Lord Abbett
Quarterly Portfolio Holdings Report
Lord Abbett
Credit Opportunities Fund
For the period ended September 30, 2021
Schedule of Investments (unaudited)
September 30, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | Fair
Value | |
| LONG-TERM INVESTMENTS 94.26% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| ASSET-BACKED SECURITIES 16.46% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Automobiles 3.36% | | | | | | | | | | | | |
| Carvana Auto Receivables Trust 2021-N1 R† | | Zero Coupon | | 1/10/2028 | | $ | 10 | | | $ | 5,275,618 | (a) |
| Flagship Credit Auto Trust 2020 4 R† | | Zero Coupon | | 7/17/2028 | | | 18 | | | | 8,627,870 | (a) |
| Santander Consumer Auto Receivables Trust 2020-BA F† | | 7.03% | | 8/15/2028 | | | 4,000 | | | | 4,413,041 | |
| Tricolor Auto Securitization Trust 2021-1A F† | | 5.08% | | 5/15/2028 | | | 5,250 | | | | 5,243,545 | |
| Total | | | | | | | | | | | 23,560,074 | |
| | | | | | | | | | | | | |
| Credit Card 1.52% | | | | | | | | | | | | |
| Continental Finance Credit Card ABS Master Trust 2020-1A C† | | 5.75% | | 12/15/2028 | | | 6,500 | | | | 6,654,291 | |
| Genesis Sales Finance Master Trust 2021-AA F† | | 5.59% | | 12/21/2026 | | | 4,000 | | | | 3,995,909 | |
| Total | | | | | | | | | | | 10,650,200 | |
| | | | | | | | | | | | | |
| Others 11.44% | | | | | | | | | | | | |
| Ares XLVI CLO Ltd. 2017-46A E† | | 5.426% (3 Mo.
LIBOR + 5.30%) | # | 1/15/2030 | | | 250 | | | | 241,040 | |
| Ares XXXVII CLO Ltd. 2015-4A DR† | | 6.276% (3 Mo.
LIBOR + 6.15%) | # | 10/15/2030 | | | 500 | | | | 495,165 | |
| Avant Loans Funding Trust 2021-REV1 E† | | 6.41% | | 7/15/2030 | | | 3,931 | | | | 3,962,222 | |
| Bain Capital Credit CLO 2018-1A E† | | 5.488% (3 Mo.
LIBOR + 5.35%) | # | 4/23/2031 | | | 1,000 | | | | 956,111 | |
| Burnham Park Clo Ltd. 2016-1A ER† | | 5.534% (3 Mo.
LIBOR + 5.40%) | # | 10/20/2029 | | | 2,000 | | | | 1,954,379 | |
| Cedar Funding IX CLO Ltd. 2018-9A E† | | 5.484% (3 Mo.
LIBOR + 5.35%) | # | 4/20/2031 | | | 275 | | | | 270,046 | |
| Dryden 45 Senior Loan Fund 2016-45A ER† | | 5.976% (3 Mo.
LIBOR + 5.85%) | # | 10/15/2030 | | | 7,763 | | | | 7,724,944 | |
| Dryden 65 CLO Ltd. 2018-65A E† | | 5.884% (3 Mo.
LIBOR + 5.75%) | # | 7/18/2030 | | | 3,000 | | | | 2,970,000 | |
| Encina Equipment Finance LLC 2021-1A E† | | 4.36% | | 3/15/2029 | | | 3,733 | | | | 3,808,912 | |
| Fairstone Financial Issuance Trust I 2020-1A D†(b) | | 6.873% | | 10/20/2039 | | CAD | 6,570 | | | | 5,567,567 | |
| Galaxy XVIII CLO Ltd. 2018-28A E† | | 6.126% (3 Mo.
LIBOR + 6.00%) | # | 7/15/2031 | | $ | 3,550 | | | | 3,518,442 | |
| Galaxy XXVI CLO Ltd. 2018-26A E† | | 5.981% (3 Mo.
LIBOR + 5.85%) | # | 11/22/2031 | | | 4,400 | | | | 4,323,000 | |
| Lending Funding Trust 2020-2A D† | | 6.77% | | 4/21/2031 | | | 3,335 | | | | 3,712,743 | |
| Lendmark Funding Trust 2021-1A D† | | 5.05% | | 11/20/2031 | | | 3,500 | | | | 3,559,793 | |
| | See Notes to Schedule of Investments. | 1 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | Fair
Value | |
| Other (continued) | | | | | | | | | | | | |
| ME Funding LLC 2019-1 A2† | | 6.448% | | 7/30/2049 | | $ | 2,600 | | | $ | 2,755,116 | |
| Newtek Small Business Loan Trust 2017-1 B† | | 3.086% (1 Mo.
LIBOR + 3.00%) | # | 2/25/2043 | | | 49 | | | | 49,327 | |
| OCP CLO Ltd. 2014-6A DR† | | 6.654% (3 Mo.
LIBOR + 6.52%) | # | 10/17/2030 | | | 1,000 | | | | 1,003,720 | |
| Octagon Investment Partners 37 Ltd. 2018-2A D† | | 5.525% (3 Mo.
LIBOR + 5.40%) | # | 7/25/2030 | | | 2,420 | | | | 2,367,170 | |
| Pagaya AI Debt Selection Trust 2020-1 CERT† | | Zero Coupon | | 7/15/2027 | | | 2,000 | | | | 1,589,280 | (a) |
| Pagaya AI Debt Selection Trust 2021-1 CERT† | | Zero Coupon | # | 11/15/2027 | | | 2,154 | | | | 4,714,976 | (a) |
| Palmer Square CLO Ltd. 2014-1A DR2† | | 5.834% (3 Mo.
LIBOR + 5.70%) | # | 1/17/2031 | | | 4,900 | | | | 4,896,272 | |
| Regatta XIV Funding Ltd. 2018-3A E† | | 6.075% (3 Mo.
LIBOR + 5.95%) | # | 10/25/2031 | | | 3,400 | | | | 3,320,886 | |
| SCF Equipment Leasing LLC 2021-1A E† | | 3.56% | | 8/20/2032 | | | 8,000 | | | | 7,947,018 | |
| Signal Peak CLO Ltd. 2018-5A E† | | 5.775% (3 Mo.
LIBOR + 5.65%) | # | 4/25/2031 | | | 3,450 | | | | 3,400,887 | |
| TCI-Symphony CLO Ltd. 2017-1A E† | | 6.576% (3 Mo.
LIBOR + 6.45%) | # | 7/15/2030 | | | 5,189 | | | | 5,215,337 | |
| Total | | | | | | | | | | | 80,324,353 | |
| | | | | | | | | | | | | |
| Student Loan 0.14% | | | | | | | | | | | | |
| Laurel Road Prime Student Loan Trust 2019-A R† | | Zero Coupon | | 10/25/2048 | | | 5,923 | | | | 986,833 | |
| Total Asset-Backed Securities (cost $112,025,873) | | | | | | | | | | | 115,521,460 | |
| | | | | | | | | | | | |
| | | | | | | Shares
(000) | | | | | |
| | | | | | | | | | | | | |
| COMMON STOCKS 0.28% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Specialty Retail 0.26% | | | | | | | | | | | | |
| Chinos Intermediate | | | | | | | 101 | | | | 1,750,916 | (a) |
| Chinos Intermediate | | | | | | | 10 | | | | 78,856 | (a) |
| Total | | | | | | | | | | | 1,829,772 | |
| | | | | | | | | | | | | |
| Transportation Infrastructure 0.02% | | | | | | | | | | | | |
| ACBL Holdings Corp. | | | | | | | 4 | | | | 109,420 | |
| Total Common Stocks (cost $1,314,356) | | | | | | | | | | | 1,939,192 | |
| 2 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | Fair
Value | |
| CONVERTIBLE BONDS 8.88% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Airlines 0.98% | | | | | | | | | | | | |
| JetBlue Airways Corp.† | | 0.50% | | 4/1/2026 | | $ | 6,944 | | | $ | 6,838,757 | |
| | | | | | | | | | | | | |
| Biotechnology 0.57% | | | | | | | | | | | | |
| Insmed, Inc. | | 1.75% | | 1/15/2025 | | | 3,835 | | | | 3,986,558 | |
| | | | | | | | | | | | | |
| Energy-Alternate Sources 0.59% | | | | | | | | | | | | |
| SunPower Corp. | | 4.00% | | 1/15/2023 | | | 1,600 | | | | 1,981,862 | |
| Sunrun, Inc.† | | Zero Coupon | | 2/1/2026 | | | 2,500 | | | | 2,141,929 | |
| Total | | | | | | | | | | | 4,123,791 | |
| | | | | | | | | | | | | |
| Internet 3.41% | | | | | | | | | | | | |
| 21Vianet Group, Inc. (China)†(c) | | Zero Coupon | | 2/1/2026 | | | 5,681 | | | | 4,735,113 | |
| Airbnb, Inc.† | | Zero Coupon | | 3/15/2026 | | | 5,000 | | | | 4,925,000 | |
| iQIYI, Inc. (China)(c) | | 2.00% | | 4/1/2025 | | | 10,550 | | | | 9,326,424 | |
| Uber Technologies, Inc.† | | Zero Coupon | | 12/15/2025 | | | 5,083 | | | | 4,969,296 | |
| Total | | | | | | | | | | | 23,955,833 | |
| | | | | | | | | | | | | |
| Leisure Time 0.70% | | | | | | | | | | | | |
| Royal Caribbean Cruises Ltd. | | 4.25% | | 6/15/2023 | | | 3,500 | | | | 4,935,000 | |
| | | | | | | | | | | | | |
| Oil & Gas 0.90% | | | | | | | | | | | | |
| Centennial Resource Production LLC | | 3.25% | | 4/1/2028 | | | 4,750 | | | | 6,273,771 | |
| | | | | | | | | | | | | |
| Pharmaceuticals 0.51% | | | | | | | | | | | | |
| Canopy Growth Corp.†(b) | | 4.25% | | 7/15/2023 | | CAD | 4,732 | | | | 3,605,227 | |
| | | | | | | | | | | | | |
| Transportation 0.96% | | | | | | | | | | | | |
| Scorpio Tankers, Inc. (Monaco)†(c) | | 3.00% | | 5/15/2025 | | $ | 6,766 | | | | 6,726,722 | |
| | | | | | | | | | | | | |
| Trucking & Leasing 0.26% | | | | | | | | | | | | |
| Greenbrier Cos, Inc. (The)† | | 2.875% | | 4/15/2028 | | | 1,750 | | | | 1,830,500 | |
| Total Convertible Bonds (cost $62,153,733) | | | | | | | | | | | 62,276,159 | |
| | | | | | | | | | | | | |
| CORPORATE BONDS 41.72% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Advertising 1.72% | | | | | | | | | | | | |
| National CineMedia LLC† | | 5.875% | | 4/15/2028 | | | 13,140 | | | | 12,046,621 | |
| | | | | | | | | | | | | |
| Airlines 1.99% | | | | | | | | | | | | |
| American Airlines Group, Inc.† | | 3.75% | | 3/1/2025 | | | 15,450 | | | | 13,941,307 | |
| | | | | | | | | | | | | |
| Chemicals 1.32% | | | | | | | | | | | | |
| Tianqi Finco Co. Ltd. | | 3.75% | | 11/28/2022 | | | 9,750 | | | | 9,286,844 | |
| | See Notes to Schedule of Investments. | 3 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | Fair
Value | |
| Coal 0.81% | | | | | | | | | | | | |
| Peabody Energy Corp.† | | 6.375% | | 3/31/2025 | | $ | 6,544 | | | $ | 5,671,358 | |
| | | | | | | | | | | | | |
| Commercial Services 0.82% | | | | | | | | | | | | |
| Ahern Rentals, Inc.† | | 7.375% | | 5/15/2023 | | | 5,972 | | | | 5,733,120 | |
| | | | | | | | | | | | | |
| Diversified Financial Services 7.08% | | | | | | | | | | | | |
| Advisor Group Holdings, Inc.† | | 10.75% | | 8/1/2027 | | | 10,725 | | | | 11,868,178 | |
| Global Aircraft Leasing Co. Ltd.† | | 6.50% | | 9/15/2024 | | | 11,798 | | | | 11,572,131 | |
| SCF Preferred Equity LLC† | | 7.50% (5 Yr
Treasury CMT + 6.73%) | # | – | (d) | | 15,000 | | | | 14,891,305 | |
| VistaJet Malta Finance plc/XO Management Holding, Inc. (Malta)†(c) | | 10.50% | | 6/1/2024 | | | 10,451 | | | | 11,365,462 | |
| Total | | | | | | | | | | | 49,697,076 | |
| | | | | | | | | | | | | |
| Engineering & Construction 1.85% | | | | | | | | | | | | |
| Promontoria Holding 264 BV†(b) | | 6.75% | | 8/15/2023 | | EUR | 7,460 | | | | 8,710,447 | |
| Promontoria Holding 264 BV(b) | | 6.75% | | 8/15/2023 | | EUR | 3,635 | | | | 4,244,299 | |
| Total | | | | | | | | | | | 12,954,746 | |
| | | | | | | | | | | | | |
| Entertainment 0.63% | | | | | | | | | | | | |
| Buena Vista Gaming Authority† | | 13.00% | | 4/1/2023 | | $ | 4,104 | | | | 4,420,952 | |
| | | | | | | | | | | | | |
| Home Builders 0.75% | | | | | | | | | | | | |
| STL Holding Co. LLC† | | 7.50% | | 2/15/2026 | | | 4,964 | | | | 5,249,430 | (a) |
| | | | | | | | | | | | | |
| Internet 0.33% | | | | | | | | | | | | |
| eDreams ODIGEO SA(b) | | 5.50% | | 9/1/2023 | | EUR | 2,000 | | | | 2,329,917 | |
| | | | | | | | | | | | | |
| Leisure Time 1.48% | | | | | | | | | | | | |
| Carnival Corp.† | | 7.625% | | 3/1/2026 | | $ | 9,750 | | | | 10,420,312 | |
| | | | | | | | | | | | | |
| Lodging 1.70% | | | | | | | | | | | | |
| Full House Resorts, Inc.† | | 8.25% | | 2/15/2028 | | | 11,064 | | | | 11,908,349 | |
| | | | | | | | | | | | | |
| Machinery-Diversified 1.63% | | | | | | | | | | | | |
| Granite US Holdings Corp.† | | 11.00% | | 10/1/2027 | | | 10,412 | | | | 11,414,259 | |
| | | | | | | | | | | | | |
| Oil & Gas 17.54% | | | | | | | | | | | | |
| Berry Petroleum Co. LLC† | | 7.00% | | 2/15/2026 | | | 11,936 | | | | 12,175,866 | |
| Callon Petroleum Co. | | 6.375% | | 7/1/2026 | | | 11,400 | | | | 10,925,133 | |
| Callon Petroleum Co.† | | 8.00% | | 8/1/2028 | | | 3,000 | | | | 2,967,330 | |
| Centennial Resource Production LLC† | | 5.375% | | 1/15/2026 | | | 1,875 | | | | 1,843,238 | |
| Centennial Resource Production LLC† | | 6.875% | | 4/1/2027 | | | 5,718 | | | | 5,834,361 | |
| Gulfport Energy Operating Corp.† | | 8.00% | | 5/17/2026 | | | 10,890 | | | | 11,923,352 | |
| 4 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | Fair
Value | |
| Oil & Gas (continued) | | | | | | | | | | | | |
| Laredo Petroleum, Inc.† | | 7.75% | | 7/31/2029 | | $ | 2,885 | | | $ | 2,895,819 | |
| Laredo Petroleum, Inc. | | 9.50% | | 1/15/2025 | | | 1,500 | | | | 1,556,250 | |
| Laredo Petroleum, Inc. | | 10.125% | | 1/15/2028 | | | 8,532 | | | | 9,236,743 | |
| Matador Resources Co. | | 5.875% | | 9/15/2026 | | | 10,000 | | | | 10,350,300 | |
| Nabors Industries Ltd.† | | 7.25% | | 1/15/2026 | | | 1,350 | | | | 1,315,163 | |
| Nabors Industries, Inc. | | 5.75% | | 2/1/2025 | | | 13,685 | | | | 12,668,889 | |
| Oasis Petroleum, Inc.† | | 6.375% | | 6/1/2026 | | | 9,425 | | | | 9,888,003 | |
| Precision Drilling Corp. (Canada)†(c) | | 6.875% | | 1/15/2029 | | | 5,194 | | | | 5,432,924 | |
| Precision Drilling Corp. (Canada)†(c) | | 7.125% | | 1/15/2026 | | | 6,586 | | | | 6,777,916 | |
| Rockcliff Energy II LLC† | | 5.50% | | 10/15/2029 | | | 3,495 | | | | 3,551,794 | |
| SM Energy Co. | | 5.625% | | 6/1/2025 | | | 9,967 | | | | 10,040,756 | |
| SM Energy Co. | | 6.50% | | 7/15/2028 | | | 3,544 | | | | 3,673,604 | |
| Total | | | | | | | | | | | 123,057,441 | |
| | | | | | | | | | | | | |
| Oil & Gas Services 0.12% | | | | | | | | | | | | |
| Welltec International ApS†(e) | | 8.25% | | 10/15/2026 | | | 865 | | | | 865,000 | |
| | | | | | | | | | | | | |
| Retail 1.95% | | | | | | | | | | | | |
| Party City Holdings, Inc.† | | 6.625% | | 8/1/2026 | | | 10,375 | | | | 8,585,313 | |
| Party City Holdings, Inc.† | | 8.75% | | 2/15/2026 | | | 4,902 | | | | 5,135,188 | |
| Total | | | | | | | | | | | 13,720,501 | |
| Total Corporate Bonds (cost $274,958,113) | | | | | | | | | | | 292,717,233 | |
| | | | | | | | | | | | | |
| FLOATING RATE LOANS(f) 15.98% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Beverages 1.37% | | | | | | | | | | | | |
| Miller’s Ale House, Inc. 2018 Term Loan | | 4.837% - 7.00%
(Prime Rate +
3.75%) (1 Mo.
LIBOR + 4.75%) | | 5/30/2025 | | | 9,994 | | | | 9,615,694 | |
| Building & Construction 1.29% | | | | | | | | | | | | |
| USIC Holdings, Inc. 2021 2nd Lien Term Loan | | 7.25% (1 Mo.
LIBOR + 6.50%) | | 5/7/2029 | | | 8,932 | | | | 9,080,863 | |
| Electric: Generation 1.15% | | | | | | | | | | | | |
| Peabody Energy Corporation 2018 Term Loan | | – | (g) | 3/31/2025 | | | 9,885 | | | | 8,064,821 | |
| | | | | | | | | | | | | |
| Electronics 0.86% | | | | | | | | | | | | |
| Electrical Components International, Inc. 2021 Term Loan B | | 10.75%
(Prime Rate +
7.75%) | | 6/26/2025 | | | 6,026 | | | | 6,033,324 | (h) |
| | See Notes to Schedule of Investments. | 5 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | Fair
Value | |
| Health Services 0.41% | | | | | | | | | | | | |
| Wellpath Holdings, Inc. 2018 1st Lien Term Loan | | 5.584% (1 Mo.
LIBOR + 5.50%) | | 10/1/2025 | | $ | 2,909 | | | $ | 2,857,612 | |
| | | | | | | | | | | | | |
| Lodging 1.10% | | | | | | | | | | | | |
| Spectacle Gary Holdings LLC Delayed Draw Term Loan | | 11.00% (1 Mo.
LIBOR + 9.00%) | | 12/23/2025 | | | 479 | | | | 522,323 | |
| Spectacle Gary Holdings LLC Term Loan B | | 11.00% (1 Mo.
LIBOR + 9.00%) | | 12/23/2025 | | | 6,605 | | | | 7,208,074 | |
| Total | | | | | | | | | | | 7,730,397 | |
| | | | | | | | | | | | | |
| Media: Content 1.01% | | | | | | | | | | | | |
| ECL Entertainment, LLC Term Loan | | 8.50% (1 Mo.
LIBOR + 7.50%) | | 3/31/2028 | | | 6,934 | | | | 7,116,412 | (h) |
| | | | | | | | | | | | | |
| Metals/Mining (Excluding Steel) 1.38% | | | | | | | | | | | | |
| Alpha Metallurgical Resources, Inc. 2019 Term Loan | | 10.00% (3 Mo.
LIBOR + 8.00%) | | 6/14/2024 | | | 9,776 | | | | 9,684,819 | |
| | | | | | | | | | | | | |
| Oil Field Equipment & Services 1.09% | | | | | | | | | | | | |
| Ulterra Drilling Technologies, LP Term Loan B | | 5.334% (1 Mo.
LIBOR + 5.25%) | | 11/26/2025 | | | 8,451 | | | | 7,658,503 | |
| | | | | | | | | | | | | |
| Oil Refining & Marketing 0.57% | | | | | | | | | | | | |
| CITGO Holding Inc. 2019 Term Loan B | | 8.00% (3 Mo.
LIBOR + 7.00%) | | 8/1/2023 | | | 4,048 | | | | 4,005,855 | |
| | | | | | | | | | | | | |
| Pharmaceuticals 0.56% | | | | | | | | | | | | |
| Canopy Growth Corporation Term Loan (Canada)(c) | | 9.50% (6 Mo.
LIBOR + 8.50%) | | 3/18/2026 | | | 3,663 | | | | 3,937,754 | |
| | | | | | | | | | | | | |
| Recreation & Travel 1.83% | | | | | | | | | | | | |
| Silk Bidco AS EUR Term Loan B(b) | | 4.00% (6 Mo.
EURIBOR + 4.00%) | | 2/24/2025 | | EUR | 10,800 | | | | 11,870,158 | |
| United PF Holdings, LLC 2019 2nd Lien Term Loan | | 8.632% (3 Mo.
LIBOR + 8.50%) | | 12/30/2027 | | $ | 1,000 | | | | 940,000 | (h) |
| Total | | | | | | | | | | | 12,810,158 | |
| 6 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | Fair
Value | |
| Support: Services 1.66% | | | | | | | | | | | | |
| Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan | | 7.119% (3 Mo.
LIBOR + 7.00%) | | 4/10/2026 | | $ | 4,430 | | | $ | 4,502,493 | |
| KUEHG Corp. 2017 2nd Lien Term Loan | | 9.25% (3 Mo.
LIBOR + 8.25%) | | 8/22/2025 | | | 7,090 | | | | 7,116,588 | |
| Total | | | | | | | | | | | 11,619,081 | |
| | | | | | | | | | | | | |
| Theaters & Entertainment 1.70% | | | | | | | | | | | | |
| Vue International Bidco plc 2019 EUR Term Loan B(b) | | 4.75% (6 Mo.
EURIBOR + 4.75%) | | 7/3/2026 | | EUR | 10,930 | | | | 11,947,314 | |
| Total Floating Rate Loans (cost $108,833,099) | | | | | | | | | | | 112,162,607 | |
| | | | | | | | | | | | | |
| NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 10.81% | | | | | | | |
| Bancorp Commercial Mortgage Trust 2019-CRE6 G† | | 8.515%
(SOFR + 8.46%) | # | 9/15/2036 | | $ | 1,000 | | | | 985,905 | |
| BX Trust 2018-GW MZ MC† | | 5.572% (1 Mo.
LIBOR + 5.49%) | # | 5/15/2037 | | | 4,000 | | | | 3,736,060 | |
| CF Trust 2019-BOSS B1A | | 13.00% (1 Mo.
LIBOR + 11.50%) | | 12/15/2021 | | | 1,100 | | | | 1,088,389 | (a) |
| Citigroup Commercial Mortgage Trust 2016-P3 D† | | 2.804% | #(i) | 4/15/2049 | | | 5,000 | | | | 4,161,737 | |
| Commercial Mortgage Pass-Through Certificates 2015-DC1 D† | | 4.451% | # | 2/10/2048 | | | 5,000 | | | | 4,313,642 | |
| GS Mortgage Securities Corp. Trust 2021-RENT G† | | 5.784% (1 Mo.
LIBOR + 5.70%) | # | 11/21/2035 | | | 8,300 | | | | 8,405,325 | |
| GS Mortgage Securities Corp. Trust 2021-RSMZ MZ† | | 9.584% (1 Mo.
LIBOR + 9.50%) | # | 6/15/2026 | | | 11,000 | | | | 11,030,010 | |
| GS Mortgage Securities Trust 2013-GC12 E† | | 3.25% | | 6/10/2046 | | | 10,790 | | | | 9,882,042 | |
| JPMorgan Chase Commercial Mortgage Securities Trust | | 0.413% | | 9/15/2029 | | | 85,464 | | | | 128 | (a) |
| JPMorgan Chase Commercial Mortgage Securities Trust | | 11.00% | | 9/15/2029 | | | 850 | | | | 842,100 | |
| JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY D† | | 3.931% | # | 6/10/2027 | | | 615 | | | | 45,175 | |
| JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI E† | | 4.143% | # | 10/5/2031 | | | 6,694 | | | | 6,683,667 | |
| | See Notes to Schedule of Investments. | 7 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | Fair
Value | |
| NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | | | |
| JPMorgan Chase Commercial Mortgage Securities Trust 2021-1440 F† | | 4.934% (1 Mo.
LIBOR + 4.85%) | # | 3/15/2036 | | $ | 6,025 | | | $ | 6,069,315 | |
| JPMorgan Chase Commercial Mortgage Securities Trust 2021-BOLT D† | | 6.784% (1 Mo.
LIBOR + 6.70%) | # | 8/15/2033 | | | 15,500 | | | | 15,518,445 | |
| Natixis Commercial Mortgage Securities Trust 2019-1776 XBCP† | | 0.119% | # | 10/15/2036 | | | 114,352 | | | | 16,009 | |
| Palisades Center Trust 2016-PLSD A† | | 2.713% | | 4/13/2033 | | | 3,200 | | | | 3,000,319 | |
| Palisades Center Trust 2016-PLSD D† | | 4.737% | | 4/13/2033 | | | 225 | | | | 105,861 | |
| Total Non-Agency Commercial Mortgage-Backed Securities (cost $70,947,029) | | | | | | | 75,884,129 | |
| | | | | | | | | | | | | |
| | | Dividend
Rate | | | | Shares
(000) | | | | | |
| | | | | | | | | | | | | |
| PREFERRED STOCKS 0.13% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Transportation Infrastructure | | | | | | | | | | | | |
| ACBL Holdings Corp. Series A | | Zero Coupon | | | | | 16 | | | | 433,457 | |
| ACBL Holdings Corp. Series B | | Zero Coupon | | | | | 16 | | | | 514,471 | |
| Total Preferred Stocks (cost $802,375) | | | | | | | | | | | 947,928 | |
| Total Long-Term Investments (cost $631,034,578) | | | | | | | | | | | 661,448,708 | |
| | | | | | | | | | | | | |
| | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | | | |
| | | | | | | | | | | | | |
| SHORT-TERM INVESTMENTS 6.91% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| COMMERCIAL PAPER 1.01% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Electronics 0.75% | | | | | | | | | | | | |
| JABIL, Inc. | | 0.406% | | 10/1/2021 | | $ | 5,219 | | | | 5,219,000 | |
| | | | | | | | | | | | | |
| Food 0.26% | | | | | | | | | | | | |
| Conagra Foods Inc. | | 0.183% | | 10/1/2021 | | | 1,841 | | | | 1,841,000 | |
| Total Commercial Paper (cost $7,060,000) | | | | | | | | | | | 7,060,000 | |
| 8 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount
(000) | | | Fair
Value | |
| Repurchase Agreements 5.90% | | | | | | | | | | | | |
| Repurchase Agreement dated 9/30/2021, 0.00% due 10/1/2021 with Fixed Income Clearing Corp. collateralized by $42,230,300 of U.S. Treasury Note at 1.250% due 6/30/2028; value: $42,233,594; proceeds: $41,405,433 (cost $41,405,433) | | | | | | $ | 41,405 | | | $ | 41,405,433 | |
| Total Short-Term Investments (cost $48,465,433) | | | | | | | | | | | 48,465,433 | |
| Total Investments in Securities 101.17% (cost $679,500,011) | | | | | | | | | 709,914,141 | |
| Other Assets and Liabilities – Net(j) (1.17)% | | | | | | | | | | | (8,225,788 | ) |
| Net Assets 100.00% | | | | | | | | | | $ | 701,688,353 | |
| | | |
| CAD | | Canadian dollar. |
| EUR | | Euro. |
| CMT | | Constant Maturity Rate. |
| EURIBOR | | Euro Interbank Offered Rate. |
| LIBOR | | London Interbank Offered Rate. |
| SOFR | | Secured Over Night Financing Rate. |
| † | | 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 September 30, 2021, the total value of Rule 144A securities was $443,652,014 which represents 63.23% of net assets. |
| # | | Variable rate security. The interest rate represents the rate in effect at September 30, 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) | | Foreign security traded in U.S. dollars. |
| (d) | | Security is perpetual in nature and has no stated maturity. |
| (e) | | Securities purchased on a when-issued basis. |
| (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 September 30, 2021. |
| (g) | | Interest Rate to be determined. |
| (h) | | Level 3 Investment as described in Note 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. |
| (i) | | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. |
| (j) | | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts and swaps as follows: |
| | See Notes to Schedule of Investments. | 9 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Credit Default Swaps on Indexes - Sell Protection at September 30, 2021(1):
Referenced
Index* | | Swap
Counterparty | | Fund
Receives
(Quarterly) | | Termination
Date | | Notional
Amount | | Notional
Value | | Payments
Upfront(2) | | | Unrealized
Appreciation/
Depreciation(3) | | | Credit
Default
Swap
Agreements
Payable at
Fair Value(4) | |
| Markit CMBX NA.BBB-.9 | | Citibank | | 3.000% | | 9/17/2058 | | 5,375,000 | | 4,959,610 | | $ | (1,178,456) | | | | $763,066 | | | | $(415,390 | ) |
| Markit CMBX NA.BBB-.9 | | Morgan Stanley | | 3.000% | | 9/17/2058 | | 3,750,000 | | 3,460,193 | | | (292,900) | | | | 3,093 | | | | (289,807 | ) |
| | | | | | | | | | | | | $ | (1,471,356) | | | | $766,159 | | | | $(705,197 | ) |
| * | | 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 $766,159. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. |
| (4) | | Includes upfront payments received. |
Open Forward Foreign Currency Exchange Contracts at September 30, 2021:
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | | Unrealized
Appreciation | |
| Euro | | Sell | | State Street Bank and Trust | | 12/10/2021 | | 24,815,000 | | $ | 29,389,571 | | | $ | 28,782,399 | | | | $ 607,172 | |
| Euro | | Sell | | Toronto Dominion Bank | | 12/10/2021 | | 4,964,539 | | | 5,843,769 | | | | 5,758,265 | | | | 85,504 | |
| Unrealized Appreciation on Forward Foreign Currrency Exchange Contracts | | | | | | | | | | | | | | $ 692,676 | |
| | | | | | | | | | | | | | | | | | |
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | | Unrealized
Depreciation | |
| Euro | | Buy | | State Street Bank and Trust | | 12/10/2021 | | 2,012,000 | | | $2,363,266 | | | | $2,333,677 | | | | $ (29,589 | ) |
| Canadian dollar | | Sell | | State Street Bank and Trust | | 10/20/2021 | | 11,361,000 | | | 8,901,930 | | | | 8,969,417 | | | | (67,487 | ) |
| Unrealized Depreciation on Forward Foreign Currrency Exchange Contracts | | | | | | | | | | | | | | $ (97,076 | ) |
| 10 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
The following is a summary of the inputs used as of September 30, 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 | | $ | – | | | $ | 9,656,586 | | | $ | 13,903,488 | | | $ | 23,560,074 | |
| Others | | | – | | | | 74,020,097 | | | | 6,304,256 | | | | 80,324,353 | |
| Remaining Industries | | | – | | | | 11,637,033 | | | | – | | | | 11,637,033 | |
| Common Stocks | | | | | | | | | | | | | | | | |
| Specialty Retail | | | – | | | | – | | | | 1,829,772 | | | | 1,829,772 | |
| Remaining Industries | | | – | | | | 109,420 | | | | – | | | | 109,420 | |
| Convertible Bonds | | | – | | | | 62,276,159 | | | | – | | | | 62,276,159 | |
| Corporate Bonds | | | | | | | | | | | | | | | | |
| Home Builders | | | – | | | | – | | | | 5,249,430 | | | | 5,249,430 | |
| Remaining Industries | | | – | | | | 287,467,803 | | | | – | | | | 287,467,803 | |
| Floating Rate Loans | | | | | | | | | | | | | | | | |
| Electronics | | | – | | | | – | | | | 6,033,324 | | | | 6,033,324 | |
| Media: Content | | | – | | | | – | | | | 7,116,412 | | | | 7,116,412 | |
| Recreation & Travel | | | – | | | | 11,870,158 | | | | 940,000 | | | | 12,810,158 | |
| Remaining Industries | | | – | | | | 86,202,713 | | | | – | | | | 86,202,713 | |
| Non-Agency Commercial | | | | | | | | | | | | | | | | |
| Mortgage-Backed Securities | | | – | | | | 74,795,612 | | | | 1,088,517 | | | | 75,884,129 | |
| Preferred Stocks | | | – | | | | 947,928 | | | | – | | | | 947,928 | |
| | | | | | | | | | | | | | | | | |
| Short-Term Investments | | | | | | | | | | | | | | | | |
| Commercial Paper | | | – | | | | 7,060,000 | | | | – | | | | 7,060,000 | |
| Repurchase Agreements | | | – | | | | 41,405,433 | | | | – | | | | 41,405,433 | |
| Total | | $ | – | | | $ | 667,448,942 | | | $ | 42,465,199 | | | $ | 709,914,141 | |
| Other Financial Instruments | | | | | | | | | | | | | | | | |
| Credit Default Swap Contracts | | | | | | | | | | | | | | | | |
| Assets | | $ | – | | | $ | – | | | $ | – | | | $ | – | |
| Liabilities | | | – | | | | (705,197 | ) | | | – | | | | (705,197 | ) |
| Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| Assets | | | – | | | | 692,676 | | | | – | | | | 692,676 | |
| Liabilities | | | – | | | | (97,076 | ) | | | – | | | | (97,076 | ) |
| Total | | $ | – | | | $ | (109,597 | ) | | $ | – | | | $ | (109,597 | ) |
| (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. 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)
September 30, 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:
| Investment Type | | Asset-Backed
Securities | | | Common
Stocks | | | Corporate
Bonds | | | Floating
Rate Loans | | | Non-Agency
Commercial
Mortgage-
Backed
Securities | | | Preferred
Stocks | |
| Balance as of January 1, 2021 | | $ | 7,639,394 | | | $ | 87,100 | | | $ | – | | | $ | 9,145,445 | | | $ | 1,694,199 | | | $ | 993,850 | |
| Accrued Discounts (Premiums) | | | (5,759 | ) | | | – | | | | (758 | ) | | | 808 | | | | (16,572 | ) | | | – | |
| Realized Gain (Loss) | | | 7,477 | | | | – | | | | – | | | | – | | | | – | | | | – | |
| Change in Unrealized Appreciation (Depreciation) | | | (801,414 | ) | | | 572,618 | | | | 74,733 | | | | 312,299 | | | | 130,309 | | | | – | |
| Purchases | | | 18,712,886 | | | | – | | | | 1,025,455 | | | | 12,906,629 | | | | – | | | | – | |
| Sales | | | (119,832 | ) | | | – | | | | – | | | | – | | | | – | | | | – | |
| Transfers into Level 3 | | | – | | | | 1,257,154 | | | | 4,150,000 | | | | – | | | | – | | | | – | |
| Transfers out of Level 3 | | | (5,225,008 | ) | | | (87,100) | | | | – | | | | (8,275,445 | ) | | | (719,419 | ) | | | (993,850 | ) |
| Balance as of September 30, 2021 | | $ | 20,207,744 | | | $ | 1,829,772 | | | $ | 5,249,430 | | | $ | 14,089,736 | | | $ | 1,088,517 | | | $ | – | |
| Change in unrealized appreciation/depreciation for the period ended September 30, 2021, related to Level 3 investments held at September 30, 2021 | | $ | (795,374 | ) | | $ | 572,618 | | | $ | 74,733 | | | $ | 312,299 | | | $ | 130,309 | | | $ | – | |
| 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 & 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. When valuing foreign equity securities that meet certain criteria, the Board has approved the use of an independent fair valuation service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that correlate to the fair-valued 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. |
| | |
| | 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. |
| | |
| | Investments in open-end money market mutual funds are valued at their NAV as of the close of each business day. 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 September 30, 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-3Q
(9/21)
