Lord Abbett
Quarterly Portfolio Holdings Report
Lord Abbett
Floating Rate High Income Fund
For the period ended September 30, 2024
Consolidated Schedule of Investments (unaudited)
LORD ABBETT FLOATING RATE HIGH INCOME FUND September 30, 2024
| Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
| LONG-TERM INVESTMENTS 122.19% | ||||||||||||
| ASSET-BACKED SECURITIES 9.92% | ||||||||||||
| Automobiles 0.65% | ||||||||||||
| CAL Receivables LLC Series 2022-1 Class B† | 9.692% (30 day USD SOFR Average + 4.35%) | # | 10/15/2026 | $ | 81,348 | $ | 81,309 | |||||
| Other 9.27% | ||||||||||||
| Apidos CLO XLVIII Ltd. Series 2024-48A Class E† | 11.065% (3 mo. USD Term SOFR + 5.75%) | # | 7/25/2037 | 150,000 | 152,005 | |||||||
| Bear Mountain Park CLO Ltd. Series 2022-1A Class ER† | 11.251% (3 mo. USD Term SOFR + 5.95%) | # | 7/15/2037 | 150,000 | 150,733 | |||||||
| Dryden 115 CLO Ltd. Series 2024-115A Class E† | 12.401% (3 mo. USD Term SOFR + 7.10%) | # | 4/18/2037 | 150,000 | 153,296 | |||||||
| Empower CLO Ltd. Series 2024-2A Class E† | 11.376% (3 mo. USD Term SOFR + 6.05%) | # | 7/15/2037 | 100,000 | 100,941 | |||||||
| Generate CLO 16 Ltd. Series 2024-16A Class E† | 11.471% (3 mo. USD Term SOFR + 6.15%) | # | 7/20/2037 | 100,000 | 100,271 | |||||||
| Lodi Park CLO Ltd. Series 2024-1A Class E† | 10.939% (3 mo. USD Term SOFR + 5.65%) | # | 7/21/2037 | 100,000 | 100,823 | |||||||
| Neuberger Berman Loan Advisers CLO 56 Ltd. Series 2024-56A Class E† | 11.069% (3 mo. USD Term SOFR + 5.75%) | # | 7/24/2037 | 100,000 | 101,058 | |||||||
| OCP CLO Ltd. Series 2019-17A Class ER2† | 11.546% (3 mo. USD Term SOFR + 6.25%) | # | 7/20/2037 | 150,000 | 149,971 | |||||||
| Wellington Management CLO 3 Ltd. Series 2024-3A Class E† | 10.977% (3 mo. USD Term SOFR + 5.75%) | # | 7/18/2037 | 150,000 | 147,369 | |||||||
| Total | 1,156,467 | |||||||||||
| Total Asset-Backed Securities (cost $1,229,796) | 1,237,776 | |||||||||||
| CORPORATE BONDS 7.25% | ||||||||||||
| Airlines 0.59% | ||||||||||||
| VistaJet Malta Finance PLC/Vista Management Holding, Inc. (Malta)†(a) | 9.50% | 6/1/2028 | 75,000 | 73,376 | ||||||||
| See Notes to Condensed Schedule of Investments. | 1 |
Consolidated Schedule of Investments (unaudited)(continued)
LORD ABBETT FLOATING RATE HIGH INCOME FUND September 30, 2024
| Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
| Apparel 0.64% | ||||||||||||
| S&S Holdings LLC†(b) | 8.375% | 10/1/2031 | $ | 80,000 | $ | 80,609 | ||||||
| Building Materials 0.40% | ||||||||||||
| ACProducts Holdings, Inc.† | 6.375% | 5/15/2029 | 80,000 | 49,709 | ||||||||
| Chemicals 0.89% | ||||||||||||
| Kobe U.S. Midco 2, Inc.† | 9.25% | 11/1/2026 | 132,300 | 110,801 | ||||||||
| Energy-Alternate Sources 0.56% | ||||||||||||
| Sunnova Energy Corp.† | 5.875% | 9/1/2026 | 75,000 | 70,090 | ||||||||
| Hand/Machine Tools 0.71% | ||||||||||||
| Werner FinCo LP/Werner FinCo, Inc.† | 11.50% | 6/15/2028 | 80,000 | 88,216 | ||||||||
| Machinery-Diversified 0.89% | ||||||||||||
| Mangrove Luxco III SARL† | 8.674% (3 mo. EURIBOR + 5.00%) | # | 7/15/2029 | EUR | 100,000 | 111,742 | ||||||
| Pharmaceuticals 1.47% | ||||||||||||
| Curaleaf Holdings, Inc. | 8.00% | 12/15/2026 | $ | 75,000 | 70,875 | |||||||
| Trulieve Cannabis Corp. | 8.00% | 10/6/2026 | 115,000 | 112,073 | ||||||||
| Total | 182,948 | |||||||||||
| Retail 0.34% | ||||||||||||
| GPS Hospitality Holding Co. LLC/GPS Finco, Inc.† | 7.00% | 8/15/2028 | 69,000 | 42,872 | ||||||||
| Telecommunications 0.76% | ||||||||||||
| Lumen Technologies, Inc.† | 4.00% | 2/15/2027 | 110,000 | 94,818 | ||||||||
| Total Corporate Bonds (cost $877,341) | 905,181 | |||||||||||
| FLOATING RATE LOANS(c) 105.02% | ||||||||||||
| Advertising 0.59% | ||||||||||||
| Summer BC Holdco B SARL 2024 USD Term Loan B | 9.864% (3 mo. USD Term SOFR + 5.00%) | 2/15/2029 | 72,917 | 73,510 | ||||||||
| Aerospace 0.60% | ||||||||||||
| Peraton Corp. 2nd Lien Term Loan B1 | 12.971% (3 mo. USD Term SOFR + 7.75%) | 2/1/2029 | 79,679 | 75,023 | ||||||||
| Airlines 0.59% | ||||||||||||
| JetBlue Airways Corp. 2024 Term Loan B(d) | 10.517% (3 mo. USD Term SOFR + 5.50%) | 8/27/2029 | 75,000 | 73,617 | ||||||||
| 2 | See Notes to Condensed Schedule of Investments. |
Consolidated Schedule of Investments (unaudited)(continued)
LORD ABBETT FLOATING RATE HIGH INCOME FUND September 30, 2024
| Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
| Auto Parts & Equipment 0.88% | ||||||||||||
| RealTruck Group, Inc. 2023 Incremental Term Loan(d) | – | (e) | 1/31/2028 | $ | 183 | $ | 182 | |||||
| Tenneco, Inc. 2022 Term Loan B(d) | 9.704% (3 mo. USD Term SOFR + 5.00%) | 11/17/2028 | 115,000 | 109,501 | ||||||||
| Total | 109,683 | |||||||||||
| Beverages 0.90% | ||||||||||||
| Triton Water Holdings, Inc. 2024 Incremental Term Loan B(d) | 8.604% (3 mo. USD Term SOFR + 4.00%) | 3/31/2028 | 111,938 | 112,077 | ||||||||
| Building Materials 2.23% | ||||||||||||
| Cornerstone Building Brands, Inc. 2024 Term Loan B(d) | 9.597% (1 mo. USD Term SOFR + 4.50%) | 5/15/2031 | 76,762 | 76,019 | ||||||||
| CP Atlas Buyer, Inc. 2021 Term Loan B(d) | 8.695% (1 mo. USD Term SOFR + 3.75%) | 11/23/2027 | 74,812 | 73,962 | ||||||||
| Hobbs & Associates LLC 2024 Delayed Draw Term Loan(d) | – | (e) | 7/23/2031 | 6,091 | 6,091 | |||||||
| Hobbs & Associates LLC Term Loan B(d) | 8.095% (1 mo. USD Term SOFR + 3.25%) | 7/23/2031 | 60,909 | 60,909 | ||||||||
| Nvent Electric Public Limited Company Term Loan B (United Kingdom)(a)(d) | – | (e) | 9/12/2031 | 61,000 | 61,013 | |||||||
| Total | 277,994 | |||||||||||
| Chemicals 0.64% | ||||||||||||
| Lonza Group AG EUR Term Loan B | 7.27% (3 mo. EURIBOR + 3.93%) | 7/3/2028 | EUR | 75,000 | 79,312 | |||||||
| Commercial Services 9.87% | ||||||||||||
| Allied Universal Holdco LLC 2021 USD Incremental Term Loan B(d) | 8.695% (1 mo. USD Term SOFR + 3.75%) | 5/12/2028 | $ | 64,513 | 63,957 | |||||||
| AVSC Holding Corp. 2020 Term Loan B1 PIK 0.25% | 8.195% (1 mo. USD Term SOFR + 3.00%) | 3/3/2025 | 154,742 | 154,291 | ||||||||
| Boluda Towage SL 2024 EUR Term Loan B | 7.255% (3 mo. EURIBOR + 3.75%) | 1/31/2030 | EUR | 99,000 | 110,847 | |||||||
| Brock Holdings III, Inc. 2024 Term Loan B(d) | 10.668% (3 mo. USD Term SOFR + 6.00%) | 5/2/2030 | $ | 73,000 | 73,760 | |||||||
| Crash Champions LLC 2024 Term Loan B(d) | 9.852% (3 mo. USD Term SOFR + 4.75%) | 2/23/2029 | 134,000 | 129,366 | ||||||||
| See Notes to Condensed Schedule of Investments. | 3 |
Consolidated Schedule of Investments (unaudited)(continued)
LORD ABBETT FLOATING RATE HIGH INCOME FUND September 30, 2024
| Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
| Commercial Services (continued) | ||||||||||||
| First Advantage Holdings LLC 2024 Term Loan B(d) | – | (e) | 9/19/2031 | $ | 61,000 | $ | 60,809 | |||||
| Garda World Security Corp. 2024 Term Loan B (Canada)(a)(d) | 8.597% (1 mo. USD Term SOFR + 3.50%) | 2/1/2029 | 162,383 | 162,566 | ||||||||
| IFCO Management GmbH 2024 EUR Term Loan B | 7.402% (6 mo. EURIBOR + 3.75%) | 11/29/2029 | EUR | 68,571 | 76,676 | |||||||
| Spin Holdco, Inc. 2021 Term Loan | 9.256% (3 mo. USD Term SOFR + 4.00%) | 3/4/2028 | $ | 109,152 | 96,031 | |||||||
| Spring Education Group, Inc. Term Loan(d) | 8.604% (3 mo. USD Term SOFR + 4.00%) | 10/4/2030 | 101,427 | 102,289 | ||||||||
| TruGreen Ltd. Partnership 2020 Term Loan(d) | – | (e) | 11/2/2027 | 35,000 | 33,964 | |||||||
| TTF Holdings LLC 2024 Term Loan(d) | 8.595% (1 mo. USD Term SOFR + 3.75%) | 7/18/2031 | 92,000 | 92,230 | ||||||||
| XPLOR T1 LLC USD Term Loan B | 8.854% (3 mo. USD Term SOFR + 4.25%) | 6/24/2031 | 75,000 | 75,375 | ||||||||
| Total | 1,232,161 | |||||||||||
| Computers 1.79% | ||||||||||||
| McAfee LLC 2024 USD Term Loan B(d) | 8.451% (1 mo. USD Term SOFR + 3.25%) | 3/1/2029 | 114,712 | 114,453 | ||||||||
| Vision Solutions, Inc. 2021 2nd Lien Term Loan | 12.764% (3 mo. USD Term SOFR + 7.25%) | 4/23/2029 | 115,000 | 108,316 | ||||||||
| Vision Solutions, Inc. 2021 Incremental Term Loan(d) | – | (e) | 4/24/2028 | 193 | 188 | |||||||
| Total | 222,957 | |||||||||||
| Containers & Packaging 2.62% | ||||||||||||
| Berlin Packaging LLC 2024 Term Loan B(d) | – | (e) | 6/9/2031 | 119,700 | 119,749 | |||||||
| Pretium Packaging LLC Second Out Term Loan A1 PIK 1.38% | 9.848% (3 mo. USD Term SOFR + 4.60%) | 10/2/2028 | 100,178 | 80,726 | ||||||||
| SupplyOne, Inc. 2024 Term Loan B(d) | 9.095% (1 mo. USD Term SOFR + 4.25%) | 4/21/2031 | 125,370 | 125,893 | ||||||||
| Total | 326,368 | |||||||||||
| Distribution/Wholesale 0.55% | ||||||||||||
| BCPE Empire Holdings, Inc. 2024 Term Loan(d) | 8.845% (1 mo. USD Term SOFR + 4.00%) | 12/11/2028 | 68,312 | 68,419 | ||||||||
| Diversified Capital Goods 0.75% | ||||||||||||
| CeramTec AcquiCo GmbH 2022 EUR Term Loan B | – | (e) | 3/16/2029 | EUR | 83,800 | 93,118 | ||||||
| 4 | See Notes to Condensed Schedule of Investments. |
Consolidated Schedule of Investments (unaudited)(continued)
LORD ABBETT FLOATING RATE HIGH INCOME FUND September 30, 2024
| Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | |||||||||
| Diversified Financial Services 1.56% | |||||||||||||
| Advisor Group, Inc. 2024 Term Loan(d) | 8.845% (1 mo. USD Term SOFR + 4.00%) | 8/17/2028 | $ | 114,953 | $ | 113,857 | |||||||
| DRW Holdings LLC 2024 Term Loan B(d) | 8.588% (6 mo. USD Term SOFR + 3.50%) | 6/17/2031 | 80,444 | 80,507 | |||||||||
| Total | 194,364 | ||||||||||||
| Electric: Generation 0.12% | |||||||||||||
| EFS Cogen Holdings I LLC 2020 Term Loan B(d) | – | (e) | 10/1/2027 | 14,996 | 15,032 | ||||||||
| Engineering & Construction 0.99% | |||||||||||||
| Service Logic Acquisition, Inc. 2024 Term Loan B(d) | 8.461% (1 mo. USD Term SOFR + 3.50%) | 10/29/2027 | 122,808 | 123,307 | |||||||||
| Entertainment 0.60% | |||||||||||||
| Ontario Gaming GTA LP Term Loan B (Canada)(a) | 8.893% (3 mo. USD Term SOFR + 4.25%) | 8/1/2030 | 75,430 | 75,453 | |||||||||
| Environmental Control 0.86% | |||||||||||||
| Heritage-Crystal Clean, Inc. Term Loan B(d) | 9.465% (1 mo. USD Term SOFR + 4.50%) | 10/17/2030 | 107,270 | 107,806 | |||||||||
| Financial 0.89% | |||||||||||||
| Asurion LLC 2021 Second Lien Term Loan B4 | 10.21% (1 mo. USD Term SOFR + 5.25%) | 1/20/2029 | 119,000 | 110,419 | |||||||||
| Food 3.49% | |||||||||||||
| 8th Avenue Food & Provisions, Inc. 2018 1st Lien Term Loan | – | (e) | 10/1/2025 | 74,801 | 72,745 | ||||||||
| Bellis Acquisition Co. PLC 2024 EUR Term Loan B | 7.802% (3 mo. EURIBOR + 4.00%) | 5/14/2031 | EUR | 92,308 | 100,935 | ||||||||
| Market Bidco Ltd. EUR Term Loan B1 | 8.292% (3 mo. EURIBOR + 4.75%) | 11/4/2027 | 170,000 | 188,359 | |||||||||
| Upfield BV 2024 USD Term Loan B10 (Netherlands)(a) | 9.765% (6 mo. USD Term SOFR + 4.25%) | 1/3/2028 | $ | 73,634 | 73,456 | ||||||||
| Total | 435,495 | ||||||||||||
| See Notes to Condensed Schedule of Investments. | 5 |
Consolidated Schedule of Investments (unaudited)(continued)
LORD ABBETT FLOATING RATE HIGH INCOME FUND September 30, 2024
| Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | |||||||||
| Gaming/Leisure 3.04% | |||||||||||||
| 888 Acquisitions Ltd. USD Term Loan B (United Kingdom)(a) | 9.495% (3 mo. USD Term SOFR + 5.25%) | 7/1/2028 | $ | 181,423 | $ | 177,945 | |||||||
| Fertitta Entertainment LLC 2022 Term Loan B | 8.847% (1 mo. USD Term SOFR + 3.75%) | 1/27/2029 | 74,238 | 74,117 | |||||||||
| United FP Holdings LLC 2019 1st Lien Term Loan | 9.514% (3 mo. USD Term SOFR + 4.00%) | 12/30/2026 | 138,205 | 127,091 | |||||||||
| Total | 379,153 | ||||||||||||
| Health Care Products 0.83% | |||||||||||||
| Curia Global, Inc. 2021 Term Loan | 9.102% (3 mo. USD Term SOFR + 3.75%) | 8/30/2026 | 108,631 | 103,717 | |||||||||
| Health Care Services 6.88% | |||||||||||||
| ADMI Corp. 2023 Term Loan B5(d) | 10.595% (1 mo. USD Term SOFR + 5.75%) | 12/23/2027 | 166,740 | 167,208 | |||||||||
| Dermatology Intermediate Holdings III, Inc. 2023 Incremental Term Loan B(d) | 10.345% (1 mo. USD Term SOFR + 5.50%) | 3/30/2029 | 101,490 | 99,460 | |||||||||
| eResearchTechnology, Inc. 2024 Term Loan(d) | 8.845% (1 mo. USD Term SOFR + 4.00%) | 2/4/2027 | 79,684 | 80,119 | |||||||||
| Global Medical Response, Inc. 2024 PIK Term Loan | 10.461% (1 mo. USD Term SOFR + 5.50%) | 10/31/2028 | 74,866 | 74,556 | |||||||||
| Heartland Dental LLC 2024 Term Loan(d) | 9.345% (1 mo. USD Term SOFR + 4.50%) | 4/28/2028 | 153,803 | 151,416 | |||||||||
| LifePoint Health, Inc. 2024 Incremental Term Loan B(d) | 8.965% (1 mo. USD Term SOFR + 4.00%) | 5/17/2031 | 93,765 | 93,891 | |||||||||
| National Mentor Holdings, Inc. 2021 Term Loan(d) | 8.454% - 8.70% (1 mo. USD Term SOFR + 3.75%) (3 mo. USD Term SOFR + 3.75%) | 3/2/2028 | 116,436 | 112,268 | |||||||||
| National Mentor Holdings, Inc. 2021 Term Loan C(d) | 8.454% (3 mo. USD Term SOFR + 3.75%) | 3/2/2028 | 6,712 | 6,472 | |||||||||
| Star Parent, Inc. Term Loan B(d) | 8.354% (3 mo. USD Term SOFR + 3.75%) | 9/27/2030 | 74,438 | 72,535 | |||||||||
| Total | 857,925 | ||||||||||||
| 6 | See Notes to Condensed Schedule of Investments. |
Consolidated Schedule of Investments (unaudited)(continued)
LORD ABBETT FLOATING RATE HIGH INCOME FUND September 30, 2024
| Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | |||||||||
| Healthcare 1.70% | |||||||||||||
| CCRR Parent, Inc. Term Loan B(d) | 9.21% (1 mo. USD Term SOFR + 4.25%) | 3/6/2028 | $ | 74,565 | $ | 62,635 | |||||||
| Hunter Holdco 3 Ltd. USD Term Loan B (United Kingdom)(a)(d) | 8.954% (3 mo. USD Term SOFR + 4.25%) | 8/19/2028 | 150,000 | 149,437 | |||||||||
| Total | 212,072 | ||||||||||||
| Housing 1.51% | |||||||||||||
| LBM Acquisition LLC Term Loan B(d) | – | (e) | 12/17/2027 | 115,000 | 114,468 | ||||||||
| Oscar AcquisitionCo LLC Term Loan B(d) | 8.495% (3 mo. USD Term SOFR + 4.25%) | 4/29/2029 | 74,809 | 73,989 | |||||||||
| Total | 188,457 | ||||||||||||
| Information Technology 2.67% | |||||||||||||
| ConnectWise LLC 2021 Term Loan B(d) | 8.365% (3 mo. USD Term SOFR + 3.50%) | 9/29/2028 | 143,631 | 143,703 | |||||||||
| Ensono LP 2021 Term Loan(d) | 8.96% (1 mo. USD Term SOFR + 4.00%) | 5/26/2028 | 111,924 | 111,889 | |||||||||
| RealPage, Inc. 1st Lien Term Loan | – | (e) | 4/24/2028 | 79,794 | 77,560 | ||||||||
| Total | 333,152 | ||||||||||||
| Insurance 2.71% | |||||||||||||
| Acrisure LLC 2024 Term Loan B6(d) | 8.211% (1 mo. USD Term SOFR + 3.25%) | 11/6/2030 | 74,812 | 74,228 | |||||||||
| Amynta Agency Borrower, Inc. 2024 Term Loan B(d) | 9.002% (3 mo. USD Term SOFR + 3.75%) | 2/28/2028 | 114,083 | 114,235 | |||||||||
| OneDigital Borrower LLC 2024 2nd Lien Term Loan | 10.095% (1 mo. USD Term SOFR + 5.25%) | 7/2/2031 | 75,000 | 74,437 | |||||||||
| Sedgwick Claims Management Services, Inc. 2023 Term Loan B(d) | 8.252% (3 mo. USD Term SOFR + 3.00%) | 7/31/2031 | 75,000 | 74,946 | |||||||||
| Total | 337,846 | ||||||||||||
| Internet 3.83% | |||||||||||||
| Arches Buyer, Inc. 2021 Term Loan B(d) | 8.195% (1 mo. USD Term SOFR + 3.25%) | 12/6/2027 | 115,606 | 111,135 | |||||||||
| Endure Digital, Inc. Term Loan(d) | 8.81% (1 mo. USD Term SOFR + 3.50%) | 2/10/2028 | 109,154 | 96,786 | |||||||||
| ION Trading Technologies SARL 2021 EUR Term Loan B | 7.595% (3 mo. EURIBOR + 4.25%) | 4/3/2028 | EUR | 114,525 | 122,710 | ||||||||
| See Notes to Condensed Schedule of Investments. | 7 |
Consolidated Schedule of Investments (unaudited)(continued)
LORD ABBETT FLOATING RATE HIGH INCOME FUND September 30, 2024
| Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | |||||||||
| Internet (continued) | |||||||||||||
| MH Sub I LLC 2023 Term Loan(d) | 9.095% (1 mo. USD Term SOFR + 4.25%) | 5/3/2028 | $ | 73,476 | $ | 73,098 | |||||||
| Titan AcquisitionCo New Zealand Ltd. 2021 USD Term Loan (New Zealand)(a)(d) | 8.865% (3 mo. USD Term SOFR + 4.00%) | 10/18/2028 | 74,428 | 74,754 | |||||||||
| Total | 478,483 | ||||||||||||
| Investment Management Companies 1.48% | |||||||||||||
| Aragorn Parent Corp. Term Loan(d) | 9.17% (1 mo. USD Term SOFR + 4.25%) | 12/15/2028 | 61,690 | 61,998 | |||||||||
| NEXUS Buyer LLC 2024 Term Loan B(d) | 8.845% (1 mo. USD Term SOFR + 4.00%) | 7/31/2031 | 123,450 | 122,591 | |||||||||
| Total | 184,589 | ||||||||||||
| Leisure Time 2.26% | |||||||||||||
| Bulldog Purchaser, Inc. 2024 Term Loan B(d) | 8.854% (3 mo. USD Term SOFR + 4.25%) | 6/27/2031 | 84,000 | 84,604 | |||||||||
| Fitness International LLC 2024 Term Loan B(d) | 10.505% (3 mo. USD Term SOFR + 5.25%) | 2/5/2029 | 114,659 | 114,563 | |||||||||
| Recess Holdings, Inc. 2024 Term Loan B(d) | 9.752% (3 mo. USD Term SOFR + 4.50%) | 2/20/2030 | 81,795 | 82,224 | |||||||||
| Total | 281,391 | ||||||||||||
| Machinery: Diversified 2.78% | |||||||||||||
| Arcline FM Holdings LLC 2024 Term Loan(d) | 9.567% (6 mo. USD Term SOFR + 4.50%) | 6/23/2028 | 158,319 | 158,827 | |||||||||
| CD&R Hydra Buyer, Inc. 2024 Term Loan B(d) | 8.945% (1 mo. USD Term SOFR + 4.00%) | 3/25/2031 | 74,760 | 74,363 | |||||||||
| Titan Acquisition Ltd. 2024 Term Loan B (Canada)(a)(d) | 10.326% (6 mo. USD Term SOFR + 5.00%) | 2/15/2029 | 113,646 | 113,236 | |||||||||
| Total | 346,426 | ||||||||||||
| Manufacturing 1.49% | |||||||||||||
| CMG Media Corp. 2021 Term Loan(d) | – | (e) | 12/17/2026 | 69,459 | 61,510 | ||||||||
| DirecTV Financing LLC Term Loan(d) | 9.96% (1 mo. USD Term SOFR + 5.00%) | 8/2/2027 | 47,841 | 47,930 | |||||||||
| Virgin Media Bristol LLC USD Term Loan N(d) | – | 1/31/2028 | 80,000 | 76,666 | |||||||||
| Total | 186,106 | ||||||||||||
| 8 | See Notes to Condensed Schedule of Investments. |
Consolidated Schedule of Investments (unaudited)(continued)
LORD ABBETT FLOATING RATE HIGH INCOME FUND September 30, 2024
| Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | |||||||||
| Media 1.08% | |||||||||||||
| Cengage Learning, Inc. 2024 Term Loan B(d) | 9.538% (6 mo. USD Term SOFR + 4.25%) | 3/22/2031 | $ | 61,845 | $ | 62,054 | |||||||
| Sinclair Television Group, Inc. Term Loan B2B(d) | 8.014% (3 mo. USD Term SOFR + 2.50%) | 9/30/2026 | 74,794 | 72,737 | |||||||||
| Total | 134,791 | ||||||||||||
| Metal Fabricate/Hardware 2.01% | |||||||||||||
| Doncasters Finance U.S. LLC 2024 Delayed Draw Term Loan (United Kingdom)(a)(f) | – | (e) | 4/23/2030 | 13,818 | 13,749 | ||||||||
| Doncasters Finance U.S. LLC 2024 Term Loan (Jersey)(a) | 11.104% (3 mo. USD Term SOFR + 6.50%) | 4/23/2030 | 137,491 | 137,147 | |||||||||
| Tank Holding Corp. 2022 Term Loan | 10.245% - 10.50% (3 mo. USD Term SOFR + 5.75%) (6 mo. USD Term SOFR + 5.75%) | 3/31/2028 | 67,787 | 66,829 | |||||||||
| Tank Holding Corp. 2023 Incremental Delayed Draw Term Loan(f) | 10.945% (1 mo. USD Term SOFR + 6.00%) | 3/31/2028 | 10,157 | 10,034 | |||||||||
| Tank Holding Corp. 2023 Incremental Term Loan | 10.945% (1 mo. USD Term SOFR + 6.00%) | 3/31/2028 | 23,443 | 23,160 | |||||||||
| Total | 250,919 | ||||||||||||
| Oil & Gas 0.88% | |||||||||||||
| Waterbridge Midstream Operating LLC 2024 1st Lien Term Loan B | 9.393% (3 mo. USD Term SOFR + 4.75%) | 6/27/2029 | 114,000 | 110,376 | |||||||||
| Oil & Gas Services 0.78% | |||||||||||||
| Star Holding LLC 2024 1st Lien Term Loan B(d) | 9.345% (1 mo. USD Term SOFR + 4.50%) | 7/31/2031 | 100,000 | 97,912 | |||||||||
| Personal & Household Products 0.71% | |||||||||||||
| AI Aqua Merger Sub, Inc. 2021 1st Lien Term Loan B | 8.701% (1 mo. USD Term SOFR + 3.50%) | 7/31/2028 | 88,909 | 88,905 | |||||||||
| Pharmaceuticals 0.33% | |||||||||||||
| Ceva Sante Animale 2024 EUR Term Loan B | 6.845% (3 mo. EURIBOR + 3.50%) | 11/8/2030 | EUR | 36,333 | 40,622 | ||||||||
| See Notes to Condensed Schedule of Investments. | 9 |
Consolidated Schedule of Investments (unaudited)(continued)
LORD ABBETT FLOATING RATE HIGH INCOME FUND September 30, 2024
| Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
| Pipelines 3.96% | ||||||||||||
| CPPIB Capital, Inc. Term Loan B (Canada)(a)(d) | 7.854% (3 mo. USD Term SOFR + 3.25%) | 8/20/2031 | $ | 88,000 | $ | 88,147 | ||||||
| Epic Crude Services LP Term Loan B(d) | 9.96% (1 mo. USD Term SOFR + 5.00%) | 3/2/2026 | 108,537 | 109,011 | ||||||||
| EPIC Y-Grade Services LP 2024 Term Loan B(d) | 11.068% (3 mo. USD Term SOFR + 5.75%) | 6/29/2029 | 143,000 | 142,795 | ||||||||
| Rockpoint Gas Storage Partners LP Term Loan B(d) | – | (e) | 9/12/2031 | 80,000 | 79,767 | |||||||
| Waterbridge Midstream Operating LLC 2024 Term Loan B(d) | 9.603% (3 mo. USD Term SOFR + 4.50%) | 5/10/2029 | 75,000 | 74,965 | ||||||||
| Total | 494,685 | |||||||||||
| Real Estate 0.59% | ||||||||||||
| CoreLogic, Inc. 2nd Lien Term Loan | – | (e) | 6/4/2029 | 74,955 | 73,331 | |||||||
| Retail 5.31% | ||||||||||||
| BCPE Grill Parent 2023 Term Loan B(d) | 10.002% (3 mo. USD Term SOFR + 4.75%) | 9/30/2030 | 99,555 | 96,009 | ||||||||
| Evergreen Acqco 1 LP 2021 USD Term Loan(d) | 8.393% (3 mo. USD Term SOFR + 3.75%) | 4/26/2028 | 56,215 | 56,370 | ||||||||
| Flynn Restaurant Group LP 2021 Term Loan B(d) | 9.21% (1 mo. USD Term SOFR + 4.25%) | 12/1/2028 | 68,505 | 68,816 | ||||||||
| Foundation Building Materials Holding Co. LLC 2021 Term Loan(d) | – | (e) | 1/31/2028 | 23,838 | 23,262 | |||||||
| LBM Acquisition LLC 2024 Incremental Term Loan B(d) | 8.968% (1 mo. USD Term SOFR + 3.75%) | 6/6/2031 | 80,032 | 78,610 | ||||||||
| Park River Holdings, Inc. Term Loan(d) | 8.843% (3 mo. USD Term SOFR + 3.25%) | 12/28/2027 | 125,000 | 123,209 | ||||||||
| PetSmart, Inc. 2021 Term Loan B(d) | 8.695% (1 mo. USD Term SOFR + 3.75%) | 2/11/2028 | 78,631 | 78,077 | ||||||||
| QSRP Finco BV EUR Term Loan B | 8.955% (3 mo. EURIBOR + 5.25%) | 6/19/2031 | EUR | 63,000 | 70,397 | |||||||
| Staples, Inc. 2024 Term Loan B(d) | 10.689% (3 mo. USD Term SOFR + 5.75%) | 9/4/2029 | $ | 75,000 | 68,330 | |||||||
| Total | 663,080 | |||||||||||
| 10 | See Notes to Condensed Schedule of Investments. |
Consolidated Schedule of Investments (unaudited)(continued)
LORD ABBETT FLOATING RATE HIGH INCOME FUND September 30, 2024
| Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
| Service 2.30% | ||||||||||||
| DTI Holdco, Inc. 2022 Term Loan(d) | 9.595% (1 mo. USD Term SOFR + 4.75%) | 4/26/2029 | $ | 132,272 | $ | 132,958 | ||||||
| Red Planet Borrower LLC Term Loan B(d) | 8.445% (1 mo. USD Term SOFR + 3.50%) | 10/2/2028 | 158,506 | 154,643 | ||||||||
| Total | 287,601 | |||||||||||
| Software 17.62% | ||||||||||||
| Apttus Corp. 2024 Term Loan B(d) | 8.557% (3 mo. USD Term SOFR + 3.50%) | 5/8/2028 | 67,777 | 68,108 | ||||||||
| Banff Merger Sub, Inc. 2024 2nd Lien Term Loan | 11.005% (3 mo. USD Term SOFR + 5.75%) | 7/30/2032 | 100,000 | 98,583 | ||||||||
| BCPE Pequod Buyer, Inc. USD Term Loan B | – | (e) | 9/19/2031 | 99,000 | 98,680 | |||||||
| Central Parent, Inc. 2024 Term Loan B(d) | 7.854% (3 mo. USD Term SOFR + 3.25%) | 7/6/2029 | 75,000 | 74,313 | ||||||||
| Cloud Software Group, Inc. 2024 Third Amendment Term Loan | 9.104% (1 mo. USD Term SOFR + 4.50%) (3 mo. USD Term SOFR + 4.50%) | 3/21/2031 | 30,000 | 30,117 | ||||||||
| Cloud Software Group, Inc. 2024 USD Term Loan B | 8.604% (3 mo. USD Term SOFR + 4.00%) | 3/30/2029 | 143,398 | 142,979 | ||||||||
| Constant Contact, Inc. Term Loan(d) | 9.566% (3 mo. USD Term SOFR + 4.00%) | 2/10/2028 | 147,338 | 142,857 | ||||||||
| Cotiviti Corp. 2024 Fixed Term Loan B(d) | 7.625% | 5/1/2031 | 75,000 | 75,453 | ||||||||
| Darktrace PLC 2nd Lien Term Loan (United Kingdom)(a) | – | (e) | 7/2/2032 | 160,000 | 156,601 | |||||||
| DCert Buyer, Inc. 2019 Term Loan B | 8.845% (1 mo. USD Term SOFR + 4.00%) | 10/16/2026 | 115,000 | 111,874 | ||||||||
| Dye & Durham Corp. 2024 USD Term Loan B (Canada)(a)(d) | 8.954% (3 mo. USD Term SOFR + 4.25%) | 4/11/2031 | 114,857 | 115,575 | ||||||||
| Helios Software Holdings, Inc. 2021 EUR Term Loan B | 7.095% (3 mo. EURIBOR + 3.75%) | 3/11/2028 | EUR | 79,065 | 87,245 | |||||||
| Mitchell International, Inc. 2024 2nd Lien Term Loan | 10.095% (1 mo. USD Term SOFR + 5.25%) | 6/17/2032 | $ | 102,000 | 100,428 | |||||||
| Modena Buyer LLC Term Loan | 9.104% (3 mo. USD Term SOFR + 4.50%) | 7/1/2031 | 155,000 | 148,752 | ||||||||
| Mosel Bidco SE USD Term Loan B (Germany)(a) | 9.104% (3 mo. USD Term SOFR + 4.50%) | 9/16/2030 | 61,000 | 61,381 | ||||||||
| See Notes to Condensed Schedule of Investments. | 11 |
Consolidated Schedule of Investments (unaudited)(continued)
LORD ABBETT FLOATING RATE HIGH INCOME FUND September 30, 2024
| Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
| Software (continued) | ||||||||||||
| Polaris Newco LLC EUR Term Loan B | 7.345% (3 mo. EURIBOR + 4.00%) | 6/2/2028 | EUR | 149,692 | $ | 158,830 | ||||||
| Press Ganey Holdings, Inc. 2024 Term Loan B(d) | 8.345% (1 mo. USD Term SOFR + 3.50%) | 4/30/2031 | $ | 115,000 | 114,887 | |||||||
| Project Boost Purchaser LLC 2024 2nd Lien Term Loan | 10.533% (3 mo. USD Term SOFR + 5.25%) | 7/16/2032 | 68,000 | 68,226 | ||||||||
| Project Boost Purchaser LLC 2024 Term Loan | 8.786% (3 mo. USD Term SOFR + 3.50%) | 7/16/2031 | 15,000 | 15,011 | ||||||||
| Renaissance Holding Corp. 2024 Term Loan(d) | 9.095% (1 mo. USD Term SOFR + 4.25%) | 4/5/2030 | 168,544 | 168,669 | ||||||||
| Rocket Software, Inc. 2023 USD Term Loan B(d) | 9.595% (1 mo. USD Term SOFR + 4.75%) | 11/28/2028 | 160,455 | 160,812 | ||||||||
| Total | 2,199,381 | |||||||||||
| Telecommunications 1.85% | ||||||||||||
| Altice France SA EUR Term Loan B12 | 6.685% (3 mo. EURIBOR + 3.00%) | 2/2/2026 | EUR | 74,621 | 70,222 | |||||||
| Delta TopCo, Inc. 2024 2nd Lien Term Loan | 9.948% (6 mo. USD Term SOFR + 5.25%) | 11/29/2030 | $ | 101,000 | 101,800 | |||||||
| Michaels Cos., Inc. 2021 Term Loan B(d) | 9.115% (3 mo. USD Term SOFR + 4.25%) | 4/17/2028 | 74,423 | 59,055 | ||||||||
| Total | 231,077 | |||||||||||
| Transportation 1.23% | ||||||||||||
| PODS LLC 2021 Term Loan B(d) | – | (e) | 3/31/2028 | 79,794 | 75,645 | |||||||
| Rand Parent LLC 2023 Term Loan B(d) | 8.354% (3 mo. USD Term SOFR + 3.75%) | 3/17/2030 | 77,805 | 78,038 | ||||||||
| Total | 153,683 | |||||||||||
| Utilities 4.67% | ||||||||||||
| Compass Power Generation LLC 2024 Term Loan(d) | 8.418% (3 mo. USD Term SOFR + 3.75%) | 4/14/2029 | 111,000 | 111,852 | ||||||||
| Hamilton Projects Acquiror LLC 2024 Term Loan B(d) | 8.595% (1 mo. USD Term SOFR + 3.75%) | 5/22/2031 | 132,000 | 133,122 | ||||||||
| Lightstone Holdco LLC 2022 Extended Term Loan B | 11.002% (3 mo. USD Term SOFR + 5.75%) | 1/29/2027 | 50,031 | 50,840 | ||||||||
| 12 | See Notes to Condensed Schedule of Investments. |
Consolidated Schedule of Investments (unaudited)(continued)
LORD ABBETT FLOATING RATE HIGH INCOME FUND September 30, 2024
| Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
| Utilities (continued) | ||||||||||||
| Lightstone Holdco LLC 2022 Extended Term Loan C | 11.002% (3 mo. USD Term SOFR + 5.75%) | 1/29/2027 | $ | 24,746 | $ | 25,146 | ||||||
| Nautilus Power LLC 2023 Term Loan B(d) | 10.846% (3 mo. USD Term SOFR + 5.25%) | 11/16/2026 | 115,000 | 115,115 | ||||||||
| South Field LLC Term Loan B(d) | 8.354% (3 mo. USD Term SOFR + 3.75%) | 8/29/2031 | 15,481 | 15,555 | ||||||||
| South Field LLC Term Loan C(d) | 8.354% (3 mo. USD Term SOFR + 3.75%) | 8/29/2031 | 130,519 | 131,144 | ||||||||
| Total | 582,774 | |||||||||||
| Total Floating Rate Loans (cost $13,062,041) | 13,104,569 | |||||||||||
| Total Long-Term Investments (cost $15,169,178) | 15,247,526 | |||||||||||
| SHORT-TERM INVESTMENTS 10.44% | ||||||||||||
| U.S. TREASURY OBLIGATIONS 3.20% | ||||||||||||
| U.S. Treasury Bills (Cost $400,000) | Zero Coupon | 10/1/2024 | 400,000 | 400,000 | ||||||||
| GOVERNMENT SPONSORED ENTERPRISES SECURITIES 1.28% | ||||||||||||
| Federal Home Loan Bank Discount Notes | Zero Coupon | 10/1/2024 | 160,000 | 159,979 | ||||||||
| REPURCHASE AGREEMENTS 5.96% | ||||||||||||
| Repurchase Agreement dated 9/30/2024, 2.400% due 10/1/2024 with Fixed Income Clearing Corp. collateralized by $238,200 of U.S. Treasury Note at 0.750% due 5/31/2026; value: $227,797; proceeds: $223,328 (cost $223,313) | 223,313 | 223,313 | ||||||||||
| Repurchase Agreement dated 9/30/2024, 4.850% due 10/1/2024 with TD Securities collateralized by $582,700 of U.S. Treasury Note at 0.375% due 9/30/2027; value: $530,612; proceeds: $520,070 (cost $520,000) | 520,000 | 520,000 | ||||||||||
| Total Repurchase Agreements (cost $743,313) | 743,313 | |||||||||||
| Total Short-Term Investments (cost $1,303,313) | 1,303,292 | |||||||||||
| Total Investments in Securities 132.63% (cost $16,472,491) | 16,550,818 | |||||||||||
| Less Unfunded Loan Commitments (0.15%) (cost $19,284) | (19,291 | ) | ||||||||||
| Net Investments in Securities 132.48% (cost $16,453,207) | 16,531,527 | |||||||||||
| Borrowings (30.45%) | (3,800,000 | ) | ||||||||||
| Other Assets and Liabilities – Net(g) (2.02)% | (252,646 | ) | ||||||||||
| Net Assets 100.00% | $ | 12,478,881 | ||||||||||
| See Notes to Condensed Schedule of Investments. | 13 |
Consolidated Schedule of Investments (unaudited)(continued)
LORD ABBETT FLOATING RATE HIGH INCOME FUND September 30, 2024
| EUR | Euro. | |
| EURIBOR | Euro Interbank Offered Rate. | |
| PIK | Payment-in-kind. | |
| 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 September 30, 2024, the total value of Rule 144A securities was $1,960,009, which represents 15.71% of net assets. | |
| # | Variable rate security. The interest rate represents the rate in effect at September 30, 2024. | |
| (a) | Foreign security traded in U.S. dollars. | |
| (b) | Securities purchased on a when-issued basis. | |
| (c) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the SOFR or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at September 30, 2024. | |
| (d) | All or part of this investment held as collateral for the Fund’s credit facility. | |
| (e) | Interest Rate to be determined. | |
| (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: |
Centrally Cleared Interest Rate Swap Contracts at September 30, 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 | Payment Upfront(1) | Unrealized Appreciation/ (Depreciation) | Value | |||||||||||||||
| Bank of America(2) | 4.552% | 12-Month USD SOFR | 2/15/2026 | $68,000 | $ | – | $ | (810 | ) | $ | (810 | ) | ||||||||||
| Bank of America(2) | 4.523% | 12-Month USD SOFR | 2/15/2026 | 5,000 | – | (58 | ) | (58 | ) | |||||||||||||
| Bank of America(2) | 4.007% | 12-Month USD SOFR | 6/1/2028 | 60,000 | – | (1,490 | ) | (1,490 | ) | |||||||||||||
| Unrealized Depreciation on Centrally Cleared Interest Rate Swap Contracts | $ | – | $ | (2,358 | ) | $ | (2,358 | ) | ||||||||||||||
| SOFR | Secured Overnight Financing Rate. | |
| (1) | Upfront payments paid (received) by Central Clearing Party are presented net of amortization. | |
| (2) | Central clearinghouse: Chicago Mercantile Exchange (CME). |
Total Return Swap Contracts at September 30, 2024:
| Swap Counterparty | Referenced Index* | Referenced Spread | Units | Position | Termination Date | Notional Amount | Upfront Payment(1) | Unrealized Appreciation | Value | |||||||||||||||||
| Morgan Stanley | IBOXX | 12-Month USD SOFR Index | 1,408 | Long | 12/20/2024 | $ | 300,000 | $ | – | $ | 933 | $ | 933 | |||||||||||||
| Morgan Stanley | IBOXX | 12-Month USD SOFR Index | 2,958 | Long | 12/20/2024 | 630,000 | (1) | 2,317 | 2,316 | |||||||||||||||||
| Total | $ | 930,000 | $ | (1) | $ | 3,250 | $ | 3,249 | ||||||||||||||||||
| SOFR | Secured Overnight Financing Rate. | |
| (1) | Upfront payments paid (received) are presented net of amortization. | |
| * | iBoxx Leverage Loan Index. |
| 14 | See Notes to Condensed Schedule of Investments. |
Consolidated Schedule of Investments (unaudited)(continued)
LORD ABBETT FLOATING RATE HIGH INCOME FUND September 30, 2024
Forward Foreign Currency Exchange Contracts at September 30, 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 | Buy | Bank of America | 11/20/2024 | 109,000 | $ | 120,670 | $ | 121,574 | $ | 904 | ||||||||||
| Euro | Buy | Bank of America | 11/20/2024 | 61,000 | 67,983 | 68,037 | 54 | |||||||||||||
| Euro | Buy | Morgan Stanley | 11/20/2024 | 36,000 | 40,017 | 40,153 | 136 | |||||||||||||
| Euro | Buy | Morgan Stanley | 11/20/2024 | 103,000 | 114,053 | 114,882 | 829 | |||||||||||||
| Euro | Buy | Morgan Stanley | 11/20/2024 | 71,000 | 78,584 | 79,191 | 607 | |||||||||||||
| Euro | Sell | Bank of America | 11/20/2024 | 100,000 | 111,540 | 111,536 | 4 | |||||||||||||
| Euro | Sell | Morgan Stanley | 11/20/2024 | 36,000 | 40,171 | 40,153 | 18 | |||||||||||||
| Total Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 2,552 | ||||||||||||||||||
| Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||
| Euro | Buy | State Street Bank and Trust | 11/20/2024 | 64,000 | $ | 71,506 | $ | 71,383 | $ | (123 | ) | |||||||||
| Euro | Sell | State Street Bank and Trust | 11/20/2024 | 1,607,000 | 1,776,539 | 1,792,386 | (15,847 | ) | ||||||||||||
| Euro | Sell | State Street Bank and Trust | 11/20/2024 | 12,000 | 13,290 | 13,385 | (95 | ) | ||||||||||||
| Euro | Sell | State Street Bank and Trust | 11/20/2024 | 15,000 | 16,590 | 16,730 | (140 | ) | ||||||||||||
| Total Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (16,205 | ) | |||||||||||||||||
| See Notes to Condensed Schedule of Investments. | 15 |
Consolidated Schedule of Investments (unaudited)(concluded)
LORD ABBETT FLOATING RATE HIGH INCOME FUND September 30, 2024
The following is a summary of the inputs used as of September 30, 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 | $ | – | $ | 1,237,776 | $ | – | $ | 1,237,776 | ||||||||
| Corporate Bonds | – | 905,181 | – | 905,181 | ||||||||||||
| Floating Rate Loans | – | 13,104,569 | – | 13,104,569 | ||||||||||||
| Less Unfunded Loan Commitments | – | (19,291 | ) | – | (19,291 | ) | ||||||||||
| Short-Term Investments | ||||||||||||||||
| Government Sponsored Enterprises Securities | – | 159,979 | – | 159,979 | ||||||||||||
| U.S. Treasury Obligations | – | 400,000 | – | 400,000 | ||||||||||||
Repurchase Agreements | – | 743,313 | – | 743,313 | ||||||||||||
| Total | $ | – | $ | 16,531,527 | $ | – | $ | 16,531,527 | ||||||||
| Other Financial Instruments | ||||||||||||||||
| Centrally Cleared Interest Rate Swap Contracts | ||||||||||||||||
| Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
| Liabilities | – | (2,358 | ) | – | (2,358 | ) | ||||||||||
| Total Return Swap Contracts | ||||||||||||||||
| Assets | – | 3,249 | – | 3,249 | ||||||||||||
| Liabilities | – | – | – | – | ||||||||||||
| Forward Foreign Currency Exchange Contracts | ||||||||||||||||
| Assets | – | 2,552 | – | 2,552 | ||||||||||||
| Liabilities | – | (16,205 | ) | – | (16,205 | ) | ||||||||||
| Total | $ | – | $ | (12,762 | ) | $ | – | $ | (12,762 | ) | ||||||
| (1) | Refer to Note 2(b) for a description of fair value measurements and the three-tier hierarchy of inputs. | |
| (2) | See Consolidated Schedule of Investments for fair values in each industry. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. When applicable, each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. |
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the period in relation to the Fund’s net assets. Management has determined not to provide a reconciliation as the balance of Level 3 investments was not considered to be material to the Fund’s net assets at the beginning or end of the period.
| 16 | See Notes to Condensed Schedule of Investments. |
Notes to Consolidated Schedule of Investments (unaudited)
| 1. | ORGANIZATION |
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 & 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 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 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 |
17
Notes to Consolidated Schedule of Investments (unaudited)(continued)
| 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. | |
| 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 as of September 30, 2024 and, if applicable, Level 3 rollforwards for the period then ended is included in the Fund’s Condensed 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.
18
Notes to Consolidated 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 statute 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 September 30, 2024, the Fund did not have any securities on loan.
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QPHR-LA-FRHI-3Q
(11/24)