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: 6/30/2014
Item 1: | Report(s) to Shareholders. |
2 0 1 4
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, 2014
Table of Contents
Lord Abbett Bond Debenture Fund
Semiannual Report
For the six-month period ended June 30, 2014
Daria L. Foster, Director, President and Chief Executive Officer of the Lord Abbett Funds, and E. Thayer Bigelow, Independent Chairman of the Lord Abbett Funds.
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, 2014. 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, 2014 through June 30, 2014).
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 1/1/14 – 6/30/14” 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† | ||||||||||
1/1/14 | 6/30/14 | 1/1/14 - 6/30/14 | ||||||||||
Class A* | ||||||||||||
Actual | $1,000.00 | $1,054.40 | $4.58 | |||||||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.33 | $4.51 | |||||||||
Class B | ||||||||||||
Actual | $1,000.00 | $1,050.60 | $8.19 | |||||||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,016.81 | $8.05 | |||||||||
Class C* | ||||||||||||
Actual | $1,000.00 | $1,052.20 | $7.84 | |||||||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,017.16 | $7.70 | |||||||||
Class F | ||||||||||||
Actual | $1,000.00 | $1,055.40 | $3.57 | |||||||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.32 | $3.51 | |||||||||
Class I | ||||||||||||
Actual | $1,000.00 | $1,056.00 | $3.06 | |||||||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.82 | $3.01 | |||||||||
Class P | ||||||||||||
Actual | $1,000.00 | $1,055.20 | $4.38 | |||||||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.53 | $4.31 | |||||||||
Class R2 | ||||||||||||
Actual | $1,000.00 | $1,054.10 | $6.16 | |||||||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.79 | $6.06 | |||||||||
Class R3 | ||||||||||||
Actual | $1,000.00 | $1,053.50 | $5.50 | |||||||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.44 | $5.41 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.90% for Class A, 1.61% for Class B, 1.54% for Class C, 0.70% for Class F, 0.60% for Class I, 0.86% for Class P, 1.21% for Class R2 and 1.08% for Class R3) multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period). |
* | The annualized expenses for Class A and Class C have been restated to 0.80% and 1.40%, respectively. Had the restated expenses been in place throughout the most recent fiscal half-year, expenses paid during the period would have been: |
Actual | Hypothetical (5% Return Before Expenses) | |||||||
Class A | $ | 4.08 | $ | 4.01 | ||||
Class C | $ | 7.12 | $ | 7.00 |
3
Portfolio Holdings Presented by Sector
June 30, 2014
Sector* | %** | |||
Agency | 0.06 | % | ||
Asset-Backed | 0.03 | % | ||
Automotive | 2.63 | % | ||
Banking | 3.06 | % | ||
Basic Industry | 6.14 | % | ||
Capital Goods | 8.25 | % | ||
Collateralized Mortgage Obligation | 0.11 | % | ||
Consumer Cyclical | 5.47 | % | ||
Consumer Non-Cyclical | 3.37 | % | ||
Energy | 15.90 | % | ||
Financial Services | 5.77 | % | ||
Foreign Government | 0.29 | % | ||
Healthcare | 10.08 | % | ||
Insurance | 1.33 | % | ||
Media | 6.28 | % | ||
Municipal | 0.18 | % | ||
Real Estate | 1.44 | % | ||
Services | 8.36 | % | ||
Technology & Electronics | 9.00 | % | ||
Telecommunications | 7.51 | % | ||
U.S. Government | 1.58 | % | ||
Utility | 2.08 | % | ||
Repurchase Agreement | 1.08 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. |
** | Represents percent of total investments. |
4
Schedule of Investments (unaudited)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 98.12% | ||||||||||||
ASSET-BACKED SECURITY 0.03% | ||||||||||||
Other | ||||||||||||
NorthStar Real Estate CDO VIII Ltd. 2006-8A A2† (cost $2,304,726) | 0.511% | # | 2/1/2041 | $ | 2,700 | $ | 2,376,000 | |||||
Shares | ||||||||||||
(000) | ||||||||||||
COMMON STOCKS 4.11% | ||||||||||||
Agency/Government Related 0.01% | ||||||||||||
Fannie Mae* | 200 | 782,000 | ||||||||||
Airlines 0.12% | ||||||||||||
United Continental Holdings, Inc.* | 275 | 11,294,250 | ||||||||||
Auto Parts & Equipment 0.07% | ||||||||||||
Cooper-Standard Holdings, Inc.* | 96 | 6,368,694 | ||||||||||
Banking 0.20% | ||||||||||||
Fifth Third Bancorp | 350 | 7,472,500 | ||||||||||
Huntington Bancshares, Inc. | 500 | 4,770,000 | ||||||||||
Regions Financial Corp. | 600 | 6,372,000 | ||||||||||
Total | 18,614,500 | |||||||||||
Chemicals 0.26% | ||||||||||||
Monsanto Co. | 200 | 24,948,000 | ||||||||||
Consumer/Commercial/Lease Financing 0.07% | ||||||||||||
General Electric Co. | 250 | 6,570,000 | ||||||||||
Consumer Products 0.06% | ||||||||||||
Estee Lauder Cos., Inc. (The) Class A | 80 | 5,940,800 | ||||||||||
Diversified Capital Goods 0.16% | ||||||||||||
Emerson Electric Co. | 200 | 13,272,000 | ||||||||||
Mueller Water Products, Inc. Class A | 250 | 2,160,000 | ||||||||||
Total | 15,432,000 | |||||||||||
Energy: Exploration & Production 0.66% | ||||||||||||
Antero Resources Corp.* | 57 | 3,740,910 | ||||||||||
Diamondback Energy, Inc.* | 115 | 10,212,000 | ||||||||||
EOG Resources, Inc. | 90 | 10,517,400 |
See Notes to Financial Statements. | 5 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Shares (000) | Fair Value | ||||||
Energy: Exploration & Production (continued) | ||||||||
Kodiak Oil & Gas Corp.* | 500 | $ | 7,275,000 | |||||
Whiting Petroleum Corp.* | 390 | 31,297,500 | ||||||
Total | 63,042,810 | |||||||
Food: Wholesale 0.06% | ||||||||
Boulder Brands, Inc.* | 397 | 5,632,296 | ||||||
Health Services 0.24% | ||||||||
Express Scripts Holding Co.* | 165 | 11,439,450 | ||||||
Team Health Holdings, Inc.* | 220 | 10,986,800 | ||||||
Total | 22,426,250 | |||||||
Investments & Miscellaneous Financial Services 0.13% | ||||||||
Affiliated Managers Group, Inc.* | 60 | 12,350,086 | ||||||
Life Insurance 0.12% | ||||||||
MetLife, Inc. | 200 | 11,112,000 | ||||||
Machinery 0.18% | ||||||||
Chart Industries, Inc.* | 130 | 10,756,200 | ||||||
Generac Holdings, Inc.* | 125 | 6,092,500 | ||||||
Total | 16,848,700 | |||||||
Media: Diversified 0.07% | ||||||||
Twenty-First Century Fox, Inc. Class A | 180 | 6,327,000 | ||||||
Metals/Mining (Excluding Steel) 0.16% | ||||||||
Precision Castparts Corp. | 62 | 15,674,040 | ||||||
Multi-Line Insurance 0.05% | ||||||||
Hartford Financial Services Group, Inc. (The) | 140 | 5,013,400 | ||||||
Non-Electric Utilities 0.06% | ||||||||
American Water Works Co., Inc. | 120 | 5,934,000 | ||||||
Oil Field Equipment & Services 0.05% | ||||||||
Dresser-Rand Group, Inc.* | 80 | 5,098,400 | ||||||
Pharmaceuticals 0.50% | ||||||||
BioMarin Pharmaceutical, Inc.* | 185 | 11,508,850 | ||||||
Bristol-Myers Squibb Co. | 420 | 20,374,200 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 150 | 7,863,000 | ||||||
Vertex Pharmaceuticals, Inc.* | 82 | 7,763,760 | ||||||
Total | 47,509,810 |
6 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Shares (000) | Fair Value | ||||||
Software/Services 0.50% | ||||||||
Alliance Data Systems Corp.* | 50 | $ | 14,062,500 | |||||
FireEye, Inc.* | 50 | 2,027,500 | ||||||
Fortinet, Inc.* | 420 | 10,554,600 | ||||||
Informatica Corp.* | 300 | 10,695,000 | ||||||
Twitter, Inc.* | 100 | 4,097,000 | ||||||
VeriFone Systems, Inc.* | 165 | 6,063,750 | ||||||
Total | 47,500,350 | |||||||
Specialty Retail 0.08% | ||||||||
Home Depot, Inc. (The) | 100 | 8,096,000 | ||||||
Support: Services 0.03% | ||||||||
LifeLock, Inc.* | 235 | 3,280,600 | ||||||
Telecommunications Equipment 0.19% | ||||||||
Aruba Networks, Inc.* | 550 | 9,636,000 | ||||||
Palo Alto Networks, Inc.* | 100 | 8,385,000 | ||||||
Total | 18,021,000 | |||||||
Telecommunications: Wireless 0.08% | ||||||||
QUALCOMM, Inc. | 100 | 7,920,000 | ||||||
Total Common Stocks (cost $315,014,714) | 391,736,986 |
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||||
CONVERTIBLE BONDS 9.25% | ||||||||||||||
Apparel/Textiles 0.18% | ||||||||||||||
Iconix Brand Group, Inc. | 1.50 | % | 3/15/2018 | $ | 11,500 | 16,732,500 | ||||||||
Auto Loans 0.26% | ||||||||||||||
Volkswagen International Finance NV (Netherlands)†(a) | 5.50 | % | 11/9/2015 | EUR | 15,700 | 25,174,175 | ||||||||
Auto Parts & Equipment 0.12% | ||||||||||||||
Meritor, Inc. (Zero Coupon after 2/15/2019)~ | 4.00 | % | 2/15/2027 | $ | 10,700 | 11,422,250 | ||||||||
Automakers 0.29% | ||||||||||||||
Ford Motor Co. | 4.25 | % | 11/15/2016 | 6,250 | 12,519,531 | |||||||||
Tesla Motors, Inc. | 1.25 | % | 3/1/2021 | 15,650 | 15,209,844 | |||||||||
Total | 27,729,375 |
See Notes to Financial Statements. | 7 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||||
Computer Hardware 0.56% | ||||||||||||||
Intel Corp. | 2.95 | % | 12/15/2035 | $ | 5,000 | $ | 6,228,125 | |||||||
Micron Technology, Inc. | 3.00 | % | 11/15/2043 | 17,500 | 22,629,688 | |||||||||
NVIDIA Corp.† | 1.00 | % | 12/1/2018 | 10,000 | 11,087,500 | |||||||||
SanDisk Corp.† | 0.50 | % | 10/15/2020 | 10,675 | 13,483,859 | |||||||||
Total | 53,429,172 | |||||||||||||
Consumer Products 0.13% | ||||||||||||||
Jarden Corp.† | 1.125 | % | 3/15/2034 | 12,500 | 12,828,125 | |||||||||
Electric: Generation 0.04% | ||||||||||||||
NRG Yield, Inc.† | 3.50 | % | 2/1/2019 | 3,000 | 3,575,625 | |||||||||
Electronics 0.58% | ||||||||||||||
Intel Corp. | 3.25 | % | 8/1/2039 | 17,000 | 26,254,460 | |||||||||
Novellus Systems, Inc. | 2.625 | % | 5/15/2041 | 7,500 | 15,215,625 | |||||||||
ON Semiconductor Corp. | 2.625 | % | 12/15/2026 | 3,500 | 4,123,438 | |||||||||
SunEdison, Inc.† | 0.25 | % | 1/15/2020 | 9,300 | 10,003,312 | |||||||||
Total | 55,596,835 | |||||||||||||
Energy: Exploration & Production 0.48% | ||||||||||||||
Chesapeake Energy Corp. | 2.50 | % | 5/15/2037 | 5,475 | 5,892,469 | |||||||||
Energy XXI Bermuda Ltd.† | 3.00 | % | 12/15/2018 | 23,500 | 23,294,375 | |||||||||
PDC Energy, Inc.† | 3.25 | % | 5/15/2016 | 10,000 | 16,112,500 | |||||||||
Total | 45,299,344 | |||||||||||||
Health Services 0.93% | ||||||||||||||
Brookdale Senior Living, Inc. | 2.75 | % | 6/15/2018 | 23,500 | 32,092,187 | |||||||||
Cepheid, Inc.† | 1.25 | % | 2/1/2021 | 12,000 | 12,435,000 | |||||||||
Illumina, Inc. | 0.25 | % | 3/15/2016 | 8,200 | 17,640,291 | |||||||||
Illumina, Inc.† | 0.50 | % | 6/15/2021 | 4,000 | 4,125,000 | |||||||||
Incyte Corp. Ltd.† | 1.25 | % | 11/15/2020 | 4,200 | 5,677,875 | |||||||||
Omnicare, Inc. | 3.50 | % | 2/15/2044 | 15,000 | 17,062,500 | |||||||||
Total | 89,032,853 | |||||||||||||
Hotels 0.36% | ||||||||||||||
Host Hotels & Resorts LP† | 2.50 | % | 10/15/2029 | 20,000 | 33,887,500 | |||||||||
Integrated Energy 0.25% | ||||||||||||||
JinkoSolar Holding Co., Ltd. (China)†(b) | 4.00 | % | 2/1/2019 | 11,500 | 11,449,687 | |||||||||
SunPower Corp. | 0.75 | % | 6/1/2018 | 1,000 | 1,735,625 | |||||||||
SunPower Corp.† | 0.875 | % | 6/1/2021 | 4,700 | 5,525,438 | |||||||||
SunPower Corp. | 4.50 | % | 3/15/2015 | 3,000 | 5,523,750 | |||||||||
Total | 24,234,500 |
8 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||||
Investments & Miscellaneous Financial Services 0.08% | ||||||||||||||
Ares Capital Corp. | 4.875 | % | 3/15/2017 | $ | 7,000 | $ | 7,490,000 | |||||||
Machinery 0.29% | ||||||||||||||
Altra Industrial Motion Corp. | 2.75 | % | 3/1/2031 | 8,250 | 11,952,187 | |||||||||
Chart Industries, Inc. | 2.00 | % | 8/1/2018 | 11,000 | 15,420,625 | |||||||||
Total | 27,372,812 | |||||||||||||
Managed Care 0.14% | ||||||||||||||
WellPoint, Inc. | 2.75 | % | 10/15/2042 | 8,750 | 13,447,656 | |||||||||
Media: Diversified 0.05% | ||||||||||||||
Liberty Media Corp.† | 1.375 | % | 10/15/2023 | 5,000 | 5,081,250 | |||||||||
Medical Products 0.11% | ||||||||||||||
Fluidigm Corp. | 2.75 | % | 2/1/2034 | 11,500 | 10,932,188 | |||||||||
Metals/Mining (Excluding Steel) 0.12% | ||||||||||||||
Stillwater Mining Co. | 1.75 | % | 10/15/2032 | 8,000 | 11,680,000 | |||||||||
Monoline Insurance 0.10% | ||||||||||||||
MGIC Investment Corp. | 2.00 | % | 4/1/2020 | 6,500 | 9,709,375 | |||||||||
Oil Field Equipment & Services 0.19% | ||||||||||||||
Hornbeck Offshore Services, Inc. | 1.50 | % | 9/1/2019 | 15,000 | 18,178,125 | |||||||||
Pharmaceuticals 1.24% | ||||||||||||||
BioMarin Pharmaceutical, Inc. | 0.75 | % | 10/15/2018 | 1,000 | 1,039,375 | |||||||||
Cubist Pharmaceuticals, Inc.† | 1.875 | % | 9/1/2020 | 15,000 | 17,137,500 | |||||||||
Gilead Sciences, Inc. | 1.625 | % | 5/1/2016 | 8,500 | 30,998,480 | |||||||||
Isis Pharmaceuticals, Inc. | 2.75 | % | 10/1/2019 | 2,500 | 5,515,625 | |||||||||
Medivation, Inc. | 2.625 | % | 4/1/2017 | 16,500 | 26,379,375 | |||||||||
Mylan, Inc. | 3.75 | % | 9/15/2015 | 7,500 | 29,114,062 | |||||||||
Salix Pharmaceuticals Ltd. | 1.50 | % | 3/15/2019 | 4,000 | 7,872,500 | |||||||||
Total | 118,056,917 | |||||||||||||
Railroads 0.20% | ||||||||||||||
Trinity Industries, Inc. | 3.875 | % | 6/1/2036 | 10,000 | 18,668,750 | |||||||||
Software/Services 1.64% | ||||||||||||||
Citrix Systems, Inc.† | 0.50 | % | 4/15/2019 | 3,250 | 3,445,000 | |||||||||
Concur Technologies, Inc. | 0.50 | % | 6/15/2018 | 12,000 | 13,455,000 | |||||||||
HomeAway, Inc.† | 0.125 | % | 4/1/2019 | 3,950 | 3,868,531 | |||||||||
Medidata Solutions, Inc.† | 1.00 | % | 8/1/2018 | 5,000 | 5,396,875 |
See Notes to Financial Statements. | 9 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||||
Software/Services (continued) | ||||||||||||||
NetSuite, Inc. | 0.25 | % | 6/1/2018 | $ | 15,000 | $ | 15,459,375 | |||||||
Proofpoint, Inc.† | 1.25 | % | 12/15/2018 | 14,000 | 16,791,250 | |||||||||
Salesforce.com, Inc. | 0.75 | % | 1/15/2015 | 8,300 | 22,638,250 | |||||||||
SINA Corp. (China)†(b) | 1.00 | % | 12/1/2018 | 10,000 | 9,200,000 | |||||||||
Verint Systems, Inc. | 1.50 | % | 6/1/2021 | 6,325 | 6,514,750 | |||||||||
Web.com Group, Inc. | 1.00 | % | 8/15/2018 | 8,375 | 9,029,297 | |||||||||
Workday, Inc. | 0.75 | % | 7/15/2018 | 8,000 | 10,260,000 | |||||||||
Xilinx, Inc. | 2.625 | % | 6/15/2017 | 15,500 | 25,759,063 | |||||||||
Yahoo!, Inc.† | Zero Coupon | 12/1/2018 | 14,000 | 14,000,000 | ||||||||||
Total | 155,817,391 | |||||||||||||
Specialty Retail 0.16% | ||||||||||||||
Restoration Hardware Holdings, Inc.† | Zero Coupon | 6/15/2019 | 14,350 | 14,968,844 | ||||||||||
Steel Producers/Products 0.04% | ||||||||||||||
U.S. Steel Corp. | 2.75 | % | 4/1/2019 | 3,000 | 3,740,625 | |||||||||
Support: Services 0.27% | ||||||||||||||
Priceline Group, Inc. (The) | 1.00 | % | 3/15/2018 | 14,000 | 19,906,250 | |||||||||
Priceline Group, Inc. (The) | 1.25 | % | 3/15/2015 | 1,358 | 5,362,560 | |||||||||
Total | 25,268,810 | |||||||||||||
Telecommunications Equipment 0.40% | ||||||||||||||
Ciena Corp.† | 3.75 | % | 10/15/2018 | 5,000 | 6,890,625 | |||||||||
Ciena Corp. | 4.00 | % | 12/15/2020 | 1,950 | 2,711,719 | |||||||||
Nortel Networks Corp. (Canada)(b)(c) | 2.125 | % | 4/15/2014 | 15,800 | 16,037,000 | |||||||||
Palo Alto Networks, Inc.† | Zero Coupon | 7/1/2019 | 11,900 | 12,338,812 | ||||||||||
Total | 37,978,156 | |||||||||||||
Telecommunications: Wireless 0.04% | ||||||||||||||
Clearwire Communications LLC/Clearwire | ||||||||||||||
Finance, Inc.† | 8.25 | % | 12/1/2040 | 3,500 | 4,095,000 | |||||||||
Total Convertible Bonds (cost $751,038,145) | 881,428,153 | |||||||||||||
Dividend | Shares | |||||||||||||
Rate | (000) | |||||||||||||
CONVERTIBLE PREFERRED STOCKS 2.75% | ||||||||||||||
Aerospace/Defense 0.30% | ||||||||||||||
United Technologies Corp. | 7.50 | % | 435 | 28,357,650 |
10 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Dividend Rate | Shares (000) | Fair Value | |||||||||||
Banking 0.57% | ||||||||||||||
Bank of America Corp. | 7.25 | % | 20 | $ | 23,340,000 | |||||||||
Wells Fargo & Co. | 7.50 | % | 26 | 30,957,000 | ||||||||||
Total | 54,297,000 | |||||||||||||
Electric: Integrated 0.54% | ||||||||||||||
Dominion Resources, Inc. | 6.00 | % | 265 | 15,375,300 | ||||||||||
Exelon Corp. | 6.50 | % | 250 | 13,486,650 | ||||||||||
NextEra Energy, Inc. | 5.889 | % | 350 | 22,746,500 | ||||||||||
Total | 51,608,450 | |||||||||||||
Energy: Exploration & Production 0.03% | ||||||||||||||
Chesapeake Energy Corp.† | 5.75 | % | 3 | 3,206,250 | ||||||||||
Forestry/Paper 0.19% | ||||||||||||||
Weyerhaeuser Co. | 6.375 | % | 325 | 18,443,750 | ||||||||||
Investments & Miscellaneous Financial Services 0.27% | ||||||||||||||
AMG Capital Trust II | 5.15 | % | 400 | 25,225,000 | ||||||||||
Life Insurance 0.16% | ||||||||||||||
MetLife, Inc. | 5.00 | % | 465 | 14,861,400 | ||||||||||
Railroads 0.18% | ||||||||||||||
Genesee & Wyoming, Inc. | 5.00 | % | 130 | 17,548,700 | ||||||||||
Real Estate Investment Trusts 0.25% | ||||||||||||||
Alexandria Real Estate Equities, Inc. | 7.00 | % | 135 | 3,699,000 | ||||||||||
Health Care REIT, Inc. | 6.50 | % | 350 | 20,209,000 | ||||||||||
Total | 23,908,000 | |||||||||||||
Steel Producers/Products 0.07% | ||||||||||||||
ArcelorMittal (Luxembourg)(b) | 6.00 | % | 280 | 6,297,200 | ||||||||||
Telecommunications: Integrated/Services 0.02% | ||||||||||||||
Intelsat SA (Luxembourg)(b) | 5.75 | % | 40 | 2,036,400 | ||||||||||
Telecommunications: Wireless 0.17% | ||||||||||||||
American Tower Corp. | 5.25 | % | 51 | 5,437,040 | ||||||||||
Crown Castle International Corp. | 4.50 | % | 110 | 11,211,200 | ||||||||||
Total | 16,648,240 | |||||||||||||
Total Convertible Preferred Stocks (cost $234,737,563) | 262,438,040 |
See Notes to Financial Statements. | 11 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
FLOATING RATE LOANS(d) 2.02% | ||||||||||||
Chemicals 0.04% | ||||||||||||
OXEA Finance & Cy S.C.A. 2nd Lien Term Loan | 8.25% | 7/15/2020 | $ | 4,000 | $ | 4,058,320 | ||||||
Food & Drug Retailers 0.43% | ||||||||||||
Albertson’s LLC Bridge Term Loan | — | 6/6/2022 | 25,000 | 25,000,000 | ||||||||
Albertson’s LLC Term Loan B2 | 4.75% | 3/21/2019 | 7,178 | 7,225,566 | ||||||||
Rite Aid Corp. 2nd Lien Tranche 1 Term Loan | 5.75% | 8/21/2020 | 8,700 | 8,906,625 | ||||||||
Total | 41,132,191 | |||||||||||
Food: Wholesale 0.07% | ||||||||||||
New HB Acquisition LLC Term Loan B | 6.75% | 4/9/2020 | 6,434 | 6,683,187 | ||||||||
Health Facilities 0.13% | ||||||||||||
Ardent Medical Services, Inc. 2nd Lien Term Loan | 11.00% | 1/2/2019 | 2,429 | 2,443,762 | ||||||||
CHG Healthcare Services, Inc. 1st Lien Term Loan | 4.25% | 11/19/2019 | 9,813 | 9,870,641 | ||||||||
Total | 12,314,403 | |||||||||||
Machinery 0.19% | ||||||||||||
Generac Power Systems, Inc. Term Loan B | 3.25% - 3.50% | 5/31/2020 | 17,891 | 17,810,754 | ||||||||
Media: Broadcast 0.13% | ||||||||||||
Clear Channel Communications, Inc. Tranche B Term Loan | 3.80% | 1/29/2016 | 12,564 | 12,499,060 | ||||||||
Media: Cable 0.09% | ||||||||||||
Virgin Media Investment Holdings Ltd. Facility Term Loan B (United Kingdom)(b) | 3.50% | 6/5/2020 | 8,500 | 8,483,850 | ||||||||
Media: Services 0.09% | ||||||||||||
Affinion Group, Inc. Tranche B Term Loan | 6.75% | 4/30/2018 | 8,825 | 8,878,199 | ||||||||
Oil Field Equipment & Services 0.18% | ||||||||||||
Fieldwood Energy LLC 2nd Lien Closing Date Loan | 8.375% | 9/30/2020 | 16,750 | 17,304,844 | ||||||||
Service 0.17% | ||||||||||||
Allied Security Holdings LLC 2nd Lien Term Loan | 8.00% | 8/13/2021 | 8,069 | 8,114,263 | ||||||||
Asurion LLC 2nd Lien Term Loan | 8.50% | 3/3/2021 | 7,990 | 8,304,606 | ||||||||
Total | 16,418,869 | |||||||||||
Services 0.11% | ||||||||||||
Neff Rental LLC 2nd Lien Closing Date Term Loan | 7.25% | 6/9/2021 | 10,000 | 9,993,750 |
12 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Software/Services 0.23% | ||||||||||||
Mitchell International, Inc. 2nd Lien Initial Term Loan | 8.50% | 10/11/2021 | $ | 4,000 | $ | 4,093,340 | ||||||
SRA International, Inc. Term Loan | 6.50% | 7/20/2018 | 12,507 | 12,569,783 | ||||||||
Syniverse Holdings, Inc. Term Loan | 4.00% | 4/23/2019 | 4,799 | 4,802,131 | ||||||||
Total | 21,465,254 | |||||||||||
Specialty Retail 0.16% | ||||||||||||
BJ’s Wholesale Club, Inc. 2nd Lien 2013 (November) Loan | 8.50% | 3/26/2020 | 8,150 | 8,371,599 | ||||||||
Brookstone Co., Inc. Term Loan A | 5.50% | 4/4/2015 | 4,225 | 4,225,124 | ||||||||
Brookstone Co., Inc. Term loan B | 0.30% | 4/4/2015 | 2,553 | 2,552,679 | ||||||||
Total | 15,149,402 | |||||||||||
Total Floating Rate Loans (cost $188,736,853) | 192,192,083 | |||||||||||
FOREIGN BONDS(a) 0.22% | ||||||||||||
Netherlands 0.08% | ||||||||||||
Goodyear Dunlop Tires Europe BV† | 6.75% | 4/15/2019 | EUR | 5,200 | 7,653,819 | |||||||
United Kingdom 0.14% | ||||||||||||
Old Mutual plc | 6.376% | – | (e) | GBP | 5,258 | 9,416,972 | ||||||
R&R Ice Cream plc† | 5.50% | 5/15/2020 | GBP | 2,400 | 4,082,716 | |||||||
Total | 13,499,688 | |||||||||||
Total Foreign Bonds (cost $18,823,974) | 21,153,507 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 0.29% | ||||||||||||
Bahamas 0.08% | ||||||||||||
Commonwealth of Bahamas† | 5.75% | 1/16/2024 | $ | 7,500 | 8,025,000 | |||||||
Bermuda 0.11% | ||||||||||||
Government of Bermuda† | 4.138% | 1/3/2023 | 10,000 | 10,050,000 | ||||||||
Canada 0.10% | ||||||||||||
Canadian Government(a) | 2.75% | 9/1/2016 | CAD | 10,000 | 9,701,326 | |||||||
Total Foreign Government Obligations (cost $27,974,128) | 27,776,326 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 0.90% | ||||||||||||
Federal National Mortgage Assoc. | 3.50% | 7/1/2043 | $ | 57,118 | 58,906,129 | |||||||
Federal National Mortgage Assoc. | 4.00% | 4/1/2044 | 24,929 | 26,501,244 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $84,313,753) | 85,407,373 |
See Notes to Financial Statements. | 13 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
HIGH YIELD CORPORATE BONDS 77.11% | ||||||||||||
Aerospace/Defense 1.93% | ||||||||||||
Alliant Techsystems, Inc.† | 5.25% | 10/1/2021 | $ | 5,900 | $ | 6,121,250 | ||||||
B/E Aerospace, Inc. | 5.25% | 4/1/2022 | 36,000 | 39,375,000 | ||||||||
CPI International, Inc. | 8.75% | 2/15/2018 | 15,500 | 16,313,750 | ||||||||
DynCorp International, Inc. | 10.375% | 7/1/2017 | 15,000 | 15,693,750 | ||||||||
Esterline Technologies Corp. | 7.00% | 8/1/2020 | 9,100 | 9,782,500 | ||||||||
GenCorp, Inc. | 7.125% | 3/15/2021 | 15,000 | 16,462,500 | ||||||||
Huntington Ingalls Industries, Inc. | 7.125% | 3/15/2021 | 15,000 | 16,462,500 | ||||||||
Spirit AeroSystems, Inc. | 6.75% | 12/15/2020 | 21,300 | 23,004,000 | ||||||||
SRA International, Inc. | 11.00% | 10/1/2019 | 7,475 | 8,054,312 | ||||||||
TransDigm, Inc.† | 6.00% | 7/15/2022 | 7,900 | 8,127,125 | ||||||||
TransDigm, Inc.† | 6.50% | 7/15/2024 | 11,800 | 12,301,500 | ||||||||
Triumph Group, Inc. | 4.875% | 4/1/2021 | 11,700 | 11,729,250 | ||||||||
Total | 183,427,437 | |||||||||||
Airlines 0.18% | ||||||||||||
United Airlines, Inc. | 6.636% | 7/2/2022 | 8,099 | 8,949,461 | ||||||||
United Continental Holdings, Inc. | 6.00% | 7/15/2028 | 8,500 | 8,223,750 | ||||||||
Total | 17,173,211 | |||||||||||
Apparel/Textiles 0.58% | ||||||||||||
Hanesbrands, Inc. | 6.375% | 12/15/2020 | 7,500 | 8,146,875 | ||||||||
Levi Strauss & Co. | 6.875% | 5/1/2022 | 5,000 | 5,537,500 | ||||||||
Levi Strauss & Co. | 7.625% | 5/15/2020 | 8,675 | 9,379,844 | ||||||||
Perry Ellis International, Inc. | 7.875% | 4/1/2019 | 10,100 | 10,504,000 | ||||||||
PVH Corp. | 4.50% | 12/15/2022 | 3,300 | 3,267,000 | ||||||||
Springs Industries, Inc. | 6.25% | 6/1/2021 | 5,500 | 5,637,500 | ||||||||
William Carter Co. (The)† | 5.25% | 8/15/2021 | 8,000 | 8,380,000 | ||||||||
Wolverine World Wide, Inc. | 6.125% | 10/15/2020 | 3,900 | 4,221,750 | ||||||||
Total | 55,074,469 | |||||||||||
Auto Loans 0.04% | ||||||||||||
General Motors Financial Co., Inc. | 4.25% | 5/15/2023 | 3,900 | 3,904,875 | ||||||||
Auto Parts & Equipment 1.13% | ||||||||||||
Accuride Corp. | 9.50% | 8/1/2018 | 5,000 | 5,273,250 | ||||||||
Dana Holding Corp. | 5.375% | 9/15/2021 | 31,700 | 33,285,000 | ||||||||
Delphi Corp. | 5.00% | 2/15/2023 | 9,330 | 10,053,075 | ||||||||
International Automotive Components Group SA (Luxembourg)†(b) | 9.125% | 6/1/2018 | 14,500 | 15,515,000 |
14 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Auto Parts & Equipment (continued) | ||||||||||||
Lear Corp. | 5.375% | 3/15/2024 | $ | 11,800 | $ | 12,183,500 | ||||||
LKQ Corp. | 4.75% | 5/15/2023 | 9,950 | 9,860,450 | ||||||||
Meritor, Inc. | 6.25% | 2/15/2024 | 5,000 | 5,262,500 | ||||||||
Stoneridge, Inc.† | 9.50% | 10/15/2017 | 7,250 | 7,757,500 | ||||||||
Tenneco, Inc. | 6.875% | 12/15/2020 | 7,500 | 8,203,125 | ||||||||
Total | 107,393,400 | |||||||||||
Automakers 0.59% | ||||||||||||
Chrysler Group LLC/CG Co-Issuer, Inc. | 8.25% | 6/15/2021 | 23,000 | 26,105,000 | ||||||||
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 | 13,328,125 | ||||||||
Oshkosh Corp. | 5.375% | 3/1/2022 | 10,000 | 10,350,000 | ||||||||
Oshkosh Corp. | 8.50% | 3/1/2020 | 6,000 | 6,510,000 | ||||||||
Total | 56,294,625 | |||||||||||
Banking 1.97% | ||||||||||||
Astoria Depositor Corp.† | 5.744% | 5/1/2016 | 5,468 | 5,741,256 | ||||||||
Bank of America Corp. | 8.00% | — | (e) | 15,000 | 16,681,620 | |||||||
HBOS plc (United Kingdom)†(b) | 6.75% | 5/21/2018 | 8,000 | 9,232,240 | ||||||||
JPMorgan Chase & Co. | 6.30% | 4/23/2019 | 10,000 | 11,835,720 | ||||||||
JPMorgan Chase & Co. | 6.75% | — | (e) | 12,000 | 12,975,000 | |||||||
JPMorgan Chase & Co. | 7.90% | — | (e) | 5,000 | 5,612,500 | |||||||
LBG Capital No.1 plc (United Kingdom)†(b)(f) | 8.00% | — | (e) | 3,000 | 3,328,500 | |||||||
Lloyds Banking Group plc (United Kingdom)(b) | 7.50% | — | (e) | 4,758 | 5,074,407 | |||||||
M&T Bank Corp. | 6.45% | — | (e) | 8,300 | 8,891,375 | |||||||
Macquarie Group Ltd. (Australia)†(b) | 6.00% | 1/14/2020 | 10,000 | 11,341,880 | ||||||||
Nordea Bank AB (Sweden)†(b) | 4.25% | 9/21/2022 | 9,000 | 9,340,425 | ||||||||
Popular, Inc. | 7.00% | 7/1/2019 | 10,900 | 11,118,000 | ||||||||
Regions Bank | 6.45% | 6/26/2037 | 6,650 | 7,926,893 | ||||||||
Regions Bank | 7.50% | 5/15/2018 | 9,942 | 11,833,197 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(b) | 6.125% | 12/15/2022 | 5,700 | 6,255,061 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(b) | 7.64% | — | (e) | 10,000 | 10,737,500 | |||||||
Santander UK plc (United Kingdom)†(b) | 5.00% | 11/7/2023 | 5,250 | 5,680,820 | ||||||||
SVB Financial Group | 5.375% | 9/15/2020 | 9,350 | 10,609,398 | ||||||||
Synovus Financial Corp. | 7.875% | 2/15/2019 | 7,750 | 8,912,500 | ||||||||
Wachovia Capital Trust III | 5.57% | — | (e) | 15,000 | 14,625,000 | |||||||
Washington Mutual Bank(c) | 6.875% | 6/15/2011 | 22,500 | 2,250 | ||||||||
Total | 187,755,542 |
See Notes to Financial Statements. | 15 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||||
Beverages 0.20% | ||||||||||||||
Constellation Brands, Inc. | 3.75 | % | 5/1/2021 | $ | 4,700 | $ | 4,682,375 | |||||||
Constellation Brands, Inc. | 4.25 | % | 5/1/2023 | 14,350 | 14,439,688 | |||||||||
Total | 19,122,063 | |||||||||||||
Brokerage 0.41% | ||||||||||||||
Cantor Fitzgerald LP† | 7.875 | % | 10/15/2019 | 12,655 | 14,104,048 | |||||||||
Raymond James Financial, Inc. | 8.60 | % | 8/15/2019 | 20,000 | 25,283,260 | |||||||||
Total | 39,387,308 | |||||||||||||
Building & Construction 0.65% | ||||||||||||||
K. Hovnanian Enterprises, Inc. | 5.00 | % | 11/1/2021 | 10,354 | 9,473,910 | |||||||||
KB Home | 9.10 | % | 9/15/2017 | 15,000 | 17,737,500 | |||||||||
Lennar Corp. | 4.125 | % | 12/1/2018 | 5,500 | 5,644,375 | |||||||||
Lennar Corp. | 12.25 | % | 6/1/2017 | 9,500 | 12,112,500 | |||||||||
Ryland Group, Inc. (The) | 5.375 | % | 10/1/2022 | 8,500 | 8,478,750 | |||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc.† | 5.25 | % | 4/15/2021 | 8,500 | 8,670,000 | |||||||||
Total | 62,117,035 | |||||||||||||
Building Materials 0.97% | ||||||||||||||
American Builders & Contractors Supply Co., Inc.† | 5.625 | % | 4/15/2021 | 3,700 | 3,838,750 | |||||||||
Building Materials Corp. of America† | 7.00 | % | 2/15/2020 | 11,793 | 12,559,545 | |||||||||
HD Supply, Inc. | 7.50 | % | 7/15/2020 | 7,750 | 8,505,625 | |||||||||
Interline Brands, Inc. PIK | 10.00 | % | 11/15/2018 | 2,350 | 2,526,250 | |||||||||
Masco Corp. | 7.125 | % | 3/15/2020 | 12,000 | 14,180,640 | |||||||||
Owens Corning, Inc. | 4.20 | % | 12/15/2022 | 10,000 | 10,286,140 | |||||||||
Owens Corning, Inc. | 9.00 | % | 6/15/2019 | 15,000 | 18,881,010 | |||||||||
RSI Home Products, Inc.† | 6.875 | % | 3/1/2018 | 5,000 | 5,350,000 | |||||||||
USG Corp.† | 5.875 | % | 11/1/2021 | 2,500 | 2,653,125 | |||||||||
WESCO Distribution, Inc.† | 5.375 | % | 12/15/2021 | 13,603 | 13,943,075 | |||||||||
Total | 92,724,160 | |||||||||||||
Chemicals 2.07% | ||||||||||||||
Airgas, Inc. | 3.65 | % | 7/15/2024 | 7,900 | 7,990,155 | |||||||||
Ashland, Inc. | 4.75 | % | 8/15/2022 | 7,500 | 7,575,000 | |||||||||
Axiall Corp. | 4.875 | % | 5/15/2023 | 14,000 | 13,982,500 | |||||||||
Braskem Finance Ltd. | 6.45 | % | 2/3/2024 | 2,440 | 2,613,850 | |||||||||
CF Industries, Inc. | 3.45 | % | 6/1/2023 | 5,000 | 4,965,375 | |||||||||
Chemtura Corp. | 5.75 | % | 7/15/2021 | 15,000 | 15,637,500 | |||||||||
Dow Chemical Co. (The) | 8.55 | % | 5/15/2019 | 10,000 | 12,866,010 | |||||||||
Eagle Spinco, Inc. | 4.625 | % | 2/15/2021 | 25,000 | 24,906,250 | |||||||||
16 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||||
Chemicals (continued) | ||||||||||||||
Hexion U.S. Finance Corp./Hexion Nova Scotia | ||||||||||||||
Finance ULC | 8.875 | % | 2/1/2018 | $ | 9,000 | $ | 9,382,500 | |||||||
Huntsman International LLC | 8.625 | % | 3/15/2020 | 12,000 | 13,035,000 | |||||||||
LyondellBasell Industries NV (Netherlands)(b) | 6.00 | % | 11/15/2021 | 2,000 | 2,395,160 | |||||||||
Methanex Corp. (Canada)(b) | 5.25 | % | 3/1/2022 | 9,900 | 10,963,072 | |||||||||
Monsanto Co. | 2.75 | % | 7/15/2021 | 12,000 | 12,014,388 | |||||||||
NewMarket Corp. | 4.10 | % | 12/15/2022 | 6,780 | 6,784,197 | |||||||||
Nufarm Australia Ltd. (Australia)†(b) | 6.375 | % | 10/15/2019 | 12,000 | 12,600,000 | |||||||||
PetroLogistics LP/PetroLogistics Finance Corp. | 6.25 | % | 4/1/2020 | 5,200 | 5,694,000 | |||||||||
Polymer Group, Inc.† | 6.875 | % | 6/1/2019 | 10,000 | 10,200,000 | |||||||||
Rockwood Specialties Group, Inc. | 4.625 | % | 10/15/2020 | 12,000 | 12,510,000 | |||||||||
TPC Group, Inc.† | 8.75 | % | 12/15/2020 | 10,000 | 11,125,000 | |||||||||
Total | 197,239,957 | |||||||||||||
Computer Hardware 0.24% | ||||||||||||||
NCR Corp.† | 5.875 | % | 12/15/2021 | 2,225 | 2,358,500 | |||||||||
NCR Corp.† | 6.375 | % | 12/15/2023 | 12,000 | 13,080,000 | |||||||||
Seagate HDD Cayman | 6.875 | % | 5/1/2020 | 7,262 | 7,870,193 | |||||||||
Total | 23,308,693 | |||||||||||||
Consumer/Commercial/Lease Financing 3.22% | ||||||||||||||
Air Lease Corp. | 3.875 | % | 4/1/2021 | 9,700 | 9,942,500 | |||||||||
Air Lease Corp. | 4.75 | % | 3/1/2020 | 16,500 | 17,902,500 | |||||||||
Aircastle Ltd. | 6.25 | % | 12/1/2019 | 5,000 | 5,500,000 | |||||||||
CIT Group, Inc. | 5.00 | % | 8/15/2022 | 50,000 | 51,937,500 | |||||||||
Discover Bank | 7.00 | % | 4/15/2020 | 9,125 | 10,973,962 | |||||||||
Discover Financial Services | 3.85 | % | 11/21/2022 | 25,611 | 26,121,939 | |||||||||
International Lease Finance Corp. | 6.25 | % | 5/15/2019 | 21,350 | 23,965,375 | |||||||||
International Lease Finance Corp. | 8.25 | % | 12/15/2020 | 24,365 | 30,151,688 | |||||||||
International Lease Finance Corp. | 8.75 | % | 3/15/2017 | 16,885 | 19,660,472 | |||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 6.50 | % | 7/1/2021 | 26,160 | 26,356,200 | |||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 6.50 | % | 6/1/2022 | 14,425 | 14,497,125 | |||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 7.875 | % | 10/1/2020 | 12,000 | 12,675,000 | |||||||||
Navient Corp. | 4.875 | % | 6/17/2019 | 5,900 | 6,095,290 | |||||||||
Navient Corp. | 5.50 | % | 1/15/2019 | 15,400 | 16,401,000 | |||||||||
Navient Corp. | 8.45 | % | 6/15/2018 | 10,000 | 11,843,750 | |||||||||
Ocwen Financial Corp.† | 6.625 | % | 5/15/2019 | 15,000 | 15,525,000 | |||||||||
Provident Funding Associates LP/PFG Finance Corp.† | 6.75 | % | 6/15/2021 | 6,800 | 6,919,000 | |||||||||
Total | 306,468,301 | |||||||||||||
See Notes to Financial Statements. | 17 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Consumer Products 0.77% | |||||||||||||
Avon Products, Inc. | 4.60 | % | 3/15/2020 | $ | 5,680 | $ | 5,897,533 | ||||||
Avon Products, Inc. | 5.00 | % | 3/15/2023 | 7,000 | 7,097,622 | ||||||||
Elizabeth Arden, Inc. | 7.375 | % | 3/15/2021 | 27,700 | 29,431,250 | ||||||||
Prestige Brands, Inc.† | 5.375 | % | 12/15/2021 | 12,500 | 12,812,500 | ||||||||
Spectrum Brands, Inc. | 6.375 | % | 11/15/2020 | 11,350 | 12,258,000 | ||||||||
Spectrum Brands, Inc. | 6.625 | % | 11/15/2022 | 5,000 | 5,437,500 | ||||||||
Total | 72,934,405 | ||||||||||||
Department Stores 0.15% | |||||||||||||
Bon-Ton Department Stores, Inc. (The) | 8.00 | % | 6/15/2021 | 8,800 | 8,426,000 | ||||||||
JC Penney Corp., Inc. | 5.65 | % | 6/1/2020 | 6,300 | 5,544,000 | ||||||||
Total | 13,970,000 | ||||||||||||
Diversified Capital Goods 1.65% | |||||||||||||
Accudyne Industries Borrower/Accudyne Industries LLC (Luxembourg)†(b) | 7.75 | % | 12/15/2020 | 20,000 | 21,500,000 | ||||||||
Actuant Corp. | 5.625 | % | 6/15/2022 | 9,455 | 9,975,025 | ||||||||
Anixter, Inc. | 5.625 | % | 5/1/2019 | 11,300 | 12,189,875 | ||||||||
Artesyn Escrow, Inc.† | 9.75 | % | 10/15/2020 | 15,750 | 15,631,875 | ||||||||
BC Mountain LLC/BC Mountain Finance, Inc.† | 7.00 | % | 2/1/2021 | 5,000 | 4,862,500 | ||||||||
Belden, Inc.† | 5.50 | % | 9/1/2022 | 15,000 | 15,600,000 | ||||||||
Constellation Enterprises LLC† | 10.625 | % | 2/1/2016 | 3,100 | 2,898,500 | ||||||||
Mueller Water Products, Inc. | 7.375 | % | 6/1/2017 | 10,800 | 11,029,500 | ||||||||
Park-Ohio Industries, Inc. | 8.125 | % | 4/1/2021 | 11,400 | 12,625,500 | ||||||||
SPX Corp. | 6.875 | % | 9/1/2017 | 21,000 | 23,730,000 | ||||||||
Unifrax I LLC/Unifrax Holding Co.† | 7.50 | % | 2/15/2019 | 6,175 | 6,483,750 | ||||||||
Valmont Industries, Inc. | 6.625 | % | 4/20/2020 | 17,500 | 20,820,800 | ||||||||
Total | 157,347,325 | ||||||||||||
Electric: Distribution/Transportation 0.03% | |||||||||||||
ITC Holdings Corp. | 3.65 | % | 6/15/2024 | 2,630 | 2,626,431 | ||||||||
Electric: Generation 0.60% | |||||||||||||
DPL, Inc. | 7.25 | % | 10/15/2021 | 15,725 | 17,376,125 | ||||||||
GenOn Americas Generation LLC | 9.125 | % | 5/1/2031 | 10,000 | 10,325,000 | ||||||||
NRG Energy, Inc.† | 6.25 | % | 7/15/2022 | 10,000 | 10,675,000 | ||||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75 | % | 12/15/2025 | 17,485 | 18,971,225 | ||||||||
Total | 57,347,350 | ||||||||||||
18 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||||
Electric: Integrated 0.80% | ||||||||||||||
AES Corp. (The) | 4.875 | % | 5/15/2023 | $ | 7,000 | $ | 6,965,000 | |||||||
AES Corp. (The) | 8.00 | % | 10/15/2017 | 1,521 | 1,775,768 | |||||||||
Black Hills Corp. | 5.875 | % | 7/15/2020 | 8,000 | 9,254,128 | |||||||||
Duquesne Light Holdings, Inc.† | 6.40 | % | 9/15/2020 | 20,500 | 24,372,798 | |||||||||
FirstEnergy Transmission LLC† | 4.35 | % | 1/15/2025 | 4,400 | 4,454,758 | |||||||||
National Fuel Gas Co. | 6.50 | % | 4/15/2018 | 20,000 | 23,063,860 | |||||||||
National Fuel Gas Co. | 8.75 | % | 5/1/2019 | 5,000 | 6,300,335 | |||||||||
Total | 76,186,647 | |||||||||||||
Electronics 1.05% | ||||||||||||||
Advanced Micro Devices, Inc. | 7.75 | % | 8/1/2020 | 12,000 | 12,855,000 | |||||||||
Entegris, Inc.† | 6.00 | % | 4/1/2022 | 12,500 | 12,937,500 | |||||||||
Freescale Semiconductor, Inc.† | 6.00 | % | 1/15/2022 | 18,000 | 19,215,000 | |||||||||
Freescale Semiconductor, Inc. | 10.75 | % | 8/1/2020 | 25,360 | 28,720,200 | |||||||||
Jabil Circuit, Inc. | 4.70 | % | 9/15/2022 | 10,000 | 10,175,000 | |||||||||
Micron Technology, Inc.† | 5.875 | % | 2/15/2022 | 7,800 | 8,385,000 | |||||||||
Sensata Technologies BV (Netherlands)†(b) | 6.50 | % | 5/15/2019 | 7,550 | 8,069,062 | |||||||||
Total | 100,356,762 | |||||||||||||
Energy: Exploration & Production 8.01% | ||||||||||||||
Antero Resources Finance Corp. | 5.375 | % | 11/1/2021 | 12,000 | 12,495,000 | |||||||||
Athlon Holdings LP/Athlon Finance Corp.† | 6.00 | % | 5/1/2022 | 16,050 | 16,651,875 | |||||||||
Atlas Energy Holdings Operating Co. LLC/Atlas Resource Finance Corp. | 7.75 | % | 1/15/2021 | 20,000 | 20,800,000 | |||||||||
Berry Petroleum Co. LLC | 6.375 | % | 9/15/2022 | 6,300 | 6,741,000 | |||||||||
Berry Petroleum Co. LLC | 6.75 | % | 11/1/2020 | 21,000 | 22,207,500 | |||||||||
BreitBurn Energy Partners LP/BreitBurn Finance Corp. | 7.875 | % | 4/15/2022 | 26,000 | 28,275,000 | |||||||||
Chaparral Energy, Inc. | 7.625 | % | 11/15/2022 | 13,850 | 15,027,250 | |||||||||
Chaparral Energy, Inc. | 8.25 | % | 9/1/2021 | 19,400 | 21,388,500 | |||||||||
Cimarex Energy Co. | 4.375 | % | 6/1/2024 | 7,000 | 7,148,750 | |||||||||
Concho Resources, Inc. | 5.50 | % | 4/1/2023 | 30,000 | 32,400,000 | |||||||||
Concho Resources, Inc. | 7.00 | % | 1/15/2021 | 10,000 | 11,025,000 | |||||||||
Continental Resources, Inc. | 4.50 | % | 4/15/2023 | 8,000 | 8,560,680 | |||||||||
Continental Resources, Inc. | 8.25 | % | 10/1/2019 | 15,000 | 15,918,360 | |||||||||
Crimson Merger Sub, Inc.† | 6.625 | % | 5/15/2022 | 17,300 | 17,191,875 | |||||||||
CrownRock LP/CrownRock Finance, Inc.† | 7.125 | % | 4/15/2021 | 30,000 | 31,800,000 | |||||||||
Diamondback Energy, Inc.† | 7.625 | % | 10/1/2021 | 15,000 | 16,575,000 | |||||||||
Energy XXI Gulf Coast, Inc. | 7.75 | % | 6/15/2019 | 22,000 | 23,650,000 | |||||||||
Forest Oil Corp. | 7.25 | % | 6/15/2019 | 13,120 | 13,054,400 |
See Notes to Financial Statements. | 19 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||||
Energy: Exploration & Production (continued) | ||||||||||||||
Halcon Resources Corp. | 9.75 | % | 7/15/2020 | $ | 19,300 | $ | 21,157,625 | |||||||
Hilcorp Energy I LP/Hilcorp Finance Co.†(g) | 5.00 | % | 12/1/2024 | 10,025 | 10,050,063 | |||||||||
Kerr-McGee Corp. | 6.95 | % | 7/1/2024 | 12,900 | 16,599,681 | |||||||||
Kodiak Oil & Gas Corp. | 5.50 | % | 1/15/2021 | 14,000 | 14,665,000 | |||||||||
Kodiak Oil & Gas Corp. | 8.125 | % | 12/1/2019 | 19,165 | 21,321,062 | |||||||||
Laredo Petroleum, Inc. | 5.625 | % | 1/15/2022 | 5,400 | 5,609,250 | |||||||||
Laredo Petroleum, Inc. | 7.375 | % | 5/1/2022 | 7,000 | 7,857,500 | |||||||||
Legacy Reserves LP/Legacy Reserves Finance Corp. | 6.625 | % | 12/1/2021 | 9,500 | 9,690,000 | |||||||||
Legacy Reserves LP/Legacy Reserves Finance Corp. | 8.00 | % | 12/1/2020 | 19,400 | 20,952,000 | |||||||||
MEG Energy Corp. (Canada)†(b) | 6.375 | % | 1/30/2023 | 4,100 | 4,376,750 | |||||||||
MEG Energy Corp. (Canada)†(b) | 6.50 | % | 3/15/2021 | 18,750 | 19,968,750 | |||||||||
Newfield Exploration Co. | 5.625 | % | 7/1/2024 | 25,000 | 27,562,500 | |||||||||
Oasis Petroleum, Inc. | 6.50 | % | 11/1/2021 | 7,500 | 8,100,000 | |||||||||
Oasis Petroleum, Inc. | 7.25 | % | 2/1/2019 | 18,275 | 19,462,875 | |||||||||
OGX Austria GmbH (Austria)†(b)(c) | 8.50 | % | 6/1/2018 | 20,000 | 1,300,000 | |||||||||
Pacific Rubiales Energy Corp. (Canada)†(b) | 5.125 | % | 3/28/2023 | 9,300 | 9,276,750 | |||||||||
PDC Energy, Inc. | 7.75 | % | 10/15/2022 | 17,800 | 19,936,000 | |||||||||
Plains Exploration & Production Co. | 6.50 | % | 11/15/2020 | 14,463 | 16,216,639 | |||||||||
Plains Exploration & Production Co. | 6.75 | % | 2/1/2022 | 4,030 | 4,599,238 | |||||||||
QEP Resources, Inc. | 6.80 | % | 3/1/2020 | 10,000 | 10,975,000 | |||||||||
QEP Resources, Inc. | 6.875 | % | 3/1/2021 | 8,000 | 9,020,000 | |||||||||
Quicksilver Resources, Inc. | 7.125 | % | 4/1/2016 | 10,000 | 8,975,000 | |||||||||
Range Resources Corp. | 5.00 | % | 3/15/2023 | 13,600 | 14,552,000 | |||||||||
Rice Energy, Inc.† | 6.25 | % | 5/1/2022 | 14,000 | 14,367,500 | |||||||||
Seventy Seven Energy, Inc.† | 6.50 | % | 7/15/2022 | 7,000 | 7,183,750 | |||||||||
SM Energy Co. | 6.50 | % | 11/15/2021 | 12,000 | 13,050,000 | |||||||||
SM Energy Co. | 6.50 | % | 1/1/2023 | 5,050 | 5,491,875 | |||||||||
SM Energy Co. | 6.625 | % | 2/15/2019 | 18,700 | 19,915,500 | |||||||||
Stone Energy Corp. | 7.50 | % | 11/15/2022 | 38,000 | 42,085,000 | |||||||||
Ultra Petroleum Corp.† | 5.75 | % | 12/15/2018 | 5,000 | 5,262,500 | |||||||||
W&T Offshore, Inc. | 8.50 | % | 6/15/2019 | 10,275 | 11,148,375 | |||||||||
WPX Energy, Inc. | 6.00 | % | 1/15/2022 | 20,000 | 21,450,000 | |||||||||
Total | 763,088,373 | |||||||||||||
Environmental 0.37% | ||||||||||||||
ADS Waste Holdings, Inc. | 8.25 | % | 10/1/2020 | 5,000 | 5,412,500 | |||||||||
Clean Harbors, Inc. | 5.25 | % | 8/1/2020 | 12,500 | 12,953,125 | |||||||||
Covanta Holding Corp. | 5.875 | % | 3/1/2024 | 16,175 | 16,801,781 | |||||||||
Total | 35,167,406 |
20 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||||
Food & Drug Retailers 0.93% | ||||||||||||||
Cencosud SA (Chile)†(b) | 4.875 | % | 1/20/2023 | $ | 4,650 | $ | 4,724,651 | |||||||
Ingles Markets, Inc. | 5.75 | % | 6/15/2023 | 5,000 | 5,087,500 | |||||||||
New Albertson’s, Inc. | 7.45 | % | 8/1/2029 | 3,500 | 3,333,750 | |||||||||
New Albertson’s, Inc. | 7.75 | % | 6/15/2026 | 15,000 | 14,775,000 | |||||||||
Rite Aid Corp.† | 6.875 | % | 12/15/2028 | 3,150 | 3,205,125 | |||||||||
Rite Aid Corp. | 7.70 | % | 2/15/2027 | 32,000 | 35,920,000 | |||||||||
Tops Holding Corp./Tops Markets LLC | 8.875 | % | 12/15/2017 | 10,000 | 10,925,000 | |||||||||
Tops Holding II Corp. | 8.75 | % | 6/15/2018 | 9,750 | 10,213,125 | |||||||||
Total | 88,184,151 | |||||||||||||
Food: Wholesale 2.02% | ||||||||||||||
B&G Foods, Inc. | 4.625 | % | 6/1/2021 | 20,000 | 20,100,000 | |||||||||
Big Heart Pet Brands | 7.625 | % | 2/15/2019 | 12,462 | 13,002,228 | |||||||||
BRF SA (Brazil)†(b) | 3.95 | % | 5/22/2023 | 6,000 | 5,685,000 | |||||||||
Bumble Bee Holdco SCA PIK (Luxembourg)†(b) | 9.625 | % | 3/15/2018 | 5,725 | 6,011,250 | |||||||||
Diamond Foods, Inc.† | 7.00 | % | 3/15/2019 | 12,125 | 12,731,250 | |||||||||
H.J. Heinz Co. | 4.25 | % | 10/15/2020 | 10,000 | 10,075,000 | |||||||||
Ingredion, Inc. | 4.625 | % | 11/1/2020 | 8,000 | 8,631,784 | |||||||||
JBS USA LLC/JBS USA Finance, Inc.† | 5.875 | % | 7/15/2024 | 13,000 | 13,000,000 | |||||||||
Land O’Lakes, Inc.† | 6.00 | % | 11/15/2022 | 9,750 | 10,554,375 | |||||||||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp. | 4.875 | % | 5/1/2021 | 15,000 | 15,412,500 | |||||||||
Post Holdings, Inc.† | 6.00 | % | 12/15/2022 | 1,325 | 1,353,156 | |||||||||
Post Holdings, Inc. | 7.375 | % | 2/15/2022 | 16,500 | 17,881,875 | |||||||||
Shearer’s Foods LLC/Chip Finance Corp.† | 9.00 | % | 11/1/2019 | 7,000 | 7,700,000 | |||||||||
Smithfield Foods, Inc. | 6.625 | % | 8/15/2022 | 4,710 | 5,181,000 | |||||||||
US Foods, Inc. | 8.50 | % | 6/30/2019 | 22,300 | 23,894,450 | |||||||||
Viterra, Inc. (Canada)†(b) | 5.95 | % | 8/1/2020 | 18,250 | 20,856,757 | |||||||||
Total | 192,070,625 | |||||||||||||
Forestry/Paper 0.44% | ||||||||||||||
Cascades, Inc. (Canada)†(b) | 5.50 | % | 7/15/2022 | 15,000 | 15,018,750 | |||||||||
Louisiana-Pacific Corp. | 7.50 | % | 6/1/2020 | 8,000 | 8,840,000 | |||||||||
Millar Western Forest Products Ltd. (Canada)(b) | 8.50 | % | 4/1/2021 | 10,000 | 10,725,000 | |||||||||
Rock-Tenn Co. | 4.90 | % | 3/1/2022 | 6,248 | 6,830,638 | |||||||||
Total | 41,414,388 | |||||||||||||
Gaming 1.48% | ||||||||||||||
CCM Merger, Inc.† | 9.125 | % | 5/1/2019 | 12,000 | 12,930,000 | |||||||||
Graton Economic Development Authority† | 9.625 | % | 9/1/2019 | 20,725 | 23,678,312 |
See Notes to Financial Statements. | 21 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||||
Gaming (continued) | ||||||||||||||
MCE Finance Ltd. (Macao)†(b) | 5.00 | % | 2/15/2021 | $ | 18,000 | $ | 18,270,000 | |||||||
Mohegan Tribal Gaming Authority | 9.75 | % | 9/1/2021 | 7,800 | 8,697,000 | |||||||||
MTR Gaming Group, Inc. | 11.50 | % | 8/1/2019 | 8,200 | 9,255,750 | |||||||||
Peninsula Gaming LLC/Peninsula Gaming Corp.† | 8.375 | % | 2/15/2018 | 12,000 | 12,900,000 | |||||||||
Pinnacle Entertainment, Inc. | 6.375 | % | 8/1/2021 | 13,700 | 14,522,000 | |||||||||
Pinnacle Entertainment, Inc. | 7.75 | % | 4/1/2022 | 7,500 | 8,193,750 | |||||||||
River Rock Entertainment Authority (The)(c) | 9.00 | % | 11/1/2018 | 10,368 | 2,643,840 | |||||||||
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.† | 9.50 | % | 6/15/2019 | 7,957 | 8,712,915 | |||||||||
Sugarhouse HSP Gaming Prop. Mezz. LP/Sugarhouse HSP Gaming Finance Corp.† | 6.375 | % | 6/1/2021 | 16,000 | 15,760,000 | |||||||||
Wynn Las Vegas LLC/Capital Corp. | 5.375 | % | 3/15/2022 | 5,300 | 5,545,125 | |||||||||
Total | 141,108,692 | |||||||||||||
Gas Distribution 3.96% | ||||||||||||||
Access Midstream Partners LP/ACMP Finance Corp. | 6.125 | % | 7/15/2022 | 5,000 | 5,550,000 | |||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. | 6.00 | % | 12/15/2020 | 3,650 | 3,850,750 | |||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.† | 6.125 | % | 3/1/2022 | 7,200 | 7,614,000 | |||||||||
El Paso LLC | 6.50 | % | 9/15/2020 | 15,000 | 16,687,500 | |||||||||
El Paso LLC | 7.25 | % | 6/1/2018 | 10,000 | 11,437,500 | |||||||||
El Paso LLC | 7.75 | % | 1/15/2032 | 10,000 | 11,000,000 | |||||||||
Energy Transfer Partners LP | 5.20 | % | 2/1/2022 | 22,100 | 24,493,629 | |||||||||
Ferrellgas LP/Ferrellgas Finance Corp. | 6.50 | % | 5/1/2021 | 12,000 | 12,585,000 | |||||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. | 8.625 | % | 6/15/2020 | 12,000 | 12,870,000 | |||||||||
Florida Gas Transmission Co. LLC† | 7.90 | % | 5/15/2019 | 7,700 | 9,461,952 | |||||||||
Global Partners LP/GLP Finance Corp.† | 6.25 | % | 7/15/2022 | 3,000 | 3,011,250 | |||||||||
Hiland Partners LP/Hiland Partners Finance Corp.† | 5.50 | % | 5/15/2022 | 2,375 | 2,410,625 | |||||||||
Hiland Partners LP/Hiland Partners Finance Corp.† | 7.25 | % | 10/1/2020 | 13,075 | 14,317,125 | |||||||||
IFM US Colonial Pipeline 2 LLC† | 6.45 | % | 5/1/2021 | 19,000 | 20,370,052 | |||||||||
Kinder Morgan Finance Co. LLC† | 6.00 | % | 1/15/2018 | 15,000 | 16,462,500 | |||||||||
Kinder Morgan, Inc.† | 5.00 | % | 2/15/2021 | 8,000 | 8,340,000 | |||||||||
LBC Tank Terminals Holding Netherlands BV (Belgium)†(b) | 6.875 | % | 5/15/2023 | 7,900 | 8,354,250 | |||||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. | 5.50 | % | 2/15/2023 | 13,250 | 14,177,500 | |||||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. | 6.25 | % | 6/15/2022 | 3,153 | 3,460,418 |
22 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||
Gas Distribution (continued) | |||||||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. | 6.75% | 11/1/2020 | $ | 17,000 | $ | 18,530,000 | |||||
NGL Energy Partners LP/NGL Energy Finance Corp.†(g) | 5.125% | 7/15/2019 | 5,500 | 5,541,250 | |||||||
Panhandle Eastern Pipeline Co. LP | 7.00% | 6/15/2018 | 7,600 | 8,835,068 | |||||||
Panhandle Eastern Pipeline Co. LP | 8.125% | 6/1/2019 | 13,800 | 16,772,810 | |||||||
Regency Energy Partners LP/Regency Energy Finance Corp. | 5.875% | 3/1/2022 | 11,300 | 12,302,875 | |||||||
Sabine Pass Liquefaction LLC | 5.625% | 2/1/2021 | 10,000 | 10,625,000 | |||||||
Sabine Pass Liquefaction LLC† | 5.75% | 5/15/2024 | 25,000 | 26,093,750 | |||||||
Southeast Supply Header LLC† | 4.25% | 6/15/2024 | 15,600 | 15,909,941 | |||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 5,900 | 5,959,000 | |||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp. | 5.50% | 6/1/2024 | 7,900 | 8,018,500 | |||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp. | 7.375% | 8/1/2021 | 16,220 | 17,720,350 | |||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. | 5.875% | 10/1/2020 | 11,975 | 12,693,500 | |||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp.† | 5.875% | 10/1/2020 | 3,475 | 3,683,500 | |||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. | 6.125% | 10/15/2021 | 7,800 | 8,365,500 | |||||||
Total | 377,505,095 | ||||||||||
Health Facilities 3.84% | |||||||||||
Amsurg Corp. | 5.625% | 11/30/2020 | 10,860 | 11,022,900 | |||||||
Capella Healthcare, Inc. | 9.25% | 7/1/2017 | 12,000 | 12,630,000 | |||||||
CHS/Community Health Systems, Inc.† | 6.875% | 2/1/2022 | 20,000 | 21,300,000 | |||||||
CHS/Community Health Systems, Inc. | 8.00% | 11/15/2019 | 45,000 | 49,387,500 | |||||||
DaVita HealthCare Partners, Inc. | 5.125% | 7/15/2024 | 15,800 | 15,928,375 | |||||||
DaVita HealthCare Partners, Inc. | 5.75% | 8/15/2022 | 27,000 | 28,957,500 | |||||||
Dignity Health | 4.50% | 11/1/2042 | 8,400 | 7,761,188 | |||||||
HCA Holdings, Inc. | 6.25% | 2/15/2021 | 5,000 | 5,381,250 | |||||||
HCA Holdings, Inc. | 7.75% | 5/15/2021 | 40,000 | 43,950,000 | |||||||
HCA, Inc. | 5.00% | 3/15/2024 | 7,000 | 7,114,240 | |||||||
HCA, Inc. | 6.50% | 2/15/2020 | 10,000 | 11,275,000 | |||||||
HCA, Inc. | 7.50% | 2/15/2022 | 22,000 | 25,437,500 | |||||||
HCA, Inc. | 7.58% | 9/15/2025 | 2,450 | 2,744,000 | |||||||
HCA, Inc. | 7.69% | 6/15/2025 | 9,050 | 10,249,125 | |||||||
HealthSouth Corp. | 8.125% | 2/15/2020 | 21,000 | 22,601,250 | |||||||
Kindred Healthcare, Inc.† | 6.375% | 4/15/2022 | 14,000 | 14,140,000 | |||||||
LifePoint Hospitals, Inc.† | 5.50% | 12/1/2021 | 10,000 | 10,500,000 | |||||||
Omega Healthcare Investors, Inc.† | 4.95% | 4/1/2024 | 10,000 | 10,263,620 |
See Notes to Financial Statements. | 23 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||
Health Facilities (continued) | |||||||||||
Omega Healthcare Investors, Inc. | 6.75% | 10/15/2022 | $ | 6,900 | $ | 7,491,330 | |||||
Tenet Healthcare Corp. | 8.125% | 4/1/2022 | 36,600 | 42,456,000 | |||||||
Tenet Healthcare Corp. | 9.25% | 2/1/2015 | 5,000 | 5,258,000 | |||||||
Total | 365,848,778 | ||||||||||
Health Services 0.42% | |||||||||||
Envision Healthcare Corp.† | 5.125% | 7/1/2022 | 7,900 | 7,988,875 | |||||||
STHI Holding Corp.† | 8.00% | 3/15/2018 | 12,500 | 13,265,625 | |||||||
Truven Health Analytics, Inc. | 10.625% | 6/1/2020 | 17,000 | 18,742,500 | |||||||
Total | 39,997,000 | ||||||||||
Hotels 0.60% | |||||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.† | 5.625% | 10/15/2021 | 15,000 | 15,965,625 | |||||||
Host Hotels & Resorts LP | 5.25% | 3/15/2022 | 10,000 | 11,041,530 | |||||||
Playa Resorts Holding BV (Netherlands)†(b) | 8.00% | 8/15/2020 | 14,000 | 15,155,000 | |||||||
RHP Hotel Properties LP/RHP Finance Corp. | 5.00% | 4/15/2021 | 5,000 | 5,012,500 | |||||||
Wyndham Worldwide Corp. | 3.90% | 3/1/2023 | 10,000 | 10,063,460 | |||||||
Total | 57,238,115 | ||||||||||
Household & Leisure Products 0.09% | |||||||||||
Serta Simmons Holdings LLC† | 8.125% | 10/1/2020 | 8,000 | 8,720,000 | |||||||
Insurance Brokerage 0.35% | |||||||||||
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC† | 7.875% | 12/15/2020 | 11,200 | 11,886,000 | |||||||
Hockey Merger Sub 2, Inc.† | 7.875% | 10/1/2021 | 12,000 | 12,915,000 | |||||||
Trinity Acquisition plc (United Kingdom)(b) | 4.625% | 8/15/2023 | 7,800 | 8,095,924 | |||||||
Total | 32,896,924 | ||||||||||
Integrated Energy 0.19% | |||||||||||
Alta Wind Holdings LLC† | 7.00% | 6/30/2035 | 9,961 | 11,098,739 | |||||||
Rosneft Oil Co. via Rosneft International Finance Ltd. (Ireland)†(b) | 4.199% | 3/6/2022 | 7,000 | 6,545,000 | |||||||
Total | 17,643,739 | ||||||||||
Investments & Miscellaneous Financial Services 1.47% | |||||||||||
Affiliated Managers Group, Inc. | 4.25% | 2/15/2024 | 17,500 | 18,141,620 | |||||||
Ares Capital Corp. | 4.875% | 11/30/2018 | 11,700 | 12,462,302 | |||||||
FMR LLC† | 5.35% | 11/15/2021 | 14,800 | 16,845,922 | |||||||
Legg Mason, Inc. | 5.50% | 5/21/2019 | 10,000 | 11,569,970 |
24 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||
Investments & Miscellaneous Financial Services (continued) | |||||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 5.625% | 3/15/2020 | $ | 3,700 | $ | 3,931,250 | |||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 5.875% | 3/15/2022 | 23,600 | 25,311,000 | |||||||
Nuveen Investments, Inc.† | 9.125% | 10/15/2017 | 27,300 | 29,722,875 | |||||||
Nuveen Investments, Inc.† | 9.50% | 10/15/2020 | 18,200 | 21,658,000 | |||||||
Total | 139,642,939 | ||||||||||
Leisure 0.42% | |||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp. | 5.25% | 3/15/2021 | 10,000 | 10,350,000 | |||||||
MU Finance plc (United Kingdom)†(b) | 8.375% | 2/1/2017 | 14,110 | 14,779,900 | |||||||
Royal Caribbean Cruises Ltd. | 5.25% | 11/15/2022 | 6,639 | 7,004,145 | |||||||
Royal Caribbean Cruises Ltd. | 7.50% | 10/15/2027 | 6,674 | 7,641,730 | |||||||
Total | 39,775,775 | ||||||||||
Life Insurance 0.36% | |||||||||||
American Equity Investment Life Holding Co. | 6.625% | 7/15/2021 | 11,500 | 12,562,312 | |||||||
MetLife Capital Trust X† | 9.25% | 4/8/2038 | 15,075 | 21,481,875 | |||||||
Total | 34,044,187 | ||||||||||
Machinery 1.22% | |||||||||||
Cleaver-Brooks, Inc.† | 8.75% | 12/15/2019 | 10,500 | 11,799,375 | |||||||
Flowserve Corp. | 3.50% | 9/15/2022 | 3,880 | 3,838,655 | |||||||
Gardner Denver, Inc.† | 6.875% | 8/15/2021 | 15,500 | 16,352,500 | |||||||
Manitowoc Co., Inc. (The) | 5.875% | 10/15/2022 | 11,750 | 12,866,250 | |||||||
Manitowoc Co., Inc. (The) | 8.50% | 11/1/2020 | 25,000 | 28,000,000 | |||||||
Mcron Finance Sub LLC/Mcron Finance Corp.† | 8.375% | 5/15/2019 | 13,201 | 14,521,100 | |||||||
Milacron LLC/Mcron Finance Corp.† | 7.75% | 2/15/2021 | 10,000 | 11,000,000 | |||||||
Steelcase, Inc. | 6.375% | 2/15/2021 | 11,175 | 12,863,095 | |||||||
Waterjet Holdings, Inc.† | 7.625% | 2/1/2020 | 5,030 | 5,356,950 | |||||||
Total | 116,597,925 | ||||||||||
Managed Care 0.36% | |||||||||||
Centene Corp. | 5.75% | 6/1/2017 | 15,525 | 16,961,062 | |||||||
MPH Acquisition Holdings LLC† | 6.625% | 4/1/2022 | 16,300 | 17,115,000 | |||||||
Total | 34,076,062 | ||||||||||
Media: Broadcast 0.98% | |||||||||||
AMC Networks, Inc. | 4.75% | 12/15/2022 | 12,000 | 12,060,000 | |||||||
AMC Networks, Inc. | 7.75% | 7/15/2021 | 12,000 | 13,485,000 |
See Notes to Financial Statements. | 25 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||
Media: Broadcast (continued) | |||||||||||
Clear Channel Communications, Inc. | 5.50% | 12/15/2016 | $ | 3,500 | $ | 3,460,625 | |||||
Clear Channel Communications, Inc. | 9.00% | 12/15/2019 | 22,500 | 24,075,000 | |||||||
Clear Channel Communications, Inc.† | 10.00% | 1/15/2018 | 13,500 | 13,111,875 | |||||||
Clear Channel Communications, Inc. | 11.25% | 3/1/2021 | 17,500 | 19,906,250 | |||||||
Gray Television, Inc. | 7.50% | 10/1/2020 | 2,700 | 2,922,750 | |||||||
SiTV LLC/SiTV Finance, Inc.†(g) | 10.375% | 7/1/2019 | 4,500 | 4,635,000 | |||||||
Total | 93,656,500 | ||||||||||
Media: Cable 3.73% | |||||||||||
Altice SA (Luxembourg)†(b) | 7.75% | 5/15/2022 | 22,000 | 23,540,000 | |||||||
Cablevision Systems Corp. | 5.875% | 9/15/2022 | 28,000 | 28,630,000 | |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 5.75% | 9/1/2023 | 11,500 | 11,960,000 | |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 6.625% | 1/31/2022 | 8,100 | 8,737,875 | |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 8.125% | 4/30/2020 | 17,500 | 18,987,500 | |||||||
CSC Holdings LLC | 8.625% | 2/15/2019 | 7,375 | 8,794,687 | |||||||
DISH DBS Corp. | 5.125% | 5/1/2020 | 35,600 | 37,513,500 | |||||||
DISH DBS Corp. | 5.875% | 7/15/2022 | 15,000 | 16,312,500 | |||||||
DISH DBS Corp. | 6.75% | 6/1/2021 | 16,650 | 19,022,625 | |||||||
Harron Communications LP/Harron Finance Corp.† | 9.125% | 4/1/2020 | 6,600 | 7,392,000 | |||||||
Mediacom Broadband LLC/Mediacom Broadband Corp. | 6.375% | 4/1/2023 | 26,925 | 28,540,500 | |||||||
Mediacom LLC/Mediacom Capital Corp. | 7.25% | 2/15/2022 | 4,401 | 4,819,095 | |||||||
Mediacom LLC/Mediacom Capital Corp. | 9.125% | 8/15/2019 | 32,450 | 34,153,625 | |||||||
Nara Cable Funding Ltd. (Ireland)†(b) | 8.875% | 12/1/2018 | 8,550 | 9,169,875 | |||||||
Numericable Group SA (France)†(b) | 6.00% | 5/15/2022 | 10,500 | 10,933,125 | |||||||
Numericable Group SA (France)†(b) | 6.25% | 5/15/2024 | 3,000 | 3,135,000 | |||||||
Ono Finance II plc (Ireland)†(b) | 10.875% | 7/15/2019 | 7,075 | 7,764,813 | |||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany)†(b) | 5.50% | 1/15/2023 | 23,000 | 23,920,000 | |||||||
UPCB Finance V Ltd.† | 7.25% | 11/15/2021 | 14,000 | 15,470,000 | |||||||
Virgin Media Finance plc (United Kingdom)(b) | 8.375% | 10/15/2019 | 15,000 | 15,900,000 | |||||||
Virgin Media Secured Finance plc (United Kingdom)†(b) | 5.375% | 4/15/2021 | 20,000 | 21,100,000 | |||||||
Total | 355,796,720 | ||||||||||
Media: Diversified 0.26% | |||||||||||
Netflix, Inc. | 5.375% | 2/1/2021 | 23,500 | 24,733,750 |
26 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||
Media: Services 0.70% | |||||||||||
Affinion Investments LLC† | 13.50% | 8/15/2018 | $ | 8,000 | $ | 8,360,000 | |||||
Nielsen Co. Luxembourg SARL (The) (Luxembourg)†(b) | 5.50% | 10/1/2021 | 10,000 | 10,375,000 | |||||||
Nielsen Finance LLC/Nielsen Finance Co.† | 5.00% | 4/15/2022 | 15,700 | 15,896,250 | |||||||
Southern Graphics, Inc.† | 8.375% | 10/15/2020 | 10,200 | 10,863,000 | |||||||
WMG Acquisition Corp.† | 5.625% | 4/15/2022 | 3,100 | 3,127,125 | |||||||
WMG Acquisition Corp.† | 6.00% | 1/15/2021 | 3,870 | 4,015,125 | |||||||
WMG Acquisition Corp.† | 6.75% | 4/15/2022 | 13,500 | 13,567,500 | |||||||
Total | 66,204,000 | ||||||||||
Medical Products 0.91% | |||||||||||
Biomet, Inc. | 6.50% | 8/1/2020 | 25,500 | 27,603,750 | |||||||
Grifols Worldwide Operations Ltd. (Ireland)†(b) | 5.25% | 4/1/2022 | 15,000 | 15,600,000 | |||||||
Kinetic Concepts, Inc./KCI USA, Inc. | 10.50% | 11/1/2018 | 7,500 | 8,493,750 | |||||||
Life Technologies Corp. | 6.00% | 3/1/2020 | 5,300 | 6,202,140 | |||||||
Mallinckrodt International Finance SA (Luxembourg)(b) | 4.75% | 4/15/2023 | 17,000 | 16,575,000 | |||||||
Polymer Group, Inc. | 7.75% | 2/1/2019 | 11,475 | 12,249,562 | |||||||
Total | 86,724,202 | ||||||||||
Metals/Mining (Excluding Steel) 0.89% | |||||||||||
Arch Coal, Inc. | 7.25% | 6/15/2021 | 12,000 | 8,820,000 | |||||||
Arch Coal, Inc.† | 8.00% | 1/15/2019 | 6,700 | 6,649,750 | |||||||
Cliffs Natural Resources, Inc. | 5.90% | 3/15/2020 | 5,000 | 5,124,620 | |||||||
Cloud Peak Energy Resource LLC/Cloud Peak Energy Finance Corp. | 6.375% | 3/15/2024 | 2,000 | 2,100,000 | |||||||
CONSOL Energy, Inc.† | 5.875% | 4/15/2022 | 16,500 | 17,325,000 | |||||||
First Quantum Minerals Ltd. (Canada)†(b) | 7.25% | 5/15/2022 | 8,000 | 8,360,000 | |||||||
FMG Resources (August 2006) Pty Ltd. (Australia)†(b) | 8.25% | 11/1/2019 | 15,000 | 16,387,500 | |||||||
Imperial Metals Corp. (Canada)†(b) | 7.00% | 3/15/2019 | 1,600 | 1,648,000 | |||||||
Kinross Gold Corp. (Canada)†(b) | 5.95% | 3/15/2024 | 5,000 | 5,212,110 | |||||||
Mirabela Nickel Ltd. (Australia)†(b)(c) | 8.75% | 4/15/2018 | 14,350 | 3,444,000 | |||||||
Teck Resources Ltd. (Canada)(b) | 4.75% | 1/15/2022 | 4,675 | 4,913,159 | |||||||
Westmoreland Coal Co./Westmoreland Partners† | 10.75% | 2/1/2018 | 4,700 | 5,058,375 | |||||||
Total | 85,042,514 | ||||||||||
Oil Field Equipment & Services 1.55% | |||||||||||
Basic Energy Services, Inc. | 7.75% | 2/15/2019 | 8,000 | 8,520,000 | |||||||
Dresser-Rand Group, Inc. | 6.50% | 5/1/2021 | 16,000 | 17,200,000 |
See Notes to Financial Statements. | 27 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||
Oil Field Equipment & Services (continued) | |||||||||||
FMC Technologies, Inc. | 3.45% | 10/1/2022 | $ | 6,475 | $ | 6,423,789 | |||||
Gulfmark Offshore, Inc. | 6.375% | 3/15/2022 | 15,000 | 15,675,000 | |||||||
Hornbeck Offshore Services, Inc. | 5.00% | 3/1/2021 | 12,000 | 12,030,000 | |||||||
Hornbeck Offshore Services, Inc. | 5.875% | 4/1/2020 | 20,000 | 20,800,000 | |||||||
Key Energy Services, Inc. | 6.75% | 3/1/2021 | 5,750 | 6,008,750 | |||||||
Precision Drilling Corp. (Canada)(b) | 6.50% | 12/15/2021 | 3,250 | 3,550,625 | |||||||
Precision Drilling Corp. (Canada)(b) | 6.625% | 11/15/2020 | 1,825 | 1,961,875 | |||||||
SEACOR Holdings, Inc. | 7.375% | 10/1/2019 | 19,750 | 22,218,750 | |||||||
Seadrill Ltd.† | 6.625% | 9/15/2020 | 20,000 | 20,450,000 | |||||||
Trinidad Drilling Ltd. (Canada)†(b) | 7.875% | 1/15/2019 | 12,200 | 12,962,500 | |||||||
Total | 147,801,289 | ||||||||||
Oil Refining & Marketing 0.26% | |||||||||||
Rose Rock Midstream LP/Rose Rock Finance Corp.† | 5.625% | 7/15/2022 | 4,000 | 4,060,000 | |||||||
Tesoro Corp. | 5.125% | 4/1/2024 | 9,600 | 9,720,000 | |||||||
Tesoro Corp. | 5.375% | 10/1/2022 | 10,000 | 10,500,000 | |||||||
Total | 24,280,000 | ||||||||||
Packaging 2.29% | |||||||||||
AEP Industries, Inc. | 8.25% | 4/15/2019 | 15,000 | 15,843,750 | |||||||
Ball Corp. | 4.00% | 11/15/2023 | 12,000 | 11,490,000 | |||||||
Crown Cork & Seal Co., Inc. | 7.375% | 12/15/2026 | 48,000 | 53,460,000 | |||||||
Pactiv LLC | 7.95% | 12/15/2025 | 7,730 | 8,309,750 | |||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 5.75% | 10/15/2020 | 10,000 | 10,600,000 | |||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 8.25% | 2/15/2021 | 11,750 | 12,836,875 | |||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 8.50% | 5/15/2018 | 50,000 | 52,375,000 | |||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 9.875% | 8/15/2019 | 8,225 | 9,150,312 | |||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 27,700 | 28,946,500 | |||||||
Sealed Air Corp.† | 8.375% | 9/15/2021 | 13,500 | 15,525,000 | |||||||
Total | 218,537,187 | ||||||||||
Pharmaceuticals 1.07% | |||||||||||
Capsugel SA PIK (Luxembourg)†(b) | 7.00% | 5/15/2019 | 4,850 | 5,004,594 | |||||||
Endo Finance Co. LLC† | 5.75% | 1/15/2022 | 12,000 | 12,270,000 | |||||||
JLL/Delta Dutch Newco BV (Netherlands)†(b) | 7.50% | 2/1/2022 | 12,000 | 12,465,000 |
28 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||
Pharmaceuticals (continued) | |||||||||||
Par Pharmaceutical Cos., Inc. | 7.375% | 10/15/2020 | $ | 23,100 | $ | 24,948,000 | |||||
Salix Pharmaceuticals Ltd.† | 6.00% | 1/15/2021 | 10,000 | 10,750,000 | |||||||
Valeant Pharmaceuticals International, Inc.† | 5.625% | 12/1/2021 | 10,000 | 10,312,500 | |||||||
Valeant Pharmaceuticals International, Inc.† | 6.375% | 10/15/2020 | 20,000 | 21,325,000 | |||||||
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC | 7.75% | 9/15/2018 | 5,000 | 5,268,950 | |||||||
Total | 102,344,044 | ||||||||||
Printing & Publishing 0.14% | |||||||||||
ProQuest LLC/ProQuest Notes Co.† | 9.00% | 10/15/2018 | 12,625 | 13,414,063 | |||||||
Property & Casualty 0.12% | |||||||||||
Liberty Mutual Group, Inc.† | 7.80% | 3/15/2037 | 10,000 | 11,850,000 | |||||||
Railroads 0.19% | |||||||||||
Kansas City Southern de Mexico SA de CV (Mexico)(b) | 2.35% | 5/15/2020 | 11,750 | 11,271,223 | |||||||
Watco Cos. LLC/Watco Finance Corp.† | 6.375% | 4/1/2023 | 6,250 | 6,406,250 | |||||||
Total | 17,677,473 | ||||||||||
Real Estate Development & Management 0.22% | |||||||||||
Brookfield Residential Properties, Inc. (Canada)†(b) | 6.50% | 12/15/2020 | 9,000 | 9,562,500 | |||||||
Jones Lang LaSalle, Inc. | 4.40% | 11/15/2022 | 11,200 | 11,336,528 | |||||||
Total | 20,899,028 | ||||||||||
Real Estate Investment Trusts 0.96% | |||||||||||
ARC Properties Operating Partnership LP/Clark Acquisition LLC† | 3.00% | 2/6/2019 | 5,000 | 5,024,210 | |||||||
DDR Corp. | 7.875% | 9/1/2020 | 11,000 | 13,936,626 | |||||||
Goodman Funding Pty Ltd. (Australia)†(b) | 6.00% | 3/22/2022 | 7,000 | 8,079,190 | |||||||
Goodman Funding Pty Ltd. (Australia)†(b) | 6.375% | 11/12/2020 | 10,000 | 11,641,980 | |||||||
Health Care REIT, Inc. | 4.95% | 1/15/2021 | 11,700 | 13,014,273 | |||||||
Health Care REIT, Inc. | 6.125% | 4/15/2020 | 10,000 | 11,639,610 | |||||||
Kilroy Realty LP | 3.80% | 1/15/2023 | 10,000 | 10,105,890 | |||||||
ProLogis LP | 6.875% | 3/15/2020 | 7,000 | 8,420,244 | |||||||
Washington Real Estate Investment Trust | 3.95% | 10/15/2022 | 10,000 | 10,040,250 | |||||||
Total | 91,902,273 | ||||||||||
Restaurants 0.07% | |||||||||||
Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC† | 5.875% | 5/15/2021 | 6,700 | 6,750,250 |
See Notes to Financial Statements. | 29 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||
Software/Services 3.18% | |||||||||||
Alliance Data Systems Corp.† | 6.375% | 4/1/2020 | $ | 53,000 | $ | 56,710,000 | |||||
BMC Software Finance, Inc.† | 8.125% | 7/15/2021 | 10,000 | 10,337,500 | |||||||
Boxer Parent Co., Inc. PIK† | 9.00% | 10/15/2019 | 5,425 | 5,316,500 | |||||||
Ceridian LLC/Comdata, Inc.† | 8.125% | 11/15/2017 | 4,700 | 4,758,750 | |||||||
Dun & Bradstreet Corp. (The) | 4.375% | 12/1/2022 | 15,000 | 15,408,495 | |||||||
First Data Corp.† | 8.25% | 1/15/2021 | 34,900 | 38,390,000 | |||||||
First Data Corp. | 11.25% | 1/15/2021 | 5,834 | 6,825,780 | |||||||
First Data Corp. | 12.625% | 1/15/2021 | 40,550 | 50,028,563 | |||||||
First Data Holdings, Inc. PIK† | 14.50% | 9/24/2019 | 8,226 | 8,884,354 | |||||||
iGATE Corp.† | 4.75% | 4/15/2019 | 4,700 | 4,805,750 | |||||||
Infor US, Inc. | 9.375% | 4/1/2019 | 6,500 | 7,263,750 | |||||||
MasterCard, Inc. | 3.375% | 4/1/2024 | 9,900 | 10,067,835 | |||||||
NeuStar, Inc. | 4.50% | 1/15/2023 | 9,000 | 7,830,000 | |||||||
Sophia LP/Sophia Finance, Inc.† | 9.75% | 1/15/2019 | 18,000 | 19,890,000 | |||||||
SunGard Data Systems, Inc. | 6.625% | 11/1/2019 | 25,000 | 26,437,500 | |||||||
SunGard Data Systems, Inc. | 7.625% | 11/15/2020 | 6,100 | 6,679,500 | |||||||
Syniverse Holdings, Inc. | 9.125% | 1/15/2019 | 12,500 | 13,421,875 | |||||||
VeriSign, Inc. | 4.625% | 5/1/2023 | 10,000 | 9,929,000 | |||||||
Total | 302,985,152 | ||||||||||
Specialty Retail 2.62% | |||||||||||
Brookstone Co., Inc.†(c) | 13.00% | 10/15/2014 | 4,945 | 2,299,628 | |||||||
Brown Shoe Co., Inc. | 7.125% | 5/15/2019 | 12,500 | 13,218,750 | |||||||
Chinos Intermediate Holdings A, Inc. PIK† | 7.75% | 5/1/2019 | 13,000 | 13,065,000 | |||||||
Claire’s Stores, Inc.† | 7.75% | 6/1/2020 | 6,000 | 4,395,000 | |||||||
Claire’s Stores, Inc. | 8.875% | 3/15/2019 | 12,500 | 10,937,500 | |||||||
Claire’s Stores, Inc.† | 9.00% | 3/15/2019 | 7,000 | 7,341,250 | |||||||
CST Brands, Inc. | 5.00% | 5/1/2023 | 14,000 | 14,070,000 | |||||||
DBP Holding Corp.† | 7.75% | 10/15/2020 | 26,320 | 23,161,600 | |||||||
Limited Brands, Inc. | 7.00% | 5/1/2020 | 17,200 | 19,844,500 | |||||||
Limited Brands, Inc. | 7.60% | 7/15/2037 | 7,500 | 8,343,750 | |||||||
Limited Brands, Inc. | 8.50% | 6/15/2019 | 10,300 | 12,694,750 | |||||||
Men’s Wearhouse, Inc. (The)† | 7.00% | 7/1/2022 | 3,600 | 3,744,000 | |||||||
Michaels FinCo Holdings LLC/Michaels FinCo, Inc. PIK† | 7.50% | 8/1/2018 | 9,375 | 9,621,094 | |||||||
Michaels Stores, Inc. | 7.75% | 11/1/2018 | 7,400 | 7,844,000 | |||||||
Neiman Marcus Group Ltd. LLC† | 8.00% | 10/15/2021 | 25,000 | 27,062,500 | |||||||
PETCO Animal Supplies, Inc.† | 9.25% | 12/1/2018 | 10,000 | 10,762,500 | |||||||
PETCO Holdings, Inc. PIK† | 8.50% | 10/15/2017 | 5,000 | 5,137,500 | |||||||
QVC, Inc. | 3.125% | 4/1/2019 | 4,150 | 4,225,227 |
30 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||
Specialty Retail (continued) | |||||||||||
QVC, Inc. | 4.375% | 3/15/2023 | $ | 9,625 | $ | 9,794,660 | |||||
QVC, Inc.† | 7.375% | 10/15/2020 | 17,500 | 18,790,765 | |||||||
Sally Holdings LLC/Sally Capital, Inc. | 5.50% | 11/1/2023 | 7,800 | 8,053,500 | |||||||
Sally Holdings LLC/Sally Capital, Inc. | 5.75% | 6/1/2022 | 7,700 | 8,239,000 | |||||||
Toys “R” Us Property Co. II LLC | 8.50% | 12/1/2017 | 7,000 | 7,183,750 | |||||||
Total | 249,830,224 | ||||||||||
Steel Producers/Products 0.84% | |||||||||||
Allegheny Ludlum Corp. | 6.95% | 12/15/2025 | 10,000 | 11,410,760 | |||||||
Allegheny Technologies, Inc. | 9.375% | 6/1/2019 | 10,200 | 12,667,186 | |||||||
ArcelorMittal (Luxembourg)(b) | 5.75% | 8/5/2020 | 25,000 | 26,968,750 | |||||||
ArcelorMittal (Luxembourg)(b) | 6.00% | 3/1/2021 | 10,000 | 10,862,500 | |||||||
Essar Steel Algoma, Inc. (Canada)†(b) | 9.375% | 3/15/2015 | 6,000 | 6,015,000 | |||||||
Essar Steel Algoma, Inc. (Canada)†(b) | 9.875% | 6/15/2015 | 6,500 | 4,225,000 | |||||||
JMC Steel Group† | 8.25% | 3/15/2018 | 8,000 | 8,200,000 | |||||||
Total | 80,349,196 | ||||||||||
Support: Services 2.32% | |||||||||||
Ashtead Capital, Inc.† | 6.50% | 7/15/2022 | 3,600 | 3,951,000 | |||||||
Audatex North America, Inc.† | 6.00% | 6/15/2021 | 5,000 | 5,362,500 | |||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. | 5.50% | 4/1/2023 | 10,000 | 10,275,000 | |||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. | 9.75% | 3/15/2020 | 5,500 | 6,256,250 | |||||||
Compiler Finance Sub, Inc.† | 7.00% | 5/1/2021 | 15,000 | 15,300,000 | |||||||
FTI Consulting, Inc. | 6.00% | 11/15/2022 | 10,500 | 10,854,375 | |||||||
FTI Consulting, Inc. | 6.75% | 10/1/2020 | 14,350 | 15,390,375 | |||||||
Hertz Corp. (The) | 5.875% | 10/15/2020 | 20,000 | 21,000,000 | |||||||
Hertz Corp. (The) | 7.50% | 10/15/2018 | 6,000 | 6,300,000 | |||||||
Iron Mountain, Inc. | 5.75% | 8/15/2024 | 20,000 | 20,700,000 | |||||||
Iron Mountain, Inc. | 7.75% | 10/1/2019 | 8,500 | 9,339,375 | |||||||
MasTec, Inc. | 4.875% | 3/15/2023 | 12,950 | 12,820,500 | |||||||
NES Rentals Holdings, Inc.† | 7.875% | 5/1/2018 | 7,800 | 8,346,000 | |||||||
Rent-A-Center, Inc. | 4.75% | 5/1/2021 | 5,000 | 4,750,000 | |||||||
Sotheby’s† | 5.25% | 10/1/2022 | 19,000 | 18,572,500 | |||||||
United Rentals North America, Inc. | 5.75% | 11/15/2024 | 12,500 | 13,015,625 | |||||||
United Rentals North America, Inc. | 6.125% | 6/15/2023 | 20,000 | 21,550,000 | |||||||
United Rentals North America, Inc. | 7.625% | 4/15/2022 | 10,000 | 11,275,000 | |||||||
United Rentals North America, Inc. | 8.25% | 2/1/2021 | 5,000 | 5,587,500 | |||||||
Total | 220,646,000 |
See Notes to Financial Statements. | 31 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||
Telecommunications Equipment 0.38% | |||||||||||
Alcatel-Lucent USA, Inc. | 6.45% | 3/15/2029 | $ | 10,000 | $ | 9,950,000 | |||||
Avaya, Inc.† | 7.00% | 4/1/2019 | 10,000 | 10,050,000 | |||||||
CommScope, Inc.† | 5.50% | 6/15/2024 | 16,000 | 16,340,000 | |||||||
Total | 36,340,000 | ||||||||||
Telecommunications: Integrated/Services 3.28% | |||||||||||
CenturyLink, Inc. | 6.15% | 9/15/2019 | 4,000 | 4,380,000 | |||||||
CenturyLink, Inc. | 6.45% | 6/15/2021 | 33,000 | 35,970,000 | |||||||
CenturyLink, Inc. | 6.75% | 12/1/2023 | 16,000 | 17,560,000 | |||||||
DigitalGlobe, Inc. | 5.25% | 2/1/2021 | 18,500 | 18,407,500 | |||||||
Dycom Investments, Inc. | 7.125% | 1/15/2021 | 16,750 | 18,090,000 | |||||||
Equinix, Inc. | 5.375% | 4/1/2023 | 12,000 | 12,330,000 | |||||||
Equinix, Inc. | 7.00% | 7/15/2021 | 12,150 | 13,471,312 | |||||||
Frontier Communications Corp. | 7.625% | 4/15/2024 | 7,800 | 8,433,750 | |||||||
Frontier Communications Corp. | 9.25% | 7/1/2021 | 7,275 | 8,739,094 | |||||||
Hellas Telecommunications Luxembourg II SCA (Luxembourg)†(b)(c) | Zero Coupon | 1/15/2015 | 15,000 | 1,500 | |||||||
Hughes Satellite Systems Corp. | 7.625% | 6/15/2021 | 27,500 | 31,625,000 | |||||||
Intelsat Luxembourg SA (Luxembourg)(b) | 7.75% | 6/1/2021 | 40,000 | 42,500,000 | |||||||
Intelsat Luxembourg SA (Luxembourg)(b) | 8.125% | 6/1/2023 | 10,000 | 10,850,000 | |||||||
Sable International Finance Ltd.† | 8.75% | 2/1/2020 | 12,500 | 14,125,000 | |||||||
SES SA (Luxembourg)†(b) | 3.60% | 4/4/2023 | 8,600 | 8,718,895 | |||||||
Softbank Corp. (Japan)†(b) | 4.50% | 4/15/2020 | 13,400 | 13,668,000 | |||||||
Verizon Communications, Inc. | 3.45% | 3/15/2021 | 20,000 | 20,698,940 | |||||||
Verizon Communications, Inc. | 5.15% | 9/15/2023 | 9,850 | 11,043,544 | |||||||
ViaSat, Inc. | 6.875% | 6/15/2020 | 10,000 | 10,825,000 | |||||||
Windstream Corp. | 7.50% | 4/1/2023 | 10,000 | 10,875,000 | |||||||
Total | 312,312,535 | ||||||||||
Telecommunications: Wireless 3.87% | |||||||||||
American Tower Corp. | 4.70% | 3/15/2022 | 20,300 | 21,865,475 | |||||||
CC Holdings GS V LLC/Crown Castle GS III Corp. | 3.849% | 4/15/2023 | 15,310 | 15,397,910 | |||||||
Clearwire Communications LLC/Clearwire Finance, Inc.† | 14.75% | 12/1/2016 | 2,000 | 2,615,000 | |||||||
Crown Castle International Corp. | 5.25% | 1/15/2023 | 10,000 | 10,475,000 | |||||||
Digicel Group Ltd. (Jamaica)†(b) | 7.125% | 4/1/2022 | 8,500 | 8,882,500 | |||||||
Digicel Group Ltd. (Jamaica)†(b) | 8.25% | 9/30/2020 | 11,700 | 12,811,500 | |||||||
Digicel Ltd. (Jamaica)†(b) | 7.00% | 2/15/2020 | 16,500 | 17,490,000 | |||||||
Inmarsat Finance plc (United Kingdom)†(b) | 4.875% | 5/15/2022 | 7,900 | 7,998,750 |
32 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||
Telecommunications: Wireless (continued) | |||||||||||
MetroPCS Wireless, Inc. | 6.625% | 11/15/2020 | $ | 15,000 | $ | 16,068,750 | |||||
Millicom International Cellular SA (Luxembourg)†(b) | 4.75% | 5/22/2020 | 5,350 | 5,376,750 | |||||||
NII Capital Corp. | 7.625% | 4/1/2021 | 8,300 | 2,427,750 | |||||||
SBA Telecommunications, Inc. | 5.75% | 7/15/2020 | 12,000 | 12,780,000 | |||||||
SBA Telecommunications, Inc. | 8.25% | 8/15/2019 | 5,000 | 5,247,500 | |||||||
Sprint Capital Corp. | 6.90% | 5/1/2019 | 37,500 | 41,531,250 | |||||||
Sprint Communications, Inc.† | 7.00% | 3/1/2020 | 10,000 | 11,550,000 | |||||||
Sprint Communications, Inc. | 7.00% | 8/15/2020 | 12,000 | 13,335,000 | |||||||
Sprint Corp.† | 7.25% | 9/15/2021 | 15,600 | 17,257,500 | |||||||
Sprint Corp.† | 7.875% | 9/15/2023 | 28,500 | 31,777,500 | |||||||
T-Mobile USA, Inc. | 6.50% | 1/15/2024 | 40,000 | 42,850,000 | |||||||
T-Mobile USA, Inc. | 6.542% | 4/28/2020 | 20,000 | 21,675,000 | |||||||
Telemovil Finance Co., Ltd. (El Salvador)†(b) | 8.00% | 10/1/2017 | 11,450 | 12,079,750 | |||||||
Vimpel Communications via VIP Finance Ireland Ltd. OJSC (Ireland)†(b) | 7.748% | 2/2/2021 | 5,000 | 5,512,500 | |||||||
Wind Acquisition Finance SA (Italy)†(b) | 7.375% | 4/23/2021 | 30,000 | 32,100,000 | |||||||
Total | 369,105,385 | ||||||||||
Theaters & Entertainment 0.38% | |||||||||||
Activision Blizzard, Inc.† | 5.625% | 9/15/2021 | 20,000 | 21,600,000 | |||||||
Activision Blizzard, Inc.† | 6.125% | 9/15/2023 | 6,300 | 6,945,750 | |||||||
Regal Entertainment Group | 5.75% | 3/15/2022 | 7,500 | 7,818,750 | |||||||
Total | 36,364,500 | ||||||||||
Transportation (Excluding Air/Rail) 0.14% | |||||||||||
Great Lakes Dredge & Dock Corp. | 7.375% | 2/1/2019 | 13,000 | 13,715,000 | |||||||
Total High Yield Corporate Bonds (cost $6,984,101,887) | 7,346,441,455 | ||||||||||
MUNICIPAL BOND 0.18% | |||||||||||
Other Revenue | |||||||||||
New York City Indus Dev Agy† (cost $12,000,000) | 11.00% | 3/1/2029 | 12,000 | 17,005,320 | |||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITY 0.10% | |||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. 2014-FL4 D† (cost $9,975,284) | 3.252% | # | 12/15/2030 | 10,000 | 9,931,340 |
See Notes to Financial Statements. | 33 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Investments | Dividend Rate | Shares (000) | Fair Value | ||||||||
PREFERRED STOCKS 0.44% | |||||||||||
Agency/Government Related 0.05% | |||||||||||
Fannie Mae | Zero Coupon | 481 | $ | 4,982,490 | |||||||
Banking 0.31% | |||||||||||
GMAC Capital Trust I | 8.125% | 275 | 7,507,500 | ||||||||
Texas Capital Bancshares, Inc. | 6.50% | 467 | 11,327,226 | ||||||||
U.S. Bancorp | 3.50% | 13 | 10,815,188 | ||||||||
Total | 29,649,914 | ||||||||||
Property & Casualty 0.08% | |||||||||||
Allstate Corp. (The) | 5.10% | 274 | 6,891,651 | ||||||||
Total Preferred Stocks (cost $46,662,262) | 41,524,055 | ||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | |||||||||
U.S. TREASURY OBLIGATIONS 0.68% | |||||||||||
U.S. Treasury Note | 3.125% | 4/30/2017 | $ | 35,000 | 37,269,540 | ||||||
U.S. Treasury Note | 3.625% | 8/15/2019 | 25,000 | 27,452,150 | |||||||
Total U.S. Treasury Obligations (cost $64,569,051) | 64,721,690 | ||||||||||
Exercise | Expiration | Shares | |||||||||
Price | Date | (000) | |||||||||
WARRANTS 0.04% | |||||||||||
Auto Parts & Equipment 0.04% | |||||||||||
Cooper-Standard Holdings, Inc.* | $27.33 | 11/27/2017 | 84 | 3,305,049 | |||||||
Media: Broadcast 0.00% | |||||||||||
ION Media Networks, Inc.*(h) | 687.00 | 12/18/2016 | 2 | 191,178 | |||||||
ION Media Networks, Inc.*(h) | 500.00 | 12/18/2016 | 2 | 193,629 | |||||||
Total | 384,807 | ||||||||||
Total Warrants (cost $10,926,080) | 3,689,856 | ||||||||||
Total Long-Term Investments (cost $8,751,178,420) | 9,347,822,184 |
34 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
SHORT-TERM INVESTMENTS 1.37% | ||||||||||||
CONVERTIBLE BOND 0.16% | ||||||||||||
Gaming | ||||||||||||
MGM Resorts International (cost $14,637,218) | 4.25% | 4/15/2015 | $ | 10,500 | $ | 15,441,562 | ||||||
FLOATING RATE LOANS(d) 0.13% | ||||||||||||
Health Facilities | ||||||||||||
Amsurg Corp. Bridge Term Loan (cost $12,600,000) | — | 6/9/2015 | 12,600 | 12,663,000 | ||||||||
REPURCHASE AGREEMENT 1.08% | ||||||||||||
Repurchase Agreement dated 6/30/2014, Zero Coupon due 7/1/2014 with Fixed Income Clearing Corp. collateralized by $102,735,000 of U.S. Treasury Note at 2.125% due 8/31/2020; value: $104,532,863 proceeds: $102,482,905 (cost $102,482,905) | 102,483 | 102,482,905 | ||||||||||
Total Short-Term Investments (cost $129,720,123) | 130,587,467 | |||||||||||
Total Investments in Securities 99.49% (cost $8,880,898,543) | 9,478,409,651 | |||||||||||
Cash and Other Assets in Excess of Liabilities(i) 0.51% | 48,839,885 | |||||||||||
Net Assets 100.00% | $ | 9,527,249,536 |
See Notes to Financial Statements. | 35 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
CAD | Canadian dollar. | |
EUR | euro. | |
GBP | British pound. | |
ADR | American Depositary Receipt. | |
PIK | Payment-in-kind. | |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. | |
# | Variable rate security. The interest rate represents the rate in effect at June 30, 2014. | |
* | Non-income producing security. | |
~ | 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, 2014. | |
(e) | Security is perpetual in nature and has no stated maturity. | |
(f) | 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. | |
(g) | Securities purchased on a when-issued basis (See Note 2(j)). | |
(h) | Restricted securities of ION Media Networks, Inc. acquired through private placement are as follows: |
Cost on | Fair value | |||||||||||||||
Acquisition | Acquisition | Acquisition | per share at | |||||||||||||
Investment Type | Date | Shares | Date | June 30, 2014 | ||||||||||||
Warrant | April 15, 2011 | 1,950 | $4,318,663 | $98.04 | ||||||||||||
Warrant | April 15, 2011 | 1,975 | 5,785,009 | 98.04 |
(i) | Cash and Other Assets in Excess of Liabilities include net unrealized appreciation (depreciation) on open forward foreign currency exchange contracts, futures contracts and total return swaps as follows: |
Open Forward Foreign Currency Exchange Contracts at June 30, 2014:
Forward | ||||||||||||||||||||||
Foreign Currency | U.S. $ Cost on | U.S. $ | ||||||||||||||||||||
Exchange | Transaction | Expiration | Foreign | Origination | Current | Unrealized | ||||||||||||||||
Contracts | Type | Counterparty | Date | Currency | Date | Value | Appreciation | |||||||||||||||
euro | Buy | Morgan Stanley | 9/11/2014 | 300,000 | $407,741 | $410,900 | $3,159 |
Forward | ||||||||||||||||||||||
Foreign Currency | U.S. $ Cost on | U.S. $ | ||||||||||||||||||||
Exchange | Transaction | Expiration | Foreign | Origination | Current | Unrealized | ||||||||||||||||
Contracts | Type | Counterparty | Date | Currency | Date | Value | Depreciation | |||||||||||||||
British pound | Sell | Morgan Stanley | 7/17/2014 | 2,400,000 | $ | 4,062,004 | $ | 4,106,880 | $ (44,876 | ) | ||||||||||||
British pound | Sell | Morgan Stanley | 7/17/2014 | 5,260,000 | 8,800,570 | 9,000,911 | (200,341 | ) | ||||||||||||||
euro | Sell | J.P. Morgan | 9/11/2014 | 24,730,000 | 33,606,735 | 33,871,823 | (265,088 | ) | ||||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ (510,305 | ) |
36 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2014
Open Futures Contracts at June 30, 2014:
Unrealized | ||||||||||||||
Type | Expiration | Contracts | Position | Fair Value | Depreciation | |||||||||
U.S. 10-Year Treasury Note | September 2014 | 1,718 | Short | $ | (215,045,281 | ) | $(1,486,767 | ) |
Open Total Return Swap at June 30, 2014:
Payment | Payment To Be | |||||||||||||||
Made By | Received By | |||||||||||||||
The Fund On | The Fund At | |||||||||||||||
Swap | Contract | Termination | Notional | Termination | ||||||||||||
Counterparty | Date | Date | Reference Entity | Amount | Date | Fair Value | ||||||||||
Deutsche Bank | $1,060,328 | 2,538 Convertible Debenture Units (Reference Entity) | OGX Petroleo e Gas S.A. Convertible Debentures (Brazil) | $1,060,328 | 2/11/2015 | $1,060,328 |
See Notes to Financial Statements. | 37 |
Schedule of Investments (unaudited)(continued)
June 30, 2014
The following is a summary of the inputs used as of June 30, 2014 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset-Backed Security | $ | — | $ | 2,376,000 | $ | — | $ | 2,376,000 | ||||||||
Common Stocks | 391,736,986 | — | — | 391,736,986 | ||||||||||||
Convertible Bonds | — | 896,869,715 | — | 896,869,715 | ||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Aerospace/Defense | 28,357,650 | — | — | 28,357,650 | ||||||||||||
Banking | 54,297,000 | — | — | 54,297,000 | ||||||||||||
Electric: Integrated | 51,608,450 | — | — | 51,608,450 | ||||||||||||
Energy: Exploration & Production | — | 3,206,250 | — | 3,206,250 | ||||||||||||
Forestry/Paper | 18,443,750 | — | — | 18,443,750 | ||||||||||||
Investments & Miscellaneous Financial Services | — | 25,225,000 | (3) | — | 25,225,000 | |||||||||||
Life Insurance | 14,861,400 | — | — | 14,861,400 | ||||||||||||
Railroads | — | 17,548,700 | — | 17,548,700 | ||||||||||||
Real Estate Investment Trusts | 23,908,000 | — | — | 23,908,000 | ||||||||||||
Steel Producers/Products | 6,297,200 | — | — | 6,297,200 | ||||||||||||
Telecommunications: Integrated/Services | — | 2,036,400 | — | 2,036,400 | ||||||||||||
Telecommunications: Wireless | 16,648,240 | — | — | 16,648,240 | ||||||||||||
Floating Rate Loans(4) | ||||||||||||||||
Chemicals | — | 4,058,320 | — | 4,058,320 | ||||||||||||
Food & Drug Retailers | — | 41,132,191 | — | 41,132,191 | ||||||||||||
Food: Wholesale | — | 6,683,187 | — | 6,683,187 | ||||||||||||
Health Facilities | — | 24,977,403 | �� | 24,977,403 | ||||||||||||
Machinery | — | 17,810,754 | — | 17,810,754 | ||||||||||||
Media: Broadcast | — | 12,499,060 | — | 12,499,060 | ||||||||||||
Media: Cable | — | 8,483,850 | — | 8,483,850 | ||||||||||||
Media: Services | — | 8,878,199 | — | 8,878,199 | ||||||||||||
Oil Field Equipment & Services | — | 17,304,844 | — | 17,304,844 | ||||||||||||
Service | — | 16,418,869 | — | 16,418,869 | ||||||||||||
Services | — | 9,993,750 | — | 9,993,750 | ||||||||||||
Software/Services | — | 21,465,254 | — | 21,465,254 | ||||||||||||
Specialty Retail | — | 8,371,599 | 6,777,803 | 15,149,402 | ||||||||||||
Foreign Bonds | — | 21,153,507 | — | 21,153,507 | ||||||||||||
Foreign Government Obligations | — | 27,776,326 | — | 27,776,326 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | — | 85,407,373 | — | 85,407,373 | ||||||||||||
High Yield Corporate Bonds | ||||||||||||||||
Automakers | — | 56,293,125 | 1,500 | 56,294,625 | ||||||||||||
Banking | — | 187,753,292 | 2,250 | 187,755,542 | ||||||||||||
Telecommunications: Integrated/Services | — | 312,311,035 | 1,500 | 312,312,535 | ||||||||||||
Other | — | 6,790,078,753 | — | 6,790,078,753 | ||||||||||||
Municipal Bond | — | 17,005,320 | — | 17,005,320 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Security | — | 9,931,340 | — | 9,931,340 |
38 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
June 30, 2014
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Preferred Stocks | ||||||||||||||||
Agency/Government Related | $ | 4,982,490 | $ | — | $ | — | $ | 4,982,490 | ||||||||
Banking | 7,507,500 | 22,142,414 | (5) | — | 29,649,914 | |||||||||||
Property & Casualty | 6,891,651 | — | — | 6,891,651 | ||||||||||||
U.S. Treasury Obligations | — | 64,721,690 | — | 64,721,690 | ||||||||||||
Warrants | 3,305,049 | — | 384,807 | 3,689,856 | ||||||||||||
Repurchase Agreement | — | 102,482,905 | — | 102,482,905 | ||||||||||||
Total | $ | 628,845,366 | $ | 8,842,396,425 | $ | 7,167,860 | $ | 9,478,409,651 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | — | $ | 3,159 | $ | — | $ | 3,159 | ||||||||
Liabilities | — | (510,305 | ) | — | (510,305 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | — | — | — | — | ||||||||||||
Liabilities | (1,486,767 | ) | — | — | (1,486,767 | ) | ||||||||||
Total Return Swap | ||||||||||||||||
Assets | — | — | 1,060,328 | 1,060,328 | ||||||||||||
Liabilities | — | — | — | — | ||||||||||||
Unfunded Commitments | ||||||||||||||||
Assets | — | 2,039 | — | 2,039 | ||||||||||||
Liabilities | — | — | — | — | ||||||||||||
Total | $ | (1,486,767 | ) | $ | (505,107 | ) | $ | 1,060,328 | $ | (931,546 | ) |
(1) | Refer to Note 2(m) 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) | As of June 30, 2014, AMG Capital Trust II was categorized as Level 2 due to limited market activity resulting in observable input pricing. During the period ended June 30, 2014, $16,637,000 was transferred from Level 1 to Level 2. |
(4) | Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation. |
(5) | As of June 30, 2014, Texas Capital Bancshares, Inc. was categorized as Level 2 due to limited market activity resulting in observable bid/ask mean pricing. During the period ended June 30, 2014, $9,815,160 was transferred from Level 1 to Level 2. |
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 | Warrants | Total Return Swap | ||||||||||||
Balance as of January 1, 2014 | $ | 7,405,562 | $ | 5,250 | $ | 384,807 | $ | — | ||||||||
Accrued discounts/premiums | 7,705 | — | — | — | ||||||||||||
Realized gain (loss) | 41,846 | — | — | — | ||||||||||||
Change in unrealized appreciation/depreciation | (116,662 | ) | — | — | — | |||||||||||
Purchases | 6,777,804 | — | — | 1,060,328 | ||||||||||||
Sales | (7,338,452 | ) | — | — | — | |||||||||||
Net transfers in or out of Level 3 | — | — | — | — | ||||||||||||
Balance as of June 30, 2014 | $ | 6,777,803 | $ | 5,250 | $ | 384,807 | $ | 1,060,328 |
See Notes to Financial Statements. | 39 |
Statement of Assets and Liabilities (unaudited)
June 30, 2014
ASSETS: | ||||
Investments in securities, at fair value (cost $8,880,898,543) | $ | 9,478,409,651 | ||
Cash | 2,424,142 | |||
Deposits with brokers for futures collateral | 2,500,000 | |||
Receivables: | ||||
Interest and dividends | 124,452,549 | |||
Capital shares sold | 65,346,061 | |||
Investment securities sold | 63,834,752 | |||
Total return swap, at fair value | 1,060,328 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 3,159 | |||
Unrealized appreciation on unfunded commitments | 2,039 | |||
Prepaid expenses and other assets | 209,646 | |||
Total assets | 9,738,242,327 | |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 143,659,722 | |||
Capital shares reacquired | 19,284,983 | |||
12b-1 distribution fees | 3,513,691 | |||
Management fee | 3,504,308 | |||
Directors’ fees | 1,506,355 | |||
Fund administration | 309,668 | |||
Variation margin | 134,124 | |||
Distributions payable | 37,115,621 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 510,305 | |||
Accrued expenses | 1,454,014 | |||
Total liabilities | 210,992,791 | |||
NET ASSETS | $ | 9,527,249,536 | ||
COMPOSITION OF NET ASSETS: | ||||
Paid-in capital | $ | 8,842,762,442 | ||
Distributions in excess of net investment income | (12,150,552 | ) | ||
Accumulated net realized gain on investments, futures contracts and foreign currency related transactions | 101,112,517 | |||
Net unrealized appreciation on investments, futures contracts, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | 595,525,129 | |||
Net Assets | $ | 9,527,249,536 |
40 | See Notes to Financial Statements. |
Statement of Assets and Liabilities (unaudited)(concluded)
June 30, 2014
Net assets by class: | ||||
Class A Shares | $ | 5,115,301,654 | ||
Class B Shares | $ | 150,829,949 | ||
Class C Shares | $ | 2,166,483,807 | ||
Class F Shares | $ | 1,504,419,104 | ||
Class I Shares | $ | 403,564,486 | ||
Class P Shares | $ | 75,269,416 | ||
Class R2 Shares | $ | 3,038,045 | ||
Class R3 Shares | $ | 108,343,075 | ||
Outstanding shares by class: | ||||
Class A Shares (1.14 billion shares of common stock authorized, $.001 par value) | 609,344,782 | |||
Class B Shares (500 million shares of common stock authorized, $.001 par value) | 17,904,962 | |||
Class C Shares (600 million shares of common stock authorized, $.001 par value) | 257,426,766 | |||
Class F Shares (300 million shares of common stock authorized, $.001 par value) | 179,447,037 | |||
Class I Shares (300 million shares of common stock authorized, $.001 par value) | 48,305,526 | |||
Class P Shares (160 million shares of common stock authorized, $.001 par value) | 8,775,772 | |||
Class R2 Shares (300 million shares of common stock authorized, $.001 par value) | 361,836 | |||
Class R3 Shares (300 million shares of common stock authorized, $.001 par value) | 12,926,088 | |||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||
Class A Shares-Net asset value | $8.39 | |||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $8.58 | |||
Class B Shares-Net asset value | $8.42 | |||
Class C Shares-Net asset value | $8.42 | |||
Class F Shares-Net asset value | $8.38 | |||
Class I Shares-Net asset value | $8.35 | |||
Class P Shares-Net asset value | $8.58 | |||
Class R2 Shares-Net asset value | $8.40 | |||
Class R3 Shares-Net asset value | $8.38 |
See Notes to Financial Statements. | 41 |
Statement of Operations (unaudited)
For the Six Months Ended June 30, 2014
Investment income: | ||||
Dividends (net of foreign withholding taxes of $14,863) | $ | 9,901,738 | ||
Interest and other | 239,381,318 | |||
Total investment income | 249,283,056 | |||
Expenses: | ||||
Management fee | 20,188,543 | |||
12b-1 distribution plan-Class A | 7,277,521 | |||
12b-1 distribution plan-Class B | 786,318 | |||
12b-1 distribution plan-Class C | 9,615,928 | |||
12b-1 distribution plan-Class F | 642,798 | |||
12b-1 distribution plan-Class P | 95,398 | |||
12b-1 distribution plan-Class R2 | 10,416 | |||
12b-1 distribution plan-Class R3 | 223,596 | |||
Shareholder servicing | 4,101,773 | |||
Fund administration | 1,783,517 | |||
Reports to shareholders | 311,900 | |||
Directors’ fees | 188,169 | |||
Registration | 179,570 | |||
Professional | 67,080 | |||
Custody | 62,163 | |||
Other | 76,348 | |||
Gross expenses | 45,611,038 | |||
Expense reductions (See Note 9) | (3,742 | ) | ||
Net expenses | 45,607,296 | |||
Net investment income | 203,675,760 | |||
Net realized and unrealized gain: | ||||
Net realized gain on investments, futures contracts and foreign currency related transactions | 79,477,058 | |||
Net change in unrealized appreciation/depreciation on investments, futures contracts, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | 191,194,602 | |||
Net realized and unrealized gain | 270,671,660 | |||
Net Increase in Net Assets Resulting From Operations | $ | 474,347,420 |
42 | See Notes to Financial Statements. |
Statements of Changes in Net Assets
INCREASE (DECREASE) IN NET ASSETS | For the Six Months Ended June 30, 2014 (unaudited) | For the Year Ended December 31, 2013 | ||||||
Operations: | ||||||||
Net investment income | $ | 203,675,760 | $ | 429,377,872 | ||||
Net realized gain on investments, futures contracts and foreign currency related transactions | 79,477,058 | 245,348,705 | ||||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | 191,194,602 | (47,933,372 | ) | |||||
Net increase in net assets resulting from operations | 474,347,420 | 626,793,205 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Class A | (118,312,089 | ) | (254,994,033 | ) | ||||
Class B | (3,267,353 | ) | (9,000,173 | ) | ||||
Class C | (42,936,552 | ) | (94,034,072 | ) | ||||
Class F | (32,230,831 | ) | (58,299,116 | ) | ||||
Class I | (9,442,258 | ) | (14,671,124 | ) | ||||
Class P | (1,868,556 | ) | (4,344,347 | ) | ||||
Class R2 | (78,964 | ) | (162,607 | ) | ||||
Class R3 | (2,185,345 | ) | (3,860,772 | ) | ||||
Net realized gain | ||||||||
Class A | — | (99,409,953 | ) | |||||
Class B | — | (3,539,456 | ) | |||||
Class C | — | (41,275,633 | ) | |||||
Class F | — | (22,888,039 | ) | |||||
Class I | — | (6,739,382 | ) | |||||
Class P | — | (1,613,105 | ) | |||||
Class R2 | — | (67,184 | ) | |||||
Class R3 | — | (1,699,622 | ) | |||||
Total distributions to shareholders | (210,321,948 | ) | (616,598,618 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 13): | ||||||||
Net proceeds from sales of shares | 1,386,102,327 | 1,867,968,221 | ||||||
Reinvestment of distributions | 181,152,368 | 531,496,118 | ||||||
Cost of shares reacquired | (872,790,665 | ) | (2,416,841,301 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | 694,464,030 | (17,376,962 | ) | |||||
Net increase (decrease) in net assets | 958,489,502 | (7,182,375 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | $ | 8,568,760,034 | $ | 8,575,942,409 | ||||
End of period | $ | 9,527,249,536 | $ | 8,568,760,034 | ||||
Distributions in excess of net investment income | $ | (12,150,552 | ) | $ | (5,504,364 | ) |
See Notes to Financial Statements. | 43 |
Class A Shares | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
6/30/2014 | Year Ended 12/31 | |||||||||||||||||||||||
(unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $8.15 | $8.14 | $7.63 | $7.81 | $7.35 | $5.86 | ||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income(a) | .19 | .42 | .47 | .47 | .47 | .45 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .25 | .19 | .51 | (.17 | ) | .45 | 1.55 | |||||||||||||||||
Total from investment operations | .44 | .61 | .98 | .30 | .92 | 2.00 | ||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (.20 | ) | (.43 | ) | (.47 | ) | (.48 | ) | (.46 | ) | (.51 | ) | ||||||||||||
Net realized gain | — | (.17 | ) | — | — | — | — | |||||||||||||||||
Total distributions | (.20 | ) | (.60 | ) | (.47 | ) | (.48 | ) | (.46 | ) | (.51 | ) | ||||||||||||
Net asset value, end of period | $8.39 | $8.15 | $8.14 | $7.63 | $7.81 | $7.35 | ||||||||||||||||||
Total Return(b) | 5.44 | %(c) | 7.78 | % | 13.22 | % | 3.88 | % | 12.94 | % | 35.37 | % | ||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||
Expenses, including expense reductions | .45 | %(c) | .96 | % | .96 | % | .97 | % | .97 | % | 1.00 | % | ||||||||||||
Expenses, excluding expense reductions | .45 | %(c) | .96 | % | .96 | % | .97 | % | .97 | % | 1.00 | % | ||||||||||||
Net investment income | 2.33 | %(c) | 5.16 | % | 5.88 | % | 6.07 | % | 6.19 | % | 6.82 | % | ||||||||||||
Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (000) | $5,115,302 | $4,784,258 | $4,850,567 | $4,345,679 | $4,415,645 | $4,709,961 | ||||||||||||||||||
Portfolio turnover rate | 17.83 | %(c) | 43.16 | % | 45.87 | % | 35.73 | % | 42.65 | % | 41.93 | % |
(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 B Shares | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
6/30/2014 | Year Ended 12/31 | |||||||||||||||||||||||
(unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $8.18 | $8.17 | $7.66 | $7.84 | $7.37 | $5.87 | ||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income(a) | .16 | .37 | .42 | .42 | .42 | .41 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .25 | .19 | .51 | (.17 | ) | .46 | 1.55 | |||||||||||||||||
Total from investment operations | .41 | .56 | .93 | .25 | .88 | 1.96 | ||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (.17 | ) | (.38 | ) | (.42 | ) | (.43 | ) | (.41 | ) | (.46 | ) | ||||||||||||
Net realized gain | — | (.17 | ) | — | — | — | — | |||||||||||||||||
Total distributions | (.17 | ) | (.55 | ) | (.42 | ) | (.43 | ) | (.41 | ) | (.46 | ) | ||||||||||||
Net asset value, end of period | $8.42 | $8.18 | $8.17 | $7.66 | $7.84 | $7.37 | ||||||||||||||||||
Total Return(b) | 5.06 | %(c) | 7.08 | % | 12.47 | % | 3.35 | % | 12.16 | % | 34.52 | % | ||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||
Expenses, including expense reductions | .80 | %(c) | 1.61 | % | 1.61 | % | 1.62 | % | 1.62 | % | 1.65 | % | ||||||||||||
Expenses, excluding expense reductions | .80 | %(c) | 1.61 | % | 1.61 | % | 1.62 | % | 1.62 | % | 1.65 | % | ||||||||||||
Net investment income | 1.99 | %(c) | 4.53 | % | 5.25 | % | 5.39 | % | 5.54 | % | 6.21 | % | ||||||||||||
Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (000) | $150,830 | $166,433 | $225,154 | $295,027 | $530,340 | $717,671 | ||||||||||||||||||
Portfolio turnover rate | 17.83 | %(c) | 43.16 | % | 45.87 | % | 35.73 | % | 42.65 | % | 41.93 | % |
(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. | 45 |
Financial Highlights (continued)
Class C Shares | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
6/30/2014 | Year Ended 12/31 | |||||||||||||||||||||||
(unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $8.17 | $8.16 | $7.65 | $7.83 | $7.36 | $5.87 | ||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income(a) | .17 | .37 | .42 | .42 | .42 | .41 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .25 | .19 | .51 | (.17 | ) | .46 | 1.54 | |||||||||||||||||
Total from investment operations | .42 | .56 | .93 | .25 | .88 | 1.95 | ||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (.17 | ) | (.38 | ) | (.42 | ) | (.43 | ) | (.41 | ) | (.46 | ) | ||||||||||||
Net realized gain | — | (.17 | ) | — | — | — | — | |||||||||||||||||
Total distributions | (.17 | ) | (.55 | ) | (.42 | ) | (.43 | ) | (.41 | ) | (.46 | ) | ||||||||||||
Net asset value, end of period | $8.42 | $8.17 | $8.16 | $7.65 | $7.83 | $7.36 | ||||||||||||||||||
Total Return(b) | 5.22 | %(c) | 7.08 | % | 12.47 | % | 3.22 | % | 12.34 | % | 34.44 | % | ||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||
Expenses, including expense reductions | .77 | %(c) | 1.61 | % | 1.61 | % | 1.62 | % | 1.62 | % | 1.65 | % | ||||||||||||
Expenses, excluding expense reductions | .77 | %(c) | 1.61 | % | 1.61 | % | 1.62 | % | 1.62 | % | 1.65 | % | ||||||||||||
Net investment income | 2.01 | %(c) | 4.52 | % | 5.23 | % | 5.42 | % | 5.54 | % | 6.13 | % | ||||||||||||
Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (000) | $2,166,484 | $1,986,431 | $2,051,198 | $1,790,610 | $1,866,405 | $1,888,177 | ||||||||||||||||||
Portfolio turnover rate | 17.83 | %(c) | 43.16 | % | 45.87 | % | 35.73 | % | 42.65 | % | 41.93 | % |
(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. |
46 | See Notes to Financial Statements. |
Financial Highlights (continued)
Class F Shares | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
6/30/2014 | Year Ended 12/31 | |||||||||||||||||||||||
(unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $8.14 | $8.13 | $7.62 | $7.80 | $7.34 | $5.85 | ||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income(a) | .20 | .44 | .49 | .49 | .48 | .46 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .25 | .19 | .51 | (.17 | ) | .46 | 1.55 | |||||||||||||||||
Total from investment operations | .45 | .63 | 1.00 | .32 | .94 | 2.01 | ||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (.21 | ) | (.45 | ) | (.49 | ) | (.50 | ) | (.48 | ) | (.52 | ) | ||||||||||||
Net realized gain | — | (.17 | ) | — | — | — | — | |||||||||||||||||
Total distributions | (.21 | ) | (.62 | ) | (.49 | ) | (.50 | ) | (.48 | ) | (.52 | ) | ||||||||||||
Net asset value, end of period | $8.38 | $8.14 | $8.13 | $7.62 | $7.80 | $7.34 | ||||||||||||||||||
Total Return(b) | 5.54 | %(c) | 8.05 | % | 13.50 | % | 4.12 | % | 13.24 | % | 35.81 | % | ||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||
Expenses, including expense reductions | .35 | %(c) | .71 | % | .71 | % | .72 | % | .72 | % | .75 | % | ||||||||||||
Expenses, excluding expense reductions | .35 | %(c) | .71 | % | .71 | % | .72 | % | .72 | % | .75 | % | ||||||||||||
Net investment income | 2.41 | %(c) | 5.40 | % | 6.11 | % | 6.30 | % | 6.42 | % | 6.87 | % | ||||||||||||
Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (000) | $1,504,419 | $1,118,411 | $1,047,325 | $847,032 | $695,689 | $435,085 | ||||||||||||||||||
Portfolio turnover rate | 17.83 | %(c) | 43.16 | % | 45.87 | % | 35.73 | % | 42.65 | % | 41.93 | % |
(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 I Shares | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
6/30/2014 | Year Ended 12/31 | |||||||||||||||||||||||
(unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $8.11 | $8.10 | $7.60 | $7.77 | $7.31 | $5.83 | ||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income(a) | .20 | .45 | .49 | .50 | .49 | .47 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .25 | .19 | .51 | (.16 | ) | .46 | 1.54 | |||||||||||||||||
Total from investment operations | .45 | .64 | 1.00 | .34 | .95 | 2.01 | ||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (.21 | ) | (.46 | ) | (.50 | ) | (.51 | ) | (.49 | ) | (.53 | ) | ||||||||||||
Net realized gain | — | (.17 | ) | — | — | — | — | |||||||||||||||||
Total distributions | (.21 | ) | (.63 | ) | (.50 | ) | (.51 | ) | (.49 | ) | (.53 | ) | ||||||||||||
Net asset value, end of period | $8.35 | $8.11 | $8.10 | $7.60 | $7.77 | $7.31 | ||||||||||||||||||
Total Return(b) | 5.60 | %(c) | 8.16 | % | 13.49 | % | 4.35 | % | 13.40 | % | 35.87 | % | ||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||
Expenses, including expense reductions | .30 | %(c) | .61 | % | .62 | % | .62 | % | .62 | % | .65 | % | ||||||||||||
Expenses, excluding expense reductions | .30 | %(c) | .61 | % | .62 | % | .62 | % | .62 | % | .65 | % | ||||||||||||
Net investment income | 2.47 | %(c) | 5.48 | % | 6.25 | % | 6.39 | % | 6.53 | % | 7.15 | % | ||||||||||||
Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (000) | $403,564 | $345,614 | $230,006 | $316,777 | $353,941 | $294,144 | ||||||||||||||||||
Portfolio turnover rate | 17.83 | %(c) | 43.16 | % | 45.87 | % | 35.73 | % | 42.65 | % | 41.93 | % |
(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 (continued)
Class P Shares | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
6/30/2014 | Year Ended 12/31 | |||||||||||||||||||||||
(unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $8.33 | $8.31 | $7.79 | $7.98 | $7.49 | $5.97 | ||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income(a) | .20 | .44 | .48 | .48 | .47 | .45 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .26 | .20 | .52 | (.18 | ) | .48 | 1.57 | |||||||||||||||||
Total from investment operations | .46 | .64 | 1.00 | .30 | .95 | 2.02 | ||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (.21 | ) | (.45 | ) | (.48 | ) | (.49 | ) | (.46 | ) | (.50 | ) | ||||||||||||
Net realized gain | — | (.17 | ) | — | — | — | — | |||||||||||||||||
Total distributions | (.21 | ) | (.62 | ) | (.48 | ) | (.49 | ) | (.46 | ) | (.50 | ) | ||||||||||||
Net asset value, end of period | $8.58 | $8.33 | $8.31 | $7.79 | $7.98 | $7.49 | ||||||||||||||||||
Total Return(b) | 5.52 | %(c) | 7.92 | % | 13.21 | % | 3.88 | % | 12.73 | % | 35.47 | % | ||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||
Expenses, including expense reductions | .42 | %(c) | .91 | % | .96 | % | 1.03 | % | 1.07 | % | 1.10 | % | ||||||||||||
Expenses, excluding expense reductions | .42 | %(c) | .91 | % | .96 | % | 1.03 | % | 1.07 | % | 1.10 | % | ||||||||||||
Net investment income | 2.36 | %(c) | 5.23 | % | 5.88 | % | 6.01 | % | 6.08 | % | 6.70 | % | ||||||||||||
Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (000) | $75,269 | $79,051 | $99,968 | $109,252 | $143,083 | $150,002 | ||||||||||||||||||
Portfolio turnover rate | 17.83 | %(c) | 43.16 | % | 45.87 | % | 35.73 | % | 42.65 | % | 41.93 | % |
(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 |
Financial Highlights (continued)
Class R2 Shares | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
6/30/2014 | Year Ended 12/31 | |||||||||||||||||||||||
(unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 | |||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||||
Net asset value, beginning of period | $8.15 | $8.14 | $7.63 | $7.81 | $7.35 | $5.86 | ||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income(a) | .18 | .40 | .45 | .46 | .45 | .43 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .26 | .19 | .52 | (.18 | ) | .45 | 55 | |||||||||||||||||
Total from investment operations | .44 | .59 | .97 | .28 | .90 | 1.98 | ||||||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (.19 | ) | (.41 | ) | (.46 | ) | (.46 | ) | (.44 | ) | (.49 | ) | ||||||||||||
Net realized gain | — | (.17 | ) | — | — | — | — | |||||||||||||||||
Total distributions | (.19 | ) | (.58 | ) | (.46 | ) | (.46 | ) | (.44 | ) | (.49 | ) | ||||||||||||
Net asset value, end of period | $8.40 | $8.15 | $8.14 | $7.63 | $7.81 | $7.35 | ||||||||||||||||||
Total Return(b) | 5.41 | %(c) | 7.52 | % | 12.94 | % | 3.62 | % | 12.63 | % | 35.26 | % | ||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||
Expenses, including expense Reductions | .60 | %(c) | 1.21 | % | 1.21 | % | 1.22 | % | 1.22 | % | 1.25 | % | ||||||||||||
Expenses, excluding expense reductions | .60 | %(c) | 1.21 | % | 1.21 | % | 1.22 | % | 1.22 | % | 1.25 | % | ||||||||||||
Net investment income | 2.18 | %(c) | 4.92 | % | 5.62 | % | 5.84 | % | 5.92 | % | 6.57 | % | ||||||||||||
Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (000) | $3,038 | $3,442 | $2,624 | $1,629 | $1,234 | $456 | ||||||||||||||||||
Portfolio turnover rate | 17.83 | %(c) | 43.16 | % | 45.87 | % | 35.73 | % | 42.65 | % | 41.93 | % |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
50 | See Notes to Financial Statements. |
Financial Highlights (continued)
Class R3 Shares | ||||||||||||||||||||
Six Months | ||||||||||||||||||||
Ended | ||||||||||||||||||||
6/30/2014 | Year Ended 12/31 | |||||||||||||||||||
(unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 | |||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $8.14 | $8.13 | $7.62 | $7.80 | $7.34 | $5.85 | ||||||||||||||
Investment operations: | ||||||||||||||||||||
Net investment income(a) | .18 | .41 | .45 | .46 | .45 | .44 | ||||||||||||||
Net realized and unrealized gain (loss) | .25 | .19 | .52 | (.17 | ) | .46 | 1.55 | |||||||||||||
Total from investment operations | .43 | .60 | .97 | .29 | .91 | 1.99 | ||||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (.19 | ) | (.42 | ) | (.46 | ) | (.47 | ) | (.45 | ) | (.50 | ) | ||||||||
Net realized gain | — | (.17 | ) | — | — | — | — | |||||||||||||
Total distributions | (.19 | ) | (.59 | ) | (.46 | ) | (.47 | ) | (.45 | ) | (.50 | ) | ||||||||
Net asset value, end of period | $8.38 | $8.14 | $8.13 | $7.62 | $7.80 | $7.34 | ||||||||||||||
Total Return(b) | 5.35 | %(c) | 7.63 | % | 13.07 | % | 3.73 | % | 12.83 | % | 35.31 | % | ||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Expenses, including expense reductions | .54 | %(c) | 1.11 | % | 1.11 | % | 1.12 | % | 1.12 | % | 1.14 | % | ||||||||
Expenses, excluding expense reductions | .54 | %(c) | 1.11 | % | 1.11 | % | 1.12 | % | 1.12 | % | 1.14 | % | ||||||||
Net investment income | 2.24 | %(c) | 5.01 | % | 5.73 | % | 5.94 | % | 6.03 | % | 6.53 | % | ||||||||
Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (000) | $108,343 | $85,119 | $69,100 | $47,338 | $34,991 | $17,780 | ||||||||||||||
Portfolio turnover rate | 17.83 | %(c) | 43.16 | % | 45.87 | % | 35.73 | % | 42.65 | % | 41.93 | % |
(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. | 51 |
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 organized in 1970 and 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. 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 |
52
Notes to Financial Statements (unaudited)(continued)
futures contracts are valued at the last sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Swaps are valued daily using independent pricing services or quotations from broker/dealer to the extent available. | |
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 and other income on the Statement of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
(d) | Income Taxes–It is the policy of the Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required. |
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s filed U.S. federal tax returns remains open for the fiscal years ended December 31, 2010 through December 31, 2013. 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 |
53
Notes to Financial Statements (unaudited)(continued)
prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on investments, futures contracts, 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 exposure to changes in foreign currency exchange rates on 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) | Total Return Swaps–The Fund may enter into total return swap agreements to obtain exposure to a security or market without owning such security or investing directly in that market. The Fund may agree to make payments that are the equivalent of interest in exchange for the right to receive payments equivalent to any appreciation in the value of an underlying security, index or other asset, as well as receive payments equivalent to any distributions made on that asset, over the term of the swap. If the value of the asset underlying a total return swap declines over the term of the swap, the Fund also may be required to pay an amount equal to that decline in value to their counterparty. |
(j) | 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, |
54
Notes to Financial Statements (unaudited)(continued)
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. | |
(k) | 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. |
(l) | 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. |
55
Notes to Financial Statements (unaudited)(continued)
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, 2014, the Fund had the following unfunded loan commitments:
Security Name | ||||
Allied Security Holdings LLC 2nd Lien Delayed Draw Term Loan | $ | 3,056,164 | ||
Mallinckrodt International Finance S.A. Bridge Term Loan | 16,750,000 | |||
Ortho-Clinical Diagnostics Bridge Term Loan | 23,000,000 | |||
Weyerhaeuser Co. | 17,500,000 | |||
Total | $ | 60,306,164 |
(m) | 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 and other financial instruments as of June 30, 2014 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.
56
Notes to Financial Statements (unaudited)(continued)
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, 2014, the effective management fee, net of waivers, was at an annualized rate of .45% of the Fund’s average daily net assets.
In addition, Lord Abbett provides certain administrative services to the Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of .04% of the Fund’s average daily net assets.
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(1) | Class B | Class C(2) | Class F | Class P | Class R2 | Class R3 | ||||||||||||||||||||||
Service | .15 | % | .25 | % | .25 | % | — | .25 | % | .25 | % | .25 | % | ||||||||||||||||
Distribution | .05 | % | .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) | Prior to May 1, 2014, Class A 12b-1 fees were accrued at an the annual rate of .35% (.25% service, .10% distribution). |
(2) | The Rule 12b-1 fee the Fund pays on Class C shares is a blended rate based on 1.00% of the Fund’s average daily net assets attributable to Class C shares held for less than one year and .80% (.25% service, .55% distribution) of the Fund’s average daily net assets attributable to Class C shares held for one year or more. All Class C shareholders of the Fund will bear Rule 12b-1 fees at the same rate. Prior to May 1, 2014, Class C 12b-1 fees were accrued at an annual rate of 1.00% (.25% service, .75% distribution). |
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, 2014:
Distributor Commissions | Dealers’ Concessions | |
$697,363 | $3,745,631 |
Distributor received CDSCs of $14,829 and $54,552 for Class A and Class C shares, respectively, for the six months ended June 30, 2014.
A Director and certain of the Fund’s officers have an interest in Lord Abbett.
57
Notes to Financial Statements (unaudited)(continued)
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.
The tax character of distributions paid during the six months ended June 30, 2014 and the fiscal year ended December 31, 2013 was as follows:
Six Months Ended 6/30/2014 (unaudited) | Year Ended 12/31/2013 | ||||||
Distributions paid from: | |||||||
Ordinary income | $ | 210,321,948 | $ | 472,257,012 | |||
Net long-term capital gains | — | 144,341,606 | |||||
Total distributions paid | $ | 210,321,948 | $ | 616,598,618 |
As of June 30, 2014, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 8,897,899,541 | ||
Gross unrealized gain | 712,768,314 | |||
Gross unrealized loss | (132,258,204 | ) | ||
Net unrealized security gain | $ | 580,510,110 |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of premium amortization, certain securities, certain distributions received and wash sales.
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2014 were as follows:
U.S. | Non-U.S. | U.S. | Non-U.S. | |||
Government | Government | Government | Government | |||
Purchases* | Purchases | Sales* | Sales | |||
$116,584,179 | $2,193,419,481 | $28,345,970 | $1,536,736,746 |
* | 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, 2014 (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
58
Notes to Financial Statements (unaudited)(continued)
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.
The Fund entered into U.S. Treasury futures contracts for the six months ended June 30, 2014 (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.
The Fund entered into a total return swap for the six months ended June 30, 2014 (as described in note 2(i)) to obtain exposure to an issuer (the Reference Entity). The Fund’s use of total return swaps involve the risk that Lord Abbett will not accurately predict expectations of market value of the Reference Entity, and the Fund’s returns could be reduced as a result. The Fund’s risk of loss from counterparty credit risk is the notional value of the contract.
As of June 30, 2014, 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 | Credit Contracts | Fair Value | |||||||||
Forward Foreign Currency Exchange Contracts(1) | $ | — | $ | 3,159 | $ | — | $ | 3,159 | |||||
Total Return Swap(2) | — | — | 1,060,328 | 1,060,328 | |||||||||
Total | $ | — | $ | 3,159 | $ | 1,060,328 | $ | 1,063,487 | |||||
Liability Derivatives | |||||||||||||
Forward Foreign Currency Exchange Contracts(3) | $ | — | $ | 510,305 | $ | — | $ | 510,305 | |||||
Futures Contracts(4) | 1,486,767 | — | — | 1,486,767 | |||||||||
Total | $ | 1,486,767 | $ | 510,305 | $ | — | $ | 1,997,072 |
(1) | Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
(2) | Statements of Assets and Liabilities location: Total return swap, at fair value. |
(3) | Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
(4) | Statements 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. |
59
Notes to Financial Statements (unaudited)(continued)
Transactions in derivative instruments for the six months ended June 30, 2014, were as follows:
Interest Rate Contracts | Forward Foreign Currency Exchange Contracts | Credit Contracts | Total | |||||||||||||
Net Realized Gain (Loss)(1) | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 202,008 | $ | — | $ | 202,008 | ||||||||
Futures Contracts | (2,293,648 | ) | — | — | (2,293,648 | ) | ||||||||||
Total Return Swap | — | — | — | — | ||||||||||||
Net Change in Unrealized Appreciation/Depreciation(2) | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (64,258 | ) | $ | — | $ | (64,258 | ) | ||||||
Futures Contracts | (4,438,811 | ) | — | — | (4,438,811 | ) | ||||||||||
Total Return Swap | — | — | — | — | ||||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(3) | $ | — | $ | 61,688,694 | $ | — | $ | 61,688,694 | ||||||||
Futures Contracts(4) | 1,565 | — | — | 1,565 | ||||||||||||
Total Return Swap(3) | $ | — | $ | — | $ | 605,902 | $ | 605,902 |
* | Calculated based on the number of contracts or notional amounts for the six months ended June 30, 2014. |
(1) | Statements of Operations location: Net realized gain on investments, futures contracts and foreign currency related transactions. |
(2) | Statements 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. |
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 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 a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Fund’s accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the statement of assets and liabilities across transactions between the Fund and the applicable counterparty:
60
Notes to Financial Statements (unaudited)(continued)
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 | $ | 3,159 | $ | — | $ | 3,159 | ||||||
Repurchase Agreement | 102,482,905 | — | 102,482,905 | |||||||||
Total Return Swap | 1,060,328 | — | 1,060,328 | |||||||||
Total | $ | 103,546,392 | $ | — | $ | 103,546,392 |
Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||
Counterparty | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Securities Collateral Received(a) | Net Amount(b) | |||||||||||||||
Deutsche Bank | $ | 1,060,328 | $ | — | $ | — | $ | – | $ | 1,060,328 | ||||||||||
Fixed Income Clearing Corp. | 102,482,905 | — | — | (102,482,905 | ) | — | ||||||||||||||
Morgan Stanley | 3,159 | (3,159 | ) | — | — | — | ||||||||||||||
Total | $ | 103,546,392 | $ | (3,159 | ) | $ | — | $ | (102,482,905 | ) | $ | 1,060,328 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 510,305 | $ | — | $ | 510,305 | ||||||
Total | $ | 510,305 | $ | — | $ | 510,305 |
Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||
Counterparty | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged(a) | Securities Collateral Pledged(a) | Net Amount(c) | |||||||||||||||
J.P. Morgan Chase | $ | 265,088 | $ | — | $ | — | $ | — | $ | 265,088 | ||||||||||
Morgan Stanley | 245,217 | (3,159 | ) | — | — | 242,058 | ||||||||||||||
Total | $ | 510,305 | $ | (3,159 | ) | $ | — | $ | — | $ | 507,146 |
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets (liabilities) presented in the Statement of Assets and Liabilities, for each respective counterparty. |
(b) | Net amount represents the amount owed to the Fund by each counterparty as of June 30, 2014. |
(c) | Net amount represents the amount owed by the Fund to each counterparty as of June 30, 2014. |
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
61
Notes to Financial Statements (unaudited)(continued)
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.
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 |
Effective June 30, 2014, the Fund and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) participate in a $500 million unsecured revolving credit facility (the “Facility”) with State Street Bank and Trust Company (“SSB”). The Facility is to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions. The Participating Funds are subject to graduated borrowing limits of one-third of Fund assets (if Fund assets are less than $750 million), $250 million, $300 million, or $350 million based on past borrowings and likelihood of future borrowings. Each Participating Fund bears its ratable share of the $525,000 annual Facility fee based on the maximum amount the Fund can borrow under the Facility. This amount is included in Other expenses on each Participating Fund’s Statement of Operations. Any borrowings under the Facility will incur interest at current market rates as set forth in the credit agreement.
Prior to June 30, 2014, the Fund and certain other funds managed by Lord Abbett participated in a Facility with SSB. The amounts that were available under the Facility were (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.
As of June 30, 2014, there were no loans outstanding under the 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 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 securities 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
62
Notes to Financial Statements (unaudited)(continued)
interest rates are declining, the value of these securities with prepayment features may not increase as much as other fixed income securities. Early principal repayment may deprive the Fund of income payments above current market rates. Alternatively, rising interest rates may cause prepayments to occur at a slower-than-expected rate, extending the duration of a security and typically reducing its value. The payment rate will thus affect the price and volatility of a mortgage-related security. In addition, while securities of government sponsored enterprises are guaranteed with respect to the timely payment of interest and principal by the particular enterprise involved, they are not guaranteed by the U.S. Government. In addition, the Fund may invest in non-agency asset backed and mortgage related securities, which are issued by private institutions, not by government-sponsored enterprises.
The Fund may invest up to 20% of its net assets in equity securities, the value of which fluctuates in response to movements in the equity securities market in general and to the changing prospects of individual companies in which the Fund invests.
The Fund may invest in convertible securities, which have both equity and fixed income risk characteristics. Generally, convertible securities offer lower interest or dividend yields than non-convertible securities of similar quality and less potential for gains or capital appreciation in a rising equity securities market than equity securities. They tend to be more volatile than other fixed income securities and the market for convertible securities may be less liquid than markets for stocks or bonds. A significant portion of convertible securities have below investment grade credit ratings and are subject to increased credit and liquidity risks.
Due to the Fund’s investment exposure to foreign companies and American Depositary Receipts, 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.
63
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, 2014 (unaudited) | Year Ended December 31, 2013 | |||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 64,633,042 | $ | 535,000,480 | 107,365,729 | $ | 883,385,731 | ||||||||||
Converted from Class B* | 327,849 | 2,712,596 | 3,929,544 | 32,346,034 | ||||||||||||
Reinvestment of distributions | 13,189,001 | 109,404,121 | 39,931,625 | 327,041,912 | ||||||||||||
Shares reacquired | (55,696,251 | ) | (460,730,936 | ) | (160,172,218 | ) | (1,315,484,645 | ) | ||||||||
Increase (decrease) | 22,453,641 | $ | 186,386,261 | (8,945,320 | ) | $ | (72,710,968 | ) | ||||||||
Class B Shares | ||||||||||||||||
Shares sold | 136,412 | $ | 1,132,102 | 497,025 | $ | 4,103,667 | ||||||||||
Reinvestment of distributions | 334,126 | 2,779,936 | 1,294,051 | 10,637,684 | ||||||||||||
Shares reacquired | (2,584,474 | ) | (21,460,407 | ) | (5,092,507 | ) | (41,999,327 | ) | ||||||||
Converted to Class A* | (326,665 | ) | (2,712,596 | ) | (3,915,646 | ) | (32,346,034 | ) | ||||||||
Decrease | (2,440,601 | ) | $ | (20,260,965 | ) | (7,217,077 | ) | $ | (59,604,010 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 29,466,343 | $ | 244,661,634 | 33,195,277 | $ | 274,014,272 | ||||||||||
Reinvestment of distributions | 4,074,268 | 33,887,662 | 12,940,571 | 106,216,574 | ||||||||||||
Shares reacquired | (19,180,338 | ) | (159,099,728 | ) | (54,414,040 | ) | (448,073,380 | ) | ||||||||
Increase (decrease) | 14,360,273 | $ | 119,449,568 | (8,278,192 | ) | $ | (67,842,534 | ) | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 57,568,334 | $ | 475,982,962 | 53,642,855 | $ | 440,882,707 | ||||||||||
Reinvestment of distributions | 2,922,686 | 24,220,204 | 7,342,940 | 60,056,843 | ||||||||||||
Shares reacquired | (18,421,954 | ) | (152,208,547 | ) | (52,422,568 | ) | (429,985,942 | ) | ||||||||
Increase | 42,069,066 | $ | 347,994,619 | 8,563,227 | $ | 70,953,608 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 11,791,442 | $ | 97,329,118 | 25,713,396 | $ | 209,677,696 | ||||||||||
Reinvestment of distributions | 823,529 | 6,800,188 | 1,964,578 | 16,006,256 | ||||||||||||
Shares reacquired | (6,910,823 | ) | (57,149,478 | ) | (13,461,931 | ) | (109,388,366 | ) | ||||||||
Increase | 5,704,148 | $ | 46,979,828 | 14,216,043 | $ | 116,295,586 | ||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 333,737 | $ | 2,814,820 | 1,880,168 | $ | 15,833,136 | ||||||||||
Reinvestment of distributions | 219,425 | 1,859,410 | 707,990 | 5,924,936 | ||||||||||||
Shares reacquired | (1,268,615 | ) | (10,705,743 | ) | (5,121,847 | ) | (43,088,315 | ) | ||||||||
Decrease | (715,453 | ) | $ | (6,031,513 | ) | (2,533,689 | ) | $ | (21,330,243 | ) |
64
Notes to Financial Statements (unaudited)(concluded)
Six Months Ended June 30, 2014 (unaudited) | Year Ended December 31, 2013 | |||||||||||||||
Class R2 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 114,805 | $ | 944,340 | 281,354 | $ | 2,310,371 | ||||||||||
Reinvestment of distributions | 2,339 | 19,406 | 7,625 | 62,430 | ||||||||||||
Shares reacquired | (177,457 | ) | (1,471,040 | ) | (189,212 | ) | (1,559,521 | ) | ||||||||
Increase (decrease) | (60,313 | ) | $ | (507,294 | ) | 99,767 | $ | 813,280 | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 3,414,797 | $ | 28,236,871 | 4,597,830 | $ | 37,760,641 | ||||||||||
Reinvestment of distributions | 263,257 | 2,181,441 | 678,776 | 5,549,483 | ||||||||||||
Shares reacquired | (1,209,823 | ) | (9,964,786 | ) | (3,319,472 | ) | (27,261,805 | ) | ||||||||
Increase | 2,468,231 | $ | 20,453,526 | 1,957,134 | $ | 16,048,319 |
* | 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. |
65
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).
66
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-3-0614 (08/14) |
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 18, 2014
By: | /s/ Joan A. Binstock | ||
Joan A. Binstock | |||
Chief Financial Officer and Vice President |
Date: August 18, 2014
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 18, 2014
By: | /s/ Joan A. Binstock | ||
Joan A. Binstock | |||
Chief Financial Officer and Vice President |
Date: August 18, 2014