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UNITED STATES |
SECURITIES AND EXCHANGE COMMISSION |
Washington, D.C. 20549 |
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FORM N-CSR |
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED |
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Investment Company Act File Number: 811-02145 |
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LORD ABBETT BOND-DEBENTURE FUND, INC. |
(Exact name of Registrant as specified in charter) |
|
90 Hudson Street, Jersey City, NJ 07302 |
(Address of principal executive offices) (Zip code) |
|
Thomas R. Phillips, Esq., Vice President & Assistant Secretary |
90 Hudson Street, Jersey City, NJ 07302 |
(Name and address of agent for service) |
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Registrant’s telephone number, including area code: (800) 201-6984 |
Date of fiscal year end: 12/31
Date of reporting period: 6/30/2012
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Item 1: | Report(s) to Shareholders. |
2 0 1 2
L O R D A B B E T T
S E M I A N N U A L
R E P O R T
Lord Abbett
Bond Debenture Fund
For the six-month period ended June 30, 2012
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Lord Abbett Bond Debenture Fund |
For the six-month period ended June 30, 2012 |
From left to right: Robert S. Dow, Director and Chairman of the Lord Abbett Funds; E. Thayer Bigelow, Independent Lead Director of the Lord Abbett Funds; and Daria L. Foster, Director and President of the Lord Abbett Funds.
Dear Shareholders: We are pleased to provide you with this semiannual report of the Lord Abbett Bond Debenture Fund for the six-month period ended June 30, 2012. For additional information about the Fund, please visit our Website at www.lordabbett.com, where you can access the quarterly commentaries by the Fund’s portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our Website.
Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.
|
Best regards, |
Robert S. Dow |
Chairman |
1
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Expense Example |
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2012 through June 30, 2012).
Actual Expenses
For each class of the Fund, the first line of the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period 1/1/12 – 6/30/12” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
For each class of the Fund, the second line of the table on the following page provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
2
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Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
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| Beginning |
| Ending |
| Expenses |
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| 1/1/12 |
| 6/30/12 |
| 1/1/12 - |
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Class A |
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Actual |
| $1,000.00 |
| $1,059.20 |
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| $4.92 |
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Hypothetical (5% Return Before Expenses) |
| $1,000.00 |
| $1,020.09 |
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| $4.82 |
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Class B |
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Actual |
| $1,000.00 |
| $1,055.70 |
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| $8.23 |
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Hypothetical (5% Return Before Expenses) |
| $1,000.00 |
| $1,016.85 |
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| $8.07 |
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Class C |
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Actual |
| $1,000.00 |
| $1,055.70 |
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| $8.23 |
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Hypothetical (5% Return Before Expenses) |
| $1,000.00 |
| $1,016.85 |
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| $8.07 |
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Class F |
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Actual |
| $1,000.00 |
| $1,060.50 |
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| $3.64 |
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Hypothetical (5% Return Before Expenses) |
| $1,000.00 |
| $1,021.34 |
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| $3.57 |
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Class I |
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Actual |
| $1,000.00 |
| $1,059.70 |
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| $3.12 |
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Hypothetical (5% Return Before Expenses) |
| $1,000.00 |
| $1,021.78 |
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| $3.07 |
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Class P |
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Actual |
| $1,000.00 |
| $1,059.90 |
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| $4.92 |
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Hypothetical (5% Return Before Expenses) |
| $1,000.00 |
| $1,020.09 |
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| $4.82 |
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Class R2 |
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Actual |
| $1,000.00 |
| $1,057.90 |
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| $6.19 |
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Hypothetical (5% Return Before Expenses) |
| $1,000.00 |
| $1,018.86 |
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| $6.07 |
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Class R3 |
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Actual |
| $1,000.00 |
| $1,058.50 |
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| $5.68 |
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Hypothetical (5% Return Before Expenses) |
| $1,000.00 |
| $1,019.36 |
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| $5.57 |
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† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.96% for Classes A and P, 1.61% for Classes B and C, 0.71% for Class F, 0.61% for Class I, 1.21% for Class R2 and 1.11% for Class R3) multiplied by the average account value over the period, multiplied by 182/366 (to reflect one-half year period). |
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Portfolio Holdings Presented by Sector |
June 30, 2012 |
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Sector* | %** |
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Agency | 0.01% |
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Automotive | 3.84% |
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Banking | 4.98% |
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Basic Industry | 6.63% |
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Capital Goods | 8.22% |
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Consumer Cyclical | 4.55% |
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Consumer Non-Cyclical | 2.81% |
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Energy | 12.38% |
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Financial Services | 6.19% |
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Foreign Government | 0.25% |
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Sector* | %** |
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Healthcare | 7.39% |
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Insurance | 1.79% |
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Media | 6.29% |
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Municipal | 0.21% |
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Real Estate | 1.58% |
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Services | 10.18% |
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Technology & Electronics | 9.35% |
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Telecommunications | 9.04% |
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Utility | 2.22% |
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Short-Term Investment | 2.09% |
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Total | 100.00% |
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* | A sector may comprise several industries. |
** | Represents percent of total investments. |
3
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Schedule of Investments (unaudited) |
June 30, 2012 |
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Investments |
| Shares |
| Fair |
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LONG-TERM INVESTMENTS 97.03% |
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COMMON STOCKS 2.34% |
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Aerospace & Defense 0.10% |
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BE Aerospace, Inc.* |
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| 100 |
| $ | 4,366,000 |
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SAIC, Inc. |
|
| 300 |
|
| 3,636,000 |
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Total |
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| 8,002,000 |
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Agency/Government Related 0.00% |
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Fannie Mae* |
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| 818 |
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| 208,639 |
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Auto Parts & Equipment 0.36% |
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Allison Transmission Holdings, Inc. |
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| 103 |
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| 1,813,948 |
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Cooper-Standard Holdings, Inc.* |
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| 753 |
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| 27,670,508 |
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Total |
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| 29,484,456 |
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Banking 0.16% |
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Fifth Third Bancorp |
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| 300 |
|
| 4,020,000 |
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Huntington Bancshares, Inc. |
|
| 700 |
|
| 4,480,000 |
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Regions Financial Corp. |
|
| 600 |
|
| 4,050,000 |
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Total |
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| 12,550,000 |
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Chemicals 0.12% |
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LyondellBasell Industries NV Class A (Netherlands)(a) |
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| 100 |
|
| 4,027,000 |
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Rockwood Holdings, Inc.* |
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| 100 |
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| 4,435,000 |
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TPC Group, Inc.* |
|
| 35 |
|
| 1,301,083 |
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Total |
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| 9,763,083 |
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Diversified Capital Goods 0.16% |
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Actuant Corp. Class A |
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| 141 |
|
| 3,817,827 |
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Emerson Electric Co. |
|
| 200 |
|
| 9,316,000 |
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Total |
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| 13,133,827 |
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Electronics 0.07% |
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Broadcom Corp. Class A* |
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| 170 |
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| 5,746,000 |
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Energy: Exploration & Production 0.20% |
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Whiting Petroleum Corp.* |
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| 400 |
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| 16,448,000 |
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Food & Drug Retailers 0.03% |
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Ingles Markets, Inc. Class A |
|
| 160 |
|
| 2,564,800 |
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4 | See Notes to Financial Statements. |
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Schedule of Investments (unaudited)(continued) |
June 30, 2012 |
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Investments |
| Shares |
| Fair |
| ||
| |||||||
Investments & Miscellaneous Financial Services 0.26% |
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SPDR S&P MidCap 400 ETF Trust |
|
| 125 |
| $ | 21,412,500 |
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Machinery 0.02% |
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Rexnord Corp.* |
|
| 68 |
|
| 1,352,700 |
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|
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Pharmaceuticals 0.16% |
|
|
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Mylan, Inc.* |
|
| 400 |
|
| 8,548,000 |
|
Teva Pharmaceutical Industries Ltd. ADR |
|
| 100 |
|
| 3,944,000 |
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|
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Total |
|
|
|
|
| 12,492,000 |
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Software/Services 0.46% |
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Facebook, Inc. Class A* |
|
| 200 |
|
| 6,224,000 |
|
Fortinet, Inc.* |
|
| 220 |
|
| 5,108,400 |
|
Informatica Corp.* |
|
| 300 |
|
| 12,708,000 |
|
Monster Worldwide, Inc.* |
|
| 300 |
|
| 2,550,000 |
|
Nuance Communications, Inc.* |
|
| 250 |
|
| 5,955,000 |
|
VeriFone Systems, Inc.* |
|
| 150 |
|
| 4,963,500 |
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|
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Total |
|
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|
|
| 37,508,900 |
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Specialty Retail 0.08% |
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Home Depot, Inc. (The) |
|
| 125 |
|
| 6,623,750 |
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Telecommunications Equipment 0.09% |
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Aruba Networks, Inc.* |
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| 500 |
|
| 7,525,000 |
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Telecommunications: Wireless 0.07% |
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QUALCOMM, Inc. |
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| 100 |
|
| 5,568,000 |
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Total Common Stocks (cost $199,779,090) |
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| 190,383,655 |
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| Interest |
| Maturity |
| Principal |
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CONVERTIBLE BONDS 6.32% |
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Apparel/Textiles 0.12% |
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Iconix Brand Group, Inc.† |
| 2.50% |
| 6/1/2016 |
| $ | 10,000 |
|
| 9,687,500 |
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Auto Parts & Equipment 0.31% |
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Meritor, Inc. (Zero Coupon after 3/1/2016)~ |
| 4.625% |
| 3/1/2026 |
|
| 28,515 |
|
| 24,914,981 |
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| See Notes to Financial Statements. | 5 |
|
Schedule of Investments (unaudited)(continued) |
June 30, 2012 |
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Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
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Automakers 0.24% |
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Ford Motor Co. |
| 4.25% |
| 11/15/2016 |
| $ | 10,000 |
| $ | 13,950,000 |
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Navistar International Corp. |
| 3.00% |
| 10/15/2014 |
|
| 6,350 |
|
| 5,953,125 |
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|
|
|
|
|
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Total |
|
|
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|
|
|
|
|
| 19,903,125 |
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Computer Hardware 0.60% |
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Intel Corp. |
| 2.95% |
| 12/15/2035 |
|
| 10,000 |
|
| 11,362,500 |
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Microchip Technology, Inc. |
| 2.125% |
| 12/15/2037 |
|
| 1,800 |
|
| 2,254,500 |
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Micron Technology, Inc.† |
| 2.375% |
| 5/1/2032 |
|
| 15,000 |
|
| 13,893,750 |
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NetApp, Inc. |
| 1.75% |
| 6/1/2013 |
|
| 16,500 |
|
| 18,933,750 |
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SanDisk Corp. |
| 1.50% |
| 8/15/2017 |
|
| 2,100 |
|
| 2,170,875 |
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|
|
|
|
|
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Total |
|
|
|
|
|
|
|
|
| 48,615,375 |
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Electronics 0.16% |
|
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|
|
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|
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A123 Systems, Inc. |
| 3.75% |
| 4/15/2016 |
|
| 9,350 |
|
| 2,454,375 |
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ON Semiconductor Corp. |
| 2.625% |
| 12/15/2026 |
|
| 9,800 |
|
| 10,547,250 |
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|
|
|
|
|
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Total |
|
|
|
|
|
|
|
|
| 13,001,625 |
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Energy: Exploration & Production 0.11% |
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Chesapeake Energy Corp. |
| 2.50% |
| 5/15/2037 |
|
| 10,000 |
|
| 8,612,500 |
|
|
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| ||
|
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Health Services 0.21% |
|
|
|
|
|
|
|
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Human Genome Sciences, Inc. |
| 3.00% |
| 11/15/2018 |
|
| 7,500 |
|
| 8,990,625 |
|
Incyte Corp. |
| 4.75% |
| 10/1/2015 |
|
| 3,000 |
|
| 7,946,250 |
|
|
|
|
|
|
|
|
|
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| ||
Total |
|
|
|
|
|
|
|
|
| 16,936,875 |
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Hotels 0.13% |
|
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Host Hotels & Resorts LP† |
| 2.50% |
| 10/15/2029 |
|
| 8,000 |
|
| 10,410,000 |
|
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Integrated Energy 0.11% |
|
|
|
|
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|
|
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SunPower Corp. |
| 4.50% |
| 3/15/2015 |
|
| 10,000 |
|
| 8,775,000 |
|
|
|
|
|
|
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|
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|
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Leisure 0.16% |
|
|
|
|
|
|
|
|
|
|
|
priceline.com, Inc.† |
| 1.00% |
| 3/15/2018 |
|
| 12,325 |
|
| 13,049,094 |
|
|
|
|
|
|
|
|
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| ||
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|
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|
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Machinery 0.09% |
|
|
|
|
|
|
|
|
|
|
|
Altra Holdings, Inc. |
| 2.75% |
| 3/1/2031 |
|
| 7,950 |
|
| 7,383,563 |
|
|
|
|
|
|
|
|
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| ||
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Media: Diversified 0.32% |
|
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|
|
Liberty Interactive LLC (convertible into |
| 3.25% |
| 3/15/2031 |
|
| 30,000 |
|
| 26,362,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 | See Notes to Financial Statements. |
|
|
Schedule of Investments (unaudited)(continued) |
June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Media: Services 0.09% |
|
|
|
|
|
|
|
|
|
|
|
Omnicom Group, Inc. |
| Zero Coupon |
| 7/1/2038 |
| $ | 7,000 |
| $ | 7,577,500 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Medical Products 0.18% |
|
|
|
|
|
|
|
|
|
|
|
NuVasive, Inc. |
| 2.75% |
| 7/1/2017 |
|
| 14,400 |
|
| 14,274,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Metals/Mining (Excluding Steel) 0.52% |
|
|
|
|
|
|
|
|
|
|
|
Alpha Appalachia Holdings, Inc. |
| 3.25% |
| 8/1/2015 |
|
| 7,225 |
|
| 6,267,687 |
|
Molycorp, Inc. |
| 3.25% |
| 6/15/2016 |
|
| 5,000 |
|
| 4,037,500 |
|
Newmont Mining Corp. |
| 1.25% |
| 7/15/2014 |
|
| 20,000 |
|
| 24,900,000 |
|
Newmont Mining Corp. |
| 1.625% |
| 7/15/2017 |
|
| 5,500 |
|
| 7,321,875 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 42,527,062 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Monoline Insurance 0.08% |
|
|
|
|
|
|
|
|
|
|
|
Radian Group, Inc. |
| 3.00% |
| 11/15/2017 |
|
| 10,800 |
|
| 6,399,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Oil Field Equipment & Services 0.09% |
|
|
|
|
|
|
|
|
|
|
|
Exterran Energy Corp. |
| 4.75% |
| 1/15/2014 |
|
| 7,400 |
|
| 7,215,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Packaging 0.21% |
|
|
|
|
|
|
|
|
|
|
|
Owens-Brockway Glass Container, Inc.† |
| 3.00% |
| 6/1/2015 |
|
| 18,000 |
|
| 17,280,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 0.83% |
|
|
|
|
|
|
|
|
|
|
|
BioMarin Pharmaceutical, Inc. |
| 1.875% |
| 4/23/2017 |
|
| 3,000 |
|
| 6,135,000 |
|
Gilead Sciences, Inc. |
| 0.625% |
| 5/1/2013 |
|
| 22,000 |
|
| 30,140,000 |
|
Medicis Pharmaceutical Corp. |
| 1.375% |
| 6/1/2017 |
|
| 3,000 |
|
| 2,988,750 |
|
Medivation, Inc. |
| 2.625% |
| 4/1/2017 |
|
| 15,000 |
|
| 17,981,250 |
|
Vertex Pharmaceuticals, Inc. |
| 3.35% |
| 10/1/2015 |
|
| 7,700 |
|
| 10,096,625 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 67,341,625 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate 0.05% |
|
|
|
|
|
|
|
|
|
|
|
Boston Properties LP |
| 3.75% |
| 5/15/2036 |
|
| 3,500 |
|
| 4,016,250 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Software/Services 1.59% |
|
|
|
|
|
|
|
|
|
|
|
Alliance Data Systems Corp. |
| 1.75% |
| 8/1/2013 |
|
| 7,500 |
|
| 13,031,250 |
|
EMC Corp. |
| 1.75% |
| 12/1/2013 |
|
| 22,000 |
|
| 35,915,000 |
|
Nuance Communications, Inc. |
| 2.75% |
| 8/15/2027 |
|
| 9,900 |
|
| 13,699,125 |
|
Nuance Communications, Inc.† |
| 2.75% |
| 11/1/2031 |
|
| 9,300 |
|
| 10,311,375 |
|
Symantec Corp. |
| 1.00% |
| 6/15/2013 |
|
| 20,775 |
|
| 21,372,281 |
|
TIBCO Software, Inc.† |
| 2.25% |
| 5/1/2032 |
|
| 20,000 |
|
| 19,525,000 |
|
Xilinx, Inc. |
| 2.625% |
| 6/15/2017 |
|
| 12,000 |
|
| 15,450,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 129,304,031 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. | 7 |
|
Schedule of Investments (unaudited)(continued) |
June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Telecommunications: Wireless 0.12% |
|
|
|
|
|
|
|
|
|
|
|
SBA Communications Corp. |
| 4.00% |
| 10/1/2014 |
| $ | 5,000 |
| $ | 9,668,750 |
|
|
|
|
|
|
|
|
|
|
| ||
Total Convertible Bonds (cost $516,818,504) |
|
|
|
|
|
|
|
|
| 513,255,356 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares |
|
|
|
| |
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
CONVERTIBLE PREFERRED STOCKS 2.54% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace/Defense 0.18% |
|
|
|
|
|
|
|
|
|
|
|
United Technologies Corp. |
| 7.50% |
|
|
|
| 270 |
|
| 14,226,300 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Auto Parts & Equipment 0.04% |
|
|
|
|
|
|
|
|
|
|
|
Cooper-Standard Holdings, Inc. PIK |
| 7.00% |
|
|
|
| 22 |
|
| 3,614,036 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Automakers 0.11% |
|
|
|
|
|
|
|
|
|
|
|
General Motors Co. |
| 4.75% |
|
|
|
| 275 |
|
| 9,130,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Banking 0.73% |
|
|
|
|
|
|
|
|
|
|
|
Bank of America Corp. |
| 7.25% |
|
|
|
| 37 |
|
| 36,133,500 |
|
Citigroup, Inc. |
| 7.50% |
|
|
|
| 270 |
|
| 23,101,200 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 59,234,700 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Electric: Integrated 0.22% |
|
|
|
|
|
|
|
|
|
|
|
PPL Corp. |
| 8.75% |
|
|
|
| 335 |
|
| 17,912,450 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Energy: Exploration & Production 0.42% |
|
|
|
|
|
|
|
|
|
|
|
Apache Corp. |
| 6.00% |
|
|
|
| 676 |
|
| 33,957,216 |
|
Whiting Petroleum Corp. |
| 6.25% |
|
|
|
| 2 |
|
| 373,480 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 34,330,696 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Food: Wholesale 0.21% |
|
|
|
|
|
|
|
|
|
|
|
Bunge Ltd. |
| 4.875% |
|
|
|
| 180 |
|
| 17,190,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Investments & Miscellaneous Financial Services 0.27% |
|
|
|
|
|
|
|
|
|
|
|
AMG Capital Trust I |
| 5.10% |
|
|
|
| 450 |
|
| 22,218,750 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Life Insurance 0.31% |
|
|
|
|
|
|
|
|
|
|
|
MetLife, Inc. |
| 5.00% |
|
|
|
| 400 |
|
| 24,748,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Line Insurance 0.05% |
|
|
|
|
|
|
|
|
|
|
|
Hartford Financial Services Group, Inc. (The) |
| 7.25% |
|
|
|
| 219 |
|
| 4,085,950 |
|
|
|
|
|
|
|
|
|
|
| ||
Total Convertible Preferred Stocks (cost $214,000,219) |
|
|
|
|
|
|
|
|
| 206,690,882 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | See Notes to Financial Statements. |
|
|
Schedule of Investments (unaudited)(continued) |
June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
FLOATING RATE LOANS(b) 3.22% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace 0.12% |
|
|
|
|
|
|
|
|
|
|
|
DigitalGlobe, Inc. Term Loan B |
| 5.75% |
| 10/7/2018 |
| $ | 9,950 |
| $ | 9,847,963 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Beverages 0.15% |
|
|
|
|
|
|
|
|
|
|
|
Smart Balance, Inc. New Term Loan |
| 7.00% |
| 5/31/2018 |
|
| 12,000 |
|
| 11,970,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals 0.05% |
|
|
|
|
|
|
|
|
|
|
|
Momentive Performance Materials USA, Inc. |
| 3.75% |
| 5/5/2015 |
|
| 3,965 |
|
| 3,804,236 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Department Stores 0.12% |
|
|
|
|
|
|
|
|
|
|
|
Neiman-Marcus Group, Inc. (The) |
| 4.75% |
| 5/16/2018 |
|
| 10,000 |
|
| 9,908,280 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Electric: Generation 0.16% |
|
|
|
|
|
|
|
|
|
|
|
Texas Competitive Electric Holdings Co. LLC |
| 4.741% |
| 10/10/2017 |
|
| 21,124 |
|
| 12,672,622 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Electronics 0.10% |
|
|
|
|
|
|
|
|
|
|
|
Freescale Semiconductor, Inc. |
| 4.489% |
| 12/1/2016 |
|
| 8,971 |
|
| 8,504,188 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Energy: Exploration & Production 0.19% |
|
|
|
|
|
|
|
|
|
|
|
Chesapeake Energy Corp. Unsecured Term Loan |
| 8.50% |
| 12/1/2017 |
|
| 15,500 |
|
| 15,383,750 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Gaming 0.21% |
|
|
|
|
|
|
|
|
|
|
|
Caesars Entertainment Operating Co. |
| 3.245% |
| 1/28/2015 |
|
| 10,000 |
|
| 9,315,280 |
|
Harrah’s Prop Co. Senior Note |
| 3.24% |
| 2/13/2013 |
|
| 10,000 |
|
| 7,712,500 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 17,027,780 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Health Facilities 0.25% |
|
|
|
|
|
|
|
|
|
|
|
Community Health Systems, Inc. | 2.495% - 2.717% |
| 7/25/2014 |
|
| 6,919 |
|
| 6,830,446 |
| |
Drumm Investors LLC Term Loan |
| 5.00% |
| 5/4/2018 |
|
| 6,913 |
|
| 6,584,679 |
|
HCA, Inc. Extended Term Loan B2 |
| 3.711% |
| 3/31/2017 |
|
| 7,057 |
|
| 6,871,383 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 20,286,508 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Insurance Brokerage 0.10% |
|
|
|
|
|
|
|
|
|
|
|
USI Holdings Corp. Incremental Term Loan |
| 7.00% |
| 5/5/2014 |
|
| 7,780 |
|
| 7,760,457 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. | 9 |
|
Schedule of Investments (unaudited)(continued) |
June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Investments & Miscellaneous Financial Services 0.39% |
|
|
|
|
|
|
|
|
|
|
|
Nuveen Investments, Inc. |
| 3.46% - 3.466% |
| 11/13/2014 |
| $ | 11,509 |
| $ | 11,445,649 |
|
Nuveen Investments, Inc. | 5.961% - 5.967% |
| 5/12/2017 |
|
| 13,447 |
|
| 13,248,887 |
| |
Nuveen Investments, Inc. |
| 8.25% |
| 2/28/2019 |
|
| 6,900 |
|
| 6,925,875 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 31,620,411 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Media: Broadcast 0.25% |
|
|
|
|
|
|
|
|
|
|
|
Clear Channel Communication Term Loan B |
| 3.895% |
| 1/28/2016 |
|
| 9,489 |
|
| 7,571,588 |
|
Univision Communications, Inc. |
| 4.489% |
| 3/31/2017 |
|
| 10,162 |
|
| 9,599,984 |
|
Univision Communications, Inc. Initial Term Loan |
| 2.239% |
| 9/29/2014 |
|
| 3,506 |
|
| 3,417,456 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 20,589,028 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Media: Cable 0.18% |
|
|
|
|
|
|
|
|
|
|
|
Atlantic Broadband Finance LLC |
| 9.75% |
| 10/4/2019 |
|
| 15,000 |
|
| 14,881,245 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Media: Services 0.28% |
|
|
|
|
|
|
|
|
|
|
|
Affinion Group, Inc. Term Loan B |
| 5.00% |
| 7/16/2015 |
|
| 15,594 |
|
| 14,239,445 |
|
DG FastChannel, Inc. Term Loan B |
| 5.75% |
| 7/26/2018 |
|
| 8,451 |
|
| 8,366,308 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 22,605,753 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Metals/Mining (Excluding Steel) 0.04% |
|
|
|
|
|
|
|
|
|
|
|
Noranda Aluminum Acquisition Corp. |
| 5.75% |
| 2/24/2019 |
|
| 3,591 |
|
| 3,613,444 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Development & Management 0.15% |
|
|
|
|
|
|
|
|
|
|
|
Realogy Corp. Extended Letter of Credit |
| 4.49% |
| 10/10/2016 |
|
| 943 |
|
| 893,123 |
|
Realogy Corp. Extended Term Loan |
| 4.491% |
| 10/10/2016 |
|
| 12,054 |
|
| 11,414,002 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 12,307,125 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Software/Services 0.34% |
|
|
|
|
|
|
|
|
|
|
|
Nuance Communications, Inc. Term Loan C |
| 3.25% |
| 3/31/2016 |
|
| 9,798 |
|
| 9,789,614 |
|
SRA International, Inc. Term Loan B |
| 6.50% |
| 7/20/2018 |
|
| 13,619 |
|
| 13,201,855 |
|
Syniverse Technologies, Inc. New Term Loan |
| 5.00% |
| 4/23/2019 |
|
| 5,000 |
|
| 4,975,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 27,966,469 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 0.10% |
|
|
|
|
|
|
|
|
|
|
|
Michaels Stores, Inc. Term Loan B2 |
| 5.00% |
| 7/29/2016 |
|
| 8,009 |
|
| 7,993,895 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10 | See Notes to Financial Statements. |
|
|
Schedule of Investments (unaudited)(continued) |
June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Telecommunications Equipment 0.04% |
|
|
|
|
|
|
|
|
|
|
|
Genesys Telecom Holdings, U.S., Inc. Term Loan B |
| 6.75% |
| 1/31/2019 |
| $ | 2,993 |
| $ | 3,009,955 |
|
|
|
|
|
|
|
|
|
|
| ||
Total Floating Rate Loans (cost $268,458,787) |
|
|
|
|
|
|
|
|
| 261,753,109 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
FOREIGN BONDS(c) 0.55% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Luxembourg 0.09% |
|
|
|
|
|
|
|
|
|
|
|
Matterhorn Mobile SA† |
| 6.75% |
| 5/15/2019 |
| CHF | 6,900 |
|
| 7,524,101 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Netherlands 0.23% |
|
|
|
|
|
|
|
|
|
|
|
Goodyear Dunlop Tires Europe BV† |
| 6.75% |
| 4/15/2019 |
| EUR | 5,200 |
|
| 6,712,208 |
|
Refresco Group BV† |
| 7.375% |
| 5/15/2018 |
| EUR | 2,000 |
|
| 2,379,139 |
|
Ziggo Bond Co. BV† |
| 8.00% |
| 5/15/2018 |
| EUR | 6,750 |
|
| 9,310,910 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 18,402,257 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
United Kingdom 0.23% |
|
|
|
|
|
|
|
|
|
|
|
Aston Martin Capital Ltd.† |
| 9.25% |
| 7/15/2018 |
| GBP | 4,150 |
|
| 5,280,865 |
|
R&R Ice Cream plc† |
| 8.375% |
| 11/15/2017 |
| EUR | 10,400 |
|
| 13,128,289 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 18,409,154 |
|
|
|
|
|
|
|
|
|
|
| ||
Total Foreign Bonds (cost $47,037,021) |
|
|
|
|
|
|
|
|
| 44,335,512 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
FOREIGN GOVERNMENT OBLIGATIONS 0.25% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bermuda 0.12% |
|
|
|
|
|
|
|
|
|
|
|
Bermuda Government†(d) |
| 4.138% |
| 1/3/2023 |
| $ | 9,450 |
|
| 9,529,352 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Canada 0.13% |
|
|
|
|
|
|
|
|
|
|
|
Government of Canada(c) |
| 2.75% |
| 9/1/2016 |
| CAD | 10,000 |
|
| 10,428,543 |
|
|
|
|
|
|
|
|
|
|
| ||
Total Foreign Government Obligations (cost $20,098,187) |
|
|
|
|
|
|
|
|
| 19,957,895 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
HIGH YIELD CORPORATE BONDS 80.07% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace/Defense 1.60% |
|
|
|
|
|
|
|
|
|
|
|
BE Aerospace, Inc. |
| 5.25% |
| 4/1/2022 |
| $ | 32,250 |
|
| 33,298,125 |
|
Esterline Technologies Corp. |
| 6.625% |
| 3/1/2017 |
|
| 8,000 |
|
| 8,310,000 |
|
Esterline Technologies Corp. |
| 7.00% |
| 8/1/2020 |
|
| 9,100 |
|
| 10,055,500 |
|
Huntington Ingalls Industries, Inc. |
| 7.125% |
| 3/15/2021 |
|
| 15,000 |
|
| 15,750,000 |
|
Mantech International Corp. |
| 7.25% |
| 4/15/2018 |
|
| 15,000 |
|
| 15,825,000 |
|
Moog, Inc. |
| 6.25% |
| 1/15/2015 |
|
| 6,300 |
|
| 6,378,750 |
|
Spirit Aerosystems, Inc. |
| 6.75% |
| 12/15/2020 |
|
| 19,000 |
|
| 20,805,000 |
|
Spirit Aerosystems, Inc. |
| 7.50% |
| 10/1/2017 |
|
| 7,575 |
|
| 8,275,687 |
|
Triumph Group, Inc. |
| 8.00% |
| 11/15/2017 |
|
| 10,440 |
|
| 11,431,800 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 130,129,862 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. | 11 |
|
Schedule of Investments (unaudited)(continued) |
June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Airlines 0.50% |
|
|
|
|
|
|
|
|
|
|
|
Delta Air Lines, Inc. |
| 4.95% |
| 5/23/2019 |
| $ | 3,390 |
| $ | 3,601,883 |
|
Delta Air Lines, Inc.† |
| 9.50% |
| 9/15/2014 |
|
| 3,492 |
|
| 3,705,885 |
|
United Airlines, Inc. |
| 6.636% |
| 7/2/2022 |
|
| 7,286 |
|
| 7,613,741 |
|
United Airlines, Inc.† |
| 9.875% |
| 8/1/2013 |
|
| 14,800 |
|
| 15,336,500 |
|
United Airlines, Inc.† |
| 12.00% |
| 11/1/2013 |
|
| 9,600 |
|
| 10,056,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 40,314,009 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Apparel/Textiles 0.44% |
|
|
|
|
|
|
|
|
|
|
|
Hanesbrands, Inc. |
| 6.375% |
| 12/15/2020 |
|
| 10,000 |
|
| 10,575,000 |
|
Levi Strauss & Co.† |
| 6.875% |
| 5/1/2022 |
|
| 8,000 |
|
| 8,250,000 |
|
Levi Strauss & Co. |
| 7.625% |
| 5/15/2020 |
|
| 8,675 |
|
| 9,260,563 |
|
Perry Ellis International, Inc. |
| 7.875% |
| 4/1/2019 |
|
| 7,650 |
|
| 7,745,625 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 35,831,188 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Auto Loans 0.46% |
|
|
|
|
|
|
|
|
|
|
|
Ford Motor Credit Co. LLC |
| 4.25% |
| 2/3/2017 |
|
| 17,500 |
|
| 18,363,065 |
|
Ford Motor Credit Co. LLC |
| 5.875% |
| 8/2/2021 |
|
| 7,300 |
|
| 8,135,792 |
|
Ford Motor Credit Co. LLC |
| 8.00% |
| 6/1/2014 |
|
| 10,000 |
|
| 11,097,920 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 37,596,777 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Auto Parts & Equipment 1.41% |
|
|
|
|
|
|
|
|
|
|
|
Cooper-Standard Automotive, Inc. |
| 8.50% |
| 5/1/2018 |
|
| 15,000 |
|
| 16,256,250 |
|
Dana Holding Corp. |
| 6.50% |
| 2/15/2019 |
|
| 10,000 |
|
| 10,675,000 |
|
Dana Holding Corp. |
| 6.75% |
| 2/15/2021 |
|
| 10,000 |
|
| 10,850,000 |
|
International Automotive Components Group SA |
| 9.125% |
| 6/1/2018 |
|
| 14,500 |
|
| 13,303,750 |
|
Stanadyne Corp. |
| 10.00% |
| 8/15/2014 |
|
| 8,000 |
|
| 7,030,000 |
|
Stanadyne Holdings, Inc. |
| 12.00% |
| 2/15/2015 |
|
| 18,750 |
|
| 13,335,937 |
|
Stoneridge, Inc.† |
| 9.50% |
| 10/15/2017 |
|
| 7,250 |
|
| 7,476,562 |
|
Tenneco, Inc. |
| 6.875% |
| 12/15/2020 |
|
| 7,500 |
|
| 8,137,500 |
|
Tomkins LLC/Tomkins, Inc. |
| 9.00% |
| 10/1/2018 |
|
| 4,815 |
|
| 5,380,763 |
|
TRW Automotive, Inc.† |
| 7.25% |
| 3/15/2017 |
|
| 10,000 |
|
| 11,475,000 |
|
TRW Automotive, Inc.† |
| 8.875% |
| 12/1/2017 |
|
| 10,000 |
|
| 11,075,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 114,995,762 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Automakers 0.69% |
|
|
|
|
|
|
|
|
|
|
|
Chrysler Group LLC/CG Co-Issuer, Inc. |
| 8.25% |
| 6/15/2021 |
|
| 16,000 |
|
| 16,520,000 |
|
Ford Motor Co. |
| 7.45% |
| 7/16/2031 |
|
| 15,000 |
|
| 18,862,500 |
|
General Motors Co.(e) |
| — |
| — | (f) |
| 15,000 |
|
| 24,315 |
|
Navistar International Corp. |
| 8.25% |
| 11/1/2021 |
|
| 14,500 |
|
| 13,974,375 |
|
|
|
|
12 | See Notes to Financial Statements. |
|
|
Schedule of Investments (unaudited)(continued) |
June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Automakers (continued) |
|
|
|
|
|
|
|
|
|
|
|
Oshkosh Corp. |
| 8.50% |
| 3/1/2020 |
| $ | 6,000 |
| $ | 6,690,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 56,071,190 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Banking 3.73% |
|
|
|
|
|
|
|
|
|
|
|
Ally Financial, Inc. |
| 7.50% |
| 9/15/2020 |
|
| 14,000 |
|
| 15,785,000 |
|
Ally Financial, Inc. |
| 8.30% |
| 2/12/2015 |
|
| 28,000 |
|
| 30,590,000 |
|
Astoria Depositor Corp† |
| 5.744% |
| 5/1/2016 |
|
| 8,444 |
|
| 8,338,205 |
|
Bank of America Corp. |
| 3.875% |
| 3/22/2017 |
|
| 9,000 |
|
| 9,178,101 |
|
Bank of America Corp. |
| 5.42% |
| 3/15/2017 |
|
| 5,000 |
|
| 5,182,515 |
|
Bank of America Corp. |
| 8.00% |
| — | (f) |
| 15,000 |
|
| 15,642,660 |
|
Capital One Capital VI |
| 8.875% |
| 5/15/2040 |
|
| 26,300 |
|
| 26,858,875 |
|
Fifth Third Capital Trust IV |
| 6.50% |
| 4/15/2037 |
|
| 16,250 |
|
| 16,209,375 |
|
Goldman Sachs Group, Inc. (The) |
| 5.25% |
| 7/27/2021 |
|
| 4,000 |
|
| 4,070,556 |
|
Goldman Sachs Group, Inc. (The) |
| 5.75% |
| 1/24/2022 |
|
| 15,000 |
|
| 15,863,235 |
|
HBOS plc (United Kingdom)†(a) |
| 6.75% |
| 5/21/2018 |
|
| 10,000 |
|
| 9,445,710 |
|
Huntington Bancshares, Inc. |
| 7.00% |
| 12/15/2020 |
|
| 5,050 |
|
| 5,922,842 |
|
JPMorgan Chase & Co. |
| 4.50% |
| 1/24/2022 |
|
| 16,500 |
|
| 17,808,829 |
|
JPMorgan Chase & Co. |
| 7.90% |
| — | (f) |
| 7,275 |
|
| 8,003,198 |
|
Macquarie Group Ltd. (Australia)†(a) |
| 6.00% |
| 1/14/2020 |
|
| 10,000 |
|
| 9,963,150 |
|
Morgan Stanley |
| 4.75% |
| 3/22/2017 |
|
| 14,200 |
|
| 14,183,599 |
|
Regions Bank |
| 6.45% |
| 6/26/2037 |
|
| 6,650 |
|
| 6,550,250 |
|
Regions Bank |
| 7.50% |
| 5/15/2018 |
|
| 7,987 |
|
| 9,005,343 |
|
Regions Financial Corp. |
| 7.75% |
| 11/10/2014 |
|
| 6,025 |
|
| 6,522,063 |
|
Regions Financing Trust II |
| 6.625% |
| 5/15/2047 |
|
| 10,000 |
|
| 9,550,000 |
|
SVB Financial Group |
| 5.375% |
| 9/15/2020 |
|
| 9,350 |
|
| 10,117,915 |
|
Synovus Financial Corp. |
| 7.875% |
| 2/15/2019 |
|
| 7,750 |
|
| 8,195,625 |
|
Wachovia Capital Trust III |
| 5.57% |
| — | (f) |
| 15,000 |
|
| 14,381,250 |
|
Washington Mutual Bank(g) |
| 6.875% |
| 6/15/2011 |
|
| 22,500 |
|
| 2,250 |
|
Zions Bancorporation |
| 7.75% |
| 9/23/2014 |
|
| 23,525 |
|
| 25,527,072 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 302,897,618 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Beverages 0.09% |
|
|
|
|
|
|
|
|
|
|
|
CEDC Finance Corp. International, Inc.† |
| 9.125% |
| 12/1/2016 |
|
| 11,300 |
|
| 7,203,750 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Brokerage 0.63% |
|
|
|
|
|
|
|
|
|
|
|
Cantor Fitzgerald LP† |
| 7.875% |
| 10/15/2019 |
|
| 12,655 |
|
| 12,662,998 |
|
Lazard Group LLC |
| 7.125% |
| 5/15/2015 |
|
| 12,500 |
|
| 13,658,875 |
|
Raymond James Financial, Inc. |
| 8.60% |
| 8/15/2019 |
|
| 20,000 |
|
| 24,662,380 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 50,984,253 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. | 13 |
|
Schedule of Investments (unaudited)(continued) |
June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Building & Construction 0.87% |
|
|
|
|
|
|
|
|
|
|
|
Beazer Homes USA, Inc. |
| 6.875% |
| 7/15/2015 |
| $ | 3,710 |
| $ | 3,580,150 |
|
DR Horton, Inc. |
| 4.75% |
| 5/15/2017 |
|
| 4,000 |
|
| 4,132,500 |
|
K. Hovnanian Enterprises, Inc.† |
| 5.00% |
| 11/1/2021 |
|
| 5,779 |
|
| 4,059,748 |
|
KB Home |
| 9.10% |
| 9/15/2017 |
|
| 15,000 |
|
| 15,750,000 |
|
Lennar Corp. |
| 12.25% |
| 6/1/2017 |
|
| 15,000 |
|
| 19,462,500 |
|
Odebrecht Finance Ltd.† |
| 6.00% |
| 4/5/2023 |
|
| 6,000 |
|
| 6,349,800 |
|
Ryland Group, Inc. |
| 8.40% |
| 5/15/2017 |
|
| 7,500 |
|
| 8,531,250 |
|
Toll Brothers Finance Corp. |
| 8.91% |
| 10/15/2017 |
|
| 7,500 |
|
| 9,229,312 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 71,095,260 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Building Materials 0.47% |
|
|
|
|
|
|
|
|
|
|
|
Griffon Corp. |
| 7.125% |
| 4/1/2018 |
|
| 6,200 |
|
| 6,324,000 |
|
Masco Corp. |
| 7.125% |
| 3/15/2020 |
|
| 12,000 |
|
| 13,260,144 |
|
Owens Corning, Inc. |
| 9.00% |
| 6/15/2019 |
|
| 15,000 |
|
| 18,727,905 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 38,312,049 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals 1.66% |
|
|
|
|
|
|
|
|
|
|
|
Airgas, Inc. |
| 7.125% |
| 10/1/2018 |
|
| 10,500 |
|
| 11,331,852 |
|
Celanese US Holdings LLC |
| 6.625% |
| 10/15/2018 |
|
| 7,365 |
|
| 8,046,263 |
|
Chemtura Corp. |
| 7.875% |
| 9/1/2018 |
|
| 12,020 |
|
| 12,696,125 |
|
Dow Chemical Co. (The) |
| 8.55% |
| 5/15/2019 |
|
| 10,000 |
|
| 13,318,970 |
|
Huntsman International LLC |
| 8.625% |
| 3/15/2020 |
|
| 25,000 |
|
| 28,187,500 |
|
INEOS Finance plc (United Kingdom)†(a) |
| 7.50% |
| 5/1/2020 |
|
| 7,200 |
|
| 7,290,000 |
|
INEOS Finance plc (United Kingdom)†(a) |
| 8.375% |
| 2/15/2019 |
|
| 4,900 |
|
| 5,083,750 |
|
INEOS Finance plc (United Kingdom)†(a) |
| 9.00% |
| 5/15/2015 |
|
| 3,000 |
|
| 3,180,000 |
|
INEOS Group Holdings Ltd. |
| 8.50% |
| 2/15/2016 |
|
| 11,500 |
|
| 10,608,750 |
|
LyondellBasell Industries NV (Netherlands)†(a) |
| 6.00% |
| 11/15/2021 |
|
| 4,250 |
|
| 4,685,625 |
|
Methanex Corp. (Canada)(a) |
| 5.25% |
| 3/1/2022 |
|
| 4,425 |
|
| 4,599,668 |
|
Momentive Performance Materials, Inc. |
| 9.00% |
| 1/15/2021 |
|
| 12,000 |
|
| 9,150,000 |
|
Phibro Animal Health Corp.† |
| 9.25% |
| 7/1/2018 |
|
| 16,750 |
|
| 16,498,750 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 134,677,253 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Computer Hardware 0.48% |
|
|
|
|
|
|
|
|
|
|
|
Brocade Communications Systems, Inc. |
| 6.625% |
| 1/15/2018 |
|
| 15,885 |
|
| 16,718,963 |
|
Brocade Communications Systems, Inc. |
| 6.875% |
| 1/15/2020 |
|
| 12,500 |
|
| 13,593,750 |
|
Seagate HDD Cayman |
| 6.875% |
| 5/1/2020 |
|
| 8,000 |
|
| 8,640,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 38,952,713 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14 | See Notes to Financial Statements. |
|
|
Schedule of Investments (unaudited)(continued) |
June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Consumer/Commercial/Lease Financing 2.30% |
|
|
|
|
|
|
|
|
|
|
|
Air Lease Corp.† |
| 5.625% |
| 4/1/2017 |
| $ | 31,000 |
| $ | 30,690,000 |
|
CIT Group, Inc. |
| 5.25% |
| 3/15/2018 |
|
| 3,000 |
|
| 3,101,250 |
|
CIT Group, Inc.† |
| 7.00% |
| 5/2/2016 |
|
| 31,000 |
|
| 31,116,250 |
|
CIT Group, Inc.† |
| 7.00% |
| 5/2/2017 |
|
| 3,839 |
|
| 3,851,106 |
|
Discover Bank |
| 8.70% |
| 11/18/2019 |
|
| 11,200 |
|
| 13,934,592 |
|
General Electric Capital Corp. |
| 7.125% |
| — | (f) |
| 13,500 |
|
| 14,315,076 |
|
International Lease Finance Corp. |
| 6.25% |
| 5/15/2019 |
|
| 5,400 |
|
| 5,502,600 |
|
International Lease Finance Corp. |
| 8.25% |
| 12/15/2020 |
|
| 6,100 |
|
| 7,000,805 |
|
International Lease Finance Corp. |
| 8.75% |
| 3/15/2017 |
|
| 34,000 |
|
| 38,335,000 |
|
NESCO LLC/NESCO Holdings Corp.† |
| 11.75% |
| 4/15/2017 |
|
| 12,400 |
|
| 12,772,000 |
|
Provident Funding Associates |
| 10.25% |
| 4/15/2017 |
|
| 15,800 |
|
| 16,550,500 |
|
SLM Corp. |
| 6.25% |
| 1/25/2016 |
|
| 9,200 |
|
| 9,706,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 186,875,179 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Products 0.47% |
|
|
|
|
|
|
|
|
|
|
|
Armored AutoGroup, Inc.† |
| 9.50% |
| 11/1/2018 |
|
| 12,675 |
|
| 10,995,563 |
|
Elizabeth Arden, Inc. |
| 7.375% |
| 3/15/2021 |
|
| 21,000 |
|
| 23,152,500 |
|
Prestige Brands, Inc.† |
| 8.125% |
| 2/1/2020 |
|
| 3,500 |
|
| 3,858,750 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 38,006,813 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Department Stores 0.15% |
|
|
|
|
|
|
|
|
|
|
|
Bon-Ton Department Stores, Inc. (The) |
| 10.25% |
| 3/15/2014 |
|
| 8,500 |
|
| 7,225,000 |
|
J.C. Penney Corp., Inc. |
| 7.125% |
| 11/15/2023 |
|
| 5,025 |
|
| 4,692,094 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 11,917,094 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Capital Goods 2.20% |
|
|
|
|
|
|
|
|
|
|
|
Actuant Corp.† |
| 5.625% |
| 6/15/2022 |
|
| 8,300 |
|
| 8,569,750 |
|
Amsted Industries, Inc.† |
| 8.125% |
| 3/15/2018 |
|
| 15,000 |
|
| 15,937,500 |
|
Anixter, Inc. |
| 5.625% |
| 5/1/2019 |
|
| 11,300 |
|
| 11,723,750 |
|
Belden, Inc. |
| 7.00% |
| 3/15/2017 |
|
| 17,500 |
|
| 18,112,500 |
|
Belden, Inc. |
| 9.25% |
| 6/15/2019 |
|
| 12,000 |
|
| 13,140,000 |
|
Mueller Water Products, Inc. |
| 7.375% |
| 6/1/2017 |
|
| 23,500 |
|
| 23,617,500 |
|
Park-Ohio Industries, Inc. |
| 8.125% |
| 4/1/2021 |
|
| 11,400 |
|
| 11,713,500 |
|
RBS Global, Inc./Rexnord LLC |
| 8.50% |
| 5/1/2018 |
|
| 30,000 |
|
| 32,700,000 |
|
SPX Corp. |
| 6.875% |
| 9/1/2017 |
|
| 21,000 |
|
| 22,995,000 |
|
Valmont Industries, Inc. |
| 6.625% |
| 4/20/2020 |
|
| 17,500 |
|
| 20,567,137 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 179,076,637 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. | 15 |
|
Schedule of Investments (unaudited)(continued) |
June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Electric: Generation 0.53% |
|
|
|
|
|
|
|
|
|
|
|
DPL, Inc.† |
| 7.25% |
| 10/15/2021 |
| $ | 15,725 |
| $ | 17,533,375 |
|
Mirant Americas Generation LLC |
| 9.125% |
| 5/1/2031 |
|
| 16,225 |
|
| 14,521,375 |
|
NRG Energy, Inc. |
| 7.875% |
| 5/15/2021 |
|
| 6,000 |
|
| 6,090,000 |
|
Texas Competitive Electric Holdings Co. |
| 11.50% |
| 10/1/2020 |
|
| 7,500 |
|
| 5,156,250 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 43,301,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Electric: Integrated 1.29% |
|
|
|
|
|
|
|
|
|
|
|
AES Corp. (The) |
| 8.00% |
| 10/15/2017 |
|
| 25,000 |
|
| 28,562,500 |
|
Black Hills Corp. |
| 5.875% |
| 7/15/2020 |
|
| 8,000 |
|
| 9,071,128 |
|
Duquesne Light Holdings, Inc.† |
| 6.40% |
| 9/15/2020 |
|
| 20,500 |
|
| 23,240,788 |
|
National Fuel Gas Co. |
| 4.90% |
| 12/1/2021 |
|
| 8,000 |
|
| 8,646,240 |
|
National Fuel Gas Co. |
| 6.50% |
| 4/15/2018 |
|
| 25,400 |
|
| 29,002,152 |
|
National Fuel Gas Co. |
| 8.75% |
| 5/1/2019 |
|
| 5,000 |
|
| 6,274,390 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 104,797,198 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Electronics 1.59% |
|
|
|
|
|
|
|
|
|
|
|
Advanced Micro Devices, Inc. |
| 7.75% |
| 8/1/2020 |
|
| 16,000 |
|
| 17,680,000 |
|
CPI International, Inc. |
| 8.00% |
| 2/15/2018 |
|
| 15,500 |
|
| 14,046,875 |
|
Freescale Semiconductor, Inc. |
| 8.05% |
| 2/1/2020 |
|
| 14,200 |
|
| 14,093,500 |
|
Freescale Semiconductor, Inc.† |
| 9.25% |
| 4/15/2018 |
|
| 8,800 |
|
| 9,460,000 |
|
Freescale Semiconductor, Inc.† |
| 10.125% |
| 3/15/2018 |
|
| 8,134 |
|
| 8,927,065 |
|
Freescale Semiconductor, Inc. |
| 10.75% |
| 8/1/2020 |
|
| 5,800 |
|
| 6,264,000 |
|
KLA-Tencor Corp. |
| 6.90% |
| 5/1/2018 |
|
| 10,850 |
|
| 12,975,374 |
|
Nokia OYJ (Finland)(a) |
| 5.375% |
| 5/15/2019 |
|
| 8,000 |
|
| 6,308,528 |
|
NXP BV LLC (Netherlands)†(a) |
| 9.75% |
| 8/1/2018 |
|
| 12,500 |
|
| 14,312,500 |
|
Sensata Technologies BV (Netherlands)†(a) |
| 6.50% |
| 5/15/2019 |
|
| 7,550 |
|
| 7,833,125 |
|
Viasystems Group, Inc.† |
| 7.875% |
| 5/1/2019 |
|
| 17,000 |
|
| 17,042,500 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 128,943,467 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Energy: Exploration & Production 5.90% |
|
|
|
|
|
|
|
|
|
|
|
Antero Resources Finance Corp. |
| 7.25% |
| 8/1/2019 |
|
| 10,000 |
|
| 10,400,000 |
|
Berry Petroleum Co. |
| 6.375% |
| 9/15/2022 |
|
| 6,300 |
|
| 6,520,500 |
|
Berry Petroleum Co. |
| 6.75% |
| 11/1/2020 |
|
| 21,000 |
|
| 22,050,000 |
|
BreitBurn Energy Partners |
| 7.875% |
| 4/15/2022 |
|
| 9,900 |
|
| 9,949,500 |
|
Chaparral Energy, Inc.† |
| 7.625% |
| 11/15/2022 |
|
| 3,500 |
|
| 3,587,500 |
|
Chaparral Energy, Inc. |
| 8.25% |
| 9/1/2021 |
|
| 19,400 |
|
| 20,612,500 |
|
Concho Resources, Inc. |
| 7.00% |
| 1/15/2021 |
|
| 10,700 |
|
| 11,502,500 |
|
|
|
|
16 | See Notes to Financial Statements. |
|
|
Schedule of Investments (unaudited)(continued) |
June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Energy: Exploration & Production (continued) |
|
|
|
|
|
|
|
|
|
|
|
Concho Resources, Inc. |
| 8.625% |
| 10/1/2017 |
| $ | 5,650 |
| $ | 6,257,375 |
|
Continental Resources, Inc. |
| 7.375% |
| 10/1/2020 |
|
| 5,600 |
|
| 6,272,000 |
|
Continental Resources, Inc. |
| 8.25% |
| 10/1/2019 |
|
| 19,175 |
|
| 21,523,937 |
|
Energy XXI Gulf Coast, Inc. |
| 7.75% |
| 6/15/2019 |
|
| 16,075 |
|
| 16,316,125 |
|
Forest Oil Corp. |
| 7.25% |
| 6/15/2019 |
|
| 35,000 |
|
| 32,287,500 |
|
Forest Oil Corp. |
| 8.50% |
| 2/15/2014 |
|
| 9,825 |
|
| 10,267,125 |
|
Halcon Resources Corp.†(d) |
| 9.75% |
| 7/15/2020 |
|
| 6,600 |
|
| 6,510,636 |
|
Kerr-McGee Corp. |
| 6.95% |
| 7/1/2024 |
|
| 12,900 |
|
| 16,000,721 |
|
Kodiak Oil & Gas Corp.† |
| 8.125% |
| 12/1/2019 |
|
| 17,400 |
|
| 17,943,750 |
|
Laredo Petroleum, Inc.† |
| 7.375% |
| 5/1/2022 |
|
| 7,000 |
|
| 7,297,500 |
|
LINN Energy LLC/LINN Energy Finance Corp. |
| 7.75% |
| 2/1/2021 |
|
| 18,500 |
|
| 19,425,000 |
|
MEG Energy Corp. (Canada)†(a) |
| 6.50% |
| 3/15/2021 |
|
| 18,750 |
|
| 19,242,188 |
|
Newfield Exploration Co. |
| 5.625% |
| 7/1/2024 |
|
| 3,300 |
|
| 3,378,375 |
|
Newfield Exploration Co. |
| 7.125% |
| 5/15/2018 |
|
| 16,500 |
|
| 17,551,875 |
|
Oasis Petroleum, Inc. |
| 6.50% |
| 11/1/2021 |
|
| 7,500 |
|
| 7,462,500 |
|
Oasis Petroleum, Inc. |
| 7.25% |
| 2/1/2019 |
|
| 20,000 |
|
| 20,600,000 |
|
OGX Austria GmbH (Brazil)†(a) |
| 8.50% |
| 6/1/2018 |
|
| 41,750 |
|
| 37,366,250 |
|
Pan American Energy LLC (Argentina)†(a) |
| 7.875% |
| 5/7/2021 |
|
| 13,175 |
|
| 11,330,500 |
|
QEP Resources, Inc. |
| 6.80% |
| 3/1/2020 |
|
| 10,000 |
|
| 11,025,000 |
|
QEP Resources, Inc. |
| 6.875% |
| 3/1/2021 |
|
| 8,000 |
|
| 8,920,000 |
|
Quicksilver Resources, Inc. |
| 7.125% |
| 4/1/2016 |
|
| 10,000 |
|
| 7,750,000 |
|
Quicksilver Resources, Inc. |
| 8.25% |
| 8/1/2015 |
|
| 15,000 |
|
| 14,100,000 |
|
Range Resources Corp. |
| 7.25% |
| 5/1/2018 |
|
| 5,000 |
|
| 5,325,000 |
|
Range Resources Corp. |
| 8.00% |
| 5/15/2019 |
|
| 7,500 |
|
| 8,231,250 |
|
SM Energy Co.† |
| 6.50% |
| 1/1/2023 |
|
| 4,200 |
|
| 4,236,750 |
|
SM Energy Co. |
| 6.50% |
| 11/15/2021 |
|
| 10,000 |
|
| 10,225,000 |
|
SM Energy Co. |
| 6.625% |
| 2/15/2019 |
|
| 18,250 |
|
| 18,797,500 |
|
W&T Offshore, Inc. |
| 8.50% |
| 6/15/2019 |
|
| 10,275 |
|
| 10,660,313 |
|
Whiting Petroleum Corp. |
| 6.50% |
| 10/1/2018 |
|
| 4,200 |
|
| 4,494,000 |
|
WPX Energy, Inc. |
| 6.00% |
| 1/15/2022 |
|
| 14,000 |
|
| 14,000,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 479,420,670 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Environmental 0.03% |
|
|
|
|
|
|
|
|
|
|
|
Clean Harbors, Inc. |
| 7.625% |
| 8/15/2016 |
|
| 2,278 |
|
| 2,389,053 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Food & Drug Retailers 0.69% |
|
|
|
|
|
|
|
|
|
|
|
Ingles Markets, Inc. |
| 8.875% |
| 5/15/2017 |
|
| 25,850 |
|
| 28,273,438 |
|
Rite Aid Corp. |
| 9.50% |
| 6/15/2017 |
|
| 7,500 |
|
| 7,706,250 |
|
Rite Aid Corp. |
| 10.25% |
| 10/15/2019 |
|
| 12,000 |
|
| 13,560,000 |
|
|
|
|
| See Notes to Financial Statements. | 17 |
|
Schedule of Investments (unaudited)(continued) |
June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Food & Drug Retailers (continued) |
|
|
|
|
|
|
|
|
|
|
|
Stater Bros Holdings, Inc. |
| 7.375% |
| 11/15/2018 |
| $ | 6,000 |
| $ | 6,532,500 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 56,072,188 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Food: Wholesale 1.68% |
|
|
|
|
|
|
|
|
|
|
|
Bumble Bee Acquisition Corp.† |
| 9.00% |
| 12/15/2017 |
|
| 3,612 |
|
| 3,621,030 |
|
Bumble Bee Holdco SCA PIK (Luxembourg)†(a) |
| 9.625% |
| 3/15/2018 |
|
| 5,725 |
|
| 5,267,000 |
|
Del Monte Corp. |
| 7.625% |
| 2/15/2019 |
|
| 20,000 |
|
| 20,275,000 |
|
Dole Food Co., Inc. |
| 8.75% |
| 7/15/2013 |
|
| 30,000 |
|
| 31,725,000 |
|
Dole Food Co., Inc. |
| 13.875% |
| 3/15/2014 |
|
| 5,395 |
|
| 6,130,069 |
|
Ingredion, Inc. |
| 4.625% |
| 11/1/2020 |
|
| 10,000 |
|
| 10,854,590 |
|
Pinnacle Foods Finance LLC/Pinnacle |
| 8.25% |
| 9/1/2017 |
|
| 5,250 |
|
| 5,578,125 |
|
Pinnacle Foods Finance LLC/Pinnacle |
| 9.25% |
| 4/1/2015 |
|
| 8,250 |
|
| 8,518,125 |
|
Post Holdings, Inc.† |
| 7.375% |
| 2/15/2022 |
|
| 23,000 |
|
| 24,322,500 |
|
Viterra, Inc. (Canada)†(a) |
| 5.95% |
| 8/1/2020 |
|
| 18,250 |
|
| 20,020,012 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 136,311,451 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Forestry/Paper 0.75% |
|
|
|
|
|
|
|
|
|
|
|
Longview Fibre Paper & Packaging, Inc.† |
| 8.00% |
| 6/1/2016 |
|
| 14,000 |
|
| 14,070,000 |
|
Louisiana-Pacific Corp.† |
| 7.50% |
| 6/1/2020 |
|
| 8,000 |
|
| 8,420,000 |
|
Millar Western Forest Products Ltd. (Canada)(a) |
| 8.50% |
| 4/1/2021 |
|
| 10,000 |
|
| 7,700,000 |
|
Sappi Papier Holding GmbH (Austria)†(a)(d) |
| 7.75% |
| 7/15/2017 |
|
| 3,900 |
|
| 3,963,375 |
|
Smurfit Kappa Funding plc (Ireland)(a) |
| 7.75% |
| 4/1/2015 |
|
| 15,000 |
|
| 15,225,000 |
|
Weyerhaeuser Co. |
| 7.375% |
| 10/1/2019 |
|
| 10,000 |
|
| 11,836,490 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 61,214,865 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Gaming 3.65% |
|
|
|
|
|
|
|
|
|
|
|
Ameristar Casinos, Inc.† |
| 7.50% |
| 4/15/2021 |
|
| 2,000 |
|
| 2,150,000 |
|
Ameristar Casinos, Inc. |
| 7.50% |
| 4/15/2021 |
|
| 4,400 |
|
| 4,730,000 |
|
Boyd Gaming Corp. |
| 7.125% |
| 2/1/2016 |
|
| 12,500 |
|
| 12,125,000 |
|
Caesar’s Entertainment Operating Co., Inc.† |
| 8.50% |
| 2/15/2020 |
|
| 8,700 |
|
| 8,787,000 |
|
Caesar’s Entertainment Operating Co., Inc. |
| 12.75% |
| 4/15/2018 |
|
| 20,000 |
|
| 15,800,000 |
|
CCM Merger, Inc.† |
| 9.125% |
| 5/1/2019 |
|
| 14,000 |
|
| 14,192,500 |
|
Chester Downs & Marina LLC† |
| 9.25% |
| 2/1/2020 |
|
| 5,000 |
|
| 5,225,000 |
|
CityCenter Holdings LLC/CityCenter Finance Corp. |
| 7.625% |
| 1/15/2016 |
|
| 11,800 |
|
| 12,508,000 |
|
CityCenter Holdings LLC/CityCenter |
| 10.75% |
| 1/15/2017 |
|
| 7,535 |
|
| 7,940,510 |
|
Downstream Development Authority of the |
| 10.50% |
| 7/1/2019 |
|
| 11,600 |
|
| 12,035,000 |
|
|
|
|
18 | See Notes to Financial Statements. |
|
Schedule of Investments (unaudited)(continued)
June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Gaming (continued) |
|
|
|
|
|
|
|
|
|
|
|
Isle of Capri Casinos, Inc. |
| 7.00% |
| 3/1/2014 |
| $ | 20,000 |
| $ | 20,075,000 |
|
Marina District Finance Co., Inc. |
| 9.875% |
| 8/15/2018 |
|
| 20,000 |
|
| 18,950,000 |
|
MCE Finance Ltd. |
| 10.25% |
| 5/15/2018 |
|
| 11,000 |
|
| 12,512,500 |
|
MGM Resorts International |
| 6.625% |
| 7/15/2015 |
|
| 15,000 |
|
| 15,525,000 |
|
MGM Resorts International |
| 9.00% |
| 3/15/2020 |
|
| 4,950 |
|
| 5,519,250 |
|
Midwest Gaming Borrower |
| 11.625% |
| 4/15/2016 |
|
| 10,000 |
|
| 11,087,500 |
|
Mohegan Tribal Gaming Authority† |
| 11.50% |
| 11/1/2017 |
|
| 20,000 |
|
| 20,800,000 |
|
Peninsula Gaming LLC |
| 8.375% |
| 8/15/2015 |
|
| 8,200 |
|
| 8,671,500 |
|
Pinnacle Entertainment, Inc. |
| 7.75% |
| 4/1/2022 |
|
| 7,500 |
|
| 8,034,375 |
|
River Rock Entertainment Authority (The) |
| 9.00% |
| 11/1/2018 |
|
| 15,486 |
|
| 10,298,190 |
|
Rivers Pittsburgh Borrower LP/Rivers |
| 9.50% |
| 6/15/2019 |
|
| 6,675 |
|
| 6,950,344 |
|
Snoqualmie Entertainment Authority† |
| 9.125% |
| 2/1/2015 |
|
| 17,000 |
|
| 17,148,750 |
|
Station Casinos, Inc.(g) |
| 6.50% |
| 2/1/2014 |
|
| 27,000 |
|
| 2,700 |
|
Sugarhouse HSP Gaming Prop. Mezz. |
| 8.625% |
| 4/15/2016 |
|
| 16,500 |
|
| 17,490,000 |
|
Wynn Las Vegas LLC/Capital Corp. |
| 7.75% |
| 8/15/2020 |
|
| 5,300 |
|
| 5,896,250 |
|
Wynn Las Vegas LLC/Capital Corp. |
| 7.875% |
| 11/1/2017 |
|
| 20,000 |
|
| 22,100,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 296,554,369 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Gas Distribution 2.79% |
|
|
|
|
|
|
|
|
|
|
|
Chesapeake Midstream Partners LP/ |
| 6.125% |
| 7/15/2022 |
|
| 8,800 |
|
| 8,668,000 |
|
El Paso Corp. |
| 6.50% |
| 9/15/2020 |
|
| 5,000 |
|
| 5,502,625 |
|
El Paso Corp. |
| 7.00% |
| 6/15/2017 |
|
| 25,000 |
|
| 28,483,900 |
|
El Paso Corp. |
| 7.75% |
| 1/15/2032 |
|
| 10,000 |
|
| 11,293,500 |
|
Energy Transfer Partners LP |
| 5.20% |
| 2/1/2022 |
|
| 22,100 |
|
| 23,711,090 |
|
Ferrellgas LP/Ferrellgas Finance Corp. |
| 6.50% |
| 5/1/2021 |
|
| 12,000 |
|
| 11,010,000 |
|
Ferrellgas Partners LP |
| 8.625% |
| 6/15/2020 |
|
| 9,750 |
|
| 8,726,250 |
|
Florida Gas Transmission Co. LLC† |
| 7.90% |
| 5/15/2019 |
|
| 7,700 |
|
| 9,758,210 |
|
IFM US Colonial Pipeline 2 LLC† |
| 6.45% |
| 5/1/2021 |
|
| 19,000 |
|
| 20,951,414 |
|
Inergy LP/Inergy Finance Corp. |
| 6.875% |
| 8/1/2021 |
|
| 18,318 |
|
| 18,409,590 |
|
Kinder Morgan Finance Co. LLC† |
| 6.00% |
| 1/15/2018 |
|
| 17,000 |
|
| 17,765,000 |
|
MarkWest Energy Partners LP/ |
| 6.25% |
| 6/15/2022 |
|
| 4,850 |
|
| 5,019,750 |
|
MarkWest Energy Partners LP/ |
| 6.75% |
| 11/1/2020 |
|
| 17,000 |
|
| 18,147,500 |
|
Northwest Pipeline GP |
| 6.05% |
| 6/15/2018 |
|
| 5,025 |
|
| 5,960,072 |
|
|
|
|
| See Notes to Financial Statements. | 19 |
Schedule of Investments (unaudited)(continued)
June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Gas Distribution (continued) |
|
|
|
|
|
|
|
|
|
|
|
Panhandle Eastern Pipeline Co. LP |
| 7.00% |
| 6/15/2018 |
| $ | 7,600 |
| $ | 9,018,016 |
|
Panhandle Eastern Pipeline Co. LP |
| 8.125% |
| 6/1/2019 |
|
| 13,800 |
|
| 17,124,447 |
|
Suburban Propane Partners |
| 7.375% |
| 3/15/2020 |
|
| 6,600 |
|
| 6,897,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 226,446,364 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Health Facilities 3.67% |
|
|
|
|
|
|
|
|
|
|
|
Capella Healthcare, Inc. |
| 9.25% |
| 7/1/2017 |
|
| 15,000 |
|
| 15,600,000 |
|
Community Health Systems, Inc. |
| 8.00% |
| 11/15/2019 |
|
| 33,000 |
|
| 35,310,000 |
|
Community Health Systems, Inc. |
| 8.875% |
| 7/15/2015 |
|
| 10,056 |
|
| 10,332,540 |
|
HCA Holdings, Inc. |
| 7.75% |
| 5/15/2021 |
|
| 30,000 |
|
| 32,325,000 |
|
HCA, Inc. |
| 6.50% |
| 2/15/2020 |
|
| 20,000 |
|
| 21,725,000 |
|
HCA, Inc. |
| 7.50% |
| 2/15/2022 |
|
| 28,000 |
|
| 30,590,000 |
|
HCA, Inc. |
| 9.875% |
| 2/15/2017 |
|
| 6,389 |
|
| 6,964,010 |
|
HealthSouth Corp. |
| 8.125% |
| 2/15/2020 |
|
| 21,000 |
|
| 23,047,500 |
|
Kindred Healthcare, Inc. |
| 8.25% |
| 6/1/2019 |
|
| 20,750 |
|
| 19,349,375 |
|
Omega Healthcare Investors, Inc. |
| 6.75% |
| 10/15/2022 |
|
| 6,900 |
|
| 7,400,250 |
|
Omega Healthcare Investors, Inc. |
| 7.50% |
| 2/15/2020 |
|
| 7,750 |
|
| 8,486,250 |
|
Select Medical Corp. |
| 7.625% |
| 2/1/2015 |
|
| 17,000 |
|
| 17,042,500 |
|
Tenet Healthcare Corp. |
| 8.875% |
| 7/1/2019 |
|
| 6,850 |
|
| 7,723,375 |
|
Tenet Healthcare Corp. |
| 9.25% |
| 2/1/2015 |
|
| 15,000 |
|
| 16,762,500 |
|
Vanguard Health Holding Co. II |
| 8.00% |
| 2/1/2018 |
|
| 30,000 |
|
| 30,825,000 |
|
VWR Funding, Inc. PIK |
| 10.25% |
| 7/15/2015 |
|
| 13,969 |
|
| 14,457,818 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 297,941,118 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Health Services 0.38% |
|
|
|
|
|
|
|
|
|
|
|
STHI Holding Corp.† |
| 8.00% |
| 3/15/2018 |
|
| 12,500 |
|
| 13,281,250 |
|
Truven Health Analytics, Inc.† |
| 10.625% |
| 6/1/2020 |
|
| 17,000 |
|
| 17,765,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 31,046,250 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Hotels 0.61% |
|
|
|
|
|
|
|
|
|
|
|
Gaylord Entertainment Co. |
| 6.75% |
| 11/15/2014 |
|
| 9,600 |
|
| 9,696,000 |
|
Host Hotels & Resorts LP |
| 6.375% |
| 3/15/2015 |
|
| 7,325 |
|
| 7,453,188 |
|
Hyatt Hotels Corp.† |
| 5.75% |
| 8/15/2015 |
|
| 15,036 |
|
| 16,499,439 |
|
Starwood Hotels & Resorts Worldwide, Inc. |
| 6.75% |
| 5/15/2018 |
|
| 8,500 |
|
| 9,885,423 |
|
Wyndham Worldwide Corp. |
| 5.75% |
| 2/1/2018 |
|
| 5,315 |
|
| 5,916,642 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 49,450,692 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20 | See Notes to Financial Statements. |
|
Schedule of Investments (unaudited)(continued)
June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Household & Leisure Products 0.34% |
|
|
|
|
|
|
|
|
|
|
|
American Standard Americas† |
| 10.75% |
| 1/15/2016 |
| $ | 12,675 |
| $ | 11,058,938 |
|
Whirlpool Corp. |
| 8.60% |
| 5/1/2014 |
|
| 15,000 |
|
| 16,707,330 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 27,766,268 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Insurance Brokerage 0.20% |
|
|
|
|
|
|
|
|
|
|
|
USI Holdings Corp.† |
| 4.342% | # | 11/15/2014 |
|
| 17,250 |
|
| 16,085,625 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Integrated Energy 0.36% |
|
|
|
|
|
|
|
|
|
|
|
Alta Wind Holdings LLC† |
| 7.00% |
| 6/30/2035 |
|
| 11,334 |
|
| 12,779,546 |
|
Coso Geothermal Power Holdings LLC† |
| 7.00% |
| 7/15/2026 |
|
| 13,317 |
|
| 6,778,824 |
|
LUKOIL International Finance BV (Netherlands)†(a) |
| 6.656% |
| 6/7/2022 |
|
| 9,000 |
|
| 9,908,010 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 29,466,380 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Investments & Miscellaneous Financial Services 1.14% |
|
|
|
|
|
|
|
|
|
|
|
FMR LLC† |
| 5.35% |
| 11/15/2021 |
|
| 14,800 |
|
| 15,944,987 |
|
KKR Group Finance Co.† |
| 6.375% |
| 9/29/2020 |
|
| 10,900 |
|
| 11,835,274 |
|
Legg Mason, Inc.† |
| 5.50% |
| 5/21/2019 |
|
| 6,650 |
|
| 6,734,555 |
|
Neuberger Berman Group |
| 5.625% |
| 3/15/2020 |
|
| 3,700 |
|
| 3,875,750 |
|
Neuberger Berman Group |
| 5.875% |
| 3/15/2022 |
|
| 15,000 |
|
| 15,750,000 |
|
Nuveen Investments, Inc. |
| 10.50% |
| 11/15/2015 |
|
| 38,050 |
|
| 38,811,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 92,951,566 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Leisure 0.71% |
|
|
|
|
|
|
|
|
|
|
|
MU Finance plc (United Kingdom)†(a) |
| 8.375% |
| 2/1/2017 |
|
| 20,600 |
|
| 22,351,000 |
|
NCL Corp. Ltd. |
| 9.50% |
| 11/15/2018 |
|
| 10,825 |
|
| 11,799,250 |
|
Speedway Motorsports, Inc. |
| 8.75% |
| 6/1/2016 |
|
| 15,450 |
|
| 16,879,125 |
|
Universal City Development Partners |
| 8.875% |
| 11/15/2015 |
|
| 5,996 |
|
| 6,425,422 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 57,454,797 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Life Insurance 0.23% |
|
|
|
|
|
|
|
|
|
|
|
MetLife Capital Trust X† |
| 9.25% |
| 4/8/2038 |
|
| 15,075 |
|
| 18,542,250 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Machinery 1.18% |
|
|
|
|
|
|
|
|
|
|
|
Altra Holdings, Inc. |
| 8.125% |
| 12/1/2016 |
|
| 20,000 |
|
| 21,575,000 |
|
Kennametal, Inc. |
| 3.875% |
| 2/15/2022 |
|
| 3,500 |
|
| 3,608,238 |
|
Manitowoc Co., Inc. (The) |
| 8.50% |
| 11/1/2020 |
|
| 24,050 |
|
| 26,094,250 |
|
Mcron Finance Sub LLC/Mcron Finance Corp.† |
| 8.375% |
| 5/15/2019 |
|
| 15,200 |
|
| 15,124,000 |
|
|
|
|
| See Notes to Financial Statements. | 21 |
Schedule of Investments (unaudited)(continued)
June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Machinery (continued) |
|
|
|
|
|
|
|
|
|
|
|
Roper Industries, Inc. |
| 6.25% |
| 9/1/2019 |
| $ | 10,350 |
| $ | 12,335,854 |
|
Steelcase, Inc. |
| 6.375% |
| 2/15/2021 |
|
| 11,175 |
|
| 11,865,581 |
|
Thermadyne Holdings Corp. |
| 9.00% |
| 12/15/2017 |
|
| 5,500 |
|
| 5,651,250 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 96,254,173 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Managed Care 0.13% |
|
|
|
|
|
|
|
|
|
|
|
Centene Corp. |
| 5.75% |
| 6/1/2017 |
|
| 10,825 |
|
| 10,933,250 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Media: Broadcast 1.18% |
|
|
|
|
|
|
|
|
|
|
|
Allbritton Communications Co. |
| 8.00% |
| 5/15/2018 |
|
| 10,000 |
|
| 10,500,000 |
|
AMC Networks, Inc.† |
| 7.75% |
| 7/15/2021 |
|
| 12,000 |
|
| 13,290,000 |
|
Clear Channel Communications, Inc. |
| 9.00% |
| 3/1/2021 |
|
| 10,000 |
|
| 8,750,000 |
|
Cumulus Media Holdings, Inc. |
| 7.75% |
| 5/1/2019 |
|
| 8,000 |
|
| 7,580,000 |
|
Discovery Communications LLC |
| 5.625% |
| 8/15/2019 |
|
| 7,300 |
|
| 8,556,929 |
|
FoxCo Acquisition Sub LLC† |
| 13.375% |
| 7/15/2016 |
|
| 5,650 |
|
| 6,073,750 |
|
Gray Television, Inc. |
| 10.50% |
| 6/29/2015 |
|
| 14,175 |
|
| 14,812,875 |
|
LIN Television Corp. |
| 8.375% |
| 4/15/2018 |
|
| 7,500 |
|
| 7,706,250 |
|
Sinclair Television Group, Inc.† |
| 9.25% |
| 11/1/2017 |
|
| 8,750 |
|
| 9,712,500 |
|
Univision Communications, Inc.† |
| 8.50% |
| 5/15/2021 |
|
| 8,625 |
|
| 8,732,812 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 95,715,116 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Media: Cable 2.70% |
|
|
|
|
|
|
|
|
|
|
|
CCO Holdings LLC/CCO Holdings Capital Corp. |
| 7.00% |
| 1/15/2019 |
|
| 9,450 |
|
| 10,253,250 |
|
CCO Holdings LLC/CCO Holdings Capital Corp. |
| 8.125% |
| 4/30/2020 |
|
| 17,500 |
|
| 19,600,000 |
|
CSC Holdings LLC |
| 8.625% |
| 2/15/2019 |
|
| 10,000 |
|
| 11,600,000 |
|
DISH DBS Corp.† |
| 4.625% |
| 7/15/2017 |
|
| 22,350 |
|
| 22,489,688 |
|
DISH DBS Corp.† |
| 5.875% |
| 7/15/2022 |
|
| 14,000 |
|
| 14,210,000 |
|
DISH DBS Corp. |
| 6.75% |
| 6/1/2021 |
|
| 16,650 |
|
| 18,065,250 |
|
Harron Communications LP/ |
| 9.125% |
| 4/1/2020 |
|
| 5,750 |
|
| 5,980,000 |
|
Mediacom Broadband LLC |
| 8.50% |
| 10/15/2015 |
|
| 9,000 |
|
| 9,292,500 |
|
Mediacom Communications Corp. |
| 9.125% |
| 8/15/2019 |
|
| 32,450 |
|
| 35,776,125 |
|
Nara Cable Funding Ltd. (Ireland)†(a) |
| 8.875% |
| 12/1/2018 |
|
| 13,500 |
|
| 11,677,500 |
|
Ono Finance II plc (Ireland)†(a) |
| 10.875% |
| 7/15/2019 |
|
| 7,075 |
|
| 5,518,500 |
|
Unitymedia Hessen GmbH & Co. |
| 7.50% |
| 3/15/2019 |
|
| 4,450 |
|
| 4,739,250 |
|
UPCB Finance V Ltd.† |
| 7.25% |
| 11/15/2021 |
|
| 14,000 |
|
| 14,700,000 |
|
Virgin Media Finance plc (United Kingdom)(a) |
| 5.25% |
| 2/15/2022 |
|
| 7,500 |
|
| 7,706,250 |
|
Virgin Media Finance plc (United Kingdom)(a) |
| 8.375% |
| 10/15/2019 |
|
| 15,000 |
|
| 16,931,250 |
|
|
|
|
22 | See Notes to Financial Statements. |
|
Schedule of Investments (unaudited)(continued)
June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Media: Cable (continued) |
|
|
|
|
|
|
|
|
|
|
|
Virgin Media Finance plc (United Kingdom)(a) |
| 9.50% |
| 8/15/2016 |
| $ | 7,240 |
| $ | 8,108,800 |
|
Virgin Media Secured Finance plc |
| 5.25% |
| 1/15/2021 |
|
| 2,250 |
|
| 2,496,962 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 219,145,325 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Media: Services 0.93% |
|
|
|
|
|
|
|
|
|
|
|
Affinion Group, Inc. |
| 11.50% |
| 10/15/2015 |
|
| 17,000 |
|
| 14,577,500 |
|
Clear Channel Worldwide Holdings, Inc.† |
| 7.625% |
| 3/15/2020 |
|
| 7,000 |
|
| 6,877,500 |
|
Lamar Media Corp. |
| 7.875% |
| 4/15/2018 |
|
| 7,500 |
|
| 8,287,500 |
|
Nielsen Finance LLC/Nielsen Finance Co. |
| 7.75% |
| 10/15/2018 |
|
| 5,450 |
|
| 6,063,125 |
|
Nielsen Finance LLC/Nielsen Finance Co. |
| 11.50% |
| 5/1/2016 |
|
| 1,823 |
|
| 2,082,777 |
|
WMG Acquisition Corp. |
| 9.50% |
| 6/15/2016 |
|
| 25,000 |
|
| 27,375,000 |
|
WMG Acquisition Corp. |
| 11.50% |
| 10/1/2018 |
|
| 9,500 |
|
| 10,545,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 75,808,402 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Medical Products 1.13% |
|
|
|
|
|
|
|
|
|
|
|
Bausch & Lomb, Inc. |
| 9.875% |
| 11/1/2015 |
|
| 25,000 |
|
| 26,250,000 |
|
Bio-Rad Laboratories, Inc. |
| 8.00% |
| 9/15/2016 |
|
| 7,500 |
|
| 8,325,000 |
|
Biomet, Inc. |
| 10.00% |
| 10/15/2017 |
|
| 22,000 |
|
| 23,608,750 |
|
Grifols, Inc. |
| 8.25% |
| 2/1/2018 |
|
| 5,100 |
|
| 5,495,250 |
|
Kinetic Concepts, Inc./KCI USA, Inc.† |
| 10.50% |
| 11/1/2018 |
|
| 9,500 |
|
| 10,022,500 |
|
Life Technologies Corp. |
| 6.00% |
| 3/1/2020 |
|
| 5,300 |
|
| 6,227,543 |
|
Polymer Group, Inc. |
| 7.75% |
| 2/1/2019 |
|
| 10,925 |
|
| 11,594,156 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 91,523,199 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Metals/Mining (Excluding Steel) 1.99% |
|
|
|
|
|
|
|
|
|
|
|
Arch Coal, Inc. |
| 7.25% |
| 6/15/2021 |
|
| 15,000 |
|
| 12,637,500 |
|
Arch Coal, Inc. |
| 8.75% |
| 8/1/2016 |
|
| 10,000 |
|
| 9,600,000 |
|
Boart Longyear Management Pty Ltd. (Australia)†(a) |
| 7.00% |
| 4/1/2021 |
|
| 9,900 |
|
| 10,172,250 |
|
Cliffs Natural Resources, Inc. |
| 5.90% |
| 3/15/2020 |
|
| 10,000 |
|
| 10,577,990 |
|
CONSOL Energy, Inc. |
| 6.375% |
| 3/1/2021 |
|
| 2,500 |
|
| 2,362,500 |
|
CONSOL Energy, Inc. |
| 8.25% |
| 4/1/2020 |
|
| 8,000 |
|
| 8,440,000 |
|
FMG Resources (August 2006) Pty Ltd. (Australia)†(a) |
| 8.25% |
| 11/1/2019 |
|
| 20,000 |
|
| 21,300,000 |
|
Gold Fields Orogen Holding BVI Ltd.† |
| 4.875% |
| 10/7/2020 |
|
| 14,500 |
|
| 13,839,351 |
|
James River Coal Co. |
| 7.875% |
| 4/1/2019 |
|
| 21,700 |
|
| 11,067,000 |
|
Mirabela Nickel Ltd. (Australia)†(a) |
| 8.75% |
| 4/15/2018 |
|
| 15,000 |
|
| 10,350,000 |
|
Noranda Aluminum Acquisition Corp. PIK |
| 4.73% | # | 5/15/2015 |
|
| 16,786 |
|
| 16,114,500 |
|
Novelis, Inc. |
| 8.75% |
| 12/15/2020 |
|
| 6,000 |
|
| 6,495,000 |
|
Quadra FNX Mining Ltd. (Canada)†(a) |
| 7.75% |
| 6/15/2019 |
|
| 15,000 |
|
| 15,750,000 |
|
|
|
|
| See Notes to Financial Statements. | 23 |
Schedule of Investments (unaudited)(continued)
June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
Metals/Mining (Excluding Steel) (continued) |
|
|
|
|
|
|
|
|
|
|
|
SunCoke Energy, Inc. |
| 7.625% |
| 8/1/2019 |
| $ | 5,000 |
| $ | 4,912,500 |
|
Teck Resources Ltd. (Canada)(a) |
| 10.75% |
| 5/15/2019 |
|
| 5,000 |
|
| 6,020,070 |
|
Thompson Creek Metals Co., Inc. |
| 7.375% |
| 6/1/2018 |
|
| 2,650 |
|
| 2,139,875 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 161,778,536 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Monoline Insurance 0.22% |
|
|
|
|
|
|
|
|
|
|
|
Fidelity National Financial, Inc. |
| 6.60% |
| 5/15/2017 |
|
| 16,250 |
|
| 17,572,279 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Line Insurance 0.40% |
|
|
|
|
|
|
|
|
|
|
|
AXA SA (France)†(a)(h) |
| 6.379% |
| 12/31/2049 |
|
| 11,225 |
|
| 8,867,750 |
|
Genworth Financial, Inc. |
| 7.625% |
| 9/24/2021 |
|
| 13,575 |
|
| 12,846,783 |
|
Hartford Financial Services Group, Inc. |
| 5.125% |
| 4/15/2022 |
|
| 7,700 |
|
| 7,944,336 |
|
ZFS Finance USA Trust V† |
| 6.50% |
| 5/9/2037 |
|
| 3,024 |
|
| 2,978,640 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 32,637,509 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Oil Field Equipment & Services 1.63% |
|
|
|
|
|
|
|
|
|
|
|
Basic Energy Services, Inc. |
| 7.75% |
| 2/15/2019 |
|
| 10,000 |
|
| 9,650,000 |
|
Dresser-Rand Group, Inc. |
| 6.50% |
| 5/1/2021 |
|
| 16,000 |
|
| 16,680,000 |
|
Gulfmark Offshore, Inc.† |
| 6.375% |
| 3/15/2022 |
|
| 16,800 |
|
| 17,010,000 |
|
Hornbeck Offshore Services, Inc.† |
| 5.875% |
| 4/1/2020 |
|
| 18,350 |
|
| 18,304,125 |
|
Key Energy Services, Inc. |
| 6.75% |
| 3/1/2021 |
|
| 5,750 |
|
| 5,635,000 |
|
Offshore Group Investments Ltd.† |
| 11.50% |
| 8/1/2015 |
|
| 2,300 |
|
| 2,507,000 |
|
Oil States International, Inc. |
| 6.50% |
| 6/1/2019 |
|
| 16,000 |
|
| 16,720,000 |
|
Precision Drilling Corp. (Canada)(a) |
| 6.50% |
| 12/15/2021 |
|
| 3,250 |
|
| 3,331,250 |
|
Precision Drilling Corp. (Canada)(a) |
| 6.625% |
| 11/15/2020 |
|
| 2,825 |
|
| 2,923,875 |
|
SEACOR Holdings, Inc. |
| 7.375% |
| 10/1/2019 |
|
| 19,750 |
|
| 21,449,705 |
|
SESI LLC |
| 6.375% |
| 5/1/2019 |
|
| 6,700 |
|
| 7,051,750 |
|
Transocean, Inc. |
| 6.375% |
| 12/15/2021 |
|
| 3,500 |
|
| 4,010,447 |
|
Trinidad Drilling Ltd. (Canada)†(a) |
| 7.875% |
| 1/15/2019 |
|
| 6,600 |
|
| 7,045,500 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 132,318,652 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Oil Refining & Marketing 0.42% |
|
|
|
|
|
|
|
|
|
|
|
Alon Refining Krotz Springs, Inc. |
| 13.50% |
| 10/15/2014 |
|
| 7,850 |
|
| 8,232,687 |
|
Phillips 66† |
| 4.30% |
| 4/1/2022 |
|
| 6,550 |
|
| 6,904,126 |
|
Tesoro Corp. |
| 9.75% |
| 6/1/2019 |
|
| 17,000 |
|
| 19,295,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 34,431,813 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24 | See Notes to Financial Statements. |
|
Schedule of Investments (unaudited)(continued)
June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Packaging 2.40% |
|
|
|
|
|
|
|
|
|
|
|
AEP Industries, Inc. |
| 8.25% |
| 4/15/2019 |
| $ | 15,000 |
| $ | 15,675,000 |
|
Ardagh Packaging Finance plc (Ireland)†(a) |
| 7.375% |
| 10/15/2017 |
|
| 5,000 |
|
| 5,337,500 |
|
Ardagh Packaging Finance plc (Ireland)†(a) |
| 9.125% |
| 10/15/2020 |
|
| 9,500 |
|
| 10,117,500 |
|
Ardagh Packaging Finance plc/ |
| 9.125% |
| 10/15/2020 |
|
| 3,350 |
|
| 3,534,250 |
|
Crown Cork & Seal Co., Inc. |
| 7.375% |
| 12/15/2026 |
|
| 47,770 |
|
| 50,875,050 |
|
Packaging Dynamics Corp.† |
| 8.75% |
| 2/1/2016 |
|
| 6,525 |
|
| 6,883,875 |
|
Reynolds Group Issuer, Inc./ |
| 7.125% |
| 4/15/2019 |
|
| 10,000 |
|
| 10,525,000 |
|
Reynolds Group Issuer, Inc./ |
| 8.50% |
| 5/15/2018 |
|
| 39,500 |
|
| 38,907,500 |
|
Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC/ |
| 9.875% |
| 8/15/2019 |
|
| 8,225 |
|
| 8,543,719 |
|
Rock-Tenn Co.† |
| 4.90% |
| 3/1/2022 |
|
| 2,400 |
|
| 2,477,203 |
|
Sealed Air Corp.† |
| 6.875% |
| 7/15/2033 |
|
| 15,000 |
|
| 14,475,000 |
|
Sealed Air Corp. |
| 7.875% |
| 6/15/2017 |
|
| 2,500 |
|
| 2,712,500 |
|
Sealed Air Corp.† |
| 8.375% |
| 9/15/2021 |
|
| 13,500 |
|
| 15,322,500 |
|
Tekni-Plex, Inc.† |
| 9.75% |
| 6/1/2019 |
|
| 10,000 |
|
| 10,125,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 195,511,597 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 0.40% |
|
|
|
|
|
|
|
|
|
|
|
Mylan, Inc.† |
| 7.625% |
| 7/15/2017 |
|
| 5,250 |
|
| 5,801,250 |
|
Mylan, Inc.† |
| 7.875% |
| 7/15/2020 |
|
| 7,500 |
|
| 8,446,875 |
|
Warner Chilcott Co. LLC/ |
| 7.75% |
| 9/15/2018 |
|
| 17,060 |
|
| 18,382,150 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 32,630,275 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Printing & Publishing 0.14% |
|
|
|
|
|
|
|
|
|
|
|
ProQuest LLC/ProQuest Notes Co.† |
| 9.00% |
| 10/15/2018 |
|
| 12,625 |
|
| 11,299,375 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Property & Casualty 0.20% |
|
|
|
|
|
|
|
|
|
|
|
Liberty Mutual Group, Inc.†(i) |
| 10.75% |
| 6/15/2058 |
|
| 12,000 |
|
| 16,440,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Railroads 0.26% |
|
|
|
|
|
|
|
|
|
|
|
Florida East Coast Railway Corp. |
| 8.125% |
| 2/1/2017 |
|
| 20,000 |
|
| 21,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. | 25 |
Schedule of Investments (unaudited)(continued)
June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Real Estate Investment Trusts 1.36% |
|
|
|
|
|
|
|
|
|
|
|
DDR Corp. |
| 4.625% |
| 7/15/2022 |
| $ | 5,010 |
| $ | 4,954,314 |
|
DDR Corp. |
| 7.875% |
| 9/1/2020 |
|
| 11,000 |
|
| 13,173,259 |
|
DuPont Fabros Technology LP |
| 8.50% |
| 12/15/2017 |
|
| 13,875 |
|
| 15,331,875 |
|
Goodman Funding Pty Ltd. (Australia)†(a) |
| 6.00% |
| 3/22/2022 |
|
| 9,600 |
|
| 9,750,749 |
|
Goodman Funding Pty Ltd. (Australia)†(a) |
| 6.375% |
| 11/12/2020 |
|
| 12,000 |
|
| 12,584,088 |
|
Health Care REIT, Inc. |
| 6.125% |
| 4/15/2020 |
|
| 10,000 |
|
| 11,149,410 |
|
Kilroy Realty LP |
| 5.00% |
| 11/3/2015 |
|
| 8,000 |
|
| 8,541,032 |
|
ProLogis(j) |
| 6.875% |
| 3/15/2020 |
|
| 21,000 |
|
| 25,155,501 |
|
ProLogis |
| 8.65% |
| 5/15/2016 |
|
| 9,168 |
|
| 10,055,727 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 110,695,955 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Restaurants 0.45% |
|
|
|
|
|
|
|
|
|
|
|
DineEquity, Inc. |
| 9.50% |
| 10/30/2018 |
|
| 8,000 |
|
| 8,800,000 |
|
Fiesta Restaurant Group† |
| 8.875% |
| 8/15/2016 |
|
| 4,380 |
|
| 4,620,900 |
|
Wendy’s Co. (The) |
| 10.00% |
| 7/15/2016 |
|
| 21,500 |
|
| 23,193,340 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 36,614,240 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Software/Services 2.89% |
|
|
|
|
|
|
|
|
|
|
|
Alliance Data Systems Corp.† |
| 6.375% |
| 4/1/2020 |
|
| 53,000 |
|
| 54,590,000 |
|
BMC Software, Inc. |
| 4.25% |
| 2/15/2022 |
|
| 4,350 |
|
| 4,361,758 |
|
Ceridian Corp. |
| 11.25% |
| 11/15/2015 |
|
| 6,750 |
|
| 6,513,750 |
|
Fidelity National Information Services, Inc. |
| 7.625% |
| 7/15/2017 |
|
| 5,000 |
|
| 5,537,500 |
|
First Data Corp.† |
| 8.25% |
| 1/15/2021 |
|
| 17,000 |
|
| 17,085,000 |
|
First Data Corp. |
| 9.875% |
| 9/24/2015 |
|
| 2,514 |
|
| 2,557,995 |
|
First Data Corp. |
| 12.625% |
| 1/15/2021 |
|
| 30,000 |
|
| 30,187,500 |
|
Lawson Software, Inc.† |
| 9.375% |
| 4/1/2019 |
|
| 10,000 |
|
| 10,725,000 |
|
SERENA Software, Inc. |
| 10.375% |
| 3/15/2016 |
|
| 7,600 |
|
| 7,809,000 |
|
Sophia LP/Sophia Finance, Inc.† |
| 9.75% |
| 1/15/2019 |
|
| 21,500 |
|
| 22,951,250 |
|
SRA International, Inc. |
| 11.00% |
| 10/1/2019 |
|
| 7,475 |
|
| 7,549,750 |
|
SunGard Data Systems, Inc. |
| 7.375% |
| 11/15/2018 |
|
| 14,000 |
|
| 15,085,000 |
|
SunGard Data Systems, Inc. |
| 7.625% |
| 11/15/2020 |
|
| 6,100 |
|
| 6,527,000 |
|
SunGard Data Systems, Inc. |
| 10.25% |
| 8/15/2015 |
|
| 42,000 |
|
| 43,365,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 234,845,503 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 1.99% |
|
|
|
|
|
|
|
|
|
|
|
Brookstone Co., Inc.† |
| 13.00% |
| 10/15/2014 |
|
| 7,058 |
|
| 5,946,365 |
|
Brown Shoe Co., Inc. |
| 7.125% |
| 5/15/2019 |
|
| 12,500 |
|
| 12,359,375 |
|
J. Crew Group, Inc. |
| 8.125% |
| 3/1/2019 |
|
| 12,400 |
|
| 12,865,000 |
|
Limited Brands, Inc. |
| 7.00% |
| 5/1/2020 |
|
| 15,000 |
|
| 16,725,000 |
|
|
|
|
26 | See Notes to Financial Statements. |
|
Schedule of Investments (unaudited)(continued)
June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Specialty Retail (continued) |
|
|
|
|
|
|
|
|
|
|
|
Limited Brands, Inc. |
| 7.60% |
| 7/15/2037 |
| $ | 7,500 |
| $ | 7,509,375 |
|
Limited Brands, Inc. |
| 8.50% |
| 6/15/2019 |
|
| 12,500 |
|
| 14,750,000 |
|
PETCO Animal Supplies, Inc.† |
| 9.25% |
| 12/1/2018 |
|
| 14,000 |
|
| 15,365,000 |
|
QVC, Inc.† |
| 7.125% |
| 4/15/2017 |
|
| 7,800 |
|
| 8,287,477 |
|
QVC, Inc.† |
| 7.375% |
| 10/15/2020 |
|
| 17,500 |
|
| 19,395,425 |
|
Sally Holdings LLC/Sally Capital, Inc. |
| 5.75% |
| 6/1/2022 |
|
| 7,700 |
|
| 8,094,625 |
|
Toys “R” Us Property Co. I LLC |
| 10.75% |
| 7/15/2017 |
|
| 23,575 |
|
| 25,873,562 |
|
Toys “R” Us Property Co. II LLC |
| 8.50% |
| 12/1/2017 |
|
| 14,000 |
|
| 14,647,500 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 161,818,704 |
|
�� |
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Steel Producers/Products 0.97% |
|
|
|
|
|
|
|
|
|
|
|
AK Steel Corp. |
| 8.375% |
| 4/1/2022 |
|
| 3,900 |
|
| 3,334,500 |
|
Allegheny Ludlum Corp. |
| 6.95% |
| 12/15/2025 |
|
| 13,875 |
|
| 16,552,722 |
|
Allegheny Technologies, Inc. |
| 9.375% |
| 6/1/2019 |
|
| 10,200 |
|
| 12,996,963 |
|
Essar Steel Algoma, Inc. (Canada)†(a) |
| 9.375% |
| 3/15/2015 |
|
| 11,000 |
|
| 10,670,000 |
|
Essar Steel Algoma, Inc. (Canada)†(a) |
| 9.875% |
| 6/15/2015 |
|
| 18,700 |
|
| 15,941,750 |
|
JMC Steel Group† |
| 8.25% |
| 3/15/2018 |
|
| 11,050 |
|
| 11,022,375 |
|
Steel Dynamics, Inc. |
| 7.625% |
| 3/15/2020 |
|
| 7,500 |
|
| 8,062,500 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 78,580,810 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Support: Services 1.82% |
|
|
|
|
|
|
|
|
|
|
|
ARAMARK Holdings Corp. PIK† |
| 8.625% |
| 5/1/2016 |
|
| 2,900 |
|
| 2,976,154 |
|
Ashtead Capital, Inc.†(d) |
| 6.50% |
| 7/15/2022 |
|
| 3,600 |
|
| 3,600,000 |
|
Audatex North America, Inc.† |
| 6.75% |
| 6/15/2018 |
|
| 7,215 |
|
| 7,629,863 |
|
Avis Budget Car Rental |
| 9.625% |
| 3/15/2018 |
|
| 15,340 |
|
| 16,874,000 |
|
Avis Budget Car Rental |
| 9.75% |
| 3/15/2020 |
|
| 5,500 |
|
| 6,139,375 |
|
BakerCorp International, Inc.† |
| 8.25% |
| 6/1/2019 |
|
| 4,400 |
|
| 4,389,000 |
|
FTI Consulting, Inc. |
| 6.75% |
| 10/1/2020 |
|
| 10,000 |
|
| 10,600,000 |
|
FTI Consulting, Inc. |
| 7.75% |
| 10/1/2016 |
|
| 12,075 |
|
| 12,542,906 |
|
Hertz Corp. (The) |
| 7.50% |
| 10/15/2018 |
|
| 25,000 |
|
| 26,937,500 |
|
Iron Mountain, Inc. |
| 7.75% |
| 10/1/2019 |
|
| 10,400 |
|
| 11,284,000 |
|
Iron Mountain, Inc. |
| 8.375% |
| 8/15/2021 |
|
| 11,250 |
|
| 12,262,500 |
|
RSC Equipment Rental, Inc./RSC Holdings III LLC |
| 8.25% |
| 2/1/2021 |
|
| 10,700 |
|
| 11,449,000 |
|
United Rentals (North America), Inc. |
| 10.875% |
| 6/15/2016 |
|
| 7,500 |
|
| 8,465,625 |
|
UR Merger Sub Corp.† |
| 5.75% |
| 7/15/2018 |
|
| 2,500 |
|
| 2,606,250 |
|
UR Merger Sub Corp.† |
| 7.625% |
| 4/15/2022 |
|
| 10,000 |
|
| 10,500,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 148,256,173 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. | 27 |
Schedule of Investments (unaudited)(continued)
June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Telecommunications Equipment 0.68% |
|
|
|
|
|
|
|
|
|
|
|
Alcatel-Lucent USA, Inc. |
| 6.45% |
| 3/15/2029 |
| $ | 13,600 |
| $ | 9,316,000 |
|
Avaya, Inc.† |
| 7.00% |
| 4/1/2019 |
|
| 18,500 |
|
| 17,251,250 |
|
CommScope, Inc.† |
| 8.25% |
| 1/15/2019 |
|
| 26,850 |
|
| 28,528,125 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 55,095,375 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunications: Integrated/Services 3.54% |
|
|
|
|
|
|
|
|
|
|
|
CenturyLink, Inc. |
| 6.15% |
| 9/15/2019 |
|
| 10,000 |
|
| 10,330,000 |
|
CenturyLink, Inc. |
| 6.45% |
| 6/15/2021 |
|
| 14,000 |
|
| 14,592,788 |
|
Dycom Investments, Inc. |
| 7.125% |
| 1/15/2021 |
|
| 16,750 |
|
| 17,252,500 |
|
Equinix, Inc. |
| 7.00% |
| 7/15/2021 |
|
| 12,150 |
|
| 13,395,375 |
|
Equinix, Inc. |
| 8.125% |
| 3/1/2018 |
|
| 10,000 |
|
| 11,125,000 |
|
Frontier Communications Corp. |
| 9.25% |
| 7/1/2021 |
|
| 7,275 |
|
| 7,857,000 |
|
GCI, Inc. |
| 6.75% |
| 6/1/2021 |
|
| 7,725 |
|
| 7,512,562 |
|
Hellas II (Luxembourg)†(a)(g) |
| 6.001% |
| 1/15/2015 |
|
| 15,000 |
|
| 1,500 |
|
Hughes Satellite Systems Corp. |
| 7.625% |
| 6/15/2021 |
|
| 27,500 |
|
| 30,043,750 |
|
Intelsat Jackson Holdings SA (Luxembourg)(a) |
| 7.50% |
| 4/1/2021 |
|
| 23,250 |
|
| 24,703,125 |
|
Intelsat Jackson Holdings SA (Luxembourg)(a) |
| 11.25% |
| 6/15/2016 |
|
| 6,929 |
|
| 7,275,450 |
|
Intelsat Luxembourg SA (Luxembourg)(a) |
| 11.25% |
| 2/4/2017 |
|
| 40,000 |
|
| 41,350,000 |
|
Level 3 Financing, Inc. |
| 8.125% |
| 7/1/2019 |
|
| 7,750 |
|
| 7,992,187 |
|
MasTec, Inc. |
| 7.625% |
| 2/1/2017 |
|
| 12,500 |
|
| 13,031,250 |
|
Sable International Finance Ltd.† |
| 8.75% |
| 2/1/2020 |
|
| 12,500 |
|
| 13,437,500 |
|
Telecom Italia Capital SA (Italy)(a) |
| 7.175% |
| 6/18/2019 |
|
| 6,100 |
|
| 6,100,000 |
|
Telefonica Emisiones SAU (Spain)(a) |
| 7.045% |
| 6/20/2036 |
|
| 6,700 |
|
| 5,873,388 |
|
Telemar Norte Leste SA (Brazil)†(a) |
| 5.50% |
| 10/23/2020 |
|
| 9,532 |
|
| 9,770,300 |
|
Windstream Corp. |
| 7.00% |
| 3/15/2019 |
|
| 30,250 |
|
| 31,157,500 |
|
Windstream Corp. |
| 7.50% |
| 4/1/2023 |
|
| 14,700 |
|
| 15,141,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 287,942,175 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunications: Wireless 5.18% |
|
|
|
|
|
|
|
|
|
|
|
American Tower Corp. |
| 4.70% |
| 3/15/2022 |
|
| 10,000 |
|
| 10,285,780 |
|
CC Holdings GS V LLC/Crown Castle GS III Corp.† |
| 7.75% |
| 5/1/2017 |
|
| 30,500 |
|
| 33,206,875 |
|
Clearwire Communications |
| 12.00% |
| 12/1/2015 |
|
| 18,400 |
|
| 16,836,000 |
|
Clearwire Communications |
| 14.75% |
| 12/1/2016 |
|
| 2,000 |
|
| 1,970,000 |
|
Cricket Communications, Inc. |
| 7.75% |
| 10/15/2020 |
|
| 29,000 |
|
| 27,840,000 |
|
Digicel Group Ltd. (Jamaica)†(a) |
| 10.50% |
| 4/15/2018 |
|
| 18,432 |
|
| 19,445,760 |
|
Digicel Ltd. (Jamaica)†(a) |
| 7.00% |
| 2/15/2020 |
|
| 15,000 |
|
| 14,662,500 |
|
GeoEye, Inc. |
| 8.625% |
| 10/1/2016 |
|
| 3,500 |
|
| 3,456,250 |
|
|
|
|
28 | See Notes to Financial Statements. |
|
Schedule of Investments (unaudited)(continued)
June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
Telecommunications: Wireless (continued) |
|
|
|
|
|
|
|
|
|
|
|
GeoEye, Inc. |
| 9.625% |
| 10/1/2015 |
| $ | 15,000 |
| $ | 15,787,500 |
|
Inmarsat Finance plc (United Kingdom)†(a) |
| 7.375% |
| 12/1/2017 |
|
| 7,000 |
|
| 7,507,500 |
|
MetroPCS Wireless, Inc. |
| 6.625% |
| 11/15/2020 |
|
| 20,000 |
|
| 19,750,000 |
|
MetroPCS Wireless, Inc. |
| 7.875% |
| 9/1/2018 |
|
| 20,000 |
|
| 20,850,000 |
|
NII Capital Corp. |
| 7.625% |
| 4/1/2021 |
|
| 8,650 |
|
| 7,460,625 |
|
NII Capital Corp. |
| 8.875% |
| 12/15/2019 |
|
| 16,250 |
|
| 14,807,812 |
|
NII Capital Corp. |
| 10.00% |
| 8/15/2016 |
|
| 15,840 |
|
| 16,592,400 |
|
SBA Telecommunications, Inc. |
| 8.25% |
| 8/15/2019 |
|
| 6,500 |
|
| 7,150,000 |
|
Sprint Capital Corp. |
| 6.90% |
| 5/1/2019 |
|
| 50,000 |
|
| 47,250,000 |
|
Sprint Nextel Corp.† |
| 7.00% |
| 3/1/2020 |
|
| 15,500 |
|
| 16,158,750 |
|
Sprint Nextel Corp.† |
| 9.125% |
| 3/1/2017 |
|
| 25,000 |
|
| 26,312,500 |
|
Syniverse Holdings, Inc. |
| 9.125% |
| 1/15/2019 |
|
| 12,500 |
|
| 13,625,000 |
|
Telemovil Finance Co., Ltd. (El Salvador)†(a) |
| 8.00% |
| 10/1/2017 |
|
| 11,450 |
|
| 11,850,407 |
|
ViaSat, Inc.† |
| 6.875% |
| 6/15/2020 |
|
| 10,000 |
|
| 10,150,000 |
|
ViaSat, Inc. |
| 8.875% |
| 9/15/2016 |
|
| 12,750 |
|
| 13,706,250 |
|
Vimpel Communications via VIP Finance |
| 7.748% |
| 2/2/2021 |
|
| 8,550 |
|
| 8,278,452 |
|
Wind Acquisition Finance SA (Italy)†(a) |
| 7.25% |
| 2/15/2018 |
|
| 6,100 |
|
| 5,368,000 |
|
Wind Acquisition Finance SA (Italy)†(a) |
| 11.75% |
| 7/15/2017 |
|
| 37,500 |
|
| 30,468,750 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 420,777,111 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Theaters & Entertainment 0.62% |
|
|
|
|
|
|
|
|
|
|
|
Cinemark USA, Inc. |
| 7.375% |
| 6/15/2021 |
|
| 1,925 |
|
| 2,098,250 |
|
Cinemark USA, Inc. |
| 8.625% |
| 6/15/2019 |
|
| 10,000 |
|
| 11,125,000 |
|
Lions Gate Entertainment, Inc.† |
| 10.25% |
| 11/1/2016 |
|
| 15,450 |
|
| 16,995,000 |
|
Live Nation Entertainment, Inc.† |
| 8.125% |
| 5/15/2018 |
|
| 20,000 |
|
| 20,525,000 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 50,743,250 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Transportation (Excluding Air/Rail) 0.57% |
|
|
|
|
|
|
|
|
|
|
|
Asciano Finance Ltd. (Australia)†(a) |
| 4.625% |
| 9/23/2020 |
|
| 9,750 |
|
| 9,716,411 |
|
Commercial Barge Line Co. |
| 12.50% |
| 7/15/2017 |
|
| 9,500 |
|
| 10,782,500 |
|
Great Lakes Dredge & Dock Corp. |
| 7.375% |
| 2/1/2019 |
|
| 13,000 |
|
| 13,065,000 |
|
Penske Truck Leasing Co. LP/PTL Finance Corp.† |
| 3.75% |
| 5/11/2017 |
|
| 12,500 |
|
| 12,612,275 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 46,176,186 |
|
|
|
|
|
|
|
|
|
|
| ||
Total High Yield Corporate Bonds (cost $6,263,804,399) |
|
|
|
|
|
|
|
|
| 6,507,637,961 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. | 29 |
Schedule of Investments (unaudited)(continued)
June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Principal |
| Fair |
| ||
| |||||||||||
MUNICIPAL BOND 0.21% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Revenue |
|
|
|
|
|
|
|
|
|
|
|
New York City NY Indl Dev Agy Yankee Stadium Pj† |
| 11.00% |
| 3/1/2029 |
| $ | 12,000 |
| $ | 17,181,240 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 1.14% |
|
|
|
|
|
|
|
|
|
|
|
Banc of America Commercial Mortgage, Inc. |
| 5.675% |
| 7/10/2046 |
|
| 10,000 |
|
| 10,665,110 |
|
GE Capital Commercial Mortgage Corp. |
| 5.606% |
| 12/10/2049 |
|
| 5,000 |
|
| 4,514,745 |
|
Greenwich Capital Commercial Funding Corp. |
| 6.071%# |
| 7/10/2038 |
|
| 10,000 |
|
| 10,477,395 |
|
GS Mortgage Securities Corp. II |
| 5.591% |
| 11/10/2039 |
|
| 10,000 |
|
| 10,417,550 |
|
JPMorgan Chase Commercial Mortgage |
| 5.502% |
| 6/12/2047 |
|
| 5,000 |
|
| 3,668,160 |
|
JPMorgan Chase Commercial Mortgage |
| 6.088%# |
| 2/12/2051 |
|
| 5,000 |
|
| 5,354,005 |
|
LB-UBS Commercial Mortgage Trust |
| 5.455% |
| 2/15/2040 |
|
| 10,000 |
|
| 10,466,850 |
|
Merrill Lynch/Countrywide Commercial |
| 5.706%# |
| 2/12/2039 |
|
| 5,000 |
|
| 4,374,905 |
|
Morgan Stanley Capital I, Inc. 2011-C1† |
| 5.422%# |
| 9/15/2047 |
|
| 11,000 |
|
| 11,037,483 |
|
Morgan Stanley Capital I, Inc. |
| 1.689%# |
| 12/12/2049 |
|
| 10,000 |
|
| 6,351,585 |
|
Wachovia Bank Commercial Mortgage Trust |
| 5.603% |
| 10/15/2048 |
|
| 15,000 |
|
| 15,078,892 |
|
|
|
|
|
|
|
|
|
|
| ||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $91,692,146) |
|
|
|
|
|
|
|
|
| 92,406,680 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares |
|
|
|
| |
|
|
|
|
|
|
|
|
|
| ||
PREFERRED STOCKS 0.33% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency/Government Related 0.01% |
|
|
|
|
|
|
|
|
|
|
|
Fannie Mae* |
| Zero Coupon |
|
|
|
| 481 |
|
| 784,682 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Banking 0.32% |
|
|
|
|
|
|
|
|
|
|
|
PNC Financial Services Group, Inc. |
| 6.125% |
|
|
|
| 600 |
|
| 15,810,000 |
|
U.S. Bancorp |
| 3.50%# |
|
|
|
| 13 |
|
| 10,270,812 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 26,080,812 |
|
|
|
|
|
|
|
|
|
|
| ||
Total Preferred Stocks (cost $35,694,029) |
|
|
|
|
|
|
|
|
| 26,865,494 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30 | See Notes to Financial Statements. |
|
Schedule of Investments (unaudited)(continued)
June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Exercise |
| Expiration |
| Shares |
| Fair |
| ||
| |||||||||||
WARRANTS 0.06% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Parts & Equipment 0.01% |
|
|
|
|
|
|
|
|
|
|
|
Cooper-Standard Holdings, Inc.* |
| $27.33 |
| 11/27/2017 |
|
| 84 |
| $ | 1,002,036 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Automakers 0.01% |
|
|
|
|
|
|
|
|
|
|
|
General Motors Co.* |
| 10.00 |
| 7/10/2016 |
|
| 55 |
|
| 610,883 |
|
General Motors Co.* |
| 18.33 |
| 7/10/2019 |
|
| 55 |
|
| 375,842 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 986,725 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Media: Broadcast 0.01% |
|
|
|
|
|
|
|
|
|
|
|
ION Media Networks, Inc.*(k) |
| 500.00 |
| 12/18/2016 |
|
| 2 |
|
| 493,750 |
|
ION Media Networks, Inc.*(k) |
| 687.00 |
| 12/18/2016 |
|
| 2 |
|
| 292,500 |
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
| 786,250 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Media: Cable 0.03% |
|
|
|
|
|
|
|
|
|
|
|
Charter Communications, Inc.* |
| 46.86 |
| 11/30/2014 |
|
| 84 |
|
| 2,228,067 |
|
|
|
|
|
|
|
|
|
|
| ||
Total Warrants (cost $13,640,825) |
|
|
|
|
|
|
|
|
| 5,003,078 |
|
|
|
|
|
|
|
|
|
|
| ||
Total Long-Term Investments (cost $7,683,023,207) |
|
|
|
|
|
|
|
|
| 7,885,470,862 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal |
|
|
|
| |
|
|
|
|
|
|
|
|
|
| ||
SHORT-TERM INVESTMENT 2.07% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreement |
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreement dated 6/29/2012, 0.01% |
|
|
|
|
| $ | 168,270 |
|
| 168,269,620 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities 99.10% (cost $7,851,292,827) |
|
|
|
|
|
|
|
|
| 8,053,740,482 |
|
|
|
|
|
|
|
|
|
|
| ||
Cash and Other Assets in Excess of Liabilities(l) 0.90% |
|
|
|
|
|
|
|
|
| 73,526,504 |
|
|
|
|
|
|
|
|
|
|
| ||
Net Assets 100.00% |
|
|
|
|
|
|
|
| $ | 8,127,266,986 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. | 31 |
Schedule of Investments (unaudited)(concluded)
June 30, 2012
|
|
|
CAD |
| Canadian dollar. |
CHF |
| Swiss franc. |
EUR |
| euro. |
GBP |
| British pound. |
ADR |
| American Depositary Receipt. |
ETF |
| Exchange Traded Fund. |
PIK |
| Payment-in-kind. |
* |
| Non-income producing security. |
† |
| 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. |
~ |
| Deferred interest debentures pay the stated rate, after which they pay a predetermined interest rate. |
# |
| Variable rate security. The interest rate represents the rate in effect at June 30, 2012. |
(a) |
| Foreign security traded in U.S. dollars. |
(b) |
| 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 June 30, 2012. |
(c) |
| Investment in non-U.S. dollar denominated securities. |
(d) |
| Securities purchased on a when-issued basis (See Note 2(i)). |
(e) |
| Stub Rights issued in connection with a plan of reorganization. |
(f) |
| Security is perpetual in nature and has no stated maturity. |
(g) |
| Defaulted security. |
(h) |
| Debenture pays interest at an annual fixed rate of 6.379% through December 14, 2036. Thereafter, interest will be paid at an annual floating rate of 3-month LIBOR plus 2.25% through December 14, 2049. This debenture is subject to full redemption at the option of the issuer any time prior to December 14, 2036. |
(i) |
| Debenture pays interest at an annual fixed rate of 10.75% through June 15, 2038. Thereafter, interest will be paid at an annual floating rate of 3-month LIBOR plus 7.12% through June 15, 2058. This debenture is subject to full redemption at the option of the issuer any time prior to June 15, 2038. |
(j) |
| Security has been fully or partially segregated to cover margin requirements for open futures contracts as of June 30, 2012. |
(k) |
| Restricted securities of ION Media Networks, Inc. acquired through private placement are as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
| Acquisition |
|
| Acquired |
|
| Cost on |
|
| Fair value |
|
|
| Warrant |
| April 15, 2011 |
|
| 1,975 |
|
| $5,785,009 |
|
| $250.00 |
|
|
| Warrant |
| April 15, 2011 |
|
| 1,950 |
|
| 4,318,663 |
|
| 150.00 |
|
|
|
|
(l) |
| Cash and Other Assets in Excess of Liabilities include net unrealized appreciation on open futures contracts, as follows: |
Open Futures Contracts at June 30, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type |
| Expiration |
| Contracts |
| Position |
|
| Market |
| Unrealized |
| |
U.S. 10-Year Treasury Note |
| September 2012 |
| 300 |
| Short |
|
| $(40,012,500 | ) |
| $97,919 |
|
|
|
|
32 | See Notes to Financial Statements. |
|
|
Statement of Assets and Liabilities (unaudited) |
June 30, 2012 |
|
|
|
|
|
ASSETS: |
|
|
|
|
Investments in securities, at fair value (cost $7,851,292,827) |
| $ | 8,053,740,482 |
|
Cash |
|
| 117,644 |
|
Receivables: |
|
|
|
|
Interest and dividends |
|
| 132,815,729 |
|
Capital shares sold |
|
| 56,239,748 |
|
Investment securities sold |
|
| 35,773,297 |
|
Variation margin |
|
| 164,156 |
|
Prepaid expenses and other assets |
|
| 112,287 |
|
Total assets |
|
| 8,278,963,343 |
|
LIABILITIES: |
|
|
|
|
Payables: |
|
|
|
|
Investment securities purchased |
|
| 77,641,558 |
|
Capital shares reacquired |
|
| 22,800,301 |
|
12b-1 distribution fees |
|
| 4,290,592 |
|
Management fee |
|
| 2,966,297 |
|
Directors’ fees |
|
| 1,308,305 |
|
Fund administration |
|
| 261,849 |
|
Distributions payable |
|
| 41,407,682 |
|
Accrued expenses |
|
| 1,019,773 |
|
Total liabilities |
|
| 151,696,357 |
|
NET ASSETS |
| $ | 8,127,266,986 |
|
COMPOSITION OF NET ASSETS: |
|
|
|
|
Paid-in capital |
| $ | 8,029,112,290 |
|
Distributions in excess of net investment income |
|
| (52,732,600 | ) |
Accumulated net realized loss on investments, futures contracts and foreign |
|
| (51,650,772 | ) |
Net unrealized appreciation on investments, futures contracts and translation of |
|
| 202,538,068 |
|
Net Assets |
| $ | 8,127,266,986 |
|
|
|
|
| See Notes to Financial Statements. | 33 |
|
Statement of Assets and Liabilities (unaudited)(concluded) |
June 30, 2012 |
|
|
|
|
|
Net assets by class: |
|
|
|
|
Class A Shares |
| $ | 4,581,814,175 |
|
Class B Shares |
| $ | 255,982,646 |
|
Class C Shares |
| $ | 1,928,229,633 |
|
Class F Shares |
| $ | 979,164,835 |
|
Class I Shares |
| $ | 214,543,103 |
|
Class P Shares |
| $ | 108,005,223 |
|
Class R2 Shares |
| $ | 2,337,705 |
|
Class R3 Shares |
| $ | 57,189,666 |
|
Outstanding shares by class: |
|
|
|
|
Class A Shares (1.14 billion shares of common stock authorized, $.001 par value) |
|
| 584,334,079 |
|
Class B Shares (500 million shares of common stock authorized, $.001 par value) |
|
| 32,534,270 |
|
Class C Shares (600 million shares of common stock authorized, $.001 par value) |
|
| 245,307,509 |
|
Class F Shares (300 million shares of common stock authorized, $.001 par value) |
|
| 125,033,133 |
|
Class I Shares (300 million shares of common stock authorized, $.001 par value) |
|
| 27,489,052 |
|
Class P Shares (160 million shares of common stock authorized, $.001 par value) |
|
| 13,488,582 |
|
Class R2 Shares (300 million shares of common stock authorized, $.001 par value) |
|
| 298,098 |
|
Class R3 Shares (300 million shares of common stock authorized, $.001 par value) |
|
| 7,304,452 |
|
Net asset value, offering and redemption price per share |
|
|
|
|
Class A Shares-Net asset value |
|
| $7.84 |
|
Class A Shares-Maximum offering price |
|
| $8.23 |
|
Class B Shares-Net asset value |
|
| $7.87 |
|
Class C Shares-Net asset value |
|
| $7.86 |
|
Class F Shares-Net asset value |
|
| $7.83 |
|
Class I Shares-Net asset value |
|
| $7.80 |
|
Class P Shares-Net asset value |
|
| $8.01 |
|
Class R2 Shares-Net asset value |
|
| $7.84 |
|
Class R3 Shares-Net asset value |
|
| $7.83 |
|
|
|
|
34 | See Notes to Financial Statements. |
|
Statement of Operations (unaudited)
For the Six Months Ended June 30, 2012
|
|
|
|
|
Investment income: |
|
|
|
|
Dividends (net of foreign withholding taxes of $49,687) |
| $ | 8,285,953 |
|
Interest and other |
|
| 271,512,501 |
|
Total investment income |
|
| 279,798,454 |
|
Expenses: |
|
|
|
|
Management fee |
|
| 18,091,065 |
|
12b-1 distribution plan-Class A |
|
| 7,905,942 |
|
12b-1 distribution plan-Class B |
|
| 1,392,164 |
|
12b-1 distribution plan-Class C |
|
| 9,387,639 |
|
12b-1 distribution plan-Class F |
|
| 466,478 |
|
12b-1 distribution plan-Class P |
|
| 189,858 |
|
12b-1 distribution plan-Class R2 |
|
| 6,345 |
|
12b-1 distribution plan-Class R3 |
|
| 130,096 |
|
Shareholder servicing |
|
| 3,907,058 |
|
Fund administration |
|
| 1,597,044 |
|
Reports to shareholders |
|
| 281,065 |
|
Directors’ fees |
|
| 119,120 |
|
Registration |
|
| 109,916 |
|
Professional |
|
| 86,572 |
|
Custody |
|
| 52,976 |
|
Subsidy (See Note 3) |
|
| 21,014 |
|
Other |
|
| 104,767 |
|
Gross expenses |
|
| 43,849,119 |
|
Expense reductions (See Note 7) |
|
| (2,850 | ) |
Net expenses |
|
| 43,846,269 |
|
Net investment income |
|
| 235,952,185 |
|
Net realized and unrealized gain: |
|
|
|
|
Net realized gain on investments, futures contracts and foreign currency |
|
| 113,017,708 |
|
Net change in unrealized appreciation/depreciation on investments, futures contracts |
|
| 98,459,496 |
|
Net realized and unrealized gain |
|
| 211,477,204 |
|
Net Increase in Net Assets Resulting From Operations |
| $ | 447,429,389 |
|
|
|
|
| See Notes to Financial Statements. | 35 |
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
INCREASE (DECREASE) IN NET ASSETS |
| For the Six Months |
| For the Year Ended |
| ||
Operations: |
|
|
|
|
|
|
|
Net investment income |
| $ | 235,952,185 |
| $ | 469,136,131 |
|
Net realized gain on investments, futures contracts and |
|
| 113,017,708 |
|
| 202,753,874 |
|
Net change in unrealized appreciation/depreciation on |
|
| 98,459,496 |
|
| (377,507,825 | ) |
Net increase in net assets resulting from operations |
|
| 447,429,389 |
|
| 294,382,180 |
|
Distributions to shareholders from: |
|
|
|
|
|
|
|
Net investment income |
|
|
|
|
|
|
|
Class A |
|
| (138,732,597 | ) |
| (271,009,329 | ) |
Class B |
|
| (7,645,716 | ) |
| (21,834,446 | ) |
Class C |
|
| (51,530,099 | ) |
| (100,540,728 | ) |
Class F |
|
| (29,718,533 | ) |
| (48,451,124 | ) |
Class I |
|
| (6,703,828 | ) |
| (23,151,825 | ) |
Class P |
|
| (3,327,503 | ) |
| (8,150,401 | ) |
Class R2 |
|
| (62,519 | ) |
| (83,634 | ) |
Class R3 |
|
| (1,573,042 | ) |
| (2,379,825 | ) |
Total distributions to shareholders |
|
| (239,293,837 | ) |
| (475,601,312 | ) |
Capital share transactions (Net of share conversions) (See Note 11): |
|
|
|
|
|
|
|
Net proceeds from sales of shares |
|
| 983,377,300 |
|
| 1,764,688,120 |
|
Reinvestment of distributions |
|
| 197,218,259 |
|
| 379,969,129 |
|
Cost of shares reacquired |
|
| (1,014,808,733 | ) |
| (2,251,421,962 | ) |
Net increase (decrease) in net assets resulting from |
|
| 165,786,826 |
|
| (106,764,713 | ) |
Net increase (decrease) in net assets |
|
| 373,922,378 |
|
| (287,983,845 | ) |
NET ASSETS: |
|
|
|
|
|
|
|
Beginning of period |
| $ | 7,753,344,608 |
| $ | 8,041,328,453 |
|
End of period |
| $ | 8,127,266,986 |
| $ | 7,753,344,608 |
|
Distributions in excess of net investment income |
| $ | (52,732,600 | ) | $ | (49,390,948 | ) |
|
|
|
36 | See Notes to Financial Statements. |
|
Financial Highlights
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
| ||||||||||||||||||
|
| ||||||||||||||||||||
|
| Six Months |
|
|
| ||||||||||||||||
|
|
|
|
| |||||||||||||||||
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| 2007 |
| |||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net asset value, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
beginning of period |
|
|
| $7.63 |
|
|
| $7.81 |
|
| $7.35 |
|
| $5.86 |
|
| $7.92 |
|
| $8.02 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a) |
|
|
| .24 |
|
|
| .47 |
|
| .47 |
|
| .45 |
|
| .47 |
|
| .46 |
|
Net realized and |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
unrealized gain (loss) |
|
|
| .21 |
|
|
| (.17 | ) |
| .45 |
|
| 1.55 |
|
| (2.01 | ) |
| (.04 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
operations |
|
|
| .45 |
|
|
| .30 |
|
| .92 |
|
| 2.00 |
|
| (1.54 | ) |
| .42 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.24 | ) |
|
| (.48 | ) |
| (.46 | ) |
| (.51 | ) |
| (.52 | ) |
| (.52 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of period |
|
|
| $7.84 |
|
| $7.63 |
|
| $7.81 |
| $7.35 |
|
| $5.86 |
| $7.92 |
| |||
|
|
|
|
|
|
|
|
|
| ||||||||||||
| |||||||||||||||||||||
Total Return(b) |
|
|
| 5.92 | %(c) |
|
| 3.88 | % |
| 12.94 | % |
| 35.37 | % |
| (20.26 | )% |
| 5.34 | % |
| |||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
| |||||||||||||||||||||
Expenses, including expense |
|
|
| .48 | %(c) |
|
| .97 | % |
| .97 | % |
| 1.00 | % |
| 1.00 | % |
| .99 | % |
| |||||||||||||||||||||
Expenses, excluding expense |
|
|
| .48 | %(c) |
|
| .97 | % |
| .97 | % |
| 1.00 | % |
| 1.00 | % |
| .99 | % |
| |||||||||||||||||||||
Net investment income |
|
|
| 3.01 | %(c) |
|
| 6.07 | % |
| 6.19 | % |
| 6.82 | % |
| 6.63 | % |
| 5.73 | % |
| |||||||||||||||||||||
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of period (000) |
|
|
| $4,581,814 |
|
|
| $4,345,679 |
|
| $4,415,645 |
|
| $4,709,961 |
|
| $3,316,663 |
|
| $4,526,753 |
|
Portfolio turnover rate |
|
|
| 21.03 | %(c) |
|
| 35.73 | % |
| 42.65 | % |
| 41.93 | % |
| 29.01 | % |
| 40.08 | % |
|
|
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
(c) | Not annualized. |
|
|
|
| See Notes to Financial Statements. | 37 |
Financial Highlights (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class B Shares |
| ||||||||||||||||||
|
| ||||||||||||||||||||
|
| Six Months |
|
|
| ||||||||||||||||
|
|
|
|
| |||||||||||||||||
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| 2007 |
| |||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Net asset value, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
beginning of period |
|
|
| $7.66 |
|
|
| $7.84 |
|
| $7.37 |
|
| $5.87 |
|
| $7.93 |
|
| $8.03 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a) |
|
|
| .21 |
|
|
| .42 |
|
| .42 |
|
| .41 |
|
| .43 |
|
| .41 |
|
Net realized and |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
unrealized gain (loss) |
|
|
| .22 |
|
|
| (.17 | ) |
| .46 |
|
| 1.55 |
|
| (2.02 | ) |
| (.04 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
operations |
|
|
| .43 |
|
|
| .25 |
|
| .88 |
|
| 1.96 |
|
| (1.59 | ) |
| .37 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.22 | ) |
|
| (.43 | ) |
| (.41 | ) |
| (.46 | ) |
| (.47 | ) |
| (.47 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of period |
|
|
| $7.87 |
|
|
| $7.66 |
|
| $7.84 |
|
| $7.37 |
|
| $5.87 |
|
| $7.93 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
| |||||||||||||||||||||
Total Return(b) |
|
|
| 5.57 | %(c) |
|
| 3.35 | % |
| 12.16 | % |
| 34.52 | % |
| (20.82 | )% |
| 4.63 | % |
| |||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
| |||||||||||||||||||||
Expenses, including expense |
|
|
| .80 | %(c) |
|
| 1.62 | % |
| 1.62 | % |
| 1.65 | % |
| 1.65 | % |
| 1.64 | % |
| |||||||||||||||||||||
Expenses, excluding expense |
|
|
| .80 | %(c) |
|
| 1.62 | % |
| 1.62 | % |
| 1.65 | % |
| 1.65 | % |
| 1.64 | % |
| |||||||||||||||||||||
Net investment income |
|
|
| 2.69 | %(c) |
|
| 5.39 | % |
| 5.54 | % |
| 6.21 | % |
| 5.95 | % |
| 5.08 | % |
| |||||||||||||||||||||
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of period (000) |
|
|
| $255,983 |
|
|
| $295,027 |
|
| $530,340 |
|
| $717,671 |
|
| $660,920 |
|
| $1,061,150 |
|
Portfolio turnover rate |
|
|
| 21.03 | %(c) |
|
| 35.73 | % |
| 42.65 | % |
| 41.93 | % |
| 29.01 | % |
| 40.08 | % |
|
|
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
(c) | Not annualized. |
|
|
|
38 | See Notes to Financial Statements. |
|
Financial Highlights (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class C Shares | |||||||||||||||||||
|
| ||||||||||||||||||||
|
| Six Months |
|
|
| ||||||||||||||||
|
|
|
|
| |||||||||||||||||
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| 2007 |
| |||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Net asset value, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
beginning of period |
|
|
| $7.65 |
|
| $7.83 |
|
| $7.36 |
|
| $5.87 |
|
| $7.94 |
|
| $8.03 |
| |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a) |
|
|
| .21 |
|
|
| .42 |
|
| .42 |
|
| .41 |
|
| .43 |
|
| .41 |
|
Net realized and |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
unrealized gain (loss) |
|
|
| .21 |
|
|
| (.17 | ) |
| .46 |
|
| 1.54 |
|
| (2.03 | ) |
| (.03 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
operations |
|
|
| .42 |
|
|
| .25 |
|
| .88 |
|
| 1.95 |
|
| (1.60 | ) |
| .38 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.21 | ) |
|
| (.43 | ) |
| (.41 | ) |
| (.46 | ) |
| (.47 | ) |
| (.47 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of period |
|
|
| $7.86 |
|
|
| $7.65 |
|
| $7.83 |
|
| $7.36 |
|
| $5.87 |
|
| $7.94 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
| |||||||||||||||||||||
Total Return(b) |
|
|
| 5.57 | %(c) |
|
| 3.22 | % |
| 12.34 | % |
| 34.44 | % |
| (20.90 | )% |
| 4.77 | % |
| |||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
| |||||||||||||||||||||
Expenses, including expense |
|
|
| .80 | %(c) |
|
| 1.62 | % |
| 1.62 | % |
| 1.65 | % |
| 1.65 | % |
| 1.64 | % |
| |||||||||||||||||||||
Expenses, excluding expense |
|
|
| .80 | %(c) |
|
| 1.62 | % |
| 1.62 | % |
| 1.65 | % |
| 1.65 | % |
| 1.64 | % |
| |||||||||||||||||||||
Net investment income |
|
|
| 2.68 | %(c) |
|
| 5.42 | % |
| 5.54 | % |
| 6.13 | % |
| 5.98 | % |
| 5.08 | % |
| |||||||||||||||||||||
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of period (000) |
|
|
| $1,928,230 |
|
|
| $1,790,610 |
|
| $1,866,405 |
|
| $1,888,177 |
|
| $1,018,175 |
|
| $1,322,738 |
|
Portfolio turnover rate |
|
|
| 21.03 | %(c) |
|
| 35.73 | % |
| 42.65 | % |
| 41.93 | % |
| 29.01 | % |
| 40.08 | % |
|
|
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
(c) | Not annualized. |
|
|
|
| See Notes to Financial Statements. | 39 |
Financial Highlights (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class F Shares | ||||||||||||||||||||
|
| |||||||||||||||||||||
|
| Six Months |
|
|
| 9/7/2007(a) | ||||||||||||||||
|
|
|
|
| ||||||||||||||||||
|
|
| Year Ended 12/31 |
| ||||||||||||||||||
|
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| ||||||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Net asset value, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
beginning of period |
|
|
| $7.62 |
|
|
| $7.80 |
|
| $7.34 |
|
| $5.85 |
|
| $7.92 |
|
|
| $7.92 |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| — | (c) |
Net realized and |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
unrealized gain |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| .03 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total from investment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| .03 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Net asset value on SEC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Effective Date, 9/14/2007 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $7.95 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(b) |
|
|
| .25 |
|
|
| .49 |
|
| .48 |
|
| .46 |
|
| .49 |
|
|
| .15 |
|
Net realized and |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
unrealized gain (loss) |
|
|
| .21 |
|
|
| (.17 | ) |
| .46 |
|
| 1.55 |
|
| (2.02 | ) |
|
| (.04 | ) |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
operations |
|
|
| .46 |
|
|
| .32 |
|
| .94 |
|
| 2.01 |
|
| (1.53 | ) |
|
| .11 |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.25 | ) |
|
| (.50 | ) |
| (.48 | ) |
| (.52 | ) |
| (.54 | ) |
|
| (.14 | ) |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
beginning of period |
|
|
| $7.83 |
|
|
| $7.62 |
|
| $7.80 |
|
| $7.34 |
|
| $5.85 |
|
|
| $7.92 |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
| ||||||||||||||||||||||
Total Return(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| .38 | %(e)(f) |
| ||||||||||||||||||||||
Total Return(d) |
|
|
| 6.05 | %(e) |
|
| 4.12 | % |
| 13.24 | % |
| 35.81 | % |
| (20.17 | )% |
|
| 1.31 | %(e)(g) |
| ||||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Expenses, including |
|
|
| .35 | %(e) |
|
| .72 | % |
| .72 | % |
| .75 | % |
| .75 | % |
|
| .25 | %(e) |
| ||||||||||||||||||||||
Expenses, excluding |
|
|
| .35 | %(e) |
|
| .72 | % |
| .72 | % |
| .75 | % |
| .75 | % |
|
| .25 | %(e) |
| ||||||||||||||||||||||
Net investment income |
|
|
| 3.12 | %(e) |
|
| 6.30 | % |
| 6.42 | % |
| 6.87 | % |
| 7.44 | % |
|
| 1.87 | %(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of period (000) |
|
|
| $979,165 |
|
|
| $847,032 |
|
| $695,689 |
|
| $435,085 |
|
| $35,771 |
|
|
| $10 |
|
Portfolio turnover rate |
|
|
| 21.03 | %(e) |
|
| 35.73 | % |
| 42.65 | % |
| 41.93 | % |
| 29.01 | % |
|
| 40.08 | % |
|
|
(a) | Commencement of operations was 9/7/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Amount is less than $.01. |
(d) | Total return assumes the reinvestment of all distributions. |
(e) | Not annualized. |
(f) | Total return for the period 9/7/2007 through 9/14/2007. |
(g) | Total return for the period 9/14/2007 through 12/31/2007. |
|
|
|
40 | See Notes to Financial Statements. |
|
Financial Highlights (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class I Shares |
| ||||||||||||||||||
|
|
| |||||||||||||||||||
|
| Six Months |
|
|
| ||||||||||||||||
|
|
|
|
| |||||||||||||||||
|
|
| Year Ended 12/31 |
| |||||||||||||||||
|
|
|
| ||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| 2007 |
| |||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Net asset value, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
beginning of period |
|
|
| $7.60 |
|
|
| $7.77 |
|
| $7.31 |
|
| $5.83 |
|
| $7.90 |
|
| $8.00 |
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a) |
|
|
| .25 |
|
|
| .50 |
|
| .49 |
|
| .47 |
|
| .50 |
|
| .49 |
|
Net realized and |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
unrealized gain (loss) |
|
|
| .20 |
|
|
| (.16 | ) |
| .46 |
|
| 1.54 |
|
| (2.02 | ) |
| (.04 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
operations |
|
|
| .45 |
|
|
| .34 |
|
| .95 |
|
| 2.01 |
|
| (1.52 | ) |
| .45 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.25 | ) |
|
| (.51 | ) |
| (.49 | ) |
| (.53 | ) |
| (.55 | ) |
| (.55 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of period |
|
|
| $7.80 |
|
|
| $7.60 |
|
| $7.77 |
|
| $7.31 |
|
| $5.83 |
|
| $7.90 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
| |||||||||||||||||||||
Total Return(b) |
|
|
| 5.97 | %(c) |
|
| 4.35 | % |
| 13.40 | % |
| 35.87 | % |
| (20.14 | )% |
| 5.72 | % |
| |||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
| |||||||||||||||||||||
Expenses, including expense |
|
|
| .31 | %(c) |
|
| .62 | % |
| .62 | % |
| .65 | % |
| .65 | % |
| .64 | % |
| |||||||||||||||||||||
Expenses, excluding expense |
|
|
| .31 | %(c) |
|
| .62 | % |
| .62 | % |
| .65 | % |
| .65 | % |
| .64 | % |
| |||||||||||||||||||||
Net investment income |
|
|
| 3.22 | %(c) |
|
| 6.39 | % |
| 6.53 | % |
| 7.15 | % |
| 6.98 | % |
| 6.07 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of period (000) |
|
|
| $214,543 |
|
|
| $316,777 |
|
| $353,941 |
|
| $294,144 |
|
| $203,843 |
|
| $262,929 |
|
Portfolio turnover rate |
|
|
| 21.03 | %(c) |
|
| 35.73 | % |
| 42.65 | % |
| 41.93 | % |
| 29.01 | % |
| 40.08 | % |
|
|
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
|
|
|
| See Notes to Financial Statements. | 41 |
Financial Highlights (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class P Shares |
| ||||||||||||||||||
|
| ||||||||||||||||||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
|
|
|
| |||||||||||||||||
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| 2007 |
| |||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net asset value, |
|
|
| $7.79 |
|
|
| $7.98 |
|
| $7.49 |
|
| $5.97 |
|
| $8.06 |
|
| $8.15 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a) |
|
|
| .24 |
|
|
| .48 |
|
| .47 |
|
| .45 |
|
| .47 |
|
| .46 |
|
Net realized and |
|
|
| .22 |
|
|
| (.18 | ) |
| .48 |
|
| 1.57 |
|
| (2.05 | ) |
| (.04 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
| .46 |
|
|
| .30 |
|
| .95 |
|
| 2.02 |
|
| (1.58 | ) |
| .42 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.24 | ) |
|
| (.49 | ) |
| (.46 | ) |
| (.50 | ) |
| (.51 | ) |
| (.51 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
| $8.01 |
|
|
| $7.79 |
|
| $7.98 |
|
| $7.49 |
|
| $5.97 |
|
| $8.06 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
| |||||||||||||||||||||
Total Return(b) |
|
|
| 5.99 | %(c) |
|
| 3.88 | % |
| 12.73 | % |
| 35.47 | % |
| (20.50 | )% |
| 5.27 | % |
| |||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Expenses, including expense |
|
|
| .48 | %(c) |
|
| 1.03 | % |
| 1.07 | % |
| 1.10 | % |
| 1.10 | % |
| 1.09 | % |
| |||||||||||||||||||||
Expenses, excluding expense |
|
|
| .48 | %(c) |
|
| 1.03 | % |
| 1.07 | % |
| 1.10 | % |
| 1.10 | % |
| 1.09 | % |
| |||||||||||||||||||||
Net investment income |
|
|
| 3.01 | %(c) |
|
| 6.01 | % |
| 6.08 | % |
| 6.70 | % |
| 6.55 | % |
| 5.64 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
|
| $108,005 |
|
| $109,252 |
| $143,083 |
| $150,002 |
| $99,134 |
| $120,343 |
| |||||
Portfolio turnover rate |
|
|
| 21.03 | %(c) |
|
| 35.73 | % |
| 42.65 | % |
| 41.93 | % |
| 29.01 | % |
| 40.08 | % |
|
|
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
|
|
42 | See Notes to Financial Statements. |
Financial Highlights (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class R2 Shares | ||||||||||||||||||||
|
| |||||||||||||||||||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
|
|
| 9/7/2007(a) | ||||||
|
|
|
|
| ||||||||||||||||||
|
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| ||||||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Net asset value, |
|
|
| $7.63 |
|
|
| $7.81 |
|
| $7.35 |
|
| $5.86 |
|
| $7.92 |
|
|
| $7.92 |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| — | (c) |
Net realized and |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| .03 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total from investment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| .03 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Net asset value on SEC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $7.95 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(b) |
|
|
| .23 |
|
|
| .46 |
|
| .45 |
|
| .43 |
|
| .46 |
|
|
| .14 |
|
Net realized and |
|
|
| .21 |
|
|
| (.18 | ) |
| .45 |
|
| 1.55 |
|
| (2.02 | ) |
|
| (.05 | ) |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
| .44 |
|
|
| .28 |
|
| .90 |
|
| 1.98 |
|
| (1.56 | ) |
|
| .09 |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.23 | ) |
|
| (.46 | ) |
| (.44 | ) |
| (.49 | ) |
| (.50 | ) |
|
| (.12 | ) |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
| $7.84 |
|
|
| $7.63 |
|
| $7.81 |
|
| $7.35 |
|
| $5.86 |
|
|
| $7.92 |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
| ||||||||||||||||||||||
Total Return(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| .38 | %(e)(f) |
| ||||||||||||||||||||||
Total Return(d) |
|
|
| 5.79 | %(e) |
|
| 3.62 | % |
| 12.63 | % |
| 35.26 | % |
| (20.61 | )% |
|
| 1.18 | %(e)(g) |
| ||||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Expenses, including |
|
|
| .60 | %(e) |
|
| 1.22 | % |
| 1.22 | % |
| 1.25 | % |
| 1.24 | % |
|
| .39 | %(e) |
| ||||||||||||||||||||||
Expenses, excluding |
|
|
| .60 | %(e) |
|
| 1.22 | % |
| 1.22 | % |
| 1.25 | % |
| 1.24 | % |
|
| .39 | %(e) |
| ||||||||||||||||||||||
Net investment income |
|
|
| 2.89 | %(e) |
|
| 5.84 | % |
| 5.92 | % |
| 6.57 | % |
| 6.44 | % |
|
| 1.72 | %(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
| $2,338 |
|
| $1,629 |
| $1,234 |
|
| $456 |
|
| $338 |
|
|
| $46 |
| |||
Portfolio turnover rate |
|
|
| 21.03 | %(e) |
|
| 35.73 | % |
| 42.65 | % |
| 41.93 | % |
| 29.01 | % |
|
| 40.08 | % |
|
|
(a) | Commencement of operations was 9/7/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Amount is less than $.01. |
(d) | Total return assumes the reinvestment of all distributions. |
(e) | Not annualized. |
(f) | Total return for the period 9/7/2007 through 9/14/2007. |
(g) | Total return for the period 9/14/2007 through 12/31/2007. |
|
|
|
| See Notes to Financial Statements. | 43 |
Financial Highlights (concluded)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class R3 Shares | ||||||||||||||||||||
|
| |||||||||||||||||||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
|
|
| 9/7/2007(a) | ||||||
|
|
|
|
| ||||||||||||||||||
|
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| ||||||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net asset value, |
|
|
| $7.62 |
|
|
| $7.80 |
|
| $7.34 |
|
| $5.85 |
|
| $7.92 |
|
|
| $7.92 |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| — | (c) |
Net realized and |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| .03 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total from investment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| .03 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Net asset value on SEC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| $7.95 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(b) |
|
|
| .23 |
|
|
| .46 |
|
| .45 |
|
| .44 |
|
| .47 |
|
|
| .14 |
|
Net realized and |
|
|
| .21 |
|
|
| (.17 | ) |
| .46 |
|
| 1.55 |
|
| (2.03 | ) |
|
| (.04 | ) |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
| .44 |
|
|
| .29 |
|
| .91 |
|
| 1.99 |
|
| (1.56 | ) |
|
| .10 |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.23 | ) |
|
| (.47 | ) |
| (.45 | ) |
| (.50 | ) |
| (.51 | ) |
|
| (.13 | ) |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
| $7.83 |
|
|
| $7.62 |
|
| $7.80 |
|
| $7.34 |
|
| $5.85 |
|
|
| $7.92 |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
| ||||||||||||||||||||||
Total Return(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| .38 | %(e)(f) |
| ||||||||||||||||||||||
Total Return(d) |
|
|
| 5.85 | %(e) |
|
| 3.73 | % |
| 12.83 | % |
| 35.31 | % |
| (20.52 | )% |
|
| 1.21 | %(e)(g) |
| ||||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Expenses, including |
|
|
| .55 | %(e) |
|
| 1.12 | % |
| 1.12 | % |
| 1.14 | % |
| 1.15 | % |
|
| .35 | %(e) |
| ||||||||||||||||||||||
Expenses, excluding |
|
|
| .55 | %(e) |
|
| 1.12 | % |
| 1.12 | % |
| 1.14 | % |
| 1.15 | % |
|
| .35 | %(e) |
| ||||||||||||||||||||||
Net investment income |
|
|
| 2.94 | %(e) |
|
| 5.94 | % |
| 6.03 | % |
| 6.53 | % |
| 7.01 | % |
|
| 1.77 | %(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
| $57,190 |
|
| $47,338 |
| $34,991 |
| $17,780 |
| $5,399 |
|
|
| $14 |
| |||||
Portfolio turnover rate |
|
|
| 21.03 | %(e) |
|
| 35.73 | % |
| 42.65 | % |
| 41.93 | % |
| 29.01 | % |
|
| 40.08 | % |
|
|
(a) | Commencement of operations was 9/7/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Amount is less than $.01. |
(d) | Total return assumes the reinvestment of all distributions. |
(e) | Not annualized. |
(f) | Total return for the period 9/7/2007 through 9/14/2007. |
(g) | Total return for the period 9/14/2007 through 12/31/2007. |
|
|
44 | See Notes to Financial Statements. |
Notes to Financial Statements (unaudited)
|
|
|
1. | ORGANIZATION |
|
Lord Abbett Bond-Debenture Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company. The Fund was incorporated under Maryland law on January 23, 1976.
The Fund’s investment objective is to seek high current income and the opportunity for capital appreciation to produce a high total return. The Fund has eight classes of shares: Class A, B, C, F, I, P, R2 and R3, each with different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class B, C, F, I, P, R2 and R3 shares, although there may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in the Fund’s prospectus); Class B shares redeemed before the sixth anniversary of purchase; and Class C shares redeemed before the first anniversary of purchase. Class B shares will automatically convert to Class A shares on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. The Fund no longer issues Class B shares for purchase. The Fund’s Class P shares are closed to substantially all investors, with certain exceptions as set forth in the Fund’s prospectus.
The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
|
|
|
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 more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange LLC. The Fund may rely on an independent fair valuation service in adjusting the valuations of foreign 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 at the mean between the bid and asked prices on the basis of prices supplied by independent pricing services, which reflect broker/dealer supplied valuations and the independent pricing services’ own electronic data processing techniques. Exchange-traded options and futures contracts are valued at the last sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and |
45
Notes to Financial Statements (unaudited)(continued)
|
|
| asked prices is used. 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. |
|
|
| Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee and approved in good faith by the Board. The Pricing Committee considers a number of factors, including unobservable inputs, when arriving at fair value. The Pricing Committee may use observable inputs such as yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and employs techniques such as reviewing related market activity, reviewing inputs and assumptions, and transactional back-testing comparison analysis. |
|
|
| Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
|
|
(b) | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
|
|
(c) | Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income on the Statement of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
|
|
(d) | Income Taxes–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 for the fiscal years ended December 31, 2008 through December 31, 2011. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. |
|
|
(e) | Expenses–Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Class A, B, C, F, P, R2 and R3 shares bear their class-specific share of all expenses and fees relating to the Fund’s 12b-1 Distribution Plan. |
|
|
(f) | Foreign Transactions–The books and records of the Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in the Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of |
46
Notes to Financial Statements (unaudited)(continued)
|
|
| such transactions are included in Net realized gain on investments, futures contracts and foreign currency related transactions on the Fund’s Statement of Operations. The Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities. |
|
|
| The Fund uses foreign currency exchange contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms. |
|
|
(g) | When-Issued or Forward Transactions–The Fund may purchase portfolio securities on a when-issued or forward basis. When-issued or forward transactions involve a commitment by a Fund to purchase securities, with payment and delivery (“settlement”) to take place in the future, in order to secure what is considered to be an advantageous price or yield at the time of entering into the transaction. During the period between purchase and settlement, the fair value of the securities will fluctuate and assets consisting of cash and/or marketable securities (normally short-term U.S. Government or U.S. Government sponsored enterprise securities) marked to market daily in an amount sufficient to make payment at settlement will be segregated at the Fund’s custodian in order to pay for the commitment. At the time the Fund makes the commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the liability for the purchase and fair value of the security in determining its NAV. The Fund, generally, has the ability to close out a purchase obligation on or before the settlement date rather than take delivery of the security. Under no circumstances will settlement for such securities take place more than 120 days after the purchase date. |
|
|
(h) | Futures Contracts–The Fund may purchase and sell futures contracts to enhance returns, to attempt to hedge some of its investment risk, or as a substitute position for holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by a Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. The Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract. |
|
|
(i) | Repurchase Agreements–The Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a Fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. The Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, the Fund may incur a loss upon disposition of the securities. |
|
|
(j) | Floating Rate Loans–The Fund may invest in floating rate loans, which usually take the form of loan participations and assignments. Loan participations and assignments are agreements to make money available to U.S. or foreign corporations, partnerships or other business entities (the “Borrower”) in a specified amount, at a specified rate and within a specified time. A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company |
47
Notes to Financial Statements (unaudited)(continued)
|
|
|
|
| or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent typically administers and enforces the loan on behalf of the other Loan Investors in the syndicate and may hold any collateral on behalf of the Loan Investors. Such loan participations and assignments are typically senior, secured and collateralized in nature. A Fund records an investment when the Borrower withdraws money and records interest as earned. These loans pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or London InterBank Offered Rate (“LIBOR”). | ||
|
| ||
| The loans in which the Fund invests may be subject to some restrictions on resale. For example, the Fund may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the Borrower. As a result, the Fund assumes the credit risk of the Borrower, the selling participant and any other persons interpositioned between the Fund and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, the Fund may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest. | ||
|
| ||
| Unfunded commitments represent the remaining obligation of the Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. As of June 30, 2012, the Fund had no unfunded loan commitments. | ||
|
| ||
(k) | 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 of inputs 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). |
|
|
|
|
| The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. |
48
Notes to Financial Statements (unaudited)(continued)
The following is a summary of the inputs used as of June 30, 2012 in valuing the Fund’s investments carried at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Type* |
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
| |||||||||||||
Common Stocks** |
| $ | 190,383,655 |
| $ | — |
| $ | — |
| $ | 190,383,655 |
|
Convertible Bonds |
|
| — |
|
| 513,255,356 |
|
| — |
|
| 513,255,356 |
|
Convertible Preferred Stocks |
|
| 163,668,096 |
|
| 43,022,786 |
|
| — |
|
| 206,690,882 |
|
Floating Rate Loans |
|
| — |
|
| 261,753,109 |
|
| — |
|
| 261,753,109 |
|
Foreign Bonds |
|
| — |
|
| 44,335,512 |
|
| — |
|
| 44,335,512 |
|
Foreign Government Obligations |
|
| — |
|
| 19,957,895 |
|
| — |
|
| 19,957,895 |
|
High Yield Corporate Bonds |
|
| — |
|
| 6,507,607,196 |
|
| 30,765 |
|
| 6,507,637,961 |
|
Municipal Bond |
|
| — |
|
| 17,181,240 |
|
| — |
|
| 17,181,240 |
|
Non-Agency Commercial Mortgage-Backed Securities |
|
| — |
|
| 92,406,680 |
|
| — |
|
| 92,406,680 |
|
Preferred Stocks |
|
| 16,594,682 |
|
| 10,270,812 |
|
| — |
|
| 26,865,494 |
|
Warrants |
|
| 3,214,792 |
|
| 1,002,036 |
|
| 786,250 |
|
| 5,003,078 |
|
Repurchase Agreement |
|
| — |
|
| 168,269,620 |
|
| — |
|
| 168,269,620 |
|
| |||||||||||||
Total |
| $ | 373,861,225 |
| $ | 7,679,062,242 |
| $ | 817,015 |
| $ | 8,053,740,482 |
|
|
|
|
* | See Schedule of Investments for fair values in each industry. |
** | As of June 30, 2012, Cooper Standard Holding, Inc. (“Cooper Standard”) common stock, valued at $27,670,508, was included in Level 1 since it was actively traded and valued based on the last sales price on its principal exchange. At December 31, 2011, Cooper Standard was included in Level 2. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
|
|
|
|
|
|
|
|
Investment Type |
| High Yield |
| Warrants |
| ||
| |||||||
Balance as of January 1, 2012 |
| $ | 229,200 |
| $ | 786,250 |
|
Accrued discounts/premiums |
|
| — |
|
| — |
|
Realized gain (loss) |
|
| — |
|
| — |
|
Change in unrealized appreciation/depreciation |
|
| (121,786 | ) |
| — |
|
Purchase |
|
| — |
|
| — |
|
Sales |
|
| (135,149 | ) |
| — |
|
Net transfers in or out of Level 3 |
|
| 58,500 |
|
| — |
|
| |||||||
Balance as of June 30, 2012 |
| $ | 30,765 |
| $ | 786,250 |
|
|
|
|
(l) | Disclosures about Derivative Instruments and Hedging Activities–The Fund entered into U.S. Treasury futures contracts during the six months ended June 30, 2012 (as described in note 2(h)) to hedge against changes in interest rates. The Fund bears the risk of interest rates moving unexpectedly, in which case the Fund may not achieve the anticipated benefits of the futures contracts and realize a loss. There is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default. |
|
|
| Realized loss of $1,070,107 and unrealized appreciation of $97,919 are included on the Statement of Operations related to futures contracts under the captions Net realized gain on investments, futures contracts and foreign currency related transactions and Net change in unrealized appreciation/depreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies, respectively. The average number of futures contracts throughout the period was 262. |
49
Notes to Financial Statements (unaudited)(continued)
|
|
|
3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
|
The management fee is based on the Fund’s average daily net assets at the following annual rate:
|
|
First $500 million | .50% |
Next $9.5 billion | .45% |
Over $10 billion | .40% |
For the six months ended June 30, 2012, the effective management fee was at an annualized rate of .45% of the Fund’s average daily net assets.
In addition, Lord Abbett provides certain administrative services to the Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of .04% of the Fund’s average daily net assets.
|
|
|
|
|
|
|
|
|
Fees* | Class A | Class B | Class C | Class F | Class P | Class R2 | Class R3 |
|
Service | .25%(1) | .25% | .25% | — | .25% | .25% | .25% |
|
Distribution | .10% | .75% | .75% | .10% | .20% | .35% | .25% |
|
|
|
* | The Fund may designate a portion of the aggregate fee as attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations. |
(1) | Annual service fee on shares sold prior to June 1, 1990 is .15% of the average daily net assets attributable to Class A shares. |
Class I shares do not have a distribution plan.
Commissions
Distributor received the following commissions on sales of shares of the Fund, after concessions were paid to authorized dealers, for the six months ended June 30, 2012:
|
|
|
Distributor |
| Dealers’ |
$1,389,492 |
| $7,006,907 |
Distributor received CDSCs of $59,144 and $61,366 for Class A and Class C shares, respectively, for the six months ended June 30, 2012.
Two Directors and certain of the Fund’s officers have an interest in Lord Abbett.
|
|
|
4. | DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS |
|
Dividends from net investment income, if any, are declared daily and paid monthly. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to
50
Notes to Financial Statements (unaudited)(continued)
shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.
The tax character of distributions paid during the six months ended June 30, 2012 and the fiscal year ended December 31, 2011 was as follows:
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
|
| |||||
Distributions paid from: |
|
|
|
|
|
Ordinary income |
| $239,293,837 |
| $475,601,312 |
|
| |||||
Total distributions paid |
| $239,293,837 |
| $475,601,312 |
|
|
As of December 31, 2011, the Fund had a capital loss carryforward of $145,799,985 set to expire in 2017.
In accordance with the Regulated Investment Company Modernization Act of 2010, the Fund will carryforward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) indefinitely. Post-enactment losses will retain their character as either short-term or long-term and be utilized before any pre-enactment losses.
As of June 30, 2012, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:
|
|
|
|
|
Tax cost |
| $ | 7,906,547,430 |
|
| ||||
Gross unrealized gain |
|
| 453,725,188 |
|
Gross unrealized loss |
|
| (306,532,136 | ) |
| ||||
Net unrealized security gain |
| $ | 147,193,052 |
|
|
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of wash sales, premium amortization and certain securities.
|
|
|
5. | PORTFOLIO SECURITIES TRANSACTIONS |
|
Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2012 were as follows:
|
|
Purchases | Sales |
$1,859,630,310 | $1,648,999,455 |
There were no purchases or sales of U.S. Government securities for the six months ended June 30, 2012.
|
|
|
6. | DIRECTORS’ REMUNERATION |
|
The Fund’s officers and the two Directors who are associated with Lord Abbett do not receive any compensation from the Fund for serving in such capacities. Independent Directors’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Directors under which Independent Directors must
51
Notes to Financial Statements (unaudited)(continued)
defer receipt of a portion of, and may elect to defer receipt of an additional portion of Directors’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Directors’ fees on the Statement of Operations and in Directors’ fees payable on the Statement of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
|
|
|
7. | EXPENSE REDUCTIONS |
|
The Fund has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of the Fund’s expenses.
|
|
|
8. | LINE OF CREDIT |
|
On April 2, 2012, the Fund and certain other funds managed by Lord Abbett (the “participating funds”) entered into an unsecured revolving credit facility (“Facility”) with State Street Bank and Trust Company (“SSB”), to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. The Facility is renewed annually under terms that depend on market conditions at the time of the renewal. The amounts available under the Facility are (i) the lesser of either $250,000,000 or 33.33% of total assets per participating fund and (ii) $350,000,000 in the aggregate for all participating funds. The annual fee to maintain the Facility is .09% of the amount available under the Facility. Each participating fund pays its pro rata share based on the net assets of each participating fund. This amount is included in Other expenses on the Fund’s Statement of Operations. Any borrowings under this Facility will bear interest at current market rates as set forth in the credit agreement. As of June 30, 2012, there were no loans outstanding pursuant to this Facility.
For the period February 3, 2011 through April 1, 2012, the Fund and certain other funds managed by Lord Abbett had an amount of $200,000,000 available under a Facility from SSB with an annual fee to maintain the Facility of .125% of the amount available under the Facility.
|
|
|
9. | CUSTODIAN AND ACCOUNTING AGENT |
|
SSB is the Fund’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating the Fund’s NAV.
|
|
|
10. | INVESTMENT RISKS |
|
The Fund is subject to the general risks and considerations associated with investing in debt securities. The value of an investment will change as interest rates fluctuate and in response to market movements. When interest rates rise, the prices of debt securities are likely to decline; when rates fall, such prices tend to rise. Longer-term debt securities are usually more sensitive to interest rate changes. There is also the risk that an issuer of a debt security will fail to make timely payments of principal or interest to the Fund, a risk that is greater with high yield securities (sometimes called “lower-rated bonds” or “junk bonds”), in which the Fund may substantially invest. Some issuers, particularly of high yield securities, may default as to principal and/or interest payments after the Fund purchases its securities. A default, or concerns in the market about an increase in risk of default, may result in losses to the Fund. High yield bonds are subject to greater price fluctuations, as well as additional risks.
The mortgage-related securities in which the Fund may invest may be particularly sensitive to changes in prevailing interest rates, and economic conditions, including delinquencies and/or defaults. These changes can affect the value, income and/or liquidity of such positions. When
52
Notes to Financial Statements (unaudited)(continued)
interest rates are declining, the value of these securities with prepayment features may not increase as much as other fixed income securities. Early principal repayment may deprive the Fund of income payments above current market rates. The prepayment rate also will affect the price and volatility of a mortgage-related security. In addition, while securities of government sponsored enterprises are guaranteed with respect to the timely payment of interest and principal by the particular enterprise involved, they are not guaranteed by the U.S. Government. In addition, the Fund may invest in non-agency asset backed and mortgage related securities, which are issued by private institutions, not by government-sponsored enterprises.
The Fund may invest up to 20% of its net assets in equity securities, the value of which fluctuates in response to movements in the equity securities market in general and to the changing prospects of individual companies in which the Fund invests.
The Fund may invest in convertible securities, which have both equity and fixed income risk characteristics. Generally, convertible securities offer lower interest or dividend yields than non-convertible securities of similar quality and less potential for gains or capital appreciation in a rising equity securities market than equity securities. They tend to be more volatile than other fixed income securities and the market for convertible securities may be less liquid than markets for stocks or bonds. A significant portion of convertible securities have below investment grade credit ratings and are subject to increased credit and liquidity risks.
Due to the Fund’s exposure to foreign companies and ADRs, the Fund may experience increased market, liquidity, currency, political, information, and other risks.
The Fund is subject to the risks associated with derivatives, which may be different from and greater than the risks associated with directly investing in securities. Derivatives may be subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, and credit risk. Illiquid securities may lower the Fund’s returns since the Fund may be unable to sell these securities at their desired time or price. Derivatives also may involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with the value of the underlying asset, rate or index. Whether the Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements and other factors. If the Fund incorrectly forecasts these and other factors, the Fund’s performance could suffer.
The Fund may invest up to 15% of its net assets in floating rate or adjustable rate senior loans, including bridge loans, novations, assignments, and participations, which are subject to increased credit and liquidity risks. Senior loans are business loans made to borrowers that may be U.S. or foreign corporations, partnerships or other business entities.
These factors can affect the Fund’s performance.
53
|
Notes to Financial Statements (unaudited)(continued) |
|
|
|
11. | SUMMARY OF CAPITAL TRANSACTIONS |
|
Transactions in shares of capital stock were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
|
| Year Ended |
| ||||||
Class A Shares |
|
| Shares |
|
| Amount |
|
| Shares |
|
| Amount |
|
Shares sold |
|
| 57,717,743 |
| $ | 453,892,532 |
|
| 97,086,667 |
| $ | 757,133,051 |
|
Converted from Class B* |
|
| 4,436,922 |
|
| 34,971,315 |
|
| 20,884,767 |
|
| 164,674,901 |
|
Reinvestment of distributions |
|
| 15,474,439 |
|
| 122,021,928 |
|
| 29,625,896 |
|
| 231,514,709 |
|
Shares reacquired |
|
| (62,686,473 | ) |
| (492,636,498 | ) |
| (143,676,633 | ) |
| (1,122,936,580 | ) |
Increase |
|
| 14,942,631 |
| $ | 118,249,277 |
|
| 3,920,697 |
| $ | 30,386,081 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class B Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 383,087 |
| $ | 3,022,260 |
|
| 1,000,755 |
| $ | 7,878,556 |
|
Reinvestment of distributions |
|
| 801,144 |
|
| 6,341,679 |
|
| 2,210,804 |
|
| 17,405,478 |
|
Shares reacquired |
|
| (2,751,401 | ) |
| (21,723,973 | ) |
| (11,556,155 | ) |
| (91,321,896 | ) |
Converted to Class A* |
|
| (4,422,705 | ) |
| (34,971,315 | ) |
| (20,811,510 | ) |
| (164,674,901 | ) |
Decrease |
|
| (5,989,875 | ) | $ | (47,331,349 | ) |
| (29,156,106 | ) | $ | (230,712,763 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class C Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 23,400,555 |
| $ | 184,503,557 |
|
| 34,334,037 |
| $ | 268,754,112 |
|
Reinvestment of distributions |
|
| 4,806,743 |
|
| 37,989,624 |
|
| 8,783,332 |
|
| 68,753,292 |
|
Shares reacquired |
|
| (16,933,047 | ) |
| (133,493,259 | ) |
| (47,505,908 | ) |
| (372,750,593 | ) |
Increase (decrease) |
|
| 11,274,251 |
| $ | 88,999,922 |
|
| (4,388,539 | ) | $ | (35,243,189 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class F Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 27,622,794 |
| $ | 217,103,989 |
|
| 58,314,898 |
| $ | 454,487,913 |
|
Reinvestment of distributions |
|
| 2,685,587 |
|
| 21,147,880 |
|
| 4,052,088 |
|
| 31,585,935 |
|
Shares reacquired |
|
| (16,395,077 | ) |
| (128,729,899 | ) |
| (40,481,178 | ) |
| (314,697,255 | ) |
Increase |
|
| 13,913,304 |
| $ | 109,521,970 |
|
| 21,885,808 |
| $ | 171,376,593 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class I Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 12,893,500 |
| $ | 100,648,867 |
|
| 30,123,858 |
| $ | 232,846,660 |
|
Reinvestment of distributions |
|
| 614,651 |
|
| 4,827,461 |
|
| 2,593,664 |
|
| 20,255,778 |
|
Shares reacquired |
|
| (27,716,577 | ) |
| (214,185,082 | ) |
| (36,551,118 | ) |
| (279,551,497 | ) |
Decrease |
|
| (14,208,426 | ) | $ | (108,708,754 | ) |
| (3,833,596 | ) | $ | (26,449,059 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class P Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 1,016,707 |
| $ | 8,136,534 |
|
| 2,637,317 |
| $ | 21,147,848 |
|
Reinvestment of distributions |
|
| 410,498 |
|
| 3,305,748 |
|
| 1,009,250 |
|
| 8,066,008 |
|
Shares reacquired |
|
| (1,956,242 | ) |
| (15,664,492 | ) |
| (7,568,696 | ) |
| (59,073,983 | ) |
Decrease |
|
| (529,037 | ) | $ | (4,222,210 | ) |
| (3,922,129 | ) | $ | (29,860,127 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class R2 Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 160,058 |
| $ | 1,257,334 |
|
| 95,147 |
| $ | 751,686 |
|
Reinvestment of distributions |
|
| 1,653 |
|
| 13,039 |
|
| 3,199 |
|
| 24,989 |
|
Shares reacquired |
|
| (77,119 | ) |
| (605,441 | ) |
| (42,941 | ) |
| (335,935 | ) |
Increase |
|
| 84,592 |
| $ | 664,932 |
|
| 55,405 |
| $ | 440,740 |
|
54
Notes to Financial Statements (unaudited)(concluded)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
|
| Year Ended |
| ||||||
Class R3 Shares |
|
| Shares |
|
| Amount |
|
| Shares |
|
| Amount |
|
Shares sold |
|
| 1,882,542 |
| $ | 14,812,227 |
|
| 2,786,978 |
| $ | 21,688,294 |
|
Reinvestment of distributions |
|
| 199,556 |
|
| 1,570,900 |
|
| 303,444 |
|
| 2,362,940 |
|
Shares reacquired |
|
| (989,460 | ) |
| (7,770,089 | ) |
| (1,367,048 | ) |
| (10,754,223 | ) |
Increase |
|
| 1,092,638 |
| $ | 8,613,038 |
|
| 1,723,374 |
| $ | 13,297,011 |
|
|
|
* | Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. |
55
Householding
The Fund has adopted a policy that allows it to send only one copy of the Fund’s prospectus, proxy material, annual report and semiannual report to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P.O. Box 219336, Kansas City, MO 64121.
Proxy Voting Policies, Procedures and Records
A description of the policies and procedures that Lord Abbett uses to vote proxies related to the Fund’s portfolio securities, and information on how Lord Abbett voted the Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.
Shareholder Reports and Quarterly Portfolio Disclosure
The Fund is required to file its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).
56
|
|
|
|
| |
|
|
|
|
|
|
This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus. |
|
|
|
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Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC. | Lord Abbett Bond-Debenture Fund, Inc. | LABD-3-0612 |
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Item 2: | Code of Ethics. |
| Not applicable. |
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Item 3: | Audit Committee Financial Expert. |
| Not applicable. |
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Item 4: | Principal Accountant Fees and Services. |
| Not applicable. |
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Item 5: | Audit Committee of Listed Registrants. |
| Not applicable. |
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Item 6: | Investments. |
| Not applicable. |
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Item 7: | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
| Not applicable. |
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Item 8: | Portfolio Managers of Closed-End Management Investment Companies. |
| Not applicable. |
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Item 9: | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
| Not applicable. |
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Item 10: | Submission of Matters to a Vote of Security Holders. |
| Not applicable. |
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Item 11: | Controls and Procedures. |
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| (a) | Based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days prior to the filing date of this report, the Chief Executive Officer and Chief Financial Officer of the Registrant have concluded that such disclosure controls and procedures are reasonably designed and effective to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to them by others within those entities. |
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| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
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Item 12: | Exhibits. |
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| (a)(1) | Amendments to Code of Ethics – Not applicable. |
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| (a)(2) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2 under the Investment Company Act of 1940 is attached hereto as a part of EX-99.CERT. |
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| (a)(3) | Not applicable. |
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| (b) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Section 906 of the Sarbanes-Oxley Act of 2002 is provided as a part of EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
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| LORD ABBETT BOND-DEBENTURE FUND, INC. | ||
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| By: | /s/ Robert S. Dow | |
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| Robert S. Dow | |
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| Chief Executive Officer and Chairman |
Date: August 21, 2012
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| By: | /s/ Joan A. Binstock | |
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| Joan A. Binstock | |
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| Chief Financial Officer and Vice President |
Date: August 21, 2012
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
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| By: | /s/ Robert S. Dow | |
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| Robert S. Dow | |
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| Chief Executive Officer and Chairman |
Date: August 21, 2012
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| By: | /s/ Joan A. Binstock | |
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| Joan A. Binstock | |
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| Chief Financial Officer and Vice President |
Date: August 21, 2012