas Capital Corp. | |||
IV company guaranty sr. unsec. notes 4 1/2s, 2023 | $2,423,000 | $2,380,598 | |
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 | 862,000 | 918,030 | |
Exide Technologies sr. notes 8 5/8s, 2018 (In default) † | 2,430,000 | 1,974,375 | |
Gestamp Funding Luxembourg SA 144A sr. notes 5 5/8s, | |||
2020 (Luxembourg) | 1,105,000 | 1,143,675 | |
Kratos Defense & Security Solutions, Inc. company guaranty | |||
sr. notes 10s, 2017 | 750,000 | 800,625 | |
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) | 3,931,000 | 5,173,681 | |
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes | |||
5 7/8s, 2022 | 3,345,000 | 3,545,700 | |
MasTec, Inc. company guaranty sr. unsec. unsub. notes | |||
4 7/8s, 2023 | 4,590,000 | 4,452,300 | |
Oshkosh Corp. 144A company guaranty sr. unsec. notes | |||
5 3/8s, 2022 | 1,335,000 | 1,365,038 | |
Pittsburgh Glass Works, LLC 144A company guaranty | |||
sr. notes 8s, 2018 | 3,091,000 | 3,369,190 | |
Polypore International, Inc. company guaranty sr. unsec. notes | |||
7 1/2s, 2017 | 265,000 | 280,900 | |
Rexel SA 144A company guaranty sr. unsec. unsub. notes | |||
6 1/8s, 2019 (France) | 530,000 | 563,125 | |
Reynolds Group Issuer, Inc. Reynolds Group Issuer, LLC/ | |||
Reynolds Group Issuer Lu company guaranty sr. notes | |||
7 7/8s, 2019 | 1,235,000 | 1,361,588 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/ | |||
Reynolds Group Issuer Lu company guaranty sr. notes | |||
5 3/4s, 2020 | 3,145,000 | 3,286,525 | |
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 | 4,353,750 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/ | |||
Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. | |||
notes 9s, 2019 | 195,000 | 209,625 | |
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 | 262,200 | |
Schaeffler Holding Finance BV 144A company guaranty | |||
sr. notes 6 7/8s, 2018 (Netherlands) ‡‡ | 3,445,000 | 3,675,126 | |
Schaeffler Holding Finance BV 144A notes 6 7/8s, 2018 | |||
(Netherlands) ‡‡ | EUR | 1,175,000 | 1,731,328 |
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 | $2,120,000 | 2,332,000 | |
Terex Corp. company guaranty sr. unsec. unsub. notes | |||
6 1/2s, 2020 | 1,785,000 | 1,932,263 | |
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 | 3,450,000 | 3,631,125 | |
Thermadyne Holdings Corp. company guaranty sr. | |||
notes 9s, 2017 | 580,000 | 622,340 | |
Titan International, Inc. 144A company guaranty sr. bonds | |||
6 7/8s, 2020 | 1,790,000 | 1,892,925 | |
TransDigm, Inc. company guaranty sr. unsec. sub. notes | |||
5 1/2s, 2020 | 1,995,000 | 2,019,938 | |
28 High Yield Trust |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Capital goods cont. | |||
TransDigm, Inc. company guaranty unsec. sub. notes | |||
7 3/4s, 2018 | $2,845,000 | $3,047,706 | |
Triumph Group, Inc. company guaranty sr. unsec. notes | |||
4 7/8s, 2021 | 1,000,000 | 987,500 | |
Vander Intermediate Holding II Corp. 144A sr. unsec. notes | |||
9 3/4s, 2019 ‡‡ | 1,135,000 | 1,177,563 | |
85,050,911 | |||
Coal (0.7%) | |||
Alpha Natural Resources, Inc. company guaranty sr. unsec. | |||
notes 6 1/4s, 2021 | 2,010,000 | 1,683,375 | |
CONSOL Energy, Inc. company guaranty sr. unsec. notes | |||
8 1/4s, 2020 | 2,870,000 | 3,121,125 | |
CONSOL Energy, Inc. company guaranty sr. unsec. | |||
notes 8s, 2017 | 3,535,000 | 3,689,656 | |
Peabody Energy Corp. company guaranty sr. unsec. notes | |||
7 3/8s, 2016 | 218,000 | 245,795 | |
Peabody Energy Corp. company guaranty sr. unsec. unsub. | |||
notes 6s, 2018 | 1,310,000 | 1,418,075 | |
10,158,026 | |||
Commercial and consumer services (2.3%) | |||
Ceridian Corp. company guaranty sr. unsec. notes | |||
12 1/4s, 2015 ‡‡ | 1,094,850 | 1,101,693 | |
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 | 1,115,000 | 1,121,969 | |
Ceridian Corp. 144A sr. notes 8 7/8s, 2019 | 1,375,000 | 1,574,375 | |
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 | 4,914,000 | 5,620,388 | |
DH Services Luxembourg Sarl 144A company guaranty | |||
sr. unsec. notes 7 3/4s, 2020 (Luxembourg) | 2,440,000 | 2,629,100 | |
Garda World Security Corp. 144A company guaranty sr. unsec. | |||
unsub. notes 7 1/4s, 2021 (Canada) | 3,315,000 | 3,439,313 | |
Igloo Holdings Corp. 144A sr. unsec. unsub. notes | |||
8 1/4s, 2017 ‡‡ | 3,045,000 | 3,121,125 | |
Lender Processing Services, Inc. company guaranty sr. unsec. | |||
unsub. notes 5 3/4s, 2023 | 3,180,000 | 3,386,700 | |
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 | 2,710,000 | 3,035,200 | |
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 | 3,739,000 | 4,159,638 | |
Travelport, LLC company guaranty sr. unsec. sub. notes | |||
11 7/8s, 2016 | 1,404,000 | 1,442,610 | |
Travelport, LLC/Travelport Holdings, Inc. 144A company | |||
guaranty sr. unsec. unsub. notes 13 7/8s, 2016 ‡‡ | 2,468,723 | 2,623,018 | |
33,255,129 | |||
Communication services (9.8%) | |||
Adelphia Communications Corp. escrow bonds zero %, 2015 | 2,223,000 | 15,561 | |
Adelphia Communications Corp. escrow bonds zero %, 2014 | 4,000 | 28 | |
Adelphia Communications Corp. escrow bonds zero %, 2014 | 4,000 | 28 | |
Adelphia Communications Corp. escrow bonds zero %, 2014 | 2,906,000 | 20,342 | |
Adelphia Communications Corp. escrow bonds zero %, 2014 | 81,000 | 567 | |
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017 | 1,772,000 | 2,113,110 | |
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 | 903,000 | 1,045,223 | |
CCO Holdings, LLC/CCO Holdings Capital Corp. company | |||
guaranty sr. unsec. notes 6 1/2s, 2021 | 2,142,000 | 2,286,585 | |
CCO Holdings, LLC/CCO Holdings Capital Corp. company | |||
guaranty sr. unsec. notes 5 1/4s, 2022 | 2,865,000 | 2,865,000 | |
High Yield Trust 29 |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Communication services cont. | |||
CCO Holdings, LLC/CCO Holdings Capital Corp. company | |||
guaranty sr. unsec. unsub. notes 7 3/8s, 2020 | $705,000 | $770,213 | |
CCO Holdings, LLC/CCO Holdings Capital Corp. company | |||
guaranty sr. unsec. unsub. notes 6 5/8s, 2022 | 1,585,000 | 1,707,838 | |
CCO Holdings, LLC/CCO Holdings Capital Corp. company | |||
guaranty sr. unsec. unsub. notes 5 1/8s, 2023 | 3,075,000 | 2,990,438 | |
CCO Holdings, LLC/CCO Holdings Capital Corp. company | |||
guaranty sr. unsub. notes 7s, 2019 | 1,851,000 | 1,957,433 | |
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 | 2,410,000 | 2,554,600 | |
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 | 540,000 | 564,300 | |
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 | 3,945,000 | 4,043,625 | |
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 | 1,540,000 | 1,736,350 | |
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) | 4,345,000 | 4,594,838 | |
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) | 1,695,000 | 1,762,800 | |
DISH DBS Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 | 1,805,000 | 2,120,875 | |
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021 | 825,000 | 924,000 | |
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 | 2,645,000 | 3,061,588 | |
Hughes Satellite Systems Corp. company guaranty sr. notes | |||
6 1/2s, 2019 | 2,130,000 | 2,337,675 | |
Hughes Satellite Systems Corp. company guaranty sr. unsec. | |||
notes 7 5/8s, 2021 | 2,693,000 | 3,043,090 | |
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes | |||
7 1/2s, 2021 (Bermuda) | 2,026,000 | 2,233,665 | |
Intelsat Luxembourg SA 144A company guaranty sr. unsec. | |||
notes 8 1/8s, 2023 (Luxembourg) | 5,675,000 | 6,164,469 | |
Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, | |||
2021 (Luxembourg) | 7,909,000 | 8,512,061 | |
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. | |||
notes 8 5/8s, 2020 | 1,980,000 | 2,225,025 | |
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. | |||
notes 8 1/8s, 2019 | 470,000 | 517,000 | |
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. | |||
notes 7s, 2020 | 934,000 | 1,018,060 | |
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes | |||
6 1/8s, 2021 | 965,000 | 1,020,488 | |
Lynx I Corp. 144A sr. notes 5 3/8s, 2021 (United Kingdom) | 1,065,000 | 1,094,288 | |
Lynx II Corp. 144A sr. unsec. notes 6 3/8s, 2023 | |||
(United Kingdom) | 1,065,000 | 1,120,913 | |
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. unsub. notes | |||
7 1/4s, 2022 | 1,495,000 | 1,622,075 | |
NII International Telecom SCA 144A company guaranty | |||
sr. unsec. notes 7 7/8s, 2019 (Luxembourg) | 1,832,000 | 1,273,240 | |
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, | |||
2023 (Canada) | 2,610,000 | 2,642,625 | |
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, | |||
2021 (Canada) | CAD | 1,680,000 | 1,630,357 |
Qwest Corp. sr. unsec. notes 6 3/4s, 2021 | $1,500,000 | 1,696,385 | |
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 | 2,436,000 | 2,716,822 | |
SBA Telecommunications, Inc. company guaranty sr. unsec. | |||
notes 8 1/4s, 2019 | 982,000 | 1,047,058 | |
30 High Yield Trust |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Communication services cont. | |||
SBA Telecommunications, Inc. company guaranty sr. unsec. | |||
unsub. notes 5 3/4s, 2020 | $2,285,000 | $2,404,963 | |
Sprint Capital Corp. company guaranty 6 7/8s, 2028 | 5,247,000 | 5,207,648 | |
Sprint Communications, Inc. sr. unsec. unsub. notes | |||
8 3/8s, 2017 | 140,000 | 163,975 | |
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 | 1,995,000 | 2,177,044 | |
Sprint Communications, Inc. 144A company guaranty sr. unsec. | |||
notes 9s, 2018 | 5,381,000 | 6,591,725 | |
Sprint Corp. 144A company guaranty sr. unsec. notes | |||
7 7/8s, 2023 | 5,670,000 | 6,279,525 | |
Sprint Corp. 144A company guaranty sr. unsec. notes | |||
7 1/4s, 2021 | 4,075,000 | 4,462,125 | |
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | |||
6.836s, 2023 | 405,000 | 437,906 | |
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | |||
6.633s, 2021 | 1,015,000 | 1,100,006 | |
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | |||
6 5/8s, 2023 | 2,901,000 | 3,093,191 | |
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | |||
6.464s, 2019 | 960,000 | 1,024,800 | |
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | |||
6 1/4s, 2021 | 4,409,000 | 4,673,540 | |
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | |||
6 1/8s, 2022 | 2,353,000 | 2,476,533 | |
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH | |||
144A company guaranty sr. notes 7 1/2s, 2019 (Germany) | 1,275,000 | 1,386,049 | |
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, | |||
2022 (Canada) | 3,210,000 | 3,250,125 | |
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. | |||
company guaranty sr. unsec. notes 10 1/4s, 2019 | 5,139,000 | 5,884,155 | |
Wind Acquisition Finance SA company guaranty sr. notes | |||
Ser. REGS, 7 3/8s, 2018 (Luxembourg) | EUR | 500,000 | 730,510 |
Wind Acquisition Finance SA 144A company guaranty sr. notes | |||
7 1/4s, 2018 (Luxembourg) | $2,375,000 | 2,499,688 | |
Wind Acquisition Finance SA 144A sr. notes 11 3/4s, | |||
2017 (Luxembourg) | 875,000 | 926,406 | |
Wind Acquisition Holdings Finance SA 144A company guaranty | |||
sr. notes 12 1/4s, 2017 (Luxembourg) | 1,442,931 | 1,500,648 | |
Windstream Corp. company guaranty sr. unsec. unsub. notes | |||
7 7/8s, 2017 | 1,938,000 | 2,219,010 | |
Windstream Corp. company guaranty sr. unsec. unsub. notes | |||
7 3/4s, 2021 | 2,047,000 | 2,210,760 | |
Windstream Corp. company guaranty sr. unsec. unsub. notes | |||
6 3/8s, 2023 | 1,235,000 | 1,216,475 | |
140,967,445 | |||
Consumer (0.4%) | |||
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 | 2,755,000 | 2,927,188 | |
Spectrum Brands, Inc. company guaranty sr. unsec. notes | |||
6 5/8s, 2022 | 140,000 | 152,250 | |
High Yield Trust | 31 |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Consumer cont. | |||
Spectrum Brands, Inc. company guaranty sr. unsec. notes | |||
6 3/8s, 2020 | $175,000 | $190,750 | |
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. | |||
notes 6 3/4s, 2020 | 1,604,000 | 1,740,340 | |
5,010,528 | |||
Consumer staples (6.0%) | |||
Affinion Group, Inc. company guaranty sr. unsec. notes | |||
7 7/8s, 2018 | 2,995,000 | 2,650,575 | |
Affinion Investments, LLC 144A company guaranty sr. unsec. | |||
sub. notes 13 1/2s, 2018 | 1,090,380 | 1,074,024 | |
Ashtead Capital, Inc. 144A company guaranty sr. notes | |||
6 1/2s, 2022 | 5,390,000 | 5,848,150 | |
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company | |||
guaranty sr. unsec. unsub. notes 9 3/4s, 2020 | 730,000 | 846,800 | |
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company | |||
guaranty sr. unsec. unsub. notes 5 1/2s, 2023 | 1,010,000 | 1,020,100 | |
B&G Foods, Inc. company guaranty sr. unsec. notes | |||
4 5/8s, 2021 | 1,385,000 | 1,374,613 | |
Barry Callebaut Services NV 144A company guaranty sr. unsec. | |||
notes 5 1/2s, 2023 (Belgium) | 2,855,000 | 2,943,574 | |
Burger King Corp. company guaranty sr. unsec. notes | |||
9 7/8s, 2018 | 1,830,000 | 1,999,275 | |
CEC Entertainment, Inc. 144A sr. unsec. notes 8s, 2022 | 1,220,000 | 1,253,550 | |
Claire’s Stores, Inc. 144A sr. notes 9s, 2019 | 3,095,000 | 3,257,488 | |
Constellation Brands, Inc. company guaranty sr. unsec. notes | |||
4 1/4s, 2023 | 675,000 | 661,500 | |
Constellation Brands, Inc. company guaranty sr. unsec. unsub. | |||
notes 7 1/4s, 2016 | 3,123,000 | 3,536,798 | |
Constellation Brands, Inc. company guaranty sr. unsec. unsub. | |||
notes 6s, 2022 | 2,351,000 | 2,603,733 | |
Corrections Corp. of America company guaranty sr. unsec. notes | |||
4 5/8s, 2023 R | 2,065,000 | 1,992,725 | |
Corrections Corp. of America company guaranty sr. unsec. notes | |||
4 1/8s, 2020 R | 545,000 | 532,738 | |
Dave & Buster’s, Inc. company guaranty sr. unsec. unsub. | |||
notes 11s, 2018 | 2,962,000 | 3,187,853 | |
Dean Foods Co. company guaranty sr. unsec. unsub. | |||
notes 7s, 2016 | 2,215,000 | 2,442,038 | |
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018 | 2,600,000 | 2,847,000 | |
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 | 1,000,000 | 1,070,000 | |
Elizabeth Arden, Inc. 144A sr. unsec. notes 7 3/8s, 2021 | 2,010,000 | 2,150,700 | |
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, | |||
2023 (Brazil) | 1,845,000 | 1,697,676 | |
Hawk Acquisition Sub, Inc. 144A sr. notes 4 1/4s, 2020 | 3,060,000 | 3,052,350 | |
Hertz Corp. (The) company guaranty sr. unsec. notes | |||
7 1/2s, 2018 | 920,000 | 983,250 | |
Hertz Corp. (The) company guaranty sr. unsec. notes | |||
6 1/4s, 2022 | 2,535,000 | 2,680,763 | |
Hertz Corp. (The) company guaranty sr. unsec. notes | |||
5 7/8s, 2020 | 1,605,000 | 1,701,300 | |
32 High Yield Trust |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Consumer staples cont. | |||
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes | |||
7 1/4s, 2021 (Brazil) | $685,000 | $724,388 | |
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes | |||
8 1/4s, 2020 (Brazil) | 810,000 | 886,950 | |
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes | |||
7 1/4s, 2021 (Brazil) | 3,390,000 | 3,584,925 | |
Landry’s Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 | 735,000 | 780,938 | |
Landry’s, Inc. 144A sr. unsec. notes 9 3/8s, 2020 | 5,655,000 | 6,220,500 | |
Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020 | 1,265,000 | 1,369,363 | |
Post Holdings, Inc. company guaranty sr. unsec. notes | |||
7 3/8s, 2022 | 1,250,000 | 1,360,938 | |
Post Holdings, Inc. 144A company guaranty sr. unsec. notes | |||
7 3/8s, 2022 | 250,000 | 272,188 | |
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 | 2,015,000 | 2,030,113 | |
Revlon Consumer Products Corp. company guaranty sr. unsec. | |||
notes 5 3/4s, 2021 | 3,805,000 | 3,805,000 | |
Rite Aid Corp. company guaranty sr. notes 10 1/4s, 2019 | 880,000 | 975,700 | |
Rite Aid Corp. company guaranty sr. unsec. unsub. notes | |||
9 1/4s, 2020 | 2,300,000 | 2,645,000 | |
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020 | 740,000 | 830,650 | |
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022 | 1,960,000 | 2,121,700 | |
Sun Merger Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2021 | 530,000 | 545,900 | |
Sun Merger Sub, Inc. 144A sr. unsec. notes 5 1/4s, 2018 | 1,865,000 | 1,962,913 | |
United Rentals North America, Inc. company guaranty sr. unsec. | |||
notes 7 5/8s, 2022 | 2,695,000 | 3,058,825 | |
United Rentals North America, Inc. company guaranty sr. unsec. | |||
unsub. notes 6 1/8s, 2023 | 155,000 | 164,300 | |
86,748,864 | |||
Energy (oil field) (1.2%) | |||
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. | |||
notes 7 1/2s, 2020 | 1,740,000 | 1,818,300 | |
Forum Energy Technologies, Inc. 144A sr. unsec. notes | |||
6 1/4s, 2021 | 2,665,000 | 2,831,563 | |
Hiland Partners LP/Hiland Partners Finance Corp. 144A | |||
company guaranty sr. notes 7 1/4s, 2020 | 2,080,000 | 2,246,400 | |
Key Energy Services, Inc. company guaranty unsec. unsub. | |||
notes 6 3/4s, 2021 | 1,918,000 | 2,009,105 | |
Offshore Group Investment, Ltd. company guaranty sr. notes | |||
7 1/2s, 2019 (Cayman Islands) | 2,800,000 | 3,011,094 | |
Offshore Group Investment, Ltd. company guaranty sr. notes | |||
7 1/8s, 2023 (Cayman Islands) | 2,030,000 | 2,075,675 | |
Tervita Corp. 144A company guaranty sr. notes 9s, | |||
2018 (Canada) | CAD | 1,300,000 | 1,214,695 |
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) | $665,000 | 713,213 | |
Trinidad Drilling, Ltd. 144A sr. unsec. notes 7 7/8s, | |||
2019 (Canada) | 505,000 | 540,350 | |
16,460,395 | |||
Entertainment (1.3%) | |||
AMC Entertainment, Inc. company guaranty sr. sub. notes | |||
9 3/4s, 2020 | 1,825,000 | 2,105,594 | |
AMC Entertainment, Inc. 144A company guaranty sr. unsec. | |||
sub. notes 5 7/8s, 2022 | 1,580,000 | 1,599,750 | |
High Yield Trust | 33 |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Entertainment cont. | |||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management | |||
Corp. company guaranty sr. unsec. notes 9 1/8s, 2018 | $420,000 | $450,975 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management | |||
Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 | 1,360,000 | 1,382,100 | |
Cinemark USA, Inc. company guaranty sr. unsec. notes | |||
5 1/8s, 2022 | 770,000 | 773,850 | |
Cinemark USA, Inc. company guaranty sr. unsec. notes | |||
4 7/8s, 2023 | 345,000 | 334,650 | |
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes | |||
7 3/8s, 2021 | 75,000 | 83,625 | |
GLP Capital LP/GLP Financing II, Inc. 144A company guaranty | |||
sr. unsec. notes 4 7/8s, 2020 | 2,555,000 | 2,644,425 | |
GLP Capital LP/GLP Financing II, Inc. 144A company guaranty | |||
sr. unsec. notes 4 3/8s, 2018 | 955,000 | 990,813 | |
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2025 | 1,770,000 | 1,725,750 | |
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 | 2,275,000 | 2,297,750 | |
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 | 490,000 | 502,250 | |
Six Flags Entertainment Corp. 144A company guaranty | |||
sr. unsec. unsub. notes 5 1/4s, 2021 | 4,309,000 | 4,362,863 | |
19,254,395 | |||
Financials (9.3%) | |||
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub., LLC 144A | |||
sr. unsec. notes 7 7/8s, 2020 | 2,720,000 | 2,890,000 | |
Allegion US Holding Co., Inc. 144A company guaranty sr. unsec. | |||
notes 5 3/4s, 2021 | 2,790,000 | 2,912,063 | |
Ally Financial, Inc. company guaranty sr. unsec. unsub. | |||
notes 8s, 2031 | 1,500,000 | 1,890,000 | |
Ally Financial, Inc. company guaranty sr. unsec. unsub. | |||
notes 8s, 2020 | 1,270,000 | 1,571,625 | |
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes | |||
7 1/2s, 2020 | 670,000 | 810,700 | |
Ally Financial, Inc. unsec. sub. notes 8s, 2018 | 1,542,000 | 1,838,835 | |
American International Group, Inc. jr. sub. FRB bonds | |||
8.175s, 2068 | 2,202,000 | 2,835,736 | |
BBVA International Preferred SAU bank guaranty jr. unsec. sub. | |||
FRN notes 5.919s, perpetual maturity (Spain) | 2,190,000 | 2,157,150 | |
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes | |||
6 5/8s, 2020 | 3,232,000 | 3,458,240 | |
CBRE Services, Inc. company guaranty sr. unsec. unsub. | |||
notes 5s, 2023 | 965,000 | 965,000 | |
CIT Group, Inc. sr. unsec. notes 5s, 2023 | 1,435,000 | 1,492,400 | |
CIT Group, Inc. sr. unsec. notes 5s, 2022 | 1,090,000 | 1,144,500 | |
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 | 2,460,000 | 2,656,800 | |
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 | 970,000 | 986,975 | |
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018 | 590,000 | 665,225 | |
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 | 1,635,000 | 1,778,063 | |
Citigroup, Inc. unsec. sub. notes 1.686s, 2019 | EUR | 870,000 | 1,187,892 |
CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020 | $2,605,000 | 2,474,750 | |
CNO Financial Group, Inc. 144A company guaranty sr. notes | |||
6 3/8s, 2020 | 1,500,000 | 1,601,250 | |
34 High Yield Trust |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Financials cont. | |||
Commerzbank AG 144A unsec. sub. notes 8 1/8s, | |||
2023 (Germany) | $795,000 | $898,350 | |
Community Choice Financial, Inc. company guaranty sr. notes | |||
10 3/4s, 2019 | 2,950,000 | 2,581,250 | |
Credit Acceptance Corp. 144A company guaranty sr. unsec. | |||
notes 6 1/8s, 2021 | 1,685,000 | 1,748,188 | |
Dresdner Funding Trust I 144A bonds 8.151s, 2031 | 4,775,000 | 5,276,375 | |
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 | 3,910,000 | 4,242,350 | |
HBOS PLC 144A sr. unsec. sub. notes 6 3/4s, 2018 | |||
(United Kingdom) | 2,655,000 | 3,024,345 | |
HBOS PLC 144A unsec. sub. bonds 6s, 2033 (United Kingdom) | 1,050,000 | 1,064,186 | |
Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021 | 2,700,000 | 2,841,750 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A | |||
company guaranty sr. unsec. notes 6s, 2020 | 4,668,000 | 4,924,740 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A | |||
company guaranty sr. unsec. notes 5 7/8s, 2022 | 2,775,000 | 2,830,500 | |
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 | 490,000 | 548,800 | |
International Lease Finance Corp. sr. unsec. unsub. notes | |||
5 7/8s, 2022 | 1,310,000 | 1,404,975 | |
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018 R | 1,605,000 | 1,789,575 | |
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. | |||
sub. bonds 7.8s, 2037 | 1,565,000 | 1,698,025 | |
Lloyds Bank PLC jr. sub. FRN notes Ser. EMTN, 13s, perpetual | |||
maturity (United Kingdom) | GBP | 1,765,000 | 4,802,822 |
MPT Operating Partnership LP/MPT Finance Corp. company | |||
guaranty sr. unsec. unsub. notes 6 3/8s, 2022 R | $1,305,000 | 1,370,250 | |
National Money Mart Co. company guaranty sr. unsec. unsub. | |||
notes 10 3/8s, 2016 (Canada) | 902,000 | 898,618 | |
Nationstar Mortgage, LLC/Nationstar Capital Corp. company | |||
guaranty sr. unsec. notes 7 7/8s, 2020 | 1,380,000 | 1,397,250 | |
Nationstar Mortgage, LLC/Nationstar Capital Corp. company | |||
guaranty sr. unsec. notes 6 1/2s, 2018 | 1,900,000 | 1,914,250 | |
Nationstar Mortgage, LLC/Nationstar Capital Corp. company | |||
guaranty sr. unsec. unsub. notes 6 1/2s, 2021 | 2,340,000 | 2,217,150 | |
Neuberger Berman Group, LLC/Neuberger Berman Finance | |||
Corp. 144A sr. notes 5 5/8s, 2020 | 1,125,000 | 1,181,250 | |
Neuberger Berman Group, LLC/Neuberger Berman Finance | |||
Corp. 144A sr. notes 5 7/8s, 2022 | 1,810,000 | 1,900,500 | |
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 | 2,020,000 | 2,156,350 | |
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 | 1,400,000 | 1,466,500 | |
Onex USI Acquisition Corp. 144A sr. unsec. notes 7 3/4s, 2021 | 3,435,000 | 3,572,400 | |
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 | 2,535,000 | 2,750,475 | |
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 | 2,565,000 | 2,584,238 | |
Provident Funding Associates LP/PFG Finance Corp. 144A | |||
company guaranty sr. unsec. notes 6 3/4s, 2021 | 2,781,000 | 2,725,380 | |
Provident Funding Associates LP/PFG Finance Corp. 144A | |||
sr. notes 10 1/8s, 2019 | 1,870,000 | 2,038,300 | |
Royal Bank of Scotland Group PLC jr. sub. unsec. FRN notes | |||
Ser. U, 7.64s, perpetual maturity (United Kingdom) | 1,600,000 | 1,600,000 | |
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB bonds | |||
7.648s, perpetual maturity (United Kingdom) | 5,780,000 | 6,141,250 | |
High Yield Trust | 35 |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Financials cont. | |||
Royal Bank of Scotland Group PLC unsec. sub. notes 6s, 2023 | |||
(United Kingdom) | $1,470,000 | $1,514,163 | |
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 | 3,260,000 | 3,859,025 | |
Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017 | 6,180,000 | 6,774,825 | |
Springleaf Finance Corp. sr. unsec. unsub. notes 7 3/4s, 2021 | 560,000 | 620,200 | |
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 | 1,235,000 | 1,262,788 | |
Stearns Holdings, Inc. 144A company guaranty sr. notes | |||
9 3/8s, 2020 | 3,683,000 | 3,775,075 | |
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes | |||
8 1/2s, 2018 | 2,800,000 | 3,059,000 | |
Walter Investment Management Corp. 144A company guaranty | |||
sr. unsec. notes 7 7/8s, 2021 | 1,980,000 | 1,989,900 | |
133,762,572 | |||
Gaming and lottery (1.9%) | |||
Caesars Entertainment Operating Co., Inc. company guaranty | |||
sr. notes 9s, 2020 | 3,675,000 | 3,573,938 | |
Caesars Entertainment Operating Co., Inc. sr. notes | |||
11 1/4s, 2017 | 466,000 | 475,903 | |
CCM Merger, Inc. 144A company guaranty sr. unsec. notes | |||
9 1/8s, 2019 | 1,900,000 | 2,023,500 | |
Great Canadian Gaming Corp. 144A company guaranty | |||
sr. unsec. notes 6 5/8s, 2022 (Canada) | CAD | 1,310,000 | 1,249,747 |
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes | |||
5 7/8s, 2021 | $770,000 | 795,025 | |
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. | |||
notes 8 7/8s, 2020 | 795,000 | 866,550 | |
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. | |||
notes 7 3/4s, 2019 | 2,050,000 | 2,226,813 | |
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 | 5,381,465 | 6,081,055 | |
Penn National Gaming, Inc. 144A sr. unsec. notes 5 7/8s, 2021 | 3,260,000 | 3,178,500 | |
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. | |||
144A sr. notes 9 1/2s, 2019 | 1,880,000 | 2,058,600 | |
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes | |||
12 1/8s, 2018 | 5,016,000 | 5,241,720 | |
27,771,351 | |||
Health care (7.5%) | |||
CHS/Community Health Systems, Inc. 144A company guaranty | |||
sr. notes 5 1/8s, 2021 | 445,000 | 460,575 | |
CHS/Community Health Systems, Inc. 144A company guaranty | |||
sr. unsec. notes 6 7/8s, 2022 | 535,000 | 569,106 | |
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. | |||
notes 6 1/8s, 2021 | 2,875,000 | 2,968,438 | |
AmSurg Corp. company guaranty sr. unsec. unsub. notes | |||
5 5/8s, 2020 | 2,795,000 | 2,941,738 | |
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. | |||
company guaranty sr. unsec. notes 7 3/4s, 2019 | 2,083,000 | 2,249,640 | |
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. | |||
company guaranty sr. unsec. notes 6s, 2021 | 3,890,000 | 4,055,325 | |
Biomet, Inc. company guaranty sr. unsec. sub. notes | |||
6 1/2s, 2020 | 3,125,000 | 3,332,031 | |
Biomet, Inc. company guaranty sr. unsec. unsub. notes | |||
6 1/2s, 2020 | 2,835,000 | 3,058,256 | |
36 High Yield Trust |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Health care cont. | |||
Capella Healthcare, Inc. company guaranty sr. unsec. notes | |||
9 1/4s, 2017 | $2,365,000 | $2,530,550 | |
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. | |||
notes 9 7/8s, 2019 | EUR | 2,135,000 | 3,226,459 |
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg) ‡‡ | $2,258,000 | 2,342,675 | |
CHS/Community Health Systems, Inc. company guaranty | |||
sr. notes 5 1/8s, 2018 | 3,120,000 | 3,303,300 | |
CHS/Community Health Systems, Inc. company guaranty | |||
sr. unsec. unsub. notes 8s, 2019 | 950,000 | 1,055,450 | |
ConvaTec Finance International SA 144A sr. unsec. notes 8 1/4s, | |||
2019 (Luxembourg) ‡‡ | 1,037,000 | 1,068,110 | |
ConvaTec Healthcare D Sarl 144A sr. notes 7 3/8s, | |||
2017 (Luxembourg) | EUR | 1,000,000 | 1,460,192 |
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, | |||
2018 (Luxembourg) | $2,131,000 | 2,376,065 | |
Endo Finance Co. 144A company guaranty sr. unsec. notes | |||
5 3/4s, 2022 | 1,100,000 | 1,138,500 | |
Envision Healthcare Corp. company guaranty sr. unsec. notes | |||
8 1/8s, 2019 | 1,180,000 | 1,267,025 | |
Fresenius Medical Care US Finance II, Inc. 144A company | |||
guaranty sr. unsec. notes 5 5/8s, 2019 | 1,945,000 | 2,095,738 | |
HCA, Inc. company guaranty sr. notes 8 1/2s, 2019 | 1,963,000 | 2,061,150 | |
HCA, Inc. sr. notes 6 1/2s, 2020 | 6,665,000 | 7,514,788 | |
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 | 705,000 | 817,800 | |
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 | 4,218,000 | 4,587,075 | |
Healthcare Technology Intermediate, Inc. 144A sr. unsec. notes | |||
7 3/8s, 2018 ‡‡ | 1,515,000 | 1,568,025 | |
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty | |||
sr. unsec. notes 8 3/8s, 2019 | 1,004,000 | 1,074,280 | |
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 | 980,000 | 1,048,600 | |
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 144A sr. unsec. | |||
notes 9 1/2s, 2019 | 1,060,000 | 1,187,200 | |
JLL/Delta Dutch Newco BV 144A sr. unsec. notes 7 1/2s, | |||
2022 (Netherlands) | 2,150,000 | 2,193,000 | |
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes | |||
10 1/2s, 2018 | 5,480,000 | 6,356,800 | |
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty | |||
sr. unsec. notes 12 1/2s, 2019 | 453,000 | 524,348 | |
MPH Intermediate Holding Co. 2 144A sr. unsec. notes | |||
8 3/8s, 2018 ‡‡ | 1,370,000 | 1,433,363 | |
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018 | 1,015,000 | 1,110,156 | |
Omega Healthcare Investors, Inc. company guaranty sr. unsec. | |||
notes 6 3/4s, 2022 R | 1,645,000 | 1,780,713 | |
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. | |||
unsub. notes 7 3/8s, 2020 | 3,420,000 | 3,702,150 | |
Salix Pharmaceuticals, Ltd. 144A company guaranty sr. unsec. | |||
notes 6s, 2021 | 835,000 | 893,450 | |
Service Corp. International/US sr. notes 7s, 2019 | 1,100,000 | 1,168,750 | |
Service Corp. International/US 144A sr. unsec. notes | |||
5 3/8s, 2022 | 1,965,000 | 1,999,388 | |
High Yield Trust | 37 |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Health care cont. | |||
Stewart Enterprises, Inc. company guaranty sr. unsec. notes | |||
6 1/2s, 2019 | $2,025,000 | $2,132,325 | |
Teleflex, Inc. company guaranty sr. unsec. sub. notes | |||
6 7/8s, 2019 | 330,000 | 350,625 | |
Tenet Healthcare Corp. company guaranty sr. bonds | |||
4 1/2s, 2021 | 2,300,000 | 2,294,250 | |
Tenet Healthcare Corp. company guaranty sr. bonds | |||
4 3/8s, 2021 | 2,125,000 | 2,098,438 | |
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 | 2,270,000 | 2,514,025 | |
Tenet Healthcare Corp. 144A sr. notes 6s, 2020 | 1,835,000 | 1,972,625 | |
United Surgical Partners International, Inc. company guaranty | |||
sr. unsec. unsub. notes 9s, 2020 | 1,880,000 | 2,119,324 | |
Valeant Pharmaceuticals International 144A company guaranty | |||
sr. notes 7s, 2020 | 410,000 | 447,413 | |
Valeant Pharmaceuticals International 144A company guaranty | |||
sr. unsec. notes 6 7/8s, 2018 | 1,555,000 | 1,654,131 | |
Valeant Pharmaceuticals International 144A company guaranty | |||
sr. unsec. notes 6 3/8s, 2020 | 430,000 | 469,775 | |
Valeant Pharmaceuticals International 144A sr. notes | |||
6 3/4s, 2017 | 3,345,000 | 3,545,700 | |
Valeant Pharmaceuticals International 144A sr. unsec. notes | |||
6 3/4s, 2018 | 2,495,000 | 2,750,738 | |
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 | 3,360,000 | 3,502,800 | |
108,372,378 | |||
Homebuilding (2.0%) | |||
Beazer Homes USA, Inc. company guaranty sr. unsec. notes | |||
8 1/8s, 2016 | 1,376,000 | 1,527,360 | |
Beazer Homes USA, Inc. company guaranty sr. unsec. notes | |||
7 1/4s, 2023 | 1,380,000 | 1,421,400 | |
Brookfield Residential Properties, Inc. 144A company guaranty | |||
sr. unsec. notes 6 1/2s, 2020 (Canada) | 2,880,000 | 3,060,000 | |
Brookfield Residential Properties, Inc./Brookfield Residential | |||
US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, | |||
2022 (Canada) | 1,275,000 | 1,308,150 | |
D.R. Horton, Inc. company guaranty sr. unsec. notes | |||
5 3/4s, 2023 | 520,000 | 546,000 | |
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 | 2,440,000 | 2,574,200 | |
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 | 675,000 | 735,750 | |
Lennar Corp. company guaranty sr. unsec. unsub. notes | |||
6.95s, 2018 | 910,000 | 1,028,300 | |
Lennar Corp. company guaranty sr. unsec. unsub. notes | |||
4 3/4s, 2022 | 980,000 | 935,900 | |
Lennar Corp. company guaranty sr. unsec. unsub. notes | |||
4 1/2s, 2019 | 1,235,000 | 1,261,244 | |
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 | 1,170,000 | 1,265,063 | |
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, | |||
2020 (Canada) | 2,460,000 | 2,472,300 | |
Pulte Group, Inc. company guaranty sr. unsec. notes | |||
7 5/8s, 2017 | 2,270,000 | 2,627,525 | |
Pulte Group, Inc. company guaranty sr. unsec. unsub. notes | |||
7 7/8s, 2032 | 1,635,000 | 1,757,625 | |
38 High Yield Trust |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Homebuilding cont. | |||
Standard Pacific Corp. company guaranty sr. unsec. notes | |||
6 1/4s, 2021 | $980,000 | $1,046,150 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. | |||
144A company guaranty sr. unsec. notes 7 3/4s, 2020 | 607,000 | 669,218 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. | |||
144A company guaranty sr. unsec. notes 5 5/8s, 2024 | 1,035,000 | 1,035,000 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. | |||
144A company guaranty sr. unsec. notes 5 1/4s, 2021 | 1,455,000 | 1,447,725 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. | |||
144A sr. notes 7 3/4s, 2020 | 2,384,000 | 2,628,360 | |
29,347,270 | |||
Lodging/Tourism (1.2%) | |||
FelCor Lodging LP company guaranty sr. notes 10s, 2014 R | 1,152,000 | 1,208,160 | |
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019 R | 680,000 | 731,000 | |
FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023 R | 720,000 | 723,600 | |
MGM Resorts International company guaranty sr. unsec. notes | |||
7 5/8s, 2017 | 3,225,000 | 3,668,438 | |
MGM Resorts International company guaranty sr. unsec. notes | |||
6 7/8s, 2016 | 965,000 | 1,059,088 | |
MGM Resorts International company guaranty sr. unsec. notes | |||
6 3/4s, 2020 | 1,715,000 | 1,895,075 | |
MGM Resorts International company guaranty sr. unsec. unsub. | |||
notes 8 5/8s, 2019 | 2,589,000 | 3,093,855 | |
MGM Resorts International company guaranty sr. unsec. unsub. | |||
notes 7 3/4s, 2022 | 1,505,000 | 1,726,988 | |
MGM Resorts International company guaranty sr. unsec. unsub. | |||
notes 6 5/8s, 2021 | 570,000 | 628,425 | |
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP | |||
Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 | 3,065,000 | 3,042,013 | |
17,776,642 | |||
Media (0.3%) | |||
Nielsen Co. Luxembourg S.a.r.l. (The) 144A company guaranty | |||
sr. unsec. notes 5 1/2s, 2021 (Luxembourg) | 2,735,000 | 2,858,075 | |
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty | |||
sr. unsec. notes 4 1/2s, 2020 | 918,000 | 929,475 | |
3,787,550 | |||
Oil and gas (9.9%) | |||
Access Midstream Partners LP/ACMP Finance Corp. company | |||
guaranty sr. unsec. notes 5 7/8s, 2021 | 1,047,000 | 1,117,673 | |
Access Midstream Partners LP/ACMP Finance Corp. company | |||
guaranty sr. unsec. unsub. notes 6 1/8s, 2022 | 2,810,000 | 3,048,850 | |
Access Midstream Partners LP/ACMP Finance Corp. company | |||
guaranty sr. unsec. unsub. notes 4 7/8s, 2023 | 2,620,000 | 2,672,400 | |
Antero Resources Finance Corp. 144A company guaranty | |||
sr. unsec. notes 5 3/8s, 2021 | 2,110,000 | 2,157,475 | |
Athlon Holdings LP/Athlon Finance Corp. 144A company | |||
guaranty sr. unsec. notes 7 3/8s, 2021 | 3,855,000 | 4,086,300 | |
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020 | 1,310,000 | 1,411,525 | |
Aurora USA Oil & Gas Inc. 144A company guaranty sr. unsec. | |||
notes 9 7/8s, 2017 | 2,135,000 | 2,380,525 | |
Chaparral Energy, Inc. company guaranty sr. unsec. notes | |||
9 7/8s, 2020 | 1,880,000 | 2,143,200 | |
High Yield Trust 39 |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Oil and gas cont. | |||
Chaparral Energy, Inc. company guaranty sr. unsec. notes | |||
8 1/4s, 2021 | $2,785,000 | $3,049,575 | |
Chesapeake Energy Corp. company guaranty sr. unsec. bonds | |||
6 1/4s, 2017 | EUR | 790,000 | 1,200,430 |
Chesapeake Energy Corp. company guaranty sr. unsec. notes | |||
6 7/8s, 2020 | $1,180,000 | 1,357,000 | |
Chesapeake Energy Corp. company guaranty sr. unsec. notes | |||
5 3/4s, 2023 | 675,000 | 725,625 | |
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield | |||
Finance, Inc. company guaranty sr. unsec. unsub. notes | |||
6 5/8s, 2019 | 2,580,000 | 2,734,800 | |
Concho Resources, Inc. company guaranty sr. unsec. notes | |||
6 1/2s, 2022 | 1,650,000 | 1,798,500 | |
Concho Resources, Inc. company guaranty sr. unsec. unsub. | |||
notes 5 1/2s, 2023 | 1,480,000 | 1,542,900 | |
Concho Resources, Inc. company guaranty sr. unsec. unsub. | |||
notes 5 1/2s, 2022 | 1,222,000 | 1,283,100 | |
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada) | 2,246,000 | 1,673,270 | |
Crosstex Energy LP/Crosstex Energy Finance Corp. company | |||
guaranty sr. unsec. notes 8 7/8s, 2018 | 2,840,000 | 2,982,000 | |
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes | |||
8 1/4s, 2020 | 2,062,000 | 2,252,735 | |
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes | |||
6 3/8s, 2021 | 1,280,000 | 1,379,200 | |
EXCO Resources, Inc. company guaranty sr. unsec. notes | |||
7 1/2s, 2018 | 1,579,000 | 1,590,843 | |
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. | |||
notes 8 7/8s, 2019 | 5,000,000 | 5,150,000 | |
Gulfport Energy Corp. company guaranty sr. unsec. unsub. | |||
notes 7 3/4s, 2020 | 1,345,000 | 1,452,600 | |
Halcon Resources Corp. company guaranty sr. unsec. unsub. | |||
notes 9 3/4s, 2020 | 600,000 | 631,500 | |
Halcon Resources Corp. company guaranty sr. unsec. unsub. | |||
notes 8 7/8s, 2021 | 6,490,000 | 6,603,575 | |
Hercules Offshore, Inc. 144A company guaranty sr. notes | |||
7 1/8s, 2017 | 235,000 | 248,219 | |
Hercules Offshore, Inc. 144A company guaranty sr. unsec. notes | |||
7 1/2s, 2021 | 835,000 | 885,100 | |
Hercules Offshore, Inc. 144A sr. unsec. notes 8 3/4s, 2021 | 875,000 | 995,313 | |
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. | |||
notes 8 1/8s, 2019 | 3,785,000 | 4,210,813 | |
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. | |||
notes 5 1/2s, 2022 | 850,000 | 873,375 | |
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty | |||
sr. unsec. notes 6 1/2s, 2019 | 2,510,000 | 2,616,675 | |
Linn Energy, LLC/Linn Energy Finance Corp. 144A company | |||
guaranty sr. unsec. notes 7s, 2019 | 5,220,000 | 5,441,850 | |
Lone Pine Resources Canada, Ltd. escrow company guaranty | |||
sr. unsec. unsub. notes 10 3/8s, 2017 (Canada) F | 699,000 | 38 | |
MEG Energy Corp. 144A company guaranty sr. unsec. notes | |||
6 1/2s, 2021 (Canada) | 1,755,000 | 1,851,525 | |
40 High Yield Trust |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Oil and gas cont. | |||
MEG Energy Corp. 144A company guaranty sr. unsec. notes | |||
6 3/8s, 2023 (Canada) | $1,175,000 | $1,210,250 | |
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 | |||
(In default) † | 2,825,000 | 2,118,750 | |
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 | 2,585,000 | 2,778,875 | |
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 | 1,186,500 | |
Northern Oil and Gas, Inc. company guaranty sr. unsec. | |||
notes 8s, 2020 | 1,047,000 | 1,115,055 | |
Oasis Petroleum, Inc. company guaranty sr. unsec. notes | |||
6 7/8s, 2023 | 1,445,000 | 1,560,600 | |
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. unsub. | |||
notes 6 7/8s, 2022 | 4,565,000 | 4,953,025 | |
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, | |||
2020 (Canada) | 6,958,000 | 7,114,555 | |
Plains Exploration & Production Co. company guaranty | |||
sr. unsec. notes 6 3/4s, 2022 | 2,293,000 | 2,533,765 | |
Range Resources Corp. company guaranty sr. sub. notes | |||
6 3/4s, 2020 | 1,080,000 | 1,174,500 | |
Range Resources Corp. company guaranty sr. unsec. sub. | |||
notes 5s, 2022 | 1,070,000 | 1,102,100 | |
Rosetta Resources, Inc. company guaranty sr. unsec. notes | |||
9 1/2s, 2018 | 4,155,000 | 4,404,300 | |
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. | |||
notes 5 5/8s, 2021 | 1,375,000 | 1,416,250 | |
Sabine Pass Liquefaction, LLC 144A sr. notes 6 1/4s, 2022 | 1,385,000 | 1,426,550 | |
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016 | 4,071,000 | 4,518,810 | |
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 | 1,060,000 | 1,107,700 | |
Samson Investment Co. 144A sr. unsec. notes 10 3/4s, 2020 | 3,830,000 | 4,256,088 | |
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. | |||
notes 7 1/2s, 2021 | 580,000 | 613,350 | |
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, | |||
2020 (Canada) | 2,225,000 | 2,417,463 | |
Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018 | 3,535,000 | 3,808,963 | |
SM Energy Co. sr. unsec. notes 6 5/8s, 2019 | 1,255,000 | 1,345,988 | |
SM Energy Co. sr. unsec. notes 6 1/2s, 2021 | 1,105,000 | 1,198,925 | |
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 | 435,000 | 464,363 | |
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 | 2,200,000 | 2,332,000 | |
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. | |||
notes 5 3/4s, 2021 | 5,120,000 | 5,542,400 | |
Williams Cos., Inc. (The) notes 7 3/4s, 2031 | 293,000 | 323,004 | |
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 | 639,000 | 761,824 | |
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 | 1,640,000 | 1,668,700 | |
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 | 3,913,000 | 4,201,584 | |
142,713,121 |
High Yield Trust | 41 |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Publishing (0.2%) | |||
American Media, Inc. 144A notes 13 1/2s, 2018 | $334,251 | $359,320 | |
Gannett Co., Inc. 144A company guaranty sr. unsec. notes | |||
5 1/8s, 2020 | 1,360,000 | 1,394,000 | |
Gannett Co., Inc. 144A company guaranty sr. unsec. notes | |||
5 1/8s, 2019 | 1,725,000 | 1,802,625 | |
3,555,945 | |||
Retail (2.9%) | |||
Academy, Ltd./Academy Finance Corp. 144A company | |||
guaranty sr. unsec. notes 9 1/4s, 2019 | 2,035,000 | 2,223,238 | |
Autonation, Inc. company guaranty sr. unsec. notes | |||
6 3/4s, 2018 | 800,000 | 922,000 | |
Autonation, Inc. company guaranty sr. unsec. unsub. notes | |||
5 1/2s, 2020 | 2,495,000 | 2,675,888 | |
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) company guaranty | |||
notes 8s, 2021 | 1,306,000 | 1,243,965 | |
Burlington Coat Factory Warehouse Corp. company guaranty | |||
sr. unsec. notes 10s, 2019 | 2,375,000 | 2,642,188 | |
CST Brands, Inc. company guaranty sr. unsec. notes 5s, 2023 | 3,617,000 | 3,517,533 | |
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes | |||
9 3/4s, 2019 ‡‡ | 1,085,000 | 1,136,538 | |
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 | 2,845,000 | 3,186,400 | |
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 | 1,405,000 | 1,471,738 | |
Michaels FinCo Holdings, LLC/Michaels FinCo, Inc. 144A | |||
sr. unsec. notes 7 1/2s, 2018 ‡‡ | 2,909,000 | 3,003,543 | |
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 | 4,365,000 | 4,534,144 | |
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. | |||
notes 8 3/4s, 2021 ‡‡ | 2,855,000 | 3,069,125 | |
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. | |||
notes 8s, 2021 | 1,355,000 | 1,453,238 | |
Neiman Marcus Group, LLC (The) company guaranty sr. notes | |||
7 1/8s, 2028 | 1,996,000 | 1,991,010 | |
Penske Automotive Group, Inc. company guaranty sr. unsec. | |||
sub. notes 5 3/4s, 2022 | 2,165,000 | 2,262,425 | |
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes | |||
9 1/4s, 2018 | 1,455,000 | 1,564,125 | |
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017 ‡‡ | 1,395,000 | 1,426,388 | |
Rent-A-Center, Inc./TX company guaranty sr. unsec. notes | |||
4 3/4s, 2021 | 1,880,000 | 1,771,900 | |
41,354,386 | |||
Technology (4.6%) | |||
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. | |||
notes 6 3/8s, 2020 | 2,820,000 | 2,978,625 | |
Alcatel-Lucent USA, Inc. 144A company guaranty sr. unsec. | |||
notes 6 3/4s, 2020 | 4,735,000 | 5,042,775 | |
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 | 2,011,000 | 1,905,423 | |
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 | 6,150,000 | 6,103,875 | |
Epicor Software Corp. company guaranty sr. unsec. notes | |||
8 5/8s, 2019 | 1,132,000 | 1,236,710 | |
42 High Yield Trust |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Technology cont. | |||
First Data Corp. company guaranty sr. unsec. notes | |||
12 5/8s, 2021 | $6,211,000 | $7,422,145 | |
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 | 6,881,000 | 7,465,885 | |
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019 | 1,655,000 | 1,793,606 | |
First Data Corp. 144A company guaranty sr. unsec. notes | |||
11 1/4s, 2021 | 2,690,000 | 3,059,875 | |
First Data Corp. 144A company guaranty sr. unsec. sub. notes | |||
11 3/4s, 2021 | 3,515,000 | 3,761,050 | |
First Data Corp. 144A company guaranty sr. unsec. sub. notes | |||
11 3/4s, 2021 | 670,000 | 716,900 | |
First Data Holdings, Inc. 144A sr. unsec. notes 14 1/2s, 2019 ‡‡ | 1,480,000 | 1,483,700 | |
Freescale Semiconductor, Inc. company guaranty sr. unsec. | |||
notes 10 3/4s, 2020 | 1,447,000 | 1,682,138 | |
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 | 2,749,000 | 2,913,940 | |
Infor US, Inc. company guaranty sr. unsec. unsub. notes | |||
11 1/2s, 2018 | 1,390,000 | 1,615,875 | |
Iron Mountain, Inc. company guaranty sr. unsec. unsub. | |||
notes 6s, 2023 | 2,400,000 | 2,550,000 | |
Jazz Technologies, Inc. company guaranty sr. unsec. | |||
notes 8s, 2015 | 1,803,000 | 1,766,940 | |
Micron Technology, Inc. 144A sr. unsec. notes 5 7/8s, 2022 | 1,900,000 | 1,985,500 | |
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) | 5,130,000 | 5,162,063 | |
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. | |||
notes 6 5/8s, 2019 | 1,400,000 | 1,496,250 | |
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020 | 2,228,000 | 2,456,370 | |
Syniverse Holdings, Inc. company guaranty sr. unsec. notes | |||
9 1/8s, 2019 | 1,170,000 | 1,281,150 | |
65,880,795 | |||
Textiles (—%) | |||
Quiksilver, Inc./QS Wholesale, Inc. company guaranty sr. unsec. | |||
notes 10s, 2020 | 250,000 | 283,750 | |
Quiksilver, Inc./QS Wholesale, Inc. 144A sr. notes 7 7/8s, 2018 | 255,000 | 278,588 | |
562,338 | |||
Transportation (1.1%) | |||
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, | |||
2018 (Luxembourg) | 7,160,000 | 7,607,500 | |
Air Medical Group Holdings, Inc. company guaranty sr. notes | |||
9 1/4s, 2018 | 2,428,000 | 2,634,380 | |
CHC Helicopter SA company guaranty sr. notes 9 1/4s, | |||
2020 (Canada) | 2,385,000 | 2,600,366 | |
Swift Services Holdings, Inc. company guaranty | |||
sr. notes 10s, 2018 | 1,125,000 | 1,238,906 | |
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty | |||
sr. unsec. notes 6 3/8s, 2023 | 2,010,000 | 2,030,100 | |
16,111,252 | |||
Utilities and power (3.9%) | |||
AES Corp. (VA) sr. unsec. notes 8s, 2020 | 1,291,000 | 1,516,925 | |
AES Corp. (VA) sr. unsec. unsub. notes 9 3/4s, 2016 | 270,000 | 318,600 | |
AES Corp. (VA) sr. unsec. unsub. notes 8s, 2017 | 2,405,000 | 2,849,925 | |
AES Corp. (VA) sr. unsec. unsub. notes 7 3/8s, 2021 | 2,965,000 | 3,372,688 | |
High Yield Trust 43 |
CORPORATE BONDS AND NOTES (86.0%)* cont. | Principal amount | Value | |
Utilities and power cont. | |||
AES Corp. (VA) sr. unsec. unsub. notes 4 7/8s, 2023 | $950,000 | $921,500 | |
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020 | 2,868,000 | 3,204,990 | |
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 | 670,000 | 710,200 | |
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 | 550,000 | 563,750 | |
Colorado Interstate Gas Co., LLC sr. unsec. debs. 6.85s, 2037 | 3,047,000 | 3,437,077 | |
DPL, Inc. sr. unsec. notes 6 1/2s, 2016 | 3,010,000 | 3,243,275 | |
Dynegy Holdings, LLC escrow bonds 7 3/4s, 2019 | 2,590,000 | 3,238 | |
El Paso Corp. sr. unsec. notes 7s, 2017 | 1,000,000 | 1,130,691 | |
El Paso Corp. sr. unsec. notes Ser. GMTN, 7.8s, 2031 | 121,000 | 128,448 | |
El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022 | 1,597,000 | 2,064,590 | |
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. | |||
sr. notes 10s, 2020 | 4,414,000 | 4,590,560 | |
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. | |||
144A sr. notes 10 1/4s, 2020 | 940,000 | 977,600 | |
Energy Transfer Equity LP company guaranty sr. unsec. notes | |||
7 1/2s, 2020 | 1,680,000 | 1,919,400 | |
EP Energy, LLC/Everest Acquisition Finance, Inc. company | |||
guaranty sr. notes 6 7/8s, 2019 | 2,190,000 | 2,356,988 | |
EP Energy, LLC/Everest Acquisition Finance, Inc. company | |||
guaranty sr. unsec. notes 7 3/4s, 2022 | 695,000 | 783,613 | |
EP Energy/EP Energy Finance, Inc. sr. unsec. notes 9 3/8s, 2020 | 3,175,000 | 3,667,125 | |
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 | 2,225,000 | 2,113,750 | |
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 | 765,000 | 776,475 | |
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 | 610,000 | 628,300 | |
Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021 | 1,493,000 | 1,500,465 | |
NRG Energy, Inc. company guaranty sr. unsec. notes | |||
7 7/8s, 2021 | 4,166,000 | 4,624,260 | |
Regency Energy Partners LP/Regency Energy Finance Corp. | |||
company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 | 200,000 | 216,000 | |
Regency Energy Partners LP/Regency Energy Finance Corp. | |||
company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 | 2,415,000 | 2,511,600 | |
Regency Energy Partners LP/Regency Energy Finance Corp. | |||
company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 | 1,720,000 | 1,737,200 | |
Regency Energy Partners LP/Regency Energy Finance Corp. | |||
company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 | 2,100,000 | 1,963,500 | |
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028 | 639,000 | 788,426 | |
Texas Competitive/Texas Competitive Electric Holdings Co., LLC | |||
144A company guaranty sr. notes 11 1/2s, 2020 | 1,345,000 | 990,256 | |
55,611,415 | |||
Total corporate bonds and notes (cost $1,176,209,182) | $1,237,898,151 | ||
SENIOR LOANS (5.3%)* c | Principal amount | Value | |
Basic materials (0.1%) | |||
Oxea Sarl bank term loan FRN 8 1/4s, 2020 (Germany) | $1,365,000 | $1,390,594 | |
1,390,594 | |||
Communication services (0.2%) | |||
Asurion, LLC bank term loan FRN 8 1/2s, 2021 | 1,215,000 | 1,252,179 | |
Lonestar Intermediate Super Holdings, LLC bank term loan | |||
FRN 11s, 2019 | 1,960,000 | 2,009,000 | |
3,261,179 |
44 High Yield Trust |
SENIOR LOANS (5.3%)* c cont. | Principal amount | Value | |
Consumer cyclicals (2.3%) | |||
Burlington Coat Factory Warehouse Corp. bank term loan FRN | |||
Ser. B2, 4 1/4s, 2017 | $354,258 | $356,649 | |
Caesars Entertainment Operating Co., Inc. bank term loan FRN | |||
Ser. B6, 5.488s, 2018 | 6,605,653 | 6,312,527 | |
Clear Channel Communications, Inc. bank term loan FRN Ser. D, | |||
6.918s, 2019 | 6,226,000 | 6,108,148 | |
CPG International, Inc. bank term loan FRN Ser. B, 4 3/4s, 2020 | 1,496,250 | 1,496,718 | |
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 | 1,501,955 | 1,431,739 | |
Harrah’s bank term loan FRN Ser. B, 9 1/2s, 2016 | 825,600 | 831,448 | |
Motor City Casino bank term loan FRN Ser. B, 5s, 2017 | 3,534,872 | 3,548,127 | |
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 5s, 2020 | 3,680,775 | 3,722,184 | |
ROC Finance, LLC bank term loan FRN 5s, 2019 | 1,745,000 | 1,699,194 | |
Travelport, LLC bank term loan FRN 9 1/2s, 2016 | 3,347,499 | 3,470,242 | |
Travelport, LLC bank term loan FRN 8 3/8s, 2016 ‡‡ | 965,348 | 990,286 | |
Travelport, LLC bank term loan FRN 6 1/4s, 2019 | 1,990,000 | 2,036,019 | |
Yonkers Racing Corp. bank term loan FRN 4 1/4s, 2019 | 1,415,000 | 1,413,231 | |
33,416,512 | |||
Consumer staples (0.4%) | |||
BJ’s Wholesale Club, Inc. bank term loan FRN 8 1/2s, 2020 | 915,000 | 938,065 | |
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 | 405,000 | 403,481 | |
Del Monte Foods, Inc. bank term loan FRN 8 1/4s, 2021 | 1,440,000 | 1,453,500 | |
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020 | 1,144,250 | 1,152,111 | |
Rite Aid Corp. bank term loan FRN 4 7/8s, 2021 | 1,145,000 | 1,163,606 | |
WNA Holdings, Inc. bank term loan FRN 8 1/2s, 2020 | 500,000 | 507,500 | |
5,618,263 | |||
Energy (1.0%) | |||
Fieldwood Energy, LLC bank term loan FRN 8 3/8s, 2020 | 3,965,000 | 4,113,688 | |
Fieldwood Energy, LLC bank term loan FRN 8 3/8s, 2020 | 725,887 | 753,107 | |
Frac Tech International, LLC bank term loan FRN Ser. B, | |||
8 1/2s, 2016 | 2,613,102 | 2,644,366 | |
Offshore Group Investment, Ltd. bank term loan FRN Ser. B, | |||
5 3/4s, 2019 (Cayman Islands) | 868,438 | 878,931 | |
Shelf Drilling Holdings, Ltd. bank term loan FRN 10s, 2018 ‡‡ | 2,835,000 | 2,877,525 | |
Tervita Corp. bank term loan FRN Ser. B, 6 1/4s, 2018 (Canada) | 2,291,850 | 2,302,491 | |
13,570,108 | |||
Financials (0.3%) | |||
iStar Financial, Inc. bank term loan FRN 4 1/2s, 2017 R | 1,684 | 1,688 | |
iStar Financial, Inc. bank term loan FRN Ser. A2, 7s, 2017 R | 534,095 | 549,617 | |
Nuveen Investments, Inc. bank term loan FRN 6 1/2s, 2019 | 3,765,000 | 3,730,486 | |
4,281,791 | |||
Health care (0.5%) | |||
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 | 1,900,800 | 1,905,552 | |
CHS/Community Health Systems, Inc. bank term loan FRN | |||
Ser. D, 4 1/4s, 2021 | 2,040,000 | 2,056,893 | |
Par Pharmaceutical Cos., Inc. bank term loan FRN Ser. B, | |||
4 1/4s, 2019 | 1,961,071 | 1,961,889 | |
Pharmaceutical Product Development, Inc. bank term loan FRN | |||
Ser. B, 4 1/4s, 2018 | 598,368 | 600,488 | |
Sheridan Holdings, Inc. bank term loan FRN 8 1/4s, 2021 | 630,000 | 644,175 | |
7,168,997 |
High Yield Trust 45 |
SENIOR LOANS (5.3%)* c cont. | Principal amount | Value | |
Transportation (0.2%) | |||
Air Medical Group Holdings, Inc. bank term loan FRN | |||
8 3/8s, 2018 ‡‡ | $2,860,000 | $2,824,250 | |
2,824,250 | |||
Utilities and power (0.3%) | |||
Texas Competitive Electric Holdings Co., LLC bank term loan | |||
FRN 4.73s, 2017 | 6,314,407 | 4,399,563 | |
4,399,563 | |||
Total senior loans (cost $76,349,177) | $75,931,257 | ||
COMMON STOCKS (2.5%)* | Shares | Value | |
Ally Financial, Inc. | 366 | $3,092,700 | |
American Axle & Manufacturing Holdings, Inc. † | 119,265 | 2,305,392 | |
Calpine Corp. † | 112,900 | 2,150,745 | |
CIT Group, Inc. | 35,508 | 1,728,529 | |
DISH Network Corp. Class A † | 28,200 | 1,659,288 | |
Elizabeth Arden, Inc. † | 42,675 | 1,304,575 | |
EP Energy Corp. Class A † | 116,332 | 2,167,265 | |
General Motors Co. † | 76,511 | 2,769,698 | |
Gulfport Energy Corp. † | 25,300 | 1,672,330 | |
Harry & David Holdings, Inc. † | 2,288 | 283,712 | |
Hilton Worldwide Holdings, Inc. † | 105,590 | 2,360,992 | |
Huntsman Corp. | 100,095 | 2,438,314 | |
Kodiak Oil & Gas Corp. † | 250,980 | 2,964,074 | |
Lone Pine Resources Canada, Ltd. (Canada) † F | 87,188 | 8,719 | |
Lone Pine Resources, Inc. Class A (Canada) † F | 87,188 | 8,719 | |
LyondellBasell Industries NV Class A | 12,183 | 1,073,079 | |
MeadWestvaco Corp. | 41,745 | 1,562,515 | |
MetLife, Inc. | 21,395 | 1,084,085 | |
Penn National Gaming, Inc. † | 177,015 | 2,274,643 | |
Service Corp. International | 86,094 | 1,609,097 | |
Tribune Co. Class 1C F | 297,958 | 74,489 | |
Vantage Drilling Co. † | 949,728 | 1,662,024 | |
Total common stocks (cost $35,002,337) | $36,254,984 | ||
CONVERTIBLE PREFERRED STOCKS (0.7%)* | Shares | Value | |
Crown Castle International Corp. Ser. A, $2.25 cv. pfd. | 14,630 | $1,490,431 | |
EPR Properties Ser. C, $1.44 cv. pfd. | 114,663 | 2,470,632 | |
MetLife, Inc. $3.75 cv. pfd. | 37,735 | 1,116,579 | |
United Technologies Corp. $3.75 cv. pfd. | 26,200 | 1,741,514 | |
Weyerhaeuser Co. Ser. A, $3.188 cv. pfd. R | 52,831 | 2,880,938 | |
Total convertible preferred stocks (cost $8,740,409) | $9,700,094 | ||
PREFERRED STOCKS (0.6%)* | Shares | Value | |
Ally Financial, Inc. 144A 7.00% cum. pfd. | 3,362 | $3,314,407 | |
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd. | 138,915 | 3,771,542 | |
M/I Homes, Inc. $2.438 pfd. | 53,597 | 1,353,324 | |
Total preferred stocks (cost $6,573,246) | $8,439,273 |
46 High Yield Trust |
CONVERTIBLE BONDS AND NOTES (0.5%)* | Principal amount | Value | ||
DFC Global Corp. cv. sr. unsec. unsub. notes 3 1/4s, 2017 | $1,704,000 | $1,375,980 | ||
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016 R | 2,252,000 | 3,280,883 | ||
XM Satellite Radio, Inc. 144A cv. company guaranty | ||||
sr. unsec. sub. notes 7s, 2014 | 1,365,000 | 2,729,147 | ||
Total convertible bonds and notes (cost $6,347,909) | $7,386,010 | |||
WARRANTS (0.1%)* † | Expiration | Strike | ||
date | price | Warrants | Value | |
Charter Communications, Inc. Class A | 11/30/14 | $46.86 | 420 | $34,154 |
General Motors Co. | 7/10/19 | 18.33 | 18,319 | 337,986 |
General Motors Co. | 7/10/16 | 10.00 | 18,319 | 493,880 |
Tower Semiconductor, Ltd. 144A (Israel) F | 6/30/15 | 1.70 | 672,570 | — |
Total warrants (cost $770,298) | $866,020 | |||
SHORT-TERM INVESTMENTS (3.1%)* | Principal amount/shares | Value | ||
Putnam Short Term Investment Fund 0.06% L | 43,275,572 | $43,275,572 | ||
U.S. Treasury Bills with effective yields ranging from 0.09% | ||||
to 0.12%, October 16, 2014 | $1,321,000 | 1,320,354 | ||
U.S. Treasury Bills with an effective yield of 0.07%, | ||||
August 21, 2014 | 110,000 | 109,961 | ||
U.S. Treasury Bills with an effective yield of 0.10%, July 24, 2014 | 221,000 | 220,954 | ||
Total short-term investments (cost $44,926,582) | $44,926,841 | |||
TOTAL INVESTMENTS | ||||
Total investments (cost $1,354,919,140) | $1,421,402,630 |
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, 2013 through February 28, 2014 (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 $1,439,861,783.
† Non-income-producing security.
‡‡ Income may be received in cash or additional securities at the discretion of the issuer.
c Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 6).
High Yield Trust 47 |
F Security 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.
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 $165,021 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.
FORWARD CURRENCY CONTRACTS at 2/28/14 (aggregate face value $20,296,947) (Unaudited) | ||||||
Unrealized | ||||||
Contract | Delivery | Aggregate | appreciation/ | |||
Counterparty | Currency | type | date | Value | face value | (depreciation) |
Bank of America N.A. | ||||||
Canadian Dollar | Sell | 4/16/14 | $240,335 | $248,990 | $8,655 | |
Euro | Buy | 3/19/14 | 261,840 | 259,100 | 2,740 | |
Euro | Sell | 3/19/14 | 261,840 | 257,040 | (4,800) | |
Barclays Bank PLC | ||||||
British Pound | Sell | 3/19/14 | 4,416,633 | 4,310,719 | (105,914) | |
Euro | Sell | 3/19/14 | 1,039,355 | 1,019,999 | (19,356) | |
Credit Suisse International | ||||||
Euro | Sell | 3/19/14 | 1,812,453 | 1,778,872 | (33,581) | |
Deutsche Bank AG | ||||||
Euro | Sell | 3/19/14 | 735,003 | 731,414 | (3,589) | |
Goldman Sachs International | ||||||
Euro | Sell | 3/19/14 | 2,283,269 | 2,241,441 | (41,828) | |
HSBC Bank USA, National Association | ||||||
Euro | Sell | 3/19/14 | 4,693 | 687 | (4,006) | |
JPMorgan Chase Bank N.A. | ||||||
Canadian Dollar | Sell | 4/16/14 | 790,021 | 818,759 | 28,738 | |
Euro | Sell | 3/19/14 | 736,106 | 694,780 | (41,326) | |
State Street Bank and Trust Co. | ||||||
Canadian Dollar | Sell | 4/16/14 | 1,000,134 | 1,036,840 | 36,706 | |
Euro | Buy | 3/19/14 | 724,650 | 711,233 | 13,417 | |
Euro | Sell | 3/19/14 | 724,650 | 717,066 | (7,584) | |
UBS AG | ||||||
Euro | Sell | 3/19/14 | 1,355,993 | 1,319,770 | (36,223) | |
WestPac Banking Corp. | ||||||
Canadian Dollar | Sell | 4/16/14 | 1,651,584 | 1,712,103 | 60,519 | |
Euro | Sell | 3/19/14 | 2,483,962 | 2,438,134 | (45,828) | |
Total | $(193,260) |
48 High Yield Trust |
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 | $5,073,908 | $— | $— |
Capital goods | 2,305,392 | — | — |
Communication services | 1,659,288 | — | — |
Consumer cyclicals | 7,405,333 | — | 74,489 |
Consumer staples | 1,304,575 | 283,712 | — |
Energy | 8,465,693 | — | 17,438 |
Financials | 2,812,614 | 3,092,700 | — |
Health care | 1,609,097 | — | — |
Utilities and power | 2,150,745 | — | — |
Total common stocks | 32,786,645 | 3,376,412 | 91,927 |
Convertible bonds and notes | — | 7,386,010 | — |
Convertible preferred stocks | 1,741,514 | 7,958,580 | — |
Corporate bonds and notes | — | 1,237,898,113 | 38 |
Preferred stocks | 3,771,542 | 4,667,731 | — |
Senior loans | — | 75,931,257 | — |
Warrants | 831,866 | 34,154 | — |
Short-term investments | 43,275,572 | 1,651,269 | — |
Totals by level | $82,407,139 | $1,338,903,526 | $91,965 |
Valuation inputs | |||
Other financial instruments: | Level 1 | Level 2 | Level 3 |
Forward currency contracts | $— | $(193,260) | $— |
Totals by level | $— | $(193,260) | $— |
* 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.
High Yield Trust 49 |
Statement of assets and liabilities 2/28/14 (Unaudited)
ASSETS | |
Investment in securities, at value (Note 1): | |
Unaffiliated issuers (identified cost $1,311,643,568) | $1,378,127,058 |
Affiliated issuers (identified cost $43,275,572) (Notes 1 and 5) | 43,275,572 |
Cash | 111,709 |
Dividends, interest and other receivables | 24,437,844 |
Receivable for shares of the fund sold | 1,274,342 |
Receivable for investments sold | 5,147,290 |
Unrealized appreciation on forward currency contracts (Note 1) | 150,775 |
Total assets | 1,452,524,590 |
LIABILITIES | |
Payable for investments purchased | 5,969,467 |
Payable for purchases of delayed delivery securities (Note 1) | 1,537,240 |
Payable for shares of the fund repurchased | 2,470,284 |
Payable for compensation of Manager (Note 2) | 617,008 |
Payable for custodian fees (Note 2) | 13,360 |
Payable for investor servicing fees (Note 2) | 336,758 |
Payable for Trustee compensation and expenses (Note 2) | 536,387 |
Payable for administrative services (Note 2) | 5,035 |
Payable for distribution fees (Note 2) | 526,587 |
Unrealized depreciation on forward currency contracts (Note 1) | 344,035 |
Other accrued expenses | 306,646 |
Total liabilities | 12,662,807 |
Net assets | $1,439,861,783 |
REPRESENTED BY | |
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $1,627,500,231 |
Undistributed net investment income (Note 1) | 9,311,665 |
Accumulated net realized loss on investments and foreign currency transactions (Note 1) | (263,240,550) |
Net unrealized appreciation of investments and assets and liabilities in foreign currencies | 66,290,437 |
Total — Representing net assets applicable to capital shares outstanding | $1,439,861,783 |
(Continued on next page)
50 High Yield Trust |
Statement of assets and liabilities (Continued)
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
Net asset value and redemption price per class A share | |
($1,115,382,286 divided by 136,259,885 shares) | $8.19 |
Offering price per class A share (100/96.00 of $8.19)* | $8.53 |
Net asset value and offering price per class B share ($20,191,624 divided by 2,470,751 shares)** | $8.17 |
Net asset value and offering price per class C share ($58,534,100 divided by 7,215,195 shares)** | $8.11 |
Net asset value and redemption price per class M share ($23,302,653 divided by 2,836,634 shares) | $8.21 |
Offering price per class M share (100/96.75 of $8.21)† | $8.49 |
Net asset value, offering price and redemption price per class R share | |
($11,625,161 divided by 1,449,640 shares) | $8.02 |
Net asset value, offering price and redemption price per class Y share | |
($210,825,959 divided by 26,254,249 shares) | $8.03 |
* 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.
High Yield Trust | 51 |
Statement of operations Six months ended 2/28/14 (Unaudited)
INVESTMENT INCOME | |
Interest (net of foreign tax of $11,796) (including interest income of $2,102 from investments | |
in affiliated issuers) (Note 5) | $45,991,143 |
Dividends | 740,466 |
Total investment income | 46,731,609 |
EXPENSES | |
Compensation of Manager (Note 2) | 4,045,659 |
Investor servicing fees (Note 2) | 1,036,979 |
Custodian fees (Note 2) | 16,174 |
Trustee compensation and expenses (Note 2) | 52,634 |
Distribution fees (Note 2) | 1,834,699 |
Administrative services (Note 2) | 22,497 |
Other | 397,793 |
Total expenses | 7,406,435 |
Expense reduction (Note 2) | (3,202) |
Net expenses | 7,403,233 |
Net investment income | 39,328,376 |
Net realized gain on investments (Notes 1 and 3) | 10,914,015 |
Net realized loss on swap contracts (Note 1) | (61,102) |
Net realized loss on foreign currency transactions (Note 1) | (1,019,985) |
Net unrealized appreciation of assets and liabilities in foreign currencies during the period | 91,357 |
Net unrealized appreciation of investments during the period | 46,000,730 |
Net gain on investments | 55,925,015 |
Net increase in net assets resulting from operations | $95,253,391 |
The accompanying notes are an integral part of these financial statements.
52 High Yield Trust |
Statement of changes in net assets
INCREASE (DECREASE) IN NET ASSETS | Six months ended 2/28/14* | Year ended 8/31/13 |
Operations: | ||
Net investment income | $39,328,376 | $90,206,062 |
Net realized gain on investments | ||
and foreign currency transactions | 9,832,928 | 34,766,795 |
Net unrealized appreciation (depreciation) of investments | ||
and assets and liabilities in foreign currencies | 46,092,087 | (11,684,536) |
Net increase in net assets resulting from operations | 95,253,391 | 113,288,321 |
Distributions to shareholders (Note 1): | ||
From ordinary income | ||
Net investment income | ||
Class A | (30,907,270) | (70,288,846) |
Class B | (487,017) | (1,115,428) |
Class C | (1,363,482) | (2,998,982) |
Class M | (596,630) | (1,218,277) |
Class R | (315,966) | (732,306) |
Class Y | (6,938,246) | (12,635,291) |
Redemption fees (Note 1) | — | 21,935 |
Increase (decrease) from capital share transactions (Note 4) | 39,623,406 | (150,938,810) |
Total increase (decrease) in net assets | 94,268,186 | (126,617,684) |
NET ASSETS | ||
Beginning of period | 1,345,593,597 | 1,472,211,281 |
End of period (including undistributed net investment | ||
income of $9,311,665 and $10,591,900, respectively) | $1,439,861,783 | $1,345,593,597 |
* Unaudited
The accompanying notes are an integral part of these financial statements.
High Yield Trust | 53 |
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 | reimbursements | end of period | value (%) b | (in thousands) | (%) c | net assets (%) | (%) |
Class A | ||||||||||||||
February 28, 2014** | $7.88 | .22 | .32 | .54 | (.23) | (.23) | — | — | $8.19 | 6.87* | $1,115,382 | .51* | 2.73* | 24* |
August 31, 2013 | 7.76 | .49 | .11 | .60 | (.48) | (.48) | — d | — | 7.88 | 7.84 | 1,060,905 | 1.02 | 6.11 | 51 |
August 31, 2012 | 7.39 | .51 | .38 | .89 | (.52) | (.52) | — d | — | 7.76 | 12.49 | 1,200,821 | 1.02 | 6.81 | 46 |
August 31, 2011 | 7.40 | .56 | (.03) | .53 | (.54) | (.54) | — d | — 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) | — d | — 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) | — d | — j,k | 6.68 | 1.73 | 1,070,781 | 1.13 i | 8.37 i | 44 |
Class B | ||||||||||||||
February 28, 2014** | $7.86 | .19 | .32 | .51 | (.20) | (.20) | — | — | $8.17 | 6.49* | $20,192 | .88* | 2.36* | 24* |
August 31, 2013 | 7.74 | .43 | .11 | .54 | (.42) | (.42) | — d | — | 7.86 | 7.05 | 20,077 | 1.77 | 5.34 | 51 |
August 31, 2012 | 7.38 | .45 | .37 | .82 | (.46) | (.46) | — d | — | 7.74 | 11.51 | 20,589 | 1.77 | 6.08 | 46 |
August 31, 2011 | 7.39 | .50 | (.03) | .47 | (.48) | (.48) | — d | — 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) | — d | — h | 7.39 | 18.39 | 41,109 | 1.79 i | 6.96 i | 71 |
August 31, 2009 | 7.19 | .45 | (.47) | (.02) | (.50) | (.50) | — d | — j,k | 6.67 | 1.12 | 65,487 | 1.88 i | 7.75 i | 44 |
Class C | ||||||||||||||
February 28, 2014** | $7.81 | .19 | .31 | .50 | (.20) | (.20) | — | — | $8.11 | 6.40* | $58,534 | .88* | 2.36* | 24* |
August 31, 2013 | 7.69 | .42 | .12 | .54 | (.42) | (.42) | — d | — | 7.81 | 7.10 | 48,785 | 1.77 | 5.36 | 51 |
August 31, 2012 | 7.34 | .45 | .36 | .81 | (.46) | (.46) | — d | — | 7.69 | 11.48 | 55,496 | 1.77 | 6.02 | 46 |
August 31, 2011 | 7.35 | .49 | (.02) | .47 | (.48) | (.48) | — d | — 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) | — d | — h | 7.35 | 18.19 | 38,400 | 1.79 i | 6.92 i | 71 |
August 31, 2009 | 7.17 | .45 | (.47) | (.02) | (.50) | (.50) | — d | — j,k | 6.65 | 1.14 | 34,786 | 1.88 i | 7.58 i | 44 |
Class M | ||||||||||||||
February 28, 2014** | $7.90 | .21 | .31 | .52 | (.21) | (.21) | — | — | $8.21 | 6.70* | $23,303 | .63* | 2.60* | 24* |
August 31, 2013 | 7.78 | .47 | .11 | .58 | (.46) | (.46) | — d | — | 7.90 | 7.50 | 20,741 | 1.27 | 5.84 | 51 |
August 31, 2012 | 7.41 | .49 | .38 | .87 | (.50) | (.50) | — d | — | 7.78 | 12.16 | 20,501 | 1.27 | 6.56 | 46 |
August 31, 2011 | 7.42 | .54 | (.03) | .51 | (.52) | (.52) | — d | — 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) | — d | — h | 7.42 | 19.12 | 19,218 | 1.29 i | 7.46 i | 71 |
August 31, 2009 | 7.23 | .47 | (.48) | (.01) | (.53) | (.53) | — d | — j,k | 6.69 | 1.36 | 17,087 | 1.38 i | 8.03 i | 44 |
Class R | ||||||||||||||
February 28, 2014** | $7.72 | .21 | .30 | .51 | (.21) | (.21) | — | — | $8.02 | 6.72* | $11,625 | .63* | 2.61* | 24* |
August 31, 2013 | 7.61 | .46 | .11 | .57 | (.46) | (.46) | — d | — | 7.72 | 7.60 | 12,462 | 1.27 | 5.83 | 51 |
August 31, 2012 | 7.26 | .48 | .37 | .85 | (.50) | (.50) | — d | — | 7.61 | 12.17 | 10,744 | 1.27 | 6.54 | 46 |
August 31, 2011 | 7.30 | .52 | (.04) | .48 | (.52) | (.52) | — d | — 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) | — d | — h | 7.30 | 18.80 | 5,085 | 1.29 i | 7.36 i | 71 |
August 31, 2009 | 7.16 | .46 | (.48) | (.02) | (.53) | (.53) | — d | — j,k | 6.61 | 1.23 | 2,296 | 1.38 i | 7.93 i | 44 |
Class Y | ||||||||||||||
February 28, 2014** | $7.73 | .22 | .32 | .54 | (.24) | (.24) | — | — | $8.03 | 7.04* | $210,826 | .39* | 2.85* | 24* |
August 31, 2013 | 7.63 | .49 | .11 | .60 | (.50) | (.50) | — d | — | 7.73 | 8.03 | 182,624 | .77 | 6.30 | 51 |
August 31, 2012 | 7.28 | .52 | .37 | .89 | (.54) | (.54) | — d | — | 7.63 | 12.71 | 164,060 | .77 | 7.01 | 46 |
August 31, 2011 | 7.31 | .57 | (.04) | .53 | (.56) | (.56) | — d | — e,f,g | 7.28 | 7.18 | 84,635 | .75 | 7.41 | 72 |
August 31, 2010 | 6.61 | .57 | .69 | 1.26 | (.56) | (.56) | — d | — h | 7.31 | 19.49 | 99,244 | .79 i | 7.80 i | 71 |
August 31, 2009 | 7.14 | .54 | (.52) | .02 | (.55) | (.55) | — d | — 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.
54 High Yield Trust | High Yield Trust | 55 |
Financial highlights (Continued)
* Not annualized.
** Unaudited.
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 Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset and brokerage/service arrangements (Note 2).
d Amount represents less than $0.01 per share.
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 a 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 a 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.
56 High Yield Trust |
Notes to financial statements 2/28/14 (Unaudited)
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, 2013 through February 28, 2014.
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 may also use 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.
High Yield Trust | 57 |
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. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value and are classified as Level 2 securities.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign 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 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 fair 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 fair 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
58 High Yield Trust |
prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on 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.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. 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 and/or centrally cleared credit default contracts to hedge market risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes 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. For OTC credit default contracts, 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. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair 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 and centrally cleared 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 for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. 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.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
High Yield Trust 59 |
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 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 $257,085 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund for these agreements.
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.
60 High Yield Trust |
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 |
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.
The aggregate identified cost on a tax basis is $1,357,420,025, resulting in gross unrealized appreciation and depreciation of $77,685,861 and $13,703,256, respectively, or net unrealized appreciation of $63,982,605.
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. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. 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.
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. | |
The fund’s shareholders approved the fund’s current management contract with Putnam Management effective February 27, 2014. Shareholders were asked to approve the fund’s management contract following the death on October 8, 2013 of The Honourable Paul G. Desmarais, who had controlled directly and indirectly a majority of the voting shares of Power Corporation of Canada, the ultimate parent company of Putnam Management. The substantive terms of the management contract, including terms relating to fees, are identical to the terms of the fund’s previous management contract and reflect the rates provided in the table above.
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
High Yield Trust | 61 |
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. 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 | $795,017 | Class R | 8,441 | |
Class B | 14,451 | Class Y | 162,443 | |
Class C | 40,288 | Total | $1,036,979 | |
Class M | 16,339 | |||
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 $2,269 under the expense offset arrangements and by $933 under the brokerage/service arrangements.
Each independent Trustee of the fund receives an annual Trustee fee, of which $923, 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 | $1,371,271 | Class M | 56,386 | |
Class B | 99,711 | Class R | 29,112 | |
Class C | 278,219 | Total | $1,834,699 | |
62 High Yield Trust |
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $33,223 and $3,973 from the sale of class A and class M shares, respectively, and received $3,080 and $1,626 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 $326 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 $369,971,469 and $321,913,143, respectively. There were no purchases or proceeds from sales of long-term U.S. government securities.
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:
Six months ended 2/28/14 | Year ended 8/31/13 | |||
Class A | Shares | Amount | Shares | Amount |
Shares sold | 9,858,911 | $79,001,699 | 21,804,509 | $173,313,922 |
Shares issued in connection with | ||||
reinvestment of distributions | 3,242,933 | 26,105,248 | 7,204,465 | 57,377,940 |
13,101,844 | 105,106,947 | 29,008,974 | 230,691,862 | |
Shares repurchased | (11,543,772) | (92,880,274) | (49,147,241) | (392,299,954) |
Net increase (decrease) | 1,558,072 | $12,226,673 | (20,138,267) | $(161,608,092) |
Six months ended 2/28/14 | Year ended 8/31/13 | |||
Class B | Shares | Amount | Shares | Amount |
Shares sold | 169,545 | $1,360,511 | 709,108 | $5,662,139 |
Shares issued in connection with | ||||
reinvestment of distributions | 51,886 | 417,018 | 118,540 | 942,793 |
221,431 | 1,777,529 | 827,648 | 6,604,932 | |
Shares repurchased | (303,787) | (2,436,066) | (933,183) | (7,446,631) |
Net decrease | (82,356) | $(658,537) | (105,535) | $(841,699) |
Six months ended 2/28/14 | Year ended 8/31/13 | |||
Class C | Shares | Amount | Shares | Amount |
Shares sold | 1,678,169 | $13,320,922 | 1,586,887 | $12,542,989 |
Shares issued in connection with | ||||
reinvestment of distributions | 151,256 | 1,207,407 | 319,592 | 2,524,873 |
1,829,425 | 14,528,329 | 1,906,479 | 15,067,862 | |
Shares repurchased | (862,697) | (6,886,960) | (2,873,548) | (22,766,965) |
Net increase (decrease) | 966,728 | $7,641,369 | (967,069) | $(7,699,103) |
High Yield Trust 63 |
Six months ended 2/28/14 | Year ended 8/31/13 | |||
Class M | Shares | Amount | Shares | Amount |
Shares sold | 317,652 | $2,545,523 | 446,065 | $3,585,023 |
Shares issued in connection with | ||||
reinvestment of distributions | 66,672 | 538,538 | 135,211 | 1,080,006 |
384,324 | 3,084,061 | 581,276 | 4,665,029 | |
Shares repurchased | (172,655) | (1,396,469) | (593,030) | (4,774,557) |
Net increase (decrease) | 211,669 | $1,687,592 | (11,754) | $(109,528) |
Six months ended 2/28/14 | Year ended 8/31/13 | |||
Class R | Shares | Amount | Shares | Amount |
Shares sold | 214,657 | $1,695,036 | 786,964 | $6,179,658 |
Shares issued in connection with | ||||
reinvestment of distributions | 39,460 | 311,220 | 89,692 | 700,640 |
254,117 | 2,006,256 | 876,656 | 6,880,298 | |
Shares repurchased | (419,129) | (3,293,568) | (673,713) | (5,275,342) |
Net increase (decrease) | (165,012) | $(1,287,312) | 202,943 | $1,604,956 |
Six months ended 2/28/14 | Year ended 8/31/13 | |||
Class Y | Shares | Amount | Shares | Amount |
Shares sold | 15,273,643 | $119,996,967 | 30,645,741 | $240,677,450 |
Shares issued in connection with | ||||
reinvestment of distributions | 823,988 | 6,508,854 | 1,486,648 | 11,637,988 |
16,097,631 | 126,505,821 | 32,132,389 | 252,315,438 | |
Shares repurchased | (13,458,936) | (106,492,200) | (30,026,585) | (234,600,782) |
Net increase | 2,638,695 | $20,013,621 | 2,105,804 | $17,714,656 |
Note 5: Affiliated transactions
Transactions during the reporting period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:
Fair value at the | Fair value at | ||||
beginning of | the end of | ||||
the reporting | Investment | the reporting | |||
Name of affiliate | period | Purchase cost | Sale proceeds | income | period |
Putnam Short Term | |||||
Investment Fund* | $28,118,678 | $272,168,358 | $257,011,464 | $2,102 | $43,275,572 |
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.
Note 6: Senior loan commitments
64 High Yield Trust |
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 volume of activity for the reporting period for any derivative type that was held during the period is listed below and was as follows based on an average of the holdings at the end of each fiscal quarter:
Forward currency contracts (contract amount) | $36,300,000 |
Centrally cleared credit default contracts (notional) | —* |
Warrants (number of warrants) | 710,000 |
* For the reporting period, the transactions were minimal.
The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
Fair value 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 | Fair value | liabilities location | Fair value |
Foreign exchange | ||||
contracts | Receivables | $150,775 | Payables | $344,035 |
Equity contracts | Investments | 866,020 | Payables | — |
Total | $1,016,795 | $344,035 | ||
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 | $— | $(61,102) | $(61,102) |
Foreign exchange contracts | (1,026,179) | — | $(1,026,179) |
Total | $(1,026,179) | $(61,102) | $(1,087,281) |
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 | $— | $90,563 | $90,563 |
Equity contracts | 68,022 | — | $68,022 |
Total | $68,022 | $90,563 | $158,585 |
High Yield Trust 65 |
Note 9: Offsetting of financial and derivative assets and liabilities
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, see Note 1, if any. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.
Bank of America N. A. | Barclays Bank PLC | Credit Suisse International | Deutsche Bank AG | Goldman Sachs International | HSBC Bank USA, National Association | JPMorgan Chase Bank N. A. | State Street Bank and Trust Co. | UBS AG | WestPac Banking Corp. | Total | |
Assets: | |||||||||||
Forward currency contracts# | $11,395 | $— | $— | $— | $— | $— | $28,738 | $50,123 | $— | $60,519 | $150,775 |
Total Assets | $11,395 | $— | $— | $— | $— | $— | $28,738 | $50,123 | $— | $60,519 | $150,775 |
Liabilities: | |||||||||||
Forward currency contracts# | $4,800 | $125,270 | $33,581 | $3,589 | $41,828 | $4,006 | $41,326 | $7,584 | $36,223 | $45,828 | $344,035 |
Total Liabilities | $4,800 | $125,270 | $33,581 | $3,589 | $41,828 | $4,006 | $41,326 | $7,584 | $36,223 | $45,828 | $344,035 |
Total Financial and Derivative Net Assets | $6,595 | $(125,270) | $(33,581) | $(3,589) | $(41,828) | $(4,006) | $(12,588) | $42,539 | $(36,223) | $14,691 | $(193,260) |
Total collateral received (pledged)##† | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— |
Net amount | $6,595 | $(125,270) | $(33,581) | $(3,589) | $(41,828) | $(4,006) | $(12,588) | $42,539 | $(36,223) | $14,691 | $(193,260) |
†Additional collateral may be required from certain brokers based on individual agreements.
#Covered by master netting agreement. (Note 1)
##Any over-collateralization of total financial and derivative net assets is not shown.
66 High Yield Trust | High Yield Trust | 67 |
Shareholder meeting results (Unaudited)
February 27, 2014 special meeting
At the meeting, each of the nominees for Trustees was elected, as follows:
Votes for | Votes withheld | |
Liaquat Ahamed | 125,690,455 | 7,521,513 |
Ravi Akhoury | 125,618,002 | 7,598,703 |
Barbara M. Baumann | 126,230,738 | 6,985,968 |
Jameson A. Baxter | 126,167,691 | 7,049,014 |
Charles B. Curtis | 126,139,832 | 7,076,873 |
Robert J. Darretta | 126,182,919 | 7,033,786 |
Katinka Domotorffy | 126,042,712 | 7,173,993 |
John A. Hill | 126,200,708 | 7,015,997 |
Paul L. Joskow | 126,174,930 | 7,037,037 |
Kenneth R. Leibler | 126,085,537 | 7,131,168 |
Robert E. Patterson | 126,160,447 | 7,056,258 |
George Putnam, III | 126,215,413 | 7,001,292 |
Robert L. Reynolds | 126,257,143 | 6,959,562 |
W. Thomas Stephens | 126,124,349 | 7,087,619 |
A proposal to approve a new management contract between the fund and Putnam Management was approved as follows:
Votes | Votes | Broker | |
for | against | Abstentions | non-votes |
105,052,912 | 2,812,683 | 9,054,143 | 16,296,967 |
A proposal to adopt an Amended and Restated Declaration of Trust was approved as follows: | |||
Votes | Votes | Broker | |
for | against | Abstentions | non-votes |
103,479,261 | 3,795,166 | 9,645,314 | 16,296,965 |
All tabulations are rounded to the nearest whole number.
68 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, | |
Marketing Services | Robert E. Patterson | and Assistant Treasurer |
Putnam Retail Management | George Putnam, III | |
One Post Office Square | Robert L. Reynolds | Susan G. Malloy |
Boston, MA 02109 | W. Thomas Stephens | Vice President and |
Assistant Treasurer | ||
Custodian | Officers | |
State Street Bank | Robert L. Reynolds | James P. Pappas |
and Trust Company | President | Vice President |
Legal Counsel | Jonathan S. Horwitz | Mark C. Trenchard |
Ropes & Gray LLP | Executive Vice President, | Vice President and |
Principal Executive Officer, and | BSA Compliance Officer | |
Compliance Liaison | ||
Nancy E. Florek | ||
Steven D. Krichmar | Vice President, Director of | |
Vice President and | Proxy Voting and Corporate | |
Principal Financial Officer | Governance, Assistant Clerk, | |
and Associate Treasurer | ||
Robert T. Burns | ||
Vice President and | ||
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.
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Item 2. Code of Ethics: |
Not applicable |
Item 3. Audit Committee Financial Expert: |
Not applicable |
Item 4. Principal Accountant Fees and Services: |
Not applicable |
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) Not applicable |
(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. |
Putnam High Yield Trust |
By (Signature and Title): |
/s/Janet C. Smith Janet C. Smith Principal Accounting Officer |
Date: April 25, 2014 |
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: April 25, 2014 |
By (Signature and Title): |
/s/Steven D. Krichmar Steven D. Krichmar Principal Financial Officer |
Date: April 25, 2014 |