UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-02145
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) |
Registrant’s telephone number, including area code: (800) 201-6984
Date of fiscal year end: 12/31
Date of reporting period: 6/30/2013
Item 1: | Report(s) to Shareholders. |
2 0 1 3
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, 2013
Table of Contents
Lord Abbett Bond Debenture Fund
Semiannual Report
For the six-month period ended June 30, 2013
Dear Shareholders: We are pleased to provide you with this semiannual report for Lord Abbett Bond Debenture Fund for the six-month period ended June 30, 2013. 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,
Daria L. Foster
Director, President and Chief Executive Officer
1
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, 2013 through June 30, 2013).
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 titled “Expenses Paid During Period 1/1/13 – 6/30/13” 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
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.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | |||||
1/1/13 | 6/30/13 | 1/1/13 - 6/30/13 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,017.06 | $4.80 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.05 | $4.81 | ||||
Class B | |||||||
Actual | $1,000.00 | $1,012.64 | $8.03 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,016.82 | $8.05 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,013.88 | $8.04 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,016.83 | $8.05 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,018.40 | $3.55 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.28 | $3.56 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,018.78 | $3.05 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.78 | $3.06 | ||||
Class P | |||||||
Actual | $1,000.00 | $1,017.44 | $4.75 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.10 | $4.76 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,015.83 | $6.05 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.80 | $6.06 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,015.08 | $5.50 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.32 | $5.51 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.96% for Class A, 1.61% for Classes B and C, 0.71% for Class F, 0.61% for Class I, 0.95% for Class P, 1.21% for Class R2 and 1.10% for Class R3) multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period). |
Portfolio Holdings Presented by Sector
June 30, 2013
Sector* | %** | |||
Agency | 0.04 | % | ||
Automotive | 2.40 | % | ||
Banking | 3.71 | % | ||
Basic Industry | 6.58 | % | ||
Capital Goods | 8.57 | % | ||
Consumer Cyclical | 5.72 | % | ||
Consumer Non-Cyclical | 3.53 | % | ||
Energy | 15.38 | % | ||
Financial Services | 5.27 | % | ||
Foreign Government | 0.23 | % | ||
Health Care | 7.64 | % | ||
Sector* | %** | |||
Insurance | 1.31 | % | ||
Media | 5.48 | % | ||
Municipal | 0.20 | % | ||
Real Estate | 1.88 | % | ||
Services | 8.38 | % | ||
Technology & Electronics | 9.28 | % | ||
Telecommunications | 8.52 | % | ||
U.S. Government | 3.19 | % | ||
Utilities | 2.37 | % | ||
Repurchase Agreement | 0.32 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
3
Schedule of Investments (unaudited)
June 30, 2013
Shares | Fair | ||||||||||
Investments | (000) | Value | |||||||||
LONG-TERM INVESTMENTS 99.15% | |||||||||||
COMMON STOCKS 3.82% | |||||||||||
Agency/Government Related 0.01% | |||||||||||
Fannie Mae* | 818 | $ | 1,153,648 | ||||||||
Airlines 0.07% | |||||||||||
United Continental Holdings, Inc.* | 185 | 5,788,650 | |||||||||
Auto Parts & Equipment 0.07% | |||||||||||
Cooper-Standard Holdings, Inc.* | 124 | 5,782,229 | |||||||||
Banking 0.21% | |||||||||||
Fifth Third Bancorp | 350 | 6,317,500 | |||||||||
Huntington Bancshares, Inc. | 700 | 5,516,000 | |||||||||
Regions Financial Corp. | 600 | 5,718,000 | |||||||||
Total | 17,551,500 | ||||||||||
Chemicals 0.30% | |||||||||||
Axiall Corp. | 150 | 6,387,000 | |||||||||
Monsanto Co. | 185 | 18,278,000 | |||||||||
Total | 24,665,000 | ||||||||||
Computer Hardware 0.11% | |||||||||||
Apple, Inc. | 15 | 5,941,200 | |||||||||
NVIDIA Corp. | 220 | 3,086,600 | |||||||||
Total | 9,027,800 | ||||||||||
Consumer/Commercial/Lease Financing 0.05% | |||||||||||
Nationstar Mortgage Holdings, Inc.* | 100 | 3,744,000 | |||||||||
Consumer Products 0.15% | |||||||||||
Estee Lauder Cos., Inc. (The) Class A | 185 | 12,167,450 | |||||||||
Diversified Capital Goods 0.12% | |||||||||||
Emerson Electric Co. | 175 | 9,544,500 | |||||||||
Electronics 0.06% | |||||||||||
Broadcom Corp. Class A | 150 | 5,064,000 | |||||||||
Energy: Exploration & Production 0.63% | |||||||||||
Concho Resources, Inc.* | 248 | 20,787,676 | |||||||||
Kodiak Oil & Gas Corp.* | 500 | 4,445,000 | |||||||||
SM Energy Co. | 135 | 8,097,300 |
4 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Shares | Fair | ||||||||||
Investments | (000) | Value | |||||||||
Energy: Exploration & Production (continued) | |||||||||||
Whiting Petroleum Corp.* | 409 | $ | 18,854,051 | ||||||||
Total | 52,184,027 | ||||||||||
Food: Wholesale 0.06% | |||||||||||
Boulder Brands, Inc.* | 395 | 4,759,750 | |||||||||
Health Services 0.11% | |||||||||||
Team Health Holdings, Inc.* | 220 | 9,035,400 | |||||||||
Investments & Miscellaneous Financial Services 0.19% | |||||||||||
SPDR S&P 500 ETF Trust | 100 | 16,001,000 | |||||||||
Life Insurance 0.11% | |||||||||||
MetLife, Inc. | 200 | 9,152,000 | |||||||||
Machinery 0.16% | |||||||||||
Chart Industries, Inc.* | 125 | 11,761,250 | |||||||||
Rexnord Corp.* | 100 | 1,685,000 | |||||||||
Total | 13,446,250 | ||||||||||
Media: Diversified 0.09% | |||||||||||
Time Warner, Inc. | 125 | 7,227,500 | |||||||||
Multi-Line Insurance 0.05% | |||||||||||
Hartford Financial Services Group, Inc. | 120 | 3,710,400 | |||||||||
Pharmaceuticals 0.39% | |||||||||||
Amarin Corp. plc ADR* | 400 | 2,320,000 | |||||||||
BioMarin Pharmaceutical, Inc.* | 200 | 11,158,000 | |||||||||
Bristol-Myers Squibb Co. | 75 | 3,351,750 | |||||||||
Onyx Pharmaceuticals, Inc.* | 75 | 9,000,000 | |||||||||
Vertex Pharmaceuticals, Inc.* | 83 | 6,612,278 | |||||||||
Total | 32,442,028 | ||||||||||
Printing & Publishing 0.06% | |||||||||||
Tribune Co.* | 92 | 5,255,625 | |||||||||
Real Estate Investment Trusts 0.08% | |||||||||||
Camden Property Trust | 100 | 6,914,000 | |||||||||
Software/Services 0.35% | |||||||||||
Facebook, Inc. Class A* | 200 | 4,972,000 | |||||||||
Fortinet, Inc.* | 300 | 5,250,000 | |||||||||
Informatica Corp.* | 300 | 10,494,000 |
See Notes to Financial Statements. | 5 |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Shares | Fair | ||||||||||
Investments | (000) | Value | |||||||||
Software/Services (continued) | |||||||||||
VMware, Inc. Class A* | 125 | $ | 8,373,750 | ||||||||
Total | 29,089,750 | ||||||||||
Specialty Retail 0.09% | |||||||||||
Home Depot, Inc. (The) | 100 | 7,747,000 | |||||||||
Telecommunications Equipment 0.23% | |||||||||||
Aruba Networks, Inc.* | 550 | 8,448,000 | |||||||||
Palo Alto Networks, Inc.* | 260 | 10,961,600 | |||||||||
Total | 19,409,600 | ||||||||||
Telecommunications: Wireless 0.07% | |||||||||||
QUALCOMM, Inc. | 100 | 6,108,000 | |||||||||
Total Common Stocks (cost $322,823,134) | 316,971,107 | ||||||||||
Principal | |||||||||||
Interest | Maturity | Amount | |||||||||
Rate | Date | (000) | |||||||||
CONVERTIBLE BONDS 6.81% | |||||||||||
Apparel/Textiles 0.13% | |||||||||||
Iconix Brand Group, Inc.† | 1.50% | 3/15/2018 | $ | 10,000 | 11,193,750 | ||||||
Auto Loans 0.23% | |||||||||||
Volkswagen International Finance NV (Netherlands)†(a) | 5.50% | 11/9/2015 | EUR | 14,000 | 18,716,938 | ||||||
Auto Parts & Equipment 0.18% | |||||||||||
Meritor, Inc.† | 7.875% | 3/1/2026 | $ | 6,435 | 7,854,722 | ||||||
Meritor, Inc. (Zero Coupon after 2/15/2019)~ | 4.00% | 2/15/2027 | 8,250 | 7,332,187 | |||||||
Total | 15,186,909 | ||||||||||
Automakers 0.14% | |||||||||||
Ford Motor Co. | 4.25% | 11/15/2016 | 6,250 | 11,324,219 | |||||||
Computer Hardware 0.63% | |||||||||||
Intel Corp. | 2.95% | 12/15/2035 | 10,000 | 10,906,250 | |||||||
Intel Corp. | 3.25% | 8/1/2039 | 7,000 | 8,933,785 | |||||||
Micron Technology, Inc.† | 2.375% | 5/1/2032 | 9,775 | 15,664,438 | |||||||
SanDisk Corp. | 1.50% | 8/15/2017 | 12,500 | 16,726,562 | |||||||
Total | 52,231,035 |
6 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Electronics 0.14% | |||||||||||
ON Semiconductor Corp. | 2.625% | 12/15/2026 | $ | 9,800 | $ | 11,312,875 | |||||
Energy: Exploration & Production 0.32% | |||||||||||
Chesapeake Energy Corp. | 2.50% | 5/15/2037 | 15,000 | 14,203,125 | |||||||
Cobalt International Energy, Inc. | 2.625% | 12/1/2019 | 12,000 | 12,742,500 | |||||||
Total | 26,945,625 | ||||||||||
Gaming 0.07% | |||||||||||
MGM Resorts International | 4.25% | 4/15/2015 | 5,000 | 5,609,375 | |||||||
Health Services 0.42% | |||||||||||
Brookdale Senior Living, Inc. | 2.75% | 6/15/2018 | 15,700 | 18,565,250 | |||||||
Illumina, Inc.† | 0.25% | 3/15/2016 | 7,600 | 8,236,500 | |||||||
Theravance, Inc. | 3.00% | 1/15/2015 | 5,565 | 8,309,241 | |||||||
Total | 35,110,991 | ||||||||||
Hotels 0.33% | |||||||||||
Host Hotels & Resorts LP† | 2.50% | 10/15/2029 | 20,000 | 27,150,000 | |||||||
Integrated Energy 0.12% | |||||||||||
SunPower Corp. | 4.50% | 3/15/2015 | 8,350 | 9,785,156 | |||||||
Investments & Miscellaneous Financial Services 0.16% | |||||||||||
Affiliated Managers Group, Inc. | 3.95% | 8/15/2038 | 10,000 | 12,887,500 | |||||||
Machinery 0.34% | |||||||||||
Altra Holdings, Inc. | 2.75% | 3/1/2031 | 8,750 | 10,505,469 | |||||||
Chart Industries, Inc. | 2.00% | 8/1/2018 | 12,000 | 18,052,500 | |||||||
Total | 28,557,969 | ||||||||||
Managed Care 0.11% | |||||||||||
WellPoint, Inc.† | 2.75% | 10/15/2042 | 7,500 | 9,375,000 | |||||||
Medical Products 0.05% | |||||||||||
Hologic, Inc. (Zero Coupon after 3/1/2018)~ | 2.00% | 3/1/2042 | 4,000 | 3,967,500 | |||||||
Metals/Mining (Excluding Steel) 0.12% | |||||||||||
Alpha Natural Resources, Inc. | 3.75% | 12/15/2017 | 6,000 | 5,130,000 | |||||||
Newmont Mining Corp. | 1.25% | 7/15/2014 | 5,000 | 5,062,500 | |||||||
Total | 10,192,500 | ||||||||||
Oil Field Equipment & Services 0.26% | |||||||||||
Hornbeck Offshore Services, Inc.† | 1.50% | 9/1/2019 | 17,500 | 21,262,500 |
See Notes to Financial Statements. | 7 |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Pharmaceuticals 1.02% | |||||||||||
Auxilium Pharmaceuticals, Inc. | 1.50% | 7/15/2018 | $ | 1,900 | $ | 1,837,063 | |||||
Gilead Sciences, Inc. | 1.625% | 5/1/2016 | 14,000 | 31,710,070 | |||||||
Medivation, Inc. | 2.625% | 4/1/2017 | 21,500 | 27,237,812 | |||||||
Mylan, Inc. | 3.75% | 9/15/2015 | 10,000 | 23,750,000 | |||||||
Total | 84,534,945 | ||||||||||
Software/Services 1.53% | |||||||||||
Alliance Data Systems Corp. | 1.75% | 8/1/2013 | 10,000 | 22,731,250 | |||||||
Concur Technologies, Inc.† | 0.50% | 6/15/2018 | 4,725 | 4,725,000 | |||||||
EMC Corp. | 1.75% | 12/1/2013 | 7,250 | 10,716,443 | |||||||
NetSuite, Inc.† | 0.25% | 6/1/2018 | 11,175 | 11,426,437 | |||||||
Nuance Communications, Inc. | 2.75% | 8/15/2027 | 9,900 | 11,477,812 | |||||||
Nuance Communications, Inc. | 2.75% | 11/1/2031 | 9,300 | 9,625,500 | |||||||
Salesforce.com, Inc. | 0.75% | 1/15/2015 | 10,000 | 18,118,750 | |||||||
Shutterfly, Inc.† | 0.25% | 5/15/2018 | 6,475 | 7,158,922 | |||||||
Workday, Inc.† | 0.75% | 7/15/2018 | 8,275 | 8,461,188 | |||||||
Xilinx, Inc. | 2.625% | 6/15/2017 | 15,500 | 22,223,125 | |||||||
Total | 126,664,427 | ||||||||||
Support: Services 0.27% | |||||||||||
priceline.com, Inc. | 1.00% | 3/15/2018 | 14,000 | 16,345,000 | |||||||
priceline.com, Inc. | 1.25% | 3/15/2015 | 2,358 | 6,449,537 | |||||||
Total | 22,794,537 | ||||||||||
Telecommunications Equipment 0.19% | |||||||||||
Nortel Networks Corp. (Canada)(b)(c) | 2.125% | 4/15/2014 | 15,800 | 15,395,125 | |||||||
Telecommunications: Wireless 0.05% | |||||||||||
Clearwire Communications LLC/Clearwire Finance, Inc.† | 8.25% | 12/1/2040 | 3,500 | 3,880,625 | |||||||
Total Convertible Bonds (cost $516,900,301) | 564,079,501 | ||||||||||
Dividend | Shares | ||||||||||
Rate | (000) | ||||||||||
CONVERTIBLE PREFERRED STOCKS 2.73% | |||||||||||
Aerospace/Defense 0.30% | |||||||||||
United Technologies Corp. | 7.50% | 420 | 24,931,200 | ||||||||
Auto Parts & Equipment 0.05% | |||||||||||
Cooper-Standard Holdings, Inc. PIK | 7.00% | 22 | 4,378,970 |
8 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Dividend | Shares | Fair | |||||||||
Investments | Rate | (000) | Value | ||||||||
Automakers 0.17% | |||||||||||
General Motors Co. | 4.75% | 300 | $ | 14,448,000 | |||||||
Banking 0.33% | |||||||||||
Bank of America Corp. | 7.25% | 25 | 27,762,500 | ||||||||
Electric: Integrated 0.42% | |||||||||||
NextEra Energy, Inc. | 5.889% | 300 | 16,662,000 | ||||||||
PPL Corp. | 8.75% | 335 | 18,096,700 | ||||||||
Total | 34,758,700 | ||||||||||
Energy: Exploration & Production 0.12% | |||||||||||
Apache Corp. | 6.00% | 200 | 9,548,000 | ||||||||
Food: Wholesale 0.22% | |||||||||||
Bunge Ltd. | 4.875% | 180 | 18,180,000 | ||||||||
Investments & Miscellaneous Financial Services 0.35% | |||||||||||
AMG Capital Trust I | 5.10% | 470 | 28,875,625 | ||||||||
Life Insurance 0.26% | |||||||||||
MetLife, Inc. | 5.00% | 400 | 21,916,000 | ||||||||
Metals/Mining (Excluding Steel) 0.19% | |||||||||||
Cliffs Natural Resources, Inc. | 7.00% | 866 | 15,357,358 | ||||||||
Railroads 0.17% | |||||||||||
Genesee & Wyoming, Inc. | 5.00% | 120 | 14,416,800 | ||||||||
Real Estate Investment Trusts 0.04% | |||||||||||
Alexandria Real Estate Equities, Inc. | 7.00% | 120 | 3,106,800 | ||||||||
Steel Producers/Products 0.08% | |||||||||||
ArcelorMittal (Luxembourg)(b) | 6.00% | 335 | 6,287,950 | ||||||||
Telecommunications: Integrated/Services 0.03% | |||||||||||
Intelsat SA (Luxembourg)(b) | 5.75% | 40 | 2,200,000 | ||||||||
Total Convertible Preferred Stocks (cost $208,039,522) | 226,167,903 | ||||||||||
Principal | |||||||||||
Interest | Maturity | Amount | |||||||||
Rate | Date | (000) | |||||||||
FLOATING RATE LOANS(d) 2.20% | |||||||||||
Chemicals 0.05% | |||||||||||
Oxea S.A.R.L. USD 2nd Lien Term (Germany)(b) | 8.25% | 5/22/2020 | $ | 4,000 | 4,000,000 |
See Notes to Financial Statements. | 9 |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Department Stores 0.06% | |||||||||||
JC Penney Corp., Inc. Term Loan | 6.00% | 5/21/2018 | $ | 4,700 | $ | 4,715,087 | |||||
Diversified Capital Goods 0.07% | |||||||||||
Air Distribution Technologies, Inc. 1st Lien Term Loan | 5.00% | 11/9/2018 | 3,980 | 4,009,850 | |||||||
Air Distribution Technologies, Inc. 2nd Lien Term Loan | 9.25% | 5/1/2020 | 1,750 | 1,806,875 | |||||||
Total | 5,816,725 | ||||||||||
Electric: Generation 0.09% | |||||||||||
Texas Competitive Electric Holdings Co. LLC Extended Term Loan | 4.693% - 4.775% | 10/10/2017 | 11,124 | 7,791,986 | |||||||
Electric: Integrated 0.08% | |||||||||||
Essential Power LLC Term Loan B | 4.25% - 4.50% | 8/8/2019 | 6,700 | 6,702,746 | |||||||
Food 0.08% | |||||||||||
Hostess Brands, Inc. Term Loan | 6.75% | 3/6/2020 | 6,450 | 6,584,386 | |||||||
Food & Drug Retailers 0.19% | |||||||||||
Albertson’s LLC Term Loan B2 | 4.75% | 3/21/2019 | 7,232 | 7,197,994 | |||||||
Rite Aid Corp. Tranche 1 Term Loan (2nd Lien) | 5.75% | 8/21/2020 | 8,700 | 8,841,375 | |||||||
Total | 16,039,369 | ||||||||||
Food/Tobacco 0.14% | |||||||||||
GFA Brands, Inc. New Term Loan | 7.00% | 7/2/2018 | 11,610 | 11,653,537 | |||||||
Food: Wholesale 0.09% | |||||||||||
Diamond Foods, Inc. Revolver | 6.25% | 2/25/2015 | 3,468 | 3,346,600 | |||||||
Diamond Foods, Inc. Term Loan | 6.75% | 2/25/2015 | 4,046 | 4,023,410 | |||||||
Total | 7,370,010 | ||||||||||
Gaming 0.11% | |||||||||||
Harrah’s Las Vegas Propco LLC Senior Loan | 3.69% | 2/13/2014 | 10,000 | 9,266,700 | |||||||
Health Facilities 0.12% | |||||||||||
Ardent Medical Services, Inc. 2nd Lien Term Loan | 11.00% | 11/23/2018 | 3,400 | 3,455,250 | |||||||
Drumm Investors LLC Term Loan | 5.00% | 5/4/2018 | 6,841 | 6,593,169 | |||||||
Total | 10,048,419 | ||||||||||
Health Services 0.12% | |||||||||||
CHG Buyer Corp. 1st Lien Term Loan | 5.00% | 11/19/2019 | 9,870 | 9,928,314 |
10 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Investments & Miscellaneous Financial Services 0.15% | |||||||||||
Nuveen Investments, Inc. Tranche B 2nd Lien Term Loan | 6.50% | 2/28/2019 | $ | 6,900 | $ | 6,833,863 | |||||
Sedgwick Claims Management Services, Inc. Additional Term Loan B | 8.00% | 12/12/2018 | 5,250 | 5,299,219 | |||||||
Total | 12,133,082 | ||||||||||
Media: Broadcast 0.21% | |||||||||||
Clear Channel Communications, Inc. Tranche B Term Loan | 3.845% | 1/29/2016 | 17,564 | 16,081,735 | |||||||
NEP Supershooters LP 2nd Lien Term Loan | 9.50% | 8/18/2020 | 1,629 | 1,675,393 | |||||||
Total | 17,757,128 | ||||||||||
Media: Cable 0.10% | |||||||||||
Virgin Media Investment Holdings Ltd. USD Term Loan B (United Kingdom)(b) | 3.50% | 6/5/2020 | 8,500 | 8,423,288 | |||||||
Media: Services 0.27% | |||||||||||
Affinion Group, Inc. Term Loan B | 6.50% | 10/10/2016 | 15,435 | 14,709,489 | |||||||
Digital Generation, Inc. Initial Term Loan | 7.25% | 7/26/2018 | 7,307 | 7,228,309 | |||||||
Total | 21,937,798 | ||||||||||
Real Estate Development & Management 0.01% | |||||||||||
Realogy Corp. Extended Letter of Credit | 4.453% | 10/10/2016 | 786 | 788,316 | |||||||
Software/Services 0.26% | |||||||||||
ION Trading Technologies S.A.R.L. 2nd Lien Term Loan (Luxembourg)(b) | 8.25% | 5/21/2021 | 3,000 | 3,003,750 | |||||||
SRA International, Inc. Term Loan B | 6.50% | 7/20/2018 | 13,248 | 13,198,670 | |||||||
Syniverse Holdings, Inc. Term Loan | 5.00% | 4/23/2019 | 4,950 | 4,946,931 | |||||||
Total | 21,149,351 | ||||||||||
Total Floating Rate Loans (cost $183,967,799) | 182,106,242 | ||||||||||
FOREIGN BONDS(a) 0.51% | |||||||||||
Luxembourg 0.13% | |||||||||||
Matterhorn Mobile SA† | 6.75% | 5/15/2019 | CHF | 6,900 | 7,487,693 | ||||||
Mobile Challenger Intermediate Group SA PIK† | 8.75% | 3/15/2019 | CHF | 3,200 | 3,303,160 | ||||||
Total | 10,790,853 | ||||||||||
Netherlands 0.12% | |||||||||||
Goodyear Dunlop Tires Europe BV† | 6.75% | 4/15/2019 | EUR | 5,200 | 7,190,598 | ||||||
Refresco Group BV† | 7.375% | 5/15/2018 | EUR | 2,000 | 2,681,398 | ||||||
Total | 9,871,996 |
See Notes to Financial Statements. | 11 |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
United Kingdom 0.26% | |||||||||||
R&R Ice Cream plc† | 8.375% | 11/15/2017 | EUR | 10,400 | $ | 14,299,296 | |||||
Old Mutual plc | 6.376% | — | (e) | GBP | 5,258 | 6,969,518 | |||||
Total | 21,268,814 | ||||||||||
Total Foreign Bonds (cost $43,267,859) | 41,931,663 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 0.23% | |||||||||||
Bermuda 0.11% | |||||||||||
Bermuda Government† | 4.138% | 1/3/2023 | $ | 9,450 | 9,355,500 | ||||||
Canada 0.12% | |||||||||||
Government of Canada(a) | 2.75% | 9/1/2016 | CAD | 10,000 | 9,884,092 | ||||||
Total Foreign Government Obligations (cost $19,999,003) | 19,239,592 | ||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 0.74% | |||||||||||
Federal National Mortgage Assoc.(f) (cost $61,476,563) | 3.50% | TBA | $ | 60,000 | 60,928,122 | ||||||
HIGH YIELD CORPORATE BONDS 81.22% | |||||||||||
Aerospace/Defense 1.84% | |||||||||||
B/E Aerospace, Inc. | 5.25% | 4/1/2022 | 40,000 | 40,000,000 | |||||||
Bombardier, Inc. (Canada)†(b) | 6.125% | 1/15/2023 | 10,100 | 10,074,750 | |||||||
Esterline Technologies Corp. | 7.00% | 8/1/2020 | 9,100 | 9,805,250 | |||||||
GenCorp, Inc.† | 7.125% | 3/15/2021 | 15,000 | 15,600,000 | |||||||
Huntington Ingalls Industries, Inc. | 7.125% | 3/15/2021 | 15,000 | 16,200,000 | |||||||
ManTech International Corp. | 7.25% | 4/15/2018 | 17,000 | 17,765,000 | |||||||
Spirit Aerosystems, Inc. | 6.75% | 12/15/2020 | 21,300 | 22,258,500 | |||||||
Triumph Group, Inc.† | 4.875% | 4/1/2021 | 11,700 | 11,670,750 | |||||||
Triumph Group, Inc. | 8.00% | 11/15/2017 | 8,770 | 9,274,275 | |||||||
Total | 152,648,525 | ||||||||||
Airlines 0.20% | |||||||||||
American Airlines 2013-1 Class B Pass Through Trust† | 5.625% | 1/15/2021 | 4,000 | 4,140,000 | |||||||
United Airlines, Inc. | 6.636% | 7/2/2022 | 6,896 | 7,378,836 | |||||||
United Continental Holdings, Inc. | 6.375% | 6/1/2018 | 2,800 | 2,765,000 | |||||||
US Airways 2013-1 Class B Pass Through Trust | 5.375% | 11/15/2021 | 1,950 | 1,930,500 | |||||||
Total | 16,214,336 | ||||||||||
Apparel/Textiles 0.56% | |||||||||||
Hanesbrands, Inc. | 6.375% | 12/15/2020 | 7,500 | 8,034,375 | |||||||
Levi Strauss & Co. | 6.875% | 5/1/2022 | 5,000 | 5,450,000 |
12 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Apparel/Textiles (continued) | |||||||||||
Levi Strauss & Co. | 7.625% | 5/15/2020 | $ | 8,675 | $ | 9,412,375 | |||||
Perry Ellis International, Inc. | 7.875% | 4/1/2019 | 10,100 | 10,680,750 | |||||||
PVH Corp. | 4.50% | 12/15/2022 | 3,300 | 3,184,500 | |||||||
SIWF Merger Sub, Inc./Springs Industries, Inc.† | 6.25% | 6/1/2021 | 5,500 | 5,403,750 | |||||||
Wolverine World Wide, Inc.† | 6.125% | 10/15/2020 | 3,900 | 4,046,250 | |||||||
Total | 46,212,000 | ||||||||||
Auto Loans 0.14% | |||||||||||
Ford Motor Credit Co. LLC | 5.875% | 8/2/2021 | 7,300 | 7,971,724 | |||||||
General Motors Financial Co., Inc.† | 4.25% | 5/15/2023 | 3,900 | 3,641,625 | |||||||
Total | 11,613,349 | ||||||||||
Auto Parts & Equipment 0.95% | |||||||||||
Cooper-Standard Automotive, Inc. | 8.50% | 5/1/2018 | 5,000 | 5,325,000 | |||||||
Dana Holding Corp. | 6.50% | 2/15/2019 | 12,000 | 12,825,000 | |||||||
Delphi Corp. | 5.00% | 2/15/2023 | 10,500 | 10,841,250 | |||||||
International Automotive Components Group SA (Luxembourg)†(b) | 9.125% | 6/1/2018 | 14,500 | 14,572,500 | |||||||
Stanadyne Corp. | 10.00% | 8/15/2014 | 8,000 | 7,440,000 | |||||||
Stanadyne Holdings, Inc. | 12.00% | 2/15/2015 | 19,000 | 11,495,000 | |||||||
Stoneridge, Inc.† | 9.50% | 10/15/2017 | 7,250 | 7,793,750 | |||||||
Tenneco, Inc. | 6.875% | 12/15/2020 | 7,500 | 8,062,500 | |||||||
Total | 78,355,000 | ||||||||||
Automakers 0.36% | |||||||||||
Chrysler Group LLC/CG Co-Issuer, Inc. | 8.25% | 6/15/2021 | 10,000 | 11,087,500 | |||||||
General Motors Co.(c) | 8.375% | — | (e) | 15,000 | 1,500 | ||||||
Jaguar Land Rover Automotive plc (United Kingdom)†(b) | 5.625% | 2/1/2023 | 12,500 | 12,187,500 | |||||||
Oshkosh Corp. | 8.50% | 3/1/2020 | 6,000 | 6,517,500 | |||||||
Total | 29,794,000 | ||||||||||
Banking 2.80% | |||||||||||
Ally Financial, Inc. | 8.30% | 2/12/2015 | 10,000 | 10,800,000 | |||||||
Astoria Depositor Corp.† | 5.744% | 5/1/2016 | 7,118 | 7,260,136 | |||||||
Bank of America Corp. | 8.00% | — | (e) | 15,000 | 16,783,200 | ||||||
Bear Stearns Cos. LLC (The) | 5.55% | 1/22/2017 | 6,000 | 6,578,130 | |||||||
Fifth Third Capital Trust IV | 6.50% | 4/15/2037 | 16,250 | 16,250,000 | |||||||
HBOS plc (United Kingdom)†(b) | 6.75% | 5/21/2018 | 10,000 | 10,638,370 | |||||||
Huntington Bancshares, Inc. | 7.00% | 12/15/2020 | 5,050 | 6,034,397 | |||||||
JPMorgan Chase & Co. | 3.375% | 5/1/2023 | 10,000 | 9,330,740 |
See Notes to Financial Statements. | 13 |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Banking (continued) | |||||||||||
JPMorgan Chase & Co. | 7.90% | — | (e) | $ | 5,000 | $ | 5,655,735 | ||||
LBG Capital No.1 plc†(g) | 8.00% | — | (e) | 7,500 | 7,668,195 | ||||||
Macquarie Group Ltd. (Australia)†(b) | 6.00% | 1/14/2020 | 10,000 | 10,397,780 | |||||||
Morgan Stanley | 4.10% | 5/22/2023 | 17,500 | 16,200,730 | |||||||
Morgan Stanley | 6.25% | 8/28/2017 | 10,000 | 11,161,220 | |||||||
Nordea Bank AB (Sweden)†(b) | 4.25% | 9/21/2022 | 9,000 | 8,895,933 | |||||||
People’s United Financial, Inc. | 3.65% | 12/6/2022 | 15,550 | 14,631,073 | |||||||
Regions Bank | 6.45% | 6/26/2037 | 6,650 | 7,004,212 | |||||||
Regions Bank | 7.50% | 5/15/2018 | 9,942 | 11,621,273 | |||||||
Royal Bank of Scotland Group plc (The) (United Kingdom)(b) | 6.125% | 12/15/2022 | 5,700 | 5,443,004 | |||||||
Royal Bank of Scotland Group plc (The) (United Kingdom)(b) | 7.64% | — | (e) | 17,570 | 15,900,850 | ||||||
SVB Financial Group | 5.375% | 9/15/2020 | 9,350 | 10,264,393 | |||||||
Synovus Financial Corp. | 7.875% | 2/15/2019 | 7,750 | 8,621,875 | |||||||
Wachovia Capital Trust III | 5.57% | — | (e) | 15,000 | 14,737,500 | ||||||
Washington Mutual Bank(c) | 6.875% | 6/15/2011 | 22,500 | 2,250 | |||||||
Total | 231,880,996 | ||||||||||
Beverages 0.22% | |||||||||||
Constellation Brands, Inc. | 3.75% | 5/1/2021 | 4,700 | 4,412,125 | |||||||
Constellation Brands, Inc. | 4.25% | 5/1/2023 | 14,350 | 13,578,688 | |||||||
Total | 17,990,813 | ||||||||||
Brokerage 0.46% | |||||||||||
Cantor Fitzgerald LP† | 7.875% | 10/15/2019 | 12,655 | 13,110,150 | |||||||
Raymond James Financial, Inc. | 8.60% | 8/15/2019 | 20,000 | 24,900,460 | |||||||
Total | 38,010,610 | ||||||||||
Building & Construction 0.69% | |||||||||||
Beazer Homes USA, Inc.† | 7.25% | 2/1/2023 | 1,550 | 1,573,250 | |||||||
K. Hovnanian Enterprises, Inc. | 5.00% | 11/1/2021 | 5,779 | 5,258,890 | |||||||
KB Home | 9.10% | 9/15/2017 | 15,000 | 16,875,000 | |||||||
Lennar Corp.† | 4.125% | 12/1/2018 | 5,500 | 5,238,750 | |||||||
Lennar Corp. | 12.25% | 6/1/2017 | 9,500 | 12,231,250 | |||||||
Ryland Group, Inc. (The) | 5.375% | 10/1/2022 | 8,500 | 8,223,750 | |||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc.† | 5.25% | 4/15/2021 | 8,500 | 8,096,250 | |||||||
Total | 57,497,140 |
14 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Building Materials 0.90% | |||||||||||
American Builders & Contractors Supply Co., Inc.† | 5.625% | 4/15/2021 | $ | 3,700 | $ | 3,644,500 | |||||
Associated Materials LLC/AMH New Finance, Inc.† | 9.125% | 11/1/2017 | 2,300 | 2,426,500 | |||||||
Griffon Corp. | 7.125% | 4/1/2018 | 6,200 | 6,525,500 | |||||||
HD Supply, Inc. | 10.50% | 1/15/2021 | 3,100 | 3,220,125 | |||||||
HD Supply, Inc. | 11.50% | 7/15/2020 | 7,750 | 9,009,375 | |||||||
Interline Brands, Inc. PIK | 10.00% | 11/15/2018 | 2,675 | 2,889,000 | |||||||
Masco Corp. | 7.125% | 3/15/2020 | 12,000 | 13,440,000 | |||||||
Nortek, Inc.† | 8.50% | 4/15/2021 | 5,200 | 5,538,000 | |||||||
Owens Corning, Inc. | 4.20% | 12/15/2022 | 10,000 | 9,708,520 | |||||||
Owens Corning, Inc. | 9.00% | 6/15/2019 | 15,000 | 18,438,015 | |||||||
Total | 74,839,535 | ||||||||||
Chemicals 2.44% | |||||||||||
Airgas, Inc. | 7.125% | 10/1/2018 | 10,500 | 11,012,957 | |||||||
Ashland, Inc.† | 4.75% | 8/15/2022 | 11,200 | 11,116,000 | |||||||
Axiall Corp.† | 4.875% | 5/15/2023 | 14,000 | 13,352,500 | |||||||
CF Industries, Inc. | 3.45% | 6/1/2023 | 7,800 | 7,511,455 | |||||||
Chemtura Corp. | 7.875% | 9/1/2018 | 17,900 | 19,466,250 | |||||||
Dow Chemical Co. (The) | 8.55% | 5/15/2019 | 10,000 | 12,774,090 | |||||||
Eagle Spinco, Inc.† | 4.625% | 2/15/2021 | 22,075 | 21,274,781 | |||||||
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC | 8.875% | 2/1/2018 | 9,000 | 9,225,000 | |||||||
Huntsman International LLC | 8.625% | 3/15/2020 | 15,000 | 16,387,500 | |||||||
INEOS Finance plc (United Kingdom)†(b) | 7.50% | 5/1/2020 | 7,200 | 7,686,000 | |||||||
INEOS Group Holdings SA (Luxembourg)†(b) | 6.125% | 8/15/2018 | 2,900 | 2,776,750 | |||||||
LyondellBasell Industries NV (Netherlands)(b) | 6.00% | 11/15/2021 | 2,000 | 2,251,164 | |||||||
Methanex Corp. (Canada)(b) | 5.25% | 3/1/2022 | 9,900 | 10,395,782 | |||||||
NewMarket Corp. | 4.10% | 12/15/2022 | 6,780 | 6,581,488 | |||||||
Nufarm Australia Ltd. (Australia)†(b) | 6.375% | 10/15/2019 | 12,000 | 12,030,000 | |||||||
PetroLogistics LP/PetroLogistics Finance Corp.† | 6.25% | 4/1/2020 | 5,200 | 5,122,000 | |||||||
Phibro Animal Health Corp.† | 9.25% | 7/1/2018 | 16,300 | 17,604,000 | |||||||
Rockwood Specialties Group, Inc. | 4.625% | 10/15/2020 | 11,575 | 11,676,281 | |||||||
TPC Group, Inc.† | 8.75% | 12/15/2020 | 3,900 | 4,007,250 | |||||||
Total | 202,251,248 | ||||||||||
Computer Hardware 0.41% | |||||||||||
Apple, Inc. | 2.40% | 5/3/2023 | 10,000 | 9,294,670 | |||||||
Brocade Communications Systems, Inc. | 6.875% | 1/15/2020 | 12,500 | 13,406,250 | |||||||
NCR Corp. | 5.00% | 7/15/2022 | 3,200 | 3,104,000 |
See Notes to Financial Statements. | 15 |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Computer Hardware (continued) | |||||||||||
Seagate HDD Cayman | 6.875% | 5/1/2020 | $ | 8,000 | $ | 8,520,000 | |||||
Total | 34,324,920 | ||||||||||
Consumer/Commercial/Lease Financing 2.71% | |||||||||||
Air Lease Corp. | 6.125% | 4/1/2017 | 15,000 | 15,600,000 | |||||||
Aircastle Ltd. | 6.25% | 12/1/2019 | 7,775 | 8,115,156 | |||||||
CIT Group, Inc. | 4.25% | 8/15/2017 | 20,000 | 20,175,000 | |||||||
CIT Group, Inc. | 5.00% | 8/15/2022 | 25,000 | 24,923,700 | |||||||
Discover Bank | 8.70% | 11/18/2019 | 2,655 | 3,396,024 | |||||||
Discover Financial Services | 3.85% | 11/21/2022 | 8,545 | 8,040,016 | |||||||
General Electric Capital Corp. | 7.125% | — | (e) | 10,000 | 11,319,060 | ||||||
International Lease Finance Corp. | 6.25% | 5/15/2019 | 10,000 | 10,325,000 | |||||||
International Lease Finance Corp. | 8.25% | 12/15/2020 | 6,100 | 6,870,125 | |||||||
International Lease Finance Corp. | 8.75% | 3/15/2017 | 34,000 | 38,037,500 | |||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 6.50% | 6/1/2022 | 15,700 | 15,386,000 | |||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 6.50% | 7/1/2021 | 22,660 | 21,866,900 | |||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 7.875% | 10/1/2020 | 8,000 | 8,520,000 | |||||||
Provident Funding Associates LP/PFG Finance Corp.† | 6.75% | 6/15/2021 | 10,950 | 10,977,375 | |||||||
SLM Corp. | 6.00% | 1/25/2017 | 9,200 | 9,660,000 | |||||||
SLM Corp. | 8.45% | 6/15/2018 | 10,000 | 11,150,000 | |||||||
Total | 224,361,856 | ||||||||||
Consumer Products 0.79% | |||||||||||
Armored Autogroup, Inc. | 9.25% | 11/1/2018 | 7,400 | 6,826,500 | |||||||
Avon Products, Inc. | 4.60% | 3/15/2020 | 5,680 | 5,751,017 | |||||||
Avon Products, Inc. | 5.00% | 3/15/2023 | 7,000 | 6,971,153 | |||||||
Elizabeth Arden, Inc. | 7.375% | 3/15/2021 | 27,700 | 29,777,500 | |||||||
Prestige Brands, Inc. | 8.125% | 2/1/2020 | 1,435 | 1,574,913 | |||||||
Spectrum Brands Escrow Corp.† | 6.375% | 11/15/2020 | 11,350 | 11,917,500 | |||||||
Spectrum Brands Escrow Corp.† | 6.625% | 11/15/2022 | 2,850 | 2,992,500 | |||||||
Total | 65,811,083 | ||||||||||
Department Stores 0.10% | |||||||||||
Bon-Ton Department Stores, Inc. (The)† | 8.00% | 6/15/2021 | 7,800 | 7,965,750 | |||||||
Diversified Capital Goods 2.13% | |||||||||||
Actuant Corp. | 5.625% | 6/15/2022 | 8,320 | 8,465,600 | |||||||
Amsted Industries, Inc.† | 8.125% | 3/15/2018 | 15,000 | 15,900,000 | |||||||
Anixter, Inc. | 5.625% | 5/1/2019 | 11,300 | 11,752,000 | |||||||
Belden, Inc.† | 5.50% | 9/1/2022 | 15,000 | 14,812,500 |
16 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Diversified Capital Goods (continued) | |||||||||||
Mueller Water Products, Inc. | 7.375% | 6/1/2017 | $ | 10,800 | $ | 11,124,000 | |||||
Park-Ohio Industries, Inc. | 8.125% | 4/1/2021 | 11,400 | 12,426,000 | |||||||
RBS Global, Inc./Rexnord LLC | 8.50% | 5/1/2018 | 31,000 | 33,092,500 | |||||||
Silver II Borrower/Silver II US Holdings LLC (Luxembourg)†(b) | 7.75% | 12/15/2020 | 20,000 | 20,200,000 | |||||||
SPX Corp. | 6.875% | 9/1/2017 | 21,000 | 22,785,000 | |||||||
Unifrax I LLC/Unifrax Holding Co.† | 7.50% | 2/15/2019 | 6,175 | 6,329,375 | |||||||
Valmont Industries, Inc. | 6.625% | 4/20/2020 | 17,500 | 19,981,832 | |||||||
Total | 176,868,807 | ||||||||||
Electric: Generation 0.89% | |||||||||||
Calpine Corp.† | 7.875% | 7/31/2020 | 2,525 | 2,752,250 | |||||||
Coso Geothermal Power Holdings LLC† | 7.00% | 7/15/2026 | 5,470 | 3,035,831 | |||||||
DPL, Inc. | 7.25% | 10/15/2021 | 15,725 | 16,354,000 | |||||||
Dynegy, Inc.† | 5.875% | 6/1/2023 | 3,900 | 3,558,750 | |||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc. PIK† | 11.25% | 12/1/2018 | 6,359 | 5,405,433 | |||||||
Mirant Americas Generation LLC | 9.125% | 5/1/2031 | 15,125 | 16,259,375 | |||||||
NRG Energy, Inc. | 7.625% | 1/15/2018 | 4,000 | 4,300,000 | |||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 17,485 | 18,184,400 | |||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.† | 11.50% | 10/1/2020 | 5,000 | 3,762,500 | |||||||
Total | 73,612,539 | ||||||||||
Electric: Integrated 1.05% | |||||||||||
AES Corp. (The) | 4.875% | 5/15/2023 | 7,000 | 6,545,000 | |||||||
AES Corp. (The) | 8.00% | 10/15/2017 | 12,500 | 14,125,000 | |||||||
Black Hills Corp. | 5.875% | 7/15/2020 | 8,000 | 8,935,864 | |||||||
Duquesne Light Holdings, Inc.† | 6.40% | 9/15/2020 | 20,500 | 23,894,144 | |||||||
National Fuel Gas Co. | 4.90% | 12/1/2021 | 4,000 | 4,256,272 | |||||||
National Fuel Gas Co. | 6.50% | 4/15/2018 | 20,000 | 23,273,100 | |||||||
National Fuel Gas Co. | 8.75% | 5/1/2019 | 5,000 | 6,286,190 | |||||||
Total | 87,315,570 | ||||||||||
Electronics 1.07% | |||||||||||
Advanced Micro Devices, Inc. | 7.75% | 8/1/2020 | 15,000 | 14,662,500 | |||||||
CPI International, Inc. | 8.00% | 2/15/2018 | 15,500 | 16,042,500 | |||||||
Freescale Semiconductor, Inc.† | 9.25% | 4/15/2018 | 8,800 | 9,526,000 | |||||||
Freescale Semiconductor, Inc.† | 10.125% | 3/15/2018 | 2,712 | 2,949,300 | |||||||
Freescale Semiconductor, Inc. | 10.75% | 8/1/2020 | 21,810 | 24,100,050 |
See Notes to Financial Statements. | 17 |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Electronics (continued) | |||||||||||
Jabil Circuit, Inc. | 4.70% | 9/15/2022 | $ | 10,000 | $ | 9,675,000 | |||||
KLA-Tencor Corp. | 6.90% | 5/1/2018 | 3,200 | 3,729,046 | |||||||
Sensata Technologies BV (Netherlands)†(b) | 6.50% | 5/15/2019 | 7,550 | 8,154,000 | |||||||
Total | 88,838,396 | ||||||||||
Energy: Exploration & Production 8.05% | |||||||||||
Antero Resources Finance Corp. | 7.25% | 8/1/2019 | 10,000 | 10,475,000 | |||||||
Atlas Energy Holdings Operating Co. LLC/Atlas Resource Finance Corp.† | 7.75% | 1/15/2021 | 18,700 | 17,952,000 | |||||||
Berry Petroleum Co. | 6.375% | 9/15/2022 | 6,300 | 6,307,875 | |||||||
Berry Petroleum Co. | 6.75% | 11/1/2020 | 21,000 | 21,840,000 | |||||||
BreitBurn Energy Partners LP/BreitBurn Finance Corp. | 7.875% | 4/15/2022 | 20,100 | 20,602,500 | |||||||
Chaparral Energy, Inc. | 7.625% | 11/15/2022 | 13,850 | 14,196,250 | |||||||
Chaparral Energy, Inc. | 8.25% | 9/1/2021 | 19,400 | 20,515,500 | |||||||
Concho Resources, Inc. | 5.50% | 4/1/2023 | 28,400 | 28,116,000 | |||||||
Concho Resources, Inc. | 7.00% | 1/15/2021 | 10,700 | 11,556,000 | |||||||
Continental Resources, Inc.† | 4.50% | 4/15/2023 | 8,000 | 7,790,000 | |||||||
Continental Resources, Inc. | 7.375% | 10/1/2020 | 5,600 | 6,244,000 | |||||||
Continental Resources, Inc. | 8.25% | 10/1/2019 | 19,175 | 21,092,500 | |||||||
CrownRock LP/CrownRock Finance, Inc.† | 7.125% | 4/15/2021 | 14,000 | 13,790,000 | |||||||
Energy XXI Gulf Coast, Inc. | 7.75% | 6/15/2019 | 18,650 | 19,302,750 | |||||||
Forest Oil Corp. | 7.25% | 6/15/2019 | 25,000 | 23,625,000 | |||||||
Halcon Resources Corp. | 8.875% | 5/15/2021 | 14,200 | 13,845,000 | |||||||
Halcon Resources Corp. | 9.75% | 7/15/2020 | 6,600 | 6,616,500 | |||||||
Kerr-McGee Corp. | 6.95% | 7/1/2024 | 12,900 | 15,451,994 | |||||||
Kodiak Oil & Gas Corp.† | 5.50% | 1/15/2021 | 14,000 | 13,667,500 | |||||||
Kodiak Oil & Gas Corp. | 8.125% | 12/1/2019 | 19,165 | 20,889,850 | |||||||
Laredo Petroleum, Inc. | 7.375% | 5/1/2022 | 7,000 | 7,385,000 | |||||||
Legacy Reserves LP/Finance Corp.† | 6.625% | 12/1/2021 | 7,600 | 7,334,000 | |||||||
Legacy Reserves LP/Finance Corp.† | 8.00% | 12/1/2020 | 19,400 | 20,127,500 | |||||||
LINN Energy LLC/LINN Energy Finance Corp. | 7.75% | 2/1/2021 | 18,500 | 18,638,750 | |||||||
MEG Energy Corp. (Canada)†(b) | 6.375% | 1/30/2023 | 4,100 | 3,997,500 | |||||||
MEG Energy Corp. (Canada)†(b) | 6.50% | 3/15/2021 | 18,750 | 18,679,687 | |||||||
Newfield Exploration Co. | 5.625% | 7/1/2024 | 27,550 | 26,861,250 | |||||||
Oasis Petroleum, Inc. | 6.50% | 11/1/2021 | 7,500 | 7,725,000 | |||||||
Oasis Petroleum, Inc. | 7.25% | 2/1/2019 | 20,000 | 20,950,000 | |||||||
OGX Austria GmbH (Austria)†(b) | 8.50% | 6/1/2018 | 31,000 | 10,075,000 | |||||||
Pacific Rubiales Energy Corp. (Canada)†(b) | 5.125% | 3/28/2023 | 9,300 | 8,835,000 |
18 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Energy: Exploration & Production (continued) | |||||||||||
Pan American Energy LLC (Argentina)†(b) | 7.875% | 5/7/2021 | $ | 5,400 | $ | 5,251,500 | |||||
PDC Energy, Inc.† | 7.75% | 10/15/2022 | 17,800 | 18,467,500 | |||||||
Plains Exploration & Production Co. | 6.50% | 11/15/2020 | 22,250 | 23,616,283 | |||||||
Plains Exploration & Production Co. | 6.875% | 2/15/2023 | 6,200 | 6,643,263 | |||||||
QEP Resources, Inc. | 6.80% | 3/1/2020 | 10,000 | 11,100,000 | |||||||
QEP Resources, Inc. | 6.875% | 3/1/2021 | 8,000 | 8,660,000 | |||||||
Quicksilver Resources, Inc. | 7.125% | 4/1/2016 | 10,000 | 8,850,000 | |||||||
Range Resources Corp. | 5.00% | 3/15/2023 | 13,600 | 13,362,000 | |||||||
Range Resources Corp. | 8.00% | 5/15/2019 | 7,500 | 8,025,000 | |||||||
SM Energy Co. | 6.50% | 11/15/2021 | 10,000 | 10,550,000 | |||||||
SM Energy Co. | 6.50% | 1/1/2023 | 4,200 | 4,431,000 | |||||||
SM Energy Co. | 6.625% | 2/15/2019 | 18,700 | 19,681,750 | |||||||
Stone Energy Corp. | 7.50% | 11/15/2022 | 27,500 | 28,600,000 | |||||||
W&T Offshore, Inc. | 8.50% | 6/15/2019 | 10,275 | 10,660,313 | |||||||
Whiting Petroleum Corp. | 6.50% | 10/1/2018 | 4,200 | 4,462,500 | |||||||
WPX Energy, Inc. | 6.00% | 1/15/2022 | 20,000 | 20,300,000 | |||||||
Total | 667,146,015 | ||||||||||
Environmental 0.24% | |||||||||||
ADS Waste Holdings, Inc.† | 8.25% | 10/1/2020 | 5,000 | 5,125,000 | |||||||
Clean Harbors, Inc. | 5.25% | 8/1/2020 | 14,300 | 14,586,000 | |||||||
Total | 19,711,000 | ||||||||||
Food & Drug Retailers 1.07% | |||||||||||
Cencosud SA (Chile)†(b) | 4.875% | 1/20/2023 | 4,650 | 4,581,608 | |||||||
New Albertsons, Inc. | 7.45% | 8/1/2029 | 3,500 | 2,765,000 | |||||||
New Albertsons, Inc. | 7.75% | 6/15/2026 | 5,290 | 4,198,937 | |||||||
Rite Aid Corp.† | 6.875% | 12/15/2028 | 2,000 | 1,830,000 | |||||||
Rite Aid Corp. | 7.70% | 2/15/2027 | 27,000 | 27,135,000 | |||||||
Rite Aid Corp. | 9.50% | 6/15/2017 | 10,000 | 10,390,500 | |||||||
Rite Aid Corp. | 10.25% | 10/15/2019 | 10,000 | 11,300,000 | |||||||
Stater Bros Holdings, Inc. | 7.375% | 11/15/2018 | 5,000 | 5,312,500 | |||||||
Tops Holding Corp./Tops Markets LLC† | 8.875% | 12/15/2017 | 14,000 | 15,225,000 | |||||||
Tops Holding II Corp. PIK† | 8.75% | 6/15/2018 | 6,200 | 6,114,750 | |||||||
Total | 88,853,295 | ||||||||||
Food: Wholesale 1.89% | |||||||||||
B&G Foods, Inc. | 4.625% | 6/1/2021 | 10,000 | 9,575,000 | |||||||
BRF SA (Brazil)†(b) | 3.95% | 5/22/2023 | 4,250 | 3,750,625 | |||||||
Bumble Bee Holdco SCA PIK (Luxembourg)†(b) | 9.625% | 3/15/2018 | 5,725 | 5,982,625 |
See Notes to Financial Statements. | 19 |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Food: Wholesale (continued) | |||||||||||
Del Monte Corp. | 7.625% | 2/15/2019 | $ | 18,000 | $ | 18,585,000 | |||||
Dole Food Co., Inc. | 8.75% | 7/15/2013 | 12,000 | 12,036,000 | |||||||
Hawk Acquisition Sub, Inc.† | 4.25% | 10/15/2020 | 7,800 | 7,478,250 | |||||||
Ingredion, Inc. | 4.625% | 11/1/2020 | 8,000 | 8,474,368 | |||||||
Land O’Lakes, Inc.† | 6.00% | 11/15/2022 | 9,750 | 10,066,875 | |||||||
Michael Foods Holding, Inc. PIK† | 8.50% | 7/15/2018 | 4,700 | 4,852,750 | |||||||
Post Holdings, Inc. | 7.375% | 2/15/2022 | 20,000 | 21,500,000 | |||||||
Shearer’s Foods LLC/Chip Finance Corp.† | 9.00% | 11/1/2019 | 10,500 | 11,156,250 | |||||||
Smithfield Foods, Inc. | 6.625% | 8/15/2022 | 4,710 | 5,075,025 | |||||||
US Foods, Inc. | 8.50% | 6/30/2019 | 16,000 | 16,800,000 | |||||||
Viterra, Inc. (Canada)†(b) | 5.95% | 8/1/2020 | 18,250 | 19,324,104 | |||||||
Wells Enterprises, Inc.† | 6.75% | 2/1/2020 | 1,550 | 1,627,500 | |||||||
Total | 156,284,372 | ||||||||||
Forestry/Paper 0.64% | |||||||||||
Longview Fibre Paper & Packaging, Inc.† | 8.00% | 6/1/2016 | 14,000 | 14,612,500 | |||||||
Louisiana-Pacific Corp. | 7.50% | 6/1/2020 | 8,000 | 8,760,000 | |||||||
Millar Western Forest Products Ltd. (Canada)(b) | 8.50% | 4/1/2021 | 10,000 | 9,925,000 | |||||||
Rock-Tenn Co. | 3.50% | 3/1/2020 | 5,000 | 4,899,805 | |||||||
Rock-Tenn Co. | 4.90% | 3/1/2022 | 3,248 | 3,353,508 | |||||||
Weyerhaeuser Co. | 7.375% | 10/1/2019 | 10,000 | 11,824,960 | |||||||
Total | 53,375,773 | ||||||||||
Gaming 2.31% | |||||||||||
Boyd Acquisition Sub LLC/Boyd Acquisition Finance Corp.† | 8.375% | 2/15/2018 | 12,000 | 12,540,000 | |||||||
Boyd Gaming Corp. | 7.125% | 2/1/2016 | 5,000 | 4,937,500 | |||||||
Caesars Entertainment Operating Co., Inc. | 8.50% | 2/15/2020 | 5,000 | 4,728,125 | |||||||
CCM Merger, Inc.† | 9.125% | 5/1/2019 | 14,000 | 14,700,000 | |||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma† | 10.50% | 7/1/2019 | 9,250 | 9,851,250 | |||||||
Graton Economic Development Authority† | 9.625% | 9/1/2019 | 20,725 | 22,797,500 | |||||||
MCE Finance Ltd.† | 5.00% | 2/15/2021 | 18,000 | 16,920,000 | |||||||
MGM Resorts International | 7.625% | 1/15/2017 | 7,500 | 8,231,250 | |||||||
Mohegan Tribal Gaming Authority† | 11.50% | 11/1/2017 | 20,000 | 22,200,000 | |||||||
MTR Gaming Group, Inc. PIK | 11.50% | 8/1/2019 | 8,200 | 8,610,000 | |||||||
Pinnacle Entertainment, Inc. | 7.75% | 4/1/2022 | 7,500 | 7,875,000 | |||||||
River Rock Entertainment Authority (The) | 9.00% | 11/1/2018 | 13,168 | 10,863,600 | |||||||
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.† | 9.50% | 6/15/2019 | 10,157 | 11,020,345 |
20 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Gaming (continued) | |||||||||||
Snoqualmie Entertainment Authority† | 9.125% | 2/1/2015 | $ | 17,000 | $ | 16,776,875 | |||||
Sugarhouse HSP Gaming Prop. Mezz. LP/Sugarhouse HSP Gaming Finance Corp.† | 6.375% | 6/1/2021 | 14,100 | 13,712,250 | |||||||
Wynn Las Vegas LLC/Capital Corp. | 5.375% | 3/15/2022 | 5,300 | 5,379,500 | |||||||
Total | 191,143,195 | ||||||||||
Gas Distribution 3.30% | |||||||||||
Chesapeake Midstream Partners LP/CHKM | |||||||||||
Finance Corp. | 6.125% | 7/15/2022 | 5,000 | 5,087,500 | |||||||
El Paso Corp. | 6.50% | 9/15/2020 | 10,000 | 10,711,370 | |||||||
El Paso Corp. | 7.00% | 6/15/2017 | 12,000 | 13,105,908 | |||||||
El Paso Corp. | 7.75% | 1/15/2032 | 10,000 | 10,674,290 | |||||||
Energy Transfer Partners LP | 5.20% | 2/1/2022 | 22,100 | 23,427,480 | |||||||
Ferrellgas LP/Ferrellgas Finance Corp. | 6.50% | 5/1/2021 | 12,000 | 12,090,000 | |||||||
Ferrellgas Partners LP | 8.625% | 6/15/2020 | 9,750 | 9,969,375 | |||||||
Florida Gas Transmission Co. LLC† | 7.90% | 5/15/2019 | 7,700 | 9,631,807 | |||||||
Hiland Partners LP/Hiland Partners Finance Corp.† | 7.25% | 10/1/2020 | 7,400 | 7,659,000 | |||||||
IFM US Colonial Pipeline 2 LLC† | 6.45% | 5/1/2021 | 19,000 | 20,391,902 | |||||||
Inergy Midstream LP/NRGM Finance Corp.† | 6.00% | 12/15/2020 | 3,650 | 3,540,500 | |||||||
Kinder Morgan Finance Co. LLC† | 6.00% | 1/15/2018 | 15,000 | 15,823,485 | |||||||
LBC Tank Terminals Holding Netherlands BV (Belgium)†(b) | 6.875% | 5/15/2023 | 7,900 | 7,959,250 | |||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. | 5.50% | 2/15/2023 | 13,250 | 13,117,500 | |||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. | 6.25% | 6/15/2022 | 3,153 | 3,263,355 | |||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. | 6.75% | 11/1/2020 | 17,000 | 18,020,000 | |||||||
Martin Midstream Partners LP/Martin Midstream Finance Corp.† | 7.25% | 2/15/2021 | 5,000 | 5,037,500 | |||||||
Northwest Pipeline GP | 6.05% | 6/15/2018 | 5,025 | 5,866,537 | |||||||
Panhandle Eastern Pipeline Co. LP | 7.00% | 6/15/2018 | 7,600 | 9,109,398 | |||||||
Panhandle Eastern Pipeline Co. LP | 8.125% | 6/1/2019 | 13,800 | 16,901,812 | |||||||
Regency Energy Partners LP/Regency Energy Finance Corp.† | 4.50% | 11/1/2023 | 5,500 | 4,991,250 | |||||||
Regency Energy Partners LP/Regency Energy Finance Corp. | 5.50% | 4/15/2023 | 5,800 | 5,742,000 | |||||||
Sabine Pass Liquefaction LLC† | 5.625% | 2/1/2021 | 10,000 | 9,725,000 | |||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp. | 7.375% | 8/1/2021 | 22,067 | 23,060,015 |
See Notes to Financial Statements. | 21 |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Gas Distribution (continued) | |||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp.† | 5.875% | 10/1/2020 | $ | 8,525 | $ | 8,439,750 | |||||
Total | 273,345,984 | ||||||||||
Health Facilities 3.48% | |||||||||||
Amsurg Corp. | 5.625% | 11/30/2020 | 10,000 | 10,050,000 | |||||||
Capella Healthcare, Inc. | 9.25% | 7/1/2017 | 14,000 | 14,875,000 | |||||||
Community Health Systems, Inc. | 8.00% | 11/15/2019 | 55,000 | 58,781,250 | |||||||
DaVita, Inc. | 5.75% | 8/15/2022 | 21,500 | 21,553,750 | |||||||
Dignity Health | 4.50% | 11/1/2042 | 10,000 | 8,812,660 | |||||||
HCA Holdings, Inc. | 6.25% | 2/15/2021 | 5,000 | 5,112,500 | |||||||
HCA Holdings, Inc. | 7.75% | 5/15/2021 | 30,000 | 32,475,000 | |||||||
HCA, Inc. | 6.50% | 2/15/2020 | 20,000 | 21,687,500 | |||||||
HCA, Inc. | 7.50% | 2/15/2022 | 25,000 | 27,750,000 | |||||||
HCA, Inc. | 7.69% | 6/15/2025 | 5,935 | 6,439,475 | |||||||
HealthSouth Corp. | 8.125% | 2/15/2020 | 21,000 | 22,837,500 | |||||||
IASIS Healthcare LLC/IASIS Capital Corp. | 8.375% | 5/15/2019 | 5,000 | 5,071,875 | |||||||
Omega Healthcare Investors, Inc. | 6.75% | 10/15/2022 | 6,900 | 7,383,000 | |||||||
Omega Healthcare Investors, Inc. | 7.50% | 2/15/2020 | 7,750 | 8,292,500 | |||||||
Tenet Healthcare Corp. | 9.25% | 2/1/2015 | 5,000 | 5,431,250 | |||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc. | 8.00% | 2/1/2018 | 30,000 | 31,950,000 | |||||||
Total | 288,503,260 | ||||||||||
Health Services 0.44% | |||||||||||
Service Corp. International†(h) | 5.375% | 1/15/2022 | 3,900 | 3,900,000 | |||||||
STHI Holding Corp.† | 8.00% | 3/15/2018 | 12,500 | 13,562,500 | |||||||
Truven Health Analytics, Inc.† | 10.625% | 6/1/2020 | 17,000 | 18,785,000 | |||||||
Total | 36,247,500 | ||||||||||
Hotels 0.34% | |||||||||||
Host Hotels & Resorts LP | 5.25% | 3/15/2022 | 3,880 | 4,026,447 | |||||||
RHP Hotel Properties LP/RHP Finance Corp.† | 5.00% | 4/15/2021 | 5,000 | 4,875,000 | |||||||
Starwood Hotels & Resorts Worldwide, Inc. | 6.75% | 5/15/2018 | 8,500 | 10,060,736 | |||||||
Wyndham Worldwide Corp. | 3.90% | 3/1/2023 | 10,000 | 9,546,200 | |||||||
Total | 28,508,383 | ||||||||||
Household & Leisure Products 0.53% | |||||||||||
American Standard Americas† | 10.75% | 1/15/2016 | 12,675 | 13,372,125 | |||||||
BC Mountain LLC/BC Mountain Finance, Inc.† | 7.00% | 2/1/2021 | 9,675 | 9,892,687 | |||||||
RSI Home Products, Inc.† | 6.875% | 3/1/2018 | 5,000 | 5,137,500 |
22 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Household & Leisure Products (continued) | |||||||||||
Serta Simmons Holdings LLC† | 8.125% | 10/1/2020 | $ | 15,000 | $ | 15,337,500 | |||||
Total | 43,739,812 | ||||||||||
Insurance Brokerage 0.31% | |||||||||||
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC† | 7.875% | 12/15/2020 | 10,235 | 10,337,350 | |||||||
HUB International Ltd.† | 8.125% | 10/15/2018 | 14,500 | 15,152,500 | |||||||
Total | 25,489,850 | ||||||||||
Integrated Energy 0.35% | |||||||||||
Alta Wind Holdings LLC† | 7.00% | 6/30/2035 | 10,439 | 11,004,310 | |||||||
LUKOIL International Finance BV (Netherlands)†(b) | 6.656% | 6/7/2022 | 9,000 | 9,832,500 | |||||||
Rosneft Oil Co via Rosneft International Finance Ltd. (Ireland)†(b) | 4.199% | 3/6/2022 | 9,000 | 8,361,000 | |||||||
Total | 29,197,810 | ||||||||||
Investments & Miscellaneous Financial Services 1.27% | |||||||||||
FMR LLC† | 5.35% | 11/15/2021 | 14,800 | 16,067,546 | |||||||
KKR Group Finance Co.† | 6.375% | 9/29/2020 | 10,900 | 12,407,176 | |||||||
Legg Mason, Inc. | 5.50% | 5/21/2019 | 10,000 | 10,317,550 | |||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 5.625% | 3/15/2020 | 3,700 | 3,848,000 | |||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 5.875% | 3/15/2022 | 15,000 | 15,375,000 | |||||||
Nuveen Investments, Inc.† | 9.125% | 10/15/2017 | 27,000 | 27,202,500 | |||||||
Nuveen Investments, Inc.† | 9.50% | 10/15/2020 | 20,000 | 20,000,000 | |||||||
Total | 105,217,772 | ||||||||||
Leisure 0.48% | |||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp.† | 5.25% | 3/15/2021 | 10,000 | 9,637,500 | |||||||
MU Finance plc (United Kingdom)†(b) | 8.375% | 2/1/2017 | 14,110 | 15,097,368 | |||||||
Royal Caribbean Cruises Ltd. | 5.25% | 11/15/2022 | 8,850 | 8,717,250 | |||||||
Viking Cruises Ltd.† | 8.50% | 10/15/2022 | 6,000 | 6,600,000 | |||||||
Total | 40,052,118 | ||||||||||
Life Insurance 0.24% | |||||||||||
MetLife Capital Trust X† | 9.25% | 4/8/2038 | 15,075 | 19,974,375 | |||||||
Machinery 1.14% | |||||||||||
Cleaver-Brooks, Inc.† | 8.75% | 12/15/2019 | 10,500 | 11,051,250 | |||||||
Flowserve Corp. | 3.50% | 9/15/2022 | 3,880 | 3,733,697 |
See Notes to Financial Statements. | 23 |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Machinery (continued) | |||||||||||
Manitowoc Co., Inc. (The) | 5.875% | 10/15/2022 | $ | 11,750 | $ | 11,867,500 | |||||
Manitowoc Co., Inc. (The) | 8.50% | 11/1/2020 | 25,000 | 27,375,000 | |||||||
Mcron Finance Sub LLC/Mcron Finance Corp.† | 8.375% | 5/15/2019 | 16,500 | 16,912,500 | |||||||
Milacron LLC/Mcron Finance Corp.† | 7.75% | 2/15/2021 | 11,725 | 11,754,313 | |||||||
Steelcase, Inc. | 6.375% | 2/15/2021 | 11,175 | 12,088,444 | |||||||
Total | 94,782,704 | ||||||||||
Managed Care 0.20% | |||||||||||
Centene Corp. | 5.75% | 6/1/2017 | 15,525 | 16,340,063 | |||||||
Media: Broadcast 0.87% | |||||||||||
Allbritton Communications Co. | 8.00% | 5/15/2018 | 5,000 | 5,337,500 | |||||||
AMC Networks, Inc. | 4.75% | 12/15/2022 | 10,960 | 10,631,200 | |||||||
AMC Networks, Inc. | 7.75% | 7/15/2021 | 12,000 | 13,170,000 | |||||||
Clear Channel Communications, Inc. | 4.90% | 5/15/2015 | 3,000 | 2,790,000 | |||||||
Clear Channel Communications, Inc.† | 9.00% | 12/15/2019 | 14,000 | 13,650,000 | |||||||
Clear Channel Communications, Inc.† | 11.25% | 3/1/2021 | 17,500 | 18,331,250 | |||||||
LIN Television Corp. | 8.375% | 4/15/2018 | 7,500 | 8,015,625 | |||||||
Total | 71,925,575 | ||||||||||
Media: Cable 3.41% | |||||||||||
Cablevision Systems Corp. | 5.875% | 9/15/2022 | 28,000 | 27,230,000 | |||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.25% | 3/15/2021 | 8,100 | 8,019,000 | |||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.75% | 9/1/2023 | 11,500 | 11,183,750 | |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 8.125% | 4/30/2020 | 17,500 | 19,206,250 | |||||||
CSC Holdings LLC | 8.625% | 2/15/2019 | 7,375 | 8,555,000 | |||||||
DISH DBS Corp.† | 4.25% | 4/1/2018 | 12,136 | 11,953,960 | |||||||
DISH DBS Corp. | 4.625% | 7/15/2017 | 7,864 | 7,942,640 | |||||||
DISH DBS Corp.† | 5.125% | 5/1/2020 | 15,600 | 15,366,000 | |||||||
DISH DBS Corp. | 5.875% | 7/15/2022 | 15,000 | 15,300,000 | |||||||
DISH DBS Corp. | 6.75% | 6/1/2021 | 16,650 | 17,773,875 | |||||||
Harron Communications LP/Harron Finance Corp.† | 9.125% | 4/1/2020 | 6,600 | 7,161,000 | |||||||
Mediacom Broadband LLC/Mediacom Broadband Corp. | 6.375% | 4/1/2023 | 26,925 | 26,925,000 | |||||||
Mediacom Communications Corp. | 9.125% | 8/15/2019 | 32,450 | 35,046,000 | |||||||
Nara Cable Funding Ltd. (Ireland)†(b) | 8.875% | 12/1/2018 | 8,550 | 8,934,750 | |||||||
Ono Finance II plc (Ireland)†(b) | 10.875% | 7/15/2019 | 7,075 | 7,393,375 | |||||||
Unitymedia Hessen GmbH & Co. KG/ Unitymedia NRW GmbH (Germany)†(a) | 5.50% | 9/15/2022 | EUR | 6,000 | 7,595,125 |
24 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Media: Cable (continued) | |||||||||||
Unitymedia Hessen GmbH & Co. KG/ Unitymedia NRW GmbH (Germany)†(b) | 5.50% | 1/15/2023 | $ | 11,625 | $ | 11,043,750 | |||||
Unitymedia Hessen GmbH & Co. KG/ Unitymedia NRW GmbH (Germany)†(b) | 7.50% | 3/15/2019 | 4,450 | 4,705,875 | |||||||
UPCB Finance V Ltd.† | 7.25% | 11/15/2021 | 14,000 | 14,875,000 | |||||||
Virgin Media Finance plc (United Kingdom)(b) | 8.375% | 10/15/2019 | 15,000 | 16,350,000 | |||||||
Total | 282,560,350 | ||||||||||
Media: Diversified 0.17% | |||||||||||
Netflix, Inc.† | 5.375% | 2/1/2021 | 14,000 | 14,000,000 | |||||||
Media: Services 0.64% | |||||||||||
Affinion Group, Inc. | 11.50% | 10/15/2015 | 18,500 | 14,337,500 | |||||||
Griffey Intermediate, Inc./Griffey Finance Sub LLC† | 7.00% | 10/15/2020 | 16,300 | 15,811,000 | |||||||
Southern Graphics, Inc.† | 8.375% | 10/15/2020 | 10,000 | 10,350,000 | |||||||
WMG Acquisition Corp.† | 6.00% | 1/15/2021 | 3,870 | 3,957,075 | |||||||
WMG Acquisition Corp. | 11.50% | 10/1/2018 | 7,500 | 8,625,000 | |||||||
Total | 53,080,575 | ||||||||||
Medical Products 0.91% | |||||||||||
Biomet, Inc. | 6.50% | 8/1/2020 | 31,500 | 32,622,187 | |||||||
Grifols, Inc. | 8.25% | 2/1/2018 | 5,100 | 5,508,000 | |||||||
Hologic, Inc. | 6.25% | 8/1/2020 | 9,000 | 9,376,875 | |||||||
Kinetic Concepts, Inc./KCI USA, Inc. | 10.50% | 11/1/2018 | 7,500 | 8,100,000 | |||||||
Life Technologies Corp. | 6.00% | 3/1/2020 | 5,300 | 5,979,116 | |||||||
Mallinckrodt International Finance SA† | 4.75% | 4/15/2023 | 5,750 | 5,488,007 | |||||||
Polymer Group, Inc. | 7.75% | 2/1/2019 | 8,000 | 8,360,000 | |||||||
Total | 75,434,185 | ||||||||||
Metals/Mining (Excluding Steel) 1.14% | |||||||||||
Allied Nevada Gold Corp.†(a) | 8.75% | 6/1/2019 | CAD | 4,300 | 3,536,655 | ||||||
Arch Coal, Inc. | 7.25% | 6/15/2021 | $ | 15,000 | 12,300,000 | ||||||
Boart Longyear Management Pty Ltd. (Australia)†(b) | 7.00% | 4/1/2021 | 7,500 | 7,106,250 | |||||||
Cliffs Natural Resources, Inc. | 5.90% | 3/15/2020 | 8,000 | 7,719,336 | |||||||
FMG Resources (August 2006) Pty Ltd. (Australia)†(b) | 8.25% | 11/1/2019 | 23,000 | 23,805,000 | |||||||
Gold Fields Orogen Holding BVI Ltd.† | 4.875% | 10/7/2020 | 12,500 | 10,578,000 | |||||||
James River Coal Co. | 7.875% | 4/1/2019 | 5,000 | 2,275,000 | |||||||
KGHM International Ltd. (Canada)†(b) | 7.75% | 6/15/2019 | 6,500 | 6,630,000 | |||||||
Mirabela Nickel Ltd. (Australia)†(b) | 8.75% | 4/15/2018 | 15,875 | 12,700,000 | |||||||
New Gold, Inc. (Canada)†(b) | 6.25% | 11/15/2022 | 3,700 | 3,561,250 |
See Notes to Financial Statements. | 25 |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Metals/Mining (Excluding Steel) (continued) | |||||||||||
Teck Resources Ltd. (Canada)(b) | 4.75% | 1/15/2022 | $ | 4,675 | $ | 4,657,665 | |||||
Total | 94,869,156 | ||||||||||
Monoline Insurance 0.22% | |||||||||||
Fidelity National Financial, Inc. | 6.60% | 5/15/2017 | 16,250 | 18,026,580 | |||||||
Oil Field Equipment & Services 1.88% | |||||||||||
BakerCorp International, Inc. | 8.25% | 6/1/2019 | 4,400 | 4,334,000 | |||||||
Basic Energy Services, Inc. | 7.75% | 2/15/2019 | 8,000 | 7,940,000 | |||||||
Dresser-Rand Group, Inc. | 6.50% | 5/1/2021 | 16,000 | 17,040,000 | |||||||
FMC Technologies, Inc. | 3.45% | 10/1/2022 | 6,475 | 6,214,737 | |||||||
Gulfmark Offshore, Inc. | 6.375% | 3/15/2022 | 16,800 | 16,758,000 | |||||||
Hornbeck Offshore Services, Inc.† | 5.00% | 3/1/2021 | 12,000 | 11,160,000 | |||||||
Hornbeck Offshore Services, Inc. | 5.875% | 4/1/2020 | 20,000 | 20,200,000 | |||||||
Key Energy Services, Inc. | 6.75% | 3/1/2021 | 5,750 | 5,548,750 | |||||||
Offshore Group Investment Ltd.† | 7.125% | 4/1/2023 | 6,200 | 6,122,500 | |||||||
Oil States International, Inc.† | 5.125% | 1/15/2023 | 3,000 | 3,150,000 | |||||||
Oil States International, Inc. | 6.50% | 6/1/2019 | 16,000 | 16,640,000 | |||||||
Precision Drilling Corp. (Canada)(b) | 6.50% | 12/15/2021 | 3,250 | 3,306,875 | |||||||
Precision Drilling Corp. (Canada)(b) | 6.625% | 11/15/2020 | 2,825 | 2,881,500 | |||||||
SEACOR Holdings, Inc. | 7.375% | 10/1/2019 | 19,750 | 20,863,110 | |||||||
SESI LLC | 6.375% | 5/1/2019 | 6,700 | 6,951,250 | |||||||
Trinidad Drilling Ltd. (Canada)†(b) | 7.875% | 1/15/2019 | 6,600 | 6,963,000 | |||||||
Total | 156,073,722 | ||||||||||
Oil Refining & Marketing 0.32% | |||||||||||
Tesoro Corp. | 5.375% | 10/1/2022 | 10,000 | 10,175,000 | |||||||
Tesoro Corp. | 9.75% | 6/1/2019 | 15,000 | 16,650,000 | |||||||
Total | 26,825,000 | ||||||||||
Packaging 2.51% | |||||||||||
AEP Industries, Inc. | 8.25% | 4/15/2019 | 15,000 | 16,218,750 | |||||||
Ardagh Packaging Finance plc (Ireland)†(b) | 9.125% | 10/15/2020 | 9,500 | 10,176,875 | |||||||
Ball Corp. | 4.00% | 11/15/2023 | 12,000 | 11,145,000 | |||||||
Crown Cork & Seal Co., Inc. | 7.375% | 12/15/2026 | 46,570 | 51,459,850 | |||||||
Packaging Dynamics Corp.† | 8.75% | 2/1/2016 | 6,525 | 6,622,875 | |||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 5.75% | 10/15/2020 | 10,000 | 10,100,000 | |||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 8.50% | 5/15/2018 | 45,000 | 46,575,000 |
26 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Packaging (continued) | |||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 9.875% | 8/15/2019 | $ | 8,225 | $ | 8,841,875 | |||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 25,000 | 23,875,000 | |||||||
Sealed Air Corp.† | 8.375% | 9/15/2021 | 13,500 | 15,322,500 | |||||||
Tekni-Plex, Inc.† | 9.75% | 6/1/2019 | 7,235 | 7,723,362 | |||||||
Total | 208,061,087 | ||||||||||
Pharmaceuticals 0.46% | |||||||||||
Sky Growth Acquisition Corp.† | 7.375% | 10/15/2020 | 23,100 | 23,793,000 | |||||||
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC (Puerto Rico)(b) | 7.75% | 9/15/2018 | 10,000 | 10,850,000 | |||||||
Zoetis, Inc.† | 1.875% | 2/1/2018 | 4,000 | 3,920,072 | |||||||
Total | 38,563,072 | ||||||||||
Printing & Publishing 0.15% | |||||||||||
ProQuest LLC/ProQuest Notes Co.† | 9.00% | 10/15/2018 | 12,625 | 12,688,125 | |||||||
Property & Casualty 0.04% | |||||||||||
Liberty Mutual Group, Inc.† | 5.00% | 6/1/2021 | 3,000 | 3,169,692 | |||||||
Railroads 0.45% | |||||||||||
Florida East Coast Railway Corp. | 8.125% | 2/1/2017 | 20,000 | 21,250,000 | |||||||
Kansas City Southern de Mexico SA de CV (Mexico)†(b) | 2.35% | 5/15/2020 | 11,750 | 11,385,480 | |||||||
Watco Cos. LLC/Watco Finance Corp.† | 6.375% | 4/1/2023 | 4,700 | 4,700,000 | |||||||
Total | 37,335,480 | ||||||||||
Real Estate Development & Management 0.20% | |||||||||||
Brookfield Residential Properties, Inc. (Canada)†(b) | 6.50% | 12/15/2020 | 9,000 | 9,112,500 | |||||||
Jones Lang LaSalle, Inc. | 4.40% | 11/15/2022 | 7,200 | 7,078,572 | |||||||
Total | 16,191,072 | ||||||||||
Real Estate Investment Trusts 1.48% | |||||||||||
Camden Property Trust | 2.95% | 12/15/2022 | 10,000 | 9,104,000 | |||||||
DDR Corp. | 7.875% | 9/1/2020 | 11,000 | 13,436,335 | |||||||
Goodman Funding Pty Ltd. (Australia)†(b) | 6.00% | 3/22/2022 | 9,600 | 10,644,250 | |||||||
Goodman Funding Pty Ltd. (Australia)†(b) | 6.375% | 11/12/2020 | 10,000 | 11,210,510 | |||||||
Health Care REIT, Inc. | 4.95% | 1/15/2021 | 11,700 | 12,468,959 | |||||||
Health Care REIT, Inc. | 6.125% | 4/15/2020 | 10,000 | 11,376,030 | |||||||
Kilroy Realty LP | 3.80% | 1/15/2023 | 12,230 | 11,478,650 | |||||||
ProLogis LP(i) | 6.875% | 3/15/2020 | 21,000 | 24,399,438 | |||||||
ProLogis LP | 8.65% | 5/15/2016 | 8,150 | 8,665,812 |
See Notes to Financial Statements. | 27 |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Real Estate Investment Trusts (continued) | |||||||||||
Washington Real Estate Investment Trust | 3.95% | 10/15/2022 | $ | 10,000 | $ | 9,546,880 | |||||
Total | 122,330,864 | ||||||||||
Restaurants 0.24% | |||||||||||
DineEquity, Inc. | 9.50% | 10/30/2018 | 8,000 | 8,920,000 | |||||||
Fiesta Restaurant Group, Inc. | 8.875% | 8/15/2016 | 4,380 | 4,686,600 | |||||||
Seminole Hard Rock Entertainment, Inc./ Seminole Hard Rock International LLC† | 5.875% | 5/15/2021 | 6,700 | 6,511,563 | |||||||
Total | 20,118,163 | ||||||||||
Software/Services 4.12% | |||||||||||
Alliance Data Systems Corp.† | 6.375% | 4/1/2020 | 53,000 | 54,855,000 | |||||||
Ceridian Corp.† | 11.00% | 3/15/2021 | 2,700 | 2,997,000 | |||||||
Ceridian Corp. | 11.25% | 11/15/2015 | 5,750 | 5,857,813 | |||||||
Dun & Bradstreet Corp. (The) | 4.375% | 12/1/2022 | 19,425 | 18,800,350 | |||||||
First Data Corp.† | 8.25% | 1/15/2021 | 27,000 | 27,675,000 | |||||||
First Data Corp. | 11.25% | 3/31/2016 | 5,148 | 5,057,910 | |||||||
First Data Corp.† | 11.25% | 1/15/2021 | 14,325 | 14,360,812 | |||||||
First Data Corp. | 12.625% | 1/15/2021 | 48,100 | 51,106,250 | |||||||
Infor US, Inc. | 9.375% | 4/1/2019 | 10,000 | 10,887,500 | |||||||
NeuStar, Inc.† | 4.50% | 1/15/2023 | 14,380 | 13,661,000 | |||||||
Nuance Communications, Inc.† | 5.375% | 8/15/2020 | 18,000 | 17,685,000 | |||||||
SERENA Software, Inc. | 10.375% | 3/15/2016 | 6,099 | 6,038,010 | |||||||
Sophia LP/Sophia Finance, Inc.† | 9.75% | 1/15/2019 | 20,000 | 21,500,000 | |||||||
SRA International, Inc. | 11.00% | 10/1/2019 | 7,475 | 7,774,000 | |||||||
SunGard Data Systems, Inc.† | 6.625% | 11/1/2019 | 31,500 | 31,815,000 | |||||||
SunGard Data Systems, Inc. | 7.375% | 11/15/2018 | 14,000 | 14,840,000 | |||||||
SunGard Data Systems, Inc. | 7.625% | 11/15/2020 | 6,100 | 6,496,500 | |||||||
Syniverse Holdings, Inc. | 9.125% | 1/15/2019 | 12,500 | 13,406,250 | |||||||
VeriSign, Inc.† | 4.625% | 5/1/2023 | 17,500 | 17,062,500 | |||||||
Total | 341,875,895 | ||||||||||
Specialty Retail 2.99% | |||||||||||
Brookstone Co., Inc.† | 13.00% | 10/15/2014 | 7,058 | 5,964,010 | |||||||
Brown Shoe Co., Inc. | 7.125% | 5/15/2019 | 12,500 | 13,125,000 | |||||||
CDR DB Sub, Inc.† | 7.75% | 10/15/2020 | 30,000 | 30,225,000 | |||||||
Claire’s Stores, Inc.† | 7.75% | 6/1/2020 | 6,000 | 5,835,000 | |||||||
Claire’s Stores, Inc. | 8.875% | 3/15/2019 | 7,000 | 7,385,000 | |||||||
Claire’s Stores, Inc.† | 9.00% | 3/15/2019 | 9,700 | 10,718,500 | |||||||
CST Brands, Inc.† | 5.00% | 5/1/2023 | 12,000 | 11,760,000 |
28 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Specialty Retail (continued) | |||||||||||
J. Crew Group, Inc. | 8.125% | 3/1/2019 | $ | 14,000 | $ | 14,770,000 | |||||
Limited Brands, Inc. | 7.00% | 5/1/2020 | 15,000 | 16,725,000 | |||||||
Limited Brands, Inc. | 7.60% | 7/15/2037 | 7,500 | 7,743,750 | |||||||
Limited Brands, Inc. | 8.50% | 6/15/2019 | 12,500 | 14,562,500 | |||||||
LKQ Corp.† | 4.75% | 5/15/2023 | 9,950 | 9,527,125 | |||||||
Michaels Stores, Inc. | 7.75% | 11/1/2018 | 7,400 | 7,955,000 | |||||||
PETCO Animal Supplies, Inc.† | 9.25% | 12/1/2018 | 10,000 | 10,825,000 | |||||||
PETCO Holdings, Inc. PIK† | 8.50% | 10/15/2017 | 5,000 | 5,125,000 | |||||||
QVC, Inc.† | 4.375% | 3/15/2023 | 7,750 | 7,242,964 | |||||||
QVC, Inc.† | 7.375% | 10/15/2020 | 17,500 | 19,099,815 | |||||||
Rent-A-Center, Inc.† | 4.75% | 5/1/2021 | 5,450 | 5,191,125 | |||||||
Sally Holdings LLC/Sally Capital, Inc. | 5.75% | 6/1/2022 | 7,700 | 7,854,000 | |||||||
Toys “R” Us Property Co. I LLC | 10.75% | 7/15/2017 | 20,000 | 21,200,000 | |||||||
Toys “R” Us Property Co. II LLC | 8.50% | 12/1/2017 | 14,000 | 14,612,500 | |||||||
Total | 247,446,289 | ||||||||||
Steel Producers/Products 0.64% | |||||||||||
Allegheny Ludlum Corp. | 6.95% | 12/15/2025 | 13,875 | 15,014,789 | |||||||
Allegheny Technologies, Inc. | 9.375% | 6/1/2019 | 10,200 | 12,601,274 | |||||||
ArcelorMittal (Luxembourg)(b) | 6.00% | 3/1/2021 | 5,000 | 5,012,500 | |||||||
Essar Steel Algoma, Inc. (Canada)†(b) | 9.375% | 3/15/2015 | 8,000 | 7,640,000 | |||||||
Essar Steel Algoma, Inc. (Canada)†(b) | 9.875% | 6/15/2015 | 6,500 | 5,070,000 | |||||||
JMC Steel Group† | 8.25% | 3/15/2018 | 8,000 | 7,860,000 | |||||||
Total | 53,198,563 | ||||||||||
Support: Services 2.27% | |||||||||||
Ashtead Capital, Inc.† | 6.50% | 7/15/2022 | 3,600 | 3,771,000 | |||||||
Avis Budget Car Rental | 9.75% | 3/15/2020 | 5,500 | 6,352,500 | |||||||
Compiler Finance Sub, Inc.† | 7.00% | 5/1/2021 | 18,700 | 18,232,500 | |||||||
Corrections Corp. of America† | 4.125% | 4/1/2020 | 3,600 | 3,528,000 | |||||||
FTI Consulting, Inc.† | 6.00% | 11/15/2022 | 9,300 | 9,462,750 | |||||||
FTI Consulting, Inc. | 6.75% | 10/1/2020 | 14,350 | 15,175,125 | |||||||
Hertz Corp. (The) | 5.875% | 10/15/2020 | 2,100 | 2,173,500 | |||||||
Hertz Corp. (The) | 7.50% | 10/15/2018 | 25,000 | 26,937,500 | |||||||
Iron Mountain, Inc. | 5.75% | 8/15/2024 | 9,250 | 8,718,125 | |||||||
Iron Mountain, Inc. | 7.75% | 10/1/2019 | 10,400 | 11,232,000 | |||||||
Iron Mountain, Inc. | 8.375% | 8/15/2021 | 11,250 | 12,023,437 | |||||||
NES Rentals Holdings, Inc.† | 7.875% | 5/1/2018 | 7,800 | 7,722,000 | |||||||
NESCO LLC/NESCO Holdings Corp.† | 11.75% | 4/15/2017 | 12,400 | 13,516,000 |
See Notes to Financial Statements. | 29 |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Support: Services (continued) | |||||||||||
RSC Equipment Rental, Inc./RSC Holdings III LLC | 8.25% | 2/1/2021 | $ | 10,700 | $ | 11,770,000 | |||||
Sotheby’s† | 5.25% | 10/1/2022 | 20,000 | 19,500,000 | |||||||
United Rentals North America, Inc. | 6.125% | 6/15/2023 | 7,000 | 7,000,000 | |||||||
United Rentals North America, Inc. | 7.625% | 4/15/2022 | 10,000 | 10,875,000 | |||||||
Total | 187,989,437 | ||||||||||
Telecommunications Equipment 0.42% | |||||||||||
Alcatel-Lucent USA, Inc. | 6.45% | 3/15/2029 | 5,000 | 3,812,500 | |||||||
CommScope Holding Co., Inc. PIK† | 6.625% | 6/1/2020 | 9,800 | 9,408,000 | |||||||
CommScope, Inc.† | 8.25% | 1/15/2019 | 20,000 | 21,450,000 | |||||||
Total | 34,670,500 | ||||||||||
Telecommunications: Integrated/Services 3.58% | |||||||||||
CenturyLink, Inc. | 6.15% | 9/15/2019 | 15,000 | 15,675,000 | |||||||
CenturyLink, Inc. | 6.45% | 6/15/2021 | 30,000 | 31,425,000 | |||||||
DigitalGlobe, Inc.† | 5.25% | 2/1/2021 | 18,500 | 17,852,500 | |||||||
Dycom Investments, Inc. | 7.125% | 1/15/2021 | 16,750 | 17,838,750 | |||||||
Equinix, Inc. | 5.375% | 4/1/2023 | 3,950 | 3,890,750 | |||||||
Equinix, Inc. | 7.00% | 7/15/2021 | 12,150 | 13,228,312 | |||||||
Frontier Communications Corp. | 7.125% | 1/15/2023 | 3,950 | 3,945,063 | |||||||
Frontier Communications Corp. | 7.625% | 4/15/2024 | 7,800 | 7,858,500 | |||||||
Frontier Communications Corp. | 9.25% | 7/1/2021 | 7,275 | 8,348,063 | |||||||
GCI, Inc. | 6.75% | 6/1/2021 | 5,000 | 4,700,000 | |||||||
Hellas II (Luxembourg)†(b)(c) | Zero Coupon | 1/15/2015 | 15,000 | 1,500 | |||||||
Hughes Satellite Systems Corp. | 7.625% | 6/15/2021 | 27,500 | 29,356,250 | |||||||
Intelsat Jackson Holdings SA (Luxembourg)(b) | 7.25% | 4/1/2019 | 3,500 | 3,679,375 | |||||||
Intelsat Jackson Holdings SA (Luxembourg)(b) | 7.50% | 4/1/2021 | 19,275 | 20,335,125 | |||||||
Intelsat Luxembourg SA (Luxembourg)†(b) | 6.75% | 6/1/2018 | 2,900 | 2,936,250 | |||||||
Intelsat Luxembourg SA (Luxembourg)†(b) | 7.75% | 6/1/2021 | 17,075 | 17,309,781 | |||||||
Intelsat Luxembourg SA (Luxembourg)†(b) | 8.125% | 6/1/2023 | 7,300 | 7,564,625 | |||||||
MasTec, Inc. | 4.875% | 3/15/2023 | 12,950 | 12,334,875 | |||||||
Sable International Finance Ltd.† | 8.75% | 2/1/2020 | 12,500 | 13,812,500 | |||||||
Softbank Corp. (Japan)†(b) | 4.50% | 4/15/2020 | 13,400 | 12,917,600 | |||||||
Telemar Norte Leste SA (Brazil)†(b) | 5.50% | 10/23/2020 | 9,532 | 8,912,420 | |||||||
Windstream Corp. | 7.00% | 3/15/2019 | 30,250 | 30,401,250 | |||||||
Windstream Corp. | 7.50% | 4/1/2023 | 12,000 | 12,240,000 | |||||||
Total | 296,563,489 |
30 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
Telecommunications: Wireless 4.65% | |||||||||||
American Tower Corp. | 4.70% | 3/15/2022 | $ | 20,300 | $ | 20,510,775 | |||||
CC Holdings GS V LLC/Crown Castle GS III Corp. | 3.849% | 4/15/2023 | 15,310 | 14,465,577 | |||||||
Clearwire Communications LLC/Clearwire Finance, Inc.† | 12.00% | 12/1/2015 | 7,500 | 7,987,500 | |||||||
Clearwire Communications LLC/Clearwire Finance, Inc.† | 14.75% | 12/1/2016 | 2,000 | 2,740,000 | |||||||
Cricket Communications, Inc. | 7.75% | 10/15/2020 | 29,000 | 27,985,000 | |||||||
Crown Castle International Corp. | 5.25% | 1/15/2023 | 6,825 | 6,577,594 | |||||||
Digicel Group Ltd. (Jamaica)†(b) | 10.50% | 4/15/2018 | 18,432 | 19,630,080 | |||||||
Digicel Ltd. (Jamaica)†(b) | 7.00% | 2/15/2020 | 16,500 | 16,747,500 | |||||||
MetroPCS Wireless, Inc. | 6.625% | 11/15/2020 | 15,000 | 15,618,750 | |||||||
MetroPCS Wireless, Inc. | 7.875% | 9/1/2018 | 20,000 | 21,400,000 | |||||||
Millicom International Cellular SA (Luxembourg)†(b) | 4.75% | 5/22/2020 | 5,350 | 5,097,266 | |||||||
NII Capital Corp. | 8.875% | 12/15/2019 | 14,000 | 11,970,000 | |||||||
NII Capital Corp. | 10.00% | 8/15/2016 | 2,500 | 2,437,500 | |||||||
SBA Telecommunications, Inc.† | 5.75% | 7/15/2020 | 9,000 | 9,056,250 | |||||||
SBA Telecommunications, Inc. | 8.25% | 8/15/2019 | 6,500 | 7,068,750 | |||||||
SES (Luxembourg)†(b) | 3.60% | 4/4/2023 | 8,600 | 8,383,925 | |||||||
Sprint Capital Corp. | 6.90% | 5/1/2019 | 50,000 | 52,250,000 | |||||||
Sprint Nextel Corp.† | 7.00% | 3/1/2020 | 15,500 | 16,778,750 | |||||||
Sprint Nextel Corp. | 7.00% | 8/15/2020 | 23,600 | 25,016,000 | |||||||
Sprint Nextel Corp. | 9.125% | 3/1/2017 | 15,000 | 17,325,000 | |||||||
Telemovil Finance Co., Ltd. (El Salvador)†(b) | 8.00% | 10/1/2017 | 11,450 | 12,165,625 | |||||||
ViaSat, Inc. | 6.875% | 6/15/2020 | 10,000 | 10,600,000 | |||||||
Vimpel Communications via VIP Finance Ireland Ltd. OJSC (Luxembourg)†(b) | 7.748% | 2/2/2021 | 8,550 | 9,137,812 | |||||||
Wind Acquisition Finance SA (Italy)†(b) | 7.25% | 2/15/2018 | 8,500 | 8,606,250 | |||||||
Wind Acquisition Finance SA (Italy)†(b) | 11.75% | 7/15/2017 | 34,000 | 35,530,000 | |||||||
Total | 385,085,904 | ||||||||||
Theaters & Entertainment 0.19% | |||||||||||
Live Nation Entertainment, Inc.† | 8.125% | 5/15/2018 | 15,000 | 15,975,000 | |||||||
Transportation (Excluding Air/Rail) 0.28% | |||||||||||
Asciano Finance Ltd. (Australia)†(b) | 4.625% | 9/23/2020 | 9,750 | 9,839,856 | |||||||
Great Lakes Dredge & Dock Corp. | 7.375% | 2/1/2019 | 13,000 | 13,536,250 | |||||||
Total | 23,376,106 | ||||||||||
Total High Yield Corporate Bonds (cost $6,562,932,911) | 6,731,753,635 |
See Notes to Financial Statements. | 31 |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
MUNICIPAL BOND 0.20% | |||||||||||
Other Revenue | |||||||||||
NYC Indus Dev Agy, NY† (cost $12,000,000) | 11.00% | 3/1/2029 | $ | 12,000 | $ | 16,917,960 | |||||
Dividend | Shares | ||||||||||
Rate | (000) | ||||||||||
PREFERRED STOCKS 0.58% | |||||||||||
Agency/Government Related 0.03% | |||||||||||
Fannie Mae* | — | 481 | 2,190,370 | ||||||||
Banking 0.36% | |||||||||||
GMAC Capital Trust I | 8.125% | 275 | 7,163,750 | ||||||||
Texas Capital Bancshares, Inc. | 6.50% | 467 | 11,424,585 | ||||||||
U.S. Bancorp | 3.50% | 13 | 11,197,062 | ||||||||
Total | 29,785,397 | ||||||||||
Forestry/Paper 0.11% | |||||||||||
Weyerhaeuser Co. | 6.375% | 177 | 9,049,174 | ||||||||
Property & Casualty 0.08% | |||||||||||
Allstate Corp. (The) | 5.10% | 274 | 7,017,802 | ||||||||
Total Preferred Stocks (cost $55,598,301) | 48,042,743 | ||||||||||
Exercise | Expiration | ||||||||||
Price | Date | ||||||||||
WARRANTS 0.11% | |||||||||||
Auto Parts & Equipment 0.02% | |||||||||||
Cooper-Standard Holdings, Inc.* | $27.33 | 11/27/2017 | 84 | 1,753,563 | |||||||
Media: Broadcast 0.01% | |||||||||||
ION Media Networks, Inc.*(j) | 687.00 | 12/18/2016 | 2 | 243,750 | |||||||
ION Media Networks, Inc.*(j) | 500.00 | 12/18/2016 | 2 | 612,250 | |||||||
Total | 856,000 | ||||||||||
Media: Cable 0.08% | |||||||||||
Charter Communications, Inc.* | 46.86 | 11/30/2014 | 84 | 6,726,240 | |||||||
Total Warrants (cost $11,220,353) | 9,335,803 | ||||||||||
Total Long-Term Investments (cost $7,998,225,746) | 8,217,474,271 |
32 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Principal | |||||||||||
Interest | Maturity | Amount | Fair | ||||||||
Investments | Rate | Date | (000) | Value | |||||||
SHORT-TERM INVESTMENTS 0.47% | |||||||||||
CONVERTIBLE BONDS 0.15% | |||||||||||
Health Services 0.06% | |||||||||||
LifePoint Hospitals, Inc. | 3.50% | 5/15/2014 | $ | 5,000 | $ | 5,431,250 | |||||
Real Estate Investment Trusts 0.09% | |||||||||||
Boston Properties LP† | 3.625% | 2/15/2014 | 7,000 | 7,240,625 | |||||||
Total Convertible Bonds (cost $12,883,308) | 12,671,875 | ||||||||||
REPURCHASE AGREEMENT 0.32% | |||||||||||
Repurchase Agreement dated 6/28/2013, 0.01% due 7/1/2013 with Fixed Income Clearing Corp. collateralized by $27,050,000 of U.S. Treasury Note at 1.00% due 10/31/2016; value: $27,243,408 proceeds: $26,709,233 (cost $26,709,211) | 26,709 | 26,709,211 | |||||||||
Total Short-Term Investments (cost $39,592,519) | 39,381,086 | ||||||||||
Total Investments in Securities 99.62% (cost $8,037,818,265) | 8,256,855,357 | ||||||||||
Cash, Foreign Cash and Other Assets in Excess of Liabilities(k) 0.38% | 31,173,314 | ||||||||||
Net Assets 100.00% | $ | 8,288,028,671 |
See Notes to Financial Statements. | 33 |
Schedule of Investments (unaudited)(continued)
June 30, 2013
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. | |
(a) | Investment in non-U.S. dollar denominated securities. | |
(b) | Foreign security traded in U.S. dollars. | |
(c) | Defaulted security. | |
(d) | 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 shown is the rate(s) in effect at June 30, 2013. | |
(e) | Security is perpetual in nature and has no stated maturity. | |
(f) | To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. | |
(g) | Debenture pays interest at an annual fixed rate of 8.00% through June 15, 2020. Thereafter, interest will be paid at an annual floating rate of 3-month LIBOR plus 6.405% through December 29, 2049. This debenture is subject to full redemption at the option of the issuer any time prior to December 29, 2049. | |
(h) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(i) | Security has been partially segregated to cover margin requirements for open futures contracts as of June 30, 2013. | |
(j) | Restricted securities of ION Media Networks, Inc. acquired through private placement are as follows: |
Investment Type | Acquisition Date | Acquired Shares | Cost on Acquisition Date | Fair value per share at June 30, 2013 | ||||||
Warrant | April 15, 2011 | 1,950 | $4,318,663 | $125.00 | ||||||
Warrant | April 15, 2011 | 1,975 | 5,785,009 | 310.00 |
(k) | Cash, Foreign Cash and Other Assets in Excess of Liabilities include net unrealized appreciation on open futures contracts and forward foreign currency exchange contracts as follows: |
Open Futures Contracts at June 30, 2013:
Type | Expiration | Contracts | Position | Fair Value | Unrealized Appreciation | |||||||||
U.S. 10-Year Treasury Note | September 2013 | 1,000 | Short | $ | (126,562,500 | ) | $ | 3,105,541 |
Open Forward Foreign Currency Exchange Contracts at June 30, 2013:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | ||||||||||||
British pound | Sell | J.P. Morgan | 10/24/2013 | 4,780,000 | $ 7,391,620 | $ | 7,264,886 | $ | 126,734 | ||||||||||
euro | Sell | J.P. Morgan | 9/11/2013 | 15,369,000 | 20,344,591 | 20,011,193 | 333,398 | ||||||||||||
euro | Sell | UBS AG | 9/11/2013 | 25,278,000 | 33,440,999 | 32,913,197 | 527,802 | ||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 987,934 |
34 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
The following is a summary of the inputs used as of June 30, 2013 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 284,529,079 | (3) | $ | — | $ | — | $ | 284,529,079 | |||||||
Pharmaceuticals | 23,442,028 | 9,000,000 | (4) | — | 32,442,028 | |||||||||||
Convertible Bonds | — | 576,751,376 | — | 576,751,376 | ||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Aerospace/Defense | 24,931,200 | — | — | 24,931,200 | ||||||||||||
Auto Parts & Equipment | — | 4,378,970 | — | 4,378,970 | ||||||||||||
Automakers | 14,448,000 | — | — | 14,448,000 | ||||||||||||
Banking | 27,762,500 | — | — | 27,762,500 | ||||||||||||
Electric: Integrated | 34,758,700 | — | — | 34,758,700 | ||||||||||||
Energy: Exploration & Production | 9,548,000 | — | — | 9,548,000 | ||||||||||||
Food: Wholesale | — | 18,180,000 | — | 18,180,000 | ||||||||||||
Investments & Miscellaneous Financial Services | — | 28,875,625 | — | 28,875,625 | ||||||||||||
Life Insurance | 21,916,000 | — | — | 21,916,000 | ||||||||||||
Metals/Mining (Excluding Steel) | 15,357,358 | — | — | 15,357,358 | ||||||||||||
Railroads | — | 14,416,800 | — | 14,416,800 | ||||||||||||
Real Estate Investment Trusts | 3,106,800 | — | — | 3,106,800 | ||||||||||||
Steel Producers/Products | 6,287,950 | — | — | 6,287,950 | ||||||||||||
Telecommunications: Integrated/ Services | — | 2,200,000 | — | 2,200,000 | ||||||||||||
Floating Rate Loans(5) | ||||||||||||||||
Chemicals | — | 4,000,000 | — | 4,000,000 | ||||||||||||
Department Stores | — | 4,715,087 | — | 4,715,087 | ||||||||||||
Diversified Capital Goods | — | 5,816,725 | — | 5,816,725 | ||||||||||||
Electric: Generation | — | 7,791,986 | — | 7,791,986 | ||||||||||||
Electric: Integrated | — | — | 6,702,746 | 6,702,746 | ||||||||||||
Food | — | 6,584,386 | — | 6,584,386 | ||||||||||||
Food & Drug Retailers | — | 16,039,369 | — | 16,039,369 | ||||||||||||
Food/Tobacco | — | 11,653,537 | — | 11,653,537 | ||||||||||||
Food: Wholesale | — | — | 7,370,010 | 7,370,010 | ||||||||||||
Gaming | — | 9,266,700 | — | 9,266,700 | ||||||||||||
Health Facilities | — | 10,048,419 | — | 10,048,419 | ||||||||||||
Health Services | — | 9,928,314 | — | 9,928,314 | ||||||||||||
Investments & Miscellaneous Financial Services | — | 6,833,863 | 5,299,219 | 12,133,082 | ||||||||||||
Media: Broadcast | — | 17,757,128 | — | 17,757,128 | ||||||||||||
Media: Cable | — | 8,423,288 | — | 8,423,288 | ||||||||||||
Media: Services | — | 14,709,489 | 7,228,309 | 21,937,798 | ||||||||||||
Real Estate Development & Management | — | 788,316 | — | 788,316 | ||||||||||||
Software/Services | — | 21,149,351 | — | 21,149,351 | ||||||||||||
Foreign Bonds | — | 41,931,663 | — | 41,931,663 | ||||||||||||
Foreign Government Obligations | — | 19,239,592 | — | 19,239,592 | ||||||||||||
Government Sponsored Enterprises Pass-throughs | — | 60,928,122 | — | 60,928,122 |
See Notes to Financial Statements. | 35 |
Schedule of Investments (unaudited)(concluded)
June 30, 2013
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
High Yield Corporate Bonds | $ | — | $ | 6,173,515,150 | $ | — | $ | 6,173,515,150 | ||||||||
Automakers | — | 29,792,500 | 1,500 | 29,794,000 | ||||||||||||
Banking | — | 231,878,746 | 2,250 | 231,880,996 | ||||||||||||
Telecommunications: | ||||||||||||||||
Integrated/Services | — | 296,561,989 | 1,500 | 296,563,489 | ||||||||||||
Municipal Bond | — | 16,917,960 | — | 16,917,960 | ||||||||||||
Preferred Stocks | 18,257,346 | — | — | 18,257,346 | ||||||||||||
Banking | 18,588,335 | 11,197,062 | — | 29,785,397 | ||||||||||||
Warrants | 8,479,803 | — | 856,000 | 9,335,803 | ||||||||||||
Repurchase Agreement | — | 26,709,211 | — | 26,709,211 | ||||||||||||
Total | $ | 511,413,099 | $ | 7,717,980,724 | $ | 27,461,534 | $ | 8,256,855,357 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | — | $ | 987,934 | $ | — | $ | 987,934 | ||||||||
Liabilities | — | — | — | — | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 3,105,541 | — | — | 3,105,541 | ||||||||||||
Liabilities | — | — | — | — | ||||||||||||
Unfunded Commitments | ||||||||||||||||
Assets | — | — | 30,148 | 30,148 | ||||||||||||
Liabilities | — | — | — | — | ||||||||||||
Total | $ | 3,105,541 | $ | 987,934 | $ | 30,148 | $ | 4,123,623 |
(1) | Refer to note 2(l) for a description of fair value measurements and the three-tier hierarchy of inputs. | |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. | |
(3) | Tribune Co. was categorized as Level 2 on December 31, 2012 due to the use of an observable dealer quotation. This security was listed on the NASDAQ on January 4, 2013. Therefore, as of June 30, 2013, this security was categorized as a Level 1 due to the use of an unadjusted quoted market closing price in an active market. Accordingly, $4,017,421 was transferred from Level 2 to Level 1 during the period ended June 30, 2013. | |
(4) | On June 30, 2013, Onyx Pharmaceuticals, Inc. announced that it rejected a stock buyout offer. This announcement took place subsequent to the most recent June 28, 2013 closing price on NASDAQ Stock Market LLC. Accordingly, observable input pricing was utilized resulting in a Level 2 valuation. During the period ended June 30, 2013, $5,664,750 was transferred from Level 1 to Level 2. | |
(5) | Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs in the valuation. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Floating Rate Loans | High Yield Corporate Bonds | Unfunded Commitments | Warrants | ||||||||||||||
Balance as of January 1, 2013 | $ | 14,455,169 | $ | 42,975 | $ | (13,860 | ) | $ | 1,081,250 | |||||||||
Accrued discounts/premiums | 139,951 | — | — | — | ||||||||||||||
Realized gain (loss) | 11,111 | — | — | — | ||||||||||||||
Change in unrealized appreciation/depreciation | 946,255 | (37,725 | ) | 44,008 | (225,250 | ) | ||||||||||||
Purchases | 5,284,687 | — | — | — | ||||||||||||||
Sales | (1,167,149 | ) | — | — | — | |||||||||||||
Net transfers in or out of Level 3 | 6,930,260 | — | — | — | ||||||||||||||
Balance as of June 30, 2013 | $ | 26,600,284 | $ | 5,250 | $ | 30,148 | $ | 856,000 |
36 | See Notes to Financial Statements. |
This page is intentionally left blank.
Statement of Assets and Liabilities (unaudited)
June 30, 2013
ASSETS: | ||||
Investments in securities, at fair value (cost $8,037,818,265) | $ | 8,256,855,357 | ||
Cash | 3,794,556 | |||
Foreign cash, at value (cost $593,858) | 582,140 | |||
Receivables: | ||||
Interest and dividends | 127,041,826 | |||
Capital shares sold | 47,217,769 | |||
Investment securities sold | 31,478,070 | |||
Variation margin | 78,222 | |||
Unrealized appreciation on unfunded commitments | 30,148 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 987,934 | |||
Prepaid expenses and other assets | 136,891 | |||
Total assets | 8,468,202,913 | |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 99,934,272 | |||
Capital shares reacquired | 32,648,301 | |||
12b-1 distribution fees | 4,376,371 | |||
Management fee | 3,162,113 | |||
Directors’ fees | 1,353,504 | |||
Fund administration | 279,250 | |||
Distributions payable | 37,194,569 | |||
Accrued expenses | 1,225,862 | |||
Total liabilities | 180,174,242 | |||
NET ASSETS | $ | 8,288,028,671 | ||
COMPOSITION OF NET ASSETS: | ||||
Paid-in capital | $ | 7,965,430,078 | ||
Distributions in excess of net investment income | (53,681,104 | ) | ||
Accumulated net realized gain on investments, futures contracts and foreign currency related transactions | 153,136,977 | |||
Net unrealized appreciation on investments, futures contracts, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | 223,142,720 | |||
Net Assets | $ | 8,288,028,671 |
38 | See Notes to Financial Statements. |
Statement of Assets and Liabilities (unaudited)(concluded)
June 30, 2013
Net assets by class: | ||||
Class A Shares | $ | 4,680,800,771 | ||
Class B Shares | $ | 186,480,940 | ||
Class C Shares | $ | 1,993,292,304 | ||
Class F Shares | $ | 1,029,721,362 | ||
Class I Shares | $ | 246,252,332 | ||
Class P Shares | $ | 75,338,820 | ||
Class R2 Shares | $ | 3,084,761 | ||
Class R3 Shares | $ | 73,057,381 | ||
Outstanding shares by class: | ||||
Class A Shares (1.14 billion shares of common stock authorized, $.001 par value) | 581,058,628 | |||
Class B Shares (500 million shares of common stock authorized, $.001 par value) | 23,069,902 | |||
Class C Shares (600 million shares of common stock authorized, $.001 par value) | 246,831,277 | |||
Class F Shares (300 million shares of common stock authorized, $.001 par value) | 127,989,098 | |||
Class I Shares (300 million shares of common stock authorized, $.001 par value) | 30,710,231 | |||
Class P Shares (160 million shares of common stock authorized, $.001 par value) | 9,157,768 | |||
Class R2 Shares (300 million shares of common stock authorized, $.001 par value) | 382,918 | |||
Class R3 Shares (300 million shares of common stock authorized, $.001 par value) | 9,082,593 | |||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||
Class A Shares-Net asset value | $8.06 | |||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 4.75%) | $8.46 | |||
Class B Shares-Net asset value | $8.08 | |||
Class C Shares-Net asset value | $8.08 | |||
Class F Shares-Net asset value | $8.05 | |||
Class I Shares-Net asset value | $8.02 | |||
Class P Shares-Net asset value | $8.23 | |||
Class R2 Shares-Net asset value | $8.06 | |||
Class R3 Shares-Net asset value | $8.04 |
See Notes to Financial Statements. | 39 |
Statement of Operations (unaudited)
For the Six Months Ended June 30, 2013
Investment income: | ||||
Dividends | $ | 9,086,352 | ||
Interest | 259,488,300 | |||
Total investment income | 268,574,652 | |||
Expenses: | ||||
Management fee | 19,444,069 | |||
12b-1 distribution plan-Class A | 8,491,901 | |||
12b-1 distribution plan-Class B | 1,043,847 | |||
12b-1 distribution plan-Class C | 10,300,399 | |||
12b-1 distribution plan-Class F | 524,598 | |||
12b-1 distribution plan-Class P | 146,354 | |||
12b-1 distribution plan-Class R2 | 9,670 | |||
12b-1 distribution plan-Class R3 | 180,816 | |||
Shareholder servicing | 4,185,991 | |||
Fund administration | 1,717,342 | |||
Reports to shareholders | 298,038 | |||
Registration | 135,962 | |||
Directors’ fees | 120,157 | |||
Professional | 62,288 | |||
Custody | 61,479 | |||
Other | 91,306 | |||
Gross expenses | 46,814,217 | |||
Expense reductions (See Note 9) | (4,749 | ) | ||
Net expenses | 46,809,468 | |||
Net investment income | 221,765,184 | |||
Net realized and unrealized gain (loss): | ||||
Net realized gain on investments, futures contracts and foreign currency related transactions | 146,053,723 | |||
Net change in unrealized appreciation/depreciation on investments, futures contracts, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | (229,121,179 | ) | ||
Net realized and unrealized loss | (83,067,456 | ) | ||
Net Increase in Net Assets Resulting From Operations | $ | 138,697,728 |
40 | See Notes to Financial Statements. |
Statements of Changes in Net Assets
INCREASE (DECREASE) IN NET ASSETS | For the Six Months Ended June 30, 2013 (unaudited) | For the Year Ended December 31, 2012 | |||||
Operations: | |||||||
Net investment income | $ | 221,765,184 | $ | 470,722,591 | |||
Net realized gain on investments, futures contracts and foreign currency related transactions | 146,053,723 | 179,468,950 | |||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | (229,121,179 | ) | 348,185,327 | ||||
Net increase in net assets resulting from operations | 138,697,728 | 998,376,868 | |||||
Distributions to shareholders from: | |||||||
Net investment income | |||||||
Class A | (131,363,865 | ) | (276,284,375 | ) | |||
Class B | (4,980,809 | ) | (13,966,875 | ) | |||
Class C | (49,068,410 | ) | (103,530,439 | ) | |||
Class F | (29,619,384 | ) | (60,760,217 | ) | |||
Class I | (6,970,739 | ) | (13,613,665 | ) | |||
Class P | (2,361,439 | ) | (6,491,817 | ) | |||
Class R2 | (83,305 | ) | (135,484 | ) | |||
Class R3 | (1,918,219 | ) | (3,346,105 | ) | |||
Total distributions to shareholders | (226,366,170 | ) | (478,128,977 | ) | |||
Capital share transactions (Net of share conversions) (See Note 13): | |||||||
Net proceeds from sales of shares | 797,931,892 | 1,851,708,040 | |||||
Reinvestment of distributions | 193,053,165 | 398,371,696 | |||||
Cost of shares reacquired | (1,191,230,353 | ) | (1,947,729,826 | ) | |||
Net increase (decrease) in net assets resulting from capital share transactions | (200,245,296 | ) | 302,349,910 | ||||
Net increase (decrease) in net assets | (287,913,738 | ) | 822,597,801 | ||||
NET ASSETS: | |||||||
Beginning of period | $ | 8,575,942,409 | $ | 7,753,344,608 | |||
End of period | $ | 8,288,028,671 | $ | 8,575,942,409 | |||
Distributions in excess of net investment income | $ | (53,681,104 | ) | $ | (49,080,118 | ) |
See Notes to Financial Statements. | 41 |
Class A Shares | |||||||||||||||||||||||||
Six Months Ended 6/30/2013 | Year Ended 12/31 | ||||||||||||||||||||||||
(unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $8.14 | $7.63 | $7.81 | $7.35 | $5.86 | $7.92 | |||||||||||||||||||
Investment operations: | |||||||||||||||||||||||||
Net investment income(a) | .22 | .47 | .47 | .47 | .45 | .47 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (.08 | ) | .51 | (.17 | ) | .45 | 1.55 | (2.01 | ) | ||||||||||||||||
Total from investment operations | .14 | .98 | .30 | .92 | 2.00 | (1.54 | ) | ||||||||||||||||||
Distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (.22 | ) | (.47 | ) | (.48 | ) | (.46 | ) | (.51 | ) | (.52 | ) | |||||||||||||
Net asset value, end of period | $8.06 | $8.14 | $7.63 | $7.81 | $7.35 | $5.86 | |||||||||||||||||||
Total Return(b) | 1.71 | %(c) | 13.22 | % | 3.88 | % | 12.94 | % | 35.37 | % | (20.26 | )% | |||||||||||||
Ratios to Average Net Assets: | |||||||||||||||||||||||||
Expenses, including expense reductions | .48 | %(c) | .96 | % | .97 | % | .97 | % | 1.00 | % | 1.00 | % | |||||||||||||
Expenses, excluding expense reductions | .48 | %(c) | .96 | % | .97 | % | .97 | % | 1.00 | % | 1.00 | % | |||||||||||||
Net investment income | �� | 2.63 | %(c) | 5.88 | % | 6.07 | % | 6.19 | % | 6.82 | % | 6.63 | % | ||||||||||||
Supplemental Data: | |||||||||||||||||||||||||
Net assets, end of period (000) | $ | 4,680,801 | $ | 4,850,567 | $ | 4,345,679 | $ | 4,415,645 | $ | 4,709,961 | $ | 3,316,663 | |||||||||||||
Portfolio turnover rate | 24.32 | %(c) | 45.87 | % | 35.73 | % | 42.65 | % | 41.93 | % | 29.01 | % |
(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. |
42 | See Notes to Financial Statements. |
Financial Highlights (continued)
Class B Shares | |||||||||||||||||||||||||
Six Months Ended 6/30/2013 | Year Ended 12/31 | ||||||||||||||||||||||||
(unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $8.17 | $7.66 | $7.84 | $7.37 | $5.87 | $7.93 | |||||||||||||||||||
Investment operations: | |||||||||||||||||||||||||
Net investment income(a) | .19 | .42 | .42 | .42 | .41 | .43 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (.08 | ) | .51 | (.17 | ) | .46 | 1.55 | (2.02 | ) | ||||||||||||||||
Total from investment operations | .11 | .93 | .25 | .88 | 1.96 | (1.59 | ) | ||||||||||||||||||
Distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (.20 | ) | (.42 | ) | (.43 | ) | (.41 | ) | (.46 | ) | (.47 | ) | |||||||||||||
Net asset value, end of period | $8.08 | $8.17 | $7.66 | $7.84 | $7.37 | $5.87 | |||||||||||||||||||
Total Return(b) | 1.26 | %(c) | 12.47 | % | 3.35 | % | 12.16 | % | 34.52 | % | (20.82 | )% | |||||||||||||
Ratios to Average Net Assets: | |||||||||||||||||||||||||
Expenses, including expense reductions | .80 | %(c) | 1.61 | % | 1.62 | % | 1.62 | % | 1.65 | % | 1.65 | % | |||||||||||||
Expenses, excluding expense reductions | .80 | %(c) | 1.61 | % | 1.62 | % | 1.62 | % | 1.65 | % | 1.65 | % | |||||||||||||
Net investment income | 2.31 | %(c) | 5.25 | % | 5.39 | % | 5.54 | % | 6.21 | % | 5.95 | % | |||||||||||||
Supplemental Data: | |||||||||||||||||||||||||
Net assets, end of period (000) | $186,481 | $225,154 | $295,027 | $530,340 | $717,671 | $660,920 | |||||||||||||||||||
Portfolio turnover rate | 24.32 | %(c) | 45.87 | % | 35.73 | % | 42.65 | % | 41.93 | % | 29.01 | % |
(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. | 43 |
Financial Highlights (continued)
Class C Shares | |||||||||||||||||||||||||
Six Months Ended 6/30/2013 | Year Ended 12/31 | ||||||||||||||||||||||||
(unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $8.16 | $7.65 | $7.83 | $7.36 | $5.87 | $7.94 | |||||||||||||||||||
Investment operations: | |||||||||||||||||||||||||
Net investment income(a) | .19 | .42 | .42 | .42 | .41 | .43 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (.07 | ) | .51 | (.17 | ) | .46 | 1.54 | (2.03 | ) | ||||||||||||||||
Total from investment operations | .12 | .93 | .25 | .88 | 1.95 | (1.60 | ) | ||||||||||||||||||
Distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (.20 | ) | (.42 | ) | (.43 | ) | (.41 | ) | (.46 | ) | (.47 | ) | |||||||||||||
Net asset value, end of period | $8.08 | $8.16 | $7.65 | $7.83 | $7.36 | $5.87 | |||||||||||||||||||
Total Return(b) | 1.39 | %(c) | 12.47 | % | 3.22 | % | 12.34 | % | 34.44 | % | (20.90 | )% | |||||||||||||
Ratios to Average Net Assets: | |||||||||||||||||||||||||
Expenses, including expense reductions | .80 | %(c) | 1.61 | % | 1.62 | % | 1.62 | % | 1.65 | % | 1.65 | % | |||||||||||||
Expenses, excluding expense reductions | .80 | %(c) | 1.61 | % | 1.62 | % | 1.62 | % | 1.65 | % | 1.65 | % | |||||||||||||
Net investment income | 2.31 | %(c) | 5.23 | % | 5.42 | % | 5.54 | % | 6.13 | % | 5.98 | % | |||||||||||||
Supplemental Data: | |||||||||||||||||||||||||
Net assets, end of period (000) | $ | 1,993,292 | $ | 2,051,198 | $ | 1,790,610 | $ | 1,866,405 | $ | 1,888,177 | $ | 1,018,175 | |||||||||||||
Portfolio turnover rate | 24.32 | %(c) | 45.87 | % | 35.73 | % | 42.65 | % | 41.93 | % | 29.01 | % |
(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. |
44 | See Notes to Financial Statements. |
Financial Highlights (continued)
Class F Shares | |||||||||||||||||||||||||
Six Months Ended 6/30/2013 | Year Ended 12/31 | ||||||||||||||||||||||||
(unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $8.13 | $7.62 | $7.80 | $7.34 | $5.85 | $7.92 | |||||||||||||||||||
Investment operations: | |||||||||||||||||||||||||
Net investment income(a) | .23 | .49 | .49 | .48 | .46 | .49 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (.08 | ) | .51 | (.17 | ) | .46 | 1.55 | (2.02 | ) | ||||||||||||||||
Total from investment operations | .15 | 1.00 | .32 | .94 | 2.01 | (1.53 | ) | ||||||||||||||||||
Distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (.23 | ) | (.49 | ) | (.50 | ) | (.48 | ) | (.52 | ) | (.54 | ) | |||||||||||||
Net asset value, end of period | $8.05 | $8.13 | $7.62 | $7.80 | $7.34 | $5.85 | |||||||||||||||||||
Total Return(b) | 1.84 | %(c) | 13.50 | % | 4.12 | % | 13.24 | % | 35.81 | % | (20.17 | )% | |||||||||||||
Ratios to Average Net Assets: | |||||||||||||||||||||||||
Expenses, including expense reductions | .35 | %(c) | .71 | % | .72 | % | .72 | % | .75 | % | .75 | % | |||||||||||||
Expenses, excluding expense reductions | .35 | %(c) | .71 | % | .72 | % | .72 | % | .75 | % | .75 | % | |||||||||||||
Net investment income | 2.75 | %(c) | 6.11 | % | 6.30 | % | 6.42 | % | 6.87 | % | 7.44 | % | |||||||||||||
Supplemental Data: | |||||||||||||||||||||||||
Net assets, end of period (000) | $ | 1,029,721 | $ | 1,047,325 | $847,032 | $695,689 | $435,085 | $35,771 | |||||||||||||||||
Portfolio turnover rate | 24.32 | %(c) | 45.87 | % | 35.73 | % | 42.65 | % | 41.93 | % | 29.01 | % |
(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. | 45 |
Financial Highlights (continued)
Class I Shares | |||||||||||||||||||||||||
Six Months Ended 6/30/2013 | Year Ended 12/31 | ||||||||||||||||||||||||
(unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $8.10 | $7.60 | $7.77 | $7.31 | $5.83 | $7.90 | |||||||||||||||||||
Investment operations: | |||||||||||||||||||||||||
Net investment income(a) | .23 | .49 | .50 | .49 | .47 | .50 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (.08 | ) | .51 | (.16 | ) | .46 | 1.54 | (2.02 | ) | ||||||||||||||||
Total from investment operations | .15 | 1.00 | .34 | .95 | 2.01 | (1.52 | ) | ||||||||||||||||||
Distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (.23 | ) | (.50 | ) | (.51 | ) | (.49 | ) | (.53 | ) | (.55 | ) | |||||||||||||
Net asset value, end of period | $8.02 | $8.10 | $7.60 | $7.77 | $7.31 | $5.83 | |||||||||||||||||||
Total Return(b) | 1.88 | %(c) | 13.49 | % | 4.35 | % | 13.40 | % | 35.87 | % | (20.14 | )% | |||||||||||||
Ratios to Average Net Assets: | |||||||||||||||||||||||||
Expenses, including expense reductions | .30 | %(c) | .62 | % | .62 | % | .62 | % | .65 | % | .65 | % | |||||||||||||
Expenses, excluding expense reductions | .30 | %(c) | .62 | % | .62 | % | .62 | % | .65 | % | .65 | % | |||||||||||||
Net investment income | 2.80 | %(c) | 6.25 | % | 6.39 | % | 6.53 | % | 7.15 | % | 6.98 | % | |||||||||||||
Supplemental Data: | |||||||||||||||||||||||||
Net assets, end of period (000) | $246,252 | $230,006 | $316,777 | $353,941 | $294,144 | $203,843 | |||||||||||||||||||
Portfolio turnover rate | 24.32 | %(c) | 45.87 | % | 35.73 | % | 42.65 | % | 41.93 | % | 29.01 | % |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
46 | See Notes to Financial Statements. |
Financial Highlights (continued)
Class P Shares | |||||||||||||||||||||||||
Six Months Ended 6/30/2013 | Year Ended 12/31 | ||||||||||||||||||||||||
(unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $8.31 | $7.79 | $7.98 | $7.49 | $5.97 | $8.06 | |||||||||||||||||||
Investment operations: | |||||||||||||||||||||||||
Net investment income(a) | .22 | .48 | .48 | .47 | .45 | .47 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (.07 | ) | .52 | (.18 | ) | .48 | 1.57 | (2.05 | ) | ||||||||||||||||
Total from investment operations | .15 | 1.00 | .30 | .95 | 2.02 | (1.58 | ) | ||||||||||||||||||
Distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (.23 | ) | (.48 | ) | (.49 | ) | (.46 | ) | (.50 | ) | (.51 | ) | |||||||||||||
Net asset value, end of period | $8.23 | $8.31 | $7.79 | $7.98 | $7.49 | $5.97 | |||||||||||||||||||
Total Return(b) | 1.74 | %(c) | 13.21 | % | 3.88 | % | 12.73 | % | 35.47 | % | (20.50 | )% | |||||||||||||
Ratios to Average Net Assets: | |||||||||||||||||||||||||
Expenses, including expense reductions | .47 | %(c) | .96 | % | 1.03 | % | 1.07 | % | 1.10 | % | 1.10 | % | |||||||||||||
Expenses, excluding expense reductions | .47 | %(c) | .96 | % | 1.03 | % | 1.07 | % | 1.10 | % | 1.10 | % | |||||||||||||
Net investment income | 2.64 | %(c) | 5.88 | % | 6.01 | % | 6.08 | % | 6.70 | % | 6.55 | % | |||||||||||||
Supplemental Data: | |||||||||||||||||||||||||
Net assets, end of period (000) | $75,339 | $99,968 | $109,252 | $143,083 | $150,002 | $99,134 | |||||||||||||||||||
Portfolio turnover rate | 24.32 | %(c) | 45.87 | % | 35.73 | % | 42.65 | % | 41.93 | % | 29.01 | % |
(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. | 47 |
Financial Highlights (continued)
Class R2 Shares | |||||||||||||||||||||||||
Six Months Ended 6/30/2013 | Year Ended 12/31 | ||||||||||||||||||||||||
(unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $8.14 | $7.63 | $7.81 | $7.35 | $5.86 | $7.92 | |||||||||||||||||||
Investment operations: | |||||||||||||||||||||||||
Net investment income(a) | .21 | .45 | .46 | .45 | .43 | .46 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (.08 | ) | .52 | (.18 | ) | .45 | 1.55 | (2.02 | ) | ||||||||||||||||
Total from investment operations | .13 | .97 | .28 | .90 | 1.98 | (1.56 | ) | ||||||||||||||||||
Distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (.21 | ) | (.46 | ) | (.46 | ) | (.44 | ) | (.49 | ) | (.50 | ) | |||||||||||||
Net asset value, end of period | $8.06 | $8.14 | $7.63 | $7.81 | $7.35 | $5.86 | |||||||||||||||||||
Total Return(b) | 1.58 | %(c) | 12.94 | % | 3.62 | % | 12.63 | % | 35.26 | % | (20.61 | )% | |||||||||||||
Ratios to Average Net Assets: | |||||||||||||||||||||||||
Expenses, including expense reductions | .60 | %(c) | 1.21 | % | 1.22 | % | 1.22 | % | 1.25 | % | 1.24 | % | |||||||||||||
Expenses, excluding expense reductions | .60 | %(c) | 1.21 | % | 1.22 | % | 1.22 | % | 1.25 | % | 1.24 | % | |||||||||||||
Net investment income | 2.51 | %(c) | 5.62 | % | 5.84 | % | 5.92 | % | 6.57 | % | 6.44 | % | |||||||||||||
Supplemental Data: | |||||||||||||||||||||||||
Net assets, end of period (000) | $3,085 | $2,624 | $1,629 | $1,234 | $456 | $338 | |||||||||||||||||||
Portfolio turnover rate | 24.32 | %(c) | 45.87 | % | 35.73 | % | 42.65 | % | 41.93 | % | 29.01 | % |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
48 | See Notes to Financial Statements. |
Financial Highlights (concluded)
Class R3 Shares | |||||||||||||||||||||||||
Six Months Ended 6/30/2013 | Year Ended 12/31 | ||||||||||||||||||||||||
(unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | ||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of period | $8.13 | $7.62 | $7.80 | $7.34 | $5.85 | $7.92 | |||||||||||||||||||
Investment operations: | |||||||||||||||||||||||||
Net investment income(a) | .21 | .45 | .46 | .45 | .44 | .47 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (.08 | ) | .52 | (.17 | ) | .46 | 1.55 | (2.03 | ) | ||||||||||||||||
Total from investment operations | .13 | .97 | .29 | .91 | 1.99 | (1.56 | ) | ||||||||||||||||||
Distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (.22 | ) | (.46 | ) | (.47 | ) | (.45 | ) | (.50 | ) | (.51 | ) | |||||||||||||
Net asset value, end of period | $8.04 | $8.13 | $7.62 | $7.80 | $7.34 | $5.85 | |||||||||||||||||||
Total Return(b) | 1.51 | %(c) | 13.07 | % | 3.73 | % | 12.83 | % | 35.31 | % | (20.52 | )% | |||||||||||||
Ratios to Average Net Assets: | |||||||||||||||||||||||||
Expenses, including expense reductions | .55 | %(c) | 1.11 | % | 1.12 | % | 1.12 | % | 1.14 | % | 1.15 | % | |||||||||||||
Expenses, excluding expense reductions | .55 | %(c) | 1.11 | % | 1.12 | % | 1.12 | % | 1.14 | % | 1.15 | % | |||||||||||||
Net investment income | 2.56 | %(c) | 5.73 | % | 5.94 | % | 6.03 | % | 6.53 | % | 7.01 | % | |||||||||||||
Supplemental Data: | |||||||||||||||||||||||||
Net assets, end of period (000) | $73,057 | $69,100 | $47,338 | $34,991 | $17,780 | $5,399 | |||||||||||||||||||
Portfolio turnover rate | 24.32 | %(c) | 45.87 | % | 35.73 | % | 42.65 | % | 41.93 | % | 29.01 | % |
(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. | 49 |
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 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. 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. Exchange-traded options and futures contracts |
50
Notes to Financial Statements (unaudited)(continued)
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 asked prices is used. Forward foreign currency exchange contracts are valued using daily forward exchange rates. | |
Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee and approved by the Board. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values, yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine 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 retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. | |
Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. | |
(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 income on the Statement of Operations. 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, 2009 through December 31, 2012. 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 |
51
Notes to Financial Statements (unaudited)(continued)
contracts, unfunded commitments 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 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) | Forward Foreign Currency Exchange Contracts–The Fund may enter into forward foreign currency exchange contracts in order to reduce its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings or gain or reduce exposure to foreign currency for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on investments, futures contracts, unfunded commitments and translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included in Net realized gain on investments, futures contracts and foreign currency related transactions on the Fund’s Statement of Operations. |
(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 the 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) | When-Issued, Forward Transactions or To-Be-Announced (“TBA”) Transactions–The Fund may purchase portfolio securities on a when-issued or forward basis. When-issued, forward transactions or TBA 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. |
52
Notes to Financial Statements (unaudited)(continued)
(j) | 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. |
(k) | 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 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. The 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. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statement of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments presented on the Statement of Assets and Liabilities represents mark to market of the unfunded portion of the Fund’s floating rate notes. As of June 30, 2013, the Fund had the following unfunded loan commitments: |
Security Name | ||||
Diamond Foods, Inc. Revolver | $ | 1,417,848 | ||
Gardner Denver, Inc. Bridge Term Loan | 18,750,000 | |||
Total | $ | 20,167,848 |
53
Notes to Financial Statements (unaudited)(continued)
(l) | 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). | |
A summary of inputs used in valuing the Fund’s investments as of June 30, 2013, and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the six months then ended is included in the Fund’s Schedule of Investments. | |||
Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. |
3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
Management Fee
The Fund has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies the Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of the Fund’s investment portfolio.
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, 2013, the effective management fee paid to Lord Abbett was at an annualized rate of .45% of the Fund’s average daily net assets.
54
Notes to Financial Statements (unaudited)(continued)
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.
12b-1 Distribution Plan
The Fund has adopted a distribution plan with respect to Class A, B, C, F, P, R2 and R3 shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. The following annual rates have been approved by the Board pursuant to the plan:
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, 2013:
Distributor Commissions | Dealers’ Concessions | |
$1,131,026 | $5,786,908 |
Distributor received CDSCs of $17,762 and $111,657 for Class A and Class C shares, respectively, for the six months ended June 30, 2013.
A Director 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 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.
55
Notes to Financial Statements (unaudited)(continued)
The tax character of distributions paid during the six months ended June 30, 2013 and the fiscal year ended December 31, 2012 was as follows:
Six Months Ended 6/30/2013 (unaudited) | Year Ended 12/31/2012 | |||||
Distributions paid from: | ||||||
Ordinary income | $ | 226,366,170 | $ | 478,128,977 | ||
Total distributions paid | $ | 226,366,170 | $ | 478,128,977 |
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 also retain their character as either short-term or long-term and be utilized before any pre-enactment losses.
As of June 30, 2013, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 8,099,695,606 | ||
Gross unrealized gain | 398,090,321 | |||
Gross unrealized loss | (240,930,570 | ) | ||
Net unrealized security gain | $ | 157,159,751 |
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, 2013 were as follows:
U.S. Government Purchases* | Non-U.S. Government Purchases | U.S. Government Sales | Non-U.S. Government Sales | ||||
$61,476,563 | $2,005,085,316 | $ — | $2,156,570,008 |
* | Includes U.S. Government sponsored enterprises securities. |
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
The Fund entered into forward foreign currency exchange contracts for the six months ended June 30, 2013 (as described in note 2(g)). A forward foreign currency exchange contract reduces the Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. The Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and the Fund’s returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. The Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts.
56
Notes to Financial Statements (unaudited)(continued)
The Fund entered into U.S. Treasury futures contracts for the six months ended June 30, 2013 (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.
As of June 30, 2013, the Fund had the following derivatives, grouped into appropriate risk categories that illustrate how and why the Fund uses derivative instruments:
Asset Derivatives | Interest Rate Contracts | Forward Foreign Currency Exchange Contracts | Fair Value | |||||||||
Forward Foreign Currency Exchange Contracts(1) | $ | — | $ | 987,934 | $ | 987,934 | ||||||
Futures Contracts(2) | 3,105,541 | — | 3,105,541 | |||||||||
Total | $ | 3,105,541 | $ | 987,934 | $ | 4,093,475 |
(1) | Statement of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
(2) | Statement of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Transactions in derivative instruments for the six months ended June 30, 2013, were as follows:
Interest Rate Contracts | Forward Foreign Currency Exchange Contracts | Total | ||||||||||
Net Realized Gain (Loss)(1) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (722,033 | ) | $ | (722,033 | ) | ||||
Futures Contracts | 536,473 | — | 536,473 | |||||||||
Net Change in Unrealized Appreciation/Depreciation(2) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 1,592,640 | $ | 1,592,640 | ||||||
Futures Contracts | 2,953,021 | — | 2,953,021 | |||||||||
Average Number of Contracts/ Notional Amounts* | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | $ | — | $ | 29,212,833 | $ | 29,212,833 | ||||||
Futures Contracts(4) | 643 | — | 643 |
* | Calculated based on the number of contracts or notional amounts for the six months ended June 30, 2013. |
(1) | Statement of Operations location: Net realized gain on investments, futures contracts and foreign currency related transactions. |
(2) | Statement of Operations location: Net change in unrealized appreciation/depreciation on investments, futures contracts, unfunded commitments and translation of assets and liabilities denominated in foreign currencies. |
(3) | Amount represents notional amounts in U.S. dollars. |
(4) | Amount represents number of contracts. |
57
Notes to Financial Statements (unaudited)(continued)
7. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011–11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011–11”). These disclosure requirements are intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. In addition, FASB issued Accounting Standards Update No. 2013–01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013–01”), specifying which transactions are subject to disclosures about offsetting.
The following tables illustrate gross and net information about recognized assets and liabilities eligible for offset in the Statement of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between two counterparties who have multiple contracts with each other that provides for the net settlement of all contracts, as well as cash collateral, through a single payment in the event of default on or termination of any one contract:
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 987,934 | $ | — | $ | 987,934 | ||||||
Repurchase Agreement | 26,709,211 | — | 26,709,211 | |||||||||
Total | $ | 27,697,145 | $ | — | $ | 27,697,145 |
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||
Counterparty | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instrument Collateral Received(a) | Cash Collateral Received(a) | Net Amount(b) | ||||||||||||
J.P. Morgan | $ | 460,132 | $ | — | $ | (430,000 | ) | $ | 30,132 | |||||||
UBS AG | 527,802 | — | (300,000 | ) | 227,802 | |||||||||||
State Street Bank & Trust | 26,709,211 | (26,709,211 | ) | — | — | |||||||||||
Total | $ | 27,697,145 | $ | (26,709,211 | ) | $ | (730,000 | ) | $ | 257,934 |
(a) | Collateral received is limited to an amount not to exceed 100% of the net amount of assets in the tables presented above, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2013. |
8. | DIRECTORS’ REMUNERATION |
The Fund’s officers and a Director, 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 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.
58
Notes to Financial Statements (unaudited)(continued)
9. | 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.
10. | 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.
Effective April 1, 2013, the Fund and the participating funds entered into a short term extension of the Facility through June 30, 2013. Effective July 1, 2013 the Fund and participating funds renewed the Facility through June 30, 2014 under the same terms as described above.
During the six months ended June 30, 2013, a participating fund utilized the Facility and fully repaid its borrowings on June 13, 2013. As of June 30, 2013, there were no outstanding loans pursuant to this Facility.
11. | 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.
12. | 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 and/or interest to the Fund, a risk that is greater with high-yield securities (sometimes called “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 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
59
Notes to Financial Statements (unaudited)(continued)
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 markets 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’s use of derivatives could result in a loss exceeding the amount of the Fund’s investment in these instruments.
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.
60
Notes to Financial Statements (unaudited)(continued)
13. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of beneficial interest were as follows:
Six Months Ended June 30, 2013 (unaudited) | Year Ended December 31, 2012 | ||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | |||||||||
Shares sold | 45,515,433 | $ | 376,353,174 | 113,405,450 | $ | 901,531,118 | |||||||
Converted from Class B* | 2,545,455 | 21,005,332 | 7,952,536 | 63,182,965 | |||||||||
Reinvestment of distributions | 14,501,119 | 119,545,583 | 30,870,088 | 245,805,551 | |||||||||
Shares reacquired | (77,339,840 | ) | (637,106,977 | ) | (125,783,061 | ) | (998,948,340 | ) | |||||
Increase (decrease) | (14,777,833 | ) | $ | (120,202,888 | ) | 26,445,013 | $ | 211,571,294 | |||||
Class B Shares | |||||||||||||
Shares sold | 282,453 | $ | 2,345,285 | 728,928 | $ | 5,808,870 | |||||||
Reinvestment of distributions | 505,908 | 4,186,147 | 1,459,038 | 11,647,331 | |||||||||
Shares reacquired | (2,744,492 | ) | (22,724,468 | ) | (5,222,900 | ) | (41,627,628 | ) | |||||
Converted to Class A* | (2,536,607 | ) | (21,005,332 | ) | (7,926,571 | ) | (63,182,965 | ) | |||||
Decrease | (4,492,738 | ) | $ | (37,198,368 | ) | (10,961,505 | ) | $ | (87,354,392 | ) | |||
Class C Shares | |||||||||||||
Shares sold | 18,053,428 | $ | 149,699,620 | 43,431,158 | $ | 345,607,243 | |||||||
Reinvestment of distributions | 4,615,980 | 38,144,832 | 9,698,893 | 77,422,450 | |||||||||
Shares reacquired | (27,182,816 | ) | (224,885,355 | ) | (35,818,624 | ) | (285,600,334 | ) | |||||
Increase (decrease) | (4,513,408 | ) | $ | (37,040,903 | ) | 17,311,427 | $ | 137,429,359 | |||||
Class F Shares | |||||||||||||
Shares sold | 24,629,484 | $ | 203,515,009 | 49,243,438 | $ | 390,285,417 | |||||||
Reinvestment of distributions | 2,617,357 | 21,549,293 | 5,478,089 | 43,569,360 | |||||||||
Shares reacquired | (28,072,487 | ) | (231,083,838 | ) | (37,026,612 | ) | (294,113,712 | ) | |||||
Increase (decrease) | (825,646 | ) | $ | (6,019,536 | ) | 17,694,915 | $ | 139,741,065 | |||||
Class I Shares | |||||||||||||
Shares sold | 5,245,394 | $ | 43,037,036 | 19,113,668 | $ | 150,302,380 | |||||||
Reinvestment of distributions | 651,403 | 5,346,028 | 1,273,862 | 10,102,393 | |||||||||
Shares reacquired | (3,571,901 | ) | (29,283,265 | ) | (33,699,673 | ) | (262,212,677 | ) | |||||
Increase (decrease) | 2,324,896 | $ | 19,099,799 | (13,312,143 | ) | $ | (101,807,904 | ) | |||||
Class P Shares | |||||||||||||
Shares sold | 446,060 | $ | 3,762,732 | 2,822,147 | $ | 22,863,521 | |||||||
Reinvestment of distributions | 278,742 | 2,347,014 | 793,851 | 6,453,217 | |||||||||
Shares reacquired | (3,591,948 | ) | (30,300,702 | ) | (5,608,703 | ) | (45,634,569 | ) | |||||
Decrease | (2,867,146 | ) | $ | (24,190,956 | ) | (1,992,705 | ) | $ | (16,317,831 | ) |
61
Notes to Financial Statements (unaudited)(concluded)
Six Months Ended June 30, 2013 (unaudited) | Year Ended December 31, 2012 | ||||||||||||
Class R2 Shares | Shares | Amount | Shares | Amount | |||||||||
Shares sold | 183,493 | $ | 1,509,599 | 284,046 | $ | 2,249,955 | |||||||
Reinvestment of distributions | 2,526 | 20,819 | 3,903 | 31,129 | |||||||||
Shares reacquired | (125,483 | ) | (1,036,844 | ) | (179,073 | ) | (1,425,565 | ) | |||||
Increase | 60,536 | $ | 493,574 | 108,876 | $ | 855,519 | |||||||
Class R3 Shares | |||||||||||||
Shares sold | 2,145,673 | $ | 17,709,437 | 4,155,103 | $ | 33,059,536 | |||||||
Reinvestment of distributions | 232,448 | 1,913,449 | 419,876 | 3,340,265 | |||||||||
Shares reacquired | (1,796,251 | ) | (14,808,904 | ) | (2,286,070 | ) | (18,167,001 | ) | |||||
Increase | 581,870 | $ | 4,813,982 | 2,288,909 | $ | 18,232,800 |
* | Automatic conversion of Class B shares occurs 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. |
End of Financial Statements
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).
62
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. | ||||
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC. | Lord Abbett Bond-Debenture Fund, Inc. | LABD-3-0613 (08/13) |
Item 2: | Code of Ethics. |
Not applicable. | |
Item 3: | Audit Committee Financial Expert. |
Not applicable. | |
Item 4: | Principal Accountant Fees and Services. |
Not applicable. | |
Item 5: | Audit Committee of Listed Registrants. |
Not applicable. | |
Item 6: | Investments. |
Not applicable. | |
Item 7: | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable. | |
Item 8: | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable. | |
Item 9: | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable. | |
Item 10: | Submission of Matters to a Vote of Security Holders. |
Not applicable. | |
Item 11: | Controls and Procedures. |
(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. |
(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. |
Item 12: | Exhibits. |
(a)(1) | Code of Ethics. Not applicable. | |
(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. | |
(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.
LORD ABBETT BOND-DEBENTURE FUND, INC. | |||
By: | /s/ Daria L. Foster | ||
Daria L. Foster | |||
President and Chief Executive Officer | |||
Date: August 21, 2013 | |||
By: | /s/ Joan A. Binstock | ||
Joan A. Binstock | |||
Chief Financial Officer and Vice President | |||
Date: August 21, 2013 |
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.
By: | /s/ Daria L. Foster | ||
Daria L. Foster | |||
President and Chief Executive Officer | |||
Date: August 21, 2013 | |||
By: | /s/ Joan A. Binstock | ||
Joan A. Binstock | |||
Chief Financial Officer and Vice President | |||
Date: August 21, 2013 |