Lord Abbett
Quarterly Portfolio Holdings Report
Lord Abbett
Special Situations Income Fund
For the period ended September 30, 2021
Schedule of Investments (unaudited)
September 30, 2021
| Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
| LONG-TERM INVESTMENTS 97.25% | ||||||||||||
| CONVERTIBLE BONDS 0.49% | ||||||||||||
| Airlines | ||||||||||||
| JetBlue Airways Corp.† (cost $299,625) | 0.50% | 4/1/2026 | $ | 300 | $ | 295,453 | ||||||
| CORPORATE BONDS 48.99% | ||||||||||||
| Advertising 2.00% | ||||||||||||
| National CineMedia LLC† | 5.875% | 4/15/2028 | 1,325 | 1,214,747 | ||||||||
| Aerospace/Defense 1.92% | ||||||||||||
| Bombardier, Inc. (Canada)†(a) | 6.00% | 2/15/2028 | 1,150 | 1,164,484 | ||||||||
| Coal 1.93% | ||||||||||||
| Natural Resource Partners LP/NRP Finance Corp.† | 9.125% | 6/30/2025 | 1,165 | 1,175,194 | ||||||||
| Diversified Financial Services 2.52% | ||||||||||||
| Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 1,560 | 1,530,143 | ||||||||
| Engineering & Construction 2.47% | ||||||||||||
| Promontoria Holding 264 BV(b) | 6.75% | 8/15/2023 | EUR | 1,285 | 1,500,392 | |||||||
| Entertainment 0.98% | ||||||||||||
| Merlin Entertainments Ltd. (United Kingdom)†(a) | 5.75% | 6/15/2026 | $ | 575 | 594,714 | |||||||
| Health Care-Services 4.43% | ||||||||||||
| Air Methods Corp.† | 8.00% | 5/15/2025 | 1,225 | 1,171,866 | ||||||||
| US Renal Care, Inc.† | 10.625% | 7/15/2027 | 1,430 | 1,521,720 | ||||||||
| Total | 2,693,586 | |||||||||||
| Insurance 0.34% | ||||||||||||
| Genworth Holdings, Inc. | 4.80% | 2/15/2024 | 200 | 204,250 | ||||||||
| Leisure Time 3.02% | ||||||||||||
| Explorer II AS(b) | 3.375% | 2/24/2025 | EUR | 1,650 | 1,832,255 | |||||||
| Machinery-Diversified 2.89% | ||||||||||||
| Granite US Holdings Corp.† | 11.00% | 10/1/2027 | $ | 1,600 | 1,754,016 | |||||||
| Media 1.98% | ||||||||||||
| Audacy Capital Corp.† | 6.75% | 3/31/2029 | 1,195 | 1,205,994 | ||||||||
| See Notes to Schedule of Investments. | 1 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
| Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
| Mining 0.48% | ||||||||||||
| Ferroglobe PLC/Globe Specialty Metals, Inc. (United Kingdom)(a) | 9.375% | 12/31/2025 | $ | 285 | $ | 292,837 | (c) | |||||
| Miscellaneous Manufacturing 1.11% | ||||||||||||
| LSB Industries, Inc.†(d) | 6.25% | 10/15/2028 | 666 | 672,660 | ||||||||
| Oil & Gas 9.08% | ||||||||||||
| Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 1,525 | 1,555,646 | ||||||||
| Callon Petroleum Co.† | 8.00% | 8/1/2028 | 600 | 593,466 | ||||||||
| Laredo Petroleum, Inc.† | 7.75% | 7/31/2029 | 1,525 | 1,530,719 | ||||||||
| Nabors Industries, Inc.† | 9.00% | 2/1/2025 | 1,765 | 1,836,518 | ||||||||
| Total | 5,516,349 | |||||||||||
| Oil & Gas Services 2.60% | ||||||||||||
| Weatherford International Ltd.† | 6.50% | 9/15/2028 | 1,143 | 1,178,719 | ||||||||
| Welltec International ApS†(d) | 8.25% | 10/15/2026 | 400 | 400,000 | ||||||||
| Total | 1,578,719 | |||||||||||
| Pipelines 1.52% | ||||||||||||
| Martin Midstream Partners LP/Martin | ||||||||||||
| Midstream Finance Corp.† | 11.50% | 2/28/2025 | 890 | 924,746 | ||||||||
| Retail 4.02% | ||||||||||||
| Foundation Building Materials, Inc.† | 6.00% | 3/1/2029 | 1,225 | 1,202,301 | ||||||||
| LBM Acquisition LLC† | 6.25% | 1/15/2029 | 1,200 | 1,201,098 | ||||||||
| Party City Holdings, Inc.† | 6.125% | 8/15/2023 | 46 | 40,792 | ||||||||
| Total | 2,444,191 | |||||||||||
| Software 1.98% | ||||||||||||
| MicroStrategy, Inc.† | 6.125% | 6/15/2028 | 1,190 | 1,203,554 | ||||||||
| Telecommunications 2.00% | ||||||||||||
| Frontier Communications Holdings LLC | 5.875% | 11/1/2029 | 1,200 | 1,216,140 | ||||||||
| Transportation 1.72% | ||||||||||||
| Carriage Purchaser, Inc.† | 7.875% | 10/15/2029 | 1,050 | 1,048,225 | ||||||||
| Total Corporate Bonds (cost $29,726,385) | 29,767,196 | |||||||||||
| 2 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
| Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
| FLOATING RATE LOANS(e) 47.77% | ||||||||||||
| Aerospace 4.80% | ||||||||||||
| Alloy Finco Limited 2020 USD Term Loan B2 (Jersey)(a) | – | (f) | 3/6/2024 | $ | 2,100 | $ | 2,113,786 | |||||
| WP CPP Holdings, LLC 2018 2nd Lien Term Loan | 8.75% (3 Mo. LIBOR + 7.75%) | 4/30/2026 | 810 | 800,439 | ||||||||
| Total | 2,914,225 | |||||||||||
| Automotive 6.91% | ||||||||||||
| Chassix Inc. 2017 1st Lien Term Loan | 6.50% - 7.75% (Prime Rate + 4.50%) (3 Mo. LIBOR + 5.50%) | 11/15/2023 | 2,125 | 2,098,437 | ||||||||
| Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan | – | (f) | 4/10/2026 | 2,070 | 2,103,648 | |||||||
| Total | 4,202,085 | |||||||||||
| Diversified Media 0.17% | ||||||||||||
| AMC Entertainment Holdings, Inc. 2019 Term Loan B | – | (f) | 4/22/2026 | 110 | 102,285 | |||||||
| Energy 4.56% | ||||||||||||
| Citgo Petroleum Corporation 2019 Term Loan B | – | (f) | 3/28/2024 | 1,499 | 1,503,719 | |||||||
| Ulterra Drilling Technologies, LP Term Loan B | – | (f) | 11/26/2025 | 1,400 | 1,268,750 | |||||||
| Total | 2,772,469 | |||||||||||
| Financial 1.97% | ||||||||||||
| Asurion LLC 2021 Second Lien Term Loan B4 | – | (f) | 1/20/2029 | 1,200 | 1,195,950 | |||||||
| Food/Tobacco 2.99% | ||||||||||||
| Miller’s Ale House, Inc. 2018 Term Loan | – | (f) | 5/30/2025 | 1,889 | 1,817,255 | |||||||
| Gaming/Leisure 8.82% | ||||||||||||
| AP Core Holdings, II LLC Amortization Term Loan B1 | – | (f) | 9/1/2027 | 1,500 | 1,508,752 | |||||||
| Spectacle Gary Holdings LLC Delayed Draw Term Loan | – | (f) | 12/23/2025 | 19 | 20,277 | |||||||
| Spectacle Gary Holdings LLC Term Loan B | – | (f) | 12/23/2025 | 492 | 536,539 | |||||||
| Travel Leaders Group, LLC 2018 Term Loan B | – | (f) | 1/25/2024 | 1,610 | 1,511,387 | |||||||
| Vue International Bidco plc 2019 EUR Term Loan B(b) | – | (f) | 7/3/2026 | EUR | 1,630 | 1,781,640 | ||||||
| Total | 5,358,595 | |||||||||||
| See Notes to Schedule of Investments. | 3 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
| Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
| Information Technology 6.67% | ||||||||||||
| Banff Merger Sub Inc 2021 USD 2nd Lien Term Loan | – | (f) | 3/23/2026 | $ | 1,212 | $ | 1,228,228 | (g) | ||||
| Magenta Buyer LLC 2021 USD 2nd Lien Term Loan | – | (f) | 5/3/2029 | 1,825 | 1,825,000 | (g) | ||||||
| Optiv Security, Inc. 2nd Lien Term Loan | – | (f) | 2/1/2025 | 1,000 | 1,002,500 | |||||||
| Total | 4,055,728 | |||||||||||
| Manufacturing 4.06% | ||||||||||||
| DirecTV Financing, LLC Term Loan | – | (f) | 7/22/2027 | 1,250 | 1,252,213 | |||||||
| Engineered Machinery Holdings, Inc. 2021 USD 2nd Lien Incremental Term Loan | 7.25% (3 Mo. LIBOR + 6.50%) | 5/21/2029 | 1,200 | 1,213,500 | ||||||||
| Total | 2,465,713 | |||||||||||
| Service 3.47% | ||||||||||||
| KKR Apple Bidco, LLC 2021 2nd Lien Term Loan | – | (f) | 7/13/2029 | 1,775 | 1,807,181 | |||||||
| KUEHG Corp. 2017 2nd Lien Term Loan | – | (f) | 8/22/2025 | 300 | 301,125 | |||||||
| Total | 2,108,306 | |||||||||||
| Utility 3.35% | ||||||||||||
| Peabody Energy Corp. 2021 Term Loan | – | (f) | 12/31/2024 | 1,800 | 1,784,250 | |||||||
| USIC Holdings, Inc. 2021 2nd Lien Term Loan | – | (f) | 5/7/2029 | 250 | 254,166 | |||||||
| Total | 2,038,416 | |||||||||||
| Total Floating Rate Loans (cost $28,857,733) | 29,031,027 | |||||||||||
| Total Investments in Securities 97.25% (cost $58,883,743) | 59,093,676 | |||||||||||
| Other Assets and Liabilities – Net(h) 2.75% | 1,673,736 | |||||||||||
| Net Assets 100.00% | $ | 60,767,412 | ||||||||||
| EUR | Euro. | |
| LIBOR | London Interbank Offered Rate. | |
| PIK | Payment-in-kind. | |
| † | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. At September 30, 2021, the total value of Rule 144A securities was $25,016,775, which represents 41.17% of net assets. | |
| (a) | Foreign security traded in U.S. dollars. | |
| (b) | Investment in non-U.S. dollar denominated securities. | |
| (c) | Level 3 Investment as described in Note 2(b) in the Notes Schedule of Investments. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
| (d) | Securities purchased on a when-issued basis. | |
| (e) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at September 30, 2021. | |
| (f) | Interest Rate to be determined. | |
| 4 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
| (g) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation. | |
| (h) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts as follows: |
Open Forward Foreign Currency Exchange Contracts at September 30, 2021:
| 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 | State Street Bank and Trust | 12/10/2021 | 375,000 | $ 444,031 | $ 434,955 | $ 9,076 | ||||||||
| Euro | Sell | State Street Bank and Trust | 12/10/2021 | 1,803,000 | 2,116,665 | 2,091,262 | 25,403 | ||||||||
| Euro | Sell | State Street Bank and Trust | 12/10/2021 | 166,000 | 194,772 | 192,540 | 2,232 | ||||||||
| Euro | Sell | State Street Bank and Trust | 12/10/2021 | 516,000 | 604,457 | 598,498 | 5,959 | ||||||||
| Unrealized Appreciation on Forward Foreign Currrency Exchange Contracts | $42,670 | ||||||||||||||
The following is a summary of the inputs used as of September 30, 2021 in valuing the Fund’s investments carried at fair value(1):
| Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Long-Term Investments | ||||||||||||||||
| Convertible Bonds | $ | – | $ | 295,453 | $ | – | $ | 295,453 | ||||||||
| Corporate Bonds | ||||||||||||||||
| Mining | – | – | 292,837 | 292,837 | ||||||||||||
| Remaining Industries | – | 29,474,359 | – | 29,474,359 | ||||||||||||
| Floating Rate Loans | ||||||||||||||||
| Information Technology | – | 1,002,500 | 3,053,228 | 4,055,728 | ||||||||||||
| Remaining Industries | – | �� | 24,975,299 | – | 24,975,299 | |||||||||||
| Total | $ | – | $ | 55,747,611 | $ | 3,346,065 | $ | 59,093,676 | ||||||||
| Other Financial Instruments | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts | ||||||||||||||||
| Assets | $ | – | $ | 42,670 | $ | – | $ | 42,670 | ||||||||
| Liabilities | – | – | – | – | ||||||||||||
| Total | $ | – | $ | 42,670 | $ | – | $ | 42,670 | ||||||||
| (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. 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.
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in
| See Notes to Schedule of Investments. | 5 |
Schedule of Investments (unaudited)(concluded)
September 30, 2021
determining fair value:
| Investment Type | Corporate Bonds | Floating Rate Loans | ||||||
| Balance as of September 8, 2021 | $ | – | $ | – | ||||
| Accrued Discounts (Premiums) | – | – | ||||||
| Realized Gain (Loss) | (63 | ) | – | |||||
| Change in Unrealized | ||||||||
| Appreciation (Depreciation) | (1,362 | ) | (1,352 | ) | ||||
| Purchases | 294,262 | 3,054,580 | ||||||
| Sales | – | – | ||||||
| Transfers into Level 3 | – | – | ||||||
| Transfers out of Level 3 | – | – | ||||||
| Balance as of September 30, 2021 | $ | 292,837 | $ | 3,053,228 | ||||
| Change in unrealized appreciation/depreciation for the period ended September 30, 2021, related to Level 3 investments held at September 30, 2021 | $ | (1,362 | ) | $ | (1,352 | ) | ||
| 6 | See Notes to Schedule of Investments. |
Notes to Schedule of Investments (unaudited)
| 1. | ORGANIZATION |
Lord Abbett Special Situations Income Fund (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a non-diversified, closed-end management investment company that continuously offers its common shares (the “Shares”) and is operated as an interval fund. The Fund was organized as a Delaware statutory trust on April 1, 2021. 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 September 8, 2021.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
| (a) | Investment Valuation–Under procedures approved by the Fund’s Board of Directors (the “Board”), Lord Abbett & Co. LLC (“Lord Abbett”), the Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. |
| Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non- U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Board has approved the use of an independent fair valuation service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that correlate to the fair-valued securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked 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. | |
| 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 related or comparable assets or liabilities, recent transactions, market multiples, book values, 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 regularly reviews fair value determinations made by the Pricing Committee and may employ techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. | |
| Investments in open-end money market mutual funds are valued at their NAV as of the close of each business day. Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
7
Notes to Schedule of Investments (unaudited)(concluded)
| (b) | Fair Value Measurements–Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk - for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below: |
| • | Level 1 – | unadjusted quoted prices in active markets for identical investments; | |
| • | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and | |
| • | Level 3 – | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). | |
| A summary of inputs used in valuing the Fund’s investments and other financial instruments as of September 30, 2021 and, if applicable, Level 3 rollforwards for the period then ended is included in the Fund’s Schedule of Investments. | |
| Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. |
| 3. | FEDERAL TAX INFORMATION |
It is the policy of the Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s filed U.S. federal tax returns remains open generally three years after the filing of the tax return. The statutes of limitations on the Fund’s, state and local tax returns may remain open for an additional year depending upon the jurisdiction.
8
QPHR-LA-SSIF-3Q
(9/21)