UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: (811-02796)

Exact name of registrant as specified in charter: Putnam High Yield Trust

Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109

Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109

Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036

Registrant’s telephone number, including area code: (617) 292-1000

Date of fiscal year end: August 31, 2014

Date of reporting period : September 1, 2013 — August 31, 2014

Item 1. Report to Stockholders:

The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940:

Putnam
High Yield
Trust

Annual report
8 | 31 | 14

Message from the Trustees	1
About the fund	2
Performance snapshot	4
Interview with your fund’s portfolio manager	5
Your fund’s performance	11
Your fund’s expenses	14
Terms and definitions	16
Other information for shareholders	17
Important notice regarding Putnam’s privacy policy	18
Trustee approval of management contract	19
Financial statements	24
Federal tax information	70
Shareholder meeting results	71
About the Trustees	72
Officers	74

Consider these risks before investing: The value of bonds in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general financial market conditions, changing market perceptions of the risk of default, changes in government intervention, and factors related to a specific issuer or industry. These factors may also lead to periods of high volatility and reduced liquidity in the bond markets. Lower-rated bonds may offer higher yields in return for more risk. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer term bonds, and credit risk is generally greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. You can lose money by investing in the fund.

Message from the Trustees

Dear Fellow Shareholder:

The U.S. stock market has continued to climb this year. With a better-than-expected second-quarter earnings season, the S&P 500 Index was up 8.34% for the first nine months of 2014. This benchmark eclipsed the 2000 level for the first time in late August — one of many record highs set year to date. Government bonds, including municipal bonds, and other fixed-income securities have also performed well, particularly as interest rates have remained steady and even declined from historically low levels.

In the United States, economic indicators have gradually improved. Notably, second-quarter GDP expanded at a seasonally adjusted annual rate of 4.6%, according to a revised estimate released by the Bureau of Economic Analysis. In addition, the unemployment rate has steadily declined, and data show that the housing and manufacturing sectors are gaining strength. World markets have lagged, however. Geopolitical risk has increased in the Middle East and Eastern Europe, although there has been little negative impact on oil and commodity prices to date. In Europe, a sputtering recovery ground to a halt in the second quarter. The European Central Bank has responded by cutting interest rates further and announcing asset- and bond-buying programs to help lift the region out of its economic doldrums.

As U.S. markets enter the fourth quarter on a high note and geopolitical concerns continue, we encourage you to meet with your financial advisor to ensure that your portfolio is properly diversified and aligned with your objectives and risk tolerance. Keep in mind that Putnam offers a wide range of strategies for all environments, as well as new ways of thinking about building portfolios for today’s markets.

As always, thank you for investing with Putnam.

Respectfully yours,

Robert L. Reynolds
President and Chief Executive Officer
Putnam Investments

Jameson A. Baxter
Chair, Board of Trustees

October 9, 2014

Performance
snapshot

Annualized total return (%) comparison as of 8/31/14

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart do not reflect a sales charge of 4.00%; had they, returns would have been lower. See pages 5 and 11–13 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.

*The fund’s benchmark, the JPMorgan Developed High Yield Index, was introduced on 12/31/94, which post-dates the inception of the fund’s class A shares.

4     High Yield Trust

Interview with your fund’s portfolio manager

Paul D. Scanlon, CFA

Paul, what was the market environment like for high-yield bonds during the 12 months ended August 31, 2014?

It was a generally favorable environment for taking credit risk, but there were periods of volatility. As the period began, investors were trying to determine when the Federal Reserve would begin scaling back its stimulative $85 billion-per-month bond-buying program. The Fed continued this pace of bond buying through December, responding to a relatively weak economic backdrop that included a disappointing September employment report. At its December policy meeting, the central bank announced that it would begin reducing its asset purchases by $10 billion per month in January, citing improving labor market conditions as its rationale. Amid continued economic uncertainty, investors reacted with caution, pushing bond prices down and yields higher. The yield on the benchmark 10-year U.S. Treasury finished 2013 at 3.04%, which would prove to be the high-water mark for the period as a whole.

The U.S. economy shrank early in the new year — its first quarterly contraction since 2011 — partly due to severe winter weather in some of the nation’s most densely populated regions that suppressed spending by consumers and businesses. By February, however, market participants were encouraged by the resiliency of U.S. stocks as well as lower Treasury yields. High-yield demand also received a boost in June when the European

Broad market index and fund performance

This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 8/31/14. See pages 4 and 11–13 for additional fund performance information. Index descriptions can be found on page 16.

High Yield Trust     5

Central Bank [ECB] implemented a negative deposit rate of -0.10% in the hope of stimulating bank lending to help stave off deflation and bolster eurozone economic growth.

Concern about stretched high-yield valuations resulted in a period of outflows from the asset class between late June and early August, pushing the yield advantage that high-yield bonds offer over Treasuries higher during this period. Attracted by these higher yields, buyers steadily returned to the asset class during the period’s final weeks.

Year-to-date through August 31, 2014, higher-quality Ba-rated securities outpaced lower-quality B-rated and Caa-rated bonds. High-yield new-issue volume totaled $242.1 billion, compared with $258.3 billion for the same period in 2013 and a record $399 billion for the full year 2013. Refinancing accounted for 59% of new-issue volume. From an industry perspective, utilities, diversified media, and energy were the best performers, while gaming/lodging/leisure, consumer products, and industrials were the weakest performers.

The fund outpaced the average return of its Lipper peer group but trailed its benchmark. What factors hampered its relative performance?

At the sector/industry level, underweights in metals/mining and consumer products, along with adverse positioning in health care, were the primary areas of weakness. Additionally, having lighter-than-benchmark exposure

Credit quality overview

Credit qualities are shown as a percentage of the fund’s net assets as of 8/31/14. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. The chart reflects Moody’s ratings; percentages may include bonds or derivatives not rated by Moody’s but rated by Standard & Poor’s (S&P) or, if unrated by S&P, by Fitch ratings, and then included in the closest equivalent Moody’s rating based on analysis of these agencies’ respective ratings criteria. Moody’s ratings are used in recognition of Moody’s’ prominence among rating agencies and breadth of coverage of rated securities. Ratings may vary over time.

Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. The fund itself has not been rated by an independent rating agency.

6     High Yield Trust

“Improving U.S. employment, positive
data on capital expenditures,
abundant M&A activity, and a solid
quarterly earnings season were
encouraging signs for high-yield
investors at period-end.”

Paul Scanlon

to higher-quality bonds worked against the fund’s relative return. With respect to individual investments, the biggest detractors included wireless services provider NII Holdings, which announced in March that it plans to explore strategic options following a warning that it faces long-term liquidity issues. We held common stock, as well as bonds issued by NII Capital, the financing subsidiary of NII Holdings. We sold the stock during the period. Additional detractors were cosmetics and beauty products maker Elizabeth Arden and California-based electric utility Edison International, the latter of which was a better-performing index component that we did not hold.

Which areas helped the fund’s performance versus the benchmark?

From a sector/industry perspective, overall positioning in financials was the biggest relative contributor. Overweights in gaming/lodging/leisure, chemicals, and cable and satellite also bolstered the fund’s relative performance. Looking at individual holdings, the top contributors were global payments processing company First Data, resort and

Top 10 holdings

This table shows the fund’s top 10 holdings and the percentage of the fund’s net assets that each represented as of 8/31/14. Short-term holdings and derivatives, if any, are excluded. Holdings may vary over time.

High Yield Trust     7

casino operator Caesars Entertainment, and wireless communications provider Sprint Communications.

What is your view of the credit cycle?

Generally speaking, we’re positive on the fundamentals underlying the credit cycle. It’s noteworthy that distressed Texas electric utility TXU Energy, a sizable issuer in both the high-yield and bank-loan markets, declared bankruptcy during the period, but the event was anticipated and did not disrupt either market. Corporations have taken a conservative approach toward managing their assets and liabilities. Many have refinanced debt, lowering their overall borrowing costs, and are holding substantial cash balances. This conservatism is evident in many of the more recent merger-and-acquisition transactions, where deals were completed using a significant amount of equity, rather than mostly debt. And there have been relatively few large, debt-fueled leveraged buyouts. In fact, there hasn’t been a substantial amount of net new debt issued during the past four to five years. Most of the issuance during that time was from

Credit quality comparison

This chart shows how the fund’s credit quality has changed over the past six months. Credit qualities are shown as a percentage of the fund’s net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. The chart reflects Moody’s ratings; percentages may include bonds or derivatives not rated by Moody’s but rated by Standard & Poor’s (S&P) or, if unrated by S&P, by Fitch ratings, and then included in the closest equivalent Moody’s rating based on analysis of these agencies’ respective ratings criteria. Moody’s ratings are used in recognition of Moody’s’ prominence among rating agencies and breadth of coverage of rated securities. Ratings may vary over time.

Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. The fund itself has not been rated by an independent rating agency.

8     High Yield Trust

companies that survived the credit crisis and sought to refinance their debt at lower rates.

The fund reduced its dividend rate in December 2013. What factors led to that decision?

In light of the debt refinancing that occurred during the period, the fund’s monthly distribution rate per class A share was lowered from $0.040 to $0.035. The refinancing of existing high-yield bonds resulted in higher-coupon older bonds being replaced with lower-coupon securities. Similar reductions were made to other share classes.

What is your outlook for the high-yield market over the coming months, and how are you positioning the fund?

Improving U.S. employment indicators, positive data on capital expenditures, abundant merger-and-acquisition [M&A] activity, and a solid quarterly earnings season were encouraging signs for high-yield investors at period-end.

U.S. corporate earnings continue to trend higher, and we believe revenue growth could become a more meaningful driver of earnings growth during the balance of 2014 and into 2015. High-yield issuers appear to be in reasonably good financial shape, in our view, and we believe the default rate, which stood at 1.93% at period-end — well below the long-term average of 3.90% — could remain low for an extended period of time. All told, we believe the fundamental environment for high-yield bonds remains supportive, although valuations are not as attractive as they were earlier in the economic cycle.

As for portfolio positioning, historically, overweighting lower-quality Caa-rated securities has benefited the fund’s relative performance. However, more recently, as we have progressed further into the credit cycle, higher-quality Ba-rated bonds have outperformed. Consequently, we are selectively looking to add Ba-rated holdings to bring the fund’s allocation closer to neutral versus the benchmark. Additionally, we intend to keep the portfolio’s interest-rate sensitivity below that of the benchmark and maintain an ample cash cushion. Lastly, given the relative underperformance of bank loans compared with high-yield bonds, we felt loan valuations had become more attractive, so we increased the fund’s loan holdings toward the end of the period.

Thanks for your time and for bringing us up to date, Paul.

The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.

Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.

Portfolio Manager Paul D. Scanlon is Co-Head of Fixed Income at Putnam. He has an M.B.A. from The University of Chicago Booth School of Business and a B.A. from Colgate University. Paul joined Putnam in 1999 and has been in the investment industry since 1986.

In addition to Paul, your fund’s portfolio managers are Norman P. Boucher and Robert L. Salvin.

High Yield Trust     9

IN THE NEWS

A pledge two years ago by the European Central Bank (ECB) to “do whatever it takes” to save the euro is reflected in a landmark decision made early this September. The ECB instituted a bond-buying program that earmarked upward of €700 billion, or $906 billion, aimed at jump-starting lending activity and, ultimately, at reigniting Europe’s decelerating economic recovery. In addition, the ECB slashed its main refinancing rate to a record low of 0.05% and drove its deposit rate deeper into negative territory. This means banks will now pay an even greater premium for parking money at the ECB for short periods of time rather than lending it to businesses. The new measures also seek to lift the eurozone’s historically low inflation rate to its target of 2%. Still, skeptics fear that more intensive fiscal and structural reforms among the 18-nation euro currency bloc will be needed to stimulate a long-term European economic recovery.

10     High Yield Trust

Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended August 31, 2014, the end of its most recent fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R and class Y shares are not available to all investors. See the Terms and Definitions section in this report for definitions of the share classes offered by your fund.

Fund performance Total return for periods ended 8/31/14

	Class A		Class B		Class C		Class M		Class R	Class Y
(inception dates)	(2/14/78)		(3/1/93)		(3/19/02)		(7/3/95)		(1/21/03)	(12/31/98)
	Before sales charge	After sales charge	Before CDSC	After CDSC	Before CDSC	After CDSC	Before sales charge	After sales charge	Net  asset value	Net  asset value
Annual average
(life of fund)	8.82%	8.70%	8.58%	8.58%	8.00%	8.00%	8.46%	8.36%	8.52%	8.92%
10 years	110.38	101.97	98.58	98.58	95.16	95.16	105.02	98.35	102.73	114.43
Annual average	7.72	7.28	7.10	7.10	6.92	6.92	7.44	7.09	7.32	7.93
5 years	70.08	63.27	63.81	61.81	63.65	63.65	67.95	62.49	67.26	71.80
Annual average	11.21	10.30	10.37	10.10	10.35	10.35	10.93	10.20	10.84	11.43
3 years	33.17	27.84	30.24	27.24	30.20	30.20	32.09	27.79	32.20	34.14
Annual average	10.02	8.53	9.21	8.36	9.20	9.20	9.72	8.52	9.75	10.28
1 year	9.77	5.38	9.11	4.11	9.05	8.05	9.55	5.99	9.53	10.16

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A and M shares reflect the deduction of the maximum 4.00% and 3.25% sales charge, respectively, levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 5% in the first year, declining over time to 1% in the sixth year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class R and Y shares have no initial sales charge or CDSC. Performance for class B, C, M, R, and Y shares before their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and the higher operating expenses for such shares, except for class Y shares, for which 12b-1 fees are not applicable.

For a portion of the periods, the fund had expense limitations, without which returns would have been lower.

Class B share performance reflects conversion to class A shares after eight years.

High Yield Trust     11

Comparative index returns For periods ended 8/31/14

	JPMorgan Developed High Yield Index	Lipper High Yield Funds category average*
Annual average (life of fund)	—†	8.59%
10 years	135.33%	103.59
Annual average	8.93	7.33
5 years	83.47	68.39
Annual average	12.90	10.95
3 years	37.32	31.58
Annual average	11.15	9.56
1 year	11.09	9.27

Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.

*Over the 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 8/31/14, there were 597, 475, 413, 278, and 9 funds, respectively, in this Lipper category.

† The fund’s benchmark, the JPMorgan Developed High Yield Index, was introduced on 12/31/94, which post-dates the inception of the fund’s class A shares.

Change in the value of a $10,000 investment ($9,600 after sales charge)

Cumulative total return from 8/31/04 to 8/31/14

Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class B and class C shares would have been valued at $19,858 and $19,516, respectively, and no contingent deferred sales charges would apply. A $10,000 investment in the fund’s class M shares ($9,675 after sales charge) would have been valued at $19,835. A $10,000 investment in the fund’s class R and class Y shares would have been valued at $20,273 and $21,443, respectively.

12     High Yield Trust

Fund price and distribution information For the 12-month period ended 8/31/14

Distributions	Class A		Class B	Class C	Class M		Class R	Class Y
Number	12		12	12	12		12	12
Income	$0.435		$0.374	$0.375	$0.411		$0.412	$0.459
Capital gains	—		—	—	—		—	—
Total	$0.435		$0.374	$0.375	$0.411		$0.412	$0.459
Share value	Before sales charge	After sales charge	Net asset value	Net asset value	Before sales charge	After sales charge	Net asset value	Net asset value
8/31/13	$7.88	$8.21	$7.86	$7.81	$7.90	$8.17	$7.72	$7.73
8/31/14	8.20	8.54	8.19	8.13	8.23	8.51	8.03	8.04
Current rate (end of period)	Before sales charge	After sales charge	Net asset value	Net asset value	Before sales charge	After sales charge	Net asset value	Net asset value
Current dividend rate 1	5.12%	4.92%	4.40%	4.43%	4.81%	4.65%	4.93%	5.52%
Current 30-day SEC yield 2	N/A	4.07	3.50	3.49	N/A	3.86	4.00	4.50

The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A and M shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (4.00% for class A shares and 3.25% for class M shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.

1 Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by share price before or after sales charge at period-end.

2 Based only on investment income and calculated using the maximum offering price for each share class, in accordance with SEC guidelines.

Fund performance as of most recent calendar quarter Total return for periods ended 9/30/14

	Class A		Class B		Class C		Class M		Class R	Class Y
(inception dates)	(2/14/78)		(3/1/93)		(3/19/02)		(7/3/95)		(1/21/03)	(12/31/98)
	Before sales charge	After sales charge	Before CDSC	After CDSC	Before CDSC	After CDSC	Before sales charge	After sales charge	Net  asset value	Net  asset value
Annual average
(life of fund)	8.74%	8.62%	8.50%	8.50%	7.91%	7.91%	8.38%	8.28%	8.43%	8.83%
10 years	102.86	94.74	91.47	91.47	88.14	88.14	97.70	91.27	95.36	106.92
Annual average	7.33	6.89	6.71	6.71	6.52	6.52	7.05	6.70	6.93	7.54
5 years	57.81	51.50	52.20	50.20	52.01	52.01	55.87	50.80	55.25	59.48
Annual average	9.55	8.66	8.76	8.48	8.74	8.74	9.28	8.56	9.20	9.78
3 years	35.95	30.51	32.96	29.96	32.93	32.93	35.02	30.63	34.99	36.96
Annual average	10.78	9.28	9.96	9.13	9.95	9.95	10.53	9.31	10.52	11.05
1 year	6.35	2.09	5.55	0.55	5.62	4.62	6.01	2.57	6.04	6.52

See the discussion following the fund performance table on page 11 for information about the calculation of fund performance.

High Yield Trust     13

Your fund’s expenses

As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.

Expense ratios

	Class A	Class B	Class C	Class M	Class R	Class Y
Total annual operating expenses for the fiscal year ended 8/31/13	1.02%	1.77%	1.77%	1.27%	1.27%	0.77%
Annualized expense ratio for the six-month period ended 8/31/14*	0.98%	1.73%	1.73%	1.23%	1.23%	0.73%

Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.

Expenses are shown as a percentage of average net assets.

*For the fund’s most recent fiscal half year; may differ from expense ratios based on one-year data in the financial highlights.

Expenses per $1,000

The following table shows the expenses you would have paid on a $1,000 investment in the fund from March 1, 2014, to August 31, 2014. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

	Class A	Class B	Class C	Class M	Class R	Class Y
Expenses paid per $1,000*†	$5.01	$8.83	$8.83	$6.28	$6.28	$3.73
Ending value (after expenses)	$1,027.10	$1,024.60	$1,024.90	$1,026.80	$1,026.30	$1,029.20

*Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 8/31/14. The expense ratio may differ for each share class.

†Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.

14     High Yield Trust

Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended August 31, 2014, use the following calculation method. To find the value of your investment on March 1, 2014, call Putnam at 1-800-225-1581.

Compare expenses using the SEC’s method

The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.

	Class A	Class B	Class C	Class M	Class R	Class Y
Expenses paid per $1,000*†	$4.99	$8.79	$8.79	$6.26	$6.26	$3.72
Ending value (after expenses)	$1,020.27	$1,016.48	$1,016.48	$1,019.00	$1,019.00	$1,021.53

*Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 8/31/14. The expense ratio may differ for each share class.

†Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period; and then dividing that result by the number of days in the year.

High Yield Trust     15

Terms and definitions

Important terms

Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.

Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.

After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 4.00% maximum sales charge for class A shares and 3.25% for class M shares.

Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.

Share classes

Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).

Class B shares are not subject to an initial sales charge. They may be subject to a CDSC.

Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.

Class M shares have a lower initial sales charge and a higher 12b-1 fee than class A shares and no CDSC (except on certain redemptions of shares bought without an initial sales charge).

Class R shares are not subject to an initial sales charge or CDSC and are available only to certain employer-sponsored retirement plans.

Class Y shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.

Fixed-income terms

Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.

Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.

Comparative indexes

Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.

BofA Merrill Lynch U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.

JPMorgan Developed High Yield Index is an unmanaged index of high-yield fixed-income securities issued in developed countries.

S&P 500 Index is an unmanaged index of common stock performance.

Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.

16     High Yield Trust

Lipper is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.

Other information for shareholders

Proxy voting

Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2014, are available in the Individual Investors section of putnam.com, and on the Securities and Exchange Commission (SEC) website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund’s Form N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.

Trustee and employee fund ownership

Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of August 31, 2014, Putnam employees had approximately $498,000,000 and the Trustees had approximately $138,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.

High Yield Trust     17

Important notice regarding Putnam’s privacy policy

In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.

It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.

Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.

18     High Yield Trust

Trustee approval of management contract

General conclusions

The Board of Trustees of the Putnam funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management, LLC (“Putnam Management”) and the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”). The Board of Trustees, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Putnam funds (“Independent Trustees”).

At the outset of the review process, members of the Board’s independent staff and independent legal counsel met with representatives of Putnam Management to review the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review and to discuss possible changes in these materials that might be necessary or desirable for the coming year. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2014, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided, as well as supplemental information provided in response to additional requests made by the Contract Committee. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for the Putnam funds and the Independent Trustees.

In May 2014, the Contract Committee met in executive session to discuss and consider its preliminary recommendations with respect to the continuance of the contracts. At the Trustees’ June 20, 2014 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial, performance and other data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its final recommendations. The Contract Committee then recommended, and the Independent Trustees approved, the continuance of your fund’s management and sub-management contracts, effective July 1, 2014. (Because PIL is an affiliate of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL, the Trustees have not attempted to evaluate PIL as a separate entity, and all subsequent references to Putnam Management below should be deemed to include reference to PIL as necessary or appropriate in the context.)

The Independent Trustees’ approval was based on the following conclusions:

• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, and the costs incurred by Putnam Management in providing services to the fund; and

High Yield Trust     19

• That the fee schedule in effect for your fund represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.

These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others, and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years. For example, with some minor exceptions, the current fee arrangements under the management contracts for the Putnam funds were implemented at the beginning of 2010 following extensive review by the Contract Committee and discussions with representatives of Putnam Management, as well as approval by shareholders. Shareholders also voted overwhelmingly to approve these fee arrangements in early 2014, when they were asked to approve new management contracts (with the same fees and substantially identical other provisions) following the possible termination of the previous management contracts as a result of the death of the Honorable Paul G. Desmarais. (Mr. Desmarais, both directly and through holding companies, controlled a majority of the voting shares of Power Corporation of Canada, which (directly and indirectly) is the majority owner of Putnam Management. Mr. Desmarais’ voting control of shares of Power Corporation of Canada was transferred to The Desmarais Family Residuary Trust upon his death and this transfer, as a technical matter, may have constituted an “assignment” within the meaning of the 1940 Act, causing the Putnam funds’ management contracts to terminate automatically.)

Management fee schedules and total expenses

The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to shareholders.

In reviewing fees and expenses, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment style, changes in Putnam Management’s operating costs or profitability, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not warrant changes to the management fee structure of your fund.

Under its management contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with economies of scale in the form of reduced fee levels as assets under management in the Putnam family of funds increase. The Trustees concluded that the fee schedule in effect for your fund represented an appropriate sharing of economies of scale between fund shareholders and Putnam Management.

As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. In order to ensure that expenses of the Putnam funds continue to meet competitive standards, the Trustees and Putnam

20     High Yield Trust

Management have implemented certain expense limitations. These expense limitations were: (i) a contractual expense limitation applicable to all retail open-end funds of 32 basis points on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to all open-end funds of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, investor servicing fees, distribution fees, investment-related expenses, interest, taxes, brokerage commissions, extraordinary expenses and acquired fund fees and expenses). These expense limitations serve in particular to maintain competitive expense levels for funds with large numbers of small shareholder accounts and funds with relatively small net assets. Most funds, including your fund, had sufficiently low expenses that these expense limitations did not apply. Putnam Management’s support for these expense limitation arrangements was an important factor in the Trustees’ decision to approve the continuance of your fund’s management and sub-management contracts.

The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Lipper Inc. (“Lipper”). This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fee), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the second quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the fourth quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2013 (the first quintile representing the least expensive funds and the fifth quintile the most expensive funds). The fee and expense data reported by Lipper as of December 31, 2013 reflected the most recent fiscal year-end data available in Lipper’s database at that time.

In connection with their review of the management fees and total expenses of the Putnam funds, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management’s revenues, expenses and profitability, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution, and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place represented reasonable compensation for the services being provided and represented an appropriate sharing of such economies of scale as may exist in the management of the Putnam funds at that time.

The information examined by the Trustees as part of their annual contract review for the Putnam funds has included for many years information regarding fees charged by Putnam Management and its affiliates to institutional clients such as defined benefit pension plans, college endowments, and the like. This information included comparisons of those fees with fees charged to the Putnam funds, as well as an assessment of the differences in the services provided to these different types of clients. The Trustees observed that the differences in fee rates between institutional clients and mutual funds are by no means uniform when examined by individual asset sectors, suggesting that

High Yield Trust     21

differences in the pricing of investment management services to these types of clients may reflect historical competitive forces operating in separate markets. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for mutual funds than for institutional clients, as well as the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its institutional clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.

Investment performance

The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of the Putnam funds’ investment process and performance by the work of the investment oversight committees of the Trustees, which meet on a regular basis with the funds’ portfolio teams and with the Chief Investment Officer and other senior members of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them, and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.

The Trustees considered that 2013 was a year of strong competitive performance for many of the Putnam funds, with only a relatively small number of exceptions. They noted that this strong performance was exemplified by the fact that the Putnam funds were recognized by Barron’s as the second-best performing mutual fund complex for both 2013 and the five-year period ended December 31, 2013. They also noted, however, the disappointing investment performance of some funds for periods ended December 31, 2013 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor performance trends to assess the effectiveness of these efforts and to evaluate whether additional actions to address areas of underperformance are warranted. For purposes of evaluating investment performance, the Trustees generally focus on competitive industry rankings for the one-year, three-year and five-year periods. For a number of Putnam funds with relatively unique investment mandates for which meaningful competitive performance rankings are not considered available, the Trustees evaluated performance based on comparisons of fund returns with the returns of selected investment benchmarks. In the case of your fund, the Trustees considered that its class A share cumulative total return performance at net asset value was in the following quartiles of its Lipper peer group (Lipper High Yield Funds) for the one-year, three-year and five-year periods ended December 31, 2013 (the first quartile representing the best-performing funds and the fourth quartile the worst-performing funds):

One-year period	2nd
Three-year period	2nd
Five-year period	2nd

Over the one-year, three-year and five-year periods ended December 31, 2013, there were 565, 458 and 394 funds, respectively, in your fund’s Lipper peer group. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)

22     High Yield Trust

Brokerage and soft-dollar allocations; investor servicing

The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used primarily to acquire brokerage and research services that enhance Putnam Management’s investment capabilities and supplement Putnam Management’s internal research efforts. However, the Trustees noted that a portion of available soft dollars continues to be used to pay fund expenses. The Trustees indicated their continued intent to monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee and also indicated their continued intent to monitor the allocation of the Putnam funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.

Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual review of your fund’s management and sub-management contracts, the Trustees reviewed your fund’s investor servicing agreement with Putnam Investor Services, Inc. (“PSERV”) and its distributor’s contracts and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are reasonable in relation to the nature and quality of such services, the fees paid by competitive funds, and the costs incurred by PSERV and PRM, as applicable, in providing such services.

High Yield Trust     23

Financial statements

These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, constitute the fund’s financial statements.

The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.

Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)

Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal year.

Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned.

Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.

24     High Yield Trust

Report of Independent Registered Public Accounting Firm

The Board of Trustees and Shareholders
Putnam High Yield Trust:

We have audited the accompanying statement of assets and liabilities of Putnam High Yield Trust (the fund), including the fund’s portfolio, as of August 31, 2014, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2014, by correspondence with the custodian and brokers or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Putnam High Yield Trust as of August 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts
October 9, 2014

High Yield Trust     25

The fund’s portfolio 8/31/14

CORPORATE BONDS AND NOTES (83.4%)*	Principal amount	Value
Advertising and marketing services (0.4%)
CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas Capital Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024	$2,630,000	$2,715,473
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022	1,815,000	1,905,750
Lamar Media Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024	979,000	1,008,370
		5,629,593
Automotive (1.0%)
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021	2,020,000	2,257,348
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8s, 2019	980,000	1,053,500
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023	2,597,000	2,765,805
Dana Holding Corp. sr. unsec. unsub. notes 5 3/8s, 2021	1,020,000	1,058,250
Motors Liquidation Co. escrow notes 8 1/4s, 2023	2,555,000	38,325
Motors Liquidation Co. escrow sr. unsec. unsub. notes 8 3/8s, 2033	2,390,000	35,850
Navistar International Corp. sr. notes 8 1/4s, 2021	3,626,000	3,761,975
Schaeffler Finance BV 144A company guaranty sr. notes 7 3/4s, 2017 (Netherlands)	945,000	1,051,313
Schaeffler Finance BV 144A company guaranty sr. notes 4 1/4s, 2021 (Netherlands)	1,425,000	1,421,438
		13,443,804
Basic materials (8.0%)
Ainsworth Lumber Co., Ltd. 144A sr. notes 7 1/2s, 2017 (Canada)	30,000	31,350
ArcelorMittal SA sr. unsec. bonds 10.35s, 2019 (France)	4,295,000	5,411,700
ArcelorMittal SA sr. unsec. unsub. notes 7 1/2s, 2039 (France)	990,000	1,076,625
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020	3,166,000	3,371,790
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany)	3,978,000	4,365,853
Cemex Finance, LLC 144A company guaranty sr. notes 9 3/8s, 2022 (Mexico)	1,595,000	1,882,100
Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico)	1,205,000	1,253,200
Cemex SAB de CV 144A company guaranty sr. notes 7 1/4s, 2021 (Mexico)	1,815,000	1,994,231
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico)	3,335,000	3,535,100
Cemex SAB de CV 144A company guaranty sr. notes 5 7/8s, 2019 (Mexico)	1,535,000	1,607,913
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024	2,200,000	2,178,000
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg)	2,680,000	2,850,848
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021	2,195,000	2,304,750
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada)	865,000	882,776

26     High Yield Trust

CORPORATE BONDS AND NOTES (83.4%)* cont.		Principal amount	Value
Basic materials cont.
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7 1/4s, 2022 (Canada)		$1,085,000	$1,144,675
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada)		1,682,000	1,766,100
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada)		1,554,000	1,612,275
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia)		3,054,000	3,344,130
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020		1,821,000	1,957,575
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020		1,911,000	2,245,425
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020		150,000	157,875
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020		715,000	723,938
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018		4,002,000	4,152,075
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada)		1,895,000	2,060,813
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada)		2,465,000	2,680,688
Huntsman International, LLC company guaranty sr. unsec. notes 5 1/8s, 2021	EUR	505,000	700,212
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021		$2,538,000	2,785,455
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020		885,000	949,163
Ineos Finance PLC 144A company guaranty sr. notes 8 3/8s, 2019 (United Kingdom)		1,380,000	1,497,300
INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 6 1/8s, 2018 (Luxembourg)		3,295,000	3,418,563
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019		978,000	1,100,250
JMC Steel Group, Inc. 144A sr. unsecured notes 8 1/4s, 2018		85,000	86,063
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020		2,385,000	2,599,650
Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020		2,640,000	2,478,300
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 (Canada)		1,510,000	1,608,150
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada)		1,390,000	1,462,975
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020		1,770,000	1,958,063
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden)		3,195,000	3,410,663
PQ Corp. 144A sr. notes 8 3/4s, 2018		3,085,000	3,304,806
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020		368,000	389,160
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017		2,959,000	3,151,335
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033		420,000	436,800
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020		1,160,000	1,276,000

High Yield Trust     27

CORPORATE BONDS AND NOTES (83.4%)* cont.	Principal amount	Value
Basic materials cont.
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023	$1,830,000	$1,866,600
Smurfit Kappa Acquisitions 144A company guaranty sr. notes 4 7/8s, 2018 (Ireland)	980,000	1,016,750
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland)	1,488,000	1,703,760
Steel Dynamics, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020	630,000	666,225
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022	435,000	465,450
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023	975,000	989,625
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium)	4,218,000	4,639,800
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021	2,275,000	2,417,188
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020	1,985,000	2,188,463
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021	485,000	509,250
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023	3,911,000	3,871,890
		107,539,714
Broadcasting (2.4%)
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021	1,381,000	1,432,788
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2019	3,725,000	3,855,375
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020	1,865,000	2,000,213
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022	2,965,000	3,172,550
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019	2,067,000	2,144,513
Entercom Radio, LLC company guaranty sr. unsec. sub. notes 10 1/2s, 2019	1,200,000	1,341,000
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020	3,425,000	3,613,375
LIN Television Corp. company guaranty sr. unsec. notes 6 3/8s, 2021	965,000	998,775
Nexstar Broadcasting, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2020	1,885,000	1,998,100
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021	2,668,000	2,841,418
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022	280,000	294,000
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024	665,000	663,338
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024	2,155,000	2,246,588
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020	1,640,000	1,715,850
Townsquare Radio, LLC/Townsquare Radio, Inc. 144A company guaranty sr. unsec. notes 9s, 2019	1,440,000	1,566,000

28     High Yield Trust

CORPORATE BONDS AND NOTES (83.4%)* cont.		Principal amount	Value
Broadcasting cont.
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021		$1,810,000	$1,981,950
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020		815,000	888,350
			32,754,183
Building materials (1.0%)
Building Materials Corp. of America 144A company guaranty sr. notes 7 1/2s, 2020		2,170,000	2,300,200
Building Materials Corp. of America 144A company guaranty sr. notes 7s, 2020		1,385,000	1,454,250
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021		1,040,000	1,115,400
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021		2,529,000	2,743,965
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018		3,111,000	3,297,658
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021		2,062,000	2,242,425
			13,153,898
Cable television (3.4%)
Adelphia Communications Corp. escrow bonds zero %, 2015		81,000	709
Adelphia Communications Corp. escrow bonds zero %, 2015		2,223,000	19,451
Adelphia Communications Corp. escrow bonds zero %, 2014		4,000	35
Adelphia Communications Corp. escrow bonds zero %, 2014		4,000	35
Adelphia Communications Corp. escrow bonds zero %, 2014		2,906,000	25,428
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017		1,772,000	2,020,080
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018		903,000	1,004,588
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021		2,527,000	2,684,938
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022		2,623,000	2,659,064
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023		3,220,000	3,220,000
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020		705,000	763,163
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 6 5/8s, 2022		1,585,000	1,701,815
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019		1,851,000	1,941,236
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021		1,540,000	1,694,000
CSC Holdings, LLC 144A sr. unsec. notes 5 1/4s, 2024		1,930,000	1,910,700
DISH DBS Corp. company guaranty sr. unsec. notes 7 7/8s, 2019		1,805,000	2,093,800
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021		825,000	922,928
Lynx II Corp. 144A sr. unsec. notes 6 3/8s, 2023 (United Kingdom)		1,065,000	1,139,550
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. unsub. notes 7 1/4s, 2022		1,495,000	1,610,863
Numericable Group SA 144A sr. bonds 6 1/4s, 2024 (France)		2,235,000	2,304,844
Numericable Group SA 144A sr. bonds 5 5/8s, 2024 (France)	EUR	410,000	570,369
Numericable Group SA 144A sr. notes 6s, 2022 (France)		$5,070,000	5,223,368
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada)		2,610,000	2,675,250
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 7 1/2s, 2019 (Germany)		1,275,000	1,351,500

High Yield Trust     29

CORPORATE BONDS AND NOTES (83.4%)* cont.	Principal amount	Value
Cable television cont.
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada)	$3,210,000	$3,298,275
Virgin Media Secured Finance PLC 144A sr. notes 5 3/8s, 2021 (United Kingdom)	1,065,000	1,107,600
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019	3,389,000	3,778,735
		45,722,324
Capital goods (5.1%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020	6,830,000	7,273,950
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019	3,975,000	4,536,469
Ardagh Finance Holdings SA 144A sr. unsec. notes 8 5/8s, 2019 (Luxembourg) ‡‡	1,595,000	1,654,813
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024	1,220,000	1,201,700
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022	335,000	334,163
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021	1,627,000	1,832,409
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019	3,285,000	3,473,888
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada)	831,000	851,775
Bombardier, Inc. 144A sr. unsec. notes 7 3/4s, 2020 (Canada)	1,325,000	1,474,061
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020	3,427,000	3,812,538
Exide Technologies sr. notes 8 5/8s, 2018 (In default) †	246,000	95,940
Gates Global LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022	3,075,000	3,044,250
Gestamp Funding Luxembourg SA 144A sr. notes 5 5/8s, 2020 (Luxembourg)	500,000	506,250
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France)	3,551,000	4,991,516
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022	3,345,000	3,587,513
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023	1,260,000	1,228,500
Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022	1,405,000	1,436,613
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018	3,091,000	3,299,643
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 7/8s, 2019	1,235,000	1,333,800
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020	3,145,000	3,286,525
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019	2,145,000	2,378,269
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9s, 2019	195,000	204,750

30     High Yield Trust

CORPORATE BONDS AND NOTES (83.4%)* cont.		Principal amount	Value
Capital goods cont.
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand)		$1,020,000	$1,113,075
Schaeffler Holding Finance BV 144A company guaranty sr. notes 6 7/8s, 2018 (Netherlands) ‡‡		3,445,000	3,630,169
Schaeffler Holding Finance BV 144A notes 6 7/8s, 2018 (Netherlands) ‡‡	EUR	1,175,000	1,622,228
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020		$1,785,000	1,909,950
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021		2,450,000	2,597,000
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021		860,000	939,550
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2020		1,345,000	1,345,000
TransDigm, Inc. 144A sr. unsec. sub. notes 6 1/2s, 2024		1,905,000	1,952,625
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019 ‡‡		1,365,000	1,460,550
			68,409,482
Coal (0.4%)
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021		2,010,000	1,381,873
CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2022		1,680,000	1,755,600
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016		218,000	235,713
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6s, 2018		1,310,000	1,349,300
			4,722,486
Commercial and consumer services (1.9%)
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022		4,390,000	4,411,950
Ceridian, LLC/Comdata, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2017		760,000	771,400
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg)		2,440,000	2,598,600
Garda World Security Corp. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 (Canada)		3,315,000	3,349,973
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017 ‡‡		3,045,000	3,121,123
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023		3,180,000	3,386,700
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016		1,635,000	1,765,800
Sabre, Inc. 144A sr. notes 8 1/2s, 2019		2,243,000	2,450,478
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016		1,404,000	1,404,000
Travelport, LLC/Travelport Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 13 7/8s, 2016 ‡‡		2,499,582	2,512,080
			25,772,104

High Yield Trust     31

CORPORATE BONDS AND NOTES (83.4%)* cont.	Principal amount	Value
Consumer (0.3%)
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018	$2,060,000	$2,080,600
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2022	140,000	151,550
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020	175,000	188,123
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020	1,604,000	1,708,260
		4,128,533
Consumer staples (5.0%)
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022	3,800,000	4,132,500
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020	730,000	822,163
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023	1,010,000	1,032,725
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022	1,000,000	1,007,500
B&G Foods, Inc. company guaranty sr. unsec. notes 4 5/8s, 2021	1,385,000	1,364,225
Barry Callebaut Services NV 144A company guaranty sr. unsec. notes 5 1/2s, 2023 (Belgium)	2,855,000	3,011,932
CEC Entertainment, Inc. 144A sr. unsec. notes 8s, 2022	1,550,000	1,573,250
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021	4,914,000	5,614,243
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023	675,000	683,438
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016	671,000	739,778
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022	2,351,000	2,647,814
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023 R	2,065,000	2,046,931
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020 R	545,000	540,231
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021	3,010,000	2,821,875
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil)	1,845,000	1,849,613
Hertz Corp. (The) company guaranty sr. unsec. notes 6 1/4s, 2022	2,535,000	2,642,738
HJ Heinz Co. company guaranty notes 4 1/4s, 2020	3,060,000	3,102,075
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020 (Brazil)	810,000	871,965
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil)	3,390,000	3,640,013
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil)	685,000	731,238
Landry’s Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018	735,000	766,238
Landry’s, Inc. 144A sr. unsec. notes 9 3/8s, 2020	5,655,000	6,079,125
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021	2,015,000	2,004,925
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021	3,805,000	3,862,075

32     High Yield Trust

CORPORATE BONDS AND NOTES (83.4%)* cont.		Principal amount	Value
Consumer staples cont.
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020		$2,300,000	$2,576,000
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022		1,960,000	2,153,550
Smithfield Foods, Inc. 144A sr. unsec. notes 5 7/8s, 2021		530,000	567,100
Smithfield Foods, Inc. 144A sr. unsec. notes 5 1/4s, 2018		1,865,000	1,944,263
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022		3,500,000	3,920,000
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024		1,920,000	2,011,200
			66,760,723
Energy (oil field) (1.6%)
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7 1/2s, 2020		1,740,000	1,848,750
Compressco Partners LP/Compressco Finance Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2022		625,000	631,250
Exterran Partners LP/EXLP Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2022		3,853,000	3,862,631
Forum Energy Technologies, Inc. 144A sr. unsec. notes 6 1/4s, 2021		1,465,000	1,552,900
FTS International, Inc. 144A company guaranty sr. notes 6 1/4s, 2022		2,550,000	2,607,375
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020		2,681,000	2,888,778
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2022		645,000	651,450
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021		1,918,000	1,946,770
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands)		2,800,000	2,856,000
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands)		1,239,000	1,229,708
Tervita Corp. 144A company guaranty sr. notes 9s, 2018 (Canada)	CAD	1,300,000	1,219,654
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada)		$665,000	690,137
			21,985,403
Entertainment (1.6%)
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020		975,000	1,094,438
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022		1,580,000	1,627,400
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021		1,360,000	1,380,400
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024		645,000	648,225
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022		1,646,000	1,672,748
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023		1,179,000	1,170,158
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021		75,000	81,563
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 7/8s, 2020		2,555,000	2,669,975

High Yield Trust     33

CORPORATE BONDS AND NOTES (83.4%)* cont.	Principal amount	Value
Entertainment cont.
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 3/8s, 2018	$955,000	$990,813
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2025	770,000	771,925
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023	2,275,000	2,309,123
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022	1,837,000	1,882,925
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021	5,309,000	5,375,363
		21,675,056
Financials (9.3%)
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub., LLC 144A sr. unsec. notes 7 7/8s, 2020	2,720,000	2,900,200
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2031	3,395,000	4,392,281
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2020	1,270,000	1,543,050
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2058	2,202,000	3,033,253
Banco Bilbao Vizcaya Argentaria SA jr. unsec. sub. FRB bonds 9s, perpetual maturity (Spain)	400,000	444,500
BBVA International Preferred SAU bank guaranty jr. unsec. sub. FRB bonds 5.919s, perpetual maturity (Spain)	2,190,000	2,277,600
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020	3,232,000	3,401,680
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023	1,860,000	1,885,668
CIT Group, Inc. sr. unsec. notes 5s, 2023	1,435,000	1,503,163
CIT Group, Inc. sr. unsec. notes 5s, 2022	1,090,000	1,149,950
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020	2,460,000	2,662,950
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018	150,000	167,250
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019	1,635,000	1,763,756
Citigroup, Inc. jr. unsec. sub. FRB bonds Ser. B, 5.9s, perpetual maturity	140,000	140,438
CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020	2,605,000	2,110,050
CNO Financial Group, Inc. 144A company guaranty sr. notes 6 3/8s, 2020	1,500,000	1,606,875
Commerzbank AG 144A unsec. sub. notes 8 1/8s, 2023 (Germany)	795,000	958,055
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019	1,621,000	1,329,220
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2021	1,685,000	1,735,550
Credit Suisse Group AG 144A jr. unsec. sub. FRN notes 7 1/2s, perpetual maturity (Switzerland)	695,000	757,550
Credit Suisse Group AG 144A jr. unsec. sub. FRN notes 6 1/4s, perpetual maturity (Switzerland)	330,000	329,175
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020	2,400,000	2,433,000
Dresdner Funding Trust I 144A bonds 8.151s, 2031	4,550,000	5,403,125
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019	2,735,000	2,933,288
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRB bonds 6.15s, 2066	1,441,000	1,268,080

34     High Yield Trust

CORPORATE BONDS AND NOTES (83.4%)* cont.		Principal amount	Value
Financials cont.
Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021		$3,305,000	$3,478,513
Hub Holdings LLC/Hub Holdings Finance, Inc. 144A sr. unsec. notes 8 1/8s, 2019 ‡‡		955,000	965,744
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6s, 2020		3,418,000	3,648,715
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022		2,775,000	2,892,938
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019		490,000	542,675
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022		1,310,000	1,431,175
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018 R		1,605,000	1,741,425
iStar Financial, Inc. sr. unsec. notes 5s, 2019 R		840,000	840,000
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037		1,565,000	1,846,700
Lloyds Bank PLC jr. sub. FRN notes Ser. EMTN, 13s, perpetual maturity (United Kingdom)	GBP	1,765,000	4,852,765
Lloyds Banking Group PLC jr. unsec. sub. FRB bonds 7 1/2s, perpetual maturity (United Kingdom)		$593,000	621,909
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 R		1,305,000	1,393,088
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020		1,380,000	1,421,400
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021		2,340,000	2,293,200
Navient, LLC sr. unsec. unsub. notes Ser. A, MTN, 8.45s, 2018		1,185,000	1,378,983
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022		2,030,000	2,177,175
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 5/8s, 2020		1,125,000	1,186,875
NRG Yield Operating LLC 144A company guaranty sr. unsec. notes 5 3/8s, 2024		1,230,000	1,273,050
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017		1,400,000	1,502,200
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2019		2,360,000	2,289,200
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019		2,535,000	2,788,500
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021		2,565,000	2,584,238
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021		2,781,000	2,794,905
Provident Funding Associates LP/PFG Finance Corp. 144A sr. notes 10 1/8s, 2019		1,870,000	2,012,588
Royal Bank of Scotland Group PLC jr. sub. unsec. FRN notes Ser. U, 7.64s, perpetual maturity (United Kingdom)		900,000	951,750
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB bonds 7.648s, perpetual maturity (United Kingdom)		5,780,000	6,863,750
Royal Bank of Scotland Group PLC unsec. sub. notes 6s, 2023 (United Kingdom)		1,470,000	1,598,008
Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017		4,680,000	5,112,900
Springleaf Finance Corp. sr. unsec. unsub. notes 7 3/4s, 2021		835,000	947,725
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020		1,835,000	1,922,163

High Yield Trust     35

CORPORATE BONDS AND NOTES (83.4%)* cont.		Principal amount	Value
Financials cont.
Stearns Holdings, Inc. 144A company guaranty sr. notes 9 3/8s, 2020		$1,973,000	$2,066,718
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018		1,694,000	1,791,405
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021		3,435,000	3,538,050
Walter Investment Management Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2021		1,980,000	2,014,650
Weyerhaeuser Real Estate Co. 144A sr. unsec. unsub. notes 5 7/8s, 2024		1,456,000	1,485,120
			124,379,907
Gaming and lottery (1.7%)
CCM Merger, Inc. 144A company guaranty sr. unsec. notes 9 1/8s, 2019		1,900,000	2,028,250
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada)	CAD	1,310,000	1,277,723
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021		$770,000	804,650
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020		795,000	854,625
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019		2,050,000	2,167,875
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019		5,381,465	6,013,785
Penn National Gaming, Inc. sr. unsec. notes 5 7/8s, 2021		3,260,000	3,121,450
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019		1,473,000	1,579,793
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018		5,016,000	5,404,740
			23,252,891
Health care (7.5%)
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021		2,875,000	3,033,125
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2022		1,675,000	1,691,750
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 7 3/4s, 2019		2,083,000	2,202,773
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 6s, 2021		2,890,000	3,048,950
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg) ‡‡		1,463,000	1,495,918
Catamaran Corp. company guaranty sr. unsec. bonds 4 3/4s, 2021		2,610,000	2,629,575
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022		1,275,000	1,294,125
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018		865,000	899,600
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019		950,000	1,033,125
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5 1/8s, 2021		445,000	456,125
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. notes 6 7/8s, 2022		535,000	568,438
ConvaTec Finance International SA 144A sr. unsec. notes 8 1/4s, 2019 (Luxembourg) ‡‡		1,037,000	1,068,110

36     High Yield Trust

CORPORATE BONDS AND NOTES (83.4%)* cont.		Principal amount	Value
Health care cont.
ConvaTec Healthcare D Sarl 144A sr. notes 7 3/8s, 2017 (Luxembourg)	EUR	1,000,000	$1,376,560
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg)		$2,131,000	2,285,496
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022		3,590,000	3,428,450
DaVita HealthCare Partners, Inc. company guaranty sr. unsec. notes 5 1/8s, 2024		1,100,000	1,115,813
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022		2,599,000	2,650,980
Endo Finance, LLC & Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2023		1,920,000	1,924,800
Envision Healthcare Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2022		1,035,000	1,047,938
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019		1,945,000	2,095,738
Grifols Worldwide Operations, Ltd. 144A sr. unsec. notes 5 1/4s, 2022 (Ireland)		620,000	638,600
HCA, Inc. company guaranty sr. notes 3 3/4s, 2019		2,125,000	2,146,250
HCA, Inc. sr. notes 6 1/2s, 2020		6,665,000	7,464,800
HCA, Inc. sr. unsec. notes 7 1/2s, 2022		705,000	821,325
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017		4,218,000	4,555,440
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019		1,004,000	1,064,240
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020		980,000	1,030,225
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017 ‡‡		455,000	468,081
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019		1,060,000	1,152,750
JLL/Delta Dutch Newco BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands)		2,150,000	2,193,000
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018		5,480,000	6,130,750
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 R		1,645,000	1,772,488
Omega Healthcare Investors, Inc. 144A sr. unsec. notes 4.95s, 2024 R		1,920,000	1,983,339
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020		3,420,000	3,625,200
Salix Pharmaceuticals, Ltd. 144A company guaranty sr. unsec. notes 6s, 2021		835,000	905,975
Service Corp. International sr. unsec. unsub. notes 5 3/8s, 2022		2,554,000	2,643,390
Service Corp. International 144A sr. unsec. unsub. notes 5 3/8s, 2024		3,460,000	3,572,450
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019		330,000	348,975
Teleflex, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2024		745,000	758,969
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021		4,300,000	4,310,750
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018		2,270,000	2,479,975
Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020		1,835,000	1,990,975

High Yield Trust     37

CORPORATE BONDS AND NOTES (83.4%)* cont.	Principal amount	Value
Health care cont.
United Surgical Partners International, Inc. company guaranty sr. unsec. unsub. notes 9s, 2020	$1,880,000	$2,053,900
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020	410,000	435,625
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018	1,555,000	1,619,144
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020	430,000	449,350
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017	3,345,000	3,474,619
Valeant Pharmaceuticals International 144A sr. unsec. notes 6 3/4s, 2018	1,230,000	1,316,100
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021	190,000	193,088
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020	3,360,000	3,481,800
		100,428,962
Homebuilding (2.0%)
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada)	3,235,000	3,433,144
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada)	490,000	506,538
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021	3,765,000	3,986,194
Lennar Corp. company guaranty sr. unsec. unsub. notes 6.95s, 2018	910,000	1,005,550
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022	1,480,000	1,457,800
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019	1,900,000	1,938,000
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018	1,170,000	1,234,350
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada)	1,595,000	1,618,925
PulteGroup, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017	2,270,000	2,587,800
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032	1,635,000	1,843,461
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021	1,633,000	1,730,980
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 7 3/4s, 2020	607,000	654,801
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024	1,035,000	1,032,413
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021	650,000	653,250
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A sr. notes 7 3/4s, 2020	2,384,000	2,580,680
		26,263,886
Lodging/Tourism (1.1%)
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019 R	680,000	717,400
FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023 R	720,000	729,000
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020	2,525,000	2,796,438

38     High Yield Trust

CORPORATE BONDS AND NOTES (83.4%)* cont.		Principal amount	Value
Lodging/Tourism cont.
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020		$2,675,000	$2,788,688
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019		2,024,000	2,383,260
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021		2,075,000	2,308,436
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021		3,065,000	2,965,388
			14,688,610
Media (0.4%)
Griffey Intermediate, Inc./Griffey Finance Sub, LLC 144A sr. unsec. notes 7s, 2020		1,110,000	932,400
Nielsen Co. Luxembourg S.a.r.l. (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg)		4,280,000	4,429,800
			5,362,200
Oil and gas (11.1%)
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021		1,047,000	1,112,438
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022		2,810,000	3,055,875
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023		2,355,000	2,481,581
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2022		2,235,000	2,268,525
Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021		2,110,000	2,173,300
Athlon Holdings LP/Athlon Finance Corp. company guaranty sr. unsec. notes 7 3/8s, 2021		3,855,000	4,182,675
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2022		1,285,000	1,320,338
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada)		2,847,000	2,847,000
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada)		1,605,000	1,607,006
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020		385,000	428,313
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021		2,785,000	3,004,319
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017	EUR	790,000	1,125,619
Chesapeake Energy Corp. company guaranty sr. unsec. notes 6 7/8s, 2020		$1,180,000	1,368,800
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023		675,000	753,469
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022		1,345,000	1,407,137
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield Finance, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2019		2,580,000	2,760,600
Cimarex Energy Co. company guaranty sr. unsec. notes 4 3/8s, 2024		645,000	671,606

High Yield Trust     39

CORPORATE BONDS AND NOTES (83.4%)* cont.	Principal amount	Value
Oil and gas cont.
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022	$1,650,000	$1,819,125
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023	5,045,000	5,391,844
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada)	1,581,000	1,262,824
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021	1,280,000	1,369,600
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022	3,140,000	3,218,500
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018	1,579,000	1,563,210
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019	1,739,000	1,825,950
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020	2,862,000	3,076,650
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020	1,650,000	1,773,750
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020	45,000	48,488
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021	6,405,000	6,741,263
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024	1,345,000	1,341,638
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019	3,785,000	4,163,500
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022	850,000	896,750
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada)	6,958,000	7,201,530
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019	1,385,000	1,425,684
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019	4,375,000	4,517,188
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. unsub. notes 10 3/8s, 2017 (Canada) † F	699,000	38
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7s, 2024 (Canada)	2,041,000	2,219,588
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada)	595,000	627,725
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada)	1,175,000	1,245,500
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default) †	2,825,000	2,217,625
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022	2,585,000	2,856,425
Newfield Exploration Co. sr. unsec. unsub. notes 5 5/8s, 2024	1,130,000	1,244,356
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023	1,130,000	1,234,525
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022	4,880,000	5,331,400
Paragon Offshore PLC 144A company guaranty sr. unsec. notes 6 3/4s, 2022	1,280,000	1,164,800

40     High Yield Trust

CORPORATE BONDS AND NOTES (83.4%)* cont.	Principal amount	Value
Oil and gas cont.
Paragon Offshore PLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2024	$3,840,000	$3,513,600
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020	1,080,000	1,155,600
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022	1,070,000	1,138,213
Rose Rock Midstream LP/Rose Rock Finance Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2022	1,305,000	1,331,100
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024	1,930,000	1,963,775
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021	1,600,000	1,638,000
Sabine Pass Liquefaction, LLC 144A sr. notes 6 1/4s, 2022	1,385,000	1,502,725
Sabine Pass Liquefaction, LLC 144A sr. notes 5 3/4s, 2024	1,345,000	1,398,800
Sabine Pass Liquefaction, LLC 144A sr. notes 5 5/8s, 2023	1,350,000	1,404,000
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016	4,071,000	4,422,124
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020	1,060,000	1,124,925
Samson Investment Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020	3,830,000	3,906,600
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada)	2,225,000	2,445,386
Seventy Seven Energy, Inc. 144A sr. unsec. notes 6 1/2s, 2022	1,280,000	1,318,400
Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018	3,535,000	3,764,775
SM Energy Co. sr. unsec. notes 6 5/8s, 2019	944,000	986,480
SM Energy Co. sr. unsec. notes 6 1/2s, 2021	1,105,000	1,198,925
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023	435,000	470,888
Triangle USA Petroleum Corp. 144A sr. unsec. notes 6 3/4s, 2022	1,115,000	1,140,088
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021	2,482,000	2,599,895
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021	5,120,000	5,625,600
Williams Companies, Inc. (The) notes 7 3/4s, 2031	293,000	354,037
Williams Companies, Inc. (The) sr. unsec. notes 7 7/8s, 2021	639,000	787,204
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022	1,640,000	1,758,900
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017	3,913,000	4,118,433
		149,416,550
Publishing (0.3%)
American Media, Inc. 144A notes 13 1/2s, 2018	334,251	355,975
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020	1,360,000	1,400,800
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2019	1,750,000	1,793,750
		3,550,525
Regional Bells (0.2%)
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018	2,645,000	3,078,119
		3,078,119
Retail (1.9%)
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018	800,000	917,500
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017	2,219,000	2,221,774

High Yield Trust     41

CORPORATE BONDS AND NOTES (83.4%)* cont.		Principal amount	Value
Retail cont.
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021		$1,306,000	$1,221,110
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019 ‡‡		1,085,000	1,041,598
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019		4,365,000	4,277,700
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021		2,845,000	3,214,850
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022		1,405,000	1,513,888
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8 3/4s, 2021 ‡‡		2,855,000	3,104,813
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8s, 2021		1,355,000	1,461,706
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028		1,996,000	2,015,960
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022		2,165,000	2,240,775
Petco Animal Supplies, Inc. 144A company guaranty sr. unsec. notes 9 1/4s, 2018		1,455,000	1,547,756
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017 ‡‡		1,395,000	1,424,644
			26,204,074
Technology (3.2%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020		2,820,000	2,946,900
Alcatel-Lucent USA, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2020		4,735,000	4,995,425
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021		2,011,000	1,845,093
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019		5,500,000	5,472,500
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019		1,132,000	1,214,070
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021		2,400,000	2,838,000
First Data Corp. 144A company guaranty notes 8 1/4s, 2021		6,231,000	6,791,788
First Data Holdings, Inc. 144A sr. unsec. notes 14 1/2s, 2019 ‡‡		228,325	259,149
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020		1,087,000	1,222,875
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 5s, 2021		1,200,000	1,209,000
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022		2,944,000	3,083,840
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 R		2,400,000	2,562,000
Micron Technology, Inc. 144A sr. unsec. notes 5 7/8s, 2022		1,900,000	2,035,375
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan)		4,330,000	4,405,775
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019		1,400,000	1,466,500
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019		775,000	820,531
			43,168,821
Telecommunications (6.1%)
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg)		5,280,000	5,623,728
Altice SA 144A company guaranty sr. notes 7 1/4s, 2022 (Luxembourg)	EUR	425,000	592,331

42     High Yield Trust

CORPORATE BONDS AND NOTES (83.4%)* cont.	Principal amount	Value
Telecommunications cont.
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 R	$3,005,000	$3,103,594
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022 R	1,270,000	1,293,813
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica)	4,045,000	4,368,600
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica)	1,695,000	1,722,544
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019	2,130,000	2,343,000
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021	1,603,000	1,811,390
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda)	2,026,000	2,193,145
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg)	3,993,000	4,322,423
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg)	8,004,000	8,444,220
Level 3 Escrow II, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2022	1,955,000	1,974,550
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020	1,980,000	2,192,850
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019	470,000	508,775
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020	934,000	1,006,385
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021	965,000	1,018,075
NII International Telecom SCA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) (In default) †	1,832,000	1,209,120
Qwest Corp. sr. unsec. notes 6 3/4s, 2021	2,215,000	2,577,146
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025	2,436,000	2,880,042
SBA Communications Corp. 144A sr. unsec. notes 4 7/8s, 2022	1,805,000	1,777,925
SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020	2,285,000	2,410,675
Sprint Capital Corp. company guaranty 6 7/8s, 2028	5,247,000	5,115,825
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020	1,995,000	2,124,675
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018	5,381,000	6,396,664
Sprint Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2023	5,670,000	6,081,075
Sprint Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2021	4,075,000	4,319,500
West Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022	3,090,000	3,020,475
Wind Acquisition Finance SA 144A company guaranty sr. unsec. bonds 7 3/8s, 2021 (Luxembourg)	1,405,000	1,482,275
		81,914,820
Telephone (1.4%)
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023	1,715,000	1,898,289
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020	540,000	571,050
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.836s, 2023	405,000	430,313

High Yield Trust     43

CORPORATE BONDS AND NOTES (83.4%)* cont.	Principal amount	Value
Telephone cont.
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633s, 2021	$1,015,000	$1,069,556
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023	2,901,000	3,056,929
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021	4,409,000	4,579,849
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022	2,353,000	2,432,414
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017	938,000	1,066,975
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021	2,047,000	2,231,230
Windstream Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023	1,235,000	1,238,088
		18,574,693
Transportation (0.6%)
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018 (Luxembourg)	1,215,000	1,263,600
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018	2,428,000	2,561,540
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada)	2,385,000	2,605,611
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023	2,122,000	2,169,745
		8,600,496
Utilities and power (4.5%)
AES Corp./Virginia (The) sr. unsec. notes 8s, 2020	1,291,000	1,529,835
AES Corp./Virginia (The) sr. unsec. unsub. notes 9 3/4s, 2016	153,000	170,978
AES Corp./Virginia (The) sr. unsec. unsub. notes 8s, 2017	2,405,000	2,771,761
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021	2,965,000	3,394,925
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023	950,000	935,750
Calpine Corp. sr. unsec. notes 5 3/4s, 2025	5,105,000	5,156,050
Calpine Corp. 144A company guaranty sr. notes 6s, 2022	670,000	723,600
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024	550,000	588,500
Colorado Interstate Gas Co., LLC sr. unsec. debs. 6.85s, 2037	3,047,000	3,731,338
DPL, Inc. sr. unsec. notes 6 1/2s, 2016	3,010,000	3,190,600
Dynegy Holdings, LLC escrow bonds 7 3/4s, 2019	2,590,000	3,238
El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022	1,597,000	2,076,458
El Paso, LLC company guaranty sr. notes 7s, 2017	1,000,000	1,130,000
El Paso, LLC sr. unsec. notes Ser. GMTN, 7.8s, 2031	121,000	150,074
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022	2,810,000	3,182,325
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020	1,680,000	1,944,600
EP Energy, LLC/Everest Acquisition Finance, Inc. sr. unsec. notes 9 3/8s, 2020	3,175,000	3,579,813
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019	2,190,000	2,315,925
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2022	695,000	780,138
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031	2,225,000	2,163,813

44     High Yield Trust

CORPORATE BONDS AND NOTES (83.4%)* cont.	Principal amount	Value
Utilities and power cont.
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020	$765,000	$807,075
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018	610,000	648,125
Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021	1,493,000	1,597,510
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021	5,171,000	5,675,173
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021	200,000	217,000
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022	2,415,000	2,596,125
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023	1,720,000	1,801,700
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5s, 2022	1,260,000	1,302,525
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023	2,100,000	2,115,750
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022	2,310,000	2,338,875
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028	639,000	821,288
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default) †	1,345,000	1,170,150
		60,611,017
Total corporate bonds and notes (cost $1,077,486,353)		$1,121,192,874

SENIOR LOANS (6.6%)* c	Principal amount	Value
Basic materials (0.2%)
Atkore International, Inc. bank term loan FRN 4 1/2s, 2021	$515,000	$511,459
FMG Resources, Ltd. bank term loan FRN Ser. B, 3 3/4s, 2019 (Australia)	1,290,000	1,284,445
Oxea Sarl bank term loan FRN 8 1/4s, 2020 (Germany)	680,000	680,565
		2,476,469
Capital goods (0.1%)
Gates Global, LLC/Gates Global Co. bank term loan FRN 4 1/4s, 2021	1,925,000	1,908,557
		1,908,557
Communication services (0.4%)
Asurion, LLC bank term loan FRN 8 1/2s, 2021	2,660,000	2,743,124
Charter Communications Operating, LLC bank term loan FRN Ser. G, 4 1/4s, 2021	1,835,000	1,845,608
Level 3 Financing, Inc. bank term loan FRN Ser. B1, 4s, 2020	1,130,000	1,125,480
		5,714,212
Consumer cyclicals (3.2%)
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 6.948s, 2017	7,005,117	6,555,620
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 9 3/4s, 2017	1,035,000	998,775
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021	3,735,000	3,646,293
Clear Channel Communications, Inc. bank term loan FRN Ser. D, 6.905s, 2019	6,971,000	6,838,119

High Yield Trust     45

SENIOR LOANS (6.6%)* c cont.	Principal amount	Value
Consumer cyclicals cont.
CPG International, Inc. bank term loan FRN Ser. B, 4 3/4s, 2020	$1,488,750	$1,483,167
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019	1,494,370	1,409,480
JC Penney Corp., Inc. bank term loan FRN 5s, 2019	1,435,000	1,434,402
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020	3,409,968	3,382,688
ROC Finance, LLC bank term loan FRN 5s, 2019	1,736,253	1,684,166
Talbots, Inc. (The) bank term loan FRN 8 1/4s, 2021	770,000	762,300
Travelport Finance Sarl bank term loan FRN Ser. B, 6s, 2021 (Luxembourg)	4,475,000	4,490,663
Travelport, LLC bank term loan FRN 9 1/2s, 2016	3,347,499	3,386,555
Travelport, LLC bank term loan FRN 8 3/8s, 2016 ‡‡	986,700	986,700
Travelport, LLC bank term loan FRN 6 1/4s, 2019	1,559,017	1,583,052
Univision Communications, Inc. bank term loan FRN 4s, 2020	2,870,276	2,850,543
Yonkers Racing Corp. bank term loan FRN 4 1/4s, 2019	1,386,919	1,303,704
		42,796,227
Consumer staples (0.4%)
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021	1,900,238	1,883,134
Del Monte Foods, Inc. bank term loan FRN 8 1/4s, 2021	1,440,000	1,378,800
Rite Aid Corp. bank term loan FRN 4 7/8s, 2021	1,145,000	1,147,147
WNA Holdings, Inc. bank term loan FRN 8 1/2s, 2020	500,000	497,500
		4,906,581
Energy (0.8%)
Fieldwood Energy, LLC bank term loan FRN 8 3/8s, 2020	4,690,887	4,777,865
Offshore Group Investment, Ltd. bank term loan FRN Ser. B, 5 3/4s, 2019 (Cayman Islands)	864,063	860,103
Shelf Drilling Holdings, Ltd. bank term loan FRN 10s, 2018 ‡‡	2,835,000	2,891,700
Tervita Corp. bank term loan FRN Ser. B, 6 1/4s, 2018 (Canada)	2,280,275	2,281,700
		10,811,368
Financials (0.2%)
iStar Financial, Inc. bank term loan FRN Ser. A2, 7s, 2017 R	490,397	504,701
Nuveen Investments, Inc. bank term loan FRN 6 1/2s, 2019	1,805,000	1,805,903
		2,310,604
Health care (0.7%)
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018	1,758,786	1,759,885
CHS/Community Health Systems, Inc. bank term loan FRN Ser. D, 4 1/4s, 2021	1,529,800	1,533,386
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.155s, 2021	1,975,050	1,959,688
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021	1,180,000	1,178,689
Par Pharmaceutical Cos., Inc. bank term loan FRN Ser. B, 4s, 2019	3,201,563	3,180,887
		9,612,535
Technology (0.1%)
Avaya, Inc. bank term loan FRN Ser. B3, 4.655s, 2017	1,965,449	1,908,590
		1,908,590
Transportation (0.1%)
Air Medical Group Holdings, Inc. bank term loan FRN 7 5/8s, 2018 ‡‡	1,860,000	1,869,300
		1,869,300

46     High Yield Trust

SENIOR LOANS (6.6%)* c cont.	Principal amount	Value
Utilities and power (0.4%)
Energy Future Intermediate Holding Co., LLC bank term loan FRN 4 1/4s, 2016	$1,095,000	$1,098,194
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.652s, 2017	4,891,407	3,772,498
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.652s, 2017	64,806	49,982
		4,920,674
Total senior loans (cost $89,973,904)		$89,235,117

COMMON STOCKS (2.5%)*	Shares	Value
Ally Financial, Inc. † F	113,460	$2,791,116
American Axle & Manufacturing Holdings, Inc. †	107,014	1,936,953
CIT Group, Inc.	35,508	1,702,964
Dana Holding Corp.	66,800	1,551,764
DISH Network Corp. Class A †	28,200	1,827,642
Eclipse Resources Corp. †	73,404	1,342,559
Elizabeth Arden, Inc. †	3,671	62,774
EP Energy Corp. Class A †	116,332	2,248,698
General Motors Co.	76,511	2,662,583
Harry & David Holdings, Inc. †	1,433	194,888
Hilton Worldwide Holdings, Inc. †	89,315	2,261,456
Huntsman Corp.	100,095	2,691,555
Jarden Corp. †	25,995	1,554,241
Lone Pine Resources Canada, Ltd. (Canada) † F	87,188	3,488
Lone Pine Resources, Inc. Class A (Canada) † F	87,188	3,488
MeadWestvaco Corp.	68,570	2,948,510
MetLife, Inc.	21,395	1,171,162
Penn National Gaming, Inc. †	177,015	1,998,499
Rite Aid Corp. †	210,915	1,311,891
Seventy Seven Energy, Inc. †	60,780	1,426,507
Tribune Co. Class 1C F	297,958	74,489
Vantage Drilling Co. †	949,728	1,690,516
Total common stocks (cost $32,800,635)		$33,457,743

CONVERTIBLE PREFERRED STOCKS (0.8%)*	Shares	Value
American Tower Corp. Ser. A, $5.25 cv. pfd. R	14,420	$1,633,966
Crown Castle International Corp. Ser. A, Class A, $4.50 cv. pfd. R	14,630	1,531,578
EPR Properties Ser. C, $1.44 cv. pfd. R	114,663	2,676,670
MetLife, Inc. $1.25 cv. pfd.	37,735	1,183,747
Tyson Foods, Inc. $2.375 cv. pfd. †	29,624	1,488,014
United Technologies Corp. $3.75 cv. pfd.	45,610	2,739,337
Total convertible preferred stocks (cost $10,213,596)		$11,253,312

High Yield Trust     47

CONVERTIBLE BONDS AND NOTES (0.6%)*	Principal amount	Value
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016 R	$2,252,000	$3,055,683
Jazz Technologies, Inc. 144A cv. unsec. notes 8s, 2018	1,952,000	2,410,720
XM Satellite Radio, Inc. 144A cv. company guaranty sr. unsec. sub. notes 7s, 2014	1,365,000	2,706,113
Total convertible bonds and notes (cost $6,135,160)		$8,172,516

PREFERRED STOCKS (0.5%)*	Shares	Value
Ally Financial, Inc. 144A 7.00% cum. pfd.	3,958	$3,979,398
Citigroup, Inc. Ser. K, $1.719 pfd.	26,600	717,668
M/I Homes, Inc. Ser. A, $2.438 pfd.	53,597	1,369,939
Total preferred stocks (cost $4,272,705)		$6,067,005

WARRANTS (0.1%)* †	Expiration date	Strike price	Warrants	Value
Charter Communications, Inc. Class A	11/30/14	$46.86	420	$46,402
General Motors Co.	7/10/19	18.33	18,319	306,660
General Motors Co.	7/10/16	10.00	18,319	453,945
Tower Semiconductor, Ltd. 144A (Israel) F	6/30/15	1.70	672,570	5
Total warrants (cost $770,298)				$807,012

SHORT-TERM INVESTMENTS (4.2%)*	Principal amount/shares	Value
Putnam Short Term Investment Fund 0.04% L	Shares 56,222,398	$56,222,398
U.S. Treasury Bills with an effective yield of 0.10%, October 16, 2014	$111,000	110,986
Total short-term investments (cost $56,333,384)		$56,333,384

TOTAL INVESTMENTS
Total investments (cost $1,277,986,035)	$1,326,518,963

Key to holding’s currency abbreviations
CAD	Canadian Dollar
EUR	Euro
GBP	British Pound
Key to holding’s abbreviations
EMTN	Euro Medium Term Notes
FRB	Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN	Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
GMTN	Global Medium Term Notes
MTN	Medium Term Notes

	Notes to the fund’s portfolio
	Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from September 1, 2013 through August 31, 2014 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to “OTC”, if any, represent over-the-counter.
*	Percentages indicated are based on net assets of $1,344,033,952.
†	Non-income-producing security.
‡‡	Income may be received in cash or additional securities at the discretion of the issuer.

48     High Yield Trust

c	Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 6).
F	Security is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities’ valuation inputs (Note 1).
L	Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
R	Real Estate Investment Trust.
	Debt obligations are considered secured unless otherwise indicated.
	144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
	The dates shown on debt obligations are the original maturity dates.

FORWARD CURRENCY CONTRACTS at 8/31/14 (aggregate face value $22,901,977)
Counterparty	Currency	Contract type	Delivery date	Value	Aggregate face value	Unrealized appreciation/ (depreciation)
Bank of America N.A.
	Canadian Dollar	Sell	10/15/14	$230,251	$234,816	$4,565
Barclays Bank PLC
	British Pound	Sell	9/17/14	4,378,665	4,416,891	38,226
	Euro	Sell	9/17/14	989,482	1,025,665	36,183
Credit Suisse International
	Euro	Buy	9/17/14	2,613,914	2,660,820	(46,906)
	Euro	Sell	9/17/14	2,613,913	2,678,752	64,839
Deutsche Bank AG
	Euro	Sell	9/17/14	699,733	725,372	25,639
Goldman Sachs International
	Euro	Sell	9/17/14	2,173,705	2,252,312	78,607
HSBC Bank USA, National Association
	Euro	Buy	9/17/14	4,468	4,479	(11)
	Euro	Sell	9/17/14	4,468	4,629	161
JPMorgan Chase Bank N.A.
	Canadian Dollar	Sell	10/15/14	804,591	819,798	15,207
	Euro	Sell	9/17/14	469,511	494,416	24,905
State Street Bank and Trust Co.
	Canadian Dollar	Sell	10/15/14	1,018,579	1,037,850	19,271
	Euro	Buy	9/17/14	652,690	654,308	(1,618)
	Euro	Sell	9/17/14	652,690	676,217	23,527
UBS AG
	Euro	Sell	9/17/14	1,290,925	1,338,338	47,413
WestPac Banking Corp.
	Canadian Dollar	Buy	10/15/14	1,696,560	1,716,921	(20,361)
	Canadian Dollar	Sell	10/15/14	1,696,560	1,728,160	31,600
	Euro	Sell	9/17/14	403,676	432,233	28,557
Total						$369,804

High Yield Trust     49

ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:

Level 1: Valuations based on quoted prices for identical securities in active markets.

Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.

The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:

	Valuation inputs
Investments in securities:	Level 1	Level 2	Level 3
Common stocks*:
Basic materials	$5,640,065	$—	$—
Capital goods	1,936,953	—	—
Communication services	1,827,642	—	—
Consumer cyclicals	10,028,543	—	74,489
Consumer staples	1,374,665	194,888	—
Energy	6,708,280	—	6,976
Financials	2,874,126	2,791,116	—
Total common stocks	30,390,274	2,986,004	81,465
Convertible bonds and notes	—	8,172,516	—
Convertible preferred stocks	—	11,253,312	—
Corporate bonds and notes	—	1,121,192,836	38
Preferred stocks	717,668	5,349,337	—
Senior loans	—	89,235,117	—
Warrants	760,605	46,407	—
Short-term investments	56,222,398	110,986	—
Totals by level	$88,090,945	$1,238,346,515	$81,503

		Valuation inputs
	Other financial instruments:	Level 1	Level 2	Level 3
	Forward currency contracts	$—	$369,804	$—
	Totals by level	$—	$369,804	$—
*Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.
	At the start and close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund’s portfolio.

The accompanying notes are an integral part of these financial statements.

50     High Yield Trust

Statement of assets and liabilities 8/31/14
ASSETS
Investment in securities, at value (Note 1):
Unaffiliated issuers (identified cost $1,221,763,637)	$1,270,296,565
Affiliated issuers (identified cost $56,222,398) (Notes 1 and 5)	56,222,398
Cash	82,575
Dividends, interest and other receivables	22,210,958
Receivable for shares of the fund sold	624,728
Receivable for investments sold	9,369,300
Unrealized appreciation on forward currency contracts (Note 1)	438,700
Prepaid assets	31,311
Total assets	1,359,276,535
LIABILITIES
Payable for investments purchased	11,474,766
Payable for shares of the fund repurchased	1,366,640
Payable for compensation of Manager (Note 2)	625,228
Payable for custodian fees (Note 2)	9,601
Payable for investor servicing fees (Note 2)	296,477
Payable for Trustee compensation and expenses (Note 2)	563,103
Payable for administrative services (Note 2)	4,849
Payable for distribution fees (Note 2)	533,727
Unrealized depreciation on forward currency contracts (Note 1)	68,896
Other accrued expenses	299,296
Total liabilities	15,242,583
Net assets	$1,344,033,952
REPRESENTED BY
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)	$1,531,466,661
Undistributed net investment income (Note 1)	8,290,893
Accumulated net realized loss on investments and foreign currency transactions (Note 1)	(244,624,612)
Net unrealized appreciation of investments and assets and liabilities in foreign currencies	48,901,010
Total — Representing net assets applicable to capital shares outstanding	$1,344,033,952
(Continued on next page)

The accompanying notes are an integral part of these financial statements.

High Yield Trust     51

	Statement of assets and liabilities (Continued)
	COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
	Net asset value and redemption price per class A share ($1,058,920,089 divided by 129,101,695 shares)	$8.20
	Offering price per class A share (100/96.00 of $8.20)*	$8.54
	Net asset value and offering price per class B share ($19,426,643 divided by 2,372,446 shares)**	$8.19
	Net asset value and offering price per class C share ($49,810,003 divided by 6,129,806 shares)**	$8.13
	Net asset value and redemption price per class M share ($22,439,803 divided by 2,725,416 shares)	$8.23
	Offering price per class M share (100/96.75 of $8.23)†	$8.51
	Net asset value, offering price and redemption price per class R share ($12,335,772 divided by 1,535,821 shares)	$8.03
	Net asset value, offering price and redemption price per class Y share ($181,101,642 divided by 22,527,629 shares)	$8.04
*	On single retail sales of less than $100,000. On sales of $100,000 or more the offering price is reduced.
**	Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
†	On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.

The accompanying notes are an integral part of these financial statements.

52     High Yield Trust

Statement of operations Year ended 8/31/14
INVESTMENT INCOME
Interest (including interest income of $39,430 from investments in affiliated issuers) (Note 5)	$89,250,501
Dividends	1,459,947
Total investment income	90,710,448
EXPENSES
Compensation of Manager (Note 2)	8,099,991
Investor servicing fees (Note 2)	2,004,044
Custodian fees (Note 2)	36,222
Trustee compensation and expenses (Note 2)	96,452
Distribution fees (Note 2)	3,703,120
Administrative services (Note 2)	36,596
Other	638,865
Total expenses	14,615,290
Expense reduction (Note 2)	(16,508)
Net expenses	14,598,782
Net investment income	76,111,666
Net realized gain on investments (Notes 1 and 3)	30,222,208
Net realized loss on swap contracts (Note 1)	(61,102)
Net realized loss on foreign currency transactions (Note 1)	(1,224,432)
Net unrealized appreciation of assets and liabilities in foreign currencies during the year	652,492
Net unrealized appreciation of investments during the year	28,050,168
Net gain on investments	57,639,334
Net increase in net assets resulting from operations	$133,751,000

The accompanying notes are an integral part of these financial statements.

High Yield Trust     53

Statement of changes in net assets
DECREASE IN NET ASSETS	Year ended 8/31/14	Year ended 8/31/13
Operations:
Net investment income	$76,111,666	$90,206,062
Net realized gain on investments and foreign currency transactions	28,936,674	34,766,795
Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies	28,702,660	(11,684,536)
Net increase in net assets resulting from operations	133,751,000	113,288,321
Distributions to shareholders (Note 1):
From ordinary income
Net investment income
Class A	(59,041,534)	(70,288,846)
Class B	(920,372)	(1,115,428)
Class C	(2,648,870)	(2,998,982)
Class M	(1,156,061)	(1,218,277)
Class R	(617,043)	(732,306)
Class Y	(13,062,980)	(12,635,291)
Redemption fees (Note 1)	—	21,935
Decrease from capital share transactions (Note 4)	(57,863,785)	(150,938,810)
Total decrease in net assets	(1,559,645)	(126,617,684)
NET ASSETS
Beginning of year	1,345,593,597	1,472,211,281
End of year (including undistributed net investment income of $8,290,893 and $10,591,900, respectively)	$1,344,033,952	$1,345,593,597

The accompanying notes are an integral part of these financial statements.

54     High Yield Trust

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High Yield Trust     55

Financial highlights (For a common share outstanding throughout the period)

INVESTMENT OPERATIONS:					LESS DISTRIBUTIONS:						RATIOS AND SUPPLEMENTAL DATA:
Period ended	Net asset value, beginning of period	Net investment income (loss)a	Net realized and unrealized gain (loss) on investments	Total from investment operations	From net investment income	Total distributions	Redemption fees	Non-recurring reimbursements	Net asset value, end of period	Total return at net asset value (%)b	Net assets, end of period (in thousands)	Ratio of expenses to average net assets (%)c	Ratio of net investment income (loss) to average net assets (%)	Portfolio turnover (%)
Class A
August 31, 2014	$7.88	.43	.33	.76	(.44)	(.44)	—	—	$8.20	9.77	$1,058,920	1.01	5.29	51
August 31, 2013	7.76	.49	.11	.60	(.48)	(.48)	—d	—	7.88	7.84	1,060,905	1.02	6.11	51
August 31, 2012	7.39	.51	.38	.89	(.52)	(.52)	—d	—	7.76	12.49	1,200,821	1.02	6.81	46
August 31, 2011	7.40	.56	(.03)	.53	(.54)	(.54)	—d	— e,f,g	7.39	7.07	1,108,763	1.00	7.15	72
August 31, 2010	6.68	.56	.70	1.26	(.54)	(.54)	—d	—h	7.40	19.29	1,120,786	1.04i	7.67i	71
Class B
August 31, 2014	$7.86	.37	.33	.70	(.37)	(.37)	—	—	$8.19	9.11	$19,427	1.76	4.54	51
August 31, 2013	7.74	.43	.11	.54	(.42)	(.42)	—d	—	7.86	7.05	20,077	1.77	5.34	51
August 31, 2012	7.38	.45	.37	.82	(.46)	(.46)	—d	—	7.74	11.51	20,589	1.77	6.08	46
August 31, 2011	7.39	.50	(.03)	.47	(.48)	(.48)	—d	— e,f,g	7.38	6.24	22,545	1.75	6.43	72
August 31, 2010	6.67	.50	.70	1.20	(.48)	(.48)	—d	—h	7.39	18.39	41,109	1.79i	6.96i	71
Class C
August 31, 2014	$7.81	.37	.33	.70	(.38)	(.38)	—	—	$8.13	9.05	$49,810	1.76	4.54	51
August 31, 2013	7.69	.42	.12	.54	(.42)	(.42)	—d	—	7.81	7.10	48,785	1.77	5.36	51
August 31, 2012	7.34	.45	.36	.81	(.46)	(.46)	—d	—	7.69	11.48	55,496	1.77	6.02	46
August 31, 2011	7.35	.49	(.02)	.47	(.48)	(.48)	—d	— e,f,g	7.34	6.34	38,589	1.75	6.39	72
August 31, 2010	6.65	.50	.69	1.19	(.49)	(.49)	—d	—h	7.35	18.19	38,400	1.79i	6.92i	71
Class M
August 31, 2014	$7.90	.41	.33	.74	(.41)	(.41)	—	—	$8.23	9.55	$22,440	1.26	5.04	51
August 31, 2013	7.78	.47	.11	.58	(.46)	(.46)	—d	—	7.90	7.50	20,741	1.27	5.84	51
August 31, 2012	7.41	.49	.38	.87	(.50)	(.50)	—d	—	7.78	12.16	20,501	1.27	6.56	46
August 31, 2011	7.42	.54	(.03)	.51	(.52)	(.52)	—d	— e,f,g	7.41	6.74	18,768	1.25	6.90	72
August 31, 2010	6.69	.54	.71	1.25	(.52)	(.52)	—d	—h	7.42	19.12	19,218	1.29i	7.46i	71
Class R
August 31, 2014	$7.72	.40	.32	.72	(.41)	(.41)	—	—	$8.03	9.53	$12,336	1.26	5.04	51
August 31, 2013	7.61	.46	.11	.57	(.46)	(.46)	—d	—	7.72	7.60	12,462	1.27	5.83	51
August 31, 2012	7.26	.48	.37	.85	(.50)	(.50)	—d	—	7.61	12.17	10,744	1.27	6.54	46
August 31, 2011	7.30	.52	(.04)	.48	(.52)	(.52)	—d	— e,f,g	7.26	6.49	8,473	1.25	6.86	72
August 31, 2010	6.61	.53	.69	1.22	(.53)	(.53)	—d	—h	7.30	18.80	5,085	1.29i	7.36i	71
Class Y
August 31, 2014	$7.73	.44	.33	.77	(.46)	(.46)	—	—	$8.04	10.16	$181,102	.76	5.54	51
August 31, 2013	7.63	.49	.11	.60	(.50)	(.50)	—d	—	7.73	8.03	182,624	.77	6.30	51
August 31, 2012	7.28	.52	.37	.89	(.54)	(.54)	—d	—	7.63	12.71	164,060	.77	7.01	46
August 31, 2011	7.31	.57	(.04)	.53	(.56)	(.56)	—d	— e,f,g	7.28	7.18	84,635	.75	7.41	72
August 31, 2010	6.61	.57	.69	1.26	(.56)	(.56)	—d	—h	7.31	19.49	99,244	.79i	7.80i	71

See notes to financial highlights at the end of this section.

The accompanying notes are an integral part of these financial statements.

56 High Yield Trust High Yield Trust 57

Financial highlights (Continued)

^a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.

^b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.

^c Includes amounts paid through expense offset and brokerage/service arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.

^d Amount represents less than $0.01 per share.

^e Reflects a non-recurring reimbursement pursuant to a settlement between the Securities and Exchange Commission (the SEC) and Zurich Capital Markets, Inc., which amounted to less than $0.01 per share outstanding on December 21, 2010.

^f Reflects a non-recurring reimbursement pursuant to a settlement between the SEC and Southwest Securities, which amounted to less than $0.01 per share outstanding on August 22, 2011.

^g Reflects a non-recurring reimbursement related to restitution amounts in connection with a distribution plan approved by the SEC which amounted to less than $0.01 per share outstanding on July 21, 2011. Also reflects a non-recurring reimbursement related to short-term trading related lawsuits, which amounted to less than $0.01 per share outstanding on May 11, 2011.

^h Reflects a non-recurring reimbursement pursuant to a settlement between the SEC and Prudential Securities, Inc., which amounted to less than $0.01 per share outstanding on March 30, 2010.

ⁱ Reflects an involuntary contractual expense limitation in effect during the period. As a result of such limitation and/or waivers, the expenses of each class reflect a reduction of the following amounts:

	Percentage of average net assets
August 31, 2010	0.01%

The accompanying notes are an integral part of these financial statements.

58     High Yield Trust

Notes to financial statements 8/31/14

Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from September 1, 2013 through August 31, 2014.

Putnam High Yield Trust (the fund) is a Massachusetts business trust, which is registered under the Investment Company Act of 1940, as amended, as a diversified open-end management investment company. The goal of the fund is to seek high current income. Capital growth is a secondary goal when consistent with achieving high current income. The fund invests mainly in bonds that are obligations of U.S. companies, are below investment-grade in quality (sometimes referred to as “junk bonds”), and have intermediate- to long-term maturities (three years or longer). Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell investments.

The fund offers class A, class B, class C, class M, class R and class Y shares. Class A and class M shares are sold with a maximum front-end sales charge of 4.00% and 3.25%, respectively, and generally do not pay a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, do not pay a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within six years of purchase. Class C shares have a one-year 1.00% contingent deferred sales charge and do not convert to class A shares. Class R shares, which are not available to all investors, are sold at net asset value. The expenses for class A, class B, class C, class M and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C, class M and class R shares, but do not bear a distribution fee. Class Y shares are not available to all investors.

In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.

Note 1: Significant accounting policies

The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.

A short-term trading fee of 1.00% may have applied to redemptions (including exchanges into another fund) of shares purchased before June 24, 2013 and held for 30 days or less. The short-term trading fee was accounted for as an addition to paid-in-capital. No short-term trading fee applies to shares purchased on or after June 24, 2013.

Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.

Security valuation Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under Accounting Standards Codification 820 Fair Value Measurements and Disclosures (ASC 820). If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.

Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such

High Yield Trust     59

investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.

Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value and are classified as Level 2 securities.

Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.

Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.

Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.

Interest income, net of any applicable withholding taxes, is recorded on the accrual basis. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain. All premiums/discounts are amortized/accreted on a yield-to-maturity basis.

The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.

Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent

60     High Yield Trust

amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.

Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk.

The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.

Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk, and to gain exposure on individual names and/or baskets of securities.

In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.

In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.

OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements,

High Yield Trust     61

collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, is presented in the fund’s portfolio.

Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.

Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.

At the close of the reporting period, the fund did not have a net liability position on open derivative contracts subject to the Master Agreements.

Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.

Lines of credit The fund participates, along with other Putnam funds, in a $392.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to the Federal Funds rate plus 1.25% for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit and 0.04% of the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.11% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.

Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.

The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.

62     High Yield Trust

At August 31, 2014, the fund had a capital loss carryover of $242,418,665 available to the extent allowed by the Code to offset future net capital gain, if any. The amounts of the carryovers and the expiration dates are:

Loss carryover
Short-term	Long-term	Total	Expiration
$8,546,084	N/A	$8,546,084	August 31, 2016
96,252,247	N/A	96,252,247	August 31, 2017
137,620,334	N/A	137,620,334	August 31, 2018

Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.

These differences include temporary and/or permanent differences from foreign currency gains and losses and from interest on payment-in-kind securities. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. At the close of the reporting period, the fund reclassified $965,813 to decrease undistributed net investment income, $1,453,621 to increase paid-in-capital and $487,808 to increase accumulated net realized loss.

The tax basis components of distributable earnings and the federal tax cost as of the close of the reporting period were as follows:

Unrealized appreciation	$59,016,018
Unrealized depreciation	(12,689,037)
Net unrealized appreciation	46,326,981
Undistributed ordinary income	9,241,027
Capital loss carryforward	(242,418,665)
Cost for federal income tax purposes	$1,280,191,982

Note 2: Management fee, administrative services and other transactions

The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of most open-end funds, as defined in the fund’s management contract, sponsored by Putnam Management. Such annual rates may vary as follows:

0.720%	of the first $5 billion,
0.670%	of the next $5 billion,
0.620%	of the next $10 billion,
0.570%	of the next $10 billion,
0.520%	of the next $50 billion,
0.500%	of the next $50 billion,
0.490%	of the next $100 billion and
0.485%	of any excess thereafter.

The fund’s shareholders approved the fund’s current management contract with Putnam Management effective February 27, 2014. Shareholders were asked to approve the fund’s management contract following the death on October 8, 2013 of The Honourable Paul G. Desmarais, who had controlled directly and indirectly a majority of the voting shares of Power Corporation of Canada, the ultimate parent company of Putnam Management. The substantive terms of the management contract, including terms relating to fees, are identical to the terms of the fund’s previous management contract and reflect the rates provided in the table above.

Putnam Management has contractually agreed, through June 30, 2015, to waive fees or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments

High Yield Trust     63

under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.

Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. Putnam Management pays a quarterly sub-management fee to PIL for its services at an annual rate of 0.40% of the average net assets of the portion of the fund managed by PIL.

The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.

Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.

Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing based on the fund’s retail asset level, the number of shareholder accounts in the fund and the level of defined contribution plan assets in the fund. Investor servicing fees will not exceed an annual rate of 0.32% of the fund’s average net assets. During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:

Class A	$1,535,295
Class B	27,860
Class C	79,543
Class M	32,043
Class R	16,633
Class Y	312,670
Total	$2,004,044

The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. The fund also reduced expenses through brokerage/service arrangements. For the reporting period, the fund’s expenses were reduced by $3,548 under the expense offset arrangements and by $12,960 under the brokerage/service arrangements.

Each Independent Trustee of the fund receives an annual Trustee fee, of which $853, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.

The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.

The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.

The fund has adopted distribution plans (the Plans) with respect to its class A, class B, class C, class M and class R shares pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide for payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to 0.35%, 1.00%, 1.00%, 1.00% and 1.00% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. The Trustees have approved payment by the fund at an annual rate of 0.25%, 1.00%, 1.00%, 0.50%

64     High Yield Trust

and 0.50% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. During the reporting period, the class specific expenses related to distribution fees were as follows:

Class A	$2,756,244
Class B	200,048
Class C	571,904
Class M	115,147
Class R	59,777
Total	$3,703,120

For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $70,297 and $4,737 from the sale of class A and class M shares, respectively, and received $6,685 and $4,540 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.

A deferred sales charge of up to 1.00% and 0.40% is assessed on certain redemptions of class A and class M shares, respectively. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $387 and no monies on class A and class M redemptions, respectively.

Note 3: Purchases and sales of securities

During the reporting period, cost of purchases and proceeds from sales of investment securities other than short-term investments aggregated $695,449,385 and $730,052,380, respectively. There were no purchases or proceeds from sales of long-term U.S. government securities.

Note 4: Capital shares

At the close of the reporting period, there was an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows:

	Year ended 8/31/14		Year ended 8/31/13
Class A	Shares	Amount	Shares	Amount
Shares sold	19,922,386	$161,548,427	21,804,509	$173,313,922
Shares issued in connection with reinvestment of distributions	6,154,333	49,978,343	7,204,465	57,377,940
	26,076,719	211,526,770	29,008,974	230,691,862
Shares repurchased	(31,676,837)	(257,589,200)	(49,147,241)	(392,299,954)
Net decrease	(5,600,118)	$(46,062,430)	(20,138,267)	$(161,608,092)

	Year ended 8/31/14		Year ended 8/31/13
Class B	Shares	Amount	Shares	Amount
Shares sold	339,041	$2,750,413	709,108	$5,662,139
Shares issued in connection with reinvestment of distributions	97,030	786,752	118,540	942,793
	436,071	3,537,165	827,648	6,604,932
Shares repurchased	(616,732)	(4,998,172)	(933,183)	(7,446,631)
Net decrease	(180,661)	$(1,461,007)	(105,535)	$(841,699)

	Year ended 8/31/14		Year ended 8/31/13
Class C	Shares	Amount	Shares	Amount
Shares sold	2,376,563	$18,999,324	1,586,887	$12,542,989
Shares issued in connection with reinvestment of distributions	292,860	2,358,715	319,592	2,524,873
	2,669,423	21,358,039	1,906,479	15,067,862
Shares repurchased	(2,788,084)	(22,409,268)	(2,873,548)	(22,766,965)
Net decrease	(118,661)	$(1,051,229)	(967,069)	$(7,699,103)

High Yield Trust     65

	Year ended 8/31/14		Year ended 8/31/13
Class M	Shares	Amount	Shares	Amount
Shares sold	406,962	$3,281,690	446,065	$3,585,023
Shares issued in connection with reinvestment of distributions	128,471	1,047,149	135,211	1,080,006
	535,433	4,328,839	581,276	4,665,029
Shares repurchased	(434,982)	(3,541,375)	(593,030)	(4,774,557)
Net increase (decrease)	100,451	$787,464	(11,754)	$(109,528)

	Year ended 8/31/14		Year ended 8/31/13
Class R	Shares	Amount	Shares	Amount
Shares sold	462,442	$3,689,521	786,964	$6,179,658
Shares issued in connection with reinvestment of distributions	76,607	609,632	89,692	700,640
	539,049	4,299,153	876,656	6,880,298
Shares repurchased	(617,880)	(4,892,939)	(673,713)	(5,275,342)
Net increase (decrease)	(78,831)	$(593,786)	202,943	$1,604,956

	Year ended 8/31/14		Year ended 8/31/13
Class Y	Shares	Amount	Shares	Amount
Shares sold	26,424,864	$209,628,481	30,645,741	$240,677,450
Shares issued in connection with reinvestment of distributions	1,538,182	12,253,031	1,486,648	11,637,988
	27,963,046	221,881,512	32,132,389	252,315,438
Shares repurchased	(29,050,971)	(231,364,309)	(30,026,585)	(234,600,782)
Net increase (decrease)	(1,087,925)	$(9,482,797)	2,105,804	$17,714,656

Note 5: Affiliated transactions

Transactions during the reporting period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:

Name of affiliate	Fair value at the beginning of the reporting period	Purchase cost	Sale proceeds	Investment income	Fair value at the end of the reporting period
Putnam Short Term Investment Fund*	$28,118,678	$500,726,870	$472,623,150	$39,430	$56,222,398

*Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.

Note 6: Senior loan commitments

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.

66     High Yield Trust

Note 7: Market, credit and other risks

In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher yielding, lower rated bonds that may have a higher rate of default.

Note 8: Summary of derivative activity

The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was as follows based on an average of the holdings at the end of each fiscal quarter:

Forward currency contracts (contract amount)	$30,700,000
Centrally cleared credit default contracts (notional)	$—*
Warrants (number of warrants)	710,000

*For the reporting period, there were no holdings at the end of each fiscal quarter and the transactions were considered minimal.

The following is a summary of the fair value of derivative instruments as of the close of the reporting period:

Fair value of derivative instruments as of the close of the reporting period

	Asset derivatives		Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815	Statement of assets and liabilities location	Fair value	Statement of assets and liabilities location	Fair value
Foreign exchange contracts	Receivables	$438,700	Payables	$68,896
Equity contracts	Investments	807,012	Payables	—
Total		$1,245,712		$68,896

The following is a summary of realized and change in unrealized gains or losses of derivative instruments on the Statement of operations for the reporting period (see Note 1):

Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments

Derivatives not accounted for as hedging instruments under ASC 815	Forward currency contracts	Swaps	Total
Credit contracts	$—	$(61,102)	$(61,102)
Foreign exchange contracts	(1,227,754)	—	(1,227,754)
Total	$(1,227,754)	$(61,102)	$(1,288,856)

Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investments

Derivatives not accounted for as hedging instruments under ASC 815	Warrants	Forward currency contracts	Total
Credit contracts	$9,014	$—	$9,014
Foreign exchange contracts	—	653,627	653,627
Total	$9,014	$653,627	$662,641

High Yield Trust     67

Note 9: Offsetting of financial and derivative assets and liabilities

The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.

	Bank of America N.A.	Barclays Bank PLC	Credit Suisse International	Deutsche Bank AG	Goldman Sachs International	HSBC Bank USA, National Association	JPMorgan Chase Bank N.A.	State Street Bank and Trust Co.	UBS AG	WestPac Banking Corp.	Total
Assets:
Forward currency contracts#	$4,565	$74,409	$64,839	$25,639	$78,607	$161	$40,112	$42,798	$47,413	$60,157	$438,700
Total Assets	$4,565	$74,409	$64,839	$25,639	$78,607	$161	$40,112	$42,798	$47,413	$60,157	$438,700
Liabilities:
Forward currency contracts#	$—	$—	$46,906	$—	$—	$11	$—	$1,618	$—	$20,361	68,896
Total Liabilities	$—	$—	$46,906	$—	$—	$11	$—	$1,618	$—	$20,361	$68,896
Total Financial and Derivative Net Assets	$4,565	$74,409	$17,933	$25,639	$78,607	$150	$40,112	$41,180	$47,413	$39,796	$369,804
Total collateral received (pledged)† ##	$—	$—	$—	$—	$—	$—	$—	$—	$—	$—
Net amount	$4,565	$74,409	$17,933	$25,639	$78,607	$150	$40,112	$41,180	$47,413	$39,796

†	Additional collateral may be required from certain brokers based on individual agreements.
#	Covered by master netting agreement. (Note 1)
##	Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.

68     High Yield Trust

High Yield Trust     69

Federal tax information (Unaudited)

The fund designated 1.25% of ordinary income distributions as qualifying for the dividends received deduction for corporations.

For the reporting period, the fund hereby designates 1.26%, or the maximum amount allowable, of its taxable ordinary income distributions as qualified dividends taxed at the individual net capital gain rates.

The Form 1099 that will be mailed to you in January 2015 will show the tax status of all distributions paid to your account in calendar 2014.

70     High Yield Trust

Shareholder meeting results (Unaudited)

February 27, 2014 special meeting

At the meeting, each of the nominees for Trustees was elected as follows:

	Votes for	Votes withheld
Liaquat Ahamed	125,690,455	7,521,513
Ravi Akhoury	125,618,002	7,598,703
Barbara M. Baumann	126,230,738	6,985,968
Jameson A. Baxter	126,167,691	7,049,014
Charles B. Curtis	126,139,832	7,076,873
Robert J. Darretta	126,182,919	7,033,786
Katinka Domotorffy	126,042,712	7,173,993
John A. Hill	126,200,708	7,015,997
Paul L. Joskow	126,174,930	7,037,037
Kenneth R. Leibler	126,085,537	7,131,168
Robert E. Patterson	126,160,447	7,056,258
George Putnam, III	126,215,413	7,001,292
Robert L. Reynolds	126,257,143	6,959,562
W. Thomas Stephens	126,124,349	7,087,619

A proposal to approve a new management contract between the fund and Putnam Management was approved as follows:

Votes for	Votes against	Abstentions	Broker non-votes
105,052,912	2,812,683	9,054,143	16,296,967

A proposal to adopt an Amended and Restated Declaration of Trust was approved as follows:

Votes for	Votes against	Abstentions	Broker non-votes
103,479,261	3,795,166	9,645,314	16,296,965

All tabulations are rounded to the nearest whole number.

High Yield Trust     71

About the Trustees

Independent Trustees

Liaquat Ahamed

Born 1952, Trustee since 2012

Principal occupations during past five years: Pulitzer Prize-winning author of Lords of Finance: The Bankers Who Broke the World, whose articles on economics have appeared in such publications as the New York Times, Foreign Affairs, and the Financial Times. Director of Aspen Insurance Co., a New York Stock Exchange company, and Chair of the Aspen Board’s Investment Committee. Trustee of the Brookings Institution and Chair of its Investment Committee.

Other directorships: The Rohatyn Group, an emerging-market fund complex that manages money for institutions

Ravi Akhoury

Born 1947, Trustee since 2009

Principal occupations during past five years: Trustee of American India Foundation and of the Rubin Museum. From 1992 to 2007, was Chairman and CEO of MacKay Shields, a multi-product investment management firm.

Other directorships: RAGE Frameworks, Inc., a private software company; English Helper, Inc., a private software company

Barbara M. Baumann

Born 1955, Trustee since 2010

Principal occupations during past five years: President and Owner of Cross Creek Energy Corporation, a strategic consultant to domestic energy firms and direct investor in energy projects. Current Board member of The Denver Foundation. Former Chair and current Board member of Girls Incorporated of Metro Denver. Member of the Finance Committee, the Children’s Hospital of Colorado.

Other directorships: Buckeye Partners, L.P., a publicly traded master limited partnership focused on pipeline transport, storage, and distribution of petroleum products; Devon Energy Corporation, a leading independent natural gas and oil exploration and production company; UNS Energy Corporation, an Arizona utility; Cody Resources Management, a private company in the energy and ranching businesses

Jameson A. Baxter

Born 1943, Trustee since 1994, Vice Chair from 2005 to 2011, and Chair since 2011

Principal occupations during past five years: President of Baxter Associates, Inc., a private investment firm. Chair of Mutual Fund Directors Forum. Chair Emeritus of the Board of Trustees of Mount Holyoke College. Director of the Adirondack Land Trust and Trustee of the Nature Conservancy’s Adirondack Chapter.

Charles B. Curtis

Born 1940, Trustee since 2001

Principal occupations during past five years: Senior Advisor to the Center for Strategic and International Studies. President Emeritus and former President and Chief Operating Officer of the Nuclear Threat Initiative, a private foundation dealing with national security issues. Member of the Council on Foreign Relations and U.S. State Department International Security Advisory Board.

Robert J. Darretta

Born 1946, Trustee since 2007

Principal occupations during past five years: From 2009 until 2012, served as Health Care Industry Advisor to Permira, a global private equity firm. Until April 2007, was Vice Chairman of the Board of Directors of Johnson & Johnson. Served as Johnson & Johnson’s Chief Financial Officer for a decade.

Other directorships: UnitedHealth Group, a diversified health-care company

Katinka Domotorffy

Born 1975, Trustee since 2012

Principal occupations during past five years: Voting member of the Investment Committees of the Anne Ray Charitable Trust and Margaret A. Cargill Foundation, part of the Margaret A. Cargill Philanthropies. Until 2011, Partner, Chief Investment Officer, and Global Head of Quantitative Investment Strategies at Goldman Sachs Asset Management.

Other directorships: Reach Out and Read of Greater New York, an organization dedicated to promoting childhood literacy

John A. Hill

Born 1942, Trustee since 1985 and Chairman from 2000 to 2011

Principal occupations during past five years: Founder and Vice-Chairman of First Reserve Corporation, the leading private equity buyout firm focused on the worldwide energy industry. Trustee and Chairman of the Board of Trustees of Sarah Lawrence College. Member of the Advisory Board of the Millstein Center for Global Markets and Corporate Ownership at The Columbia University Law School.

Other directorships: Devon Energy Corporation, a leading independent natural gas and oil exploration and production company

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Paul L. Joskow

Born 1947, Trustee since 1997

Principal occupations during past five years: Economist and President of the Alfred P. Sloan Foundation, a philanthropic institution focused primarily on research and education on issues related to science, technology, and economic performance. Elizabeth and James Killian Professor of Economics, Emeritus at the Massachusetts Institute of Technology (MIT). Prior to 2007, served as the Director of the Center for Energy and Environmental Policy Research at MIT.

Other directorships: Yale University; Exelon Corporation, an energy company focused on power services; Boston Symphony Orchestra; Prior to April 2013, served as Director of TransCanada Corporation and TransCanada Pipelines Ltd., energy companies focused on natural gas transmission, oil pipelines and power services

Kenneth R. Leibler

Born 1949, Trustee since 2006

Principal occupations during past five years: Founder and former Chairman of Boston Options Exchange, an electronic marketplace for the trading of derivative securities. Serves on the Board of Trustees of Beth Israel Deaconess Hospital in Boston, Massachusetts. Director of Beth Israel Deaconess Care Organization. Until November 2010, director of Ruder Finn Group, a global communications and advertising firm.

Other directorships: Northeast Utilities, which operates New England’s largest energy delivery system

Robert E. Patterson

Born 1945, Trustee since 1984

Principal occupations during past five years: Co-Chairman of Cabot Properties, Inc., a private equity firm investing in commercial real estate, and Chairman of its Investment Committee. Past Chairman and Trustee of the Joslin Diabetes Center.

George Putnam, III

Born 1951, Trustee since 1984

Principal occupations during past five years: Chairman of New Generation Research, Inc., a publisher of financial advisory and other research services. Founder and President of New Generation Advisors, LLC, a registered investment advisor to private funds. Director of The Boston Family Office, LLC, a registered investment advisor.

W. Thomas Stephens

Born 1942, Trustee from 1997 to 2008 and since 2009

Principal occupations during past five years: Retired as Chairman and Chief Executive Officer of Boise Cascade, LLC, a paper, forest products, and timberland assets company, in December 2008. Prior to 2010, Director of Boise Inc., a manufacturer of paper and packaging products.

Other directorships: TransCanada Pipelines Ltd., an energy infrastructure company

Interested Trustee

Robert L. Reynolds*

Born 1952, Trustee since 2008 and President of the Putnam Funds since 2009

Principal occupations during past five years: President and Chief Executive Officer of Putnam Investments since 2008 and, since 2014, President and Chief Executive Officer of Great-West Financial, a financial services company that provides retirement savings plans, life insurance, and annuity and executive benefits products, and of Great-West Lifeco U.S. Inc., a holding company that owns Putnam Investments and Great-West Financial. Prior to joining Putnam Investments, served as Vice Chairman and Chief Operating Officer of Fidelity Investments from 2000 to 2007.

*Mr. Reynolds is an “interested person” (as defined in the Investment Company Act of 1940) of the fund and Putnam Investments. He is President and Chief Executive Officer of Putnam Investments, as well as the President of your fund and each of the other Putnam funds.

The address of each Trustee is One Post Office Square, Boston, MA 02109.

As of August 31, 2014, there were 116 Putnam funds. All Trustees serve as Trustees of all Putnam funds.

Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 75, removal, or death.

High Yield Trust     73

Officers

In addition to Robert L. Reynolds, the other officers of the fund are shown below:

Jonathan S. Horwitz (Born 1955)

Executive Vice President, Principal Executive Officer, and Compliance Liaison

Since 2004

Steven D. Krichmar (Born 1958)

Vice President and Principal Financial Officer

Since 2002

Chief of Operations, Putnam Investments and Putnam Management

Robert T. Burns (Born 1961)

Vice President and Chief Legal Officer

Since 2011

General Counsel, Putnam Investments, Putnam Management, and Putnam Retail Management

Robert R. Leveille (Born 1969)

Vice President and Chief Compliance Officer

Since 2007

Chief Compliance Officer, Putnam Investments, Putnam Management, and Putnam Retail Management

Michael J. Higgins (Born 1976)

Vice President, Treasurer, and Clerk

Since 2010

Manager of Finance, Dunkin’ Brands (2008–2010); Senior Financial Analyst, Old Mutual Asset Management (2007–2008); Senior Financial Analyst, Putnam Investments (1999–2007)

Janet C. Smith (Born 1965)

Vice President, Principal Accounting Officer, and Assistant Treasurer

Since 2007

Director of Fund Administration Services, Putnam Investments and Putnam Management

Susan G. Malloy (Born 1957)

Vice President and Assistant Treasurer

Since 2007

Director of Accounting & Control Services, Putnam Investments and Putnam Management

James P. Pappas (Born 1953)

Vice President

Since 2004

Director of Trustee Relations, Putnam Investments and Putnam Management

Mark C. Trenchard (Born 1962)

Vice President and BSA Compliance Officer

Since 2002

Director of Operational Compliance, Putnam Investments and Putnam Retail Management

Nancy E. Florek (Born 1957)

Vice President, Director of Proxy Voting and Corporate Governance, Assistant Clerk, and Associate Treasurer

Since 2000

The principal occupations of the officers for the past five years have been with the employers as shown above, although in some cases they have held different positions with such employers. The address of each Officer is One Post Office Square, Boston, MA 02109.

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Putnam family of funds

The following is a list of Putnam’s open-end mutual funds offered to the public. Investors should carefully consider the investment objective, risks, charges, and expenses of a fund before investing. For a prospectus, or a summary prospectus if available, containing this and other information for any Putnam fund or product, contact your financial advisor or call Putnam Investor Services at 1-800-225-1581. Please read the prospectus carefully before investing.

Growth

Growth Opportunities Fund

International Growth Fund

Multi-Cap Growth Fund

Small Cap Growth Fund

Voyager Fund

Blend

Asia Pacific Equity Fund

Capital Opportunities Fund

Capital Spectrum Fund

Emerging Markets Equity Fund

Equity Spectrum Fund

Europe Equity Fund

Global Equity Fund

International Capital Opportunities Fund

International Equity Fund

Investors Fund

Low Volatility Equity Fund

Multi-Cap Core Fund

Research Fund

Strategic Volatility Equity Fund

Value

Convertible Securities Fund

Equity Income Fund

Global Dividend Fund

The Putnam Fund for Growth and Income

International Value Fund

Multi-Cap Value Fund

Small Cap Value Fund

Income

American Government Income Fund

Diversified Income Trust

Emerging Markets Income Fund

Floating Rate Income Fund

Global Income Trust

High Yield Advantage Fund

High Yield Trust

Income Fund

Money Market Fund*

Short Duration Income Fund

U.S. Government Income Trust

Tax-free Income

AMT-Free Municipal Fund

Intermediate-Term Municipal Income Fund

Short-Term Municipal Income Fund

Tax Exempt Income Fund

Tax Exempt Money Market Fund*

Tax-Free High Yield Fund

State tax-free income funds†:

Arizona, California, Massachusetts, Michigan, Minnesota, New Jersey, New York, Ohio, and Pennsylvania.

* An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund.

† Not available in all states.

High Yield Trust     75

Absolute Return

Absolute Return 100 Fund®

Absolute Return 300 Fund®

Absolute Return 500 Fund®

Absolute Return 700 Fund®

Global Sector

Global Consumer Fund

Global Energy Fund

Global Financials Fund

Global Health Care Fund

Global Industrials Fund

Global Natural Resources Fund

Global Sector Fund

Global Technology Fund

Global Telecommunications Fund

Global Utilities Fund

Asset Allocation

George Putnam Balanced Fund

Global Asset Allocation Funds — four investment portfolios that spread your money across a variety of stocks, bonds, and money market instruments.

Dynamic Asset Allocation Balanced Fund

Dynamic Asset Allocation Conservative Fund

Dynamic Asset Allocation Growth Fund

Dynamic Risk Allocation Fund

Retirement Income Lifestyle Funds — portfolios with managed allocations to stocks, bonds, and money market investments to generate retirement income.

Retirement Income Fund Lifestyle 1

Retirement Income Fund Lifestyle 2

Retirement Income Fund Lifestyle 3

RetirementReady® Funds — portfolios with adjusting allocations to stocks, bonds, and money market instruments, becoming more conservative over time.

RetirementReady® 2055 Fund

RetirementReady® 2050 Fund

RetirementReady® 2045 Fund

RetirementReady® 2040 Fund

RetirementReady® 2035 Fund

RetirementReady® 2030 Fund

RetirementReady® 2025 Fund

RetirementReady® 2020 Fund

RetirementReady® 2015 Fund

Check your account balances and the most recent month-end performance in the Individual Investors section
at putnam.com.

76     High Yield Trust

Fund information

Founded over 75 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.

Investment Manager

Putnam Investment
Management, LLC
One Post Office Square
Boston, MA 02109

Investment Sub-Manager

Putnam Investments Limited
57–59 St James’s Street
London, England SW1A 1LD

Marketing Services

Putnam Retail Management
One Post Office Square
Boston, MA 02109

Custodian

State Street Bank
and Trust Company

Legal Counsel

Ropes & Gray LLP

Independent Registered Public Accounting Firm

KPMG LLP

Trustees

Jameson A. Baxter, Chair
Liaquat Ahamed
Ravi Akhoury
Barbara M. Baumann
Charles B. Curtis
Robert J. Darretta
Katinka Domotorffy
John A. Hill
Paul L. Joskow
Kenneth R. Leibler
Robert E. Patterson
George Putnam, III
Robert L. Reynolds
W. Thomas Stephens

Officers

Robert L. Reynolds
President

Jonathan S. Horwitz
Executive Vice President,
Principal Executive Officer, and
Compliance Liaison

Steven D. Krichmar
Vice President and
Principal Financial Officer

Robert T. Burns
Vice President and
Chief Legal Officer

Robert R. Leveille
Vice President and
Chief Compliance Officer

Michael J. Higgins
Vice President, Treasurer,
and Clerk

Janet C. Smith
Vice President,
Principal Accounting Officer,
and Assistant Treasurer

Susan G. Malloy
Vice President and
Assistant Treasurer

James P. Pappas
Vice President

Mark C. Trenchard
Vice President and
BSA Compliance Officer

Nancy E. Florek
Vice President, Director of
Proxy Voting and Corporate
Governance, Assistant Clerk,
and Associate Treasurer

This report is for the information of shareholders of Putnam High Yield Trust. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.

Item 2. Code of Ethics:

(a) The fund’s principal executive, financial and accounting officers are employees of Putnam Investment Management, LLC, the Fund’s investment manager. As such they are subject to a comprehensive Code of Ethics adopted and administered by Putnam Investments which is designed to protect the interests of the firm and its clients. The Fund has adopted a Code of Ethics which incorporates the Code of Ethics of Putnam Investments with respect to all of its officers and Trustees who are employees of Putnam Investment Management, LLC. For this reason, the Fund has not adopted a separate code of ethics governing its principal executive, financial and accounting officers.

(c) In July 2013, the Code of Ethics of Putnam Investment Management, LLC was amended. The changes to the Code of Ethics were as follows: (i) eliminating the requirement for employees to hold their shares of Putnam mutual funds for specified periods of time, (ii) removing the requirement to preclear transactions in certain kinds of exchange-traded funds and exchange-traded notes, although reporting of all such instruments remains required; (iii) eliminating the excessive trading rule related to employee transactions in securities requiring preclearance under the Code; (iv) adding provisions related to monitoring of employee trading; (v) changing from a set number of shares to a set dollar value of stock of mid- and large-cap companies on the Restricted List that can be purchased or sold; (vi) adding a requirement starting in March 2014 for employees to generally use certain approved brokers that provide Putnam with an electronic feed of transactions and statements for their personal brokerage accounts; and (vii) certain other changes.

Item 3. Audit Committee Financial Expert:

The Funds’ Audit and Compliance Committee is comprised solely of Trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations implementing Section 407 of the Sarbanes-Oxley Act (the “Regulations”)). The Trustees believe that each of the members of the Audit and Compliance Committee also possess a combination of knowledge and experience with respect to financial accounting matters, as well as other attributes, that qualify them for service on the Committee. In addition, the Trustees have determined that each of Mr. Leibler, Mr. Hill, Mr. Darretta, and Ms. Baumann qualifies as an “audit committee financial expert” (as such term has been defined by the Regulations) based on their review of his or her pertinent experience and education. The SEC has stated, and the funds’ amended and restated agreement and Declaration of Trust provides, that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the Audit and Compliance Committee and the Board of Trustees in the absence of such designation or identification.

Item 4. Principal Accountant Fees and Services:

The following table presents fees billed in each of the last two fiscal years for services rendered to the fund by the fund’s independent auditor:

Fiscal year ended	Audit Fees	Audit-Related Fees	Tax Fees	All Other Fees
August 31, 2014	$79,206	$ —	$6,590	$ —
August 31, 2013	$77,467	$ —	$6,457	$ —

For the fiscal years ended August 31, 2014 and August 31, 2013, the fund’s independent auditor billed aggregate non-audit fees in the amounts of $6,590 and $ 6,457 respectively, to the fund, Putnam Management and any entity controlling, controlled by or under common control with Putnam Management that provides ongoing services to the fund.

Audit Fees represent fees billed for the fund’s last two fiscal years relating to the audit and review of the financial statements included in annual reports and registration statements, and other services that are normally provided in connection with statutory and regulatory filings or engagements.

Audit-Related Fees represent fees billed in the fund’s last two fiscal years for services traditionally performed by the fund’s auditor, including accounting consultation for proposed transactions or concerning financial accounting and reporting standards and other audit or attest services not required by statute or regulation.

Tax Fees represent fees billed in the fund’s last two fiscal years for tax compliance, tax planning and tax advice services. Tax planning and tax advice services include assistance with tax audits, employee benefit plans and requests for rulings or technical advice from taxing authorities.

Pre-Approval Policies of the Audit and Compliance Committee. The Audit and Compliance Committee of the Putnam funds has determined that, as a matter of policy, all work performed for the funds by the funds’ independent auditors will be pre-approved by the Committee itself and thus will generally not be subject to pre-approval procedures.

The Audit and Compliance Committee also has adopted a policy to pre-approve the engagement by Putnam Management and certain of its affiliates of the funds’ independent auditors, even in circumstances where pre-approval is not required by applicable law. Any such requests by Putnam Management or certain of its affiliates are typically submitted in writing to the Committee and explain, among other things, the nature of the proposed engagement, the estimated fees, and why this work should be performed by that particular audit firm as opposed to another one. In reviewing such requests, the Committee considers, among other things, whether the provision of such services by the audit firm are compatible with the independence of the audit firm.

The following table presents fees billed by the fund’s independent auditor for services required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.

Fiscal year ended	Audit-Related Fees	Tax Fees	All Other Fees	Total Non-Audit Fees
August 31, 2014	$ —	$ —	$ —	$ —
August 31, 2013	$ —	$ —	$ —	$ —

Item 5. Audit Committee of Listed Registrants

Not applicable

Item 6. Schedule of Investments:

The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.

Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:

Not applicable

Item 8. Portfolio Managers of Closed-End Investment Companies

Not Applicable

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:

Not applicable

Item 10. Submission of Matters to a Vote of Security Holders:

Not applicable

Item 11. Controls and Procedures:

(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) Changes in internal control over financial reporting: Not applicable

Item 12. Exhibits:

(a)(1) The Code of Ethics of The Putnam Funds, which incorporates the Code of Ethics of Putnam Investments, is filed herewith.

(a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith.

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 High Yield Trust

By (Signature and Title):

/s/Janet C. Smith
Janet C. Smith
Principal Accounting Officer

Date: October 28, 2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):

/s/Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer

Date: October 28, 2014

By (Signature and Title):

/s/Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer

Date: October 28, 2014