Lord Abbett
Quarterly Portfolio Holdings Report
Lord Abbett
Credit Opportunities Fund
For the period ended March 31, 2021
Schedule of Investments (unaudited)
March 31, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | Fair
Value | |
| LONG-TERM INVESTMENTS 96.11% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| ASSET-BACKED SECURITIES 16.20% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Automobiles 2.27% | | | | | | | | | | | | |
| Santander Consumer Auto Receivables Trust 2020-B† | | 7.03% | | 8/15/2028 | | $ | 4,000 | | | $ | 4,279,200 | |
| Santander Consumer Auto Receivables Trust 2021-A 2021-AA R† | | Zero Coupon | | 8/15/2028 | | | 33 | | | | 6,194,823 | (a) |
| Total | | | | | | | | | | | 10,474,023 | |
| | | | | | | | | | | | | |
| Credit Cards 1.45% | | | | | | | | | | | | |
| Continental Finance Credit Card ABS Master Trust 2020-1A C† | | 5.75% | | 12/15/2028 | | | 6,500 | | | | 6,675,712 | |
| | | | | | | | | | | | | |
| Other 12.48% | | | | | | | | | | | | |
| Ares XLVI CLO Ltd. 2017-46A E† | | 5.541% (3 Mo.
LIBOR + 5.30% | )# | 1/15/2030 | | | 250 | | | | 230,643 | |
| Ares XXXVII CLO Ltd. 2015-4A DR† | | 6.391% (3 Mo.
LIBOR + 6.15% | )# | 10/15/2030 | | | 500 | | | | 481,141 | |
| Bain Capital Credit CLO 2018-1A E† | | 5.568% (3 Mo.
LIBOR + 5.35% | )# | 4/23/2031 | | | 1,000 | | | | 910,730 | |
| Burnham Park Clo Ltd. 2016-1A ER† | | 5.624% (3 Mo.
LIBOR + 5.40% | )# | 10/20/2029 | | | 2,000 | | | | 1,857,667 | |
| Cedar Funding IX CLO Ltd. 2018-9A E† | | 5.574% (3 Mo.
LIBOR + 5.35% | )# | 4/20/2031 | | | 275 | | | | 252,125 | |
| Cedar Funding VIII Clo Ltd. 2017-8A E† | | 6.573% (3 Mo.
LIBOR + 6.35% | )# | 10/17/2030 | | | 2,750 | | | | 2,667,834 | |
| Dryden 45 Senior Loan Fund 2016-45A ER† | | 6.091% (3 Mo.
LIBOR + 5.85% | )# | 10/15/2030 | | | 2,000 | | | | 1,916,345 | |
| Dryden 65 CLO Ltd. 2018-65A E† | | 5.973% (3 Mo.
LIBOR + 5.75% | )# | 7/18/2030 | | | 3,000 | | | | 2,902,762 | |
| Fairstone Financial Issuance Trust I 2020-1A D†(b) | | 6.873% | | 10/20/2039 | | CAD | 6,570 | | | | 5,099,093 | (a) |
| Galaxy XVIII CLO Ltd. 2018-28A E† | | 6.241% (3 Mo.
LIBOR + 6.00% | )# | 7/15/2031 | | $ | 3,550 | | | | 3,442,402 | |
| Lending Funding Trust 2020-2 2020-2A D† | | 6.77% | | 4/21/2031 | | | 3,335 | | | | 3,708,668 | (a) |
| ME Funding LLC 2019-1 A2† | | 6.448% | | 7/30/2049 | | | 5,575 | | | | 5,809,142 | |
| Newtek Small Business Loan Trust 2017-1 B† | | 3.109% (1 Mo.
LIBOR + 3.00% | )# | 2/25/2043 | | | 58 | | | | 52,822 | (a) |
| OCP CLO Ltd. 2014-6A DR† | | 6.746% (3 Mo.
LIBOR + 6.52% | )# | 10/17/2030 | | | 1,000 | | | | 976,607 | |
| | See Notes to Schedule of Investments. | 1 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | | Fair
Value | |
| Other (continued) | | | | | | | | | | | | |
| Octagon Investment Partners 40 Ltd. 2019 1A E† | | 6.684% (3 Mo.
LIBOR + 6.46% | )# | 4/20/2031 | | | $ 5,700 | | | $ | 5,638,182 | |
| Pagaya AI Debt Selection Trust 2020-1 CERT† | | Zero Coupon | | 7/15/2027 | | | 2,000 | | | | 2,066,518 | (a) |
| Pagaya AI Debt Selection Trust 2021-1 2021-1 CERT† | | Zero Coupon | #(c) | 11/15/2027 | | | 2,154 | | | | 3,500,000 | (a) |
| SCF Equipment Leasing LLC 2021-1A E† | | 3.56% | | 8/20/2032 | | | 8,000 | | | | 7,904,246 | |
| Signal Peak CLO 5 Ltd. 2017-5A E† | | 5.868% (3 Mo.
LIBOR + 5.65% | )# | 4/25/2031 | | | 3,450 | | | | 3,210,679 | |
| TCI-Symphony CLO 2017-1 Ltd. 2017-1A E† | | 6.691% (3 Mo.
LIBOR + 6.45% | )# | 7/15/2030 | | | 5,189 | | | | 5,021,039 | |
| Total | | | | | | | | | | | 57,648,645 | |
| Total Asset-Backed Securities (cost $71,617,732) | | | | | | | | | | | 74,798,380 | |
| | | | | | | | | | | | | |
| | | | | | | | Shares | | | | | |
| | | | | | | | (000) | | | | | |
| | | | | | | | | | | | | |
| COMMON STOCKS 0.28% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Specialty Retail 0.26% | | | | | | | | | | | | |
| Chinos Intermediate | | | | | | | 10 | | | | 34,899 | |
| Chinos Intermediate | | | | | | | 101 | | | | 1,153,179 | |
| Total | | | | | | | | | | | 1,188,078 | |
| | | | | | | | | | | | | |
| Transportation: Infrastructure/Services 0.02% | | | | | | | | | | | | |
| ACBL Holdings Corp. | | | | | | | 4 | | | | 87,100 | (a) |
| Total Common Stocks (cost $1,314,356) | | | | | | | | | | | 1,275,178 | |
| | | | | | | | | | | | | |
| | | | | | | | Principal | | | | | |
| | | | | | | | Amount | | | | | |
| | | | | | | | (000) | | | | | |
| | | | | | | | | | | | | |
| CONVERTIBLE BONDS 13.56% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Air Transportation 1.09% | | | | | | | | | | | | |
| JetBlue Airways Corp.† | | 0.50% | | 4/1/2026 | | | $ 4,565 | | | | 5,038,847 | |
| | | | | | | | | | | | | |
| Energy: Exploration & Production 1.25% | | | | | | | | | | | | |
| Centennial Resource Production LLC | | 3.25% | | 4/1/2028 | | | 6,000 | | | | 5,767,800 | |
| | | | | | | | | | | | | |
| Integrated Energy 1.23% | | | | | | | | | | | | |
| Sunrun, Inc.† | | Zero Coupon | | 2/1/2026 | | | 6,283 | | | | 5,674,657 | |
| 2 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | | Fair
Value | |
| Pharmaceuticals 1.86% | | | | | | | | | | | | |
| Canopy Growth Corp.†(b) | | 4.25% | | 7/15/2023 | | CAD | 4,732 | | | $ | 4,292,576 | |
| Insmed, Inc. | | 1.75% | | 1/15/2025 | | $ | 3,835 | | | | 4,287,913 | |
| Total | | | | | | | | | | | 8,580,489 | |
| | | | | | | | | | | | | |
| Recreation & Travel 0.99% | | | | | | | | | | | | |
| Royal Caribbean Cruises Ltd.† | | 4.25% | | 6/15/2023 | | | 3,250 | | | | 4,584,125 | |
| | | | | | | | | | | | | |
| Software/Services 3.98% | | | | | | | | | | | | |
| Airbnb, Inc.† | | Zero Coupon | | 3/15/2026 | | | 5,000 | | | | 5,245,000 | |
| Booking Holdings, Inc. | | 0.90% | | 9/15/2021 | | | 3,480 | | | | 4,087,260 | |
| Five9, Inc.† | | 0.50% | | 6/1/2025 | | | 3,198 | | | | 4,285,320 | |
| Square, Inc.† | | Zero Coupon | | 5/1/2026 | | | 4,250 | | | | 4,757,450 | |
| Total | | | | | | | | | | | 18,375,030 | |
| | | | | | | | | | | | | |
| Support: Services 1.16% | | | | | | | | | | | | |
| Uber Technologies, Inc.† | | Zero Coupon | | 12/15/2025 | | | 5,083 | | | | 5,365,742 | |
| | | | | | | | | | | | | |
| Telecommunications: Wireline Integrated & Services 1.16% | | | | | | | | | | |
| 21Vianet Group, Inc. (China)†(d) | | Zero Coupon | | 2/1/2026 | | | 5,681 | | | | 5,360,023 | |
| | | | | | | | | | | | | |
| Transportation: Infrastructure/Services 0.84% | | | | | | | | | | | | |
| Scorpio Tankers, Inc.(Monaco)†(d) | | 3.00% | | 5/15/2025 | | | 3,921 | | | | 3,862,185 | |
| Total Convertible Bonds (cost $60,532,669) | | | | | | | | | | | 62,608,898 | |
| | | | | | | | | | | | | |
| CORPORATE BONDS 43.15% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Air Transportation 4.03% | | | | | | | | | | | | |
| American Airlines Group, Inc.† | | 3.75% | | 3/1/2025 | | | 8,250 | | | | 7,052,347 | |
| British Airways 2020-1 Class B Pass Through Trust (United Kingdom)†(d) | 8.375% | | 11/15/2028 | | | 4,916 | | | | 5,607,283 | |
| VistaJet Malta Finance plc/XO Management Holding, Inc. (Malta)†(d) | | 10.50% | | 6/1/2024 | | | 5,433 | | | | 5,935,552 | |
| Total | | | | | | | | | | | 18,595,182 | |
| | | | | | | | | | | | | |
| Auto Loans 1.12% | | | | | | | | | | | | |
| Mclaren Finance plc(b) | | 5.00% | | 8/1/2022 | | GBP | 3,831 | | | | 5,171,608 | |
| | | | | | | | | | | | | |
| Auto Parts: Original Equipment 1.46% | | | | | | | | | | | | |
| Tenneco, Inc. | | 5.00% | | 7/15/2026 | | $ | 7,150 | | | | 6,752,281 | |
| | | | | | | | | | | | | |
| Automakers 0.06% | | | | | | | | | | | | |
| Mclaren Finance plc†(b) | | 5.00% | | 8/1/2022 | | GBP | 200 | | | | 269,987 | |
| | See Notes to Schedule of Investments. | 3 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | | Fair
Value | |
| Building & Construction 0.90% | | | | | | | | | | | | |
| STL Holding Co. LLC† | | 7.50% | | 2/15/2026 | | $ | 4,000 | | | $ | 4,170,000 | |
| | | | | | | | | | | | | |
| Chemicals 1.23% | | | | | | | | | | | | |
| Tianqi Finco Co. Ltd. | | 3.75% | | 11/28/2022 | | | 6,750 | | | | 5,670,945 | |
| | | | | | | | | | | | | |
| Diversified Capital Goods 1.99% | | | | | | | | | | | | |
| General Electric Co. | | 3.514% (3 Mo.
LIBOR + 3.33% | )# | – | (e) | | 6,067 | | | | 5,740,899 | |
| Granite US Holdings Corp.† | | 11.00% | | 10/1/2027 | | | 3,062 | | | | 3,460,060 | |
| Total | | | | | | | | | | | 9,200,959 | |
| | | | | | | | | | | | | |
| Electric: Generation 1.26% | | | | | | | | | | | | |
| Talen Energy Supply LLC | | 6.50% | | 6/1/2025 | | | 7,250 | | | | 5,836,250 | |
| | | | | | | | | | | | | |
| Energy: Exploration & Production 8.23% | | | | | | | | | | | | |
| Berry Petroleum Co. LLC† | | 7.00% | | 2/15/2026 | | | 4,936 | | | | 4,784,835 | |
| Callon Petroleum Co. | | 6.375% | | 7/1/2026 | | | 3,250 | | | | 2,575,625 | |
| Callon Petroleum Co.† | | 9.00% | | 4/1/2025 | | | 6,000 | | | | 6,101,280 | |
| Centennial Resource Production LLC† | | 5.375% | | 1/15/2026 | | | 2,092 | | | | 1,844,882 | |
| Centennial Resource Production LLC† | | 6.875% | | 4/1/2027 | | | 5,718 | | | | 5,099,741 | |
| Laredo Petroleum, Inc. | | 10.125% | | 1/15/2028 | | | 6,182 | | | | 5,937,873 | |
| Matador Resources Co. | | 5.875% | | 9/15/2026 | | | 6,125 | | | | 5,971,875 | |
| SM Energy Co. | | 5.625% | | 6/1/2025 | | | 6,150 | | | | 5,701,573 | |
| Total | | | | | | | | | | | 38,017,684 | |
| | | | | | | | | | | | | |
| Gaming 2.54% | | | | | | | | | | | | |
| Buena Vista Gaming Authority† | | 13.00% | | 4/1/2023 | | | 4,898 | | | | 5,286,779 | |
| Full House Resorts, Inc.† | | 8.25% | | 2/15/2028 | | | 6,041 | | | | 6,450,580 | |
| Total | | | | | | | | | | | 11,737,359 | |
| | | | | | | | | | | | | |
| Gas Distribution 0.96% | | | | | | | | | | | | |
| Buckeye Partners LP | | 6.375% (3 Mo.
LIBOR + 4.02% | )# | 1/22/2078 | | | 5,532 | | | | 4,449,360 | |
| | | | | | | | | | | | | |
| Investments & Miscellaneous Financial Services 2.90% | | | | | | | | | | |
| Advisor Group Holdings, Inc.† | | 10.75% | | 8/1/2027 | | | 5,050 | | | | 5,666,428 | |
| Global Aircraft Leasing Co. Ltd. PIK 7.25%† | | 6.50% | | 9/15/2024 | | | 8,048 | | | | 7,703,322 | |
| Total | | | | | | | | | | | 13,369,750 | |
| 4 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | Fair
Value | |
| Media: Content 1.30% | | | | | | | | | | | | |
| Diamond Sports Group LLC/Diamond Sports Finance Co.† | | 5.375% | | 8/15/2026 | | $ | 4,250 | | | $ | 3,065,312 | |
| Diamond Sports Group LLC/Diamond Sports Finance Co.† | | 6.625% | | 8/15/2027 | | | 5,600 | | | | 2,919,000 | |
| Total | | | | | | | | | | | 5,984,312 | |
| | | | | | | | | | | | | |
| Media: Diversified 1.41% | | | | | | | | | | | | |
| National CineMedia LLC† | | 5.875% | | 4/15/2028 | | | 7,000 | | | | 6,527,500 | |
| | | | | | | | | | | | | |
| Oil Field Equipment & Services 4.02% | | | | | | | | | | | | |
| Nabors Industries, Inc. | | 5.75% | | 2/1/2025 | | | 3,000 | | | | 2,232,225 | |
| Nabors Industries, Inc.† | | 9.00% | | 2/1/2025 | | | 5,001 | | | | 5,151,030 | |
| Oceaneering International, Inc. | | 4.65% | | 11/15/2024 | | | 5,472 | | | | 5,291,452 | |
| Oceaneering International, Inc. | | 6.00% | | 2/1/2028 | | | 28 | | | | 26,839 | |
| Precision Drilling Corp. (Canada)†(d) | | 7.125% | | 1/15/2026 | | | 4,586 | | | | 4,461,421 | |
| Precision Drilling Corp. (Canada)(d) | | 7.75% | | 12/15/2023 | | | 1,414 | | | | 1,421,954 | |
| Total | | | | | | | | | | | 18,584,921 | |
| | | | | | | | | | | | | |
| Real Estate 1.24% | | | | | | | | | | | | |
| Vivion Investments Sarl(b) | | 3.00% | | 8/8/2024 | | EUR | 5,000 | | | | 5,721,897 | |
| | | | | | | | | | | | | |
| Real Estate Development & Management 0.83% | | | | | | | | | | | | |
| Kaisa Group Holdings Ltd. (China)(d) | | 9.375% | | 6/30/2024 | | $ | 3,968 | | | | 3,818,941 | |
| | | | | | | | | | | | | |
| Recreation & Travel 2.32% | | | | | | | | | | | | |
| Carnival Corp.† | | 7.625% | | 3/1/2026 | | | 1,750 | | | | 1,882,212 | |
| Carnival Corp.† | | 10.50% | | 2/1/2026 | | | 3,600 | | | | 4,239,000 | |
| eDreams ODIGEO SA(b) | | 5.50% | | 9/1/2023 | | EUR | 4,000 | | | | 4,581,270 | |
| Total | | | | | | | | | | | 10,702,482 | |
| | | | | | | | | | | | | |
| Software/Services 0.89% | | | | | | | | | | | | |
| Veritas US, Inc./Veritas Bermuda Ltd.† | | 10.50% | | 2/1/2024 | | $ | 4,000 | | | | 4,105,000 | |
| | | | | | | | | | | | | |
| Specialty Retail 2.14% | | | | | | | | | | | | |
| Party City Holdings, Inc.† | | 6.625% | | 8/1/2026 | | | 8,062 | | | | 7,034,095 | |
| Party City Holdings, Inc.† | | 8.75% | | 2/15/2026 | | | 500 | | | | 515,938 | |
| Signet UK Finance plc (United Kingdom)(d) | | 4.70% | | 6/15/2024 | | | 2,340 | | | | 2,326,299 | |
| Total | | | | | | | | | | | 9,876,332 | |
| | | | | | | | | | | | | |
| Support: Services 1.35% | | | | | | | | | | | | |
| Ahern Rentals, Inc.† | | 7.375% | | 5/15/2023 | | | 4,369 | | | | 3,945,753 | |
| Promontoria Holding 264 BV(b) | | 6.75% | | 8/15/2023 | | EUR | 2,000 | | | | 2,269,468 | |
| Total | | | | | | | | | | | 6,215,221 | |
| | See Notes to Schedule of Investments. | 5 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | Fair
Value | |
| Transportation: Infrastructure/Services 0.97% | | | | | | | | | | |
| Promontoria Holding 264 BV†(b) | | 6.75% | | 8/15/2023 | | EUR | 3,960 | | | $ | 4,493,546 | |
| Total Corporate Bonds (cost $183,869,648) | | | | | | | | | | | 199,271,517 | |
| | | | | | | | | | | | | |
| FLOATING RATE LOANS(f) 12.51% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Aerospace/Defense 0.00% | | | | | | | | | | | | |
| Alloy Finco Limited USD Holdco Term Loan PIK 13.50% (Jersey)(d) | | 0.50% | | 3/6/2025 | | $ | 19 | | | | 11,951 | (g) |
| | | | | | | | | | | | | |
| Beverages 1.66% | | | | | | | | | | | | |
| Miller’s Ale House, Inc. 2018 Term Loan | | 4.856% - 7.00% (1 Mo.
LIBOR + 4.75%)
(Prime + 3.75%) | | 5/30/2025 | | | 7,995 | | | | 7,642,052 | |
| | | | | | | | | | | | | |
| Entertainment 0.63% | | | | | | | | | | | | |
| ECL Entertainment, LLC Term Loan | | – | (h) | 3/31/2028 | | | 2,934 | | | | 2,905,041 | |
| | | | | | | | | | | | | |
| Gaming 1.68% | | | | | | | | | | | | |
| Spectacle Gary Holdings LLC Delayed Draw Term Loan | | 11.00% (3 Mo.
LIBOR + 9.00%) | | 12/23/2025 | | | 480 | | | | 525,429 | |
| Spectacle Gary Holdings LLC Term Loan B | | 11.00% (3 Mo.
LIBOR + 9.00%) | | 12/23/2025 | | | 6,622 | | | | 7,250,938 | |
| Total | | | | | | | | | | | 7,776,367 | |
| | | | | | | | | | | | | |
| Health Services 0.90% | | | | | | | | | | | | |
| Wellpath Holdings, Inc. 2018 1st Lien Term Loan | | 5.609% (1 Mo.
LIBOR + 5.50%) | | 10/1/2025 | | | 4,200 | | | | 4,156,360 | |
| | | | | | | | | | | | | |
| Metals/Mining (Excluding Steel) 2.31% | | | | | | | | | | | | |
| Alpha Metallurgical Resources, Inc. 2019 Term Loan | | – | (h) | 6/14/2024 | | | 13,000 | | | | 10,670,790 | |
| | | | | | | | | | | | | |
| Oil Field Equipment & Services 0.95% | | | | | | | | | | | | |
| Ulterra Drilling Technologies, LP Term Loan B | | 5.359% (1 Mo.
LIBOR + 5.25%) | | 11/26/2025 | | | 4,994 | | | | 4,394,906 | |
| | | | | | | | | | | | | |
| Oil Refining & Marketing 0.85% | | | | | | | | | | | | |
| CITGO Holding Inc. 2019 Term Loan B | | 8.00% (3 Mo.
LIBOR + 7.00%) | | 8/1/2023 | | | 4,079 | | | | 3,934,529 | |
| | | | | | | | | | | | | |
| Pharmaceuticals 0.85% | | | | | | | | | | | | |
| Canopy Growth CorporationTerm Loan (Canada)(d) | | – | (h) | 3/18/2026 | | | 3,663 | | | | 3,910,281 | |
| 6 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | Fair
Value | |
| Recreation & Travel 0.22% | | | | | | | | | | | | |
| United PF Holdings, LLC 2019 2nd Lien Term Loan | | 8.703% (3 Mo.
LIBOR + 8.50%) | | 12/30/2027 | | $ | 1,000 | | | $ | 1,010,000 | (g) |
| | | | | | | | | | | | | |
| Specialty Retail 0.05% | | | | | | | | | | | | |
| Chinos Intermediate Holdings A, Inc. Exit Term Loan | | 11.00% (2 Mo.
LIBOR + 10.00%) | | 9/10/2027 | | | 233 | | | | 244,369 | |
| | | | | | | | | | | | | |
| Steel Producers/Products 0.16% | | | | | | | | | | | | |
| Jindal Steel and Power Limited Term Loan (india)(d) | | 3.95% (3 Mo.
LIBOR + 2.95%) | | 3/31/2022 | | | 784 | | | | 738,260 | |
| | | | | | | | | | | | | |
| Support: Services 2.25% | | | | | | | | | | | | |
| Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan | | 8.484% (3 Mo.
LIBOR + 8.25%) | | 4/10/2026 | | | 4,430 | | | | 4,504,974 | |
| KUEHG Corp. 2017 2nd Lien Term Loan | | 9.25% (3 Mo.
LIBOR + 8.25%) | | 8/22/2025 | | | 6,090 | | | | 5,884,463 | |
| Total | | | | | | | | | | | 10,389,437 | |
| Total Floating Rate Loans (cost $56,534,676) | | | | | | | | | | | 57,784,343 | |
| | | | | | | | | | | | | |
| FOREIGN GOVERNMENT OBLIGATION 0.94% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Sri Lanka | | | | | | | | | | | | |
Republic of Sri Lanka†(d)
(cost $4,098,499) | | 5.875% | | 7/25/2022 | | | 5,500 | | | | 4,331,250 | |
| | | | | | | | | | | | | |
| NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 9.26% | | | | | | | | | | | |
| Bancorp Commercial Mortgage Trust 2019-CRE6 G† | | 8.456% (1 Mo.
LIBOR + 8.35%) | # | 9/15/2036 | | | 1,000 | | | | 958,191 | |
| BX Trust 2018-GW MZ† | | 5.594% (1 Mo.
LIBOR + 5.49%) | # | 5/15/2037 | | | 4,000 | | | | 3,710,611 | (a) |
| CF Trust 2019-BOSS B1A† | | 13.00% (1 Mo.
LIBOR + 11.50%) | # | 12/15/2021 | | | 1,100 | | | | 772,789 | (a) |
| Citigroup Commercial Mortgage Trust 2016-P3 D† | | 2.804% | #(c) | 4/15/2049 | | | 5,000 | | | | 3,546,243 | |
| Commercial Mortgage Pass-Through Certificates 2015-DC1 D† | | 4.308% | #(c) | 2/10/2048 | | | 5,000 | | | | 3,555,858 | |
| GS Mortgage Securities Corp. Trust 2021-RENT G† | | 5.811% (1 Mo.
LIBOR + 5.70%) | # | 11/21/2023 | | | 8,300 | | | | 8,340,238 | |
| | See Notes to Schedule of Investments. | 7 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | Fair
Value | |
| NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | |
| GS Mortgage Securities Trust 2013-GC12 E† | | 3.25% | | 6/10/2046 | | $ | 5,400 | | | $ | 4,281,899 | |
| JP Morgan Chase Commercial Mortgage Securities Trust 2021-1440† | | 4.956% (1 Mo.
LIBOR + 4.85%) | # | 3/15/2036 | | | 6,025 | | | | 6,052,357 | |
| JPMorgan Chase Commercial Mortgage Securities Trust | | 0.413% | | 9/15/2029 | | | 85,464 | | | | 128 | (i) |
| JPMorgan Chase Commercial Mortgage Securities Trust | | 11.00% | | 9/15/2029 | | | 850 | | | | 766,289 | (a) |
| JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY D† | | 3.805% | #(c) | 6/10/2027 | | | 615 | | | | 91,340 | |
| JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI E† | | 4.009% | #(c) | 10/5/2031 | | | 6,694 | | | | 6,487,537 | |
| Laurel Road Prime Student Loan Trust 2019-A R† | | Zero Coupon | | 10/25/2048 | | | 8,568 | | | | 1,046,016 | |
| Natixis Commercial Mortgage Securities Trust 2019-1776 XBCP† | | Zero Coupon | #(c) | 10/15/2036 | | | 114,352 | | | | 50,315 | |
| Palisades Center Trust 2016-PLSD A† | | 2.713% | | 4/13/2033 | | | 3,200 | | | | 3,004,343 | |
| Palisades Center Trust 2016-PLSD D† | | 4.737% | | 4/13/2033 | | | 225 | | | | 108,000 | |
| Total Non-Agency Commercial Mortgage-Backed Securities (cost $40,240,638) | | | | | | | | | 42,772,154 | |
| | | Dividend
Rate | | | | Shares
(000) | | | | |
| PREFERRED STOCKS 0.21% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Transportation: Infrastructure/Services | | | | | | | | | | | | |
| ACBL Holdings Corp. Series A | | Zero Coupon | | | | | 16 | | | | 445,610 | (i) |
| ACBL Holdings Corp. Series B | | Zero Coupon | | | | | 16 | | | | 548,240 | (i) |
| Total Preferred Stocks (cost $802,375) | | | | | | | | | | | 993,850 | |
| Total Long-Term Investments (cost $419,010,593) | | | | | | | | | | | 443,835,570 | |
| | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | | | |
| | | | | | | | | | | | | |
| SHORT-TERM INVESTMENTS 7.24% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| COMMERCIAL PAPER 0.19% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Automotive | | | | | | | | | | | | |
General Motors Financial Co., Inc.
(cost $902,000) | | 0.284% | | 4/1/2021 | | | $902 | | | | 902,000 | |
| 8 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | Fair
Value | |
| REPURCHASE AGREEMENT 7.05% | | | | | | | | | | | | |
Repurchase Agreement dated 3/31/2021, 0.00% due 4/1/2021 with Fixed Income Clearing Corp. collateralized by $28,022,800 of U.S. Treasury Note at 0.75% due 03/31/2026; $4,780,100 of U.S. Treasury Bond at 3.00% due 11/15/2045 value: $33,226,378;
proceeds: $32,574,866 (cost $32,574,866) | | | | | | $ | 32,575 | | | $ | 32,574,866 | |
| Total Short-Term Investments (cost $33,476,866) | | | | | | | | | | | 33,476,866 | |
| Total Investments in Securities 103.35% (cost $452,487,459) | | | | | | | | | | | 477,312,436 | |
| Liabilities in Excess of Other Assets(j) (3.35%) | | | | | | | | | | | (15,477,782 | ) |
| Net Assets 100.00% | | | | | | | | | | $ | 461,834,654 | |
| CAD | | Canadian dollar. |
| EUR | | Euro. |
| GBP | | British pound. |
| LIBOR | | London Interbank Offered Rate. |
| PIK | | Payment-in-kind. |
| † | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. At March 31, 2021, the total value of Rule 144A securities was $287,374,178, which represents 62.22% of net assets. |
| # | | Variable rate security. The interest rate represents the rate in effect at March 31, 2021. |
| (a) | | Level 3 Investment as described in Note 2(b) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. |
| (b) | | Investment in non-U.S. dollar denominated securities. |
| (c) | | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. |
| (d) | | Foreign security traded in U.S. dollars. |
| (e) | | Security is perpetual in nature and has no stated maturity. |
| (f) | | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at March 31, 2021. |
| (g) | | Level 3 Investment as described in Note 2(b) in the Notes to Financials. Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation. |
| (h) | | Interest rate to be determined. |
| (i) | | Level 3 Investment as described in Note 2(b) in the Notes to Financials. Security fair valued by the Pricing Committee. |
| (j) | | Liabilities in Excess of Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts and swap contracts as follows: |
| | See Notes to Schedule of Investments. | 9 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Credit Default Swaps on Indexes - Sell Protection at March 31, 2021(1):
Referenced
Index* | | Swap
Counterparty | | Fund
Receives
(Quarterly | ) | Termination
Date | | Notional
Amount | | Notional
Value | | Payments
Upfront(2) | | Unrealized
Appreciation(3) | | Credit
Default
Swap
Agreements
Payable at
Fair Value(4) |
| Markit CMBX NA.BBB-9 | | Citibank | | 3.00% | | 9/17/2058 | | $5,375,000 | | $4,782,067 | | $(1,194,432) | | $601,499 | | $(592,933) |
| * | | The Referenced Index is for the Credit Default Swaps on Indexes, which is comprised of a basket of commercial mortgage-backed securities. |
| (1) | | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. |
| (2) | | Upfront payments received are presented net of amortization. |
| (3) | | Total unrealized appreciation on Credit Default Swaps in Indexes amounted to $601,499. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. |
| (4) | | Includes upfront payments received. |
Open Forward Foreign Currency Exchange Contracts at March 31, 2021:
| Forward | | | | | | | | | | | | | | | |
| Foreign | | | | | | | | | | U.S. $ | | | | | |
| Currency | | | | | | | | | | Cost on | | U.S. $ | | | |
| Exchange | | Transaction | | | | Expiration | | Foreign | | Origination | | Current | | Unrealized | |
| Contracts | | Type | | Counterparty | | Date | | Currency | | Date | | Value | | Appreciation | |
| Canadian dollar | | Buy | | Bank of America | | 4/20/2021 | | 479,000 | | $376,266 | | $381,175 | | | $ | 4,909 | |
| Canadian dollar | | Buy | | Toronto Dominion Bank | | 4/20/2021 | | 1,100,000 | | 873,864 | | 875,350 | | | | 1,486 | |
| British pound | | Sell | | State Street Bank and Trust | | 6/8/2021 | | 3,932,000 | | 5,463,444 | | 5,421,655 | | | | 41,789 | |
| Euro | | Sell | | Bank of America | | 6/4/2021 | | 21,425,000 | | 25,956,816 | | 25,156,076 | | | | 800,740 | |
| Euro | | Sell | | State Street Bank and Trust | | 6/4/2021 | | 490,000 | | 587,759 | | 575,332 | | | | 12,427 | |
| Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | $ | 861,351 | |
| | | | | | | | | | | | | | | | | |
| Forward | | | | | | | | | | | | | | | | |
| Foreign | | | | | | | | | | U.S. $ | | | | | | |
| Currency | | | | | | | | | | Cost on | | U.S. $ | | | | |
| Exchange | | Transaction | | | | Expiration | | Foreign | | Origination | | Current | | Unrealized | |
| Contracts | | Type | | Counterparty | | Date | | Currency | | Date | | Value | | Depreciation | |
| Euro | | Buy | | Barclays Bank plc | | 6/4/2021 | | 4,130,000 | | $4,923,433 | | $4,849,223 | | | $ | (74,210 | ) |
| Euro | | Buy | | State Street Bank and Trust | | 6/4/2021 | | 2,994,000 | | 3,570,854 | | 3,515,393 | | | | (55,461 | ) |
| Canadian dollar | | Sell | | Bank of America | | 4/20/2021 | | 1,303,000 | | 1,026,084 | | 1,036,892 | | | | (10,808 | ) |
| Canadian dollar | | Sell | | Morgan Stanley | | 4/20/2021 | | 12,132,000 | | 9,531,516 | | 9,654,310 | | | | (122,794 | ) |
| Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | $ | (263,273 | ) |
| 10 | See Notes to Schedule of Investments. | |
Schedule of Investments (unaudited)(continued)
March 31, 2021
The following is a summary of the inputs used as of March 31, 2021 in valuing the Fund’s investments carried at fair value(1):
| Investment Type(2) | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Long-Term Investments | | | | | | | | | | | | | | | | |
| Asset-Backed Securities | | | | | | | | | | | | | | | | |
| Automobiles | | $ | – | | | $ | 4,279,200 | | | $ | 6,194,823 | | | $ | 10,474,023 | |
| Other | | | – | | | | 43,221,544 | | | | 14,427,101 | | | | 57,648,645 | |
| Remaining Industries | | | – | | | | 6,675,712 | | | | – | | | | 6,675,712 | |
| Common Stocks | | | | | | | | | | | | | | | | |
| Transportation: Infrastructure/Services | | | – | | | | – | | | | 87,100 | | | | 87,100 | |
| Remaining Industries | | | – | | | | 1,188,078 | | | | – | | | | 1,188,078 | |
| Convertible Bonds | | | – | | | | 62584,195 | | | | – | | | | 62584,195 | |
| Corporate Bonds | | | – | | | | 199,296,220 | | | | – | | | | 199,296,220 | |
| Floating Rate Loans | | | | | | | | | | | | | | | | |
| Aerospace/Defense | | | – | | | | – | | | | 11,951 | | | | 11,951 | |
| Recreation & Travel | | | – | | | | – | | | | 1,010,000 | | | | 1,010,000 | |
| Remaining Industries | | | – | | | | 56,762,392 | | | | – | | | | 56,762,392 | |
| Foreign Government Obligation | | | – | | | | 4,331,250 | | | | – | | | | 4,331,250 | |
| Non-Agency Commercial Mortgage-Backed Securities | | | – | | | | 37,522,337 | | | | 5,249,817 | | | | 42,772,154 | |
| Preferred Stocks | | | – | | | | – | | | | 993,850 | | | | 993,850 | |
| Short-Term Investments | | | | | | | | | | | | | | | | |
| Commercial Paper | | | – | | | | 902,000 | | | | – | | | | 902,000 | |
| Repurchase Agreement | | | – | | | | 32,574,866 | | | | – | | | | 32,574,866 | |
| Total | | $ | – | | | $ | 449,337,794 | | | $ | 27,974,642 | | | $ | 477,312,436 | |
| Other Financial Instruments | | | | | | | | | | | | | | | | |
| Credit Default Swap Contracts | | | | | | | | | | | | | | | | |
| Assets | | $ | – | | | $ | – | | | $ | – | | | $ | – | |
| Liabilities | | | – | | | | (592,933 | ) | | | – | | | | (592,933 | ) |
| Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | |
| Assets | | | – | | | | 861,351 | | | | – | | | | 861,351 | |
| Liabilities | | | – | | | | (263,273 | ) | | | – | | | | (263,273 | ) |
| Total | | $ | – | | | $ | 5,145 | | | $ | – | | | $ | 5,145 | |
| (1) | | Refer to Note 2(b) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. Each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. |
| | See Notes to Schedule of Investments. | 11 |
Schedule of Investments (unaudited)(concluded)
March 31, 2021
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the period in relation to the Fund’s net assets.
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
| | | | | | | | | | | | Non-Agency | | | | |
| | | | | | | | | | | | Commercial | | | | |
| | | | | | | | | | | | Mortgage- | | | | |
| | | Asset-Backed | | | Common | | | Floating | | | Backed | | | Preferred | |
| Investment Type | | Securities | | | Stocks | | | Rate Loans | | | Securities | | | Stocks | |
| Balance as of January 1, 2021 | | $ | 7,639,394 | | | $ | 87,100 | | | $ | 9,145,445 | | | $ | 1,694,199 | | | $ | 993,850 | |
| Accrued Discounts (Premiums) | | | (1,874 | ) | | | – | | | | 7,618 | | | | (12,873 | ) | | | – | |
| Realized Gain (Loss) | | | 7,498 | | | | – | | | | – | | | | – | | | | – | |
| Change in Unrealized Appreciation (Depreciation) | | | 164,811 | | | | – | | | | 125,057 | | | | (88,580 | ) | | | – | |
| Purchases | | | 9,518,250 | | | | – | | | | 19,276 | | | | – | | | | – | |
| Sales | | | (124,224 | ) | | | – | | | | – | | | | – | | | | – | |
| Transfers into Level 3 | | | 3,418,069 | | | | – | | | | – | | | | 3,657,071 | | | | – | |
| Transfers out of Level 3 | | | – | | | | – | | | | (8,275,445 | ) | | | – | | | | – | |
| Balance as of March 31, 2021 | | $ | 20,621,924 | | | $ | 87,100 | | | $ | 1,021,951 | | | $ | 5,249,817 | | | $ | 993,850 | |
| Change in unrealized appreciation/depreciation for the period ended March 31, 2021, related to Level 3 investments held at March 31, 2021 | | $ | 170,852 | | | $ | – | | | $ | 125,057 | | | $ | (88,580 | ) | | $ | – | |
| 12 | See Notes to Schedule of Investments. | |
Notes to Schedule of Investments (unaudited)
Lord Abbett Credit Opportunities Fund (the “Fund”) is registered under the Investment Company Act of 1940, as amended, as a non-diversified, closed-end management investment company that continuously offers its common shares (the “Shares”) and is operated as an interval fund. The Fund was organized as a Delaware statutory trust on September 18, 2018. The Fund had a sale to Lord Abbett and Co. LLC (Lord Abbett) of 10,000 shares of common stock for $100,000 ($10.00 per share). The Fund commenced operations on February 15, 2019.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
| (a) | Investment Valuation–Under procedures approved by the Fund’s Board of Directors (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. |
| | |
| | Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. The Fund may utilize an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked prices. Fixed income securities are valued based on evaluated prices supplied by independent pricing services, which reflect broker/dealer supplied valuations and the independent pricing services’ own electronic data processing techniques. Floating rate loans are valued at the average of bid and ask quotations obtained from dealers in loans on the basis of prices supplied by independent pricing services. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Exchange traded options and futures contracts are valued at the last quoted sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available. |
| | |
| | Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values, yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and may employ techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. |
| | |
| | Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
13
Notes to Schedule of Investments (unaudited)(concluded)
| (b) | Fair Value Measurements– Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk - for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below: |
| | • | Level 1 – | unadjusted quoted prices in active markets for identical investments; |
| | | | |
| | • | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and |
| | | | |
| | • | Level 3 – | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
A summary of inputs used in valuing the Fund’s investments and other financial instruments as of March 31, 2021 and, if applicable, Level 3 rollforwards for the period then ended is included in the Fund’s Schedule of Investments.
Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
| 3. | FEDERAL TAX INFORMATION |
It is the policy of the Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s filed U.S. federal tax returns remains open generally three years after the filing of the tax return. The statutes of limitations on the Fund’s, state and local tax returns may remain open for an additional year depending upon the jurisdiction.
14
QPHR-CREDIT-1Q
(3/21)
