Lord Abbett
Quarterly Portfolio Holdings Report
Lord Abbett
Credit Opportunities Fund
For the period ended September 30, 2023
Schedule of Investments (unaudited)
September 30, 2023
| Investments | | Interest
Rate | | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| LONG-TERM INVESTMENTS 88.56% | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| ASSET-BACKED SECURITIES 22.09% | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| Automobiles 10.88% | | | | | | | | | | | | | |
| CAL Receivables LLC Series 2022-1 Class B† | | 9.663% (30 day USD
SOFR Average + 4.35%) | # | | 10/15/2026 | | $ | 25,550,000 | | | $ | 25,243,109 | |
| Carvana Auto Receivables Trust Series 2021-N1 Class R† | | Zero Coupon | | | 1/10/2028 | | | 10,000 | (a) | | | 1,478,251 | |
| Exeter Automobile Receivables Trust Series 2020-2A Class R† | | Zero Coupon | | | 9/15/2032 | | | 35,000 | (a) | | | 25,222,197 | (b) |
| Exeter Automobile Receivables Trust Series 2021-1A Class R | | Zero Coupon | | | 2/15/2033 | | | 16,020 | (a) | | | 15,470,037 | (b) |
| Exeter Automobile Receivables Trust Series 2021-4A Class R† | | Zero Coupon | | | 12/15/2033 | | | 28,050 | (a) | | | 6,465,786 | |
| Exeter Automobile Receivables Trust Series 2023-2A Class E† | | 9.75% | | | 11/15/2030 | | | 16,149,000 | | | | 16,209,345 | |
| Flagship Credit Auto Trust Series 2020-4 Class R† | | Zero Coupon | | | 7/17/2028 | | | 17,826 | (a) | | | 2,486,445 | (b) |
| Flagship Credit Auto Trust Series 2023-1 Class E† | | 11.44% | | | 4/15/2030 | | | 13,500,000 | | | | 13,830,747 | |
| Flagship Credit Auto Trust Series 2023-2 Class E† | | 10.89% | | | 7/15/2030 | | | 27,190,000 | | | | 27,956,728 | |
| PenFed Auto Receivables Owner Trust Series 2022-A Class R1† | | Zero Coupon | | | 6/17/2030 | | | 30,000 | (a) | | | 4,568,931 | (b) |
| Santander Bank Auto Credit-Linked Notes Series 2022-C Class E† | | 11.366% | | | 12/15/2032 | | | 2,865,939 | | | | 2,887,215 | |
| Santander Bank Auto Credit-Linked Notes Series 2022-C Class F† | | 14.592% | | | 12/15/2032 | | | 20,000,000 | | | | 20,358,188 | |
| Tricolor Auto Securitization Trust Series 2021-1A Class F† | | 5.08% | | | 5/15/2028 | | | 5,250,000 | | | | 5,085,911 | |
| Total | | | | | | | | | | | | 167,262,890 | |
| | | | | | | | | | | | | | |
| Credit Card 0.59% | | | | | | | | | | | | | |
| Continental Finance Credit Card ABS Master Trust Series 2020-1A Class C† | | 5.75% | | | 12/15/2028 | | | 6,500,000 | | | | 5,813,836 | |
| Genesis Sales Finance Master Trust Series 2021-AA Class F† | | 5.59% | | | 12/21/2026 | | | 4,000,000 | | | | 3,306,345 | |
| Total | | | | | | | | | | | | 9,120,181 | |
| | See Notes to Schedule of Investments. | 1 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Other 10.62% | | | | | | | | | | | |
| 720 East CLO Ltd. Series 2023-2A Class E†(c) | | – | (d) | | 10/15/2036 | | $ | 10,000,000 | | | $ | 9,600,000 | |
| AMMC CLO 23 Ltd. Series 2020-23A Class ER† | | 11.97% (3 mo.
USD Term SOFR + 6.66%) | # | | 10/17/2031 | | | 7,500,000 | | | | 7,287,638 | |
| Anchorage Capital CLO 25 Ltd. Series 2022-25A Class SUB† | | Zero Coupon | | | 4/20/2035 | | | 8,000,000 | | | | 5,690,952 | |
| ARES XLVI CLO Ltd. Series 2017-46A Class E† | | 10.87% (3 mo.
USD Term SOFR + 5.56%) | # | | 1/15/2030 | | | 250,000 | | | | 218,818 | |
| Atrium XV Series 15A Class E† | | 11.457% (3 mo.
USD Term SOFR + 6.11%) | # | | 1/23/2031 | | | 2,000,000 | | | | 1,930,709 | |
| Avant Loans Funding Trust Series 2021-REV1 Class E† | | 6.41% | | | 7/15/2030 | | | 3,931,000 | | | | 3,491,894 | |
| Ballyrock CLO Ltd. Series 2022-20A Class DR†(c) | | – | (d) | | 7/15/2034 | | | 5,000,000 | | | | 5,000,000 | |
| Ballyrock CLO Ltd. Series 2023-23A Class C† | | 10.191% (3 mo.
USD Term SOFR + 5.20%) | # | | 4/25/2036 | | | 5,300,000 | | | | 5,391,065 | |
| Ballyrock CLO Ltd. Series 2023-24A Class SUB† | | Zero Coupon | | | 7/15/2036 | | | 11,250,000 | | | | 9,518,100 | |
| Carlyle U.S. CLO Ltd. Series 2021-10A Class E† | | 12.088% (3 mo.
USD Term SOFR + 6.76%) | # | | 10/20/2034 | | | 5,000,000 | | | | 4,807,888 | |
| Carlyle U.S. CLO Ltd. Series 2021-5A Class E† | | 11.838% (3 mo.
USD Term SOFR + 6.51%) | # | | 7/20/2034 | | | 8,125,000 | | | | 7,806,910 | |
| Dryden 45 Senior Loan Fund Series 2016-45A Class ER† | | 11.42% (3 mo.
USD Term SOFR + 6.11%) | # | | 10/15/2030 | | | 7,763,000 | | | | 6,728,910 | |
| Dryden 65 CLO Ltd. Series 2018-65A Class E† | | 11.322% (3 mo.
USD Term SOFR + 6.01%) | # | | 7/18/2030 | | | 3,000,000 | | | | 2,787,930 | |
| Fairstone Financial Issuance Trust I Series 2020-1A Class D†(e) | | 6.873% | | | 10/20/2039 | | CAD | 6,570,000 | | | | 4,822,531 | |
| Galaxy XXVI CLO Ltd. Series 208-26A Class E† | | 11.495% (3 mo.
USD Term SOFR + 6.11%) | # | | 11/22/2031 | | $ | 11,410,000 | | | | 10,789,583 | |
| Galaxy XXVIII CLO Ltd. Series 2018-28A Class E† | | 11.57% (3 mo.
USD Term SOFR + 6.26%) | # | | 7/15/2031 | | | 3,550,000 | | | | 3,350,188 | |
| GoldenTree Loan Management U.S. CLO 4 Ltd. Series 2019-4A Class E† | | 10.357% (3 mo.
USD Term SOFR + 5.01%) | # | | 4/24/2031 | | | 1,750,000 | | | | 1,596,332 | |
| 2 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Other (continued) | | | | | | | | | | | | | |
| OCP CLO Ltd. Series 2014-6A Class DR† | | 12.09% (3 mo.
USD Term SOFR + 6.78%) | # | | 10/17/2030 | | $ | 6,087,000 | | | $ | 5,481,894 | |
| OCP CLO Ltd. Series 2023-26A Class SUB† | | Zero Coupon | | | 4/17/2036 | | | 17,000,000 | | | | 15,195,131 | |
| Pagaya AI Debt Selection Trust Series 2020-1 Class CERT† | | Zero Coupon | | | 7/15/2027 | | | 2,000,000 | (a) | | | 573,044 | (b) |
| Pagaya AI Debt Selection Trust Series 2020-1 Class CERT† | | Zero Coupon | | | 11/15/2027 | | | 2,153,846 | (a) | | | 26,434 | |
| Perimeter Master Note Business Trust | | 5.19% | | | 5/15/2027 | | | 5,000,000 | | | | 4,143,088 | |
| Perimeter Master Note Business Trust | | 8.13% | | | 5/15/2027 | | | 25,000,000 | | | | 19,237,200 | |
| Post Road Equipment Finance Series 2021 Class E† | | 4.36% | | | 3/15/2029 | | | 3,733,000 | | | | 3,687,476 | |
| Rad CLO Ltd. Series 2023-20A Class D† | | 10.406% (3 mo.
USD Term SOFR + 5.00%) | # | | 7/20/2036 | | | 6,500,000 | | | | 6,505,987 | |
| Rad CLO Ltd. Series 2023-20A Class E† | | 13.486% (3 mo.
USD Term SOFR + 8.08%) | # | | 7/20/2036 | | | 11,250,000 | | | | 11,417,424 | |
| Regatta XIV Funding Ltd. Series 2018-3A Class E† | | 11.563% (3 mo.
USD Term SOFR + 6.21%) | # | | 10/25/2031 | | | 3,400,000 | | | | 3,087,626 | |
| TICP CLO XI Ltd. Series 2018-11A Class E† | | 11.588% (3 mo.
USD Term SOFR + 6.26%) | # | | 10/20/2031 | | | 3,175,000 | | | | 3,085,596 | |
| Total | | | | | | | | | | | | 163,260,348 | |
| Total Asset-Backed Securities (cost $380,152,238) | | | | | | | | | 339,643,419 | |
| | | | | | | | | | | | | | |
| | | | | | | | | Shares | | | | | |
| COMMON STOCKS 0.01% | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| Transportation Infrastructure | | | | | | | | | | | | | |
ACBL Holdings Corp.
(cost $132,392) | | | | | | | | 4,355 | | | | 195,975 | (b) |
| | | | | | | | | | | | | | |
| | | | | | | | Principal
Amount | | | | | |
| CONVERTIBLE BONDS 2.12% | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| Airlines 0.69% | | | | | | | | | | | | | |
| JetBlue Airways Corp. | | 0.50% | | | 4/1/2026 | | $ | 13,694,000 | | | | 10,655,301 | |
| | | | | | | | | | | | | | |
| Oil & Gas 0.81% | | | | | | | | | | | | | |
| Nabors Industries, Inc.† | | 1.75% | | | 6/15/2029 | | | 14,000,000 | | | | 12,383,000 | |
| | See Notes to Schedule of Investments. | 3 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Trucking & Leasing 0.62% | | | | | | | | | | | | | |
| Greenbrier Cos., Inc. | | 2.875% | | | 4/15/2028 | | $ | 10,000,000 | | | $ | 9,470,000 | |
| Total Convertible Bonds (cost $36,695,231) | | | | | | | | | | | | 32,508,301 | |
| | | | | | | | | | | | | | |
| CORPORATE BONDS 54.89% | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| Aerospace/Defense 2.53% | | | | | | | | | | | | | |
| Triumph Group, Inc. | | 7.75% | | | 8/15/2025 | | | 40,920,000 | | | | 38,921,263 | |
| | | | | | | | | | | | | | |
| Airlines 2.29% | | | | | | | | | | | | | |
| VistaJet Malta Finance PLC/Vista Management Holding, Inc. (Malta)†(f) | | 6.375% | | | 2/1/2030 | | | 38,250,000 | | | | 29,606,452 | |
| VistaJet Malta Finance PLC/Vista Management Holding, Inc. (Malta)†(f) | | 9.50% | | | 6/1/2028 | | | 6,300,000 | | | | 5,539,600 | |
| Total | | | | | | | | | | | | 35,146,052 | |
| | | | | | | | | | | | | | |
| Auto Parts & Equipment 0.64% | | | | | | | | | | | | | |
| Real Hero Merger Sub 2, Inc.† | | 6.25% | | | 2/1/2029 | | | 12,619,000 | | | | 9,760,866 | |
| | | | | | | | | | | | | | |
| Building Materials 1.00% | | | | | | | | | | | | | |
| ACProducts Holdings, Inc.† | | 6.375% | | | 5/15/2029 | | | 23,349,000 | | | | 15,438,709 | |
| | | | | | | | | | | | | | |
| Chemicals 0.51% | | | | | | | | | | | | | |
| Kobe U.S. Midco 2, Inc.† | | 9.25% | | | 11/1/2026 | | | 10,760,000 | | | | 7,868,250 | |
| | | | | | | | | | | | | | |
| Commercial Services 1.85% | | | | | | | | | | | | | |
| BCP V Modular Services Finance PLC(e) | | 6.75% | | | 11/30/2029 | | EUR | 37,076,000 | | | | 28,515,338 | |
| | | | | | | | | | | | | | |
| Diversified Financial Services 6.63% | | | | | | | | | | | | | |
| Armor Holdco, Inc.† | | 8.50% | | | 11/15/2029 | | $ | 28,645,000 | | | | 24,962,828 | |
| Global Aircraft Leasing Co. Ltd. (Cayman Islands)†(f) | | 6.50% | | | 9/15/2024 | | | 39,238,729 | | | | 37,315,465 | |
| Macquarie Airfinance Holdings Ltd. (United Kingdom)†(f) | | 8.125% | | | 3/30/2029 | | | 13,589,000 | | | | 13,615,838 | |
| Osaic Holdings, Inc.† | | 10.75% | | | 8/1/2027 | | | 14,113,000 | | | | 14,209,660 | |
| SCF Preferred Equity LLC† | | 7.50%
(5 yr. CMT + 6.73%) | # | | – | (g) | | 15,000,000 | | | | 11,850,000 | |
| Total | | | | | | | | | | | | 101,953,791 | |
| | | | | | | | | | | | | | |
| Engineering & Construction 0.52% | | | | | | | | | | | | | |
| Brand Industrial Services, Inc.† | | 10.375% | | | 8/1/2030 | | | 8,005,000 | | | | 8,027,334 | |
| | | | | | | | | | | | | | |
| Entertainment 1.29% | | | | | | | | | | | | | |
| AMC Entertainment Holdings, Inc.† | | 10.00% | | | 6/15/2026 | | | 28,473,865 | | | | 19,797,923 | |
| 4 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Environmental Control 2.11% | | | | | | | | | | | | | |
| Madison IAQ LLC† | | 5.875% | | | 6/30/2029 | | $ | 40,254,000 | | | $ | 32,464,126 | |
| | | | | | | | | | | | | | |
| Holding Companies-Diversified 2.16% | | | | | | | | | | | | | |
| Benteler International AG (Austria)†(f) | | 10.50% | | | 5/15/2028 | | | 33,209,000 | | | | 33,282,474 | |
| | | | | | | | | | | | | | |
| Internet 1.19% | | | | | | | | | | | | | |
| EquipmentShare.com, Inc.† | | 9.00% | | | 5/15/2028 | | | 18,964,000 | | | | 18,252,850 | |
| | | | | | | | | | | | | | |
| Lodging 0.82% | | | | | | | | | | | | | |
| Full House Resorts, Inc.† | | 8.25% | | | 2/15/2028 | | | 14,318,000 | | | | 12,547,007 | |
| | | | | | | | | | | | | | |
| Machinery-Diversified 1.73% | | | | | | | | | | | | | |
| Mueller Water Products, Inc.† | | 4.00% | | | 6/15/2029 | | | 5,494,000 | | | | 4,790,689 | |
| SPX FLOW, Inc.† | | 8.75% | | | 4/1/2030 | | | 23,579,000 | | | | 21,826,608 | |
| Total | | | | | | | | | | | | 26,617,297 | |
| | | | | | | | | | | | | | |
| Media 0.52% | | | | | | | | | | | | | |
| CSC Holdings LLC† | | 4.625% | | | 12/1/2030 | | | 10,750,000 | | | | 5,728,978 | |
| CSC Holdings LLC† | | 5.75% | | | 1/15/2030 | | | 4,000,000 | | | | 2,247,063 | |
| Total | | | | | | | | | | | | 7,976,041 | |
| | | | | | | | | | | | | | |
| Oil & Gas 16.86% | | | | | | | | | | | | | |
| Berry Petroleum Co. LLC† | | 7.00% | | | 2/15/2026 | | | 34,470,000 | | | | 33,053,455 | |
| Crescent Energy Finance LLC† | | 7.25% | | | 5/1/2026 | | | 14,898,000 | | | | 14,615,906 | |
| Crescent Energy Finance LLC† | | 9.25% | | | 2/15/2028 | | | 24,647,000 | | | | 25,187,016 | |
| Encino Acquisition Partners Holdings LLC† | | 8.50% | | | 5/1/2028 | | | 15,768,000 | | | | 15,158,015 | |
| Gulfport Energy Corp.† | | 8.00% | | | 5/17/2026 | | | 4,595,000 | | | | 4,604,810 | |
| Kosmos Energy Ltd.† | | 7.50% | | | 3/1/2028 | | | 11,580,000 | | | | 10,408,394 | |
| Kosmos Energy Ltd.† | | 7.75% | | | 5/1/2027 | | | 5,300,000 | | | | 4,903,798 | |
| Nabors Industries Ltd.† | | 7.25% | | | 1/15/2026 | | | 19,801,000 | | | | 19,155,487 | |
| Petroleos Mexicanos (Mexico)(f) | | 6.84% | | | 1/23/2030 | | | 10,000,000 | | | | 7,822,319 | |
| Precision Drilling Corp. (Canada)†(f) | | 6.875% | | | 1/15/2029 | | | 14,727,000 | | | | 13,963,647 | |
| Shelf Drilling Holdings Ltd. (United Arab Emirates)†(c)(f) | | 9.625% | | | 4/15/2029 | | | 22,310,000 | | | | 22,106,693 | |
| Valaris Ltd.† | | 8.375% | | | 4/30/2030 | | | 34,924,000 | | | | 34,980,752 | |
| Vital Energy, Inc.† | | 7.75% | | | 7/31/2029 | | | 32,055,000 | | | | 29,852,825 | |
| W&T Offshore, Inc.† | | 11.75% | | | 2/1/2026 | | | 22,595,000 | | | | 23,322,785 | |
| Total | | | | | | | | | | | | 259,135,902 | |
| | See Notes to Schedule of Investments. | 5 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Oil & Gas Services 4.47% | | | | | | | | | | | | | |
| KLX Energy Services Holdings, Inc.† | | 11.50% | | | 11/1/2025 | | $ | 12,028,000 | | | $ | 11,939,012 | |
| Nine Energy Service, Inc. | | 13.00% | | | 2/1/2028 | | | 31,437,000 | | | | 29,197,605 | |
| Oceaneering International, Inc. | | 6.00% | | | 2/1/2028 | | | 17,210,000 | | | | 16,230,579 | |
| Oceaneering International, Inc.†(c) | | 6.00% | | | 2/1/2028 | | | 12,000,000 | | | | 11,317,080 | |
| Total | | | | | | | | | | | | 68,684,276 | |
| | | | | | | | | | | | | | |
| Real Estate 0.48% | | | | | | | | | | | | | |
| CIFI Holdings Group Co. Ltd. (China)(f)(h) | | 4.375% | | | 4/12/2027 | | | 2,000,000 | | | | 155,000 | |
| CIFI Holdings Group Co. Ltd. (China)(f)(h) | | 5.25% | | | 5/13/2026 | | | 1,800,000 | | | | 139,500 | |
| CIFI Holdings Group Co. Ltd. (China)(f)(h) | | 6.00% | | | 7/16/2025 | | | 7,000,000 | | | | 525,000 | |
| Kaisa Group Holdings Ltd. (China)(f) | | 10.50% | | | 1/15/2025 | | | 5,000,000 | | | | 293,750 | |
| Kaisa Group Holdings Ltd. (China)(f)(h) | | 11.95% | | | 11/12/2023 | | | 2,300,000 | | | | 135,125 | |
| Logan Group Co. Ltd. (China)(f)(h) | | 4.50% | | | 1/13/2028 | | | 4,000,000 | | | | 230,000 | |
| Logan Group Co. Ltd. (China)(f)(h) | | 5.25% | | | 2/23/2023 | | | 8,000,000 | | | | 460,000 | |
| Shimao Group Holdings Ltd. (Hong Kong)(f)(h) | | 3.45% | | | 1/11/2031 | | | 7,277,000 | | | | 297,265 | |
| Shimao Group Holdings Ltd. (Hong Kong)(f)(h) | | 5.20% | | | 1/16/2027 | | | 26,223,000 | | | | 983,363 | |
| Sunac China Holdings Ltd. (China)(f)(h) | | 5.95% | | | 4/26/2024 | | | 13,500,000 | | | | 2,160,000 | |
| Sunac China Holdings Ltd. (China)(f) | | 6.50% | | | 1/10/2025 | | | 8,000,000 | | | | 1,280,000 | |
| Sunac China Holdings Ltd. (China)(f)(h) | | 6.80% | | | 10/20/2024 | | | 3,500,000 | | | | 560,000 | |
| Sunac China Holdings Ltd. (China)(f) | | 7.50% | | | 2/1/2024 | | | 1,000,000 | | | | 160,000 | |
| Total | | | | | | | | | | | | 7,379,003 | |
| | | | | | | | | | | | | | |
| Retail 6.73% | | | | | | | | | | | | | |
| BCPE Ulysses Intermediate, Inc.† | | 7.75% | | | 4/1/2027 | | | 45,180,000 | | | | 39,414,397 | |
| GPS Hospitality Holding Co. LLC/GPS Finco, Inc.† | | 7.00% | | | 8/15/2028 | | | 42,878,000 | | | | 29,507,368 | |
| Park River Holdings, Inc.† | | 5.625% | | | 2/1/2029 | | | 27,956,000 | | | | 21,350,472 | |
| Park River Holdings, Inc.† | | 6.75% | | | 8/1/2029 | | | 16,668,000 | | | | 13,229,392 | |
| Total | | | | | | | | | | | | 103,501,629 | |
| | | | | | | | | | | | | | |
| Telecommunications 0.29% | | | | | | | | | | | | | |
| Viasat, Inc.† | | 7.50% | | | 5/30/2031 | | | 6,750,000 | | | | 4,466,813 | |
| | | | | | | | | | | | | | |
| Transportation 0.27% | | | | | | | | | | | | | |
| Forward Air Corp.†(c) | | 9.50% | | | 10/15/2031 | | | 4,200,000 | | | | 4,200,504 | |
| Total Corporate Bonds (cost $892,847,864) | | | | | | | | | | | | 843,937,448 | |
| | | | | | | | | | | | | | |
| FLOATING RATE LOANS(i) 7.79% | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| Auto Parts & Equipment 0.19% | | | | | | | | | | | | | |
| RealTruck Group, Inc. 2023 Incremental Term Loan | | – | (d) | | 1/31/2028 | | | 3,000,000 | | | | 2,940,000 | (j) |
| 6 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Building & Construction 0.53% | | | | | | | | | | | | | |
| USIC Holdings, Inc. 2021 2nd Lien Term Loan | | 11.931% (1 mo.
USD Term SOFR + 6.50%) | | | 5/14/2029 | | $ | 8,726,238 | | | $ | 8,191,756 | |
| | | | | | | | | | | | | | |
| Building Materials 1.41% | | | | | | | | | | | | | |
| ACProducts, Inc. 2021 Term Loan B | | 9.902% (3 mo.
USD Term SOFR + 4.25%) | | | 5/17/2028 | | | 26,215,906 | | | | 21,730,102 | |
| | | | | | | | | | | | | | |
| Construction & Engineering 1.11% | | | | | | | | | | | | | |
| Brand Industrial Services, Inc. 2023 Term Loan B | | 10.872% (3 mo.
USD Term SOFR + 5.50%) | | | 8/1/2030 | | | 17,470,845 | | | | 17,068,142 | |
| | | | | | | | | | | | | | |
| Entertainment 0.99% | | | | | | | | | | | | | |
| ECL Entertainment LLC 2023 Term Loan B | | 10.14% (3 mo.
USD Term SOFR + 4.75%) | | | 8/31/2030 | | | 6,958,631 | | | | 6,958,631 | |
| Vue International Bidco PLC 2022 EUR Term Loan(e) | | 12.072% (6 mo.
EURIBOR + 8.00%) | | | 6/30/2027 | | EUR | 2,105,399 | | | | 2,175,850 | |
| Vue International Bidco PLC 2023 EUR PIK Term Loan 6.50%(e) | | 4.859% (6 mo.
EURIBOR + 2.00%) | | | 12/31/2027 | | EUR | 12,048,274 | | | | 6,093,050 | |
| Total | | | | | | | | | | | | 15,227,531 | |
| | | | | | | | | | | | | | |
| Gaming/Leisure 1.83% | | | | | | | | | | | | | |
| Silk Bidco AS EUR Term Loan B(e) | | 10.451% (6 mo.
EURIBOR + 6.50%) | | | 2/28/2027 | | EUR | 33,518,596 | | | | 28,052,179 | |
| | | | | | | | | | | | | | |
| Internet Companies 1.06% | | | | | | | | | | | | | |
| NEXUS Buyer LLC 2021 Second Lien Term Loan | | 11.666% (1 mo.
USD Term SOFR + 6.25%) | | | 11/5/2029 | | $ | 17,000,001 | | | | 16,235,086 | |
| | | | | | | | | | | | | | |
| Machinery: Diversified 0.23% | | | | | | | | | | | | | |
| LSF12 Badger Bidco LLC Term Loan B | | 11.316% (3 mo.
USD Term SOFR + 6.00%) | | | 8/30/2030 | | | 3,593,207 | | | | 3,593,207 | |
| | | | | | | | | | | | | | |
| Manufacturing 0.26% | | | | | | | | | | | | | |
| ABG Intermediate Holdings 2 LLC 2021 2nd Lien Term Loan | | – | (d) | | 12/20/2029 | | | 3,991,521 | | | | 4,031,436 | |
| | See Notes to Schedule of Investments. | 7 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Pharmaceuticals 0.13% | | | | | | | | | | | |
| Canopy Growth Corp. Term Loan (Canada)(f) | | 14.183%
(3 mo. USD LIBOR + 8.50%) | | | 3/18/2026 | | $ | 2,328,718 | | | $ | 1,944,479 | |
| | | | | | | | | | | | | | |
| Recreation & Travel 0.05% | | | | | | | | | | | | | |
| United FP Holdings LLC 2019 2nd Lien Term Loan | | 14.131% (3 mo.
USD Term SOFR + 8.50%) | | | 12/30/2027 | | | 1,000,000 | | | | 795,000 | |
| Total Floating Rate Loans (cost $129,804,718) | | | | | | | | | | | | 119,808,918 | |
| | | | | | | | | | | | | | |
| NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 1.58% | |
| CF Trust Series 2019-BOSS Class B1A† | | 16.88% (1 mo.
USD Term SOFR + 11.55%) | # | | 12/15/2024 | | | 1,100,000 | | | | 1,019,634 | |
| Commercial Mortgage Pass-Through Certificates Series 2015-DC1 Class D† | | 4.438% | #(k) | | 2/10/2048 | | | 5,000,000 | | | | 3,885,196 | |
| GS Mortgage Securities Corp. Trust Series 2021-RENT Class G† | | 11.147% (1 mo.
USD Term SOFR + 5.81%) | # | | 11/21/2035 | | | 8,214,886 | | | | 883,100 | |
| GS Mortgage Securities Corp. Trust Series 2021-RSMZ Class MZ† | | 14.947% (1 mo.
USD Term SOFR + 9.61%) | # | | 6/15/2026 | | | 11,250,000 | | | | 112,500 | (l) |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class D† | | 3.931% | #(k) | | 6/10/2027 | | | 614,619 | | | | 13,165 | |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2020-1 Class F† | | 14.447% (1 mo.
USD Term SOFR + 9.11%) | # | | 9/15/2029 | | | 850,000 | | | | 564,719 | (b) |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2021-1 Class XCP† | | Zero Coupon | #(k) | | 9/15/2029 | | | 67,025,943 | | | | 1 | (l) |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2021-1440 Class F† | | 10.298% (1 mo.
USD Term SOFR + 4.96%) | # | | 3/15/2036 | | | 6,025,000 | | | | 1,394,337 | (b) |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2021-BOLT Class D† | | 12.148% (1 mo.
USD Term SOFR + 6.81%) | # | | 8/15/2033 | | | 15,790,000 | (a) | | | 13,865,594 | |
| Laurel Road Prime Student Loan Trust Series 2019-A Class R† | | Zero Coupon | | | 10/25/2048 | | | 3,139,867 | | | | 600,656 | |
| 8 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |
| Palisades Center Trust Series 2016-PLSD Class A† | | 2.713% | | | 4/13/2033 | | $ | 3,200,000 | | | $ | 1,868,800 | |
| Palisades Center Trust Series 2016-PLSD Class D† | | 4.737% | | | 4/13/2033 | | | 225,000 | | | | 10,560 | |
| Total Non-Agency Commercial Mortgage-Backed Securities (cost $49,459,624) | | | | | | 24,218,262 | |
| | | | | | | | | | | | | | |
| | | | Dividend
Rate | | | | | Shares | | | | | |
| | | | | | | | | | | | | | |
| PREFERRED STOCKS 0.08% | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| Transportation Infrastructure | | | | | | | | | | | | | |
| ACBL Holdings Corp. | | Zero Coupon | | | | | | 11,542 | | | | 271,237 | |
| ACBL Holdings Corp. | | Zero Coupon | | | | | | 15,891 | | | | 874,005 | |
| Total Preferred Stocks (cost $685,825) | | | | | | | | | | | | 1,145,242 | |
| | | | | | | | | | | | | | |
| | | | Exercise
Price | | Expiration
Date | | | | | | | | |
| WARRANTS 0.00% | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| Specialty Retail | | | | | | | | | | | | | |
| Chinos Intermediate Holdings A, Inc.* (cost $34,899) | | $3.20 | | | 12/31/2099 | | | 9,971 | | | | 22,440 | |
| Total Long-Term Investments (cost $1,489,812,791) | | | | | | | | | | 1,361,480,005 | |
| | | | | | | | | | | | | | |
| | | | Interest
Rate | | Maturity
Date | | | | | | | | |
| SHORT-TERM INVESTMENTS 11.65% | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| COMMERCIAL PAPER 8.01% | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| Electric 1.55% | | | | | | | | | | | | | |
| Exelon Corp.† | | 5.478% | | | 10/2/2023 | | | 23,800,000 | | | | 23,800,000 | |
| | | | | | | | | | | | | | |
| Food 1.30% | | | | | | | | | | | | | |
| Conagra Brands, Inc.† | | 5.786% | | | 10/3/2023 | | | 20,000,000 | | | | 19,996,834 | |
| | | | | | | | | | | | | | |
| Health Care-Services 1.50% | | | | | | | | | | | | | |
| Humana, Inc.† | | 5.528% | | | 10/2/2023 | | | 23,000,000 | | | | 23,000,000 | |
| | | | | | | | | | | | | | |
| Oil & Gas 0.96% | | | | | | | | | | | | | |
| Marathon Oil Corp.† | | 6.036% | | | 10/2/2023 | | | 14,833,000 | | | | 14,833,000 | |
| | See Notes to Schedule of Investments. | 9 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Pipelines 1.63% | | | | | | | | | | | |
| Energy Transfer LP | | 5.833% | | | 10/2/2023 | | $ | 25,000,000 | | | $ | 25,000,000 | |
| | | | | | | | | | | | | | |
| Retail 1.07% | | | | | | | | | | | | | |
| AUTONATION, Inc.† | | 6.047% | | | 10/11/2023 | | | 16,500,000 | | | | 16,475,456 | |
| Total Commercial Paper (cost $123,085,899) | | | | | | | | | | | | 123,105,290 | |
| | | | | | | | | | | | | | |
| REPURCHASE AGREEMENTS 2.52% | | | | | | | | | | | | | |
Repurchase Agreement dated 9/29/2023, 2.800% due 10/2/2023 with Fixed Income Clearing Corp. collateralized by $18,394,200 of U.S. Treasury Note at 0.750% due 4/30/2026; value: $16,614,636; proceeds: $16,292,657
(cost $16,288,856) | | | | | | | | 16,288,856 | | | | 16,288,856 | |
| | | | | | | | | | | | | | |
Repurchase Agreement dated 9/29/2023, 5.200% due 10/2/2023 with Barclays Capital, Inc. collateralized by $22,929,000 of U.S. Treasury Note at 4.750% due 7/31/2025; value: $22,949,063; proceeds: $22,508,831
(cost $22,499,081) | | | | | | | | 22,499,081 | | | | 22,499,081 | |
| Total Repurchase Agreements (cost $38,787,937) | | | | | | | | | | 38,787,937 | |
| | | | | | | | | | | | | | |
| U.S. TREASURY OBLIGATIONS 1.12% | | | | | | | | | | | | | |
U.S. Treasury Bills
(Cost $17,306,606) | | Zero Coupon | | | 11/24/2023 | | | 17,442,000 | | | | 17,305,808 | |
| Total Short-Term Investments (cost $179,180,442) | | | | | | | | | | 179,199,035 | |
| Total Investments in Securities 100.21% (cost $1,668,993,233) | | | | | | | | | | 1,540,679,040 | |
| Other Assets and Liabilities – Net(m) (0.21)% | | | | | | | | | | (3,273,046 | ) |
| Net Assets 100.00% | | | | | | | | | | | $ | 1,537,405,994 | |
| | | |
| CAD | | Canadian Dollar. |
| EUR | | Euro. |
| CMT | | Constant Maturity Rate. |
| EURIBOR | | Euro Interbank Offered Rate. |
| LIBOR | | London Interbank Offered Rate. |
| PIK | | Payment-in-kind. |
| SOFR | | Secured Overnight 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, 2023, the total value of Rule 144A securities was $1,151,370,987, which represents 74.89% of net assets. |
| # | | Variable rate security. The interest rate represents the rate in effect at September 30, 2023. |
| * | | Non-income producing security. |
| (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) | | Securities purchased on a when-issued basis. |
| 10 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
| (d) | | Interest Rate to be determined. |
| (e) | | Investment in non-U.S. dollar denominated securities. |
| (f) | | Foreign security traded in U.S. dollars. |
| (g) | | Security is perpetual in nature and has no stated maturity. |
| (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, 2023. |
| (j) | | Level 3 Investment as described in Note 2(b) in the Schedule of Investments. 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. |
| (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 swap contracts as follows: |
Centrally Cleared Credit Default Swap Contracts on Indexes - Buy Protection at September 30, 2023(1):
Referenced
Indexes | | Central
Clearing
Party | | Fund
Pays
(Quarterly) | | Termination
Date | | Notional
Amount | | | Payments
Upfront(2) | | | Unrealized
Appreciation(3) | | Value | |
| Boeing Co.(4)(5) | | Bank of America | | 1.00% | | 6/20/2028 | | | $ | 25,000,000 | | | | $ | (230,526 | ) | | | $ | 20,230 | | | $ | (210,296 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Referenced
Indexes | | Central
Clearing
Party | | Fund
Pays
(Quarterly) | | Termination
Date | | Notional
Amount | | | Payments
Upfront(2) | | | Unrealized
Depreciation(3) | | Value | |
| Federal Republic of Germany(4)(5) | | Bank of America | | 0.25% | | 12/20/2026 | | | $ | 35,000,000 | | | | $ | (108,681 | ) | | | $ | (8,534 | ) | | $ | (117,215 | ) |
| Federal Republic of Germany(4)(5) | | Bank of America | | 0.25% | | 12/20/2027 | | | | 10,000,000 | | | | | (13,317 | ) | | | | (15,069 | ) | | | (28,386 | ) |
| General Motors Co.(4)(5) | | Bank of America | | 5.00% | | 6/20/2028 | | | | 25,000,000 | | | | | (3,111,968 | ) | | | | (219,860 | ) | | | (3,331,828 | ) |
| General Motors Co.(4)(5) | | Bank of America | | 5.00% | | 12/20/2028 | | | | 5,000,000 | | | | | (655,573 | ) | | | | (37,063 | ) | | | (692,636 | ) |
| | | | | | | | | | | | | | | $ | (3,889,539 | ) | | | $ | (280,526 | ) | | $ | (4,170,065 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Credit Default Swap Contracts on Indexes - Sell Protection at September 30, 2023(1): | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Referenced
Indexes | | Central
Clearing
Party | | Fund
Receives
(Quarterly) | | Termination
Date | | Notional
Amount | | | Payments
Upfront(2) | | | Unrealized
Appreciation(3) | | Value | |
| COMHLTH(4)(5) | | Bank of America | | 5.00% | | 12/20/2024 | | | $ | 9,000,000 | | | | $ | (504,113 | ) | | | $ | 59,288 | | | $ | (444,825 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Referenced
Indexes | | Central
Clearing
Party | | Fund
Receives
(Quarterly) | | Termination
Date | | Notional
Amount | | | Payments
Upfront(2) | | | Unrealized
Depreciation(3) | | Value | |
| COMHLTH(4)(5) | | Bank of America | | 5.00% | | 6/20/2025 | | | $ | 12,000,000 | | | | $ | (1,125,549 | ) | | | $ | (213,079 | ) | | $ | (1,338,628 | ) |
| Markit CDX. NA.HY.40(4)(6) | | Bank of America | | 5.00% | | 6/20/2028 | | | | 30,000,000 | | | | | 729,205 | | | | | (258,990 | ) | | | 470,215 | |
| | | | | | | | | | | | | | | $ | (396,344 | ) | | | $ | (472,069 | ) | | $ | (868,413 | ) |
| | See Notes to Schedule of Investments. | 11 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
| (1) | | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap contract agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap contracts and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap contracts 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 contract agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap contracts 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 contracts 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 Swap Contracts on Indexes amounted to $79,518. Total unrealized depreciation on Credit Default Swap Contracts on Indexes amounted to $752,595. |
| (4) | | Central Clearinghouse: Intercontinental Exchange (ICE). |
| (5) | | Moody’s Credit Rating: Baa3. |
| (6) | | The Referenced Index is for the Centrally Cleared Credit Default Swap Contracts on Indexes, which is comprised of a basket of high yield securities. |
Forward Foreign Currency Exchange Contracts at September 30, 2023:
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | | Unrealized
Appreciation | |
| Canadian dollar | | Sell | | Morgan Stanley | | 11/20/2023 | | 6,236,000 | | $ | 4,749,704 | | | $ | 4,594,244 | | | | $ | 155,460 | |
| Canadian dollar | | Sell | | State Street Bank and Trust | | 11/20/2023 | | 413,000 | | | 305,666 | | | | 304,269 | | | | | 1,397 | |
| Euro | | Sell | | Toronto Dominion Bank | | 12/13/2023 | | 63,532,000 | | | 68,574,853 | | | | 67,384,736 | | | | | 1,190,117 | |
| Total Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | $ | 1,346,974 | |
| 12 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
The following is a summary of the inputs used as of September 30, 2023 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 | | $ | – | | | | $ | 119,515,280 | | | | $ | 47,747,610 | | | | $ | 167,262,890 | |
| Other | | | – | | | | | 162,687,304 | | | | | 573,044 | | | | | 163,260,348 | |
| Remaining Industries | | | – | | | | | 9,120,181 | | | | | – | | | | | 9,120,181 | |
| Common Stocks | | | – | | | | | – | | | | | 195,975 | | | | | 195,975 | |
| Convertible Bonds | | | – | | | | | 32,508,301 | | | | | – | | | | | 32,508,301 | |
| Corporate Bonds | | | – | | | | | 843,937,448 | | | | | – | | | | | 843,937,448 | |
| Floating Rate Loans | | | | | | | | | | | | | | | | | | | |
| Auto Parts & Equipment | | | – | | | | | – | | | | | 2,940,000 | | | | | 2,940,000 | |
| Remaining Industries | | | – | | | | | 116,868,918 | | | | | – | | | | | 116,868,918 | |
| Non-Agency Commercial | | | | | | | | | | | | | | | | | | | |
| Mortgage-Backed Securities | | | – | | | | | 22,146,705 | | | | | 2,071,557 | | | | | 24,218,262 | |
| Preferred Stocks | | | – | | | | | 1,145,242 | | | | | – | | | | | 1,145,242 | |
| Warrants | | | – | | | | | 22,440 | | | | | – | | | | | 22,440 | |
| Short-Term Investments | | | | | | | | | | | | | | | | | | | |
| Commercial Paper | | | – | | | | | 123,105,290 | | | | | – | | | | | 123,105,290 | |
| U.S. Treasury Obligations | | | – | | | | | 17,305,808 | | | | | – | | | | | 17,305,808 | |
| Repurchase Agreements | | | – | | | | | 38,787,937 | | | | | – | | | | | 38,787,937 | |
| Total | | $ | – | | | | $ | 1,487,150,854 | | | | $ | 53,528,186 | | | | $ | 1,540,679,040 | |
| Other Financial Instruments | | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Credit Default Swap Contracts | | | | | | | | | | | | | | | | | | | |
| Assets | | $ | – | | | | $ | – | | | | $ | – | | | | $ | – | |
| Liabilities | | | – | | | | | (5,693,599 | ) | | | | – | | | | | (5,693,599 | ) |
| Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | | | | |
| Assets | | | – | | | | | 1,346,974 | | | | | – | | | | | 1,346,974 | |
| Liabilities | | | – | | | | | – | | | | | – | | | | | – | |
| Total | | $ | – | | | | $ | (4,346,625 | ) | | | $ | – | | | | $ | (4,346,625 | ) |
| (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. When applicable, each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. |
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. Management has determined not to provide a reconciliation as the balance of Level 3 investments was not considered to be material to the Fund’s net assets at the beginning or end of the period.
| | See Notes to Schedule of Investments. | 13 |
Schedule of Investments (unaudited)(concluded)
September 30, 2022
| Investment Type | | Asset-
Backed
Securities | | | Common
Stocks | | | Floating
Rate
Loans | | | Non-Agency
Commercial
Mortgage-
Backed
Securities | |
| Balance as of January 1, 2023 | | | $ | 18,961,143 | | | | $ | – | | | | $ | – | | | | $ | 1,490,155 | |
| Accrued Discounts (Premiums) | | | | (5,759 | ) | | | | – | | | | | – | | | | | 2,234 | |
| Realized Gain (Loss) | | | | – | | | | | – | | | | | – | | | | | – | |
| Change in Unrealized | | | | | | | | | | | | | | | | | | | | |
| Appreciation (Depreciation) | | | | (3,328,711 | ) | | | | 23,952 | | | | | 15,000 | | | | | (15,018,053 | ) |
| Purchases | | | | 41,422,690 | | | | | – | | | | | 2,925,000 | | | | | – | |
| Sales | | | | – | | | | | – | | | | | – | | | | | – | |
| Transfers into Level 3(a) | | | | 3,295,302 | | | | | 172,023 | | | | | – | | | | | 16,657,063 | |
| Transfers out of Level 3(a) | | | | (12,024,011 | ) | | | | – | | | | | ��� | | | | | (1,059,842 | ) |
| Balance as of September 30, 2023 | | | $ | 48,320,654 | | | | $ | 195,975 | | | | $ | 2,940,000 | | | | $ | 2,071,557 | |
| Change in unrealized appreciation/depreciation for the period ended September 30, 2023, related to Level 3 investments held at September 30, 2023 | | | $ | (3,328,711 | ) | | | $ | 23,952 | | | | $ | 15,000 | | | | $ | (15,018,053 | ) |
| (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. |
| 14 | 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 (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 its valuation designee. Accordingly, Lord Abbett is responsible for, among other things, assessing and managing valuation risks, establishing, 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 Pricing Committee uses a third-party 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 valuation 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. |
| | |
| | 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, related market activity, inputs and assumptions, and retrospective comparison of prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. |
15
Notes to Schedule of Investments (unaudited)(continued)
| | Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
| | |
| (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, 2023 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.
16
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, 2023, the Fund did not have any securities on loan.
17
QPHR-CREDIT-3Q
(11/23)
