Putnam
High Yield
Advantage
Fund
Item 1. Report to Stockholders:
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The following is a copy of the report transmitted to stockholders pursuant
to Rule 30e-1 under the Investment Company Act of 1940:
ANNUAL REPORT ON PERFORMANCE AND OUTLOOK
11-30-03
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From the Trustees
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John A. Hill and
George Putnam, III
Dear Fellow Shareholder:
Looking back on an eventful year, we consider it important to take note of the
increasingly positive trends that have become apparent in the U.S. economy and
financial markets. The stimulus provided by fiscal and monetary policies has
drawn the economy out of the slump of early 2003 and rising profits prompted a
broad rally for stocks. The bond market steadied while offering pockets of
opportunity. We see indications that these trends can continue into 2004 and
know that Putnam management teams will seek to position the funds to benefit
from them.
We are pleased to bring you this report showing strong performance for
Putnam High Yield Advantage Fund during the fiscal year ended November
30, 2003. The fund's results at net asset value were ahead of its Lipper
category average but lagged its benchmark index. You will find the
details on the facing page.
In pursuing the fund's objective during the period, the management team
was able to take advantage of a number of favorable circumstances. As
you will see in the accompanying report, these included a trend toward
lower default rates, strong economic growth, improving credit quality
for high-yield issuers, and significantly higher investor demand. The
management team also offers its views of prospects for the fiscal year
that has just begun.
Respectfully yours,
/S/ JOHN A. HILL /S/ GEORGE PUTNAM, III
John A. Hill George Putnam, III
Chairman of the Trustees President of the Funds
January 21, 2004
Report from Fund Management
Fund highlights
* During the fiscal year ended November 30, 2003, Putnam High Yield
Advantage Fund's class A shares had total returns of 24.65% at net asset
value (NAV) and 18.68% at public offering price (POP).
* Because the fund was overweighted in higher-yielding, lower-rated
bonds, which were among the best-performing part of the market, it
outperformed (at NAV) the average return of 22.49% for the Lipper High
Current Yield Funds category.
* The fund underperformed the 25.80% return of its benchmark, the JP
Morgan Global High Yield Index, due in part to an underweight in the
utilities sector.
* In October 2003, the fund's dividend was reduced to $0.037 per share.
Please see page 5 for details.
* See the Performance Summary beginning on page 7 for complete fund
performance, comparative performance, and Lipper data.
Performance commentary
The past 12 months has been a period of very strong returns for
high-yield bonds and, consequently, for your fund. This investment
sector has benefited from a number of positive events. Default rates
have continued to decline; credit quality has improved as companies have
retired or refinanced debt; and investor demand for high-yield bonds has
been strong, accompanied by robust supply. Moreover, short-term interest
rates have been at historically low levels, creating a greater incentive
for investors to seek higher yields. In this environment, your fund's
management team has sought opportunities in lower-rated, higher-yielding
issues, while maintaining diversification in the portfolio across a
large number of holdings and sectors. The success of this strategy is
reflected in the fund's outperformance of its Lipper category average
(based on results at NAV).
FUND PROFILE
Putnam High Yield Advantage Fund seeks high current income and, as a secondary
objective, capital growth, by investing in a diversified portfolio of
high-yield bonds that includes a broad range of industries and issuers. The
fund is designed for investors who seek high income and are willing to accept
the added risks of investing in below-investment-grade bonds.
Market overview
The fund's fiscal year began shortly after a seminal change occurred in the
global fixed-income markets in mid October 2002. Hints of economic recovery
and a more favorable outlook for both default rates and the stock market
marked the turning point for high-yield bond performance. As a result of ideal
conditions for the sector during the 12-month period, high-yield bonds
outperformed all other fixed-income sectors -- as well as some equity sectors
- -- by a significant margin.
Although the Iraq war brought renewed uncertainty to the markets in early
2003, this risk aversion was short-lived. Beginning in March and lasting
through the end of the period, the stock market rallied, bringing an end to
the three-year bear market. Rising stock prices have enabled more companies to
access the capital markets, providing capital to retire or refinance debt and
helping bolster cash flows. Finally, the strengthening economy has led to an
increase in profits and higher cash flows. All of these factors have helped
corporate default rates to continue their decline.
During the summer months, a sharp sell-off in Treasury bonds roiled the
fixed-income markets, causing yields to rise -- and prices to fall --
abruptly. High-yield bonds, which are less sensitive to interest-rate changes,
were less affected. In the fall, when the Treasury markets calmed down, the
high-yield sector continued to benefit from the stronger economy and higher
stock prices.
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MARKET SECTOR PERFORMANCE 12 MONTHS ENDED 11/30/03
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Bonds
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JP Morgan Global High Yield Index (global high-yield
corporate bonds) 25.80%
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Lehman Aggregate Bond Index (broad bond market) 5.18%
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Lehman GNMA Index (Government National Mortgage Association
bonds) 2.91%
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Lehman Municipal Bond Index (tax-exempt bonds) 6.66%
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Equities
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S&P 500 Index (broad stock market) 15.09%
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Russell 2000 Index (stocks of small and midsize companies) 36.29%
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MSCI EAFE Index (international stocks) 24.22%
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These indexes provide an overview of performance in different
market sectors for the 12 months ended 11/30/03.
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Strategy overview
Our strategy for the fund during the past 12 months was to selectively seek
opportunities in lower-quality bonds that offered higher yields and the
potential for an improvement in credit quality. Our primary rationale was
that, in an environment of economic recovery and declining corporate default
rates, we believed these securities offered the greatest total return
potential within the high-yield universe. As the economy and stock market
improved during the period, investor appetite for risk generally increased. As
a result, many high-yield bonds -- especially those with lower ratings and
higher yields -- have appreciated significantly. Our focus on these
lower-rated issues, therefore, was beneficial for performance during the
fiscal year.
To implement this strategy, we have generally underweighted BB-rated bonds and
have overweighted those with CCC ratings. We have sought bonds issued by
companies with adequate liquidity and a strong ability to meet their
obligations. Bonds with CCC ratings have been among the best-performing bonds
in the high-yield market during the past 12 months.
[GRAPHIC OMITTED: horizontal bar chart TOP SECTOR WEIGHTINGS COMPARED]
TOP SECTOR WEIGHTINGS COMPARED
as of 5/31/03 as of 11/30/03
Consumer cyclicals 22.0% 22.2%
Consumer staples 13.2% 11.9%
Communication
services 10.3% 8.6%
Utilities and power 7.0% 8.5%
Capital goods 8.6% 8.2%
Footnote reads:
This chart shows how the fund's top sector weightings have changed over
the last six months. Weightings are shown as a percentage of net assets.
Sectors and holdings will vary over time.
How fund holdings and sector allocations
affected performance
One of the strongest sectors in the high-yield market has been the wireless
industry, which has been growing at a rapid rate for several years. Among the
strongest-performing holdings within this sector have been bonds issued by
Dobson Communications Corp., a wireless provider for the suburban and rural
markets that benefited from strong business growth during the year. Nextel, a
large wireless telecommunications firm, has performed well for the fund over
several years, although we have pared this holding back as bond prices have
moved up. Nextel has a significant telecommunications network in the United
States and was the first company to offer a successful nationwide
walkie-talkie feature.
[GRAPHIC OMITTED: TOP HOLDINGS]
TOP HOLDINGS
1 Sealy Mattress Co. 144A
Senior notes, zero %, 2008
Household furniture and appliances
2 PSF Group Holdings, Inc. 144A
Class A*
Common stock
Food
3 Qwest Services Corp. 144A
Notes, 13.5%, 2010
Communications services
4 Qwest Corp. 144A
Notes, 8.875%, 2012
Communications services
5 Federal National Mortgage Assn.
Notes, 1.4%, 2004
Financial
6 Host Marriott LP
Senior notes, series E, 8.375%, 2006
Lodging/tourism
7 Dynegy Holdings, Inc. 144A
Secured notes, 10.125%, 2013
Utilities and power
8 Hercules, Inc.
Company guaranty, 11.125%, 2007
Basic materials
9 Equistar Chemicals LP/Equistar Funding Corp.
Company guaranty, 10.125%, 2008
Basic materials
10 Premier Parks, Inc.
Senior notes, 10.0%, 2007
Entertainment
Footnotes read:
These holdings represent 6.8% of the fund's net assets as of 11/30/03.
The fund's holdings will change over time.
*Holding acquired through corporate restructuring.
The telecommunications sector also performed well during the period, reversing
several difficult years of contraction that followed the torrential growth of
the late 1990s. In this sector, the fund benefited from the significant
appreciation of bonds issued by Qwest Communications, Inc., a Regional Bell
Operating Company (RBOC) and major provider of local, long distance, Internet,
and wireless services.
The cable television industry has also outperformed this year, and the fund
benefited from owning several strong-performing issues. Companies in this
industry have seen steady cash flows from their cable businesses, as well as
growth in demand for high-speed Internet services. Consequently, there has
been greater interest among investors for both their stock and high-yield bond
offerings. In this industry, the fund's strongest-performing issuer was
Charter Communications, Inc., which operates cable systems in 40 states for
nearly 12 million homes. The company also provides high-speed Internet access
through a network of coaxial and fiber-optic cable. In broadcasting, another
outperforming sector, the fund held Granite Broadcasting, which owns and
operates a number of network-affiliated television stations.
The fund was underweighted in the utilities and information technology
sectors, both of which performed well. This positioning detracted from the
fund's performance relative to its benchmark index during the fiscal year. The
fund's performance was also negatively affected by Fleming Companies, which
was the largest grocery store supplier in the country a few years ago. The
firm was hurt last April by allegations of financial mismanagement.
Please note that all holdings discussed in this report are subject to
review in accordance with the fund's investment strategy and may vary
in the future.
OF SPECIAL INTEREST
As a result of continued declines in bond yields available to investors
in the high-yield market over the past several years, the fund reduced
the dividend rate during the fiscal year. In October 2003, the dividend
was reduced from $0.043 per share to $0.037 per share.
The fund's management team
The fund is managed by the Putnam Core Fixed-Income High-Yield Team. The
members of this team are Stephen Peacher (Portfolio Leader), Norman
Boucher (Portfolio Member), Paul Scanlon (Portfolio Member), Rosemary
Thomsen (Portfolio Member), Jeffrey Kaufmann, Geoffrey Kelley, Neil
Reiner, and Joseph Towell.
The outlook for your fund
The following commentary reflects anticipated developments that could
affect your fund over the next six months, as well as your management
team's plans for responding to them.
The past 12 months has been a period of significantly higher-than-normal
returns for high-yield bonds, and investors should be cautioned that such
returns are unlikely to be repeated in the coming fiscal year. Nevertheless,
we believe the near term should still be positive for the high-yield sector,
and that solid returns are achievable. Such returns, we believe, would be
driven by continued declines in default rates, improvements in corporate
earnings and cash flow that would benefit credit quality, and low short-term
interest rates. Continued low interest rates, combined with a steep yield
curve -- meaning that longer-term rates would be significantly higher -- could
continue to drive demand for high-yield bonds, as has been the case so far in
2003.
There are potential headwinds in 2004 that could cause volatility in the bond
market. Interest rates may begin to rise, and continued appreciation in stock
prices is by no means a certainty. We plan to maintain diversity in the
portfolio across a large number of holdings and sectors to mitigate the
effects of potential market volatility.
The views expressed in this report are exclusively those of Putnam
Management. They are not meant as investment advice. Lower-rated bonds
may offer higher yields in return for more risk. The fund is closed to
new investors.
Performance summary
This section provides information about your fund's performance during its
fiscal year, which ended November 30, 2003. In accordance with regulatory
requirements, we also include performance for the most current calendar
quarter-end. Performance should always be considered in light of a fund's
investment strategy. Past performance does not indicate 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. A profile of your fund's strategy appears on the first page of
this report. See page 9 for definitions of some terms used in this section.
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TOTAL RETURN FOR PERIODS ENDED 11/30/03
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Class A Class B Class M
(inception dates) (3/25/86) (5/16/94) (12/1/94)
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NAV POP NAV CDSC NAV POP
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1 year 24.65% 18.68% 23.56% 18.56% 24.32% 20.37%
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5 years 21.18 15.38 16.09 14.70 20.17 16.26
Annual average 3.92 2.90 3.03 2.78 3.74 3.06
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10 years 59.76 52.16 46.26 46.26 56.39 51.31
Annual average 4.80 4.29 3.88 3.88 4.57 4.23
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Annual average
(life of fund) 7.63 7.33 6.68 6.68 7.32 7.12
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Performance assumes reinvestment of distributions and does not account for
taxes. Returns at public offering price (POP) for class A and M shares reflect
a sales charge of 4.75% and 3.25%, respectively. Class B share returns reflect
the applicable contingent deferred sales charge (CDSC), which is 5% in the
first year, declining to 1% in the sixth year, and is eliminated thereafter.
Performance for class B and M shares before their inception is derived from
the historical performance of class A shares, adjusted for the applicable
sales charge (or CDSC) and higher operating expenses for such shares. A 1%
redemption fee on total assets redeemed or exchanged within 90 days of
purchase will be imposed for all share classes.
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COMPARATIVE INDEX RETURNS FOR PERIODS ENDED 11/30/03
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Lipper
JP Morgan High Current
CSFB Global Yield Funds
High Yield High Yield category
Index Index* average++
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1 year 26.57% 25.80% 22.49%
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5 years 33.21 29.90 17.17
Annual average 5.90 5.37 3.03
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10 years 100.14 --+ 63.82
Annual average 7.19 -- 4.93
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Annual average
(life of fund) 9.24 -- 7.14
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Index and Lipper results should be compared to fund performance at net
asset value.
* Putnam Management has recently undertaken a review of the fund's
benchmark.This index replaces the CSFB High Yield Index as a performance
benchmark for this fund because, in Putnam management's opinion, the
securities tracked by this index more accurately reflect the types of
securities generally held by the fund.
+ This index began operations on 12/31/93.
++ Over the 1-, 5-, and 10-year periods ended 11/30/03, there were 394,
247, and 69 funds, respectively, in this Lipper category.
[GRAPHIC OMITTED: worm chart CHANGE IN THE VALUE OF A $10,000 INVESTMENT]
CHANGE IN THE VALUE OF A $10,000 INVESTMENT
Cumulative total return of a $10,000 investment, 11/30/93 to 11/30/03
Credit Suisse First
Fund's class A JP Morgan Global Boston (CSFB)
Date shares at POP High Yield Index* High Yield Bond Index
11/30/93 9,525 10,000 10,000
11/30/94 9,197 9,782 9,922
11/30/95 10,743 11,577 11,623
11/30/96 11,966 13,155 12,979
11/30/97 13,557 14,808 14,769
11/30/98 12,556 15,149 15,024
11/30/99 12,920 15,445 15,296
11/30/00 11,796 14,434 14,385
11/30/01 12,322 15,513 15,515
11/30/02 12,207 15,643 15,813
11/30/03 $15,216 $19,679 $20,014
Footnotes read:
Past performance does not indicate future results. At the end of the same
time period, a $10,000 investment in the fund's class B shares would have
been valued at $14,626 and no contingent deferred sales charges would apply.
A $10,000 investment in the fund's class M shares would have been valued at
$15,639 ($15,131 at public offering price). See first page of performance
section for performance calculation method.
* The inception date for this index was 12/31/93. The chart assumes an
investment in the JP Morgan Global High Yield Index on 12/31/93 in an amount
equal to the value as of such date of a $10,000 investment in the Credit
Suisse First Boston (CSFB) High Yield Bond Index made on 11/30/93.
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PRICE AND DISTRIBUTION INFORMATION 12 MONTHS ENDED 11/30/03
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Class A Class B Class M
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Distributions (number) 12 12 12
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Income $0.504 $0.463 $0.492
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Capital gains -- -- --
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Total $0.504 $0.463 $0.492
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Share value: NAV POP NAV NAV POP
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11/30/02 $5.17 $5.43 $5.12 $5.18 $5.35
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11/30/03 5.88 6.17 5.81 5.89 6.09
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Current return (end of period)
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Current dividend rate 1 7.55% 7.20% 6.82% 7.33% 7.09%
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Current 30-day SEC yield 2 6.77 6.45 6.01 6.45 6.30
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1 Most recent distribution, excluding capital gains, annualized and
divided by NAV or POP at end of period.
2 Based only on investment income, calculated using SEC guidelines.
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TOTAL RETURN FOR PERIODS ENDED 12/31/03 (MOST RECENT CALENDAR QUARTER)
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Class A Class B Class M
(inception dates) (3/25/86) (5/16/94) (12/1/94)
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NAV POP NAV CDSC NAV POP
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1 year 27.20% 21.08% 25.90% 20.90% 26.86% 22.82%
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5 years 25.62 19.62 20.34 18.88 24.57 20.59
Annual average 4.67 3.65 3.77 3.52 4.49 3.81
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10 years 60.57 52.88 46.84 46.84 57.30 52.25
Annual average 4.85 4.34 3.92 3.92 4.63 4.29
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Annual average
(life of fund) 7.74 7.45 6.79 6.79 7.44 7.23
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Terms and definitions
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.
Net asset value (NAV) is the price, or value, of one share of a mutual
fund, without a sales charge. NAVs fluctuate with market conditions. The
NAV is calculated by dividing the net value of all the fund's assets by
the number of outstanding shares.
Public offering price (POP) is the price of a mutual fund share plus the
maximum sales charge levied at the time of purchase. POP performance
figures shown here assume the 4.75% maximum sales charge for class A
shares and 3.25% for class M shares.
Contingent deferred sales charge (CDSC) is a charge applied at the time
of the redemption of class B shares and assumes redemption at the end of
the period. Your fund's class B CDSC declines from a 5% maximum during
the first year to 1% during the sixth year. After the sixth year, the
CDSC no longer applies.
Class A shares are generally subject to an initial sales charge and no
sales charge on redemption (except on certain redemptions of shares
bought without an initial sales charge).
Class B shares may be subject to a sales charge upon redemption.
Class M shares have a lower initial sales charge and a higher 12b-1 fee
than class A shares and no sales charge on redemption (except on certain
redemptions of shares bought without an initial sales charge).
Comparative indexes
Credit Suisse First Boston (CSFB) High Yield Index is an unmanaged index
of high-yield debt securities.
JP Morgan (formerly Chase) Global High Yield Index is an unmanaged index
used to mirror the investable universe of the U.S. dollar global
high-yield corporate debt market of both developed and emerging markets.
Lehman Aggregate Bond Index is an unmanaged index used as a general
measure of U.S. fixed-income securities.
Lehman GNMA Index is an unmanaged index of Government National Mortgage
Association bonds.
Lehman Municipal Bond Index is an unmanaged index of long-term
fixed-rate investment-grade tax-exempt bonds.
Morgan Stanley Capital International (MSCI) EAFE Index is an unmanaged
index of international stocks from Europe, Australasia, and the Far
East.
Russell 2000 Index is an unmanaged index of common stocks that generally
measure performance of small to midsize companies within the Russell
3000 Index.
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.
Lipper Inc. is a third-party industry ranking entity that ranks funds
(without sales charges) with similar current investment styles or
objectives as determined by Lipper. Lipper category averages reflect
performance trends for funds within a category and are based on results
at net asset value.
Putnam's policy on confidentiality
In order to conduct business with our shareholders, we must obtain
certain personal information such as account holders' addresses,
telephone numbers, Social Security numbers, and the names of their
financial advisors. We use this information to assign an account number
and to help us maintain accurate records of transactions and account
balances.
It is our policy to protect the confidentiality of your information,
whether or not you currently own shares of our funds, and in particular,
not to sell information about you or your accounts to outside marketing
firms. We have safeguards in place designed to prevent unauthorized
access to our computer systems and procedures to protect personal
information from unauthorized use.
Under certain circumstances, we share this information with outside vendors
who provide services to us, such as mailing and proxy solicitation. In those
cases, the service providers enter into confidentiality agreements with us,
and we provide only the information necessary to process transactions and
perform other services related to your account. We may also share this
information with our Putnam affiliates to service your account or provide you
with information about other Putnam products or services. It is also our
policy to share account information with your financial advisor, if you've
listed one on your Putnam account.
If you would like clarification about our confidentiality policies or
have any questions or concerns, please don't hesitate to contact us at
1-800-225-1581, Monday through Friday, 8:30 a.m. to 7:00 p.m., or
Saturdays from 9:00 a.m. to 5:00 p.m. Eastern Time.
A guide to the financial statements
These sections of the report, as well as the accompanying Notes,
preceded by the Independent Auditors' Report, 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 noninvestment 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 net assets allocated to remarketed preferred shares.)
Statement of operations shows the fund's net investment gain or loss.
This is done by first adding up all the fund's earnings -- from
dividends and interest income -- and subtracting its operating expenses
to determine net investment income (or loss). Then, any net gain or
loss the fund realized on the sales of its holdings -- as well as any
unrealized gains or losses over the period -- is added to or subtracted
from the net investment result to determine the fund's net gain or loss
for the fiscal year.
Statement of changes in net assets shows how the fund's net assets were
affected by distributions to shareholders and by changes in the number
of the fund's shares. It lists distributions and their sources (net
investment income or realized capital gains) over the current reporting
period and the most recent fiscal year-end. The distributions listed
here may not match the sources listed in the Statement of operations
because the distributions are determined on a tax basis and may be paid
in a different period from the one in which they were earned.
Financial highlights provide an overview of the fund's investment
results, per-share distributions, expense ratios, net investment
income ratios, and portfolio turnover in one summary table, reflecting
the five most recent reporting periods. In a semiannual report, the
highlight table also includes the current reporting period. For open-end
funds, a separate table is provided for each share class.
Independent auditors' report
The Board of Trustees and Shareholders
Putnam High Yield Advantage Fund:
We have audited the accompanying statement of assets and liabilities of
Putnam High Yield Advantage Fund, including the fund's portfolio, as of
November 30, 2003, and the related statement of operations for the year
then ended, the statements of changes in net assets for each of the two
years in the period then ended and the financial highlights for each of
the five years in the period then ended. These financial statements and
financial highlights are the responsibility of the Fund's management.
Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States of America. Those standards require that we plan
and perform our audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements. Our
procedures included confirmation of securities owned as of November 30, 2003
by correspondence with the custodian and brokers or by other appropriate
auditing procedures. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
Putnam High Yield Advantage Fund as of November 30, 2003, the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended, and the financial highlights for each
of the five years in the period then ended in conformity with accounting
principles generally accepted in the United States of America.
KPMG LLP
Boston, Massachusetts
January 2, 2004
The fund's portfolio
November 30, 2003
Corporate bonds and notes (87.5%) (a)
Principal amount Value
Advertising and Marketing Services (0.2%)
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$366,986 Adams Outdoor Advertising bank term
loan FRN Ser. B, 4.42s,
2008 (acquired 4/2/03, cost
$366,069) (RES) $368,210
1,715,000 Lamar Media Corp. company guaranty
7 1/4s, 2013 1,830,763
--------------
2,198,973
Automotive (2.7%)
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1,145,000 ArvinMeritor, Inc. notes 8 3/4s,
2012 1,250,913
3,880,000 Collins & Aikman Products company
guaranty 10 3/4s, 2011 3,501,700
675,000 Dana Corp. notes 10 1/8s, 2010 772,875
4,875,000 Dana Corp. notes 9s, 2011 5,557,500
820,000 Dana Corp. notes 7s, 2029 750,300
750,000 Delco Remy International, Inc.
company guaranty 11s, 2009 723,750
1,265,000 Delco Remy International, Inc.
company guaranty 10 5/8s, 2006 1,255,513
2,470,000 Dura Operating Corp. company
guaranty Ser. D, 9s, 2009 2,290,925
760,000 Dura Operating Corp. 144A sr. notes
8 5/8s, 2012 773,300
2,700,000 Federal Mogul Corp. bank term loan
FRN 3.66s, 2005 (acquired 10/29/03,
cost $2,220,750) (RES) 2,359,125
1,165,000 Federal Mogul Corp. bank term loan
FRN 3.41s, 2004 (acquired 10/29/03,
cost $958,213) (RES) 1,006,269
276,806 Hayes Lemmerz International, Inc.
bank term loan FRN 4.95s,
2009 (acquired 6/3/03, cost
$274,038) (RES) 279,401
1,675,000 Lear Corp. company guaranty Ser. B,
8.11s, 2009 1,947,188
EUR 450,000 Lear Corp. sr. notes 8 1/8s, 2008 604,094
$2,790,000 Lear Corp. Structured Notes 8.46s,
2006 (issued by STEERS Credit
Linked Trust 2001) 3,041,100
1,620,000 Meritor Automotive, Inc. notes 6.8s,
2009 1,644,300
2,525,000 Metaldyne Corp. 144A sr. notes 10s,
2013 2,424,000
760,000 Tenneco Automotive, Inc. company
guaranty Ser. B, 11 5/8s, 2009 801,800
5,020,000 Tenneco Automotive, Inc. sec. notes
Ser. B, 10 1/4s, 2013 5,697,700
300,000 TRW Automotive bank term loan FRN
Ser. C-1, 4.13s, 2011 (acquired
7/21/03, cost $300,000) (RES) 302,500
--------------
36,984,253
Basic Materials (8.1%)
- -------------------------------------------------------------------------------
1,560,000 Acetex Corp. sr. notes 10 7/8s, 2009
(Canada) 1,739,400
590,000 Acetex Corp. 144A sr. notes 10 7/8s,
2009 (Canada) 654,900
190,000 AK Steel Corp. company guaranty
7 7/8s, 2009 132,050
1,680,000 AK Steel Corp. company guaranty
7 3/4s, 2012 1,134,000
1,570,000 Appleton Papers, Inc. company
guaranty Ser. B, 12 1/2s, 2008 1,770,175
2,730,000 Armco, Inc. sr. notes 8 7/8s, 2008 1,870,050
1,170,000 Avecia Group PLC company guaranty
11s, 2009 (United Kingdom) 994,500
2,440,000 Better Minerals & Aggregates Co.
company guaranty 13s, 2009 1,500,600
450,000 Buckeye Technologies, Inc. bank term
loan FRN 3.66s, 2010 (acquired
11/20/03 and 11/21/03, cost $452,250)
(RES) 453,375
2,075,000 Compass Minerals Group, Inc. company
guaranty 10s, 2011 2,303,250
4,778,320 Doe Run Resources Corp. company
guaranty Ser. A1, 11 3/4s,
2008 (acquired various dates from
11/29/02 to 11/26/03, cost
$2,797,327) (RES) (PIK) 1,767,979
750,000 Equistar Chemicals LP notes 8 3/4s,
2009 753,750
6,685,000 Equistar Chemicals LP/Equistar
Funding Corp. company guaranty
10 1/8s, 2008 7,086,100
485,000 Equistar Chemicals LP/Equistar
Funding Corp. 144A sr. notes
10 5/8s, 2011 514,100
610,000 Georgia-Pacific Corp. company
guaranty 8 7/8s, 2010 690,825
1,480,000 Georgia-Pacific Corp. debs. 7.7s,
2015 1,528,100
2,000 Georgia-Pacific Corp. sr. notes
7 3/8s, 2008 2,125
2,160,000 Gerdau Ameristeel Corp/Gusap
Partners 144A sr. notes 10 3/8s,
2011 (Canada) 2,289,600
300,000 Graphics Packaging bank term loan
FRN Ser. B, 3.894s, 2010 (acquired
8/6/03, cost $300,000) (RES) 303,075
6,460,000 Hercules, Inc. company guaranty
11 1/8s, 2007 7,719,700
2,225,000 Huntsman Advanced Materials, LLC
144A sec. notes 11s, 2010 2,425,250
2,221,233 Huntsman Corp. bank term loan FRN
Ser. A, 5.957s, 2007 (acquired
various dates from 3/6/02 to
9/24/03, cost $1,937,001) (RES) 2,031,502
1,470,159 Huntsman Corp. bank term loan FRN
Ser. B, 8.938s, 2007 (acquired
various dates from 3/1/02 to
9/24/03, cost $1,230,007) (RES) 1,344,582
3,245,000 Huntsman ICI Chemicals, Inc. company
guaranty 10 1/8s, 2009 3,220,663
5,590,000 Huntsman ICI Holdings sr. disc.
notes zero %, 2009 2,445,625
EUR 1,585,000 Huntsman International, LLC sr. sub.
notes Ser. EXCH, 10 1/8s, 2009 1,766,796
$3,255,000 ISP Chemco, Inc. company guaranty
Ser. B, 10 1/4s, 2011 3,613,050
4,020,000 Kaiser Aluminum & Chemical Corp. sr.
sub. notes 12 3/4s, 2003 (In
default) (NON) 623,100
1,620,000 Louisiana-Pacific Corp. sr. notes
8 7/8s, 2010 1,911,600
2,000,000 Lyondell Chemical Co. company
guaranty 9 1/2s, 2008 2,030,000
510,000 Lyondell Chemical Co. company
guaranty 9 1/2s, 2008 516,375
4,240,000 Lyondell Chemical Co. notes Ser. A,
9 5/8s, 2007 4,367,200
760,000 Lyondell Chemical Co. sec. notes
Ser. B, 9 7/8s, 2007 782,800
EUR 265,000 MDP Acquisitions PLC sr. notes
10 1/8s, 2012 (Ireland) 353,203
$2,780,000 MDP Acquisitions PLC sr. notes
9 5/8s, 2012 (Ireland) 3,085,800
1,291,773 MDP Acquisitions PLC sub. notes
15 1/2s, 2013 (Ireland) (PIK) 1,485,539
1,055,000 Millennium America, Inc. 144A sr.
notes 9 1/4s, 2008 1,131,488
2,305,000 Millennium America, Inc. company
guaranty 9 1/4s, 2008 2,472,113
990,000 Millennium America, Inc. company
guaranty 7 5/8s, 2026 876,150
275,000 Nalco Co. bank term loan FRN 3.63s,
2010 (acquired 11/6/03, cost
$275,000) (RES) 276,856
1,180,000 Nalco Co. 144A sr. notes 7 3/4s,
2011 1,227,200
EUR 290,000 Nalco Co. 144A sr. notes 7 3/4s,
2011 354,546
EUR 290,000 Nalco Co. 144A sr. sub. notes 9s,
2013 354,546
$3,250,000 Nalco Co. 144A sr. sub. notes
8 7/8s, 2013 3,380,000
1,986,225 Noveon International bonds 13s, 2011 2,085,536
1,790,000 Noveon International company
guaranty Ser. B, 11s, 2011 1,986,900
1,245,000 OM Group, Inc. company guaranty
9 1/4s, 2011 1,260,563
476,488 PCI Chemicals Canada sec. sr. notes
10s, 2008 (Canada) 434,795
1,746,842 Pioneer Cos., Inc. sec. FRN 4.64s,
2006 1,589,626
2,190,000 Potlatch Corp. company guaranty 10s,
2011 2,430,900
885,000 Resolution Performance Products, LLC
sr. notes 9 1/2s, 2010 876,150
1,000,000 Rhodia SA 144A sr. notes 9s, 2009
(France) 1,015,515
915,000 Rhodia SA 144A sr. sub. notes
8 7/8s, 2011 (France) 818,925
310,000 Rhodia SA 144A sr. notes 7 5/8s,
2010 (France) 291,400
665,000 Royster-Clark, Inc. 1st mtge.
10 1/4s, 2009 555,275
1,000,000 Salt Holdings Corp. 144A sr. disc.
notes stepped-coupon zero % (12s,
6/1/06), 2013 (STP) 650,000
3,060,000 Salt Holdings Corp. 144A sr. notes
stepped-coupon zero % (12 3/4s,
12/15/07), 2012 (STP) 2,295,000
655,000 Solutia, Inc. company guaranty
11 1/4s, 2009 586,225
1,470,000 Solutia, Inc. debs. 6.72s, 2037 1,131,900
590,000 Smurfit-Stone Container Corp.
company guaranty 8 1/4s, 2012 632,038
2,040,000 Steel Dynamics, Inc. company
guaranty 9 1/2s, 2009 2,228,700
603,999 Sterling Chemicals, Inc. sec. notes
10s, 2007 (PIK) 564,739
300,000 St. Mary's Cement Corp. bank term
loan FRN 3.66s, 2009 (acquired
11/26/03, cost $300,000) (RES) 300,000
3,810,000 Stone Container Corp. sr. notes
8 3/8s, 2012 4,090,988
170,000 Texas Petrochemical Corp. sr. sub.
notes 11 1/8s, 2006 (In default)
(NON) 57,800
920,000 Texas Petrochemical Corp. sr. sub.
notes Ser. B, 11 1/8s, 2006 (In
default) (NON) 312,800
3,010,000 Ucar Finance, Inc. company guaranty
10 1/4s, 2012 3,326,050
1,770,000 United States Steel, LLC sr. notes
10 3/4s, 2008 1,969,125
2,240,000 WCI Steel, Inc. sr. notes Ser. B,
10s, 2004 (In default) (NON) 627,200
187,000 Weirton Steel Corp. sr. notes 10s,
2008 (In default) (NON) 34,595
2,390,000 Wheeling-Pittsburgh Steel Corp. sr.
notes 9 1/4s, 2007 (In default)
(NON) 2
136,940 Wheeling-Pittsburgh Steel Corp. sr.
notes 6s, 2010 54,776
273,881 Wheeling-Pittsburgh Steel Corp. sr.
notes 5s, 2011 136,941
2,040,000 WHX Corp. sr. notes 10 1/2s, 2005 1,734,000
--------------
111,362,102
Beverage (0.2%)
- -------------------------------------------------------------------------------
173,440 Constellation Brands, Inc. bank term
loan FRN 3 1/8s, 2008 (acquired
11/3/03, cost $173,440) (RES) 174,632
570,000 Constellation Brands, Inc. company
guaranty 8 1/2s, 2009 598,500
1,640,000 Constellation Brands, Inc. company
guaranty Ser. B, 8s, 2008 1,812,200
145,000 Constellation Brands, Inc. sr. sub.
notes Ser. B, 8 1/8s, 2012 158,775
--------------
2,744,107
Broadcasting (2.8%)
- -------------------------------------------------------------------------------
280,000 DirecTV bank term loan FRN Ser. B,
3.928s, 2010 (acquired various
dates from 3/4/03 to 8/5/03, cost
$280,000) (RES) 281,155
3,765,000 DirecTV Holdings, LLC sr. notes
8 3/8s, 2013 4,259,156
12,449,000 Diva Systems Corp. sr. disc. notes
Ser. B, 12 5/8s, 2008 (In default)
(NON) 995,920
1,760,000 Echostar DBS Corp. sr. notes
10 3/8s, 2007 1,931,600
3,655,000 Echostar DBS Corp. sr. notes 9 1/8s,
2009 4,084,463
6,655,000 Echostar DBS Corp. 144A sr. notes
6 3/8s, 2011 6,655,000
250,000 Echostar DBS Corp. 144A sr. notes
FRN 4.41s, 2008 258,125
280,000 Emmis Communications Corp. bank term
loan FRN Ser. C, 3.38s, 2009
(acquired 6/20/02, cost $280,000)
(RES) 282,761
720,000 Granite Broadcasting Corp. sr. sub.
notes 10 3/8s, 2005 712,800
2,667,000 Granite Broadcasting Corp. sr. sub.
notes 9 3/8s, 2005 2,640,330
2,720,000 Granite Broadcasting Corp. sr. sub.
notes 8 7/8s, 2008 2,584,000
182,584 Knology, Inc. 144A sr. notes 12s,
2009 (PIK) 180,758
150,000 Pegasus Communications Corp. sr.
notes Ser. B, 9 3/4s, 2006 129,000
1,615,000 Pegasus Satellite sr. notes 12 3/8s,
2006 1,405,050
9,068,539 Quorum Broadcast Holdings, LLC notes
stepped-coupon zero % (15s, 5/15/06),
2009 (STP) 6,871,232
1,657,000 RCN Corp. sr. disc. notes Ser. B,
zero %, 2008 795,360
4,082,000 Young Broadcasting, Inc. company
guaranty 10s, 2011 4,296,305
510,000 Young Broadcasting, Inc. company
guaranty Ser. B, 8 3/4s, 2007 510,000
--------------
38,873,015
Building Materials (0.7%)
- -------------------------------------------------------------------------------
995,000 Atrium Cos., Inc. company guaranty
Ser. B, 10 1/2s, 2009 1,055,944
1,450,000 Building Materials Corp. company
guaranty 8s, 2008 1,421,000
2,351,000 Dayton Superior Corp. 144A sec.
notes 10 3/4s, 2008 2,400,959
3,040,000 Nortek Holdings, Inc. 144A sr. notes
stepped-coupon zero % (10s,
11/15/07), 2011 (STP) 2,128,000
240,000 Nortek, Inc. sr. sub. notes Ser. B,
9 7/8s, 2011 261,300
475,000 Nortek, Inc. 144A sr. notes Ser. B,
9 1/8s, 2007 489,250
1,470,000 Owens Corning bonds 7 1/2s, 2018 (In
default) (NON) 576,975
2,620,000 Owens Corning notes 7 1/2s, 2005 (In
default) (NON) 1,028,350
--------------
9,361,778
Cable Television (2.6%)
- -------------------------------------------------------------------------------
40,000 Adelphia Communications Corp. notes
Ser. B, 9 7/8s, 2005 (In default)
(NON) 33,200
200,000 Adelphia Communications Corp. sr.
notes 10 7/8s, 2010 (In default)
(NON) 166,000
3,027,000 Adelphia Communications Corp. sr.
notes 7 7/8s, 2009 (In default)
(NON) 2,482,140
1,119,000 Adelphia Communications Corp. sr.
notes Ser. B, 9 7/8s, 2007 (In
default) (NON) 928,770
451,000 Adelphia Communications Corp. sr.
notes Ser. B, 7 3/4s, 2009 (In
default) (NON) 376,585
234,062 Australis Media, Ltd. sr. disc.
notes 15 3/4s, 2003 (Australia) (In
default) (NON) (DEF) 1
2,290,000 Century Cable Holdings bank term
loan FRN 6s, 2009 (acquired various
dates from 5/20/02 to 6/5/02, cost
$2,017,175) (RES) 2,097,498
1,460,516 Charter Communications Holdings, LLC
bank term loan FRN Ser. B, 3.92s,
2008 (acquired 3/16/99, cost
$1,460,516) (RES) 1,408,120
285,000 Charter Communications Holdings,
LLC/Capital Corp. sr. disc. notes
stepped-coupon zero % (12 1/8s,
1/15/07), 2012 (STP) 151,050
1,565,000 Charter Communications Holdings,
LLC/Capital Corp. sr. disc. notes
stepped-coupon zero % (11 3/4s,
1/15/05), 2010 (STP) 1,150,275
8,009,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes
11 1/8s, 2011 6,847,695
4,921,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes
10 3/4s, 2009 4,207,455
5,415,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 10s,
2011 4,332,000
1,950,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 9 5/8s,
2009 1,574,625
880,000 CSC Holdings, Inc. sr. notes 7 7/8s,
2007 902,000
1,520,000 Mediacom LLC/Mediacom Capital Corp.
sr. notes 9 1/2s, 2013 1,508,600
1,670,000 Olympus Cable bank term loan FRN
Ser. B, 6s, 2010 (acquired various
dates from 5/20/02 to 11/6/02, cost
$1,451,825) (RES) 1,581,490
965,000 ONO Finance PLC sr. notes 14s, 2011
(United Kingdom) 926,400
410,000 ONO Finance PLC sr. notes 13s, 2009
(United Kingdom) 393,600
EUR 610,000 ONO Finance PLC sr. notes Ser. REGS,
14s, 2011 (United Kingdom) 672,654
$6,120,000 TeleWest Communications PLC debs.
11s, 2007 (United Kingdom) (In
default) (NON) 3,564,900
180,000 TeleWest Communications PLC debs.
9 5/8s, 2006 (United Kingdom) (In
default) (NON) 103,050
965,000 TeleWest Communications PLC sr.
notes Ser. S, 9 7/8s, 2010 (United
Kingdom) (In default) (NON) 550,050
385,000 TeleWest Communications PLC 144A sr.
notes 11 1/4s, 2008 (United Kingdom)
(In default) (NON) 224,263
--------------
36,182,421
Capital Goods (8.2%)
- -------------------------------------------------------------------------------
1,030,000 Advanced Glassfiber Yarns bank term
loan FRN Ser. A, 6 1/2s,
2004 (acquired 9/12/02, cost
$721,000) (RES) 618,000
940,000 Advanced Glassfiber Yarns sr. sub.
notes 9 7/8s, 2009 (In default)
(NON) 42,300
3,367,000 AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 3,358,583
3,109,209 Air2 US 144A sinking fund Ser. D,
12.266s, 2020 (In default) (NON) 93,276
234,884 Allied Waste Industries, Inc. bank
term loan FRN 4.402s, 2010 (acquired
4/25/03, cost $234,884) (RES) 235,902
39,643 Allied Waste Industries, Inc. bank
term loan FRN Ser. C, 4.56s,
2010 (acquired 4/25/03, cost
$39,643) (RES) 39,883
5,555,000 Allied Waste North America, Inc.
company guaranty Ser. B, 9 1/4s,
2012 6,193,778
1,660,000 Allied Waste North America, Inc.
company guaranty Ser. B, 8 1/2s,
2008 1,817,700
160,000 Allied Waste North America, Inc.
company guaranty Ser. B, 7 5/8s,
2006 167,200
2,170,000 Allied Waste North America, Inc.
144A sec. notes 6 1/2s, 2010 2,180,850
399,000 Amsted Industries bank term loan FRN
5.129s, 2010 (acquired 8/12/03,
cost $397,005) (RES) 400,663
6,240,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 6,146,400
550,000 Argo-Tech Corp. company guaranty
Ser. D, 8 5/8s, 2007 541,750
1,362,000 BE Aerospace, Inc. sr. sub. notes
Ser. B, 8 7/8s, 2011 1,242,825
3,740,000 BE Aerospace, Inc. sr. sub. notes
Ser. B, 8s, 2008 3,403,400
3,344,000 Blount, Inc. company guaranty 13s,
2009 3,394,160
3,569,000 Blount, Inc. company guaranty 7s,
2005 3,582,384
4,780,000 Browning-Ferris Industries, Inc.
debs. 7.4s, 2035 4,445,400
1,090,000 Browning-Ferris Industries, Inc. sr.
notes 6 3/8s, 2008 1,076,375
EUR 2,230,000 BSN Financing Co. SA company
guaranty Ser. EUR, 10 1/4s, 2009
(Luxembourg) 2,833,251
EUR 385,000 BSN Glasspack 144A sec. notes
9 1/4s, 2009 (France) 491,456
$1,915,000 Crown Holdings SA notes 10 7/8s,
2013 (France) 2,211,825
5,370,000 Crown Holdings SA notes 9 1/2s, 2011
(France) 6,014,400
5,000,000 Decrane Aircraft Holdings Co.
company guaranty Ser. B, 12s, 2008 2,500,000
299,250 EaglePicher bank term loan FRN
4.64s, 2009 (acquired 8/6/03, cost
$301,000) (RES) 301,993
1,330,000 Earle M. Jorgensen Co. sec. notes
9 3/4s, 2012 1,449,700
2,050,000 FIMEP SA sr. notes 10 1/2s, 2013
(France) 2,378,000
351,766 Flowserve Corp. bank term loan FRN
Ser. C, 3.927s, 2009 (acquired
4/30/02, cost $351,766) (RES) 353,902
1,741,000 Flowserve Corp. company guaranty
12 1/4s, 2010 2,019,560
380,000 Fonda Group, Inc. sr. sub. notes
Ser. B, 9 1/2s, 2007 330,600
150,000 Goodman Manufacturing bank term loan
FRN 3.16s, 2009 (acquired 11/20/03,
cost $150,000) (RES) 151,500
16,462,890 Grove Investors, LLC notes 14 1/2s,
2010 (In default) (NON) (PIK) 164,629
460,000 Hexcel Corp. sr. sub. notes 9 3/4s,
2009 479,550
7,160,000 Insilco Holding Co. sr. disc. notes
zero %, 2008 (In default) (NON) 34,010
EUR 1,025,000 Invensys, PLC sr. unsub. notes
5 1/2s, 2005 (United Kingdom) 1,201,537
$1,185,000 Jordan Industries, Inc. sr. notes
Ser. D, 10 3/8s, 2007 533,250
2,055,000 K&F Industries, Inc. sr. sub. notes
Ser. B, 9 5/8s, 2010 2,281,050
486,000 K&F Industries, Inc. sr. sub. notes
Ser. B, 9 1/4s, 2007 503,010
1,260,000 L-3 Communications Corp. company
guaranty 6 1/8s, 2013 1,250,550
271,950 Laidlaw International, Inc. bank
term loan FRN 7s, 2009 (acquired
6/18/03, cost $266,511) (RES) 273,650
4,195,000 Laidlaw International, Inc. 144A sr.
notes 10 3/4s, 2011 4,614,500
3,050,000 Legrand SA debs. 8 1/2s, 2025
(France) 3,194,875
290,000 Manitowoc Co., Inc. (The) company
guaranty 10 1/2s, 2012 327,700
EUR 705,000 Manitowoc Co., Inc. (The) company
guaranty 10 3/8s, 2011 917,262
$865,000 Manitowoc Co., Inc. (The) sr. notes
7 1/8s, 2013 884,463
1,315,000 Motors and Gears, Inc. sr. notes
Ser. D, 10 3/4s, 2006 1,104,600
2,407,333 Oslo Seismic Services, Inc. 1st
mtge. 8.28s, 2011 2,464,507
415,000 Owens-Brockway Glass company
guaranty 8 7/8s, 2009 446,125
2,725,000 Owens-Brockway Glass company
guaranty 8 1/4s, 2013 2,854,438
1,970,000 Owens-Brockway Glass company
guaranty 7 3/4s, 2011 2,068,500
2,775,000 Owens-Brockway Glass sr. sec. notes
8 3/4s, 2012 3,031,688
315,000 Pliant Corp. company guaranty 13s,
2010 286,650
1,980,000 Pliant Corp. sec. notes 11 1/8s,
2009 2,059,200
2,420,000 Roller Bearing Company of America
company guaranty Ser. B, 9 5/8s,
2007 2,250,600
820,000 Sequa Corp. sr. notes 9s, 2009 899,950
1,385,000 Sequa Corp. sr. notes Ser. B,
8 7/8s, 2008 1,506,188
780,000 Siebe PLC 144A sr. unsub. 6 1/2s,
2010 (United Kingdom) 742,950
1,530,000 Sweetheart Cup Co. company guaranty
12s, 2004 1,507,050
4,970,000 Tekni-Plex, Inc. company guaranty
Ser. B, 12 3/4s, 2010 5,268,200
1,410,000 Tekni-Plex, Inc. 144A sr. sec. notes
8 3/4s, 2013 1,413,525
3,155,000 Terex Corp. company guaranty Ser. B,
10 3/8s, 2011 3,533,600
2,250,000 Titan Corp. (The) 144A sr. sub.
notes 8s, 2011 2,576,250
100,000 Transdigm, Inc. bank term loan FRN
4.11s, 2010 (acquired 7/21/03, cost
$100,000) (RES) 101,031
795,000 Trimas Corp. company guaranty
9 7/8s, 2012 818,850
--------------
111,610,954
Commercial and Consumer Services (0.7%)
- -------------------------------------------------------------------------------
EUR 1,250,000 CB Bus AB sr. sub. notes 11s, 2010
(Sweden) 1,213,583
$4,415,000 Coinmach Corp. sr. notes 9s, 2010 4,801,313
98,477 Corrections Corporation of America
bank term loan FRN 3.918s, 2008
(acquired 8/5/03, cost $98,477)
(RES) 99,462
4,683,147 Derby Cycle Corp. (The) sr. notes
10s, 2008 (In default) (NON) 257,573
EUR 2,414,547 Derby Cycle Corp. (The) sr. notes
9 3/8s, 2008 (In default) (NON) 81,384
$200,000 IESI Corp. bank term loan FRN
4 5/8s, 2010 (acquired 10/20/03
and 10/21/03, cost $201,083) (RES) 201,875
2,620,000 IESI Corp. company guaranty 10 1/4s,
2012 2,842,700
--------------
9,497,890
Communication Services (8.6%)
- -------------------------------------------------------------------------------
4,880,000 ACC Escrow Corp. 144A sr. notes 10s,
2011 5,343,600
2,665,000 Alamosa Delaware, Inc. company
guaranty 11s, 2010 2,771,600
2,037 Alamosa Delaware, Inc. company
guaranty stepped-coupon zero %
(12s, 7/31/06), 2009 (STP) 1,721
785,000 American Cellular Corp. company
guaranty 9 1/2s, 2009 (In default)
(NON) 745,750
1,305,000 American Tower Corp. sr. notes
9 3/8s, 2009 1,370,250
1,505,000 American Tower, Inc. Structured
Notes 12.58s, 2005 (issued by
STEERS Credit Linked Trust 2001) 1,550,150
2,965,000 American Towers, Inc. 144A sr. sub.
notes 7 1/4s, 2011 2,979,825
2,330,000 Asia Global Crossing, Ltd. sr. notes
13 3/8s, 2010 (Bermuda) (In default)
(NON) 343,675
800,000 Cellular Operating Co., LLC sr. sub.
notes 10 3/4s, 2008 820,000
6,160,000 Centennial Cellular Operating Co.
company guaranty 10 1/8s, 2013 6,498,800
1,135,000 Cincinnati Bell, Inc. notes 7 1/4s,
2023 1,100,950
4,110,000 Cincinnati Bell, Inc. 144A company
guaranty 7 1/4s, 2013 4,274,400
1,740,000 Cincinnati Bell, Inc. 144A sr. sub.
notes 8 3/8s, 2014 1,827,000
2,792,150 Colo.com, Inc. 144A sr. notes
13 7/8s, 2010 (In default) (NON) 6,980
200,000 Crown Castle International Corp.
bank term loan FRN 4.65s,
2010 (acquired 10/3/03, cost
$200,000) (RES) 201,900
3,255,000 Crown Castle International Corp. sr.
notes 9 3/8s, 2011 3,580,500
705,000 Crown Castle International Corp. sr.
notes 9s, 2011 743,775
200,000 Dobson Communications Corp. bank
term loan FRN 4.416s, 2010
(acquired 10/20/03, cost $200,000)
(RES) 202,321
5,175,000 Dobson Communications Corp. 144A sr.
notes 8 7/8s, 2013 5,207,344
1,485,000 Fairpoint Communications, Inc. sr.
sub. notes 12 1/2s, 2010 1,611,225
7,840,000 Firstworld Communication Corp. sr.
disc. notes zero %, 2008 (In
default) (NON) 784
757,861 Globix Corp. company guaranty 11s,
2008 (PIK) 651,760
550,000 Horizon PCS, Inc. company guaranty
13 3/4s, 2011 (In default) (NON) 123,750
4,430,000 iPCS, Inc. sr. disc. notes
stepped-coupon zero % (14s,
7/15/05), 2010 (In default) (NON)
(STP) 487,300
2,282,000 IWO Holdings, Inc. company guaranty
14s, 2011 365,120
325,000 Level 3 Communications, Inc. sr.
notes 9 1/8s, 2008 293,313
5,785,000 Level 3 Financing Inc. 144A sr.
notes 10 3/4s, 2011 6,045,325
2,855,000 Madison River Capital Corp. sr.
notes 13 1/4s, 2010 3,133,363
1,020,000 Metromedia Fiber Network, Inc. sr.
notes 10s, 2009 (In default) (NON) 65,025
3,830,000 Metromedia Fiber Network, Inc. sr.
notes Ser. B, 10s, 2008 (In default)
(NON) 244,163
3,010,000 Millicom International Cellular SA
144A sr. notes 11s,
2006 (Luxembourg) 3,085,250
3,530,000 Nextel Communications, Inc. sr.
notes 9 1/2s, 2011 4,010,963
130,000 Nextel Communications, Inc. sr.
notes 9 3/8s, 2009 142,025
5,730,000 Nextel Communications, Inc. sr.
notes 7 3/8s, 2015 6,030,825
2,205,000 Nextel Partners, Inc. sr. notes
12 1/2s, 2009 2,546,775
2,065,000 Nextel Partners, Inc. sr. notes 11s,
2010 2,271,500
4,285,000 Nextel Partners, Inc. 144A sr. notes
8 1/8s, 2011 4,456,400
5,180,000 Orbital Imaging Corp. sr. notes
Ser. D, 11 5/8s, 2005 (In default)
(NON) 3,211,600
1,695,000 PanAmSat Corp. company guaranty
8 1/2s, 2012 1,843,313
300,625 Qwest Communications International,
Inc. bank term loan FRN 6 1/2s,
2007 (acquired 6/5/03, cost
$297,619) (RES) 308,817
8,940,000 Qwest Corp. 144A notes 8 7/8s, 2012 10,146,900
9,380,000 Qwest Services Corp. 144A notes
13 1/2s, 2010 11,033,225
750,000 Rural Cellular Corp. sr. sub. notes
Ser. B, 9 5/8s, 2008 697,500
3,425,000 Telus Corp. notes 8s, 2011 (Canada) 3,933,342
2,290,000 TSI Telecommunication Services, Inc.
company guaranty Ser. B, 12 3/4s,
2009 2,504,688
1,907,000 UbiquiTel Operating Co. bonds
stepped-coupon zero % (14s,
4/15/05), 2010 (STP) 1,373,040
4,000,000 US UnWired, Inc. company guaranty
stepped-coupon Ser. B, zero %
(13 3/8s, 11/1/04), 2009 (STP) 2,640,000
4,415,000 Western Wireless Corp. sr. notes
9 1/4s, 2013 4,591,600
1,710,000 Williams Communications Group, Inc.
notes zero %, 2010 (In default)
(NON) 17
750,000 Williams Communications Group, Inc.
notes zero %, 2007 (In default)
(NON) 8
--------------
117,419,457
Conglomerates (0.7%)
- -------------------------------------------------------------------------------
5,810,000 Tyco International Group SA company
guaranty 7s, 2028 (Luxembourg) 5,860,838
3,705,000 Tyco International Group SA notes
6 3/8s, 2011 (Luxembourg) 3,890,250
--------------
9,751,088
Consumer (1.1%)
- -------------------------------------------------------------------------------
4,275,000 Icon Health & Fitness company
guaranty 11 1/4s, 2012 4,665,094
3,635,000 Jostens Holding Corp. 144A sr. disc.
notes stepped-coupon zero %
(10 1/4s, 12/1/08), 2013 (STP) 2,290,050
400,000 Jostens, Inc. bank term loan FRN
Ser. B, 3.64s, 2010 (acquired
7/28/03, cost $400,000) (RES) 403,280
1,230,000 Jostens, Inc. sr. sub. notes
12 3/4s, 2010 1,408,350
6,045,000 Samsonite Corp. sr. sub. notes
10 3/4s, 2008 6,271,688
--------------
15,038,462
Consumer Goods (1.2%)
- -------------------------------------------------------------------------------
2,695,000 Armkel, LLC/Armkel Finance sr. sub.
notes 9 1/2s, 2009 2,951,025
707,000 French Fragrances, Inc. company
guaranty Ser. D, 10 3/8s, 2007 724,675
530,000 French Fragrances, Inc. sr. notes
Ser. B, 10 3/8s, 2007 548,804
5,740,000 Playtex Products, Inc. company
guaranty 9 3/8s, 2011 5,639,550
1,900,000 Polaroid Corp. sr. notes 11 1/2s,
2006 (In default) (NON) 399,000
3,325,000 Remington Arms Co., Inc. company
guaranty 10 1/2s, 2011 3,458,000
1,515,000 Revlon Consumer Products sr. notes
9s, 2006 1,030,200
1,400,000 Revlon Consumer Products sr. notes
8 1/8s, 2006 952,000
200,000 Scotts Co. (The) bank term loan FRN
3.188s, 2010 (acquired 10/16/03,
cost $200,000) (RES) 202,214
1,030,000 Scotts Co. (The) 144A 6 5/8s, 2013 1,040,300
--------------
16,945,768
Consumer Services (0.4%)
- -------------------------------------------------------------------------------
2,525,000 Brand Services, Inc. company
guaranty 12s, 2012 2,903,750
300,000 Itron, Inc. bank term loan FRN
3.41s, 2010 (acquired 11/20/03,
cost $300,000) (RES) 303,000
2,845,000 Williams Scotsman, Inc. company
guaranty 9 7/8s, 2007 2,773,875
--------------
5,980,625
Distribution (0.1%)
- -------------------------------------------------------------------------------
2,880,000 Fleming Cos., Inc. company guaranty
10 1/8s, 2008 (In default) (NON) 489,600
2,070,000 Fleming Cos., Inc. sr. notes 9 1/4s,
2010 (In default) (NON) 357,075
--------------
846,675
Energy (6.9%)
- -------------------------------------------------------------------------------
3,155,000 Arch Western Finance, LLC 144A sr.
notes 6 3/4s, 2013 3,253,594
3,400,000 Belden & Blake Corp. company
guaranty Ser. B, 9 7/8s, 2007 3,213,000
2,810,000 BRL Universal Equipment sec. notes
8 7/8s, 2008 3,020,750
1,700,000 Chesapeake Energy Corp. company
guaranty 9s, 2012 1,955,000
245,000 Chesapeake Energy Corp. company
guaranty 8 3/8s, 2008 268,275
1,075,000 Chesapeake Energy Corp. company
guaranty 8 1/8s, 2011 1,174,438
3,805,000 Chesapeake Energy Corp. sr. notes
7 1/2s, 2013 4,090,375
3,615,000 Comstock Resources, Inc. company
guaranty 11 1/4s, 2007 3,904,200
2,905,000 Dresser, Inc. company guaranty
9 3/8s, 2011 3,042,988
2,240,000 Encore Acquisition Co. company
guaranty 8 3/8s, 2012 2,374,400
1,325,000 Forest Oil Corp. company guaranty
7 3/4s, 2014 1,387,938
1,370,000 Forest Oil Corp. sr. notes 8s, 2011 1,472,750
855,000 Forest Oil Corp. sr. notes 8s, 2008 919,125
1,645,000 Hornbeck Offshore Services, Inc. sr.
notes 10 5/8s, 2008 1,805,388
1,350,000 Gazprom OAO 144A notes 9 5/8s, 2013
(Russia) 1,464,750
1,130,000 Key Energy Services, Inc. sr. notes
6 3/8s, 2013 1,135,650
1,230,000 Leviathan Gas Corp. company guaranty
Ser. B, 10 3/8s, 2009 1,334,550
2,170,000 Massey Energy Co. 144A sr. notes
6 5/8s, 2010 2,180,850
3,120,000 Newfield Exploration Co. sr. notes
7 5/8s, 2011 3,416,400
1,860,000 Offshore Logistics, Inc. company
guaranty 6 1/8s, 2013 1,785,600
1,540,000 Parker & Parsley Co. sr. notes
8 1/4s, 2007 1,737,053
200,000 Parker Drilling Co. bank term loan
FRN 5.42s, 2007 (acquired 10/22/03,
cost $200,000) (RES) 200,875
2,290,000 Parker Drilling Co. company guaranty
Ser. B, 10 1/8s, 2009 2,381,600
138,056 Peabody Energy Corp. bank term loan
FRN Ser. B, 3.638s, 2010 (acquired
3/20/03, cost $138,056) (RES) 139,322
650,000 Pemex Project Funding Master Trust
company guaranty 8 5/8s, 2022 718,250
4,025,000 Pemex Project Funding Master Trust
company guaranty 7 3/8s, 2014 4,241,545
3,860,000 Pioneer Natural Resources Co.
company guaranty 9 5/8s, 2010 4,774,720
1,085,000 Pioneer Natural Resources Co.
company guaranty 7.2s, 2028 1,131,738
1,475,000 Plains All American Pipeline
LP/Plains All American Finance
Corp. company guaranty 7 3/4s, 2012 1,637,250
2,360,000 Plains Exploration & Production Co.
company guaranty Ser. B, 8 3/4s,
2012 2,584,200
1,855,000 Plains Exploration & Production Co.
sr. sub. notes 8 3/4s, 2012 2,031,225
1,805,000 Pogo Producing Co. sr. sub. notes
Ser. B, 8 1/4s, 2011 1,994,525
270,000 Pride International, Inc. sr. notes
10s, 2009 289,575
1,847,000 Pride Petroleum Services, Inc. sr.
notes 9 3/8s, 2007 1,902,410
2,445,000 Seabulk International, Inc. 144A sr.
notes 9 1/2s, 2013 2,548,913
1,475,000 Seven Seas Petroleum, Inc. sr. notes
Ser. B, 12 1/2s, 2005 (In default)
(NON) 19,460
2,895,000 Star Gas Partners LP/Star Gas
Finance Co. sr. notes 10 1/4s, 2013 3,141,075
1,435,385 Star Gas Propane 1st Mtge. 8.04s,
2009 1,442,562
1,380,000 Swift Energy Co. sr. sub. notes
10 1/4s, 2009 1,493,850
1,960,000 Swift Energy Co. sr. sub. notes
9 3/8s, 2012 2,136,400
3,725,000 Trico Marine Services, Inc. company
guaranty 8 7/8s, 2012 2,421,250
565,000 Universal Compression, Inc. sr.
notes 7 1/4s, 2010 584,775
1,140,000 Vintage Petroleum, Inc. sr. notes
8 1/4s, 2012 1,242,600
595,000 Vintage Petroleum, Inc. sr. sub.
notes 7 7/8s, 2011 621,775
178,805 Weg Acquisition bank term loan FRN
5.61s, 2008 (acquired 6/13/03, cost
$177,017) (RES) 180,593
2,841,000 Westport Resources Corp. company
guaranty 8 1/4s, 2011 3,096,690
1,910,000 Westport Resources Corp. 144A
company guaranty 8 1/4s, 2011 2,081,900
2,570,000 XTO Energy, Inc. sr. notes 7 1/2s,
2012 2,916,950
1,160,000 XTO Energy, Inc. sr. notes 6 1/4s,
2013 1,223,800
--------------
94,116,902
Entertainment (1.3%)
- -------------------------------------------------------------------------------
2,020,000 AMC Entertainment, Inc. sr. sub.
notes 9 7/8s, 2012 2,211,900
1,730,000 AMC Entertainment, Inc. sr. sub.
notes 9 1/2s, 2011 1,816,500
1,785,000 AMC Entertainment, Inc. sr. sub.
notes 9 1/2s, 2009 1,838,550
2,134,680 Carmike Cinemas, Inc. bank term loan
FRN Ser. B, 7 3/4s, 2005 (acquired
various dates from 8/7/00 to 3/6/02,
cost $1,662,930) (RES) 2,146,244
2,480,000 Cinemark USA, Inc. sr. sub. notes
9s, 2013 2,752,800
6,695,000 Premier Parks, Inc. sr. notes 10s,
2007 6,929,325
100,000 Six Flags, Inc. bank term loan FRN
Ser. B, 3.37s, 2009 (acquired
1/15/03, cost $99,875) (RES) 99,714
580,000 Six Flags, Inc. sr. notes 8 7/8s,
2010 569,850
--------------
18,364,883
Financial (1.7%)
- -------------------------------------------------------------------------------
4,810,000 Advanta Corp. 144A company guaranty
Ser. B, 8.99s, 2026 3,379,025
1,650,000 Chevy Chase Savings Bank, Inc. sub.
debs. 9 1/4s, 2005 1,652,063
820,000 Conseco, Inc. 144A notes zero %,
2006 1
820,000 Conseco, Inc. 144A notes zero %,
2009 1
1,205,000 Crescent Real Estate Equities LP
notes 7 1/2s, 2007 (R) 1,244,163
2,475,000 Crescent Real Estate Equities LP sr.
notes 9 1/4s, 2009 (R) 2,700,844
8,894,000 Finova Group, Inc. notes 7 1/2s,
2009 4,936,170
2,210,000 iStar Financial, Inc. sr. notes
8 3/4s, 2008 (R) 2,475,200
1,660,000 iStar Financial, Inc. sr. notes 7s,
2008 (R) 1,759,600
274,378 Infinity Inc. bank term loan FRN
3.64s, 2010 (acquired 7/2/03, cost
$274,378) (RES) 276,093
1,425,000 Nationwide Credit, Inc. sr. notes
Ser. A, 10 1/4s, 2008 (In default)
(NON) 14
1,910,000 UBS AG/Jersey Branch sr. notes
Ser. EMTN, 9.14s, 2008 (Jersey) 1,910,000
2,310,000 Western Financial Bank sub. debs.
9 5/8s, 2012 2,587,200
--------------
22,920,374
Food (1.6%)
- -------------------------------------------------------------------------------
1,610,668 Archibald Candy Corp. company
guaranty 10s, 2007 (PIK) 644,267
665,000 Dean Foods Co. sr. notes 6 5/8s,
2009 694,925
970,000 Del Monte Corp. company guaranty
Ser. B, 9 1/4s, 2011 1,064,575
2,170,000 Del Monte Corp. 144A sr. sub. notes
8 5/8s, 2012 2,365,300
462,053 Del Monte Foods Co. bank term loan
FRN Ser. B, 4.9142s, 2010 (acquired
12/16/02, cost $459,743) (RES) 466,674
3,240,000 Doane Pet Care Co. sr. sub. debs.
9 3/4s, 2007 2,754,000
140,464 Dole Food Co. bank term loan FRN
3.66s, 2009 (acquired 11/20/03, cost
$140,464) (RES) 141,283
40,369 Dole Food Co. bank term loan FRN
Ser. B, 6 1/4s, 2008 (acquired
3/28/03, cost $40,369) (RES) 40,605
955,000 Dole Food Co. sr. notes 8 7/8s, 2011 1,032,594
755,000 Dole Food Co. sr. notes 8 5/8s, 2009 816,344
3,365,000 Eagle Family Foods company guaranty
Ser. B, 8 3/4s, 2008 2,389,150
2,150,000 Land O'Lakes, Inc. sr. notes 8 3/4s,
2011 1,967,250
725,000 Parmalat Capital Finance, Ltd.
company guaranty 6 5/8s,
2008 (Cayman Islands) 659,750
409,325 Pinnacle Foods Holding Corp. bank
term loan FRN 3.91s, 2010 (acquired
11/26/03, cost $409,325) (RES) 411,372
115,675 Pinnacle Foods Holding Corp. bank
term loan FRN 1.17s, 2010 (acquired
11/26/03, cost $115,675) (RES) 116,253
1,375,000 Pinnacle Foods Holding Corp. 144A
sr. sub. notes 8 1/4s, 2013 1,409,375
2,860,000 Premier International Foods PLC sr.
notes 12s, 2009 (United Kingdom) 3,117,400
770,000 Premium Standard Farms, Inc. sr.
notes 9 1/4s, 2011 777,700
GBP 700,000 RHM Finance, Ltd. bonds
stepped-coupon Ser. B1, 11 1/2s
(17 1/4s, 2/28/11), 2011 (Cayman
Islands) (STP) 1,077,455
--------------
21,946,272
Gaming & Lottery (5.0%)
- -------------------------------------------------------------------------------
$2,475,000 Ameristar Casinos, Inc. company
guaranty 10 3/4s, 2009 2,833,875
440,000 Argosy Gaming Co. sr. sub. notes 9s,
2011 484,550
2,870,000 Boyd Gaming Corp. sr. sub. notes
8 3/4s, 2012 3,113,950
1,485,000 Chumash Casino & Resort Enterprise
144A sr. notes 9 1/4s, 2010 1,629,788
3,680,000 Herbst Gaming, Inc. sec. notes
Ser. B, 10 3/4s, 2008 4,112,400
2,105,000 Hollywood Park, Inc. company
guaranty Ser. B, 9 1/4s, 2007 2,173,413
4,010,000 Horseshoe Gaming Holdings company
guaranty 8 5/8s, 2009 4,265,638
1,905,000 Inn of the Mountain Gods 144A sr.
notes 12s, 2010 2,019,300
1,760,000 Mandalay Resort Group 144A sr. notes
6 1/2s, 2009 1,808,400
330,000 MGM Mirage, Inc. coll. sr. notes
6 7/8s, 2008 350,625
5,470,000 MGM Mirage, Inc. company guaranty
8 1/2s, 2010 6,222,125
865,000 MGM Mirage, Inc. company guaranty
8 3/8s, 2011 966,638
1,370,000 Mirage Resorts, Inc. notes 6 3/4s,
2008 1,448,775
1,530,000 Mohegan Tribal Gaming Authority sr.
sub. notes 8 3/8s, 2011 1,667,700
2,690,000 Mohegan Tribal Gaming Authority sr.
sub. notes 6 3/8s, 2009 2,757,250
4,550,000 Park Place Entertainment Corp. sr.
notes 7 1/2s, 2009 4,959,500
1,420,000 Park Place Entertainment Corp. sr.
notes 7s, 2013 1,494,550
1,575,000 Park Place Entertainment Corp. sr.
sub. notes 8 7/8s, 2008 1,760,063
435,000 Park Place Entertainment Corp. sr.
sub. notes 8 1/8s, 2011 479,044
1,755,000 Penn National Gaming, Inc. company
guaranty Ser. B, 11 1/8s, 2008 1,974,375
510,000 Penn National Gaming, Inc. sr. sub.
notes 8 7/8s, 2010 550,800
184,538 Pinnacle Entertainment, Inc. bank
term loan FRN Ser. B, 5.745s, 2008
(acquired 4/3/03, cost $182,231)
(RES) 184,884
1,480,000 Pinnacle Entertainment, Inc. sr.
sub. notes 8 3/4s, 2013 1,472,600
2,315,000 Resorts International Hotel and
Casino, Inc. company guaranty
11 1/2s, 2009 2,459,688
2,175,000 Riviera Holdings Corp. company
guaranty 11s, 2010 2,215,781
645,125 Scientific Gaming Corp. bank term
loan FRN 5 3/4s, 2008 (acquired
12/11/02, cost $641,899) (RES) 646,254
3,200,000 Station Casinos, Inc. sr. notes
8 3/8s, 2008 3,440,000
2,005,000 Trump Atlantic City Associates
company guaranty 11 1/4s, 2006 1,508,763
6,120,000 Trump Casino Holdings, LLC company
guaranty 11 5/8s, 2010 5,492,700
3,640,000 Venetian Casino Resort, LLC company
guaranty 11s, 2010 4,213,300
--------------
68,706,729
Health Care (6.4%)
- -------------------------------------------------------------------------------
73,391 ALARIS Medical Systems, Inc. bank
term loan FRN 3.87s, 2009 (acquired
6/30/03, cost $73,391) (RES) 74,125
180,373 Alderwoods Group, Inc. bank term
loan FRN 4.377s, 2008 (acquired
9/9/03, cost $180,373) (RES) 182,627
4,086,500 Alderwoods Group, Inc. company
guaranty 12 1/4s, 2009 4,576,880
2,950,000 Alliance Imaging, Inc. sr. sub.
notes 10 3/8s, 2011 3,060,625
2,315,000 AmerisourceBergen Corp. company
guaranty 7 1/4s, 2012 2,459,688
2,470,000 AmerisourceBergen Corp. sr. notes
8 1/8s, 2008 2,735,525
4,270,000 Ardent Health Services 144A sr. sub.
notes 10s, 2013 4,568,900
250,000 Beverly Enterprises, Inc. bank term
loan FRN 4.418s, 2008 (acquired
10/20/03, cost $249,375) (RES) 252,500
1,845,000 Biovail Corp. sr. sub. notes 7 7/8s,
2010 (Canada) 1,780,425
297,000 Community Health Systems, Inc. bank
term loan FRN Ser. B, 3.64s, 2010
(acquired 7/11/02, cost $297,000)
(RES) 299,153
399,000 Concentra bank term loan FRN 4.937s,
2009 (acquired 8/12/03, cost
$399,000) (RES) 402,491
745,000 Dade Behring, Inc. company guaranty
11.91s, 2010 854,888
398,923 DaVita, Inc. bank term loan FRN
Ser. B, 3.39s, 2009 (acquired
7/17/03, cost $398,923) (RES) 400,834
2,040,000 Extendicare Health Services, Inc.
company guaranty 9 1/2s, 2010 2,233,800
3,090,000 HCA, Inc. debs. 7.19s, 2015 3,236,324
2,040,000 HCA, Inc. notes 8.36s, 2024 2,207,184
165,000 HCA, Inc. notes 7s, 2007 177,504
930,000 HCA, Inc. sr. notes 7 7/8s, 2011 1,035,273
200,000 Hanger Orthopedic Group, Inc. bank
term loan FRN 3.913s, 2009 (acquired
9/29/03, cost $200,000) (RES) 201,500
1,550,000 Hanger Orthopedic Group, Inc.
company guaranty 10 3/8s, 2009 1,755,375
4,509,000 Healthsouth Corp. notes 7 5/8s, 2012 4,125,735
1,050,000 Healthsouth Corp. sr. notes 8 1/2s,
2008 987,000
955,000 Healthsouth Corp. sr. notes 8 3/8s,
2011 876,213
1,395,000 Healthsouth Corp. sr. notes 7s, 2008 1,276,425
1,645,000 IASIS Healthcare Corp. company
guaranty 13s, 2009 1,842,400
295,000 IASIS Healthcare Corp. company
guaranty 8 1/2s, 2009 302,375
299,250 Kinetic Concepts, Inc. bank term
loan FRN 3.89s, 2011
(acquired 8/5/03, cost $299,938)
(RES) 301,681
5,335,000 Magellan Health Services, Inc. sr.
sub. notes 9s, 2008 (In default)
(NON) 3,681,150
1,040,000 Magellan Health Services, Inc. 144A
sr. notes 9 3/8s, 2007 (In default)
(NON) 1,149,200
230,672 Medex, Inc. bank term loan FRN
Ser. B, 4s, 2009 (acquired
5/16/03, cost $183,961) (RES) 231,825
7,800,000 Mediq, Inc. debs. zero %, 2009 (In
default) (NON) 780
2,930,000 MedQuest, Inc. company guaranty
Ser. B, 11 7/8s, 2012 3,212,013
15,935,000 Multicare Companies, Inc. sr. sub.
notes 9s, 2007 (In default) (NON) 239,025
1,455,000 NeighborCare, Inc. 144A sr. sub.
notes 6 7/8s, 2013 1,465,913
3,040,000 Omnicare, Inc. sr. sub. notes
6 1/8s, 2013 3,032,400
3,103,000 PacifiCare Health Systems, Inc.
company guaranty 10 3/4s, 2009 3,568,450
2,580,000 Province Healthcare Co. sr. sub.
notes 7 1/2s, 2013 2,605,800
1,150,000 Service Corp. International debs.
7 7/8s, 2013 1,132,750
290,000 Service Corp. International notes
7.2s, 2006 297,975
90,000 Service Corp. International notes
6 7/8s, 2007 91,800
435,000 Service Corp. International notes
6 1/2s, 2008 439,350
4,230,000 Service Corp. International notes
6s, 2005 4,282,875
1,045,000 Service Corp. International notes
Ser. (a), 7.7s, 2009 1,094,638
3,230,000 Stewart Enterprises, Inc. notes
10 3/4s, 2008 3,633,750
545,000 Tenet Healthcare Corp. notes 7 3/8s,
2013 527,288
105,000 Tenet Healthcare Corp. sr. notes
6 1/2s, 2012 96,600
4,460,000 Tenet Healthcare Corp. sr. notes
6 3/8s, 2011 4,125,500
25,000 Tenet Healthcare Corp. sr. notes
5 3/8s, 2006 24,063
773,826 Triad Hospitals, Inc. bank term loan
FRN Ser. B, 4.12s, 2008 (acquired
4/23/01, cost $781,565) (RES) 778,663
4,330,000 Triad Hospitals, Inc. 144A sr. sub.
notes 7s, 2013 4,319,175
2,140,000 Universal Hospital Services, Inc.
144A sr. notes 10 1/8s, 2011 2,214,900
2,230,000 Ventas Realty LP/Capital Corp.
company guaranty 9s, 2012 2,497,600
--------------
86,950,933
Homebuilding (1.8%)
- -------------------------------------------------------------------------------
1,130,000 Beazer Homes USA, Inc. company
guaranty 8 5/8s, 2011 1,240,175
615,000 Beazer Homes USA, Inc. company
guaranty 8 3/8s, 2012 676,500
1,070,000 D.R. Horton, Inc. sr. notes 7 7/8s,
2011 1,225,150
3,745,000 D.R. Horton, Inc. sr. notes 5 7/8s,
2013 3,721,594
2,030,000 K. Hovnanian Enterprises, Inc.
company guaranty 10 1/2s, 2007 2,385,250
2,315,000 K. Hovnanian Enterprises, Inc.
company guaranty 8 7/8s, 2012 2,532,031
405,000 K. Hovnanian Enterprises, Inc. sr.
notes 6 1/2s, 2014 403,988
1,180,000 Meritage Corp. 144A sr. notes
9 3/4s, 2011 1,327,500
1,575,000 Ryland Group, Inc. sr. notes 9 3/4s,
2010 1,811,250
2,055,000 Ryland Group, Inc. sr. sub. notes
9 1/8s, 2011 2,378,663
1,510,000 Schuler Homes, Inc. company guaranty
10 1/2s, 2011 1,727,063
765,000 Technical Olympic USA, Inc. company
guaranty 10 3/8s, 2012 849,150
1,510,000 Technical Olympic USA, Inc. company
guaranty 9s, 2010 1,611,925
625,000 WCI Communities, Inc. company
guaranty 10 5/8s, 2011 696,875
2,260,000 WCI Communities, Inc. company
guaranty 9 1/8s, 2012 2,474,700
--------------
25,061,814
Household Furniture and Appliances (0.9%)
- -------------------------------------------------------------------------------
12,997,037 Sealy Mattress Co. 144A sr. notes
zero %, 2008 12,022,260
Lodging/Tourism (2.5%)
- -------------------------------------------------------------------------------
2,175,000 Gaylord Entertainment Co. 144A sr.
notes 8s, 2013 2,251,125
3,415,000 Hilton Hotels Corp. notes 7 5/8s,
2012 3,782,113
345,000 HMH Properties, Inc. company
guaranty Ser. B, 7 7/8s, 2008 356,213
1,710,000 Host Marriott LP company guaranty
Ser. G, 9 1/4s, 2007 (R) 1,870,313
8,358,000 Host Marriott LP sr. notes Ser. E,
8 3/8s, 2006 (R) 8,859,480
2,890,000 Host Marriott LP 144A sr. notes
7 1/8s, 2013 2,861,100
3,295,000 ITT Corp. notes 6 3/4s, 2005 3,459,750
4,980,000 John Q. Hammons Hotels LP/John Q.
Hammons Hotels Finance Corp. III
1st mtge. Ser. B, 8 7/8s, 2012 5,453,100
1,215,000 Meristar Hospitality Corp. company
guaranty 9 1/8s, 2011 (R) 1,272,713
2,800,000 RFS Partnership LP company guaranty
9 3/4s, 2012 3,003,000
1,270,000 Starwood Hotels & Resorts Worldwide,
Inc. company guaranty 7 3/8s, 2007 1,360,488
--------------
34,529,395
Media (0.1%)
- -------------------------------------------------------------------------------
1,000,000 Capital Records, Inc. 144A company
guaranty 8 3/8s, 2009 1,020,000
185,000 Vivendi Universal SA bank term loan
FRN Ser. B, 3.912s, 2008 (acquired
6/23/03, cost $185,000) (France)
(RES) 186,156
--------------
1,206,156
Publishing (4.1%)
- -------------------------------------------------------------------------------
65,741 Affinity Group Holdings bank term
loan FRN Ser. B1, 5.188s,
2009 (acquired 5/27/03, cost
$65,577) (RES) 65,782
164,353 Affinity Group Holdings bank term
loan FRN Ser. B2, 5.152s,
2009 (acquired 5/27/03, cost
$163,942) (RES) 164,455
5,112,000 Affinity Group Holdings sr. notes
11s, 2007 5,239,800
382,963 Dex Media West, LLC bank term loan
FRN 3.917s, 2010 (acquired 9/9/03,
cost $382,963) (RES) 386,474
6,050,000 Dex Media West, LLC 144A sr. notes
8 1/2s, 2010 6,609,625
2,015,000 Dex Media, Inc. 144A disc. notes
zero % (9s, 11/15/08), 2013 (STP) 1,324,863
2,300,000 Dex Media, Inc. 144A notes 8s, 2013 2,340,250
4,491,955 Hollinger Participation Trust 144A
sr. notes 12 1/8s, 2010 (Canada)
(PIK) 5,210,668
184,538 Moore Wallace bank term loan FRN
Ser. B, 3.638s, 2010 (acquired
3/13/03, cost $184,538) (RES) 184,999
3,670,000 PRIMEDIA, Inc. company guaranty
8 7/8s, 2011 3,798,450
2,440,000 PRIMEDIA, Inc. company guaranty
7 5/8s, 2008 2,427,800
3,465,000 PRIMEDIA, Inc. 144A sr. notes 8s,
2013 3,486,656
800,000 Quebecor Media, Inc. sr. disc. notes
stepped-coupon zero % (13 3/4s,
7/15/06), 2011 (Canada) (STP) 700,000
3,480,000 Quebecor Media, Inc. sr. notes
11 1/8s, 2011 (Canada) 4,002,000
510,000 RH Donnelley Finance Corp. I company
guaranty 8 7/8s, 2010 572,475
3,630,000 RH Donnelley Finance Corp. I 144A
sr. notes 8 7/8s, 2010 4,074,675
820,000 RH Donnelley Finance Corp. I 144A
sr. sub. notes 10 7/8s, 2012 968,625
3,595,000 Vertis, Inc. company guaranty
Ser. B, 10 7/8s, 2009 3,684,875
2,930,000 Vertis, Inc. sub. notes 13 1/2s,
2009 2,739,550
1,830,000 Vertis, Inc. 144A sec. notes 9 3/4s,
2009 1,958,100
1,175,000 Videotron Ltee 144A notes 6 7/8s,
2014 (Canada) 1,207,313
6,328,236 Von Hoffman Press, Inc. debs. 13s,
2009 (PIK) 5,663,772
--------------
56,811,207
Restaurants (0.7%)
- -------------------------------------------------------------------------------
1,435,000 Domino's, Inc. 144A sr. sub. notes
8 1/4s, 2011 1,512,131
3,320,000 Sbarro, Inc. company guaranty 11s,
2009 2,573,000
1,480,000 Yum! Brands, Inc. sr. notes 8 7/8s,
2011 1,783,400
1,515,000 Yum! Brands, Inc. sr. notes 7.7s,
2012 1,738,463
2,085,000 Yum! Brands, Inc. sr. notes 7.65s,
2008 2,350,838
--------------
9,957,832
Retail (2.4%)
- -------------------------------------------------------------------------------
123,885 Advance Stores bank term loan FRN
Ser. C, 3.926s, 2007 (acquired
3/4/03, cost $123,885) (RES) 124,581
1,925,000 Asbury Automotive Group, Inc.
company guaranty 9s, 2012 2,026,063
3,925,000 Autonation, Inc. company guaranty
9s, 2008 4,464,688
1,340,000 Gap, Inc. (The) notes 6.9s, 2007 1,479,025
2,310,000 Hollywood Entertainment Corp. sr.
sub. notes 9 5/8s, 2011 2,483,250
1,680,000 J. Crew Operating Corp. 144A sr.
sub. notes 10 3/8s, 2007 1,734,600
4,895,000 JC Penney Co., Inc. debs. 7.95s,
2017 5,433,450
690,000 JC Penney Co., Inc. debs. 7.65s,
2016 755,550
485,000 JC Penney Co., Inc. debs. 7 1/8s,
2023 511,675
1,000,000 JC Penney Co., Inc. notes 9s, 2012 1,190,000
100,000 JC Penney Co., Inc. notes 8s, 2010 114,500
185,000 Rite Aid Corp. bank term loan FRN
4.12s, 2008 (acquired 5/16/03, cost
$184,769) (RES) 187,467
2,180,000 Rite Aid Corp. company guaranty
9 1/2s, 2011 2,452,500
150,000 Rite Aid Corp. debs. 6 7/8s, 2013 142,125
310,000 Rite Aid Corp. notes 7 1/8s, 2007 314,650
730,000 Rite Aid Corp. sec. notes 8 1/8s,
2010 784,750
1,755,000 Rite Aid Corp. sr. notes 9 1/4s,
2013 1,886,625
145,000 Rite Aid Corp. 144A notes 6s, 2005 144,638
4,070,000 Saks, Inc. company guaranty 8 1/4s,
2008 4,609,275
230,000 TM Group Holdings sr. notes 11s,
2008 (United Kingdom) 243,800
1,790,000 United Auto Group, Inc. company
guaranty 9 5/8s, 2012 1,986,900
--------------
33,070,112
Technology (2.4%)
- -------------------------------------------------------------------------------
230,094 Amkor Technologies, Inc. bank term
loan FRN 5.12s, 2006 (acquired
4/17/03, cost 230,397) (RES) 232,730
1,791,000 AMI Semiconductor, Inc. company
guaranty 10 3/4s, 2013 2,135,768
1,425,000 DigitalNet Holdings Inc. 144A sr.
notes 9s, 2010 1,563,938
4,170,000 Iron Mountain, Inc. company guaranty
8 5/8s, 2013 4,534,875
469,000 Iron Mountain, Inc. company guaranty
8 1/8s, 2008 (Canada) 490,105
175,000 Iron Mountain, Inc. sr. sub. notes
8 1/4s, 2011 182,438
310,000 Lucent Technologies, Inc. debs.
6 1/2s, 2028 235,600
4,185,000 Lucent Technologies, Inc. debs.
6.45s, 2029 3,191,063
190,000 Lucent Technologies, Inc. notes
5 1/2s, 2008 173,375
3,025,000 ON Semiconductor Corp. company
guaranty 13s, 2008 3,509,000
3,018,000 SCG Holding & Semiconductor Corp.
company guaranty 12s, 2009 3,244,350
1,570,000 Seagate Technology Hdd Holdings
company guaranty 8s, 2009 (Cayman
Islands) 1,703,450
1,283,746 Telex Communications Group, Inc. sr.
sub. notes Ser. A, zero %, 2006 641,873
1,900,000 Xerox Capital Trust I company
guaranty 8s, 2027 1,757,500
1,565,000 Xerox Corp. notes Ser. MTN, 7.2s,
2016 1,521,963
4,595,000 Xerox Corp. sr. notes 7 5/8s, 2013 4,732,850
3,085,000 Xerox Corp. sr. notes 7 1/8s, 2010 3,177,550
--------------
33,028,428
Textiles (0.7%)
- -------------------------------------------------------------------------------
2,600,000 Galey & Lord, Inc. company guaranty
9 1/8s, 2008 (In default) (NON) 19,500
3,785,000 Levi Strauss & Co. sr. notes
12 1/4s, 2012 2,734,663
1,740,000 Oxford Industries, Inc. 144A sr.
notes 8 7/8s, 2011 1,853,100
2,770,000 Russell Corp. company guaranty
9 1/4s, 2010 2,880,800
1,591,000 William Carter Holdings Co. (The)
company guaranty Ser. B, 10 7/8s,
2011 1,807,774
--------------
9,295,837
Tire & Rubber (0.1%)
- -------------------------------------------------------------------------------
890,000 Goodyear Tire & Rubber Co. (The)
notes 7.857s, 2011 756,500
Tobacco (0.2%)
- -------------------------------------------------------------------------------
3,445,000 North Atlantic Trading Co. company
guaranty Ser. B, 11s, 2004 3,272,750
Transportation (1.9%)
- -------------------------------------------------------------------------------
1,760,000 Allied Holdings, Inc. company
guaranty Ser. B, 8 5/8s, 2007 1,689,600
2,045,000 American Airlines, Inc. pass-through
certificates Ser. 01-1, 6.817s,
2011 1,830,275
305,000 American Airlines, Inc. pass-through
certificates Ser. 99-1, 7.024s,
2009 311,100
111,840 Aran Shipping & Trading SA notes
8.3s, 2004 (Greece) (In default)
(NON) 55,920
4,375,000 Calair, LLC/Calair Capital Corp.
company guaranty 8 1/8s, 2008 3,937,500
1,430,000 Continental Airlines, Inc.
pass-through certificates Ser. D,
7.568s, 2006 1,201,200
1,720,000 Delta Air Lines, Inc. pass-through
certificates Ser. 00-1, 7.779s,
2005 1,562,196
1,060,188 Delta Air Lines, Inc. pass-through
certificates Ser. 02-1, 7.779s,
2012 938,266
2,620,000 Evergreen International Aviation,
Inc. 144A sec. notes 12s, 2010 2,096,000
3,170,000 Kansas City Southern Railway Co.
company guaranty 9 1/2s, 2008 3,554,363
700,000 Kansas City Southern Railway Co.
company guaranty 7 1/2s, 2009 728,000
1,380,000 Navistar International Corp. company
guaranty Ser. B, 9 3/8s, 2006 1,493,850
1,200,000 Navistar International Corp. sr.
notes Ser. B, 8s, 2008 1,224,000
470,000 Northwest Airlines, Inc. company
guaranty 8.52s, 2004 472,350
2,640,000 Northwest Airlines, Inc. company
guaranty 7 5/8s, 2005 2,494,800
281,853 Pacer International, Inc. bank term
loan FRN 3.958s, 2010 (acquired
6/10/03, cost $283,225) (RES) 283,615
900,000 Travel Centers of America, Inc.
company guaranty 12 3/4s, 2009 1,035,000
233,000 United AirLines, Inc. debs. 9 1/8s,
2012 (In default) (NON) 30,290
2,400,452 US Air, Inc. pass-through
certificates Ser. 93-A3,
10 3/8s, 2013 (In default) (NON) 720,136
--------------
25,658,461
Utilities and Power (8.5%)
- -------------------------------------------------------------------------------
2,960,000 AES Corp. (The) 144A sec. notes 9s,
2015 3,226,400
3,055,000 AES Corp. (The) 144A sec. notes
8 3/4s, 2013 3,307,038
3,625,000 Allegheny Energy Supply 144A bonds
8 1/4s, 2012 3,407,500
1,300,000 Allegheny Energy Supply 144A sec.
notes 10 1/4s, 2007 1,345,500
870,000 Allegheny Energy, Inc. notes 7 3/4s,
2005 876,525
1,605,000 Avon Energy Partners Holdings 144A
notes 7.05s, 2007 (United Kingdom) 1,492,650
145,000 Avon Energy Partners Holdings 144A
notes 6.46s, 2008 (United Kingdom) 130,555
7,150,000 Calpine Canada Energy Finance
company guaranty 8 1/2s, 2008
(Canada) 5,273,125
540,000 Calpine Corp. sr. notes 8 3/4s, 2007 429,300
300,000 Calpine Corp. sr. notes 8 5/8s, 2010 218,250
3,093,000 Calpine Corp. sr. notes 7 7/8s, 2008 2,257,890
3,845,000 Calpine Corp. 144A sec. notes
8 1/2s, 2010 3,566,238
1,045,000 CenterPoint Energy Resources Corp.
debs. 6 1/2s, 2008 1,115,261
905,000 CenterPoint Energy Resources Corp.
144A notes 7 7/8s, 2013 1,024,760
610,000 CMS Energy Corp. pass-through
certificates 7s, 2005 619,150
5,430,000 CMS Energy Corp. sr. notes 8.9s,
2008 5,742,225
1,000,000 CMS Energy Corp. sr. notes 8 1/2s,
2011 1,042,500
740,000 CMS Energy Corp. 144A sr. notes
7 3/4s, 2010 756,650
1,200,000 Dynegy Holdings, Inc. sr. notes
6 7/8s, 2011 1,038,000
7,055,000 Dynegy Holdings, Inc. 144A sec.
notes 10 1/8s, 2013 7,778,138
775,000 Dynegy-Roseton Danskamme company
guaranty Ser. A, 7.27s, 2010 767,250
800,000 Dynegy-Roseton Danskamme company
guaranty Ser. B, 7.67s, 2016 728,000
1,230,000 Edison Mission Energy sr. notes 10s,
2008 1,242,300
1,470,000 Edison Mission Energy sr. notes
9 7/8s, 2011 1,484,700
1,300,000 Edison Mission Energy sr. notes
7.73s, 2009 1,209,000
2,695,000 El Paso Corp. sr. notes 7 3/8s, 2012 2,290,750
2,100,000 El Paso Corp. sr. notes Ser. MTN,
7 3/4s, 2032 1,648,500
765,000 El Paso Natural Gas Co. debs.
8 5/8s, 2022 753,525
715,000 El Paso Natural Gas Co. sr. notes
Ser. A, 7 5/8s, 2010 709,638
3,530,000 El Paso Production Holding Co. 144A
sr. notes 7 3/4s, 2013 3,371,150
175,000 Gemstone Investor, Ltd. 144A company
guaranty 7.71s, 2004 175,219
870,000 Kansas Gas & Electric debs. 8.29s,
2016 901,529
2,585,000 Midwest Generation LLC pass-through
certificates Ser. A, 8.3s, 2009 2,636,700
1,535,000 Mirant Americas Generation, Inc. sr.
notes 8.3s, 2011 (In default) (NON) 1,289,400
2,030,000 Mirant Americas Generation, Inc. sr.
notes 7 5/8s, 2006 (In default)
(NON) 1,715,350
1,040,000 Mirant Americas Generation, Inc. sr.
notes 7.2s, 2008 (In default) (NON) 878,800
1,145,000 Mission Energy Holding Co. sec.
notes 13 1/2s, 2008 1,047,675
2,655,000 Nevada Power Co. 144A 2nd mtge. 9s,
2013 2,900,588
189 Northeast Utilities notes Ser. A,
8.58s, 2006 206
1,260,000 Northwest Pipeline Corp. company
guaranty 8 1/8s, 2010 1,395,450
1,350,000 Northwestern Corp. notes 7 7/8s,
2007 (In default) (NON) 1,215,000
2,285,000 Orion Power Holdings, Inc. sr. notes
12s, 2010 2,662,025
1,700,000 Pacific Gas & Electric Co. 144A sr.
notes 10 3/8s, 2005 (In default)
(NON) 1,725,500
3,395,000 PG&E Corp. 144A sec. notes 6 7/8s,
2008 3,615,675
590,000 PG&E Gas Transmission Northwest sr.
notes 7.1s, 2005 601,800
2,290,000 PSEG Energy Holdings, Inc. notes
7 3/4s, 2007 2,361,563
1,855,000 SEMCO Energy, Inc. 144A sr. notes
7 3/4s, 2013 1,929,200
3,970,000 Southern California Edison Co. 1st
mtge. 8s, 2007 4,500,988
445,000 Southern California Edison Co. notes
6 3/8s, 2006 466,138
1,175,000 Teco Energy, Inc. notes 10 1/2s,
2007 1,367,406
680,000 Teco Energy, Inc. notes 7.2s, 2011 704,650
1,840,000 Teco Energy, Inc. notes 7s, 2012 1,883,700
1,465,000 Teco Energy, Inc. sr. notes 7 1/2s,
2010 1,554,731
305,000 Tennessee Gas Pipeline Co. debs. 7s,
2028 280,600
4,065,000 Utilicorp Canada Finance Corp.
company guaranty 7 3/4s, 2011
(Canada) 3,810,938
2,490,000 Western Resources, Inc. sr. notes
9 3/4s, 2007 2,851,822
580,000 Williams Cos., Inc. (The) notes
8 3/4s, 2032 610,450
2,075,000 Williams Cos., Inc. (The) notes
6 1/2s, 2006 2,137,250
2,745,000 Williams Cos., Inc. (The) sr. notes
8 5/8s, 2010 3,036,656
1,430,000 Williams Holdings Of Delaware notes
6 1/2s, 2008 1,451,450
184,538 Williams Products bank term loan FRN
4.9s, 2007 (acquired 6/4/03, cost
$184,538) (RES) 186,614
7,879,287 York Power Funding 144A notes 12s,
2007 (Cayman Islands) (In default)
(NON) 5,515,501
--------------
116,263,042
--------------
Total Corporate bonds and notes
(cost $1,242,782,444) $1,198,737,455
Common stocks (1.8%) (a)
Number of shares Value
- -------------------------------------------------------------------------------
4,279,000 AMRESCO Creditor Trust (acquired
various dates from 5/5/99 to
6/9/00, cost $920,891) (NON) (RES) (R) $119,812
644 Arch Wireless, Inc. Class A (NON) 11,251
8,333 Archibald Candy Corp. (NON) 23,749
1,036,363 Capstar Broadcasting 144A (NON) 1,699,635
2,531 Crown Castle International Corp.
(NON) 31,410
386,788 DigitalGlobe, Inc. 144A (NON) 386,788
74,307 Globix Corp. (NON) 349,243
65,143 Jasper Energy 144A (NON) (AFF) 4,071
603 Leucadia National Corp. 25,628
1,423 Leucadia National Corp. (Rights)
(NON) 14
78,222 Lodgian, Inc. (NON) 488,105
11,200 Mediq, Inc. (NON) 1,120
4,865 Metrocall Holdings, Inc. (NON) 240,818
15,710 Microcell Telecommunications, Inc.
Class B (Canada) (NON) 223,600
356,733 Pioneer Cos., Inc. (NON) 1,872,848
7,072 PSF Group Holdings, Inc. 144A Class
A (NON) (AFF) 11,668,569
798 Quorum Broadcast Holdings, Inc.
Class E (acquired 5/15/03, cost
$796,385) (RES) (NON) 42,785
214,638 Regal Entertainment Group (acquired
5/9/02, cost $1,745,345) (RES) (NON) 4,025,750
6,180,549 VFB LLC (acquired 10/13/00, cost
$5,344,288) (RES) (NON) 1,174,304
17,000 Wayland Investment Fund II (acquired
2/2/01, cost $1,700,000) (RES) (NON) 2,040,000
13,327 York Research Corp. 144A (NON) (AFF) 833
--------------
Total Common stocks
(cost $46,522,405) $24,430,333
Asset-backed securities (1.3%) (a)
Principal amount Value
- -------------------------------------------------------------------------------
$1,805,000 CDO Repackaging Trust Series 144A
Ser. 03-3, Class A, 9.49s, 2008 $1,814,025
785,000 Denali Capital CLO III Ltd. FRN
Ser. B-2L, 9.11s, 2015 (Cayman
Islands) 766,847
1,115,000 Dryden Leveraged Loan CDO 144A FRN
Ser. 03-4A, Class D, 9.89s, 2015 1,115,000
10,000,000 Federal National Mortgage Assn.
notes 1.4s, 2004 10,000,000
1,825,000 Goldentree Loan Opportunities II,
Ltd. 144A FRN Ser. 2A, Class 5A,
9.87s, 2015 (Cayman Islands) 1,825,000
725,000 Octagon Investment Parties VI, Ltd.
FRN Ser. 03-6A, Class B2L, 9.46s,
2016 719,468
1,305,000 Verdi Synthetic CLO 144A Ser. 1A,
Class E2, 11.15s, 2010 1,305,000
--------------
Total Asset-backed securities
(cost $17,527,053) $17,545,340
Foreign government bonds and notes (0.8%) (a)
Principal amount Value
- -------------------------------------------------------------------------------
2,443,000 Bulgaria (Republic of) 144A bonds
8 1/4s, 2015 2,835,102
910,000 Colombia (Republic of) bonds
10 3/8s, 2033 929,565
670,000 Colombia (Republic of) bonds
Ser. NOV, 9 3/4s, 2009 719,580
750,000 Colombia (Republic of) notes
10 3/4s, 2013 828,750
2,580,000 Ecuador (Republic of) bonds
stepped-coupon Ser. REGS, 7s (8s,
8/15/04), 2030 (STP) 1,799,550
1,335,000 Russia (Federation of) unsub.
stepped-coupon 5s (7 1/2s,
3/31/07), 2030 (STP) 1,263,578
2,830,000 United Mexican States bonds
Ser. MTN, 8.3s, 2031 3,120,075
--------------
Total Foreign government bonds and
notes (cost $9,763,933) $11,496,200
Convertible bonds and notes (0.6%) (a)
Principal amount Value
- -------------------------------------------------------------------------------
$465,000 AES Corp. (The) cv. sub. notes
4 1/2s, 2005 $447,563
2,090,000 Amkor Technologies, Inc. cv. notes
5 3/4s, 2006 2,116,125
900,000 CenterPoint Energy, Inc. 144A cv.
sr. notes 3 3/4s, 2023 955,125
13,680,000 Cybernet Internet Services
International, Inc. 144A cv. sr.
disc. notes stepped-coupon zero %
(13s, 8/15/04) 2009 (Denmark) (In
default) (NON) (STP) 13,680
1,040,000 Kulicke & Soffa Industries, Inc. cv.
sub. notes 4 3/4s, 2006 1,063,400
76,000 Millicom International Cellular SA
144A cv. bonds zero %,
2006 (Luxembourg) (PIK) 425,600
2,970,000 Nextel Communications, Inc. cv. sr.
notes 6s, 2011 3,474,900
150,000 Tower Automotive, Inc. cv. sub.
notes 5s, 2004 147,750
--------------
Total Convertible bonds and notes
(cost $18,709,038) $8,644,143
Units (0.5%) (a)
Number of units Value
- -------------------------------------------------------------------------------
4,510,000 HMP Equity Holdings Corp. units zero %,
2008 $2,390,300
10,926 XCL Equity Units zero % (AFF) 4,849,502
--------------
Total Units (cost $19,615,400) $7,239,802
Convertible preferred stocks (0.3%) (a)
Number of shares Value
- -------------------------------------------------------------------------------
589 Paxson Communications Corp. 144A
9.75% cv. pfd. (PIK) $4,770,900
60,914 Telex Communications, Inc. zero %
cv. pfd. (In default) (NON) 60,914
--------------
Total Convertible preferred stocks
(cost $5,909,236) $4,831,814
Preferred stocks (0.2%) (a)
Number of shares Value
- -------------------------------------------------------------------------------
158,301 Avecia Group PLC $4.00 pfd.
(acquired various dates from
6/24/99 to 7/21/03, cost $3,614,967)
(United Kingdom) (RES) (PIK) $2,057,913
16,651 Decrane Aircraft Holdings, Inc.
$16.00 pfd. (PIK) 131,541
232,990 Diva Systems Corp. Ser. C, 6.00%
cum. pfd. 2,330
538,000 Diva Systems Corp. 144A Ser. D, zero %
pfd. 5,380
28 Dobson Communications Corp. 13.00%
pfd. (PIK) 29,680
527 Leiner Health Products Ser. C, zero %
pfd. 1
4,516 Lodgian, Inc. Ser. A, $7.06 cum.
pfd. (PIK) 92,578
587 Metrocall Holdings, Inc. Ser. A,
15.00% cum. pfd. 6,721
38,273 North Atlantic Trading Co. 12.00%
pfd. (PIK) 650,641
--------------
Total Preferred stocks
(cost $16,128,381) $2,976,785
Brady bonds (0.2%) (a)
Principal amount Value
- -------------------------------------------------------------------------------
$1,175,000 Peru (Republic of) bonds Ser. PDI,
5s, 2017 $1,081,000
660,000 Peru (Republic of) coll. FLIRB
4 1/2s, 2017 (acquired 5/14/02
and 8/23/02, cost $440,738) (RES) 574,200
1,300,000 Peru (Republic of) coll. FLIRB Ser.
20YR, 4 1/2s, 2017 1,131,000
--------------
Total Brady bonds (cost $2,332,583) $2,786,200
Warrants (--%) Expiration
Number of warrants date Value
- -------------------------------------------------------------------------------
7,160 Insilco Holding Co. 8/15/08 $1
664 MDP Acquisitions PLC 144A (Ireland) 10/1/13 33,200
2,700 Travel Centers of America, Inc. 144A 5/1/09 27,000
835,000 United Mexican States Ser. B
(Mexico) 6/30/04 7,515
835,000 United Mexican States Ser. C
(Mexico) 6/30/05 2,088
835,000 United Mexican States Ser. D
(Mexico) 6/30/06 1,253
835,000 United Mexican States Ser. E
(Mexico) 6/30/07 501
125,000 ZSC Specialty Chemicals PLC 144A
(United Kingdom) 6/30/11 62,500
125,000 ZSC Specialty Chemicals PLC
(Preferred) 144A (United Kingdom) 6/30/11 93,750
--------------
Total Warrants (cost $297,132) $227,808
Short-term investments (3.9%) (a)
Principal amount Value
- -------------------------------------------------------------------------------
$5,000,000 Federal National Mortgage Assn.
1.34s, September 17, 2004 $4,945,840
8,000,000 Park Granada, LLC 1.1s, December 15,
2003 7,996,578
18,651 Short-term investments held as
collateral for loaned
securities with yields ranging from
1.00% to 1.10% and due dates ranging
from December 1, 2003 to January 16,
2004 (d) 18,645
40,300,574 Short-term investments held in
Putnam commingled cash account with
yields ranging from 1.01% to 1.11%
and due dates ranging from December
1, 2003 to January 23, 2004 (d) 40,300,574
--------------
Total Short-term investments
(cost $53,261,637) $53,261,637
- -------------------------------------------------------------------------------
Total Investments
(cost $1,432,849,242) $1,332,177,517
- -------------------------------------------------------------------------------
(a) Percentages indicated are based on net assets of $1,369,428,217.
(DEF) Security is in default of principal and interest.
(NON) Non-income-producing security.
(STP) The interest or dividend rate and date shown parenthetically
represent the new interest or dividend rate to be paid and the date the
fund will begin accruing interest or dividend income at this rate.
(RES) Restricted, excluding 144A securities, as to public resale. The
total market value of restricted securities held at November 30, 2003
was $41,231,125 or 3.0% of net assets.
(PIK) Income may be received in cash or additional securities at the
discretion of the issuer.
(AFF) Affiliated Companies (Note 5).
(R) Real Estate Investment Trust.
(d) See Note 1 to the financial statements.
144A after the name of a security represents those exempt from
registration under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
FLIRB represents Front Loaded Interest Reduction Bond.
The rates shown on Floating Rate Notes (FRN) are the current interest
rates shown at November 30, 2003.
Forward currency contracts to buy at November 30, 2003
Market Aggregate Delivery Unrealized
value face value date appreciation
- -------------------------------------------------------------------------------
Canadian Dollar $254,239 $253,586 3/17/04 $653
- -------------------------------------------------------------------------------
Forward currency contracts to sell at November 30, 2003
(aggregate face value $9,892,976)
Market Aggregate Delivery Unrealized
value face value date depreciation
- -------------------------------------------------------------------------------
British Pound $964,489 $952,811 3/17/04 $(11,678)
Euro 9,746,019 8,940,165 12/17/03 (805,854)
- -------------------------------------------------------------------------------
$(817,532)
- -------------------------------------------------------------------------------
Interest rate swap contracts outstanding at November 30, 2003
Notional Termination Unrealized
amount date appreciation
- -------------------------------------------------------------------------------
Agreement with Merrill
Lynch Capital Services,
Inc. dated October 27,
2000 to receive
semi-annually the
notional amount
multiplied by 6.74% and
pay quarterly the
notional amount
multiplied by the three
month USD-LIBOR. $34,900,000 10/31/05 $2,919,697
- -------------------------------------------------------------------------------
Total return swap contracts outstanding at November 30, 2003
Notional Termination Unrealized
amount date appreciation
- -------------------------------------------------------------------------------
Agreement with Lehman
Brothers Special
Financing, Inc. dated
June 16, 2003 to receive
(pay) quarterly the
notional amount
multiplied by the return
of the Lehman U.S. High
Yield Index and pay
quarterly the notional
amount multiplied by the
three month USD-LIBOR
adjusted by a specified
spread. $10,004,299 6/1/05 $633,014
Agreement with Lehman
Brothers Special
Financing, Inc. dated
June 27, 2003 to receive
(pay) quarterly the
notional amount
multiplied by the return
of the Lehman U.S. High
Yield Index and pay
quarterly the notional
amount multiplied by the
three month USD-LIBOR
adjusted by a specified
spread. 12,331,936 7/1/04 415,399
Agreement with Lehman
Brothers Special
Financing, Inc. dated
September 30, 2003 to
receive(pay)
semi-annually the
notional amount
multiplied by the total
rate of return of the
Lehman U.S. High Yield
Index and pay
semi-annually the
notional amount
multiplied by the six
month USD-LIBOR
adjusted by a specified
spread. 5,000,193 10/1/04 165,906
- -------------------------------------------------------------------------------
$1,214,319
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial
statements.
Statement of assets and liabilities
November 30, 2003
Assets
- -------------------------------------------------------------------------------
Investments in securities, at value, including $17,967 of
securities on loan (identified cost $1,432,849,242) (Note 1) $1,332,177,517
- -------------------------------------------------------------------------------
Cash 3,563,242
- -------------------------------------------------------------------------------
Dividends, interest and other receivables 28,316,871
- -------------------------------------------------------------------------------
Receivable for shares of the fund sold 2,065,479
- -------------------------------------------------------------------------------
Receivable for securities sold 34,038,157
- -------------------------------------------------------------------------------
Receivable for open swap contracts (Note 1) 4,134,016
- -------------------------------------------------------------------------------
Receivable for open forward currency contracts (Note 1) 653
- -------------------------------------------------------------------------------
Receivable for closed forward currency contracts (Note 1) 58,759
- -------------------------------------------------------------------------------
Total assets 1,404,354,694
Liabilities
- -------------------------------------------------------------------------------
Payable to subcustodian (Note 1) 253,692
- -------------------------------------------------------------------------------
Payable for securities purchased 11,471,538
- -------------------------------------------------------------------------------
Payable for shares of the fund repurchased 18,160,770
- -------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 2,361,700
- -------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 282,698
- -------------------------------------------------------------------------------
Payable for Trustee compensation and expenses (Note 2) 159,311
- -------------------------------------------------------------------------------
Payable for administrative services (Note 2) 1,564
- -------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 693,839
- -------------------------------------------------------------------------------
Payable for open forward currency contracts (Note 1) 817,532
- -------------------------------------------------------------------------------
Payable for closed forward currency contracts (Note 1) 576,619
- -------------------------------------------------------------------------------
Collateral on securities loaned, at value (Note 1) 18,645
- -------------------------------------------------------------------------------
Other accrued expenses 128,569
- -------------------------------------------------------------------------------
Total liabilities 34,926,477
- -------------------------------------------------------------------------------
Net assets $1,369,428,217
Represented by
- -------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $2,676,243,534
- -------------------------------------------------------------------------------
Distributions in excess of net investment income (Note 1) (11,334,049)
- -------------------------------------------------------------------------------
Accumulated net realized loss on investments and foreign
currency transactions (Note 1) (1,198,127,399)
- -------------------------------------------------------------------------------
Net unrealized depreciation of investments and assets and
liabilities in foreign currencies (97,353,869)
- -------------------------------------------------------------------------------
Total -- Representing net assets applicable to capital
shares outstanding $1,369,428,217
Computation of net asset value and offering price
- -------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($507,139,625 divided by 86,274,834 shares) $5.88
- -------------------------------------------------------------------------------
Offering price per class A share (100/95.25 of $5.88)* $6.17
- -------------------------------------------------------------------------------
Net asset value and offering price per class B share
($199,989,716 divided by 34,430,224 shares)** $5.81
- -------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($638,046,117 divided by 108,270,233 shares) $5.89
- -------------------------------------------------------------------------------
Offering price per class M share (100/96.75 of $5.89)* $6.09
- -------------------------------------------------------------------------------
Net asset value, offering price and redemption price per
class Y share ($24,252,759 divided by 4,062,509 shares) $5.97
- -------------------------------------------------------------------------------
* On single retail sales of less than $50,000. On Sales of $50,000 or
more and on group sales, the offering price is reduced.
** Redemption price per share is equal to net asset value less any
applicable contingent deferred sales charge.
The accompanying notes are an integral part of these financial
statements.
Statement of operations
Year ended November 30, 2003
Investment income:
- -------------------------------------------------------------------------------
Interest $129,879,389
- -------------------------------------------------------------------------------
Dividends 8,176,318
- -------------------------------------------------------------------------------
Securities lending 18,168
- -------------------------------------------------------------------------------
Total investment income 138,073,875
Expenses:
- -------------------------------------------------------------------------------
Compensation of Manager (Note 2) 8,855,797
- -------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 1,561,974
- -------------------------------------------------------------------------------
Trustee compensation and expenses (Note 2) 45,246
- -------------------------------------------------------------------------------
Administrative services (Note 2) 22,621
- -------------------------------------------------------------------------------
Distribution fees -- Class A (Note 2) 1,275,552
- -------------------------------------------------------------------------------
Distribution fees -- Class B (Note 2) 2,406,105
- -------------------------------------------------------------------------------
Distribution fees -- Class M (Note 2) 3,288,133
- -------------------------------------------------------------------------------
Other 738,634
- -------------------------------------------------------------------------------
Total expenses 18,194,062
- -------------------------------------------------------------------------------
Expense reduction (Note 2) (23,664)
- -------------------------------------------------------------------------------
Net expenses 18,170,398
- -------------------------------------------------------------------------------
Net investment income 119,903,477
- -------------------------------------------------------------------------------
Net realized loss on investments (including net realized
loss of $4,356,214 on sales of investments in affiliated
issuers) (Notes 1, 3 and 5) (97,163,581)
- -------------------------------------------------------------------------------
Net realized gain on swap contracts (Note 1) 532,695
- -------------------------------------------------------------------------------
Net realized gain on futures contracts (Note 1) 1,124
- -------------------------------------------------------------------------------
Net realized loss on foreign currency transactions (Note 1) (442,246)
- -------------------------------------------------------------------------------
Net unrealized depreciation of assets and liabilities in
foreign currencies during the year (824,376)
- -------------------------------------------------------------------------------
Net unrealized appreciation of investments, futures
contracts and swap contracts during the year 287,033,613
- -------------------------------------------------------------------------------
Net gain on investments 189,137,229
- -------------------------------------------------------------------------------
Net increase in net assets resulting from operations $309,040,706
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial
statements.
Statement of changes in net assets
Year ended November 30
Increase (decrease) in net assets 2003 2002
- -------------------------------------------------------------------------------
Operations:
- -------------------------------------------------------------------------------
Net investment income $119,903,477 $144,208,571
- -------------------------------------------------------------------------------
Net realized loss on investments and foreign
currency transactions (97,072,008) (300,385,610)
- -------------------------------------------------------------------------------
Net unrealized appreciation of investments
and assets and liabilities in foreign
currencies 286,209,237 133,706,285
- -------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations 309,040,706 (22,470,754)
- -------------------------------------------------------------------------------
Distributions to shareholders: (Note 1)
From net investment income
Class A (46,294,044) (53,227,954)
- -------------------------------------------------------------------------------
Class B (20,604,626) (31,292,702)
- -------------------------------------------------------------------------------
Class M (58,221,075) (62,513,216)
- -------------------------------------------------------------------------------
Class Y (1,913,562) (1,731,707)
- -------------------------------------------------------------------------------
From return of capital
Class A -- (3,038,726)
- -------------------------------------------------------------------------------
Class B -- (1,786,466)
- -------------------------------------------------------------------------------
Class M -- (3,568,811)
- -------------------------------------------------------------------------------
Class Y -- (98,861)
- -------------------------------------------------------------------------------
Decrease from capital share transactions
(Note 4) (83,475,786) (192,714,951)
- -------------------------------------------------------------------------------
Total increase (decrease) in net assets 98,531,613 (372,444,148)
Net assets
- -------------------------------------------------------------------------------
Beginning of year 1,270,896,604 1,643,340,752
- -------------------------------------------------------------------------------
End of year (including distributions in
excess of net investment income of
$11,334,049 and $16,120,064, respectively) $1,369,428,217 $1,270,896,604
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial
statements.
Financial highlights
(For a common share outstanding throughout the period)
CLASS A
- ---------------------------------------------------------------------------------------------------------------
Per-share Year ended November 30
operating performance 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $5.17 $5.84 $6.30 $7.72 $8.35
- ---------------------------------------------------------------------------------------------------------------
Investment operations:
- ---------------------------------------------------------------------------------------------------------------
Net investment income (a) .48 .56 .68 .81 .80
- ---------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .73 (.62) (.40) (1.41) (.57)
- ---------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.21 (.06) .28 (.60) .23
- ---------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------
From net
investment income (.50) (.58) (.71) (.82) (.83)
- ---------------------------------------------------------------------------------------------------------------
From return of capital -- (.03) (.03) -- (.03)
- ---------------------------------------------------------------------------------------------------------------
Total distributions (.50) (.61) (.74) (.82) (.86)
- ---------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $5.88 $5.17 $5.84 $6.30 $7.72
- ---------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(b) 24.65 (0.93) 4.46 (8.69) 2.89
- ---------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $507,140 $462,586 $561,101 $625,449 $956,094
- ---------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) 1.03 1.03 1.00 .95 .95
- ---------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 8.61 10.35 11.01 10.96 9.99
- ---------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 78.78 60.35 81.23 68.37 49.29
- ---------------------------------------------------------------------------------------------------------------
(a) Per share net investment income 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 arrangements (Note 2).
The accompanying notes are an integral part of these financial
statements.
Financial highlights
(For a common share outstanding throughout the period)
CLASS B
- ---------------------------------------------------------------------------------------------------------------
Per-share Year ended November 30
operating performance 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $5.12 $5.79 $6.27 $7.68 $8.32
- ---------------------------------------------------------------------------------------------------------------
Investment operations:
- ---------------------------------------------------------------------------------------------------------------
Net investment income (a) .43 .52 .63 .75 .74
- ---------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .72 (.62) (.42) (1.39) (.58)
- ---------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.15 (.10) .21 (.64) .16
- ---------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------
From net
investment income (.46) (.54) (.66) (.77) (.77)
- ---------------------------------------------------------------------------------------------------------------
From return of capital -- (.03) (.03) -- (.03)
- ---------------------------------------------------------------------------------------------------------------
Total distributions (.46) (.57) (.69) (.77) (.80)
- ---------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $5.81 $5.12 $5.79 $6.27 $7.68
- ---------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(b) 23.56 (1.71) 3.35 (9.29) 1.98
- ---------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $199,990 $258,113 $372,989 $482,280 $791,036
- ---------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) 1.78 1.78 1.75 1.70 1.70
- ---------------------------------------------------------------------------------------------------------------
Ratio of net investment inco
to average net assets (%) 7.94 9.58 10.27 10.20 9.24
- ---------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 78.78 60.35 81.23 68.37 49.29
- ---------------------------------------------------------------------------------------------------------------
(a) Per share net investment income 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 arrangements (Note 2).
The accompanying notes are an integral part of these financial
statements.
Financial highlights
(For a common share outstanding throughout the period)
CLASS M
- ---------------------------------------------------------------------------------------------------------------
Per-share Year ended November 30
operating performance 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $5.18 $5.85 $6.29 $7.71 $8.34
- ---------------------------------------------------------------------------------------------------------------
Investment operations:
- ---------------------------------------------------------------------------------------------------------------
Net investment income (a) .47 .55 .67 .79 .79
- ---------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .73 (.62) (.38) (1.40) (.57)
- ---------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.20 (.07) .29 (.61) .22
- ---------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------
From net
investment income (.49) (.57) (.70) (.81) (.82)
- ---------------------------------------------------------------------------------------------------------------
From return of capital -- (.03) (.03) -- (.03)
- ---------------------------------------------------------------------------------------------------------------
Total distributions (.49) (.60) (.73) (.81) (.85)
- ---------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $5.89 $5.18 $5.85 $6.29 $7.71
- ---------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(b) 24.32 (1.15) 4.59 (8.92) 2.66
- ---------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $638,046 $534,636 $693,973 $534,387 $826,257
- ---------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) 1.28 1.28 1.25 1.20 1.20
- ---------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 8.34 10.10 10.75 10.71 9.72
- ---------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 78.78 60.35 81.23 68.37 49.29
- ---------------------------------------------------------------------------------------------------------------
(a) Per share net investment income 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 arrangements (Note 2).
The accompanying notes are an integral part of these financial
statements.
Financial highlights
(For a common share outstanding throughout the period)
CLASS Y
- ---------------------------------------------------------------------------------------------------------------------
For the period
Dec. 31, 1998+
Per-share Year ended November 30 to Nov. 30
operating performance 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $5.23 $5.88 $6.32 $7.72 $8.19
- ---------------------------------------------------------------------------------------------------------------------
Investment operations:
- ---------------------------------------------------------------------------------------------------------------------
Net investment income (a) .50 .59 .68 .84 .74
- ---------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .76 (.62) (.37) (1.40) (.41)
- ---------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.26 (.03) .31 (.56) .33
- ---------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------
From net
investment income (.52) (.59) (.72) (.84) (.77)
- ---------------------------------------------------------------------------------------------------------------------
From return of capital -- (.03) (.03) -- (.03)
- ---------------------------------------------------------------------------------------------------------------------
Total distributions (.52) (.62) (.75) (.84) (.80)
- ---------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $5.97 $5.23 $5.88 $6.32 $7.72
- ---------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(b) 25.21 (0.36) 4.97 (8.20) 4.15*
- ---------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $24,253 $15,562 $15,278 $7,122 $9,090
- ---------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) .78 .78 .75 .70 .64*
- ---------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 8.83 10.60 11.33 11.30 9.54*
- ---------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 78.78 60.35 81.23 68.37 49.29
- ---------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Per share net investment income 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 arrangements (Note 2).
The accompanying notes are an integral part of these financial
statements.
Notes to financial statements
November 30, 2003
Note 1
Significant accounting policies
Putnam High Yield Advantage Fund (the "fund") is registered under the
Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company. The fund seeks high current income primarily
through a diversified portfolio of high-yielding, lower-rated corporate
bonds. These securities may have a higher rate of default due to the nature
of the investments. Capital growth is a secondary objective when consistent
with the objective of high current income.
The fund offers class A, class B, class M and class Y shares. Class A shares
are sold with a maximum front-end sales charge of 4.75%. Class B shares,
which convert to class A shares after approximately eight years, do not pay
a front-end sales charge but pay a higher ongoing distribution fee than
class A and class M shares, and are subject to a contingent deferred sales
charge, if those shares are redeemed within six years of purchase. Class M
shares are sold with a maximum front end sales charge of 3.25% and pay an
ongoing distribution fee that is higher than class A shares but lower than
class B shares. Class Y shares, which are sold at net asset value, are
generally subject to the same expenses as class A, class B, and class M
shares, but do not bear a distribution fee. Class Y shares are sold to
certain eligible purchasers including certain defined contribution plans
(including corporate IRAs), certain college savings plans, bank trust
departments, and trust companies.
Effective December 1, 2003, a redemption fee of 1.00%, which is retained
by the fund, may apply to shares of any class redeemed (either by
selling or exchanging to another fund) within 90 days of purchase.
Expenses of the fund are borne pro-rata by the holders of each class of
shares, except that each class bears expenses unique to that class
(including the distribution fees applicable to such class). 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. Shares of each class would receive their pro-rata share of the
net assets of the fund, if the fund were liquidated. In addition, the
Trustees declare separate dividends on each class of shares.
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 during the reporting period. Actual results could
differ from those estimates.
A) 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. If no sales are
reported -- as in the case of some securities traded over-the-counter -- a
security is valued at its last reported bid price. For foreign investments,
if trading or events occurring in other markets after the close of the
principal exchange in which the foreign investments are traded are expected
to materially affect the value of the investments, then those investments
are valued, taking into consideration these events, at their fair value
following procedures approved by the Trustees. Securities quoted in foreign
currencies are translated into U.S. dollars at the current exchange rate.
Short-term investments having remaining maturities of 60 days or less are
valued at amortized cost, which approximates fair value. Other investments,
including restricted securities, are valued at fair value following
procedures approved by the Trustees. Market quotations are not considered to
be readily available for certain debt obligations; such investments are
valued at fair value on the basis of valuations furnished by an independent
pricing service or dealers, approved by the Trustees. Such services or
dealers determine valuations for normal institutional-size trading units of
such securities using methods based on market transactions for comparable
securities and various relationships, generally recognized by institutional
traders, between securities.
B) Joint trading account The fund may transfer uninvested cash balances,
including cash collateral received under security lending arrangements,
into a joint trading account along with the cash of other registered
investment companies and certain other accounts managed by Putnam
Investment Management, LLC ("Putnam Management"), the fund's manager, an
indirect wholly-owned subsidiary of Putnam, LLC. These balances may be
invested in issuers of high-grade short-term investments having
maturities of up to 397 days for collateral received under security
lending arrangements and up to 90 days for other cash investments.
C) Security transactions and related investment income Security
transactions are recorded on the trade date (date the order to buy or
sell is executed). Gains or losses on securities sold are determined on
the identified cost basis.
Interest income is recorded on the accrual basis. Dividend income is
recognized on the ex-dividend date, except that certain dividends from
foreign securities are recognized as soon as the fund is informed of the
ex-dividend date. Non-cash dividends, if any, are recorded at the fair
market value of the securities received. All premiums/ discounts are
amortized /accreted on a yield-to-maturity basis.
D) Foreign currency translation The accounting records of the fund are
maintained in U.S. dollars. The market value of foreign securities,
currency holdings, and other assets and liabilities are recorded in the
books and records of the fund after translation to U.S. dollars based on
the exchange rates on that day. The cost of each security is determined
using historical exchange rates. Income and withholding taxes are
translated at prevailing exchange rates when earned or incurred. The
fund does not isolate that portion of realized or unrealized gains or
losses resulting from changes in the foreign exchange rate on
investments from fluctuations arising from changes in the market prices
of the securities. Such gains and losses are included with the net
realized and unrealized gain or loss on 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. Investments in
foreign securities involve certain risks, including those related to
economic instability, unfavorable political developments, and currency
fluctuations, not present with domestic investments.
E) Forward currency contracts The fund may buy and sell forward currency
contracts, which are agreements between two parties to buy and sell
currencies at a set price on a future date. These contracts are used to
protect against a decline in value relative to the U.S. dollar of the
currencies in which its portfolio securities are denominated or quoted (or
an increase in the value of a currency in which securities a fund intends to
buy are denominated, when a fund holds cash reserves and short term
investments). The U.S. dollar value of forward currency contracts is
determined using current forward currency exchange rates supplied by a
quotation service. The market value of the contract will fluctuate with
changes in currency exchange rates. The contract is marked to market daily
and the change in market value is recorded as an unrealized gain or loss.
When the contract is closed, the fund records a realized gain or loss equal
to the difference between the value of the contract at the time it was
opened and the value at the time it was closed. The fund could be exposed to
risk if the value of the currency changes unfavorably, if the counterparties
to the contracts are unable to meet the terms of their contracts or if the
fund is unable to enter into a closing position. Forward currency contracts
outstanding at period end are listed after The fund's portfolio.
F) Futures and options contracts The fund may use futures and options
contracts to hedge against changes in the values of securities the fund owns
or expects to purchase. The fund may also write options on securities it
owns or in which it may invest to increase its current returns.
The potential risk to the fund is that the change in value of futures
and options contracts may not correspond to the change in value of the
hedged instruments. In addition, losses may arise from changes in the
value of the underlying instruments, if there is an illiquid secondary
market for the contracts, or if the counterparty to the contract is
unable to perform. When the contract is closed, the fund records a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was
closed. Realized gains and losses on purchased options are included in
realized gains and losses on investment securities.
Futures contracts are valued at the quoted daily settlement prices
established by the exchange on which they trade. The fund and the broker
agree to exchange an amount of cash equal to the daily fluctuation in
the value of the futures contract. Such receipts or payments are known
as "variation margin." Exchange traded options are valued at the last
sale price, or if no sales are reported, the last bid price for
purchased options and the last ask price for written options. Options
traded over-the-counter are valued using prices supplied by dealers.
Futures and written option contracts outstanding at period end are
listed after The fund's portfolio.
G) Total return swap contracts The fund may enter into total return swap
contracts, which are arrangements to exchange a market linked return for
an interest payment, both based on a notional principal amount. To the
extent that the total return of the security or index underlying the
transaction exceeds or falls short of the offsetting interest rate
obligation, the fund will receive a payment from or make a payment to
the counterparty, respectively. Total return swap contracts are marked
to market daily based upon quotations from market makers and the change,
if any, is recorded as unrealized gain or loss. Payments received or
made at the end of the measurement period are recorded as realized gains
or losses. The fund could be exposed to credit or market risk due to
unfavorable changes in the fluctuation of interest rates or in the price
of the underlying security or index, the possibility that there is no
liquid market for these agreements or that the counterparty may default
on its obligation to perform. Total return swap contracts outstanding at
period end are listed after The fund's portfolio.
H) Interest rate swap contracts The fund may enter into interest rate
swap contracts, which are arrangements between two parties to exchange
cash flows based on a notional principal amount, to manage the fund's
exposure to interest rates. Interest rate swap contracts are marked to
market daily based upon quotations from market makers and the change, if
any, is recorded as unrealized gain or loss. Payments made or received
are recognized as part of interest income. A portion of the payments
received or made upon early termination are recognized as realized gain
or loss. The fund could be exposed to credit or market risk due to
unfavorable changes in the fluctuation of interest rates or if the
counterparty defaults on its obligation to perform. Interest rate swap
contracts outstanding at period end are listed after The fund's
portfolio.
I) Security lending The fund may lend securities, through its agents, to
qualified borrowers in order to earn additional income. The loans are
collateralized by cash and/or securities in an amount at least equal to the
market value of the securities loaned. The market value of securities loaned
is determined daily and any additional required collateral is allocated to
the fund on the next business day. The risk of borrower default will be
borne by the fund's agents; the fund will bear the risk of loss with respect
to the investment of the cash collateral. Income from securities lending is
included in investment income on the Statement of operations. At November
30, 2003, the value of securities loaned amounted to $17,967. The fund
received cash collateral of $18,645, which is pooled with collateral of
other Putnam funds into 32 issuers of high grade short-term investments.
J) Line of credit During the period, the fund was entered into a committed
line of credit with certain banks. The line of credit agreement included
restrictions that the fund maintain an asset coverage ratio of at least 300%
and borrowings must not exceed prospectus limitations. For the period ended
August 6, 2003, the fund had no borrowings against the line of credit.
Effective August 6, 2003, the fund no longer participated in a committed
line of credit.
K) Federal taxes It is the policy of the fund to distribute all of its
taxable income within the prescribed time and otherwise comply with the
provisions of the Internal Revenue 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 Internal Revenue Code of 1986, as amended. Therefore, 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.
At November 30, 2003, the fund had a capital loss carryover of
$1,195,969,270 available to the extent allowed by tax law to offset
future capital gains, if any. The amount of the carryover and the
expiration dates are:
Loss Carryover Expiration
- ----------------------------------
$299,611,582 November 30, 2007
217,396,296 November 30, 2008
265,227,969 November 30, 2009
309,407,794 November 30, 2010
104,325,629 November 30, 2011
K) Distributions to shareholders Distributions to shareholders from net
investment income are recorded by the fund on the ex-dividend date.
Distributions from capital gains, if any, are recorded on the ex-dividend
date and paid at least annually. The amount and character of income and
gains to be distributed are determined in accordance with income tax
regulations, which may differ from generally accepted accounting principles.
These differences include temporary and permanent differences of losses on
wash sale transactions, foreign currency gains and losses, the expiration of
a capital loss carryover, defaulted bond interest, unrealized and realized
gains and losses on certain futures contracts, interest on payment-in-kind
securities, and income on swap contracts. Reclassifications are made to the
fund's capital accounts to reflect income and gains available for
distribution (or available capital loss carryovers) under income tax
regulations. For the year ended November 30, 2003, the fund reclassified
$11,915,845 to decrease distributions in excess of net investment income and
$41,091,661 to decrease paid-in-capital, with a decrease to accumulated net
realized losses of $29,175,816.
The tax basis components of distributable earnings and the federal tax
cost as of period end were as follows:
Unrealized appreciation $78,442,894
Unrealized depreciation (189,473,914)
------------
Net unrealized depreciation (111,031,020)
Undistributed ordinary income 236,388
Capital loss carryforward (1,195,969,270)
Cost for federal income
tax purposes $1,443,208,537
Note 2
Management fee, administrative
services and other transactions
Putnam Management is paid for management and investment advisory
services quarterly based on the average net assets of the fund. Such fee
is based on the following annual rates: 0.70% of the first $500 million
of average net assets, 0.60% of the next $500 million, 0.55% of the next
$500 million, 0.50% of the next $5 billion, 0.475% of the next $5
billion, 0.455% of the next $5 billion, 0.44% of the next $5 billion,
and 0.43% thereafter.
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 Putnam
Fiduciary Trust Company (PFTC), a subsidiary of Putnam, LLC. Investor
servicing agent functions are provided by Putnam Investor Services, a
division of PFTC.
The fund has entered into an arrangement with PFTC whereby credits
realized as a result of uninvested cash balances are used to reduce a
portion of the fund's expenses. For the year ended November 30, 2003,
the fund's expenses were reduced by $23,664 under these arrangements.
Each independent Trustee of the fund receives an annual Trustee fee, of
which $2,015 has been allocated to the fund, and an additional fee for
each Trustees meeting attended. Trustees receive additional fees for
attendance at certain committee meetings.
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. Benefits under the Pension
Plan are equal to 50% of the Trustee's average total retainer and
meeting fees for the three years preceding retirement. 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 fund has adopted distribution plans (the "Plans") with respect to its
class A, class B and class M shares pursuant to rule 12b-1 under the
Investment Company Act of 1940. The purpose of the Plans is to compensate
Putnam Retail Management, a wholly-owned subsidiary of Putnam, LLC and
Putnam Retail Management GP, Inc., for services provided and expenses
incurred by it in distributing shares of the fund. The Plans provide for
payments by the fund to Putnam Retail Management at annual rates up to
0.35%, 1.00% and 1.00% of the average net assets attributable to class A,
class B and class M shares, respectively. The Trustees have approved payment
by the fund at the annual rates of 0.25%, 1.00% and 0.50% of the average net
assets attributable to class A, class B and class M shares, respectively.
For the year ended November 30, 2003, Putnam Retail Management, acting as
underwriter, received net commissions of $34,544 and $297 from the sale of
class A and class M shares, respectively and $182,517 in contingent deferred
sales charges from redemptions of class B shares. 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 year ended November 30, 2003, Putnam
Retail Management, acting as underwriter, received $727 and no monies on
class A and class M redemptions, respectively.
Note 3
Purchases and sales of securities
During the year ended November 30, 2003, cost of purchases and proceeds
from sales of investment securities other than short-term investments
aggregated $1,058,832,529 and $1,215,591,147, respectively. There were
no purchases and sales of U.S. government obligations.
Note 4
Capital shares
At November 30, 2003, there was an unlimited number of shares of
beneficial interest authorized. Transactions in capital shares were as
follows:
Year ended November 30, 2003
- ----------------------------------------------------------------
Class A Shares Amount
- ----------------------------------------------------------------
Shares sold 28,188,329 $157,328,392
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 5,513,070 30,232,108
- ----------------------------------------------------------------
33,701,399 187,560,500
Shares repurchased (36,917,620) (207,771,318)
- ----------------------------------------------------------------
Net decrease (3,216,221) $(20,210,818)
- ----------------------------------------------------------------
Year ended November 30, 2002
- ----------------------------------------------------------------
Class A Shares Amount
- ----------------------------------------------------------------
Shares sold 16,950,525 $91,521,096
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 6,659,050 36,085,304
- ----------------------------------------------------------------
23,609,575 127,606,400
Shares repurchased (30,242,801) (164,742,461)
- ----------------------------------------------------------------
Net decrease (6,633,226) $(37,136,061)
- ----------------------------------------------------------------
Year ended November 30, 2003
- ----------------------------------------------------------------
Class B Shares Amount
- ----------------------------------------------------------------
Shares sold 1,626,969 $8,822,699
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 2,165,044 11,693,609
- ----------------------------------------------------------------
3,792,013 20,516,308
Shares repurchased (19,796,484) (109,110,360)
- ----------------------------------------------------------------
Net decrease (16,004,471) $(88,594,052)
- ----------------------------------------------------------------
Year ended November 30, 2002
- ----------------------------------------------------------------
Class B Shares Amount
- ----------------------------------------------------------------
Shares sold 2,330,456 $13,003,095
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 3,145,330 16,686,072
- ----------------------------------------------------------------
5,475,786 29,689,167
Shares repurchased (19,433,779) (104,521,662)
- ----------------------------------------------------------------
Net decrease (13,957,993) $(74,832,495)
- ----------------------------------------------------------------
Year ended November 30, 2003
- ----------------------------------------------------------------
Class M Shares Amount
- ----------------------------------------------------------------
Shares sold 56,328,086 $310,148,376
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 182,088 999,029
- ----------------------------------------------------------------
56,510,174 311,147,405
Shares repurchased (51,535,585) (291,712,357)
- ----------------------------------------------------------------
Net increase 4,974,589 $19,435,048
- ----------------------------------------------------------------
Year ended November 30, 2002
- ----------------------------------------------------------------
Class M Shares Amount
- ----------------------------------------------------------------
Shares sold 22,647,781 $119,525,107
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 261,861 1,425,379
- ----------------------------------------------------------------
22,909,642 120,950,486
Shares repurchased (38,248,542) (203,987,244)
- ----------------------------------------------------------------
Net decrease (15,338,900) $(83,036,758)
- ----------------------------------------------------------------
Year ended November 30, 2003
- ----------------------------------------------------------------
Class Y Shares Amount
- ----------------------------------------------------------------
Shares sold 2,340,522 $12,994,936
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 340,829 1,913,562
- ----------------------------------------------------------------
2,681,351 14,908,498
Shares repurchased (1,593,438) (9,014,462)
- ----------------------------------------------------------------
Net increase 1,087,913 $5,894,036
- ----------------------------------------------------------------
Year ended November 30, 2002
- ----------------------------------------------------------------
Class Y Shares Amount
- ----------------------------------------------------------------
Shares sold 1,235,425 $6,900,480
- ----------------------------------------------------------------
Shares issued in
connection with
reinvestment
of distributions 333,612 1,830,568
- ----------------------------------------------------------------
1,569,037 8,731,048
Shares repurchased (1,190,896) (6,440,685)
- ----------------------------------------------------------------
Net increase 378,141 $2,290,363
- ----------------------------------------------------------------
Note 5
Transactions with affiliated issuers
Transactions during the period with companies in which the fund owned at
least 5% of the voting securities were as follows:
Name of Purchase Sales Dividend Market
affiliate cost cost income value
- ----------------------------------------------------------------------------------------------------
Jasper Energy 144A Class A -- -- -- $4,071
PSF Holdings, Inc. 144A Class -- -- -- 11,668,569
Safety Components, Intl., Inc -- 4,338,786 -- --
XCL Equity Units. 17,289,640 -- -- 4,849,502
York Research Corp. 144A -- -- -- 833
- ----------------------------------------------------------------------------------------------------
Totals $17,289,640 $4,338,786 $-- $16,522,975
- ----------------------------------------------------------------------------------------------------
Market values are shown for these securities affiliated at period end.
Note 6
Regulatory matters and litigation
On November 13, 2003, Putnam Management agreed to entry of an order by the
Securities and Exchange Commission (SEC) in partial resolution of
administrative and cease-and-desist proceedings initiated by the SEC on
October 28, 2003 in connection with alleged excessive short-term trading by
at least six Putnam Management investment professionals. The SEC's findings
reflect that four of those employees engaged in such trading in funds over
which they had investment decision-making responsibility and had access to
non-public information regarding, among other things, current portfolio
holdings, and valuations. The six individuals are no longer employed by
Putnam Management. Under the order, Putnam Management will make restitution
for losses attributable to excessive short-term trading by Putnam employees,
institute new employee trading restrictions and enhanced employee trading
compliance, retain an independent compliance consultant, and take other
remedial actions. Putnam Management neither admitted nor denied the order's
findings, which included findings that Putnam Management willfully violated
provisions of the federal securities laws. A civil monetary penalty and
other monetary relief, if any, will be determined at a later date. If a
hearing is necessary to determine the amounts of such penalty or other
relief, Putnam Management will be precluded from arguing that it did not
violate the federal securities laws in the manner described in the SEC
order, the findings set forth in the SEC order will be accepted as true by
the hearing officer and additional evidence may be presented. Putnam
Management, and not the investors in any Putnam fund, will bear all costs,
including restitution, civil penalties and associated legal fees.
Administrative proceedings instituted by the Commonwealth of Massachusetts
on October 28, 2003 against Putnam Management in connection with alleged
market timing activities by Putnam employees and by participants in some
Putnam-administered 401(k) plans are pending. Putnam Management has
committed to make complete restitution for any losses suffered by Putnam
shareholders as a result of any improper market-timing activities by Putnam
employees or within Putnam-administered 401(k) plans.
The SEC's and Commonwealth's allegations and related matters also serve as
the general basis for numerous lawsuits, including purported class action
lawsuits filed against Putnam Management and certain related parties,
including certain Putnam funds. Putnam Management has agreed to bear any
costs incurred by Putnam funds in connection with these lawsuits. Based on
currently available information, Putnam Management believes that the
likelihood that the pending private lawsuits and purported class action
lawsuits will have a material adverse financial impact on the fund is
remote, and the pending actions are not likely to materially affect its
ability to provide investment management services to its clients, including
the Putnam funds.
Review of these matters by counsel for Putnam Management and by separate
independent counsel for the Putnam funds and their independent Trustees
is continuing. In addition, Marsh & McLennan Companies, Inc., Putnam
Management's parent company, has engaged counsel to conduct a separate
review of Putnam Management's policies and controls related to
short-term trading. The fund may experience increased redemptions as a
result of these matters, which could result in increased transaction
costs and operating expenses.
- -----------------------------------------------------------------------------
Federal tax information
(Unaudited)
The fund has designated 4.90% of the distributions from net investment
income as qualifying for the dividends received deduction for corporations.
For its tax year ended November 30, 2003, the fund hereby designates
3.97% or the maximum amount allowable, of its net taxable income as
qualified dividends taxed at individual net capital gain rates.
The Form 1099 you receive in January 2004 will show the tax status of
all distributions paid to your account in calendar 2003.
About the Trustees
Jameson A. Baxter (9/6/43), Trustee since 1994
Ms. Baxter is the President of Baxter Associates, Inc., a private
investment firm that she founded in 1986.
Ms. Baxter serves as a Director of ASHTA Chemicals, Inc., Banta Corporation
(a printing and digital imaging firm), Ryerson Tull, Inc. (a steel service
corporation), Advocate Health Care, and BoardSource, formerly the National
Center for Nonprofit Boards. She is Chairman Emeritus of the Board of
Trustees, Mount Holyoke College, having served as Chairman for five years
and as a board member for thirteen years. Until 2002, Ms. Baxter was a
Director of Intermatic Corporation (a manufacturer of energy control
products).
Ms. Baxter has held various positions in investment banking and
corporate finance, including Vice President and Principal of the Regency
Group, and Vice President of and Consultant to First Boston Corporation.
She is a graduate of Mount Holyoke College.
Charles B. Curtis (4/27/40), Trustee since 2001
Mr. Curtis is President and Chief Operating Officer of the Nuclear
Threat Initiative (a private foundation dealing with national security
issues) and serves as Senior Advisor to the United Nations Foundation.
Mr. Curtis is a member of the Council on Foreign Relations and the
Trustee Advisory Council of the Applied Physics Laboratory, Johns
Hopkins University. Until 2003, Mr. Curtis was a member of the Electric
Power Research Institute Advisory Council and the University of Chicago
Board of Governors for Argonne National Laboratory. Prior to 2002, Mr.
Curtis was a Member of the Board of Directors of the Gas Technology
Institute and the Board of Directors of the Environment and Natural
Resources Program Steering Committee, John F. Kennedy School of
Government, Harvard University. Until 2001, Mr. Curtis was a member of
the Department of Defense Policy Board and Director of EG&G Technical
Services, Inc. (a fossil energy research and development support
company).
Prior to May 1997, Mr. Curtis was Deputy Secretary of Energy. He served
as Chairman of the Federal Energy Regulatory Commission from 1977 to
1981 and has held positions on the staff of the U.S. House of
Representatives, the U.S. Treasury Department, and the Securities and
Exchange Commission.
John A. Hill (1/31/42), Trustee since 1985 and Chairman since 2000
Mr. Hill is Vice Chairman and Managing Director of First Reserve
Corporation, a private equity buyout firm that specializes in energy
investments in the diversified worldwide energy industry.
Mr. Hill is a Director of Devon Energy Corporation, TransMontaigne Oil
Company, Continuum Health Partners of New York, and various private
companies controlled by First Reserve Corporation, as well as a Trustee
of TH Lee Putnam Investment Trust (a closed-end investment company). He
is also a Trustee of Sarah Lawrence College.
Prior to acquiring First Reserve Corporation in 1983, Mr. Hill held
executive positions in investment banking and investment management with
several firms and with the federal government, including Deputy
Associate Director of the Office of Management and Budget, and Deputy
Director of the Federal Energy Administration. He is active in various
business associations, including the Economic Club of New York, and
lectures on energy issues in the United States and Europe. Mr. Hill
holds a B.A. degree in Economics from Southern Methodist University and
pursued graduate studies there as a Woodrow Wilson Fellow.
Ronald J. Jackson (12/17/43), Trustee since 1996
Mr. Jackson is a private investor.
Mr. Jackson is President of the Kathleen and Ronald J. Jackson
Foundation (a charitable trust). He is also a member of the Board of
Overseers of WGBH (a public television and radio station) as well as a
member of the Board of Overseers of the Peabody Essex Museum.
Mr. Jackson is the former Chairman, President, and Chief Executive Officer
of Fisher-Price, Inc. (a major toy manufacturer), from which he retired in
1993. He previously served as President and Chief Executive Officer of
Stride-Rite, Inc. (a manufacturer and distributor of footwear) and of Kenner
Parker Toys, Inc. (a major toy and game manufacturer). Mr. Jackson was
President of Talbots, Inc. (a distributor of women's apparel) and has held
financial and marketing positions with General Mills, Inc. and Parker
Brothers (a toy and game company). Mr. Jackson is a graduate of the
University of Michigan Business School.
Paul L. Joskow (6/30/47), Trustee since 1997
Dr. Joskow is the Elizabeth and James Killian Professor of Economics and
Management, and Director of the Center for Energy and Environmental
Policy Research at the Massachusetts Institute of Technology.
Dr. Joskow serves as a Director of National Grid Transco (a UK-based
holding company with interests in electric and gas transmission and
distribution, and telecommunications infrastructure). He also serves on
the board of the Whitehead Institute for Biomedical Research (a
non-profit research institution) and has been President of the Yale
University Council since 1993. Prior to February 2002, he was a Director
of State Farm Indemnity Company (an automobile insurance company) and
prior to March 2000 he was a Director of New England Electric System (a
public utility holding company).
Dr. Joskow has published five books and numerous articles on topics in
industrial organization, government regulation of industry, and
competition policy. He is active in industry restructuring,
environmental, energy, competition, and privatization policies --
serving as an advisor to governments and corporations worldwide. Dr.
Joskow holds a Ph.D. and M. Phil from Yale University and B.A. from
Cornell University.
Elizabeth T. Kennan (2/25/38), Trustee since 1992
Dr. Kennan is a partner in and Chairman of Cambus-Kenneth Bloodstock,
LLC (cattle and thoroughbred horses). She is President Emeritus of Mount
Holyoke College.
Dr. Kennan serves as a Trustee of Northeast Utilities and is a Director
of Talbots, Inc. She has served as Director on a number of other boards,
including Bell Atlantic, Chastain Real Estate, Shawmut Bank, Berkshire
Life Insurance, and Kentucky Home Life Insurance. She is a Trustee of
Centre College and of Midway College in Midway, Kentucky. She is also a
member of The Trustees of Reservations. Dr. Kennan has served on the
oversight committee of the Folger Shakespeare Library, as President of
Five Colleges Incorporated, as a Trustee of Notre Dame University, and
is active in various educational and civic associations.
As a member of the faculty of Catholic University for twelve years,
until 1978, Dr. Kennan directed the post-doctoral program in Patristic
and Medieval Studies, taught history, and published numerous articles.
Dr. Kennan holds a Ph.D. from the University of Washington in Seattle,
an M.S. from St. Hilda's College at Oxford University, and an A.B. from
Mount Holyoke College. She holds several honorary doctorates.
John H. Mullin, III (6/15/41), Trustee since 1997
Mr. Mullin is the Chairman and CEO of Ridgeway Farm (a limited liability
company engaged in timber and farming).
Mr. Mullin serves as a Director of Alex. Brown Realty, Inc., The Liberty
Corporation (a broadcasting company), Progress Energy, Inc. (a utility
company, formerly known as Carolina Power & Light), and Sonoco Products,
Inc. (a packaging company). Mr. Mullin is Trustee Emeritus of Washington
& Lee University, where he served as Chairman of the Investment
Committee. Prior to May 2001, he was a Director of Graphic Packaging
International Corp.
Mr. Mullin also served as a Director of Dillon, Read & Co., Inc. until
October 1997 and The Ryland Group, Inc. until January 1998. Mr. Mullin
is a graduate of Washington & Lee University and The Wharton Graduate
School, University of Pennsylvania.
Robert E. Patterson (3/15/45), Trustee since 1984
Mr. Patterson is Senior Partner of Cabot Properties, L.P. and Chairman
of Cabot Properties, Inc.
Mr. Patterson serves as Chairman of the Joslin Diabetes Center and as a
Director of Brandywine Trust Company. Prior to June 2003, he was a
Trustee of Sea Education Association. Prior to December 2001, he was
President and Trustee of Cabot Industrial Trust (a publicly traded real
estate investment trust). Prior to February 1998, Mr. Patterson was
Executive Vice President and Director of Acquisitions of Cabot Partners
Limited Partnership (a registered investment advisor involved in
institutional real estate investments). Prior to 1990, he served as
Executive Vice President of Cabot, Cabot & Forbes Realty Advisors, Inc.
(the predecessor company of Cabot Partners) and as a Senior Vice
President of the Beal Companies (a real estate management, investment,
and development firm).
Mr. Patterson practiced law and held various positions in state
government, and was the founding Executive Director of the Massachusetts
Industrial Finance Agency. Mr. Patterson is a graduate of Harvard
College and Harvard Law School.
W. Thomas Stephens (9/2/42), Trustee since 1997
Mr. Stephens serves on a number of corporate boards.
Mr. Stephens serves as a Director of Xcel Energy Incorporated (a public
utility company), TransCanada Pipelines Limited, Norske Canada, Inc. (a
paper manufacturer), and Qwest Communications. Until 2003, Mr. Stephens
was a Director of Mail-Well, Inc. (a diversified printing company). He
served as Chairman of Mail-Well until 2001 and as CEO of
MacMillan-Bloedel, Ltd. (a forest products company) until 1999.
Prior to 1996, Mr. Stephens was Chairman and Chief Executive Officer of
Johns Manville Corporation. He holds B.S. and M.S. degrees from the
University of Arkansas.
W. Nicholas Thorndike (3/28/33), Trustee since 1992
Mr. Thorndike serves on the boards of various corporations and
charitable organizations.
Mr. Thorndike is a Director of Courier Corporation (a book publisher and
manufacturer). He is also a Trustee of Northeastern University and an
honorary Trustee of Massachusetts General Hospital, where he previously
served as Chairman and President. Prior to December 2003, he was a
Director of The Providence Journal Co. (a newspaper publisher). Prior to
September 2000, he was a Director of Bradley Real Estate, Inc.; prior to
April 2000, he was a Trustee of Eastern Utilities Associates; and prior
to December 2001, he was a Trustee of Cabot Industrial Trust.
Mr. Thorndike has also served as Chairman of the Board and Managing
Partner of Wellington Management Company/Thorndike, Doran, Paine & Lewis
(a registered investment advisor that manages mutual funds and
institutional assets), as a Trustee of the Wellington Group of Funds
(currently The Vanguard Group), and as Chairman and a Director of Ivest
Fund, Inc. Mr. Thorndike is a graduate of Harvard College.
George Putnam, III* (8/10/51), Trustee since 1984 and President
since 2000
Mr. Putnam is President of New Generation Research, Inc. (a publisher of
financial advisory and other research services), and of New Generation
Advisers, Inc. (a registered investment advisor to private funds). Mr.
Putnam founded the New Generation companies in 1986.
Mr. Putnam is a Director of The Boston Family Office, LLC (a registered
investment advisor). He is a Trustee of St. Mark's School, Shore Country
Day School, and until 2002 was a Trustee of the Sea Education
Association.
Mr. Putnam previously worked as an attorney with the law firm of Dechert
Price & Rhoads in Philadelphia. He is a graduate of Harvard College,
Harvard Business School, and Harvard Law School.
A.J.C. Smith* (4/13/34), Trustee since 1986
Mr. Smith is Chairman of Putnam Investments and a Director of Marsh &
McLennan Companies, Inc.
Mr. Smith is also a Director of Trident Corp. (a limited partnership
with over thirty institutional investors). He is also a Trustee of the
Carnegie Hall Society, the Educational Broadcasting Corporation, and the
National Museums of Scotland. He is Chairman of the Central Park
Conservancy and a Member of the Board of Overseers of the Joan and
Sanford I. Weill Graduate School of Medical Sciences of Cornell
University. Prior to May 2000 and November 1999, Mr. Smith was Chairman
and CEO, respectively, of Marsh & McLennan Companies, Inc.
The address of each Trustee is One Post Office Square, Boston, MA 02109.
As of November 30, 2003, there were 101 Putnam Funds.
Each Trustee serves for an indefinite term, until his or her
resignation, retirement at age 72, death, or removal.
* Trustees who are or may be deemed to be "interested persons" (as
defined in the Investment Company Act of 1940) of the fund, Putnam
Management, Putnam Retail Management, or Marsh & McLennan Companies,
Inc., the parent company of Putnam, LLC and its affiliated companies.
Messrs. Putnam, III, and Smith are deemed "interested persons" by virtue
of their positions as officers or shareholders of the fund or Putnam
Management, Putnam Retail Management, or Marsh & McLennan Companies,
Inc. George Putnam, III is the President of your fund and each of the
other Putnam funds. Mr. Smith serves as a Director of Marsh & McLennan
Companies, Inc. and as Chairman of Putnam Investments.
Officers
In addition to George Putnam, III, the other officers of the
fund are shown below:
Charles E. Porter (7/26/38)
Executive Vice President, Treasurer
and Principal Financial Officer
Since 1989
Managing Director, Putnam Investments
and Putnam Management
Patricia C. Flaherty (12/1/46)
Senior Vice President
Since 1993
Senior Vice President, Putnam Investments and Putnam
Management
Karnig H. Durgarian (1/13/56)
Vice President and Principal Executive Officer
Since 2002
Senior Managing Director, Putnam Investments
Steven D. Krichmar (6/27/58)
Vice President and Principal Financial Officer
Since 2002
Managing Director, Putnam Investments. Prior to July 2001,
Partner, PricewaterhouseCoopers LLP
Michael T. Healy (1/24/58)
Assistant Treasurer and Principal
Accounting Officer
Since 2000
Managing Director, Putnam Investments
Beth S. Mazor (4/6/58)
Vice President
Since 2002
Senior Vice President, Putnam Investments
Gordon H. Silver (7/3/47)
Vice President
Since 1990
Senior Managing Director, Putnam Investments, Putnam
Management and Putnam Retail Management
Mark C. Trenchard (6/5/62)
Vice President and BSA Compliance Officer
Since 2002
Senior Vice President, Putnam Investments
William H. Woolverton (1/17/51)
Vice President and Chief Legal Officer
Since 2003
Managing Director, Putnam Investments, Putnam Management and
Putnam Retail Management
Judith Cohen (6/7/45)
Clerk and Assistant Treasurer
Since 1993
Clerk and Assistant Treasurer, The Putnam Funds
The address of each Officer is One Post Office Square,
Boston, MA 02109.
Fund information
One of the largest mutual fund families in the United States, Putnam
Investments has a heritage of investment leadership dating back to Judge
Samuel Putnam, whose Prudent Man Rule has defined fiduciary tradition
and practice since 1830. Founded over 65 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 presently manage
over 100 mutual funds in growth, value, blend, fixed income, and
international.
Investment Manager
Putnam Investment
Management, LLC
One Post Office Square
Boston, MA 02109
Marketing Services
Putnam Retail Management
One Post Office Square
Boston, MA 02109
Custodian
Putnam Fiduciary Trust Company
Legal Counsel
Ropes & Gray LLP
Independent Auditors
KPMG LLP
Trustees
John A. Hill, Chairman
Jameson Adkins Baxter
Charles B. Curtis
Ronald J. Jackson
Paul L. Joskow
Elizabeth T. Kennan
John H. Mullin III
Robert E. Patterson
George Putnam, III
A.J.C. Smith
W. Thomas Stephens
W. Nicholas Thorndike
Officers
George Putnam, III
President
Charles E. Porter
Executive Vice President, Treasurer and Principal Financial Officer
Patricia C. Flaherty
Senior Vice President
Karnig H. Durgarian
Vice President and Principal Executive Officer
Steven D. Krichmar
Vice President and Principal Financial Officer
Michael T. Healy
Assistant Treasurer and Principal Accounting Officer
Beth S. Mazor
Vice President
Gordon H. Silver
Vice President
Mark C. Trenchard
Vice President and BSA Compliance Officer
William H. Woolverton
Vice President and
Chief Legal Officer
Judith Cohen
Clerk and Assistant Treasurer
This report is for the information of shareholders of Putnam High Yield
Advantage Fund. It may also be used as sales literature when preceded or
accompanied by the current prospectus, which gives details of sales
charges, investment objectives, and operating policies of the fund, and
the most recent copy of Putnam's Quarterly Performance Summary and
Putnam's Quarterly Ranking Summary. For more information or to request a
prospectus, call toll free: 1-800-225-1581. 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.
[LOGO OMITTED]
PUTNAM INVESTMENTS
The Putnam Funds
One Post Office Square
Boston, Massachusetts 02109
PRSRT STD
U.S. POSTAGE PAID
PUTNAM
INVESTMENTS
Call 1-800-225-1581 or visit our Web site www.putnaminvestments.com.
AN032-203426 060/327/702 1/04
Not FDIC Insured May Lose Value No Bank Guarantee
PUTNAM INVESTMENTS [SCALE LOGO OMITTED]
- ----------------------------------------------------------------------------
Putnam High Yield Advantage Fund
Supplement to Annual Report dated 11/30/03
The following information has been prepared to provide class Y shareholders
with a performance overview specific to their holdings. Class Y shares are
offered exclusively to clients that meet the eligibility requirements
specified in the fund's prospectus for such shares. Performance of class Y
shares, which do not incur a front-end load, a distribution fee, or a
contingent deferred sales charge, will differ from the performance of class
A, B, and M shares, which are discussed more extensively in the annual
report.
RESULTS AT A GLANCE
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Total return for periods ended 11/30/03
NAV
1 year 25.21%
5 years 23.95
Annual average 4.39
10 years 63.41
Annual average 5.03
Life of fund (since class A inception, 3/25/86)
Annual average 7.77
Share value: NAV
11/30/02 $5.23
11/30/03 $5.97
- ----------------------------------------------------------------------------
Distributions: No. Income Capital gains Total
12 $0.516 -- $0.516
- ----------------------------------------------------------------------------
Please note that past performance is not indicative of future results. More
recent returns may be more or less than those shown. Returns shown for class
Y shares for periods prior to their inception are derived from the
historical performance of class A shares, and are not adjusted to reflect
the initial sales charge currently applicable to class A shares. These
returns have not been adjusted to reflect differences in operating expenses
which, for class Y shares, typically are lower than the operating expenses
applicable to class A shares. All returns assume reinvestment of
distributions at net asset value. Investment return and principal value will
fluctuate so your shares, when redeemed, may be worth more or less than
their original cost. See full report for information on comparative
benchmarks. If you have questions, please consult your fund prospectus or
call Putnam toll free at 1-800-752-9894.
Item 2. Code of Ethics:
- -----------------------
All officers of the Fund, including its principal executive, financial and
accounting officers, are employees of Putnam Investment Management, LLC,
the Fund's investment manager. As such they are subject to a comprehensive
Code of Ethics adopted and administered by Putnam Investments which is
designed to protect the interests of the firm and its clients. The Fund
has adopted a Code of Ethics which incorporates the Code of Ethics of
Putnam Investments with respect to all of its officers and Trustees who are
employees of Putnam Investment Management, LLC. For this reason, the Fund
has not adopted a separate code of ethics governing its principal
executive, financial and accounting officers.
Item 3. Audit Committee Financial Expert:
- -----------------------------------------
The Funds' Audit and Pricing Committee is comprised solely of Trustees
who are "independent" (as such term has been defined by the Securities
and Exchange Commission ("SEC") in regulations implementing Section 407
of the Sarbanes-Oxley Act (the "Regulations")). The Trustees believe
that each of the members of the Audit and Pricing Committee also possess
a combination of knowledge and experience with respect to financial
accounting matters, as well as other attributes, that qualify them for
service on the Committee. In addition, the Trustees have determined
that all members of the Funds' Audit and Pricing Committee meet the
financial literacy requirements of the New York Stock Exchange's rules
and that Mr. Patterson and Mr. Stephens qualify as "audit committee
financial experts" (as such term has been defined by the Regulations)
based on their review of their pertinent experience and education.
Certain other Trustees, although not on the Audit and Pricing Committee,
would also qualify as "audit committee financial experts." The SEC has
stated that the designation or identification of a person as an audit
committee financial expert pursuant to this Item 3 of Form N-CSR does
not impose on such person any duties, obligations or liability that are
greater than the duties, obligations and liability imposed on such
person as a member of the Audit and Pricing Committee and the Board of
Trustees in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services:
- -----------------------------------------------
Not applicable
Items 5-6. [Reserved]
- ---------------------
Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed End
- -------------------------------------------------------------------------
Management Investment Companies: Not applicable
--------------------------------
Item 8. [Reserved]
- ------------------
Item 9. Controls and Procedures:
- --------------------------------
(a) The registrant's principal executive officer and principal financial
officers 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
on Form N-CSR, that the design and operation of such procedures are
effective to provide reasonable assurance that information required to
be disclosed by the investment company in the reports that it files or
submits under the Securities Exchange Act of 1934 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 10. Exhibits:
- ------------------
(a) The Code of Ethics of The Putnam Funds, which incorporates the
Code of Ethics of Putnam Investments, is filed herewith.
(b) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2
under the Investment Company Act of 1940, as amended, and the officer
certifications as required by Section 906 of the Sarbanes-Oxley Act of 2002
are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934
an the Investment Company Act of 1940, the registrant has duly
caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
NAME OF REGISTRANT
By (Signature and Title): /s/Michael T. Healy
--------------------------
Michael T. Healy
Principal Accounting Officer
Date: January 23, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934
an 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/Karnig H. Durgarian
---------------------------
Karnig H. Durgarian
Principal Executive Officer
Date: January 23, 2004
By (Signature and Title): /s/Charles E. Porter
---------------------------
Charles E. Porter
Principal Financial Officer
Date: January 23, 2004
By (Signature and Title): /s/Steven D. Krichmar
---------------------------
Steven D. Krichmar
Principal Financial Officer
Date: January 23, 2004