Lord Abbett
Quarterly Portfolio Holdings Report
Lord Abbett
Credit Opportunities Fund
For the period ended September 30, 2022
Schedule of Investments (unaudited)
September 30, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| LONG-TERM INVESTMENTS 83.97% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| ASSET-BACKED SECURITIES 11.44% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Automobiles 3.00% | | | | | | | | | | | | |
| Carvana Auto Receivables Trust 2021-N1 R† | | Zero Coupon | | 1/10/2028 | | $ | 10,000 | (a) | | $ | 2,761,185 | |
| Exeter Automobile Receivables Trust 2021-4A R† | | Zero Coupon | | 12/15/2033 | | | 18,050 | (a) | | | 14,218,606 | (b) |
| Flagship Credit Auto Trust 2020 4 R† | | Zero Coupon | | 7/17/2028 | | | 17,826 | (a) | | | 4,225,163 | |
| PenFed Auto Receivables Owner Trust 2022-A R1† | | Zero Coupon | | 6/17/2030 | | | 30,000 | | | | 6,926,988 | (b) |
| Tricolor Auto Securitization Trust 2021-1A F† | | 5.08% | | 5/15/2028 | | | 5,250,000 | | | | 4,906,599 | |
| Total | | | | | | | | | | | 33,038,541 | |
| | | | | | | | | | | | | |
| Credit Card 0.87% | | | | | | | | | | | | |
| Continental Finance Credit Card ABS Master Trust 2020-1A C† | | 5.75% | | 12/15/2028 | | | 6,500,000 | | | | 6,042,123 | |
| Genesis Sales Finance Master Trust 2021-AA F† | | 5.59% | | 12/21/2026 | | | 4,000,000 | | | | 3,490,374 | |
| Total | | | | | | | | | | | 9,532,497 | |
| | | | | | | | | | | | | |
| Other 7.57% | | | | | | | | | | | | |
| AMMC CLO Ltd. 2020 23A ER† | | 9.14% (3 Mo.
LIBOR + 6.40%) | # | 10/17/2031 | | | 7,500,000 | | | | 6,422,588 | |
| Anchorage Capital CLO 25 Ltd. 2022-25A SUB† | | Zero Coupon | #(c) | 4/20/2035 | | | 8,000,000 | | | | 6,187,515 | (b) |
| Ares XLVI CLO Ltd. 2017-46A E† | | 7.812% (3 Mo.
LIBOR + 5.30%) | # | 1/15/2030 | | | 250,000 | | | | 202,578 | |
| Ares XXXVII CLO Ltd. 2015-4A DR† | | 8.662% (3 Mo.
LIBOR + 6.15%) | # | 10/15/2030 | | | 500,000 | �� | | | 409,294 | |
| Avant Loans Funding Trust 2021-REV1 E† | | 6.41% | | 7/15/2030 | | | 3,931,000 | | | | 3,457,832 | (b) |
| Carlyle US CLO Ltd. 2021-10A E† | | 9.21% (3 Mo.
LIBOR + 6.50%) | # | 10/20/2034 | | | 5,000,000 | | | | 4,064,724 | |
| Dryden 45 Senior Loan Fund 2016-45A ER† | | 8.362% (3 Mo.
LIBOR + 5.85%) | # | 10/15/2030 | | | 7,763,000 | | | | 6,380,726 | |
| Dryden 65 CLO Ltd. 2018-65A E† | | 8.49% (3 Mo.
LIBOR + 5.75%) | # | 7/18/2030 | | | 3,000,000 | | | | 2,521,467 | |
| Encina Equipment Finance LLC 2021-1A E† | | 4.36% | | 3/15/2029 | | | 3,733,000 | | | | 3,562,840 | |
| Fairstone Financial Issuance Trust I 2020-1A D†(d) | | 6.873% | | 10/20/2039 | | CAD | 6,570,000 | | | | 4,673,387 | |
| | | |
| | See Notes to Schedule of Investments. | 1 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Other (continued) | | | | | | | | | | | | |
| Galaxy XVIII CLO Ltd. 2018-28A E† | | 8.512% (3 Mo.
LIBOR + 6.00%) | # | 7/15/2031 | | $ | 3,550,000 | | | $ | 3,019,915 | |
| Galaxy XXVI CLO Ltd. 208-26A E† | | 8.834% (3 Mo.
LIBOR + 5.85%) | # | 11/22/2031 | | | 4,400,000 | | | | 3,432,000 | |
| Lending Funding Trust 2020-2A D† | | 6.77% | | 4/21/2031 | | | 3,335,000 | | | | 2,911,355 | |
| Lendmark Funding Trust 2019-2A A† | | 2.78% | | 4/20/2028 | | | 11,775,000 | | | | 11,460,251 | |
| Lendmark Funding Trust 2021-2A D† | | 4.46% | | 4/20/2032 | | | 2,000,000 | | | | 1,477,930 | |
| OCP CLO Ltd. 2014-6A DR† | | 9.26% (3 Mo.
LIBOR + 6.52%) | # | 10/17/2030 | | | 6,087,000 | | | | 5,020,019 | |
| Pagaya AI Debt Selection Trust 2020-1 CERT† | | Zero Coupon | | 7/15/2027 | | | 2,000,000 | (a) | | | 603,164 | (b) |
| Pagaya AI Debt Selection Trust 2021-1 CERT† | | Zero Coupon | #(c) | 11/15/2027 | | | 2,153,846 | (a) | | | 640,190 | |
| Perimeter Master Note Business | | Zero Coupon | | 5/15/2027 | | | 15,000,000 | | | | 13,961,715 | |
| Regatta XIV Funding Ltd. 2018-3A E† | | 8.733% (3 Mo.
LIBOR + 5.95%) | # | 10/25/2031 | | | 3,400,000 | | | | 2,769,226 | |
| Total | | | | | | | | | | | 83,178,716 | |
| Total Asset-Backed Securities (cost $155,682,182) | | | | | | | | | | | 125,749,754 | |
| | | | | | | | | | | | | |
| | | | | | | | Shares | | | | | |
| | | | | | | | | | | | | |
| COMMON STOCKS 0.02% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Specialty Retail 0.00% | | | | | | | | | | | | |
| Chinos Intermediate | | | | | | | 9,971 | | | | 31,992 | |
| | | | | | | | | | | | | |
| Transportation Infrastructure 0.02% | | | | | | | | | | | | |
| ACBL Holdings Corp. | | | | | | | 4,355 | | | | 175,289 | (b) |
| Total Common Stocks (cost $167,291) | | | | | | | | | | | 207,281 | |
| | | | | | | | | | | | | |
| | | Interest
Rate | | Maturity
Date | | | Principal
Amount | | | | | |
| | | | | | | | | | | | | |
| CONVERTIBLE BONDS 3.93% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Airlines 0.89% | | | | | | | | | | | | |
| JetBlue Airways Corp. | | 0.50% | | 4/1/2026 | | $ | 13,694,000 | | | | 9,791,210 | |
| | | | | | | | | | | | | |
| Chemicals 0.19% | | | | | | | | | | | | |
| Danimer Scientific, Inc.† | | 3.25% | | 12/15/2026 | | | 4,000,000 | | | | 2,120,000 | |
| | | | | | | | | | | | | |
| Commercial Services 0.94% | | | | | | | | | | | | |
| Chegg, Inc. | | Zero Coupon | | 9/1/2026 | | | 13,500,000 | | | | 10,313,783 | |
| | |
| 2 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Energy-Alternate Sources 0.07% | | | | | | | | | | | | |
| Peabody Energy Corp.† | | 3.25% | | 3/1/2028 | | $ | 500,000 | | | $ | 736,000 | |
| | | | | | | | | | | | | |
| Internet 0.99% | | | | | | | | | | | | |
| Airbnb, Inc. | | Zero Coupon | | 3/15/2026 | | | 7,500,000 | | | | 6,247,500 | |
| Uber Technologies, Inc. | | Zero Coupon | | 12/15/2025 | | | 5,583,000 | | | | 4,661,289 | |
| Total | | | | | | | | | | | 10,908,789 | |
| | | | | | | | | | | | | |
| Trucking & Leasing 0.85% | | | | | | | | | | | | |
| Greenbrier Cos., Inc. | | 2.875% | | 4/15/2028 | | | 11,750,000 | | | | 9,276,625 | |
| Total Convertible Bonds (cost $55,394,532) | | | | | | | | | | | 43,146,407 | |
| | | | | | | | | | | | | |
| CORPORATE BONDS 50.75% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Advertising 0.93% | | | | | | | | | | | | |
| National CineMedia LLC† | | 5.875% | | 4/15/2028 | | | 17,765,000 | | | | 10,180,944 | |
| | | | | | | | | | | | | |
| Auto Parts & Equipment 1.14% | | | | | | | | | | | | |
| Real Hero Merger Sub 2, Inc.† | | 6.25% | | 2/1/2029 | | | 17,300,000 | | | | 12,515,685 | |
| | | | | | | | | | | | | |
| Building Materials 3.40% | | | | | | | | | | | | |
| Eco Material Technologies, Inc.† | | 7.875% | | 1/31/2027 | | | 7,032,000 | | | | 6,240,505 | |
| Oscar AcquisitionCo LLC/Oscar Finance, Inc.† | | 9.50% | | 4/15/2030 | | | 26,396,000 | | | | 22,139,909 | |
| Victors Merger Corp.† | | 6.375% | | 5/15/2029 | | | 14,947,000 | | | | 8,976,612 | |
| Total | | | | | | | | | | | 37,357,026 | |
| | | | | | | | | | | | | |
| Chemicals 0.78% | | | | | | | | | | | | |
| Kobe US Midco 2, Inc. PIK 10.0%† | | 9.25% | | 11/1/2026 | | | 10,760,000 | | | | 8,554,200 | |
| | | | | | | | | | | | | |
| Coal 0.57% | | | | | | | | | | | | |
| Peabody Energy Corp.† | | 6.375% | | 3/31/2025 | | | 6,417,000 | | | | 6,252,436 | |
| | | | | | | | | | | | | |
| Commercial Services 2.17% | | | | | | | | | | | | |
| Ahern Rentals, Inc.† | | 7.375% | | 5/15/2023 | | | 7,647,000 | | | | 5,189,622 | |
| BCP V Modular Services Finance plc(d) | | 6.75% | | 11/30/2029 | | EUR | 19,000,000 | | | | 12,976,476 | |
| Limak Iskenderun Uluslararasi Liman Isletmeciligi AS (Turkey)(e) | | 9.50% | | 7/10/2036 | | $ | 7,000,000 | | | | 5,718,020 | |
| Total | | | | | | | | | | | 23,884,118 | |
| | | | | | | | | | | | | |
| Diversified Financial Services 5.62% | | | | | | | | | | | | |
| Advisor Group Holdings, Inc.† | | 10.75% | | 8/1/2027 | | | 8,725,000 | | | | 8,561,450 | |
| Armor Holdco, Inc.† | | 8.50% | | 11/15/2029 | | | 7,500,000 | | | | 5,996,733 | |
| Global Aircraft Leasing Co. Ltd. (Cayman Islands)†(e) | | 6.50% | | 9/15/2024 | | | 19,888,729 | | | | 14,944,794 | |
| | | |
| | See Notes to Schedule of Investments. | 3 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Diversified Financial Services (continued) | | | | | | | | | | | | |
| SCF Preferred Equity LLC† | | 7.50%
(5 Yr. Treasury
CMT + 6.73%) | # | – | (f) | $ | 15,000,000 | | | $ | 13,061,232 | |
| VistaJet Malta Finance plc/XO Management Holding, Inc. (Malta)†(e) | 6.375% | | 2/1/2030 | | | 23,459,000 | | | | 19,235,793 | |
| Total | | | | | | | | | | | 61,800,002 | |
| | | | | | | | | | | | | |
| Entertainment 1.61% | | | | | | | | | | | | |
| AMC Entertainment Holdings, Inc.† | | 10.00% | | 6/15/2026 | | | 27,078,687 | | | | 17,713,387 | |
| | | | | | | | | | | | | |
| Home Builders 0.38% | | | | | | | | | | | | |
| STL Holding Co. LLC† | | 7.50% | | 2/15/2026 | | | 4,964,000 | | | | 4,230,666 | |
| | | | | | | | | | | | | |
| Lodging 0.94% | | | | | | | | | | | | |
| Full House Resorts, Inc.† | | 8.25% | | 2/15/2028 | | | 11,439,000 | | | | 10,311,572 | |
| | | | | | | | | | | | | |
| Machinery-Diversified 3.34% | | | | | | | | | | | | |
| Granite US Holdings Corp.† | | 11.00% | | 10/1/2027 | | | 16,162,000 | | | | 15,265,702 | |
| SPX FLOW, Inc.†(g) | | 8.75% | | 4/1/2030 | | | 27,511,000 | | | | 21,445,925 | |
| Total | | | | | | | | | | | 36,711,627 | |
| | | | | | | | | | | | | |
| Oil & Gas 19.65% | | | | | | | | | | | | |
| Berry Petroleum Co. LLC† | | 7.00% | | 2/15/2026 | | | 24,811,000 | | | | 21,911,462 | |
| Callon Petroleum Co. | | 6.375% | | 7/1/2026 | | | 21,025,000 | | | | 18,984,419 | |
| Callon Petroleum Co.† | | 8.00% | | 8/1/2028 | | | 6,750,000 | | | | 6,240,206 | |
| Civitas Resources, Inc.† | | 5.00% | | 10/15/2026 | | | 15,000,000 | | | | 13,642,200 | |
| Crescent Energy Finance LLC† | | 7.25% | | 5/1/2026 | | | 21,831,000 | | | | 19,663,837 | |
| Earthstone Energy Holdings LLC† | | 8.00% | | 4/15/2027 | | | 8,350,000 | | | | 7,886,575 | |
| Gulfport Energy Corp.† | | 8.00% | | 5/17/2026 | | | 10,890,000 | | | | 10,851,504 | |
| Kosmos Energy Ltd.† | | 7.50% | | 3/1/2028 | | | 11,580,000 | | | | 9,111,549 | |
| Kosmos Energy Ltd.† | | 7.75% | | 5/1/2027 | | | 5,300,000 | | | | 4,227,837 | |
| Laredo Petroleum, Inc.† | | 7.75% | | 7/31/2029 | | | 21,105,000 | | | | 19,487,618 | |
| Laredo Petroleum, Inc. | | 10.125% | | 1/15/2028 | | | 4,657,000 | | | | 4,481,967 | |
| Nabors Industries Ltd.† | | 7.25% | | 1/15/2026 | | | 6,500,000 | | | | 5,668,351 | |
| Nabors Industries, Inc. | | 5.75% | | 2/1/2025 | | | 23,513,000 | | | | 21,320,920 | |
| Penn Virginia Holdings LLC† | | 9.25% | | 8/15/2026 | | | 15,714,000 | | | | 14,790,802 | |
| Permian Resources Operating LLC† | | 5.375% | | 1/15/2026 | | | 2,875,000 | | | | 2,633,859 | |
| Precision Drilling Corp. (Canada)†(e) | | 6.875% | | 1/15/2029 | | | 10,977,000 | | | | 9,712,340 | |
| Precision Drilling Corp. (Canada)†(e) | | 7.125% | | 1/15/2026 | | | 6,586,000 | | | | 6,186,757 | |
| SM Energy Co. | | 6.50% | | 7/15/2028 | | | 5,792,000 | | | | 5,518,089 | |
| Tap Rock Resources LLC† | | 7.00% | | 10/1/2026 | | | 14,950,000 | | | | 13,694,350 | |
| Total | | | | | | | | | | | 216,014,642 | |
| | |
| 4 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Oil & Gas Services 3.74% | | | | | | | | | | | | |
| Oceaneering International, Inc. | | 6.00% | | 2/1/2028 | | $ | 25,410,000 | | | $ | 20,190,022 | |
| Welltec International ApS (Denmark)†(e) | | 8.25% | | 10/15/2026 | | | 18,924,000 | | | | 18,165,715 | |
| Welltec International ApS (Denmark)(e) | | 8.25% | | 10/15/2026 | | | 2,930,000 | | | | 2,812,595 | |
| Total | | | | | | | | | | | 41,168,332 | |
| | | | | | | | | | | | | |
| Real Estate 0.37% | | | | | | | | | | | | |
| Logan Group Co. Ltd. (China)(e) | | 4.50% | | 1/13/2028 | | | 4,000,000 | | | | 670,000 | |
| Shimao Group Holdings Ltd. (Hong Kong)(e) | | 3.45% | | 1/11/2031 | | | 3,000,000 | | | | 357,240 | |
| Shimao Group Holdings Ltd. (Hong Kong)(e) | | 5.20% | | 1/16/2027 | | | 9,500,000 | | | | 1,225,500 | |
| Sunac China Holdings Ltd. (China)(e)(h) | | 5.95% | | 4/26/2024 | | | 10,500,000 | | | | 1,547,700 | |
| Sunac China Holdings Ltd. (China)(e) | | 7.50% | | 2/1/2024 | | | 2,000,000 | | | | 292,963 | |
| Total | | | | | | | | | | | 4,093,403 | |
| | | | | | | | | | | | | |
| Retail 5.85% | | | | | | | | | | | | |
| BCPE Ulysses Intermediate, Inc. PIK 8.50%† | | 7.75% | | 4/1/2027 | | | 29,781,000 | | | | 20,321,890 | |
| Carrols Restaurant Group, Inc.† | | 5.875% | | 7/1/2029 | | | 23,246,000 | | | | 15,561,802 | |
| GPS Hospitality Holding Co. LLC/GPS Finco, Inc.† | | 7.00% | | 8/15/2028 | | | 28,525,000 | | | | 18,006,391 | |
| Party City Holdings, Inc.† | | 6.625% | | 8/1/2026 | | | 12,075,000 | | | | 5,494,125 | |
| Party City Holdings, Inc.† | | 8.75% | | 2/15/2026 | | | 8,402,000 | | | | 4,884,503 | |
| Total | | | | | | | | | | | 64,268,711 | |
| | | | | | | | | | | | | |
| Trucking & Leasing 0.26% | | | | | | | | | | | | |
| Fly Leasing Ltd. (Ireland)†(e) | | 7.00% | | 10/15/2024 | | | 3,794,000 | | | | 2,852,822 | |
| Total Corporate Bonds (cost $659,749,629) | | | | | | | | | | | 557,909,573 | |
| | | | | | | | | | | | | |
| FLOATING RATE LOANS(i) 11.75% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Advertising 0.86% | | | | | | | | | | | | |
| ABG Intermediate Holdings 2 LLC 2021 2nd Lien Term Loan | | 9.134% | | 12/20/2029 | | | 9,978,802 | | | | 9,454,915 | |
| | | | | | | | | | | | | |
| Automakers 0.40% | | | | | | | | | | | | |
| Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan | | 9.178% (3 Mo.
LIBOR + 6.75%) | | 4/10/2026 | | | 4,430,476 | | | | 4,413,862 | |
| | | | | | | | | | | | | |
| Building & Construction 0.74% | | | | | | | | | | | | |
| USIC Holdings, Inc. 2021 2nd Lien Term Loan | | 9.615% (1 Mo.
LIBOR + 6.50%) | (j) | 5/14/2029 | | | 8,726,238 | | | | 8,100,829 | |
| | | |
| | See Notes to Schedule of Investments. | 5 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Building Materials 1.24% | | | | | | | | | | | | |
| ACProducts, Inc. 2021 Term Loan B | | 7.127% - 7.92%
(3 Mo. LIBOR +
4.25%)
(6 Mo. LIBOR +
4.25%) | | 5/17/2028 | | $ | 18,274,623 | | | $ | 13,657,722 | |
| | | | | | | | | | | | | |
| Investments & Miscellaneous Financial Services 1.12% | | | | | | |
| NEXUS Buyer LLC 2021 Second Lien Term Loan | | 9.365% (3 Mo.
LIBOR + 6.25%) | | 10/29/2029 | | | 13,000,001 | | | | 12,317,501 | |
| | | | | | | | | | | | | |
| Metals/Mining (Excluding Steel) 1.25% | | | | | | | | | | | | |
| Peabody Energy Corporation 2018 Term Loan | | 5.834% (1 Mo.
LIBOR + 2.75%) | | 3/31/2025 | | | 14,390,475 | | | | 13,732,902 | |
| | | | | | | | | | | | | |
| Oil Field Equipment & Services 1.85% | | | | | | | | | | | | |
| Ulterra Drilling Technologies, LP Term Loan B | | 8.365% (1 Mo.
LIBOR + 5.25%) | | 11/26/2025 | | | 21,206,463 | | | | 20,393,513 | |
| | | | | | | | | | | | | |
| Pharmaceuticals 0.28% | | | | | | | | | | | | |
| Canopy Growth Corporation Term Loan (Canada)(e) | | 11.248% (6 Mo.
LIBOR + 8.50%) | | 3/18/2026 | | | 3,663,027 | | | | 3,035,734 | |
| | | | | | | | | | | | | |
| Recreation & Travel 0.94% | | | | | | | | | | | | |
| Silk Bidco AS EUR Term Loan B(d) | | 4.908% (6 Mo.
EURIBOR + 4.00%) | | 2/24/2025 | | EUR | 11,550,000 | | | | 9,402,325 | |
| United PF Holdings, LLC 2019 2nd Lien Term Loan | | 12.174% (3 Mo.
LIBOR + 8.50%) | | 12/30/2027 | | $ | 1,000,000 | | | | 965,000 | |
| Total | | | | | | | | | | | 10,367,325 | |
| | | | | | | | | | | | | |
| Restaurants 0.61% | | | | | | | | | | | | |
| Miller’s Ale House, Inc. 2018 Term Loan | 8.303% - 10.00%
(Prime Rate +
3.75%)
(3 Mo. LIBOR + 4.75%) | | 5/30/2025 | | | 6,877,820 | | | | 6,678,363 | |
| | | | | | | | | | | | | |
| Software 0.62% | | | | | | | | | | | | |
| ECL Entertainment, LLC Term Loan | | 10.615% (1 Mo.
LIBOR + 7.50%) | | 5/1/2028 | | | 6,847,705 | | | | 6,796,347 | |
| | |
| 6 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Support: Services 0.63% | | | | | | | | | | | | |
| KUEHG Corp. 2017 2nd Lien Term Loan | | 11.365% (1 Mo.
LIBOR + 8.25%) | | 8/22/2025 | | $ | 7,090,000 | | | $ | 6,941,110 | |
| | | | | | | | | | | | | |
| Theaters & Entertainment 1.21% | | | | | | | | | | | | |
| Vue International Bidco p.l.c. 2019 EUR Term Loan B(d) | | – | (j) | 7/3/2026 | | EUR | 15,930,448 | | | | 11,271,465 | |
| Vue International Bidco p.l.c. 2022 EUR Term Loan(d) | 9.766% (3 Mo.
EURIBOR + 8.00%) | | 6/30/2027 | | EUR | 2,105,399 | | | | 2,042,763 | |
| Total | | | | | | | | | | | 13,314,228 | |
| Total Floating Rate Loans (cost $141,159,130) | | | | | | | | | | | 129,204,351 | |
| | | | | | | | | | | | | |
| NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 5.97% | | | | | | | | | |
| BX Trust 2018-GW MZ MC† | | 8.306% (1 Mo.
LIBOR + 5.49%) | # | 5/15/2037 | | $ | 4,000,000 | | | | 3,863,212 | |
| CF Trust 2019-BOSS B1A | | Zero Coupon | | 12/15/2024 | | | 1,100,000 | | | | 1,050,731 | (b) |
| Citigroup Commercial Mortgage Trust 2016-P3 D† | | 2.804% | #(k) | 4/15/2049 | | | 5,000,000 | | | | 3,529,508 | |
| Commercial Mortgage Pass-Through Certificates 2015-DC1 D† | | 4.441% | #(k) | 2/10/2048 | | | 5,000,000 | | | | 4,060,238 | |
| GS Mortgage Securities Corp. Trust 2021-RENT G† | | 8.714% (1 Mo.
LIBOR + 5.70%) | # | 11/21/2035 | | | 8,214,886 | | | | 7,363,433 | |
| GS Mortgage Securities Corp. Trust 2021-RSMZ MZ† | | 12.318% (1 Mo.
LIBOR + 9.50%) | # | 6/15/2026 | | | 11,250,000 | | | | 10,600,238 | |
| GS Mortgage Securities Trust 2013-GC12 E† | | 3.25% | | 6/10/2046 | | | 10,790,000 | | | | 9,995,741 | |
| JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY D† | | 3.931% | #(k) | 6/10/2027 | | | 614,619 | | | | 32,264 | |
| JPMorgan Chase Commercial Mortgage Securities Trust 2020-1 | | Zero Coupon | | 9/15/2029 | | | 850,000 | | | | 348,500 | (b) |
| JPMorgan Chase Commercial Mortgage Securities Trust 2021-1 | | Zero Coupon | | 9/15/2029 | | | 80,064,000 | | | | 1 | (l) |
| JPMorgan Chase Commercial Mortgage Securities Trust 2021-1440 F† | | 7.668% (1 Mo.
LIBOR + 4.85%) | # | 3/15/2036 | | | 6,025,000 | | | | 5,834,992 | |
| JPMorgan Chase Commercial Mortgage Securities Trust 2021-BOLT D† | | 9.518% (1 Mo.
LIBOR + 6.70%) | # | 8/15/2033 | | | 15,790,000 | (a) | | | 15,047,017 | |
| Laurel Road Prime Student Loan Trust 2019-A R† | | Zero Coupon | | 10/25/2048 | | | 3,945,358 | | | | 915,323 | |
| | | |
| | See Notes to Schedule of Investments. | 7 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | |
| Palisades Center Trust 2016-PLSD A† | | 2.713% | | 4/13/2033 | | $ | 3,200,000 | | | $ | 2,865,568 | |
| Palisades Center Trust 2016-PLSD D† | | 4.737% | | 4/13/2033 | | | 225,000 | | | | 118,123 | |
| Total Non-Agency Commercial Mortgage-Backed Securities (cost $64,548,590) | | | | | | | | 65,624,889 | |
| | | | | | | | | | | | | |
| | | Dividend
Rate | | | | | Shares | | | | | |
| | | | | | | | | | | | | |
| PREFERRED STOCKS 0.11% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Transportation Infrastructure | | | | | | | | | | | | |
| ACBL Holdings Corp. Series A | | Zero Coupon | | | | | 14,619 | | | | 376,439 | |
| ACBL Holdings Corp. Series B | | Zero Coupon | | | | | 15,891 | | | | 798,523 | |
| Total Preferred Stocks (cost $762,750) | | | | | | | | | | | 1,174,962 | |
| Total Long-Term Investments (cost $1,077,464,104) | | | | | | | | | | | 923,017,217 | |
| | | | | | | | | | | | | |
| | | Interest
Rate | | Maturity
Date | | | Principal
Amount | | | | | |
| | | | | | | | | | | | | |
| SHORT-TERM INVESTMENTS 12.84% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| COMMERCIAL PAPER 10.47% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Building Materials 2.00% | | | | | | | | | | | | |
| Fortune Brands Home & Security, Inc. | | 3.956% | | 10/3/2022 | | $ | 7,000,000 | | | | 7,000,000 | |
| Leggett & Platt, Inc. | | 3.398% | | 10/3/2022 | | | 15,000,000 | | | | 15,000,000 | |
| Total | | | | | | | | | | | 22,000,000 | |
| | | | | | | | | | | | | |
| Electronics 4.43% | | | | | | | | | | | | |
| Ameren Illinois Co. | | 3.347% | | 10/3/2022 | | | 10,000,000 | | | | 10,000,000 | |
| Brookfield BRP Holdings Canada, Inc. | | 3.651% | | 10/3/2022 | | | 12,030,000 | | | | 12,030,000 | |
| Constellation Energy Generation LLC | | 3.957% | | 10/4/2022 | | | 10,000,000 | | | | 9,998,917 | |
| Jabil, Inc. | | 3.854% | | 10/3/2022 | | | 15,000,000 | | | | 15,000,000 | |
| Tampa Electric Co. | | 3.551% | | 10/3/2022 | | | 1,668,000 | | | | 1,668,000 | |
| Total | | | | | | | | | | | 48,696,917 | |
| | | | | | | | | | | | | |
| Food 0.91% | | | | | | | | | | | | |
| Ingredion, Inc. | | 3.347% | | 10/3/2022 | | | 10,000,000 | | | | 10,000,000 | |
| | | | | | | | | | | | | |
| Oil & Gas 2.22% | | | | | | | | | | | | |
| Ovintiv Canada ULC | | 4.008% | | 10/6/2022 | | | 8,000,000 | | | | 7,997,366 | |
| Ovintiv, Inc. | | 3.955% | | 10/3/2022 | | | 7,535,000 | | | | 7,535,000 | |
| TARGA RES Corp. | | 3.854% | | 10/3/2022 | | | 4,765,000 | | | | 4,765,000 | |
| Targa Resources Corp. | | 3.803% | | 10/3/2022 | | | 4,144,000 | | | | 4,144,000 | |
| Total | | | | | | | | | | | 24,441,366 | |
| | |
| 8 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Real Estate 0.91% | | | | | | | | | | | | |
| Crown Castle, Inc. | | 3.927% | | 10/4/2022 | | $ | 10,000,000 | | | $ | 9,998,925 | |
| Total Commercial Paper (cost $115,113,762) | | | | | | | | | | | 115,137,208 | |
| | | | | | | | | | | | | |
| REPURCHASE AGREEMENTS 2.37% | | | | | | | | | | | | |
Repurchase Agreement dated 9/30/2022, 1.300% due 10/3/2022 with Fixed Income Clearing Corp. collateralized by $27,021,100 of U.S. Treasury Note at 2.750% due 2/15/2024; value: $26,549,298; proceeds: $26,031,479
(cost $26,028,659) | | | | | | | 26,028,659 | | | | 26,028,659 | |
| Total Short-Term Investments (cost $141,142,421) | | | | | | | | | | | 141,165,867 | |
| Total Investments in Securities 96.81% (cost $1,218,606,525) | | | | | | | | | | | 1,064,183,084 | |
| Other Assets and Liabilities – Net(m) 3.19% | | | | | | | | | | | 35,090,844 | |
| Net Assets 100.00% | | | | | | | | | | $ | 1,099,273,928 | |
| | | |
| CAD | | Canadian Dollar. |
| EUR | | Euro. |
| CMT | | Constant Maturity Rate. |
| EURIBOR | | Euro Interbank Offered Rate. |
| 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 September 30, 2022, the total value of Rule 144A securities was $640,683,358, which represents 58.28% of net assets. |
| # | | Variable rate security. The interest rate represents the rate in effect at September 30, 2022. |
| (a) | | Principal amount represents ownership shares of the Trust. |
| (b) | | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. 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. |
| (c) | | Variable Rate is Fixed to Float: Rate remains fixed or at Zero Coupon until designated future date. |
| (d) | | Investment in non-U.S. dollar denominated securities. |
| (e) | | Foreign security traded in U.S. dollars. |
| (f) | | Security is perpetual in nature and has no stated maturity. |
| (g) | | Security has been fully or partially segregated for open reverse repurchase agreements as of September 30, 2022. |
| (h) | | Defaulted (non-income producing security). |
| (i) | | 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, 2022. |
| (j) | | Interest rate to be determined. |
| (k) | | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. |
| (l) | | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. Security fair valued by the Pricing Committee. |
| (m) | | 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, 2022
Centrally Cleared Credit Default Swaps on Issuers - Buy Protection at September 30, 2022(1):
Referenced
Issuers | | Central
Clearing
Party | | Fund
Pays
(Quarterly) | | Termination
Date | | Notional
Amount | | | Payments
Upfront(2) | | | Value | | Unrealized
Appreciation(3) | |
| ICC FRGERMANY(4)(5) | | Bank of America | | 0.25% | | 12/20/2026 | | $ | 35,000,000 | | | $ | (142,413 | ) | | $ | (70,665 | ) | | $ | 71,748 | |
| ICC FRGERMANY(4)(5) | | Bank of America | | 0.25% | | 12/20/2027 | | | 10,000,000 | | | | (16,472 | ) | | | (6,328 | ) | | | 10,144 | |
| J&J(4)(5) | | Bank of America | | 1.00% | | 12/20/2026 | | | 15,000,000 | | | | (456,962 | ) | | | (437,736 | ) | | | 19,226 | |
| | | | | | | | | | | | | $ | (615,847 | ) | | $ | (514,729 | ) | | $ | 101,118 | |
Centrally Cleared Credit Default Swaps on Indexes/Issuers - Sell Protection at September 30, 2022(1):
Referenced
Indexes/Issuers | | Central
Clearing
Party | | Fund
Receives
(Quarterly) | | Termination
Date | | Notional
Amount | | | Payments
Upfront(2) | | | Value | | Unrealized
Depreciation(3) | |
| AMERAIAI(4)(5) | | Bank of America | | 5.00% | | 12/20/2024 | | $ | 29,950,000 | | | $ | (1,992,467 | ) | | $ | (4,501,283 | ) | | $ | (2,508,816 | ) |
| Markit CDX.NA.HY.38(4)(6) | | Bank of America | | 5.00% | | 6/20/2027 | | | 32,670,000 | | | | (542,701 | ) | | | (739,516 | ) | | | (196,815 | ) |
| | | | | | | | | | | | | $ | (2,535,168 | ) | | $ | (5,240,799 | ) | | $ | (2,705,631 | ) |
| (1) | | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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. 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 paid (received) by Central Clearing Party are presented net of amortization. |
| (3) | | Total unrealized appreciation on Credit Default Swaps on Indexes/Issuers amounted to $101,118. Total unrealized depreciation on Credit Default Swaps on Indexes/Issuers amounted to $2,705,631. |
| (4) | | Central Clearinghouse: Intercontinental Exchange (ICE). |
| (5) | | Moody’s Credit Rating: Baa3. |
| (6) | | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of high yield securities. |
Credit Default Swaps on Issuers - Buy Protection at September 30, 2022(1):
Referenced
Issuers | | Swap
Counterparty | | Fund
Pays
(Quarterly) | | Termination
Date | | Notional
Amount | | | Payments
Upfront(2) | | | Unrealized
Appreciation/
Depreciation(3) | | Credit Default
Swap
Agreements
Payable at
Fair Value(4) | |
| Swedbank AB | | Barclays Capital, Inc. | | 1.000% | | 6/20/2027 | | | 18,000,000 | | | $ | (211,735 | ) | | $ | (5,513 | ) | | $ | (217,248 | ) |
| 10 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Credit Default Swaps on Indexes - Sell Protection at September 30, 2022:
Referenced
Indexes* | | Swap
Counterparty | | Fund
Receives
(Quarterly) | | Termination
Date | | Notional
Amount | | | Payments
Upfront(2) | | Unrealized
Appreciation/
(Depreciation)(3) | | Credit Default
Swap
Agreements
Payable at
Fair Value(4) | |
| Markit CMBX.NA.A.6 | | Citibank | | 2.000% | | 5/11/2063 | | | 1,332,731 | | | $ | (135,570 | ) | | $ | (385 | ) | | $ | (135,955 | ) |
| Markit CMBX.NA.BBB-.9 | | Citibank | | 3.000% | | 9/17/2058 | | | 3,250,000 | | | | (693,290 | ) | | | 59,302 | | | | (633,988 | ) |
| Markit CMBX.NA.BBB-.9 | | Morgan Stanley | | 3.000% | | 9/17/2058 | | | 3,750,000 | | | | (284,981 | ) | | | (446,544 | ) | | | (731,525 | ) |
| | | | | | | | | | | | | $ | (1,113,841 | ) | | $ | (387,627 | ) | | $ | (1,501,468 | ) |
| * | | 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 buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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. 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 paid (received) are presented net of amortization. |
| (3) | | Total unrealized appreciation on Credit Default Swaps in Indexes/Issuers amounted to $59,302. Total unrealized depreciation on Credit Default Swaps on Indexes/Issuers amounted to $452,442. |
| (4) | | Includes upfront payments paid (received). |
Forward Foreign Currency Exchange Contracts at September 30, 2022:
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 | | Buy | | Goldman Sachs | | 12/12/2022 | | | 896,000 | | | $ | 865,058 | | | $ | 882,596 | | | $ | 17,538 | |
| Canadian dollar | | Sell | | Morgan Stanley | | 10/20/2022 | | | 6,604,000 | | | | 5,128,902 | | | | 4,780,630 | | | | 348,272 | |
| Euro | | Sell | | State Street Bank and Trust | | 12/12/2022 | | | 38,980,000 | | | | 39,200,237 | | | | 38,396,857 | | | | 803,380 | |
| Euro | | Sell | | State Street Bank and Trust | | 12/12/2022 | | | 1,918,000 | | | | 1,923,624 | | | | 1,889,307 | | | | 34,317 | |
| Total Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | $ | 1,203,507 | |
Reverse Repurchase Agreement Payable as of September 30, 2022:
| Counterparty | | Principal | | | Collateral
Held by
Counterparty | | Interest
Rate(1) | | Trade
Date | | Maturity
Date(2) | | Fair
Value(3) | |
| Barclays Bank plc | | | $2,211,125 | | | $2,526,871 principal, SPX FLOW, Inc at 8.75% due 4/1/2030, $1,969,797 fair value | | (5.00%) | | 08/08/2022 | | On Demand | | $ | 2,194,849 | |
| (1) | | The negative interest rate on the reverse repurchase agreement results in interest income to the Fund. |
| (2) | | This reverse repurchase agreement has no stated maturity and may be terminated by either party at any time. |
| (3) | | Total fair value of reverse repurchase agreement is presented net of interest receivable of $16,276. |
| | See Notes to Schedule of Investments. | 11 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
The following is a summary of the inputs used as of September 30, 2022 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 | | $ | – | | | $ | 11,892,947 | | | $ | 21,145,594 | | | $ | 33,038,541 | |
| Other | | | – | | | | 72,930,205 | | | | 10,248,511 | | | | 83,178,716 | |
| Remaining Industries | | | – | | | | 9,532,497 | | | | – | | | | 9,532,497 | |
| Common Stocks | | | | | | | | | | | | | | | | |
| Transportation Infrastructure | | | – | | | | – | | | | 175,289 | | | | 175,289 | |
| Remaining Industries | | | – | | | | 31,992 | | | | – | | | | 31,992 | |
| Convertible Bonds | | | – | | | | 43,146,407 | | | | – | | | | 43,146,407 | |
| Corporate Bonds | | | – | | | | 557,909,573 | | | | – | | | | 557,909,573 | |
| Floating Rate Loans | | | – | | | | 129,204,351 | | | | – | | | | 129,204,351 | |
| Non-Agency Commercial Mortgage-Backed Securities | | | – | | | | 64,225,657 | | | | 1,399,232 | | | | 65,624,889 | |
| Preferred Stocks | | | – | | | | 1,174,962 | | | | – | | | | 1,174,962 | |
| Short-Term Investments | | | | | | | | | | | | | | | | |
| Commercial Paper | | | – | | | | 115,137,208 | | | | – | | | | 115,137,208 | |
| Repurchase Agreements | | | – | | | | 26,028,659 | | | | – | | | | 26,028,659 | |
| Total | | $ | – | | | $ | 1,031,214,458 | | | $ | 32,968,626 | | | $ | 1,064,183,084 | |
| Other Financial Instruments | | | | | | | | | | | | | | | | |
| Centrally Cleared Credit Default Swap Contracts | | | | | | | | | | | | | | | | |
| Assets | | $ | – | | | $ | 101,118 | | | $ | – | | | $ | 101,118 | |
| Liabilities | | | – | | | | (2,705,631 | ) | | | – | | | | (2,705,631 | ) |
| Credit Default Swap Contracts | | | | | | | | | | | | | | | | |
| Assets | | | – | | | | – | | | | – | | | | – | |
| Liabilities | | | – | | | | (1,718,716 | ) | | | – | | | | (1,718,716 | ) |
| Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| Assets | | | – | | | | 1,203,507 | | | | – | | | | 1,203,507 | |
| Liabilities | | | – | | | | – | | | | – | | | | – | |
| Reverse Repurchase Agreements | | | | | | | | | | | | | | | | |
| Asset | | | – | | | | – | | | | – | | | | – | |
| Liabilities | | | – | | | | (2,194,849 | ) | | | – | | | | (2,194,849 | ) |
| Total | | $ | – | | | $ | (5,314,571 | ) | | $ | – | | | $ | (5,314,571 | ) |
| (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. When applicable each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. |
| 12 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(concluded)
September 30, 2022
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 | | | Non-Agency
Commercial
Mortgage-
Backed
Securities | |
| Balance as of January 1, 2022 | | $ | 16,325,250 | | | $ | – | | | $ | 1,943,093 | |
| Accrued Discounts (Premiums) | | | (5,727 | ) | | | – | | | | – | |
| Realized Gain (Loss) | | | – | | | | – | | | | – | |
| Change in Unrealized Appreciation (Depreciation) | | | (8,756,174 | ) | | | 55,526 | | | | (543,861 | ) |
| Purchases | | | 34,687,180 | | | | – | | | | – | |
| Sales | | | – | | | | – | | | | – | |
| Transfers into Level 3(a) | | | 3,935,974 | | | | 119,763 | | | | – | |
| Transfers out of Level 3(a) | | | (14,792,398 | ) | | | – | | | | – | |
| Balance as of September 30, 2022 | | $ | 31,394,105 | | | $ | 175,289 | | | $ | 1,399,232 | |
| Change in unrealized appreciation/depreciation for the period ended September 30, 2022, related to Level 3 investments held at September 30, 2022 | | $ | (8,756,174 | ) | | $ | 55,526 | | | $ | (543,861 | ) |
| (a) | | The fund recognizes transfers within the fair value hierarchy as of the beginning of the period. Transfers into and out of Level 3 were primarily related to the availability of market quotations in accordance with valuation methodology. |
| | See Notes to Schedule of Investments. | 13 |
Notes to Schedule of Investments (unaudited)
Lord Abbett Credit Opportunities Fund (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “Act”), 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”), the Board has designated the determination of fair value of the Fund’s portfolio investments to Lord Abbett, as valuation designee. Accordingly, Lord Abbett is responsible for, among other things, assessing and managing valuation risk, establish, applying and testing fair value methodologies, and evaluating pricing services. Lord Abbett has formed a Pricing Committee that performs these responsibilities on behalf of Lord Abbett, administers the pricing and valuation of portfolio investments, and ensures that prices utilized reasonably reflect fair value. Among other things, these procedures allow Lord Abbett, subject to Board oversight, 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 ask 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. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available. |
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| | 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 observable inputs such as 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 periodically reviews reports that may include fair value determinations made by the Pricing Committee and related market |
14
Notes to Schedule of Investments (unaudited)(continued)
| | activity, inputs and assumptions, and retrospective comparisons of prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. |
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| | Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
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| (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; |
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| | • | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and |
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| | • | 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, 2022 and, if applicable, Level 3 rollforwards for the period then ended is included in the Fund’s Schedule of Investments. |
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| | 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.
15
Notes to Schedule of Investments (unaudited)(concluded)
| 4. | SECURITIES LENDING AGREEMENT |
The Fund has established a securities lending agreement with Citibank, N.A. for the lending of securities to qualified brokers in exchange for securities or cash collateral equal to at least the market value of securities loaned, plus interest, if applicable. Cash collateral is invested in an approved money market fund. In accordance with the Fund’s securities lending agreement, the market value of securities on loan is determined each day at the close of business and any additional collateral required to cover the value of securities on loan is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or the borrower becomes insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan.
The initial collateral received by the Fund is required to have a value equal to at least 100% of the market value of the securities loaned. The collateral must be marked-to-market daily to cover increases in the market value of the securities loaned (or potentially a decline in the value of the collateral). In general, the risk of borrower default will be borne by Citibank, N.A.; the Fund will bear the risk of loss with respect to the investment of the cash collateral. The advantage of such loans is that the Fund continues to receive income on loaned securities while receiving a portion of any securities lending fees and earning returns on the cash amounts which may be reinvested for the purchase of investments in securities.
As of September 30, 2022 the Fund did not have any securities out on loan.
16
QPHR-CREDIT-3Q
(11/22)
