Lord Abbett Bond Debenture Fund (LBNVX) N-CSRS Certified semi-annual shareholder report (management investment company)

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)

Brooke A. Fapohunda, 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: 6/30/2015

Item 1: Report(s) to Shareholders.

2015 LORD ABBETT
SEMIANNUAL REPORT

Lord Abbett

Bond Debenture Fund

For the six-month period ended June 30, 2015

Table of Contents

1	A Letter to Shareholders
2	Information About Your Fund’s Expenses and Holdings Presented by Sector
5	Schedule of Investments
42	Statement of Assets and Liabilities
44	Statement of Operations
45	Statements of Changes in Net Assets
46	Financial Highlights
54	Notes to Financial Statements
68	Supplemental Information to Shareholders

Lord Abbett Bond Debenture Fund

Semiannual Report

For the six-month period ended June 30, 2015

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, 2015. 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

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2015 through June 30, 2015).

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 1/1/15 – 6/30/15” 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	Ending	Expenses
	Account	Account	Paid During
	Value	Value	Period†
			1/1/15 –
	1/1/15	6/30/15	6/30/15
Class A
Actual	$1,000.00	$1,029.60	$4.08
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.78	$4.06
Class B
Actual	$1,000.00	$1,026.80	$8.09
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,016.81	$8.05
Class C
Actual	$1,000.00	$1,026.30	$7.23
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,017.65	$7.20
Class F
Actual	$1,000.00	$1,031.40	$3.58
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.27	$3.56
Class I
Actual	$1,000.00	$1,030.50	$3.02
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.82	$3.01
Class P
Actual	$1,000.00	$1,030.40	$4.33
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.53	$4.31
Class R2
Actual	$1,000.00	$1,027.60	$6.08
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,018.79	$6.06
Class R3
Actual	$1,000.00	$1,029.40	$5.53
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.34	$5.51

^† For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.81% for Class A, 1.61% for Class B, 1.44% for Class C, 0.71% for Class F, 0.60% for Class I, 0.86% for Class P, 1.21% for Class R2 and 1.10% for Class R3) multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period).

3

Portfolio Holdings Presented by Sector

June 30, 2015

Sector*	%**
Asset Backed	0.03%
Automotive	1.78%
Banking	4.65%
Basic Industry	6.45%
Capital Goods	4.36%
Consumer Goods	4.24%
Energy	12.97%
Financial Services	4.90%
Foreign Government	1.92%
Healthcare	11.57%
Insurance	1.35%
Leisure	5.42%
Media	5.69%
Mortgage Backed	4.07%
Municipal	0.16%
Real Estate	1.32%
Retail	7.84%
Services	1.89%
Technology & Electronics	9.20%
Telecommunications	5.16%
Transportation	1.28%
Utility	2.06%
Repurchase Agreement	1.69%
Total	100.00%

*	A sector may comprise several industries.
**	Represents percent of total investments.

4 See Notes to Financial Statements.

Schedule of Investments (unaudited)

June 30, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)			Fair Value
LONG-TERM INVESTMENTS 97.68%
ASSET-BACKED SECURITY 0.03%
Other
NorthStar Real Estate CDO VIII Ltd. 2006-8A A2† (cost $2,312,843)	0.544%	#	2/1/2041		$2,700	$	2,533,275

	Shares
	(000)
COMMON STOCKS 15.33%
Aerospace/Defense 0.30%
Huntington Ingalls Industries, Inc.	79	8,932,440
TransDigm Group, Inc.*	85	19,059,655
Total		27,992,095
Air Transportation 0.10%
Cathay Pacific Airways Ltd.(a)	HKD 3,878	9,536,236
Auto Parts & Equipment 0.10%
Drew Industries, Inc.	159	9,235,450
Banking 0.37%
Citizens Financial Group, Inc.	551	15,041,365
Signature Bank*	71	10,320,641
Western Alliance Bancorp*	290	9,803,263
Total		35,165,269
Beverages 0.11%
Monster Beverage Corp.*	77	10,363,767
Brokerage 0.20%
Lazard Ltd. Class A	174	9,784,185
TD Ameritrade Holding Corp.	260	9,558,472
Total		19,342,657
Building & Construction 0.11%
Dycom Industries, Inc.*	181	10,631,547
Building Materials 0.60%
Caesarstone Sdot-Yam Ltd. (Israel)(b)	168	11,483,397
HD Supply Holdings, Inc.*	462	16,238,595
Masonite International Corp.*	143	10,051,250
Summit Materials, Inc. Class A*	387	9,860,621

See Notes to Financial Statements. 5

Schedule of Investments (unaudited)(continued)

June 30, 2015

	Shares		Fair
Investments	(000)		Value
Building Materials (continued)
Trex Co., Inc.*	190	$	9,409,643
Total			57,043,506
Building: Roofing, Wallboard & Plumbing 0.11%
Beacon Roofing Supply, Inc.*	317		10,528,481
Chemicals 0.19%
Axalta Coating Systems Ltd.*	557		18,416,959
Department Stores 0.11%
Macy’s, Inc.	151		10,167,864
Diversified Capital Goods 0.27%
A.O. Smith Corp.	223		16,030,450
Acuity Brands, Inc.	52		9,315,225
Total			25,345,675
Electronics 0.57%
Avago Technologies Ltd. (Singapore)(b)	68		9,043,494
Freescale Semiconductor Ltd.*	346		13,844,808
GoPro, Inc. Class A*	176		9,255,207
NXP Semiconductors NV (Netherlands)*(b)	128		12,545,345
Sensata Technologies Holding NV (Netherlands)*(b)	175		9,231,715
Total			53,920,569
Energy: Exploration & Production 0.67%
Diamondback Energy, Inc.*	120		9,047,861
MEG Energy Corp.*(a)	CAD 581		9,481,427
Memorial Resource Development Corp.*	765		14,514,895
Parsley Energy, Inc. Class A*	1,201		20,923,040
Seven Generations Energy Ltd. Class A*(a)	CAD 729		9,519,186
Total			63,486,409
Food & Drug Retailers 0.36%
Kroger Co. (The)	208		15,081,790
Rite Aid Corp.*	2,330		19,458,673
Total			34,540,463
Food: Wholesale 0.28%
Pinnacle Foods, Inc.	245		11,175,516
WhiteWave Foods Co. (The)*	322		15,715,653
Total			26,891,169

6 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

	Shares		Fair
Investments	(000)		Value
Gas Distribution 0.09%
Dynegy, Inc.*	285	$	8,328,236
Health Facilities 0.29%
Acadia Healthcare Co., Inc.*	219		17,171,424
VCA, Inc.*	186		10,103,009
Total			27,274,433
Health Services 0.23%
Envision Healthcare Holdings, Inc.*	269		10,633,859
Illumina, Inc.*	53		11,619,809
Total			22,253,668
Hotels 0.20%
Hilton Worldwide Holdings, Inc.*	337		9,286,361
La Quinta Holdings, Inc.*	410		9,372,156
Total			18,658,517
Investments & Miscellaneous Financial Services 0.30%
Affiliated Managers Group, Inc.*	45		9,902,580
Intercontinental Exchange, Inc.	41		9,127,760
WisdomTree Investments, Inc.	433		9,505,683
Total			28,536,023
Machinery 0.11%
Middleby Corp. (The)*	89		9,995,541
Managed Care 0.13%
Cigna Corp.	74		11,942,154
Media: Content 0.39%
AMC Networks, Inc. Class A*	127		10,413,202
ION Media Networks, Inc.	4		829,392
Netflix, Inc.*	39		25,395,330
Total			36,637,924
Medical Products 0.38%
Alere, Inc.*	280		14,754,492
Align Technology, Inc.*	158		9,923,481
Edwards Lifesciences Corp.*	78		11,082,478
Total			35,760,451

See Notes to Financial Statements. 7

Schedule of Investments (unaudited)(continued)

June 30, 2015

	Shares		Fair
Investments	(000)		Value
Metals/Mining (Excluding Steel) 0.07%
HudBay Minerals, Inc.(a)	CAD 485	$	4,037,989
Mirabela Nickel Ltd.*(a)	AUD 31,268		2,774,339
Total			6,812,328
Multi-Line Insurance 0.10%
XL Group plc (Ireland)(b)	258		9,605,412
Personal & Household Products 0.69%
Brunswick Corp.	196		9,973,646
Estee Lauder Cos., Inc. (The) Class A	166		14,414,244
Jarden Corp.*	182		9,418,086
Pool Corp.	149		10,444,609
Shiseido Co., Ltd.(a)	JPY 475		10,773,764
Snap-on, Inc.	66		10,574,200
Total			65,598,549
Pharmaceuticals 1.68%
BioMarin Pharmaceutical, Inc.*	118		16,193,111
Bluebird Bio, Inc.*	106		17,906,149
Bristol-Myers Squibb Co.	148		9,879,793
Clovis Oncology, Inc.*	120		10,537,779
Diplomat Pharmacy, Inc.*	268		11,997,520
Intercept Pharmaceuticals, Inc.*	18		4,451,047
Mallinckrodt plc*	102		11,995,668
Medivation, Inc.*	152		17,388,434
Regeneron Pharmaceuticals, Inc.*	37		18,908,989
Seattle Genetics, Inc.*	245		11,877,554
Valeant Pharmaceuticals International, Inc.*	42		9,261,433
Zoetis, Inc.	388		18,694,749
Total			159,092,226
Real Estate Investment Trusts 0.48%
CBRE Group, Inc. Class A*	262		9,698,921
Hudson Pacific Properties, Inc.	329		9,326,127
InfraREIT, Inc.	575		16,308,730
Realogy Holdings Corp.*	207		9,691,830
Total			45,025,608

8 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

	Shares		Fair
Investments	(000)		Value
Recreation & Travel 0.25%
Norwegian Cruise Line Holdings Ltd.*	177	$	9,893,862
Six Flags Entertainment Corp.	317		14,236,870
Total			24,130,732
Restaurants 0.84%
Darden Restaurants, Inc.	152		10,782,836
Domino’s Pizza, Inc.	94		10,606,982
Habit Restaurants, Inc. (The) Class A*	290		9,063,900
Shake Shack, Inc. Class A*	214		12,878,192
Sonic Corp.	308		8,873,107
Starbucks Corp.	281		15,046,460
Yum! Brands, Inc.	142		12,823,879
Total			80,075,356
Software/Services 1.89%
Akamai Technologies, Inc.*	193		13,478,890
Alliance Data Systems Corp.*	32		9,371,566
Arista Networks, Inc.*	121		9,915,634
Cognizant Technology Solutions Corp. Class A*	155		9,445,003
Ellie Mae, Inc.*	164		11,434,184
Facebook, Inc. Class A*	124		10,647,210
FireEye, Inc.*	235		11,476,634
FleetCor Technologies, Inc.*	59		9,214,719
GoDaddy, Inc. Class A*	213		5,990,544
Imperva, Inc.*	140		9,509,616
MasterCard, Inc. Class A	107		10,010,119
Mobileye NV (Israel)*(b)	441		23,442,919
Proofpoint, Inc.*	242		15,399,099
ServiceNow, Inc.*	127		9,451,117
Splunk, Inc.*	296		20,600,558
Total			179,387,812
Specialty Retail 1.53%
Asbury Automotive Group, Inc.*	118		10,670,142
Cracker Barrel Old Country Store, Inc.	104		15,474,753
Lithia Motors, Inc. Class A	142		16,014,177
lululemon athletica, Inc. (Canada)*(b)	162		10,589,178
Moncler SpA(a)	EUR 1,011		18,736,767
Penske Automotive Group, Inc.	202		10,503,292
Restoration Hardware Holdings, Inc.*	199		19,466,446

See Notes to Financial Statements. 9

Schedule of Investments (unaudited)(continued)

June 30, 2015

	Shares		Fair
Investments	(000)		Value
Specialty Retail (continued)
Sally Beauty Holdings, Inc.*	312	$	9,842,033
Skechers U.S.A., Inc. Class A*	88		9,714,000
Steven Madden Ltd.*	113		4,829,434
Ulta Salon, Cosmetics & Fragrance, Inc.*	63		9,720,620
Under Armour, Inc. Class A*	114		9,543,784
Total			145,104,626
Support: Services 0.25%
Sotheby’s	323		14,590,986
TripAdvisor, Inc.*	109		9,496,168
Total			24,087,154
Technology Hardware & Equipment 0.32%
Cavium, Inc.*	225		15,467,043
CommScope Holding Co., Inc.*	487		14,854,892
Total			30,321,935
Telecommunications: Wireless 0.26%
Qorvo, Inc.*	131		10,498,032
T-Mobile US, Inc.*	377		14,609,738
Total			25,107,770
Theaters & Entertainment 0.30%
IMAX Corp. (Canada)*(b)	239		9,631,577
Live Nation Entertainment, Inc.*	357		9,814,480
SeaWorld Entertainment, Inc.	492		9,067,335
Total			28,513,392
Transportation Infrastructure 0.10%
GasLog Ltd. (Monaco)(b)	480		9,579,890
Total Common Stocks (cost $1,326,194,066)			1,454,437,853

			Principal
	Interest	Maturity	Amount
	Rate	Date	(000)
CONVERTIBLE BONDS 0.99%
Automakers 0.35%
Fiat Chrysler Automobiles NV
(United Kingdom)(b)	7.875%	12/15/2016		$14,150	17,246,639
Tesla Motors, Inc.	1.25%	3/1/2021		16,216	15,942,355
Total					33,188,994

10 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Energy: Exploration & Production 0.00%
Oleo e Gas Participacoes SA(c)	10.00%	6/1/2016		BRL 254	$	100,498
Oleo e Gas Participacoes SA(c)	10.00%	6/1/2016		BRL 201		79,631
Total						180,129
Pharmaceuticals 0.30%
Isis Pharmaceuticals, Inc.†	1.00%	11/15/2021		$14,338		15,511,924
Mylan, Inc.	3.75%	9/15/2015		2,613		13,292,004
Total						28,803,928
Recreation & Travel 0.20%
Ctrip.com International Ltd. (China)†(b)	1.00%	7/1/2020		9,500		9,304,062
Ctrip.com International Ltd. (China)†(b)	1.99%	7/1/2025		9,500		9,268,438
Total						18,572,500
Software/Services 0.14%
Vipshop Holdings Ltd. (China)(b)	1.50%	3/15/2019		10,366		13,216,650
Total Convertible Bonds (cost $90,891,952)						93,962,201
	Dividend Rate			Shares (000)
CONVERTIBLE PREFERRED STOCK 0.18%
Building & Construction
William Lyon Homes, Inc. Unit (cost $16,069,170)	6.50%			136		17,221,000
	Interest Rate			Principal Amount (000)
FLOATING RATE LOANS(d) 3.00%
Advertising 0.05%
CDS U.S. Intermediate Holdings, Inc. 1st lien Initial Term Loan	6.25%	7/8/2022		$5,016		5,022,270
Chemicals 0.05%
American Pacific Corp. Term Loan	7.00%	2/27/2019		4,770		4,825,909
Consumer/Commercial/Lease Financing 0.10%
AWAS Finance Luxembourg 2012 SA Term Loan (Luxembourg)(b)	3.50%	7/16/2018		9,642		9,669,064

See Notes to Financial Statements. 11

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Electric: Generation 0.06%
Astoria Energy LLC Advance Term Loan B	5.00%	12/24/2021		$  5,756	$	5,805,899
Electronics 0.15%
NXP B.V. Tranche D Term Loan (Netherlands)(b)	3.25%	1/11/2020		14,234		14,202,861
Energy: Exploration & Production 0.40%
Chief Exploration & Development LLC 2nd Lien Term Loan	7.50%	5/16/2021		10,111		9,575,015
Fieldwood Energy LLC 2nd Lien Closing Date Term Loan	8.375%	9/30/2020		12,056		9,288,786
Templar Energy LLC 2nd Lien New Term Loan	8.50%	11/25/2020		25,120		18,576,240
Total						37,440,041
Food: Wholesale 0.07%
New HB Acquisition LLC Term Loan B	6.75%	4/9/2020		6,252		6,361,809
Health Facilities 0.15%
CHG Healthcare Services, Inc. 1st Lien Term Loan	4.25%	11/19/2019		13,942		13,953,286
Health Services 0.04%
Millennium Health LLC Tranche B Term Loan	5.25%	4/16/2021		8,537		3,579,249
Packaging 0.18%
Crown Holdings, Inc. Delayed Draw Term Loan A	1.935%	12/19/2018		12,694		12,693,747
Crown Holdings, Inc. Facility Term Loan A	1.935%	12/19/2018		4,645		4,645,000
Total						17,338,747
Personal & Household Products 0.11%
Britax US Holdings, Inc. Initial Dollar Term Loan	4.50%	10/15/2020		13,654		10,855,271
Pharmaceuticals 0.15%
RPI Finance Trust Term Loan B4	3.50%	11/9/2016		14,379		14,415,345
Rail 0.20%
Genesee & Wyoming, Inc. Term Loan	2.187%	10/2/2017		19,334		19,382,432
Real Estate Investment Trusts 0.06%
Hudson Pacific Properties, L.P. 5 Year Term Loan	1.48%	4/1/2020		5,362		5,362,000
Recreation & Travel 0.10%
Delta 2 (Lux) S.A.R.L. 2nd Lien Facility Term Loan (Luxembourg)(b)	7.75%	7/29/2022		9,680		9,690,067
Software/Services 0.13%
SRA International, Inc. Term Loan	6.50%	7/20/2018		12,195		12,246,140

12 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date		Principal Amount (000)			Fair Value
Specialty Retail 0.29%
Bass Pro Group LLC New Term Loan	4.00%	6/5/2020			$ 7,729	$	7,740,378
Gymboree Corp. (The) Term Loan	5.00%	2/23/2018			13,019		9,341,132
Men’s Wearhouse, Inc. (The) Tranche B1 Term Loan	5.00%	6/18/2021			10,048		10,144,260
Total							27,225,770
Support: Services 0.13%
Advantage Sales & Marketing, Inc. 2nd Lien Term Loan	7.50%	7/25/2022			11,735		11,827,882
Technology Hardware & Equipment 0.08%
TTM Technologies, Inc. Term Loan B	6.00%	5/31/2021			8,027		7,926,662
Telecommunications: Wireline Integrated & Services 0.10%
Fairpoint Communications, Inc. Term Loan	7.50%	2/14/2019			9,596		9,693,410
Telecommunications: Wireless 0.19%
American Tower Corp. Term Loan A	1.44%	1/3/2019			18,200		18,116,553
Theaters & Entertainment 0.21%
Kasima LLC Term Loan	3.25%	5/17/2021			9,404		9,396,314
Six Flags Theme Parks, Inc. Term Loan B	3.50%	6/30/2022			10,035		10,055,371
Total							19,451,685
Total Floating Rate Loans (cost $291,612,102)							284,392,352
FOREIGN BONDS(a) 0.71%
Colombia 0.11%
Empresas Publicas de Medellin ESP†	7.625%	9/10/2024		COP 27,713,000			10,323,703
Luxembourg 0.06%
Altice SA†	6.25%	2/15/2025			EUR 5,200		5,536,343
Netherlands 0.13%
Hema Bondco I BV†	6.25%	6/15/2019			EUR 13,325		12,440,036
Spain 0.24%
Banco Popular Espanol SA	11.50%	–	(e)		EUR 18,300		22,737,748
Sweden 0.03%
Dometic Group AB PIK†	9.50%	6/26/2019			EUR 2,252		2,542,024

See Notes to Financial Statements. 13

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
United Kingdom 0.14%
New Look Secured Issuer plc†	6.50%	7/1/2022	GBP 2,406		$	3,681,191
Premier Foods Finance plc†	6.50%	3/15/2021	GBP 6,725			9,996,056
Total						13,677,247
Total Foreign Bonds (cost $73,159,661)						67,257,101
FOREIGN GOVERNMENT OBLIGATIONS 1.91%
Argentina 0.20%
Republic of Argentina(b)	8.75%	5/7/2024		$19,400		18,534,275
Bahamas 0.10%
Commonwealth of Bahamas†(b)	5.75%	1/16/2024		9,025		9,837,250
Bermuda 0.25%
Government of Bermuda†	4.138%	1/3/2023		13,720		13,970,596
Government of Bermuda†	4.854%	2/6/2024		9,225		9,778,500
Total						23,749,096
Cayman Islands 0.06%
Cayman Islands Government†	5.95%	11/24/2019		5,280		6,085,200
Cyprus 0.22%
Republic of Cyprus(a)	4.75%	6/25/2019	EUR 18,200			21,304,775
Dominican Republic 0.18%
Dominican Republic†(b)	6.85%	1/27/2045		$16,485		16,897,125
Egypt 0.15%
Egypt Government International Bond†(b)	5.875%	6/11/2025		14,525		14,219,975
Honduras 0.10%
Honduras Government†(b)	7.50%	3/15/2024		9,100		9,888,652
Ivory Coast 0.11%
Ivory Coast Bond†(b)	6.375%	3/3/2028		10,225		10,020,500
Jamaica 0.22%
Government of Jamaica(b)	7.625%	7/9/2025		9,550		10,743,750
Government of Jamaica(b)	8.00%	3/15/2039		8,890		10,034,587
Total						20,778,337
Senegal 0.15%
Republic of Senegal†(b)	6.25%	7/30/2024		14,475		13,939,425

14 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
South Africa 0.17%
Republic of South Africa(a)	7.00%	2/28/2031	ZAR	230,985	$	16,217,934
Total Foreign Government Obligations (cost $182,651,220)						181,472,544
HIGH YIELD CORPORATE BONDS 71.18%
Advertising 0.28%
Affinion Investments LLC	13.50%	8/15/2018		$10,625		4,728,125
Omnicom Group, Inc.	3.65%	11/1/2024		10,275		10,109,829
Southern Graphics, Inc.†	8.375%	10/15/2020		11,075		11,407,250
Total						26,245,204
Aerospace/Defense 0.94%
Aerojet Rocketdyne Holdings, Inc.	7.125%	3/15/2021		15,000		16,050,000
CPI International, Inc.	8.75%	2/15/2018		15,500		15,926,250
Harris Corp.	4.854%	4/27/2035		3,990		3,835,324
Harris Corp.	5.054%	4/27/2045		15,960		15,262,388
Huntington Ingalls Industries, Inc.†	5.00%	12/15/2021		9,225		9,421,031
Huntington Ingalls Industries, Inc.	7.125%	3/15/2021		15,000		15,975,000
Lockheed Martin Corp.	2.90%	3/1/2025		12,915		12,431,966
Total						88,901,959
Air Transportation 0.14%
Air Canada (Canada)†(b)	7.75%	4/15/2021		8,783		9,397,810
United Airlines, Inc.	6.636%	1/2/2024		3,469		3,720,901
Total						13,118,711
Auto Parts & Equipment 1.07%
Chassix, Inc.†(c)	9.25%	8/1/2018		16,125		14,673,750
Gates Global LLC/Gates Global Co.†	6.00%	7/15/2022		10,250		9,327,500
Harman International Industries, Inc.	4.15%	5/15/2025		14,900		14,713,556
International Automotive Components Group SA (Luxembourg)†(b)	9.125%	6/1/2018		4,407		4,517,175
Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc.†	7.875%	10/1/2022		10,400		10,426,000
Omega U.S. Sub LLC	8.75%	7/15/2023		12,004		12,034,010
Stackpole International Intermediate/Stackpole International Powder (Luxembourg)†(b)	7.75%	10/15/2021		13,175		13,043,250
ZF North America Capital, Inc.†	4.50%	4/29/2022		9,750		9,587,175
ZF North America Capital, Inc.†	4.75%	4/29/2025		13,710		13,324,475
Total						101,646,891

See Notes to Financial Statements. 15

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date		Principal Amount (000)			Fair Value
Automakers 0.14%
General Motors Co.(c)	8.375%	–	(e)		$15,000	$	1,500
Jaguar Land Rover Automotive plc (United Kingdom)†(b)	5.625%	2/1/2023			8,625		8,959,219
Oshkosh Corp.	5.375%	3/1/2025			4,023		4,043,115
Total							13,003,834
Banking 4.30%
Banco Bilbao Vizcaya Argentaria SA (Spain)(b)	9.00%	–	(e)		9,000		9,697,500
Bank of America Corp.	4.20%	8/26/2024			7,900		7,895,813
Bank of America Corp.	4.25%	10/22/2026			18,425		18,089,223
Bank of America Corp.	6.50%	–	(e)		7,000		7,253,750
Bank of America Corp.	8.00%	–	(e)		7,000		7,393,750
Bank of China Ltd. (China)†(b)	5.00%	11/13/2024			15,900		16,339,778
CIT Group, Inc.	5.00%	8/15/2022			38,211		37,924,417
Citigroup, Inc.	4.40%	6/10/2025			11,907		11,886,294
Citigroup, Inc.	5.95%	–	(e)		16,000		15,780,000
Citizens Financial Group, Inc.†	5.50%	–	(e)		12,800		12,472,000
Commerzbank AG (Germany)†(b)	8.125%	9/19/2023			21,175		24,776,656
Credit Suisse Group AG (Switzerland)†(b)	7.50%	–	(e)		13,694		14,300,042
Goldman Sachs Group, Inc. (The)	5.15%	5/22/2045			11,966		11,587,073
HSBC Holdings plc (United Kingdom)(b)	6.375%	–	(e)		8,050		8,110,375
Industrial & Commercial Bank of China Ltd.	3.231%	11/13/2019			16,050		16,365,880
JPMorgan Chase & Co.	3.875%	9/10/2024			20,000		19,715,760
JPMorgan Chase & Co.	6.75%	–	(e)		10,000		10,696,800
LBG Capital No.1 plc (United Kingdom)†(b)(f)	8.00%	–	(e)		3,000		3,442,500
Lloyds Banking Group plc (United Kingdom)(b)	4.50%	11/4/2024			23,725		23,783,838
Lloyds Banking Group plc (United Kingdom)(b)	7.50%	–	(e)		14,008		14,463,260
Macquarie Bank Ltd. (Australia)†(b)	1.60%	10/27/2017			24,075		24,077,672
Macquarie Group Ltd. (Australia)†(b)	6.00%	1/14/2020			10,000		11,247,780
MUFG Americas Holdings Corp.	3.00%	2/10/2025			7,971		7,494,988
National Savings Bank (Sri Lanka)†(b)	5.15%	9/10/2019			9,585		9,297,450
Nordea Bank AB (Sweden)†(b)	6.125%	–	(e)		6,247		6,182,575
Popular, Inc.	7.00%	7/1/2019			18,940		19,011,025
Standard Chartered plc (United Kingdom)†(b)	6.50%	–	(e)		15,550		15,699,700
Synovus Financial Corp.	7.875%	2/15/2019			7,750		8,728,437
UBS AG (Jersey)(b)	7.25%	2/22/2022			13,650		14,395,740
Washington Mutual Bank(c)	6.875%	6/15/2011			22,500		2,250
Total							408,112,326

16 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Beverages 0.62%
Brown-Forman Corp.	4.50%	7/15/2045		$15,274	$	15,153,060
Constellation Brands, Inc.	3.75%	5/1/2021		4,700		4,617,750
Constellation Brands, Inc.	4.25%	5/1/2023		14,350		14,170,625
Constellation Brands, Inc.	6.00%	5/1/2022		3,873		4,232,105
Cott Beverages, Inc.	5.375%	7/1/2022		2,935		2,854,288
Cott Beverages, Inc.†	6.75%	1/1/2020		9,975		10,374,000
PepsiCo, Inc.	4.25%	10/22/2044		7,825		7,691,341
Total						59,093,169
Brokerage 0.66%
Lazard Group LLC	3.75%	2/13/2025		23,455		22,365,164
TD Ameritrade Holding Corp.	2.95%	4/1/2022		7,996		7,935,302
TD Ameritrade Holding Corp.	3.625%	4/1/2025		31,800		32,333,127
Total						62,633,593
Building & Construction 1.11%
Ashton Woods USA LLC/Ashton Woods Finance Co.†	6.875%	2/15/2021		10,180		9,518,300
Brookfield Residential Properties, Inc. (Canada)†(b)	6.50%	12/15/2020		12,887		12,892,413
DR Horton, Inc.	4.75%	2/15/2023		912		914,280
K. Hovnanian Enterprises, Inc.	5.00%	11/1/2021		10,354		8,878,555
Lennar Corp.	4.50%	11/15/2019		10,000		10,175,000
PulteGroup, Inc.	6.375%	5/15/2033		27,646		28,129,805
Toll Brothers Finance Corp.	5.625%	1/15/2024		11,550		12,214,125
William Lyon Homes, Inc.	7.00%	8/15/2022		21,500		22,360,000
Total						105,082,478
Building Materials 0.58%
Building Materials Corp. of America†	5.375%	11/15/2024		12,445		12,281,348
Hillman Group, Inc. (The)†	6.375%	7/15/2022		13,775		13,086,250
Lafarge SA (France)(b)	7.125%	7/15/2036		8,021		9,645,253
Masonite International Corp.†	5.625%	3/15/2023		6,992		7,140,580
Ply Gem Industries, Inc.	6.50%	2/1/2022		13,310		13,038,850
Total						55,192,281
Cable & Satellite Television 3.85%
Altice Financing SA (Luxembourg)†(b)	6.625%	2/15/2023		10,300		10,251,590
Altice Finco SA (Luxembourg)†(b)	9.875%	12/15/2020		24,000		26,460,000
Altice SA (Luxembourg)†(b)	7.625%	2/15/2025		8,025		7,563,563
Altice SA (Luxembourg)†(b)	7.75%	5/15/2022		22,000		21,340,000
Cablevision Systems Corp.	5.875%	9/15/2022		28,000		27,230,000

See Notes to Financial Statements. 17

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Cable & Satellite Television (continued)
CCO Holdings LLC/CCO Holdings Capital Corp.	6.625%	1/31/2022		$12,100	$	12,644,500
DISH DBS Corp.	5.875%	7/15/2022		35,202		34,585,965
DISH DBS Corp.	5.875%	11/15/2024		2,000		1,926,250
DISH DBS Corp.	6.75%	6/1/2021		31,448		32,863,160
Mediacom Broadband LLC/Mediacom Broadband Corp.	5.50%	4/15/2021		3,173		3,105,574
Mediacom Broadband LLC/Mediacom Broadband Corp.	6.375%	4/1/2023		23,477		23,594,385
Mediacom LLC/Mediacom Capital Corp.	7.25%	2/15/2022		4,401		4,626,551
Numericable-SFR SAS (France)†(b)	6.00%	5/15/2022		15,075		14,895,984
RCN Telecom Services LLC/RCN Capital Corp.†	8.50%	8/15/2020		8,186		8,605,533
Time Warner Cable, Inc.	5.875%	11/15/2040		18,347		17,819,762
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany)†(b)	5.00%	1/15/2025		6,569		6,536,155
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany)†(b)	5.50%	1/15/2023		19,395		19,843,509
Unitymedia KabelBW GmbH (Germany)†(b)	6.125%	1/15/2025		1,750		1,833,125
UPCB Finance IV Ltd.†	5.375%	1/15/2025		16,100		15,447,950
UPCB Finance V Ltd.†	7.25%	11/15/2021		10,103		10,961,213
Virgin Media Finance plc (United Kingdom)†(b)	6.00%	10/15/2024		6,000		6,112,500
Virgin Media Secured Finance plc (United Kingdom)†(b)	5.375%	4/15/2021		27,000		27,911,250
VTR Finance BV (Netherlands)†(b)	6.875%	1/15/2024		12,315		12,614,870
Wave Holdco LLC/Wave Holdco Corp. PIK†	8.25%	7/15/2019		6,642		6,792,773
Ziggo Bond Finance BV (Netherlands)†(b)	5.875%	1/15/2025		9,363		9,210,851
Total						364,777,013
Chemicals 0.96%
Celanese US Holdings LLC	5.875%	6/15/2021		5,554		5,970,550
Chemours Co. (The)†	6.625%	5/15/2023		9,850		9,566,813
Grupo Idesa SA de CV (Mexico)†(b)	7.875%	12/18/2020		13,600		14,450,000
Huntsman International LLC†	5.125%	11/15/2022		9,853		9,729,837
Israel Chemicals Ltd. (Israel)†(b)	4.50%	12/2/2024		19,775		19,956,930
OCP SA (Morocco)†(b)	6.875%	4/25/2044		8,500		8,926,700
Platform Specialty Products Corp.†	6.50%	2/1/2022		12,943		13,428,362
TPC Group, Inc.†	8.75%	12/15/2020		9,759		9,075,870
Total						91,105,062

18 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date		Principal Amount (000)			Fair Value
Consumer/Commercial/Lease Financing 2.39%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Ireland)†(b)	3.75%	5/15/2019		$	9,525	$	9,441,656
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Ireland)†(b)	5.00%	10/1/2021			14,135		14,576,719
Air Lease Corp.	3.875%	4/1/2021			9,700		9,821,250
Aircastle Ltd.	5.50%	2/15/2022			10,768		11,017,064
Discover Bank	7.00%	4/15/2020			9,125		10,631,017
Discover Financial Services	3.75%	3/4/2025			6,851		6,554,598
General Electric Capital Corp.	7.125%	–	(e)		60,500		69,877,500
International Lease Finance Corp.	6.25%	5/15/2019			21,350		23,138,063
International Lease Finance Corp.	8.25%	12/15/2020			24,365		28,994,350
International Lease Finance Corp.	8.75%	3/15/2017			6,885		7,550,160
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.†	5.875%	8/1/2021			16,600		16,205,750
National Financial Partners Corp.†	9.00%	7/15/2021			9,165		9,084,806
OneMain Financial Holdings, Inc.†	6.75%	12/15/2019			9,425		9,849,125
Total							226,742,058
Department Stores 0.22%
El Puerto de Liverpool SAB de CV (Mexico)†(b)	3.95%	10/2/2024			11,754		11,518,920
SACI Falabella (Chile)†(b)	4.375%	1/27/2025			9,450		9,438,518
Total							20,957,438
Discount Stores 0.75%
Amazon.com, Inc.	4.80%	12/5/2034			52,100		51,912,753
Family Tree Escrow LLC†	5.75%	3/1/2023			18,009		18,909,450
Total							70,822,203
Diversified Capital Goods 0.54%
Artesyn Embedded Technologies, Inc.†	9.75%	10/15/2020			15,750		15,710,625
Griffon Corp.	5.25%	3/1/2022			4,306		4,300,617
Siemens Financieringsmaatschappij NV (Netherlands)†(b)	3.25%	5/27/2025			12,036		11,833,976
Trinity Industries, Inc.	4.55%	10/1/2024			4,514		4,362,790
Unifrax I LLC/Unifrax Holding Co. †	7.50%	2/15/2019			15,225		15,377,250
Total							51,585,258
Electric: Distribution/Transportation 0.28%
Lamar Funding Ltd.†	3.958%	5/7/2025			12,850		12,528,750
Oncor Electric Delivery Co. LLC†	3.75%	4/1/2045			16,056		14,410,934
Total							26,939,684

See Notes to Financial Statements. 19

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Electric: Generation 0.88%
Dynegy, Inc.†	7.375%	11/1/2022	$	8,350	$	8,788,375
Dynegy, Inc.†	7.625%	11/1/2024		16,490		17,520,625
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.†(c)	11.25%	12/1/2018		6,486		7,523,760
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.†(c)	11.75%	3/1/2022		10,809		11,931,013
Illinois Power Generating Co.	7.00%	4/15/2018		9,500		9,286,250
NSG Holdings LLC/NSG Holdings, Inc.†	7.75%	12/15/2025		17,147		18,989,852
Talen Energy Supply LLC†	5.125%	7/15/2019		9,350		9,209,750
Total						83,249,625
Electric: Integrated 0.72%
AES El Salvador Trust II†	6.75%	3/28/2023		10,520		10,072,900
AES Panama SRL (Panama)†(b)	6.00%	6/25/2022		9,623		9,736,071
E.CL SA (Chile)†(b)	4.50%	1/29/2025		17,275		17,376,646
El Paso Electric Co.	5.00%	12/1/2044		15,950		15,801,314
Entergy Arkansas, Inc.	4.95%	12/15/2044		14,863		14,931,117
Total						67,918,048
Electronics 1.02%
Flextronics International Ltd.	5.00%	2/15/2023		6,354		6,509,991
Jabil Circuit, Inc.	4.70%	9/15/2022		8,220		8,333,025
KLA-Tencor Corp.	4.65%	11/1/2024		22,593		22,623,026
Lam Research Corp.	3.80%	3/15/2025		17,545		17,110,954
Motorola Solutions, Inc.	3.50%	9/1/2021		11,895		11,844,601
Sensata Technologies BV (Netherlands)†(b)	5.625%	11/1/2024		2,081		2,161,639
Trimble Navigation Ltd.	4.75%	12/1/2024		27,950		28,040,390
Total						96,623,626
Energy: Exploration & Production 6.17%
Antero Resources Corp.	5.375%	11/1/2021		16,594		16,013,210
Bill Barrett Corp.	7.00%	10/15/2022		5,565		5,064,150
California Resources Corp.	5.50%	9/15/2021		19,875		17,394,600
Carrizo Oil & Gas, Inc.	6.25%	4/15/2023		6,436		6,484,270
Carrizo Oil & Gas, Inc.	7.50%	9/15/2020		7,019		7,422,593
Chesapeake Energy Corp.	5.75%	3/15/2023		23,722		21,587,020
Clayton Williams Energy, Inc.	7.75%	4/1/2019		10,098		9,643,590
Concho Resources, Inc.	5.50%	4/1/2023		32,550		32,712,750
CrownRock LP/CrownRock Finance, Inc.†	7.125%	4/15/2021		30,000		31,200,000
Diamondback Energy, Inc.	7.625%	10/1/2021		24,675		26,525,625

20 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Energy: Exploration & Production (continued)
Eclipse Resources Corp.†(g)	8.875%	7/15/2023		$13,949	$	13,527,740
EOG Resources, Inc.	3.15%	4/1/2025		11,992		11,714,121
EXCO Resources, Inc.	8.50%	4/15/2022		16,501		8,539,268
Gulfport Energy Corp.†	6.625%	5/1/2023		1,957		1,991,248
Gulfport Energy Corp.	7.75%	11/1/2020		13,725		14,445,562
Hilcorp Energy I LP/Hilcorp Finance Co.†	5.00%	12/1/2024		19,105		18,010,283
Kosmos Energy Ltd. †	7.875%	8/1/2021		17,460		16,936,200
Kunlun Energy Co., Ltd. (Hong Kong)†(b)	3.75%	5/13/2025		16,080		15,597,922
Legacy Reserves LP/Legacy Reserves Finance Corp.	6.625%	12/1/2021		11,574		9,432,810
MEG Energy Corp. (Canada)†(b)	6.375%	1/30/2023		8,500		7,905,000
MEG Energy Corp. (Canada)†(b)	7.00%	3/31/2024		34,585		33,331,294
Memorial Resource Development Corp.	5.875%	7/1/2022		15,295		14,846,856
Newfield Exploration Co.	5.625%	7/1/2024		25,336		25,716,040
Oasis Petroleum, Inc.	6.50%	11/1/2021		7,500		7,500,000
Oasis Petroleum, Inc.	7.25%	2/1/2019		18,275		18,823,250
Occidental Petroleum Corp.	3.50%	6/15/2025		19,922		19,878,032
OGX Austria GmbH (Austria)(b)(c)	8.50%	6/1/2018		20,000		100,200
Paramount Resources Ltd. (Canada)†(b)	6.875%	6/30/2023		11,168		11,251,760
Parsley Energy LLC/Parsley Finance Corp.†	7.50%	2/15/2022		9,325		9,508,609
PDC Energy, Inc.	7.75%	10/15/2022		20,125		21,131,250
Penn Virginia Corp.	8.50%	5/1/2020		4,877		4,401,493
Range Resources Corp.†	4.875%	5/15/2025		19,250		18,771,637
Rice Energy, Inc.	6.25%	5/1/2022		13,033		13,000,417
Rice Energy, Inc.†	7.25%	5/1/2023		2,392		2,463,760
Rosetta Resources, Inc.	5.875%	6/1/2022		10,180		10,918,050
RSP Permian, Inc.†	6.625%	10/1/2022		9,860		10,131,150
Seven Generations Energy Ltd. (Canada)†(b)	6.75%	5/1/2023		4,810		4,822,025
Seven Generations Energy Ltd. (Canada)†(b)	8.25%	5/15/2020		15,155		16,155,230
SM Energy Co.	6.50%	11/15/2021		8,925		9,348,938
Triangle USA Petroleum Corp.†	6.75%	7/15/2022		9,602		7,489,560
Tullow Oil plc (United Kingdom)†(b)	6.00%	11/1/2020		3,670		3,344,288
Tullow Oil plc (United Kingdom)†(b)	6.25%	4/15/2022		6,886		6,128,540
Ultra Petroleum Corp.†	6.125%	10/1/2024		10,900		9,619,250
YPF SA (Argentina)†(b)	8.50%	7/28/2025		14,725		14,614,562
Total						585,444,153
Environmental 0.10%
ADS Waste Holdings, Inc.	8.25%	10/1/2020		9,502		9,882,080

See Notes to Financial Statements. 21

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Food & Drug Retailers 1.33%
BI-LO LLC/BI-LO Finance Corp.†	9.25%	2/15/2019	$	6,325	$	6,419,875
Ingles Markets, Inc.	5.75%	6/15/2023		4,795		4,897,134
New Albertson’s, Inc.	7.45%	8/1/2029		7,200		6,948,000
New Albertson’s, Inc.	7.75%	6/15/2026		17,080		16,738,400
Rite Aid Corp.†	6.125%	4/1/2023		12,841		13,274,384
Rite Aid Corp.	7.70%	2/15/2027		45,032		53,137,760
Tops Holding II Corp.	8.75%	6/15/2018		5,802		5,743,980
Tops Holding LLC/Top Markets II Corp.†	8.00%	6/15/2022		18,950		19,068,437
Total						126,227,970
Food: Wholesale 1.35%
B&G Foods, Inc.	4.625%	6/1/2021		20,000		19,775,000
Diamond Foods, Inc.†	7.00%	3/15/2019		15,033		15,446,407
JBS USA LLC/JBS USA Finance, Inc.†	5.75%	6/15/2025		6,413		6,354,962
JBS USA LLC/JBS USA Finance, Inc.†	5.875%	7/15/2024		7,634		7,700,798
JBS USA LLC/JBS USA Finance, Inc.†	7.25%	6/1/2021		5,366		5,681,253
Land O’Lakes, Inc.†	6.00%	11/15/2022		13,700		14,624,750
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.	4.875%	5/1/2021		11,046		10,907,925
Shearer’s Foods LLC/Chip Finance Corp.†	9.00%	11/1/2019		7,000		7,560,000
WhiteWave Foods Co. (The)	5.375%	10/1/2022		37,580		39,740,850
Total						127,791,945
Forestry/Paper 0.31%
Cascades, Inc. (Canada)†(b)	5.50%	7/15/2022		6,420		6,235,425
Millar Western Forest Products Ltd. (Canada)(b)	8.50%	4/1/2021		10,000		9,675,000
Norbord, Inc. (Canada)†(b)	6.25%	4/15/2023		4,378		4,454,615
Rayonier AM Products, Inc.†	5.50%	6/1/2024		10,385		9,320,537
Total						29,685,577
Gaming 1.96%
Boyd Gaming Corp.	6.875%	5/15/2023		9,973		10,272,190
Caesar’s Growth Properties Holdings LLC/Caesar’s Growth Properties Finance, Inc.†	9.375%	5/1/2022		12,090		9,127,950
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Properties Finance, Inc.	8.00%	10/1/2020		9,530		9,023,766
CCM Merger, Inc.†	9.125%	5/1/2019		12,000		12,900,000
Graton Economic Development Authority†	9.625%	9/1/2019		20,725		22,453,465
MCE Finance Ltd. (Hong Kong)†(b)	5.00%	2/15/2021		15,600		14,898,000
MGM Resorts International	6.00%	3/15/2023		16,946		17,242,555

22 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Gaming (continued)
Mohegan Tribal Gaming Authority	9.75%	9/1/2021		$11,617	$	12,226,893
MTR Gaming Group, Inc.	11.50%	8/1/2019		12,998		13,891,612
Pinnacle Entertainment, Inc.	6.375%	8/1/2021		16,587		17,685,889
River Rock Entertainment Authority (The)(c)	9.00%	11/1/2018		10,368		933,120
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.†	9.50%	6/15/2019		8,009		8,459,506
Scientific Games International, Inc.†	7.00%	1/1/2022		5,685		5,898,188
Sugarhouse HSP Gaming Prop. Mezz. LP/Sugarhouse HSP Gaming Finance Corp.†	6.375%	6/1/2021		19,800		18,909,000
Wynn Macau Ltd. (Macau)†(b)	5.25%	10/15/2021		12,855		12,212,250
Total						186,134,384
Gas Distribution 3.59%
APT Pipelines Ltd. (Australia)†(b)	5.00%	3/23/2035		14,588		13,687,570
Boardwalk Pipelines LP	4.95%	12/15/2024		9,574		9,406,359
Dominion Gas Holdings LLC	3.60%	12/15/2024		12,050		12,014,947
Energy Transfer Equity LP	5.50%	6/1/2027		12,675		12,706,688
Energy Transfer Equity LP	5.875%	1/15/2024		11,850		12,347,700
Hiland Partners LP/Hiland Partners Finance Corp.†	5.50%	5/15/2022		13,853		14,433,094
Hiland Partners LP/Hiland Partners Finance Corp.†	7.25%	10/1/2020		13,075		14,186,375
IFM US Colonial Pipeline 2 LLC†	6.45%	5/1/2021		19,000		20,600,864
Kinder Morgan, Inc.	7.75%	1/15/2032		7,650		8,810,191
Kinder Morgan, Inc.	8.05%	10/15/2030		17,235		20,259,967
LBC Tank Terminals Holding Netherlands BV (Belgium)†(b)	6.875%	5/15/2023		7,900		8,196,250
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.	5.50%	2/15/2023		13,250		13,664,063
Midcontinent Express Pipeline LLC†	6.70%	9/15/2019		14,930		16,225,088
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp.	6.50%	5/15/2021		8,015		8,485,881
Regency Energy Partners LP/Regency Energy Finance Corp.	5.875%	3/1/2022		11,300		12,045,077
Rockies Express Pipeline LLC†	6.875%	4/15/2040		18,450		19,464,750
Sabine Pass Liquefaction LLC†	5.625%	3/1/2025		25,863		25,701,356
Sabine Pass Liquefaction LLC	5.75%	5/15/2024		30,000		30,037,500
SemGroup Corp.	7.50%	6/15/2021		6,045		6,347,250
Southeast Supply Header LLC†	4.25%	6/15/2024		14,150		13,987,501
Southern Star Central Corp.†	5.125%	7/15/2022		9,225		9,409,500
Tesoro Logistics LP/Tesoro Logistics Finance Corp.†	5.50%	10/15/2019		7,450		7,766,625
Tesoro Logistics LP/Tesoro Logistics Finance Corp.	5.875%	10/1/2020		9,095		9,390,588

See Notes to Financial Statements. 23

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Gas Distribution (continued)
Tesoro Logistics LP/Tesoro Logistics Finance Corp.	6.125%	10/15/2021	$	7,800	$	8,170,500
Tesoro Logistics LP/Tesoro Logistics Finance Corp.†	6.25%	10/15/2022		13,150		13,676,000
Total						341,021,684
Health Facilities 3.28%
Amsurg Corp.	5.625%	11/30/2020		12,436		12,715,810
Amsurg Corp.	5.625%	7/15/2022		5,504		5,572,800
CHS/Community Health Systems, Inc.	6.875%	2/1/2022		10,000		10,575,000
CHS/Community Health Systems, Inc.	7.125%	7/15/2020		5,470		5,809,140
CHS/Community Health Systems, Inc.	8.00%	11/15/2019		33,230		35,099,187
DaVita HealthCare Partners, Inc.	5.75%	8/15/2022		27,000		28,721,250
Dignity Health	3.812%	11/1/2024		12,500		12,816,262
Dignity Health	4.50%	11/1/2042		8,811		8,197,111
HCA, Inc.	4.25%	10/15/2019		7,955		8,153,875
HCA, Inc.	5.00%	3/15/2024		7,000		7,140,000
HCA, Inc.	5.375%	2/1/2025		10,595		10,794,186
HCA, Inc.	5.875%	3/15/2022		8,700		9,483,000
HCA, Inc.	7.50%	2/15/2022		32,000		36,840,000
HCA, Inc.	7.58%	9/15/2025		4,073		4,541,395
HCA, Inc.	7.69%	6/15/2025		12,111		13,806,540
Kindred Healthcare, Inc.	6.375%	4/15/2022		9,459		9,482,648
Kindred Healthcare, Inc.†	8.00%	1/15/2020		11,341		12,163,223
LifePoint Health, Inc.	5.50%	12/1/2021		10,000		10,350,000
Memorial Sloan-Kettering Cancer Center	4.20%	7/1/2055		12,319		11,154,707
MPT Operating Partnership LP/MPT Finance Corp.	5.50%	5/1/2024		12,577		13,017,195
Omega Healthcare Investors, Inc.	4.95%	4/1/2024		6,075		6,224,384
Omega Healthcare Investors, Inc.	5.875%	3/15/2024		3,925		4,185,031
Select Medical Corp.	6.375%	6/1/2021		5,890		5,978,350
Tenet Healthcare Corp.†	6.75%	6/15/2023		3,992		4,076,830
Tenet Healthcare Corp.	8.125%	4/1/2022		21,945		24,051,720
Total						310,949,644
Health Services 0.21%
Envision Healthcare Corp.†	5.125%	7/1/2022		10,000		10,100,000
ExamWorks Group, Inc.	5.625%	4/15/2023		9,357		9,629,382
Total						19,729,382

24 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Hotels 1.03%
ESH Hospitality, Inc.†	5.25%	5/1/2025		$   9,997	$	9,772,068
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.	5.625%	10/15/2021		20,000		20,874,000
Host Hotels & Resorts LP	3.75%	10/15/2023		6,712		6,596,104
Host Hotels & Resorts LP	4.00%	6/15/2025		5,992		5,959,577
Host Hotels & Resorts LP	5.25%	3/15/2022		10,000		10,876,670
Playa Resorts Holding BV (Netherlands)†(b)	8.00%	8/15/2020		15,850		16,484,000
RHP Hotel Properties LP/RHP Finance Corp.	5.00%	4/15/2021		10,400		10,452,000
RHP Hotel Properties LP/RHP Finance Corp.†	5.00%	4/15/2023		3,236		3,187,460
Wyndham Worldwide Corp.	3.90%	3/1/2023		14,113		13,849,990
Total						98,051,869
Insurance Brokerage 0.12%
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC†	7.875%	12/15/2020		11,200		11,872,000
Integrated Energy 1.04%
Alta Wind Holdings LLC†	7.00%	6/30/2035		9,383		10,926,741
Gazprom OAO via Gaz Capital SA (Luxembourg)†(b)	4.95%	2/6/2028		9,700		8,378,375
Petrobras Global Finance BV (Netherlands)(b)	4.375%	5/20/2023		24,070		21,030,200
Rio Oil Finance Trust Series 2014-1 (Brazil)†(b)	6.25%	7/6/2024		19,575		19,281,375
Rosneft Oil Co. via Rosneft International Finance Ltd. (Ireland)†(b)	4.199%	3/6/2022		12,780		10,974,825
Shell International Finance BV (Netherlands)(b)	3.25%	5/11/2025		15,961		15,838,898
Shell International Finance BV (Netherlands)(b)	4.55%	8/12/2043		12,040		12,351,957
Total						98,782,371
Investments & Miscellaneous Financial Services 0.82%
CME Group, Inc.	3.00%	3/15/2025		16,017		15,573,345
FMR LLC†	5.35%	11/15/2021		14,800		16,855,335
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.†	4.875%	4/15/2045		8,030		7,308,160
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.†	5.875%	3/15/2022		35,528		38,103,780
Total						77,840,620
Life Insurance 0.95%
American Equity Investment Life Holding Co.	6.625%	7/15/2021		13,475		14,317,188
CNO Financial Group, Inc.	5.25%	5/30/2025		19,415		19,778,060
Prudential Financial, Inc.	5.375%	5/15/2045		9,574		9,454,325

See Notes to Financial Statements. 25

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Life Insurance (continued)
Teachers Insurance & Annuity Association of America†	4.90%	9/15/2044		$18,050	$	18,449,789
TIAA Asset Management Finance Co. LLC†	4.125%	11/1/2024		27,710		27,962,078
Total						89,961,440
Machinery 0.38%
Cleaver-Brooks, Inc.†	8.75%	12/15/2019		10,500		10,395,000
Milacron LLC/Mcron Finance Corp.†	7.75%	2/15/2021		10,000		10,350,000
Oshkosh Corp.	5.375%	3/1/2022		10,000		10,275,000
Waterjet Holdings, Inc.†	7.625%	2/1/2020		4,805		5,021,225
Total						36,041,225
Managed Care 0.53%
Centene Corp.	4.75%	5/15/2022		13,520		13,993,200
Centene Corp.	5.75%	6/1/2017		15,525		16,514,719
MPH Acquisition Holdings LLC†	6.625%	4/1/2022		19,000		19,451,250
Total						49,959,169
Media: Content 1.09%
AMC Networks, Inc.	4.75%	12/15/2022		19,200		19,272,000
AMC Networks, Inc.	7.75%	7/15/2021		14,000		15,190,000
iHeartCommunications, Inc.	9.00%	12/15/2019		21,300		20,378,775
iHeartCommunications, Inc.	11.25%	3/1/2021		11,103		10,825,425
Netflix, Inc.	5.375%	2/1/2021		23,500		24,498,750
Univision Communications, Inc.†	5.125%	2/15/2025		13,349		12,917,827
Total						103,082,777
Medical Products 1.99%
Alere, Inc.†	6.375%	7/1/2023		5,991		6,110,820
Fresenius Medical Care US Finance II, Inc.†	4.75%	10/15/2024		4,923		4,898,385
Fresenius Medical Care US Finance II, Inc.†	5.875%	1/31/2022		21,045		22,412,925
Grifols Worldwide Operations Ltd. (Ireland)(b)	5.25%	4/1/2022		17,375		17,461,875
Hologic, Inc.†(g)	5.25%	7/15/2022		9,302		9,522,923
Kinetic Concepts, Inc./KCI USA, Inc.	10.50%	11/1/2018		4,500		4,815,090
Kinetic Concepts, Inc./KCI USA, Inc.	12.50%	11/1/2019		8,550		9,255,375
Mallinckrodt International Finance SA (Luxembourg)(b)	4.75%	4/15/2023		17,532		16,436,250
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (Luxembourg)†(b)	4.875%	4/15/2020		4,576		4,673,469
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (Luxembourg)†(b)	5.50%	4/15/2025		4,015		3,909,606

26 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date		Principal Amount (000)			Fair Value
Medical Products (continued)
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (Luxembourg)†(b)	5.75%	8/1/2022			$35,766	$	36,704,857
Medtronic, Inc.†	3.15%	3/15/2022			24,100		24,229,754
Medtronic, Inc.†	4.375%	3/15/2035			20,100		19,984,928
Sterigenics-Nordion Holdings LLC†	6.50%	5/15/2023			8,130		8,272,275
Total							188,688,532
Metals/Mining (Excluding Steel) 1.66%
Aleris International, Inc.	7.875%	11/1/2020			9,216		9,607,680
ALROSA Finance SA (Luxembourg)†(b)	7.75%	11/3/2020			18,650		19,675,750
Coeur Mining, Inc.	7.875%	2/1/2021			11,146		9,501,965
Constellium NV (Netherlands)†(b)	5.75%	5/15/2024			10,052		8,996,540
FMG Resources (August 2006) Pty Ltd. (Australia)†(b)	9.75%	3/1/2022			17,529		18,142,515
HudBay Minerals, Inc. (Canada)(b)	9.50%	10/1/2020			8,930		9,510,450
Imperial Metals Corp. (Canada)†(b)	7.00%	3/15/2019			10,455		10,167,487
Kissner Milling Co. Ltd. (Canada)†(b)	7.25%	6/1/2019			9,121		9,326,223
Lundin Mining Corp. (Canada)†(b)	7.875%	11/1/2022			9,285		9,958,163
Mirabela Nickel Ltd. (Australia)(b)	1.00%	9/16/2044			182		18
MMC Norilsk Nickel OJSC via MMC Finance Ltd. (Ireland)(b)	4.375%	4/30/2018			9,950		9,925,125
New Gold, Inc. (Canada)†(b)	6.25%	11/15/2022			9,226		9,156,805
New Gold, Inc. (Canada)†(b)	7.00%	4/15/2020			4,950		5,141,813
Peabody Energy Corp.†	10.00%	3/15/2022			15,567		9,729,375
Southern Copper Corp. (Mexico)(b)	3.875%	4/23/2025			10,160		9,810,902
Thompson Creek Metals Co., Inc.	7.375%	6/1/2018			10,775		8,889,375
Total							157,540,186
Multi-Line Insurance 0.07%
ING Groep NV (Netherlands)(b)	6.50%	–	(e)		6,425		6,228,234
Oil Field Equipment & Services 0.55%
Gulfmark Offshore, Inc.	6.375%	3/15/2022			12,275		9,236,938
Helmerich & Payne International Drilling Co.†	4.65%	3/15/2025			3,278		3,390,291
Hornbeck Offshore Services, Inc.	5.875%	4/1/2020			17,900		16,557,500
Oceaneering International, Inc.	4.65%	11/15/2024			23,325		23,347,485
Total							52,532,214

See Notes to Financial Statements. 27

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Oil Refining & Marketing 0.38%
Citgo Holding, Inc.†	10.75%	2/15/2020		$16,871	$	17,334,952
Northern Tier Energy LLC/Northern Tier Finance Corp.	7.125%	11/15/2020		18,422		19,066,770
Total						36,401,722
Packaging 1.48%
Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc. (Ireland)†(b)	6.00%	6/30/2021		7,775		7,794,438
Ball Corp.	4.00%	11/15/2023		16,220		15,125,150
BWAY Holding Co.†	9.125%	8/15/2021		8,811		9,119,385
Coveris Holdings SA (Luxembourg)†(b)	7.875%	11/1/2019		8,052		8,052,000
Crown Cork & Seal Co., Inc.	7.375%	12/15/2026		21,599		24,352,872
Graphic Packaging International, Inc.	4.75%	4/15/2021		9,100		9,236,500
Graphic Packaging International, Inc.	4.875%	11/15/2022		9,420		9,490,650
Pactiv LLC	7.95%	12/15/2025		8,500		8,457,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA	5.75%	10/15/2020		10,000		10,275,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA	8.25%	2/15/2021		11,750		12,249,375
Sealed Air Corp.†	4.875%	12/1/2022		8,624		8,526,980
Sealed Air Corp.†	5.125%	12/1/2024		1,406		1,391,940
Sealed Air Corp.†	6.875%	7/15/2033		15,750		15,986,250
Total						140,058,040
Personal & Household Products 0.60%
American Greetings Corp.	7.375%	12/1/2021		7,975		8,403,656
Elizabeth Arden, Inc.	7.375%	3/15/2021		16,182		13,188,330
FGI Operating Co. LLC/FGI Finance, Inc.	7.875%	5/1/2020		15,885		12,231,450
Serta Simmons Holdings LLC†	8.125%	10/1/2020		8,897		9,430,820
Spectrum Brands, Inc.†	5.75%	7/15/2025		7,983		8,142,660
Springs Industries, Inc.	6.25%	6/1/2021		5,500		5,403,750
Total						56,800,666
Pharmaceuticals 2.16%
AbbVie, Inc.	3.20%	11/6/2022		5,593		5,547,188
AbbVie, Inc.	4.50%	5/14/2035		7,990		7,842,001
Bayer US Finance LLC†	3.375%	10/8/2024		20,000		19,918,240
Capsugel SA PIK (Luxembourg)†(b)	7.00%	5/15/2019		4,850		4,944,527
DPx Holdings BV (Netherlands)†(b)	7.50%	2/1/2022		13,995		14,642,269

28 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Pharmaceuticals (continued)
Gilead Sciences, Inc.	3.50%	2/1/2025		$17,075	$	17,120,146
Merck & Co., Inc.	3.70%	2/10/2045		15,916		14,255,484
Quintiles Transnational Corp.†	4.875%	5/15/2023		9,262		9,331,465
Roche Holdings, Inc.†	2.875%	9/29/2021		20,000		20,181,600
Valeant Pharmaceuticals International, Inc.†	5.375%	3/15/2020		3,059		3,166,065
Valeant Pharmaceuticals International, Inc.†	5.50%	3/1/2023		5,582		5,651,775
Valeant Pharmaceuticals International, Inc.†	5.625%	12/1/2021		3,500		3,587,500
Valeant Pharmaceuticals International, Inc.†	5.875%	5/15/2023		16,129		16,572,547
Valeant Pharmaceuticals International, Inc.†	6.125%	4/15/2025		8,070		8,322,188
Valeant Pharmaceuticals International, Inc.†	6.375%	10/15/2020		38,020		40,134,862
Zoetis, Inc.	3.25%	2/1/2023		14,400		13,973,976
Total						205,191,833
Property & Casualty Insurance 0.10%
XLIT Ltd. (Ireland)(b)	4.45%	3/31/2025		9,876		9,808,794
Railroads 0.41%
China Railway Resources Huitung Ltd. (Hong Kong)(b)	3.85%	2/5/2023		9,625		9,533,514
Florida East Coast Holdings Corp.†	6.75%	5/1/2019		19,990		20,089,950
Watco Cos. LLC/Watco Finance Corp.†	6.375%	4/1/2023		9,150		9,310,125
Total						38,933,589
Real Estate Development & Management 0.20%
CBRE Services, Inc.	5.00%	3/15/2023		9,725		9,870,875
CBRE Services, Inc.	5.25%	3/15/2025		8,800		9,130,000
Total						19,000,875
Real Estate Investment Trusts 0.73%
Brixmor Operating Partnership LP	3.85%	2/1/2025		14,393		13,859,883
DDR Corp.	3.625%	2/1/2025		9,920		9,544,945
DDR Corp.	7.875%	9/1/2020		11,000		13,480,269
EPR Properties	4.50%	4/1/2025		12,018		11,824,943
Goodman Funding Pty Ltd. (Australia)†(b)	6.00%	3/22/2022		7,850		8,787,423
Kilroy Realty LP	3.80%	1/15/2023		10,000		9,989,230
SL Green Realty Corp.	4.50%	12/1/2022		1,351		1,381,602
Total						68,868,295

See Notes to Financial Statements. 29

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Recreation & Travel 0.60%
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp.	5.25%	3/15/2021		$12,140	$	12,534,550
NCL Corp. Ltd.†	5.25%	11/15/2019		6,925		7,124,094
Royal Caribbean Cruises Ltd.	7.50%	10/15/2027		23,000		26,795,000
Viking Cruises Ltd.†	8.50%	10/15/2022		9,205		10,263,575
Total						56,717,219
Restaurants 0.55%
McDonald’s Corp.	4.60%	5/26/2045		11,971		11,725,786
PF Chang’s China Bistro, Inc.†	10.25%	6/30/2020		13,525		14,049,094
Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC†	5.875%	5/15/2021		10,150		10,302,250
Starbucks Corp.	2.70%	6/15/2022		15,954		15,923,751
Total						52,000,881
Software/Services 4.17%
Adobe Systems, Inc.	3.25%	2/1/2025		14,202		13,739,143
Alibaba Group Holding Ltd. (China)†(b)	3.125%	11/28/2021		20,436		20,224,528
Alibaba Group Holding Ltd. (China)†(b)	3.60%	11/28/2024		18,875		18,235,609
Alliance Data Systems Corp.†	6.375%	4/1/2020		46,850		48,548,312
Autodesk, Inc.	3.125%	6/15/2020		14,676		14,710,958
Blue Coat Holdings, Inc.†	8.375%	6/1/2023		9,853		10,050,060
Ceridian HCM Holding, Inc.†	11.00%	3/15/2021		9,019		9,571,414
Dun & Bradstreet Corp. (The)	4.375%	12/1/2022		11,875		11,851,179
First Data Corp.†	8.25%	1/15/2021		43,025		45,498,937
First Data Corp.	11.25%	1/15/2021		9,909		11,023,763
Infor US, Inc.†	6.50%	5/15/2022		18,100		18,462,000
Italics Merger Sub, Inc.†	7.125%	7/15/2023		11,195		11,083,050
MasterCard, Inc.	3.375%	4/1/2024		13,275		13,565,922
Microsoft Corp.	2.375%	2/12/2022		19,240		18,912,747
Microsoft Corp.	4.00%	2/12/2055		19,914		17,916,705
MSCI, Inc.†	5.25%	11/15/2024		9,469		9,611,035
Oracle Corp.	4.125%	5/15/2045		15,970		14,845,856
Oracle Corp.	4.375%	5/15/2055		19,963		18,599,866
Priceline Group, Inc. (The)	3.65%	3/15/2025		18,012		17,570,418
SRA International, Inc.	11.00%	10/1/2019		16,453		17,522,445
SunGard Data Systems, Inc.	6.625%	11/1/2019		18,700		19,377,875
VeriSign, Inc.†	5.25%	4/1/2025		14,541		14,541,000
Total						395,462,822

30 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Specialty Retail 1.59%
Argos Merger Sub, Inc.†	7.125%	3/15/2023		$15,392	$	16,161,600
AutoZone, Inc.	2.50%	4/15/2021		5,600		5,494,222
Brookstone Co., Inc.†(c)	13.00%	10/15/2014		4,945		495
Brookstone Holdings Corp. PIK	10.00%	7/7/2021		542		463,491
Claire’s Stores, Inc.†	9.00%	3/15/2019		13,113		11,146,050
CST Brands, Inc.	5.00%	5/1/2023		17,594		17,594,000
DBP Holding Corp.†	7.75%	10/15/2020		18,000		14,760,000
Men’s Wearhouse, Inc. (The)	7.00%	7/1/2022		8,950		9,621,250
Neiman Marcus Group Ltd. LLC†	8.00%	10/15/2021		25,000		26,437,500
Sally Holdings LLC/Sally Capital, Inc.	5.50%	11/1/2023		5,050		5,277,250
Sally Holdings LLC/Sally Capital, Inc.	5.75%	6/1/2022		10,450		10,946,375
Toys R Us Property Co. II LLC	8.50%	12/1/2017		9,225		9,311,715
William Carter Co. (The)	5.25%	8/15/2021		15,917		16,394,510
WW Grainger, Inc.	4.60%	6/15/2045		7,182		7,206,677
Total						150,815,135
Steel Producers/Products 0.47%
Allegheny Ludlum Corp.	6.95%	12/15/2025		10,000		10,525,000
Allegheny Technologies, Inc.	9.375%	6/1/2019		10,200		12,036,000
Steel Dynamics, Inc.	5.125%	10/1/2021		11,950		12,033,650
Steel Dynamics, Inc.	5.50%	10/1/2024		9,550		9,573,875
Total						44,168,525
Support: Services 1.40%
ADT Corp. (The)	3.50%	7/15/2022		10,825		9,850,750
APX Group, Inc.	6.375%	12/1/2019		9,575		9,323,656
Audatex North America, Inc.†	6.00%	6/15/2021		5,000		5,156,250
BlueLine Rental Finance Corp.†	7.00%	2/1/2019		9,273		9,574,373
Compiler Finance Sub, Inc.†	7.00%	5/1/2021		12,500		9,562,500
FTI Consulting, Inc.	6.00%	11/15/2022		10,500		10,985,625
Jurassic Holdings III, Inc.†	6.875%	2/15/2021		15,684		12,311,940
Light Tower Rentals, Inc.†	8.125%	8/1/2019		10,400		8,632,000
Metropolitan Museum of Art (The)	3.40%	7/1/2045		13,518		11,854,380
NES Rentals Holdings, Inc.†	7.875%	5/1/2018		7,800		7,917,000
Sotheby’s†	5.25%	10/1/2022		16,925		16,671,125
United Rentals North America, Inc.	5.75%	11/15/2024		11,500		11,385,000
United Rentals North America, Inc.	6.125%	6/15/2023		9,175		9,415,844
Total						132,640,443

See Notes to Financial Statements. 31

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Technology Hardware & Equipment 0.68%
CDW LLC/CDW Finance Corp.	5.50%	12/1/2024		$15,000	$	14,887,500
CommScope Technologies Finance LLC†	6.00%	6/15/2025		9,906		9,893,617
CommScope, Inc.†	5.50%	6/15/2024		16,000		15,620,000
Dell, Inc.	7.10%	4/15/2028		9,175		9,656,687
Denali Borrower LLC/Denali Finance Corp.†	5.625%	10/15/2020		8,950		9,431,063
NCR Corp.	6.375%	12/15/2023		993		1,056,304
Project Homestake Merger Corp.†	8.875%	3/1/2023		4,023		3,912,368
Total						64,457,539
Telecommunications: Wireline Integrated & Services 1.36%
Columbus International, Inc. (Barbados)†(b)	7.375%	3/30/2021		9,234		9,961,177
Consolidated Communications, Inc.†	6.50%	10/1/2022		8,725		8,452,344
DigitalGlobe, Inc.†	5.25%	2/1/2021		6,830		6,719,013
Dycom Investments, Inc.	7.125%	1/15/2021		17,500		18,375,000
Equinix, Inc.	5.375%	4/1/2023		12,000		12,060,000
Frontier Communications Corp.	6.875%	1/15/2025		9,855		8,278,200
Frontier Communications Corp.	7.625%	4/15/2024		7,800		6,922,500
Frontier Communications Corp.	9.25%	7/1/2021		9,810		10,312,762
GCI, Inc.	6.875%	4/15/2025		10,396		10,551,940
Hellas Telecommunications Luxembourg II SCA (Luxembourg)(b)(c)	Zero Coupon	1/15/2015		15,000		1,500
Sable International Finance Ltd.†	8.75%	2/1/2020		8,325		8,949,375
Telecom Italia SpA (Italy)†(b)	5.303%	5/30/2024		9,565		9,565,000
Zayo Group LLC/Zayo Capital, Inc.†	6.00%	4/1/2023		18,865		18,680,123
Total						128,828,934
Telecommunications: Satellite 0.76%
Hughes Satellite Systems Corp.	7.625%	6/15/2021		27,500		30,358,625
Inmarsat Finance plc (United Kingdom)†(b)	4.875%	5/15/2022		18,507		17,905,523
Intelsat Luxembourg SA (Luxembourg)(b)	7.75%	6/1/2021		29,031		24,349,751
Total						72,613,899
Telecommunications: Wireless 2.44%
CC Holdings GS V LLC/Crown Castle GS III Corp.	3.849%	4/15/2023		7,535		7,411,546
Clearwire Communications LLC/Clearwire Finance, Inc.†	14.75%	12/1/2016		12,325		14,297,000
Comcel Trust via Comunicaciones Celulares SA†	6.875%	2/6/2024		16,550		17,460,250
Crown Castle International Corp.	5.25%	1/15/2023		12,475		12,612,225
Digicel Group Ltd. (Jamaica)†(b)	7.125%	4/1/2022		8,500		8,093,700
Digicel Group Ltd. (Jamaica)†(b)	8.25%	9/30/2020		11,700		11,787,750
Digicel Ltd. (Jamaica)†(b)	6.75%	3/1/2023		9,966		9,794,585

32 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)			Fair Value
Telecommunications: Wireless (continued)
Digicel Ltd. (Jamaica)†(b)	7.00%		2/15/2020		$16,500	$	17,160,000
SBA Communications Corp.	4.875%		7/15/2022		15,080		14,740,700
SBA Telecommunications, Inc.	5.75%		7/15/2020		12,000		12,495,000
T-Mobile USA, Inc.	6.50%		1/15/2024		42,921		44,423,235
T-Mobile USA, Inc.	6.625%		11/15/2020		10,500		10,946,250
T-Mobile USA, Inc.	6.633%		4/28/2021		20,000		20,800,000
T-Mobile USA, Inc.	6.836%		4/28/2023		2,192		2,309,820
Wind Acquisition Finance SA (Italy)†(b)	7.375%		4/23/2021		27,200		27,574,000
Total							231,906,061
Theaters & Entertainment 0.49%
Activision Blizzard, Inc.†	5.625%		9/15/2021		20,000		21,000,000
Activision Blizzard, Inc.†	6.125%		9/15/2023		23,690		25,466,750
Total							46,466,750
Tobacco 0.31%
Reynolds American, Inc.	4.00%		6/12/2022		7,935		8,117,553
Reynolds American, Inc.	5.85%		8/15/2045		20,060		21,116,500
Total							29,234,053
Transportation Infrastructure 0.32%
Mersin Uluslararasi Liman Isletmeciligi
AS (Turkey)†(b)	5.875%		8/12/2020		8,800		9,289,896
XPO Logistics, Inc.†	6.50%		6/15/2022		11,973		11,748,506
XPO Logistics, Inc.†	7.875%		9/1/2019		8,866		9,507,455
Total							30,545,857
Total High Yield Corporate Bonds (cost $6,800,260,667)							6,752,119,849
MUNICIPAL BOND 0.16%
Other Revenue
New York City Indus Dev Agy† (cost $11,675,000)	11.00%		3/1/2029		11,675		15,511,522
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 4.05%
BB-UBS Trust 2012-SHOW E†	4.026%	#	11/5/2036		18,583		17,857,845
BBCMS Trust 2015-VFM A2†	3.375%		3/15/2036		4,025		3,994,863
BBCMS Trust 2015-VFM D†	3.483%	#	3/15/2036		9,511		9,007,214
Citigroup Commercial Mortgage Trust 2014-GC25 B	4.345%		10/10/2047		5,735		5,878,731
Citigroup Commercial Mortgage Trust 2014-GC25 C	4.533%	#	10/10/2047		12,250		12,144,454

See Notes to Financial Statements. 33

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)			Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Citigroup Commercial Mortgage Trust 2015-101A D†	4.779%	#	1/14/2043	$	8,025	$	7,598,784
Commercial Mortgage Pass-Through Certificates 2013-WWP D†	3.898%		3/10/2031		11,825		11,802,698
Commercial Mortgage Pass-Through Certificates 2014-CR20 C	4.508%	#	11/10/2047		8,297		8,284,434
Commercial Mortgage Pass-Through Certificates 2014-CR20 XB IO†	0.177%		11/10/2047		109,074		1,201,832
Commercial Mortgage Pass-Through Certificates 2014-CR20 XC IO†	1.436%		11/10/2047		8,108		849,439
Commercial Mortgage Pass-Through Certificates 2014-CR21 XB IO†	0.045%	#	12/10/2047		66,866		436,769
Commercial Mortgage Pass-Through Certificates 2014-CR21 XC IO†	0.50%	#	12/10/2047		32,211		1,181,097
Commercial Mortgage Pass-Through Certificates 2014-UBS5 C	4.612%	#	9/10/2047		6,150		6,203,634
Commercial Mortgage Pass-Through Certificates 2014-UBS6 B	4.349%	#	12/10/2047		6,725		6,928,704
Commercial Mortgage Pass-Through Certificates 2014-UBS6 C	4.467%	#	12/10/2047		27,675		27,102,432
Commercial Mortgage Pass-Through Certificates 2014-UBS6 XA IO	1.08%	#	12/10/2047		133,413		9,154,688
Credit Suisse Mortgage Capital Certificates 2014-USA E†	4.373%		9/15/2037		4,400		4,077,247
DBUBS Mortgage Trust 2011-LC2A D†	5.458%	#	7/10/2044		11,313		11,855,601
Great Wolf Trust 2015-WFMZ M†	7.173%	#	5/15/2032		13,150		13,263,387
GS Mortgage Securities Trust 2014-GC26 D†	4.511%	#	11/10/2047		12,825		11,365,598
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust 2010-1 B†	6.00%		1/25/2051		7,835		9,054,067
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust 2010-1 C†	6.408%	#	1/25/2051		7,457		8,079,408
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust 2014-1A XB IO†	0.342%	#	8/25/2047		20,727		731,234
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C24 XB1 IO	0.459%	#	11/15/2047		61,028		1,610,071
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C26 D†	4.07%	#	1/15/2048		12,000		10,346,706
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C26 XB IO	0.619%	#	1/15/2048		53,645		2,075,659
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C26 XD IO†	0.50%	#	1/15/2048		42,779		1,577,767

34 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)			Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY D†	3.805%	#	6/10/2027	$	8,000	$	7,799,324
JPMorgan Chase Commercial Mortgage Securities Trust 2014-FL4 D†	3.286%	#	12/15/2030		10,000		9,958,030
JPMorgan Chase Commercial Mortgage Securities Trust 2015-CSMO E†	4.136%	#	1/15/2032		11,775		11,857,602
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 C	4.218%	#	7/15/2046		4,800		4,803,036
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 C	4.209%	#	5/15/2046		5,325		5,323,000
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 C	4.00%		12/15/2047		8,781		8,385,794
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 LNC1†	3.989%		12/15/2046		7,925		8,002,582
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 LNC2†	4.384%		12/15/2046		16,405		16,306,038
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 LNC4†	4.75%		12/15/2046		7,540		6,967,404
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 LNCX IO†	0.602%		12/15/2046		40,750		1,937,455
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 XC IO†	0.59%	#	12/15/2047		86,781		3,350,614
Motel 6 Trust 2015-MTL6 A2†	2.605%		2/5/2030		40,975		40,915,217
Motel 6 Trust 2015-MTL6 D†	4.532%		2/5/2030		5,100		5,109,121
SFAVE Commercial Mortgage Securities Trust 2015-5AVE XA IO†	0.453%	#	1/5/2035		374,445		23,398,506
Wells Fargo Commercial Mortgage Trust 2014-LC18 XA IO	1.355%	#	12/15/2047		68,125		5,412,941
Wells Fargo Commercial Mortgage Trust 2014-LC18 XB IO	0.543%	#	12/15/2047		66,701		2,256,753
Wells Fargo Commercial Mortgage Trust 2015-C27 C	3.894%		2/15/2048		9,100		8,527,510
Wells Fargo Commercial Mortgage Trust 2015-LC20 D†	4.511%	#	4/15/2050		3,550		3,077,777
WFCG Commercial Mortgage Trust 2015-BXRP E†	3.326%	#	11/15/2029		7,260		7,240,249
Total Non-Agency Commercial Mortgage-Backed Securities (cost $388,928,519)							384,293,316

See Notes to Financial Statements. 35

Schedule of Investments (unaudited)(continued)

June 30, 2015

Investments	Dividend Rate		Shares (000)			Fair Value
PREFERRED STOCK 0.11%
Banking
Texas Capital Bancshares, Inc. (cost $10,241,250)	6.50%			410	$	10,118,355
	Exercise Price	Expiration Date
WARRANT 0.03%
Auto Parts & Equipment
Cooper-Standard Holdings, Inc.* (cost $822,407)	$27.33	11/27/2017		84		2,888,786
Total Long-Term Investments (cost $9,194,818,857)						9,266,208,154
	Interest Rate	Maturity Date	Principal Amount (000)
SHORT-TERM INVESTMENTS 1.77%
FLOATING RATE LOANS(d) 0.09%
Auto Parts & Equipment
UC Holdings, Inc. Incremental Exit Term Loan	–(h)	12/14/2015		$2,756		2,804,586
UC Holdings, Inc. Initial Term Loan	10.00%	12/14/2015		5,381		5,475,412
Total Floating Rate Loans (cost $8,137,590)						8,279,998
REPURCHASE AGREEMENT 1.68%
Repurchase Agreement dated 6/30/2015, Zero Coupon due 7/1/2015 with Fixed Income Clearing Corp. collateralized by $158,955,000 of U.S. Treasury Note at 2.25% due 3/31/2016; value: $162,134,100; proceeds: $158,954,652 (cost $158,954,652)				158,955		158,954,652
Total Short-Term Investments (cost $167,092,242)						167,234,650
Total Investments in Securities 99.45% (cost $9,361,911,099)						9,433,442,804
Cash, Foreign Cash and Other Assets in Excess of Liabilities(i) 0.55%						52,021,031
Net Assets 100.00%					$	9,485,463,835

AUD	Australian dollar.
BRL	Brazilian real.
CAD	Canadian dollar.
COP	Colombian peso.
EUR	euro
GBP	British pound.

36 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

HKD	Hong Kong dollar.
JPY	Japanese yen.
ZAR	South African rand.
IO	Interest Only.
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, 2015.
*	Non-income producing security.
(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(s) shown is the rate(s) in effect at June 30, 2015.
(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)	Interest rate to be determined.
(i)	Cash, Foreign Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on open forward foreign currency exchange contracts and futures contracts, as follows:

Open Forward Foreign Currency Exchange Contracts at June 30, 2015:

Forward
Foreign					U.S. $
Currency					Cost on		U.S. $
Exchange	Transaction		Expiration	Foreign	Origination		Current		Unrealized
Contracts	Type	Counterparty	Date	Currency	Date		Value		Appreciation
British pound	Buy	Morgan Stanley	7/20/2015	3,400,000	$	5,328,222	$	5,341,589		$     13,367
British pound	Buy	Morgan Stanley	7/20/2015	1,700,000		2,664,111		2,670,794		6,683
British pound	Buy	Morgan Stanley	7/20/2015	2,000,000		3,089,102		3,142,111		53,009
British pound	Buy	Morgan Stanley	7/20/2015	772,000		1,154,151		1,212,855		58,704
British pound	Buy	Morgan Stanley	7/20/2015	1,930,000		2,874,854		3,032,137		157,283
Australian dollar	Sell	Bank of America	9/29/2015	3,620,000		2,787,269		2,779,595		7,674
British pound	Sell	Morgan Stanley	7/20/2015	2,346,000		3,723,063		3,685,696		37,367
Canadian dollar	Sell	Morgan Stanley	8/19/2015	1,863,000		1,543,331		1,490,646		52,685
Canadian dollar	Sell	Morgan Stanley	8/19/2015	276,000		228,868		220,836		8,032
Canadian dollar	Sell	Morgan Stanley	8/19/2015	5,738,000		4,690,882		4,591,157		99,725
Canadian dollar	Sell	Morgan Stanley	8/19/2015	21,355,000		17,709,243		17,086,819		622,424
Canadian dollar	Sell	Morgan Stanley	8/19/2015	758,000		625,808		606,500		19,308
Canadian dollar	Sell	Morgan Stanley	8/19/2015	2,000,000		1,655,776		1,600,264		55,512
Canadian dollar	Sell	Morgan Stanley	8/19/2015	4,216,000		3,473,388		3,373,356		100,032
Canadian dollar	Sell	Morgan Stanley	8/19/2015	3,000,000		2,503,396		2,400,396		103,000
Canadian dollar	Sell	Morgan Stanley	8/19/2015	2,650,000		2,182,052		2,120,350		61,702
euro	Sell	Bank of America	9/11/2015	40,500,000		45,655,124		45,195,956		459,168
euro	Sell	J.P. Morgan	8/13/2015	3,446,000		3,936,246		3,843,919		92,327
euro	Sell	J.P. Morgan	9/11/2015	2,361,000		2,665,637		2,634,757		30,880
euro	Sell	Morgan Stanley	8/13/2015	2,900,000		3,299,953		3,234,872		65,081
euro	Sell	Morgan Stanley	8/13/2015	7,000,000		7,873,572		7,808,310		65,262
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts										$2,169,225

See Notes to Financial Statements. 37

Schedule of Investments (unaudited)(continued)

June 30, 2015

Forward
Foreign					U.S. $
Currency					Cost on		U.S. $
Exchange	Transaction		Expiration	Foreign	Origination		Current		Unrealized
Contracts	Type	Counterparty	Date	Currency	Date		Value		Depreciation
British pound	Buy	Morgan Stanley	7/20/2015	2,500,000	$	3,945,204	$	3,927,639		$     (17,565	)
Canadian dollar	Buy	Deutsche Bank AG	8/19/2015	664,500		539,012		531,688		(7,324	)
Canadian dollar	Buy	Morgan Stanley	8/19/2015	3,212,000		2,605,462		2,570,024		(35,438	)
Canadian dollar	Buy	Morgan Stanley	8/19/2015	827,000		669,436		661,709		(7,727	)
Canadian dollar	Buy	Morgan Stanley	8/19/2015	534,000		431,496		427,270		(4,226	)
Canadian dollar	Buy	Morgan Stanley	8/19/2015	7,000,000		5,709,400		5,600,924		(108,476	)
Canadian dollar	Buy	Morgan Stanley	8/19/2015	1,080,000		875,579		864,142		(11,437	)
British pound	Sell	J.P. Morgan	7/20/2015	18,915,000		28,158,286		29,716,515		(1,558,229	)
euro	Sell	Morgan Stanley	8/13/2015	21,000,000		23,422,008		23,424,930		(2,922	)
Japanese yen	Sell	J.P. Morgan	9/4/2015	1,220,000,000		9,854,595		9,975,967		(121,372	)
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts										$(1,874,716	)

Open Futures Contracts at June 30, 2015:

							Unrealized
Type	Expiration	Contracts	Position	Fair Value			Appreciation
U.S. 5-Year Treasury Note	September 2015	8,522	Long	$	1,016,315,082			$	6,765,918
U.S. 10-Year Treasury Note	September 2015	2,972	Short		(374,983,184	)			2,426,966
Totals				$	641,331,898			$	9,192,884
							Unrealized
Type	Expiration	Contracts	Position	Fair Value			Depreciation
U.S. Long Bond	September 2015	2,087	Short	$	(314,810,906	)		$	(2,700,236	)

38 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2015

The following is a summary of the inputs used as of June 30, 2015 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)	Level 1		Level 2		Level 3		Total
Asset-Backed Security	$	–	$	2,533,275	$	–	$	2,533,275
Common Stocks
Media: Content		35,808,532		–		829,392		36,637,924
Remaining Industries		1,417,799,929		–		–		1,417,799,929
Convertible Bonds
Energy: Exploration & Production		–		79,631		100,498		180,129
Remaining Industries		–		93,782,072		–		93,782,072
Convertible Preferred Stock		–		17,221,000		–		17,221,000
Floating Rate Loans(3)
Advertising		–		5,022,270		–		5,022,270
Auto Parts & Equipment		–		–		8,279,998		8,279,998
Chemicals		–		4,825,909		–		4,825,909
Consumer/Commercial/Lease Financing		–		9,669,064		–		9,669,064
Electric: Generation		–		5,805,899		–		5,805,899
Electronics		–		14,202,861		–		14,202,861
Energy: Exploration & Production		–		37,440,041		–		37,440,041
Food: Wholesale		–		6,361,809		–		6,361,809
Health Facilities		–		13,953,286		–		13,953,286
Health Services		–		3,579,249		–		3,579,249
Packaging		–		17,338,747		–		17,338,747
Personal & Household Products		–		10,855,271		–		10,855,271
Pharmaceuticals		–		14,415,345		–		14,415,345
Rail		–		–		19,382,432		19,382,432
Real Estate Investment Trusts		–		–		5,362,000		5,362,000
Recreation & Travel		–		9,690,067		–		9,690,067
Software/Services		–		12,246,140		–		12,246,140
Specialty Retail		–		27,225,770		–		27,225,770
Support: Services		–		11,827,882		–		11,827,882
Technology Hardware & Equipment		–		–		7,926,662		7,926,662
Telecommunications: Wireline Integrated & Services		–		9,693,410		–		9,693,410
Telecommunications: Wireless		–		18,116,553		–		18,116,553
Theaters & Entertainment		–		19,451,685		–		19,451,685
Foreign Bonds		–		67,257,101		–		67,257,101
Foreign Government Obligations		–		181,472,544		–		181,472,544
High Yield Corporate Bonds
Automakers		–		13,002,334		1,500		13,003,834
Banking		–		408,110,076		2,250		408,112,326
Metals/Mining (Excluding Steel)		–		157,540,168		18		157,540,186
Specialty Retail		–		150,814,640		495		150,815,135
Telecommunications: Wireline Integrated & Services		–		128,827,434		1,500		128,828,934
Remaining Industries		–		5,893,819,434		–		5,893,819,434
Municipal Bond		–		15,511,522		–		15,511,522
Non-Agency Commercial Mortgage-Backed Securities		–		384,293,316		–		384,293,316
Preferred Stock		10,118,355		–		–		10,118,355
Warrant(4)		–		2,888,786		–		2,888,786
Repurchase Agreement		–		158,954,652		–		158,954,652
Total	$	1,463,726,816	$	7,927,829,243	$	41,886,745	$	9,433,442,804

See Notes to Financial Statements. 39

Schedule of Investments (unaudited)(concluded)

June 30, 2015

Other Financial Instruments	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Exchange Contracts
Assets	$	–		$	2,169,225		$	–	$	2,169,225
Liabilities		–			(1,874,716	)		–		(1,874,716	)
Futures Contracts
Assets		9,192,884			–			–		9,192,884
Liabilities		(2,700,236	)		–			–		(2,700,236	)
Total	$	6,492,648		$	294,509		$	–	$	6,787,157

(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)	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.
(4)	As of June 30, 2015, Cooper-Standard Holdings, Inc. was categorized as Level 2 due to exchange offer resulting in observable input pricing. During the period ended June 30, 2015, $2,666,251 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:

										High Yield			Total
	Common			Convertible			Floating			Corporate			Return
Investment Type	Stocks			Bonds			Rate Loans			Bonds			Swap
Balance as of January 1, 2015	$	1,587,299			$            –		$	36,173,628		$	558,144		$	908,278
Accrued discounts/premiums		–			–			4,859			–
Realized gain (loss)		–			–			(117,293	)		–			(503,687	)
Change in unrealized appreciation/depreciation		(17,623	)		(707,223	)		304,516			226			992,207
Purchases		–			807,721			46,036,470			–			–
Sales		–			–			(22,823,274	)		(10,512	)		(1,396,798	)
Net transfers in or out of Level 3		(740,284	)		–			(18,627,814	)		(542,095	)		–
Balance as of June 30, 2015	$	829,392			$ 100,498		$	40,951,092		$	5,763		$	–

40 See Notes to Financial Statements.

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Statement of Assets and Liabilities (unaudited)

June 30, 2015

ASSETS:
Investments in securities, at fair value (cost $9,361,911,099)	$	9,433,442,804
Foreign cash, at value (cost $967,883)		963,733
Cash		8,448,205
Deposits with brokers for futures collateral		9,804,704
Receivables:
Interest and dividends		110,374,909
Investment securities sold		98,995,328
Capital shares sold		54,867,084
Variation margin		85,767
Unrealized appreciation on forward foreign currency exchange contracts		2,169,225
Prepaid expenses and other assets		256,359
Total assets		9,719,408,118
LIABILITIES:
Payables:
Investment securities purchased		139,665,845
Capital shares reacquired		49,161,793
Management fee		3,589,207
12b-1 distribution plan		3,449,970
Directors’ fees		1,619,799
Fund administration		317,214
Unrealized depreciation on forward foreign currency exchange contracts		1,874,716
Distributions payable		33,097,446
Accrued expenses		1,168,293
Total liabilities		233,944,283
NET ASSETS	$	9,485,463,835
COMPOSITION OF NET ASSETS:
Paid-in capital	$	9,266,519,408
Undistributed net investment income		10,352,604
Accumulated net realized gain on investments, futures contracts and foreign currency related transactions		130,348,068
Net unrealized appreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies		78,243,755
Net Assets	$	9,485,463,835

42 See Notes to Financial Statements.

Statement of Assets and Liabilities (unaudited)(concluded)

June 30, 2015

Net assets by class:
Class A Shares	$	4,698,506,760
Class B Shares	$	105,131,465
Class C Shares	$	2,072,862,444
Class F Shares	$	2,018,623,808
Class I Shares	$	437,667,588
Class P Shares	$	41,512,804
Class R2 Shares	$	4,151,338
Class R3 Shares	$	106,977,628
Class R4 Shares	$	10,000	(1)
Class R5 Shares	$	10,000	(1)
Class R6 Shares	$	10,000	(1)
Outstanding shares by class:
Class A Shares (1.14 billion shares of common stock authorized, $.001 par value)		587,991,268
Class B Shares (500 million shares of common stock authorized, $.001 par value)		13,109,597
Class C Shares (600 million shares of common stock authorized, $.001 par value)		258,742,604
Class F Shares (600 million shares of common stock authorized, $.001 par value)		252,979,213
Class I Shares (300 million shares of common stock authorized, $.001 par value)		55,061,173
Class P Shares (160 million shares of common stock authorized, $.001 par value)		5,081,893
Class R2 Shares (300 million shares of common stock authorized, $.001 par value)		519,475
Class R3 Shares (300 million shares of common stock authorized, $.001 par value)		13,409,221
Class R4 Shares (300 million shares of common stock authorized, $.001 par value)		1,252	(1)
Class R5 Shares (300 million shares of common stock authorized, $.001 par value)		1,258	(1)
Class R6 Shares (300 million shares of common stock authorized, $.001 par value)		1,258	(1)
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares):
Class A Shares-Net asset value		$7.99
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 2.25%)		$8.17
Class B Shares-Net asset value		$8.02
Class C Shares-Net asset value		$8.01
Class F Shares-Net asset value		$7.98
Class I Shares-Net asset value		$7.95
Class P Shares-Net asset value		$8.17
Class R2 Shares-Net asset value		$7.99
Class R3 Shares-Net asset value		$7.98
Class R4 Shares-Net asset value		$7.99	(1)
Class R5 Shares-Net asset value		$7.95	(1)
Class R6 Shares-Net asset value		$7.95	(1)

⁽¹⁾  Classes R4, R5 and R6 shares commenced at the close of business on June 30, 2015.

See Notes to Financial Statements. 43

Statement of Operations (unaudited)

For the Six Months Ended June 30, 2015

Investment income:
Dividends (net of foreign withholding taxes of $38,667)	$	5,330,677
Interest and other		225,729,485
Total investment income		231,060,162
Expenses:
Management fee		21,539,875
12b-1 distribution plan-Class A		4,722,891
12b-1 distribution plan-Class B		585,637
12b-1 distribution plan-Class C		8,719,676
12b-1 distribution plan-Class F		962,898
12b-1 distribution plan-Class P		53,311
12b-1 distribution plan-Class R2		13,130
12b-1 distribution plan-Class R3		253,717
Shareholder servicing		4,418,982
Fund administration		1,903,636
Reports to shareholders		330,413
Registration		206,282
Directors’ fees		149,381
Custody		77,049
Professional		57,545
Other		176,149
Gross expenses		44,170,572
Expense reductions (See Note 9)		(4,409	)
Net expenses		44,166,163
Net investment income		186,893,999
Net realized and unrealized gain:
Net realized gain (loss) on investments		78,846,813
Net realized gain on futures contracts and foreign currency related transactions		484,992
Net change in unrealized appreciation/depreciation on investments		3,539,572
Net change in unrealized appreciation/depreciation on futures contracts and translation of assets and liabilities denominated in foreign currencies		4,185,062
Net realized and unrealized gain		87,056,439
Net Increase in Net Assets Resulting From Operations	$	273,950,438

44 See Notes to Financial Statements.

Statements of Changes in Net Assets

	For the Six Months
	Ended June 30, 2015			For the Year Ended
INCREASE IN NET ASSETS	(unaudited)			December 31, 2014
Operations:
Net investment income	$	186,893,999		$	400,699,151
Net realized gain on investments, futures contracts and foreign currency related transactions		79,331,805			301,392,405
Net change in unrealized appreciation/depreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies		7,724,634			(333,811,406	)
Net increase in net assets resulting from operations		273,950,438			368,280,150
Distributions to shareholders from:
Net investment income
Class A		(103,110,671	)		(227,643,227	)
Class B		(2,098,941	)		(5,902,759	)
Class C		(38,843,016	)		(85,063,403	)
Class F		(42,869,904	)		(72,907,390	)
Class I		(11,802,838	)		(19,616,364	)
Class P		(921,426	)		(3,483,623	)
Class R2		(87,035	)		(155,113	)
Class R3		(2,076,701	)		(4,569,414	)
Net realized gain
Class A		–			(112,032,828	)
Class B		–			(3,184,715	)
Class C		–			(50,892,560	)
Class F		–			(43,708,769	)
Class I		–			(8,813,744	)
Class P		–			(1,164,888	)
Class R2		–			(104,774	)
Class R3		–			(2,693,680	)
Total distributions to shareholders		(201,810,532	)		(641,937,251	)
Capital share transactions (Net of share conversions) (See Note 13):
Net proceeds from sales of shares		1,717,302,015			3,046,998,317
Reinvestment of distributions		173,011,676			555,300,289
Cost of shares reacquired		(1,582,488,098	)		(2,791,903,203	)
Net increase in net assets resulting from capital share transactions		307,825,593			810,395,403
Net increase in net assets		379,965,499			536,738,302
NET ASSETS:
Beginning of period	$	9,105,498,336		$	8,568,760,034
End of period	$	9,485,463,835		$	9,105,498,336
Undistributed net investment income	$	10,352,604		$	25,269,137

See Notes to Financial Statements. 45

Financial Highlights

	Class A Shares
	Six Months
	Ended
	6/30/2015		Year Ended 12/31
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$7.93		$8.15		$8.14		$7.63		$7.81		$7.35
Investment operations:
Net investment income(a)	.16		.37		.42		.47		.47		.47
Net realized and unrealized gain (loss)	.07		–	(b)	.19		.51		(.17	)	.45
Total from investment operations	.23		.37		.61		.98		.30		.92
Distributions to shareholders from:
Net investment income	(.17	)	(.39	)	(.43	)	(.47	)	(.48	)	(.46	)
Net realized gain	–		(.20	)	(.17	)	–		–		–
Total distributions	(.17	)	(.59	)	(.60	)	(.47	)	(.48	)	(.46	)
Net asset value, end of period	$7.99		$7.93		$8.15		$8.14		$7.63		$7.81
Total Return(c)	2.96	%(d)	4.51	%	7.78	%	13.22	%	3.88	%	12.94	%
Ratios to Average Net Assets:
Expenses, including expense reductions	.40	%(d)	.86	%	.96	%	.96	%	.97	%	.97	%
Expenses, excluding expense reductions	.40	%(d)	.86	%	.96	%	.96	%	.97	%	.97	%
Net investment income	2.01	%(d)	4.50	%	5.16	%	5.88	%	6.07	%	6.19	%
Supplemental Data:
Net assets, end of period (000)	$4,698,507		$4,524,711		$4,784,258		$4,850,567		$4,345,679		$4,415,645
Portfolio turnover rate	71.54	%(d)	87.69	%	43.16	%	45.87	%	35.73	%	42.65	%

(a)	Calculated using average shares outstanding during the period.
(b)	Amount is less than $.01.
(c)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(d)	Not annualized.

46 See Notes to Financial Statements.

Financial Highlights (continued)

	Class B Shares
	Six Months
	Ended
	6/30/2015		Year Ended 12/31
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$7.95		$8.18		$8.17		$7.66		$7.84		$7.37
Investment operations:
Net investment income(a)	.13		.31		.37		.42		.42		.42
Net realized and unrealized gain (loss)	.08		(.01	)	.19		.51		(.17	)	.46
Total from investment operations	.21		.30		.56		.93		.25		.88
Distributions to shareholders from:
Net investment income	(.14	)	(.33	)	(.38	)	(.42	)	(.43	)	(.41	)
Net realized gain	–		(.20	)	(.17	)	–		–		–
Total distributions	(.14	)	(.53	)	(.55	)	(.42	)	(.43	)	(.41	)
Net asset value, end of period	$8.02		$7.95		$8.18		$8.17		$7.66		$7.84
Total Return(b)	2.68	%(c)	3.61	%	7.08	%	12.47	%	3.35	%	12.16	%
Ratios to Average Net Assets:
Expenses, including expense reductions	.80	%(c)	1.62	%	1.61	%	1.61	%	1.62	%	1.62	%
Expenses, excluding expense reductions	.80	%(c)	1.62	%	1.61	%	1.61	%	1.62	%	1.62	%
Net investment income	1.62	%(c)	3.78	%	4.53	%	5.25	%	5.39	%	5.54	%
Supplemental Data:
Net assets, end of period (000)	$105,131		$126,256		$166,433		$225,154		$295,027		$530,340
Portfolio turnover rate	71.54	%(c)	87.69	%	43.16	%	45.87	%	35.73	%	42.65	%

(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. 47

Financial Highlights (continued)

	Class C Shares
	Six Months
	Ended
	6/30/2015		Year Ended 12/31
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$7.95		$8.17		$8.16		$7.65		$7.83		$7.36
Investment operations:
Net investment income(a)	.14		.32		.37		.42		.42		.42
Net realized and unrealized gain (loss)	.07		–	(b)	.19		.51		(.17	)	.46
Total from investment operations	.21		.32		.56		.93		.25		.88
Distributions to shareholders from:
Net investment income	(.15	)	(.34	)	(.38	)	(.42	)	(.43	)	(.41	)
Net realized gain	–		(.20	)	(.17	)	–		–		–
Total distributions	(.15	)	(.54	)	(.55	)	(.42	)	(.43	)	(.41	)
Net asset value, end of period	$8.01		$7.95		$8.17		$8.16		$7.65		$7.83
Total Return(c)	2.63	%(d)	3.85	%	7.08	%	12.47	%	3.22	%	12.34	%
Ratios to Average Net Assets:
Expenses, including expense reductions	.72	%(d)	1.50	%	1.61	%	1.61	%	1.62	%	1.62	%
Expenses, excluding expense reductions	.72	%(d)	1.50	%	1.61	%	1.61	%	1.62	%	1.62	%
Net investment income	1.70	%(d)	3.86	%	4.52	%	5.23	%	5.42	%	5.54	%
Supplemental Data:
Net assets, end of period (000)	$2,072,862		$2,082,896		$1,986,431		$2,051,198		$1,790,610		$1,866,405
Portfolio turnover rate	71.54	%(d)	87.69	%	43.16	%	45.87	%	35.73	%	42.65	%

(a)	Calculated using average shares outstanding during the period.
(b)	Amount is less than $0.01.
(c)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(d)	Not annualized.

48 See Notes to Financial Statements.

Financial Highlights (continued)

	Class F Shares
	Six Months
	Ended
	6/30/2015		Year Ended 12/31
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$7.91		$8.14		$8.13		$7.62		$7.80		$7.34
Investment operations:
Net investment income(a)	.17		.38		.44		.49		.49		.48
Net realized and unrealized gain (loss)	.08		(.01	)	.19		.51		(.17	)	.46
Total from investment operations	.25		.37		.63		1.00		.32		.94
Distributions to shareholders from:
Net investment income	(.18	)	(.40	)	(.45	)	(.49	)	(.50	)	(.48	)
Net realized gain	–		(.20	)	(.17	)	–		–		–
Total distributions	(.18	)	(.60	)	(.62	)	(.49	)	(.50	)	(.48	)
Net asset value, end of period	$7.98		$7.91		$8.14		$8.13		$7.62		$7.80
Total Return(b)	3.14	%(c)	4.53	%	8.05	%	13.50	%	4.12	%	13.24	%
Ratios to Average Net Assets:
Expenses, including expense reductions	.35	%(c)	.72	%	.71	%	.71	%	.72	%	.72	%
Expenses, excluding expense reductions	.35	%(c)	.72	%	.71	%	.71	%	.72	%	.72	%
Net investment income	2.05	%(c)	4.59	%	5.40	%	6.11	%	6.30	%	6.42	%
Supplemental Data:
Net assets, end of period (000)	$2,018,624		$1,817,781		$1,118,411		$1,047,325		$847,032		$695,689
Portfolio turnover rate	71.54	%(c)	87.69	%	43.16	%	45.87	%	35.73	%	42.65	%

(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 I Shares
	Six Months
	Ended
	6/30/2015		Year Ended 12/31
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$7.89		$8.11		$8.10		$7.60		$7.77		$7.31
Investment operations:
Net investment income(a)	.17		.38		.45		.49		.50		.49
Net realized and unrealized gain (loss)	.07		–	(b)	.19		.51		(.16	)	.46
Total from investment operations	.24		.38		.64		1.00		.34		.95
Distributions to shareholders from:
Net investment income	(.18	)	(.40	)	(.46	)	(.50	)	(.51	)	(.49	)
Net realized gain	–		(.20	)	(.17	)	–		–		–
Total distributions	(.18	)	(.60	)	(.63	)	(.50	)	(.51	)	(.49	)
Net asset value, end of period	$7.95		$7.89		$8.11		$8.10		$7.60		$7.77
Total Return(c)	3.05	%(d)	4.76	%	8.16	%	13.49	%	4.35	%	13.40	%
Ratios to Average Net Assets:
Expenses, including expense reductions	.30	%(d)	.62	%	.61	%	.62	%	.62	%	.62	%
Expenses, excluding expense reductions	.30	%(d)	.62	%	.61	%	.62	%	.62	%	.62	%
Net investment income	2.09	%(d)	4.68	%	5.48	%	6.25	%	6.39	%	6.53	%
Supplemental Data:
Net assets, end of period (000)	$437,668		$393,851		$345,614		$230,006		$316,777		$353,941
Portfolio turnover rate	71.54	%(d)	87.69	%	43.16	%	45.87	%	35.73	%	42.65	%

(a)	Calculated using average shares outstanding during the period.
(b)	Amount is less than $.01.
(c)	Total return assumes the reinvestment of all distributions.
(d)	Not annualized.

50 See Notes to Financial Statements.

Financial Highlights (continued)

	Class P Shares
	Six Months
	Ended
	6/30/2015		Year Ended 12/31
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$8.10		$8.33		$8.31		$7.79		$7.98		$7.49
Investment operations:
Net investment income(a)	.16		.38		.44		.48		.48		.47
Net realized and unrealized gain (loss)	.09		(.01	)	.20		.52		(.18	)	.48
Total from investment operations	.25		.37		.64		1.00		.30		.95
Distributions to shareholders from:
Net investment income	(.18	)	(.40	)	(.45	)	(.48	)	(.49	)	(.46	)
Net realized gain	–		(.20	)	(.17	)	–		–		–
Total distributions	(.18	)	(.60	)	(.62	)	(.48	)	(.49	)	(.46	)
Net asset value, end of period	$8.17		$8.10		$8.33		$8.31		$7.79		$7.98
Total Return(b)	3.04	%(c)	4.39	%	7.92	%	13.21	%	3.88	%	12.73	%
Ratios to Average Net Assets:
Expenses, including expense reductions	.42	%(c)	.87	%	.91	%	.96	%	1.03	%	1.07	%
Expenses, excluding expense reductions	.42	%(c)	.87	%	.91	%	.96	%	1.03	%	1.07	%
Net investment income	1.99	%(c)	4.51	%	5.23	%	5.88	%	6.01	%	6.08	%
Supplemental Data:
Net assets, end of period (000)	$41,513		$44,078		$79,051		$99,968		$109,252		$143,083
Portfolio turnover rate	71.54	%(c)	87.69	%	43.16	%	45.87	%	35.73	%	42.65	%

(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

Financial Highlights (continued)

	Class R2 Shares
	Six Months
	Ended
	6/30/2015		Year Ended 12/31
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$7.93		$8.15	��	$8.14		$7.63		$7.81		$7.35
Investment operations:
Net investment income(a)	.15		.34		.40		.45		.46		.45
Net realized and unrealized gain (loss)	.07		–	(b)	.19		.52		(.18	)	.45
Total from investment operations	.22		.34		.59		.97		.28		.90
Distributions to shareholders from:
Net investment income	(.16	)	(.36	)	(.41	)	(.46	)	(.46	)	(.44	)
Net realized gain	–		(.20	)	(.17	)	–		–		–
Total distributions	(.16	)	(.56	)	(.58	)	(.46	)	(.46	)	(.44	)
Net asset value, end of period	$7.99		$7.93		$8.15		$8.14		$7.63		$7.81
Total Return(c)	2.76	%(d)	4.15	%	7.52	%	12.94	%	3.62	%	12.63	%
Ratios to Average Net Assets:
Expenses, including expense reductions	.60	%(d)	1.22	%	1.21	%	1.21	%	1.22	%	1.22	%
Expenses, excluding expense reductions	.60	%(d)	1.22	%	1.21	%	1.21	%	1.22	%	1.22	%
Net investment income	1.82	%(d)	4.13	%	4.92	%	5.62	%	5.84	%	5.92	%
Supplemental Data:
Net assets, end of period (000)	$4,151		$4,557		$3,442		$2,624		$1,629		$1,234
Portfolio turnover rate	71.54	%(d)	87.69	%	43.16	%	45.87	%	35.73	%	42.65	%

(a)	Calculated using average shares outstanding during the period.
(b)	Amount is less than $.01.
(c)	Total return assumes the reinvestment of all distributions.
(d)	Not annualized.

52 See Notes to Financial Statements.

Financial Highlights (concluded)

	Class R3 Shares
	Six Months
	Ended
	6/30/2015		Year Ended 12/31
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$7.91		$8.14		$8.13		$7.62		$7.80		$7.34
Investment operations:
Net investment income(a)	.15		.35		.41		.45		.46		.45
Net realized and unrealized gain (loss)	.08		(.01	)	.19		.52		(.17	)	.46
Total from investment operations	.23		.34		.60		.97		.29		.91
Distributions to shareholders from:
Net investment income	(.16	)	(.37	)	(.42	)	(.46	)	(.47	)	(.45	)
Net realized gain	–		(.20	)	(.17	)	–		–		–
Total distributions	(.16	)	(.57	)	(.59	)	(.46	)	(.47	)	(.45	)
Net asset value, end of period	$7.98		$7.91		$8.14		$8.13		$7.62		$7.80
Total Return(b)	2.94	%(c)	4.13	%	7.63	%	13.07	%	3.73	%	12.83	%
Ratios to Average Net Assets:
Expenses, including expense reductions	.55	%(c)	1.10	%	1.11	%	1.11	%	1.12	%	1.12	%
Expenses, excluding expense reductions	.55	%(c)	1.10	%	1.11	%	1.11	%	1.12	%	1.12	%
Net investment income	1.86	%(c)	4.24	%	5.01	%	5.73	%	5.94	%	6.03	%
Supplemental Data:
Net assets, end of period (000)	$106,978		$111,368		$85,119		$69,100		$47,338		$34,991
Portfolio turnover rate	71.54	%(c)	87.69	%	43.16	%	45.87	%	35.73	%	42.65	%

(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. 53

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 eleven classes of shares: Class A, B, C, F, I, P, R2, R3, R4, R5 and R6, each with different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. Classes R4, R5 and R6 shares commenced at the close of business on June 30, 2015, accordingly results from operations and financial highlights for these share classes are not presented for the period covered in this report. There is no front-end sales charge in the case of Class B, C, F, I, P, R2, R3, R4, R5 and R6 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 based on evaluated prices supplied by independent pricing services, which reflect broker/dealer supplied valuations and the independent pricing services’ own electronic data processing techniques. Floating rate loans are valued at the average of bid and ask

54

Notes to Financial Statements (unaudited)(continued)

	quotations obtained from dealers in loans on the basis of prices supplied by independent pricing services. Exchange traded options and futures contracts are valued at the last sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and 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/dealers to the extent available.
	Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values, yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and 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, 2011 through December 31, 2014. 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, R3 and R4 shares bear their class-specific share of all expenses and fees relating to the Fund’s 12b-1 Distribution Plan.

55

Notes to Financial Statements (unaudited)(continued)

(f)	Foreign Transactions–The books and records of the Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in the Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on futures contracts and translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions are included in Net realized gain on 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 solely 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 futures contracts 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 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 in lieu of 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.

56

Notes to Financial Statements (unaudited)(continued)

(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, 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

57

Notes to Financial Statements (unaudited)(continued)

bankruptcy, the Fund may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest.

Unfunded commitments represent the remaining obligation of the Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statement of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments presented on the Statement of Assets and Liabilities represents mark to market of the unfunded portion of the Fund’s floating rate notes. As of June 30, 2015, the Fund had the following unfunded loan commitments:

Security Name
Informatica Corp. Bridge Term Loan	$	9,018,000
Rite Aid Corp. Bridge Term Loan		23,900,000
Total	$	32,918,000

(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, 2015 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.

58

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, 2015, the effective management fee was at an annualized rate of .45% of the Fund’s average daily net assets.

In addition, Lord Abbett provides certain administrative services to the Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of .04% of the Fund’s average daily net assets.

12b-1 Distribution Plan

The Fund has adopted a distribution plan with respect to Class A, B, C, F, P, R2, R3, and R4 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 authorized by the Board pursuant to the plan:

Fees*	Class A	Class B	Class C(1)	Class F	Class P	Class R2	Class R3	Class R4
Service	.15%	.25%	.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)

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.

Class I, Class R5 and Class R6 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, 2015:

Distributor	Dealers
Commissions	Concessions
$194,650	$1,327,356

Distributor received CDSCs of $37,982 and $118,361 for Class A and Class C shares, respectively, for the six months ended June 30, 2015.

A Director and certain of the Fund’s officers have an interest in Lord Abbett.

59

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, 2015 and fiscal year ended December 31, 2014 was as follows:

	Six Months Ended
	6/30/2015	Year Ended
	(unaudited)	12/31/2014
Distributions paid from:
Ordinary income	$201,810,532	$435,493,994
Net long-term capital gains	–	206,443,257
Total distributions paid	$201,810,532	$641,937,251

As of June 30, 2015, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:

Tax cost	$9,377,714,787
Gross unrealized gain	294,591,945
Gross unrealized loss	(238,863,928	)
Net unrealized security gain	$     55,728,017

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, 2015 were as follows:

U.S.	Non-U.S.	U.S.	Non-U.S
Government	Government	Government	Government
Purchases*	Purchases	Sales*	Sales
$1,817,603,472	$4,995,123,670	$2,317,276,866	$4,655,417,434

* Includes U.S. Government sponsored enterprises securities.

60

Notes to Financial Statements (unaudited)(continued)

6. DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES    

The Fund entered into forward foreign currency exchange contracts for the six months ended June 30, 2015 (as described in note 2(g)). A forward foreign currency exchange contract reduces the Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. The Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and the Fund’s returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. The Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts.

The Fund entered into U.S. Treasury futures contracts for the six months ended June 30, 2015 (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, 2015 (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, 2015, the Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Fund’s use of derivative instruments:

		Foreign
	Interest Rate	Currency
Asset Derivatives	Contracts	Contracts
Forward Foreign Currency Exchange Contracts(1)	–	$2,169,225
Futures Contracts(2)	$9,192,884	–
Liability Derivatives
Forward Foreign Currency Exchange Contracts(3)	–	$1,874,716
Futures Contracts(2)	$2,700,236	–

(1)	Statement of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts.
(2)	Statement of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
(3)	Statement of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts.

61

Notes to Financial Statements (unaudited)(continued)

Transactions in derivative instruments for the six months ended June 30, 2015, were as follows:

				Foreign
	Interest Rate			Currency			Credit
	Contracts			Contracts			Contracts
Net Realized Gain (Loss)(1)
Forward Foreign Currency Exchange Contracts	$	–		$	4,475,506		$	–
Futures Contracts		(1,899,838	)		–			–
Total Return Swap		–			–			(503,687	)
Net Change in Unrealized Appreciation/Depreciation(2)
Forward Foreign Currency Exchange Contracts	$	–		$	(1,727,363	)	$	–
Futures Contracts		5,957,044			–			–
Total Return Swap		–			–			–
Average Number of Contracts/Notional Amounts*
Forward Foreign Currency Exchange Contracts(3)	$	–		$	142,979,238		$	–
Futures Contract(4)		4,756			–			–
Total Return Swap(3)		–			–		$	1,085,991

*	Calculated based on the number of contracts or notional amounts for the six months ended June 30, 2015.
(1)	Statements of Operations location: Net realized gain on futures contracts and foreign currency related transactions.
(2)	Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts 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:

62

Notes to Financial Statements (unaudited)(continued)

			Gross Amounts		Net Amounts of
			Offset in the		Assets Presented
	Gross Amounts of		Statement of Assets		in the Statement of
Description	Recognized Assets		and Liabilities		Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	2,169,225	$	–	$	2,169,225
Repurchase Agreement		158,954,652		–		158,954,652
Total	$	161,123,877	$	–	$	161,123,877

	Net Amounts
	of Assets		Amounts Not Offset in the
	Presented in		Statement of Assets and Liabilities
	the Statement					Cash			Securities
	of Assets and		Financial			Collateral			Collateral			Net
Counterparty	Liabilities		Instruments			Received(a)			Received(a)			Amount(b)
Bank of America	$	466,842		$            –		$	(380,000	)	$	–		$	86,842
Fixed Income Clearing Corp.		158,954,652		–			–			(158,954,652	)		–
J.P. Morgan Chase		123,207		(123,207	)		–			–			–
Morgan Stanley		1,579,176		(187,791	)		(1,020,000	)		–			371,385
Total	$	161,123,877		$(310,998	)	$	(1,400,000	)	$	(158,954,652	)	$	458,227

			Gross Amounts		Net Amounts of
			Offset in the		Liabilities Presented
	Gross Amounts of		Statement of Assets		in the Statement of
Description	Recognized Liabilities		and Liabilities		Assets and Liabilities
Forward Foreign Currency Exchange Contracts		$1,874,716	$	–	$	1,874,716
Total		$1,874,716	$	–	$	1,874,716

	Net Amounts
	of Liabilities		Amounts Not Offset in the
	Presented in		Statement of Assets and Liabilities
	the Statement					Cash			Securities
	of Assets and		Financial			Collateral			Collateral		Net
Counterparty	Liabilities		Instruments			Pledged(a)			Pledged(a)		Amount(c)
Deutsche Bank AG	$	7,324		$            –		$	–		$	–	$	7,324
J.P. Morgan Chase		1,679,601		(123,207	)		(1,470,000	)		–		86,394
Morgan Stanley		187,791		(187,791	)		–			–		–
Total	$	1,874,716		$(310,998	)	$	(1,470,000	)	$	–	$	93,718

(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, 2015.
(c)	Net amount represents the amount owed by the Fund to each counterparty as of June 30, 2015.

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

63

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  

During the six months ended June 30, 2015, the Fund and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) participated 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 for the Fund in Other expenses in the Statement of Operations. Any borrowings under the Facility will incur interest at current market rates as set forth in the credit agreement.

During the six months ended June 30, 2015, the Fund did not utilize 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 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

64

Notes to Financial Statements (unaudited)(continued)

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.

13. SUMMARY OF CAPITAL TRANSACTIONS  

Transactions in shares of beneficial interest were as follows:

				Six Months Ended
				June 30, 2015							Year Ended
				(unaudited)							December 31, 2014
Class A Shares	Shares				Amount			Shares			Amount
Shares sold		79,726,162			$	641,962,617			111,423,602			$	918,240,032
Converted from Class B*		1,368,565				11,080,395			2,142,810				17,618,759
Reinvestment of distributions		11,731,213				94,707,586			38,648,796				314,579,217
Shares reacquired		(75,716,349	)			(610,876,363	)		(168,224,672	)			(1,381,835,358	)
Increase (decrease)		17,109,591			$	136,874,235			(16,009,464	)		$	(131,397,350	)

65

Notes to Financial Statements (unaudited)(continued)

				Six Months Ended
				June 30, 2015							Year Ended
				(unaudited)							December 31, 2014
Class B Shares	Shares				Amount			Shares			Amount
Shares sold		60,763			$	492,358			259,140			$	2,132,074
Reinvestment of distributions		220,839				1,789,252			951,988				7,772,967
Shares reacquired		(1,681,181	)			(13,617,055	)		(3,548,570	)			(29,301,431	)
Converted to Class A*		(1,363,747	)			(11,080,395	)		(2,135,198	)			(17,618,759	)
Decrease		(2,763,326	)		$	(22,415,840	)		(4,472,640	)		$	(37,015,149	)
Class C Shares
Shares sold		19,318,235			$	156,344,793			48,845,002			$	403,643,174
Reinvestment of distributions		3,808,149				30,816,352			13,254,542				107,967,916
Shares reacquired		(26,508,251	)			(214,456,830	)		(43,041,566	)			(354,442,454	)
Increase (decrease)		(3,381,867	)		$	(27,295,685	)		19,057,978			$	157,168,636
Class F Shares
Shares sold		69,441,955			$	559,839,511			142,877,845			$	1,176,107,584
Reinvestment of distributions		4,268,593				34,416,686			11,251,747				91,167,797
Shares reacquired		(50,399,472	)			(405,592,647	)		(61,839,426	)			(504,666,801	)
Increase		23,311,076			$	188,663,550			92,290,166			$	762,608,580
Class I Shares
Shares sold		42,360,889			$	338,996,918			59,997,674			$	488,856,081
Reinvestment of distributions		1,027,842				8,256,911			2,697,413				21,835,532
Shares reacquired		(38,271,300	)			(306,784,791	)		(55,352,723	)			(449,121,726	)
Increase		5,117,431			$	40,469,038			7,342,364			$	61,569,887
Class P Shares
Shares sold		206,348			$	1,702,132			1,140,401			$	9,603,269
Reinvestment of distributions		111,013				916,095			553,934				4,626,282
Shares reacquired		(675,674	)			(5,558,637	)		(5,745,354	)			(47,825,088	)
Decrease		(358,313	)		$	(2,940,410	)		(4,051,019	)		$	(33,595,537	)
Class R2 Shares
Shares sold		77,066			$	621,106			374,253			$	3,049,250
Reinvestment of distributions		4,410				35,590			11,613				93,653
Shares reacquired		(136,989	)			(1,105,528	)		(233,027	)			(1,923,163	)
Increase (decrease)		(55,513	)		$	(448,832	)		152,839			$	1,219,740
Class R3 Shares
Shares sold		2,146,123			$	17,312,580			5,507,881			$	45,366,853
Reinvestment of distributions		257,257				2,073,204			894,567				7,256,925
Shares reacquired		(3,067,857	)			(24,496,247	)		(2,786,607	)			(22,787,182	)
Increase (decrease)		(664,477	)		$	(5,110,463	)		3,615,841			$	29,836,596
Class R4 Shares(a)
Shares sold		1,252			$	10,000			–			$	–
Increase		1,252			$	10,000			–			$	–

66

Notes to Financial Statements (unaudited)(concluded)

	Six Months Ended June 30, 2015 (unaudited)				Year Ended December 31, 2014
Class R5 Shares(a)		Shares		Amount		Shares		Amount
Shares sold		1,258	$	10,000		–	$	–
Increase		1,258	$	10,000		–	$	–
Class R6 Shares(a)
Shares sold		1,258	$	10,000		–	$	–
Increase		1,258	$	10,000		–	$	–

*	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.
(a)	Shares commenced at the close of business on June 30, 2015.

14. RECENT ACCOUNTING PRONOUNCEMENT  

In June 2014, FASB issued ASU 2014-11 Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures to improve the financial reporting of repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into repurchase agreements or securities lending transactions. The guidance is effective for financial statements with fiscal years beginning after December 15, 2014. The effective dates for interim periods vary for the requirements within this guidance. Management does not believe the impact, if any, of this guidance will be material to the Fund’s financial statement disclosures.

67

Householding

The Fund has adopted a policy that allows it to send only one copy of the Fund’s prospectus, proxy material, annual report and semiannual report to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P.O. Box 219336, Kansas City, MO 64121.

Proxy Voting Policies, Procedures and Records

A description of the policies and procedures that Lord Abbett uses to vote proxies related to the Fund’s portfolio securities, and information on how Lord Abbett voted the Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.

Shareholder Reports and Quarterly Portfolio Disclosure

The Fund is required to file its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).

68

 

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		LABD-3
LORD ABBETT DISTRIBUTOR LLC.	Lord Abbett Bond-Debenture Fund, Inc.	(08/15)

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 20, 2015

By:	/s/ Joan A. Binstock
	Joan A. Binstock
	Chief Financial Officer and Vice President

Date: August 20, 2015

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 20, 2015

By:	/s/ Joan A. Binstock
	Joan A. Binstock
	Chief Financial Officer and Vice President

Date: August 20, 2015