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: 6/30/2016
Item 1: | Report(s) to Shareholders. |
2016 LORD ABBETT
SEMIANNUAL REPORT
Lord Abbett
Bond Debenture Fund
For the six-month period ended June 30, 2016
Table of Contents |
Lord Abbett Bond Debenture Fund
Semiannual Report
For the six-month period ended June 30, 2016
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, 2016. For additional information about the Fund, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Fund’s portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website.
Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.
Best regards,
Daria L. Foster
Director, President and Chief Executive Officer
1
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2016 through June 30, 2016).
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 1/1/16 – 6/30/16” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
For each class of the Fund, the second line of the table on the following page provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
2
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | |||||
1/1/16 | 6/30/16 | 1/1/16 - 6/30/16 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,060.20 | $4.20 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.79 | $4.12 | ||||
Class B | |||||||
Actual | $1,000.00 | $1,055.90 | $8.28 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,016.81 | $8.12 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,056.80 | $7.42 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,017.65 | $7.27 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,060.70 | $3.69 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.28 | $3.62 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,061.40 | $3.18 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.78 | $3.12 | ||||
Class P | |||||||
Actual | $1,000.00 | $1,060.50 | $4.46 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.54 | $4.37 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,058.10 | $6.24 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.80 | $6.12 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,058.70 | $5.73 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.29 | $5.62 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,059.90 | $4.40 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.59 | $4.32 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,062.80 | $3.13 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.83 | $3.07 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,061.90 | $2.72 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.23 | $2.66 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.82% for Class A, 1.62% for Class B, 1.45% for Class C, 0.72% for Class F, 0.62% for Class I, 0.87% for Class P, 1.22% for Class R2, 1.12% for Class R3, 0.86% for Class R4, 0.61% for Class R5 and 0.53% for Class R6) multiplied by the average account value over the period, multiplied by 182/366 (to reflect one-half year period). |
3
Portfolio Holdings Presented by Sector
June 30, 2016
Sector* | %** | |||
Asset Backed | 3.03 | % | ||
Automotive | 1.39 | % | ||
Banking | 6.45 | % | ||
Basic Industry | 14.16 | % | ||
Capital Goods | 4.93 | % | ||
Consumer Goods | 5.94 | % | ||
Energy | 13.78 | % | ||
Financial Services | 2.15 | % | ||
Foreign Government | 3.92 | % | ||
Healthcare | 7.46 | % | ||
Insurance | 1.64 | % | ||
Leisure | 3.41 | % | ||
Media | 4.43 | % | ||
Mortgage-Backed | 1.39 | % | ||
Municipal | 0.13 | % | ||
Real Estate | 1.26 | % | ||
Retail | 5.69 | % | ||
Service | 2.40 | % | ||
Technology & Electronics | 5.82 | % | ||
Telecommunications | 4.80 | % | ||
Transportation | 1.77 | % | ||
U.S. Government | 0.13 | % | ||
Utility | 3.79 | % | ||
Repurchase Agreement | 0.13 | % | ||
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, 2016
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 98.82% | ||||||||||||
ASSET-BACKED SECURITIES 2.19% | ||||||||||||
Automobiles 0.40% | ||||||||||||
Drive Auto Receivables Trust 2016-BA B† | 2.56% | 6/15/2020 | $ | 7,754 | $ | 7,790,704 | ||||||
Drive Auto Receivables Trust 2016-BA C† | 3.19% | 7/15/2022 | 7,754 | 7,774,701 | ||||||||
Drive Auto Receivables Trust 2016-BA D† | 4.53% | 8/15/2023 | 16,059 | 16,363,490 | ||||||||
Santander Drive Auto Receivables Trust 2016-2 B | 2.08% | 2/16/2021 | 4,175 | 4,196,072 | ||||||||
Total | 36,124,967 | |||||||||||
Other 1.79% | ||||||||||||
ALM XIX LLC 2016-19A C† | 4.984% | # | 7/15/2028 | 4,038 | 4,034,041 | |||||||
ALM XVIII Ltd. 2016-18A C†(a) | 5.007% | # | 7/15/2027 | 4,500 | 4,452,035 | |||||||
Anchorage Capital CLO 7 Ltd. 2015-7A D† | 4.272% | # | 10/15/2027 | 3,600 | 3,334,457 | |||||||
Anchorage Capital CLO 8 Ltd. 2016-8A D†(a) | 4.855% | # | 7/28/2028 | 1,750 | 1,666,875 | |||||||
Anchorage Capital CLO Ltd. 2013-1A C† | 4.122% | # | 7/13/2025 | 1,898 | 1,772,756 | |||||||
BlueMountain CLO Ltd. 2016-1A D† | 5.425% | # | 4/20/2027 | 4,200 | 4,245,361 | |||||||
Guggenheim 5180-2 CLO LP 2015-1A A2B† | 3.179% | # | 11/25/2027 | 22,500 | 22,528,726 | |||||||
JFIN CLO II Ltd. 2015-2A B1† | 2.915% | # | 10/19/2026 | 13,500 | 13,375,203 | |||||||
KKR Financial CLO Ltd. 2013-2A C† | 4.369% | # | 1/23/2026 | 3,500 | 3,303,789 | |||||||
Leaf Receivables Funding 11 LLC 2016-1 A3† | 2.05% | 6/15/2019 | 4,308 | 4,328,833 | ||||||||
Leaf Receivables Funding 11 LLC 2016-1 A4† | 2.49% | 4/15/2022 | 5,549 | 5,594,588 | ||||||||
MMAF Equipment Finance LLC 2016-AA A5† | 2.21% | 12/15/2032 | 6,500 | 6,567,006 | ||||||||
OHA Loan Funding Ltd. 2013-1A D† | 4.219% | # | 7/23/2025 | 4,350 | 4,066,604 | |||||||
OZLM VIII Ltd. 2014-8A A2A† | 2.77% | # | 10/17/2026 | 11,750 | 11,621,580 | |||||||
Sonic Capital LLC 2016-1A A2† | 4.472% | 5/20/2046 | 13,793 | 13,970,053 | ||||||||
Sound Point CLO XI Ltd. 2016-1A D† | 5.175% | # | 7/20/2028 | 13,000 | 12,372,205 | |||||||
Taco Bell Funding LLC 2016 1A A2II† | 4.377% | 5/25/2046 | 13,401 | 13,714,980 | ||||||||
Taco Bell Funding LLC 2016-1A A23† | 4.97% | 5/25/2046 | 16,082 | 16,529,917 | ||||||||
Voya CLO Ltd. 2016-2A C†(a) | 4.932% | # | 7/19/2028 | 5,250 | 5,132,662 | |||||||
Westcott Park Clo Ltd. 2016-1A D† | 5.007% | # | 7/20/2028 | 7,650 | 7,527,791 | |||||||
Total | 160,139,462 | |||||||||||
Total Asset-Backed Securities (cost $194,294,093) | 196,264,429 |
See Notes to Financial Statements. | 5 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Investments | Shares (000) | Fair Value | ||||||
COMMON STOCKS 13.64% | ||||||||
Aerospace/Defense 0.23% | ||||||||
Huntington Ingalls Industries, Inc. | 61 | $ | 10,221,265 | |||||
Northrop Grumman Corp. | 46 | 10,265,335 | ||||||
Total | 20,486,600 | |||||||
Auto Parts & Equipment 0.19% | ||||||||
Chassix Holdings, Inc. | 607 | 16,997,596 | ||||||
Automakers 0.11% | ||||||||
Thor Industries, Inc. | 150 | 9,681,932 | ||||||
Banking 0.39% | ||||||||
Comerica, Inc. | 316 | 13,004,401 | ||||||
Cullen/Frost Bankers, Inc. | 208 | 13,266,547 | ||||||
Texas Capital Bancshares, Inc.* | 189 | 8,814,260 | ||||||
Total | 35,085,208 | |||||||
Beverages 0.26% | �� | |||||||
Amplify Snack Brands, Inc.* | 313 | 4,615,614 | ||||||
Molson Coors Brewing Co. Class B | 89 | 8,999,357 | ||||||
Monster Beverage Corp.* | 63 | 10,122,480 | ||||||
Total | 23,737,451 | |||||||
Building & Construction 0.21% | ||||||||
Granite Construction, Inc. | 307 | 13,996,513 | ||||||
Primoris Services Corp. | 232 | 4,389,867 | ||||||
Total | 18,386,380 | |||||||
Building Materials 0.61% | ||||||||
Beacon Roofing Supply, Inc.* | 305 | 13,862,303 | ||||||
Fortune Brands Home & Security, Inc. | 85 | 4,954,406 | ||||||
GMS, Inc.* | 326 | 7,255,725 | ||||||
Martin Marietta Materials, Inc. | 53 | 10,128,960 | ||||||
U.S. Concrete, Inc.* | 148 | 8,991,412 | ||||||
Vulcan Materials Co. | 75 | 9,085,615 | ||||||
Total | 54,278,421 | |||||||
Chemicals 0.54% | ||||||||
Albemarle Corp. | 117 | 9,317,260 | ||||||
FMC Corp. | 268 | 12,409,181 | ||||||
Mosaic Co. (The) | 354 | 9,270,731 |
6 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Investments | Shares (000) | Fair Value | ||||||
Chemicals (continued) | ||||||||
Scotts Miracle-Gro Co. (The) Class A | 132 | $ | 9,201,694 | |||||
WR Grace & Co. | 115 | 8,422,005 | ||||||
Total | 48,620,871 | |||||||
Consumer/Commercial/Lease Financing 0.10% | ||||||||
Discover Financial Services | 169 | 9,035,542 | ||||||
Discount Stores 0.15% | ||||||||
Amazon.com, Inc.* | 19 | 13,311,963 | ||||||
Diversified Capital Goods 0.20% | ||||||||
Belden, Inc. | 143 | 8,628,322 | ||||||
Illinois Tool Works, Inc. | 85 | 8,853,600 | ||||||
Total | 17,481,922 | |||||||
Electric: Integrated 0.10% | ||||||||
IDACORP, Inc. | 113 | 9,200,685 | ||||||
Electronics 0.42% | ||||||||
Applied Materials, Inc. | 426 | 10,203,526 | ||||||
Itron, Inc.* | 204 | 8,788,133 | ||||||
Littelfuse, Inc. | 78 | 9,204,046 | ||||||
Trimble Navigation Ltd.* | 392 | 9,552,409 | ||||||
Total | 37,748,114 | |||||||
Energy: Exploration & Production 0.90% | ||||||||
Callon Petroleum Co.* | 601 | 6,746,984 | ||||||
Carrizo Oil & Gas, Inc.* | 235 | 8,409,693 | ||||||
Concho Resources, Inc.* | 73 | 8,703,490 | ||||||
Diamondback Energy, Inc.* | 96 | 8,758,166 | ||||||
Memorial Resource Development Corp.* | 558 | 8,865,455 | ||||||
OGX Petroleo e Gas SA ADR | 315 | 114,556 | ||||||
Parsley Energy, Inc. Class A* | 345 | 9,323,875 | ||||||
Seven Generations Energy Ltd. Class A*(b) | CAD | 673 | 12,844,845 | |||||
SM Energy Co. | 301 | 8,126,811 | ||||||
WPX Energy, Inc.* | 942 | 8,770,616 | ||||||
Total | 80,664,491 | |||||||
Food & Drug Retailers 0.12% | ||||||||
Casey’s General Stores, Inc. | 83 | 10,894,420 |
See Notes to Financial Statements. | 7 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Investments | Shares (000) | Fair Value | ||||||
Food: Wholesale 0.42% | ||||||||
Blue Buffalo Pet Products, Inc.* | 512 | $ | 11,960,513 | |||||
Core-Mark Holding Co., Inc. | 242 | 11,356,802 | ||||||
Ingredion, Inc. | 36 | 4,686,066 | ||||||
WhiteWave Foods Co. (The)* | 212 | 9,968,319 | ||||||
Total | 37,971,700 | |||||||
Gaming 0.29% | ||||||||
Boyd Gaming Corp.* | 465 | 8,551,437 | ||||||
Wynn Resorts Ltd. | 190 | 17,190,782 | ||||||
Total | 25,742,219 | |||||||
Health Facilities 0.10% | ||||||||
VCA, Inc.* | 138 | 9,303,136 | ||||||
Investments & Miscellaneous Financial Services 0.28% | ||||||||
MarketAxess Holdings, Inc. | 73 | 10,642,989 | ||||||
TransUnion* | 296 | 9,885,633 | ||||||
WisdomTree Investments, Inc. | 431 | 4,221,448 | ||||||
Total | 24,750,070 | |||||||
Machinery 0.36% | ||||||||
Middleby Corp. (The)* | 80 | 9,231,525 | ||||||
Toro Co. (The) | 153 | 13,518,943 | ||||||
Xylem, Inc. | 214 | 9,551,528 | ||||||
Total | 32,301,996 | |||||||
Media: Content 0.01% | ||||||||
ION Media Networks, Inc.* | 4 | 1,206,938 | ||||||
Medical Products 1.25% | ||||||||
ABIOMED, Inc.* | 176 | 19,271,215 | ||||||
Align Technology, Inc.* | 116 | 9,347,586 | ||||||
Becton, Dickinson & Co. | 28 | 4,807,707 | ||||||
Boston Scientific Corp.* | 432 | 10,087,871 | ||||||
C.R. Bard, Inc. | 40 | 9,454,137 | ||||||
Charles River Laboratories International, Inc.* | 53 | 4,352,832 | ||||||
DENTSPLY SIRONA, Inc. | 154 | 9,580,093 | ||||||
Edwards Lifesciences Corp.* | 181 | 18,060,804 | ||||||
Glaukos Corp.* | 155 | 4,522,716 | ||||||
Intuitive Surgical, Inc.* | 21 | 13,894,901 |
8 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Investments | Shares (000) | Fair Value | ||||||
Medical Products (continued) | ||||||||
Thermo Fisher Scientific, Inc. | 62 | $ | 9,098,174 | |||||
Total | 112,478,036 | |||||||
Metals/Mining (Excluding Steel) 1.01% | ||||||||
Anglo American plc(b) | GBP | 979 | 9,594,643 | |||||
Fresnillo plc(b) | GBP | 670 | 14,754,301 | |||||
Goldcorp, Inc. (Canada)(c) | 719 | 13,748,023 | ||||||
Mirabela Nickel Ltd.*(b) | AUD | 31,268 | 233,195 | |||||
Newmont Mining Corp. | 352 | 13,771,688 | ||||||
Silver Wheaton Corp. (Canada)(c) | 602 | 14,159,648 | ||||||
Teck Resources Ltd. Class B (Canada)(c) | 747 | 9,833,104 | ||||||
U.S. Silica Holdings, Inc. | 413 | 14,226,803 | ||||||
Total | 90,321,405 | |||||||
Non-Electric Utilities 0.21% | ||||||||
American Water Works Co., Inc. | 109 | 9,187,505 | ||||||
Aqua America, Inc. | 280 | 9,995,569 | ||||||
Total | 19,183,074 | |||||||
Oil Field Equipment & Services 0.48% | ||||||||
Core Laboratories NV (Netherlands)(c) | 73 | 8,983,140 | ||||||
Halliburton Co. | 208 | 9,429,378 | ||||||
Helmerich & Payne, Inc. | 134 | 8,986,358 | ||||||
Patterson-UTI Energy, Inc. | 728 | 15,519,254 | ||||||
Total | 42,918,130 | |||||||
Packaging 0.10% | ||||||||
Avery Dennison Corp. | 116 | 8,695,069 | ||||||
Personal & Household Products 0.11% | ||||||||
Pool Corp. | 109 | 10,261,118 | ||||||
Pharmaceuticals 0.67% | ||||||||
ACADIA Pharmaceuticals, Inc.* | 339 | 11,014,587 | ||||||
Bristol-Myers Squibb Co. | 136 | 10,039,428 | ||||||
Juno Therapeutics, Inc.* | 209 | 8,022,120 | ||||||
Nevro Corp.* | 134 | 9,869,752 | ||||||
Penumbra, Inc.* | 80 | 4,783,800 | ||||||
Seattle Genetics, Inc.* | 142 | 5,755,313 | ||||||
Spark Therapeutics, Inc.* | 208 | 10,641,585 | ||||||
Total | 60,126,585 |
See Notes to Financial Statements. | 9 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Shares | Fair | |||||||
Investments | (000) | Value | ||||||
Property & Casualty 0.10% | ||||||||
Chubb Ltd. (Switzerland)(c) | 71 | $ | 9,241,197 | |||||
Rail 0.10% | ||||||||
Kansas City Southern | 98 | 8,783,775 | ||||||
Real Estate Investment Trusts 0.33% | ||||||||
Digital Realty Trust, Inc. | 83 | 9,009,549 | ||||||
DuPont Fabros Technology, Inc. | 215 | 10,237,739 | ||||||
QTS Realty Trust, Inc. Class A | 177 | 9,897,936 | ||||||
Total | 29,145,224 | |||||||
Recreation & Travel 0.21% | ||||||||
Six Flags Entertainment Corp. | 155 | 8,958,490 | ||||||
Vail Resorts, Inc. | 70 | 9,730,148 | ||||||
Total | 18,688,638 | |||||||
Restaurants 0.40% | ||||||||
Dave & Buster’s Entertainment, Inc.* | 191 | 8,913,495 | ||||||
Panera Bread Co. Class A* | 41 | 8,658,385 | ||||||
Restaurant Brands International, Inc. (Canada)(c) | 210 | 8,727,763 | ||||||
Shake Shack, Inc. Class A* | 267 | 9,735,225 | ||||||
Total | 36,034,868 | |||||||
Software/Services 0.78% | ||||||||
Adobe Systems, Inc.* | 93 | 8,946,595 | ||||||
Arista Networks, Inc.* | 71 | 4,601,882 | ||||||
Ellie Mae, Inc.* | 111 | 10,161,694 | ||||||
Facebook, Inc. Class A* | 122 | 13,890,391 | ||||||
Genpact Ltd.* | 346 | 9,283,688 | ||||||
MSCI, Inc. | 117 | 9,011,086 | ||||||
Tencent Holdings Ltd.(b) | HKD 407 | 9,327,269 | ||||||
Veeva Systems, Inc. Class A* | 129 | 4,410,010 | ||||||
Total | 69,632,615 | |||||||
Specialty Retail 0.65% | ||||||||
Burlington Stores, Inc.* | 158 | 10,524,169 | ||||||
Carter’s, Inc. | 93 | 9,917,042 | ||||||
Columbia Sportswear Co. | 160 | 9,189,138 | ||||||
Deckers Outdoor Corp.* | 165 | 9,508,804 | ||||||
Moncler SpA(b) | EUR 521 | 8,228,554 |
10 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Shares | Fair | |||||||||||
Investments | (000) | Value | ||||||||||
Specialty Retail (continued) | ||||||||||||
SiteOne Landscape Supply, Inc.* | 320 | $ | 10,863,204 | |||||||||
Total | 58,230,911 | |||||||||||
Steel Producers/Products 0.22% | ||||||||||||
Reliance Steel & Aluminum Co. | 117 | 8,992,994 | ||||||||||
Worthington Industries, Inc. | 248 | 10,499,452 | ||||||||||
Total | 19,492,446 | |||||||||||
Support: Services 0.11% | ||||||||||||
Equifax, Inc. | 78 | 10,027,655 | ||||||||||
Technology Hardware & Equipment 0.37% | ||||||||||||
Broadcom Ltd. (Singapore)(c) | 56 | 8,667,280 | ||||||||||
NVIDIA Corp. | 314 | 14,756,909 | ||||||||||
Silicon Motion Technology Corp. ADR | 198 | 9,447,622 | ||||||||||
Total | 32,871,811 | |||||||||||
Telecommunications: Wireless 0.18% | ||||||||||||
Communications Sales & Leasing, Inc. | 224 | 6,479,293 | ||||||||||
T-Mobile US, Inc.* | 214 | 9,264,973 | ||||||||||
Total | 15,744,266 | |||||||||||
Telecommunications: Wireline Integrated & Services 0.37% | ||||||||||||
CyrusOne, Inc. | 164 | 9,101,467 | ||||||||||
Dycom Industries, Inc.* | 153 | 13,761,824 | ||||||||||
Equinix, Inc. | 27 | 10,324,862 | ||||||||||
Total | 33,188,153 | |||||||||||
Total Common Stocks (cost $1,103,729,080) | 1,221,952,631 | |||||||||||
Principal | ||||||||||||
Interest | Maturity | Amount | ||||||||||
Rate | Date | (000) | ||||||||||
CONVERTIBLE BONDS 0.29% | ||||||||||||
Automakers 0.10% | ||||||||||||
Tesla Motors, Inc. | 0.25% | 3/1/2019 | $ | 10,080 | 8,971,200 | |||||||
Energy: Exploration & Production 0.12% | ||||||||||||
Chesapeake Energy Corp. | 2.50% | 5/15/2037 | 10,040 | 9,362,300 | ||||||||
Oleo e Gas Participacoes SA(b)(d) | 10.00% | 6/1/2016 | BRL | 254 | 444,546 | |||||||
Oleo e Gas Participacoes SA(b)(d) | 10.00% | 6/1/2016 | BRL | 201 | 352,239 | |||||||
Total | 10,159,085 |
See Notes to Financial Statements. | 11 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Specialty Retail 0.07% | ||||||||||||
Restoration Hardware Holdings, Inc.† | Zero Coupon | 7/15/2020 | $ | 8,559 | $ | 6,462,045 | ||||||
Total Convertible Bonds (cost $26,353,535) | 25,592,330 |
Dividend | Shares | |||||||||||
Rate | (000) | |||||||||||
CONVERTIBLE PREFERRED STOCKS 0.30% | ||||||||||||
Electric: Integrated 0.10% | ||||||||||||
Black Hills Corp. Unit | Zero Coupon | 135 | 9,441,658 | |||||||||
Energy: Exploration & Production 0.10% | ||||||||||||
Southwestern Energy Co. | 6.25% | 284 | 8,546,895 | |||||||||
Software/Services 0.10% | ||||||||||||
Mandatory Exchangeable Trust† | 5.75% | 89 | 9,129,586 | |||||||||
Total Convertible Preferred Stocks (cost $26,375,363) | 27,118,139 |
Principal | ||||||||||||
Interest | Amount | |||||||||||
Rate | (000) | |||||||||||
FLOATING RATE LOANS(e) 2.98% | ||||||||||||
Auto Parts & Equipment 0.09% | ||||||||||||
Chassix, Inc. Initial Term Loan | 12.00% | 7/29/2019 | $ | 8,097 | 8,036,175 | |||||||
Chemicals 0.10% | ||||||||||||
Kraton Polymers LLC Initial Term Loan | 6.00% | 1/6/2022 | 8,700 | 8,587,640 | ||||||||
Diversified Capital Goods 0.30% | ||||||||||||
Duke Finance LLC 1st Lien Dollar Term Loan B | 7.00% | 10/28/2022 | 9,721 | 9,185,945 | ||||||||
Sensus USA, Inc. Term Loan | 6.50% | 4/5/2023 | 17,950 | 17,860,250 | ||||||||
Total | 27,046,195 | |||||||||||
Electric: Generation 0.05% | ||||||||||||
Moxie Liberty LLC Construction Term Loan B1 | 7.50% | 8/21/2020 | 4,326 | 4,228,665 | ||||||||
Electric: Integrated 0.11% | ||||||||||||
EFS Cogen Holdings I LLC Advance Term Loan B | 5.25% | 6/28/2023 | 9,650 | 9,686,187 | ||||||||
Energy: Exploration & Production 0.40% | ||||||||||||
California Resources Corp. Term Loan | –(f) | 9/24/2019 | 11,298 | 10,428,054 | ||||||||
Chief Exploration & Development LLC 2nd Lien Term Loan | 7.50% | 5/16/2021 | 16,393 | 14,871,467 | ||||||||
Jonah Energy LLC 2nd Lien Initial Term Loan | 7.50% | 5/12/2021 | 6,544 | 5,807,580 |
12 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Energy: Exploration & Production (continued) | ||||||||||||
Templar Energy LLC 2nd Lien New Term Loan | 8.50% | 11/25/2020 | $ | 17,180 | $ | 4,810,400 | ||||||
Total | 35,917,501 | |||||||||||
Gaming 0.40% | ||||||||||||
Amaya Holdings B.V. 1st Lien Initial Term Loan B (Netherlands)(c) | 5.00% | 8/1/2021 | 9,162 | 8,906,065 | ||||||||
Caesar’s Entertainment Resort Properties LLC Term Loan B | 7.00% | 10/11/2020 | 11,165 | 10,712,477 | ||||||||
Cowlitz Tribal Gaming Authority Term Loan B | 11.50% | 12/6/2021 | 17,230 | 16,023,900 | ||||||||
Total | 35,642,442 | |||||||||||
Health Services 0.05% | ||||||||||||
ATI Holdings Acquisition, Inc. 1st Lien Iniitial Term Loan | 5.50% | 5/10/2023 | 4,414 | 4,422,276 | ||||||||
Metals/Mining (Excluding Steel) 0.42% | ||||||||||||
Fairmount Santrol, Inc. Tranche Term Loan B2 | 4.50% | 9/5/2019 | 6,238 | 5,093,048 | ||||||||
FMG Resources Pty Ltd. Term Loan (Australia)(c) | 4.25% | 6/30/2019 | 19,259 | 18,488,247 | ||||||||
Murray Energy Corp. Term Loan B2 | 7.50% | 4/16/2020 | 11,992 | 8,814,247 | ||||||||
Oxbow Carbon LLC 2013 Tranche Term Loan B | 4.25% | 7/19/2019 | 195 | 193,305 | ||||||||
Oxbow Carbon LLC 2nd Lien Initial Term Loan | 8.00% | 1/17/2020 | 5,820 | 5,536,275 | ||||||||
Total | 38,125,122 | |||||||||||
Oil Field Equipment & Services 0.04% | ||||||||||||
FTS International, Inc. Initial Term Loan | –(f) | 4/16/2021 | 9,063 | 3,592,796 | ||||||||
Personal & Household Products 0.17% | ||||||||||||
Britax US Holdings, Inc. Initial Dollar Term Loan | 4.50% | 10/15/2020 | 18,276 | 15,077,777 | ||||||||
Recreation & Travel 0.10% | ||||||||||||
Delta 2 (Lux) S.A.R.L. 2nd Lien Facility Term Loan (Luxembourg)(c) | 7.75% | 7/29/2022 | 9,195 | 8,769,731 | ||||||||
Specialty Retail 0.19% | ||||||||||||
CWGS Group LLC Term Loan | 5.75% | 2/20/2020 | 8,398 | 8,353,111 | ||||||||
Gymboree Corp. (The) Term Loan | 5.00% | 2/23/2018 | 11,654 | 9,106,494 | ||||||||
Total | 17,459,605 | |||||||||||
Support: Services 0.36% | ||||||||||||
BakerCorp International, Inc. Refinanced Term Loan | 4.25% | 2/7/2020 | 6,904 | 6,334,244 | ||||||||
TruGreen Limited Partnership 1st Lien Initial Term Loan | 6.50% | 4/13/2023 | 7,175 | 7,219,844 |
See Notes to Financial Statements. | 13 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Support: Services (continued) | ||||||||||||
University Support Services LLC Term Loan | 6.25% | 7/6/2022 | $ | 19,210 | $ | 19,161,975 | ||||||
Total | 32,716,063 | |||||||||||
Telecommunications: Wireline Integrated & Services 0.20% | ||||||||||||
Fairpoint Communications, Inc. Term Loan | 7.50% | 2/14/2019 | 9,498 | 9,498,745 | ||||||||
Windstream Services LLC Tranche B6 Term Loan | 5.75% | 3/29/2021 | 8,331 | 8,312,917 | ||||||||
Total | 17,811,662 | |||||||||||
Total Floating Rate Loans (cost $273,406,840) | 267,119,837 | |||||||||||
FOREIGN BONDS(b) 0.48% | ||||||||||||
Mexico 0.12% | ||||||||||||
Red de Carreteras de Occidente S.A.P.I.B. de CV† | 9.00% | 6/10/2028 | MXN | 194,760 | 11,067,622 | |||||||
Netherlands 0.11% | ||||||||||||
Hema Bondco I BV† | 6.25% | 6/15/2019 | EUR | 11,825 | 10,027,453 | |||||||
Spain 0.15% | ||||||||||||
Banco Popular Espanol SA | 11.50% | – | (g) | EUR | 11,800 | 13,015,404 | ||||||
United Kingdom 0.10% | ||||||||||||
Premier Foods Finance plc† | 6.50% | 3/15/2021 | GBP | 6,725 | 8,572,165 | |||||||
Total Foreign Bonds (cost $48,463,697) | 42,682,644 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 4.37% | ||||||||||||
Angola 0.11% | ||||||||||||
Republic of Angola†(c) | 9.50% | 11/12/2025 | $ | 9,710 | 9,661,450 | |||||||
Argentina 0.81% | ||||||||||||
City of Buenos Aires†(c) | 7.50% | 6/1/2027 | 5,475 | 5,721,375 | ||||||||
City of Buenos Aires†(c) | 8.95% | 2/19/2021 | 8,675 | 9,716,000 | ||||||||
Provincia de Mendoza†(c) | 8.375% | 5/19/2024 | 11,654 | 12,120,160 | ||||||||
Provincia of Neuquen†(c) | 8.625% | 5/12/2028 | 7,738 | 8,144,245 | ||||||||
Republic of Argentina†(c) | 7.50% | 4/22/2026 | 4,675 | 5,065,363 | ||||||||
Republic of Argentina†(c) | 7.625% | 4/22/2046 | 6,025 | 6,522,062 | ||||||||
Republic of Argentina(c) | 8.75% | 5/7/2024 | 22,400 | 25,734,800 | ||||||||
Total | 73,024,005 | |||||||||||
Armenia 0.15% | ||||||||||||
Abu Dhabi Government International†(c) | 3.125% | 5/3/2026 | 12,745 | 13,165,713 |
14 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Australia 0.47% | ||||||||||||
Australian Government(b) | 4.25% | 4/21/2026 | AUD | 26,802 | $ | 24,011,505 | ||||||
Queensland Treasury Corp.†(b) | 4.00% | 6/21/2019 | AUD | 22,400 | 17,745,747 | |||||||
Total | 41,757,252 | |||||||||||
Bahamas 0.11% | ||||||||||||
Commonwealth of Bahamas†(c) | 5.75% | 1/16/2024 | $ | 9,025 | 9,476,250 | |||||||
Bermuda 0.25% | ||||||||||||
Government of Bermuda† | 4.138% | 1/3/2023 | 11,720 | 12,218,100 | ||||||||
Government of Bermuda† | 4.854% | 2/6/2024 | 9,225 | 9,916,875 | ||||||||
Total | 22,134,975 | |||||||||||
Brazil 0.27% | ||||||||||||
Federal Republic of Brazil†(c) | 5.333% | 2/15/2028 | 10,540 | 9,459,650 | ||||||||
Federal Republic of Brazil(c) | 6.00% | 4/7/2026 | 13,232 | 14,389,800 | ||||||||
Total | 23,849,450 | |||||||||||
Canada 0.42% | ||||||||||||
Province of British Columbia Canada(b) | 2.85% | 6/18/2025 | CAD | 44,800 | 37,831,805 | |||||||
Cayman Islands 0.07% | ||||||||||||
Cayman Islands Government† | 5.95% | 11/24/2019 | $ | 5,280 | 5,966,400 | |||||||
Cyprus 0.24% | ||||||||||||
Republic of Cyprus(b) | 4.75% | 6/25/2019 | EUR | 18,200 | 21,643,180 | |||||||
Dominican Republic 0.25% | ||||||||||||
Dominican Republic†(c) | 6.85% | 1/27/2045 | $ | 21,835 | 22,708,400 | |||||||
Ethiopia 0.15% | ||||||||||||
Republic of Ethiopia†(c) | 6.625% | 12/11/2024 | 14,500 | 13,593,750 | ||||||||
Gabon 0.10% | ||||||||||||
Republic of Gabon†(c) | 6.375% | 12/12/2024 | 10,700 | 9,255,500 | ||||||||
Greece 0.10% | ||||||||||||
Hellenic Republic†(b) | 4.75% | 4/17/2019 | EUR | 8,967 | 9,025,552 | |||||||
Honduras 0.11% | ||||||||||||
Honduras Government†(c) | 7.50% | 3/15/2024 | $ | 9,100 | 9,919,000 | |||||||
Jamaica 0.35% | ||||||||||||
Government of Jamaica(c) | 6.75% | 4/28/2028 | 13,650 | 14,366,625 | ||||||||
Government of Jamaica(c) | 7.625% | 7/9/2025 | 9,550 | 10,696,000 |
See Notes to Financial Statements. | 15 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Jamaica (continued) | ||||||||||||
Government of Jamaica(c) | 8.00% | 3/15/2039 | $ | 6,190 | $ | 6,809,000 | ||||||
Total | 31,871,625 | |||||||||||
Paraguay 0.16% | ||||||||||||
Republic of Paraguay†(c) | 4.625% | 1/25/2023 | 8,800 | 9,196,000 | ||||||||
Republic of Paraguay†(c) | 5.00% | 4/15/2026 | 4,800 | 5,076,000 | ||||||||
Total | 14,272,000 | |||||||||||
Qatar 0.16% | ||||||||||||
State of Qatar†(c) | 4.625% | 6/2/2046 | 13,425 | 14,654,569 | ||||||||
Sri Lanka 0.09% | ||||||||||||
Republic of Sri Lanka†(c) | 6.25% | 10/4/2020 | 3,600 | 3,681,454 | ||||||||
Republic of Sri Lanka†(c) | 6.25% | 7/27/2021 | 4,300 | 4,340,957 | ||||||||
Total | 8,022,411 | |||||||||||
Total Foreign Government Obligations (cost $370,267,523) | 391,833,287 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGH 0.94% | ||||||||||||
Federal National Mortgage Assoc.(h) (cost $83,151,562) | 3.00% | TBA | 81,000 | 84,065,957 | ||||||||
HIGH YIELD CORPORATE BONDS 72.61% | ||||||||||||
Advertising 0.33% | ||||||||||||
Clear Channel Worldwide Holdings, Inc. | 6.50% | 11/15/2022 | 13,499 | 13,566,495 | ||||||||
Lamar Media Corp.† | 5.75% | 2/1/2026 | 4,938 | 5,150,976 | ||||||||
Southern Graphics, Inc.† | 8.375% | 10/15/2020 | 11,075 | 11,130,375 | ||||||||
Total | 29,847,846 | |||||||||||
Aerospace/Defense 0.67% | ||||||||||||
Aerojet Rocketdyne Holdings, Inc. | 7.125% | 3/15/2021 | 15,000 | 15,828,750 | ||||||||
CPI International, Inc. | 8.75% | 2/15/2018 | 12,156 | 12,125,610 | ||||||||
Huntington Ingalls Industries, Inc.† | 5.00% | 12/15/2021 | 7,725 | 8,111,250 | ||||||||
Huntington Ingalls Industries, Inc.† | 5.00% | 11/15/2025 | 4,497 | 4,766,820 | ||||||||
Lockheed Martin Corp. | 4.70% | 5/15/2046 | 7,948 | 9,408,715 | ||||||||
TransDigm, Inc. | 6.50% | 7/15/2024 | 9,399 | 9,581,153 | ||||||||
Total | 59,822,298 | |||||||||||
Air Transportation 0.21% | ||||||||||||
Air Canada (Canada)†(c) | 7.75% | 4/15/2021 | 10,183 | 10,615,777 | ||||||||
Air Canada 2015-2 Class A Pass-Through Trust (Canada)†(c) | 4.125% | 12/15/2027 | 7,986 | 8,235,563 | ||||||||
Total | 18,851,340 |
16 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Auto Parts & Equipment 0.52% | ||||||||||||
Gates Global LLC/Gates Global Co.† | 6.00% | 7/15/2022 | $ | 11,902 | $ | 10,473,760 | ||||||
International Automotive Components Group SA (Luxembourg)†(c) | 9.125% | 6/1/2018 | 10,028 | 10,078,140 | ||||||||
MPG Holdco I, Inc. | 7.375% | 10/15/2022 | 8,530 | 8,423,375 | ||||||||
Nemak SA de CV (Mexico)†(c) | 5.50% | 2/28/2023 | 5,611 | 5,835,440 | ||||||||
TI Group Automotive Systems LLC† | 8.75% | 7/15/2023 | 12,004 | 11,823,940 | ||||||||
Total | 46,634,655 | |||||||||||
Automakers 0.10% | ||||||||||||
BMW US Capital LLC† | 2.80% | 4/11/2026 | 8,935 | 9,176,468 | ||||||||
General Motors Co.(d) | 8.375% | – | (g) | 15,000 | 1,500 | |||||||
Total | 9,177,968 | |||||||||||
Banking 6.18% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(c) | 4.75% | 7/28/2025 | 21,251 | 22,140,992 | ||||||||
Ally Financial, Inc. | 5.75% | 11/20/2025 | 22,037 | 22,174,731 | ||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 7,240 | 8,416,500 | ||||||||
Australia & New Zealand Banking Group Ltd. (United Kingdom)†(c) | 6.75% | – | (g) | 19,085 | 19,738,604 | |||||||
Banco Bilbao Vizcaya Argentaria SA (Spain)(c) | 9.00% | – | (g) | 9,000 | 9,003,519 | |||||||
Banco Bradesco SA† | 5.90% | 1/16/2021 | 8,979 | 9,380,541 | ||||||||
Bank of America Corp. | 4.20% | 8/26/2024 | 7,900 | 8,180,418 | ||||||||
Bank of America Corp. | 4.25% | 10/22/2026 | 17,787 | 18,485,122 | ||||||||
Bank of America Corp. | 6.50% | – | (g) | 7,000 | 7,463,750 | |||||||
Bank of America Corp. | 8.00% | – | (g) | 7,000 | 6,965,000 | |||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 22,890 | 23,810,933 | ||||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 16,466 | 16,999,251 | ||||||||
Citizens Financial Group, Inc. | 4.35% | 8/1/2025 | 7,971 | 8,403,754 | ||||||||
Citizens Financial Group, Inc. | 5.50% | – | (g) | 14,385 | 13,826,862 | |||||||
Commerzbank AG (Germany)†(c) | 8.125% | 9/19/2023 | 11,651 | 13,642,505 | ||||||||
Commonwealth Bank of Australia (Australia)†(c) | 4.50% | 12/9/2025 | 7,979 | 8,361,976 | ||||||||
Credit Suisse Group AG (Switzerland)†(c) | 7.50% | – | (g) | 12,694 | 12,820,178 | |||||||
Credit Suisse Group Funding Guernsey Ltd. (Guernsey)(c) | 3.80% | 9/15/2022 | 12,816 | 12,889,026 | ||||||||
Goldman Sachs Group, Inc. (The) | 3.75% | 2/25/2026 | 11,839 | 12,485,256 | ||||||||
Goldman Sachs Group, Inc. (The) | 5.15% | 5/22/2045 | 16,857 | 17,653,460 | ||||||||
HSBC Holdings plc (United Kingdom)(c) | 4.25% | 8/18/2025 | 15,676 | 15,848,734 | ||||||||
Industrial & Commercial Bank of China Ltd. | 3.231% | 11/13/2019 | 14,050 | 14,609,724 | ||||||||
Intesa Sanpaolo SpA (Italy)†(c) | 5.71% | 1/15/2026 | 15,100 | 14,342,282 | ||||||||
Intesa Sanpaolo SpA (Italy)†(c) | 7.70% | – | (g) | 14,427 | 12,461,321 |
See Notes to Financial Statements. | 17 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Banking (continued) | ||||||||||||
JPMorgan Chase & Co. | 3.875% | 9/10/2024 | $ | 9,672 | $ | 10,031,305 | ||||||
JPMorgan Chase & Co. | 3.90% | 7/15/2025 | 7,714 | 8,329,323 | ||||||||
JPMorgan Chase & Co. | 6.75% | – | (g) | 7,902 | 8,711,955 | |||||||
Lloyds Banking Group plc (United Kingdom)†(c) | 4.582% | 12/10/2025 | 17,464 | 17,589,199 | ||||||||
Lloyds Banking Group plc (United Kingdom)(c) | 7.50% | – | (g) | 9,098 | 8,916,040 | |||||||
Macquarie Bank Ltd. (Australia)†(c) | 1.60% | 10/27/2017 | 5,975 | 5,982,534 | ||||||||
Macquarie Group Ltd. (Australia)†(c) | 6.00% | 1/14/2020 | 7,700 | 8,590,813 | ||||||||
Morgan Stanley | 4.00% | 7/23/2025 | 8,326 | 8,932,383 | ||||||||
National Savings Bank (Sri Lanka)†(c) | 5.15% | 9/10/2019 | 9,585 | 9,350,934 | ||||||||
Nordea Bank AB (Sweden)†(c) | 6.125% | – | (g) | 12,386 | 11,751,218 | |||||||
Popular, Inc. | 7.00% | 7/1/2019 | 18,940 | 18,655,900 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(c) | 5.125% | 5/28/2024 | 5,151 | 5,030,796 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(c) | 6.00% | 12/19/2023 | 3,009 | 3,066,671 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(c) | 6.10% | 6/10/2023 | 4,000 | 4,096,696 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(c) | 7.50% | – | (g) | 27,476 | 25,209,230 | |||||||
Santander UK Group Holdings plc (United Kingdom)†(c) | 4.75% | 9/15/2025 | 17,584 | 17,407,632 | ||||||||
Santander UK plc (United Kingdom)(c) | 7.95% | 10/26/2029 | 1,913 | 2,352,990 | ||||||||
Sberbank of Russia Via SB Capital SA (Luxembourg)†(c) | 5.50% | 2/26/2024 | 9,578 | 9,453,007 | ||||||||
Synovus Financial Corp. | 7.875% | 2/15/2019 | 7,750 | 8,612,188 | ||||||||
UBS AG/Stamford CT | 7.625% | 8/17/2022 | 4,894 | 5,554,690 | ||||||||
UBS Group AG (Switzerland)(c) | 7.00% | – | (g) | 8,600 | 8,749,950 | |||||||
Washington Mutual Bank(d) | 6.875% | 6/15/2011 | 22,500 | 2,250 | ||||||||
Wells Fargo & Co. | 4.90% | 11/17/2045 | 15,891 | 17,431,696 | ||||||||
Total | 553,913,839 | |||||||||||
Beverages 1.36% | ||||||||||||
Anheuser-Busch InBev Finance, Inc. | 3.65% | 2/1/2026 | 27,672 | 29,702,322 | ||||||||
Brown-Forman Corp. | 4.50% | 7/15/2045 | 15,274 | 17,499,727 | ||||||||
Coca-Cola Bottling Co. Consolidated | 3.80% | 11/25/2025 | 7,947 | 8,521,115 | ||||||||
Constellation Brands, Inc. | 4.25% | 5/1/2023 | 14,350 | 14,995,750 | ||||||||
Constellation Brands, Inc. | 4.75% | 11/15/2024 | 4,700 | 4,970,250 | ||||||||
Constellation Brands, Inc. | 6.00% | 5/1/2022 | 8,929 | 10,022,803 | ||||||||
Dr. Pepper Snapple Group, Inc. | 4.50% | 11/15/2045 | 7,946 | 8,797,803 | ||||||||
PepsiCo, Inc. | 2.85% | 2/24/2026 | 11,838 | 12,411,906 |
18 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Beverages (continued) | ||||||||||||
PepsiCo, Inc. | 4.25% | 10/22/2044 | $ | 4,605 | $ | 5,178,567 | ||||||
PepsiCo, Inc. | 4.45% | 4/14/2046 | 8,417 | 9,848,025 | ||||||||
Total | 121,948,268 | |||||||||||
Brokerage 0.09% | ||||||||||||
TD Ameritrade Holding Corp. | 2.95% | 4/1/2022 | 7,996 | 8,337,565 | ||||||||
Building & Construction 1.26% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.† | 6.875% | 2/15/2021 | 11,740 | 10,595,350 | ||||||||
Brookfield Residential Properties, Inc. (Canada)†(c) | 6.50% | 12/15/2020 | 12,887 | 12,919,217 | ||||||||
DR Horton, Inc. | 4.75% | 2/15/2023 | 5,416 | 5,639,410 | ||||||||
K. Hovnanian Enterprises, Inc.† | 7.25% | 10/15/2020 | 13,656 | 11,880,720 | ||||||||
Lennar Corp. | 4.75% | 11/15/2022 | 10,775 | 11,003,969 | ||||||||
PulteGroup, Inc. | 6.375% | 5/15/2033 | 27,646 | 28,820,955 | ||||||||
Toll Brothers Finance Corp. | 5.625% | 1/15/2024 | 11,550 | 12,040,875 | ||||||||
William Lyon Homes, Inc. | 7.00% | 8/15/2022 | 19,276 | 19,179,620 | ||||||||
William Lyon Homes, Inc. | 8.50% | 11/15/2020 | 1,000 | 1,032,500 | ||||||||
Total | 113,112,616 | |||||||||||
Building Materials 1.55% | ||||||||||||
Builders FirstSource, Inc.† | 7.625% | 6/1/2021 | 8,856 | 9,298,800 | ||||||||
Builders FirstSource, Inc.† | 10.75% | 8/15/2023 | 6,478 | 7,077,215 | ||||||||
Cemex SAB de CV (Mexico)†(c) | 7.75% | 4/16/2026 | 16,507 | 17,358,761 | ||||||||
HD Supply, Inc.† | 5.75% | 4/15/2024 | 3,998 | 4,167,915 | ||||||||
Hillman Group, Inc. (The)† | 6.375% | 7/15/2022 | 11,803 | 10,563,685 | ||||||||
Martin Marietta Materials, Inc. | 4.25% | 7/2/2024 | 9,986 | 10,653,984 | ||||||||
Masco Corp. | 4.375% | 4/1/2026 | 5,532 | 5,733,863 | ||||||||
Masonite International Corp.† | 5.625% | 3/15/2023 | 8,636 | 9,003,030 | ||||||||
Ply Gem Industries, Inc. | 6.50% | 2/1/2022 | 8,720 | 8,508,463 | ||||||||
Standard Industries, Inc.† | 5.375% | 11/15/2024 | 17,513 | 17,907,042 | ||||||||
Standard Industries, Inc.† | 5.50% | 2/15/2023 | 8,239 | 8,465,572 | ||||||||
Voto-Votorantim Overseas Trading Operations IV Ltd.† | 7.75% | 6/24/2020 | 19,500 | 20,865,000 | ||||||||
Vulcan Materials Co. | 4.50% | 4/1/2025 | 8,960 | 9,609,600 | ||||||||
Total | 139,212,930 | |||||||||||
Cable & Satellite Television 3.92% | ||||||||||||
Altice Financing SA (Luxembourg)†(c) | 6.625% | 2/15/2023 | 10,300 | 10,151,886 | ||||||||
Altice Luxembourg SA (Luxembourg)†(c) | 7.75% | 5/15/2022 | 12,473 | 12,644,504 | ||||||||
Cablevision SA (Argentina)†(c) | 6.50% | 6/15/2021 | 8,595 | 8,788,388 | ||||||||
Cablevision Systems Corp. | 5.875% | 9/15/2022 | 28,000 | 25,158,000 |
See Notes to Financial Statements. | 19 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Cable & Satellite Television (continued) | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.125% | 5/1/2023 | $ | 6,326 | $ | 6,377,399 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.875% | 4/1/2024 | 15,739 | 16,368,560 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital† | 4.908% | 7/23/2025 | 15,825 | 17,332,664 | ||||||||
Charter Communications Operating LLC/Charter | ||||||||||||
Communications Operating Capital† | 6.384% | 10/23/2035 | 9,418 | 11,184,986 | ||||||||
DISH DBS Corp.† | 7.75% | 7/1/2026 | 13,325 | 13,758,062 | ||||||||
Mediacom Broadband LLC/Mediacom Broadband Corp. | 6.375% | 4/1/2023 | 23,477 | 24,650,850 | ||||||||
Mediacom LLC/Mediacom Capital Corp. | 7.25% | 2/15/2022 | 4,401 | 4,648,556 | ||||||||
Neptune Finco Corp.† | 10.125% | 1/15/2023 | 8,050 | 9,036,125 | ||||||||
Neptune Finco Corp.† | 10.875% | 10/15/2025 | 47,846 | 54,813,335 | ||||||||
Numericable-SFR SA (France)†(c) | 6.00% | 5/15/2022 | 25,450 | 24,845,562 | ||||||||
RCN Telecom Services LLC/RCN Capital Corp.† | 8.50% | 8/15/2020 | 8,186 | 8,421,348 | ||||||||
Time Warner Cable, Inc. | 5.875% | 11/15/2040 | 13,691 | 14,958,759 | ||||||||
Unitymedia GmbH (Germany)†(c) | 6.125% | 1/15/2025 | 4,246 | 4,372,955 | ||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany)†(c) | 5.00% | 1/15/2025 | 11,798 | 11,621,030 | ||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany)†(c) | 5.50% | 1/15/2023 | 19,395 | 19,564,706 | ||||||||
UPCB Finance IV Ltd.† | 5.375% | 1/15/2025 | 16,988 | 16,903,060 | ||||||||
Virgin Media Finance plc (United Kingdom)†(c) | 6.00% | 10/15/2024 | 8,740 | 8,608,900 | ||||||||
Virgin Media Secured Finance plc (United Kingdom)†(c) | 5.375% | 4/15/2021 | 10,123 | 10,338,318 | ||||||||
VTR Finance BV (Netherlands)†(c) | 6.875% | 1/15/2024 | 10,065 | 10,059,766 | ||||||||
Wave Holdco LLC/Wave Holdco Corp. PIK† | 8.25% | 7/15/2019 | 6,941 | 6,746,256 | ||||||||
Total | 351,353,975 | |||||||||||
Chemicals 1.13% | ||||||||||||
Albemarle Corp. | 5.45% | 12/1/2044 | 8,904 | 9,528,375 | ||||||||
Braskem Finance Ltd.† | 5.375% | 5/2/2022 | 5,015 | 4,964,850 | ||||||||
Braskem Finance Ltd. | 6.45% | 2/3/2024 | 8,776 | 8,908,518 | ||||||||
Celanese US Holdings LLC | 5.875% | 6/15/2021 | 5,554 | 6,234,365 | ||||||||
GCP Applied Technologies, Inc.† | 9.50% | 2/1/2023 | 2,937 | 3,289,440 | ||||||||
Grupo Idesa SA de CV (Mexico)†(c) | 7.875% | 12/18/2020 | 13,600 | 13,906,000 | ||||||||
Hexion, Inc. | 6.625% | 4/15/2020 | 10,363 | 8,718,392 | ||||||||
Huntsman International LLC | 5.125% | 11/15/2022 | 9,442 | 9,394,790 | ||||||||
Kraton Polymers LLC/Kraton Polymers Capital Corp.† | 10.50% | 4/15/2023 | 9,050 | 9,683,500 | ||||||||
Momentive Performance Materials, Inc. | 3.88% | 10/24/2021 | 5,618 | 4,487,378 |
20 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Chemicals (continued) | ||||||||||||
NOVA Chemicals Corp. (Canada)†(c) | 5.25% | 8/1/2023 | $ | 9,815 | $ | 9,900,881 | ||||||
PQ Corp.† | 6.75% | 11/15/2022 | 2,978 | 3,112,010 | ||||||||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. (Luxembourg)†(c) | 6.75% | 5/1/2022 | 1,465 | 1,465,000 | ||||||||
Tronox Finance LLC | 6.375% | 8/15/2020 | 10,659 | 7,967,602 | ||||||||
Total | 101,561,101 | |||||||||||
Consumer/Commercial/Lease Financing 0.55% | ||||||||||||
Discover Bank | 7.00% | 4/15/2020 | 7,523 | 8,575,159 | ||||||||
National Financial Partners Corp.† | 9.00% | 7/15/2021 | 13,646 | 13,202,505 | ||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 6.50% | 7/1/2021 | 10,200 | 8,772,000 | ||||||||
Navient Corp. | 5.00% | 10/26/2020 | 8,744 | 8,219,360 | ||||||||
OneMain Financial Holdings LLC† | 6.75% | 12/15/2019 | 2,182 | 2,135,633 | ||||||||
OneMain Financial Holdings LLC† | 7.25% | 12/15/2021 | 4,810 | 4,629,625 | ||||||||
Springleaf Finance Corp. | 7.75% | 10/1/2021 | 4,138 | 3,998,342 | ||||||||
Total | 49,532,624 | |||||||||||
Department Stores 0.11% | ||||||||||||
SACI Falabella (Chile)†(c) | 4.375% | 1/27/2025 | 8,850 | 9,385,177 | ||||||||
Discount Stores 0.95% | ||||||||||||
Amazon.com, Inc. | 4.80% | 12/5/2034 | 55,934 | 65,995,911 | ||||||||
Dollar Tree, Inc.† | 5.75% | 3/1/2023 | 18,009 | 19,224,608 | ||||||||
Total | 85,220,519 | |||||||||||
Diversified Capital Goods 1.60% | ||||||||||||
Accudyne Industries Borrower/Accudyne Industries LLC (Luxembourg)†(c) | 7.75% | 12/15/2020 | 10,250 | 9,096,875 | ||||||||
Apex Tool Group LLC† | 7.00% | 2/1/2021 | 5,361 | 4,650,667 | ||||||||
Fortive Corp.† | 3.15% | 6/15/2026 | 8,935 | 9,214,531 | ||||||||
Fortive Corp.† | 4.30% | 6/15/2046 | 4,468 | 4,767,946 | ||||||||
General Cable Corp. | 5.75% | 10/1/2022 | 10,000 | 9,250,000 | ||||||||
General Electric Co. | 5.00% | – | (g) | 36,671 | 38,953,770 | |||||||
Griffon Corp. | 5.25% | 3/1/2022 | 10,928 | 10,832,380 | ||||||||
KOC Holding AS (Turkey)†(c) | 5.25% | 3/15/2023 | 12,975 | 13,506,326 | ||||||||
Siemens Financieringsmaatschappij NV (Netherlands)†(c) | 3.25% | 5/27/2025 | 12,036 | 13,035,951 | ||||||||
Unifrax I LLC/Unifrax Holding Co.† | 7.50% | 2/15/2019 | 11,066 | 9,627,420 | ||||||||
Valmont Industries, Inc. | 5.25% | 10/1/2054 | 23,209 | 20,826,527 | ||||||||
Total | 143,762,393 |
See Notes to Financial Statements. | 21 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Electric: Distribution/Transportation 0.19% | ||||||||||||
ITC Holdings Corp. | 3.25% | 6/30/2026 | $ | 3,109 | $ | 3,117,957 | ||||||
Oncor Electric Delivery Co. LLC | 3.75% | 4/1/2045 | 13,275 | 13,669,095 | ||||||||
Total | 16,787,052 | |||||||||||
Electric: Generation 0.52% | ||||||||||||
Empresa Distribuidora Y Comercializadora Norte (Argentina)†(c) | 9.75% | 10/25/2022 | 5,079 | 5,307,555 | ||||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.†(d) | 11.25% | 12/1/2018 | 10,006 | 9,055,430 | ||||||||
Illinois Power Generating Co. | 7.00% | 4/15/2018 | 16,899 | 6,675,105 | ||||||||
Kallpa Generacion SA (Peru)†(c) | 4.875% | 5/24/2026 | 7,000 | 7,148,750 | ||||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 17,251 | 18,545,137 | ||||||||
Total | 46,731,977 | |||||||||||
Electric: Integrated 1.94% | ||||||||||||
AES Corp. | 5.50% | 4/15/2025 | 4,856 | 4,892,420 | ||||||||
AES Corp. | 7.375% | 7/1/2021 | 4,477 | 5,070,202 | ||||||||
AES Panama SRL (Panama)†(c) | 6.00% | 6/25/2022 | 9,623 | 9,910,728 | ||||||||
Cleco Corporate Holdings LLC† | 3.743% | 5/1/2026 | 6,704 | 6,903,679 | ||||||||
Cleco Corporate Holdings LLC† | 4.973% | 5/1/2046 | 10,726 | 11,309,484 | ||||||||
El Paso Electric Co. | 5.00% | 12/1/2044 | 16,498 | 18,997,315 | ||||||||
Emera US Finance LP† | 3.55% | 6/15/2026 | 11,103 | 11,384,261 | ||||||||
Emera, Inc. (Canada)(c) | 6.75% | 6/15/2076 | 19,525 | 19,835,018 | ||||||||
Entergy Arkansas, Inc. | 4.95% | 12/15/2044 | 16,883 | 17,803,849 | ||||||||
Entergy Mississippi, Inc. | 2.85% | 6/1/2028 | 13,321 | 13,551,893 | ||||||||
Indianapolis Power & Light Co.† | 4.05% | 5/1/2046 | 17,868 | 18,478,907 | ||||||||
IPALCO Enterprises, Inc. | 3.45% | 7/15/2020 | 1,564 | 1,595,280 | ||||||||
Louisville Gas & Electric Co. | 4.375% | 10/1/2045 | 5,575 | 6,418,626 | ||||||||
Puget Energy, Inc. | 3.65% | 5/15/2025 | 7,898 | 8,124,783 | ||||||||
Southern California Edison Co. | 3.90% | 3/15/2043 | 8,688 | 9,407,071 | ||||||||
Talen Energy Supply LLC | 6.50% | 6/1/2025 | 12,034 | 10,048,390 | ||||||||
Total | 173,731,906 | |||||||||||
Electronics 1.12% | ||||||||||||
Advanced Micro Devices, Inc. | 7.50% | 8/15/2022 | 11,405 | 10,207,475 | ||||||||
Lam Research Corp. | 2.80% | 6/15/2021 | 4,442 | 4,552,624 | ||||||||
Lam Research Corp. | 3.90% | 6/15/2026 | 13,324 | 14,055,607 | ||||||||
Micron Technology, Inc.† | 7.50% | 9/15/2023 | 12,755 | 13,584,075 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(c) | 4.625% | 6/1/2023 | 8,616 | 8,788,320 | ||||||||
Qorvo, Inc.† | 7.00% | 12/1/2025 | 24,476 | 25,944,560 |
22 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Electronics (continued) | ||||||||||||
Trimble Navigation Ltd. | 4.75% | 12/1/2024 | $ | 22,290 | $ | 23,275,597 | ||||||
Total | 100,408,258 | |||||||||||
Energy: Exploration & Production 5.72% | ||||||||||||
Bill Barrett Corp. | 7.00% | 10/15/2022 | 9,789 | 7,097,025 | ||||||||
Bonanza Creek Energy, Inc. | 6.75% | 4/15/2021 | 11,506 | 4,774,990 | ||||||||
Carrizo Oil & Gas, Inc. | 6.25% | 4/15/2023 | 16,479 | 15,943,432 | ||||||||
Carrizo Oil & Gas, Inc. | 7.50% | 9/15/2020 | 7,019 | 7,141,833 | ||||||||
Chesapeake Energy Corp. | 6.50% | 8/15/2017 | 981 | 924,593 | ||||||||
Chesapeake Energy Corp. | 7.25% | 12/15/2018 | 384 | 336,000 | ||||||||
Clayton Williams Energy, Inc. | 7.75% | 4/1/2019 | 10,098 | 7,674,480 | ||||||||
Concho Resources, Inc. | 5.50% | 4/1/2023 | 35,710 | 35,977,825 | ||||||||
CONSOL Energy, Inc. | 8.00% | 4/1/2023 | 9,048 | 8,052,720 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 7,618 | 7,484,685 | ||||||||
Continental Resources,Inc. | 3.80% | 6/1/2024 | 23,935 | 21,002,962 | ||||||||
CrownRock LP/CrownRock Finance, Inc.† | 7.125% | 4/15/2021 | 27,406 | 28,228,180 | ||||||||
Denbury Resources, Inc. | 5.50% | 5/1/2022 | 15,129 | 10,287,720 | ||||||||
Diamondback Energy, Inc. | 7.625% | 10/1/2021 | 24,755 | 26,271,244 | ||||||||
Eclipse Resources Corp. | 8.875% | 7/15/2023 | 8,244 | 7,831,800 | ||||||||
Gulfport Energy Corp. | 6.625% | 5/1/2023 | 3,193 | 3,161,070 | ||||||||
Gulfport Energy Corp. | 7.75% | 11/1/2020 | 12,493 | 12,899,023 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.00% | 12/1/2024 | 23,627 | 22,147,950 | ||||||||
Kosmos Energy Ltd. † | 7.875% | 8/1/2021 | 17,460 | 16,936,200 | ||||||||
Marathon Oil Corp. | 2.80% | 11/1/2022 | 8,078 | 7,336,561 | ||||||||
Marathon Oil Corp. | 3.85% | 6/1/2025 | 4,935 | 4,542,297 | ||||||||
MEG Energy Corp. (Canada)†(c) | 6.375% | 1/30/2023 | 12,484 | 9,300,580 | ||||||||
MEG Energy Corp. (Canada)†(c) | 7.00% | 3/31/2024 | 36,762 | 28,490,550 | ||||||||
Memorial Resource Development Corp. | 5.875% | 7/1/2022 | 19,819 | 19,819,000 | ||||||||
Newfield Exploration Co. | 5.625% | 7/1/2024 | 18,026 | 18,116,130 | ||||||||
Occidental Petroleum Corp. | 3.40% | 4/15/2026 | 13,233 | 13,973,810 | ||||||||
OGX Austria GmbH (Austria)†(c)(d) | 8.50% | 6/1/2018 | 20,000 | 400 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 7.50% | 2/15/2022 | 9,325 | 9,767,938 | ||||||||
PDC Energy, Inc. | 7.75% | 10/15/2022 | 22,734 | 23,757,030 | ||||||||
Range Resources Corp. | 4.875% | 5/15/2025 | 19,965 | 19,116,487 | ||||||||
Rice Energy, Inc. | 6.25% | 5/1/2022 | 14,831 | 14,793,922 | ||||||||
RSP Permian, Inc. | 6.625% | 10/1/2022 | 13,207 | 13,669,245 | ||||||||
Sanchez Energy Corp. | 6.125% | 1/15/2023 | 6,075 | 4,723,313 | ||||||||
Seven Generations Energy Ltd. (Canada)†(c) | 6.75% | 5/1/2023 | 17,880 | 18,103,500 | ||||||||
Seven Generations Energy Ltd. (Canada)†(c) | 8.25% | 5/15/2020 | 17,285 | 17,998,006 |
See Notes to Financial Statements. | 23 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Energy: Exploration & Production (continued) | ||||||||||||
SM Energy Co. | 6.50% | 11/15/2021 | $ | 10,062 | $ | 9,483,435 | ||||||
Southwestern Energy Co. | 4.95% | 1/23/2025 | 9,550 | 9,191,875 | ||||||||
YPF SA (Argentina)†(c) | 8.50% | 3/23/2021 | 9,500 | 10,165,000 | ||||||||
YPF SA (Argentina)†(c) | 8.50% | 7/28/2025 | 14,725 | 15,612,181 | ||||||||
Total | 512,134,992 | |||||||||||
Environmental 0.11% | ||||||||||||
Advanced Disposal Services, Inc. | 8.25% | 10/1/2020 | 9,502 | 9,644,530 | ||||||||
Food & Drug Retailers 0.93% | ||||||||||||
BI-LO LLC/BI-LO Finance Corp.† | 9.25% | 2/15/2019 | 7,240 | 6,335,000 | ||||||||
Ingles Markets, Inc. | 5.75% | 6/15/2023 | 8,533 | 8,660,995 | ||||||||
New Albertson’s, Inc. | 7.45% | 8/1/2029 | 7,200 | 7,020,000 | ||||||||
New Albertson’s, Inc. | 7.75% | 6/15/2026 | 17,080 | 16,738,400 | ||||||||
Rite Aid Corp. | 7.70% | 2/15/2027 | 19,757 | 23,659,008 | ||||||||
SMU SA (Chile)†(c) | 7.75% | 2/8/2020 | 4,537 | 3,969,875 | ||||||||
Tops Holding LLC/Top Markets II Corp.† | 8.00% | 6/15/2022 | 19,230 | 17,018,550 | ||||||||
Total | 83,401,828 | |||||||||||
Food: Wholesale 2.18% | ||||||||||||
Arcor SAIC (Argentina)†(a)(c) | 6.00% | 7/6/2023 | 8,858 | 8,946,580 | ||||||||
B&G Foods, Inc. | 4.625% | 6/1/2021 | 16,878 | 16,962,390 | ||||||||
Bumble Bee Holdings, Inc.† | 9.00% | 12/15/2017 | 3,610 | 3,664,150 | ||||||||
Cosan Luxembourg SA (Luxembourg)†(c) | 7.00% | 1/20/2027 | 10,400 | 10,382,320 | ||||||||
JBS USA LLC/JBS USA Finance, Inc.† | 5.75% | 6/15/2025 | 6,413 | 6,060,285 | ||||||||
JBS USA LLC/JBS USA Finance, Inc.† | 5.875% | 7/15/2024 | 7,634 | 7,433,608 | ||||||||
Kellogg Co. | 3.25% | 4/1/2026 | 11,834 | 12,189,801 | ||||||||
Kellogg Co. | 4.50% | 4/1/2046 | 11,834 | 12,726,686 | ||||||||
Land O’Lakes, Inc.† | 6.00% | 11/15/2022 | 12,700 | 13,525,500 | ||||||||
Marfrig Holdings Europe BV (Netherlands)†(c) | 8.00% | 6/8/2023 | 8,460 | 8,654,580 | ||||||||
Mead Johnson Nutrition Co. | 4.125% | 11/15/2025 | 11,918 | 13,024,479 | ||||||||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp. | 4.875% | 5/1/2021 | 11,046 | 11,253,112 | ||||||||
Post Holdings, Inc.† | 7.75% | 3/15/2024 | 12,118 | 13,375,242 | ||||||||
Post Holdings, Inc.† | 8.00% | 7/15/2025 | 3,985 | 4,438,294 | ||||||||
TreeHouse Foods, Inc. | 4.875% | 3/15/2022 | 2,079 | 2,130,975 | ||||||||
TreeHouse Foods, Inc.† | 6.00% | 2/15/2024 | 9,463 | 10,078,095 | ||||||||
WhiteWave Foods Co. (The) | 5.375% | 10/1/2022 | 37,580 | 40,398,500 | ||||||||
Total | 195,244,597 |
24 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Forestry/Paper 0.30% | ||||||||||||
Klabin Finance SA (Luxembourg)†(c) | 5.25% | 7/16/2024 | $ | 9,000 | $ | 8,865,000 | ||||||
Millar Western Forest Products Ltd. (Canada)(c) | 8.50% | 4/1/2021 | 9,101 | 4,231,965 | ||||||||
Norbord, Inc. (Canada)†(c) | 6.25% | 4/15/2023 | 12,930 | 13,317,900 | ||||||||
Total | 26,414,865 | |||||||||||
Gaming 2.13% | ||||||||||||
Boyd Gaming Corp. | 6.875% | 5/15/2023 | 14,473 | 15,486,110 | ||||||||
Caesar’s Entertainment Resort Properties LLC/Caesar’s Entertainment Resort Properties Finance, Inc. | 11.00% | 10/1/2021 | 9,350 | 9,233,125 | ||||||||
Caesar’s Growth Properties Holdings LLC/Caesar’s | ||||||||||||
Growth Properties Finance, Inc. | 9.375% | 5/1/2022 | 9,801 | 9,163,935 | ||||||||
CCM Merger, Inc.† | 9.125% | 5/1/2019 | 10,000 | 10,495,670 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.375% | 4/15/2026 | 6,156 | 6,356,070 | ||||||||
International Game Technology PLC† | 6.50% | 2/15/2025 | 11,149 | 11,288,362 | ||||||||
MCE Finance Ltd. (Hong Kong)†(c) | 5.00% | 2/15/2021 | 17,080 | 16,986,487 | ||||||||
MGM Growth Properties Operating Partnership LP/MGP Escrow Co-Issuer, Inc.† | 5.625% | 5/1/2024 | 4,760 | 5,045,600 | ||||||||
MGM Resorts International | 6.00% | 3/15/2023 | 24,394 | 25,796,655 | ||||||||
MGM Resorts International | 7.75% | 3/15/2022 | 6,873 | 7,792,264 | ||||||||
Mohegan Tribal Gaming Authority | 9.75% | 9/1/2021 | 16,433 | 17,583,310 | ||||||||
River Rock Entertainment Authority(d) | 9.00% | 11/1/2018 | 10,368 | 881,280 | ||||||||
Sugarhouse HSP Gaming Prop. Mezz. LP/Sugarhouse HSP Gaming Finance Corp.† | 6.375% | 6/1/2021 | 21,725 | 21,616,375 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | 5.375% | 3/15/2022 | 9,527 | 9,610,361 | ||||||||
Wynn Macau Ltd. (Macau)†(c) | 5.25% | 10/15/2021 | 24,295 | 23,755,651 | ||||||||
Total | 191,091,255 | |||||||||||
Gas Distribution 3.03% | ||||||||||||
AGL Capital Corp. | 3.25% | 6/15/2026 | 5,329 | 5,457,983 | ||||||||
Boardwalk Pipelines LP | 5.95% | 6/1/2026 | 13,320 | 14,017,275 | ||||||||
Cheniere Corpus Christi Holdings LLC† | 7.00% | 6/30/2024 | 8,783 | 9,030,066 | ||||||||
Columbia Pipeline Group, Inc. | 4.50% | 6/1/2025 | 8,935 | 9,621,699 | ||||||||
Dominion Gas Holdings LLC | 3.60% | 12/15/2024 | 12,050 | 12,761,360 | ||||||||
Energy Transfer Equity LP | 5.50% | 6/1/2027 | 9,977 | 9,428,265 | ||||||||
Energy Transfer Equity LP | 5.875% | 1/15/2024 | 11,850 | 11,583,375 | ||||||||
Florida Gas Transmission Co. LLC† | 4.35% | 7/15/2025 | 18,069 | 17,958,797 | ||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 6.75% | 8/1/2022 | 9,907 | 9,659,325 | ||||||||
IFM US Colonial Pipeline 2 LLC† | 6.45% | 5/1/2021 | 17,850 | 19,648,370 | ||||||||
See Notes to Financial Statements. | 25 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Gas Distribution (continued) | ||||||||||||
LBC Tank Terminals Holding Netherlands BV (Belgium)†(c) | 6.875% | 5/15/2023 | $ | 13,716 | $ | 13,304,520 | ||||||
Magellan Midstream Partners LP | 5.00% | 3/1/2026 | 11,839 | 13,418,204 | ||||||||
MPLX LP† | 5.50% | 2/15/2023 | 11,920 | 12,121,734 | ||||||||
ONEOK, Inc. | 4.25% | 2/1/2022 | 1,894 | 1,751,950 | ||||||||
Rockies Express Pipeline LLC† | 5.625% | 4/15/2020 | 9,471 | 9,542,033 | ||||||||
Rockies Express Pipeline LLC† | 6.875% | 4/15/2040 | 18,450 | 17,665,875 | ||||||||
Sabine Pass Liquefaction LLC | 5.75% | 5/15/2024 | 27,729 | 27,659,677 | ||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 10,145 | 9,942,100 | ||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. | 5.50% | 10/15/2019 | 6,025 | �� | 6,326,250 | |||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. | 5.875% | 10/1/2020 | 9,095 | 9,390,588 | ||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. | 6.125% | 10/15/2021 | 8,300 | 8,632,000 | ||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. | 6.25% | 10/15/2022 | 12,150 | 12,727,125 | ||||||||
Williams Partners LP/ACMP Finance Corp. | 4.875% | 5/15/2023 | 10,105 | 9,781,054 | ||||||||
Total | 271,429,625 | |||||||||||
Health Facilities 2.54% | ||||||||||||
Acadia Healthcare Co., Inc.† | 6.50% | 3/1/2024 | 5,440 | 5,535,200 | ||||||||
Amsurg Corp. | 5.625% | 11/30/2020 | 12,436 | 12,902,350 | ||||||||
Amsurg Corp. | 5.625% | 7/15/2022 | 6,136 | 6,327,750 | ||||||||
Ascension Health | 3.945% | 11/15/2046 | 8,881 | 9,604,189 | ||||||||
DaVita HealthCare Partners, Inc. | 5.75% | 8/15/2022 | 27,000 | 28,350,000 | ||||||||
Dignity Health | 3.812% | 11/1/2024 | 7,500 | 8,015,610 | ||||||||
Dignity Health | 4.50% | 11/1/2042 | 8,811 | 9,430,026 | ||||||||
HCA, Inc. | 5.25% | 4/15/2025 | 11,873 | 12,436,967 | ||||||||
HCA, Inc. | 5.875% | 3/15/2022 | 8,139 | 8,871,510 | ||||||||
HCA, Inc. | 7.05% | 12/1/2027 | 3,490 | 3,559,800 | ||||||||
HCA, Inc. | 7.50% | 2/15/2022 | 39,234 | 44,707,143 | ||||||||
HCA, Inc. | 7.58% | 9/15/2025 | 5,778 | 6,153,570 | ||||||||
HCA, Inc. | 7.69% | 6/15/2025 | 12,776 | 13,734,200 | ||||||||
HCA, Inc. | 8.36% | 4/15/2024 | 2,295 | 2,604,825 | ||||||||
MEDNAX, Inc.† | 5.25% | 12/1/2023 | 5,959 | 6,048,385 | ||||||||
Memorial Sloan-Kettering Cancer Center | 4.20% | 7/1/2055 | 12,319 | 13,968,194 | ||||||||
Tenet Healthcare Corp. | 6.75% | 6/15/2023 | 13,598 | 13,071,077 | ||||||||
Tenet Healthcare Corp. | 8.125% | 4/1/2022 | 21,945 | 22,598,961 | ||||||||
Total | 227,919,757 | |||||||||||
Health Services 0.12% | ||||||||||||
ExamWorks Group, Inc. | 5.625% | 4/15/2023 | 9,357 | 10,397,966 | ||||||||
26 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Hotels 0.20% | ||||||||||||
Carlson Travel Holdings, Inc. PIK† | 7.50% | 8/15/2019 | $ | 10,153 | $ | 9,746,880 | ||||||
Playa Resorts Holding BV (Netherlands)†(c) | 8.00% | 8/15/2020 | 8,404 | 8,488,040 | ||||||||
Total | 18,234,920 | |||||||||||
Insurance Brokerage 0.29% | ||||||||||||
Trinity Acquistion plc (United Kingdom)(c) | 4.40% | 3/15/2026 | 11,855 | 12,402,002 | ||||||||
Wayne Merger Sub LLC† | 8.25% | 8/1/2023 | 13,630 | 13,493,700 | ||||||||
Total | 25,895,702 | |||||||||||
Insurance-Reinsurance 0.18% | ||||||||||||
Berkshire Hathaway, Inc. | 2.75% | 3/15/2023 | 7,903 | 8,172,935 | ||||||||
Berkshire Hathaway, Inc. | 3.125% | 3/15/2026 | 7,903 | 8,296,822 | ||||||||
Total | 16,469,757 | |||||||||||
Integrated Energy 0.75% | ||||||||||||
Exxon Mobil Corp. | 4.114% | 3/1/2046 | 11,641 | 13,163,817 | ||||||||
Gazprom OAO via Gaz Capital SA (Luxembourg)†(c) | 4.95% | 2/6/2028 | 9,500 | 9,345,815 | ||||||||
Rio Oil Finance Trust Series 2014-1 (Brazil)†(c) | 9.25% | 7/6/2024 | 14,466 | 12,512,986 | ||||||||
Shell International Finance BV (Netherlands)(c) | 6.375% | 12/15/2038 | 23,912 | 32,548,895 | ||||||||
Total | 67,571,513 | |||||||||||
Investments & Miscellaneous Financial Services 0.70% | ||||||||||||
CME Group, Inc. | 3.00% | 3/15/2025 | 16,017 | 16,749,954 | ||||||||
FMR LLC† | 5.35% | 11/15/2021 | 7,800 | 9,022,814 | ||||||||
GrupoSura Finance SA† | 5.50% | 4/29/2026 | 8,785 | 9,169,344 | ||||||||
Intercontinental Exchange, Inc. | 3.75% | 12/1/2025 | 17,312 | 18,750,012 | ||||||||
Nasdaq, Inc. | 3.85% | 6/30/2026 | 8,884 | 9,044,552 | ||||||||
Total | 62,736,676 | |||||||||||
Life Insurance 0.58% | ||||||||||||
American Equity Investment Life Holding Co. | 6.625% | 7/15/2021 | 8,302 | 8,468,040 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 14,869 | 15,389,415 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 12,705 | 14,294,319 | ||||||||
TIAA Asset Management Finance Co. LLC† | 4.125% | 11/1/2024 | 12,927 | 13,603,690 | ||||||||
Total | 51,755,464 | |||||||||||
Machinery 0.12% | ||||||||||||
Milacron LLC/Mcron Finance Corp.† | 7.75% | 2/15/2021 | 9,902 | 10,248,570 | ||||||||
Managed Care 0.39% | ||||||||||||
Centene Corp.† | 5.625% | 2/15/2021 | 5,922 | 6,188,490 | ||||||||
Centene Corp.† | 6.125% | 2/15/2024 | 16,908 | 18,017,587 | ||||||||
See Notes to Financial Statements. | 27 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Managed Care (continued) | ||||||||||||
MPH Acquisition Holdings LLC† | 7.125% | 6/1/2024 | $ | 9,799 | $ | 10,313,448 | ||||||
Total | 34,519,525 | |||||||||||
Media: Content 0.93% | ||||||||||||
AMC Networks, Inc. | 4.75% | 12/15/2022 | 19,200 | 19,128,000 | ||||||||
Gray Television, Inc. | 7.50% | 10/1/2020 | 4,245 | 4,446,638 | ||||||||
iHeartCommunications, Inc. | 9.00% | 3/1/2021 | 17,600 | 12,474,000 | ||||||||
Netflix, Inc. | 5.375% | 2/1/2021 | 4,924 | 5,253,859 | ||||||||
Netflix, Inc. | 5.50% | 2/15/2022 | 10,623 | 11,127,592 | ||||||||
Netflix, Inc. | 5.875% | 2/15/2025 | 9,042 | 9,528,007 | ||||||||
Sirius XM Radio, Inc.† | 6.00% | 7/15/2024 | 7,354 | 7,620,583 | ||||||||
Univision Communications, Inc.† | 5.125% | 2/15/2025 | 13,349 | 13,248,882 | ||||||||
Total | 82,827,561 | |||||||||||
Medical Products 2.06% | ||||||||||||
Boston Scientific Corp. | 7.00% | 11/15/2035 | 20,953 | 27,320,407 | ||||||||
CR Bard, Inc. | 3.00% | 5/15/2026 | 13,322 | 13,682,800 | ||||||||
Edwards Lifesciences Corp. | 2.875% | 10/15/2018 | 4,813 | 4,932,800 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 4,923 | 5,107,613 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 5.875% | 1/31/2022 | 22,545 | 24,827,681 | ||||||||
Grifols Worldwide Operations Ltd. (Ireland)(c) | 5.25% | 4/1/2022 | 23,815 | 24,350,837 | ||||||||
Hologic, Inc.† | 5.25% | 7/15/2022 | 9,174 | 9,621,232 | ||||||||
Kinetic Concepts, Inc./KCI USA, Inc.† | 7.875% | 2/15/2021 | 5,529 | 5,891,813 | ||||||||
Kinetic Concepts, Inc./KCI USA, Inc. | 10.50% | 11/1/2018 | 4,185 | 4,185,000 | ||||||||
Medtronic, Inc. | 3.15% | 3/15/2022 | 17,115 | 18,278,906 | ||||||||
Medtronic, Inc. | 4.375% | 3/15/2035 | 15,932 | 18,056,835 | ||||||||
Sterigenics-Nordion Holdings LLC† | 6.50% | 5/15/2023 | 12,484 | 12,671,260 | ||||||||
Stryker Corp. | 3.50% | 3/15/2026 | 5,531 | 5,879,558 | ||||||||
Stryker Corp. | 4.625% | 3/15/2046 | 8,476 | 9,563,022 | ||||||||
Total | 184,369,764 | |||||||||||
Metals/Mining (Excluding Steel) 4.13% | ||||||||||||
Aleris International, Inc. | 7.875% | 11/1/2020 | 10,204 | 9,081,560 | ||||||||
Aleris International, Inc.† | 9.50% | 4/1/2021 | 12,332 | 12,701,960 | ||||||||
Anglo American Capital plc (United Kingdom)†(c) | 3.625% | 5/14/2020 | 9,187 | 8,899,906 | ||||||||
Anglo American Capital plc (United Kingdom)†(c) | 4.125% | 4/15/2021 | 551 | 524,828 | ||||||||
Anglo American Capital plc (United Kingdom)†(c) | 4.875% | 5/14/2025 | 2,242 | 2,152,320 | ||||||||
Anglo American Capital plc (United Kingdom)†(c) | 9.375% | 4/8/2019 | 7,093 | 8,165,816 | ||||||||
AngloGold Ashanti Holdings plc (Isle of Man)(c) | 6.50% | 4/15/2040 | 6,359 | 6,247,718 | ||||||||
BHP Billiton Finance USA Ltd. (Australia)†(c) | 6.25% | 10/19/2075 | 17,044 | 17,989,942 | ||||||||
28 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Metals/Mining (Excluding Steel) (continued) | ||||||||||||
BHP Billiton Finance USA Ltd. (Australia)†(c) | 6.75% | 10/19/2075 | $ | 16,563 | $ | 17,618,891 | ||||||
Coeur Mining, Inc. | 7.875% | 2/1/2021 | 15,677 | 15,167,498 | ||||||||
Freeport-McMoRan, Inc. | 3.55% | 3/1/2022 | 26,106 | 23,103,810 | ||||||||
Freeport-McMoRan, Inc. | 3.875% | 3/15/2023 | 33,728 | 29,680,640 | ||||||||
Fresnillo plc (Mexico)†(c) | 5.50% | 11/13/2023 | 19,966 | 21,538,322 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(c) | 4.25% | 10/25/2022 | 5,650 | 5,321,034 | ||||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 9,950 | 9,167,442 | ||||||||
Imperial Metals Corp. (Canada)†(c) | 7.00% | 3/15/2019 | 10,455 | 9,435,638 | ||||||||
Kinross Gold Corp. (Canada)(c) | 5.125% | 9/1/2021 | 16,141 | 16,100,648 | ||||||||
Kinross Gold Corp. (Canada)(c) | 5.95% | 3/15/2024 | 20,220 | 20,068,350 | ||||||||
Kissner Milling Co. Ltd. (Canada)†(c) | 7.25% | 6/1/2019 | 3,693 | 3,711,465 | ||||||||
Lundin Mining Corp. (Canada)†(c) | 7.875% | 11/1/2022 | 10,330 | 10,614,075 | ||||||||
Mirabela Nickel Ltd. (Australia)(c)(d) | 1.00% | 9/16/2044 | 183 | 18 | ||||||||
MMC Norilsk Nickel OJSC via MMC Finance Ltd. (Ireland)†(c) | 6.625% | 10/14/2022 | 12,000 | 13,337,904 | ||||||||
New Gold, Inc. (Canada)†(c) | 6.25% | 11/15/2022 | 21,520 | 21,089,600 | ||||||||
New Gold, Inc. (Canada)†(c) | 7.00% | 4/15/2020 | 8,049 | 8,250,225 | ||||||||
Newmont Mining Corp. | 4.875% | 3/15/2042 | 16,941 | 16,812,096 | ||||||||
Newmont Mining Corp. | 6.25% | 10/1/2039 | 8,339 | 9,310,168 | ||||||||
Teck Resources Ltd. (Canada)(c) | 3.00% | 3/1/2019 | 2,466 | 2,330,370 | ||||||||
Teck Resources Ltd. (Canada)(c) | 4.75% | 1/15/2022 | 18,520 | 15,740,148 | ||||||||
Teck Resources Ltd. (Canada)†(c) | 8.50% | 6/1/2024 | 6,060 | 6,302,400 | ||||||||
Thompson Creek Metals Co., Inc. | 7.375% | 6/1/2018 | 9,652 | 6,997,700 | ||||||||
Thompson Creek Metals Co., Inc. | 9.75% | 12/1/2017 | 5,603 | 5,631,015 | ||||||||
Thompson Creek Metals Co., Inc. | 12.50% | 5/1/2019 | 887 | 643,075 | ||||||||
Volcan Cia Minera SAA (Peru)†(c) | 5.375% | 2/2/2022 | 11,059 | 9,953,100 | ||||||||
Yamana Gold, Inc. (Canada)(c) | 4.95% | 7/15/2024 | 6,751 | 6,652,496 | ||||||||
Total | 370,342,178 | |||||||||||
Non-Electric Utilities 0.14% | ||||||||||||
Brooklyn Union Gas Co. (The)† | 3.407% | 3/10/2026 | 11,916 | 12,666,827 | ||||||||
Oil Field Equipment & Services 1.58% | ||||||||||||
Diamond Offshore Drilling, Inc. | 4.875% | 11/1/2043 | 12,063 | 8,622,126 | ||||||||
Ensco plc (United kingdom)(c) | 5.20% | 3/15/2025 | 12,512 | 8,711,480 | ||||||||
FTS International, Inc. | 6.25% | 5/1/2022 | 2,596 | 1,025,420 | ||||||||
FTS International, Inc.† | 8.153% | # | 6/15/2020 | 9,674 | 8,131,007 | |||||||
Halliburton Co. | 3.80% | 11/15/2025 | 8,525 | 8,921,071 | ||||||||
Halliburton Co. | 5.00% | 11/15/2045 | 4,443 | 4,906,196 | ||||||||
Nabors Industries, Inc. | 4.625% | 9/15/2021 | 10,773 | 9,896,789 | ||||||||
See Notes to Financial Statements. | 29 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Oil Field Equipment & Services (continued) | ||||||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | $ | 19,344 | $ | 18,735,612 | ||||||
Precision Drilling Corp. (Canada)(c) | 5.25% | 11/15/2024 | 13,737 | 11,058,285 | ||||||||
Precision Drilling Corp. (Canada)(c) | 6.50% | 12/15/2021 | 2,883 | 2,601,908 | ||||||||
Pride International, Inc. | 6.875% | 8/15/2020 | 14,237 | 13,605,589 | ||||||||
SESI LLC | 6.375% | 5/1/2019 | 4,067 | 3,934,822 | ||||||||
SESI LLC | 7.125% | 12/15/2021 | 5,564 | 5,383,170 | ||||||||
Transocean, Inc. | 6.00% | 3/15/2018 | 5,627 | 5,739,540 | ||||||||
Transocean, Inc. | 6.50% | 11/15/2020 | 10,673 | 9,538,460 | ||||||||
Weatherford International Ltd. | 4.50% | 4/15/2022 | 13,418 | 11,573,025 | ||||||||
Weatherford International Ltd. | 7.75% | 6/15/2021 | 8,959 | 8,757,422 | ||||||||
Total | 141,141,922 | |||||||||||
Oil Refining & Marketing 0.36% | ||||||||||||
Citgo Holding, Inc.† | 10.75% | 2/15/2020 | 18,634 | 18,762,109 | ||||||||
Northern Tier Energy LLC/Northern Tier Finance Corp. | 7.125% | 11/15/2020 | 12,931 | 13,221,947 | ||||||||
Total | 31,984,056 | |||||||||||
Packaging 1.34% | ||||||||||||
Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc. (Ireland)†(c) | 7.25% | 5/15/2024 | 11,481 | 11,775,201 | ||||||||
Ball Corp. | 4.00% | 11/15/2023 | 9,835 | 9,724,356 | ||||||||
BWAY Holding Co.† | 9.125% | 8/15/2021 | 8,811 | 8,480,588 | ||||||||
Coveris Holdings SA (Luxembourg)†(c) | 7.875% | 11/1/2019 | 14,052 | 13,718,265 | ||||||||
Crown Cork & Seal Co., Inc. | 7.375% | 12/15/2026 | 11,810 | 13,050,050 | ||||||||
Graphic Packaging International, Inc. | 4.875% | 11/15/2022 | 9,420 | 9,820,350 | ||||||||
Pactiv LLC | 7.95% | 12/15/2025 | 8,500 | 8,861,250 | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 5.75% | 10/15/2020 | 10,000 | 10,350,000 | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA† | 7.00% | 7/15/2024 | 7,726 | 7,968,403 | ||||||||
Sealed Air Corp.† | 4.875% | 12/1/2022 | 9,414 | 9,719,955 | ||||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 15,750 | 16,773,750 | ||||||||
Total | 120,242,168 | |||||||||||
Personal & Household Products 1.09% | ||||||||||||
American Greetings Corp. | 7.375% | 12/1/2021 | 11,446 | 11,918,147 | ||||||||
Brunswick Corp.† | 4.625% | 5/15/2021 | 2,963 | 3,014,853 | ||||||||
Edgewell Personal Care Co. | 4.70% | 5/24/2022 | 4,366 | 4,507,895 | ||||||||
FGI Operating Co. LLC/FGI Finance, Inc. | 7.875% | 5/1/2020 | 15,934 | 11,631,820 | ||||||||
Gibson Brands, Inc.† | 8.875% | 8/1/2018 | 19,905 | 11,146,800 | ||||||||
30 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Personal & Household Products (continued) | ||||||||||||
Newell Brands, Inc. | 5.50% | 4/1/2046 | $ | 15,807 | $ | 18,850,353 | ||||||
SC Johnson & Son, Inc.† | 4.75% | 10/15/2046 | 8,257 | 9,702,636 | ||||||||
Serta Simmons Bedding LLC† | 8.125% | 10/1/2020 | 8,897 | 9,141,668 | ||||||||
Spectrum Brands, Inc. | 5.75% | 7/15/2025 | 7,621 | 7,973,471 | ||||||||
Springs Industries, Inc. | 6.25% | 6/1/2021 | 9,749 | 9,895,235 | ||||||||
Total | 97,782,878 | |||||||||||
Pharmaceuticals 0.43% | ||||||||||||
Jaguar Holding Co. II/Pharmaceutical Product | ||||||||||||
Development LLC† | 6.375% | 8/1/2023 | 10,774 | 11,043,350 | ||||||||
Pfizer, Inc. | 5.60% | 9/15/2040 | 14,577 | 18,892,215 | ||||||||
Quintiles Transnational Corp.† | 4.875% | 5/15/2023 | 8,812 | 8,988,240 | ||||||||
Total | 38,923,805 | |||||||||||
Property & Casualty 0.39% | ||||||||||||
Allstate Corp. (The) | 5.75% | 8/15/2053 | 8,670 | 8,907,341 | ||||||||
Chubb INA Holdings, Inc. | 4.35% | 11/3/2045 | 7,946 | 9,164,940 | ||||||||
Hanover Insurance Group, Inc. (The) | 4.50% | 4/15/2026 | 13,323 | 13,780,912 | ||||||||
XLIT Ltd. (Ireland)(c) | 4.45% | 3/31/2025 | 3,426 | 3,463,484 | ||||||||
Total | 35,316,677 | |||||||||||
Rail 0.67% | ||||||||||||
Central Japan Railway Co. (Japan)†(c) | 4.25% | 11/24/2045 | 13,527 | 14,744,119 | ||||||||
Florida East Coast Holdings Corp.† | 6.75% | 5/1/2019 | 22,765 | 22,765,000 | ||||||||
Florida East Coast Holdings Corp.† | 9.75% | 5/1/2020 | 10,801 | 9,234,855 | ||||||||
Kansas City Southern | 3.125% | 6/1/2026 | 4,440 | 4,547,221 | ||||||||
Watco Cos. LLC/Watco Finance Corp.† | 6.375% | 4/1/2023 | 9,150 | 9,104,250 | ||||||||
Total | 60,395,445 | |||||||||||
Real Estate Investment Trusts 0.71% | ||||||||||||
Brixmor Operating Partnership LP | 3.85% | 2/1/2025 | 9,283 | 9,351,685 | ||||||||
Brixmor Operating Partnership LP | 3.875% | 8/15/2022 | 13,193 | 13,558,393 | ||||||||
CubeSmart LP | 4.00% | 11/15/2025 | 7,942 | 8,430,044 | ||||||||
Digital Realty Trust LP | 4.75% | 10/1/2025 | 12,013 | 12,925,628 | ||||||||
Jababeka International BV (Netherlands)†(c) | 7.50% | 9/24/2019 | 8,150 | 8,593,572 | ||||||||
Vereit Operating Partnership LP | 4.60% | 2/6/2024 | 1,828 | 1,850,850 | ||||||||
Vereit Operating Partnership LP | 4.875% | 6/1/2026 | 8,988 | 9,246,405 | ||||||||
Total | 63,956,577 | |||||||||||
See Notes to Financial Statements. | 31 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Recreation & Travel 0.37% | ||||||||||||
Royal Caribbean Cruises Ltd. | 7.50% | 10/15/2027 | $ | 25,318 | $ | 29,242,290 | ||||||
Six Flags Entertainment Corp.† | 5.25% | 1/15/2021 | 3,850 | 3,989,563 | ||||||||
Total | 33,231,853 | |||||||||||
Restaurants 0.86% | ||||||||||||
Arcos Dorados Holdings, Inc. (Argentina)†(c) | 6.625% | 9/27/2023 | 5,787 | 5,729,130 | ||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC† | 5.00% | 6/1/2024 | 13,280 | 13,545,600 | ||||||||
McDonald’s Corp. | 3.70% | 1/30/2026 | 7,546 | 8,169,194 | ||||||||
McDonald’s Corp. | 4.60% | 5/26/2045 | 9,005 | 10,092,318 | ||||||||
McDonald’s Corp. | 4.875% | 12/9/2045 | 7,943 | 9,325,964 | ||||||||
New Red Finance, Inc. (Canada)†(c) | 6.00% | 4/1/2022 | 8,640 | 8,982,921 | ||||||||
PF Chang’s China Bistro, Inc.† | 10.25% | 6/30/2020 | 12,025 | 11,093,062 | ||||||||
Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC† | 5.875% | 5/15/2021 | 10,150 | 10,226,125 | ||||||||
Total | 77,164,314 | |||||||||||
Software/Services 2.62% | ||||||||||||
Alibaba Group Holding Ltd. (China)(c) | 3.125% | 11/28/2021 | 18,436 | 18,891,461 | ||||||||
Alliance Data Systems Corp.† | 6.375% | 4/1/2020 | 26,110 | 26,403,737 | ||||||||
Blue Coat Holdings, Inc.† | 8.375% | 6/1/2023 | 8,030 | 9,114,050 | ||||||||
Cengage Learning, Inc.† | 9.50% | 6/15/2024 | 17,086 | 17,427,720 | ||||||||
First Data Corp.† | 7.00% | 12/1/2023 | 27,015 | 27,453,994 | ||||||||
Informatica LLC† | 7.125% | 7/15/2023 | 8,991 | 8,563,928 | ||||||||
MasterCard, Inc. | 3.375% | 4/1/2024 | 12,720 | 13,797,638 | ||||||||
Microsoft Corp. | 2.375% | 2/12/2022 | 17,392 | 17,963,101 | ||||||||
Microsoft Corp. | 4.00% | 2/12/2055 | 26,489 | 26,790,975 | ||||||||
MSCI, Inc.† | 5.75% | 8/15/2025 | 9,469 | 9,871,433 | ||||||||
Oracle Corp. | 4.375% | 5/15/2055 | 18,518 | 19,506,676 | ||||||||
Priceline Group, Inc. (The) | 3.60% | 6/1/2026 | 8,882 | 9,192,008 | ||||||||
Priceline Group, Inc. (The) | 3.65% | 3/15/2025 | 12,627 | 13,400,593 | ||||||||
VeriSign, Inc. | 4.625% | 5/1/2023 | 8,760 | 8,913,300 | ||||||||
VeriSign, Inc. | 5.25% | 4/1/2025 | 7,411 | 7,633,330 | ||||||||
Total | 234,923,944 | |||||||||||
Specialty Retail 1.39% | ||||||||||||
Argos Merger Sub, Inc.† | 7.125% | 3/15/2023 | 26,082 | 26,929,665 | ||||||||
Brookstone Holdings Corp. PIK | 10.00% | 7/7/2021 | 598 | 146,426 | ||||||||
CST Brands, Inc. | 5.00% | 5/1/2023 | 19,040 | 19,420,800 | ||||||||
Hanesbrands, Inc.† | 4.625% | 5/15/2024 | 10,367 | 10,444,753 | ||||||||
32 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Specialty Retail (continued) | ||||||||||||
Hanesbrands, Inc.† | 4.875% | 5/15/2026 | $ | 8,404 | $ | 8,476,274 | ||||||
Hot Topic, Inc.† | 9.25% | 6/15/2021 | 2,236 | 2,275,130 | ||||||||
Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc.† | 7.875% | 10/1/2022 | 10,400 | 9,984,000 | ||||||||
Neiman Marcus Group Ltd. LLC† | 8.00% | 10/15/2021 | 16,449 | 13,488,180 | ||||||||
O’ Reilly Automotive, Inc. | 3.55% | 3/15/2026 | 8,418 | 8,843,850 | ||||||||
Under Armour, Inc. | 3.25% | 6/15/2026 | 7,995 | 8,089,133 | ||||||||
William Carter Co. (The) | 5.25% | 8/15/2021 | 15,917 | 16,553,680 | ||||||||
Total | 124,651,891 | |||||||||||
Steel Producers/Products 0.78% | ||||||||||||
Allegheny Ludlum Corp. | 6.95% | 12/15/2025 | 9,977 | 7,831,945 | ||||||||
Allegheny Technologies, Inc. | 5.95% | 1/15/2021 | 2,581 | 2,155,135 | ||||||||
GTL Trade Finance, Inc.† | 5.893% | 4/29/2024 | 14,850 | 13,167,495 | ||||||||
Joseph T Ryerson & Son, Inc.† | 11.00% | 5/15/2022 | 9,487 | 9,842,762 | ||||||||
Steel Dynamics, Inc. | 5.125% | 10/1/2021 | 11,950 | 12,293,562 | ||||||||
Steel Dynamics, Inc. | 5.50% | 10/1/2024 | 9,550 | 9,788,750 | ||||||||
U.S. Steel Corp.† | 8.375% | 7/1/2021 | 8,871 | 9,336,728 | ||||||||
Zekelman Industries, Inc.† | 9.875% | 6/15/2023 | 5,553 | 5,622,413 | ||||||||
Total | 70,038,790 | |||||||||||
Support: Services 1.46% | ||||||||||||
AECOM | 5.875% | 10/15/2024 | 9,059 | 9,330,770 | ||||||||
BakerCorp International, Inc. | 8.25% | 6/1/2019 | 4,441 | 3,774,850 | ||||||||
BlueLine Rental Finance Corp.† | 7.00% | 2/1/2019 | 9,273 | 8,021,145 | ||||||||
Cielo SA/Cielo USA, Inc. (Brazil)†(c) | 3.75% | 11/16/2022 | 9,579 | 9,123,997 | ||||||||
Cleveland Clinic Foundation (The) | 4.858% | 1/1/2114 | 8,223 | 9,199,679 | ||||||||
FTI Consulting, Inc. | 6.00% | 11/15/2022 | 10,500 | 11,069,625 | ||||||||
Herc Spinoff Escrow Issuer LLC/Herc Spinoff Escrow Issuer Corp.† | 7.75% | 6/1/2024 | 6,760 | 6,607,900 | ||||||||
Jurassic Holdings III, Inc.† | 6.875% | 2/15/2021 | 14,584 | 9,333,760 | ||||||||
Leidos Holdings, Inc. | 4.45% | 12/1/2020 | 4,650 | 4,673,250 | ||||||||
Metropolitan Museum of Art (The) | 3.40% | 7/1/2045 | 13,518 | 14,335,406 | ||||||||
NES Rentals Holdings, Inc.† | 7.875% | 5/1/2018 | 7,800 | 7,449,000 | ||||||||
Sotheby’s† | 5.25% | 10/1/2022 | 7,902 | 7,645,185 | ||||||||
Total System Services, Inc. | 4.80% | 4/1/2026 | 15,808 | 17,174,855 | ||||||||
United Rentals North America, Inc. | 6.125% | 6/15/2023 | 12,319 | 12,888,754 | ||||||||
Total | 130,628,176 | |||||||||||
See Notes to Financial Statements. | 33 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Technology Hardware & Equipment 1.10% | ||||||||||||
CDW LLC/CDW Finance Corp. | 5.50% | 12/1/2024 | $ | 15,000 | $ | 15,562,500 | ||||||
CommScope Technologies Finance LLC† | 6.00% | 6/15/2025 | 9,756 | 10,048,680 | ||||||||
CommScope, Inc.† | 5.50% | 6/15/2024 | 16,000 | 16,300,000 | ||||||||
Dell, Inc. | 7.10% | 4/15/2028 | 2,474 | 2,436,890 | ||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.† | 4.42% | 6/15/2021 | 8,930 | 9,201,391 | ||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.† | 5.875% | 6/15/2021 | 22,927 | 23,400,718 | ||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.† | 7.125% | 6/15/2024 | 20,189 | 21,111,254 | ||||||||
Total | 98,061,433 | |||||||||||
Telecommunications: Satellite 0.30% | ||||||||||||
Hughes Satellite Systems Corp. | 7.625% | 6/15/2021 | 13,500 | 14,578,313 | ||||||||
Intelsat Luxembourg SA (Luxembourg)(c) | 6.75% | 6/1/2018 | 18,027 | 11,897,820 | ||||||||
Total | 26,476,133 | |||||||||||
Telecommunications: Wireless 2.44% | ||||||||||||
Comcel Trust via Comunicaciones Celulares SA† | 6.875% | 2/6/2024 | 22,850 | 22,393,000 | ||||||||
Crown Castle International Corp. | 4.875% | 4/15/2022 | 10,756 | 11,839,129 | ||||||||
Crown Castle International Corp. | 5.25% | 1/15/2023 | 8,493 | 9,561,505 | ||||||||
Digicel Group Ltd. (Jamaica)†(c) | 8.25% | 9/30/2020 | 9,600 | 8,064,000 | ||||||||
Digicel Ltd. (Jamaica)†(c) | 6.75% | 3/1/2023 | 9,966 | 8,520,930 | ||||||||
Digicel Ltd. (Jamaica)†(c) | 7.00% | 2/15/2020 | 16,441 | 15,290,130 | ||||||||
GTH Finance BV (Netherlands)†(c) | 7.25% | 4/26/2023 | 9,700 | 10,136,500 | ||||||||
SBA Communications Corp. | 4.875% | 7/15/2022 | 8,259 | 8,269,324 | ||||||||
T-Mobile USA, Inc. | 6.50% | 1/15/2024 | 47,921 | 50,616,556 | ||||||||
T-Mobile USA, Inc. | 6.50% | 1/15/2026 | 17,671 | 18,709,171 | ||||||||
T-Mobile USA, Inc. | 6.633% | 4/28/2021 | 20,000 | 20,975,000 | ||||||||
T-Mobile USA, Inc. | 6.836% | 4/28/2023 | 2,192 | 2,323,520 | ||||||||
Telefonica Celular del Paraguay SA (Paraguay)†(c) | 6.75% | 12/13/2022 | 5,630 | 5,686,300 | ||||||||
Wind Acquisition Finance SA (Italy)†(c) | 7.375% | 4/23/2021 | 27,200 | 26,044,000 | ||||||||
Total | 218,429,065 | |||||||||||
Telecommunications: Wireline Integrated & Services 2.33% | ||||||||||||
Columbus International, Inc. (Barbados)†(c) | 7.375% | 3/30/2021 | 12,134 | 12,859,006 | ||||||||
Communications Sales & Leasing, Inc./CSL Capital LLC | 8.25% | 10/15/2023 | 8,394 | 8,556,676 | ||||||||
Consolidated Communications, Inc. | 6.50% | 10/1/2022 | 8,667 | 7,821,968 | ||||||||
Equinix, Inc. | 5.375% | 4/1/2023 | 19,410 | 20,137,875 | ||||||||
Equinix, Inc. | 5.875% | 1/15/2026 | 10,130 | 10,579,519 | ||||||||
Frontier Communications Corp. | 6.875% | 1/15/2025 | 21,925 | 18,485,516 | ||||||||
Frontier Communications Corp. | 7.625% | 4/15/2024 | 7,800 | 6,942,000 |
34 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Telecommunications: Wireline Integrated & Services (continued) | ||||||||||||
Frontier Communications Corp. | 9.25% | 7/1/2021 | $ | 9,810 | $ | 10,423,125 | ||||||
Frontier Communications Corp. | 10.50% | 9/15/2022 | 18,087 | 19,206,133 | ||||||||
Frontier Communications Corp. | 11.00% | 9/15/2025 | 42,204 | 43,839,405 | ||||||||
GCI, Inc. | 6.875% | 4/15/2025 | 11,071 | 11,257,878 | ||||||||
Hellas Telecommunications Luxembourg II SCA (Luxembourg)†(c)(d) | Zero Coupon | 1/15/2049 | 15,000 | 1,500 | ||||||||
Sable International Finance Ltd.† | 6.875% | 8/1/2022 | 13,196 | 13,318,987 | ||||||||
Telecom Italia SpA (Italy)†(c) | 5.303% | 5/30/2024 | 9,565 | 9,576,956 | ||||||||
Zayo Group LLC/Zayo Capital, Inc. | 6.00% | 4/1/2023 | 15,228 | 15,532,560 | ||||||||
Total | 208,539,104 | |||||||||||
Transportation: Infrastructure/Services 0.42% | ||||||||||||
Aeropuerto Internacional de Tocumen SA (Panama)†(c) | 5.625% | 5/18/2036 | 10,775 | 10,828,875 | ||||||||
Autoridad del Canal de Panama (Panama)†(c) | 4.95% | 7/29/2035 | 8,750 | 9,493,750 | ||||||||
DP World Ltd. (United Arab Emirates)†(c) | 6.85% | 7/2/2037 | 8,970 | 9,870,409 | ||||||||
XPO Logistics, Inc.† | 7.875% | 9/1/2019 | 7,407 | 7,573,657 | ||||||||
Total | 37,766,691 | |||||||||||
Trucking & Delivery 0.14% | ||||||||||||
FedEx Corp. | 4.55% | 4/1/2046 | 11,856 | 12,918,558 | ||||||||
Total High Yield Corporate Bonds (cost $6,392,739,367) | 6,507,225,659 | |||||||||||
MUNICIPAL BOND 0.17% | ||||||||||||
Other Revenue | ||||||||||||
New York City Indus Dev Agy† (cost $11,305,000) | 11.00% | 3/1/2029 | 11,305 | 15,685,348 | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 0.85% | ||||||||||||
Citigroup Commercial Mortgage Trust 2015-101A D† | 4.779% | # | 1/14/2043 | 8,025 | 7,209,878 | |||||||
Citigroup Commercial Mortgage Trust 2015-101A F† | 4.779% | # | 1/14/2043 | 19,000 | 13,873,135 | |||||||
Citigroup Commercial Mortgage Trust 2015-101A G† | 4.779% | # | 1/14/2043 | 4,000 | 2,768,620 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS5 C | 4.765% | # | 9/10/2047 | 6,250 | 6,404,691 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 D | 4.443% | # | 7/10/2050 | 12,037 | 8,966,834 | |||||||
GS Mortgage Securities Trust 2014-GC26 D† | 4.511% | # | 11/10/2047 | 4,100 | 3,205,323 |
See Notes to Financial Statements. | 35 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust 2010-1 B† | 6.00% | 1/25/2051 | $ | 7,835 | $ | 7,456,453 | ||||||
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust 2010-1 C† | 6.381% | # | 1/25/2051 | 7,457 | 6,288,595 | |||||||
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust 2014-1A XB IO† | 0.342% | # | 8/25/2047 | 20,727 | 681,913 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C31 C | 4.772% | # | 8/15/2048 | 14,027 | 12,937,042 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 LNC4† | 4.75% | 12/15/2046 | 7,540 | 6,649,790 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $82,974,389) | 76,442,274 | |||||||||||
Total Long-Term Investments (cost $8,613,060,449) | 8,855,982,535 | |||||||||||
SHORT-TERM INVESTMENT 1.15% | ||||||||||||
REPURCHASE AGREEMENT | ||||||||||||
Repurchase Agreement dated 6/30/2016, 0.03% due 7/1/2016 with Fixed Income Clearing Corp. collateralized by $98,945,000 of U.S. Treasury Inflation Indexed Note at 0.125% due 4/15/2017; value: $104,940,567; proceeds: $102,881,054 (cost $102,880,968) | 102,881 | 102,880,968 | ||||||||||
Total Investments in Securities 99.97% (cost $8,715,941,417) | 8,958,863,503 | |||||||||||
Cash, Foreign Cash and Other Assets in Excess of Liabilities(i) 0.03% | 2,527,260 | |||||||||||
Net Assets 100.00% | $ | 8,961,390,763 |
AUD | Australian dollar. | |
BRL | Brazilian real. | |
CAD | Canadian dollar. | |
EUR | euro. | |
GBP | British pound. | |
HKD | Hong Kong dollar. | |
MXN | Mexican peso. | |
ADR | American Depositary Receipt. | |
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, 2016. | |
* | Non-income producing security. | |
(a) | Securities purchased on a when-issued basis (See Note 2(k)). | |
(b) | Investment in non-U.S. dollar denominated securities. | |
(c) | Foreign security traded in U.S. dollars. | |
(d) | Defaulted (non-income producing security). |
36 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
(e) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at June 30, 2016. | |
(f) | Interest rate to be determined. | |
(g) | Security is perpetual in nature and has no stated maturity. | |
(h) | To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. | |
(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, 2016:
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 | Sell | Barclays Bank plc | 7/19/2016 | 950,000 | $ | 1,389,856 | $ | 1,264,813 | $ | 125,043 | ||||||||||
British pound | Sell | Morgan Stanley | 7/19/2016 | 1,680,000 | 2,419,252 | 2,236,723 | 182,529 | |||||||||||||
British pound | Sell | Standard Chartered Bank | 7/19/2016 | 14,610,000 | 20,720,866 | 19,451,503 | 1,269,363 | |||||||||||||
British pound | Sell | State Street Bank and Trust | 7/19/2016 | 540,000 | 767,692 | 718,947 | 48,745 | |||||||||||||
British pound | Sell | State Street Bank and Trust | 7/19/2016 | 5,000,000 | 7,312,825 | 6,656,914 | 655,911 | |||||||||||||
British pound | Sell | State Street Bank and Trust | 7/19/2016 | 690,000 | 989,826 | 918,654 | 71,172 | |||||||||||||
British pound | Sell | State Street Bank and Trust | 7/19/2016 | 916,000 | 1,307,861 | 1,219,547 | 88,314 | |||||||||||||
British pound | Sell | State Street Bank and Trust | 7/19/2016 | 1,723,000 | 2,449,624 | 2,293,973 | 155,651 | |||||||||||||
British pound | Sell | State Street Bank and Trust | 7/19/2016 | 785,000 | 1,111,624 | 1,045,136 | 66,488 | |||||||||||||
British pound | Sell | State Street Bank and Trust | 7/19/2016 | 900,000 | 1,278,760 | 1,198,245 | 80,515 | |||||||||||||
euro | Sell | Morgan Stanley | 8/16/2016 | 56,900,000 | 64,950,843 | 63,239,913 | 1,710,930 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 4,454,661 |
See Notes to Financial Statements. | 37 |
Schedule of Investments (unaudited)(continued)
June 30, 2016
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 | Goldman Sachs | 7/19/2016 | 5,000,000 | $ | 7,275,669 | $ | 6,656,914 | $ | (618,755 | ) | |||||||||
British pound | Buy | State Street Bank and Trust | 7/19/2016 | 1,700,000 | 2,487,052 | 2,263,351 | (223,701 | ) | ||||||||||||
euro | Buy | State Street Bank and Trust | 8/16/2016 | 431,000 | 486,061 | 479,023 | (7,038 | ) | ||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (849,494 | ) |
Open Futures Contracts at June 30, 2016:
Unrealized | ||||||||||||||
Type | Expiration | Contracts | Position | Fair Value | Appreciation | |||||||||
U.S. 5-Year Treasury Note | September 2016 | 2,578 | Long | $ | 314,938,954 | $ | 5,415,840 | |||||||
Unrealized | ||||||||||||||
Type | Expiration | Contracts | Position | Fair Value | Depreciation | |||||||||
Long U.S. Treasury Bond | September 2016 | 2,428 | Short | $ | (418,450,625 | ) | $ | (22,254,618 | ) | |||||
U.S. 10-Year Treasury Note | September 2016 | 7,861 | Short | (1,045,390,172 | ) | (25,735,391 | ) | |||||||
Totals | $ | (1,463,840,797 | ) | $ | (47,990,009 | ) |
38 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2016
The following is a summary of the inputs used as of June 30, 2016 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Automobiles | $ | – | $ | 36,124,967 | $ | – | $ | 36,124,967 | ||||||||
Other | – | 131,436,678 | 28,702,784 | (4)(5) | 160,139,462 | |||||||||||
Common Stocks | ||||||||||||||||
Auto Parts & Equipment | – | 16,997,596 | – | 16,997,596 | ||||||||||||
Energy: Exploration & Production | 80,664,491 | (3) | – | – | 80,664,491 | |||||||||||
Media: Content | – | – | 1,206,938 | (6) | 1,206,938 | |||||||||||
Metals/Mining (Excluding Steel) | 65,739,266 | 24,348,944 | 233,195 | (6) | 90,321,405 | |||||||||||
Software/Services | 60,305,346 | 9,327,269 | – | 69,632,615 | ||||||||||||
Specialty Retail | 50,002,357 | 8,228,554 | – | 58,230,911 | ||||||||||||
Remaining Industries | 904,898,675 | – | – | 904,898,675 | ||||||||||||
Convertible Bonds | ||||||||||||||||
Energy: Exploration & Production | – | 9,362,300 | 796,785 | (6) | 10,159,085 | |||||||||||
Remaining Industries | – | 15,433,245 | – | 15,433,245 | ||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Electric: Integrated | 9,441,658 | – | – | 9,441,658 | ||||||||||||
Energy: Exploration & Production | 8,546,895 | – | – | 8,546,895 | ||||||||||||
Software/Services | – | 9,129,586 | – | 9,129,586 | ||||||||||||
Floating Rate Loans(7) | ||||||||||||||||
Auto Parts & Equipment | – | – | 8,036,175 | 8,036,175 | ||||||||||||
Chemicals | – | 8,587,640 | – | 8,587,640 | ||||||||||||
Diversified Capital Goods | – | 17,860,250 | 9,185,945 | 27,046,195 | ||||||||||||
Electric: Generation | – | 4,228,665 | – | 4,228,665 | ||||||||||||
Electric: Integrated | – | 9,686,187 | – | 9,686,187 | ||||||||||||
Energy: Exploration & Production | – | 35,917,501 | – | 35,917,501 | ||||||||||||
Gaming | – | 19,618,542 | 16,023,900 | 35,642,442 | ||||||||||||
Health Services | – | 4,422,276 | – | 4,422,276 | ||||||||||||
Metals/Mining (Excluding Steel) | – | 38,125,122 | – | 38,125,122 | ||||||||||||
Oil Field Equipment & Services | – | 3,592,796 | – | 3,592,796 | ||||||||||||
Personal & Household Products | – | 15,077,777 | – | 15,077,777 | ||||||||||||
Recreation & Travel | – | 8,769,731 | – | 8,769,731 | ||||||||||||
Specialty Retail | – | 17,459,605 | – | 17,459,605 | ||||||||||||
Support: Services | – | 32,716,063 | – | 32,716,063 | ||||||||||||
Telecommunications: Wireline Integrated & Services | – | 17,811,662 | – | 17,811,662 | ||||||||||||
Foreign Bonds | – | 42,682,644 | – | 42,682,644 | ||||||||||||
Foreign Government Obligations | – | 391,833,287 | – | 391,833,287 | ||||||||||||
Government Sponsored Enterprises Pass-Through | – | 84,065,957 | – | 84,065,957 | ||||||||||||
High Yield Corporate Bonds | ||||||||||||||||
Automakers | – | 9,176,468 | 1,500 | (6) | 9,177,968 | |||||||||||
Banking | – | 553,911,589 | 2,250 | (6) | 553,913,839 | |||||||||||
Metals/Mining (Excluding Steel) | – | 370,342,160 | 18 | (6) | 370,342,178 | |||||||||||
Specialty Retail | – | 124,505,465 | 146,426 | (4) | 124,651,891 | |||||||||||
Telecommunications: Wireline Integrated & Services | – | 208,537,604 | 1,500 | (6) | 208,539,104 | |||||||||||
Remaining Industries | – | 5,240,600,679 | – | 5,240,600,679 | ||||||||||||
Municipal Bond | – | 15,685,348 | – | 15,685,348 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 76,442,274 | – | 76,442,274 | ||||||||||||
Repurchase Agreement | – | 102,880,968 | – | 102,880,968 | ||||||||||||
Total | $ | 1,179,598,688 | $ | 7,714,927,399 | $ | 64,337,416 | $ | 8,958,863,503 |
See Notes to Financial Statements. | 39 |
Schedule of Investments (unaudited)(concluded)
June 30, 2016
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 4,454,661 | $ | – | $ | 4,454,661 | ||||||||
Liabilities | – | (849,494 | ) | – | (849,494 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 5,415,840 | – | – | 5,415,840 | ||||||||||||
Liabilities | (47,990,009 | ) | – | – | (47,990,009 | ) | ||||||||||
Total | $ | (42,574,169 | ) | $ | 3,605,167 | $ | – | �� | $ | (38,969,002 | ) |
(1) | Refer to Note 2(n) for a description of fair value measurements and the three-tier hierarchy of inputs. | |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. | |
(3) | As of June 30, 2016, OGX Petroleo e Gas SA SP ADR. was categorized as level 1 due to active market trading. For the period ended June 30, 2016, the total amount transferred from Level 2 to Level 1 was $477,431. | |
(4) | Includes securities valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(5) | Asset-Backed Securities categorized as Level 3 investment includes ALM XVIII Ltd. 2016-18A C, Anchorage Capital CLO 8 Ltd. 2016-8A D, Leaf Receivables Funding 11 LLC 2016-1 A3, Leaf Receivables Funding 11 LLC 2016-1 A4, Voya CLO Ltd. 2016-2A C, Westcott Park Clo Ltd. 2016-1A D. | |
(6) | Level 3 securities fair valued by the Pricing Committee, as described in Note 2(a) in the Notes to Financial Statements. | |
(7) | 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. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Non-Agency | ||||||||||||||||||||||||
Commercial | ||||||||||||||||||||||||
Asset- | High Yield | Mortgage- | ||||||||||||||||||||||
Backed | Common | Convertible | Floating | Corporate | Backed | |||||||||||||||||||
Investment Type | Securities | Stocks | Bonds | Rate Loans | Bonds | Securities | ||||||||||||||||||
Balance as of January 1, 2016 | $ | – | $ | 1,363,744 | $ | 796,783 | $ | 23,304,840 | $ | 397,304 | $ | 9,810,846 | ||||||||||||
Accrued discounts/premiums | 35 | – | – | 83,624 | – | 6,565 | ||||||||||||||||||
Realized gain (loss) | – | – | – | 1,882 | – | (1,128,889) | ||||||||||||||||||
Change in unrealized appreciation/depreciation | 26,490 | 76,389 | 2 | 103,438 | (274,069) | 1,050,988 | ||||||||||||||||||
Purchases | 28,676,259 | – | – | 9,817,347 | 28,459 | – | ||||||||||||||||||
Sales | – | – | – | (65,111) | – | (9,037,500) | ||||||||||||||||||
Net transfers in or out of Level 3 | – | – | – | – | – | (702,010) | ||||||||||||||||||
Balance as of June 30, 2016 | $ | 28,702,784 | $ | 1,440,133 | $ | 796,785 | $ | 33,246,020 | $ | 151,694 | $ | – |
40 | See Notes to Financial Statements. |
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Statement of Assets and Liabilities (unaudited)
June 30, 2016
ASSETS: | ||||
Investments in securities, at fair value (cost $8,715,941,417) | $ | 8,958,863,503 | ||
Deposits with brokers for derivatives collateral | 19,360,367 | |||
Cash | 11,542,725 | |||
Foreign cash, at value (cost $2,273,024) | 2,254,601 | |||
Receivables: | ||||
Investment securities sold | 176,025,531 | |||
Interest and dividends | 106,458,230 | |||
Capital shares sold | 55,814,803 | |||
Variation margin | 2,422,543 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 4,454,661 | |||
Prepaid expenses and other assets | 178,470 | |||
Total assets | 9,337,375,434 | |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 306,645,989 | |||
Capital shares reacquired | 24,245,657 | |||
Management fee | 3,310,810 | |||
12b-1 distribution plan | 2,941,933 | |||
Directors’ fees | 1,695,325 | |||
Fund administration | 292,473 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 849,494 | |||
Distributions payable | 34,445,643 | |||
Accrued expenses | 1,557,347 | |||
Total liabilities | 375,984,671 | |||
NET ASSETS | $ | 8,961,390,763 | ||
COMPOSITION OF NET ASSETS: | ||||
Paid-in capital | $ | 9,139,096,266 | ||
Undistributed net investment income | 15,480,731 | |||
Accumulated net realized loss on investments, futures contracts, swaps and foreign currency related transactions | (397,101,792 | ) | ||
Net unrealized appreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | 203,915,558 | |||
Net Assets | $ | 8,961,390,763 |
42 | See Notes to Financial Statements. |
Statement of Assets and Liabilities (unaudited)(concluded)
June 30, 2016
Net assets by class: | ||||
Class A Shares | $ | 4,327,808,265 | ||
Class B Shares | $ | 67,172,870 | ||
Class C Shares | $ | 1,908,219,799 | ||
Class F Shares | $ | 2,018,922,110 | ||
Class I Shares | $ | 472,572,168 | ||
Class P Shares | $ | 35,481,197 | ||
Class R2 Shares | $ | 4,507,161 | ||
Class R3 Shares | $ | 113,951,847 | ||
Class R4 Shares | $ | 411,413 | ||
Class R5 Shares | $ | 94,867 | ||
Class R6 Shares | $ | 12,249,066 | ||
Outstanding shares by class: | ||||
Class A Shares (1.14 billion shares of common stock authorized, $.001 par value) | 564,675,439 | |||
Class B Shares (500 million shares of common stock authorized, $.001 par value) | 8,733,344 | |||
Class C Shares (600 million shares of common stock authorized, $.001 par value) | 248,330,816 | |||
Class F Shares (600 million shares of common stock authorized, $.001 par value) | 263,782,549 | |||
Class I Shares (300 million shares of common stock authorized, $.001 par value) | 61,990,150 | |||
Class P Shares (160 million shares of common stock authorized, $.001 par value) | 4,527,791 | |||
Class R2 Shares (300 million shares of common stock authorized, $.001 par value) | 588,091 | |||
Class R3 Shares (300 million shares of common stock authorized, $.001 par value) | 14,892,063 | |||
Class R4 Shares (300 million shares of common stock authorized, $.001 par value) | 53,687 | |||
Class R5 Shares (300 million shares of common stock authorized, $.001 par value) | 12,437 | |||
Class R6 Shares (300 million shares of common stock authorized, $.001 par value) | 1,605,713 | |||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||
Class A Shares-Net asset value | $7.66 | |||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $7.84 | |||
Class B Shares-Net asset value | $7.69 | |||
Class C Shares-Net asset value | $7.68 | |||
Class F Shares-Net asset value | $7.65 | |||
Class I Shares-Net asset value | $7.62 | |||
Class P Shares-Net asset value | $7.84 | |||
Class R2 Shares-Net asset value | $7.66 | |||
Class R3 Shares-Net asset value | $7.65 | |||
Class R4 Shares-Net asset value | $7.66 | |||
Class R5 Shares-Net asset value | $7.63 | |||
Class R6 Shares-Net asset value | $7.63 |
See Notes to Financial Statements. | 43 |
Statement of Operations (unaudited)
For the Six Months Ended June 30, 2016
Investment income: | ||||
Dividends (net of foreign withholding taxes of $49,153) | $ | 8,303,429 | ||
Interest and other (net of foreign withholding taxes of $1,750) | 225,480,374 | |||
Total investment income | 233,783,803 | |||
Expenses: | ||||
Management fee | 19,310,753 | |||
12b-1 distribution plan-Class A | 4,138,825 | |||
12b-1 distribution plan-Class B | 361,010 | |||
12b-1 distribution plan-Class C | 7,649,510 | |||
12b-1 distribution plan-Class F | 938,691 | |||
12b-1 distribution plan-Class P | 43,007 | |||
12b-1 distribution plan-Class R2 | 11,892 | |||
12b-1 distribution plan-Class R3 | 269,220 | |||
12b-1 distribution plan-Class R4 | 337 | |||
Shareholder servicing | 4,332,534 | |||
Professional | 68,052 | |||
Reports to shareholders | 327,903 | |||
Fund administration | 1,705,461 | |||
Custody | 85,708 | |||
Directors’ fees | 119,511 | |||
Registration | 205,374 | |||
Other | 186,968 | |||
Gross expenses | 39,754,756 | |||
Expense reductions (See Note 9) | (15,229 | ) | ||
Net expenses | 39,739,527 | |||
Net investment income | 194,044,276 | |||
Net realized and unrealized gain (loss): | ||||
Net realized loss on investments | (174,764,555 | ) | ||
Net realized loss on futures contracts, swaps and foreign currency related transactions | (79,278,796 | ) | ||
Net change in unrealized appreciation/depreciation on investments | 603,634,329 | |||
Net change in unrealized appreciation/depreciation on futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | (38,900,939 | ) | ||
Net realized and unrealized gain | 310,690,039 | |||
Net Increase in Net Assets Resulting From Operations | $ | 504,734,315 |
44 | See Notes to Financial Statements. |
Statements of Changes in Net Assets
For the Six Months | ||||||||
Ended June 30, 2016 | For the Year Ended | |||||||
INCREASE (DECREASE) IN NET ASSETS | (unaudited) | December 31, 2015 | ||||||
Operations: | ||||||||
Net investment income | $ | 194,044,276 | $ | 372,825,843 | ||||
Net realized loss on investments, futures contracts, swaps and foreign currency related transactions | (254,043,351 | ) | (98,375,192 | ) | ||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | 564,733,390 | (431,336,953 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 504,734,315 | (156,886,302 | ) | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Class A | (100,303,744 | ) | (203,135,407 | ) | ||||
Class B | (1,463,423 | ) | (3,814,136 | ) | ||||
Class C | (38,897,082 | ) | (77,242,195 | ) | ||||
Class F | (46,310,857 | ) | (89,080,739 | ) | ||||
Class I | (10,974,741 | ) | (21,509,682 | ) | ||||
Class P | (825,191 | ) | (1,780,961 | ) | ||||
Class R2 | (88,124 | ) | (167,864 | ) | ||||
Class R3 | (2,461,708 | ) | (4,352,757 | ) | ||||
Class R4 | (6,494 | ) | (2,155 | ) | ||||
Class R5 | (951 | ) | (230 | ) | ||||
Class R6 | (286,343 | ) | (136,375 | ) | ||||
Net realized gain | ||||||||
Class A | – | (34,162,619 | ) | |||||
Class B | – | (748,752 | ) | |||||
Class C | – | (15,199,755 | ) | |||||
Class F | – | (15,303,345 | ) | |||||
Class I | – | (2,989,643 | ) | |||||
Class P | – | (294,380 | ) | |||||
Class R2 | – | (27,899 | ) | |||||
Class R3 | – | (790,263 | ) | |||||
Class R4 | – | (74 | ) | |||||
Class R5 | – | (74 | ) | |||||
Class R6 | – | (74 | ) | |||||
Total distributions to shareholders | (201,618,658 | ) | (470,739,379 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 13): | ||||||||
Net proceeds from sales of shares | 1,093,790,901 | 2,964,164,404 | ||||||
Reinvestment of distributions | 172,679,276 | 403,973,062 | ||||||
Cost of shares reacquired | (1,189,518,893 | ) | (3,264,686,299 | ) | ||||
Net increase in net assets resulting from capital share transactions | 76,951,284 | 103,451,167 | ||||||
Net increase (decrease) in net assets | 380,066,941 | (524,174,514 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | $ | 8,581,323,822 | $ | 9,105,498,336 | ||||
End of period | $ | 8,961,390,763 | $ | 8,581,323,822 | ||||
Undistributed net investment income | $ | 15,480,731 | $ | 23,055,113 |
See Notes to Financial Statements. | 45 |
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment oper- ations | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2016(c) | $7.40 | $0.17 | $ 0.27 | $ 0.44 | $(0.18 | ) | $ – | $(0.18 | ) | |||||||||||||||||||
12/31/2015 | 7.93 | 0.32 | (0.44 | ) | (0.12 | ) | (0.35 | ) | (0.06 | ) | (0.41 | ) | ||||||||||||||||
12/31/2014 | 8.15 | 0.37 | – | (e) | 0.37 | (0.39 | ) | (0.20 | ) | (0.59 | ) | |||||||||||||||||
12/31/2013 | 8.14 | 0.42 | 0.19 | 0.61 | (0.43 | ) | (0.17 | ) | (0.60 | ) | ||||||||||||||||||
12/31/2012 | 7.63 | 0.47 | 0.51 | 0.98 | (0.47 | ) | – | (0.47 | ) | |||||||||||||||||||
12/31/2011 | 7.81 | 0.47 | (0.17 | ) | 0.30 | (0.48 | ) | – | (0.48 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
6/30/2016(c) | 7.43 | 0.14 | 0.27 | 0.41 | (0.15 | ) | – | (0.15 | ) | |||||||||||||||||||
12/31/2015 | 7.95 | 0.26 | (0.43 | ) | (0.17 | ) | (0.29 | ) | (0.06 | ) | (0.35 | ) | ||||||||||||||||
12/31/2014 | 8.18 | 0.31 | (0.01 | ) | 0.30 | (0.33 | ) | (0.20 | ) | (0.53 | ) | |||||||||||||||||
12/31/2013 | 8.17 | 0.37 | 0.19 | 0.56 | (0.38 | ) | (0.17 | ) | (0.55 | ) | ||||||||||||||||||
12/31/2012 | 7.66 | 0.42 | 0.51 | 0.93 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
12/31/2011 | 7.84 | 0.42 | (0.17 | ) | 0.25 | (0.43 | ) | – | (0.43 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2016(c) | 7.42 | 0.15 | 0.27 | 0.42 | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||||
12/31/2015 | 7.95 | 0.27 | (0.44 | ) | (0.17 | ) | (0.30 | ) | (0.06 | ) | (0.36 | ) | ||||||||||||||||
12/31/2014 | 8.17 | 0.32 | – | (e) | 0.32 | (0.34 | ) | (0.20 | ) | (0.54 | ) | |||||||||||||||||
12/31/2013 | 8.16 | 0.37 | 0.19 | 0.56 | (0.38 | ) | (0.17 | ) | (0.55 | ) | ||||||||||||||||||
12/31/2012 | 7.65 | 0.42 | 0.51 | 0.93 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
12/31/2011 | 7.83 | 0.42 | (0.17 | ) | 0.25 | (0.43 | ) | – | (0.43 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
6/30/2016(c) | 7.39 | 0.17 | 0.27 | 0.44 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
12/31/2015 | 7.91 | 0.33 | (0.44 | ) | (0.11 | ) | (0.35 | ) | (0.06 | ) | (0.41 | ) | ||||||||||||||||
12/31/2014 | 8.14 | 0.38 | (0.01 | ) | 0.37 | (0.40 | ) | (0.20 | ) | (0.60 | ) | |||||||||||||||||
12/31/2013 | 8.13 | 0.44 | �� | 0.19 | 0.63 | (0.45 | ) | (0.17 | ) | (0.62 | ) | |||||||||||||||||
12/31/2012 | 7.62 | 0.49 | 0.51 | 1.00 | (0.49 | ) | – | (0.49 | ) | |||||||||||||||||||
12/31/2011 | 7.80 | 0.49 | (0.17 | ) | 0.32 | (0.50 | ) | – | (0.50 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
6/30/2016(c) | 7.36 | 0.18 | 0.26 | 0.44 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
12/31/2015 | 7.89 | 0.34 | (0.45 | ) | (0.11 | ) | (0.36 | ) | (0.06 | ) | (0.42 | ) | ||||||||||||||||
12/31/2014 | 8.11 | 0.38 | – | (e) | 0.38 | (0.40 | ) | (0.20 | ) | (0.60 | ) | |||||||||||||||||
12/31/2013 | 8.10 | 0.45 | 0.19 | 0.64 | (0.46 | ) | (0.17 | ) | (0.63 | ) | ||||||||||||||||||
12/31/2012 | 7.60 | 0.49 | 0.51 | 1.00 | (0.50 | ) | – | (0.50 | ) | |||||||||||||||||||
12/31/2011 | 7.77 | 0.50 | (0.16 | ) | 0.34 | (0.51 | ) | – | (0.51 | ) |
46 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | ||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses (%) | Net investment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||
$7.66 | 6.02 | (d) | 0.41 | (d) | 2.32 | (d) | $4,327,808 | 73.61 | (d) | ||||||||||||||
7.40 | (1.74 | ) | 0.82 | 4.10 | 4,183,669 | 118.51 | |||||||||||||||||
7.93 | 4.51 | 0.86 | 4.50 | 4,524,711 | 87.69 | ||||||||||||||||||
8.15 | 7.78 | 0.96 | 5.16 | 4,784,258 | 43.16 | ||||||||||||||||||
8.14 | 13.22 | 0.96 | 5.88 | 4,850,567 | 45.87 | ||||||||||||||||||
7.63 | 3.88 | 0.97 | 6.07 | 4,345,679 | 35.73 | ||||||||||||||||||
7.69 | 5.59 | (d) | 0.81 | (d) | 1.93 | (d) | 67,173 | 73.61 | (d) | ||||||||||||||
7.43 | (2.38 | ) | 1.62 | 3.31 | 80,073 | 118.51 | |||||||||||||||||
7.95 | 3.61 | 1.62 | 3.78 | 126,256 | 87.69 | ||||||||||||||||||
8.18 | 7.08 | 1.61 | 4.53 | 166,433 | 43.16 | ||||||||||||||||||
8.17 | 12.47 | 1.61 | 5.25 | 225,154 | 45.87 | ||||||||||||||||||
7.66 | 3.35 | 1.62 | 5.39 | 295,027 | 35.73 | ||||||||||||||||||
7.68 | 5.68 | (d) | 0.72 | (d) | 2.01 | (d) | 1,908,220 | 73.61 | (d) | ||||||||||||||
7.42 | (2.35 | ) | 1.46 | 3.48 | 1,882,589 | 118.51 | |||||||||||||||||
7.95 | 3.85 | 1.50 | 3.86 | 2,082,896 | 87.69 | ||||||||||||||||||
8.17 | 7.08 | 1.61 | 4.52 | 1,986,431 | 43.16 | ||||||||||||||||||
8.16 | 12.47 | 1.61 | 5.23 | 2,051,198 | 45.87 | ||||||||||||||||||
7.65 | 3.22 | 1.62 | 5.42 | 1,790,610 | 35.73 | ||||||||||||||||||
7.65 | 6.07 | (d) | 0.36 | (d) | 2.36 | (d) | 2,018,922 | 73.61 | (d) | ||||||||||||||
7.39 | (1.53 | ) | 0.72 | 4.20 | 1,893,642 | 118.51 | |||||||||||||||||
7.91 | 4.53 | 0.72 | 4.59 | 1,817,781 | 87.69 | ||||||||||||||||||
8.14 | 8.05 | 0.71 | 5.40 | 1,118,411 | 43.16 | ||||||||||||||||||
8.13 | 13.50 | 0.71 | 6.11 | 1,047,325 | 45.87 | ||||||||||||||||||
7.62 | 4.12 | 0.72 | 6.30 | 847,032 | 35.73 | ||||||||||||||||||
7.62 | 6.14 | (d) | 0.31 | (d) | 2.42 | (d) | 472,572 | 73.61 | (d) | ||||||||||||||
7.36 | (1.59 | ) | 0.62 | 4.28 | 382,854 | 118.51 | |||||||||||||||||
7.89 | 4.76 | 0.62 | 4.68 | 393,851 | 87.69 | ||||||||||||||||||
8.11 | 8.16 | 0.61 | 5.48 | 345,614 | 43.16 | ||||||||||||||||||
8.10 | 13.49 | 0.62 | 6.25 | 230,006 | 45.87 | ||||||||||||||||||
7.60 | 4.35 | 0.62 | 6.39 | 316,777 | 35.73 |
See Notes to Financial Statements. | 47 |
Financial Highlights (concluded)
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment oper- ations | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
6/30/2016(c) | $7.57 | $0.17 | $ 0.28 | $ 0.45 | $(0.18 | ) | $ – | $(0.18 | ) | |||||||||||||||||||
12/31/2015 | 8.10 | 0.33 | (0.45 | ) | (0.12 | ) | (0.35 | ) | (0.06 | ) | (0.41 | ) | ||||||||||||||||
12/31/2014 | 8.33 | 0.38 | (0.01 | ) | 0.37 | (0.40 | ) | (0.20 | ) | (0.60 | ) | |||||||||||||||||
12/31/2013 | 8.31 | 0.44 | 0.20 | 0.64 | (0.45 | ) | (0.17 | ) | (0.62 | ) | ||||||||||||||||||
12/31/2012 | 7.79 | 0.48 | 0.52 | 1.00 | (0.48 | ) | – | (0.48 | ) | |||||||||||||||||||
12/31/2011 | 7.98 | 0.48 | (0.18 | ) | 0.30 | (0.49 | ) | – | (0.49 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
6/30/2016(c) | 7.40 | 0.16 | 0.26 | 0.42 | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||||
12/31/2015 | 7.93 | 0.29 | (0.44 | ) | (0.15 | ) | (0.32 | ) | (0.06 | ) | (0.38 | ) | ||||||||||||||||
12/31/2014 | 8.15 | 0.34 | – | (e) | 0.34 | (0.36 | ) | (0.20 | ) | (0.56 | ) | |||||||||||||||||
12/31/2013 | 8.14 | 0.40 | 0.19 | 0.59 | (0.41 | ) | (0.17 | ) | (0.58 | ) | ||||||||||||||||||
12/31/2012 | 7.63 | 0.45 | 0.52 | 0.97 | (0.46 | ) | – | (0.46 | ) | |||||||||||||||||||
12/31/2011 | 7.81 | 0.46 | (0.18 | ) | 0.28 | (0.46 | ) | – | (0.46 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
6/30/2016(c) | 7.39 | 0.16 | 0.26 | 0.42 | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||||
12/31/2015 | 7.91 | 0.30 | (0.44 | ) | (0.14 | ) | (0.32 | ) | (0.06 | ) | (0.38 | ) | ||||||||||||||||
12/31/2014 | 8.14 | 0.35 | (0.01 | ) | 0.34 | (0.37 | ) | (0.20 | ) | (0.57 | ) | |||||||||||||||||
12/31/2013 | 8.13 | 0.41 | 0.19 | 0.60 | (0.42 | ) | (0.17 | ) | (0.59 | ) | ||||||||||||||||||
12/31/2012 | 7.62 | 0.45 | 0.52 | 0.97 | (0.46 | ) | – | (0.46 | ) | |||||||||||||||||||
12/31/2011 | 7.80 | 0.46 | (0.17 | ) | 0.29 | (0.47 | ) | – | (0.47 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
6/30/2016(c) | 7.40 | 0.17 | 0.27 | 0.44 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
6/30/2015 to 12/31/2015(f) | 7.99 | 0.16 | (0.52 | ) | (0.36 | ) | (0.17 | ) | (0.06 | ) | (0.23 | ) | ||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
6/30/2016(c) | 7.36 | 0.18 | 0.27 | 0.45 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
6/30/2015 to 12/31/2015(f) | 7.95 | 0.17 | (0.52 | ) | (0.35 | ) | (0.18 | ) | (0.06 | ) | (0.24 | ) | ||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
6/30/2016(c) | 7.37 | 0.18 | 0.27 | 0.45 | (0.19 | ) | – | (0.19 | ) | |||||||||||||||||||
6/30/2015 to 12/31/2015(f) | 7.95 | 0.17 | (0.51 | ) | (0.34 | ) | (0.18 | ) | (0.06 | ) | (0.24 | ) |
(a) | Calculated using average shares outstanding during the Period. | |
(b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. | |
(c) | Unaudited. | |
(d) | Not annualized. | |
(e) | Amount is less than $0.01. | |
(f) | Commenced on June 30, 2015. | |
(g) | Annualized. |
48 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | ||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses (%) | Net investment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||
$7.84 | 6.05 | (d) | 0.43 | (d) | 2.30 | (d) | $ 35,481 | 73.61 | (d) | ||||||||||||||
7.57 | (1.66 | ) | 0.87 | 4.06 | 35,632 | 118.51 | |||||||||||||||||
8.10 | 4.39 | 0.87 | 4.51 | 44,078 | 87.69 | ||||||||||||||||||
8.33 | 7.92 | 0.91 | 5.23 | 79,051 | 43.16 | ||||||||||||||||||
8.31 | 13.21 | 0.96 | 5.88 | 99,968 | 45.87 | ||||||||||||||||||
7.79 | 3.88 | 1.03 | 6.01 | 109,252 | 35.73 | ||||||||||||||||||
7.66 | 5.81 | (d) | 0.61 | (d) | 2.12 | (d) | 4,507 | 73.61 | (d) | ||||||||||||||
7.40 | (2.13 | ) | 1.22 | 3.71 | 4,075 | 118.51 | |||||||||||||||||
7.93 | 4.15 | 1.22 | 4.13 | 4,557 | 87.69 | ||||||||||||||||||
8.15 | 7.52 | 1.21 | 4.92 | 3,442 | 43.16 | ||||||||||||||||||
8.14 | 12.94 | 1.21 | 5.62 | 2,624 | 45.87 | ||||||||||||||||||
7.63 | 3.62 | 1.22 | 5.84 | 1,629 | 35.73 | ||||||||||||||||||
7.65 | 5.87 | (d) | 0.55 | (d) | 2.18 | (d) | 113,952 | 73.61 | (d) | ||||||||||||||
7.39 | (1.91 | ) | 1.12 | 3.82 | 107,581 | 118.51 | |||||||||||||||||
7.91 | 4.13 | 1.10 | 4.24 | 111,368 | 87.69 | ||||||||||||||||||
8.14 | 7.63 | 1.11 | 5.01 | 85,119 | 43.16 | ||||||||||||||||||
8.13 | 13.07 | 1.11 | 5.73 | 69,100 | 45.87 | ||||||||||||||||||
7.62 | 3.73 | 1.12 | 5.94 | 47,338 | 35.73 | ||||||||||||||||||
7.66 | 5.99 | (d) | 0.43 | (d) | 2.29 | (d) | 411 | 73.61 | (d) | ||||||||||||||
7.40 | (4.59 | )(d) | 0.87 | (g) | 4.27 | (g) | 207 | 118.51 | |||||||||||||||
7.63 | 6.28 | (d) | 0.30 | (d) | 2.40 | (d) | 95 | 73.61 | (d) | ||||||||||||||
7.36 | (4.50 | )(d) | 0.62 | (g) | 4.39 | (g) | 10 | 118.51 | |||||||||||||||
7.63 | 6.19 | (d) | 0.26 | (d) | 2.47 | (d) | 12,249 | 73.61 | (d) | ||||||||||||||
7.37 | (4.36 | )(d) | 0.54 | (g) | 4.49 | (g) | 10,994 | 118.51 |
See Notes to Financial Statements. | 49 |
Notes to Financial Statements (unaudited)
1. | ORGANIZATION |
Lord Abbett Bond-Debenture Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company. The Fund was 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. 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 (“U.S. GAAP”) 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. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
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 utilize 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 |
50
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 and interest 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, 2012 through December 31, 2015. 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. |
51
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, swaps and translation of assets and liabilities denominated in foreign currencies in the Fund’s Statement of Operations. The resultant exchange gains upon settlement of such transactions are included in Net realized loss on futures contracts, swaps and foreign currency related transactions in 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, swaps and translation of assets and liabilities denominated in foreign currencies in 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 loss on futures contracts, swaps and foreign currency related transactions in the Fund’s Statement of Operations. |
(h) | Futures Contracts–The Fund may purchase and sell futures contracts to enhance returns, to attempt to economically 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) | Credit Default Swaps–The Fund may enter into credit default swap contracts in order to hedge credit risk or for speculation purposes. As a seller of a credit default swap contract (“seller of protection”), the Fund is required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty in the event of a default by or other credit event involving the referenced issuer, obligation or index. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract. |
As a purchaser of a credit default swap contract (“buyer of protection”), the Fund would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty in the event of default by or other credit event involving the referenced issuer, |
52
Notes to Financial Statements (unaudited)(continued)
obligation or index. In return, the Fund would make periodic payments to the counterparty over the term of the contracts, provided no event of default has occurred. | |
These credit default swaps may have as a reference obligation corporate or sovereign issuers or credit indexes. These credit indexes are comprised of a basket of securities representing a particular sector of the market. During the period, Bond Debenture Fund entered into credit default swaps based on CMBX indexes, CDX indexes and single issuers, which are comprised of a basket of commercial mortgage-backed securities, a basket of investment grade securities and a corporate issuer, respectively. | |
Credit default swaps are fair valued based upon quotations from counterparties, brokers or market-makers and the change in value, if any, is recorded as an unrealized appreciation or depreciation. For a credit default swap sold by the Fund, payment of the agreed-upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by the Fund, the agreed-upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund. | |
Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and credit rating of each credit default swap where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that the Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities. | |
Entering into credit default swaps involves credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, and that Lord Abbett does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based. | |
(j) | 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. |
53
Notes to Financial Statements (unaudited)(continued)
(k) | 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. |
(l) | 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. |
(m) | 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 |
54
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. As of June 30, 2016, the Fund had no unfunded loan commitments. | |
(n) | Fair Value Measurements–Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk—for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below: |
• | Level 1 – | unadjusted quoted prices in active markets for identical investments; | |
• | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and | |
• | Level 3 – | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
A summary of inputs used in valuing the Fund’s investments and other financial instruments as of June 30, 2016 and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the six months then ended is included in the Fund’s Schedule of Investments. | |
Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. |
3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
Management Fee
The Fund has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies the Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of the Fund’s investment portfolio.
55
Notes to Financial Statements (unaudited)(continued)
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, 2016, 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 | (2) | 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. |
(2) | The Class F share Rule 12b-1 fee may be designated as a service fee in limited circumstances as described in the Fund’s prospectus. |
Class I, R5 and 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, 2016:
Distributor | Dealers’ |
Commissions | Concessions |
$206,236 | $1,370,443 |
Distributor received CDSCs of $31,004 and $77,492 for Class A and Class C shares, respectively, for the six months ended June 30, 2016.
Two Directors and certain of the Fund’s officers have an interest in Lord Abbett.
4. | DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS |
Dividends from net investment income, if any, are declared daily and paid monthly. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to 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
56
Notes to Financial Statements (unaudited)(continued)
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, 2016 and fiscal year ended December 31, 2015 was as follows:
Six Months Ended | ||||||||
6/30/2016 | Year Ended | |||||||
(unaudited) | 12/31/2015 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 201,618,658 | $ | 404,420,206 | ||||
Net long-term capital gains | – | 66,319,173 | ||||||
Total distributions paid | $ | 201,618,658 | $ | 470,739,379 |
As of December 31, 2015, the Fund had a capital loss carryforward of $23,998,879, which will carry forward indefinitely.
As of June 30, 2016, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 8,742,141,070 | ||
Gross unrealized gain | 432,735,764 | |||
Gross unrealized loss | (216,013,331 | ) | ||
Net unrealized security gain | $ | 216,722,433 |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of amortization of premium, 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, 2016 were as follows:
U.S. | Non-U.S. | U.S. | Non-U.S. |
Government | Government | Government | Government |
Purchases | Purchases | Sales | Sales |
$1,523,710,474 | $4,811,796,485 | $1,442,423,181 | $4,845,399,302 |
The Fund is permitted to purchase and sell securities (“cross-trade”) from and to other Lord Abbett funds or client accounts pursuant to procedures approved by the Board in compliance with Rule 17a-7 under the Act (the “Rule”). Each cross-trade is executed at a fair market price in compliance with provisions of the Rule. For the period ended June 30, 2016, the Fund engaged in cross-trades purchases of $4,312,125 and sales of $73,102,229, which resulted in net realized losses of $(3,602,323).
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
The Fund entered into forward foreign currency exchange contracts for the six months ended June 30, 2016 (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
57
Notes to Financial Statements (unaudited)(continued)
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, 2016 (as described in note 2(h)) to economically 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 credit default swaps for the six months ended June 30, 2016 (as described in note 2(i)) to economically hedge credit risk. Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying security within the index in the event of a defined credit event, such as payment default or bankruptcy. Under a credit default swap one party acts as a guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying security at par if the defined credit event occurs. The Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract.
As of June 30, 2016, the Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Fund’s use of derivative instruments:
Interest | Foreign | |||||||
Rate | Currency | |||||||
Asset Derivatives | Contracts | Contracts | ||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 4,454,661 | |||||
Futures Contracts(2) | $ | 5,415,840 | – | |||||
Liability Derivatives | ||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 849,494 | |||||
Futures Contracts(2) | $ | 47,990,009 | – |
(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. |
58
Notes to Financial Statements (unaudited)(continued)
Transactions in derivative instruments for the six months ended June 30, 2016, were as follows:
Forward | ||||||||||||
Interest Rate | Currency | Credit | ||||||||||
Contracts | Contracts | Contracts | ||||||||||
Net Realized Gain (Loss)(1) | ||||||||||||
Credit Default Swaps | $ | – | $ | – | $ | (9,331,843 | ) | |||||
Forward Foreign Currency Exchange Contracts | – | (856,144 | ) | – | ||||||||
Futures Contracts | (69,086,909 | ) | – | – | ||||||||
Net Change in Unrealized Appreciation/Depreciation(2) | ||||||||||||
Credit Default Swaps | $ | – | $ | – | $ | 1,426,743 | ||||||
Forward Foreign Currency Exchange Contracts | – | 2,228,270 | – | |||||||||
Futures Contracts | (42,537,483 | ) | – | – | ||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swaps(3) | – | – | $ | 120,322,000 | ||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 109,518,077 | – | ||||||||
Futures Contracts(4) | 17,584 | – | – |
* | Calculated based on the number of contracts or notional amounts for the six months ended June 30, 2016. |
(1) | Statement of Operations location: Net realized loss on futures contracts, swaps and foreign currency related transactions. |
(2) | Statement of Operations location: Net change in unrealized appreciation/depreciation on futures contracts, swaps 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”) requires disclosure to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. The following tables illustrate gross and net information about recognized assets and liabilities eligible for offset in the statement of assets and liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between the 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:
59
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 | $ | 4,454,661 | $ | – | $ | 4,454,661 | ||||||
Repurchase Agreement | 102,880,968 | – | 102,880,968 | |||||||||
Total | $ | 107,335,629 | $ | – | $ | 107,335,629 | ||||||
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) | |||||||||||||||
Barclays Bank plc | $ | 125,043 | $ | – | $ | – | $ | – | $ | 125,043 | ||||||||||
Fixed Income Clearing Corp. | 102,880,968 | – | – | (102,880,968 | ) | – | ||||||||||||||
Morgan Stanley | 1,893,459 | – | (1,893,459 | ) | – | – | ||||||||||||||
Standard Chartered Bank | 1,269,363 | – | (1,269,363 | ) | – | – | ||||||||||||||
State Street Bank and Trust | 1,166,796 | (230,739 | ) | (936,057 | ) | – | – | |||||||||||||
Total | $ | 107,335,629 | $ | (230,739 | ) | $ | (4,098,879 | ) | $ | (102,880,968 | ) | $ | 125,043 | |||||||
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 | $849,494 | $ | – | $849,494 | ||||||||
Total | $849,494 | $ | – | $849,494 | ||||||||
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) | |||||||||||||||
Goldman Sachs | $ | 618,755 | $ | – | $ | (450,000 | ) | $ | – | $ | 168,755 | |||||||||
State Street Bank and Trust | 230,739 | (230,739 | ) | – | – | – | ||||||||||||||
Total | $ | 849,494 | $ | (230,739 | ) | $ | (450,000 | ) | $ | – | $ | 168,755 | ||||||||
(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 the counterparty as of June 30, 2016. |
(c) | Net amount represents the amount owed by the Fund to the counterparty as of June 30, 2016. |
8. | DIRECTORS’ REMUNERATION |
The Fund’s officers and two Directors, who are associated with Lord Abbett, do not receive any compensation from the Fund for serving in such capacities. Independent Directors’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Directors under which Independent Directors must 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
60
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 |
The Fund and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $550 million (the “Facility”), whereas State Street Bank and Trust Company (“SSB”) participates as a lender and as agent for the lenders. 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. The Facility will continue through August 29, 2016.
During the six months ended June 30, 2016, the Fund did not utilize the Facility or the SSB 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 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
61
Notes to Financial Statements (unaudited)(continued)
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, 2016 | Year Ended | |||||||||||||||
(unaudited) | December 31, 2015 | |||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 50,386,211 | $ | 370,915,610 | 131,246,580 | $ | 1,038,999,088 | ||||||||||
Converted from Class B* | 1,203,150 | 8,887,700 | 2,265,807 | 17,923,620 | ||||||||||||
Reinvestment of distributions | 12,297,592 | 91,562,110 | 27,702,794 | 217,958,808 | ||||||||||||
Shares reacquired | (64,358,511 | ) | (473,982,176 | ) | (166,949,861 | ) | (1,311,217,496 | ) | ||||||||
Decrease | (471,558 | ) | $ | (2,616,756 | ) | (5,734,680 | ) | $ | (36,335,980 | ) |
62
Notes to Financial Statements (unaudited)(continued)
Six Months Ended | ||||||||||||||||
June 30, 2016 | Year Ended | |||||||||||||||
(unaudited) | December 31, 2015 | |||||||||||||||
Class B Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 44,775 | $ | 331,530 | 103,957 | $ | 828,858 | ||||||||||
Reinvestment of distributions | 167,168 | 1,246,927 | 490,984 | 3,885,718 | ||||||||||||
Shares reacquired | (1,057,777 | ) | (7,830,156 | ) | (3,432,425 | ) | (27,164,015 | ) | ||||||||
Converted to Class A* | (1,198,464 | ) | (8,887,700 | ) | (2,257,797 | ) | (17,923,620 | ) | ||||||||
Decrease | (2,044,298 | ) | $ | (15,139,399 | ) | (5,095,281 | ) | $ | (40,373,059 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 16,006,798 | $ | 118,924,470 | 39,131,771 | $ | 309,149,708 | ||||||||||
Reinvestment of distributions | 4,161,654 | 31,059,245 | 9,311,374 | 73,428,118 | ||||||||||||
Shares reacquired | (25,486,252 | ) | (188,681,083 | ) | (56,919,000 | ) | (447,972,142 | ) | ||||||||
Decrease | (5,317,800 | ) | $ | (38,697,368 | ) | (8,475,855 | ) | $ | (65,394,316 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 60,444,922 | $ | 446,170,131 | 133,374,158 | $ | 1,052,492,963 | ||||||||||
Reinvestment of distributions | 4,986,297 | 37,084,824 | 10,571,181 | 82,964,455 | ||||||||||||
Shares reacquired | (57,808,964 | ) | (423,729,856 | ) | (117,453,182 | ) | (916,632,109 | ) | ||||||||
Increase | 7,622,255 | $ | 59,525,099 | 26,492,157 | $ | 218,825,309 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 19,258,376 | $ | 139,242,003 | 64,068,084 | $ | 504,809,661 | ||||||||||
Reinvestment of distributions | 1,094,479 | 8,115,736 | 2,340,442 | 18,322,999 | ||||||||||||
Shares reacquired | (10,361,492 | ) | (76,092,556 | ) | (64,353,481 | ) | (505,547,445 | ) | ||||||||
Increase | 9,991,363 | $ | 71,265,183 | 2,055,045 | $ | 17,585,215 | ||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 217,956 | $ | 1,663,562 | 416,652 | $ | 3,357,198 | ||||||||||
Reinvestment of distributions | 107,874 | 820,777 | 256,555 | 2,064,006 | ||||||||||||
Shares reacquired | (505,716 | ) | (3,811,014 | ) | (1,405,736 | ) | (11,301,542 | ) | ||||||||
Decrease | (179,886 | ) | $ | (1,326,675 | ) | (732,529 | ) | $ | (5,880,338 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 150,058 | $ | 1,119,362 | 229,663 | $ | 1,790,094 | ||||||||||
Reinvestment of distributions | 5,211 | 38,820 | 10,167 | 80,035 | ||||||||||||
Shares reacquired | (117,594 | ) | (858,053 | ) | (264,402 | ) | (2,093,382 | ) | ||||||||
Increase (decrease) | 37,675 | $ | 300,129 | (24,572 | ) | $ | (223,253 | ) | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 1,934,516 | $ | 14,278,496 | 5,226,130 | $ | 40,863,223 | ||||||||||
Reinvestment of distributions | 330,604 | 2,457,690 | 654,437 | 5,129,497 | ||||||||||||
Shares reacquired | (1,929,118 | ) | (14,218,899 | ) | (5,398,204 | ) | (42,243,230 | ) | ||||||||
Increase | 336,002 | $ | 2,517,287 | 482,363 | $ | 3,749,490 | ||||||||||
Class R4 Shares(a) | ||||||||||||||||
Shares sold | 25,625 | $ | 191,621 | 28,138 | $ | 215,663 | ||||||||||
Reinvestment of distributions | 774 | 5,775 | 295 | 2,229 | ||||||||||||
Shares reacquired | (639 | ) | (4,834 | ) | (506 | ) | (3,829 | ) | ||||||||
Increase | 25,760 | $ | 192,562 | 27,927 | $ | 214,063 |
63
Notes to Financial Statements (unaudited)(concluded)
Six Months Ended | ||||||||||||||||
June 30, 2016 | Year Ended | |||||||||||||||
(unaudited) | December 31, 2015 | |||||||||||||||
Class R5 Shares(a) | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 11,298 | $ | 85,103 | 1,258 | $ | 10,000 | ||||||||||
Reinvestment of distributions | 126 | 952 | 40 | 304 | ||||||||||||
Shares reacquired | (285 | ) | (2,147 | ) | – | – | ||||||||||
Increase | 11,139 | $ | 83,908 | 1,298 | $ | 10,304 | ||||||||||
Class R6 Shares(a) | ||||||||||||||||
Shares sold | 117,059 | $ | 869,013 | 1,541,823 | $ | 11,647,948 | ||||||||||
Reinvestment of distributions | 38,637 | 286,420 | 18,201 | 136,893 | ||||||||||||
Shares reacquired | (42,052 | ) | (308,119 | ) | (67,955 | ) | (511,109 | ) | ||||||||
Increase | 113,644 | $ | 847,314 | 1,492,069 | $ | 11,273,732 |
* | 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 on June 30, 2015. |
14. | SUBSEQUENT EVENT |
On July 26, 2016, the U.S. Securities and Exchange Commission issued an exemptive order which permits certain registered open-end management investment companies managed by Lord Abbett, including the Fund, to participate in a joint lending and borrowing facility to lend money to and borrow money from each other for temporary purposes.
64
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).
65
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This document is printed on recycled paper. | ||
Go Paperless! | ||
Visit www.lordabbett.com to learn how to receive all your shareholder communications online. |
This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus. | ||
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC. | Lord Abbett Bond-Debenture Fund, Inc. | LABD-3 (08/16) |
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 24, 2016
By: | /s/Joan A. Binstock | ||
Joan A. Binstock | |||
Chief Financial Officer and Vice President |
Date: August 24, 2016
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 24, 2016
By: | /s/Joan A. Binstock | ||
Joan A. Binstock | |||
Chief Financial Officer and Vice President |
Date: August 24, 2016