Item 1. Schedule of Investments:
--------------------------------
PUTNAM MANAGED HIGH YIELD TRUST
QUARTERLY PORTFOLIO HOLDINGS
02-28-05
Putnam Managed High Yield Trust
--------------------------------------------------------------------------------------------------------------------------------
The fund's portfolio
February 28, 2005 (Unaudited)
Corporate bonds and notes (89.8%) (a)
--------------------------------------------------------------------------------------------------------------------------------
Principal amount Value
--------------------------------------------------------------------------------------------------------------------------------
Advertising and Marketing Services (0.2%)
--------------------------------------------------------------------------------------------------------------------------------
$60,000 Bear Creek Corp. 144A sr. notes 9s, 2013 $61,350
100,000 Lamar Media Corp. company guaranty 7 1/4s, 2013 107,000
--------------------------------------------------------------------------------------------------------------------------------
168,350
Automotive (2.1%)
--------------------------------------------------------------------------------------------------------------------------------
50,000 ArvinMeritor, Inc. notes 8 3/4s, 2012 56,500
30,000 Dana Corp. notes 10 1/8s, 2010 32,630
190,000 Dana Corp. notes 9s, 2011 229,050
15,000 Dana Corp. notes 7s, 2029 14,615
40,000 Delco Remy International, Inc. company guaranty 11s, 2009 42,200
205,000 Delco Remy International, Inc. sr. sub. notes 9 3/8s, 2012 197,313
30,000 Dura Operating Corp. company guaranty Ser. B, 8 5/8s, 2012 30,000
150,000 Lear Corp. company guaranty Ser. B, 8.11s, 2009 168,061
115,000 Meritor Automotive, Inc. notes 6.8s, 2009 118,163
95,000 Metaldyne Corp. 144A sr. notes 10s, 2013 93,575
EUR 20,000 Teksid Aluminum 144A company guaranty 11 3/8s, 2011 (Luxembourg) $24,420
$300,000 Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s, 2013 352,500
100,000 Tenneco Automotive, Inc. 144A sr. sub. notes 8 5/8s, 2014 106,500
--------------------------------------------------------------------------------------------------------------------------------
1,465,527
Basic Materials (9.5%)
--------------------------------------------------------------------------------------------------------------------------------
130,000 Acetex Corp. sr. notes 10 7/8s, 2009 (Canada) 140,400
120,000 AK Steel Corp. company guaranty 7 3/4s, 2012 127,200
170,000 Almatis Investment Holdings, S.a.r.l. bonds 11s, 2013 (Luxembourg) (PIK) 173,400
205,000 BCP Caylux Holdings Luxembourg SCA 144A sr. sub. notes
9 5/8s, 2014 (Luxembourg) 236,775
60,000 Century Aluminum Co. 144A company guaranty 7 1/2s, 2014 64,500
EUR 55,000 Cognis GMBH 144A sr. notes 9 1/2s, 2014 (Germany) 83,033
$185,000 Compass Minerals Group, Inc. company guaranty 10s, 2011 $207,663
50,000 Compass Minerals International, Inc. sr. disc. notes stepped-coupon Ser. B,
zero % (12s, 6/1/08), 2013 (STP) 42,000
130,000 Compass Minerals International, Inc. sr. notes stepped-coupon zero %
(12 3/4s, 12/15/07), 2012 (STP) 114,400
120,000 Crystal US Holdings, LLC/US Sub 3 Corp. 144A sr. disc. notes stepped-coupon
zero % (10s, 10/1/09), 2014 (STP) 89,100
95,000 Equistar Chemicals LP notes 8 3/4s, 2009 106,163
290,000 Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008 334,225
75,000 Georgia-Pacific Corp. bonds 7 3/4s, 2029 88,313
130,000 Georgia-Pacific Corp. company guaranty 9 3/8s, 2013 150,313
250,000 Georgia-Pacific Corp. debs. 9 1/2s, 2011 311,563
210,000 Georgia-Pacific Corp. debs. 7.7s, 2015 244,125
175,000 Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011 (Canada) 201,250
160,000 Hercules, Inc. company guaranty 11 1/8s, 2007 188,000
140,000 Hercules, Inc. company guaranty 6 3/4s, 2029 144,200
35,000 Huntsman Advanced Materials, LLC 144A sec. FRN 10.89s, 2008 37,450
40,000 Huntsman Advanced Materials, LLC 144A sec. notes 11s, 2010 47,100
28,000 Huntsman International Holdings LLC sr. disc. notes zero %, 2009 15,960
78,000 Huntsman, LLC company guaranty 11 5/8s, 2010 94,185
60,000 Huntsman, LLC 144A company guaranty 11 1/2s, 2012 71,400
325,000 Innophos, Inc. 144A sr. sub. notes 8 7/8s, 2014 349,375
85,000 International Steel Group, Inc. sr. notes 6 1/2s, 2014 90,950
5,000 Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012 5,400
10,000 Jefferson Smurfit Corp. company guaranty 7 1/2s, 2013 10,538
EUR 100,000 JSG Holding PLC sr. notes 11 1/2s, 2015 (Ireland) (PIK) 132,056
$10,000 Lyondell Chemical Co. bonds 11 1/8s, 2012 $11,800
130,000 Lyondell Chemical Co. company guaranty 10 1/2s, 2013 153,725
100,000 Lyondell Chemical Co. company guaranty 9 1/2s, 2008 108,000
65,000 Lyondell Chemical Co. notes Ser. A, 9 5/8s, 2007 71,175
215,000 MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland) 238,113
EUR 5,000 MDP Acquisitions PLC sr. notes Ser. EUR, 10 1/8s, 2012 (Ireland) 7,535
EUR 10,000 Nalco Co. sr. notes 7 3/4s, 2011 14,659
EUR 65,000 Nalco Co. sr. sub. notes 9s, 2013 97,871
$300,000 Nalco Co. sr. sub. notes 8 7/8s, 2013 $331,500
75,000 Norske Skog Canada, Ltd. sr. notes 7 3/8s, 2014 (Canada) 78,750
195,000 Novels, Inc. 144A sr. notes 7 1/4s, 2015 (Canada) 201,825
31,547 PCI Chemicals Canada sec. sr. notes 10s, 2008 (Canada) 33,755
35,840 Pioneer Companies, Inc. sec. sr.notes FRN 6.06s, 2006 37,811
60,000 PQ Corp. 144A company guaranty 7 1/2s, 2013 62,175
EUR 235,000 Rockwood Specialties Group, Inc. company guaranty 7 5/8s, 2014 327,487
EUR 80,000 SGL Carbon SA 144A sr. notes 8 1/2s, 2012 (Luxembourg) 119,023
$110,000 Steel Dynamics, Inc. company guaranty 9 1/2s, 2009 $120,038
27,275 Sterling Chemicals, Inc. sec. notes 10s, 2007 (PIK) 27,275
40,000 Stone Container Corp. sr. notes 9 3/4s, 2011 43,600
140,000 Stone Container Corp. sr. notes 8 3/8s, 2012 151,550
35,000 Stone Container Finance company guaranty 7 3/8s, 2014 (Canada) 36,794
25,000 Tembec Industries, Inc. company guaranty 7 3/4s, 2012 (Canada) 24,125
90,000 Ucar Finance, Inc. company guaranty 10 1/4s, 2012 100,125
47,000 United Agri Products 144A sr. notes 8 3/4s, 2011 51,230
214,000 United States Steel Corp. sr. notes 9 3/4s, 2010 243,960
7,201 Wheeling-Pittsburgh Steel Corp. sr. notes 6s, 2010 (PIK) 6,121
13,998 Wheeling-Pittsburgh Steel Corp. sr. notes 5s, 2011 (PIK) 11,898
40,000 WHX Corp. sr. notes 10 1/2s, 2005 37,600
--------------------------------------------------------------------------------------------------------------------------------
6,650,557
Beverage (0.1%)
--------------------------------------------------------------------------------------------------------------------------------
45,000 Constellation Brands, Inc. company guaranty Ser. B, 8s, 2008 48,938
45,000 Constellation Brands, Inc. sr. sub. notes Ser. B, 8 1/8s, 2012 49,050
--------------------------------------------------------------------------------------------------------------------------------
97,988
Broadcasting (3.3%)
--------------------------------------------------------------------------------------------------------------------------------
210,000 British Sky Broadcasting PLC company guaranty 6 7/8s, 2009 (United Kingdom) 227,042
300,000 DirecTV Holdings, LLC sr. notes 8 3/8s, 2013 338,947
440,000 Diva Systems Corp. sr. disc. notes Ser. B, 12 5/8s, 2008 (In default) (NON) 1,925
235,000 Echostar DBS Corp. sr. notes 6 3/8s, 2011 242,050
165,000 Echostar DBS Corp. 144A company guaranty 6 5/8s, 2014 169,538
370,000 Granite Broadcasting Corp. sec. notes 9 3/4s, 2010 354,275
105,000 Gray Television, Inc. company guaranty 9 1/4s, 2011 115,500
75,000 Intelsat Bermuda, Ltd. 144A sr. notes 8 1/4s, 2013 (Bermuda) 78,563
6,090 Knology, Inc. 144A sr. notes 12s, 2009 (PIK) 5,877
155,000 Rainbow National Services, LLC 144A sr. notes 8 3/4s, 2012 176,700
150,000 Rainbow National Services, LLC 144A sr. sub. debs. 10 3/8s, 2014 178,500
60,000 Sinclair Broadcast Group, Inc. company guaranty 8 3/4s, 2011 64,800
301,000 Young Broadcasting, Inc. company guaranty 10s, 2011 317,555
65,000 Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014 64,350
--------------------------------------------------------------------------------------------------------------------------------
2,335,622
Building Materials (0.9%)
--------------------------------------------------------------------------------------------------------------------------------
60,000 Building Materials Corp. company guaranty 8s, 2008 62,025
95,000 Dayton Superior Corp. sec. notes 10 3/4s, 2008 102,125
5,000 Owens Corning bonds 7 1/2s, 2018 (In default) (NON) 3,250
120,000 Owens Corning notes 7 1/2s, 2005 (In default) (NON) 78,300
350,000 THL Buildco, Inc. (Nortek, Inc.) sr. sub. notes 8 1/2s, 2014 357,000
--------------------------------------------------------------------------------------------------------------------------------
602,700
Cable Television (3.5%)
--------------------------------------------------------------------------------------------------------------------------------
20,000 Adelphia Communications Corp. sr. notes 10 7/8s, 2010 (In default) (NON) 18,100
90,000 Adelphia Communications Corp. sr. notes 10 1/4s, 2011 (In default) (NON) 83,700
5,000 Adelphia Communications Corp. sr. notes 10 1/4s, 2006 (In default) (NON) 4,400
5,000 Adelphia Communications Corp. sr. notes 9 3/8s, 2009 (In default) (NON) 4,525
40,000 Adelphia Communications Corp. sr. notes Ser. B, 9 7/8s, 2007 (In default)
(NON) 34,700
255,000 Atlantic Broadband Finance, LLC 144A sr. sub. notes 9 3/8s, 2014 249,900
195,000 Cablevision Systems Corp. 144A sr. notes 8s, 2012 219,375
70,000 Charter Communications Holdings, LLC/Capital Corp. sr. disc. notes
stepped-coupon zero % (12 1/8s, 1/15/07), 2012 (STP) 45,500
35,000 Charter Communications Holdings, LLC/Capital Corp. sr. disc. notes
stepped-coupon zero % (11 3/4s, 5/15/06), 2011 (STP) 25,113
240,000 Charter Communications Holdings, LLC/Capital Corp. sr. notes 11 1/8s, 2011 205,200
200,000 Charter Communications Holdings, LLC/Capital Corp. sr. notes 10 3/4s, 2009 172,500
75,000 Charter Communications Holdings, LLC/Capital Corp. sr. notes 10 1/4s, 2010 62,625
265,000 Charter Communications Holdings, LLC/Capital Corp. sr. notes 10s, 2011 217,300
200,000 Charter Communications Holdings, LLC/Capital Corp. sr. notes 9 5/8s, 2009 165,500
20,000 Charter Communications Holdings, LLC/Capital Corp. sr. notes 8 5/8s, 2009 16,350
75,000 CSC Holdings, Inc. debs. 7 5/8s, 2018 87,375
80,000 CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011 89,000
155,000 CSC Holdings, Inc. 144A sr. notes 6 3/4s, 2012 166,625
270,000 Kabel Deutsheland GMBH 144A sr. notes 10 5/8s, 2014 (Germany) 310,500
30,000 Quebecor Media, Inc. sr. disc. notes stepped-coupon zero % (13 3/4s,
7/15/06), 2011 (Canada) (STP) 29,775
155,000 Quebecor Media, Inc. sr. notes 11 1/8s, 2011 (Canada) 176,119
50,000 Videotron Ltee company guaranty 6 7/8s, 2014 (Canada) 52,500
--------------------------------------------------------------------------------------------------------------------------------
2,436,682
Capital Goods (9.8%)
--------------------------------------------------------------------------------------------------------------------------------
370,000 AEP Industries, Inc. sr. sub. notes 9 7/8s, 2007 377,863
EUR 270,000 Aero Invest 1 SA 144A company guaranty FRN 10.635s, 2015 (Luxembourg) 356,104
$240,000 Allied Waste North America, Inc. company guaranty Ser. B, 8 1/2s, 2008 $258,000
135,000 Amsted Industries, Inc. 144A sr. notes 10 1/4s, 2011 152,550
320,000 Argo-Tech Corp. sr. notes 9 1/4s, 2011 352,000
35,000 BE Aerospace, Inc. sr. notes 8 1/2s, 2010 39,025
345,000 BE Aerospace, Inc. sr. sub. notes Ser. B, 8s, 2008 345,863
125,000 Blount, Inc. sr. sub. notes 8 7/8s, 2012 136,563
80,000 Browning-Ferris Industries, Inc. debs. 7.4s, 2035 71,000
145,000 Browning-Ferris Industries, Inc. sr. notes 6 3/8s, 2008 143,913
320,000 Crown Euro Holdings SA sec. notes 10 7/8s, 2013 (France) 380,000
EUR 15,000 Crown Euro Holdings SA sec. notes 10 1/4s, 2011 (France) 22,894
$70,000 Crown Euro Holdings SA sec. notes 9 1/2s, 2011 (France) $78,750
476,000 Decrane Aircraft Holdings Co. company guaranty zero %, 2008 180,880
120,000 Earle M. Jorgensen Co. sec. notes 9 3/4s, 2012 134,400
EUR 60,000 Flender Holdings 144A sr. notes 11s, 2010 (Germany) 96,673
$93,000 Flowserve Corp. company guaranty 12 1/4s, 2010 $102,300
9,000 Hexcel Corp. sr. sub. notes 9 3/4s, 2009 9,360
130,000 Invensys, PLC notes 9 7/8s, 2011 (United Kingdom) 140,400
325,000 L-3 Communications Corp. company guaranty 6 1/8s, 2013 335,563
310,000 Legrand SA debs. 8 1/2s, 2025 (France) 384,400
91,000 Manitowoc Co., Inc. (The) company guaranty 10 1/2s, 2012 104,878
EUR 25,000 Manitowoc Co., Inc. (The) company guaranty 10 3/8s, 2011 $37,228
$290,000 Manitowoc Co., Inc. (The) sr. notes 7 1/8s, 2013 313,925
240,000 Milacron Escrow Corp. sec. notes 11 1/2s, 2011 264,000
40,000 Mueller Group, Inc. sec. FRN 7.493s, 2011 41,100
255,000 Mueller Group, Inc. sr. sub. notes 10s, 2012 280,500
180,000 Owens-Brockway Glass company guaranty 8 1/4s, 2013 198,000
75,000 Owens-Brockway Glass company guaranty 7 3/4s, 2011 81,000
170,000 Owens-Brockway Glass sr. sec. notes 8 3/4s, 2012 189,975
15,000 Owens-Illinois, Inc. debs. 7.8s, 2018 16,088
155,000 Polypore, Inc. sr. sub. notes 8 3/4s, 2012 155,000
250,000 Sequa Corp. sr. notes Ser. B, 8 7/8s, 2008 272,500
165,000 Siebe PLC 144A sr. unsub. 6 1/2s, 2010 (United Kingdom) 158,813
60,000 Solo Cup Co. sr. sub. notes 8 1/2s, 2014 62,400
35,000 Terex Corp. company guaranty 9 1/4s, 2011 39,025
190,000 Terex Corp. company guaranty Ser. B, 10 3/8s, 2011 211,375
325,000 Titan Corp. (The) company guaranty 8s, 2011 349,375
--------------------------------------------------------------------------------------------------------------------------------
6,873,683
Commercial and Consumer Services (0.4%)
--------------------------------------------------------------------------------------------------------------------------------
245,000 Laidlaw International, Inc. sr. notes 10 3/4s, 2011 280,831
Communication Services (7.1%)
--------------------------------------------------------------------------------------------------------------------------------
60,000 Alamosa Delaware, Inc. company guaranty 11s, 2010 69,900
50,000 Alamosa Delaware, Inc. company guaranty stepped-coupon zero % (12s,
7/31/05), 2009 (STP) 54,500
70,000 Alamosa Delaware, Inc. sr. notes 8 1/2s, 2012 75,950
35,000 American Cellular Corp. company guaranty 9 1/2s, 2009 34,125
58,000 American Tower Corp. sr. notes 9 3/8s, 2009 60,900
65,000 American Tower Corp. sr. notes 7 1/2s, 2012 68,413
125,000 American Towers, Inc. company guaranty 7 1/4s, 2011 133,125
96,207 Asia Global Crossing, Ltd. sr. notes 13 3/8s, 2010 (Bermuda) (In default)
(NON) 4,810
165,000 Centennial Cellular Operating Co. company guaranty 10 1/8s, 2013 191,400
25,000 Cincinnati Bell Telephone Co. company guaranty 6.3s, 2028 23,250
140,000 Cincinnati Bell, Inc. sr. sub. notes 8 3/8s, 2014 144,725
70,000 Cincinnati Bell, Inc. sr. sub. notes 7 1/4s, 2023 70,175
185,000 Citizens Communications Co. notes 9 1/4s, 2011 213,213
160,000 Citizens Communications Co. sr. notes 6 1/4s, 2013 158,800
305,405 Colo.com, Inc. 144A sr. notes 13 7/8s, 2010 (In default) (NON) (F) 1
205,000 Crown Castle International Corp. sr. notes 9 3/8s, 2011 227,550
45,000 Eircom Funding company guaranty Ser. US, 8 1/4s, 2013 (Ireland) 50,288
20,728 Globix Corp. company guaranty 11s, 2008 (PIK) 19,692
175,000 Inmarsat Finance PLC company guaranty 7 5/8s, 2012 (United Kingdom) 183,313
175,000 Inmarsat Finance PLC company guaranty stepped-coupon zero % (10 3/8s,
10/15/08), 2012 (United Kingdom) (STP) 132,344
55,000 iPCS, Inc. sr. notes 11 1/2s, 2012 63,800
20,000 IWO Escrow Co. 144A sec. FRN 5.77s, 2012 20,700
20,000 IWO Escrow Co. 144A sr. disc. notes stepped-coupon zero % (10 3/4s,
1/15/10), 2015 (STP) 13,100
135,000 Level 3 Financing, Inc. 144A sr. notes 10 3/4s, 2011 121,500
120,000 Madison River Capital Corp. sr. notes 13 1/4s, 2010 128,400
205,000 MCI, Inc. sr. notes 8.735s, 2014 230,369
45,000 MCI, Inc. sr. notes 7.688s, 2009 47,419
5,000 Nextel Communications, Inc. sr. notes 6 7/8s, 2013 5,400
490,000 Nextel Communications, Inc. sr. notes 5.95s, 2014 508,988
55,000 Nextel Partners, Inc. sr. notes 12 1/2s, 2009 61,531
225,000 Nextel Partners, Inc. sr. notes 8 1/8s, 2011 248,625
410,000 Qwest Communications International, Inc. 144A sr. notes 7 3/4s, 2014 422,300
475,000 Qwest Corp. 144A notes 9 1/8s, 2012 549,813
65,000 Qwest Services Corp. 144A notes 14 1/2s, 2014 81,575
85,000 Qwest Services Corp. 144A notes 14s, 2010 100,938
50,000 Rogers Cantel, Inc. debs. 9 3/4s, 2016 (Canada) 61,750
40,000 Rogers Wireless Communications, Inc. sec. notes 9 5/8s, 2011 (Canada) 47,600
45,000 Rural Cellular Corp. sr. notes 9 7/8s, 2010 47,475
90,000 Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010 85,950
55,000 SBA Communications Corp. 144A sr. notes 8 1/2s, 2012 59,400
55,000 SBA Telecommunications Inc./SBA Communications Corp. sr. disc. notes
stepped-coupon zero % (9 3/4s, 12/15/07), 2011 (STP) 48,125
25,000 TSI Telecommunication Services, Inc. company guaranty Ser. B, 12 3/4s, 2009 28,188
60,000 Valor Telecommunications Enterprises LLC/Finance Corp. 144A sr. notes
7 3/4s, 2015 62,250
177,439 Verado Holdings, Inc. sr. disc. notes zero %, 2008 (In default) (NON) (F) 5
--------------------------------------------------------------------------------------------------------------------------------
4,961,675
Consumer (1.0%)
--------------------------------------------------------------------------------------------------------------------------------
115,000 Icon Health & Fitness company guaranty 11 1/4s, 2012 89,700
95,000 Jostens Holding Corp. sr. disc. notes stepped-coupon zero % (10 1/4s,
12/1/08), 2013 (STP) 68,400
245,000 Jostens IH Corp. 144A company guaranty 7 5/8s, 2012 252,963
260,000 Samsonite Corp. sr. sub. notes 8 7/8s, 2011 280,150
--------------------------------------------------------------------------------------------------------------------------------
691,213
Consumer Goods (1.3%)
--------------------------------------------------------------------------------------------------------------------------------
105,000 Church & Dwight Co., Inc. 144A sr. sub. notes 6s, 2012 106,838
45,000 Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014 47,869
200,000 Playtex Products, Inc. company guaranty 9 3/8s, 2011 215,250
140,000 Playtex Products, Inc. sec. notes 8s, 2011 153,650
215,000 Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012 233,275
125,000 Remington Arms Co., Inc. company guaranty 10 1/2s, 2011 123,438
45,000 Scotts Co. (The) sr. sub. notes 6 5/8s, 2013 47,531
--------------------------------------------------------------------------------------------------------------------------------
927,851
Consumer Services (0.4%)
--------------------------------------------------------------------------------------------------------------------------------
100,000 Brand Services, Inc. company guaranty 12s, 2012 112,750
60,000 United Rentals (North America), Inc. company guaranty 6 1/2s, 2012 60,450
130,000 Williams Scotsman, Inc. company guaranty 9 7/8s, 2007 130,325
--------------------------------------------------------------------------------------------------------------------------------
303,525
Energy (7.6%)
--------------------------------------------------------------------------------------------------------------------------------
80,000 Arch Western Finance, LLC 144A sr. notes 6 3/4s, 2013 83,200
190,000 Arch Western Finance, LLC sr. notes 6 3/4s, 2013 197,600
70,000 Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012 (Cayman Islands) 77,350
100,000 CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014 (Canada) 104,250
45,000 Chesapeake Energy Corp. company guaranty 7 3/4s, 2015 49,613
75,000 Chesapeake Energy Corp. company guaranty 9s, 2012 85,125
210,000 Chesapeake Energy Corp. sr. notes 7 1/2s, 2013 233,100
60,000 Chesapeake Energy Corp. sr. notes 7s, 2014 65,700
95,000 Comstock Resources, Inc. sr. notes 6 7/8s, 2012 97,850
175,000 Dresser, Inc. company guaranty 9 3/8s, 2011 189,000
25,000 Dresser-Rand Group, Inc. 144A sr. sub. notes 7 3/8s, 2014 26,125
90,000 Encore Acquisition Co. company guaranty 8 3/8s, 2012 99,450
45,000 Encore Acquisition Co. sr. sub. notes 6 1/4s, 2014 45,338
130,000 Exco Resources, Inc. company guaranty 7 1/4s, 2011 138,125
70,000 Forest Oil Corp. company guaranty 7 3/4s, 2014 75,950
35,000 Forest Oil Corp. sr. notes 8s, 2008 38,325
145,000 Forest Oil Corp. sr. notes 8s, 2011 167,113
40,000 Hanover Compressor Co. sr. notes 8 5/8s, 2010 43,400
70,000 Hanover Compressor Co. sr. notes 9s, 2014 77,875
95,000 Hanover Compressor Co. sub. notes zero %, 2007 85,263
30,000 Hanover Equipment Trust sec. notes Ser. B, 8 3/4s, 2011 32,550
275,000 Harvest Operations Corp. sr. notes 7 7/8s, 2011 (Canada) 283,250
275,000 Inergy LP/Inergy Finance Corp. 144A sr. notes 6 7/8s, 2014 279,125
65,000 KCS Energy, Inc. sr. notes 7 1/8s, 2012 68,413
280,000 Key Energy Services, Inc. sr. notes 6 3/8s, 2013 284,200
260,000 Massey Energy Co. sr. notes 6 5/8s, 2010 271,050
125,000 Newfield Exploration Co. 144A sr. sub. notes 6 5/8s, 2014 135,313
130,000 Newfield Exploration Co. sr. notes 7 5/8s, 2011 146,900
120,000 Offshore Logistics, Inc. company guaranty 6 1/8s, 2013 120,600
75,000 Pacific Energy Partners/Pacific Energy Finance Corp. sr. notes 7 1/8s, 2014 79,688
135,000 Peabody Energy Corp. sr. notes 5 7/8s, 2016 136,688
45,000 Pemex Project Funding Master Trust company guaranty 7 3/8s, 2014 50,346
30,000 Pemex Project Funding Master Trust company guaranty 8 5/8s, 2022 36,300
100,000 Petro Geo-Services notes 10s, 2010 (Norway) 115,500
95,000 Plains Exploration & Production Co. sr. notes 7 1/8s, 2014 104,975
145,000 Plains Exploration & Production Co. sr. sub. notes 8 3/4s, 2012 161,675
110,000 Pogo Producing Co. sr. sub. notes Ser. B, 8 1/4s, 2011 117,700
290,000 Pride International Inc., sr. notes 7 3/8s, 2014 322,625
100,000 Seabulk International, Inc. company guaranty 9 1/2s, 2013 110,250
170,000 Star Gas Partners LP/Star Gas Finance Co. sr. notes 10 1/4s, 2013 155,125
280,000 Stone Energy Corp. 144A sr. sub. notes 6 3/4s, 2014 281,400
25,000 Universal Compression, Inc. sr. notes 7 1/4s, 2010 26,500
45,000 Vintage Petroleum, Inc. sr. notes 8 1/4s, 2012 49,613
25,000 Vintage Petroleum, Inc. sr. sub. notes 7 7/8s, 2011 26,813
--------------------------------------------------------------------------------------------------------------------------------
5,376,351
Entertainment (1.8%)
--------------------------------------------------------------------------------------------------------------------------------
45,000 AMC Entertainment, Inc. sr. sub. notes 9 7/8s, 2012 49,163
162,000 AMC Entertainment, Inc. sr. sub. notes 8s, 2014 163,620
155,000 Cinemark USA, Inc. sr. sub. notes 9s, 2013 173,213
180,000 Cinemark, Inc. sr. disc. notes stepped-coupon zero % (9 3/4s,
3/15/07), 2014 (STP) 134,550
335,000 LCE Acquisition Corp. 144A company guaranty 9s, 2014 350,913
290,000 Six Flags, Inc. sr. notes 8 7/8s, 2010 276,588
55,000 Universal City Florida Holding Co. 144A sr. notes 8 3/8s, 2010 57,888
75,000 Universal City Florida Holding Co. 144A sr. notes FRN 7.493s, 2010 78,563
--------------------------------------------------------------------------------------------------------------------------------
1,284,498
Financial (1.1%)
--------------------------------------------------------------------------------------------------------------------------------
55,000 Crescent Real Estate Equities LP notes 7 1/2s, 2007 (R) 56,925
90,000 Crescent Real Estate Equities LP sr. notes 9 1/4s, 2009 (R) 98,100
175,000 E*Trade Finance Corp. 144A sr. notes 8s, 2011 189,000
207,353 Finova Group, Inc. notes 7 1/2s, 2009 91,754
85,000 UBS AG/Jersey Branch sr. notes Ser. EMTN, 9.14s, 2008 (Jersey) 93,075
240,000 Western Financial Bank sub. debs. 9 5/8s, 2012 268,800
--------------------------------------------------------------------------------------------------------------------------------
797,654
Food (2.0%)
--------------------------------------------------------------------------------------------------------------------------------
21,963 Archibald Candy Corp. company guaranty 10s, 2007 (In default) (NON) (PIK) (F) 4,678
335,000 Dean Foods Co. sr. notes 6 5/8s, 2009 350,075
100,000 Del Monte Corp. sr. sub. notes 8 5/8s, 2012 111,500
80,000 Del Monte Corp. 144A sr. sub. notes 6 3/4s, 2015 82,200
285,000 Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s, 2013 259,350
GBP 150,000 RHM Finance, Ltd. sinking fund 8.8s, 2017 (Kenya) 340,091
EUR 195,000 United Biscuits Finance company guaranty 10 5/8s, 2011 (United Kingdom) 273,038
--------------------------------------------------------------------------------------------------------------------------------
1,420,932
Gaming & Lottery (3.8%)
--------------------------------------------------------------------------------------------------------------------------------
$60,000 Ameristar Casinos, Inc. company guaranty 10 3/4s, 2009 $66,675
160,000 Boyd Gaming Corp. sr. sub. notes 8 3/4s, 2012 177,200
30,000 Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012 32,438
60,000 Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014 62,625
70,000 Chumash Casino & Resort Enterprise 144A sr. notes 9s, 2010 76,650
75,000 Mandalay Resort Group sr. notes 6 3/8s, 2011 78,375
205,000 MGM Mirage, Inc. company guaranty 8 1/2s, 2010 234,213
60,000 MGM Mirage, Inc. company guaranty 6s, 2009 61,500
40,000 Mirage Resorts, Inc. debs. 7 1/4s, 2017 42,000
220,000 Mohegan Tribal Gaming Authority sr. sub. notes 6 3/8s, 2009 225,500
155,000 Park Place Entertainment Corp. sr. notes 7 1/2s, 2009 172,244
115,000 Park Place Entertainment Corp. sr. notes 7s, 2013 127,938
95,000 Park Place Entertainment Corp. sr. sub. notes 8 7/8s, 2008 107,469
185,000 Penn National Gaming, Inc. sr. sub. notes 8 7/8s, 2010 200,956
50,000 Penn National Gaming, Inc. 144A sr. sub. notes 6 3/4s, 2015 51,000
95,000 Pinnacle Entertainment, Inc. sr. sub. notes 8 3/4s, 2013 104,500
125,000 Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, 2012 133,438
120,000 Resorts International Hotel and Casino, Inc. company guaranty 11 1/2s, 2009 141,600
130,000 Scientific Games Corp. 144A sr. sub. notes 6 1/4s, 2012 133,900
90,000 Station Casinos, Inc. sr. notes 6s, 2012 93,263
90,000 Station Casinos, Inc. sr. sub. notes 6 7/8s, 2016 94,838
280,000 Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A 1st mtge. 6 5/8s, 2014 279,300
--------------------------------------------------------------------------------------------------------------------------------
2,697,622
Health Care (4.8%)
--------------------------------------------------------------------------------------------------------------------------------
105,000 AmerisourceBergen Corp. company guaranty 7 1/4s, 2012 116,550
100,000 AmerisourceBergen Corp. sr. notes 8 1/8s, 2008 111,000
170,000 Ardent Health Services, Inc. sr. sub. notes 10s, 2013 179,350
80,000 Community Health Systems, Inc. 144A sr. sub. notes 6 1/2s, 2012 80,500
80,000 Coventry Health Care, Inc. 144A sr. notes 5 7/8s, 2012 82,200
195,000 Elan Finance PLC/Elan Finance Corp. 144A sr. notes 7 3/4s, 2011 (Ireland) 173,550
50,000 HCA, Inc. debs. 7.19s, 2015 52,786
60,000 HCA, Inc. notes 8.36s, 2024 66,977
70,000 HCA, Inc. notes 7.69s, 2025 74,027
10,000 HCA, Inc. notes 7s, 2007 10,496
65,000 HCA, Inc. notes 6 3/8s, 2015 65,973
55,000 HCA, Inc. notes 5 3/4s, 2014 53,755
185,000 Healthsouth Corp. notes 7 5/8s, 2012 187,775
75,000 Healthsouth Corp. sr. notes 8 1/2s, 2008 78,000
45,000 Healthsouth Corp. sr. notes 8 3/8s, 2011 47,363
45,000 Healthsouth Corp. sr. sub. notes 10 3/4s, 2008 47,363
20,220 Magellan Health Services, Inc. sr. notes Ser. A, 9 3/8s, 2008 21,838
35,000 MedQuest, Inc. company guaranty Ser. B, 11 7/8s, 2012 39,725
180,000 MQ Associates, Inc. sr. disc. notes stepped-coupon zero % (12 1/4s,
8/15/08), 2012 (STP) 133,200
120,000 Omnicare, Inc. sr. sub. notes 6 1/8s, 2013 120,300
115,000 Province Healthcare Co. sr. sub. notes 7 1/2s, 2013 128,225
40,000 Service Corp. International debs. 7 7/8s, 2013 42,500
15,000 Service Corp. International notes 7.2s, 2006 15,506
5,000 Service Corp. International notes 6 7/8s, 2007 5,238
20,000 Service Corp. International notes 6 1/2s, 2008 20,850
50,000 Service Corp. International notes Ser. *, 7.7s, 2009 53,750
140,000 Service Corp. International/US 144A sr. notes 6 3/4s, 2016 142,800
135,000 Stewart Enterprises, Inc. 144A sr. notes 6 1/4s, 2013 135,000
85,000 Tenet Healthcare Corp. notes 7 3/8s, 2013 80,538
90,000 Tenet Healthcare Corp. sr. notes 6 1/2s, 2012 83,025
255,000 Tenet Healthcare Corp. 144A sr. notes 9 7/8s, 2014 271,575
130,000 Triad Hospitals, Inc. sr. notes 7s, 2012 137,638
225,000 Triad Hospitals, Inc. sr. sub. notes 7s, 2013 232,031
85,000 Universal Hospital Services, Inc. sr. notes 10 1/8s, 2011 87,975
95,000 Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, 2014 104,500
55,000 Ventas Realty LP/Capital Corp. company guaranty 9s, 2012 (R) 63,800
40,000 Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014 (R) 40,800
--------------------------------------------------------------------------------------------------------------------------------
3,388,479
Homebuilding (2.6%)
--------------------------------------------------------------------------------------------------------------------------------
70,000 Beazer Homes USA, Inc. company guaranty 8 5/8s, 2011 76,125
25,000 Beazer Homes USA, Inc. company guaranty 8 3/8s, 2012 27,469
20,000 D.R. Horton, Inc. company guaranty 8s, 2009 22,149
120,000 D.R. Horton, Inc. sr. notes 7 7/8s, 2011 137,700
25,000 D.R. Horton, Inc. sr. notes 6 7/8s, 2013 27,375
50,000 D.R. Horton, Inc. sr. notes 5 7/8s, 2013 51,171
90,000 K. Hovnanian Enterprises, Inc. company guaranty 8 7/8s, 2012 99,900
70,000 K. Hovnanian Enterprises, Inc. company guaranty 6 3/8s, 2014 72,450
50,000 K. Hovnanian Enterprises, Inc. sr. notes 6 1/2s, 2014 52,500
275,000 KB Home sr. notes 5 3/4s, 2014 279,119
50,000 Meritage Corp. company guaranty 9 3/4s, 2011 55,877
60,000 Meritage Homes Corp. 144A sr. notes 6 1/4s, 2015 60,225
70,000 Schuler Homes, Inc. company guaranty 10 1/2s, 2011 78,750
10,000 Standard Pacific Corp. sr. notes 6 7/8s, 2011 10,625
215,000 Standard Pacific Corp. sr. notes 6 1/4s, 2014 218,763
55,000 Technical Olympic USA, Inc. company guaranty 10 3/8s, 2012 61,600
80,000 Technical Olympic USA, Inc. company guaranty 9s, 2010 86,600
220,000 Technical Olympic USA, Inc. 144A sr. sub. notes 7 1/2s, 2015 217,800
30,000 WCI Communities, Inc. company guaranty 10 5/8s, 2011 33,150
130,000 WCI Communities, Inc. company guaranty 9 1/8s, 2012 144,950
--------------------------------------------------------------------------------------------------------------------------------
1,814,298
Household Furniture and Appliances (0.3%)
--------------------------------------------------------------------------------------------------------------------------------
200,000 Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014 209,500
Leisure (0.1%)
--------------------------------------------------------------------------------------------------------------------------------
40,000 K2, Inc. sr. notes 7 3/8s, 2014 43,300
Lodging/Tourism (1.6%)
--------------------------------------------------------------------------------------------------------------------------------
55,000 FelCor Lodging LP company guaranty 9s, 2008 (R) 62,219
115,000 Gaylord Entertainment Co. sr. notes 8s, 2013 124,631
73,000 HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 (R) 75,008
60,000 Host Marriott LP company guaranty Ser. G, 9 1/4s, 2007 (R) 66,000
98,000 Host Marriott LP sr. notes Ser. E, 8 3/8s, 2006 (R) 101,430
165,000 Host Marriott LP 144A sr. notes 7s, 2012 (R) 173,250
95,000 ITT Corp. debs. 7 3/8s, 2015 108,894
105,000 ITT Corp. notes 6 3/4s, 2005 106,838
130,000 MeriStar Hospital Corp. company guaranty 9 1/8s, 2011 (R) 142,513
65,000 Meristar Hospitality Corp. company guaranty 9s, 2008 (R) 69,225
80,000 Starwood Hotels & Resorts Worldwide, Inc. company guaranty 7 3/8s, 2007 85,000
--------------------------------------------------------------------------------------------------------------------------------
1,115,008
Media (0.6%)
--------------------------------------------------------------------------------------------------------------------------------
270,000 Affinity Group, Inc. sr. sub. notes 9s, 2012 291,600
100,000 Warner Music Group 144A sr. sub. notes 7 3/8s, 2014 106,000
--------------------------------------------------------------------------------------------------------------------------------
397,600
Other (3.4%)
--------------------------------------------------------------------------------------------------------------------------------
2,375,000 Dow Jones CDX HY 144A pass-through certificates 7 3/4s, 2009 2,401,719
Publishing (5.0%)
--------------------------------------------------------------------------------------------------------------------------------
300,000 Advertising Direct 144A sr. notes 9 1/4s, 2012 (Canada) 316,875
382,086 CanWest Media, Inc. 144A sr. sub. notes 8s, 2012 (Canada) 410,742
185,000 Dex Media West, LLC/Dex Media Finance Co. sr. notes Ser. B, 8 1/2s, 2010 202,575
85,000 Dex Media, Inc. disc. notes zero %, 2013 66,938
345,000 Dex Media, Inc. notes 8s, 2013 374,325
315,000 Houghton Mifflin Co. sr. sub. notes 9 7/8s, 2013 333,113
175,000 MediaNews Group, Inc. sr. sub. notes 6 7/8s, 2013 178,063
130,000 PRIMEDIA, Inc. company guaranty 8 7/8s, 2011 140,400
80,000 PRIMEDIA, Inc. company guaranty 7 5/8s, 2008 81,200
190,000 PRIMEDIA, Inc. sr. notes 8s, 2013 202,350
80,000 R. H. Donnelley Corp. 144A sr. notes 6 7/8s, 2013 82,200
335,000 Reader's Digest Association, Inc. (The) sr. notes 6 1/2s, 2011 351,331
20,000 RH Donnelley Finance Corp. I company guaranty 8 7/8s, 2010 22,100
170,000 RH Donnelley Finance Corp. I 144A company guaranty 8 7/8s, 2010 187,850
85,000 RH Donnelley Finance Corp. I 144A sr. sub. notes 10 7/8s, 2012 99,663
245,000 Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009 250,513
120,000 Vertis, Inc. 144A sub. notes 13 1/2s, 2009 118,800
105,000 WRC Media Corp. sr. sub. notes 12 3/4s, 2009 97,650
--------------------------------------------------------------------------------------------------------------------------------
3,516,688
Restaurants (0.4%)
--------------------------------------------------------------------------------------------------------------------------------
80,000 Domino's, Inc. sr. sub. notes 8 1/4s, 2011 86,400
155,000 Sbarro, Inc. company guaranty 11s, 2009 155,775
--------------------------------------------------------------------------------------------------------------------------------
242,175
Retail (2.1%)
--------------------------------------------------------------------------------------------------------------------------------
80,000 Asbury Automotive Group, Inc. sr. sub. notes 8s, 2014 82,600
160,000 Autonation, Inc. company guaranty 9s, 2008 180,800
155,000 JC Penney Co., Inc. debs. 7.95s, 2017 185,004
90,000 JC Penney Co., Inc. debs. 7 1/8s, 2023 100,335
20,000 JC Penney Co., Inc. notes 9s, 2012 24,550
5,000 JC Penney Co., Inc. notes 8s, 2010 5,664
80,000 Jean Coutu Group, Inc. sr. notes 7 5/8s, 2012 (Canada) 84,000
90,000 Jean Coutu Group, Inc. sr. sub. notes 8 1/2s, 2014 (Canada) 92,250
100,000 Rite Aid Corp. company guaranty 9 1/2s, 2011 108,500
5,000 Rite Aid Corp. debs. 6 7/8s, 2013 4,700
15,000 Rite Aid Corp. notes 7 1/8s, 2007 15,225
75,000 Rite Aid Corp. sr. notes 9 1/4s, 2013 75,375
80,000 Rite Aid Corp. 144A sec. notes 7 1/2s, 2015 79,200
195,000 Saks, Inc. company guaranty 7s, 2013 202,800
180,000 Toys R Us, Inc. notes 7 5/8s, 2011 183,150
70,000 United Auto Group, Inc. company guaranty 9 5/8s, 2012 77,700
--------------------------------------------------------------------------------------------------------------------------------
1,501,853
Technology (3.2%)
--------------------------------------------------------------------------------------------------------------------------------
200,000 Advanced Micro Devices, Inc. 144A sr. notes 7 3/4s, 2012 204,000
82,000 AMI Semiconductor, Inc. company guaranty 10 3/4s, 2013 95,325
70,000 Amkor Technologies, Inc. sr. sub. notes 10 1/2s, 2009 65,975
250,000 Celestica, Inc. sr.sub. notes 7 7/8s, 2011 (Canada) 263,125
115,000 Iron Mountain, Inc. company guaranty 8 5/8s, 2013 121,325
125,000 Iron Mountain, Inc. company guaranty 7 3/4s, 2015 127,188
10,000 Lucent Technologies, Inc. debs. 6 1/2s, 2028 9,463
175,000 Lucent Technologies, Inc. debs. 6.45s, 2029 166,469
65,000 New ASAT Finance, Ltd. 144A company guaranty 9 1/4s, 2011 (Cayman Islands) 55,900
65,000 SCG Holding Corp. 144A notes zero %, 2011 92,788
110,000 Seagate Technology Hdd Holdings company guaranty 8s, 2009 (Cayman Islands) 118,525
280,000 UGS Corp. 144A sr. sub. notes 10s, 2012 316,400
130,000 Xerox Capital Trust I company guaranty 8s, 2027 137,150
65,000 Xerox Corp. notes Ser. MTN, 7.2s, 2016 69,713
210,000 Xerox Corp. sr. notes 7 5/8s, 2013 227,588
180,000 Xerox Corp. sr. notes 6 7/8s, 2011 192,600
--------------------------------------------------------------------------------------------------------------------------------
2,263,534
Textiles (1.0%)
--------------------------------------------------------------------------------------------------------------------------------
260,000 Levi Strauss & Co. sr. notes 12 1/4s, 2012 297,700
135,000 Levi Strauss & Co. 144A sr. notes 9 3/4s, 2015 142,256
75,000 Oxford Industries, Inc. sr. notes 8 7/8s, 2011 80,250
120,000 Russell Corp. company guaranty 9 1/4s, 2010 129,300
68,000 William Carter Holdings Co. (The) company guaranty Ser. B, 10 7/8s, 2011 75,990
--------------------------------------------------------------------------------------------------------------------------------
725,496
Tire & Rubber (0.4%)
--------------------------------------------------------------------------------------------------------------------------------
35,000 Goodyear Tire & Rubber Co. (The) notes 8 1/2s, 2007 37,100
180,000 Goodyear Tire & Rubber Co. (The) notes 7.857s, 2011 187,650
35,000 Goodyear Tire & Rubber Co. (The) notes 6 3/8s, 2008 35,350
--------------------------------------------------------------------------------------------------------------------------------
260,100
Transportation (1.1%)
--------------------------------------------------------------------------------------------------------------------------------
95,000 American Airlines, Inc. pass-through certificates Ser. 01-1, 6.817s, 2011 90,725
170,000 Calair, LLC/Calair Capital Corp. company guaranty 8 1/8s, 2008 136,000
200,000 Kansas City Southern Railway Co. company guaranty 9 1/2s, 2008 223,000
30,000 Kansas City Southern Railway Co. company guaranty 7 1/2s, 2009 31,425
120,000 Navistar International Corp. company guaranty Ser. B, 9 3/8s, 2006 127,350
85,000 Navistar International Corp. 144A sr. notes 6 1/4s, 2012 85,638
61,754 NWA Trust sr. notes Ser. A, 9 1/4s, 2012 65,459
40,000 Travelcenters of America, Inc. company guaranty 12 3/4s, 2009 44,600
--------------------------------------------------------------------------------------------------------------------------------
804,197
Utilities & Power (7.3%)
--------------------------------------------------------------------------------------------------------------------------------
13,000 AES Corp. (The) sr. notes 8 7/8s, 2011 14,869
4,000 AES Corp. (The) sr. notes 8 3/4s, 2008 4,410
130,000 AES Corp. (The) 144A sec. notes 9s, 2015 148,850
190,000 AES Corp. (The) 144A sec. notes 8 3/4s, 2013 216,125
100,000 Allegheny Energy Supply 144A bonds 8 1/4s, 2012 114,000
65,000 Allegheny Energy Supply 144A sec. notes 10 1/4s, 2007 73,044
130,000 CMS Energy Corp. sr. notes 8.9s, 2008 144,625
40,000 CMS Energy Corp. sr. notes 8 1/2s, 2011 45,600
30,000 CMS Energy Corp. sr. notes 7 3/4s, 2010 32,925
340,000 DPL, Inc. bonds 8 1/8s, 2031 416,037
55,000 Dynegy Holdings, Inc. sr. notes 6 7/8s, 2011 51,219
245,000 Dynegy Holdings, Inc. 144A sec. notes 10 1/8s, 2013 279,300
65,000 Dynegy-Roseton Danskamme company guaranty Ser. A, 7.27s, 2010 64,350
100,000 Dynegy-Roseton Danskamme company guaranty Ser. B, 7.67s, 2016 93,750
45,000 Edison Mission Energy sr. notes 10s, 2008 51,750
40,000 El Paso CGP Co. notes 7 3/4s, 2010 42,100
95,000 El Paso Corp. sr. notes 8.05s, 2030 96,425
65,000 El Paso Corp. sr. notes 7 3/8s, 2012 66,463
65,000 El Paso Corp. sr. notes Ser. MTN, 7 3/4s, 2032 65,488
30,000 El Paso Natural Gas Co. debs. 8 5/8s, 2022 35,850
170,000 El Paso Production Holding Co. company guaranty 7 3/4s, 2013 182,325
115,000 Ferrellgas Partners LP/Ferrellgas Partners Finance sr. notes 6 3/4s, 2014 115,575
35,000 Kansas Gas & Electric debs. 8.29s, 2016 36,222
225,000 Midwest Generation, LLC sec. sr. notes 8 3/4s, 2034 258,188
145,000 Mission Energy Holding Co. sec. notes 13 1/2s, 2008 181,250
70,000 Monongahela Power Co. 1st mtge. 6.7s, 2014 77,525
85,000 Nevada Power Co. 2nd mtge. 9s, 2013 98,175
55,000 Nevada Power Co. 144A general ref. mtge. 5 7/8s, 2015 55,688
175,000 Northwest Pipeline Corp. company guaranty 8 1/8s, 2010 192,281
10,000 Northwestern Corp. debs. 6.95s, 2028 (In default) (NON) (F) 1
20,000 Northwestern Corp. notes 8 3/4s, 2012 (In default) (NON) (F) 1
348,000 NRG Energy, Inc. 144A sr. sec. notes 8s, 2013 384,540
100,000 Orion Power Holdings, Inc. sr. notes 12s, 2010 125,000
105,000 PSEG Energy Holdings, Inc. notes 7 3/4s, 2007 110,513
85,000 SEMCO Energy, Inc. sr. notes 7 3/4s, 2013 89,378
110,000 SEMCO Energy, Inc. 144A sr. notes 7 3/4s, 2013 114,400
25,000 Sierra Pacific Power Co. general ref. mtge. 6 1/4s, 2012 26,188
165,000 Sierra Pacific Resources sr. notes 8 5/8s, 2014 182,325
20,000 Southern California Edison Co. notes 6 3/8s, 2006 20,453
55,000 Teco Energy, Inc. notes 10 1/2s, 2007 63,250
35,000 Teco Energy, Inc. notes 7.2s, 2011 38,500
55,000 Teco Energy, Inc. notes 7s, 2012 60,500
15,000 Tennessee Gas Pipeline Co. debs. 7s, 2028 15,600
75,000 Tennessee Gas Pipeline Co. unsecd. notes 7 1/2s, 2017 83,438
140,000 Texas Genco LLC/Texas Genco Financing Corp. 144A sr. notes 6 7/8s, 2014 149,450
20,000 Transcontinental Gas Pipeline Corp. debs. 7 1/4s, 2026 22,525
105,000 Utilicorp Canada Finance Corp. company guaranty 7 3/4s, 2011 (Canada) 111,300
75,000 Utilicorp United, Inc. sr. notes 9.95s, 2011 86,063
25,000 Williams Cos., Inc. (The) notes 8 3/4s, 2032 31,625
25,000 Williams Cos., Inc. (The) notes 8 1/8s, 2012 29,063
95,000 Williams Cos., Inc. (The) notes 7 5/8s, 2019 109,725
73,041 York Power Funding 144A notes 12s, 2007 (In default) (NON) (F) 7
--------------------------------------------------------------------------------------------------------------------------------
5,108,254
--------------------------------------------------------------------------------------------------------------------------------
Total Corporate bonds and notes (cost $60,376,765) $63,165,462
--------------------------------------------------------------------------------------------------------------------------------
Common stocks (2.5%) (a)
--------------------------------------------------------------------------------------------------------------------------------
Number of shares Value
--------------------------------------------------------------------------------------------------------------------------------
307 AboveNet, Inc. (NON) $9,210
13,481 Alderwoods Group, Inc. (NON) 165,142
180,000 AMRESCO Creditor Trust (acquired various dates from 5/5/99 to 5/10/00,
cost $38,828) (RES)(NON) (R) (F) 180
195 Birch Telecom, Inc. (NON) (F) 2
4,405 Celanese Corp. Ser. A (NON) 73,564
20,176 Coinmach Service Corp. IDS (Income Deposit Securities) 266,121
85 Comdisco Holding Co., Inc. 2,342
112 Compass Minerals International, Inc. 2,800
505,286 Contifinancial Corp. Liquidating Trust Units 12,632
3,010 Covad Communications Group, Inc. (NON) 4,575
159 Crown Castle International Corp. (NON) 2,598
5,403 Globix Corp. (NON) 18,911
115,000 iPCS Escrow, Inc. (NON) (F) 115
3,613 iPCS, Inc. (NON) 108,390
33 Knology, Inc. (NON) 89
28 Leucadia National Corp. 938
20,000 Loewen Group International, Inc. (NON) (F) 2
978 Northwestern Corp. (NON) 27,325
136 Polymer Group, Inc. Class A (NON) 2,720
576 PSF Group Holdings, Inc. 144A Class A (NON) (F) 1,007,633
10 Sterling Chemicals, Inc. (NON) 450
178 Sun Healthcare Group, Inc. (NON) 1,214
40 USA Mobility, Inc. (NON) 1,570
259,509 VFB LLC (acquired various dates from 12/21/99 to 10/27/00, cost $214,226)
(RES)(NON) 53,199
40,417 VS Holdings, Inc. (NON) 40
--------------------------------------------------------------------------------------------------------------------------------
Total Common stocks (cost $4,317,110) $1,761,762
--------------------------------------------------------------------------------------------------------------------------------
Foreign government bonds and notes (1.8%) (a)
--------------------------------------------------------------------------------------------------------------------------------
Principal amount Value
--------------------------------------------------------------------------------------------------------------------------------
$45,000 Brazil (Federal Republic of) bonds 10 1/2s, 2014 $52,605
35,000 Colombia (Republic of) bonds 10 3/8s, 2033 39,725
35,000 Colombia (Republic of) bonds Ser. NOV, 9 3/4s, 2009 39,463
75,000 Colombia (Republic of) notes 10 3/4s, 2013 87,563
60,000 Ecuador (Republic of) bonds stepped-coupon Ser. REGS, 7s (8s,
8/15/05), 2030 (STP) 55,800
140,000 Indonosia (Republic of) 144A sr. notes 6 3/4s, 2014 143,710
160,000 Intelsat Bermuda, Ltd. 144A sr. notes 8 5/8s, 2015 170,800
45,000 Peru (Republic of) bonds 8 3/4s, 2033 48,713
120,000 Philippines (Republic of) bonds 9 1/2s, 2030 120,600
150,000 Philippines (Republic of) bonds 8 3/8s, 2011 155,475
170,000 Russia (Federation of) unsub. stepped-coupon 5s (7 1/2s, 3/31/07), 2030 (STP) 178,585
120,000 United Mexican States bonds Ser. MTN, 8.3s, 2031 144,660
45,000 Venezuela (Republic of) notes 10 3/4s, 2013 51,953
--------------------------------------------------------------------------------------------------------------------------------
Total Foreign government bonds and notes (cost $1,192,699) $1,289,652
--------------------------------------------------------------------------------------------------------------------------------
Convertible preferred stocks (0.6%) (a)
--------------------------------------------------------------------------------------------------------------------------------
Number of shares Value
--------------------------------------------------------------------------------------------------------------------------------
1,537 Crown Castle International Corp. $3.125 cum. cv. pfd. $75,505
2,929 Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd. 137,297
1,400 Huntsman Corp. $2.50 cv. pfd. 82,278
917 Omnicare, Inc. $2.00 cv. pfd. 47,684
1,160 Williams Cos., Inc. (The) 144A $2.75 cv. pfd. 106,575
--------------------------------------------------------------------------------------------------------------------------------
Total Convertible preferred stocks (cost $363,988) $449,339
--------------------------------------------------------------------------------------------------------------------------------
Convertible bonds and notes (0.6%) (a)
--------------------------------------------------------------------------------------------------------------------------------
Principal amount Value
--------------------------------------------------------------------------------------------------------------------------------
$490,000 Cybernet Internet Services International, Inc. 144A cv. sr. disc. notes
13s, 2009 (Denmark) (In default) (NON) $5
65,000 Fairchild Semiconductor International, Inc. cv. company guaranty 5s, 2008 65,488
390,000 Kulicke & Soffa Industries, Inc. cv. sub. notes 0 1/2s, 2008 295,913
50,000 WCI Communities, Inc. cv. sr. sub. notes 4s, 2023 68,813
--------------------------------------------------------------------------------------------------------------------------------
Total Convertible bonds and notes (cost $817,071) $430,219
--------------------------------------------------------------------------------------------------------------------------------
Preferred stocks (0.5%) (a)
--------------------------------------------------------------------------------------------------------------------------------
Number of shares Value
--------------------------------------------------------------------------------------------------------------------------------
1,828 Doane Pet Care Co. $7.125 pfd. $95,056
3 Dobson Communications Corp. 13.00% pfd. (PIK) 1,680
80 First Republic Capital Corp. 144A 10.50% pfd. 82,800
13 Paxson Communications Corp. 14.25% cum. pfd. (PIK) 105,300
100 PRIMEDIA, Inc. Ser. F, $9.20 cum. pfd. 10,050
84 Rural Cellular Corp. Ser. B, 11.375% cum. pfd. (PIK) 79,800
--------------------------------------------------------------------------------------------------------------------------------
Total Preferred stocks (cost $381,819) $374,686
--------------------------------------------------------------------------------------------------------------------------------
Units (0.3%) (a) (Cost $812,266)
--------------------------------------------------------------------------------------------------------------------------------
Number of units Value
--------------------------------------------------------------------------------------------------------------------------------
446 XCL Equity Units (F) $197,851
Brady bonds (0.1%) (a) (cost $98,410)
--------------------------------------------------------------------------------------------------------------------------------
Principal amount Value
--------------------------------------------------------------------------------------------------------------------------------
$105,600 Peru (Republic of) FRB Ser. 20 YR, 5s, 2017 $100,584
Senior loans (0.1%) (a)(c) (cost $81,265)
--------------------------------------------------------------------------------------------------------------------------------
Principal amount Value
--------------------------------------------------------------------------------------------------------------------------------
$90,000 Olympus Cable bank term loan FRN Ser. B, 7 1/4s, 2010 $89,409
Asset-backed securities (0.1%) (a) (Cost $ 60,000)
--------------------------------------------------------------------------------------------------------------------------------
Principal amount Value
--------------------------------------------------------------------------------------------------------------------------------
$60,000 Verdi Synthetic CLO 144A Ser. 1A, Class E2, 11.15s, 2010 $60,825
Warrants (--%) (a) (NON)
--------------------------------------------------------------------------------------------------------------------------------
Number of warrants Expiration date Value
--------------------------------------------------------------------------------------------------------------------------------
108 AboveNet, Inc. 9/8/2008 $1,080
127 AboveNet, Inc. 9/8/2010 762
200 Dayton Superior Corp. 144A 6/15/2009 1
1 Doe Run Resources Corp. 144A (F) 10/29/2012 1
89 MDP Acquisitions PLC 144A 10/1/2013 2,492
70 Mikohn Gaming Corp. 144A 8/15/2008 1,274
8 NTL, Inc. 1/13/2011 20
80 Pliant Corp. 144A 6/1/2010 1
120 Travelcenters of America, Inc. 144A 5/1/2009 600
350 Ubiquitel, Inc. 144A 4/15/2010 1
310 Washington Group International, Inc. Ser. C 1/25/2006 3,395
190 XM Satellite Radio Holdings, Inc. 144A 3/15/2010 15,200
--------------------------------------------------------------------------------------------------------------------------------
Total Warrants (cost $127,021) $24,827
--------------------------------------------------------------------------------------------------------------------------------
Short-term investments (2.0%) (a) (cost $ 1,408,097)
--------------------------------------------------------------------------------------------------------------------------------
Principal amount Value
--------------------------------------------------------------------------------------------------------------------------------
$1,408,097 Putnam Prime Money Market Fund (e) $1,408,097
--------------------------------------------------------------------------------------------------------------------------------
Total Investments (cost $70,036,511) (b) $69,352,713
================================================================================================================================
Putnam Managed High Yield Trust
Forward currency contracts to sell at
February 28, 2005 (Unaudited)
(aggregate face value $1,923,143)
Unrealized
Aggregate Delivery appreciation/
Value face value date (depreciation)
--------------------------------------------------------------------------------------------------------------------------------
British Pound $339,358 $340,276 3/16/05 $918
Euro 1,593,833 1,582,867 3/16/05 (10,966)
--------------------------------------------------------------------------------------------------------------------------------
$(10,048)
================================================================================================================================
Putnam Managed High Yield Trust
Credit default contracts outstanding at February 28, 2005 (Unaudited)
Notional Unrealized
amount appreciation
--------------------------------------------------------------------------------------------------------------------------------
Agreement with Goldman Sachs effective September 2, 2004, terminating on the date
on which the notional amount is reduced to zero or the date on which the assets
securing the reference obligation are liquidated, the fund receives a payment of
the outstanding notional amount times 2.35% and the fund pays in the event of a
credit default in one of the underlying securities in the basket of BB CMBS
securities. $24,593 $1,223
Agreement with Goldman Sachs effective September 2, 2004, terminating on the date
on which the notional amount is reduced to zero or the date on which the assets
securing the reference obligation are liquidated, the fund receives a payment of
the outstanding notional amount times 2.55625% and the fund pays in the event of a
credit default in one of the underlying securities in the basket of BB CMBS
securities. 24,593 651
Agreement with Goldman Sachs effective September 2, 2004, terminating on the date
on which the notional amount is reduced to zero or the date on which the assets
securing the reference obligation are liquidated, the fund receives a payment of
the outstanding notional amount times 2.4625% and the fund pays in the event of a
credit default in one of the underlying securities in the basket of BB CMBS
securities. 12,296 573
Agreement with Goldman Sachs effective September 2, 2004, terminating on the date
on which the notional amount is reduced to zero or the date on which the assets
securing the reference obligation are liquidated, the fund receives a payment of
the outstanding notional amount times 2.433% and the fund pays in the event of a
credit default in one of the underlying securities in the basket of BB CMBS
securities. 9,222 405
Agreement with Goldman Sachs effective September 2, 2004, terminating on the date
on which the notional amount is reduced to zero or the date on which the assets
securing the reference obligation are liquidated, the fund receives a payment of
the outstanding notional amount times 2.475% and the fund pays in the event of a
credit default in one of the underlying securities in the basket of BB CMBS
securities. 6,148 201
Agreement with Goldman Sachs effective September 2, 2004, terminating on the date
on which the notional amount is reduced to zero or the date on which the assets
securing the reference obligation are liquidated, the fund receives a payment of
the outstanding notional amount times 2.5% and the fund pays in the event of a
credit default in one of the underlying securities in the basket of BB CMBS
securities. 3,074 195
Agreement with Goldman Sachs effective September 2, 2004, terminating on the date
on which the notional amount is reduced to zero or the date on which the assets
securing the reference obligation are liquidated, the fund receives a payment of
the outstanding notional amount times 2.6% and the fund pays in the event of a
credit default in one of the underlying securities in the basket of BB CMBS
securities. 3,074 31
--------------------------------------------------------------------------------------------------------------------------------
$3,279
================================================================================================================================
NOTES
(a) Percentages indicated are based on net assets of $70,346,291.
(b) The aggregate identified cost on a tax basis is $70,332,594, resulting
in gross unrealized appreciation and depreciation of $4,027,855 and
$5,007,736, respectively, or net unrealized depreciation of $979,881.
(c) Senior loans are exempt from registration under the Security Act of
1933, as amended, but contain certain restrictions on resale and cannot be
sold publicly. These loans pay interest at rates which adjust
periodically. The interest rate shown for senior loans are the current
interest rates at February 28, 2005. Senior loans are also subject to
mandatory and/or optional prepayment which cannot be predicted. As a
result, the remaining maturity may be substantially less than the stated
maturity shown.
(NON) Non-income-producing security.
(STP) The interest rate and date shown parenthetically represent the new
interest rate to be paid and the date the fund will begin accruing
interest at this rate.
(RES) Restricted, excluding 144A securities, as to public resale. The
total market value of restricted securities held at February 28, 2005 was
$53,379 or 0.08% of net assets.
(PIK) Income may be received in cash or additional securities at the
discretion of the issuer.
(R) Real Estate Investment Trust.
(e) Pursuant to an Exemptive Order from the Securities and Exchange
Commission, the fund invests in Putnam Prime Money Market Fund, an
open-end management investment company managed by Putnam Investment
Management, LLC ("Putnam Management"), the fund's manager, an indirect
wholly-owned subsidiary of Putnam, LLC. Management fees paid by the fund
are reduced by an amount equal to the management fees paid by Putnam Prime
Money Market Fund with respect to assets invested by the fund in Putnam
Prime Money Market Fund. Income distributions earned by the fund totaled
$23,642 for the period ended February 28, 2005.
(F) Security is valued at fair value following procedures approved by the
Trustees.
144A after the name of a security represents those exempt from
registration under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN)
are the current interest rates at February 28, 2005.
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. Market quotations are
not considered to be readily available for certain debt obligations; such
investments are valued at fair value on the basis of valuations furnished
by an independent pricing service or dealers, approved by the Trustees.
Such services or dealers determine valuations for normal
institutional-size trading units of such securities using methods based on
market transactions for comparable securities and various relationships,
generally recognized by institutional traders, between securities. Many
securities markets and exchanges outside the U.S. close prior to the close
of the New York Stock Exchange and therefore the closing prices for
securities in such markets or on such exchanges may not fully reflect
events that occur after such close but before the close of the New York
Stock Exchange. Accordingly, on certain days, the fund will fair value
foreign securities taking into account multiple factors, including
movements in the U.S. securities markets. The number of days on which
fair value prices will be used will depend on market activity and it is
possible that fair value prices will be used by the fund to a significant
extent.
Securities quoted in foreign currencies are translated into U.S.
dollars at the current exchange rate.
Short-term investments having remaining maturities of 60 days or less are
valued at amortized cost, which approximates fair value.
Other investments, including certain restricted securities, are valued at
fair value following procedures approved by the Trustees. Such valuations
and procedures are reviewed periodically by the Trustees.
Forward currency contracts The fund may buy and sell forward currency
contracts, which are agreements between two parties to buy and sell
currencies at a set price on a future date. These contracts are used to
protect against a decline in value relative to the U.S. dollar of the
currencies in which its portfolio securities are denominated or quoted (or
an increase in the value of a currency in which securities a fund intends
to buy are denominated, when a fund holds cash reserves and short term
investments). The U.S. dollar value of forward currency contracts is
determined using current forward currency exchange rates supplied by a
quotation service. The market value of the contract will fluctuate with
changes in currency exchange rates. The contract is marked to market
daily and the change in market value is recorded as an unrealized gain or
loss. When the contract is closed, the fund records a realized gain or
loss equal to the difference between the value of the contract at the time
it was opened and the value at the time it was closed.
The fund could be exposed to risk if the value of the currency changes
unfavorably, if the counterparties to the contracts are unable to meet the
terms of their contracts or if the fund is unable to enter into a closing
position. Risks may exceed amounts recognized on the statement of assets
and liabilities. Forward currency contracts outstanding at period end, if
any, are listed after the fund's portfolio.
Credit default contracts The fund may enter into credit default contracts
where one party, the protection buyer, makes an upfront or periodic
payment to a counter party, the protection seller, in exchange for the
right to receive a contingent payment. The maximum amount of the payment
may equal the notional amount, at par, of the underlying index or security
as a result of a related credit event. An upfront payment received by the
fund, as the protection seller, is recorded as a liability on the fund's
books. An upfront payment made by the fund, as the protection buyer, is
recorded as an asset on the fund's books. Periodic payments received or
paid by the fund are recorded as realized gains or losses. The credit
default 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 as a result of a credit event or
termination of the contract are recognized, net of a proportional amount
of the upfront payment, as realized gains or losses.
In addition to bearing the risk that the credit event will occur, the fund
could be exposed to market risk due to unfavorable changes in interest
rates or in the price of the underlying security or index, the possibility
that the fund may be unable to close out its position at the same time or
at the same price as if it had purchased comparable publicly traded
securities or that the counterparty may default on its obligation to
perform. Risks of loss may exceed amounts recognized on the statement of
assets and liabilities. Credit default contracts outstanding at period
end, if any, are listed after the fund's portfolio.
For additional information regarding the fund please see the fund's most
recent annual or semiannual shareholder report filed on the Securities and
Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual
Investor Web site at www.putnaminvestments.com
Item 2. Controls and Procedures:
--------------------------------
(a) The registrant's principal executive officer and principal
financial officer have concluded, based on their evaluation of the
effectiveness of the design and operation of the registrant's
disclosure controls and procedures as of a date within 90 days of
the filing date of this report, that the design and operation of
such procedures are generally effective to provide reasonable
assurance that information required to be disclosed by the registrant
in this report is recorded, processed, summarized and reported within
the time periods specified in the Commission's rules and forms.
(b) Changes in internal control over financial reporting:
Not applicable
Item 3. Exhibits:
------------------
A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2
under the Investment Company Act of 1940, as amended, are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the registrant has duly
caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
NAME OF REGISTRANT
By (Signature and Title): /s/ Michael T. Healy
--------------------------
Michael T. Healy
Principal Accounting Officer
Date: April 27, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, this report has been signed
below by the following persons on behalf of the registrant and in
the capacities and on the dates indicated.
By (Signature and Title): /s/ Charles E. Porter
---------------------------
Charles E. Porter
Principal Executive Officer
Date: April 27, 2005
By (Signature and Title): /s/ Steven D. Krichmar
---------------------------
Steven D. Krichmar
Principal Financial Officer
Date: April 27, 2005