Lord Abbett
Quarterly Portfolio Holdings Report
Lord Abbett
Floating Rate High Income Fund
For the period ended March 31, 2024
Schedule of Investments (unaudited)
March 31, 2024
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount‡ | | | Fair
Value | |
| LONG-TERM INVESTMENTS 134.37% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| ASSET-BACKED SECURITIES 4.17% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Automobiles 0.81% | | | | | | | | | | | | |
| CAL Receivables LLC Series 2022-1 Class B† | | 9.669% (30 day
USD SOFR Average + 4.35%) | # | 10/15/2026 | | $ | 96,286 | | | $ | 96,223 | |
| | | | | | | | | | | | | |
| Other 3.36% | | | | | | | | | | | | |
| Dryden 115 CLO Ltd. Series 2024-115A Class E† | | 12.401% (3 mo.
USD Term SOFR + 7.10%) | # | 4/18/2037 | | | 150,000 | | | | 150,000 | |
| Magnetite XXII Ltd. Series 2019-22A Class ER† | | 11.926% (3 mo.
USD Term SOFR + 6.61%) | # | 4/15/2031 | | | 250,000 | | | | 249,671 | |
| Total | | | | | | | | | | | 399,671 | |
| Total Asset-Backed Securities (cost $493,936) | | | | | | | | | | | 495,894 | |
| | | | | | | | | | | | | |
| CORPORATE BONDS 8.96% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Airlines 0.45% | | | | | | | | | | | | |
| VistaJet Malta Finance PLC/Vista Management Holding, Inc. (Malta)†(a) | | 9.50% | | 6/1/2028 | | | 62,000 | | | | 52,783 | |
| | | | | | | | | | | | | |
| Chemicals 0.91% | | | | | | | | | | | | |
| Kobe U.S. Midco 2, Inc.† | | 9.25% | | 11/1/2026 | | | 126,000 | | | | 108,675 | |
| | | | | | | | | | | | | |
| Diversified Financial Services 1.14% | | | | | | | | | | | | |
| Global Aircraft Leasing Co. Ltd. (Cayman Islands)†(a) | | 6.50% | | 9/15/2024 | | | 143,002 | | | | 135,748 | |
| | | | | | | | | | | | | |
| Energy-Alternate Sources 0.49% | | | | | | | | | | | | |
| Sunnova Energy Corp.†(b) | | 5.875% | | 9/1/2026 | | | 75,000 | | | | 58,463 | |
| | | | | | | | | | | | | |
| Machinery-Diversified 1.78% | | | | | | | | | | | | |
| Husky III Holding Ltd. (Canada)†(a) | | 13.00% | | 2/15/2025 | | | 103,000 | | | | 103,302 | |
| Maxim Crane Works Holdings Capital LLC† | | 11.50% | | 9/1/2028 | | | 100,000 | | | | 108,545 | |
| Total | | | | | | | | | | | 211,847 | |
| | | | | | | | | | | | | |
| Media 0.51% | | | | | | | | | | | | |
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc. | | 4.45% | | 4/1/2024 | | | 60,000 | | | | 60,000 | |
| | | | | | | | | | | | | |
| Miscellaneous Manufacturing 0.48% | | | | | | | | | | | | |
| FXI Holdings, Inc.† | | 12.25% | | 11/15/2026 | | | 57,000 | | | | 57,090 | |
| | See Notes to Schedule of Investments. | 1 |
Schedule of Investments (unaudited)(continued)
March 31, 2024
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount‡ | | | Fair
Value | |
| Oil & Gas 1.63% | | | | | | | | | | | | |
| Berry Petroleum Co. LLC† | | 7.00% | | 2/15/2026 | | $ | 92,000 | | | $ | 90,879 | |
| Talos Production, Inc.† | | 9.00% | | 2/1/2029 | | | 56,000 | | | | 59,512 | |
| Vital Energy, Inc. | | 9.75% | | 10/15/2030 | | | 40,000 | | | | 43,777 | |
| Total | | | | | | | | | | | 194,168 | |
| | | | | | | | | | | | | |
| Retail 0.47% | | | | | | | | | | | | |
| GPS Hospitality Holding Co. LLC/GPS Finco, Inc.† | | 7.00% | | 8/15/2028 | | | 69,000 | | | | 56,327 | |
| | | | | | | | | | | | | |
| Telecommunications 0.18% | | | | | | | | | | | | |
| Lumen Technologies, Inc.† | | 4.00% | | 2/15/2027 | | | 33,000 | | | | 21,806 | |
| | | | | | | | | | | | | |
| Transportation 0.92% | | | | | | | | | | | | |
| Rand Parent LLC† | | 8.50% | | 2/15/2030 | | | 110,000 | | | | 109,090 | |
| Total Corporate Bonds (cost $1,050,070) | | | | | | | | | | | 1,065,997 | |
| | | | | | | | | | | | | |
| FLOATING RATE LOANS(c) 121.24% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Advertising 0.92% | | | | | | | | | | | | |
| Summer BC Holdco B SARL 2024 USD Term Loan B | | 10.569% (3 mo.
USD Term SOFR + 5.00%) | | 2/5/2029 | | | 109,375 | | | | 109,238 | |
| | | | | | | | | | | | | |
| Aerospace 2.50% | | | | | | | | | | | | |
| Arcline FM Holdings LLC 2021 1st Lien Term Loan(b) | | 10.321% (3 mo.
USD Term SOFR + 4.75%) | | 6/23/2028 | | | 158,726 | | | | 159,023 | |
| Peraton Corp. 2nd Lien Term Loan B1 | | 13.176% (3 mo.
USD Term SOFR + 7.75%) | | 2/1/2029 | | | 137,679 | | | | 138,333 | |
| Total | | | | | | | | | | | 297,356 | |
| | | | | | | | | | | | | |
| Aerospace/Defense 2.37% | | | | | | | | | | | | |
| Bleriot U.S. Bidco, Inc. 2023 Term Loan B | | 9.571% (3 mo.
USD Term SOFR + 4.00%) | | 10/31/2028 | | | 68,134 | | | | 68,475 | |
| Dynasty Acquisition Co., Inc. 2024 Term Loan B1 | | 8.833% (3 mo.
USD Term SOFR + 3.50%) | | 8/24/2028 | | | 95,620 | | | | 95,868 | |
| Kaman Corp. 2024 Term Loan | | – | (d) | 3/27/2031 | | | 117,000 | | | | 117,256 | |
| Total | | | | | | | | | | | 281,599 | |
| 2 | See Notes to Schedule of Investments. | |
Schedule of Investments (unaudited)(continued)
March 31, 2024
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount‡ | | | Fair
Value | |
| Auto Parts & Equipment 1.83% | | | | | | | | | | | | |
| Autokiniton U.S. Holdings, Inc. 2024 Term Loan B(b) | | 9.442% (3 mo.
USD Term SOFR + 4.00%) | | 4/6/2028 | | $ | 68,455 | | | $ | 68,766 | |
| RealTruck Group, Inc. 2023 Incremental Term Loan(b) | | 10.445% (1 mo.
USD Term SOFR + 5.00%) | | 1/31/2028 | | | 73,000 | | | | 73,091 | |
| Tenneco, Inc. 2022 Term Loan B | | – | (d) | 11/17/2028 | | | 80,000 | | | | 75,488 | |
| Total | | | | | | | | | | | 217,345 | |
| | | | | | | | | | | | | |
| Beverages 0.94% | | | | | | | | | | | | |
| Triton Water Holdings, Inc. 2024 Incremental Term Loan B(b) | | 9.312% (3 mo.
USD Term SOFR + 4.00%) | | 3/31/2028 | | | 112,500 | | | | 111,410 | |
| | | | | | | | | | | | | |
| Building & Construction 1.64% | | | | | | | | | | | | |
| Legence Holdings LLC 2021 Term Loan(b) | | 8.93% (1 mo.
USD Term SOFR + 3.50%) | | 12/16/2027 | | | 80,045 | | | | 80,195 | |
| USIC Holdings, Inc. 2021 2nd Lien Term Loan | | 12.064% (3 mo.
USD Term SOFR + 6.50%) | | 5/14/2029 | | | 115,000 | | | | 114,425 | |
| Total | | | | | | | | | | | 194,620 | |
| | | | | | | | | | | | | |
| Building Materials 1.74% | | | | | | | | | | | | |
| ACProducts, Inc. 2021 Term Loan B | | 9.814% (3 mo.
USD Term SOFR + 4.25%) | | 5/17/2028 | | | 149,126 | | | | 136,497 | |
| Clay Holdco BV 2023 EUR Term Loan B2 | | 8.662% (3 mo.
EURIBOR + 4.75%) | | 12/31/2029 | | EUR | 67,000 | | | | 70,115 | |
| Total | | | | | | | | | | | 206,612 | |
| | | | | | | | | | | | | |
| Chemicals 5.05% | | | | | | | | | | | | |
| Cyanco Intermediate 2 Corp. 2023 Term Loan B(b) | | 10.077% (1 mo.
USD Term SOFR + 4.75%) | | 7/10/2028 | | $ | 58,970 | | | | 59,290 | |
| DCG Acquisition Corp. Term Loan B(b) | | 9.93% (1 mo.
USD Term SOFR + 4.50%) | | 9/30/2026 | | | 109,436 | | | | 109,676 | |
| LSF11 A5 Holdco LLC 2023 Incremental Term Loan B(b) | | 9.677% (1 mo.
USD Term SOFR + 4.25%) | | 10/15/2028 | | | 68,655 | | | | 68,852 | |
| Olympus Water U.S. Holding Corp. 2021 USD Term Loan B(b) | | 9.321% (3 mo.
USD Term SOFR + 3.75%) | | 11/9/2028 | | | 68,475 | | | | 68,599 | |
| | See Notes to Schedule of Investments. | 3 |
Schedule of Investments (unaudited)(continued)
March 31, 2024
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount‡ | | | Fair
Value | |
| Chemicals (continued) | | | | | | | | | | | | |
| Plaskolite LLC 2021 Term Loan | | 9.445% (1 mo.
USD Term SOFR + 4.00%) | | 12/15/2025 | | $ | 153,428 | | | $ | 150,934 | |
| PMHC II, Inc. 2022 Term Loan B(b) | | 9.723% (3 mo.
USD Term SOFR + 4.25%) | | 4/23/2029 | | | 74,810 | | | | 74,163 | |
| Starfruit Finco BV 2023 Term Loan B (Netherlands)(a) | | 9.423% (1 mo.
USD Term SOFR + 4.00%) | | 4/3/2028 | | | 68,389 | | | | 68,703 | |
| Total | | | | | | | | | | | 600,217 | |
| | | | | | | | | | | | | |
| Commercial Services 8.27% | | | | | | | | | | | | |
| BCP V Modular Services Holdings IV Ltd. EUR Term Loan B | | 8.327% (3 mo.
EURIBOR + 4.43%) | | 12/15/2028 | | EUR | 75,000 | | | | 80,416 | |
| Boluda Towage SL 2024 EUR Term Loan B | | – | (d) | 1/31/2030 | | EUR | 99,000 | | | | 106,965 | |
| CHG Healthcare Services, Inc. 2023 Incremental Term Loan(b) | | 9.093% (1 mo.
USD Term SOFR + 4.00%)
(3 mo.
USD Term SOFR + 4.00%) | | 9/29/2028 | | $ | 58,857 | | | | 59,078 | |
| CoreLogic, Inc. 2nd Lien Term Loan | | 11.945% (1 mo.
USD Term SOFR + 6.50%) | | 6/4/2029 | | | 73,000 | | | | 69,131 | |
| Garda World Security Corp. 2022 Term Loan B (Canada)(a)(b) | | 9.583% (3 mo.
USD Term SOFR + 4.25%) | | 2/1/2029 | | | 77,778 | | | | 78,021 | |
| IFCO Management GmbH 2024 EUR Term Loan B | | – | (d) | 11/29/2029 | | EUR | 68,571 | | | | 74,177 | |
| PG Investment Co. 59 SARL Term Loan B (Luxembourg)(a)(b) | | – | (d) | 2/24/2031 | | $ | 140,000 | | | | 140,438 | |
| Spin Holdco, Inc. 2021 Term Loan | | 9.585% (3 mo.
USD Term SOFR + 4.00%) | | 3/4/2028 | | | 110,000 | | | | 102,154 | |
| Spring Education Group, Inc. Term Loan(b) | | 9.809% (3 mo.
USD Term SOFR + 4.50%) | | 10/4/2030 | | | 101,938 | | | | 102,486 | |
| TruGreen Ltd. Partnership 2020 Term Loan(b) | | 9.43% (1 mo.
USD Term SOFR + 4.00%) | | 11/2/2027 | | | 69,820 | | | | 68,096 | |
| Verscend Holding Corp. 2021 Term Loan B(b) | | 9.445% (1 mo.
USD Term SOFR + 4.00%) | | 8/27/2025 | | | 101,952 | | | | 102,079 | |
| Total | | | | | | | | | | | 983,041 | |
| | | | | | | | | | | | | |
| Computers 0.75% | | | | | | | | | | | | |
| Ahead DB Holdings LLC 2024 Incremental Term Loan B(b) | | 9.559% (3 mo.
USD Term SOFR + 4.25%) | | 1/24/2031 | | | 89,286 | | | | 89,697 | |
| 4 | See Notes to Schedule of Investments. | |
Schedule of Investments (unaudited)(continued)
March 31, 2024
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount‡ | | | Fair
Value | |
| Containers & Packaging 2.93% | | | | | | | | | | | | |
| Charter NEX U.S., Inc. 2024 Term Loan B(b) | | 8.827% (1 mo.
USD Term SOFR + 3.50%) | | 12/1/2027 | | $ | 69,259 | | | $ | 69,464 | |
| Pretium Packaging LLC Second Out Term Loan A1 | | 9.906% (3 mo.
USD Term SOFR + 4.60%) | | 10/2/2028 | | | 99,471 | | | | 89,400 | |
| Proampac PG Borrower LLC 2023 Term Loan(b) | | 9.823% (3 mo.
USD Term SOFR + 4.50%) | | 9/15/2028 | | | 64,000 | | | | 64,192 | |
| Supplyone, Inc. 2024 Term Loan B(b) | | – | (d) | 3/27/2031 | | | 126,000 | | | | 125,607 | |
| Total | | | | | | | | | | | 348,663 | |
| | | | | | | | | | | | | |
| Distribution/Wholesale 2.21% | | | | | | | | | | | | |
| Barentz International BV 2024 USD Term Loan B (Netherlands)(a) | | – | (d) | 3/3/2031 | | | 73,595 | | | | 73,963 | |
| BCPE Empire Holdings, Inc. 2024 Term Loan(b) | | 9.33% (1 mo.
USD Term SOFR + 4.00%) | | 12/11/2028 | | | 68,655 | | | | 68,809 | |
| Parts Europe SA EUR Term Loan B | | 7.641% (3 mo.
EURIBOR + 3.75%) | | 2/3/2031 | | EUR | 110,880 | | | | 119,708 | |
| Total | | | | | | | | | | | 262,480 | |
| | | | | | | | | | | | | |
| Diversified Capital Goods 0.85% | | | | | | | | | | | | |
| CeramTec AcquiCo GmbH 2022 EUR Term Loan B | | 7.452% (3 mo.
EURIBOR + 3.50%) | | 3/16/2029 | | EUR | 95,078 | | | | 101,549 | |
| | | | | | | | | | | | | |
| Diversified Financial Services 4.22% | | | | | | | | | | | | |
| Advisor Group, Inc. 2023 Term Loan B(b) | | 9.827% (1 mo.
USD Term SOFR + 4.50%) | | 8/17/2028 | | $ | 124,836 | | | | 125,468 | |
| Advisor Group, Inc. 2024 Term Loan(b) | | – | (d) | 8/17/2028 | | | 9,191 | | | | 9,238 | |
| DRW Holdings LLC 2021 Term Loan(b) | | 9.195% (1 mo.
USD Term SOFR + 3.75%) | | 3/1/2028 | | | 102,444 | | | | 102,572 | |
| HighTower Holdings LLC 2021 Term Loan B(b) | | 9.586% (3 mo.
USD Term SOFR + 4.00%) | | 4/21/2028 | | | 22,742 | | | | 22,799 | |
| Kestra Advisor Services Holdings A, Inc. 2024 Term Loan(b) | | – | (d) | 3/19/2031 | | | 106,000 | | | | 106,309 | |
| Minotaur Acquisition, Inc. Term Loan B(b) | | 10.18% (1 mo.
USD Term SOFR + 4.75%) | | 3/27/2026 | | | 135,221 | | | | 135,525 | |
| Total | | | | | | | | | | | 501,911 | |
| | See Notes to Schedule of Investments. | 5 |
Schedule of Investments (unaudited)(continued)
March 31, 2024
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount‡ | | | Fair
Value | |
| Entertainment 2.30% | | | | | | | | | | |
| ECL Entertainment LLC 2023 Term Loan B(b) | | 10.08% (1 mo.
USD Term SOFR + 4.75%) | | 8/31/2030 | | $ | 74,438 | | | $ | 74,913 | |
| Motion Finco SARL 2023 EUR Term Loan B(b) | | 7.652% (3 mo.
EURIBOR + 3.75%) | | 11/12/2029 | | EUR | 64,384 | | | | 69,205 | |
| Motion Finco SARL 2024 USD Term Loan B (Luxembourg)(a)(b) | | 9.071% (3 mo.
USD Term SOFR + 3.50%) | | 11/12/2029 | | $ | 7,453 | | | | 7,450 | |
| Ontario Gaming GTA LP Term Loan B (Canada)(a)(b) | | 9.559% (3 mo.
USD Term SOFR + 4.25%) | | 8/1/2030 | | | 121,885 | | | | 122,451 | |
| Total | | | | | | | | | | | 274,019 | |
| | | | | | | | | | | | | |
| Environmental Control 0.78% | | | | | | | | | | | | |
| Heritage-Crystal Clean, Inc. Term Loan B(b) | | 10.317% (3 mo.
USD Term SOFR + 5.00%) | | 10/17/2030 | | | 92,000 | | | | 92,359 | |
| | | | | | | | | | | | | |
| Financial 3.52% | | | | | | | | | | | | |
| AssuredPartners, Inc. 2020 Term Loan B(b) | | – | (d) | 2/12/2027 | | | 68,289 | | | | 68,436 | |
| Asurion LLC 2021 Second Lien Term Loan B4 | | 10.692% (1 mo.
USD Term SOFR + 5.25%) | | 1/20/2029 | | | 150,000 | | | | 134,918 | |
| Edelman Financial Center LLC 2018 2nd Lien Term Loan | | 12.195% (1 mo.
USD Term SOFR + 6.75%) | | 7/20/2026 | | | 140,000 | | | | 140,919 | |
| OneDigital Borrower LLC 2021 Term Loan | | – | (d) | 11/16/2027 | | | 74,251 | | | | 74,344 | |
| Total | | | | | | | | | | | 418,617 | |
| | | | | | | | | | | | | |
| Food 3.05% | | | | | | | | | | | | |
| Chobani LLC 2023 Incremental Term Loan(b) | | 9.075% (1 mo.
USD Term SOFR + 3.75%) | | 10/25/2027 | | | 109,725 | | | | 110,457 | |
| Market Bidco Ltd. EUR Term Loan B1 | | 8.651% (3 mo.
EURIBOR + 4.75%) | | 11/4/2027 | | EUR | 170,000 | | | | 178,846 | |
| Upfield BV 2023 USD Term Loan B7 (Netherlands)(a) | | – | (d) | 1/2/2028 | | $ | 74,000 | | | | 73,757 | |
| Total | | | | | | | | | | | 363,060 | |
| 6 | See Notes to Schedule of Investments. | |
Schedule of Investments (unaudited)(continued)
March 31, 2024
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount‡ | | | Fair
Value | |
| Gaming/Leisure 4.27% | | | | | | | | | | |
| 888 Acquisitions Ltd. USD Term Loan B (United Kingdom)(a) | | 10.575% (3 mo.
USD Term SOFR + 5.25%) | | 7/1/2028 | | $ | 181,823 | | | $ | 181,278 | |
| Fertitta Entertainment LLC 2022 Term Loan B | | 9.077% (1 mo.
USD Term SOFR + 3.75%) | | 1/27/2029 | | | 102,952 | | | | 103,317 | |
| Scientific Games Holdings LP 2022 USD Term Loan B | | 8.58% (3 mo.
USD Term SOFR + 3.25%) | | 4/4/2029 | | | 98,997 | | | | 99,093 | |
| United FP Holdings LLC 2019 1st Lien Term Loan | | 9.574% (3 mo.
USD Term SOFR + 4.00%) | | 12/30/2026 | | | 138,929 | | | | 123,879 | |
| Total | | | | | | | | | | | 507,567 | |
| | | | | | | | | | | | | |
| Gas 1.16% | | | | | | | | | | | | |
| NGL Energy Partners LP 2024 Term Loan B(b) | | 9.83% (1 mo.
USD Term SOFR + 4.50%) | | 2/2/2031 | | | 138,000 | | | | 138,518 | |
| | | | | | | | | | | | | |
| Health Care Products 0.88% | | | | | | | | | | | | |
| Curia Global, Inc. 2021 Term Loan | | 9.163% (3 mo.
USD Term SOFR + 3.75%) | | 8/30/2026 | | | 109,473 | | | | 104,564 | |
| | | | | | | | | | | | | |
| Health Care Services 5.56% | | | | | | | | | | | | |
| ADMI Corp. 2023 Term Loan B5(b) | | 11.08% (1 mo.
USD Term SOFR + 5.75%) | | 12/23/2027 | | | 167,580 | | | | 167,947 | |
| Dermatology Intermediate Holdings III, Inc. 2023 Incremental Term Loan B(b) | | 10.813% (3 mo.
USD Term SOFR + 5.50%) | | 3/30/2029 | | | 102,000 | | | | 101,235 | |
| Heartland Dental LLC 2023 Term Loan B(b) | | 10.329% (1 mo.
USD Term SOFR + 5.00%) | | 4/28/2028 | | | 138,944 | | | | 139,405 | |
| National Mentor Holdings, Inc. 2021 Term Loan(b) | | – | (d) | 3/2/2028 | | | 106,659 | | | | 100,681 | |
| National Mentor Holdings, Inc. 2021 Term Loan C(b) | | – | (d) | 3/2/2028 | | | 3,066 | | | | 2,894 | |
| Star Parent, Inc. Term Loan B(b) | | 9.309% (3 mo.
USD Term SOFR + 4.00%) | | 9/27/2030 | | | 150,000 | | | | 149,260 | |
| Total | | | | | | | | | | | 661,422 | |
| | | | | | | | | | | | | |
| Healthcare 7.68% | | | | | | | | | | | | |
| Athenahealth Group, Inc. 2022 Term Loan B(b) | | 8.58% (1 mo. USD Term SOFR + 3.25%) | | 2/15/2029 | | | 60,695 | | | | 60,273 | |
| CCRR Parent, Inc. Term Loan B(b) | | 9.192% (1 mo.
USD Term SOFR + 3.75%) | | 3/6/2028 | | | 60,067 | | | | 54,411 | |
| | See Notes to Schedule of Investments. | 7 |
Schedule of Investments (unaudited)(continued)
March 31, 2024
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount‡ | | | Fair
Value | |
| Healthcare (continued) | | | | | | | | | | | | |
| Covetrus, Inc. Term Loan(b) | | 10.309% (3 mo.
USD Term SOFR + 5.00%) | | 10/13/2029 | | $ | 68,481 | | | $ | 68,648 | |
| eResearchTechnology, Inc. 2020 1st Lien Term Loan(b) | | 9.829% (1 mo.
USD Term SOFR + 4.50%) | | 2/4/2027 | | | 135,595 | | | | 136,158 | |
| Global Medical Response, Inc. 2020 Term Loan B | | 9.841% (3 mo.
USD Term SOFR + 4.25%) | | 10/2/2025 | | | 110,000 | | | | 103,057 | |
| Hunter Holdco 3 Ltd. USD Term Loan B (United Kingdom)(a)(b) | | 9.659% (3 mo.
USD Term SOFR + 4.25%) | | 8/19/2028 | | | 150,000 | | | | 150,094 | |
| Physician Partners LLC Term Loan | | – | (d) | 12/26/2028 | | | 55,877 | | | | 42,187 | |
| Southern Veterinary Partners LLC Term Loan(b) | | 9.445% (1 mo.
USD Term SOFR + 4.00%) | | 10/5/2027 | | | 149,563 | | | | 149,899 | |
| Summit Behavioral Healthcare LLC 1st Lien Term Loan(b) | | 10.355% (3 mo.
USD Term SOFR + 4.75%) | | 11/24/2028 | | | 148,388 | | | | 148,759 | |
| Total | | | | | | | | | | | 913,486 | |
| | | | | | | | | | | | | |
| Home Furnishings 0.25% | | | | | | | | | | | | |
| AI Aqua Merger Sub, Inc. 2023 Incremental Term Loan(e) | | 9.572% - 9.58% (1 mo.
USD Term SOFR + 4.00%) | | 7/31/2028 | | | 30,000 | | | | 30,172 | |
| | | | | | | | | | | | | |
| Housewares 0.81% | | | | | | | | | | | | |
| Springs Windows Fashions LLC 2021 Term Loan B | | 9.445% (1 mo.
USD Term SOFR + 4.00%) | | 10/6/2028 | | | 104,203 | | | | 96,170 | |
| | | | | | | | | | | | | |
| Housing 1.58% | | | | | | | | | | | | |
| Icebox Holdco III, Inc. 2021 2nd Lien Term Loan | | 12.321% (3 mo.
USD Term SOFR + 6.75%) | | 12/21/2029 | | | 110,000 | | | | 107,800 | |
| LBM Acquisition LLC Term Loan B(b) | | 9.177% (1 mo.
USD Term SOFR + 3.75%) | | 12/17/2027 | | | 80,238 | | | | 80,188 | |
| Total | | | | | | | | | | | 187,988 | |
| | | | | | | | | | | | | |
| Information Technology 3.57% | | | | | | | | | | | | |
| Apttus Corp. 2021 Term Loan(b) | | 9.445% (1 mo.
USD Term SOFR + 4.00%) | | 5/8/2028 | | | 68,127 | | | | 68,286 | |
| Cloud Software Group, Inc. 2022 USD Term Loan B | | 9.909% (2 mo.
USD Term SOFR + 5.00%)
(3 mo. USD Term SOFR + 5.00%) | | 3/30/2029 | | | 143,757 | | | | 143,267 | |
| 8 | See Notes to Schedule of Investments. | |
Schedule of Investments (unaudited)(continued)
March 31, 2024
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount‡ | | | Fair
Value | |
| Information Technology (continued) | | | | | | | | | | | | |
| Ensono LP 2021 Term Loan(b) | | 9.447% (1 mo.
USD Term SOFR + 4.00%)
(3 mo. USD Term SOFR + 4.00%) | | 5/26/2028 | | $ | 112,500 | | | $ | 109,406 | |
| McAfee LLC 2022 USD Term Loan B | | 9.176% (1 mo. | | | | | | | | | | |
| | | USD Term SOFR + 3.75%) | | 3/1/2029 | | | 103,040 | | | | 103,090 | |
| Total | | | | | | | | | | | 424,049 | |
| | | | | | | | | | | | | |
| Insurance 2.86% | | | | | | | | | | | | |
| Amynta Agency Borrower, Inc. 2023 1st Lien Term Loan B(b) | | 9.552% (3 mo.
USD Term SOFR + 4.25%) | | 2/28/2028 | | | 145,443 | | | | 146,156 | |
| AssuredPartners, Inc. 2024 Incremental Term Loan B5(b) | | 8.827% (1 mo.
USD Term SOFR + 3.50%) | | 2/14/2031 | | | 50,400 | | | | 50,526 | |
| Jones Deslauriers Insurance Management, Inc. 2024 Term Loan B (Canada)(a) | | 8.805% (3 mo.
USD Term SOFR + 3.50%) | | 3/15/2030 | | | 69,000 | | | | 69,086 | |
| Sedgwick Claims Management Services, Inc. 2023 Term Loan B(b) | | 9.077% (1 mo.
USD Term SOFR + 3.75%) | | 2/24/2028 | | | 74,554 | | | | 74,774 | |
| Total | | | | | | | | | | | 340,542 | |
| | | | | | | | | | | | | |
| Integrated Energy 0.59% | | | | | | | | | | | | |
| Esdec Solar Group BV Term Loan B (Netherlands)(a)(b) | | 10.571% (3 mo.
USD Term SOFR + 5.00%) | | 8/30/2028 | | | 73,967 | | | | 70,454 | |
| | | | | | | | | | | | | |
| Internet 2.99% | | | | | | | | | | | | |
| Endure Digital, Inc. Term Loan(b) | | 9.422% (6 mo.
USD Term SOFR + 3.50%) | | 2/10/2028 | | | 109,718 | | | | 107,331 | |
| ION Trading Technologies SARL 2021 EUR Term Loan B | | – | (d) | 4/1/2028 | | EUR | 70,000 | | | | 73,148 | |
| MH Sub I LLC 2021 2nd Lien Term Loan | | 11.58% (1 mo.
USD Term SOFR + 6.25%) | | 2/23/2029 | | $ | 28,253 | | | | 27,312 | |
| MH Sub I LLC 2023 Term Loan(b) | | 9.58% (1 mo.
USD Term SOFR + 4.25%) | | 5/3/2028 | | | 73,849 | | | | 73,496 | |
| Titan AcquisitionCo New Zealand Ltd. 2021 USD Term Loan (New Zealand)(a)(b) | | 9.571% (3 mo.
USD Term SOFR + 4.00%) | | 10/18/2028 | | | 74,809 | | | | 74,833 | |
| Total | | | | | | | | | | | 356,120 | |
| | See Notes to Schedule of Investments. | 9 |
Schedule of Investments (unaudited)(continued)
March 31, 2024
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount‡ | | | Fair
Value | |
| Internet Companies 0.58% | | | | | | | | | | | | |
| NEXUS Buyer LLC 2021 Second Lien Term Loan | | 11.677% (1 mo.
USD Term SOFR + 6.25%) | | 11/5/2029 | | $ | 69,000 | | | $ | 68,741 | |
| | | | | | | | | | | | | |
| Investment Management Companies 1.23% | | | | | | | | | | | | |
| Aragorn Parent Corp. Term Loan(b) | | 9.577% (1 mo.
USD Term SOFR + 4.25%) | | 12/15/2028 | | | 61,845 | | | | 62,116 | |
| NEXUS Buyer LLC 2023 Term Loan B2(b) | | 9.827% (1 mo.
USD Term SOFR + 4.50%) | | 12/13/2028 | | | 84,000 | | | | 83,632 | |
| Total | | | | | | | | | | | 145,748 | |
| | | | | | | | | | | | | |
| Leisure Time 1.61% | | | | | | | | | | | | |
| Fitness International LLC 2024 Term Loan B(b) | | 10.577% (1 mo.
USD Term SOFR + 5.25%) | | 2/5/2029 | | | 149,321 | | | | 147,828 | |
| Hurtigruten ASA 2024 EUR OpCo Exit Term Loan | | 11.427% (3 mo.
EURIBOR + 7.50%) | | 6/30/2027 | | EUR | 15,382 | | | | 17,359 | |
| Hurtigruten ASA 2024 EUR Term Loan B | | 10.411% (6 mo.
EURIBOR + 6.50%) | | 9/30/2027 | | EUR | 25,347 | | | | 26,098 | |
| Total | | | | | | | | | | | 191,285 | |
| | | | | | | | | | | | | |
| Lodging 0.80% | | | | | | | | | | | | |
| Spectacle Gary Holdings LLC 2021 Term Loan B | | 9.702% (3 mo.
USD Term SOFR + 4.25%) | | 12/11/2028 | | $ | 96,941 | | | | 95,729 | |
| | | | | | | | | | | | | |
| Machinery: Diversified 4.26% | | | | | | | | | | | | |
| Cd&R Hydra Buyer, Inc. 2024 Term Loan B(b) | | – | (d) | 3/25/2031 | | | 96,000 | | | | 96,330 | |
| CPM Holdings, Inc. 2023 Term Loan | | 9.826% (1 mo.
USD Term SOFR + 4.50%) | | 9/28/2028 | | | 53,200 | | | | 53,338 | |
| Engineered Machinery Holdings, Inc. 2021 USD 2nd Lien Term Loan | | 11.571% (3 mo.
USD Term SOFR + 6.00%) | | 5/21/2029 | | | 69,977 | | | | 69,335 | |
| LSF12 Badger Bidco LLC Term Loan B(b) | | – | (d) | 8/30/2030 | | | 103,326 | | | | 103,908 | |
| SPX Flow, Inc. 2022 Term Loan(b) | | 9.927% (1 mo.
USD Term SOFR + 4.50%) | | 4/5/2029 | | | 69,000 | | | | 69,370 | |
| Titan Acquisition Ltd. 2024 | | | | | | | | | | | | |
| Term Loan B (Canada)(a)(b) | | – | (d) | 2/1/2029 | | | 114,216 | | | | 114,657 | |
| Total | | | | | | | | | | | 506,938 | |
| | |
| 10 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2024
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount‡ | | | Fair
Value | |
| Manufacturing 4.12% | | | | | | | | | | | | |
| AMC Entertainment Holdings, Inc. 2019 Term Loan B | | 8.435% (1 mo.
USD Term SOFR + 3.00%) | | 4/22/2026 | | $ | 72,712 | | | $ | 61,169 | |
| Chamberlain Group, Inc. Term Loan B | | 8.68% (1 mo.
USD Term SOFR + 3.25%) | | 11/3/2028 | | | 101,700 | | | | 101,681 | |
| CMG Media Corp. 2021 Term Loan(b) | | – | (d) | 12/17/2026 | | | 70,000 | | | | 61,219 | |
| DirecTV Financing LLC Term Loan(b) | | 10.445% (1 mo.
USD Term SOFR + 5.00%) | | 8/2/2027 | | | 50,119 | | | | 50,244 | |
| Frontier Communications Corp. 2021 1st Lien Term Loan(b) | | 9.195% (1 mo.
USD Term SOFR + 3.75%) | | 10/8/2027 | | | 147,065 | | | | 146,928 | |
| Pro Mach Group, Inc. 2021 Term Loan B(b) | | 9.077% (1 mo.
USD Term SOFR + 3.75%) | | 8/31/2028 | | | 68,303 | | | | 68,625 | |
| Total | | | | | | | | | | | 489,866 | |
| | | | | | | | | | | | | |
| Media 0.52% | | | | | | | | | | | | |
| Cengage Learning, Inc. 2024 Term Loan B(b) | | 9.579% (3 mo.
USD Term SOFR + 4.25%) | | 3/15/2031 | | | 62,000 | | | | 62,010 | |
| | | | | | | | | | | | | |
| Metal Fabricate/Hardware 0.85% | | | | | | | | | | | | |
| Tank Holding Corp. 2022 Term Loan(b) | | 11.177% (1 mo.
USD Term SOFR + 5.75%) | | 3/31/2028 | | | 68,307 | | | | 67,635 | |
| Tank Holding Corp. 2023 Incremental Delayed Draw Term Loan(b)(e) | | 1.00% (1 mo.
USD Term SOFR + 6.00%) | | 3/31/2028 | | | 10,180 | | | | 10,078 | |
| Tank Holding Corp. 2023 Incremental Term Loan(b) | | 11.427% (1 mo.
USD Term SOFR + 6.00%) | | 3/31/2028 | | | 23,622 | | | | 23,385 | |
| Total | | | | | | | | | | | 101,098 | |
| | | | | | | | | | | | | |
| Mining & Metals 1.03% | | | | | | | | | | | | |
| U.S. Silica Co. 2023 Term Loan B(b) | | – | (d) | 3/25/2030 | | | 122,000 | | | | 122,338 | |
| | | | | | | | | | | | | |
| Miscellaneous Manufacture 0.81% | | | | | | | | | | | | |
| Touchdown Acquirer, Inc. USD Term Loan(b) | | – | (d) | 2/21/2031 | | | 17,227 | | | | 17,302 | |
| Touchdown Acquirer, Inc. USD Term Loan(b) | | 9.314% (3 mo.
USD Term SOFR + 4.00%) | | 2/21/2031 | | | 78,670 | | | | 79,015 | |
| Total | | | | | | | | | | | 96,317 | |
| | | |
| | See Notes to Schedule of Investments. | 11 |
Schedule of Investments (unaudited)(continued)
March 31, 2024
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount‡ | | | Fair
Value | |
| Office Furniture & Business Equipment 0.93% | | | | | | | | |
| Xerox Holdings Corp. 2023 Term Loan B(b) | | 9.33% (1 mo.
USD Term SOFR + 4.00%) | | 11/17/2029 | | $ | 110,000 | | | $ | 110,653 | |
| | | | | | | | | | | | | |
| Packaging 0.58% | | | | | | | | | | | | |
| Clydesdale Acquisition Holdings, Inc. Term Loan B(b) | | – | (d) | 4/13/2029 | | | 68,454 | | | | 68,625 | |
| | | | | | | | | | | | | |
| Personal & Household Products 1.53% | | | | | | | | |
| AI Aqua Merger Sub, Inc. 2021 1st Lien Term Loan B(b) | | 9.072% (1 mo.
USD Term SOFR + 3.75%) | | 7/31/2028 | | | 181,762 | | | | 182,293 | |
| | | | | | | | | | | | | |
| Pharmaceuticals 0.26% | | | | | | | | |
| Ceva Sante Animale 2023 USD Term Loan B (France)(a)(b) | | 9.564% (3 mo.
USD Term SOFR + 4.25%) | | 11/1/2030 | | | 31,000 | | | | 31,109 | |
| | | | | | | | | | | | | |
| Pipelines 2.39% | | | | | | | | | | | | |
| Brazos Delaware II LLC 2023 Term Loan B(b) | | 9.079% (1 mo.
USD Term SOFR + 3.75%) | | 2/11/2030 | | | 36,190 | | | | 36,326 | |
| Epic Crude Services LP Term Loan B | | 10.605% (3 mo.
USD Term SOFR + 5.00%) | | 3/2/2026 | | | 109,716 | | | | 110,078 | |
| Epic Y-Grade Services LP 2020 Term Loan | | 11.329% (1 mo.
USD Term SOFR + 6.00%) | | 6/30/2027 | | | 137,820 | | | | 137,992 | |
| Total | | | | | | | | | | | 284,396 | |
| | | | | | | | | | | | | |
| Retail 3.29% | | | | | | | | | | | | |
| Evergreen Acqco 1 LP 2021 USD Term Loan(b) | | 9.052% (3 mo.
USD Term SOFR + 3.75%) | | 4/26/2028 | | | 57,013 | | | | 57,298 | |
| Flynn Restaurant Group LP 2021 Term Loan B(b) | | 9.692% (1 mo.
USD Term SOFR + 4.25%) | | 12/1/2028 | | | 69,033 | | | | 69,335 | |
| Fogo De Chao, Inc. 2023 Term Loan B(b) | | 10.077% (1 mo.
USD Term SOFR + 4.75%) | | 9/30/2030 | | | 103,000 | | | | 102,402 | |
| K-MAC Holdings Corp. 2024 Add-on Term Loan(b) | | – | (d) | 7/21/2028 | | | 93,750 | | | | 94,180 | |
| PetSmart, Inc. 2021 Term Loan B(b) | | 9.18% (1 mo.
USD Term SOFR + 3.75%) | | 2/11/2028 | | | 68,127 | | | | 68,056 | |
| Total | | | | | | | | | | | 391,271 | |
| | |
| 12 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2024
| Investments | | Interest
Rate | | Maturity Date | | Principal
Amount‡ | | | Fair
Value | |
| Service 3.15% | | | | | | | | | | | | |
| Amentum Government Services Holdings LLC 2022 Term Loan(b) | | 9.329% (1 mo.
USD Term SOFR + 4.00%) | | 2/15/2029 | | $ | 68,307 | | | $ | 68,548 | |
| DTI Holdco, Inc. 2022 Term Loan(b) | | 10.063% (3 mo.
USD Term SOFR + 4.75%) | | 4/26/2029 | | | 103,132 | | | | 103,261 | |
| Red Planet Borrower LLC Term Loan B(b) | | 9.177% (1 mo.
USD Term SOFR + 3.75%) | | 10/2/2028 | | | 109,475 | | | | 107,910 | |
| Service Logic Acquisition, Inc. Term Loan(b) | | 9.574% (3 mo.
USD Term SOFR + 4.00%) | | 10/29/2027 | | | 95,053 | | | | 95,172 | |
| Total | | | | | | | | | | | 374,891 | |
| | | | | | | | | | | | | |
| Software 11.46% | | | | | | | | | | | | |
| Banff Merger Sub, Inc. 2023 USD Term Loan | | 9.58% (1 mo.
USD Term SOFR + 4.25%) | | 12/29/2028 | | | 104,944 | | | | 105,742 | |
| Central Parent, Inc. 2023 Term Loan B(b) | | 9.309% (3 mo.
USD Term SOFR + 4.00%) | | 7/6/2029 | | | 68,483 | | | | 68,764 | |
| Cloud Software Group, Inc. 2024 Term Loan | | 9.929% (3 mo.
USD Term SOFR + 4.50%) | | 3/21/2031 | | | 30,000 | | | | 29,841 | |
| Constant Contact, Inc. 2024 Incremental Delayed Draw Term Loan(e) | | 9.599% (3 mo.
USD Term SOFR + 4.00%) | | 2/10/2028 | | | 73,000 | | | | 70,719 | |
| Constant Contact, Inc. Term Loan(b) | | 9.588% (3 mo.
USD Term SOFR + 4.00%) | | 2/10/2028 | | | 75,000 | | | | 73,071 | |
| Cotiviti Corp. 2024 Fixed Term Loan B | | – | (d) | 2/21/2031 | | | 75,000 | | | | 75,234 | |
| Cvent, Inc. 2023 Term Loan B(b) | | 9.052% (3 mo.
USD Term SOFR + 3.75%) | | 6/17/2030 | | | 117,773 | | | | 118,092 | |
| Mitchell International, Inc. 2021 2nd Lien Term Loan | | 11.942% (1 mo.
USD Term SOFR + 6.50%) | | 10/15/2029 | | | 110,000 | | | | 110,069 | |
| Mosel Bidco SE USD Term Loan B (Germany)(a) | | 10.059% (3 mo.
USD Term SOFR + 4.75%) | | 9/16/2030 | | | 61,000 | | | | 61,229 | |
| Physician Partners LLC 2023 Incremental Term Loan B | | 10.813% (3 mo.
USD Term SOFR + 5.50%) | | 12/23/2028 | | | 4,988 | | | | 4,489 | |
| Project Alpha Intermediate Holding, Inc. 2023 1st Lien Term Loan B(b) | | 10.063% (3 mo.
USD Term SOFR + 4.75%) | | 10/28/2030 | | | 73,000 | | | | 73,481 | |
| | | |
| | See Notes to Schedule of Investments. | 13 |
Schedule of Investments (unaudited)(continued)
March 31, 2024
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount‡ | | | Fair
Value | |
| Software (continued) | | | | | | | | | | | | |
| Renaissance Holding Corp. 2024 Term Loan(b) | | 9.577% (1 mo.
USD Term SOFR + 4.25%) | | 4/5/2030 | | $ | 169,818 | | | $ | 170,348 | |
| Rocket Software, Inc. 2023 USD Term Loan B(b) | | 10.08% (1 mo.
USD Term SOFR + 4.75%) | | 11/28/2028 | | | 146,265 | | | | 145,379 | |
| Sophia LP 2024 Term Loan B(b) | | 8.926% (1 mo.
USD Term SOFR + 3.50%) | | 10/9/2029 | | | 67,891 | | | | 68,264 | |
| Waystar Technologies, Inc. 2024 Term Loan B(b) | | 9.33% (1 mo.
USD Term SOFR + 4.00%) | | 10/22/2029 | | | 148,290 | | | | 148,847 | |
| Webpros Investments SARL 2024 Term Loan B (Luxembourg)(a)(b) | | – | (d) | 3/19/2031 | | | 39,000 | | | | 39,146 | |
| Total | | | | | | | | | | | 1,362,715 | |
| | | | | | | | | | | | | |
| Technology Hardware & Equipment 0.54% | | | | | | | | | | | | |
| Atlas CC Acquisition Corp. Term Loan B | | 9.855% (3 mo.
USD Term SOFR + 4.25%) | | 5/25/2028 | | | 56,756 | | | | 53,284 | |
| Atlas CC Acquisition Corp. Term Loan C | | 9.855% (3 mo.
USD Term SOFR + 4.25%) | | 5/25/2028 | | | 11,514 | | | | 10,810 | |
| Total | | | | | | | | | | | 64,094 | |
| | | | | | | | | | | | | |
| Telecommunications 2.78% | | | | | | | | | | | | |
| Altice France SA EUR Term Loan B12 | | 6.942% (3 mo.
EURIBOR + 3.00%) | | 2/2/2026 | | EUR | 75,000 | | | | 69,912 | |
| Carriage Purchaser, Inc. 2021 Term Loan B(b) | | 9.695% (1 mo.
USD Term SOFR + 4.25%) | | 10/2/2028 | | $ | 68,127 | | | | 68,446 | |
| Michaels Cos., Inc. 2021 Term Loan B | | – | (d) | 4/15/2028 | | | 75,000 | | | | 67,483 | |
| Northwest Fiber LLC 2021 Term Loan(b) | | 9.193% (1 mo.
USD Term SOFR + 3.75%) | | 4/30/2027 | | | 124,338 | | | | 124,446 | |
| Total | | | | | | | | | | | 330,287 | |
| | | | | | | | | | | | | |
| Utilities 0.45% | | | | | | | | | | | | |
| Talen Energy Supply LLC 2023 Term Loan B | | 9.826% (3 mo.
USD Term SOFR + 4.50%) | | 5/17/2030 | | | 52,735 | | | | 52,994 | |
| Total Floating Rate Loans (cost $14,204,492) | | | | | | | | 14,418,243 | |
| Total Long-Term Investments (cost $15,748,498) | | | | | | | | | | 15,980,134 | |
| | |
| 14 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2024
| Investments | | Interest
Rate | | Maturity
Date | | Principal
Amount‡ | | | Fair
Value | |
| SHORT-TERM INVESTMENTS 4.71% | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| GOVERNMENT SPONSORED ENTERPRISES SECURITIES 2.02% | | | | | | | | |
Federal Home Loan Bank Discount Notes
(cost $240,000) | | Zero Coupon | | 4/1/2024 | | $ | 240,000 | | | $ | 239,862 | |
| | | | | | | | | | | | | |
| REPURCHASE AGREEMENTS 2.69% | | | | | | | | | | | | |
Repurchase Agreement dated 3/28/2024, 5.250% due 4/1/2024 with TD Securities USA LLC collateralized by $60,000 of U.S. Treasury Bill at 2.500% due 5/31/2024; value: $60,712; proceeds: $60,035
(cost $60,000) | | | | | | | 60,000 | | | | 60,000 | |
Repurchase Agreement dated 3/28/2024, 5.180% due 4/1/2024 with TD Securities USA LLC collateralized by $327,000 of U.S. Treasury Bond at 3.250% due 5/15/2048; value: $261,438; proceeds: $260,150
(cost $260,000) | | | | | | | 260,000 | | | | 260,000 | |
| Total Repurchase Agreements (cost $320,000) | | | | | | | | 320,000 | |
| Total Short-Term Investments (cost $560,000) | | | | | | | | 559,862 | |
| Total Investments in Securities 139.08% (cost $16,308,498) | | | | | | | | 16,539,996 | |
| Less Unfunded Loan Commitments (0.47%) (cost $57,021) | | | | | | | | (55,796 | ) |
| Net Investments in Securities 138.61% (cost $16,251,477) | | | | | | | | 16,484,200 | |
| Borrowings (29.01)% | | | | | | | | | | | (3,450,000 | ) |
| Other Assets and Liabilities – Net(f) (9.60)% | | | | | | | | | | | (1,141,350 | ) |
| Net Assets 100.00% | | | | | | | | | | $ | 11,892,850 | |
| EUR | | Euro. |
| EURIBOR | | Euro Interbank Offered Rate. |
| SOFR | | Secured Overnight Financing Rate. |
| ‡ | | Principal Amount is denominated in U.S. dollars unless otherwise noted. |
| † | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. At March 31, 2024, the total value of Rule 144A securities was $1,458,114, which represents 12.26% of net assets. |
| # | | Variable rate security. The interest rate represents the rate in effect at March 31, 2024. |
| (a) | | Foreign security traded in U.S. dollars. |
| (b) | | All or part of this investment held as collateral for the Fund’s credit facility. |
| (c) | | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the Secured Overnight Financing Rate (“SOFR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at March 31, 2024. |
| (d) | | Interest Rate to be determined. |
| (e) | | Security partially/fully unfunded. |
| (f) | | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts and swap contracts as follows: |
| | | |
| | See Notes to Schedule of Investments. | 15 |
Schedule of Investments (unaudited)(continued)
March 31, 2024
Centrally Cleared Interest Rate Swap Contracts at March 31, 2024:
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 | | | | $ | 63 | |
| Bank of America(1) | | 4.552% | | 12-Month USD SOFR | | 2/15/2026 | | | 68,000 | | | | | 61 | |
| Bank of America(1) | | 4.523% | | 12-Month USD SOFR | | 2/15/2026 | | | 5,000 | | | | | 7 | |
| Bank of America(1) | | 4.007% | | 12-Month USD SOFR | | 6/1/2028 | | | 60,000 | | | | | 137 | |
| Unrealized Appreciation on Centrally Cleared Interest Rate Swap Contracts | | | | | | | | $ | 268 | |
| SOFR | | Secured Overnight Financing Rate. |
| (1) | | Central clearinghouse: Chicago Mercantile Exchange (CME). |
Forward Foreign Currency Exchange Contracts at March 31, 2024:
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 | | Morgan Stanley | | 5/22/2024 | | 461,000 | | | $499,918 | | | | $498,319 | | | | $ | 1,599 | |
| Euro | | Sell | | Morgan Stanley | | 5/22/2024 | | 7,000 | | | 7,595 | | | | 7,567 | | | | | 28 | |
| Euro | | Sell | | Toronto Dominion Bank | | 5/22/2024 | | 75,000 | | | 81,345 | | | | 81,071 | | | | | 274 | |
| Euro | | Sell | | Toronto Dominion Bank | | 5/22/2024 | | 177,000 | | | 193,027 | | | | 191,329 | | | | | 1,698 | |
| Euro | | Sell | | Toronto Dominion Bank | | 5/22/2024 | | 73,000 | | | 79,883 | | | | 78,909 | | | | | 974 | |
| Total Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | $ | 4,573 | |
| | | | | | | | | | | | | | | |
Forward
Foreign
Currency
Exchange
Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | U.S. $
Cost on
Origination
Date | | | | U.S. $
Current
Value | | | Unrealized
Depreciation | |
| Euro | | Buy | | Morgan Stanley | | 5/22/2024 | | 86,000 | | | $94,318 | | | | $92,962 | | | | $ | (1,356 | ) |
| Euro | | Buy | | Toronto Dominion Bank | | 5/22/2024 | | 6,000 | | | 6,500 | | | | 6,486 | | | | | (14 | ) |
| Total Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | | | | | | | $ | (1,370 | ) |
| | |
| 16 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(concluded)
March 31, 2024
The following is a summary of the inputs used as of March 31, 2024 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 | | $ | – | | | $ | 495,894 | | | $ | – | | | $ | 495,894 | |
| Corporate Bonds | | | – | | | | 1,065,997 | | | | – | | | | 1,065,997 | |
| Floating Rate Loans | | | – | | | | 14,418,243 | | | | – | | | | 14,418,243 | |
| Less Unfunded Commitments | | | – | | | | (55,796 | ) | | | – | | | | (55,796 | ) |
| Short-Term Investments | | | | | | | | | | | | | | | | |
| Government Sponsored Enterprises Securities | | | – | | | | 239,862 | | | | – | | | | 239,862 | |
| Repurchase Agreements | | | – | | | | 320,000 | | | | – | | | | 320,000 | |
| Total | | $ | – | | | $ | 16,484,200 | | | $ | – | | | $ | 16,484,200 | |
| Other Financial Instruments | | | | | | | | | | | | | | | | |
| Centrally Cleared Interest Rate Swap Contracts | | | | | | | | | | | | | | | | |
| Assets | | $ | – | | | $ | 268 | | | $ | – | | | $ | 268 | |
| Liabilities | | | – | | | | – | | | | – | | | | – | |
| Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| Assets | | | – | | | | 4,573 | | | | – | | | | 4,573 | |
| Liabilities | | | – | | | | (1,370 | ) | | | – | | | | (1,370 | ) |
| Total | | $ | – | | | $ | 3,471 | | | $ | – | | | $ | 3,471 | |
| (1) | | Refer to Note 2(b) for a description of fair value measurements and the three-tier hierarchy of inputs. |
| (2) | | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. When applicable, each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. |
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. | 17 |
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) | Basis of Consolidation–The Fund’s consolidated financial statements and accompanying notes include balances of both the Fund and Lord Abbett FRHI Funding, LLC., a Delaware Limited Liability Company and wholly owned subsidiary of the Fund. All interfund transactions have been eliminated upon consolidation. |
| | |
| (b) | Investment Valuation–Under procedures approved by the Fund’s Board of Trustees (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 the 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 valuations and the independent pricing services’ own electronic data processing techniques. Floating rate loans are valued at the average of bid and ask quotations obtained from dealers in loans on the basis of prices supplied by independent pricing services. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available. |
| | |
| | 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 |
18
Notes to Schedule of Investments (unaudited)(continued)
| | 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. |
| | |
| | Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
| | |
| (c) | Fair Value Measurements–Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk - for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below: |
| ● | Level 1 – | unadjusted quoted prices in active markets for identical investments; |
| | | |
| ● | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and |
| | | |
| ● | Level 3 – | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
| | A summary of inputs used in valuing the Fund’s investments and other financial instruments as of March 31, 2024 and, if applicable, Level 3 rollforwards for the period then ended is included in the Fund’s Consolidated 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 each 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.
19
Notes to Schedule of Investments (unaudited)(concluded)
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.
| 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 March 31, 2024, the Fund did not have any securities on loan.
20
QPHR-LA-FRHI-1Q
(05/24)
