UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO
HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY
Investment Company Act file number: (811- 07658)
Exact name of registrant as specified in charter: Putnam Managed High Yield Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
| Name and address of agent for service: | Beth S. Mazor, Vice President | |
| One Post Office Square | ||
| Boston, Massachusetts 02109 | ||
| Copy to: | John W. Gerstmayr, Esq. | |
| Ropes & Gray LLP | ||
| One International Place | ||
| Boston, Massachusetts 02110 | ||
| Registrant’s telephone number, including area code: | (617) 292-1000 | |
Date of fiscal year end: May 31, 2006
Date of reporting period: February 28, 2006
Item 1. Schedule of Investments:
| Putnam Managed High Yield Trust | |||
|
| |||
| The fund's portfolio | |||
| 2/28/06 (Unaudited) | |||
| CORPORATE BONDS AND NOTES (91.3%)(a) | |||
| Principal amount | Value | ||
| Advertising and Marketing Services (0.6%) | |||
| Affinion Group, Inc. 144A company guaranty 10 1/8s, 2013 | $320,000 | $308,800 | |
| Lamar Media Corp. company guaranty 7 1/4s, 2013 | 100,000 | 103,125 | |
| 411,925 | |||
|
| |||
| Aerospace and Defense (2.7%) | |||
| Aero Invest 1 SA 144A company guaranty FRN 10.635s, 2015 (Luxembourg) (PIK) | EUR | 285,294 | 348,176 |
| Argo-Tech Corp. sr. notes 9 1/4s, 2011 | 125,000 | 132,500 | |
| BE Aerospace, Inc. sr. notes 8 1/2s, 2010 | 240,000 | 258,000 | |
| Decrane Aircraft Holdings Co. company guaranty zero %, 2008 (acquired 7/23/04, cost $115,034) | |||
| (RES) | 351,000 | 231,660 | |
| DRS Technologies, Inc. company guaranty 6 5/8s, 2016 | 85,000 | 85,425 | |
| Hexcel Corp. sr. sub. notes 6 3/4s, 2015 | 45,000 | 45,113 | |
| L-3 Communications Corp. company guaranty 6 1/8s, 2013 | 325,000 | 320,125 | |
| L-3 Communications Corp. sr. sub. notes Class B, 6 3/8s, 2015 | 165,000 | 164,588 | |
| TD Funding Corp. company guaranty 8 3/8s, 2011 | 210,000 | 219,450 | |
| 1,805,037 | |||
|
| |||
| Automotive (4.8%) | |||
| ArvinMeritor, Inc. notes 8 3/4s, 2012 | 70,000 | 68,600 | |
| Dana Corp. notes 5.85s, 2015 | 50,000 | 30,625 | |
| Ford Motor Co. notes 7.45s, 2031 | 255,000 | 181,050 | |
| Ford Motor Credit Corp. bonds 7 3/8s, 2011 | 270,000 | 243,487 | |
| Ford Motor Credit Corp. notes 7 7/8s, 2010 | 550,000 | 508,677 | |
| Ford Motor Credit Corp. notes 7 3/8s, 2009 | 75,000 | 69,279 | |
| General Motors Acceptance Corp. bonds 8s, 2031 | 425,000 | 388,126 | |
| General Motors Acceptance Corp. notes 7 3/4s, 2010 | 430,000 | 405,258 | |
| General Motors Acceptance Corp. notes 6 7/8s, 2012 | 105,000 | 93,555 | |
| General Motors Acceptance Corp. notes 6 3/4s, 2014 | 230,000 | 203,191 | |
| General Motors Acceptance Corp. notes 5 1/8s, 2008 | 100,000 | 91,498 | |
| Hertz Corp. 144A sr. notes 8 7/8s, 2014 | 140,000 | 146,300 | |
| Meritor Automotive, Inc. notes 6.8s, 2009 | 115,000 | 112,700 | |
| Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014 | 130,000 | 129,350 | |
| Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s, 2013 | 210,000 | 232,575 | |
| TRW Automotive, Inc. sr. notes 9 3/8s, 2013 | 145,000 | 157,325 | |
| TRW Automotive, Inc. sr. sub. notes 11s, 2013 | 145,000 | 162,763 | |
| 3,224,359 | |||
|
| |||
| Basic Materials (9.5%) | |||
| AK Steel Corp. company guaranty 7 7/8s, 2009 | 70,000 | 68,075 | |
| BCP Crystal US Holdings Corp. sr. sub. notes 9 5/8s, 2014 | 130,000 | 145,438 | |
| Century Aluminum Co. company guaranty 7 1/2s, 2014 | 60,000 | 62,400 | |
| Chaparral Steel Co. company guaranty 10s, 2013 | 210,000 | 232,050 | |
| Chesapeake Corp. sr. sub. notes 7s, 2014 | EUR | 85,000 | 91,601 |
| Cognis Holding GmbH & Co. 144A sr. notes 9 1/2s, 2014 (Germany) | EUR | 210,000 | 280,257 |
| Compass Minerals International, Inc. sr. disc. notes stepped-coupon Ser. B, zero % (12s, 6/1/08), 2013 | |||
| (STP) | 50,000 | 44,500 | |
| Compass Minerals International, Inc. sr. notes stepped-coupon zero % (12 3/4s, 12/15/07), 2012 (STP) | 235,000 | 218,550 | |
| Crystal US Holdings, LLC sr. disc. notes stepped-coupon Ser. A, zero % (10s, 10/1/09), 2014 (STP) | 275,000 | 215,188 | |
| Equistar Chemicals, LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008 | 290,000 | 311,750 | |
| Georgia-Pacific Corp. debs. 9 1/2s, 2011 | 120,000 | 131,100 | |
| Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011 (Canada) | 175,000 | 192,281 | |
| Graphic Packaging International Corp sr. notes 8 1/2s, 2011 | 15,000 | 15,075 | |
| Hercules, Inc. company guaranty 6 3/4s, 2029 | 140,000 | 137,200 | |
| Huntsman, LLC company guaranty 11 5/8s, 2010 | 78,000 | 88,920 | |
| Huntsman, LLC company guaranty 11 1/2s, 2012 | 40,000 | 45,700 | |
| Ineos Group Holdings PLC 144A bonds 7 7/8s, 2016 (United Kingdom) | EUR | 115,000 | 136,886 |
| Innophos, Inc. 144A sr. sub. notes 8 7/8s, 2014 | 325,000 | 334,750 | |
| Ispat Inland ULC sec. notes 9 3/4s, 2014 | 230,000 | 261,625 | |
| Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012 | 18,000 | 17,595 | |
| Jefferson Smurfit Corp. company guaranty 7 1/2s, 2013 | 15,000 | 14,025 | |
| JSG Holding PLC 144A sr. notes 11 1/2s, 2015 (Ireland) (PIK) | EUR | 107,810 | 130,384 |
| Lyondell Chemical Co. company guaranty 10 1/2s, 2013 | 130,000 | 145,275 | |
| Lyondell Chemical Co. company guaranty 9 1/2s, 2008 | 59,000 | 61,655 | |
| Lyondell Chemical Co. notes Ser. A, 9 5/8s, 2007 | 35,000 | 36,225 | |
| MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland) | 245,000 | 256,638 | |
| MDP Acquisitions PLC sr. notes Ser. EUR, 10 1/8s, 2012 (Ireland) | EUR | 5,000 | 6,518 |
| Metals USA, Inc. 144A sec. notes 11 1/8s, 2015 | 120,000 | 129,000 | |
| Nalco Co. sr. sub. notes 9s, 2013 | EUR | 65,000 | 84,460 |
| Nalco Co. sr. sub. notes 8 7/8s, 2013 | 190,000 | 199,025 | |
| Nell AF S.a.r.l. 144A sr. notes 8 3/8s, 2015 (Luxembourg) | 180,000 | 180,900 | |
| NewPage Corp. sec. notes 10s, 2012 | 275,000 | 287,375 | |
| Norske Skog Canada, Ltd. sr. notes 7 3/8s, 2014 (Canada) | 110,000 | 101,200 | |
| Novelis, Inc. 144A sr. notes 7 3/4s, 2015 | 460,000 | 446,200 | |
| PCI Chemicals Canada sec. sr. notes 10s, 2008 (Canada) | 20,925 | 21,919 | |
| PQ Corp. 144A company guaranty 7 1/2s, 2013 | 200,000 | 192,000 | |
| Rockwood Specialties Group, Inc. company guaranty 7 5/8s, 2014 | EUR | 235,000 | 290,789 |
| Smurfit Capital Funding PLC debs. 7 1/2s, 2025 (Ireland) | 25,000 | 23,000 | |
| Steel Dynamics, Inc. company guaranty 9 1/2s, 2009 | 110,000 | 115,225 | |
| Sterling Chemicals, Inc. sec. notes 10s, 2007 (PIK) | 27,275 | 25,979 | |
| Stone Container Corp. sr. notes 9 3/4s, 2011 | 70,000 | 72,013 | |
| Stone Container Corp. sr. notes 8 3/8s, 2012 | 140,000 | 137,200 | |
| Stone Container Finance company guaranty 7 3/8s, 2014 (Canada) | 215,000 | 199,413 | |
| Ucar Finance, Inc. company guaranty 10 1/4s, 2012 | 90,000 | 95,850 | |
| United States Steel Corp. sr. notes 9 3/4s, 2010 | 114,000 | 123,690 | |
| Wheeling-Pittsburgh Steel Corp. sr. notes 6s, 2010 (PIK) | 7,790 | 6,193 | |
| Wheeling-Pittsburgh Steel Corp. sr. notes 5s, 2011 (PIK) | 14,328 | 11,391 | |
| 6,424,483 | ||
|
| ||
| Beverage (0.1%) | ||
| Constellation Brands, Inc. company guaranty Ser. B, 8s, 2008 | 45,000 | 46,913 |
| Constellation Brands, Inc. sr. sub. notes Ser. B, 8 1/8s, 2012 | 45,000 | 47,306 |
| 94,219 | ||
|
| ||
| Broadcasting (4.2%) | ||
| British Sky Broadcasting PLC company guaranty 6 7/8s, 2009 (United Kingdom) | 210,000 | 218,099 |
| DirecTV Holdings, LLC company guaranty 6 3/8s, 2015 | 520,000 | 518,005 |
| DirecTV Holdings, LLC sr. notes 8 3/8s, 2013 | 194,000 | 208,065 |
| Echostar DBS Corp. company guaranty 6 5/8s, 2014 | 165,000 | 160,463 |
| Echostar DBS Corp. sr. notes 6 3/8s, 2011 | 380,000 | 371,450 |
| Emmis Communications Corp. sr. notes FRN 10.366s, 2012 | 32,571 | 32,571 |
| Granite Broadcasting Corp. sec. notes 9 3/4s, 2010 | 55,000 | 49,775 |
| Gray Television, Inc. company guaranty 9 1/4s, 2011 | 105,000 | 111,563 |
| LIN Television Corp. company guaranty Ser. B, 6 1/2s, 2013 | 110,000 | 104,363 |
| LIN Television Corp. sr. sub. notes 6 1/2s, 2013 | 125,000 | 118,594 |
| Paxson Communications Corp. 144A sec. FRN 10.777s, 2013 | 75,000 | 72,563 |
| Paxson Communications Corp. 144A sec. FRN 7.777s, 2012 | 90,000 | 90,000 |
| Rainbow National Services, LLC 144A sr. notes 8 3/4s, 2012 | 155,000 | 167,013 |
| Rainbow National Services, LLC 144A sr. sub. debs. 10 3/8s, 2014 | 150,000 | 169,688 |
| Sirius Satellite Radio, Inc. sr. unsecd. notes 9 5/8s, 2013 | 140,000 | 137,200 |
| Young Broadcasting, Inc. company guaranty 10s, 2011 | 301,000 | 269,019 |
| Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014 | 65,000 | 54,600 |
| 2,853,031 | ||
|
| ||
| Building Materials (2.0%) | ||
| Associated Materials, Inc. company guaranty 9 3/4s, 2012 | 180,000 | 179,100 |
| Building Materials Corp. company guaranty 8s, 2008 | 60,000 | 60,900 |
| Goodman Global Holding Co., Inc. sr. notes FRN Ser. B, 7.67s, 2012 | 45,000 | 45,788 |
| Goodman Global Holding Co., Inc. sr. sub. notes 7 7/8s, 2012 | 175,000 | 171,063 |
| Jacuzzi Brands, Inc. sec. notes 9 5/8s, 2010 | 75,000 | 81,000 |
| NTK Holdings, Inc. sr. disc. notes zero %, 2014 | 200,000 | 140,000 |
| Owens Corning bonds 7 1/2s, 2018 (In default) (NON) | 5,000 | 3,900 |
| Owens Corning notes 7 1/2s, 2005 (In default) (NON) (DEF) | 120,000 | 92,700 |
| Texas Industries, Inc. sr. unsecd. notes 7 1/4s, 2013 | 225,000 | 232,875 |
| THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub. notes 8 1/2s, 2014 | 350,000 | 349,125 |
| 1,356,451 | ||
|
| ||
| Cable Television (3.1%) | ||
| Adelphia Communications Corp. sr. notes 10 7/8s, 2010 (In default) (NON) | 20,000 | 12,950 |
| Adelphia Communications Corp. sr. notes 10 1/4s, 2011 (In default) (NON) | 90,000 | 62,325 |
| Adelphia Communications Corp. sr. notes 10 1/4s, 2006 (In default) (NON) | 5,000 | 3,175 |
| Adelphia Communications Corp. sr. notes 9 3/8s, 2009 (In default) (NON) | 5,000 | 3,313 |
| Adelphia Communications Corp. sr. notes Ser. B, 9 7/8s, 2007 (In default) (NON) | 40,000 | 25,900 |
| Atlantic Broadband Finance, LLC company guaranty 9 3/8s, 2014 | 255,000 | 237,150 |
| Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012 | 195,000 | 191,588 |
| CCH I Holdings, LLC 144A company guaranty 11 1/8s, 2014 | 119,000 | 65,450 |
| CCH I Holdings, LLC 144A company guaranty 10s, 2014 | 87,000 | 45,240 |
| CCH I Holdings, LLC 144A company guaranty stepped-coupon zero % (12 1/8s, 1/15/07), 2015 (STP) | 35,000 | 16,100 |
| CCH I Holdings, LLC 144A company guaranty stepped-coupon zero % (11 3/4s, 5/15/06), 2014 (STP) | 5,000 | 2,600 |
| CCH I, LLC 144A secd. notes 11s, 2015 | 582,000 | 489,608 |
| CCH II, LLC/CCH II Capital Corp. 144A sr. notes 10 1/4s, 2010 | 230,000 | 228,850 |
| Charter Communications Holdings, LLC/Capital Corp. sr. notes 10 1/4s, 2010 | 180,000 | 179,550 |
| CSC Holdings, Inc. debs. 7 5/8s, 2018 | 35,000 | 34,081 |
| CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011 | 80,000 | 80,600 |
| CSC Holdings, Inc. 144A sr. notes 7 1/4s, 2012 | 155,000 | 149,963 |
| Intelsat Bermuda, Ltd. 144A sr. notes 8 7/8s, 2015 (Bermuda) | 160,000 | 166,000 |
| Intelsat Bermuda, Ltd. 144A sr. notes 8 1/2s, 2013 (Bermuda) | 75,000 | 76,688 |
| 2,071,131 | ||
|
| ||
| Communication Services (6.7%) | ||
| Alamosa Delaware, Inc. company guaranty 12s, 2009 | 50,000 | 54,125 |
| Alamosa Delaware, Inc. company guaranty 11s, 2010 | 60,000 | 67,067 |
| Alamosa Delaware, Inc. sr. notes 8 1/2s, 2012 | 35,000 | 37,800 |
| American Cellular Corp. company guaranty 9 1/2s, 2009 | 35,000 | 36,356 |
| American Cellular Corp. sr. notes Ser. B, 10s, 2011 | 320,000 | 348,000 |
| American Tower Corp. sr. notes 7 1/2s, 2012 | 65,000 | 68,575 |
| American Towers, Inc. company guaranty 7 1/4s, 2011 | 125,000 | 131,250 |
| Asia Global Crossing, Ltd. sr. notes 13 3/8s, 2010 (Bermuda) (In default) (NON) | 94,910 | 2,847 |
| Centennial Cellular Operating Co., LLC company guaranty 10 1/8s, 2013 | 75,000 | 82,125 |
| Centennial Communications Corp. 144A sr. notes 10s, 2013 | 105,000 | 109,200 |
| Centennial Communications Corp. 144A sr. notes FRN 10.25s, 2013 | 30,000 | 30,975 |
| Cincinnati Bell Telephone company guaranty 6.3s, 2028 | 25,000 | 22,750 |
| Cincinnati Bell, Inc. company guaranty 7s, 2015 | 60,000 | 59,925 |
| Cincinnati Bell, Inc. sr. sub. notes 8 3/8s, 2014 | 20,000 | 20,200 |
| Cincinnati Bell, Inc. unsub. notes 7 1/4s, 2023 | 70,000 | 68,950 |
| Citizens Communications Co. notes 9 1/4s, 2011 | 185,000 | 204,888 |
| Citizens Communications Co. sr. notes 6 1/4s, 2013 | 160,000 | 157,000 |
| Digicel, Ltd. 144A sr. notes 9 1/4s, 2012 (Jamaica) | 120,000 | 126,000 |
| Dobson Cellular Systems sec. notes 9 7/8s, 2012 | 120,000 | 131,100 |
| Dobson Communications Corp. 144A sr. notes FRN 8.85s, 2012 | 60,000 | 59,400 |
| Eircom Funding company guaranty Ser. US$, 8 1/4s, 2013 (Ireland) | 45,000 | 48,094 |
| Horizon PCS, Inc. company guaranty 11 3/8s, 2012 | 30,000 | 34,500 |
| Inmarsat Finance PLC company guaranty 7 5/8s, 2012 (United Kingdom) | 114,000 | 117,563 |
| Inmarsat Finance PLC company guaranty stepped-coupon zero % (10 3/8s, 10/15/08), 2012 (United | ||
| Kingdom) (STP) | 175,000 | 147,438 |
| iPCS, Inc. sr. notes 11 1/2s, 2012 | 55,000 | 63,113 |
| IWO Holdings, Inc. sec. FRN 8.35s, 2012 | 20,000 | 20,825 |
| Madison River Capital Corp. sr. notes 13 1/4s, 2010 | 51,000 | 53,678 |
| Nextel Partners, Inc. sr. notes 8 1/8s, 2011 | 225,000 | 238,500 |
| Qwest Communications International, Inc. company guaranty 7 1/2s, 2014 | 410,000 | 421,275 |
| Qwest Corp. notes 8 7/8s, 2012 | 330,000 | 369,600 |
| Qwest Corp. sr. notes 7 5/8s, 2015 | 115,000 | 123,338 | |
| Rogers Cantel, Inc. debs. 9 3/4s, 2016 (Canada) | 180,000 | 221,175 | |
| Rogers Wireless, Inc. sec. notes 9 5/8s, 2011 (Canada) | 40,000 | 46,400 | |
| Rogers Wireless, Inc. sec. notes 6 3/8s, 2014 (Canada) | 250,000 | 253,125 | |
| Rural Cellular Corp. sr. notes 9 7/8s, 2010 | 120,000 | 128,400 | |
| Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010 | 30,000 | 30,450 | |
| Rural Cellular Corp. 144A sr. sub. notes FRN 10.43s, 2012 | 40,000 | 41,200 | |
| SBA Communications Corp. sr. notes 8 1/2s, 2012 | 36,000 | 39,600 | |
| SBA Telecommunications, Inc./SBA Communications Corp. sr. disc. notes stepped-coupon zero % (9 | |||
| 3/4s, 12/15/07), 2011 (STP) | 36,000 | 34,110 | |
| Syniverse Technologies, Inc. sr. sub. notes Ser. B, 7 3/4s, 2013 | 130,000 | 130,325 | |
| U S West, Inc. debs. 7 1/4s, 2025 | 55,000 | 55,688 | |
| Valor Telecommunications Enterprises, LLC/Finance Corp. company guaranty 7 3/4s, 2015 | 60,000 | 62,475 | |
| 4,499,405 | |||
|
|
|||
| Consumer (0.8%) | |||
| Jostens IH Corp. company guaranty 7 5/8s, 2012 | 245,000 | 248,675 | |
| Samsonite Corp. sr. sub. notes 8 7/8s, 2011 | 260,000 | 274,950 | |
| 523,625 | |||
|
|
|||
| Consumer Goods (2.3%) | |||
| Church & Dwight Co., Inc. company guaranty 6s, 2012 | 105,000 | 104,475 | |
| Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014 | 120,000 | 123,600 | |
| Playtex Products, Inc. company guaranty 9 3/8s, 2011 | 190,000 | 199,025 | |
| Playtex Products, Inc. sec. notes 8s, 2011 | 305,000 | 325,588 | |
| Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012 | 259,000 | 262,238 | |
| Remington Arms Co., Inc. company guaranty 10 1/2s, 2011 | 125,000 | 106,250 | |
| Scotts Co. (The) sr. sub. notes 6 5/8s, 2013 | 45,000 | 45,563 | |
| Spectrum Brands, Inc. company guaranty 7 3/8s, 2015 | 335,000 | 288,938 | |
| Spectrum Brands, Inc. sr. sub. notes 8 1/2s, 2013 | 80,000 | 73,000 | |
| 1,528,677 | |||
|
|
|||
| Consumer Services (0.8%) | |||
| Brand Services, Inc. company guaranty 12s, 2012 | 235,000 | 249,100 | |
| United Rentals NA, Inc. company guaranty 6 1/2s, 2012 | 80,000 | 79,900 | |
| United Rentals NA, Inc. sr. sub. notes 7 3/4s, 2013 | 18,000 | 18,068 | |
| United Rentals NA, Inc. sr. sub. notes 7s, 2014 | 175,000 | 169,531 | |
| 516,599 | |||
|
|
|||
| Containers (2.2%) | |||
| Crown Americas, LLC/Crown Americas Capital Corp. 144A sr. notes 7 5/8s, 2013 | 255,000 | 265,838 | |
| Crown Cork & Seal Co., Inc. debs. 8s, 2023 | 65,000 | 63,375 | |
| Owens Brockway Glass Container, Inc company guaranty 6 3/4s, 2014 | EUR | 100,000 | 121,952 |
| Owens-Brockway Glass company guaranty 8 1/4s, 2013 | 180,000 | 187,650 | |
| Owens-Brockway Glass company guaranty 7 3/4s, 2011 | 40,000 | 42,000 | |
| Owens-Brockway Glass sr. sec. notes 8 3/4s, 2012 | 155,000 | 166,625 | |
| Owens-Illinois, Inc. debs. 7.8s, 2018 | 45,000 | 45,450 | |
| Plastipak Holdings, Inc. 144A sr. notes 8 1/2s, 2015 | 70,000 | 72,275 | |
| Solo Cup Co. sr. sub. notes 8 1/2s, 2014 | 285,000 | 253,650 | |
| Tekni-Plex, Inc. 144A sec. notes 10 7/8s, 2012 | 240,000 | 264,000 | |
| 1,482,815 | |||
|
|
|||
| Energy (7.8%) | |||
| Arch Western Finance, LLC sr. notes 6 3/4s, 2013 | 270,000 | 270,675 | |
| Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012 (Cayman Islands) | 70,000 | 75,425 | |
| Chaparral Energy, Inc. 144A sr. notes 8 1/2s, 2015 | 110,000 | 116,325 | |
| CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014 (Canada) | 185,000 | 188,931 | |
| Chesapeake Energy Corp. company guaranty 7 3/4s, 2015 | 45,000 | 47,813 | |
| Chesapeake Energy Corp. sr. notes 7 1/2s, 2013 | 210,000 | 223,388 | |
| Chesapeake Energy Corp. sr. notes 7s, 2014 | 60,000 | 62,250 | |
| Compton Petroleum Corp. company guaranty 7 5/8s, 2013 (Canada) | 145,000 | 147,900 | |
| Comstock Resources, Inc. sr. notes 6 7/8s, 2012 | 95,000 | 95,000 | |
| Delta Petroleum Corp. company guaranty 7s, 2015 | 365,000 | 352,225 | |
| Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015 | 75,000 | 78,563 | |
| Dresser-Rand Group, Inc. 144A sr. sub. notes 7 5/8s, 2014 | 22,000 | 22,880 | |
| Encore Acquisition Co. sr. sub. notes 6 1/4s, 2014 | 45,000 | 44,100 | |
| Encore Acquisition Co. sr. sub. notes 6s, 2015 | 152,000 | 144,400 | |
| EXCO Resources, Inc. company guaranty 7 1/4s, 2011 | 175,000 | 178,500 | |
| Forest Oil Corp. company guaranty 7 3/4s, 2014 | 70,000 | 73,238 | |
| Forest Oil Corp. sr. notes 8s, 2011 | 145,000 | 158,050 | |
| Forest Oil Corp. sr. notes 8s, 2008 | 35,000 | 36,619 | |
| Hanover Compressor Co. sr. notes 9s, 2014 | 70,000 | 76,300 | |
| Hanover Compressor Co. sr. notes 8 5/8s, 2010 | 40,000 | 42,250 | |
| Hanover Compressor Co. sub. notes zero %, 2007 | 95,000 | 87,400 | |
| Hanover Equipment Trust sec. notes Ser. B, 8 3/4s, 2011 | 30,000 | 31,650 | |
| Harvest Operations Corp. sr. notes 7 7/8s, 2011 (Canada) | 275,000 | 274,313 | |
| Inergy, LP/Inergy Finance Corp. sr. notes 6 7/8s, 2014 | 340,000 | 323,850 | |
| Inergy, LP/Inergy Finance Corp. 144A sr. notes 8 1/4s, 2016 | 25,000 | 25,500 | |
| KCS Energy, Inc. sr. notes 7 1/8s, 2012 | 65,000 | 65,975 | |
| Massey Energy Co. sr. notes 6 5/8s, 2010 | 260,000 | 265,850 | |
| Newfield Exploration Co. sr. notes 7 5/8s, 2011 | 130,000 | 139,425 | |
| Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014 | 125,000 | 129,063 | |
| Pacific Energy Partners/Pacific Energy Finance Corp. sr. notes 7 1/8s, 2014 | 75,000 | 77,438 | |
| Peabody Energy Corp. sr. notes 5 7/8s, 2016 | 135,000 | 132,300 | |
| Plains Exploration & Production Co. sr. notes 7 1/8s, 2014 | 95,000 | 99,038 | |
| Plains Exploration & Production Co. sr. sub. notes 8 3/4s, 2012 | 145,000 | 155,875 | |
| Pogo Producing Co. sr. sub. notes 6 7/8s, 2017 | 140,000 | 141,050 | |
| Pride International, Inc. sr. notes 7 3/8s, 2014 | 185,000 | 197,488 | |
| Star Gas Partners, LP/Star Gas Finance Co. sr. notes 10 1/4s, 2013 | 25,000 | 25,313 | |
| Stone Energy Corp. sr. sub. notes 6 3/4s, 2014 | 160,000 | 152,800 | |
| Vintage Petroleum, Inc. sr. notes 8 1/4s, 2012 | 45,000 | 48,150 | |
| Vintage Petroleum, Inc. sr. sub. notes 7 7/8s, 2011 | 25,000 | 26,000 | |
| Whiting Petroleum Corp. 144A sr. sub. notes 7s, 2014 | 435,000 | 436,088 | |
| 5,269,398 | |||
|
|
|||
| Entertainment (1.4%) | |||
| AMC Entertainment, Inc. sr. sub. notes 9 7/8s, 2012 | 45,000 | 42,806 | |
| AMC Entertainment, Inc. sr. sub. notes 8s, 2014 | 22,000 | 19,168 | |
| AMC Entertainment, Inc. 144A company guaranty 11s, 2016 | 65,000 | 65,406 | |
| Cinemark USA, Inc. sr. sub. notes 9s, 2013 | 100,000 | 105,750 | |
| Cinemark, Inc. sr. disc. notes stepped-coupon zero % (9 3/4s, 3/15/07), 2014 (STP) | 245,000 | 182,525 | |
| Marquee Holdings, Inc. sr. disc. notes stepped-coupon zero % (12s, 8/15/09), 2014 (STP) | 170,000 | 103,913 | |
| Six Flags, Inc. sr. notes 8 7/8s, 2010 | 105,000 | 106,050 | |
| Universal City Florida Holding Co. sr. notes 8 3/8s, 2010 | 220,000 | 219,450 | |
| Universal City Florida Holding Co. sr. notes FRN 9.43s, 2010 | 75,000 | 76,125 | |
| 921,193 | |||
|
|
|||
| Financial (1.0%) | |||
| Crescent Real Estate Equities, LP notes 7 1/2s, 2007 (R) | 55,000 | 56,100 | |
| E*Trade Finance Corp. sr. notes 8s, 2011 | 175,000 | 184,188 | |
| Finova Group, Inc. notes 7 1/2s, 2009 | 175,450 | 57,021 | |
| UBS AG/Jersey Branch sr. notes Ser. EMTN, 9.14s, 2008 (Jersey) | 85,000 | 87,550 | |
| Western Financial Bank sub. debs. 9 5/8s, 2012 | 240,000 | 270,000 | |
| 654,859 | |||
|
|
|||
| Food (1.8%) | |||
| Archibald Candy Corp. company guaranty 10s, 2007 (In default) (F)(NON) | 16,542 | 864 | |
| Dean Foods Co. sr. notes 6 5/8s, 2009 | 335,000 | 340,863 | |
| Del Monte Corp. company guaranty 6 3/4s, 2015 | 80,000 | 80,000 | |
| Del Monte Corp. sr. sub. notes 8 5/8s, 2012 | 205,000 | 218,325 | |
| Doane Pet Care Co. 144A sr. sub. notes 10 5/8s, 2015 | 265,000 | 280,238 | |
| Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s, 2013 | 285,000 | 279,300 | |
| 1,199,590 | |||
|
|
|||
| Gaming & Lottery (3.7%) | |||
| Boyd Gaming Corp. sr. sub. notes 8 3/4s, 2012 | 160,000 | 172,000 | |
| Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012 | 30,000 | 31,388 | |
| Boyd Gaming Corp. sr. sub. notes 7 1/8s, 2016 | 145,000 | 146,813 | |
| Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014 | 60,000 | 59,850 | |
| MGM Mirage, Inc. company guaranty 8 1/2s, 2010 | 125,000 | 135,469 | |
| MGM Mirage, Inc. company guaranty 6s, 2009 | 175,000 | 174,125 | |
| Mirage Resorts, Inc. debs. 7 1/4s, 2017 | 40,000 | 41,700 | |
| Park Place Entertainment Corp. sr. notes 7 1/2s, 2009 | 155,000 | 164,106 | |
| Park Place Entertainment Corp. sr. notes 7s, 2013 | 115,000 | 121,692 | |
| Park Place Entertainment Corp. sr. sub. notes 7 7/8s, 2010 | 95,000 | 101,294 | |
| Penn National Gaming, Inc. sr. sub. notes 8 7/8s, 2010 | 185,000 | 193,210 | |
| Penn National Gaming, Inc. sr. sub. notes 6 3/4s, 2015 | 50,000 | 50,250 | |
| Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, 2012 | 130,000 | 135,200 | |
| Resorts International Hotel and Casino, Inc. company guaranty 11 1/2s, 2009 | 120,000 | 132,300 | |
| Scientific Games Corp. company guaranty 6 1/4s, 2012 | 130,000 | 129,188 | |
| Station Casinos, Inc. sr. notes 6s, 2012 | 90,000 | 90,000 | |
| Station Casinos, Inc. sr. sub. notes 6 7/8s, 2016 | 90,000 | 91,575 | |
| Trump Entertainment Resorts, Inc. sec. notes 8 1/2s, 2015 | 260,000 | 259,350 | |
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st mtge. 6 5/8s, 2014 | 280,000 | 275,800 | |
| 2,505,310 | |||
|
|
|||
| Health Care (6.3%) | |||
| Athena Neurosciences Finance, LLC company guaranty 7 1/4s, 2008 | 270,000 | 261,900 | |
| Community Health Systems, Inc. sr. sub. notes 6 1/2s, 2012 | 310,000 | 306,900 | |
| DaVita, Inc. company guaranty 7 1/4s, 2015 | 85,000 | 86,700 | |
| DaVita, Inc. company guaranty 6 5/8s, 2013 | 225,000 | 228,375 | |
| Fresenius Finance BV 144A 5 1/2s, 2016 (Netherlands) | EUR | 45,000 | 54,020 |
| HCA, Inc. debs. 7.19s, 2015 | 60,000 | 62,207 | |
| HCA, Inc. notes 8.36s, 2024 | 60,000 | 64,828 | |
| HCA, Inc. notes 7.69s, 2025 | 70,000 | 72,370 | |
| HCA, Inc. notes 7s, 2007 | 10,000 | 10,179 | |
| HCA, Inc. notes 6 3/8s, 2015 | 55,000 | 54,914 | |
| HCA, Inc. notes 5 3/4s, 2014 | 55,000 | 52,591 | |
| Healthsouth Corp. notes 7 5/8s, 2012 | 195,000 | 214,500 | |
| Healthsouth Corp. sr. sub. notes 10 3/4s, 2008 | 45,000 | 46,463 | |
| Insight Health Services Corp. company guaranty FRB 9.93s, 2011 | 230,000 | 212,750 | |
| MedQuest, Inc. company guaranty Ser. B, 11 7/8s, 2012 | 40,000 | 30,800 | |
| MQ Associates, Inc. sr. disc. notes stepped-coupon zero % (12 1/4s, 8/15/08), 2012 (STP) | 270,000 | 59,400 | |
| Omnicare, Inc. sr. sub. notes 6 7/8s, 2015 | 75,000 | 76,500 | |
| Omnicare, Inc. sr. sub. notes 6 1/8s, 2013 | 120,000 | 118,200 | |
| Psychiatric Solutions, Inc. company guaranty 7 3/4s, 2015 | 270,000 | 278,775 | |
| Select Medical Corp. company guaranty 7 5/8s, 2015 | 75,000 | 64,125 | |
| Service Corp. International debs. 7 7/8s, 2013 | 40,000 | 42,250 | |
| Service Corp. International notes 6 1/2s, 2008 | 20,000 | 20,200 | |
| Service Corp. International notes Ser. *, 7.7s, 2009 | 50,000 | 52,500 | |
| Service Corp. International 144A sr. notes 7 1/4s, 2017 | 50,000 | 51,063 | |
| Service Corp. International 144A sr. notes 6 3/4s, 2016 | 140,000 | 139,650 | |
| Stewart Enterprises, Inc. 144A sr. notes 7 1/4s, 2013 | 260,000 | 251,550 | |
| Tenet Healthcare Corp. notes 7 3/8s, 2013 | 175,000 | 160,563 | |
| Tenet Healthcare Corp. sr. notes 9 7/8s, 2014 | 175,000 | 178,063 | |
| Triad Hospitals, Inc. sr. notes 7s, 2012 | 130,000 | 132,600 | |
| Triad Hospitals, Inc. sr. sub. notes 7s, 2013 | 225,000 | 226,969 | |
| Universal Hospital Services, Inc. sr. notes 10 1/8s, 2011 (Canada) | 85,000 | 88,825 | |
| Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, 2014 | 280,000 | 291,900 | |
| Ventas Realty, LP/Capital Corp. company guaranty 9s, 2012 (R) | 55,000 | 62,631 | |
| Ventas Realty, LP/Capital Corp. company guaranty 6 3/4s, 2010 (R) | 55,000 | 56,169 | |
| Ventas Realty, LP/Capital Corp. sr. notes 6 5/8s, 2014 (R) | 40,000 | 40,500 | |
| Ventas Realty, LP/Capital Corp. 144A sr. notes 6 1/2s, 2016 (R) | 60,000 | 60,300 | |
| 4,212,230 | |||
|
|
|||
| Homebuilding (1.4%) | |||
| Ashton Woods USA, LLC/Ashton Woods Finance Co. 144A sr. sub. notes 9 1/2s, 2015 (R) | 75,000 | 70,500 | |
| Beazer Homes USA, Inc. company guaranty 8 5/8s, 2011 | 70,000 | 73,325 | |
| K. Hovnanian Enterprises, Inc. company guaranty 8 7/8s, 2012 | 90,000 | 94,275 | |
| K. Hovnanian Enterprises, Inc. sr. notes 6 1/2s, 2014 | 50,000 | 47,641 | |
| Meritage Homes Corp. company guaranty 6 1/4s, 2015 | 60,000 | 54,000 | |
| Schuler Homes, Inc. company guaranty 10 1/2s, 2011 | 70,000 | 74,813 | |
| Standard Pacific Corp. sr. notes 7s, 2015 | 40,000 | 36,900 | |
| Technical Olympic USA, Inc. company guaranty 10 3/8s, 2012 | 55,000 | 55,811 | |
| Technical Olympic USA, Inc. sr. sub. notes 7 1/2s, 2015 | 175,000 | 148,750 | |
| WCI Communities, Inc. company guaranty 9 1/8s, 2012 | 270,000 | 273,375 | |
| 929,390 | |||
|
| |||
| Household Furniture and Appliances (0.3%) | |||
| Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014 | 200,000 | 209,000 | |
|
| |||
| Lodging/Tourism (0.9%) | |||
| FelCor Lodging, LP company guaranty 9s, 2008 (R) | 55,000 | 60,775 | |
| HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 (R) | 33,000 | 33,206 | |
| Host Marriott, LP company guaranty Ser. G, 9 1/4s, 2007 (R) | 60,000 | 63,000 | |
| Host Marriott, LP sr. notes Ser. M, 7s, 2012 (R) | 165,000 | 168,300 | |
| MeriStar Hospitality Corp. company guaranty 9 1/8s, 2011 (R) | 95,000 | 110,200 | |
| Starwood Hotels & Resorts Worldwide, Inc. company guaranty 7 3/8s, 2007 | 80,000 | 81,600 | |
| Starwood Hotels & Resorts Worldwide, Inc. debs. 7 3/8s, 2015 | 95,000 | 103,075 | |
| 620,156 | |||
|
| |||
| Machinery (1.0%) | |||
| Manitowoc Co., Inc. (The) company guaranty 10 1/2s, 2012 | 91,000 | 100,328 | |
| Manitowoc Co., Inc. (The) company guaranty 10 3/8s, 2011 | EUR | 25,000 | 31,814 |
| Manitowoc Co., Inc. (The) sr. notes 7 1/8s, 2013 | 290,000 | 297,975 | |
| Terex Corp. company guaranty 9 1/4s, 2011 | 35,000 | 37,319 | |
| Terex Corp. company guaranty 7 3/8s, 2014 | 18,000 | 18,540 | |
| Terex Corp. company guaranty Ser. B, 10 3/8s, 2011 | 190,000 | 200,688 | |
| 686,664 | |||
|
| |||
| Manufacturing (3.3%) | |||
| Amsted Industries, Inc. 144A sr. notes 10 1/4s, 2011 | 320,000 | 347,200 | |
| Blount, Inc. sr. sub. notes 8 7/8s, 2012 | 125,000 | 131,250 | |
| Covalence Specialty Materials Corp. 144A sr. sub. notes 10 1/4s, 2016 | 220,000 | 227,975 | |
| Greenbrier Companies, Inc. company guaranty 8 3/8s, 2015 | 95,000 | 99,750 | |
| Greenbrier Companies, Inc. 144A sr. notes 8 3/8s, 2015 | 75,000 | 78,750 | |
| Invensys PLC notes 9 7/8s, 2011 (United Kingdom) | 15,000 | 15,525 | |
| Legrand SA debs. 8 1/2s, 2025 (France) | 310,000 | 379,750 | |
| Milacron Escrow Corp. sec. notes 11 1/2s, 2011 | 240,000 | 214,800 | |
| Mueller Group, Inc. sr. sub. notes 10s, 2012 | 175,000 | 191,625 | |
| Mueller Holdings, Inc. disc. notes stepped-coupon zero % (14 3/4s, 4/15/09), 2014 (STP) | 105,000 | 85,050 | |
| Ray Acquisition SCA sr. notes 9 3/8s, 2015 (France) | EUR | 210,000 | 267,740 |
| Siebe PLC 144A sr. unsub. 6 1/2s, 2010 (United Kingdom) | 210,000 | 196,088 | |
| 2,235,503 | |||
|
| |||
| Media (0.5%) | |||
| Affinity Group, Inc. sr. sub. notes 9s, 2012 | 270,000 | 270,000 | |
| Warner Music Group sr. sub. notes 7 3/8s, 2014 | 100,000 | 100,250 | |
| 370,250 | |||
|
| |||
| Metal Fabricators (0.5%) | |||
| Earle M. Jorgensen Co. sec. notes 9 3/4s, 2012 | 315,000 | 341,775 | |
|
| |||
| Publishing (4.5%) | |||
| American Media, Inc. company guaranty Ser. B, 10 1/4s, 2009 | 250,000 | 223,125 | |
| CanWest Media, Inc. company guaranty 8s, 2012 (Canada) | 382,086 | 391,638 | |
| Cenveo Corp, sr. sub. notes 7 7/8s, 2013 | 180,000 | 178,200 | |
| Dex Media West, LLC/Dex Media Finance Co. sr. notes Ser. B, 8 1/2s, 2010 | 155,000 | 164,300 | |
| Dex Media, Inc. disc. notes stepped-coupon zero % (9s, 11/15/08), 2013 (STP) | 85,000 | 71,400 | |
| Dex Media, Inc. notes 8s, 2013 | 65,000 | 67,275 | |
| Houghton Mifflin Co. sr. sub. notes 9 7/8s, 2013 | 315,000 | 343,350 | |
| Mail-Well I Corp. company guaranty 9 5/8s, 2012 | 135,000 | 145,631 | |
| PRIMEDIA, Inc. company guaranty 8 7/8s, 2011 | 130,000 | 125,125 | |
| PRIMEDIA, Inc. sr. notes 8s, 2013 | 190,000 | 170,050 | |
| R.H. Donnelley Corp. sr. notes 6 7/8s, 2013 | 65,000 | 61,100 | |
| R.H. Donnelley Corp. 144A sr. disc. notes 6 7/8s, 2013 | 55,000 | 51,150 | |
| R.H. Donnelley Corp. 144A sr. disc. notes Ser. A-2, 6 7/8s, 2013 | 110,000 | 102,300 | |
| R.H. Donnelley Corp. 144A sr. notes Ser. A-3, 8 7/8s, 2016 | 145,000 | 150,075 | |
| Reader's Digest Association, Inc. (The) sr. notes 6 1/2s, 2011 | 335,000 | 331,650 | |
| Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009 | 340,000 | 333,625 | |
| Vertis, Inc. 144A sub. notes 13 1/2s, 2009 | 120,000 | 98,400 | |
| 3,008,394 | |||
|
| |||
| Restaurants (0.4%) | |||
| Domino's, Inc. sr. sub. notes 8 1/4s, 2011 | 80,000 | 83,200 | |
| Sbarro, Inc. company guaranty 11s, 2009 | 155,000 | 158,488 | |
| 241,688 | |||
|
| |||
| Retail (2.4%) | |||
| Asbury Automotive Group, Inc. sr. sub. notes 8s, 2014 | 80,000 | 80,700 | |
| Autonation, Inc. company guaranty 9s, 2008 | 160,000 | 170,800 | |
| GSC Holdings Corp. 144A company guaranty 8s, 2012 | 140,000 | 139,650 | |
| Harry & David Holdings, Inc. company guaranty 9s, 2013 | 60,000 | 58,200 | |
| JC Penney Co., Inc. debs. 7 1/8s, 2023 | 90,000 | 101,711 | |
| JC Penney Co., Inc. notes 9s, 2012 | 20,000 | 23,475 | |
| JC Penney Co., Inc. notes 8s, 2010 | 5,000 | 5,446 | |
| Jean Coutu Group, Inc. sr. notes 7 5/8s, 2012 (Canada) | 115,000 | 115,000 | |
| Jean Coutu Group, Inc. sr. sub. notes 8 1/2s, 2014 (Canada) | 55,000 | 52,525 | |
| Movie Gallery, Inc. sr. unsecd. notes 11s, 2012 | 95,000 | 62,463 | |
| Neiman-Marcus Group, Inc. 144A sr. notes 9s, 2015 | 335,000 | 353,844 | |
| Rite Aid Corp. company guaranty 9 1/2s, 2011 | 100,000 | 105,000 | |
| Rite Aid Corp. company guaranty 7 1/2s, 2015 | 80,000 | 77,100 |
| Rite Aid Corp. debs. 6 7/8s, 2013 | 5,000 | 4,200 |
| Rite Aid Corp. sr. notes 9 1/4s, 2013 | 75,000 | 70,875 |
| United Auto Group, Inc. company guaranty 9 5/8s, 2012 | 205,000 | 219,863 |
| 1,640,852 | ||
|
|
||
| Technology (4.6%) | ||
| Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012 | 130,000 | 137,800 |
| Amkor Technologies, Inc. sr. notes 7 3/4s, 2013 | 143,000 | 135,493 |
| Celestica, Inc. sr. sub. notes 7 7/8s, 2011 (Canada) | 70,000 | 71,400 |
| Celestica, Inc. sr. sub. notes 7 5/8s, 2013 (Canada) | 135,000 | 135,000 |
| Freescale Semiconductor, Inc. sr. notes Ser. B, 7 1/8s, 2014 | 160,000 | 169,000 |
| Iron Mountain, Inc. company guaranty 8 5/8s, 2013 | 115,000 | 119,313 |
| Iron Mountain, Inc. company guaranty 7 3/4s, 2015 | 125,000 | 126,563 |
| Iron Mountain, Inc. company guaranty 6 5/8s, 2016 | 295,000 | 278,038 |
| Lucent Technologies, Inc. debs. 6 1/2s, 2028 | 10,000 | 8,288 |
| Lucent Technologies, Inc. debs. 6.45s, 2029 | 175,000 | 147,656 |
| New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011 (Cayman Islands) | 65,000 | 54,275 |
| Solectron Corp. 144A sr. sub. notes 8s, 2016 | 135,000 | 137,025 |
| SunGard Data Systems, Inc. 144A sr. sub. notes 10 1/4s, 2015 | 192,000 | 201,360 |
| SunGard Data Systems, Inc. 144A sr. unsecd. notes 9 1/8s, 2013 | 326,000 | 346,783 |
| UGS Corp. company guaranty 10s, 2012 | 280,000 | 306,950 |
| Unisys Corp. sr. notes 8s, 2012 | 145,000 | 141,375 |
| Xerox Capital Trust I company guaranty 8s, 2027 | 130,000 | 134,550 |
| Xerox Corp. notes Ser. MTN, 7.2s, 2016 | 80,000 | 85,200 |
| Xerox Corp. sr. notes 7 5/8s, 2013 | 195,000 | 206,944 |
| Xerox Corp. sr. notes 6 7/8s, 2011 | 180,000 | 186,075 |
| 3,129,088 | ||
|
|
||
| Textiles (0.8%) | ||
| Levi Strauss & Co. sr. notes 12 1/4s, 2012 | 205,000 | 234,213 |
| Levi Strauss & Co. sr. notes 9 3/4s, 2015 | 190,000 | 202,350 |
| Oxford Industries, Inc. sr. notes 8 7/8s, 2011 | 75,000 | 77,250 |
| 513,813 | ||
|
|
||
| Tire & Rubber (0.5%) | ||
| Goodyear Tire & Rubber Co. (The) notes 8 1/2s, 2007 | 35,000 | 35,744 |
| Goodyear Tire & Rubber Co. (The) notes 7.857s, 2011 | 180,000 | 176,850 |
| Goodyear Tire & Rubber Co. (The) sr. notes 9s, 2015 | 130,000 | 130,650 |
| 343,244 | ||
|
|
||
| Transportation (0.9%) | ||
| Calair, LLC/Calair Capital Corp. company guaranty 8 1/8s, 2008 | 170,000 | 154,700 |
| Kansas City Southern Railway Co. company guaranty 9 1/2s, 2008 | 200,000 | 215,500 |
| Kansas City Southern Railway Co. company guaranty 7 1/2s, 2009 | 30,000 | 30,900 |
| Navistar International Corp. company guaranty 6 1/4s, 2012 | 85,000 | 85,638 |
| Navistar International Corp. company guaranty Ser. B, 9 3/8s, 2006 | 120,000 | 121,050 |
| 607,788 | ||
|
|
||
| Utilities & Power (6.8%) | ||
| AES Corp. (The) sr. notes 8 7/8s, 2011 | 13,000 | 14,105 |
| AES Corp. (The) sr. notes 8 3/4s, 2008 | 4,000 | 4,200 |
| AES Corp. (The) 144A sec. notes 9s, 2015 | 130,000 | 142,350 |
| AES Corp. (The) 144A sec. notes 8 3/4s, 2013 | 190,000 | 205,913 |
| ANR Pipeline Co. debs. 9 5/8s, 2021 | 135,000 | 174,362 |
| CMS Energy Corp. sr. notes 8.9s, 2008 | 130,000 | 138,775 |
| CMS Energy Corp. sr. notes 8 1/2s, 2011 | 40,000 | 43,600 |
| CMS Energy Corp. sr. notes 7 3/4s, 2010 | 30,000 | 31,575 |
| Colorado Interstate Gas Co. debs. 6.85s, 2037 | 75,000 | 79,455 |
| Colorado Interstate Gas Co. sr. notes 5.95s, 2015 | 20,000 | 19,729 |
| Copano Energy, LLC 144A sr. notes 8 1/8s, 2016 | 60,000 | 62,100 |
| Dynegy Holdings, Inc. 144A sec. notes 10 1/8s, 2013 | 240,000 | 270,000 |
| Dynegy-Roseton Danskamme company guaranty Ser. A, 7.27s, 2010 | 65,000 | 66,138 |
| Dynegy-Roseton Danskamme company guaranty Ser. B, 7.67s, 2016 | 100,000 | 102,750 |
| El Paso Corp. notes 7 3/4s, 2010 | 40,000 | 41,750 |
| El Paso Corp. sr. notes 8.05s, 2030 | 95,000 | 102,363 |
| El Paso Corp. sr. notes 7 3/8s, 2012 | 65,000 | 67,438 |
| El Paso Corp. sr. notes Ser. MTN, 7.8s, 2031 | 65,000 | 68,900 |
| El Paso Natural Gas Co. debs. 8 5/8s, 2022 | 30,000 | 35,892 |
| El Paso Production Holding Co. company guaranty 7 3/4s, 2013 | 275,000 | 290,125 |
| Ferrellgas, LP/Finance sr. notes 6 3/4s, 2014 | 115,000 | 112,125 |
| Midwest Generation, LLC sec. sr. notes 8 3/4s, 2034 | 225,000 | 245,813 |
| Mirant North America, LLC 144A sr. notes 7 3/8s, 2013 | 175,000 | 179,594 |
| Mission Energy Holding Co. sec. notes 13 1/2s, 2008 | 135,000 | 155,588 |
| Monongahela Power Co. 1st mtge. 6.7s, 2014 | 70,000 | 75,237 |
| Nevada Power Co. 2nd mtge. 9s, 2013 | 55,000 | 60,817 |
| Northwestern Corp. sec. notes 5 7/8s, 2014 | 270,000 | 271,393 |
| NRG Energy, Inc. sr. notes 7 3/8s, 2016 | 365,000 | 375,950 |
| Orion Power Holdings, Inc. sr. notes 12s, 2010 | 100,000 | 114,500 |
| SEMCO Energy, Inc. sr. notes 7 3/4s, 2013 | 85,000 | 88,304 |
| SEMCO Energy, Inc. 144A sr. notes 7 3/4s, 2013 | 110,000 | 114,400 |
| Sierra Pacific Power Co. general ref. mtge. 6 1/4s, 2012 | 25,000 | 25,500 |
| Sierra Pacific Resources sr. notes 8 5/8s, 2014 | 125,000 | 136,417 |
| Teco Energy, Inc. notes 7.2s, 2011 | 35,000 | 37,013 |
| Teco Energy, Inc. notes 7s, 2012 | 55,000 | 57,750 |
| Teco Energy, Inc. sr. notes 6 3/4s, 2015 | 10,000 | 10,500 |
| Tennessee Gas Pipeline Co. debs. 7s, 2028 | 15,000 | 15,776 |
| Tennessee Gas Pipeline Co. unsecd. notes 7 1/2s, 2017 | 30,000 | 32,971 |
| Transcontinental Gas Pipeline Corp. debs. 7 1/4s, 2026 | 120,000 | 130,650 |
| Utilicorp Canada Finance Corp. company guaranty 7 3/4s, 2011 (Canada) | 105,000 | 108,413 |
| Utilicorp United, Inc. sr. notes 9.95s, 2011 | 75,000 | 83,438 |
| Williams Cos., Inc. (The) notes 8 3/4s, 2032 | 25,000 | 30,250 |
| Williams Cos., Inc. (The) notes 8 1/8s, 2012 | 25,000 | 27,375 |
| Williams Cos., Inc. (The) notes 7 5/8s, 2019 | 95,000 | 104,500 |
| Williams Cos., Inc. (The) 144A notes 6 3/8s, 2010 | 45,000 | 45,113 |
| York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default) (F)(NON) | 65,719 | 5,481 |
| 4,606,388 | ||
|
| ||
| Waste Management (0.7%) | ||
| Allied Waste North America, Inc. company guaranty Ser. B, 8 1/2s, 2008 | 240,000 | 253,200 |
| Browning-Ferris Industries, Inc. debs. 7.4s, 2035 | 80,000 | 74,000 |
| Browning-Ferris Industries, Inc. sr. notes 6 3/8s, 2008 | 145,000 | 145,000 |
| 472,200 | ||
|
| ||
| Total corporate bonds and notes (cost $61,282,292) | $61,510,530 | |
| CONVERTIBLE BONDS AND NOTES (2.2%)(a) | ||
| Principal amount | Value | |
| DRS Technologies, Inc. 144A cv. unsec. notes 2s, 2026 | $190,000 | $196,413 |
| Kulicke & Soffa Industries, Inc. cv. sub. notes 0.5s, 2008 | 390,000 | 347,100 |
| L-3 Communications Corp. 144A cv. bonds 3s, 2035 | 125,000 | 128,281 |
| LIN Television Corp. cv. sr. sub. notes 2 1/2s, 2033 | 35,000 | 31,413 |
| Manor Care, Inc. 144A cv. sr. notes 2 1/8s, 2035 | 25,000 | 26,031 |
| Nash Finch Co. cv. sr. sub. notes stepped-coupon 1.631s (zero %, 3/15/13) 2035 | 375,000 | 151,875 |
| Safeguard Scientifics, Inc. cv. sr. notes 2 5/8s, 2024 | 425,000 | 316,625 |
| Sinclair Broadcast Group, Inc. cv. sr. sub. notes stepped-coupon 4 7/8s (2s, 1/15/11) 2018 (STP) | 195,000 | 168,919 |
| Wabash National Corp. cv. sr. notes 3 1/4s, 2008 | 60,000 | 69,825 |
| WCI Communities, Inc. cv. sr. sub. notes 4s, 2023 | 60,000 | 65,100 |
|
| ||
| Total convertible bonds and notes (cost $1,420,480) | $1,501,582 | |
| CONVERTIBLE PREFERRED STOCKS (2.0%)(a) | ||
| Shares | Value | |
| Chesapeake Energy Corp. Ser. *, $4.50 cum. cv. pfd | 1,139 | $103,507 |
| Citigroup Funding, Inc. Ser. GNW, zero % cv. pfd. | 5,160 | 162,488 |
| Crown Castle International Corp. $3.125 cum. cv. pfd. | 1,537 | 84,151 |
| Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd. | 2,929 | 119,357 |
| Freeport-McMoRan Copper & Gold, Inc. 5.5% cv. pfd. | 121 | 137,759 |
| Huntsman Corp. $2.50 cv. pfd. | 6,062 | 270,517 |
| Interpublic Group of Companies, Inc. 144A Ser. B, 5.25% cum. cv. pfd | 207 | 203,119 |
| Northrop Grumman Corp. Ser. B, $7.00 cum. cv. pfd. | 2,225 | 289,250 |
|
| ||
| Total convertible preferred stocks (cost $1,403,385) | $1,370,148 | |
| COMMON STOCKS (1.3%)(a) | ||
| Shares | Value | |
| Coinmach Service Corp. IDS (Income Deposit Securities) | 20,176 | $334,921 |
| Comdisco Holding Co., Inc. | 86 | 1,355 |
| Compass Minerals International, Inc. | 112 | 2,794 |
| Contifinancial Corp. Liquidating Trust Units | 505,286 | 158 |
| Crown Castle International Corp. (NON) | 235 | 7,367 |
| Dobson Communications Corp. (NON) | 338 | 2,447 |
| iPCS, Inc. (NON) | 3,684 | 173,516 |
| Knology, Inc. (NON) | 33 | 167 |
| Northwestern Corp. | 978 | 31,717 |
| Samsonite Corp. (NON) | 152,427 | 134,136 |
| Sterling Chemicals, Inc. (NON) | 10 | 100 |
| Sun Healthcare Group, Inc. (NON) | 178 | 1,136 |
| USA Mobility, Inc. | 40 | 1,153 |
| VFB, LLC (acquired various dates from 12/21/99 to 10/27/00, cost $214,226) (F)(RES)(NON) | 259,509 | 5,515 |
| VS Holdings, Inc. (NON) | 40,417 | 1 |
| WHX Corp. (NON) | 3,964 | 40,235 |
| Williams Cos., Inc. (The) | 5,325 | 114,860 |
|
| ||
| Total common stocks (cost $2,006,960) | $851,578 | |
| UNITS (0.5%)(a) (cost $812,266) | ||
| Units | Value | |
| XCL Equity Units (F) | 446 | $303,881 |
|
| ||
| PREFERRED STOCKS (0.4%)(a) | ||
| Shares | Value | |
| First Republic Capital Corp. 144A 10.50% pfd. | 80 | $88,000 |
| Paxson Communications Corp. 14.25% cum. pfd. (PIK) | 15 | 125,250 |
| Rural Cellular Corp. Ser. B, 11.375% cum. pfd. | 49 | 58,555 |
|
| ||
| Total preferred stocks (cost $277,856) | $271,805 | |
| SENIOR LOANS (0.1%)(a)(c) (cost $82,272) | ||
| Principal amount | Value | |
| Olympus Cable Holdings, LLC bank term loan FRN Ser. B, 9 1/2s, 2010 | $90,000 | $88,345 |
|
| ||
| FOREIGN GOVERNMENT BONDS AND NOTES (0.1%)(a) (cost $65,042) | ||
| Principal amount | Value | |
| Philippines (Republic of) bonds 9 1/2s, 2024 | $60,000 | $70,650 |
|
| ||
| WARRANTS (--%)(a)(NON) | ||||
| Expiration date | Strike price | Warrants | Value | |
Dayton Superior Corp. 144A |
6/15/09 | $0.01 | 200 | $2 |
| MDP Acquisitions PLC 144A (Ireland) | 10/01/13 EUR | .001 | 89 | 2,492 |
| Mikohn Gaming Corp. 144A | 8/15/08 | $7.70 | 70 | 70 |
| TravelCenters of America, Inc. | 5/01/09 | 0.001 | 120 | 150 |
| Ubiquitel, Inc. 144A | 4/15/10 | 22.74 | 350 | 4 |
|
| ||||
| Total warrants (cost $23,549) | $2,718 | |||
| SHORT-TERM INVESTMENTS (1.3%)(a) (cost $887,224) | ||||
| Shares | Value | |||
| Putnam Prime Money Market Fund (e) | 887,224 | $887,224 | ||
|
| ||||
| TOTAL INVESTMENTS | ||||
| Total investments (cost $68,261,326) (b) | $66,858,461 | |||
FORWARD CURRENCY CONTRACTS TO BUY at 2/28/06 (aggregate face value $7,075) (Unaudited)
| Aggregate | Delivery | Unrealized | ||
| Value | face value | date | depreciation | |
Euro |
$7,038 | $7,075 | 3/15/06 | $(37) |
|
| ||||
FORWARD CURRENCY CONTRACTS TO SELL at 2/28/06 (aggregate face value $1,822,684) (Unaudited)
| Aggregate | Delivery | Unrealized | |||
| Value | face value | date | depreciation | ||
Euro |
$1,836,315 | $ | 1,822,684 | 3/15/06 | $(13,631) |
|
| |||||
| CREDIT DEFAULT CONTRACTS OUTSTANDING at 2/28/06 (Unaudited) | ||
| Notional | Unrealized | |
| amount | appreciation | |
| Agreement with Goldman Sachs International on 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 2.461% and the fund pays in the event of a credit default in one of the underlying | ||
| securities in the basket of BB CMBS securities. | $83,000 | $512 |
| Agreement with JPMorgan Chase Bank, N.A. on September 1, 2005, maturing on September 20, | ||
| 2010, to pay quarterly 460 basis points times the notional amount. Upon a credit default event of | ||
| General Motors Acceptance Corp., the fund receives a payment of the proportional notional | ||
| amount times the difference between the par value and the then market value of General Motors | ||
| Acceptance Corp. | 140,000 | 303 |
|
|
||
| Total | $815 | |
NOTES
(a) Percentages indicated are based on net assets of $67,364,556.
(b) The aggregate identified cost on a tax basis is $68,496,757, resulting in gross unrealized appreciation and depreciation of $2,003,556 and $3,641,852, respectively, or net unrealized depreciation of $1,638,296.
(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, 2006. 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. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(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 February 28, 2006 was $237,175 or 0.4% 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 $36,763 for the period ended February 28, 2006. During the period ended February 28, 2006, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $16,263,055 and $16,458,677, respectively.
(F) Security is valued at fair value following procedures approved by the Trustees.
At February 28, 2006, liquid assets totaling $223,000 have been designated as collateral for open swap 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 February 28, 2006.
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, if any, 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 an independent pricing service or 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:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Putnam Managed High Yield Trust
By (Signature and Title):
/s/ Michael T. Healy
Michael T. Healy
Principal Accounting Officer
Date: April 28, 2006
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 28, 2006
By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: April 28, 2006