Lord Abbett
Quarterly Portfolio Holdings Report
Lord Abbett
Floating Rate High Income Fund
For the period ended September 30, 2023
Consolidated Schedule of Investments (unaudited)
September 30, 2023
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| LONG-TERM INVESTMENTS 125.49% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| ASSET-BACKED SECURITIES 0.90% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Automobiles | | | | | | | | | | | | |
CAL Receivables LLC Series 2022-1 Class B†
(cost $97,305) | | 9.663% (30 day USD
SOFR Average + 4.35%) | # | 10/15/2026 | | $ | 100,000 | | | $ | 98,799 | |
| | | | | | | | | | | | | |
| CONVERTIBLE BONDS 0.49% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Airlines | | | | | | | | | | | | |
JetBlue Airways Corp.
(cost $58,354) | | 0.50% | | 4/1/2026 | | | 69,000 | | | | 53,689 | |
| | | | | | | | | | | | | |
| CORPORATE BONDS 9.83% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Aerospace/Defense 1.22% | | | | | | | | | | | | |
| Triumph Group, Inc. | | 7.75% | | 8/15/2025 | | | 140,000 | | | | 133,162 | |
| | | | | | | | | | | | | |
| Airlines 0.50% | | | | | | | | | | | | |
| VistaJet Malta Finance PLC/Vista Management Holding, Inc. (Malta)†(a) | | 9.50% | | 6/1/2028 | | | 62,000 | | | | 54,517 | |
| | | | | | | | | | | | | |
| Auto Manufacturers 0.63% | | | | | | | | | | | | |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC† | | 10.931% (6 mo.
USD LIBOR + 5.63%) | # | 10/15/2026 | | | 69,000 | | | | 69,517 | |
| | | | | | | | | | | | | |
| Diversified Financial Services 1.20% | | | | | | | | | | | | |
| Global Aircraft Leasing Co. Ltd. (Cayman Islands)†(a) | | 6.50% | | 9/15/2024 | | | 138,000 | | | | 131,236 | |
| | | | | | | | | | | | | |
| Internet 0.61% | | | | | | | | | | | | |
| EquipmentShare.com, Inc.† | | 9.00% | | 5/15/2028 | | | 69,000 | | | | 66,412 | |
| | | | | | | | | | | | | |
| Machinery-Diversified 0.93% | | | | | | | | | | | | |
| Husky III Holding Ltd. (Canada)†(a) | | 13.00% | | 2/15/2025 | | | 103,000 | | | | 102,230 | |
| | | | | | | | | | | | | |
| Oil & Gas 1.86% | | | | | | | | | | | | |
| Berry Petroleum Co. LLC† | | 7.00% | | 2/15/2026 | | | 69,000 | | | | 66,164 | |
| Crescent Energy Finance LLC† | | 7.25% | | 5/1/2026 | | | 69,000 | | | | 67,694 | |
| Crescent Energy Finance LLC† | | 9.25% | | 2/15/2028 | | | 28,000 | | | | 28,613 | |
| Vital Energy, Inc. | | 9.75% | | 10/15/2030 | | | 40,000 | | | | 40,928 | |
| Total | | | | | | | | | | | 203,399 | |
| | | | | | | | | | | | | |
| Pharmaceuticals 0.60% | | | | | | | | | | | | |
| Herbalife Nutrition Ltd./HLF Financing, Inc.† | | 7.875% | | 9/1/2025 | | | 69,000 | | | | 65,836 | |
| | See Notes to Schedule of Investments. | 1 |
Consolidated Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Retail 1.33% | | | | | | | | | | | | |
| eG Global Finance PLC(b) | | 4.375% | | 2/7/2025 | | EUR | 95,252 | | | $ | 97,596 | |
| GPS Hospitality Holding Co. LLC/GPS Finco, Inc.† | | 7.00% | | 8/15/2028 | | $ | 69,000 | | | | 47,484 | |
| Total | | | | | | | | | | | 145,080 | |
| | | | | | | | | | | | | |
| Telecommunications 0.95% | | | | | | | | | | | | |
| Altice France SA(b) | | 2.50% | | 1/15/2025 | | EUR | 103,000 | | | | 103,440 | |
| Total Corporate Bonds (cost $1,074,467) | | | | | | | | | | | 1,074,829 | |
| | | | | | | | | | | | | |
| FLOATING RATE LOANS(c) 114.27% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Advertising 0.61% | | | | | | | | | | | | |
| Summer (BC) Holdco B Sarl 2021 USD Term Loan B2 | | – | (d) | 12/4/2026 | | $ | 69,000 | | | | 66,995 | |
| | | | | | | | | | | | | |
| Aerospace 2.24% | | | | | | | | | | | | |
| Peraton Corp. 2nd Lien Term Loan B1(e) | | 13.233% (3 mo.
USD Term SOFR + 7.75%) | | 2/1/2029 | | | 137,679 | | | | 135,156 | |
| United Airlines, Inc. 2021 Term Loan B(e) | | 9.182% (1 mo.
USD Term SOFR + 3.75%) | | 4/21/2028 | | | 109,278 | | | | 109,619 | |
| Total | | | | | | | | | | | 244,775 | |
| | | | | | | | | | | | | |
| Aerospace/Defense 2.51% | | | | | | | | | | | | |
| Bleriot U.S. Bidco, Inc. 2023 Term Loan B | | 9.652% (3 mo.
USD Term SOFR + 4.00%) | | 10/31/2028 | | | 68,649 | | | | 68,814 | |
| Dynasty Acquisition Co., Inc. 2023 Term Loan B1 | | 9.316% (1 mo.
USD Term SOFR + 4.00%) | | 8/24/2028 | | | 96,101 | | | | 96,021 | |
| Dynasty Acquisition Co., Inc. 2023 Term Loan B2 | | 9.316% (1 mo.
USD Term SOFR + 4.00%) | | 8/24/2028 | | | 41,186 | | | | 41,152 | |
| Vertex Aerospace Services Corp. 2021 First Lien Term Loan | | 8.916% (1 mo.
USD Term SOFR + 3.50%) | | 12/6/2028 | | | 68,652 | | | | 68,762 | |
| Total | | | | | | | | | | | 274,749 | |
| | | | | | | | | | | | | |
| Air Transportation 0.94% | | | | | | | | | | | | |
| Forward Air Corp. Term Loan B(e) | | – | (d) | 9/20/2030 | | | 105,000 | | | | 102,725 | |
| | | | | | | | | | | | | |
| Auto Parts & Equipment 1.23% | | | | | | | | | | | | |
| Clarios Global LP 2023 Incremental Term Loan (Canada)(a)(e) | | 9.066% (1 mo.
USD Term SOFR + 3.75%) | | 5/6/2030 | | | 66,891 | | | | 66,860 | |
| Tenneco, Inc. 2022 Term Loan B | | – | (d) | 11/17/2028 | | | 80,000 | | | | 68,125 | |
| Total | | | | | | | | | | | 134,985 | |
| 2 | See Notes to Schedule of Investments. |
Consolidated Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Automotive 1.23% | | | | | | | | | | | | |
| Autokiniton U.S. Holdings, Inc. 2021 Term Loan B(e) | | 9.818% (1 mo.
USD Term SOFR + 4.50%) | | 4/6/2028 | | $ | 68,824 | | | $ | 67,620 | |
| DexKo Global, Inc. 2021 USD Term Loan B | | 9.402% (3 mo.
USD Term SOFR + 3.75%) | | 10/4/2028 | | | 68,652 | | | | 67,151 | |
| Total | | | | | | | | | | | 134,771 | |
| | | | | | | | | | | | | |
| Banks 0.60% | | | | | | | | | | | | |
| AqGen Ascensus, Inc. 2021 2nd Lien Term Loan | | 11.666% (1 mo.
USD Term SOFR + 6.25%) | | 8/2/2029 | | | 69,000 | | | | 65,895 | |
| | | | | | | | | | | | | |
| Building & Construction 0.73% | | | | | | | | | | | | |
| Legence Holdings LLC 2021 Term Loan(e) | | 9.166% (1 mo.
USD Term SOFR + 3.75%) | | 12/16/2027 | | | 80,455 | | | | 80,254 | |
| | | | | | | | | | | | | |
| Building Materials 1.37% | | | | | | | | | | | | |
| ACProducts, Inc. 2021 Term Loan B | | 9.902% (3 mo.
USD Term SOFR + 4.25%) | | 5/17/2028 | | | 102,650 | | | | 85,085 | |
| CP Atlas Buyer, Inc. 2021 Term Loan B(e) | | 9.166% (1 mo.
USD Term SOFR + 3.75%) | | 11/23/2027 | | | 69,000 | | | | 65,277 | |
| Total | | | | | | | | | | | 150,362 | |
| | | | | | | | | | | | | |
| Chemicals 4.01% | | | | | | | | | | | | |
| Cyanco Intermediate 2 Corp. 2023 Term Loan B(e) | | 9.615% (3 mo.
USD Term SOFR + 4.25%) | | 7/10/2028 | | | 69,000 | | | | 69,215 | |
| Hexion Holdings Corp. 2022 USD Term Loan(e) | | – | (d) | 3/15/2029 | | | 104,000 | | | | 99,132 | |
| LSF11 A5 Holdco LLC 2023 Incremental Term Loan B(e) | | 9.666% (1 mo.
USD Term SOFR + 4.25%) | | 10/15/2028 | | | 69,000 | | | | 68,224 | |
| Olympus Water U.S. Holding Corp. 2021 USD Term Loan B(e) | | 9.402% (3 mo.
USD Term SOFR + 3.75%) | | 11/9/2028 | | | 69,000 | | | | 68,187 | |
| PMHC II, Inc. 2022 Term Loan B(e) | | 9.699% (3 mo.
USD Term SOFR + 4.25%) | | 4/23/2029 | | | 69,000 | | | | 65,307 | |
| Starfruit Finco BV 2023 Term Loan B (Netherlands)(a) | | 9.347% (3 mo.
USD Term SOFR + 4.00%) | | 4/3/2028 | | | 68,906 | | | | 68,188 | |
| Total | | | | | | | | | | | 438,253 | |
| | | | | | | | | | | | | |
| Commercial Services 3.21% | | | | | | | | | | | | |
| AVSC Holding Corp. 2020 Term Loan B1 | | – | (d) | 3/3/2025 | | | 69,000 | | | | 66,730 | |
| CHG Healthcare Services, Inc. 2023 Incremental Term Loan(e) | | – | (d) | 9/29/2028 | | | 58,857 | | | | 58,894 | |
| | See Notes to Schedule of Investments. | 3 |
Consolidated Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Commercial Services (continued) | | | | | | | | | | | | |
| Learning Care Group, Inc. 2023 Term Loan | | 10.117% - 10.17% (3 mo.
USD Term SOFR + 4.75%) | | 8/11/2028 | | $ | 54,000 | | | $ | 54,068 | |
| Mavis Tire Express Services Corp. 2021 Term Loan B(e) | | 9.431% (1 mo.
USD Term SOFR + 4.00%) | | 5/4/2028 | | | 68,707 | | | | 68,621 | |
| Verscend Holding Corp. 2021 Term Loan B(e) | | 9.431% (1 mo.
USD Term SOFR + 4.00%) | | 8/27/2025 | | | 102,738 | | | | 102,894 | |
| Total | | | | | | | | | | | 351,207 | |
| | | | | | | | | | | | | |
| Construction & Engineering 0.62% | | | | | | | | | | | | |
| Brand Industrial Services, Inc. 2023 Term Loan B | | 10.872% (3 mo.
USD Term SOFR + 5.50%) | | 8/1/2030 | | | 69,058 | | | | 67,466 | |
| | | | | | | | | | | | | |
| Containers & Packaging 2.26% | | | | | | | | | | | | |
| Charter NEX U.S., Inc. 2021 Term Loan(e) | | 9.181% (1 mo.
USD Term SOFR + 3.75%) | | 12/1/2027 | | | 115,854 | | | | 114,960 | |
| LABL, Inc. 2021 USD 1st Lien Term Loan(e) | | 10.416% (1 mo.
USD Term SOFR + 5.00%) | | 10/29/2028 | | | 68,825 | | | | 68,701 | |
| Proampac PG Borrower LLC 2023 Term Loan(e) | | – | (d) | 9/26/2028 | | | 64,000 | | | | 63,792 | |
| Total | | | | | | | | | | | 247,453 | |
| | | | | | | | | | | | | |
| Cosmetics/Personal Care 0.63% | | | | | | | | | | | | |
| Sunshine Luxembourg VII SARL 2021 Term Loan B3 (Luxembourg)(a) | | 9.24% (3 mo.
USD Term SOFR + 3.75%) | | 10/1/2026 | | | 68,649 | | | | 68,620 | |
| | | | | | | | | | | | | |
| Distribution/Wholesale 0.63% | | | | | | | | | | | | |
| BCPE Empire Holdings, Inc. 2023 Extended Term Loan(e) | | 10.066% (1 mo.
USD Term SOFR + 4.75%) | | 12/11/2028 | | | 69,000 | | | | 69,078 | |
| | | | | | | | | | | | | |
| Diversified Capital Goods 0.91% | | | | | | | | | | | | |
| CeramTec AcquiCo GmbH 2022 EUR Term Loan B(b) | | 7.283% (3 mo.
EURIBOR + 3.50%) | | 3/16/2029 | | EUR | 95,078 | | | | 99,652 | |
| | | | | | | | | | | | | |
| Diversified Financial Services 3.01% | | | | | | | | | | | | |
| Advisor Group, Inc. 2023 Term Loan B(e) | | 9.816% (3 mo.
USD Term SOFR + 4.50%) | | 8/17/2028 | | $ | 124,836 | | | | 124,924 | |
| Minotaur Acquisition, Inc. Term Loan B(e) | | 10.166% (1 mo.
USD Term SOFR + 4.75%) | | 3/27/2026 | | | 136,288 | | | | 135,986 | |
| 4 | See Notes to Schedule of Investments. |
Consolidated Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Diversified Financial Services (continued) | | | | | | | | | | | | |
| NFP Corp. 2020 Term Loan(e) | | 8.681% (1 mo.
USD Term SOFR + 3.25%) | | 2/15/2027 | | $ | 69,000 | | | $ | 68,254 | |
| Total | | | | | | | | | | | 329,164 | |
| | | | | | | | | | | | | |
| Electric: Generation 1.25% | | | | | | | | | | | | |
| EFS Cogen Holdings I LLC 2020 Term Loan B(e) | | 9.16% (3 mo.
USD Term SOFR + 3.50%) | | 10/1/2027 | | | 136,886 | | | | 136,439 | |
| | | | | | | | | | | | | |
| Electronics 0.63% | | | | | | | | | | | | |
| Roper Industrial Products Investment Co. LLC USD Term Loan(e) | | 9.89% (3 mo.
USD Term SOFR + 4.50%) | | 11/22/2029 | | | 68,828 | | | | 69,061 | |
| | | | | | | | | | | | | |
| Entertainment 1.99% | | | | | | | | | | | | |
| ECL Entertainment LLC 2023 Term Loan B(e) | | 10.14% (3 mo.
USD Term SOFR + 4.75%) | | 8/31/2030 | | | 150,000 | | | | 150,000 | |
| Motion Finco Sarl 2023 EUR Term Loan B(b) | | 7.972% (3 mo.
EURIBOR + 4.00%) | | 11/12/2029 | | EUR | 64,384 | | | | 68,070 | |
| Total | | | | | | | | | | | 218,070 | |
| | | | | | | | | | | | | |
| Financial 5.22% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Acrisure LLC 2021 First Lien Term Loan B(e) | | 9.681% (1 mo.
USD Term SOFR + 4.25%) | | 2/15/2027 | | $ | 68,825 | | | | 68,804 | |
| AqGen Island Holdings, Inc. Term Loan(e) | | 8.931% (1 mo.
USD Term SOFR + 3.50%) | | 8/2/2028 | | | 78,652 | | | | 78,112 | |
| AssuredPartners, Inc. 2020 Term Loan B | | 8.931% (1 mo.
USD Term SOFR + 3.50%) | | 2/12/2027 | | | 68,644 | | | | 68,553 | |
| Asurion LLC 2021 Second Lien Term Loan B4(e) | | 10.681% (1 mo.
USD Term SOFR + 5.25%) | | 1/20/2029 | | | 89,000 | | | | 79,273 | |
| Edelman Financial Center LLC 2018 2nd Lien Term Loan | | 12.181% (1 mo.
USD Term SOFR + 6.75%) | | 7/20/2026 | | | 140,000 | | | | 139,825 | |
| NEXUS Buyer LLC Term Loan B(e) | | 9.166% (1 mo.
USD Term SOFR + 3.75%) | | 11/9/2026 | | | 68,644 | | | | 67,811 | |
| OneDigital Borrower LLC 2021 Term Loan | 9.431% (1 mo.
USD Term SOFR + 4.00%) | | 11/16/2027 | | | 68,652 | | | | 68,680 | |
| Total | | | | | | | | | | | 571,058 | |
| | | | | | | | | | | | | |
| Food 0.63% | | | | | | | | | | | | |
| Wm Morrison EUR Term Loan B1(b) | | – | (d) | 11/4/2027 | | EUR | 69,000 | | | | 68,654 | |
| | See Notes to Schedule of Investments. | 5 |
Consolidated Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Gaming/Leisure 3.84% | | | | | | | | | | | | |
| 888 Acquisitions Ltd. USD Term Loan B (United Kingdom)(a) | | 10.818% (6 mo.
USD Term SOFR + 5.25%) | | 7/1/2028 | | $ | 102,849 | | | $ | 97,278 | |
| Fertitta Entertainment LLC 2022 Term Loan B | | – | (d) | 1/27/2029 | | | 103,476 | | | | 102,608 | |
| Motion Finco Sarl Delayed Draw Term Loan B2 (Luxembourg)(a)(e) | | 8.903% (3 mo.
USD Term SOFR + 3.25%) | | 11/12/2026 | | | 935 | | | | 934 | |
| Motion Finco Sarl USD Term Loan B1 (Luxembourg)(a)(e) | | 8.903% (3 mo.
USD Term SOFR + 3.25%) | | 11/12/2026 | | | 6,556 | | | | 6,549 | |
| Scientific Games Holdings LP 2022 USD Term Loan B | | 8.768% (3 mo.
USD Term SOFR + 3.50%) | | 4/4/2029 | | | 99,499 | | | | 99,064 | |
| Silk Bidco AS EUR Term Loan B(b) | | 10.451% (6 mo.
EURIBOR + 6.50%) | | 2/28/2027 | | EUR | 69,000 | | | | 57,747 | |
| United FP Holdings LLC 2019 1st Lien Term Loan | | 9.631% (3 mo.
USD Term SOFR + 4.00%) | | 12/30/2026 | | $ | 68,645 | | | | 56,332 | |
| Total | | | | | | | | | | | 420,512 | |
| | | | | | | | | | | | | |
| Gas Distribution 0.62% | | | | | | | | | | | | |
| Freeport LNG Investments LLLP Term Loan B(e) | | 9.088% (3 mo.
USD Term SOFR + 3.50%) | | 12/21/2028 | | | 68,649 | | | | 68,113 | |
| | | | | | | | | | | | | |
| Health Care Products 0.53% | | | | | | | | | | | | |
| Curia Global, Inc. 2021 Term Loan | | 9.219% (3 mo.
USD Term SOFR + 3.75%) | | 8/30/2026 | | | 68,824 | | | | 57,512 | |
| | | | | | | | | | | | | |
| Health Care Services 3.09% | | | | | | | | | | | | |
| ADMI Corp. 2018 Term Loan B(e) | | 8.431% (1 mo.
USD Term SOFR + 3.00%) | | 4/30/2025 | | | 108,639 | | | | 106,971 | |
| Heartland Dental LLC 2023 Term Loan B(e) | | 10.331% (1 mo.
USD Term SOFR + 5.00%) | | 4/28/2028 | | | 139,643 | | | | 138,366 | |
| Star Parent, Inc. 2023 Term Loan B(e) | | – | (d) | 9/19/2030 | | | 95,000 | | | | 93,027 | |
| Total | | | | | | | | | | | 338,364 | |
| | | | | | | | | | | | | |
| Healthcare 10.29% | | | | | | | | | | | | |
| Athenahealth Group, Inc. 2022 Term Loan B(e) | | 8.568% (1 mo.
USD Term SOFR + 3.25%) | | 2/15/2029 | | | 61,159 | | | | 60,184 | |
| CCRR Parent, Inc. Term Loan B(e) | | 9.181% (1 mo.
USD Term SOFR + 3.75%) | | 3/6/2028 | | | 72,476 | | | | 69,396 | |
| 6 | See Notes to Schedule of Investments. |
Consolidated Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Healthcare (continued) | | | | | | | | | | | | |
| CNT Holdings I Corp. 2020 2nd Lien Term Loan | | 12.05% (3 mo.
USD Term SOFR + 6.75%) | | 11/6/2028 | | $ | 138,950 | | | $ | 138,834 | |
| Covetrus, Inc. Term Loan(e) | | – | (d) | 10/13/2029 | | | 69,000 | | | | 68,371 | |
| eResearchTechnology, Inc. 2020 1st Lien Term Loan(e) | | 9.931% (1 mo.
USD Term SOFR + 4.50%) | | 2/4/2027 | | | 136,297 | | | | 134,010 | |
| Hunter Holdco 3 Ltd. USD Term Loan B (United Kingdom)(a)(e) | | 9.74% (3 mo.
USD Term SOFR + 4.25%) | | 8/19/2028 | | | 69,000 | | | | 68,957 | |
| MedAssets Software Intermediate Holdings, Inc. 2021 Term Loan | | 9.431% (1 mo.
USD Term SOFR + 4.00%) | | 12/18/2028 | | | 68,826 | | | | 56,523 | |
| Medical Solutions Holdings, Inc. 2021 1st Lien Term Loan(e) | | 8.773% (3 mo.
USD Term SOFR + 3.25%) | | 11/1/2028 | | | 68,654 | | | | 66,594 | |
| Navicure, Inc. 2019 Term Loan B(e) | | 9.431% (1 mo.
USD Term SOFR + 4.00%) | | 10/22/2026 | | | 68,645 | | | | 68,806 | |
| Parexel International Corp. 2021 1st Lien Term Loan(e) | | 8.681% (1 mo.
USD Term SOFR + 3.25%) | | 11/15/2028 | | | 137,305 | | | | 136,509 | |
| Physician Partners LLC Term Loan | | – | (d) | 12/23/2028 | | | 56,305 | | | | 53,671 | |
| Southern Veterinary Partners LLC Term Loan(e) | | 9.431% (1 mo.
USD Term SOFR + 4.00%) | | 10/5/2027 | | | 102,474 | | | | 101,978 | |
| Summit Behavioral Healthcare LLC 1st Lien Term Loan(e) | | 10.429% (3 mo.
USD Term SOFR + 4.75%) | | 11/24/2028 | | | 102,481 | | | | 102,353 | |
| Total | | | | | | | | | | | 1,126,186 | |
| | | | | | | | | | | | | |
| Housewares 0.82% | | | | | | | | | | | | |
| Springs Windows Fashions LLC 2021 Term Loan B | | 9.431% (1 mo.
USD Term SOFR + 4.00%) | | 10/6/2028 | | | 105,000 | | | | 89,622 | |
| | | | | | | | | | | | | |
| Housing 3.45% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Cornerstone Building Brands, Inc. 2021 Term Loan B | | 8.682% (1 mo.
USD Term SOFR + 3.25%) | | 4/12/2028 | | | 102,476 | | | | 100,267 | |
| Icebox Holdco III, Inc. 2021 2nd Lien Term Loan(e) | | 11.666% (1 mo.
USD Term SOFR + 6.25%) | | 12/21/2029 | | | 69,000 | | | | 62,790 | |
| LBM Acquisition LLC Term Loan B(e) | | 9.181% (1 mo.
USD Term SOFR + 3.75%) | | 12/17/2027 | | | 80,649 | | | | 78,908 | |
| | See Notes to Schedule of Investments. | 7 |
Consolidated Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Housing (continued) | | | | | | | | | | | | |
| Solis IV BV USD Term Loan B1 (Netherlands)(a)(e) | | 8.891% (3 mo.
USD Term SOFR + 3.50%) | | 2/26/2029 | | $ | 68,653 | | | $ | 67,023 | |
| SRS Distribution, Inc. 2021 Term Loan B(e) | | 8.931% (1 mo.
USD Term SOFR + 3.50%) | | 6/2/2028 | | | 68,476 | | | | 67,887 | |
| Total | | | | | | | | | | | 376,875 | |
| | | | | | | | | | | | | |
| Information Technology 6.49% | | | | | | | | | | | | |
| AP Core Holdings II LLC High-Yield Term Loan B2(e) | | 10.931% (1 mo.
USD Term SOFR + 5.50%) | | 9/1/2027 | | | 69,000 | | | | 67,221 | |
| Apttus Corp. 2021 Term Loan(e) | | 9.431% (1 mo.
USD Term SOFR + 4.00%) | | 5/8/2028 | | | 68,476 | | | | 67,756 | |
| Cloud Software Group, Inc. 2022 USD Term Loan B | | 9.99% (3 mo.
USD Term SOFR + 4.50%) | | 3/30/2029 | | | 102,485 | | | | 98,722 | |
| Cloudera, Inc. 2021 Term Loan(e) | | 9.166% (1 mo.
USD Term SOFR + 3.75%) | | 10/8/2028 | | | 102,480 | | | | 100,686 | |
| ConnectWise LLC 2021 Term Loan B(e) | | 8.931% (1 mo.
USD Term SOFR + 3.50%) | | 9/29/2028 | | | 68,652 | | | | 67,708 | |
| Greeneden U.S. Holdings II LLC 2020 USD Term Loan B4(e) | | 9.431% (1 mo.
USD Term SOFR + 4.00%) | | 12/1/2027 | | | 68,824 | | | | 68,960 | |
| McAfee LLC 2022 USD Term Loan B | | 9.18% (1 mo.
USD Term SOFR + 3.75%) | | 3/1/2029 | | | 103,826 | | | | 101,587 | |
| Project Boost Purchaser LLC 2019 Term Loan B(e) | | 8.931% (1 mo.
USD Term SOFR + 3.50%) | | 6/1/2026 | | | 68,643 | | | | 68,648 | |
| Surf Holdings LLC USD Term Loan(e) | | 8.944% (1 mo.
USD Term SOFR + 3.50%) | | 3/5/2027 | | | 68,646 | | | | 68,585 | |
| Total | | | | | | | | | | | 709,873 | |
| | | | | | | | | | | | | |
| Insurance 2.77% | | | | | | | | | | | | |
| Amynta Agency Borrower, Inc. 2023 Term Loan B(e) | | 10.416% (1 mo.
USD Term SOFR + 5.00%) | | 2/28/2028 | | | 80,375 | | | | 80,503 | |
| HUB International Ltd. 2023 Term Loan B | | 9.584% (3 mo.
USD Term SOFR + 4.25%) | | 6/20/2030 | | | 50,181 | | | | 50,374 | |
| Jones Deslauriers Insurance Management, Inc. 2023 Term Loan B (Canada)(a) | | 9.615% (3 mo.
USD Term SOFR + 4.25%) | | 3/15/2030 | | | 69,000 | | | | 69,432 | |
| Sedgwick Claims Management Services, Inc. 2023 Term Loan B(e) | | 9.066% (1 mo.
USD Term SOFR + 3.75%) | | 2/24/2028 | | | 103,000 | | | | 102,930 | |
| Total | | | | | | | | | | | 303,239 | |
| 8 | See Notes to Schedule of Investments. |
Consolidated Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Internet 2.75% | | | | | | | | | | | | |
| Imperva, Inc. 2nd Lien Term Loan | | 13.395% (3 mo.
USD Term SOFR + 7.75%) | | 1/11/2027 | | $ | 208,000 | | | $ | 208,988 | |
| MH Sub I LLC 2021 2nd Lien Term Loan | | – | (d) | 2/23/2029 | | | 28,253 | | | | 25,194 | |
| MH Sub I LLC 2023 Term Loan(e) | | 9.566% (1 mo.
USD Term SOFR + 4.25%) | | 5/3/2028 | | | 68,823 | | | | 66,699 | |
| Total | | | | | | | | | | | 300,881 | |
| | | | | | | | | | | | | |
| Internet Companies 0.60% | | | | | | | | | | | | |
| NEXUS Buyer LLC 2021 Second Lien Term Loan | | 11.666% (1 mo.
USD Term SOFR + 6.25%) | | 11/5/2029 | | | 69,000 | | | | 65,895 | |
| | | | | | | | | | | | | |
| Leisure Time 2.04% | | | | | | | | | | | | |
| Amer Sports Oyj EUR Term Loan B(b) | | 7.648% (6 mo.
EURIBOR + 4.00%) | | 3/30/2026 | | EUR | 80,000 | | | | 84,435 | |
| Life Time Fitness, Inc. 2023 Term Loan B(e) | | 10.611% (3 mo.
USD Term SOFR + 4.75%) | | 1/15/2026 | | $ | 138,000 | | | | 138,517 | |
| Total | | | | | | | | | | | 222,952 | |
| | | | | | | | | | | | | |
| Lodging 0.92% | | | | | | | | | | | | |
| Spectacle Gary Holdings LLC 2021 Term Loan B | | 9.769% (3 mo.
USD Term SOFR + 4.25%) | | 12/10/2028 | | | 103,000 | | | | 100,876 | |
| | | | | | | | | | | | | |
| Machinery: Diversified 2.06% | | | | | | | | | | | | |
| CPM Holdings, Inc. 2023 Term Loan | | – | (d) | 5/22/2028 | | | 21,000 | | | | 20,980 | |
| Engineered Machinery Holdings, Inc. 2021 USD 2nd Lien Term Loan | | 11.652% (3 mo.
USD Term SOFR + 6.00%) | | 5/21/2029 | | | 102,977 | | | | 101,175 | |
| LSF12 Badger Bidco LLC Term Loan B | | 11.316% (3 mo.
USD Term SOFR + 6.00%) | | 8/30/2030 | | | 103,326 | | | | 103,326 | |
| Total | | | | | | | | | | | 225,481 | |
| | | | | | | | | | | | | |
| Manufacturing 5.89% | | | | | | | | | | | | |
| ABG Intermediate Holdings 2 LLC 2021 2nd Lien Term Loan | | – | (d) | 12/20/2029 | | | 54,800 | | | | 55,348 | |
| Chamberlain Group, Inc. Term Loan B | | 8.661% (1 mo.
USD Term SOFR + 3.25%) | | 11/3/2028 | | | 102,480 | | | | 101,095 | |
| DirecTV Financing LLC Term Loan(e) | | 10.431% (1 mo.
USD Term SOFR + 5.00%) | | 8/2/2027 | | | 79,501 | | | | 77,878 | |
| Frontier Communications Corp. 2021 1st Lien Term Loan(e) | | 9.181% (1 mo.
USD Term SOFR + 3.75%) | | 10/8/2027 | | | 69,000 | | | | 67,257 | |
| MJH Healthcare Holdings LLC 2022 Term Loan B(e) | | – | (d) | 1/28/2029 | | | 68,652 | | | | 68,524 | |
| | See Notes to Schedule of Investments. | 9 |
Consolidated Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Manufacturing (continued) | | | | | | | | | | | | |
| Pro Mach Group, Inc. 2021 Term Loan B(e) | | 9.431% (1 mo.
USD Term SOFR + 4.00%) | | 8/31/2028 | | $ | 68,652 | | | $ | 68,798 | |
| SPX Flow, Inc. 2022 Term Loan(e) | | 9.916% (1 mo.
USD Term SOFR + 4.50%) | | 4/5/2029 | | | 69,000 | | | | 68,945 | |
| Tiger Acquisition LLC 2021 Term Loan(e) | | 8.666% (1 mo.
USD Term SOFR + 3.25%) | | 6/1/2028 | | | 68,476 | | | | 67,759 | |
| Univision Communications, Inc. 2022 First Lien Term Loan B | | 9.64% (3 mo.
USD Term SOFR + 4.25%) | | 6/24/2029 | | | 68,653 | | | | 68,670 | |
| Total | | | | | | | | | | | 644,274 | |
| | | | | | | | | | | | | |
| Media 0.62% | | | | | | | | | | | | |
| McGraw-Hill Global Education Holdings LLC 2021 Term Loan(e) | | – | (d) | 7/28/2028 | | | 69,000 | | | | 67,843 | |
| | | | | | | | | | | | | |
| Metal Fabricate/Hardware 0.91% | | | | | | | | | | | | |
| Tank Holding Corp. 2022 Term Loan | | 11.166% (1 mo.
USD Term SOFR + 5.75%) | | 3/31/2028 | | | 68,653 | | | | 66,776 | |
| Tank Holding Corp. 2023 Incremental Delayed Draw Term Loan(f) | | 1.00% | | 3/31/2028 | | | 10,200 | | | | 9,926 | |
| Tank Holding Corp. 2023 Incremental Term Loan | | 11.42% (1 mo.
USD Term SOFR + 6.00%) | | 3/31/2028 | | | 23,741 | | | | 23,103 | |
| Total | | | | | | | | | | | 99,805 | |
| | | | | | | | | | | | | |
| Mining & Metals 0.32% | | | | | | | | | | | | |
| Arsenal AIC Parent LLC Term Loan | | 9.879% (3 mo.
USD Term SOFR + 4.50%) | | 8/18/2030 | | | 34,883 | | | | 34,861 | |
| | | | | | | | | | | | | |
| Miscellaneous Manufacture 0.93% | | | | | | | | | | | | |
| Vectra Co. 1st Lien Term Loan | | – | (d) | 3/8/2025 | | | 103,000 | | | | 101,817 | |
| | | | | | | | | | | | | |
| Oil & Gas 2.08% | | | | | | | | | | | | |
| Par Petroleum LLC 2023 Term Loan B | | 9.773% (3 mo.
USD Term SOFR + 4.25%) | | 2/28/2030 | | | 138,653 | | | | 138,681 | |
| Parkway Generation LLC Term Loan B | | 10.181% (1 mo.
USD Term SOFR + 4.75%) | | 2/18/2029 | | | 78,497 | | | | 78,510 | |
| Parkway Generation LLC Term Loan C | | 10.181% (1 mo.
USD Term SOFR + 4.75%) | | 2/18/2029 | | | 10,349 | | | | 10,350 | |
| Total | | | | | | | | | | | 227,541 | |
| | | | | | | | | | | | | |
| Packaging 0.62% | | | | | | | | | | | | |
| Clydesdale Acquisition Holdings, Inc. Term Loan B | | 9.591% (1 mo.
USD Term SOFR + 4.18%) | | 4/13/2029 | | | 68,888 | | | | 68,050 | |
| 10 | See Notes to Schedule of Investments. |
Consolidated Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Personal & Household Products 0.93% | | | | | | | | | | | | |
| AI Aqua Merger Sub, Inc. 2021 1st Lien Term Loan B | | 8.557% (1 mo.
USD Term SOFR + 3.75%) | | 7/31/2028 | | $ | 102,741 | | | $ | 101,866 | |
| | | | | | | | | | | | | |
| Pharmaceuticals 1.25% | | | | | | | | | | | | |
| Packaging Coordinators Midco, Inc. 2020 1st Lien Term Loan | | 9.152% (3 mo.
USD Term SOFR + 3.50%) | | 11/30/2027 | | | 137,298 | | | | 136,922 | |
| | | | | | | | | | | | | |
| Pipelines 0.35% | | | | | | | | | | | | |
| Brazos Delaware II LLC 2023 Term Loan B(e) | | 9.084% (1 mo.
USD Term SOFR + 3.75%) | | 2/11/2030 | | | 38,404 | | | | 38,272 | |
| | | | | | | | | | | | | |
| Retail 5.23% | | | | | | | | | | | | |
| Birkenstock GmbH & Co. KG USD Term Loan B (Germany)(a) | | 8.877% (3 mo.
USD Term SOFR + 3.25%) | | 4/28/2028 | | | 64,552 | | | | 64,569 | |
| Evergreen Acqco 1 LP 2021 USD Term Loan(e) | | 10.754% (3 mo.
USD Term SOFR + 5.25%) | | 4/26/2028 | | | 57,544 | | | | 57,875 | |
| Flynn Restaurant Group LP 2021 Term Loan B(e) | | 9.681% (1 mo.
USD Term SOFR + 4.25%) | | 12/1/2028 | | | 139,555 | | | | 139,148 | |
| Fogo De Chao, Inc. 2023 Term Loan B | | – | (d) | 9/20/2030 | | | 76,000 | | | | 74,543 | |
| K-Mac Holdings Corp. 2021 Term Loan(e) | | – | (d) | 7/21/2028 | | | 103,000 | | | | 102,145 | |
| Petco Health & Wellness Co., Inc. 2021 Term Loan B | | 8.902% (3 mo.
USD Term SOFR + 3.25%) | | 3/3/2028 | | | 65,902 | | | | 65,274 | |
| PetSmart, Inc. 2021 Term Loan B(e) | | 9.166% (1 mo.
USD Term SOFR + 3.75%) | | 2/11/2028 | | | 68,476 | | | | 68,372 | |
| Total | | | | | | | | | | | 571,926 | |
| | | | | | | | | | | | | |
| Service 5.07% | | | | | | | | | | | | |
| Amentum Government Services Holdings LLC 2022 Term Loan(e) | | 9.331% (1 mo.
USD Term SOFR + 4.00%) | | 2/15/2029 | | | 68,653 | | | | 67,881 | |
| DTI Holdco, Inc. 2022 Term Loan(e) | | 10.119% (3 mo.
USD Term SOFR + 4.75%) | | 4/26/2029 | | | 103,654 | | | | 101,164 | |
| Magnite, Inc. Term Loan(e) | | 10.431% - 10.93% (1 mo.
USD Term SOFR + 5.00%)
(3 mo. USD LIBOR + 5.00%) | | 4/28/2028 | | | 137,300 | | | | 138,073 | |
| Red Planet Borrower LLC Term Loan B(e) | | 9.166% (1 mo.
USD Term SOFR + 3.75%) | | 10/2/2028 | | | 68,825 | | | | 65,948 | |
| Renaissance Holding Corp. 2018 2nd Lien Term Loan | | 12.318% (1 mo.
USD Term SOFR + 7.00%) | | 5/29/2026 | | | 10,416 | | | | 10,426 | |
| | See Notes to Schedule of Investments. | 11 |
Consolidated Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Service (continued) | | | | | | | | | | | | |
| Service Logic Acquisition, Inc. Term Loan(e) | | 9.631% (3 mo.
USD Term SOFR + 4.00%) | | 10/29/2027 | | $ | 68,649 | | | $ | 68,521 | |
| Sophia LP 2021 Term Loan B(e) | | 8.916% (1 mo.
USD Term SOFR + 3.50%) | | 10/7/2027 | | | 68,651 | | | | 68,579 | |
| SRS Distribution, Inc. 2022 Incremental Term Loan(e) | | 8.916% (1 mo.
USD Term SOFR + 3.50%) | | 6/2/2028 | | | 33,828 | | | | 33,554 | |
| Total | | | | | | | | | | | 554,146 | |
| | | | | | | | | | | | | |
| Services 0.94% | | | | | | | | | | | | |
| SSH Group Holdings, Inc. 2018 1st Lien Term Loan(e) | | 9.316% (1 mo.
USD Term SOFR + 4.00%) | | 7/30/2025 | | | 102,462 | | | | 102,691 | |
| | | | | | | | | | | | | |
| Shipbuilding 0.75% | | | | | | | | | | | | |
| LSF11 Trinity Bidco, Inc. Term Loan(e) | | 9.832% (1 mo.
USD Term SOFR + 4.50%) | | 6/14/2030 | | | 82,400 | | | | 82,400 | |
| | | | | | | | | | | | | |
| Software 4.60% | | | | | | | | | | | | |
| Banff Merger Sub, Inc. 2021 USD 2nd Lien Term Loan | | 10.931% (1 mo.
USD Term SOFR + 5.50%) | | 2/27/2026 | | | 137,992 | | | | 137,869 | |
| CDK Global, Inc. 2022 USD Term Loan B(e) | | 9.64% (3 mo.
USD Term SOFR + 4.25%) | | 7/6/2029 | | | 68,655 | | | | 68,753 | |
| Cvent, Inc. 2023 Term Loan B(e) | | 9.14% (3 mo.
USD Term SOFR + 3.75%) | | 6/17/2030 | | | 103,000 | | | | 102,742 | |
| Mitchell International, Inc. 2021 Term Loan B(e) | | 9.181% (1 mo.
USD Term SOFR + 3.75%) | | 10/15/2028 | | | 65,335 | | | | 64,374 | |
| Mosel Bidco SE USD Term Loan B (Germany)(a) | | – | (d) | 7/17/2030 | | | 61,000 | | | | 61,076 | |
| Quartz Acquireco LLC Term Loan B(e) | | 8.818% (1 mo.
USD Term SOFR + 3.50%) | | 6/28/2030 | | | 68,370 | | | | 68,370 | |
| Total | | | | | | | | | | | 503,184 | |
| | | | | | | | | | | | | |
| Software/Services 1.61% | | | | | | | | | | | | |
| Peraton Corp. Term Loan B(e) | | 9.166% (1 mo.
USD Term SOFR + 3.75%) | | 2/1/2028 | | | 68,444 | | | | 68,388 | |
| Proofpoint, Inc. 2nd Lien Term Loan | | 11.681% (1 mo.
USD Term SOFR + 6.25%) | | 8/31/2029 | | | 107,000 | | | | 107,518 | |
| Total | | | | | | | | | | | 175,906 | |
| | | | | | | | | | | | | |
| Specialty Retail 0.63% | | | | | | | | | | | | |
| Chinos Intermediate Holdings A, Inc. Exit Term Loan | | 13.631% (3 mo.
USD Term SOFR + 8.00%) | | 9/10/2027 | | | 68,841 | | | | 68,970 | |
| 12 | See Notes to Schedule of Investments. |
Consolidated Schedule of Investments (unaudited)(continued)
September 30, 2023
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount | | | Fair
Value | |
| Technology Hardware & Equipment 0.59% | | | | | | | | | | | | |
| Atlas CC Acquisition Corp. Term Loan B | | 9.934% (3 mo.
USD Term SOFR + 4.25%) | | 5/25/2028 | | $ | 57,047 | | | $ | 53,571 | |
| Atlas CC Acquisition Corp. Term Loan C | | 9.934% (3 mo.
USD Term SOFR + 4.25%) | | 5/25/2028 | | | 11,603 | | | | 10,896 | |
| Total | | | | | | | | | | | 64,467 | |
| | | | | | | | | | | | | |
| Telecommunications 3.00% | | | | | | | | | | | | |
| Carriage Purchaser, Inc. 2021 Term Loan B(e) | | 9.681% (1 mo.
USD Term SOFR + 4.25%) | | 9/30/2028 | | | 68,651 | | | | 67,356 | |
| Fastlane Parent Co., Inc. 2018 Add On 1st Lien Term Loan(e) | | 9.818% (1 mo.
USD Term SOFR + 4.50%) | | 2/4/2026 | | | 68,642 | | | | 68,899 | |
| Kenan Advantage Group, Inc. 2021 Term Loan B1(e) | | 9.477% (3 mo.
USD Term SOFR + 3.75%) | | 3/24/2026 | | | 68,648 | | | | 68,567 | |
| Northwest Fiber LLC 2021 Term Loan(e) | | 9.184% (1 mo.
USD Term SOFR + 3.75%) | | 4/30/2027 | | | 124,978 | | | | 123,611 | |
| Total | | | | | | | | | | | 328,433 | |
| | | | | | | | | | | | | |
| Transportation 0.12% | | | | | | | | | | | | |
| Kenan Advantage Group, Inc. 2023 Term Loan B2(e) | | 9.727% (3 mo.
USD Term SOFR + 4.00%) | | 3/24/2026 | | | 12,657 | | | | 12,673 | |
| Utilities 0.49% | | | | | | | | | | | | |
| Talen Energy Supply LLC 2023 Term Loan B | | 9.877% (3 mo.
USD Term SOFR + 4.50%) | | 5/17/2030 | | | 53,000 | | | | 53,309 | |
| | | | | | | | | | | | | |
| Utility 0.61% | | | | | | | | | | | | |
| Compass Power Generation LLC 2022 Term Loan B2(e) | | 9.68% (1 mo.
USD Term SOFR + 4.25%) | | 4/14/2029 | | | 66,500 | | | | 66,408 | |
| Total Floating Rate Loans (cost $12,360,946) | | | | | | | | | | | 12,501,831 | |
| Total Long-Term Investments (cost $13,591,072) | | | | | | | | | | | 13,729,148 | |
| | | | | | | | | | | | | |
| SHORT-TERM INVESTMENTS 6.61% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| GOVERNMENT SPONSORED ENTERPRISES SECURITIES 3.48% | | | | | | | | | | |
Federal Home Loan Bank Discount Notes
(cost $379,945) | | Zero Coupon | | 10/2/2023 | | | 380,000 | | | | 380,000 | |
| | See Notes to Schedule of Investments. | 13 |
Consolidated Schedule of Investments (unaudited)(continued)
September 30, 2023
| | | | | | | Principal
Amount | | | Fair
Value | |
| REPURCHASE AGREEMENTS 3.13% | | | | | | | | | | | | |
| Repurchase Agreement dated 9/29/2023, 5.250% due 10/2/2023 with TD Securities USA LLC collateralized by $58,000 of U.S. Treasury Bond at 2.250% due 5/15/2041; value: $40,334; proceeds: $39,560 (cost $39,543) | | | | | | $ | 39,543 | | | $ | 39,543 | |
| Repurchase Agreement dated 9/29/2023, 5.200% due 10/2/2023 with TD Securities USA LLC collateralized by $215,000 of U.S. Treasury Note at 0.500% due 8/31/2027; value: $183,037; proceeds: $179,526 (cost $179,448) | | | | | | | 179,448 | | | | 179,448 | |
| Repurchase Agreement dated 9/29/2023, 2.800% due 10/2/2023 with Fixed Income Clearing Corp. collateralized by $128,400 of U.S. Treasury Note at 3.625% due 5/15/2026; value: $126,130; proceeds: $123,684 (cost $123,655) | | | | | | | 123,655 | | | | 123,655 | |
| Total Repurchase Agreements (cost $342,646) | | | | | | | | | | | 342,646 | |
| Total Short-Term Investments (cost $722,591) | | | | | | | | | | | 722,646 | |
| | | | | | | | | | | | | |
| Total Investments in Securities 132.10% (cost $14,313,663) | | | | | | | | | 14,451,794 | |
| Less Unfunded Loan Commitments (0.09%) (cost $10,200) | | | | | | | | | (9,926 | ) |
| Net Investments in Securities 132.01% (cost $14,303,463) | | | | | | | | | 14,441,868 | |
| Borrowings (31.54%) | | | | | | | | | | | (3,450,000 | ) |
| Other Assets and Liabilities – Net(g) (0.47%) | | | | | | | | | | | (51,517 | ) |
| Net Assets 100.00% | | | | | | | | | | $ | 10,940,351 | |
| EUR | | Euro. |
| EURIBOR | | Euro Interbank Offered Rate. |
| LIBOR | | London Interbank Offered Rate. |
| 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 $798,502, which represents 7.30% of net assets. |
| # | | Variable rate security. The interest rate represents the rate in effect at September 30, 2023. |
| (a) | | Foreign security traded in U.S. dollars. |
| (b) | | Investment in non-U.S. dollar denominated securities. |
| (c) | | 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. |
| (d) | | Interest Rate to be determined. |
| (e) | | All or part of this investment held as collateral for the Fund's credit facility. |
| (f) | | Security partially/fully unfunded. |
| (g) | | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts and swap contracts as follows: |
| 14 | See Notes to Schedule of Investments. |
Consolidated Schedule of Investments (unaudited)(continued)
September 30, 2023
Centrally Cleared Interest Rate Swap Contracts at September 30, 2023:
Central
Clearingparty | | Periodic
Payments
to be Made
By The Fund
(Quarterly) | | Periodic
Payments
to be Received
By The Fund
(Quarterly) | | Termination
Date | | Notional
Amount | | | Value/Unrealized
Appreciation | |
| Bank of America(1) | | 5.306% | | 12-Month USD SOFR | | 9/15/2024 | | $ | 133,000 | | | | $ | 192 | |
| Bank of America(1) | | 4.791% | | 12-Month USD SOFR | | 8/15/2025 | | | 69,000 | | | | | 303 | |
| Bank of America(1) | | 4.552% | | 12-Month USD SOFR | | 2/15/2026 | | | 68,000 | | | | | 418 | |
| Bank of America(1) | | 4.523% | | 12-Month USD SOFR | | 2/15/2026 | | | 5,000 | | | | | 34 | |
| Bank of America(1) | | 4.481% | | 12-Month USD SOFR | | 5/1/2026 | | | 69,000 | | | | | 473 | |
| Bank of America(1) | | 4.041% | | 12-Month USD SOFR | | 2/15/2028 | | | 30,000 | | | | | 461 | |
| Bank of America(1) | | 4.013% | | 12-Month USD SOFR | | 5/15/2028 | | | 70,000 | | | | | 1,165 | |
| Bank of America(1) | | 4.007% | | 12-Month USD SOFR | | 6/1/2028 | | | 60,000 | | | | | 1,015 | |
| Unrealized Appreciation on Centrally Cleared Interest Rate Swap Contracts | | | | | | | | $ | 4,061 | |
| (1) | | Central clearinghouse: Chicago Mercantile Exchange (CME). |
Total Return Swap Contracts at September 30, 2023:
Swap
Counterparty | | Referenced
Index* | | Referenced
Spread | | Units | | Position | | Termination
Date | | Notional
Amount | | | Value/Unrealized
Appreciation | |
| Morgan Stanley | | IBOXX | | 12-Month USD SOFR | | 215,000 | | Long | | 12/20/2023 | | | $ | 1,100 | | | | $ | 299 | |
| | | | | | | | | | | | | | | | | | | | | |
Swap
Counterparty | | Referenced
Index* | | Referenced
Spread | | Units | | Position | | Termination
Date | | Notional
Amount | | | Value/Unrealized
Depreciation | |
| Morgan Stanley | | IBOXX | | 12-Month USD SOFR | | 140,000 | | Long | | 12/20/2023 | | | $ | 714 | | | | $ | (163 | ) |
| Morgan Stanley | | IBOXX | | 12-Month USD SOFR | | 140,000 | | Long | | 12/20/2023 | | | | 714 | | | | | (161 | ) |
| Total | | | | | | | | | | | | | $ | 1,428 | | | | $ | (324 | ) |
| * | | IBOXX Leveraged Loan Index. |
| SOFR | | Secured Overnight Financing Rate. |
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 | |
| Euro | | Sell | | Toronto Dominion Bank | | 12/13/2023 | | 438,000 | | | $472,766 | | | | $464,561 | | | | $ | 8,205 | |
| | See Notes to Schedule of Investments. | 15 |
Consolidated Schedule of Investments (unaudited)(concluded)
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 | | $ | – | | | $ | 98,799 | | | $ | – | | | $ | 98,799 | |
| Convertible Bonds | | | – | | | | 53,689 | | | | – | | | | 53,689 | |
| Corporate Bonds | | | – | | | | 1,074,829 | | | | – | | | | 1,074,829 | |
| Floating Rate Loans | | | – | | | | 12,501,831 | | | | – | | | | 12,501,831 | |
| Less Unfunded Commitments | | | – | | | | (9,926 | ) | | | – | | | | (9,926 | ) |
| Short-Term Investments | | | | | | | | | | | | | | | | |
| Government Sponsored Enterprises Securities | | | – | | | | 380,000 | | | | – | | | | 380,000 | |
| Repurchase Agreements | | | – | | | | 342,646 | | | | – | | | | 342,646 | |
| Total | | $ | – | | | $ | 14,441,868 | | | $ | – | | | $ | 14,441,868 | |
| Other Financial Instruments | | | | | | | | | | | | | | | | |
| Centrally Cleared Interest Rate Swap Contracts | | | | | | | | | | | | | | | | |
| Assets | | $ | – | | | $ | 4,061 | | | $ | – | | | $ | 4,061 | |
| Liabilities | | | – | | | | – | | | | – | | | | – | |
| Total Return Swap Contracts | | | | | | | | | | | | | | | | |
| Assets | | | – | | | | 299 | | | | – | | | | 299 | |
| Liabilities | | | – | | | | (324 | ) | | | – | | | | (324 | ) |
| Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| Assets | | | – | | | | 8,205 | | | | – | | | | 8,205 | |
| Liabilities | | | – | | | | – | | | | – | | | | – | |
| Total | | $ | – | | | $ | 12,241 | | | $ | – | | | $ | 12,241 | |
| (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. 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.
| 16 | See Notes to Schedule of Investments. |
Notes to Schedule of Investments (unaudited)
Lord Abbett Floating Rate High Income Fund (the “Fund”) is registered under the Investment Company Act of 1940, 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 January 30, 2020. The Fund had a sale to Lord, Abbett and Co. LLC (“Lord Abbett”) of 10,000 shares of common stock for $100,000 ($10.00 per share). The Fund commenced operations on January 4, 2023.
| 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. 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. |
17
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.
18
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.
19
QPHR-LA-FRHI-3Q
(11/23)
