| Item 1. Schedule of Investments: | |||
| Putnam Managed High Yield Trust | |||
|
| |||
| The fund's portfolio | |||
| 8/31/05 (Unaudited) | |||
| - | |||
|
| |||
| CORPORATE BONDS AND NOTES (90.9%)(a) | |||
|
| |||
| Principal amount | Value | ||
| Advertising and Marketing Services (0.1%) | |||
| Lamar Media Corp. company guaranty 7 1/4s, 2013 | $100,000 | $105,250 | |
|
| |||
| Automotive (3.2%) | |||
| ArvinMeritor, Inc. notes 8 3/4s, 2012 | 50,000 | 51,875 | |
| Dana Corp. notes 10 1/8s, 2010 | 30,000 | 31,508 | |
| Dana Corp. notes 9s, 2011 | 190,000 | 207,338 | |
| Dana Corp. notes 7s, 2029 | 15,000 | 13,223 | |
| Delco Remy International, Inc. company guaranty 11s, 2009 | 40,000 | 28,200 | |
| Delco Remy International, Inc. sr. sub. notes 9 3/8s, 2012 | 160,000 | 102,800 | |
| Dura Operating Corp. company guaranty Ser. B, 8 5/8s, 2012 | 75,000 | 69,375 | |
| Ford Motor Co. notes 7.45s, 2031 | 205,000 | 163,924 | |
| Ford Motor Credit Corp. bonds 7 3/8s, 2011 | 270,000 | 266,237 | |
| Ford Motor Credit Corp. notes 7 7/8s, 2010 | 410,000 | 412,177 | |
| General Motors Acceptance Corp. bonds 8s, 2031 | 140,000 | 129,521 | |
| Meritor Automotive, Inc. notes 6.8s, 2009 | 115,000 | 113,275 | |
| Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014 | 100,000 | 103,750 | |
| Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s, 2013 | 300,000 | 340,500 | |
| TRW Automotive Inc. sr. sub. notes 11s, 2013 | 145,000 | 166,750 | |
| 2,200,453 | |||
|
| |||
| Basic Materials (10.3%) | |||
| AK Steel Corp. company guaranty 7 3/4s, 2012 | 120,000 | 111,300 | |
| Almatis Investment Holdings Sarl sr. notes 11s, 2013 (Luxembourg) (PIK) | 179,869 | 190,211 | |
| ALROSA Finance SA 144A company guaranty 8 7/8s, 2014 (Luxembourg) | 125,000 | 145,938 | |
| BCP Crystal US Holdings Corp. sr. sub. notes 9 5/8s, 2014 | 130,000 | 147,388 | |
| Century Aluminum Co. company guaranty 7 1/2s, 2014 | 60,000 | 62,100 | |
| Chaparral Steel Co. 144A sr. unsecd. notes 10s, 2013 | 210,000 | 220,500 | |
| Chesapeake Corp. sr. sub. notes 7s, 2014 | EUR | 185,000 | 227,381 |
| Cognis Holding GmbH & Co. 144A sr. notes 9 1/2s, 2014 (Germany) | EUR | 210,000 | 286,643 |
| Compass Minerals Group, Inc. company guaranty 10s, 2011 | $80,000 | 88,000 | |
| Compass Minerals International, Inc. sr. disc. notes stepped-coupon Ser. B, zero % (12s, 6/1/08), 2013 | |||
| (STP) | 50,000 | 42,750 | |
| Compass Minerals International, Inc. sr. notes stepped-coupon zero % (12 3/4s, 12/15/07), 2012 (STP) | 235,000 | 206,800 | |
| Crystal US Holdings, LLC sr. disc. notes stepped-coupon Ser. A, zero % (10s, 10/1/09), 2014 (STP) | 80,000 | 58,000 | |
| Equistar Chemicals LP notes 8 3/4s, 2009 | 95,000 | 100,938 | |
| Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008 | 290,000 | 319,363 | |
| Georgia-Pacific Corp. bonds 7 3/4s, 2029 | 75,000 | 83,531 | |
| Georgia-Pacific Corp. company guaranty 9 3/8s, 2013 | 130,000 | 145,275 | |
| Georgia-Pacific Corp. debs. 9 1/2s, 2011 | 250,000 | 296,250 | |
| Georgia-Pacific Corp. debs. 7.7s, 2015 | 210,000 | 237,825 | |
| Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011 (Canada) | 175,000 | 194,688 | |
| Hercules, Inc. company guaranty 11 1/8s, 2007 | 75,000 | 84,000 | |
| Hercules, Inc. company guaranty 6 3/4s, 2029 | 140,000 | 138,600 | |
| Huntsman Advanced Materials, LLC sec. FRN 11.82s, 2008 | 8,000 | 8,390 | |
| Huntsman Advanced Materials, LLC sec. notes 11s, 2010 | 40,000 | 45,400 | |
| Huntsman, LLC company guaranty 11 5/8s, 2010 | 78,000 | 91,358 | |
| Huntsman, LLC company guaranty 11 1/2s, 2012 | 40,000 | 46,900 | |
| Innophos, Inc. 144A sr. sub. notes 8 7/8s, 2014 | 325,000 | 334,344 | |
| Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012 | 5,000 | 4,938 | |
| Jefferson Smurfit Corp. company guaranty 7 1/2s, 2013 | 10,000 | 9,525 | |
| JSG Holding PLC 144A sr. notes 11 1/2s, 2015 (Ireland) (PIK) | EUR | 101,948 | 116,903 |
| Lyondell Chemical Co. bonds 11 1/8s, 2012 | $10,000 | 11,375 | |
| Lyondell Chemical Co. company guaranty 10 1/2s, 2013 | 130,000 | 149,825 | |
| Lyondell Chemical Co. company guaranty 9 1/2s, 2008 | 100,000 | 105,250 | |
| Lyondell Chemical Co. notes Ser. A, 9 5/8s, 2007 | 65,000 | 68,575 | |
| MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland) | 245,000 | 250,513 | |
| MDP Acquisitions PLC sr. notes Ser. EUR, 10 1/8s, 2012 (Ireland) | EUR | 5,000 | 6,711 |
| Nalco Co. sr. notes 7 3/4s, 2011 | EUR | 10,000 | 13,379 |
| Nalco Co. sr. sub. notes 9s, 2013 | EUR | 65,000 | 87,324 |
| Nalco Co. sr. sub. notes 8 7/8s, 2013 | $300,000 | 322,875 | |
| Nell AF Sarl 144A sr. notes 8 3/8s, 2015 (Luxembourg) | 105,000 | 106,181 | |
| Norske Skog Canada, Ltd. sr. notes 7 3/8s, 2014 (Canada) | 75,000 | 74,250 | |
| Novelis, Inc. 144A sr. notes 7 1/4s, 2015 (Canada) | 460,000 | 461,150 | |
| PCI Chemicals Canada sec. sr. notes 10s, 2008 (Canada) | 31,547 | 33,598 | |
| PQ Corp. 144A company guaranty 7 1/2s, 2013 | 60,000 | 60,300 | |
| Rockwood Specialties Group, Inc. company guaranty 7 5/8s, 2014 | EUR | 235,000 | 301,695 |
| SGL Carbon Luxembourg SA 144A sr. notes 8 1/2s, 2012 (Luxembourg) | EUR | 50,000 | 67,265 |
| Steel Dynamics, Inc. company guaranty 9 1/2s, 2009 | $110,000 | 117,425 | |
| Sterling Chemicals, Inc. sec. notes 10s, 2007 (PIK) | 27,275 | 27,002 | |
| Stone Container Corp. sr. notes 9 3/4s, 2011 | 40,000 | 41,700 | |
| Stone Container Corp. sr. notes 8 3/8s, 2012 | 140,000 | 139,300 | |
| Stone Container Finance company guaranty 7 3/8s, 2014 (Canada) | 215,000 | 202,638 | |
| Tembec Industries, Inc. company guaranty 7 3/4s, 2012 (Canada) | 25,000 | 18,500 | |
| Texas Industries, Inc. 144A sr. notes 7 1/4s, 2013 | 45,000 | 46,913 | |
| Ucar Finance, Inc. company guaranty 10 1/4s, 2012 | 90,000 | 96,300 | |
| United States Steel Corp. sr. notes 9 3/4s, 2010 | 214,000 | 234,330 | |
| Wheeling-Pittsburgh Steel Corp. sr. notes 6s, 2010 (PIK) | 7,393 | 5,914 | |
| Wheeling-Pittsburgh Steel Corp. sr. notes 5s, 2011 (PIK) | 14,333 | 11,466 | |
| WHX Corp. sr. notes 10 1/2s, 2005 (In default) (F)(NON)(DEF) | 40,000 | 4 | |
| 7,106,997 | |||
|
| |||
| Beverage (0.1%) | |||
| Constellation Brands, Inc. company guaranty Ser. B, 8s, 2008 | 45,000 | 47,363 | |
| Constellation Brands, Inc. sr. sub. notes Ser. B, 8 1/8s, 2012 | 45,000 | 47,869 | |
| 95,232 | |||
|
| |||
| Broadcasting (4.0%) | |||
| British Sky Broadcasting PLC company guaranty 6 7/8s, 2009 (United Kingdom) | 210,000 | 224,966 | |
| DirecTV Holdings, LLC sr. notes 8 3/8s, 2013 | 194,000 | 212,915 | |
| DirecTV Holdings, LLC 144A sr. notes 6 3/8s, 2015 | 520,000 | 518,700 | |
| Diva Systems Corp. sr. disc. notes Ser. B, 12 5/8s, 2008 (In default) (NON) | 440,000 | 2,200 | |
| Echostar DBS Corp. company guaranty 6 5/8s, 2014 | 165,000 | 163,556 | |
| Echostar DBS Corp. sr. notes 6 3/8s, 2011 | 235,000 | 233,531 | |
| Emmis Communications Corp. sr. notes FRN 9.745s, 2012 | 95,000 | 96,188 | |
| Granite Broadcasting Corp. sec. notes 9 3/4s, 2010 | 255,000 | 240,656 | |
| Gray Television, Inc. company guaranty 9 1/4s, 2011 | 105,000 | 114,188 | |
| Paxson Communications Corp. company guaranty 10 3/4s, 2008 | 105,000 | 105,000 | |
| Rainbow National Services, LLC 144A sr. notes 8 3/4s, 2012 | 155,000 | 168,756 | |
| Rainbow National Services, LLC 144A sr. sub. debs. 10 3/8s, 2014 | 150,000 | 171,000 | |
| Sinclair Broadcast Group, Inc. company guaranty 8 3/4s, 2011 | 60,000 | 63,600 | |
| Sirius Satellite Radio, Inc. 144A sr. notes 9 5/8s, 2013 | 140,000 | 137,550 | |
| Young Broadcasting, Inc. company guaranty 10s, 2011 | 301,000 | 289,713 | |
| Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014 | 65,000 | 58,825 | |
| 2,801,344 | |||
|
| |||
| Building Materials (0.8%) | |||
| Associated Materials, Inc. company guaranty 9 3/4s, 2012 | 70,000 | 71,575 | |
| Building Materials Corp. company guaranty 8s, 2008 | 60,000 | 59,850 | |
| Owens Corning bonds 7 1/2s, 2018 (In default) (NON) | 5,000 | 4,375 | |
| Owens Corning notes 7 1/2s, 2006 (In default) (NON) | 120,000 | 105,600 | |
| THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub. notes 8 1/2s, 2014 | 350,000 | 340,375 | |
| 581,775 | |||
|
| |||
| Cable Television (3.1%) | |||
| Adelphia Communications Corp. sr. notes 10 7/8s, 2010 (In default) (NON) | 20,000 | 16,825 | |
| Adelphia Communications Corp. sr. notes 10 1/4s, 2011 (In default) (NON) | 90,000 | 79,200 | |
| Adelphia Communications Corp. sr. notes 10 1/4s, 2006 (In default) (NON) | 5,000 | 4,181 | |
| Adelphia Communications Corp. sr. notes 9 3/8s, 2009 (In default) (NON) | 5,000 | 4,344 | |
| Adelphia Communications Corp. sr. notes Ser. B, 9 7/8s, 2007 (In default) (NON) | 40,000 | 33,850 | |
| Atlantic Broadband Finance, LLC 144A sr. sub. notes 9 3/8s, 2014 | 255,000 | 247,350 | |
| Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012 | 195,000 | 193,781 | |
| Charter Communications Holdings, LLC/Capital Corp. sr. disc. notes stepped-coupon zero % (12 1/8s, | |||
| 1/15/07), 2012 (STP) | 35,000 | 20,913 | |
| Charter Communications Holdings, LLC/Capital Corp. sr. disc. notes stepped-coupon zero % (11 3/4s, | |||
| 5/15/06), 2011 (STP) | 5,000 | 3,388 | |
| Charter Communications Holdings, LLC/Capital Corp. sr. notes 11 1/8s, 2011 | 240,000 | 184,200 | |
| Charter Communications Holdings, LLC/Capital Corp. sr. notes 10 3/4s, 2009 | 200,000 | 170,000 | |
| Charter Communications Holdings, LLC/Capital Corp. sr. notes 10 1/4s, 2010 | 75,000 | 61,125 | |
| Charter Communications Holdings, LLC/Capital Corp. sr. notes 10s, 2011 | 175,000 | 132,125 | |
| Charter Communications Holdings, LLC/Capital Corp. sr. notes 9 5/8s, 2009 | 200,000 | 165,250 | |
| Charter Communications Holdings, LLC/Capital Corp. sr. notes 8 5/8s, 2009 | 20,000 | 16,550 | |
| CSC Holdings, Inc. debs. 7 5/8s, 2018 | 45,000 | 43,650 | |
| CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011 | 80,000 | 80,200 | |
| CSC Holdings, Inc. 144A sr. notes 6 3/4s, 2012 | 155,000 | 148,413 | |
| Kabel Deutscheland GmbH 144A company guaranty 10 5/8s, 2014 (Germany) | 270,000 | 301,725 | |
| Quebecor Media, Inc. sr. disc. notes stepped-coupon zero % (13 3/4s, 7/15/06), 2011 (Canada) (STP) | 30,000 | 30,375 | |
| Quebecor Media, Inc. sr. notes 11 1/8s, 2011 (Canada) | 155,000 | 170,888 | |
| Videotron Ltee company guaranty 6 7/8s, 2014 (Canada) | 50,000 | 51,375 | |
| 2,159,708 | |||
|
| |||
| Capital Goods (9.7%) | |||
| AEP Industries, Inc. 144A sr. notes 7 7/8s, 2013 | 65,000 | 66,279 | |
| Aero Invest 1 SA 144A company guaranty FRN 10.667s, 2015 (Luxembourg) (PIK) | EUR | 270,000 | 333,679 |
| Allied Waste North America, Inc. company guaranty Ser. B, 8 1/2s, 2008 | $240,000 | 253,200 | |
| Amsted Industries, Inc. 144A sr. notes 10 1/4s, 2011 | 320,000 | 352,000 | |
| Argo-Tech Corp. sr. notes 9 1/4s, 2011 | 220,000 | 240,900 | |
| BE Aerospace, Inc. sr. notes 8 1/2s, 2010 | 35,000 | 38,325 | |
| BE Aerospace, Inc. sr. sub. notes Ser. B, 8 7/8s, 2011 | 35,000 | 36,575 | |
| Blount, Inc. sr. sub. notes 8 7/8s, 2012 | 125,000 | 136,250 | |
| Browning-Ferris Industries, Inc. debs. 7.4s, 2035 | 80,000 | 69,800 | |
| Browning-Ferris Industries, Inc. sr. notes 6 3/8s, 2008 | 145,000 | 144,275 | |
| Crown Euro Holdings SA sec. notes 9 1/2s, 2011 (France) | 95,000 | 104,738 | |
| Crown Euro Holdings SA sec. sr. notes 10 7/8s, 2013 (France) | 320,000 | 377,600 | |
| Decrane Aircraft Holdings Co. company guaranty zero %, 2008 (acquired 7/23/04, cost $156,000) (RES) | 476,000 | 180,880 | |
| Earle M. Jorgensen Co. sec. notes 9 3/4s, 2012 | 250,000 | 273,750 | |
| Goodman Global Holding Co., Inc. 144A sr. notes 6.41s, 2012 | 30,000 | 29,850 | |
| Goodman Global Holding Co., Inc. 144A sr. sub. notes 7 7/8s, 2012 | 115,000 | 108,675 | |
| Hexcel Corp. sr. sub. notes 6 3/4s, 2015 | 45,000 | 45,113 | |
| Invensys, PLC notes 9 7/8s, 2011 (United Kingdom) | 80,000 | 80,400 | |
| L-3 Communications Corp. company guaranty 6 1/8s, 2013 | 325,000 | 328,250 | |
| L-3 Communications Corp. 144A sr. sub. notes 6 3/8s, 2015 | 165,000 | 167,475 | |
| Legrand SA debs. 8 1/2s, 2025 (France) | 310,000 | 375,100 | |
| Manitowoc Co., Inc. (The) company guaranty 10 1/2s, 2012 | 91,000 | 102,375 | |
| Manitowoc Co., Inc. (The) company guaranty 10 3/8s, 2011 | EUR | 25,000 | 33,863 |
| Manitowoc Co., Inc. (The) sr. notes 7 1/8s, 2013 | $290,000 | 303,050 | |
| Milacron Escrow Corp. sec. notes 11 1/2s, 2011 | 255,000 | 255,000 | |
| Mueller Group, Inc. sr. sub. notes 10s, 2012 | 175,000 | 187,469 | |
| Mueller Holdings, Inc. disc. notes stepped-coupon zero % (14 3/4s, 4/15/09), 2014 (STP) | 105,000 | 76,650 | |
| Owens-Brockway Glass company guaranty 8 1/4s, 2013 | 180,000 | 192,600 | |
| Owens-Brockway Glass company guaranty 7 3/4s, 2011 | 75,000 | 79,500 | |
| Owens-Brockway Glass sr. sec. notes 8 3/4s, 2012 | 170,000 | 185,300 | |
| Owens-Illinois, Inc. debs. 7.8s, 2018 | 70,000 | 71,925 | |
| Polypore, Inc. sr. sub. notes 8 3/4s, 2012 | 155,000 | 141,825 | |
| Sequa Corp. sr. notes Ser. B, 8 7/8s, 2008 | 250,000 | 266,875 | |
| Siebe PLC 144A sr. unsub. 6 1/2s, 2010 (United Kingdom) | 210,000 | 184,275 | |
| Solo Cup Co. sr. sub. notes 8 1/2s, 2014 | 305,000 | 296,613 | |
| TD Funding Corp. company guaranty 8 3/8s, 2011 | 60,000 | 63,600 | |
| Tekni-Plex, Inc. 144A sec. notes 10 7/8s, 2012 | 240,000 | 261,000 | |
| Terex Corp. company guaranty 9 1/4s, 2011 | 35,000 | 37,888 | |
| Terex Corp. company guaranty Ser. B, 10 3/8s, 2011 | 190,000 | 204,488 | |
| 6,687,410 | |||
|
| |||
| Commercial and Consumer Services (0.4%) | |||
| Muzak LLC/Muzak Finance Corp sr. notes 10s, 2009 | 300,000 | 261,000 | |
|
| |||
| Communication Services (6.8%) | |||
| Alamosa Delaware, Inc. company guaranty 11s, 2010 | 60,000 | 67,950 | |
| Alamosa Delaware, Inc. company guaranty 12s, 2009 | 50,000 | 55,750 | |
| Alamosa Delaware, Inc. sr. notes 8 1/2s, 2012 | 70,000 | 75,950 | |
| American Cellular Corp. company guaranty 9 1/2s, 2009 | 35,000 | 37,275 | |
| American Cellular Corp. sr. notes Ser. B, 10s, 2011 | 320,000 | 340,800 | |
| American Tower Corp. sr. notes 9 3/8s, 2009 | 27,000 | 28,316 | |
| American Tower Corp. sr. notes 7 1/2s, 2012 | 65,000 | 68,738 | |
| American Towers, Inc. company guaranty 7 1/4s, 2011 | 125,000 | 131,563 | |
| Asia Global Crossing, Ltd. sr. notes 13 3/8s, 2010 (Bermuda) (In default) (NON) | 96,207 | 3,127 | |
| Centennial Cellular Operating Co., LLC company guaranty 10 1/8s, 2013 | 75,000 | 83,625 | |
| Cincinnati Bell Telephone Co. company guaranty 6.3s, 2028 | 25,000 | 23,250 | |
| Cincinnati Bell, Inc. company guaranty 7s, 2015 | 60,000 | 58,800 | |
| Cincinnati Bell, Inc. sr. sub. notes 8 3/8s, 2014 | 80,000 | 80,800 | |
| Cincinnati Bell, Inc. sr. sub. notes 7 1/4s, 2023 | 70,000 | 67,900 |
| Citizens Communications Co. notes 9 1/4s, 2011 | 185,000 | 204,888 |
| Citizens Communications Co. sr. notes 6 1/4s, 2013 | 160,000 | 154,600 |
| Eircom Funding company guaranty Ser. US$, 8 1/4s, 2013 (Ireland) | 45,000 | 48,375 |
| Globix Corp. company guaranty 11s, 2008 (PIK) | 23,008 | 21,800 |
| Inmarsat Finance PLC company guaranty 7 5/8s, 2012 (United Kingdom) | 90,000 | 94,613 |
| Inmarsat Finance PLC company guaranty stepped-coupon zero % (10 3/8s, 10/15/08), 2012 (United | ||
| Kingdom) (STP) | 175,000 | 143,938 |
| Intelsat Bermuda, Ltd. 144A sr. notes 8 5/8s, 2015 (Bermuda) | 160,000 | 166,000 |
| Intelsat Bermuda, Ltd. 144A sr. notes 8 1/4s, 2013 (Bermuda) | 75,000 | 76,313 |
| iPCS, Inc. sr. notes 11 1/2s, 2012 | 55,000 | 63,525 |
| IWO Holdings, Inc. sec. FRN 7.349s, 2012 | 20,000 | 21,000 |
| Level 3 Financing, Inc. company guaranty 10 3/4s, 2011 | 135,000 | 111,713 |
| Madison River Capital Corp. sr. notes 13 1/4s, 2010 | 58,000 | 62,205 |
| Nextel Communications, Inc. sr. notes Ser. E, 6 7/8s, 2013 | 5,000 | 5,355 |
| Nextel Communications, Inc. sr. notes Ser. F, 5.95s, 2014 | 490,000 | 509,092 |
| Nextel Partners, Inc. sr. notes 12 1/2s, 2009 | 55,000 | 59,606 |
| Nextel Partners, Inc. sr. notes 8 1/8s, 2011 | 225,000 | 244,406 |
| Qwest Communications International, Inc. company guaranty 8s, 2014 | 410,000 | 393,600 |
| Qwest Corp. notes 8 7/8s, 2012 | 330,000 | 360,525 |
| Qwest Corp. 144A sr. notes 7 5/8s, 2015 | 115,000 | 117,875 |
| Qwest Services Corp. sec. notes 14s, 2014 | 65,000 | 79,625 |
| Qwest Services Corp. sec. notes 13 1/2s, 2010 | 85,000 | 97,963 |
| Rogers Cantel, Inc. debs. 9 3/4s, 2016 (Canada) | 50,000 | 61,063 |
| Rogers Wireless Communications, Inc. sec. notes 9 5/8s, 2011 (Canada) | 40,000 | 46,600 |
| Rural Cellular Corp. sr. notes 9 7/8s, 2010 | 120,000 | 127,200 |
| Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010 | 30,000 | 30,375 |
| SBA Communications Corp. sr. notes 8 1/2s, 2012 | 55,000 | 60,019 |
| SBA Telecommunications, Inc./SBA Communications Corp. sr. disc. notes stepped-coupon zero % (9 3/4s, | ||
| 12/15/07), 2011 (STP) | 43,000 | 39,453 |
| Syniverse Technologies, Inc. 144A sr. sub. notes 7 3/4s, 2013 | 60,000 | 61,200 |
| U S West, Inc. debs. 7 1/4s, 2025 | 55,000 | 51,838 |
| Valor Telecommunications Enterprises LLC/Finance Corp. company guaranty 7 3/4s, 2015 | 60,000 | 58,950 |
| 4,697,559 | ||
|
| ||
| Consumer (0.9%) | ||
| Icon Health & Fitness company guaranty 11 1/4s, 2012 | 110,000 | 90,750 |
| Jostens IH Corp. company guaranty 7 5/8s, 2012 | 245,000 | 251,738 |
| Samsonite Corp. sr. sub. notes 8 7/8s, 2011 | 260,000 | 278,200 |
| 620,688 | ||
|
| ||
| Consumer Goods (1.8%) | ||
| Church & Dwight Co., Inc. company guaranty 6s, 2012 | 105,000 | 104,475 |
| Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014 | 45,000 | 47,363 |
| Playtex Products, Inc. company guaranty 9 3/8s, 2011 | 190,000 | 201,400 |
| Playtex Products, Inc. sec. notes 8s, 2011 | 140,000 | 149,100 |
| Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012 | 259,000 | 269,360 |
| Remington Arms Co., Inc. company guaranty 10 1/2s, 2011 | 125,000 | 123,125 |
| Scotts Co. (The) sr. sub. notes 6 5/8s, 2013 | 45,000 | 46,350 |
| Spectrum Brands, Inc. company guaranty 7 3/8s, 2015 | 280,000 | 269,500 |
| 1,210,673 | ||
|
| ||
| Consumer Services (0.5%) | ||
| Brand Services, Inc. company guaranty 12s, 2012 | 350,000 | 372,750 |
|
| ||
| Energy (7.3%) | ||
| Arch Western Finance, LLC sr. notes 6 3/4s, 2013 | 270,000 | 275,400 |
| Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012 (Cayman Islands) | 70,000 | 75,950 |
| CHC Helicopter Corp. 144A sr. sub. notes 7 3/8s, 2014 (Canada) | 85,000 | 86,381 |
| CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014 (Canada) | 100,000 | 101,625 |
| Chesapeake Energy Corp. company guaranty 7 3/4s, 2015 | 45,000 | 48,375 |
| Chesapeake Energy Corp. sr. notes 7 1/2s, 2013 | 210,000 | 225,750 |
| Chesapeake Energy Corp. sr. notes 7s, 2014 | 60,000 | 63,300 |
| Comstock Resources, Inc. sr. notes 6 7/8s, 2012 | 95,000 | 96,188 |
| Dresser-Rand Group, Inc. 144A sr. sub. notes 7 3/8s, 2014 | 22,000 | 22,770 |
| Encore Acquisition Co. 144A sr. sub. notes 6s, 2015 | 152,000 | 148,200 |
| Encore Acquisition Co. sr. sub. notes 6 1/4s, 2014 | 45,000 | 44,775 |
| Exco Resources, Inc. company guaranty 7 1/4s, 2011 | 175,000 | 180,250 |
| Forest Oil Corp. company guaranty 7 3/4s, 2014 | 70,000 | 74,200 |
| Forest Oil Corp. sr. notes 8s, 2008 | 35,000 | 37,013 |
| Forest Oil Corp. sr. notes 8s, 2011 | 145,000 | 159,138 |
| Gazprom OAO 144A notes 9 5/8s, 2013 (Germany) | 110,000 | 134,888 |
| Grant Prideco Escrow, Inc. 144A sr. unsecd. notes 6 1/8s, 2015 | 55,000 | 55,688 |
| Hanover Compressor Co. sr. notes 8 5/8s, 2010 | 40,000 | 43,000 |
| Hanover Compressor Co. sr. notes 9s, 2014 | 70,000 | 77,175 |
| Hanover Compressor Co. sub. notes zero %, 2007 | 95,000 | 85,025 |
| Hanover Equipment Trust sec. notes Ser. B, 8 3/4s, 2011 | 30,000 | 32,175 |
| Harvest Operations Corp. sr. notes 7 7/8s, 2011 (Canada) | 275,000 | 274,313 |
| Inergy LP/Inergy Finance Corp. 144A sr. notes 6 7/8s, 2014 | 275,000 | 268,125 |
| KCS Energy, Inc. sr. notes 7 1/8s, 2012 | 65,000 | 66,625 |
| Key Energy Services, Inc. sr. notes 6 3/8s, 2013 | 280,000 | 280,700 |
| Massey Energy Co. sr. notes 6 5/8s, 2010 | 260,000 | 265,850 |
| Newfield Exploration Co. sr. notes 7 5/8s, 2011 | 130,000 | 141,700 |
| Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014 | 125,000 | 130,938 |
| Pacific Energy Partners/Pacific Energy Finance Corp. sr. notes 7 1/8s, 2014 | 75,000 | 78,563 |
| Peabody Energy Corp. sr. notes 5 7/8s, 2016 | 135,000 | 133,650 |
| Pemex Project Funding Master Trust company guaranty 7 3/8s, 2014 | 45,000 | 50,288 |
| Pemex Project Funding Master Trust company guaranty 8 5/8s, 2022 | 30,000 | 36,525 |
| Petroleum Geo-Services notes 10s, 2010 (Norway) | 100,000 | 112,500 |
| Plains Exploration & Production Co. sr. notes 7 1/8s, 2014 | 95,000 | 101,175 |
| Plains Exploration & Production Co. sr. sub. notes 8 3/4s, 2012 | 145,000 | 158,050 |
| Pogo Producing Co. sr. sub. notes Ser. B, 8 1/4s, 2011 | 110,000 | 116,050 |
| Pride International, Inc. sr. notes 7 3/8s, 2014 | 185,000 | 200,725 |
| Seabulk International, Inc. company guaranty 9 1/2s, 2013 | 100,000 | 112,500 |
| Star Gas Partners LP/Star Gas Finance Co. sr. notes 10 1/4s, 2013 | 140,000 | 124,600 |
| Stone Energy Corp. sr. sub. notes 6 3/4s, 2014 | 280,000 | 275,800 |
| Vintage Petroleum, Inc. sr. notes 8 1/4s, 2012 | 45,000 | 48,375 |
| Vintage Petroleum, Inc. sr. sub. notes 7 7/8s, 2011 | 25,000 | 26,250 |
| 5,070,568 | ||
|
| ||
| Entertainment (1.5%) | ||
| AMC Entertainment, Inc. sr. sub. notes 9 7/8s, 2012 | 45,000 | 45,281 |
| AMC Entertainment, Inc. sr. sub. notes 8s, 2014 | 162,000 | 149,850 |
| Cinemark USA, Inc. sr. sub. notes 9s, 2013 | 155,000 | 164,300 |
| Cinemark, Inc. sr. disc. notes stepped-coupon zero % (9 3/4s, 3/15/07), 2014 (STP) | 180,000 | 128,475 |
| LCE Acquisition Corp. 144A company guaranty 9s, 2014 | 335,000 | 329,138 |
| Six Flags, Inc. sr. notes 8 7/8s, 2010 | 105,000 | 105,788 |
| Universal City Florida Holding Co. sr. notes 8 3/8s, 2010 | 55,000 | 57,888 | |
| Universal City Florida Holding Co. sr. notes FRN 8.443s, 2010 | 75,000 | 78,563 | |
| 1,059,283 | |||
|
| |||
| Financial (1.3%) | |||
| Crescent Real Estate Equities LP notes 7 1/2s, 2007 (R) | 55,000 | 56,306 | |
| E*Trade Finance Corp. sr. notes 8s, 2011 | 175,000 | 185,500 | |
| Finova Group, Inc. notes 7 1/2s, 2009 | 185,020 | 76,783 | |
| Residential Capital Corp. 144A notes 6 7/8s, 2015 | 105,000 | 111,168 | |
| UBS AG/Jersey Branch sr. notes Ser. EMTN, 9.14s, 2008 (Jersey) | 85,000 | 89,038 | |
| VTB Capital SA bonds 6 1/4s, 2035 (Luxembourg) | 100,000 | 101,250 | |
| Western Financial Bank sub. debs. 9 5/8s, 2012 | 240,000 | 271,160 | |
| 891,205 | |||
|
| |||
| Food (1.6%) | |||
| Archibald Candy Corp. company guaranty 10s, 2007 (In default) (F)(NON)(PIK) | 18,636 | 3,969 | |
| Dean Foods Co. sr. notes 6 5/8s, 2009 | 335,000 | 347,563 | |
| Del Monte Corp. sr. sub. notes 8 5/8s, 2012 | 100,000 | 108,500 | |
| Del Monte Corp. 144A sr. sub. notes 6 3/4s, 2015 | 80,000 | 81,000 | |
| Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s, 2013 | 285,000 | 275,025 | |
| United Biscuits Finance company guaranty 10 5/8s, 2011 (United Kingdom) | EUR | 195,000 | 254,299 |
| 1,070,356 | |||
|
| |||
| Gaming & Lottery (3.7%) | |||
| Ameristar Casinos, Inc. company guaranty 10 3/4s, 2009 | $60,000 | 64,800 | |
| Boyd Gaming Corp. sr. sub. notes 8 3/4s, 2012 | 160,000 | 173,600 | |
| Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012 | 30,000 | 31,950 | |
| Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014 | 60,000 | 61,275 | |
| Cirsa Finance Luxembourg SA 144A sr. notes 8 3/4s, 2014 (Luxembourg) | EUR | 185,000 | 244,784 |
| MGM Mirage, Inc. company guaranty 8 1/2s, 2010 | $175,000 | 192,063 | |
| MGM Mirage, Inc. company guaranty 6s, 2009 | 125,000 | 124,531 | |
| Mirage Resorts, Inc. debs. 7 1/4s, 2017 | 40,000 | 41,200 | |
| Park Place Entertainment Corp. sr. notes 7 1/2s, 2009 | 155,000 | 169,531 | |
| Park Place Entertainment Corp. sr. notes 7s, 2013 | 115,000 | 128,545 | |
| Park Place Entertainment Corp. sr. sub. notes 8 7/8s, 2008 | 95,000 | 104,500 | |
| Penn National Gaming, Inc. sr. sub. notes 8 7/8s, 2010 | 185,000 | 195,175 | |
| Penn National Gaming, Inc. sr. sub. notes 6 3/4s, 2015 | 50,000 | 49,500 | |
| Pinnacle Entertainment, Inc. sr. sub. notes 8 3/4s, 2013 | 70,000 | 72,450 | |
| Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, 2012 | 150,000 | 151,500 | |
| Resorts International Hotel and Casino, Inc. company guaranty 11 1/2s, 2009 | 120,000 | 135,300 | |
| Scientific Games Corp. 144A sr. sub. notes 6 1/4s, 2012 | 130,000 | 131,625 | |
| Station Casinos, Inc. sr. notes 6s, 2012 | 90,000 | 90,675 | |
| Station Casinos, Inc. sr. sub. notes 6 7/8s, 2016 | 90,000 | 92,475 | |
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st mtge. 6 5/8s, 2014 | 280,000 | 272,300 | |
| 2,527,779 | |||
|
| |||
| Health Care (5.5%) | |||
| AmerisourceBergen Corp. company guaranty 7 1/4s, 2012 | 70,000 | 81,025 | |
| AmerisourceBergen Corp. sr. notes 8 1/8s, 2008 | 100,000 | 109,500 | |
| Community Health Systems, Inc. sr. sub. notes 6 1/2s, 2012 | 310,000 | 313,488 | |
| DaVita, Inc. 144A sr. notes 6 5/8s, 2013 | 45,000 | 45,675 | |
| DaVita, Inc. 144A sr. sub. notes 7 1/4s, 2015 | 85,000 | 86,381 | |
| Elan Finance PLC/Elan Finance Corp. 144A sr. notes 7 3/4s, 2011 (Ireland) | 150,000 | 132,000 | |
| HCA, Inc. debs. 7.19s, 2015 | 60,000 | 64,117 | |
| HCA, Inc. notes 8.36s, 2024 | 60,000 | 67,339 | |
| HCA, Inc. notes 7.69s, 2025 | 70,000 | 74,272 | |
| HCA, Inc. notes 7s, 2007 | 10,000 | 10,300 | |
| HCA, Inc. notes 6 3/8s, 2015 | 55,000 | 56,467 | |
| HCA, Inc. notes 5 3/4s, 2014 | 55,000 | 54,355 | |
| Healthsouth Corp. notes 7 5/8s, 2012 | 260,000 | 252,200 | |
| Healthsouth Corp. sr. sub. notes 10 3/4s, 2008 | 45,000 | 46,575 | |
| MedQuest, Inc. company guaranty Ser. B, 11 7/8s, 2012 | 35,000 | 37,013 | |
| MQ Associates, Inc. sr. disc. notes stepped-coupon zero % (12 1/4s, 8/15/08), 2012 (STP) | 180,000 | 108,000 | |
| Omnicare, Inc. sr. sub. notes 6 1/8s, 2013 | 120,000 | 117,900 | |
| Psychiatric Solutions, Inc. 144A sr. sub. notes 7 3/4s, 2015 | 270,000 | 281,475 | |
| Service Corp. International debs. 7 7/8s, 2013 | 40,000 | 42,600 | |
| Service Corp. International notes 6 1/2s, 2008 | 20,000 | 20,250 | |
| Service Corp. International notes Ser. *, 7.7s, 2009 | 50,000 | 52,438 | |
| Service Corp. International 144A sr. notes 7s, 2017 | 50,000 | 50,625 | |
| Service Corp. International 144A sr. notes 6 3/4s, 2016 | 140,000 | 141,750 | |
| Stewart Enterprises, Inc. 144A sr. notes 6 1/4s, 2013 | 260,000 | 250,250 | |
| Tenet Healthcare Corp. notes 7 3/8s, 2013 | 85,000 | 82,875 | |
| Tenet Healthcare Corp. sr. notes 9 7/8s, 2014 | 255,000 | 271,575 | |
| Tenet Healthcare Corp. sr. notes 6 1/2s, 2012 | 90,000 | 85,050 | |
| Triad Hospitals, Inc. sr. notes 7s, 2012 | 130,000 | 134,550 | |
| Triad Hospitals, Inc. sr. sub. notes 7s, 2013 | 225,000 | 230,906 | |
| Universal Hospital Services, Inc. sr. notes 10 1/8s, 2011 (Canada) | 85,000 | 85,850 | |
| Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, 2014 | 250,000 | 271,875 | |
| Ventas Realty LP/Capital Corp. company guaranty 9s, 2012 (R) | 55,000 | 63,250 | |
| Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014 (R) | 40,000 | 40,700 | |
| Ventas Realty LP/Capital Corp. 144A sr. notes 6 3/4s, 2010 (R) | 55,000 | 56,375 | |
| 3,819,001 | |||
|
| |||
| Homebuilding (2.9%) | |||
| Beazer Homes USA, Inc. company guaranty 8 5/8s, 2011 | 70,000 | 74,200 | |
| D.R. Horton, Inc. company guaranty 8s, 2009 | 20,000 | 21,689 | |
| D.R. Horton, Inc. sr. notes 7 7/8s, 2011 | 120,000 | 132,600 | |
| D.R. Horton, Inc. sr. notes 6 7/8s, 2013 | 25,000 | 26,563 | |
| D.R. Horton, Inc. sr. notes 5 7/8s, 2013 | 50,000 | 49,742 | |
| K. Hovnanian Enterprises, Inc. company guaranty 8 7/8s, 2012 | 90,000 | 96,525 | |
| K. Hovnanian Enterprises, Inc. company guaranty 6 3/8s, 2014 | 70,000 | 69,068 | |
| K. Hovnanian Enterprises, Inc. sr. notes 6 1/2s, 2014 | 50,000 | 49,718 | |
| Meritage Homes Corp. company guaranty 6 1/4s, 2015 | 60,000 | 56,175 | |
| Schuler Homes, Inc. company guaranty 10 1/2s, 2011 | 70,000 | 76,213 | |
| Standard Pacific Corp. sr. notes 7s, 2015 | 285,000 | 280,725 | |
| Standard Pacific Corp. sr. notes 6 7/8s, 2011 | 10,000 | 10,000 | |
| Standard Pacific Corp. sr. notes 6 1/4s, 2014 | 215,000 | 204,250 | |
| Technical Olympic USA, Inc. company guaranty 10 3/8s, 2012 | 55,000 | 58,713 | |
| Technical Olympic USA, Inc. company guaranty 9s, 2010 | 80,000 | 83,300 | |
| Technical Olympic USA, Inc. sr. sub. notes 7 1/2s, 2015 | 320,000 | 296,800 | |
| WCI Communities, Inc. company guaranty 10 5/8s, 2011 | 30,000 | 32,100 | |
| WCI Communities, Inc. company guaranty 9 1/8s, 2012 | 400,000 | 418,000 | |
| 2,036,381 | |||
|
| |||
| Household Furniture and Appliances (0.3%) | |||
| Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014 | 200,000 | 213,500 | |
|
| |||
| Lodging/Tourism (2.0%) | |||
| FelCor Lodging LP company guaranty 9s, 2008 (R) | 55,000 | 60,638 | |
| HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 | 33,000 | 33,454 | |
| Host Marriott LP company guaranty Ser. G, 9 1/4s, 2007 (R) | 60,000 | 64,425 | |
| Host Marriott LP sr. notes Ser. M, 7s, 2012 (R) | 165,000 | 172,425 | |
| John Q. Hammons Hotels LP/John Q. Hammons Hotels Finance Corp. III 1st mtge. Ser. B, 8 7/8s, 2012 | 255,000 | 280,500 | |
| MeriStar Hospitality Corp. company guaranty 9 1/8s, 2011 (R) | 110,000 | 118,250 | |
| MeriStar Hospitality Corp. company guaranty 9s, 2008 (R) | 65,000 | 68,250 | |
| Starwood Hotels & Resorts Worldwide, Inc. company guaranty 7 3/8s, 2007 | 80,000 | 82,900 | |
| Starwood Hotels & Resorts Worldwide, Inc. debs. 7 3/8s, 2015 | 95,000 | 104,025 | |
| Starwood Hotels & Resorts Worldwide, Inc. notes 6 3/4s, 2005 | 105,000 | 105,394 | |
| Trump Entertainment Resorts, Inc. sec. notes 8 1/2s, 2015 | 260,000 | 260,000 | |
| 1,350,261 | |||
|
| |||
| Media (0.5%) | |||
| Affinity Group, Inc. sr. sub. notes 9s, 2012 | 270,000 | 280,125 | |
| Warner Music Group sr. sub. notes 7 3/8s, 2014 (acquired 8/11/04, cost $95,500) (RES) | 100,000 | 102,000 | |
| 382,125 | |||
|
| |||
| Other (2.3%) | |||
| Lehman Brothers HY 144A TRAINS FRN Ser. 2005-1, 7.651s, 2015 | 1,500,000 | 1,560,000 | |
|
| |||
| Publishing (5.2%) | |||
| American Media, Inc. company guaranty Ser. B, 10 1/4s, 2009 | 250,000 | 251,563 | |
| CanWest Media, Inc. company guaranty 8s, 2012 (Canada) | 382,086 | 401,190 | |
| Cenveo Corp, sr. sub. notes 7 7/8s, 2013 | 315,000 | 310,275 | |
| Dex Media West, LLC/Dex Media Finance Co. sr. notes Ser. B, 8 1/2s, 2010 | 170,000 | 183,813 | |
| Dex Media, Inc. disc. notes zero %, 2013 | 85,000 | 69,063 | |
| Dex Media, Inc. notes 8s, 2013 | 345,000 | 366,563 | |
| Houghton Mifflin Co. sr. sub. notes 9 7/8s, 2013 | 315,000 | 340,200 | |
| MediaNews Group, Inc. sr. sub. notes 6 7/8s, 2013 | 175,000 | 174,344 | |
| PRIMEDIA, Inc. company guaranty 8 7/8s, 2011 | 130,000 | 136,175 | |
| PRIMEDIA, Inc. sr. notes 8s, 2013 | 190,000 | 193,800 | |
| R.H. Donnelley Corp. sr. notes 6 7/8s, 2013 | 80,000 | 81,400 | |
| R.H. Donnelley Finance Corp. I 144A company guaranty 8 7/8s, 2010 | 170,000 | 183,813 | |
| R.H. Donnelley Finance Corp. I 144A sr. sub. notes 10 7/8s, 2012 | 85,000 | 98,281 | |
| R.H. Donnelley, Inc. company guaranty 8 7/8s, 2010 | 20,000 | 21,625 | |
| Reader's Digest Association, Inc. (The) sr. notes 6 1/2s, 2011 | 335,000 | 343,375 | |
| Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009 | 340,000 | 347,650 | |
| Vertis, Inc. 144A sub. notes 13 1/2s, 2009 | 120,000 | 105,600 | |
| 3,608,730 | |||
|
| |||
| Restaurants (0.3%) | |||
| Domino's, Inc. sr. sub. notes 8 1/4s, 2011 | 80,000 | 85,600 | |
| Sbarro, Inc. company guaranty 11s, 2009 | 155,000 | 156,938 | |
| 242,538 | |||
|
| |||
| Retail (2.0%) | |||
| Asbury Automotive Group, Inc. sr. sub. notes 8s, 2014 | 80,000 | 79,400 | |
| Autonation, Inc. company guaranty 9s, 2008 | 160,000 | 176,800 | |
| Bear Creek Corp. 144A sr. notes 9s, 2013 | 60,000 | 63,000 | |
| JC Penney Co., Inc. debs. 7.95s, 2017 | 155,000 | 183,269 | |
| JC Penney Co., Inc. debs. 7 1/8s, 2023 | 90,000 | 102,089 | |
| JC Penney Co., Inc. notes 9s, 2012 | 20,000 | 23,775 | |
| JC Penney Co., Inc. notes 8s, 2010 | 5,000 | 5,551 | |
| Jean Coutu Group, Inc. sr. notes 7 5/8s, 2012 (Canada) | 80,000 | 83,400 | |
| Jean Coutu Group, Inc. sr. sub. notes 8 1/2s, 2014 (Canada) | 90,000 | 92,250 | |
| Movie Gallery, Inc. 144A sr. unsecd. notes 11s, 2012 | 135,000 | 137,194 | |
| Ray Acquisition sr. notes 9 3/8s, 2015 (France) | EUR | 85,000 | 108,078 |
| Rite Aid Corp. company guaranty 9 1/2s, 2011 | $100,000 | 105,750 | |
| Rite Aid Corp. company guaranty 7 1/2s, 2015 | 80,000 | 76,800 | |
| Rite Aid Corp. debs. 6 7/8s, 2013 | 5,000 | 4,325 | |
| Rite Aid Corp. sr. notes 9 1/4s, 2013 | 75,000 | 72,750 | |
| United Auto Group, Inc. company guaranty 9 5/8s, 2012 | 70,000 | 75,163 | |
| 1,389,594 | |||
|
| |||
| Technology (3.7%) | |||
| Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012 | 200,000 | 203,250 | |
| Celestica, Inc. sr. sub. notes 7 7/8s, 2011 (Canada) | 70,000 | 72,100 | |
| Celestica, Inc. sr. sub. notes 7 5/8s, 2013 (Canada) | 135,000 | 136,013 | |
| Iron Mountain, Inc. company guaranty 8 5/8s, 2013 | 115,000 | 120,750 | |
| Iron Mountain, Inc. company guaranty 7 3/4s, 2015 | 125,000 | 127,969 | |
| Iron Mountain, Inc. company guaranty 6 5/8s, 2016 | 295,000 | 279,513 | |
| Lucent Technologies, Inc. debs. 6 1/2s, 2028 | 10,000 | 8,750 | |
| Lucent Technologies, Inc. debs. 6.45s, 2029 | 175,000 | 153,563 | |
| New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011 (Cayman Islands) | 65,000 | 55,006 | |
| SCG Holding Corp. 144A notes zero %, 2011 | 65,000 | 109,200 | |
| Seagate Technology Hdd Holdings company guaranty 8s, 2009 (Cayman Islands) | 110,000 | 116,325 | |
| SunGard Data Systems, Inc. 144A sr. sub. notes 10 1/4s, 2015 | 136,000 | 142,120 | |
| SunGard Data Systems, Inc. 144A sr. unsecd. notes 9 1/8s, 2013 | 94,000 | 98,700 | |
| UGS Corp. company guaranty 10s, 2012 | 280,000 | 313,600 | |
| Xerox Capital Trust I company guaranty 8s, 2027 | 130,000 | 135,200 | |
| Xerox Corp. notes Ser. MTN, 7.2s, 2016 | 80,000 | 86,600 | |
| Xerox Corp. sr. notes 7 5/8s, 2013 | 195,000 | 207,675 | |
| Xerox Corp. sr. notes 6 7/8s, 2011 | 180,000 | 188,100 | |
| 2,554,434 | |||
|
| |||
| Textiles (0.9%) | |||
| Levi Strauss & Co. sr. notes 12 1/4s, 2012 | 205,000 | 230,369 | |
| Levi Strauss & Co. sr. notes 9 3/4s, 2015 | 190,000 | 200,450 | |
| Oxford Industries, Inc. sr. notes 8 7/8s, 2011 | 75,000 | 80,438 | |
| Russell Corp. company guaranty 9 1/4s, 2010 | 120,000 | 126,750 | |
| 638,007 | |||
|
| |||
| Tire & Rubber (0.6%) | |||
| Goodyear Tire & Rubber Co. (The) notes 8 1/2s, 2007 | 35,000 | 36,575 | |
| Goodyear Tire & Rubber Co. (The) notes 7.857s, 2011 | 180,000 | 177,750 |
| Goodyear Tire & Rubber Co. (The) notes 6 3/8s, 2008 | 35,000 | 35,000 |
| Goodyear Tire & Rubber Co. (The) 144A sr. notes 9s, 2015 | 135,000 | 135,000 |
| 384,325 | ||
|
| ||
| Transportation (1.0%) | ||
| American Airlines, Inc. pass-through certificates Ser. 01-1, 6.817s, 2011 | 95,000 | 90,013 |
| Calair, LLC/Calair Capital Corp. company guaranty 8 1/8s, 2008 | 170,000 | 129,200 |
| Kansas City Southern Railway Co. company guaranty 9 1/2s, 2008 | 200,000 | 218,750 |
| Kansas City Southern Railway Co. company guaranty 7 1/2s, 2009 | 30,000 | 31,125 |
| Navistar International Corp. company guaranty 6 1/4s, 2012 | 85,000 | 81,600 |
| Navistar International Corp. company guaranty Ser. B, 9 3/8s, 2006 | 120,000 | 123,300 |
| 673,988 | ||
|
| ||
| Utilities & Power (6.6%) | ||
| AES Corp. (The) sr. notes 8 7/8s, 2011 | 13,000 | 14,365 |
| AES Corp. (The) sr. notes 8 3/4s, 2008 | 4,000 | 4,270 |
| AES Corp. (The) 144A sec. notes 9s, 2015 | 130,000 | 143,650 |
| AES Corp. (The) 144A sec. notes 8 3/4s, 2013 | 190,000 | 209,000 |
| Allegheny Energy Supply 144A bonds 8 1/4s, 2012 | 100,000 | 112,500 |
| ANR Pipeline Co. debs. 9 5/8s, 2021 | 135,000 | 174,236 |
| CMS Energy Corp. sr. notes 8.9s, 2008 | 130,000 | 141,700 |
| CMS Energy Corp. sr. notes 8 1/2s, 2011 | 40,000 | 45,100 |
| CMS Energy Corp. sr. notes 7 3/4s, 2010 | 30,000 | 32,550 |
| Colorado Interstate Gas Co. 144A sr. notes 5.95s, 2015 | 95,000 | 94,882 |
| Dynegy Holdings, Inc. 144A sec. notes 10 1/8s, 2013 | 245,000 | 273,788 |
| Dynegy-Roseton Danskamme company guaranty Ser. A, 7.27s, 2010 | 65,000 | 65,163 |
| Dynegy-Roseton Danskamme company guaranty Ser. B, 7.67s, 2016 | 100,000 | 100,000 |
| El Paso CGP Co. notes 7 3/4s, 2010 | 40,000 | 41,000 |
| El Paso Corp. sr. notes 8.05s, 2030 | 95,000 | 96,663 |
| El Paso Corp. sr. notes 7 3/8s, 2012 | 65,000 | 65,650 |
| El Paso Corp. sr. notes Ser. MTN, 7.8s, 2031 | 65,000 | 65,325 |
| El Paso Natural Gas Co. debs. 8 5/8s, 2022 | 30,000 | 35,820 |
| El Paso Production Holding Co. company guaranty 7 3/4s, 2013 | 275,000 | 290,813 |
| Ferrellgas Partners LP/Ferrellgas Partners Finance sr. notes 6 3/4s, 2014 | 115,000 | 114,138 |
| Midwest Generation, LLC sec. sr. notes 8 3/4s, 2034 | 225,000 | 252,000 |
| Mission Energy Holding Co. sec. notes 13 1/2s, 2008 | 135,000 | 160,650 |
| Monongahela Power Co. 1st mtge. 6.7s, 2014 | 70,000 | 77,700 |
| National Power Corp. 144A foreign government guaranty FRN 8.073s, 2011 (Philippines) | 65,000 | 65,455 |
| Nevada Power Co. 2nd mtge. 9s, 2013 | 55,000 | 61,738 |
| Northwest Pipeline Corp. company guaranty 8 1/8s, 2010 | 135,000 | 144,788 |
| NRG Energy, Inc. company guaranty 8s, 2013 | 348,000 | 375,840 |
| Orion Power Holdings, Inc. sr. notes 12s, 2010 | 100,000 | 121,000 |
| PSEG Energy Holdings, Inc. notes 7 3/4s, 2007 | 105,000 | 107,888 |
| SEMCO Energy, Inc. sr. notes 7 3/4s, 2013 | 85,000 | 89,934 |
| SEMCO Energy, Inc. 144A sr. notes 7 3/4s, 2013 | 110,000 | 116,325 |
| Sierra Pacific Power Co. general ref. mtge. 6 1/4s, 2012 | 25,000 | 25,750 |
| Sierra Pacific Resources sr. notes 8 5/8s, 2014 | 165,000 | 182,325 |
| Teco Energy, Inc. notes 7.2s, 2011 | 35,000 | 37,669 |
| Teco Energy, Inc. notes 7s, 2012 | 55,000 | 58,919 |
| Teco Energy, Inc. 144A sr. notes 6 3/4s, 2015 | 10,000 | 10,625 |
| Tennessee Gas Pipeline Co. debs. 7s, 2028 | 15,000 | 15,598 |
| Tennessee Gas Pipeline Co. unsecd. notes 7 1/2s, 2017 | 30,000 | 33,403 |
| Texas Genco LLC/Texas Genco Financing Corp. 144A sr. notes 6 7/8s, 2014 | 140,000 | 145,250 |
| Transcontinental Gas Pipeline Corp. debs. 7 1/4s, 2026 | 20,000 | 22,400 |
| Utilicorp Canada Finance Corp. company guaranty 7 3/4s, 2011 (Canada) | 105,000 | 109,725 |
| Utilicorp United, Inc. sr. notes 9.95s, 2011 | 75,000 | 83,438 |
| Williams Cos., Inc. (The) notes 8 3/4s, 2032 | 25,000 | 30,375 |
| Williams Cos., Inc. (The) notes 8 1/8s, 2012 | 25,000 | 27,906 |
| Williams Cos., Inc. (The) notes 7 5/8s, 2019 | 95,000 | 105,450 |
| York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default) (F)(NON) | 65,719 | 5,481 |
| 4,588,245 | ||
|
| ||
| Total corporate bonds and notes (cost $61,803,274) | $62,961,159 | |
|
| ||
| CONVERTIBLE BONDS AND NOTES (1.8%)(a) | ||
|
| ||
| Principal amount | Value | |
| Cybernet Internet Services International, Inc. 144A cv. sr. disc. notes 13s, 2009 (Canada) (In default) (NON) | $490,000 | $5 |
| Fairchild Semiconductor International, Inc. cv. company guaranty 5s, 2008 | 65,000 | 64,188 |
| Kulicke & Soffa Industries, Inc. cv. sub. notes 0.5s, 2008 | 390,000 | 294,450 |
| L-3 Communications Corp. 144A cv. bonds 3s, 2035 | 125,000 | 128,594 |
| Lear Corp. cv. company guaranty zero %, 2022 | 677,000 | 308,035 |
| Manor Care, Inc. 144A cv. sr. notes 2 1/8s, 2035 | 25,000 | 25,766 |
| Safeguard Scientifics, Inc. cv. sr. notes 2 5/8s, 2024 | 425,000 | 293,250 |
| Titan International, Inc. cv. sr. notes 5 1/4s, 2009 | 60,000 | 71,475 |
| WCI Communities, Inc. cv. sr. sub. notes 4s, 2023 | 50,000 | 61,250 |
|
| ||
| Total convertible bonds and notes (cost $1,666,569) | $1,247,013 | |
|
| ||
| CONVERTIBLE PREFERRED STOCKS (1.6%)(a) | ||
|
| ||
| Shares | Value | |
| Crown Castle International Corp. $3.125 cum. cv. pfd. | 1,537 | $77,619 |
| Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd. | 2,929 | 134,734 |
| Huntsman Corp. $2.50 cv. pfd. | 6,062 | 262,182 |
| MetLife, Inc. Ser. B, $1.594 cv. pfd. | 8,200 | 226,525 |
| Northrop Grumman Corp. Ser. B, $7.00 cum. cv. pfd. | 2,225 | 278,125 |
| Williams Cos., Inc. (The) 144A $2.75 cv. pfd. | 1,160 | 121,800 |
|
| ||
| Total convertible preferred stocks (cost $1,068,874) | $1,100,985 | |
|
| ||
| FOREIGN GOVERNMENT BONDS AND NOTES (1.1%)(a) | ||
|
| ||
| Principal amount | Value | |
| Brazil (Federal Republic of) bonds 10 1/2s, 2014 | $165,000 | $193,050 |
| Colombia (Republic of) bonds 10 3/8s, 2033 | 35,000 | 43,365 |
| Indonesia (Republic of) 144A notes 7 1/4s, 2015 | 85,000 | 83,938 |
| Indonesia (Republic of) 144A sr. notes 6 3/4s, 2014 | 50,000 | 48,000 |
| Peru (Republic of) bonds 8 3/8s, 2016 | 60,000 | 68,700 |
| Philippines (Republic of) bonds 9 1/2s, 2024 | 60,000 | 64,800 |
| Philippines (Republic of) bonds 8 3/8s, 2011 | 80,000 | 82,920 |
| United Mexican States bonds Ser. MTN, 8.3s, 2031 | 120,000 | 152,100 |
| Venezuela (Republic of) notes 10 3/4s, 2013 | 45,000 | 53,505 |
|
| ||
| Total foreign government bonds and notes (cost $739,185) | $790,378 | |
|
| ||
| COMMON STOCKS (0.8%)(a) | ||
|
| ||
| Shares | Value | |
| AMRESCO Creditor Trust (acquired various dates from 5/05/99 to 5/10/00, cost $21,607) | |||||
| (F)(RES)(NON)(R) | 180,000 | $180 | |||
| Birch Telecom, Inc. (F)(NON) | 195 | 1 | |||
| Coinmach Service Corp. IDS (Income Deposit Securities) | 20,176 | 276,209 | |||
| Comdisco Holding Co., Inc. | 85 | 1,509 | |||
| Compass Minerals International, Inc. | 112 | 2,756 | |||
| Contifinancial Corp. Liquidating Trust Units | 505,286 | 632 | |||
| Covad Communications Group, Inc. (NON) | 3,010 | 3,642 | |||
| Crown Castle International Corp. (NON) | 235 | 5,819 | |||
| Dobson Communications Corp. (NON) | 338 | 2,572 | |||
| iPCS, Inc. (NON) | 3,684 | 154,360 | |||
| Knology, Inc. (NON) | 33 | 72 | |||
| Northwestern Corp. | 978 | 30,494 | |||
| Sterling Chemicals, Inc. (NON) | 10 | 320 | |||
| Sun Healthcare Group, Inc. (NON) | 178 | 1,169 | |||
| USA Mobility, Inc. (NON) | 40 | 1,127 | |||
| VFB LLC (acquired various dates from 12/21/99 to 10/27/00, cost $214,226) (RES)(NON) | 259,509 | 53,199 | |||
| VS Holdings, Inc. (NON) | 40,417 | 40 | |||
| WHX Corp. (NON) | 3,964 | 40,036 | |||
|
| |||||
| Total common stocks (cost $1,963,704) | $574,137 | ||||
|
| |||||
| PREFERRED STOCKS (0.5%)(a) | |||||
|
| |||||
| Shares | Value | ||||
| Doane Pet Care Co. $7.125 pfd. | 1,266 | $113,940 | |||
| Dobson Communications Corp. 13.00% pfd. | 1 | 1,400 | |||
| First Republic Capital Corp. 144A 10.50% pfd. | 80 | 84,000 | |||
| Paxson Communications Corp. 14.25% cum. pfd. (PIK) | 14 | 95,200 | |||
| Rural Cellular Corp. Ser. B, 11.375% cum. pfd. | 49 | 55,615 | |||
|
| |||||
| Total preferred stocks (cost $327,415) | $350,155 | ||||
|
| |||||
| UNITS (0.4%)(a) (cost $812,266) | |||||
|
| |||||
| Units | Value | ||||
| XCL Equity Units (F) | 446 | $303,881 | |||
|
| |||||
| BRADY BONDS (0.3%)(a) | |||||
|
| |||||
| Principal amount | Value | ||||
| Brazil (Federal Republic of) FRB Ser. 18 YR, 4.313s, 2012 | $119,413 | $114,935 | |||
| Peru (Republic of) FRB Ser. 20 YR, 5s, 2017 | 102,000 | 99,195 | |||
|
| |||||
| Total brady bonds (cost $208,524) | $214,130 | ||||
|
| |||||
| SENIOR LOANS (0.1%)(a)(c) (cost $81,752) | |||||
|
| |||||
| Principal amount | Value | ||||
| Olympus Cable Holdings, LLC bank term loan FRN Ser. B, 8 1/2s, 2010 | $90,000 | $89,325 | |||
|
| |||||
| ASSET-BACKED SECURITIES (0.1%)(a) (cost $60,000) | |||||
|
| |||||
| Principal amount | Value | ||||
| Verdi Synthetic CLO 144A Ser. 1A, Class E2, 11.15s, 2010 | $60,000 | $60,328 | |||
|
| |||||
| WARRANTS (0.0%)(a)(NON) | |||||
| Expiration date | Strike price | Warrants | Value | ||
| Dayton Superior Corp. 144A | 6/15/09 | $.01 | 200 | $1 | |
| MDP Acquisitions PLC 144A | 10/01/13 | EUR | .001 | 89 | 2,492 |
| Mikohn Gaming Corp. 144A | 8/15/08 | $7.70 | 70 | 1,092 | |
| NTL, Inc. | 1/13/11 | 262.93 | 8 | 6 | |
| Pliant Corp. 144A | 6/01/10 | .01 | 80 | 1 | |
| TravelCenters of America, Inc. 144A | 5/01/09 | .001 | 120 | 150 | |
| Ubiquitel, Inc. 144A | 4/15/10 | 22.74 | 350 | 1 | |
| Washington Group International, Inc. Ser. C | 1/25/06 | 33.51 | 310 | 5,580 | |
|
| |||||
| Total warrants (cost $27,664) | $9,323 | ||||
|
| |||||
| SHORT-TERM INVESTMENTS (1.2%)(a) (cost $864,361) | |||||
|
| |||||
| Shares | Value | ||||
| Putnam Prime Money Market Fund (e) | 864,361 | $864,361 | |||
|
| |||||
| TOTAL INVESTMENTS | |||||
| Total investments (cost $69,623,588) (b) | $68,565,175 | ||||
| Putnam Managed High Yield Trust | |||||
| FORWARD CURRENCY CONTRACTS TO BUY at 8/31/05 (aggregate face value $21,606) (Unaudited) | |||||
| Aggregate | Delivery | Unrealized | |||
| Value | face value | date | appreciation | ||
| Euro | $21,784 | $21,606 | 9/21/05 | $178 | |
| Putnam Managed High Yield
Trust |
FORWARD CURRENCY CONTRACTS TO SELL at 8/31/05 (aggregate face value $2,497,173) (Unaudited)
| Unrealized | ||||
| Aggregate | Delivery | appreciation/ | ||
| Value | face value | date | (depreciation) | |
| British Pound | $317,081 | $319,339 | 9/21/05 | $2,258 |
| Euro | $2,181,373 | $2,177,834 | 9/21/05 | (3,539) |
|
| ||||
| Total | ($1,281) | |||
| Putnam Managed High Yield Trust | ||
|
|
||
| CREDIT DEFAULT CONTRACTS OUTSTANDING at 8/31/05 (Unaudited) | ||
| Notional | Unrealized | |
| amount | appreciation | |
| Agreement with Goldman Sachs International 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 | $1,306 |
| Agreement with Goldman Sachs International 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 | 383 |
| 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 | 185 |
| Agreement with Goldman Sachs International 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 | 576 |
| Agreement with Goldman Sachs International 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 | 546 |
| Agreement with Goldman Sachs International 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 | 191 |
| Agreement with Goldman Sachs International 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 | 30 |
|
| ||
| Total | $3,217 | |
NOTES
(a) Percentages indicated are based on net assets of $69,269,056.
(b) The aggregate identified cost on a tax basis is $69,859,019, resulting in gross unrealized appreciation and depreciation of $2,610,198 and $3,904,042, respectively, or net unrealized depreciation of $1,293,844.
(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 August 31, 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.
(DEF) Security is in default of principal and interest.
(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 August 31, 2005 was $336,259 or 0.5% 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 and administrative 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 $9,011 for the period ended August 31, 2005. During the period ended August 31, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $6,126,260 and $6,344,745, respectively.
(F) Security is valued at fair value following procedures approved by the Trustees.
At August 31, 2005, liquid assets totaling $83,000 have been designated as collateral for open credit default contracts.
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 August 31, 2005.
Security valuation 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 counterparty, 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: October 31, 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: October 31, 2005 | |
| By (Signature and Title): | /s/ Steven D. Krichmar |
| Steven D. Krichmar | |
| Principal Financial Officer | |
| Date: October 31, 2005 | |