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)
John T. Fitzgerald, 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: 6/30/2018
Item 1: | Report(s) to Shareholders. |
LORD ABBETT
SEMIANNUAL REPORT
Lord Abbett
Bond Debenture Fund
For the six-month period ended June 30, 2018
Table of Contents
Lord Abbett Bond Debenture Fund
Semiannual Report
For the six-month period ended June 30, 2018
From left to right: James L.L. Tullis, Independent Chairman of the Lord Abbett Funds and Douglas B. Sieg, Director, President, and Chief Executive Officer 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, 2018. 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,
Douglas B. Sieg
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, 2018 through June 30, 2018).
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 1/1/18 – 6/30/18” 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† | |||||||||||
1/1/18 | 6/30/18 | 1/1/18 - 6/30/18 | |||||||||||
Class A | |||||||||||||
Actual | $ | 1,000.00 | $ | 988.40 | $3.85 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.93 | $3.91 | ||||||||
Class C | |||||||||||||
Actual | $ | 1,000.00 | $ | 986.60 | $6.99 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,017.75 | $7.10 | ||||||||
Class F | |||||||||||||
Actual | $ | 1,000.00 | $ | 988.80 | $3.35 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.42 | $3.41 | ||||||||
Class F3 | |||||||||||||
Actual | $ | 1,000.00 | $ | 990.70 | $2.52 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.27 | $2.56 | ||||||||
Class I | |||||||||||||
Actual | $ | 1,000.00 | $ | 989.10 | $2.86 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.92 | $2.91 | ||||||||
Class P | |||||||||||||
Actual | $ | 1,000.00 | $ | 988.70 | $4.24 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.53 | $4.31 | ||||||||
Class R2 | |||||||||||||
Actual | $ | 1,000.00 | $ | 987.60 | $5.86 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.89 | $5.96 | ||||||||
Class R3 | |||||||||||||
Actual | $ | 1,000.00 | $ | 986.90 | $5.32 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.44 | $5.41 | ||||||||
Class R4 | |||||||||||||
Actual | $ | 1,000.00 | $ | 989.40 | $4.09 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.68 | $4.16 | ||||||||
Class R5 | |||||||||||||
Actual | $ | 1,000.00 | $ | 990.40 | $2.86 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.92 | $2.91 | ||||||||
Class R6 | |||||||||||||
Actual | $ | 1,000.00 | $ | 990.80 | $2.52 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.27 | $2.56 | ||||||||
Class T | |||||||||||||
Actual | $ | 1,000.00 | $ | 988.40 | $3.70 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.08 | $3.76 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.78% for Class A, 1.42% for Class C, 0.68% for Class F, 0.51% for Class F3, 0.58% for Class I, 0.86% for Class P, 1.19% for Class R2, 1.08% for Class R3, 0.83% for Class R4, 0.58% for Class R5, 0.51% for Class R6 and 0.75% for Class T) multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period). |
3
Portfolio Holdings Presented by Sector
June 30, 2018
Sector* | %** | |||
Asset Backed | 1.26 | % | ||
Automotive | 1.54 | % | ||
Banking | 6.22 | % | ||
Basic Industry | 7.64 | % | ||
Capital Goods | 3.42 | % | ||
Consumer Goods | 4.40 | % | ||
Energy | 10.91 | % | ||
Financial Services | 4.33 | % | ||
Foreign Government | 2.67 | % | ||
Healthcare | 9.78 | % | ||
Insurance | 1.66 | % | ||
Leisure | 4.30 | % | ||
Media | 4.43 | % | ||
Municipal | 3.35 | % | ||
Real Estate | 1.17 | % | ||
Retail | 7.29 | % | ||
Services | 3.28 | % | ||
Technology & Electronics | 8.40 | % | ||
Telecommunications | 3.16 | % | ||
Transportation | 2.31 | % | ||
U.S. Government | 3.35 | % | ||
Utility | 3.81 | % | ||
Repurchase Agreement | 1.32 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
4
Schedule of Investments (unaudited)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 101.08% | ||||||||||||
ASSET-BACKED SECURITIES 2.30% | ||||||||||||
Automobiles 0.17% | ||||||||||||
ACC Trust 2018-1 B† | 4.82% | 5/20/2021 | $ | 6,637 | $ | 6,647,202 | ||||||
ACC Trust 2018-1 C† | 6.81% | 2/21/2023 | 5,140 | 5,151,147 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A B† | 2.32% | 6/15/2022 | 8,695 | 8,489,614 | ||||||||
Westlake Automobile Receivables Trust 2016-3A B† | 2.07% | 12/15/2021 | 2,457 | 2,451,514 | ||||||||
Total | 22,739,477 | |||||||||||
Other 2.13% | ||||||||||||
ALM XIX Ltd. 2016-19A C† | 6.698% (3 Mo. LIBOR + 4.35% | )# | 7/15/2028 | 4,038 | 4,074,528 | |||||||
ALM XVIII Ltd. 2016-18A C† | 6.698% (3 Mo. LIBOR + 4.35% | )# | 7/15/2027 | 4,500 | 4,507,711 | |||||||
AMMC CLO XII Ltd. 2013-12A DR† | 5.053% (3 Mo. LIBOR + 2.47% | )# | 11/10/2030 | 3,859 | 3,853,277 | |||||||
Anchorage Capital CLO 8 Ltd. 2016-8A D† | 6.559% (3 Mo. LIBOR + 4.20% | )# | 7/28/2028 | 1,750 | 1,755,696 | |||||||
Anchorage Capital CLO 9 Ltd. 2016-9A D† | 6.348% (3 Mo. LIBOR + 4.00% | )# | 1/15/2029 | 9,600 | 9,661,244 | |||||||
Apidos CLO XII 2013-12A AR† | 3.118% (3 Mo. LIBOR + 1.08% | )# | 4/15/2031 | 2,600 | 2,603,318 | |||||||
Ascentium Equipment Receivables Trust 2016-2A B† | 2.50% | 9/12/2022 | 3,705 | 3,664,224 | ||||||||
Conn’s Receivables Funding LLC 2017-B C† | 5.95% | 11/15/2022 | 23,832 | 24,233,331 | ||||||||
Engs Commercial Finance Trust 2016-1A A2† | 2.63% | 2/22/2022 | 5,291 | 5,231,760 | ||||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 3.379% (3 Mo. LIBOR + 1.02% | )# | 4/20/2031 | 5,311 | 5,317,641 | |||||||
Guggenheim 5180-2 CLO LP 2015-1A A2B† | 4.88% (3 Mo. LIBOR + 2.55% | )# | 11/25/2027 | 22,500 | 22,559,263 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A A† | 3.75% (3 Mo. LIBOR + 1.39% | )# | 7/25/2027 | 24,369 | 24,467,080 | |||||||
Hardee’s Funding LLC 2018-1A AII† | 4.959% | 6/20/2048 | 38,282 | 38,637,640 | ||||||||
Jamestown CLO VII Ltd. 2015-7A BR† | 4.01% (3 Mo. LIBOR + 1.65% | )# | 7/25/2027 | 12,548 | 12,426,897 | |||||||
Mountain View CLO X Ltd. 2015-10A BR† | 3.692% (3 Mo. LIBOR + 1.35% | )# | 10/13/2027 | 13,725 | 13,677,763 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 2.823% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 28,444 | 28,326,998 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 3.273% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 9,660 | 9,479,271 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A B† | 3.623% (3 Mo. LIBOR + 1.40% | )# | 4/15/2026 | 5,069 | 4,942,742 |
See Notes to Financial Statements. | 5 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Regatta III Funding Ltd. 2014-1A CR† | 5.648% (3 Mo. LIBOR + 3.30% | )# | 4/15/2026 | $ | 4,600 | $ | 4,607,862 | |||||
Regatta IV Funding Ltd. 2014-1A DR† | 5.66% (3 Mo. LIBOR + 3.30% | )# | 7/25/2026 | 12,250 | 12,286,082 | |||||||
Shackleton CLO Ltd. 2015 7A AR† | 3.718% (3 Mo. LIBOR + 1.37% | )# | 4/15/2027 | 8,582 | 8,586,060 | |||||||
Sound Point CLO II Ltd. 2013-1A A1R† | 3.432% (3 Mo. LIBOR + 1.07% | )# | 1/26/2031 | 5,116 | 5,114,077 | |||||||
Sound Point CLO XI Ltd. 2016-1A D† | 7.009% (3 Mo. LIBOR + 4.65% | )# | 7/20/2028 | 13,000 | 13,091,399 | |||||||
Voya CLO Ltd. 2016-2A C† | 6.605% (3 Mo. LIBOR + 4.25% | )# | 7/19/2028 | 5,250 | 5,266,031 | |||||||
West CLO Ltd. 2014-2A BR† | 4.098% (3 Mo. LIBOR + 1.75% | )# | 1/16/2027 | 4,541 | 4,548,899 | |||||||
Westcott Park CLO Ltd. 2016-1A D† | 6.709% (3 Mo. LIBOR + 4.35% | )# | 7/20/2028 | 8,150 | 8,269,093 | |||||||
Total | 281,189,887 | |||||||||||
Total Asset-Backed Securities (cost $302,260,377) | 303,929,364 | |||||||||||
Shares (000) | ||||||||||||
COMMON STOCKS 16.10% | ||||||||||||
Air Transportation 0.10% | ||||||||||||
Azul SA ADR* | 792 | 12,963,975 | ||||||||||
Auto Parts & Equipment 0.13% | ||||||||||||
Chassix Holdings, Inc. | 607 | 16,694,067 | ||||||||||
Automakers 0.12% | ||||||||||||
Ferrari NV (Italy)(a) | 114 | 15,455,675 | ||||||||||
Banking 0.99% | ||||||||||||
Comerica, Inc. | 205 | 18,674,968 | ||||||||||
Cullen/Frost Bankers, Inc. | 292 | 31,593,199 | ||||||||||
SVB Financial Group* | 127 | 36,545,754 | ||||||||||
TCF Financial Corp. | 1,032 | 25,417,910 | ||||||||||
Texas Capital Bancshares, Inc.* | 202 | 18,437,250 | ||||||||||
Total | 130,669,081 | |||||||||||
Beverages 0.49% | ||||||||||||
Becle SAB de CV(b) | MXN | 283 | 409,471 | |||||||||
Brown-Forman Corp. Class B | 269 | 13,163,547 | ||||||||||
Pernod Ricard SA(b) | EUR | 83 | 13,551,975 |
6 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Shares (000) | Fair Value | ||||||
Beverages (continued) | ||||||||
Remy Cointreau SA(b) | EUR | 190 | $ | 24,678,290 | ||||
Treasury Wine Estates Ltd.(b) | AUD | 1,034 | 13,303,158 | |||||
Total | 65,106,441 | |||||||
Building Materials 0.10% | ||||||||
Simpson Manufacturing Co., Inc. | 212 | 13,190,996 | ||||||
Discount Stores 0.10% | ||||||||
Amazon.com, Inc.* | 8 | 13,282,237 | ||||||
Electric: Integrated 0.00% | ||||||||
Eneva SA*(b) | BRL | 33 | 102,514 | |||||
Electronics 0.33% | ||||||||
Cognex Corp. | 289 | 12,903,353 | ||||||
Zebra Technologies Corp. Class A* | 218 | 31,240,390 | ||||||
Total | 44,143,743 | |||||||
Energy: Exploration & Production 1.01% | ||||||||
Anadarko Petroleum Corp. | 645 | 47,258,556 | ||||||
Chaparral Energy, Inc. Class A* | 432 | 8,171,680 | ||||||
Chaparral Energy, Inc. Class B* | 109 | 1,914,246 | ||||||
Continental Resources, Inc.* | 621 | 40,214,794 | ||||||
Dommo Energia SA ADR* | 3 | 116,968 | ||||||
Energen Corp.* | 299 | 21,739,610 | ||||||
MEG Energy Corp.*(b) | CAD | 1,623 | 13,532,217 | |||||
Templar Energy LLC Class A Units | 417 | 458,505 | ||||||
Total | 133,406,576 | |||||||
Food: Wholesale 0.40% | ||||||||
Campbell Soup Co. | 498 | 20,186,812 | ||||||
Lamb Weston Holdings, Inc. | 292 | 19,970,939 | ||||||
Premium Brands Holdings Corp.(b) | CAD | 153 | 13,207,915 | |||||
Total | 53,365,666 | |||||||
Forestry/Paper 0.20% | ||||||||
Rayonier, Inc. | 338 | 13,059,384 | ||||||
West Fraser Timber Co., Ltd.(b) | CAD | 199 | 13,688,277 | |||||
Total | 26,747,661 |
See Notes to Financial Statements. | 7 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Shares (000) | Fair Value | ||||||
Gaming 0.10% | ||||||||
Wynn Resorts Ltd. | 81 | $ | 13,502,163 | |||||
Gas Distribution 0.21% | ||||||||
Dommo Energia SA*(b) | BRL | 3,526 | 1,291,975 | |||||
ONEOK, Inc. | 386 | 26,939,157 | ||||||
Total | 28,231,132 | |||||||
Health Facilities 0.10% | ||||||||
Acadia Healthcare Co., Inc.* | 333 | 13,622,089 | ||||||
Health Services 0.48% | ||||||||
Bio-Techne Corp. | 96 | 14,136,622 | ||||||
HealthEquity, Inc.* | 303 | 22,781,585 | ||||||
Illumina, Inc.* | 95 | 26,407,987 | ||||||
Total | 63,326,194 | |||||||
Investments & Miscellaneous Financial Services 0.34% | ||||||||
CME Group, Inc. | 78 | 12,808,873 | ||||||
Grand Canyon Education, Inc.* | 119 | 13,277,907 | ||||||
T. Rowe Price Group, Inc. | 163 | 18,941,360 | ||||||
Total | 45,028,140 | |||||||
Machinery 0.49% | ||||||||
Chart Industries, Inc.* | 208 | 12,816,055 | ||||||
Graco, Inc. | 290 | 13,103,128 | ||||||
Proto Labs, Inc.* | 110 | 13,130,296 | ||||||
Roper Technologies, Inc. | 95 | 26,160,683 | ||||||
Total | 65,210,162 | |||||||
Media: Content 0.49% | ||||||||
AMC Networks, Inc. Class A* | 204 | 12,668,834 | ||||||
ION Media Networks, Inc. | 4 | 2,078,680 | (i) | |||||
Netflix, Inc.* | 128 | 50,170,757 | ||||||
Total | 64,918,271 | |||||||
Medical Products 1.07% | ||||||||
ABIOMED, Inc.* | 15 | 6,327,185 | ||||||
Align Technology, Inc.* | 105 | 35,811,452 | ||||||
Edwards Lifesciences Corp.* | 140 | 20,362,040 | ||||||
IDEXX Laboratories, Inc.* | 151 | 32,968,220 | ||||||
Intuitive Surgical, Inc.* | 55 | 26,381,952 | ||||||
Penumbra, Inc.* | 144 | 19,951,208 | ||||||
Total | 141,802,057 |
8 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Shares (000) | Fair Value | ||||||
Metals/Mining (Excluding Steel) 0.15% | ||||||||
Anglo American plc(b) | GBP | 900 | $ | 20,136,859 | ||||
Oil Field Equipment & Services 0.26% | ||||||||
Core Laboratories NV (Netherlands)(a) | 165 | 20,790,195 | ||||||
Oceaneering International, Inc. | 541 | 13,774,598 | ||||||
Total | 34,564,793 | |||||||
Packaging 0.15% | ||||||||
AptarGroup, Inc. | 212 | 19,837,274 | ||||||
Personal & Household Products 0.50% | ||||||||
Estee Lauder Cos., Inc. (The) Class A | 93 | 13,246,341 | ||||||
LVMH Moet Hennessy Louis Vuitton SE(b) | EUR | 74 | 24,775,079 | |||||
Pola Orbis Holdings, Inc.(b) | JPY | 596 | 26,227,513 | |||||
Remington Outdoor Co., Inc.* | 164 | 1,187,173 | (c) | |||||
Total | 65,436,106 | |||||||
Pharmaceuticals 1.40% | ||||||||
Agios Pharmaceuticals, Inc.* | 355 | 29,926,414 | ||||||
Blueprint Medicines Corp.* | 217 | 13,780,429 | ||||||
Canopy Growth Corp.*(b) | CAD | 876 | 25,600,786 | |||||
GW Pharmaceuticals plc ADR* | 149 | 20,839,880 | ||||||
Loxo Oncology, Inc.* | 247 | 42,775,311 | ||||||
Sage Therapeutics, Inc.* | 121 | 18,986,932 | ||||||
Spark Therapeutics, Inc.* | 240 | 19,836,827 | ||||||
Zoetis, Inc. | 156 | 13,328,572 | ||||||
Total | 185,075,151 | |||||||
Printing & Publishing 0.10% | ||||||||
S&P Global, Inc. | 64 | 13,099,117 | ||||||
Real Estate Development & Management 0.22% | ||||||||
CoStar Group, Inc.* | 69 | 28,374,502 | ||||||
Real Estate Investment Trusts 0.11% | ||||||||
Americold Realty Trust | 631 | 13,894,620 | ||||||
Recreation & Travel 0.10% | ||||||||
Vail Resorts, Inc. | 48 | 13,240,909 | ||||||
Restaurants 0.64% | ||||||||
Domino’s Pizza, Inc. | 101 | 28,511,021 | ||||||
Shake Shack, Inc. Class A* | 628 | 41,581,026 |
See Notes to Financial Statements. | 9 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Shares (000) | Fair Value | ||||||
Restaurants (continued) | ||||||||
Texas Roadhouse, Inc. | 218 | $ | 14,252,487 | |||||
Total | 84,344,534 | |||||||
Software/Services 2.48% | ||||||||
2U, Inc.* | 243 | 20,284,274 | ||||||
Aspen Technology, Inc.* | 143 | 13,237,800 | ||||||
Black Knight, Inc.* | 255 | 13,665,960 | ||||||
DocuSign, Inc.* | 250 | 13,258,680 | ||||||
Fair Isaac Corp.* | 139 | 26,912,851 | ||||||
FleetCor Technologies, Inc.* | 66 | 13,891,946 | ||||||
Intuit, Inc. | 134 | 27,313,944 | ||||||
Mastercard, Inc. Class A | 105 | 20,612,000 | ||||||
MSCI, Inc. | 77 | 12,797,665 | ||||||
ServiceNow, Inc.* | 117 | 20,125,869 | ||||||
Spotify Technology SA (Sweden)*(a) | 156 | 26,172,087 | ||||||
SS&C Technologies Holdings, Inc. | 366 | 18,977,858 | ||||||
Trade Desk, Inc. (The) Class A* | 68 | 6,368,363 | ||||||
Twitter, Inc.* | 757 | 33,040,722 | ||||||
Veeva Systems, Inc. Class A* | 358 | 27,508,809 | ||||||
VMware, Inc. Class A* | 88 | 12,983,918 | ||||||
WEX, Inc.* | 105 | 19,984,590 | ||||||
Total | 327,137,336 | |||||||
Specialty Retail 1.79% | ||||||||
Canada Goose Holdings, Inc. (Canada)*(a) | 427 | 25,133,952 | ||||||
Columbia Sportswear Co. | 326 | 29,818,214 | ||||||
FirstCash, Inc. | 148 | 13,293,038 | ||||||
Five Below, Inc.* | 270 | 26,413,358 | ||||||
Lululemon Athletica, Inc. (Canada)*(a) | 214 | 26,775,955 | ||||||
Moncler SpA(b) | EUR | 628 | 28,620,386 | |||||
Ollie’s Bargain Outlet Holdings, Inc.* | 362 | 26,232,168 | ||||||
PRADA SpA(b) | HKD | 3,055 | 14,133,052 | |||||
SiteOne Landscape Supply, Inc.* | 205 | 17,213,262 | ||||||
Under Armour, Inc.* | 1,336 | 28,160,877 | ||||||
Total | 235,794,262 | |||||||
Support: Services 0.35% | ||||||||
Bright Horizons Family Solutions, Inc.* | 125 | 12,863,492 | ||||||
Cintas Corp. | 109 | 20,117,664 | ||||||
Verisk Analytics, Inc.* | 121 | 13,071,264 | ||||||
Total | 46,052,420 |
10 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Shares (000) | Fair Value | ||||||||||
Telecommunications: Wireline Integrated & Services 0.14% | ||||||||||||
GDS Holdings Ltd. ADR* | 464 | $ | 18,608,455 | |||||||||
Theaters & Entertainment 0.16% | ||||||||||||
Activision Blizzard, Inc. | 279 | 21,322,511 | ||||||||||
Transportation: Infrastructure/Services 0.20% | ||||||||||||
Expeditors International of Washington, Inc. | 180 | 13,166,699 | ||||||||||
Kirby Corp.* | 157 | 13,118,261 | ||||||||||
Total | 26,284,960 | |||||||||||
Trucking & Delivery 0.10% | ||||||||||||
Old Dominion Freight Line, Inc. | 88 | 13,150,338 | ||||||||||
Total Common Stocks (cost $1,948,065,659) | 2,127,122,987 | |||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
CONVERTIBLE BONDS 0.46% | ||||||||||||
Automakers 0.11% | ||||||||||||
Tesla, Inc. | 1.25% | 3/1/2021 | $ | 12,496 | 14,112,433 | |||||||
Software/Services 0.20% | ||||||||||||
RealPage, Inc. | 1.50% | 11/15/2022 | 9,465 | 13,458,965 | ||||||||
Zendesk, Inc.† | 0.25% | 3/15/2023 | 11,992 | 13,013,454 | ||||||||
Total | 26,472,419 | |||||||||||
Support: Services 0.10% | ||||||||||||
Square, Inc. | 0.375% | 3/1/2022 | 5,023 | 13,573,809 | ||||||||
Telecommunications: Wireline Integrated & Services 0.05% | ||||||||||||
Intelsat SA (Luxembourg)†(a) | 4.50% | 6/15/2025 | 5,330 | 6,548,912 | ||||||||
Total Convertible Bonds (cost $57,880,209) | 60,707,573 | |||||||||||
FLOATING RATE LOANS(d) 6.74% | ||||||||||||
Aerospace/Defense 0.07% | ||||||||||||
Doncasters U.S. Finance LLC Term Loan B | 5.834% (3 Mo. LIBOR + 3.50% | ) | 4/9/2020 | 9,486 | 9,198,194 | |||||||
Building Materials 0.29% | ||||||||||||
Forterra Finance, LLC Replacement Term Loan | 5.094% (1 Mo. LIBOR + 3.00% | ) | 10/25/2023 | 27,358 | 25,622,344 |
See Notes to Financial Statements. | 11 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Building Materials (continued) | ||||||||||||
Zodiac Pool Solutions LLC 1st Lien Tranche B1 Term Loan | 8.00% (3 Mo. LIBOR + 3.00% | ) | 12/20/2023 | $ | 13,268 | $ | 13,268,371 | |||||
Total | 38,890,715 | |||||||||||
Consumer/Commercial/Lease Financing 0.10% | ||||||||||||
Blackhawk Network Holdings, Inc. 1st Lien Term Loan | 5.073% (3 Mo. LIBOR + 3.00% | ) | 6/15/2025 | 13,193 | 13,173,738 | |||||||
Department Stores 0.15% | ||||||||||||
Neiman Marcus Group LTD LLC Other Term Loan | 5.263% (1 Mo. LIBOR + 3.25% | ) | 10/25/2020 | 22,310 | 19,827,654 | |||||||
Diversified Capital Goods 0.20% | ||||||||||||
Graftech International Ltd. Initial Term Loan | 5.505% (1 Mo. LIBOR + 3.50% | ) | 2/12/2025 | 26,562 | 26,462,525 | |||||||
Electric: Generation 0.53% | ||||||||||||
Frontera Generation Holdings LLC Initial Term Loan | 6.233% (1 Mo. LIBOR + 4.25% | ) | 5/2/2025 | 13,059 | 13,067,162 | |||||||
Lightstone Holdco LLC Refinancing Term Loan B | 5.844% (1 Mo. LIBOR + 3.75% | ) | 1/30/2024 | 22,973 | 23,092,857 | |||||||
Lightstone Holdco LLC Refinancing Term Loan C | 5.844% (1 Mo. LIBOR + 3.75% | ) | 1/30/2024 | 1,469 | 1,477,015 | |||||||
Moxie Patriot LLC Construction Advances Term Loan B1 | 8.084% (3 Mo. LIBOR + 5.75% | ) | 12/19/2020 | 1,559 | 1,546,155 | |||||||
Moxie Patriot LLC Construction Advances Term Loan B2 | 8.084% (3 Mo. LIBOR + 5.75% | ) | 12/19/2020 | 10,994 | 10,905,139 | |||||||
Sandy Creek Energy Associates, L.P. Term Loan | 6.334% (3 Mo. LIBOR + 4.00% | ) | 11/9/2020 | 22,299 | 20,212,921 | |||||||
Total | 70,301,249 | |||||||||||
Electronics 0.12% | ||||||||||||
EXC Holdings III Corp. 1st Lien Initial Term Loan | 5.834% (3 Mo. LIBOR + 3.50% | ) | 12/2/2024 | 15,917 | 15,966,606 | |||||||
Energy: Exploration & Production 0.10% | ||||||||||||
California Resources Corp. Initial Term Loan | 6.838% (1 Mo. LIBOR + 4.75% | ) | 12/31/2022 | 13,320 | 13,590,596 | |||||||
Food: Wholesale 0.18% | ||||||||||||
Albertson’s Cos., LLC Last Out Term Loan | – | (e) | 5/3/2023 | 12,602 | 12,602,063 | |||||||
H-Food Holdings, LLC Initial Term Loan | 5.091% (1 Mo. LIBOR + 3.00% | ) | 5/23/2025 | 11,258 | 11,169,343 | |||||||
Total | 23,771,406 |
12 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Gaming 0.26% | ||||||||||||
Cowlitz Tribal Gaming Authority Term Loan B | 12.594% (1 Mo. LIBOR + 10.50% | ) | 12/6/2021 | $ | 20,420 | $ | 22,002,981 | (l) | ||||
Stars Group Inc., (The) Term Loan (Netherlands)(a) | 5.094% (1 Mo. LIBOR + 3.00% | ) | 4/6/2025 | 12,897 | 12,898,705 | |||||||
Total | 34,901,686 | |||||||||||
Health Facilities 0.13% | ||||||||||||
CHS/Community Health Systems, Inc. Incremental 2019 Retired Term Loan G | 5.307% (3 Mo. LIBOR + 3.00% | ) | 12/31/2019 | 17,573 | 17,570,655 | |||||||
Health Services 0.08% | ||||||||||||
Genoa, a QoL Healthcare Co., LLC 1st Lien | ||||||||||||
Amendment No. 1 Term Loan | 5.344% (1 Mo. LIBOR + 3.25% | ) | 10/30/2023 | 10,630 | 10,654,699 | |||||||
Hotels 0.10% | ||||||||||||
Wyndham Hotels & Resorts, Inc. Term Loan B | 3.726% (3 Mo. LIBOR + 1.75% | ) | 5/30/2025 | 13,083 | 13,078,944 | |||||||
Insurance Brokerage 0.14% | ||||||||||||
Hub International Ltd. Initial Term Loan | 5.36% (3 Mo. LIBOR + 3.00% | ) | 4/25/2025 | 18,255 | 18,165,733 | |||||||
Investments & Miscellaneous Financial Services 0.28% | ||||||||||||
Edelman Financial Group, The Term Loan B | – | (e) | 7/21/2025 | 13,260 | 13,260,066 | |||||||
Vertafore, Inc. 1st Lien Initial Term Loan | – | (e) | 7/2/2025 | 19,457 | 19,358,061 | |||||||
VFH Parent LLC Term Loan B1 | 5.558% (3 Mo. LIBOR + 3.25% | ) | 12/30/2021 | 4,841 | 4,883,666 | |||||||
Total | 37,501,793 | |||||||||||
Leisure 0.15% | ||||||||||||
SeaWorld Parks & Entertainment, Inc. Term Loan B5 | 5.094% (1 Mo. LIBOR + 3.00% | ) | 4/1/2024 | 19,758 | 19,646,841 | |||||||
Media: Diversified 0.25% | ||||||||||||
Getty Images, Inc. Initial Term Loan | 5.594% (1 Mo. LIBOR + 3.50% | ) | 10/18/2019 | 20,338 | 19,690,800 | |||||||
UFC Holdings, LLC 2nd Lien Term Loan | 9.594% (1 Mo. LIBOR + 7.50% | ) | 8/18/2024 | 13,069 | 13,207,858 | |||||||
Total | 32,898,658 |
See Notes to Financial Statements. | 13 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil Field Equipment & Services 0.25% | ||||||||||||
Apergy Corp. Initial Term Loan | 4.563% (1 Mo. LIBOR + 2.50% | ) | 5/9/2025 | $ | 32,407 | $ | 32,488,018 | |||||
Personal & Household Products 0.17% | ||||||||||||
Britax U.S. Holdings Inc. Initial Dollar Term Loan | 5.834% (3 Mo. LIBOR + 3.50% | ) | 10/15/2020 | 20,766 | 18,131,586 | |||||||
FGI Operating Co. LLC exit Term Loan | 12.343% (3 Mo. LIBOR + 10.00% | ) | 5/15/2022 | 990 | 990,000 | (l) | ||||||
Gibson Brands, Inc. Term Loan | 11.00% (1 Mo. LIBOR + 9.00% | ) | 5/1/2019 | 2,439 | 2,955,106 | |||||||
Total | 22,076,692 | |||||||||||
Recreation & Travel 0.39% | ||||||||||||
Intrawest Resorts Holdings, Inc. Initial Bluebird Term Loan | 5.094% (1 Mo. LIBOR + 3.00% | ) | 7/31/2024 | 26,295 | 26,311,468 | |||||||
Kingpin Intermediate Holdings LLC 1st Lien Initial Term Loan | 6.35% (1 Mo. LIBOR + 4.25% | ) | 7/3/2024 | 12,778 | 12,777,676 | (l) | ||||||
Silk Bidco AS Facility Term Loan B(b) | 4.00% (6 Mo. Euribor + 4.00% | ) | 2/24/2025 | EUR | 10,916 | 12,675,999 | ||||||
Total | 51,765,143 | |||||||||||
Restaurants 0.34% | ||||||||||||
CEC Entertainment, Inc. Term B Loan | 5.344% (1 Mo. LIBOR + 3.25% | ) | 2/12/2021 | $ | 14,326 | 13,380,213 | ||||||
IRB Holding Corp. Term Loan B | 5.255% - 5.279% (1 Mo. LIBOR + 3.25% | ) | 2/5/2025 | 13,300 | 13,338,436 | |||||||
Panera Bread Co. Term Loan | 4.125% (3 Mo. LIBOR + 2.00% | ) | 7/18/2022 | 17,791 | 17,490,690 | |||||||
Total | 44,209,339 | |||||||||||
Software/Services 1.14% | ||||||||||||
Marketo, Inc. Term Loan | 5.613% (3 Mo. LIBOR + 3.25% | ) | 2/7/2025 | 25,919 | 25,708,408 | |||||||
Microchip Technology Inc. Initial Term Loan | 4.10% (1 Mo. LIBOR + 2.00% | ) | 5/29/2025 | 14,911 | 14,914,131 | |||||||
Pike Corp. 2018 Initial Term | 5.60% (1 Mo. LIBOR + 3.50% | ) | 3/23/2025 | 9,351 | 9,392,436 | |||||||
Rackspace Hosting, Inc. 1st Lien Term Loan B | 5.363% (3 Mo. LIBOR + 3.00% | ) | 11/3/2023 | 13,469 | 13,320,223 | |||||||
Southern Graphics, Inc. 1st Lien Refinancing Term Loan | 5.344% (1 Mo. LIBOR + 3.25% | ) | 12/31/2022 | 18,278 | 18,264,158 | |||||||
SS&C Technologies Holdings, Inc. Term Loan B4 (Luxembourg)(a) | 4.594% (1 Mo. LIBOR + 2.50% | ) | 4/16/2025 | 15,027 | 15,048,848 |
14 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Software/Services (continued) | ||||||||||||
SS&C Technologies Holdings, Inc. Term Loan B3 | 4.594% (1 Mo. LIBOR + 2.50% | ) | 4/16/2025 | $ | 39,721 | $ | 39,778,354 | |||||
Trans Union, LLC Incremental Term Loan B4 | – | (e) | 6/19/2025 | 13,521 | 13,495,648 | |||||||
Total | 149,922,206 | |||||||||||
Specialty Retail 0.98% | ||||||||||||
Bass Pro Group, LLC Initial Term Loan | 7.094% (1 Mo. LIBOR + 5.00% | ) | 9/25/2024 | 25,530 | 25,602,120 | |||||||
BJ’s Wholesale Club, Inc. 1st Lien Tranche B Term Loan | 5.53% (1 Mo. LIBOR + 3.50% | ) | 2/3/2024 | 18,951 | 18,969,495 | |||||||
Boardriders, Inc. Initial Term Loan | 8.594% (1 Mo. LIBOR + 6.50% | ) | 4/8/2024 | 15,682 | 15,682,000 | |||||||
Container Store, Inc. (The) Term Loan B1 | 9.094% (3 Mo. LIBOR + 7.00% | ) | 8/18/2021 | 8,831 | 8,974,876 | (l) | ||||||
EG Group Ltd. Additional Facility Term Loan (United Kingdom)(a) | 6.334% (3 Mo. LIBOR + 4.00% | ) | 2/7/2025 | 9,982 | 9,911,099 | |||||||
EG Group Ltd. Facility Term Loan B (United Kingdom)(a) | 6.338% (3 Mo. LIBOR + 4.00% | ) | 2/7/2025 | 7,956 | 7,899,135 | |||||||
J. Crew Group, Inc. Amended Term Loan | – | (e) | 3/5/2021 | 16,969 | 14,206,192 | |||||||
Mavis Tire Express Services Corp. 1st Lien Closing Date Term Loan | 5.334% (1 Mo. LIBOR + 3.25% | ) | 3/20/2025 | 22,666 | 22,524,061 | |||||||
Mavis Tire Express Services Corp. 1st Lien Delayed Draw Term Loan | 5.334% (1 Mo. LIBOR + 3.25% | ) | 3/20/2025 | 200 | 199,244 | |||||||
Men’s Wearhouse, Inc., (The) Tranche B2 Term Loan | 5.483% (1 Mo. LIBOR + 3.50% | ) | 4/9/2025 | 4,924 | 4,958,544 | |||||||
Total | 128,926,766 | |||||||||||
Steel Producers/Products 0.05% | ||||||||||||
Phoenix Services International LLC Term Loan B | 5.751% (1 Mo. LIBOR + 3.75% | ) | 3/1/2025 | 6,991 | 7,022,065 | |||||||
Support: Services 0.19% | ||||||||||||
AVSC Holding Corp. 1st Lien Initial Term Loan | 5.232% - 5.25% (1 Mo. LIBOR + 3.25% | ) | 3/3/2025 | 12,880 | 12,777,713 | |||||||
York Risk Services Holding Corp. Term Loan | 5.844% (1 Mo. LIBOR + 3.75% | ) | 10/1/2021 | 12,908 | 12,559,907 | |||||||
Total | 25,337,620 | |||||||||||
Telecommunications: Satellite 0.10% | ||||||||||||
Intelsat Jackson Holdings S.A. Tranche B5 Term Loan (Luxembourg)(a) | 6.625% | 1/2/2024 | 12,532 | 12,964,160 | ||||||||
Total Floating Rate Loans (cost $886,130,033) | 890,313,701 |
See Notes to Financial Statements. | 15 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
FOREIGN BONDS(b) 0.29% | ||||||||||||
France 0.10% | ||||||||||||
CMA CGM SA† | 5.25% | 1/15/2025 | EUR | 14,434 | $ | 13,741,504 | ||||||
Netherlands 0.19% | ||||||||||||
Hema Bondco I BV† | 6.25% | 7/15/2022 | EUR | 22,390 | 25,176,961 | |||||||
Total Foreign Bonds (cost $41,301,606) | 38,918,465 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 2.51% | ||||||||||||
Argentina 0.54% | ||||||||||||
City of Buenos Aires†(a) | 7.50% | 6/1/2027 | $ | 14,364 | 13,009,475 | |||||||
City of Buenos Aires†(a) | 8.95% | 2/19/2021 | 12,345 | 12,674,612 | ||||||||
Province of Santa Fe†(a) | 6.90% | 11/1/2027 | 17,773 | 14,899,284 | ||||||||
Provincia de Cordoba†(a) | 7.125% | 6/10/2021 | 12,608 | 11,946,080 | ||||||||
Provincia de Mendoza†(a) | 8.375% | 5/19/2024 | 20,456 | 18,949,006 | ||||||||
Total | 71,478,457 | |||||||||||
Australia 0.30% | ||||||||||||
Australian Government(b) | 4.25% | 4/21/2026 | AUD | 26,802 | 22,222,437 | |||||||
Queensland Treasury Corp.†(b) | 4.00% | 6/21/2019 | AUD | 22,400 | 16,883,317 | |||||||
Total | 39,105,754 | |||||||||||
Bermuda 0.20% | ||||||||||||
Government of Bermuda† | 4.138% | 1/3/2023 | $ | 14,720 | 14,909,888 | |||||||
Government of Bermuda† | 4.854% | 2/6/2024 | 10,997 | 11,368,809 | ||||||||
Total | 26,278,697 | |||||||||||
Canada 0.26% | ||||||||||||
Province of British Columbia Canada(b) | 2.85% | 6/18/2025 | CAD | 44,800 | 34,653,421 | |||||||
El Salvador 0.14% | ||||||||||||
Republic of EI Salvador†(a) | 6.375% | 1/18/2027 | $ | 20,039 | 18,761,514 | |||||||
Greece 0.13% | ||||||||||||
Hellenic Republic†(b) | 4.375% | 8/1/2022 | EUR | 14,317 | 17,639,444 | |||||||
Honduras 0.10% | ||||||||||||
Honduras Government†(a) | 6.25% | 1/19/2027 | $ | 13,042 | 13,135,902 | |||||||
Jamaica 0.29% | ||||||||||||
Government of Jamaica(a) | 6.75% | 4/28/2028 | 22,327 | 24,000,409 | ||||||||
Government of Jamaica(a) | 8.00% | 3/15/2039 | 12,490 | 14,073,607 | ||||||||
Total | 38,074,016 |
16 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Nigeria 0.10% | ||||||||||||
Republic of Nigeria†(a) | 6.50% | 11/28/2027 | $ | 14,343 | $ | 13,380,068 | ||||||
Paraguay 0.10% | ||||||||||||
Republic of Paraguay†(a) | 5.60% | 3/13/2048 | 12,940 | 12,584,150 | ||||||||
United Arab Emirates 0.15% | ||||||||||||
Abu Dhabi Government International†(a) | 3.125% | 5/3/2026 | 20,745 | 19,755,111 | ||||||||
Uruguay 0.20% | ||||||||||||
Republic of Uruguay†(b) | 8.50% | 3/15/2028 | UYU | 304,243 | 8,409,177 | |||||||
Uruguay Monetary Regulation Bill(b) | Zero Coupon | 5/3/2019 | UYU | 598,596 | 17,661,498 | |||||||
Total | 26,070,675 | |||||||||||
Total Foreign Government Obligations (cost $341,319,924) | 330,917,209 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 3.47% | ||||||||||||
Federal National Mortgage Assoc.(f) | 3.50% | TBA | $ | 157,700 | 156,922,700 | |||||||
Federal National Mortgage Assoc.(f) | 4.50% | TBA | 290,000 | 301,990,818 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $458,097,503) | 458,913,518 | |||||||||||
HIGH YIELD CORPORATE BONDS 65.06% | ||||||||||||
Advertising 0.15% | ||||||||||||
Clear Channel Worldwide Holdings, Inc. | 6.50% | 11/15/2022 | 13,978 | 14,327,450 | ||||||||
Lamar Media Corp. | 5.75% | 2/1/2026 | 4,938 | 5,042,932 | ||||||||
Total | 19,370,382 | |||||||||||
Aerospace/Defense 0.82% | ||||||||||||
BBA US Holdings, Inc.† | 5.375% | 5/1/2026 | 11,385 | 11,456,270 | ||||||||
Bombardier, Inc. (Canada)†(a) | 7.50% | 12/1/2024 | 23,093 | 24,363,115 | ||||||||
Bombardier, Inc. (Canada)†(a) | 8.75% | 12/1/2021 | 10,395 | 11,486,475 | ||||||||
Bombardier, Inc. (Canada)†(a) | 7.50% | 3/15/2025 | 58,847 | 61,568,674 | ||||||||
Total | 108,874,534 | |||||||||||
Air Transportation 0.53% | ||||||||||||
Air Canada (Canada)†(a) | 7.75% | 4/15/2021 | 10,183 | 10,921,268 | ||||||||
Air Canada 2013-1 Class A Pass Through Trust (Canada)†(a) | 4.125% | 11/15/2026 | 9,172 | 9,215,272 | ||||||||
American Airlines 2013-2 Class B Pass-Through Trust† | 5.60% | 1/15/2022 | 5,143 | 5,252,838 | ||||||||
Azul Investments LLP† | 5.875% | 10/26/2024 | 30,916 | 26,317,245 | ||||||||
British Airways 2018-1 Class A Pass Through Trust (United Kingdom)†(a) | 4.125% | 3/20/2033 | 8,976 | 8,880,091 |
See Notes to Financial Statements. | 17 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Air Transportation (continued) | ||||||||||||
British Airways 2018-1 Class AA Pass Through Trust | ||||||||||||
(United Kingdom)†(a) | 3.80% | 3/20/2033 | $ | 8,953 | $ | 8,964,191 | ||||||
Total | 69,550,905 | |||||||||||
Auto Parts & Equipment 0.23% | ||||||||||||
Allison Transmission, Inc.† | 5.00% | 10/1/2024 | 11,116 | 10,963,155 | ||||||||
American Axle & Manufacturing, Inc. | 6.25% | 4/1/2025 | 20,085 | 20,009,681 | ||||||||
Total | 30,972,836 | |||||||||||
Automakers 0.60% | ||||||||||||
BMW US Capital LLC† | 2.80% | 4/11/2026 | 12,685 | 11,709,697 | ||||||||
General Motors Co. | 8.375% | 7/15/2049 | 15,000 | 1,500 | (i) | |||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 75,942 | 67,873,163 | ||||||||
Total | 79,584,360 | |||||||||||
Banking 5.47% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(a) | 4.75% | 7/28/2025 | 19,742 | 19,667,375 | ||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 22,002 | 26,292,390 | ||||||||
American Express Co. | 3.40% | 2/27/2023 | 17,804 | 17,629,349 | ||||||||
ANZ New Zealand Int’l Ltd. (United Kingdom)†(a) | 2.125% | 7/28/2021 | 13,090 | 12,545,976 | ||||||||
Associated Banc-Corp. | 4.25% | 1/15/2025 | 8,885 | 8,940,499 | ||||||||
Astoria Financial Corp. | 3.50% | 6/8/2020 | 13,364 | 13,363,606 | ||||||||
Australia & New Zealand Banking Group Ltd. (United Kingdom)†(a) | 6.75% (USD Swap + 5.17% | )# | – | (g) | 11,885 | 12,107,844 | ||||||
Banco de Galicia y Buenos Aires SA (Argentina)†(a) | 8.25% (5 Yr Treasury Note CMT + 7.16% | )# | 7/19/2026 | 9,525 | 9,657,588 | |||||||
Banco Mercantil del Norte SA† | 7.625% (10 Yr Treasury CMT + 5.35% | )# | – | (g) | 5,629 | 5,579,746 | ||||||
Banco Safra SA† | 4.125% | 2/8/2023 | 18,021 | 17,212,578 | ||||||||
Banistmo SA (Panama)†(a) | 3.65% | 9/19/2022 | 21,153 | 20,016,026 | ||||||||
Bank of America Corp. | 4.45% | 3/3/2026 | 19,634 | 19,707,746 | ||||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 25,390 | 25,838,475 | ||||||||
CIT Group, Inc. | 5.25% | 3/7/2025 | 6,722 | 6,789,220 | ||||||||
CIT Group, Inc. | 6.125% | 3/9/2028 | 12,241 | 12,608,230 | ||||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 13,296 | 13,096,237 | ||||||||
Citizens Bank NA/RI | 3.70% | 3/29/2023 | 17,739 | 17,711,773 | ||||||||
Comerica, Inc. | 3.80% | 7/22/2026 | 11,098 | 10,833,089 | ||||||||
Commonwealth Bank of Australia (Australia)†(a) | 4.50% | 12/9/2025 | 20,543 | 20,413,418 | ||||||||
Compass Bank | 3.875% | 4/10/2025 | 26,897 | 25,970,998 | ||||||||
Credit Suisse Group AG (Switzerland)†(a) | 7.50% (5 Yr Swap rate + 4.60% | )# | – | (g) | 8,994 | 9,307,981 |
18 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banking (continued) | ||||||||||||
Fifth Third Bancorp | 8.25% | 3/1/2038 | $ | 15,095 | $ | 20,647,415 | ||||||
Goldman Sachs Group, Inc. (The) | 3.472% (3 Mo. LIBOR + 1.11% | )# | 4/26/2022 | 6,189 | 6,252,187 | |||||||
Goldman Sachs Group, Inc. (The) | 3.50% | 11/16/2026 | 13,667 | 12,886,419 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 18,995 | 22,602,739 | ||||||||
Home BancShares, Inc. | 5.625% (3 Mo. LIBOR + 3.58% | )# | 4/15/2027 | 25,966 | 26,821,316 | |||||||
Huntington Bancshares, Inc. | 5.70%# | – | (g) | 13,523 | 13,379,318 | |||||||
Itau Unibanco Holding SA† | 6.125% (BADLAR + 3.98% | )# | – | (g) | 8,486 | 7,945,017 | ||||||
JPMorgan Chase & Co. | 3.54% (3 Mo. LIBOR + 1.38% | )# | 5/1/2028 | 11,994 | 11,491,535 | |||||||
JPMorgan Chase & Co. | 3.90% | 7/15/2025 | 17,386 | 17,331,287 | ||||||||
JPMorgan Chase & Co. | 6.75% (3 Mo. LIBOR + 3.78% 3 Mo. LIBOR + 1.38% | )# | – | (g) | 12,015 | 13,081,331 | ||||||
Lloyds Banking Group plc (United Kingdom)(a) | 7.50% (5 Yr Swap rate + 4.76% | )# | – | (g) | 14,598 | 14,860,764 | ||||||
Macquarie Bank Ltd. (United Kingdom)†(a) | 6.125% (5 Yr Swap rate + 3.70% | )# | – | (g) | 21,086 | 18,977,400 | ||||||
Morgan Stanley | 3.125% | 7/27/2026 | 18,976 | 17,664,303 | ||||||||
Morgan Stanley | 3.625% | 1/20/2027 | 24,804 | 23,889,194 | ||||||||
Morgan Stanley | 4.00% | 7/23/2025 | 8,326 | 8,305,726 | ||||||||
People’s United Bank NA | 4.00% | 7/15/2024 | 9,400 | 9,382,405 | ||||||||
Popular, Inc. | 7.00% | 7/1/2019 | 18,940 | 19,318,800 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(a) | 5.125% | 5/28/2024 | 5,151 | 5,200,217 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(a) | 6.00% | 12/19/2023 | 20,576 | 21,609,259 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(a) | 6.10% | 6/10/2023 | 24,392 | 25,708,570 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(a) | 7.50% (5 Yr Swap rate + 5.80% | )# | – | (g) | 22,522 | 23,017,484 | ||||||
Royal Bank of Scotland Group plc (United Kingdom)(a) | 8.625% (5 Yr Swap rate + 7.60% | )# | – | (g) | 19,174 | 20,425,103 | ||||||
SVB Financial Group | 3.50% | 1/29/2025 | 8,859 | 8,590,880 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(a) | 5.75% | 1/30/2023 | 15,606 | 13,972,551 | ||||||||
UBS AG | 7.625% | 8/17/2022 | 4,894 | 5,414,722 | ||||||||
UBS Group Funding Switzerland AG (Switzerland)(a) | 7.00% (5 Yr Swap rate + 4.87% | )# | – | (g) | 8,600 | 8,739,956 | ||||||
Washington Mutual Bank(h) | 6.875% | 6/15/2011 | 22,500 | 2,250 | (i) | |||||||
Total | 722,808,292 | |||||||||||
Beverages 0.82% | ||||||||||||
Bacardi Ltd.† | 2.75% | 7/15/2026 | 20,151 | 17,484,595 | ||||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | 28,786 | 28,356,152 | ||||||||
Becle SAB de CV (Mexico)†(a) | 3.75% | 5/13/2025 | 15,764 | 15,214,848 |
See Notes to Financial Statements. | 19 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Beverages (continued) | ||||||||||||
Brown-Forman Corp. | 3.50% | 4/15/2025 | $ | 8,956 | $ | 8,913,430 | ||||||
Brown-Forman Corp. | 4.50% | 7/15/2045 | 18,174 | 19,488,416 | ||||||||
PepsiCo, Inc. | 3.60% | 3/1/2024 | 14,292 | 14,457,583 | ||||||||
PepsiCo, Inc. | 4.25% | 10/22/2044 | 4,605 | 4,701,833 | ||||||||
Total | 108,616,857 | |||||||||||
Brokerage 0.41% | ||||||||||||
E*TRADE Financial Corp. | 3.80% | 8/24/2027 | 13,000 | 12,463,455 | ||||||||
E*TRADE Financial Corp. | 4.50% | 6/20/2028 | 16,926 | 16,965,944 | ||||||||
Freedom Mortgage Corp.† | 8.125% | 11/15/2024 | 12,953 | 12,596,792 | ||||||||
Freedom Mortgage Corp.† | 8.25% | 4/15/2025 | 12,646 | 12,487,925 | ||||||||
Total | 54,514,116 | |||||||||||
Building & Construction 1.12% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.† | 6.75% | 8/1/2025 | 10,711 | 10,229,005 | ||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.† | 6.875% | 2/15/2021 | 9,653 | 9,749,530 | ||||||||
Boral Finance Pty Ltd. (Australia)†(a) | 3.75% | 5/1/2028 | 13,397 | 12,778,236 | ||||||||
ITR Concession Co. LLC† | 5.183% | 7/15/2035 | 7,658 | 7,348,767 | ||||||||
Lennar Corp. | 4.75% | 11/15/2022 | 15,303 | 15,312,564 | ||||||||
Lennar Corp. | 4.75% | 5/30/2025 | 4,408 | 4,281,270 | ||||||||
PulteGroup, Inc. | 5.00% | 1/15/2027 | 20,770 | 19,809,387 | ||||||||
PulteGroup, Inc. | 6.375% | 5/15/2033 | 25,646 | 25,774,230 | ||||||||
Shea Homes LP/Shea Homes Funding Corp.† | 6.125% | 4/1/2025 | 6,321 | 6,321,000 | ||||||||
Toll Brothers Finance Corp. | 5.625% | 1/15/2024 | 11,550 | 11,939,813 | ||||||||
William Lyon Homes, Inc. | 5.875% | 1/31/2025 | 25,933 | 24,603,934 | ||||||||
Total | 148,147,736 | |||||||||||
Building Materials 0.43% | ||||||||||||
Builders FirstSource, Inc.† | 5.625% | 9/1/2024 | 6,979 | 6,830,696 | ||||||||
Hillman Group, Inc. (The)† | 6.375% | 7/15/2022 | 12,708 | 12,231,450 | ||||||||
Lennox International, Inc. | 3.00% | 11/15/2023 | 11,004 | 10,484,462 | ||||||||
Masonite International Corp.† | 5.625% | 3/15/2023 | 9,897 | 10,166,198 | ||||||||
Owens Corning | 4.40% | 1/30/2048 | 15,395 | 12,892,531 | ||||||||
U.S. Concrete, Inc. | 6.375% | 6/1/2024 | 4,754 | 4,777,770 | ||||||||
Total | 57,383,107 | |||||||||||
Cable & Satellite Television 1.36% | ||||||||||||
Altice France SA (France)†(a) | 7.375% | 5/1/2026 | 46,103 | 45,247,789 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.125% | 5/1/2027 | 32,573 | 30,496,471 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.75% | 2/15/2026 | 26,111 | 25,719,335 |
20 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Cable & Satellite Television (continued) | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.875% | 4/1/2024 | $ | 15,739 | $ | 15,857,043 | ||||||
CSC Holdings LLC† | 10.875% | 10/15/2025 | 16,727 | 19,324,703 | ||||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 18,991 | 16,712,080 | ||||||||
UPCB Finance IV Ltd.† | 5.375% | 1/15/2025 | 16,988 | 16,225,239 | ||||||||
Ziggo BV (Netherlands)†(a) | 5.50% | 1/15/2027 | 10,728 | 10,047,845 | ||||||||
Total | 179,630,505 | |||||||||||
Chemicals 1.15% | ||||||||||||
CF Industries, Inc.† | 4.50% | 12/1/2026 | 26,420 | 26,314,662 | ||||||||
Chemours Co. (The) | 5.375% | 5/15/2027 | 6,128 | 5,944,160 | ||||||||
Chemours Co. (The) | 7.00% | 5/15/2025 | 15,344 | 16,533,160 | ||||||||
Eagle Intermediate Global Holding BV/Ruyi | ||||||||||||
US Finance LLC (Netherlands)†(a) | 7.50% | 5/1/2025 | 12,874 | 12,890,092 | ||||||||
Halcyon Agri Corp. Ltd. (Singapore)(a) | 4.50% (2 Yr Treasury CMT + 8.31% | )# | – | (g) | 1,250 | 1,184,831 | ||||||
Koppers, Inc.† | 6.00% | 2/15/2025 | 9,885 | 9,909,713 | ||||||||
Olin Corp. | 5.125% | 9/15/2027 | 18,230 | 17,774,250 | ||||||||
Phosagro OAO Via Phosagro Bond Funding DAC (Ireland)†(a) | 3.949% | 4/24/2023 | 21,302 | 20,206,012 | ||||||||
TPC Group, Inc.† | 8.75% | 12/15/2020 | 12,040 | 11,979,800 | ||||||||
Westlake Chemical Corp. | 3.60% | 8/15/2026 | 10,828 | 10,287,578 | ||||||||
Yingde Gases Investment Ltd. (Hong Kong)†(a) | 6.25% | 1/19/2023 | 20,001 | 18,919,209 | ||||||||
Total | 151,943,467 | |||||||||||
Consumer/Commercial/Lease Financing 0.95% | ||||||||||||
Hunt Cos, Inc.† | 6.25% | 2/15/2026 | 12,198 | 11,405,130 | ||||||||
Navient Corp. | 5.00% | 10/26/2020 | 8,744 | 8,744,000 | ||||||||
Navient Corp. | 6.125% | 3/25/2024 | 32,497 | 32,253,273 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 34,833 | 34,571,752 | ||||||||
Quicken Loans, Inc.† | 5.25% | 1/15/2028 | 28,288 | 26,196,102 | ||||||||
WeWork Cos., Inc.† | 7.875% | 5/1/2025 | 13,453 | 12,948,513 | ||||||||
Total | 126,118,770 | |||||||||||
Department Stores 0.23% | ||||||||||||
Kohl’s Corp. | 5.55% | 7/17/2045 | 30,729 | 29,935,600 | ||||||||
Discount Stores 1.22% | ||||||||||||
Amazon.com, Inc. | 3.15% | 8/22/2027 | 28,837 | 27,738,533 | ||||||||
Amazon.com, Inc. | 4.25% | 8/22/2057 | 20,632 | 20,420,114 | ||||||||
Amazon.com, Inc. | 4.80% | 12/5/2034 | 43,691 | 48,008,923 | ||||||||
Amazon.com, Inc. | 5.20% | 12/3/2025 | 59,869 | 65,244,668 | ||||||||
Total | 161,412,238 |
See Notes to Financial Statements. | 21 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Diversified Capital Goods 0.81% | ||||||||||||
BCD Acquisition, Inc.† | 9.625% | 9/15/2023 | $ | 11,393 | $ | 12,190,510 | ||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(a) | 4.418% | 11/15/2035 | 39,176 | 37,997,428 | ||||||||
Griffon Corp. | 5.25% | 3/1/2022 | 11,628 | 11,356,486 | ||||||||
Siemens Financieringsmaatschappij NV (Netherlands)†(a) | 3.25% | 5/27/2025 | 12,036 | 11,754,553 | ||||||||
SPX FLOW, Inc.† | 5.625% | 8/15/2024 | 8,609 | 8,587,477 | ||||||||
SPX FLOW, Inc.† | 5.875% | 8/15/2026 | 14,947 | 14,872,265 | ||||||||
Valmont Industries, Inc. | 5.25% | 10/1/2054 | 10,684 | 9,930,581 | ||||||||
Total | 106,689,300 | |||||||||||
Electric: Distribution/Transportation 0.07% | ||||||||||||
Oklahoma Gas & Electric Co. | 4.15% | 4/1/2047 | 8,896 | 8,946,866 | ||||||||
Electric: Generation 1.08% | ||||||||||||
Acwa Power Management & Investments One Ltd. (United Arab Emirates)†(a) | 5.95% | 12/15/2039 | 13,014 | 12,758,470 | ||||||||
Calpine Corp. | 5.75% | 1/15/2025 | 36,719 | 33,666,733 | ||||||||
Listrindo Capital BV (Netherlands)†(a) | 4.95% | 9/14/2026 | 14,407 | 12,966,300 | ||||||||
NextEra Energy Operating Partners LP† | 4.50% | 9/15/2027 | 2,182 | 2,048,353 | ||||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 15,538 | 17,014,425 | ||||||||
Rio Energy SA/UGEN SA/UENSA SA (Argentina)†(a) | 6.875% | 2/1/2025 | 18,960 | 15,831,600 | ||||||||
Talen Energy Supply LLC | 4.60% | 12/15/2021 | 10,675 | 9,260,563 | ||||||||
TerraForm Power Operating LLC† | 5.00% | 1/31/2028 | 17,118 | 16,283,497 | ||||||||
Vistra Energy Corp. | 7.625% | 11/1/2024 | 5,693 | 6,098,626 | ||||||||
Vistra Energy Corp.† | 8.125% | 1/30/2026 | 14,990 | 16,339,100 | ||||||||
Total | 142,267,667 | |||||||||||
Electric: Integrated 2.18% | ||||||||||||
Aegea Finance Sarl (Brazil)†(a) | 5.75% | 10/10/2024 | 16,680 | 15,504,060 | ||||||||
Arizona Public Service Co. | 2.95% | 9/15/2027 | 13,385 | 12,596,729 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(a) | 4.35% | 8/1/2028 | 13,786 | 13,872,892 | ||||||||
Duke Energy Florida LLC | 2.10% | 12/15/2019 | 8,820 | 8,768,508 | ||||||||
El Paso Electric Co. | 5.00% | 12/1/2044 | 16,498 | 17,019,691 | ||||||||
Entergy Arkansas, Inc. | 4.00% | 6/1/2028 | 18,151 | 18,368,414 | ||||||||
Entergy Arkansas, Inc. | 4.95% | 12/15/2044 | 16,883 | 16,904,474 | ||||||||
Entergy Louisiana LLC | 4.00% | 3/15/2033 | 10,745 | 10,766,717 | ||||||||
Entergy Mississippi, Inc. | 2.85% | 6/1/2028 | 19,150 | 17,602,899 | ||||||||
Indianapolis Power & Light Co.† | 4.05% | 5/1/2046 | 24,503 | 23,971,694 | ||||||||
Louisville Gas & Electric Co. | 4.375% | 10/1/2045 | 15,039 | 15,475,959 |
22 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Integrated (continued) | ||||||||||||
Monongahela Power Co.† | 3.55% | 5/15/2027 | $ | 13,657 | $ | 13,319,654 | ||||||
NRG Energy, Inc.† | 5.75% | 1/15/2028 | 32,817 | 32,324,745 | ||||||||
Ohio Power Co. | 4.15% | 4/1/2048 | 26,865 | 27,062,843 | ||||||||
Puget Sound Energy, Inc. | 4.223% | 6/15/2048 | 13,467 | 13,704,331 | ||||||||
Puget Sound Energy, Inc. | 7.02% | 12/1/2027 | 2,920 | 3,591,047 | ||||||||
Rochester Gas & Electric Corp.† | 3.10% | 6/1/2027 | 10,604 | 10,070,577 | ||||||||
Sierra Pacific Power Co. | 2.60% | 5/1/2026 | 9,730 | 8,994,822 | ||||||||
Southern California Edison Co. | 3.90% | 3/15/2043 | 8,688 | 8,070,758 | ||||||||
Total | 287,990,814 | |||||||||||
Electronics 0.87% | ||||||||||||
Nokia OYJ (Finland)(a) | 4.375% | 6/12/2027 | 13,838 | 13,042,315 | ||||||||
NVIDIA Corp. | 3.20% | 9/16/2026 | 29,939 | 28,887,329 | ||||||||
Qorvo, Inc. | 7.00% | 12/1/2025 | 30,558 | 33,002,640 | ||||||||
Trimble, Inc. | 4.75% | 12/1/2024 | 27,261 | 27,864,708 | ||||||||
Xilinx, Inc. | 2.95% | 6/1/2024 | 12,846 | 12,223,450 | ||||||||
Total | 115,020,442 | |||||||||||
Energy: Exploration & Production 4.17% | ||||||||||||
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. | 7.875% | 12/15/2024 | 15,686 | 16,705,590 | ||||||||
Anadarko Petroleum Corp. | 6.60% | 3/15/2046 | 26,585 | 32,039,101 | ||||||||
California Resources Corp.† | 8.00% | 12/15/2022 | 28,174 | 25,708,775 | ||||||||
Canadian Natural Resources Ltd. (Canada)(a) | 3.85% | 6/1/2027 | 22,221 | 21,709,810 | ||||||||
Centennial Resource Production LLC† | 5.375% | 1/15/2026 | 12,041 | 11,739,975 | ||||||||
CNX Resources Corp. | 5.875% | 4/15/2022 | 9,743 | 9,817,924 | ||||||||
CNX Resources Corp. | 8.00% | 4/1/2023 | 3,933 | 4,182,549 | ||||||||
Concho Resources, Inc. | 3.75% | 10/1/2027 | 25,830 | 24,858,549 | ||||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 34,568 | 33,753,019 | ||||||||
Continental Resources, Inc. | 4.375% | 1/15/2028 | 10,436 | 10,367,285 | ||||||||
Continental Resources, Inc. | 4.50% | 4/15/2023 | 34,157 | 34,720,142 | ||||||||
Eclipse Resources Corp. | 8.875% | 7/15/2023 | 15,559 | 14,819,947 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.50% | 1/30/2026 | 8,940 | 8,694,150 | ||||||||
EP Energy LLC/Everest Acquisition Finance, Inc.† | 8.00% | 11/29/2024 | 11,547 | 11,720,205 | ||||||||
EP Energy LLC/Everest Acquisition Finance, Inc.† | 8.00% | 2/15/2025 | 11,948 | 9,319,440 | ||||||||
Gulfport Energy Corp. | 6.00% | 10/15/2024 | 2,973 | 2,876,378 | ||||||||
Gulfport Energy Corp. | 6.375% | 5/15/2025 | 3,769 | 3,679,486 | ||||||||
Gulfport Energy Corp. | 6.375% | 1/15/2026 | 6,698 | 6,446,825 | ||||||||
Halcon Resources Corp. | 6.75% | 2/15/2025 | 10,716 | 10,073,040 | ||||||||
HighPoint Operating Corp. | 7.00% | 10/15/2022 | 9,822 | 9,871,110 |
See Notes to Financial Statements. | 23 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Energy: Exploration & Production (continued) | ||||||||||||
HighPoint Operating Corp. | 8.75% | 6/15/2025 | $ | 6,033 | $ | 6,485,475 | ||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.00% | 12/1/2024 | 17,952 | 17,503,200 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.75% | 10/1/2025 | 9,385 | 9,408,463 | ||||||||
Hunt Oil Co. of Peru LLC Sucursal Del Peru (Peru)†(a) | 6.375% | 6/1/2028 | 16,110 | 16,452,337 | ||||||||
Indigo Natural Resources LLC† | 6.875% | 2/15/2026 | 13,010 | 12,652,225 | ||||||||
Jonah Energy LLC/Jonah Energy Finance Corp.† | 7.25% | 10/15/2025 | 21,795 | 17,708,437 | ||||||||
MEG Energy Corp. (Canada)†(a) | 6.50% | 1/15/2025 | 11,902 | 11,916,877 | ||||||||
MEG Energy Corp. (Canada)†(a) | 7.00% | 3/31/2024 | 23,708 | 22,255,885 | ||||||||
Murphy Oil Corp. | 6.875% | 8/15/2024 | 5,221 | 5,495,103 | ||||||||
Newfield Exploration Co. | 5.625% | 7/1/2024 | 32,379 | 34,281,266 | ||||||||
OGX Austria GmbH (Brazil)†(a)(h) | 8.50% | 6/1/2019 | 20,000 | 400 | ||||||||
Range Resources Corp. | 4.875% | 5/15/2025 | 10,974 | 10,342,995 | ||||||||
SM Energy Co. | 6.50% | 1/1/2023 | 12,803 | 12,995,045 | ||||||||
Southwestern Energy Co. | 7.75% | 10/1/2027 | 5,722 | 5,950,880 | ||||||||
SRC Energy, Inc.† | 6.25% | 12/1/2025 | 21,135 | 21,214,256 | ||||||||
Texaco Capital, Inc. | 8.625% | 11/15/2031 | 11,023 | 16,147,592 | ||||||||
Transocean Guardian Ltd.†(j) | 5.875% | 1/15/2024 | 9,018 | 8,972,910 | ||||||||
WildHorse Resource Development Corp.† | 6.875% | 2/1/2025 | 8,918 | 9,140,950 | ||||||||
WPX Energy, Inc. | 6.00% | 1/15/2022 | 3,037 | 3,173,665 | ||||||||
YPF SA (Argentina)†(a) | 6.95% | 7/21/2027 | 7,286 | 6,275,068 | ||||||||
Total | 551,476,329 | |||||||||||
Environmental 0.07% | ||||||||||||
Darling Global Finance BV†(b) | 3.625% | 5/15/2026 | EUR | 7,646 | 8,969,983 | |||||||
Food & Drug Retailers 0.19% | ||||||||||||
Albertsons Cos LLC/Safeway, Inc./New Albertsons | ||||||||||||
LP/Albertson’s LLC | 6.625% | 6/15/2024 | $ | 13,290 | 12,592,275 | |||||||
Ingles Markets, Inc. | 5.75% | 6/15/2023 | 12,209 | 12,086,910 | ||||||||
Total | 24,679,185 | |||||||||||
Food: Wholesale 1.33% | ||||||||||||
Arcor SAIC (Argentina)†(a) | 6.00% | 7/6/2023 | 9,788 | 9,807,576 | ||||||||
B&G Foods, Inc. | 5.25% | 4/1/2025 | 14,068 | 13,294,260 | ||||||||
Campbell Soup Co. | 4.15% | 3/15/2028 | 4,492 | 4,283,991 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 14,154 | 13,640,917 | ||||||||
Cosan Luxembourg SA (Luxembourg)†(a) | 7.00% | 1/20/2027 | 11,723 | 11,400,618 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 5.875% | 7/15/2024 | 13,559 | 12,999,691 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 6.75% | 2/15/2028 | 26,922 | 25,466,866 | ||||||||
Kernel Holding SA (Ukraine)†(a) | 8.75% | 1/31/2022 | 13,575 | 13,381,896 |
24 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food: Wholesale (continued) | ||||||||||||
Lamb Weston Holdings, Inc.† | 4.625% | 11/1/2024 | $ | 12,447 | $ | 12,166,943 | ||||||
McCormick & Co., Inc. | 4.20% | 8/15/2047 | 13,233 | 12,588,556 | ||||||||
MHP Lux SA (Luxembourg)†(a) | 6.95% | 4/3/2026 | 12,231 | 11,478,365 | ||||||||
MHP SE (Ukraine)†(a) | 7.75% | 5/10/2024 | 7,985 | 8,020,453 | ||||||||
Nvent Finance Sarl (Luxembourg)†(a) | 4.55% | 4/15/2028 | 13,384 | 13,152,495 | ||||||||
Simmons Foods, Inc.† | 5.75% | 11/1/2024 | 15,820 | 13,802,950 | ||||||||
Total | 175,485,577 | |||||||||||
Foreign Sovereign 0.17% | ||||||||||||
Dominican Republic†(b) | 8.90% | 2/15/2023 | DOP | 240,100 | 5,012,484 | |||||||
Instituto Costarricense de Electricidad (Costa Rica)†(a) | 6.375% | 5/15/2043 | $ | 20,468 | 17,090,780 | |||||||
Total | 22,103,264 | |||||||||||
Forestry/Paper 0.71% | ||||||||||||
Flex Acquisition Co., Inc.† | 7.875% | 7/15/2026 | 10,821 | 10,805,850 | ||||||||
Norbord, Inc. (Canada)†(a) | 6.25% | 4/15/2023 | 18,438 | 19,315,649 | ||||||||
Rayonier AM Products, Inc.† | 5.50% | 6/1/2024 | 19,781 | 18,693,045 | ||||||||
Rayonier, Inc. | 3.75% | 4/1/2022 | 12,089 | 12,044,775 | ||||||||
Suzano Austria GmbH (Austria)†(a) | 5.75% | 7/14/2026 | 14,057 | 14,255,204 | ||||||||
West Fraser Timber Co. Ltd. (Canada)†(a) | 4.35% | 10/15/2024 | 18,635 | 18,312,658 | ||||||||
Total | 93,427,181 | |||||||||||
Gaming 2.01% | ||||||||||||
Boyd Gaming Corp.† | 6.00% | 8/15/2026 | 13,070 | 12,955,638 | ||||||||
Caesars Resort Collection LLC/CRC Finco, Inc.† | 5.25% | 10/15/2025 | 23,253 | 22,061,284 | ||||||||
Eldorado Resorts, Inc. | 6.00% | 4/1/2025 | 5,376 | 5,409,600 | ||||||||
Everi Payments, Inc.† | 7.50% | 12/15/2025 | 25,636 | 25,764,180 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.375% | 4/15/2026 | 6,156 | 6,109,830 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.75% | 6/1/2028 | 26,901 | 27,237,262 | ||||||||
Jacobs Entertainment, Inc.† | 7.875% | 2/1/2024 | 19,057 | 19,962,207 | ||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | 5.625% | 5/1/2024 | 4,760 | 4,843,300 | ||||||||
MGM Resorts International | 6.00% | 3/15/2023 | 38,946 | 40,211,745 | ||||||||
MGM Resorts International | 7.75% | 3/15/2022 | 3,738 | 4,083,765 | ||||||||
Mohegan Gaming & Entertainment† | 7.875% | 10/15/2024 | 13,557 | 12,828,311 | ||||||||
Penn National Gaming, Inc.† | 5.625% | 1/15/2027 | 20,104 | 18,998,280 | ||||||||
River Rock Entertainment Authority(h) | 9.00% | 11/1/2018 | 10,099 | 2,474,255 | ||||||||
Scientific Games International, Inc.† | 5.00% | 10/15/2025 | 9,518 | 9,089,690 | ||||||||
Scientific Games International, Inc. | 10.00% | 12/1/2022 | 15,930 | 17,025,188 |
See Notes to Financial Statements. | 25 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Gaming (continued) | ||||||||||||
Stars GRP Holdings/Stars GRP | 7.00% | 7/15/2026 | $ | 13,242 | $ | 13,407,525 | ||||||
Station Casinos LLC† | 5.00% | 10/1/2025 | 11,158 | 10,516,415 | ||||||||
Wynn Macau Ltd. (Macau)†(a) | 5.50% | 10/1/2027 | 12,800 | 12,256,000 | ||||||||
Total | 265,234,475 | |||||||||||
Gas Distribution 2.30% | ||||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp.† | 6.125% | 11/15/2022 | 9,770 | 9,916,550 | ||||||||
Cheniere Corpus Christi Holdings LLC | 5.125% | 6/30/2027 | 23,796 | 23,677,020 | ||||||||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/2025 | 14,002 | 14,614,587 | ||||||||
Cheniere Corpus Christi Holdings LLC | 7.00% | 6/30/2024 | 8,783 | 9,606,406 | ||||||||
Cheniere Energy Partners LP† | 5.25% | 10/1/2025 | 13,080 | 12,791,586 | ||||||||
Dominion Energy Gas Holdings LLC | 2.80% | 11/15/2020 | 8,953 | 8,843,416 | ||||||||
Dominion Energy Gas Holdings LLC | 3.60% | 12/15/2024 | 12,050 | 12,026,960 | ||||||||
Florida Gas Transmission Co. LLC† | 4.35% | 7/15/2025 | 18,069 | 18,469,504 | ||||||||
IFM US Colonial Pipeline 2 LLC† | 6.45% | 5/1/2021 | 17,675 | 18,849,042 | ||||||||
LBC Tank Terminals Holding Netherlands BV (Belgium)†(a) | 6.875% | 5/15/2023 | 13,716 | 13,921,740 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 20,733 | 20,551,586 | ||||||||
ONEOK, Inc.(j) | 4.55% | 7/15/2028 | 22,457 | 22,689,911 | ||||||||
ONEOK, Inc. | 4.95% | 7/13/2047 | 27,029 | 26,395,566 | ||||||||
Rockies Express Pipeline LLC† | 5.625% | 4/15/2020 | 13,991 | 14,393,241 | ||||||||
Rockies Express Pipeline LLC† | 6.875% | 4/15/2040 | 13,930 | 15,949,850 | ||||||||
Sabal Trail Transmission LLC† | 4.246% | 5/1/2028 | 20,166 | 20,335,533 | ||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 10,145 | 10,145,000 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 4.25% | 11/15/2023 | 8,725 | 8,397,813 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp.† | 5.875% | 4/15/2026 | 5,235 | 5,280,806 | ||||||||
Williams Cos., Inc. (The) | 3.70% | 1/15/2023 | 18,096 | 17,598,360 | ||||||||
Total | 304,454,477 | |||||||||||
Health Facilities 2.94% | ||||||||||||
AHP Health Partners, Inc.† | 9.75% | 7/15/2026 | 13,727 | 13,795,635 | ||||||||
Ascension Health | 3.945% | 11/15/2046 | 8,881 | 8,764,695 | ||||||||
CHS/Community Health Systems, Inc. | 8.00% | 11/15/2019 | 27,328 | 26,713,120 | ||||||||
Dignity Health | 3.812% | 11/1/2024 | 7,500 | 7,395,730 | ||||||||
HCA, Inc. | 5.25% | 4/15/2025 | 13,995 | 14,029,987 | ||||||||
HCA, Inc. | 5.25% | 6/15/2026 | 11,878 | 11,826,925 | ||||||||
HCA, Inc. | 5.375% | 2/1/2025 | 4,128 | 4,075,162 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 43,043 | 39,599,560 |
26 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Facilities (continued) | ||||||||||||
HCA, Inc. | 5.875% | 3/15/2022 | $ | 13,139 | $ | 13,730,255 | ||||||
HCA, Inc. | 5.875% | 2/15/2026 | 3,753 | 3,795,221 | ||||||||
HCA, Inc. | 7.05% | 12/1/2027 | 3,490 | 3,620,875 | ||||||||
HCA, Inc. | 7.50% | 2/15/2022 | 32,098 | 34,986,820 | ||||||||
HCA, Inc. | 7.58% | 9/15/2025 | �� | 5,778 | 6,269,130 | |||||||
HCA, Inc. | 7.69% | 6/15/2025 | 12,776 | 13,925,840 | ||||||||
HCA, Inc. | 8.36% | 4/15/2024 | 2,295 | 2,576,138 | ||||||||
Memorial Sloan-Kettering Cancer Center | 4.20% | 7/1/2055 | 28,034 | 28,831,772 | ||||||||
New York & Presbyterian Hospital (The) | 4.063% | 8/1/2056 | 16,078 | 15,902,997 | ||||||||
NVA Holdings, Inc.† | 6.875% | 4/1/2026 | 12,775 | 12,759,031 | ||||||||
NYU Langone Hospitals | 4.368% | 7/1/2047 | 11,359 | 11,752,196 | ||||||||
RegionalCare Hospital Partners Holdings, Inc.† | 8.25% | 5/1/2023 | 9,865 | 10,426,072 | ||||||||
RWJ Barnabas Health, Inc. | 3.949% | 7/1/2046 | 8,928 | 8,585,135 | ||||||||
Tenet Healthcare Corp.† | 4.625% | 7/15/2024 | 7,281 | 6,923,867 | ||||||||
Tenet Healthcare Corp.† | 5.125% | 5/1/2025 | 65,257 | 62,279,649 | ||||||||
Tenet Healthcare Corp. | 6.75% | 6/15/2023 | 25,526 | 25,494,092 | ||||||||
Total | 388,059,904 | |||||||||||
Health Services 0.99% | ||||||||||||
ASP AMC Merger Sub, Inc.† | 8.00% | 5/15/2025 | 15,996 | 13,356,660 | ||||||||
Eagle Holding Co. II LLC PIK 8.375%† | 7.625% | 5/15/2022 | 6,366 | 6,446,848 | ||||||||
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.† | 7.50% | 10/1/2024 | 5,736 | 6,037,140 | ||||||||
Jaguar Holding Co. II/Pharmaceutical Product Development LLC† | 6.375% | 8/1/2023 | 10,774 | 10,749,220 | ||||||||
MPH Acquisition Holdings LLC† | 7.125% | 6/1/2024 | 9,799 | 10,068,473 | ||||||||
Polaris Intermediate Corp. PIK 8.50%† | 8.50% | 12/1/2022 | 16,766 | 17,352,810 | ||||||||
Rede D’or Finance Sarl (Luxembourg)†(a) | 4.95% | 1/17/2028 | 28,738 | 25,666,626 | ||||||||
Sotera Health Topco, Inc. PIK 8.875%† | 8.125% | 11/1/2021 | 15,762 | 15,840,810 | ||||||||
West Street Merger Sub, Inc.† | 6.375% | 9/1/2025 | 25,648 | 24,622,080 | ||||||||
Total | 130,140,667 | |||||||||||
Hotels 0.57% | ||||||||||||
ESH Hospitality, Inc.† | 5.25% | 5/1/2025 | 13,467 | 13,029,322 | ||||||||
Hilton Domestic Operating Co., Inc. | 4.25% | 9/1/2024 | 11,114 | 10,599,978 | ||||||||
Hilton Domestic Operating Co., Inc.† | 5.125% | 5/1/2026 | 22,390 | 22,110,125 | ||||||||
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. | 6.125% | 12/1/2024 | 8,824 | 9,033,570 | ||||||||
Wyndham Destinations, Inc. | 4.50% | 4/1/2027 | 8,665 | 8,491,700 | ||||||||
Wyndham Destinations, Inc. | 5.10% | 10/1/2025 | 12,105 | 12,453,019 | ||||||||
Total | 75,717,714 |
See Notes to Financial Statements. | 27 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance Brokerage 0.34% | ||||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer† | 8.25% | 8/1/2023 | $ | 18,536 | $ | 19,182,443 | ||||||
Farmers Insurance Exchange† | 4.747% (3 Mo. LIBOR + 3.23% | )# | 11/1/2057 | 14,130 | 12,929,914 | |||||||
HUB International Ltd.† | 7.00% | 5/1/2026 | 12,796 | 12,668,040 | ||||||||
Total | 44,780,397 | |||||||||||
Integrated Energy 0.69% | ||||||||||||
Cenovus Energy, Inc. (Canada)(a) | 6.75% | 11/15/2039 | 16,113 | 17,735,780 | ||||||||
Exxon Mobil Corp. | 3.043% | 3/1/2026 | 23,752 | 23,155,301 | ||||||||
Rio Oil Finance Trust Series 2018-1 (Brazil)†(a) | 8.20% | 4/6/2028 | 12,879 | 13,078,625 | ||||||||
Shell International Finance BV (Netherlands)(a) | 6.375% | 12/15/2038 | 28,912 | 37,546,333 | ||||||||
Total | 91,516,039 | |||||||||||
Investments & Miscellaneous Financial Services 1.41% | ||||||||||||
BrightSphere Investment Group plc (United Kingdom)(a) | 4.80% | 7/27/2026 | 13,913 | 13,701,112 | ||||||||
Cboe Global Markets, Inc. | 3.65% | 1/12/2027 | 7,766 | 7,504,720 | ||||||||
FMR LLC† | 5.35% | 11/15/2021 | 7,800 | 8,272,431 | ||||||||
Moody’s Corp. | 3.25% | 1/15/2028 | 22,271 | 21,056,754 | ||||||||
MSCI, Inc.† | 5.75% | 8/15/2025 | 14,861 | 15,381,135 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 17,785 | 17,655,693 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 41,554 | 40,117,423 | ||||||||
S&P Global, Inc. | 6.55% | 11/15/2037 | 13,324 | 17,106,847 | ||||||||
Unifin Financiera SAB de CV SOFOM ENR (Mexico)†(a) | 7.25% | 9/27/2023 | 12,500 | 11,890,625 | ||||||||
VFH Parent LLC/Orchestra Co-Issuer, Inc.† | 6.75% | 6/15/2022 | 11,984 | 12,448,380 | ||||||||
Wand Merger Corp. | 9.125% | 7/15/2026 | 20,586 | 20,843,325 | (c) | |||||||
Total | 185,978,445 | |||||||||||
Life Insurance 0.53% | ||||||||||||
Northwestern Mutual Life Insurance Co. (The)† | 3.85% | 9/30/2047 | 28,610 | 26,241,398 | ||||||||
Nuveen Finance LLC† | 4.125% | 11/1/2024 | 12,927 | 12,868,254 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.27% | 5/15/2047 | 17,804 | 17,053,665 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 12,705 | 13,393,980 | ||||||||
Total | 69,557,297 | |||||||||||
Machinery 0.19% | ||||||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC (Canada)†(a) | 7.75% | 4/15/2026 | 17,910 | 16,745,850 |
28 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery (continued) | ||||||||||||
Xylem, Inc. | 3.25% | 11/1/2026 | $ | 8,884 | $ | 8,363,561 | ||||||
Total | 25,109,411 | |||||||||||
Managed Care 1.07% | ||||||||||||
Anthem, Inc. | 3.65% | 12/1/2027 | 14,895 | 14,131,979 | ||||||||
Centene Corp. | 4.75% | 1/15/2025 | 26,345 | 26,279,138 | ||||||||
Centene Corp. | 6.125% | 2/15/2024 | 18,803 | 19,860,669 | ||||||||
Centene Escrow I Corp.† | 5.375% | 6/1/2026 | 29,900 | 30,367,337 | ||||||||
Kaiser Foundation Hospitals | 4.15% | 5/1/2047 | 17,628 | 17,880,139 | ||||||||
WellCare Health Plans, Inc. | 5.25% | 4/1/2025 | 32,352 | 32,271,120 | ||||||||
Total | 140,790,382 | |||||||||||
Media: Content 1.39% | ||||||||||||
Activision Blizzard, Inc. | 3.40% | 9/15/2026 | 15,221 | 14,474,279 | ||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | 27,032 | 26,052,360 | ||||||||
Gray Television, Inc.† | 5.125% | 10/15/2024 | 2,220 | 2,125,650 | ||||||||
Gray Television, Inc.† | 5.875% | 7/15/2026 | 9,833 | 9,378,224 | ||||||||
iHeartCommunications, Inc.(h) | 9.00% | 3/1/2021 | 34,608 | 26,475,120 | ||||||||
Netflix, Inc.(b) | 3.625% | 5/15/2027 | EUR | 10,484 | 12,027,490 | |||||||
Netflix, Inc. | 4.375% | 11/15/2026 | $ | 30,478 | 28,643,224 | |||||||
Netflix, Inc.† | 4.875% | 4/15/2028 | 3,908 | 3,729,873 | ||||||||
Netflix, Inc. | 5.50% | 2/15/2022 | 5,323 | 5,502,651 | ||||||||
Netflix, Inc. | 5.875% | 2/15/2025 | 23,918 | 24,594,640 | ||||||||
Sirius XM Radio, Inc.† | 5.00% | 8/1/2027 | 11,533 | 10,812,188 | ||||||||
Sirius XM Radio, Inc.† | 5.375% | 7/15/2026 | 10,495 | 10,127,675 | ||||||||
Sirius XM Radio, Inc.† | 6.00% | 7/15/2024 | 9,524 | 9,726,385 | ||||||||
Total | 183,669,759 | |||||||||||
Media: Diversified 0.24% | ||||||||||||
21st Century Fox America, Inc. | 7.75% | 12/1/2045 | 21,950 | 31,017,272 | ||||||||
Medical Products 0.67% | ||||||||||||
Boston Scientific Corp. | 7.00% | 11/15/2035 | 9,840 | 12,626,941 | ||||||||
Edwards Lifesciences Corp. | 4.30% | 6/15/2028 | 23,943 | 23,942,635 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 16,641 | 17,138,301 | ||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA† | 6.625% | 5/15/2022 | 24,815 | 24,380,738 | ||||||||
Teleflex, Inc. | 4.625% | 11/15/2027 | 6,711 | 6,367,061 | ||||||||
Teleflex, Inc. | 4.875% | 6/1/2026 | 4,031 | 3,970,535 | ||||||||
Total | 88,426,211 |
See Notes to Financial Statements. | 29 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals/Mining (Excluding Steel) 3.27% | ||||||||||||
Alcoa Nederland Holding BV (Netherlands)†(a) | 6.125% | 5/15/2028 | $ | 12,168 | $ | 12,274,470 | ||||||
Alcoa Nederland Holding BV (Netherlands)†(a) | 6.75% | 9/30/2024 | 26,682 | 28,271,980 | ||||||||
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp.† | 7.50% | 5/1/2025 | 12,720 | 13,594,500 | ||||||||
Anglo American Capital plc (United Kingdom)†(a) | 3.75% | 4/10/2022 | 16,203 | 16,100,510 | ||||||||
Anglo American Capital plc (United Kingdom)†(a) | 4.75% | 4/10/2027 | 22,220 | 21,930,709 | ||||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP (Canada)†(a) | 8.75% | 7/15/2026 | 11,229 | 11,271,670 | ||||||||
Cleveland-Cliffs, Inc. | 5.75% | 3/1/2025 | 27,065 | 25,745,581 | ||||||||
Eterna Capital Pte Ltd. PIK 1.00% (Singapore)(a) | 7.50% | 12/11/2022 | 4,879 | 4,829,167 | ||||||||
Eterna Capital Pte Ltd. PIK 8.00% (Singapore)(a) | 8.00% | 12/11/2022 | 13,333 | 12,560,087 | ||||||||
First Quantum Minerals Ltd. (Canada)†(a) | 7.25% | 4/1/2023 | 13,005 | 13,037,512 | ||||||||
Freeport-McMoRan, Inc. | 3.55% | 3/1/2022 | 29,769 | 28,354,972 | ||||||||
Freeport-McMoRan, Inc. | 3.875% | 3/15/2023 | 69,141 | 65,511,097 | ||||||||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd.† | 7.375% | 12/15/2023 | 6,084 | 6,357,780 | ||||||||
Hudbay Minerals, Inc. (Canada)†(a) | 7.25% | 1/15/2023 | 3,928 | 4,065,480 | ||||||||
Hudbay Minerals, Inc. (Canada)†(a) | 7.625% | 1/15/2025 | 6,227 | 6,553,918 | ||||||||
Imperial Metals Corp. (Canada)†(a) | 7.00% | 3/15/2019 | 10,318 | 9,234,610 | ||||||||
Indika Energy Capital III Pte Ltd. (Singapore)†(a) | 5.875% | 11/9/2024 | 23,311 | 20,803,319 | ||||||||
Lundin Mining Corp. (Canada)†(a) | 7.875% | 11/1/2022 | 13,110 | 13,791,720 | ||||||||
Mirabela Nickel Ltd. (Australia)(a) | 1.00% | 9/10/2044 | 185 | 19 | (i) | |||||||
Nexa Resources SA (Brazil)†(a) | 5.375% | 5/4/2027 | 9,984 | 9,709,440 | ||||||||
Novelis Corp.† | 5.875% | 9/30/2026 | 8,892 | 8,536,320 | ||||||||
Novelis Corp.† | 6.25% | 8/15/2024 | 8,652 | 8,673,630 | ||||||||
Peabody Energy Corp.† | 6.00% | 3/31/2022 | 10,207 | 10,372,864 | ||||||||
Peabody Energy Corp.† | 6.375% | 3/31/2025 | 30,052 | 30,991,125 | ||||||||
Peabody Energy Corp. | 10.00% | 3/15/2022 | 11,660 | 1,166 | (i) | |||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 20,958 | 21,377,160 | ||||||||
Samarco Mineracao SA (Brazil)†(a)(h) | 4.125% | 11/1/2022 | 19,000 | 13,870,000 | ||||||||
Teck Resources Ltd. (Canada)†(a) | 8.50% | 6/1/2024 | 2,940 | 3,230,325 | ||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 10,469 | 10,835,415 | ||||||||
Total | 431,886,546 | |||||||||||
Monoline Insurance 0.22% | ||||||||||||
Acrisure LLC/Acrisure Finance, Inc.† | 7.00% | 11/15/2025 | 19,516 | 17,808,350 | ||||||||
MGIC Investment Corp. | 5.75% | 8/15/2023 | 10,670 | 10,936,750 | ||||||||
Total | 28,745,100 |
30 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Non-Electric Utilities 0.09% | ||||||||||||
Brooklyn Union Gas Co. (The)† | 3.407% | 3/10/2026 | $ | 11,916 | $ | 11,620,966 | ||||||
Oil Field Equipment & Services 1.78% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(a) | 4.60% | 11/2/2047 | 28,472 | 26,174,310 | ||||||||
Calfrac Holdings LP† | 8.50% | 6/15/2026 | 19,226 | 19,346,162 | ||||||||
CSI Compressco LP/CSI Compressco Finance, Inc.† | 7.50% | 4/1/2025 | 15,663 | 15,800,051 | ||||||||
Ensco plc (United Kingdom)(a) | 4.50% | 10/1/2024 | 15,233 | 12,605,307 | ||||||||
Ensco plc (United Kingdom)(a) | 5.20% | 3/15/2025 | 31,408 | 26,186,420 | ||||||||
Forum Energy Technologies, Inc. | 6.25% | 10/1/2021 | 11,835 | 11,864,588 | ||||||||
National Oilwell Varco, Inc. | 3.95% | 12/1/2042 | 22,071 | 18,740,435 | ||||||||
Noble Holding International Ltd.† | 7.875% | 2/1/2026 | 19,245 | 19,846,406 | ||||||||
Pioneer Energy Services Corp. | 6.125% | 3/15/2022 | 14,399 | 13,751,045 | ||||||||
Precision Drilling Corp. (Canada)(a) | 5.25% | 11/15/2024 | 18,990 | 18,040,500 | ||||||||
Rowan Cos., Inc. | 4.75% | 1/15/2024 | 11,770 | 10,210,475 | ||||||||
Transocean Phoenix 2 Ltd.† | 7.75% | 10/15/2024 | 7,950 | 8,546,304 | ||||||||
Transocean Proteus Ltd.† | 6.25% | 12/1/2024 | 11,263 | 11,417,359 | ||||||||
Transocean, Inc.† | 7.50% | 1/15/2026 | 12,803 | 13,035,054 | ||||||||
Unit Corp. | 6.625% | 5/15/2021 | 10,037 | 10,062,093 | ||||||||
Total | 235,626,509 | |||||||||||
Oil Refining & Marketing 0.26% | ||||||||||||
Citgo Holding, Inc.† | 10.75% | 2/15/2020 | 23,028 | 24,611,175 | ||||||||
Raizen Fuels Finance SA (Luxembourg)†(a) | 5.30% | 1/20/2027 | 10,349 | 9,986,785 | ||||||||
Total | 34,597,960 | |||||||||||
Packaging 0.69% | ||||||||||||
BWAY Holding Co.† | 7.25% | 4/15/2025 | 40,526 | 39,614,165 | ||||||||
Crown Cork & Seal Co., Inc. | 7.375% | 12/15/2026 | 11,810 | 12,813,850 | ||||||||
Pactiv LLC | 7.95% | 12/15/2025 | 11,829 | 13,011,900 | ||||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 15,750 | 17,364,375 | ||||||||
Trident Merger Sub, Inc.† | 6.625% | 11/1/2025 | 8,990 | 8,787,725 | ||||||||
Total | 91,592,015 | |||||||||||
Personal & Household Products 0.56% | ||||||||||||
Energizer Gamma Acquisition, Inc.†(j) | 6.375% | 7/15/2026 | 12,362 | 12,593,788 | ||||||||
Gibson Brands, Inc.†(h) | 8.875% | 8/1/2018 | 19,905 | 16,222,575 | ||||||||
Mattel, Inc. | 2.35% | 8/15/2021 | 30,026 | 27,398,725 | ||||||||
Mattel, Inc.† | 6.75% | 12/31/2025 | 8,936 | 8,723,770 | ||||||||
SC Johnson & Son, Inc.† | 4.75% | 10/15/2046 | 8,257 | 9,078,840 | ||||||||
Total | 74,017,698 |
See Notes to Financial Statements. | 31 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Pharmaceuticals 1.16% | ||||||||||||
Valeant Pharmaceuticals International, Inc.†(b) | 4.50% | 5/15/2023 | EUR | 31,388 | $ | 34,743,903 | ||||||
Valeant Pharmaceuticals International, Inc.† | 5.50% | 3/1/2023 | $ | 9,182 | 8,585,170 | |||||||
Valeant Pharmaceuticals International, Inc.† | 5.625% | 12/1/2021 | 53,420 | 52,752,250 | ||||||||
Valeant Pharmaceuticals International, Inc.† | 5.875% | 5/15/2023 | 20,719 | 19,540,607 | ||||||||
Valeant Pharmaceuticals International, Inc.† | 6.50% | 3/15/2022 | 6,231 | 6,472,451 | ||||||||
Valeant Pharmaceuticals International, Inc.† | 7.00% | 3/15/2024 | 12,232 | 12,839,808 | ||||||||
Valeant Pharmaceuticals International, Inc.† | 8.50% | 1/31/2027 | 18,551 | 18,875,643 | ||||||||
Total | 153,809,832 | |||||||||||
Printing & Publishing 0.14% | ||||||||||||
Meredith Corp.† | 6.875% | 2/1/2026 | 18,864 | 18,651,780 | ||||||||
Property & Casualty 0.19% | ||||||||||||
Allstate Corp. (The) | 4.20% | 12/15/2046 | 12,471 | 12,354,973 | ||||||||
Arch Capital Finance LLC | 4.011% | 12/15/2026 | 13,319 | 13,177,654 | ||||||||
Total | 25,532,627 | |||||||||||
Rail 0.41% | ||||||||||||
Central Japan Railway Co. (Japan)†(a) | 4.25% | 11/24/2045 | 14,466 | 15,409,605 | ||||||||
Rumo Luxembourg Sarl (Luxembourg)†(a) | 5.875% | 1/18/2025 | 14,510 | 13,303,856 | ||||||||
Rumo Luxembourg Sarl (Luxembourg)†(a) | 7.375% | 2/9/2024 | 14,853 | 15,038,811 | ||||||||
Watco Cos. LLC/Watco Finance Corp.† | 6.375% | 4/1/2023 | 10,514 | 10,724,280 | ||||||||
Total | 54,476,552 | |||||||||||
Real Estate Development & Management 0.41% | ||||||||||||
China Evergrande Group (China)(a) | 8.75% | 6/28/2025 | 13,187 | 11,629,431 | ||||||||
Country Garden Holdings Co. Ltd. (China)(a) | 4.75% | 9/28/2023 | 21,332 | 19,568,995 | ||||||||
Ontario Teachers’ Cadillac Fairview Properties Trust (Canada)†(a) | 3.875% | 3/20/2027 | 23,275 | 23,008,966 | ||||||||
Total | 54,207,392 | |||||||||||
Real Estate Investment Trusts 0.48% | ||||||||||||
Alexandria Real Estate Equities, Inc. | 3.95% | 1/15/2028 | 14,750 | 14,191,325 | ||||||||
Goodman US Finance Four LLC† | 4.50% | 10/15/2037 | 11,486 | 11,411,123 | ||||||||
Goodman US Finance Three LLC† | 3.70% | 3/15/2028 | 7,763 | 7,334,553 | ||||||||
Prologis LP | 3.875% | 9/15/2028 | 8,980 | 9,014,196 | ||||||||
VEREIT Operating Partnership LP | 4.60% | 2/6/2024 | 4,489 | 4,494,311 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 17,065 | 17,034,212 | ||||||||
Total | 63,479,720 |
32 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Recreation & Travel 0.71% | ||||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op | 5.375% | 4/15/2027 | $ | 6,116 | $ | 6,039,550 | ||||||
LTF Merger Sub, Inc.† | 8.50% | 6/15/2023 | 5,781 | 6,041,145 | ||||||||
Royal Caribbean Cruises Ltd. | 7.50% | 10/15/2027 | 30,318 | 36,435,639 | ||||||||
Silversea Cruise Finance Ltd.† | 7.25% | 2/1/2025 | 18,091 | 19,630,544 | ||||||||
Six Flags Entertainment Corp.† | 4.875% | 7/31/2024 | 13,503 | 13,154,623 | ||||||||
Viking Cruises Ltd.† | 5.875% | 9/15/2027 | 13,530 | 12,819,675 | ||||||||
Total | 94,121,176 | |||||||||||
Reinsurance 0.31% | ||||||||||||
AXIS Specialty Finance plc (United Kingdom)(a) | 5.15% | 4/1/2045 | 1,468 | 1,444,223 | ||||||||
Berkshire Hathaway, Inc. | 2.75% | 3/15/2023 | 7,903 | 7,739,450 | ||||||||
Berkshire Hathaway, Inc. | 3.125% | 3/15/2026 | 7,903 | 7,619,704 | ||||||||
Transatlantic Holdings, Inc. | 8.00% | 11/30/2039 | 17,809 | 24,390,481 | ||||||||
Total | 41,193,858 | |||||||||||
Restaurants 0.44% | ||||||||||||
Arcos Dorados Holdings, Inc. (Uruguay)†(a) | 5.875% | 4/4/2027 | 12,529 | 12,115,919 | ||||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | 13,514 | 12,939,655 | ||||||||
KFC Holding Co./Pizza Hut Holdings LLC/ Taco Bell of America LLC† | 4.75% | 6/1/2027 | 13,493 | 12,784,618 | ||||||||
KFC Holding Co./Pizza Hut Holdings LLC/ Taco Bell of America LLC† | 5.00% | 6/1/2024 | 20,332 | 20,122,580 | ||||||||
Total | 57,962,772 | |||||||||||
Software/Services 2.79% | ||||||||||||
Alibaba Group Holding Ltd. (China)(a) | 3.125% | 11/28/2021 | 18,436 | 18,266,460 | ||||||||
Alibaba Group Holding Ltd. (China)(a) | 4.20% | 12/6/2047 | 17,904 | 16,324,322 | ||||||||
Autodesk, Inc. | 3.50% | 6/15/2027 | 27,008 | 25,219,662 | ||||||||
Citrix Systems, Inc. | 4.50% | 12/1/2027 | 17,872 | 17,345,829 | ||||||||
First Data Corp.† | 5.75% | 1/15/2024 | 37,266 | 37,381,525 | ||||||||
Informatica LLC† | 7.125% | 7/15/2023 | 12,729 | 12,922,735 | ||||||||
j2 Cloud Services LLC/j2 Global Co-Obligor, Inc.† | 6.00% | 7/15/2025 | 4,098 | 4,169,715 | ||||||||
Match Group, Inc.† | 5.00% | 12/15/2027 | 26,537 | 24,745,753 | ||||||||
Microsoft Corp. | 2.40% | 8/8/2026 | 22,252 | 20,599,014 | ||||||||
Microsoft Corp. | 3.125% | 11/3/2025 | 33,202 | 32,638,936 | ||||||||
Microsoft Corp. | 3.30% | 2/6/2027 | 26,383 | 26,067,235 | ||||||||
Microsoft Corp. | 4.50% | 2/6/2057 | 8,948 | 9,731,404 | ||||||||
Rackspace Hosting, Inc.† | 8.625% | 11/15/2024 | 9,760 | 9,833,200 | ||||||||
salesforce.com, Inc. | 3.70% | 4/11/2028 | 17,807 | 17,694,012 |
See Notes to Financial Statements. | 33 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Software/Services (continued) | ||||||||||||
Solera LLC/Solera Finance, Inc.† | 10.50% | 3/1/2024 | $ | 11,823 | $ | 13,190,094 | ||||||
Sophia LP/Sophia Finance, Inc.† | 9.00% | 9/30/2023 | 11,134 | 11,744,978 | ||||||||
Tencent Holdings Ltd. (China)†(a) | 3.595% | 1/19/2028 | 19,777 | 18,724,279 | ||||||||
Tencent Holdings Ltd. (China)†(a) | 3.925% | 1/19/2038 | 13,821 | 12,618,103 | ||||||||
VeriSign, Inc. | 4.75% | 7/15/2027 | 8,783 | 8,418,066 | ||||||||
VeriSign, Inc. | 5.25% | 4/1/2025 | 15,945 | 16,219,254 | ||||||||
Visa, Inc. | 3.15% | 12/14/2025 | 14,645 | 14,179,069 | ||||||||
Total | 368,033,645 | |||||||||||
Specialty Retail 0.95% | ||||||||||||
Brookstone Holdings Corp. PIK 10.00% | 10.00% | 7/7/2021 | 726 | 58,116 | ||||||||
Claire’s Stores, Inc.†(h) | 9.00% | 3/15/2019 | 26,159 | 16,610,965 | ||||||||
Guitar Center Escrow Issuer, Inc.† | 9.50% | 10/15/2021 | 13,342 | 12,975,095 | ||||||||
Hot Topic, Inc.† | 9.25% | 6/15/2021 | 14,785 | 14,175,119 | ||||||||
Levi Strauss & Co.(b) | 3.375% | 3/15/2027 | EUR | 11,100 | 13,019,421 | |||||||
Neiman Marcus Group Ltd. LLC PIK 9.5%† | 8.75% | 10/15/2021 | $ | 14,860 | 9,956,200 | |||||||
PVH Corp.(b) | 3.125% | 12/15/2027 | EUR | 11,316 | 13,076,149 | |||||||
Tapestry, Inc. | 4.125% | 7/15/2027 | $ | 16,634 | 15,885,614 | |||||||
Tiffany & Co. | 4.90% | 10/1/2044 | 15,439 | 14,944,112 | ||||||||
Under Armour, Inc. | 3.25% | 6/15/2026 | 16,094 | 14,462,669 | ||||||||
Total | 125,163,460 | |||||||||||
Steel Producers/Products 0.44% | ||||||||||||
Allegheny Technologies, Inc. | 7.875% | 8/15/2023 | 17,595 | 19,002,600 | ||||||||
ArcelorMittal (Luxembourg)(a) | 6.125% | 6/1/2025 | 14,131 | 15,296,807 | ||||||||
Joseph T Ryerson & Son, Inc.† | 11.00% | 5/15/2022 | 7,754 | 8,548,785 | ||||||||
Steel Dynamics, Inc. | 4.125% | 9/15/2025 | 10,927 | 10,530,896 | ||||||||
Steel Dynamics, Inc. | 5.00% | 12/15/2026 | 5,285 | 5,298,213 | ||||||||
Total | 58,677,301 | |||||||||||
Support: Services 2.62% | ||||||||||||
AECOM | 5.125% | 3/15/2027 | 26,833 | 25,357,185 | ||||||||
Ahem Rentals, Inc.† | 7.375% | 5/15/2023 | 13,025 | 12,764,500 | ||||||||
APX Group, Inc. | 8.75% | 12/1/2020 | 533 | 511,467 | ||||||||
Ashtead Capital, Inc.† | 4.375% | 8/15/2027 | 13,664 | 12,741,680 | ||||||||
BakerCorp International, Inc. | 8.25% | 6/1/2019 | 13,054 | 12,695,015 | ||||||||
BlueLine Rental Finance Corp./BlueLine Rental LLC† | 9.25% | 3/15/2024 | 17,892 | 19,080,029 | ||||||||
Brand Industrial Services, Inc.† | 8.50% | 7/15/2025 | 21,315 | 21,661,369 | ||||||||
Brink’s Co. (The)† | 4.625% | 10/15/2027 | 18,978 | 17,602,095 | ||||||||
Cleveland Clinic Foundation (The) | 4.858% | 1/1/2114 | 8,223 | 8,763,271 |
34 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Support: Services (continued) | ||||||||||||
Cloud Crane LLC† | 10.125% | 8/1/2024 | $ | 9,910 | $ | 10,678,025 | ||||||
Garda World Security Corp. (Canada)†(a) | 8.75% | 5/15/2025 | 12,119 | 12,421,975 | ||||||||
H&E Equipment Services, Inc. | 5.625% | 9/1/2025 | 13,165 | 12,967,525 | ||||||||
IHS Markit Ltd. (United kingdom)†(a) | 4.00% | 3/1/2026 | 29,435 | 28,220,806 | ||||||||
Jurassic Holdings III, Inc.† | 6.875% | 2/15/2021 | 16,782 | 16,236,585 | ||||||||
Marble II Pte Ltd. (Singapore)†(a) | 5.30% | 6/20/2022 | 26,573 | 25,035,008 | ||||||||
Metropolitan Museum of Art (The) | 3.40% | 7/1/2045 | 13,518 | 12,636,435 | ||||||||
Monitronics International, Inc. | 9.125% | 4/1/2020 | 10,520 | 6,811,700 | ||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.† | 9.25% | 5/15/2023 | 13,503 | 14,448,210 | ||||||||
Ritchie Bros Auctioneers, Inc. (Canada)†(a) | 5.375% | 1/15/2025 | 13,118 | 12,757,255 | ||||||||
United Rentals North America, Inc. | 4.625% | 10/15/2025 | 11,437 | 10,922,335 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 21,596 | 20,111,275 | ||||||||
United Rentals North America, Inc. | 5.875% | 9/15/2026 | 6,713 | 6,788,521 | ||||||||
Weight Watchers International, Inc.† | 8.625% | 12/1/2025 | 22,325 | 24,556,384 | ||||||||
Total | 345,768,650 | |||||||||||
Technology Hardware & Equipment 0.83% | ||||||||||||
CDW LLC/CDW Finance Corp. | 5.50% | 12/1/2024 | 15,000 | 15,375,000 | ||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 26,395 | 27,791,080 | ||||||||
Dell International LLC/EMC Corp.† | 7.125% | 6/15/2024 | 30,859 | 32,721,003 | ||||||||
HP, Inc. | 6.00% | 9/15/2041 | 13,421 | 13,666,236 | ||||||||
Western Digital Corp. | 4.75% | 2/15/2026 | 20,860 | 20,325,463 | ||||||||
Total | 109,878,782 | |||||||||||
Telecommunications: Satellite 0.44% | ||||||||||||
Intelsat Connect Finance SA (Luxembourg)†(a) | 12.50% | 4/1/2022 | 17,391 | 17,255,350 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg)(a) | 5.50% | 8/1/2023 | 41,217 | 37,082,935 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg)(a) | 7.50% | 4/1/2021 | 4,088 | 4,077,780 | ||||||||
Total | 58,416,065 | |||||||||||
Telecommunications: Wireless 0.62% | ||||||||||||
T-Mobile USA, Inc. | 6.00% | 4/15/2024 | 13,317 | 13,816,388 | ||||||||
T-Mobile USA, Inc. | 6.375% | 3/1/2025 | 27,346 | 28,439,840 | ||||||||
T-Mobile USA, Inc. | 6.50% | 1/15/2026 | 38,271 | 39,503,326 | ||||||||
Total | 81,759,554 | |||||||||||
Telecommunications: Wireline Integrated & Services 2.03% | ||||||||||||
CenturyLink, Inc. | 5.625% | 4/1/2025 | 16,764 | 15,883,890 | ||||||||
CenturyLink, Inc. | 6.75% | 12/1/2023 | 6,832 | 6,883,240 | ||||||||
CenturyLink, Inc. | 7.50% | 4/1/2024 | 11,644 | 11,993,320 |
See Notes to Financial Statements. | 35 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Telecommunications: Wireline Integrated & Services (continued) | ||||||||||||
DKT Finance ApS (Denmark)†(a)(j) | 9.375% | 6/17/2023 | $ | 12,368 | $ | 12,553,520 | ||||||
Equinix, Inc.(b) | 2.875% | 2/1/2026 | EUR | 40,001 | 44,244,845 | |||||||
Equinix, Inc. | 5.375% | 5/15/2027 | $ | 4,814 | 4,814,000 | |||||||
Equinix, Inc. | 5.875% | 1/15/2026 | 4,823 | 4,897,756 | ||||||||
Frontier Communications Corp. | 6.875% | 1/15/2025 | 41,454 | 26,893,282 | ||||||||
Frontier Communications Corp. | 7.125% | 1/15/2023 | 4,315 | 3,201,191 | ||||||||
Frontier Communications Corp. | 7.625% | 4/15/2024 | 8,776 | 6,099,320 | ||||||||
Frontier Communications Corp.† | 8.50% | 4/1/2026 | 13,432 | 13,012,250 | ||||||||
Frontier Communications Corp. | 11.00% | 9/15/2025 | 16,316 | 13,129,485 | ||||||||
GCI LLC | 6.875% | 4/15/2025 | 13,026 | 13,550,948 | ||||||||
Hellas Telecommunications Luxembourg II SCA (Luxembourg)†(a)(h) | Zero Coupon | 1/15/2015 | 15,000 | 1,500 | (i) | |||||||
InterXion Holding NV†(b) | 4.75% | 6/15/2025 | EUR | 11,266 | 13,234,321 | |||||||
Motorola Solutions, Inc. | 4.60% | 2/23/2028 | $ | 13,419 | 13,366,759 | |||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC | 8.25% | 10/15/2023 | 21,109 | 20,268,862 | ||||||||
West Corp.† | 8.50% | 10/15/2025 | 12,418 | 11,393,515 | ||||||||
Wind Tre SpA (Italy)†(a) | 5.00% | 1/20/2026 | 24,274 | 19,363,613 | ||||||||
WTT Investment Ltd. (Hong Kong)†(a) | 5.50% | 11/21/2022 | 13,508 | 12,924,187 | ||||||||
Total | 267,709,804 | |||||||||||
Transportation: Infrastructure/Services 0.65% | ||||||||||||
Aeropuerto Internacional de Tocumen SA (Panama)†(a) | 6.00% | 11/18/2048 | 13,502 | 13,583,012 | ||||||||
Aeropuertos Dominicanos Siglo XXI SA (Dominican Republic)†(a) | 6.75% | 3/30/2029 | 9,800 | 10,228,750 | ||||||||
Autopistas del Sol SA (Costa Rica)†(a) | 7.375% | 12/30/2030 | 12,742 | 12,869,771 | ||||||||
Autoridad del Canal de Panama (Panama)†(a) | 4.95% | 7/29/2035 | 8,750 | 9,154,687 | ||||||||
CH Robinson Worldwide, Inc. | 4.20% | 4/15/2028 | 9,211 | 9,062,662 | ||||||||
Delhi International Airport Ltd. (India)†(a) | 6.125% | 10/31/2026 | 13,168 | 12,985,386 | ||||||||
Kirby Corp. | 4.20% | 3/1/2028 | 18,006 | 17,772,140 | ||||||||
Total | 85,656,408 | |||||||||||
Trucking & Delivery 0.09% | ||||||||||||
XPO CNW, Inc. | 6.70% | 5/1/2034 | 12,256 | 12,409,200 | ||||||||
Total High Yield Corporate Bonds (cost $8,772,789,572) | 8,595,368,135 |
36 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
MUNICIPAL BONDS 3.79% | ||||||||||||
Air Transportation 0.14% | ||||||||||||
Los Angeles, CA | 5.575% | 5/15/2020 | $ | 9,340 | $ | 9,773,002 | ||||||
Miami Dade Cnty, FL | 3.982% | 10/1/2041 | 9,660 | 9,632,759 | ||||||||
Total | 19,405,761 | |||||||||||
Education 0.98% | ||||||||||||
California St Univ | 3.899% | 11/1/2047 | 33,030 | 33,254,274 | ||||||||
Ohio Univ | 5.59% | 12/1/2114 | 8,904 | 10,315,551 | ||||||||
Permanent University Fund - Texas A&M University System | 3.66% | 7/1/2047 | 78,015 | 74,033,114 | ||||||||
Univ of California Bd of Regents | 6.548% | 5/15/2048 | 8,933 | 12,044,811 | ||||||||
Total | 129,647,750 | |||||||||||
General Obligation 1.15% | ||||||||||||
California | 7.55% | 4/1/2039 | 8,700 | 12,860,949 | ||||||||
Chicago Transit Auth, IL | 6.899% | 12/1/2040 | 8,926 | 11,638,522 | ||||||||
Chicago, IL | 5.432% | 1/1/2042 | 22,392 | 20,873,151 | ||||||||
Chicago, IL | 6.314% | 1/1/2044 | 22,402 | 22,909,181 | ||||||||
District of Columbia | 5.591% | 12/1/2034 | 13,410 | 16,037,690 | ||||||||
Honolulu City & Cnty, HI | 5.418% | 12/1/2027 | 6,620 | 7,714,617 | ||||||||
Los Angeles Unif Sch Dist, CA | 5.75% | 7/1/2034 | 8,927 | 10,845,680 | ||||||||
Massachusetts | 4.20% | 12/1/2021 | 7,355 | 7,590,728 | ||||||||
New York City | 5.985% | 12/1/2036 | 10,161 | 12,667,109 | ||||||||
Ohio St Univ | 4.048% | 12/1/2056 | 6,271 | 6,394,162 | ||||||||
Pennsylvania | 5.45% | 2/15/2030 | 12,190 | 13,869,294 | ||||||||
The Bd of Governors of the Univ of North Carolina | 3.847% | 12/1/2034 | 7,950 | 8,145,809 | ||||||||
Total | 151,546,892 | |||||||||||
Government Guaranteed 0.04% | ||||||||||||
City & County of San Francisco CA | 5.45% | 6/15/2025 | 4,540 | 5,166,520 | ||||||||
Lease Obligation 0.05% | ||||||||||||
Wisconsin | 3.294% | 5/1/2037 | 7,145 | 6,547,464 | ||||||||
Miscellaneous 0.47% | ||||||||||||
Dallas Convention Center Hotel Dev Corp., TX | 7.088% | 1/1/2042 | 17,795 | 23,608,448 | ||||||||
Pasadena Public Fing Auth | 7.148% | 3/1/2043 | 26,795 | 38,494,501 | ||||||||
Total | 62,102,949 |
See Notes to Financial Statements. | 37 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Tax Revenue 0.66% | ||||||||||||
Massachusetts Sch Bldg Auth | 5.715% | 8/15/2039 | $ | 20,055 | $ | 24,598,661 | ||||||
Memphis-Shelby County Industrial | ||||||||||||
Development Board, TN | 7.00% | 7/1/2045 | 12,890 | 13,449,813 | ||||||||
New York City Indl Dev Agy† | 11.00% | 3/1/2029 | 22,198 | 29,471,396 | ||||||||
San Jose Redev Agy, CA | 2.259% | 8/1/2020 | 19,600 | 19,410,860 | ||||||||
Total | 86,930,730 | |||||||||||
Transportation: Infrastructure/Services 0.17% | ||||||||||||
Chicago Transit Auth, IL | 6.20% | 12/1/2040 | 4,285 | 5,309,929 | ||||||||
Port of Seattle, WA | 3.571% | 5/1/2032 | 6,380 | 6,238,555 | ||||||||
Port of Seattle, WA | 3.755% | 5/1/2036 | 10,835 | 10,629,027 | ||||||||
Total | 22,177,511 | |||||||||||
Utilities 0.13% | ||||||||||||
San Antonio, TX | 5.718% | 2/1/2041 | 13,240 | 16,990,760 | ||||||||
Total Municipal Bonds (cost $498,320,828) | 500,516,337 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITY 0.34% | ||||||||||||
Caesars Palace Las Vegas Trust 2017-VICI D† (cost $45,526,175) | 4.499% | #(k) | 10/15/2034 | 44,851 | 45,165,423 | |||||||
Dividend Rate | Shares (000) | |||||||||||
PREFERRED STOCK 0.02% | ||||||||||||
Energy: Exploration & Production | ||||||||||||
Templar Energy LLC (cost $3,769,749) | Zero Coupon | 378 | 2,649,007 | |||||||||
Exercise Price | Expiration Date | |||||||||||
WARRANT 0.00% | ||||||||||||
Personal & Household Products | ||||||||||||
Remington Outdoor Co., Inc. (cost $871,458) | $35.05 | 5/15/2022 | 165 | 144,484 | (c) | |||||||
Total Long-Term Investments (cost $13,356,333,093) | 13,354,666,203 |
38 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
SHORT-TERM INVESTMENTS 2.69% | ||||||||||||
COMMERCIAL PAPER 1.32% | ||||||||||||
Auto Parts & Equipment 0.24% | ||||||||||||
Autoliv ASP, Inc. | 2.282% | 7/2/2018 | $ | 26,750 | $ | 26,750,000 | ||||||
Magna International, Inc. | 2.302% | 7/3/2018 | 4,750 | 4,749,701 | ||||||||
Total | 31,499,701 | |||||||||||
Discount Stores 0.15% | ||||||||||||
Dollar General Corp. | 2.18% | 7/2/2018 | 3,079 | 3,079,000 | ||||||||
Dollar General Corp. | 2.18% | 7/2/2018 | 16,921 | 16,921,000 | ||||||||
Total | 20,000,000 | |||||||||||
Diversified Capital Goods 0.05% | ||||||||||||
Pentair Finance | 2.789% | 7/2/2018 | 4,235 | 4,235,000 | ||||||||
Pentair Finance | 2.789% | 7/2/2018 | 2,765 | 2,765,000 | ||||||||
Total | 7,000,000 | |||||||||||
Electric: Integrated 0.26% | ||||||||||||
Entergy Corp. | 2.251% | 7/2/2018 | 18,000 | 18,000,000 | ||||||||
Southern California Edison Co. | 2.231% | 7/2/2018 | 16,000 | 16,000,000 | ||||||||
Total | 34,000,000 | |||||||||||
Electronics 0.28% | ||||||||||||
Amphenol Corp. | 2.231% | 7/2/2018 | 15,000 | 15,000,000 | ||||||||
Tyco Electronics Group SA | 2.312% | 7/2/2018 | 21,500 | 21,500,000 | ||||||||
Total | 36,500,000 | |||||||||||
Food & Drug Retailers 0.10% | ||||||||||||
ConAgra Foods, Inc. | 2.282% | 7/2/2018 | 13,000 | 13,000,000 | ||||||||
Medical Products 0.01% | ||||||||||||
Boston Scientific Corp. | 2.332% | 7/2/2018 | 938 | 938,000 | ||||||||
Boston Scientific Corp. | 2.332% | 7/2/2018 | 1,000 | 1,000,000 | ||||||||
Total | 1,938,000 | |||||||||||
Packaging 0.07% | ||||||||||||
BEMIS Co, inc. | 2.333% | 7/3/2018 | 9,500 | 9,499,393 | ||||||||
Pharmaceuticals 0.04% | ||||||||||||
Mylan N V | 2.637% | 7/2/2018 | 5,000 | 5,000,000 | ||||||||
Tobacco 0.12% | ||||||||||||
BAT International Finance plc | 2.332% | 7/2/2018 | 16,000 | 16,000,000 | ||||||||
Total Commercial Paper (cost $174,426,100) | 174,437,094 |
See Notes to Financial Statements. | 39 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investments | Principal Amount (000) | Fair Value | ||||||||||
REPURCHASE AGREEMENT 1.37% | ||||||||||||
Repurchase Agreement dated 6/29/2018, 1.05% due 7/2/2018 with Fixed Income Clearing Corp. collateralized by $140,045,000 of U.S. Treasury Note at 2.25% due 12/31/2023; $47,125,000 of U.S. Treasury Note at 2.75% due 11/15/2023; value: $185,191,511; proceeds: $181,571,754 (cost $181,555,868) | $ | 181,556 | $ | 181,555,868 | ||||||||
Total Short-Term Investments (cost $355,981,968) | 355,992,962 | |||||||||||
Total Investments in Securities 103.77% (cost $13,712,315,061) | 13,710,659,165 | |||||||||||
Liabilities in Excess of Cash and Other Assets(m) (3.77%) | (498,407,534 | ) | ||||||||||
Net Assets 100.00% | $ | 13,212,251,631 |
AUD | Australian dollar. | |
BRL | Brazilian real. | |
CAD | Canadian dollar. | |
DOP | Dominican peso. | |
EUR | Euro. | |
GBP | British pound. | |
HKD | Hong Kong dollar. | |
JPY | Japanese yen. | |
MXN | Mexican peso. | |
UYU | Uruguayan Peso. | |
ADR | American Depositary Receipt. | |
BADLAR | Banco de la Republica Argentina. | |
Euribor | Euro Interbank Offered Rate. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
Units | More than one class of securities traded together. | |
† | 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, 2018. | |
* | Non-income producing security. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Investment in non-U.S. dollar denominated securities. | |
(c) | Level 3 Investment as described in Note 2(p) in the Notes to Financials. Security 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. | |
(d) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at June 30, 2018. | |
(e) | Interest rate to be determined. | |
(f) | To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. | |
(g) | Security is perpetual in nature and has no stated maturity. | |
(h) | Defaulted (non-income producing security). | |
(i) | Level 3 Investment as described in Note 2(p) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(j) | Securities purchased on a when-issued basis (See Note 2(l)). | |
(k) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(l) | Level 3 Investment as described in Note 2(p) in the Notes to Financials. 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. | |
(m) | Liabilities in Excess of Cash and Other Assets include net unrealized appreciation (depreciation) on open forward foreign currency exchange contracts, futures contracts and swaps as follows: |
40 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Centrally Cleared Credit Default Swaps on Indexes - Buy Protection at June 30, 2018(1):
Referenced Index/Issuers | Central Clearing Party | Fund Pays (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation/ Depreciation(3) | ||||||||||||||||
Republic of Brazil(4)(5) | Credit Suisse | 1.00% | 6/20/2023 | $ | 220,506,000 | $ | 204,205,756 | $ | 15,719,226 | $ | 581,018 | ||||||||||||
Markit CDX. NA.EM.29(4)(6) | Credit Suisse | 1.00% | 6/20/2023 | 403,761,000 | 387,684,457 | 12,860,986 | 3,215,558 | ||||||||||||||||
Markit CDX. NA.IG.30(4)(7) | Credit Suisse | 1.00% | 6/20/2023 | 896,832,000 | 910,225,863 | (15,106,272 | ) | 1,712,409 | |||||||||||||||
$ | 5,508,985 | ||||||||||||||||||||||
Centrally Cleared Credit Default Swaps on Indexes - Sell Protection at June 30, 2018(1): | |||||||||||||||||||||||
Referenced Index | Central Clearing Party | Fund Receives (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Depreciation(3) | ||||||||||||||||
Markit CDX. NA.HY.30(4)(8) | Credit Suisse | 5.00% | 6/20/2023 | $ | 488,402,000 | $ | 516,610,766 | $ | 31,252,545 | $ | (3,043,779 | ) | |||||||||||
Markit CDX. NA.HY.29(4)(8) | Credit Suisse | 5.00% | 12/20/2022 | 177,498,000 | 188,468,615 | 11,840,949 | (870,334 | ) | |||||||||||||||
Markit CDX. ITRX.29(4)(9) | Credit Suisse | 5.00% | 6/20/2023 | EUR | 101,071,000 | EUR | 109,165,168 | EUR | 10,399,828 | (2,966,407 | ) | ||||||||||||
$ | (6,880,520 | ) |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. | |
(2) | Upfront payments received by Central Clearing Party are presented net of amortization (See Note 2(i)). | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $5,508,985. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $6,880,520. | |
(4) | Central Clearinghouse: Intercontinental Exchange (ICE). | |
(5) | Moody’s Credit Rating: Ba2. | |
(6) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of emerging markets sovereign issuers. | |
(7) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of investment grade securities. | |
(8) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of high yield securities. | |
(9) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of equally weighted credit default swap entities. |
See Notes to Financial Statements. | 41 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Credit Default Swaps on Indexes - Sell Protection at June 30, 2018(1):
Referenced Index* | Swap Counterparty | Fund Receives (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Depreciation(3) | Credit Default Swap Agreements Payable at Fair Value(4) | ||||||||||||||||||
Markit CMBX. NA.BBB.9 | Credit Suisse | 3.00% | 9/17/2058 | $ | 22,888,000 | $ | 20,518,441 | $ | (2,100,477 | ) | $ | (269,082 | ) | $ | (2,369,559 | ) | ||||||||||
Markit CMBX. NA.BBB.9 | Deutsche Bank | 3.00% | 9/17/2058 | 36,637,000 | 32,844,027 | (3,362,251 | ) | (430,722 | ) | (3,792,973 | ) | |||||||||||||||
Markit CMBX. NA.BBB.9 | Morgan Stanley | 3.00% | 9/17/2058 | 24,572,000 | 22,028,099 | (2,255,021 | ) | (288,880 | ) | (2,543,901 | ) | |||||||||||||||
Markit CMBX. NA.BBB.10 | Credit Suisse | 3.00% | 11/17/2059 | 50,333,000 | 45,782,196 | (3,637,879 | ) | (912,925 | ) | (4,550,804 | ) | |||||||||||||||
Markit CMBX. NA.BBB.10 | Deutsche Bank | 3.00% | 11/17/2059 | 9,149,000 | 8,312,803 | (661,255 | ) | (165,942 | ) | (827,197 | ) | |||||||||||||||
Markit CMBX. NA.BBB.10 | Goldman Sachs | 3.00% | 11/17/2059 | 38,427,000 | 34,952,665 | (2,777,358 | ) | (696,977 | ) | (3,474,335 | ) | |||||||||||||||
Markit CMBX. NA.AA.10 | Morgan Stanley | 3.00% | 11/17/2059 | 84,071,000 | 76,469,812 | (6,076,334 | ) | (1,524,854 | ) | (7,601,188 | ) | |||||||||||||||
MarkitCMBX. NA.BBB.11 | Deutsche Bank | 3.00% | 11/18/2054 | 9,162,000 | 8,303,574 | (660,475 | ) | (197,951 | ) | (858,426 | ) | |||||||||||||||
MarkitCMBX. NA.BBB.11 | Morgan Stanley | 3.00% | 11/18/2054 | 62,401,000 | 56,554,391 | (4,498,396 | ) | (1,348,213 | ) | (5,846,609 | ) | |||||||||||||||
$ | (26,029,446 | ) | $ | (5,835,546 | ) | $ | (31,864,992 | ) |
* | The Referenced Index is for the Credit Default Swaps on Indexes, which is comprised of a basket of commercial mortgage-backed securities. | |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. | |
(2) | Upfront payments received are presented net of amortization (See Note 2(i)). | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $5,835,546. | |
(4) | Includes upfront payments received. |
Open Forward Foreign Currency Exchange Contracts at June 30, 2018:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||||
British pound | Sell | J.P. Morgan | 7/19/2018 | 4,948,000 | $ | 6,620,842 | $ | 6,534,812 | $ | 86,030 | ||||||||||||
British pound | Sell | J.P. Morgan | 7/19/2018 | 5,944,000 | 7,991,861 | 7,850,226 | 141,635 | |||||||||||||||
British pound | Sell | State Street Bank and Trust | 7/19/2018 | 10,018,000 | 14,389,345 | 13,230,748 | 1,158,597 | |||||||||||||||
British pound | Sell | State Street Bank and Trust | 7/19/2018 | 3,896,000 | 5,274,187 | 5,145,438 | 128,749 | |||||||||||||||
British pound | Sell | State Street Bank and Trust | 7/19/2018 | 985,000 | 1,322,890 | 1,300,887 | 22,003 | |||||||||||||||
euro | Sell | Bank of America | 9/24/2018 | 2,917,000 | 3,468,561 | 3,427,711 | 40,850 | |||||||||||||||
euro | Sell | Deutsche Bank AG | 8/16/2018 | 12,700,000 | 15,855,302 | 14,878,760 | 976,542 |
42 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||||
euro | Sell | Deutsche Bank AG | 8/16/2018 | 691,000 | $ | 852,881 | $ | 809,545 | $ | 43,336 | ||||||||||||
euro | Sell | Goldman Sachs | 8/16/2018 | 5,496,000 | 6,707,426 | 6,438,871 | 268,555 | |||||||||||||||
euro | Sell | J.P. Morgan | 8/16/2018 | 2,831,000 | 3,448,817 | 3,316,675 | 132,142 | |||||||||||||||
euro | Sell | J.P. Morgan | 8/16/2018 | 1,688,000 | 2,039,303 | 1,977,586 | 61,717 | |||||||||||||||
euro | Sell | J.P. Morgan | 8/16/2018 | 1,522,000 | 1,838,587 | 1,783,108 | 55,479 | |||||||||||||||
euro | Sell | J.P. Morgan | 9/24/2018 | 4,446,000 | 5,290,118 | 5,224,409 | 65,709 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 1,142,000 | 1,421,974 | 1,337,917 | 84,057 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 378,000 | 472,198 | 442,848 | 29,350 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 294,000 | 367,265 | 344,437 | 22,828 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 799,000 | 998,112 | 936,073 | 62,039 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 1,213,000 | 1,515,281 | 1,421,097 | 94,184 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 3,308,000 | 4,130,307 | 3,875,507 | 254,800 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 1,001,000 | 1,249,870 | 1,172,727 | 77,143 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 1,267,000 | 1,582,134 | 1,484,361 | 97,773 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 1,411,000 | 1,757,084 | 1,653,065 | 104,019 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 1,197,000 | 1,478,229 | 1,402,352 | 75,877 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 7,646,000 | 9,390,481 | 8,957,716 | 432,765 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 2,131,000 | 2,617,223 | 2,496,586 | 120,637 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 347,000 | 424,152 | 406,530 | 17,622 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 2,321,000 | 2,837,216 | 2,719,181 | 118,035 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 4,348,000 | 5,242,322 | 5,093,925 | 148,397 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 1,068,000 | 1,286,633 | 1,251,222 | 35,411 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 3,647,000 | 4,381,971 | 4,272,664 | 109,307 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 4,264,000 | 5,094,570 | 4,995,514 | 99,056 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 14,639,000 | 17,516,361 | 17,150,407 | 365,954 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 492,000 | 587,363 | 576,406 | 10,957 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 4,333,000 | 5,202,919 | 5,076,352 | 126,567 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 123,000,000 | 148,236,254 | 144,101,376 | 4,134,878 |
See Notes to Financial Statements. | 43 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||||
euro | Sell | State Street Bank and Trust | 9/24/2018 | 5,625,000 | $ | 6,619,863 | $ | 6,609,829 | $ | 10,034 | ||||||||||||
euro | Sell | State Street Bank and Trust | 9/24/2018 | 10,111,000 | 11,915,821 | 11,881,242 | 34,579 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 9/24/2018 | 11,183,000 | 13,278,275 | 13,140,928 | 137,347 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 9/24/2018 | 4,465,000 | 5,311,556 | 5,246,736 | 64,820 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 9/24/2018 | 10,846,000 | 12,913,630 | 12,744,926 | 168,704 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 9/24/2018 | 11,213,000 | 13,278,283 | 13,176,181 | 102,102 | |||||||||||||||
euro | Sell | Toronto-Dominion Bank | 9/24/2018 | 8,983,000 | 10,563,334 | 10,555,750 | 7,584 | |||||||||||||||
euro | Sell | Toronto-Dominion Bank | 9/24/2018 | 4,490,000 | 5,295,555 | 5,276,113 | 19,442 | |||||||||||||||
euro | Sell | UBS AG | 8/16/2018 | 4,340,000 | 5,242,308 | 5,084,553 | 157,755 | |||||||||||||||
Japanese yen | Sell | Citibank | 7/26/2018 | 281,725,000 | 2,635,692 | 2,548,472 | 87,220 | |||||||||||||||
Japanese yen | Sell | Citibank | 7/26/2018 | 6,250,000,000 | 57,680,383 | 56,537,235 | 1,143,148 | |||||||||||||||
Japanese yen | Sell | J.P. Morgan | 7/26/2018 | 694,417,000 | 6,517,089 | 6,281,667 | 235,422 | |||||||||||||||
Japanese yen | Sell | State Street Bank and Trust | 7/26/2018 | 143,244,000 | 1,310,649 | 1,295,779 | 14,870 | |||||||||||||||
Japanese yen | Sell | State Street Bank and Trust | 7/26/2018 | 290,236,000 | 2,646,252 | 2,625,463 | 20,789 | |||||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 12,006,816 |
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||||
British pound | Buy | Citibank | 7/19/2018 | 10,059,000 | $ | 13,342,503 | $ | 13,284,897 | $ | (57,606 | ) | |||||||||||
euro | Buy | Deutsche Bank AG | 8/16/2018 | 11,158,000 | 13,221,550 | 13,072,221 | (149,329 | ) | ||||||||||||||
euro | Buy | J.P. Morgan | 8/16/2018 | 3,319,000 | 3,958,937 | 3,888,394 | (70,543 | ) | ||||||||||||||
euro | Buy | Standard Chartered Bank | 8/16/2018 | 8,400,000 | 9,945,222 | 9,841,070 | (104,152 | ) | ||||||||||||||
euro | Buy | State Street Bank and Trust | 8/16/2018 | 585,000 | 692,721 | 685,360 | (7,361 | ) | ||||||||||||||
Japanese yen | Buy | J.P. Morgan | 7/26/2018 | 1,023,277,000 | 9,263,198 | 9,256,520 | (6,678 | ) | ||||||||||||||
Japanese yen | Buy | J.P. Morgan | 7/26/2018 | 1,154,165,000 | 10,590,954 | 10,440,528 | (150,426 | ) | ||||||||||||||
Japanese yen | Buy | J.P. Morgan | 7/26/2018 | 1,445,616,000 | 13,183,447 | 13,076,981 | (106,466 | ) | ||||||||||||||
Japanese yen | Buy | J.P. Morgan | 7/26/2018 | 727,168,000 | 6,598,377 | 6,577,931 | (20,446 | ) | ||||||||||||||
euro | Sell | Standard Chartered Bank | 9/24/2018 | 2,270,000 | 2,640,932 | 2,667,433 | (26,501 | ) | ||||||||||||||
euro | Sell | State Street Bank and Trust | 9/24/2018 | 1,313,000 | 1,534,116 | 1,542,881 | (8,765 | ) | ||||||||||||||
euro | Sell | State Street Bank and Trust | 9/24/2018 | 3,042,000 | 3,559,503 | 3,574,596 | (15,093 | ) | ||||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (723,366 | ) |
44 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Open Futures Contracts at June 30, 2018:
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Appreciation | ||||||||||||
U.S. 5-Year Treasury Note | September 2018 | 17,214 | Long | $ | 1,953,163,615 | $ | 1,955,806,274 | $ | 2,642,659 | |||||||||
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Depreciation | ||||||||||||
EURO-BOBL | September 2018 | 54 | Short | EUR | (8,336,033) | EUR | (8,334,799) | $ | (62,819 | ) | ||||||||
U.S. 2-Year Treasury Note | September 2018 | 3,137 | Long | $ | 666,262,442 | $ | 664,504,832 | (1,757,610 | ) | |||||||||
U.S. 10-Year Treasury Note | September 2018 | 309 | Short | (37,045,648 | ) | (37,137,937 | ) | (92,289 | ) | |||||||||
U.S. 10-Year Ultra Treasury Bond | September 2018 | 218 | Short | (27,821,272 | ) | (27,955,094 | ) | (133,822 | ) | |||||||||
U.S. Long Bond | September 2018 | 10,143 | Short | (1,448,688,479 | ) | (1,470,735,000 | ) | (22,046,521 | ) | |||||||||
Ultra Long U.S. Treasury Bond | September 2018 | 328 | Short | (52,141,186 | ) | (52,336,500 | ) | (195,314 | ) | |||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (24,288,375 | ) |
Reverse Repurchase Agreement Payable as of June 30, 2018:
Counterparty | Principal | Collateral Held by Counterparty | Interest Rate(1) | Trade Date | Maturity Date(2) | Fair Value(3) | ||||||||||||||
J.P. Morgan Chase & Co | $1,867,331 | $2,400,000 principal, Mohegan Gaming & Entertainment at 7.875% due 10/15/2024, $2,271,000 fair value | (6.00)% | 4/6/2018 | On Demand | $ | 1,840,566 | |||||||||||||
(1) | The negative interest rate on the reverse repurchase agreement results in interest income to the Fund. | |
(2) | This reverse repurchase agreement has no stated maturity and may be terminated by either party at any time. | |
(3) | Total fair value of reverse repurchase agreement is presented net of interest receivable of $26,765. |
See Notes to Financial Statements. | 45 |
Schedule of Investments (unaudited)(continued)
June 30, 2018
The following is a summary of the inputs used as of June 30, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | – | $ | 303,929,364 | $ | – | $ | 303,929,364 | ||||||||
Common Stocks(3) | ||||||||||||||||
Auto Parts & Equipment | – | 16,694,067 | – | 16,694,067 | ||||||||||||
Energy: Exploration & Production | 132,948,071 | 458,505 | – | 133,406,576 | ||||||||||||
Media: Content | 62,839,591 | – | 2,078,680 | 64,918,271 | ||||||||||||
Personal & Household Products | 64,248,933 | – | 1,187,173 | 65,436,106 | ||||||||||||
Remaining Industries | 1,846,667,967 | – | – | 1,846,667,967 | ||||||||||||
Convertible Bonds | – | 60,707,573 | – | 60,707,573 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Gaming | – | 12,898,705 | 22,002,981 | 34,901,686 | ||||||||||||
Personal & Household Products | – | 21,086,692 | 990,000 | 22,076,692 | ||||||||||||
Recreation & Travel | – | 38,987,467 | 12,777,676 | 51,765,143 | ||||||||||||
Specialty Retail | – | 119,951,890 | 8,974,876 | 128,926,766 | ||||||||||||
Remaining Industries | – | 652,643,414 | – | 652,643,414 | ||||||||||||
Foreign Bonds | – | 38,918,465 | – | 38,918,465 | ||||||||||||
Foreign Government Obligations | – | 330,917,209 | – | 330,917,209 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 458,913,518 | – | 458,913,518 | ||||||||||||
High Yield Corporate Bonds | ||||||||||||||||
Automakers | – | 79,582,860 | 1,500 | 79,584,360 | ||||||||||||
Banking | – | 722,806,042 | 2,250 | 722,808,292 | ||||||||||||
Investments & Miscellaneous Financial Services | – | 165,135,120 | 20,843,325 | 185,978,445 | ||||||||||||
Metals/Mining (Excluding Steel) | – | 431,885,361 | 1,185 | 431,886,546 | ||||||||||||
Telecommunications: Wireline Integrated & Services | – | 267,708,304 | 1,500 | 267,709,804 | ||||||||||||
Remaining Industries | – | 6,907,400,688 | – | 6,907,400,688 | ||||||||||||
Municipal Bonds | – | 500,516,337 | – | 500,516,337 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Security | – | 45,165,423 | – | 45,165,423 | ||||||||||||
Preferred Stock | – | 2,649,007 | – | 2,649,007 | ||||||||||||
Warrant | – | – | 144,484 | 144,484 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 174,437,094 | – | 174,437,094 | ||||||||||||
Repurchase Agreement | – | 181,555,868 | – | 181,555,868 | ||||||||||||
Total | $ | 2,106,704,562 | $ | 11,534,948,973 | $ | 69,005,630 | $ | 13,710,659,165 |
46 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2018
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 5,508,985 | $ | – | $ | 5,508,985 | ||||||||
Liabilities | – | (6,880,520 | ) | – | (6,880,520 | ) | ||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (31,864,992 | ) | – | (31,864,992 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 12,006,816 | – | 12,006,816 | ||||||||||||
Liabilities | – | (723,366 | ) | – | (723,366 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 2,642,659 | – | – | 2,642,659 | ||||||||||||
Liabilities | (24,288,375 | ) | – | – | (24,288,375 | ) | ||||||||||
Reverse Repurchase Agreements | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (1,840,566 | ) | – | (1,840,566 | ) | ||||||||||
Unfunded Commitment | ||||||||||||||||
Assets | – | 1,201,032 | – | 1,201,032 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Total | $ | (21,645,716 | ) | $ | (22,592,611 | ) | $ | – | $ | (44,238,327 | ) |
(1) | Refer to Note 2(p) 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. Each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. | |
(3) | Securities in the amount of $67,616,308 were transferred from Level 2 to Level 1 as a result of utilizing the last sale or official closing price on the exchange or system on which the securities are principally traded on June 30, 2018. |
See Notes to Financial Statements. | 47 |
Schedule of Investments (unaudited)(concluded)
June 30, 2018
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Asset-Backed Securities | Common Stocks | Convertible Bonds | Floating Rate Loans | High Yield Corporate Bonds | Warrants | ||||||||||||||||||
Balance as of January 1, 2018 | $ | 24,081,974 | $ | 2,080,250 | $ | 172,761 | $ | 30,576,590 | $ | 3,428,378 | $ | – | ||||||||||||
Accrued Discounts (Premiums) | – | – | – | 133,895 | – | – | ||||||||||||||||||
Realized Gain (Loss) | – | (54 | ) | 182,507 | 24,490 | – | (5 | ) | ||||||||||||||||
Change in Unrealized Appreciation (Depreciation) | – | (9,431,654 | ) | 1,264,361 | (926,590 | ) | 257,325 | (726,974 | ) | |||||||||||||||
Purchases | – | 10,617,311 | – | 6,928,398 | 20,586,000 | 871,462 | ||||||||||||||||||
Sales | – | – | (1,619,629 | ) | (678,681 | ) | – | – | ||||||||||||||||
Transfers into Level 3 | – | – | – | 8,687,431 | – | – | ||||||||||||||||||
Transfers out of Level 3 | (24,081,974 | ) | – | – | – | (3,421,943 | ) | – | ||||||||||||||||
Balance as of June 30, 2018 | $ | – | $ | 3,265,853 | $ | – | $ | 44,745,533 | $ | 20,849,760 | $ | 144,484 | ||||||||||||
Change in unrealized appreciation/depreciation for period ended June 30, 2018 related to Level 3 investments held at June 30, 2018 | $ | – | $ | (9,431,654 | ) | $ | – | $ | (926,590 | ) | $ | 257,325 | $ | (726,974 | ) |
48 | See Notes to Financial Statements. |
Statement of Assets and Liabilities (unaudited)
June 30, 2018
ASSETS: | ||||
Investments in securities, at fair value (cost $13,712,315,061) | $ | 13,710,659,165 | ||
Cash | 39,141,391 | |||
Deposits with brokers for futures collateral | 16,590,930 | |||
Deposits with brokers for forwards/swaps collateral | 74,019,113 | |||
Foreign cash, at value (cost $853,939) | 828,189 | |||
Receivables: | ||||
Interest and dividends | 146,417,870 | |||
Capital shares sold | 74,442,977 | |||
Investment securities sold | 52,520,643 | |||
Variation margin for centrally cleared credit default swap agreements | 10,455,329 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 12,006,816 | |||
Unrealized appreciation on unfunded commitments | 1,201,032 | |||
Prepaid expenses and other assets | 350,605 | |||
Total assets | 14,138,634,060 | |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 810,408,437 | |||
Capital shares reacquired | 26,861,558 | |||
Management fee | 4,789,123 | |||
12b-1 distribution plan | 2,741,250 | |||
Directors’ fees | 1,755,641 | |||
Variation margin on futures contracts | 756,890 | |||
Fund administration | 435,762 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 723,366 | |||
Reverse repurchase agreement payable, at fair value | 1,840,566 | |||
Credit default swap agreements payable, at fair value (including upfront payments of $26,029,446) | 31,864,992 | |||
Distributions payable | 42,509,568 | |||
Accrued expenses and other liabilities | 1,695,276 | |||
Total liabilities | 926,382,429 | |||
NET ASSETS | $ | 13,212,251,631 | ||
COMPOSITION OF NET ASSETS: | ||||
Paid-in capital | $ | 13,098,836,141 | ||
Undistributed net investment income | 2,391,382 | |||
Accumulated net realized gain on investments, futures contracts, foreign currency exchange contracts, swaps and foreign currency related transactions | 129,130,258 | |||
Net unrealized depreciation on investments, futures contracts, foreign currency exchange contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | (18,106,150 | ) | ||
Net Assets | $ | 13,212,251,631 |
See Notes to Financial Statements. | 49 |
Statement of Assets and Liabilities (unaudited)(concluded)
June 30, 2018
Net assets by class: | ||||
Class A Shares | $ | 4,676,818,821 | ||
Class C Shares | $ | 1,477,045,557 | ||
Class F Shares | $ | 4,239,203,763 | ||
Class F3 Shares | $ | 1,394,270,850 | ||
Class I Shares | $ | 1,081,467,683 | ||
Class P Shares | $ | 20,006,485 | ||
Class R2 Shares | $ | 6,822,507 | ||
Class R3 Shares | $ | 152,053,469 | ||
Class R4 Shares | $ | 13,226,843 | ||
Class R5 Shares | $ | 31,081,790 | ||
Class R6 Shares | $ | 120,243,695 | ||
Class T Shares | $ | 10,168 | ||
Outstanding shares by class: | ||||
Class A Shares (1.14 billion shares of common stock authorized, $.001 par value) | 585,740,932 | |||
Class C Shares (600 million shares of common stock authorized, $.001 par value) | 184,489,756 | |||
Class F Shares (1.2 billion shares of common stock authorized, $.001 par value) | 531,686,346 | |||
Class F3 Shares (300 million shares of common stock authorized, $.001 par value) | 175,414,274 | |||
Class I Shares (300 million shares of common stock authorized, $.001 par value) | 136,187,129 | |||
Class P Shares (160 million shares of common stock authorized, $.001 par value) | 2,450,219 | |||
Class R2 Shares (300 million shares of common stock authorized, $.001 par value) | 854,327 | |||
Class R3 Shares (300 million shares of common stock authorized, $.001 par value) | 19,074,137 | |||
Class R4 Shares (300 million shares of common stock authorized, $.001 par value) | 1,656,138 | |||
Class R5 Shares (300 million shares of common stock authorized, $.001 par value) | 3,909,541 | |||
Class R6 Shares (300 million shares of common stock authorized, $.001 par value) | 15,130,269 | |||
Class T Shares (300 million shares of common stock authorized, $.001 par value) | 1,274 | |||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||
Class A Shares-Net asset value | $7.98 | |||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $8.16 | |||
Class C Shares-Net asset value | $8.01 | |||
Class F Shares-Net asset value | $7.97 | |||
Class F3 Shares-Net asset value | $7.95 | |||
Class I Shares-Net asset value | $7.94 | |||
Class P Shares-Net asset value | $8.17 | |||
Class R2 Shares-Net asset value | $7.99 | |||
Class R3 Shares-Net asset value | $7.97 | |||
Class R4 Shares-Net asset value | $7.99 | |||
Class R5 Shares-Net asset value | $7.95 | |||
Class R6 Shares-Net asset value | $7.95 | |||
Class T Shares-Net asset value | $7.98 | |||
Class T Shares-Maximum offering price (Net asset value plus sales charge of 2.50%) | $8.18 |
50 | See Notes to Financial Statements. |
Statement of Operations (unaudited)
For the Six Months Ended June 30, 2018
Investment income: | ||||
Dividends (net of foreign withholding taxes of $231,424) | $ | 9,716,339 | ||
Interest and other (net of foreign withholding taxes of $26,427) | 302,014,804 | |||
Total investment income | 311,731,143 | |||
Expenses: | ||||
Management fee | 28,429,676 | |||
12b-1 distribution plan-Class A | 4,469,881 | |||
12b-1 distribution plan-Class B | 11,001 | |||
12b-1 distribution plan-Class C | 7,372,502 | |||
12b-1 distribution plan-Class F | 2,027,432 | |||
12b-1 distribution plan-Class P | 31,515 | |||
12b-1 distribution plan-Class R2 | 24,698 | |||
12b-1 distribution plan-Class R3 | 370,092 | |||
12b-1 distribution plan-Class R4 | 13,802 | |||
12b-1 distribution plan-Class T | 13 | |||
Shareholder servicing | 4,779,513 | |||
Fund administration | 2,582,625 | |||
Registration | 438,617 | |||
Reports to shareholders | 422,229 | |||
Directors’ fees | 147,699 | |||
Custody | 122,227 | |||
Professional | 107,647 | |||
Other | 104,245 | |||
Gross expenses | 51,455,414 | |||
Expense reductions (See Note 9) | (10,395 | ) | ||
Net expenses | 51,445,019 | |||
Net investment income | 260,286,124 | |||
Net realized and unrealized gain (loss): | ||||
Net realized gain on investments | 29,459,305 | |||
Net realized gain on futures contracts | 58,310,267 | |||
Net realized loss on foreign currency exchange contracts | (5,117,055 | ) | ||
Net realized loss on swap contracts | (3,585,174 | ) | ||
Net realized loss on foreign currency related transactions | (512,514 | ) | ||
Net change in unrealized appreciation/depreciation on investments | (493,294,410 | ) | ||
Net change in unrealized appreciation/depreciation on futures contracts | (17,304,993 | ) | ||
Net change in unrealized appreciation/depreciation on foreign currency exchange contracts | 14,779,852 | |||
Net change in unrealized appreciation/depreciation on swap contracts | 5,332,034 | |||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | (117,656 | ) | ||
Net change in unrealized appreciation/depreciation on unfunded commitments | 1,201,032 | |||
Net realized and unrealized gain | (410,849,312 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (150,563,188 | ) |
See Notes to Financial Statements. | 51 |
Statements of Changes in Net Assets
For the | ||||||||
Six Months Ended | ||||||||
June 30, 2018 | For the Year Ended | |||||||
INCREASE IN NET ASSETS | (unaudited) | December 31, 2017 | ||||||
Operations: | ||||||||
Net investment income | $ | 260,286,124 | $ | 439,928,311 | ||||
Net realized gain on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | 78,554,829 | 355,943,469 | ||||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward currency exchange contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | (489,404,141 | ) | 148,832,514 | |||||
Net increase (decrease) in net assets resulting from operations | (150,563,188 | ) | 944,704,294 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Class A | (96,984,228 | ) | (184,374,395 | ) | ||||
Class B | (36,443 | ) | (977,132 | ) | ||||
Class C | (32,782,432 | ) | (67,580,567 | ) | ||||
Class F | (89,821,084 | ) | (159,926,082 | ) | ||||
Class F3 | (28,532,307 | ) | (10,003,243 | ) | ||||
Class I | (23,905,777 | ) | (25,599,464 | ) | ||||
Class P | (483,479 | ) | (1,527,044 | ) | ||||
Class R2 | (161,073 | ) | (312,078 | ) | ||||
Class R3 | (2,990,961 | ) | (5,531,805 | ) | ||||
Class R4 | (237,912 | ) | (216,101 | ) | ||||
Class R5 | (657,385 | ) | (1,049,883 | ) | ||||
Class R6 | (2,129,501 | ) | (1,694,324 | ) | ||||
Class T | (220 | ) | (176 | ) | ||||
Net realized gain | ||||||||
Class A | – | (26,458,647 | ) | |||||
Class B | – | (51,870 | ) | |||||
Class C | – | (11,005,284 | ) | |||||
Class F | – | (22,051,309 | ) | |||||
Class F3 | – | (6,346,697 | ) | |||||
Class I | – | (6,121,173 | ) | |||||
Class P | – | (191,247 | ) | |||||
Class R2 | – | (53,760 | ) | |||||
Class R3 | – | (903,813 | ) | |||||
Class R4 | – | (47,734 | ) | |||||
Class R5 | – | (160,277 | ) | |||||
Class R6 | – | (386,320 | ) | |||||
Class T | – | (61 | ) | |||||
Total distributions to shareholders | (278,722,802 | ) | (532,570,486 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||
Net proceeds from sales of shares | 2,502,413,256 | 6,456,007,068 | ||||||
Reinvestment of distributions | 245,796,792 | 464,691,431 | ||||||
Cost of shares reacquired | (1,702,311,850 | ) | (4,192,283,810 | ) | ||||
Net increase in net assets resulting from capital share transactions | 1,045,898,198 | 2,728,414,689 | ||||||
Net increase in net assets | 616,612,208 | 3,140,548,497 | ||||||
NET ASSETS: | ||||||||
Beginning of period | $ | 12,595,639,423 | $ | 9,455,090,926 | ||||
End of period | $ | 13,212,251,631 | $ | 12,595,639,423 | ||||
Undistributed net investment income | $ | 2,391,382 | $ | 20,828,060 |
52 | See Notes to Financial Statements. |
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53
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 | ||||||||||||||||||||||||||||
6/30/2018(c) | $ | 8.25 | $ | 0.16 | $ | (0.26 | ) | $ | (0.10 | ) | $ | (0.17 | ) | $ | – | $ | (0.17 | ) | ||||||||||
12/31/2017 | 7.93 | 0.33 | 0.39 | 0.72 | (0.35 | ) | (0.05 | ) | (0.40 | ) | ||||||||||||||||||
12/31/2016 | 7.40 | 0.35 | 0.54 | 0.89 | (0.36 | ) | – | (0.36 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2018(c) | 8.27 | 0.14 | (0.25 | ) | (0.11 | ) | (0.15 | ) | – | (0.15 | ) | |||||||||||||||||
12/31/2017 | 7.95 | 0.28 | 0.39 | 0.67 | (0.30 | ) | (0.05 | ) | (0.35 | ) | ||||||||||||||||||
12/31/2016 | 7.42 | 0.30 | 0.55 | 0.85 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
6/30/2018(c) | 8.24 | 0.17 | (0.26 | ) | (0.09 | ) | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||
12/31/2017 | 7.92 | 0.34 | 0.39 | 0.73 | (0.36 | ) | (0.05 | ) | (0.41 | ) | ||||||||||||||||||
12/31/2016 | 7.39 | 0.36 | 0.54 | 0.90 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
6/30/2018(c) | 8.21 | 0.17 | (0.25 | ) | (0.08 | ) | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||
4/4/2017 to 12/31/2017(f) | 8.01 | 0.25 | 0.27 | 0.52 | (0.27 | ) | (0.05 | ) | (0.32 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
6/30/2018(c) | 8.21 | 0.17 | (0.26 | ) | (0.09 | ) | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||
12/31/2017 | 7.89 | 0.35 | 0.38 | 0.73 | (0.36 | ) | (0.05 | ) | (0.41 | ) | ||||||||||||||||||
12/31/2016 | 7.36 | 0.36 | 0.55 | 0.91 | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
6/30/2018(c) | 8.44 | 0.16 | (0.25 | ) | (0.09 | ) | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||
12/31/2017 | 8.11 | 0.34 | 0.39 | 0.73 | (0.35 | ) | (0.05 | ) | (0.40 | ) | ||||||||||||||||||
12/31/2016 | 7.57 | 0.35 | 0.56 | 0.91 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
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 | ) |
54 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | ||||||||||||||||||||||
Net | |||||||||||||||||||||||
asset | Net | Net | Portfolio | ||||||||||||||||||||
value, | Total | Total | investment | assets, end | turnover | ||||||||||||||||||
end of | return(b) | expenses | income | of period | rate | ||||||||||||||||||
period | (%) | (%) | (%) | (000) | (%) | ||||||||||||||||||
$ | 7.98 | (1.16 | )(d) | 0.78 | (g) | 4.05 | (g) | $ | 4,676,819 | 58 | (d) | ||||||||||||
8.25 | 9.21 | 0.81 | 4.10 | 4,491,809 | 113 | ||||||||||||||||||
7.93 | 12.35 | 0.81 | 4.57 | 4,263,801 | 119 | ||||||||||||||||||
7.40 | (1.74 | ) | 0.82 | 4.10 | 4,183,669 | 119 | |||||||||||||||||
7.93 | 4.51 | 0.86 | 4.50 | 4,524,711 | 88 | ||||||||||||||||||
8.15 | 7.78 | 0.96 | 5.16 | 4,784,258 | 43 | ||||||||||||||||||
8.01 | (1.34 | )(d) | 1.42 | (g) | 3.42 | (g) | 1,477,046 | 58 | (d) | ||||||||||||||
8.27 | 8.52 | 1.43 | 3.49 | 1,872,830 | 113 | ||||||||||||||||||
7.95 | 11.63 | 1.44 | 3.95 | 1,892,905 | 119 | ||||||||||||||||||
7.42 | (2.35 | ) | 1.46 | 3.48 | 1,882,589 | 119 | |||||||||||||||||
7.95 | 3.85 | 1.50 | 3.86 | 2,082,896 | 88 | ||||||||||||||||||
8.17 | 7.08 | 1.61 | 4.52 | 1,986,431 | 43 | ||||||||||||||||||
7.97 | (1.12 | )(d) | 0.68 | (g) | 4.14 | (g) | 4,239,204 | 58 | (d) | ||||||||||||||
8.24 | 9.32 | 0.71 | 4.16 | 3,793,021 | 113 | ||||||||||||||||||
7.92 | 12.46 | 0.71 | 4.65 | 2,607,811 | 119 | ||||||||||||||||||
7.39 | (1.53 | ) | 0.72 | 4.20 | 1,893,642 | 119 | |||||||||||||||||
7.91 | 4.53 | 0.72 | 4.59 | 1,817,781 | 88 | ||||||||||||||||||
8.14 | 8.05 | 0.71 | 5.40 | 1,118,411 | 43 | ||||||||||||||||||
7.95 | (0.93 | )(d) | 0.51 | (g) | 4.36 | (g) | 1,394,271 | 58 | (d) | ||||||||||||||
8.21 | 6.55 | (d) | 0.53 | (g) | 4.06 | (g) | 1,093,748 | 113 | (d) | ||||||||||||||
7.94 | (1.09 | )(d) | 0.58 | (g) | 4.24 | (g) | 1,081,468 | 58 | (d) | ||||||||||||||
8.21 | 9.44 | 0.61 | 4.25 | 1,039,534 | 113 | ||||||||||||||||||
7.89 | 12.62 | 0.61 | 4.77 | 450,661 | 119 | ||||||||||||||||||
7.36 | (1.59 | ) | 0.62 | 4.28 | 382,854 | 119 | |||||||||||||||||
7.89 | 4.76 | 0.62 | 4.68 | 393,851 | 88 | ||||||||||||||||||
8.11 | 8.16 | 0.61 | 5.48 | 345,614 | 43 | ||||||||||||||||||
8.17 | (1.13 | )(d) | 0.86 | (g) | 3.96 | (g) | 20,006 | 58 | (d) | ||||||||||||||
8.44 | 9.18 | 0.86 | 4.07 | 32,370 | 113 | ||||||||||||||||||
8.11 | 12.27 | 0.87 | 4.53 | 36,825 | 119 | ||||||||||||||||||
7.57 | (1.66 | ) | 0.87 | 4.06 | 35,632 | 119 | |||||||||||||||||
8.10 | 4.39 | 0.87 | 4.51 | 44,078 | 88 | ||||||||||||||||||
8.33 | 7.92 | 0.91 | 5.23 | 79,051 | 43 |
See Notes to Financial Statements. | 55 |
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 R2 | ||||||||||||||||||||||||||||
6/30/2018(c) | $ | 8.25 | $ | 0.15 | $ | (0.25 | ) | $ | (0.10 | ) | $ | (0.16 | ) | $ | – | $ | (0.16 | ) | ||||||||||
12/31/2017 | 7.93 | 0.30 | 0.39 | 0.69 | (0.32 | ) | (0.05 | ) | (0.37 | ) | ||||||||||||||||||
12/31/2016 | 7.40 | 0.31 | 0.55 | 0.86 | (0.33 | ) | – | (0.33 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
6/30/2018(c) | 8.24 | 0.15 | (0.26 | ) | (0.11 | ) | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||
12/31/2017 | 7.92 | 0.31 | 0.38 | 0.69 | (0.32 | ) | (0.05 | ) | (0.37 | ) | ||||||||||||||||||
12/31/2016 | 7.39 | 0.32 | 0.55 | 0.87 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
6/30/2018(c) | 8.25 | 0.16 | (0.25 | ) | (0.09 | ) | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||
12/31/2017 | 7.93 | 0.33 | 0.38 | 0.71 | (0.34 | ) | (0.05 | ) | (0.39 | ) | ||||||||||||||||||
12/31/2016 | 7.40 | 0.34 | 0.55 | 0.89 | (0.36 | ) | – | (0.36 | ) | |||||||||||||||||||
6/30/2015 to 12/31/2015(h) | 7.99 | 0.16 | (0.52 | ) | (0.36 | ) | (0.17 | ) | (0.06 | ) | (0.23 | ) | ||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
6/30/2018(c) | 8.21 | 0.17 | (0.25 | ) | (0.08 | ) | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||
12/31/2017 | 7.86 | 0.35 | 0.41 | 0.76 | (0.36 | ) | (0.05 | ) | (0.41 | ) | ||||||||||||||||||
12/31/2016 | 7.36 | 0.21 | 0.67 | 0.88 | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||||
6/30/2015 to 12/31/2015(h) | 7.95 | 0.17 | (0.52 | ) | (0.35 | ) | (0.18 | ) | (0.06 | ) | (0.24 | ) | ||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
6/30/2018(c) | 8.21 | 0.17 | (0.25 | ) | (0.08 | ) | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||
12/31/2017 | 7.89 | 0.35 | 0.39 | 0.74 | (0.37 | ) | (0.05 | ) | (0.42 | ) | ||||||||||||||||||
12/31/2016 | 7.37 | 0.37 | 0.53 | 0.90 | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||||
6/30/2015 to 12/31/2015(h) | 7.95 | 0.17 | (0.51 | ) | (0.34 | ) | (0.18 | ) | (0.06 | ) | (0.24 | ) | ||||||||||||||||
Class T | ||||||||||||||||||||||||||||
6/30/2018(c) | 8.25 | 0.16 | (0.25 | ) | (0.09 | ) | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||
7/28/2017 to 12/31/2017(i) | 8.21 | 0.14 | 0.09 | 0.23 | (0.14 | ) | (0.05 | ) | (0.19 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A, C and T 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 less than $0.01. |
(f) | Commenced on April 4, 2017. |
(g) | Annualized. |
(h) | Commenced on June 30, 2015. |
(i) | Commenced on July 28, 2017. |
56 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | ||||||||||||||||||||||
Net | |||||||||||||||||||||||
asset | Net | Net | Portfolio | ||||||||||||||||||||
value, | Total | Total | investment | assets, end | turnover | ||||||||||||||||||
end of | return(b) | expenses | income | of period | rate | ||||||||||||||||||
period | (%) | (%) | (%) | (000) | (%) | ||||||||||||||||||
$ | 7.99 | (1.24 | )(d) | 1.19 | (g) | 3.66 | (g) | $ | 6,823 | 58 | (d) | ||||||||||||
8.25 | 8.78 | 1.21 | 3.68 | �� | 9,066 | 113 | |||||||||||||||||
7.93 | 11.91 | 1.21 | 4.05 | 5,324 | 119 | ||||||||||||||||||
7.40 | (2.13 | ) | 1.22 | 3.71 | 4,075 | 119 | |||||||||||||||||
7.93 | 4.15 | 1.22 | 4.13 | 4,557 | 88 | ||||||||||||||||||
8.15 | 7.52 | 1.21 | 4.92 | 3,442 | 43 | ||||||||||||||||||
7.97 | (1.31 | )(d) | 1.08 | (g) | 3.76 | (g) | 152,053 | 58 | (d) | ||||||||||||||
8.24 | 8.90 | 1.10 | 3.80 | 151,842 | 113 | ||||||||||||||||||
7.92 | 12.03 | 1.11 | 4.19 | 128,317 | 119 | ||||||||||||||||||
7.39 | (1.91 | ) | 1.12 | 3.82 | 107,581 | 119 | |||||||||||||||||
7.91 | 4.13 | 1.10 | 4.24 | 111,368 | 88 | ||||||||||||||||||
8.14 | 7.63 | 1.11 | 5.01 | 85,119 | 43 | ||||||||||||||||||
7.99 | (1.06 | )(d) | 0.83 | (g) | 4.01 | (g) | 13,227 | 58 | (d) | ||||||||||||||
8.25 | 9.16 | 0.86 | 3.98 | 8,420 | 113 | ||||||||||||||||||
7.93 | 12.29 | 0.86 | 4.40 | 2,072 | 119 | ||||||||||||||||||
7.40 | (4.59 | )(d) | 0.87 | (g) | 4.27 | (g) | 207 | 119 | |||||||||||||||
7.95 | (0.96 | )(d) | 0.58 | (g) | 4.26 | (g) | 31,082 | 58 | (d) | ||||||||||||||
8.21 | 9.46 | 0.61 | 4.29 | 27,302 | 113 | ||||||||||||||||||
7.86 | 12.62 | 0.61 | 2.70 | 386 | 119 | ||||||||||||||||||
7.36 | (4.50 | )(d) | 0.62 | (g) | 4.39 | (g) | 10 | 119 | |||||||||||||||
7.95 | (0.92 | )(d) | 0.51 | (g) | 4.32 | (g) | 120,244 | 58 | (d) | ||||||||||||||
8.21 | 9.54 | 0.52 | 4.31 | 69,028 | 113 | ||||||||||||||||||
7.89 | 12.56 | 0.53 | 4.83 | 15,346 | 119 | ||||||||||||||||||
7.37 | (4.36 | )(d) | 0.54 | (g) | 4.49 | (g) | 10,994 | 119 | |||||||||||||||
7.98 | (1.16 | )(d) | 0.75 | (g) | 3.98 | (g) | 10 | 58 | (d) | ||||||||||||||
8.25 | 2.85 | (d) | 0.74 | (g) | 3.94 | (g) | 10 | 113 |
See Notes to Financial Statements. | 57 |
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 twelve active classes of shares: Class A, C, F, F3, I, P, R2, R3, R4, R5, R6 and T, each with different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A and T shares. There is no front-end sales charge in the case of Class C, F, F3, 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 C shares redeemed before the first anniversary of purchase. Effective April 30, 2018, Class C shares will convert automatically into Class A shares on the 25th day of the month (or, if the 25th is not a business day, the next business day thereafter) following the tenth anniversary of the month on which the purchase order was accepted. The Fund’s Class P shares are closed to substantially all investors, with certain exceptions as set forth in the Fund’s prospectus. On April 25, 2018, the Fund’s remaining Class B shares converted to Class A shares.
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
58
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 quoted 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 may employ 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, 2014 through December 31, 2017. 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, R4 and T shares bear their class-specific share of all expenses and fees relating to the Fund’s 12b-1 Distribution Plan. |
59
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), if applicable, is included in Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions, if applicable, are included in Net realized gain (loss) on foreign currency related transactions on the Fund’s Statement of Operations. The Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities. |
The Fund uses foreign currency exchange contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
(g) | Forward Foreign Currency Exchange Contracts–The Fund may enter into forward foreign currency exchange contracts in order to reduce exposure to changes in foreign currency exchange rates on foreign portfolio holdings, or gain or reduce exposure to foreign currency solely for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on foreign currency exchange contracts on the Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included in Net realized loss on foreign currency exchange contracts on 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, 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.
60
Notes to Financial Statements (unaudited)(continued)
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.
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. For the centrally cleared credit default swaps, there was minimal counterparty risk to the Fund, since such credit default swaps entered into were traded through a central clearinghouse, which guarantees against default.
(j) | Mortgage Dollar Rolls–The Fund may enter into mortgage dollar rolls in which a Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. During the roll period, the Fund loses the right to receive principal (including prepayments of principal) and interest paid on the securities sold. |
(k) | 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 |
61
Notes to Financial Statements (unaudited)(continued)
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.
(l) | 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. |
(m) | 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. |
(n) | Reverse Repurchase Agreements–The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells a security to a securities dealer or bank for cash and also agrees to repurchase the same security later at a set price. Reverse repurchase agreements expose the Fund to credit risk (that is, the risk that the counterparty will fail to resell the security to the Fund). Engaging in reverse repurchase agreements also may involve the use of leverage, in that the Fund may reinvest the cash it receives in additional securities. Reverse repurchase agreements involve the risk that the market value of the securities to be repurchased by the Fund may decline below the repurchase price. |
For the six months ended June 30, 2018, the average interest rate paid, the amount of interest paid and the average principal amount for the days borrowed in the period were as follows:
Average | ||
Interest | Interest | Amount |
Rate | Expense | Borrowed |
6.00% | $26,765 | $1,867,331 |
(o) | 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 |
62
Notes to Financial Statements (unaudited)(continued)
or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent typically administers and enforces the loan on behalf of the other Loan Investors in the syndicate and may hold any collateral on behalf of the Loan Investors. Such loan participations and assignments are typically senior, secured and collateralized in nature. The Fund records an investment when the Borrower withdraws money and records interest as earned. These loans pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or London InterBank Offered Rate (“LIBOR”).
The loans in which the Fund invests may be subject to some restrictions on resale. For example, the Fund may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the Borrower. As a result, the Fund assumes the credit risk of the Borrower, the selling participant and any other persons interpositioned between the Fund and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, the Fund may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest.
Unfunded commitments represent the remaining obligation of the Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statement of Assets and Liabilities. Unrealized appreciation/ depreciation on unfunded commitments if any on the Statement of Assets and Liabilities represents mark to market of the unfunded portion of the Fund’s floating rate notes. As of June 30, 2018 the Fund had the following unfunded loan commitments:
Centene Corp. Bridge Term Loan | $ | 34,160,000 | ||
Energizer Holdings, Inc. Bridge Term Loan | 10,441,000 | |||
Gibson Brands, Inc. Term Loan | 5,792,339 | |||
Mavis Tire Express Services Corp. Delayed Draw Term Loan | 3,436,060 | |||
Wand Merger Corp. Bridge Term Loan A | 11,290,909 | |||
Wand Merger Corp. Bridge Term Loan B | 11,290,909 | |||
Wand Merger Corp. Bridge Term Loan C | 8,468,182 | |||
Total | $ | 84,879,399 |
(p) | 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. |
63
Notes to Financial Statements (unaudited)(continued)
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, 2018 and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the six months then ended is included in the Fund’s Schedule of Investments.
Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
Management Fee
The Fund has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies the Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of the Fund’s investment portfolio.
The management fee is based on the Fund’s average daily net assets at the following annual rate:
First $500 million | .50% |
Next $9.5 billion | .45% |
Over $10 billion | .40% |
For the six months ended June 30, 2018, the effective management fee was at an annualized rate of .44% 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, R4 and T 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 | Class T | |||||||||
Service | .15% | .25% | .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. |
64
Notes to Financial Statements (unaudited)(continued)
(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 F3, 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, 2018:
Distributor | Dealers’ |
Commissions | Concessions |
$285,989 | $1,816,974 |
Distributor received CDSCs of $59,483 and $90,978 for Class A and Class C shares, respectively, for the six months ended June 30, 2018.
One Director and certain of the Fund’s officers have an interest in Lord Abbett.
4. | DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS |
Dividends from net investment income, if any, are declared daily and paid monthly. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. 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, 2018 and fiscal year ended December 31, 2017 were as follows:
Six Months Ended 6/30/2018 (unaudited) | Year Ended 12/31/2017 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 278,722,802 | $ | 532,570,486 | ||||
Total distributions paid | $ | 278,722,802 | $ | 532,570,486 |
As of June 30, 2018, the aggregate unrealized security gains and losses on investments and other financial instruments based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 13,728,002,281 | ||
Gross unrealized gain | 383,832,993 | |||
Gross unrealized loss | (418,745,456 | ) | ||
Net unrealized security loss | $ | (34,912,463 | ) |
65
Notes to Financial Statements (unaudited)(continued)
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of amortization of premium, certain securities, futures, swaps, forward currency contracts, and wash sales.
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2018 were as follows:
U.S. | Non-U.S. | U.S. | Non-U.S. | |||||||
Government | Government | Government | Government | |||||||
Purchases* | Purchases | Sales* | Sales | |||||||
$1,378,946,591 | $7,657,228,909 | $1,194,043,543 | $6,255,848,532 |
* | Includes U.S. Government sponsored enterprises securities. |
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 six months ended June 30, 2018, the Fund engaged in cross-trades purchases of $5,414,628 and sales of $63,983,790, which resulted in net realized gains of $1,639,637.
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
The Fund entered into forward foreign currency exchange contracts for the six months ended June 30, 2018 (as described in note 2(g)). A forward foreign currency exchange contract reduces the Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. The Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and the Fund’s returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. The Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts.
The Fund entered into U.S. Treasury futures contracts for the six months ended June 30, 2018 (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, 2018 (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. For the centrally cleared credit default swaps,
66
Notes to Financial Statements (unaudited)(continued)
there is minimal counterparty credit risk to the Fund since these credit default swaps are traded through a central clearinghouse. As a counterparty to all centrally cleared credit default swaps, the clearinghouse guarantees credit default swaps against default.
As of June 30, 2018, the Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Fund’s use of derivative instruments:
Foreign | ||||||||||||
Interest Rate | Currency | Credit | ||||||||||
Asset Derivatives | Contracts | Contracts | Contracts | |||||||||
Centrally Cleared Credit Default Swap Contracts(1) | $ | – | $ | – | $ | 5,508,985 | ||||||
Forward Foreign Currency Exchange Contracts(2) | $ | – | $ | 12,006,816 | $ | – | ||||||
Futures Contracts(3) | $ | 2,642,659 | $ | – | $ | – | ||||||
Liability Derivatives | ||||||||||||
Centrally Cleared Credit Default Swap Contracts(1) | $ | – | $ | – | $ | 6,880,520 | ||||||
Credit Default Swap Contracts(4) | $ | – | $ | – | $ | 31,864,992 | ||||||
Futures Contracts(3) | $ | 24,288,375 | $ | – | $ | – | ||||||
Forward Foreign Currency Exchange Contracts(5) | $ | – | $ | 723,366 | $ | – |
(1) | Statement of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of centrally cleared swap contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
(2) | Statement of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
(3) | Statement of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
(4) | Statement of Assets and Liabilities location: Credit default swap agreements payable, at fair value. |
(5) | Statement of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
Transactions in derivative instruments for the six months ended June 30, 2018, were as follows:
Foreign | ||||||||||||
Interest Rate | Currency | Credit | ||||||||||
Contracts | Contracts | Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swaps Contracts(1) | – | – | $ | (3,585,174 | ) | |||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (5,117,055 | ) | – | |||||||
Futures Contracts(3) | $ | 58,310,267 | – | – | ||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swaps Contracts(4) | – | – | $ | 5,332,034 | ||||||||
Forward Foreign Currency Exchange Contracts(5) | – | $ | 14,779,852 | – | ||||||||
Futures Contracts(6) | $ | (17,304,993 | ) | – | – | |||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swap Contracts(7) | – | – | $ | 1,836,237,584 | ||||||||
Forward Foreign Currency Exchange Contracts(7) | – | $ | 405,002,628 | – | ||||||||
Futures Contracts(8) | 35,728 | – | – |
* | Calculated based on the number of contracts or notional amounts for the six months ended June 30, 2018. |
(1) | Statements of Operations location: Net realized loss on swap contracts. |
(2) | Statements of Operations location: Net realized loss on foreign currency exchange contracts. |
(3) | Statements of Operations location: Net realized gain on futures contracts. |
(4) | Statements of Operations location: Net change in unrealized appreciation/depreciation on swap contracts. |
(5) | Statements of Operations location: Net change in unrealized appreciation/depreciation on foreign currency exchange contracts. |
(6) | Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts. |
(7) | Amount represents notional amounts in U.S. dollars. |
(8) | Amount represents number of contracts. |
67
Notes to Financial Statements (unaudited)(continued)
7. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board (“FASB”) requires disclosures intended 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:
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 | $ | 12,006,816 | $ | – | $ | 12,006,816 | ||||||
Repurchase Agreements | 181,555,868 | – | 181,555,868 | |||||||||
Total | $ | 193,562,684 | $ | – | $ | 193,562,684 |
Net Amounts | ||||||||||||||||||||
of Assets | Amounts Not Offset in the | |||||||||||||||||||
Presented in | Statement of Assets and Liabilities | |||||||||||||||||||
the Statement | Cash | Securities | ||||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | ||||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | |||||||||||||||
Bank of America | $ | 40,850 | $ | – | $ | (40,850 | ) | $ | – | $ | – | |||||||||
Citibank | 1,230,368 | (57,606 | ) | – | – | 1,172,762 | ||||||||||||||
Deutsche Bank AG | 1,019,878 | (1,019,878 | ) | – | – | – | ||||||||||||||
Fixed Income Clearing Corp. | 181,555,868 | – | – | (181,555,868 | ) | – | ||||||||||||||
Goldman Sachs | 268,555 | (268,555 | ) | – | – | – | ||||||||||||||
J.P. Morgan Chase | 778,134 | (778,134 | ) | – | – | – | ||||||||||||||
State Street Bank and Trust | 8,484,250 | (31,219 | ) | – | (8,453,031 | ) | – | |||||||||||||
Toronto-Dominion Bank | 27,026 | – | – | – | 27,026 | |||||||||||||||
UBS AG | 157,755 | – | – | – | 157,755 | |||||||||||||||
Total | $ | 193,562,684 | $ | (2,155,392 | ) | $ | (40,850 | ) | $ | (190,008,899 | ) | $ | 1,357,543 |
68
Notes to Financial Statements (unaudited)(continued)
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 | |||||||||
Credit Default Swaps Contracts | $ | 31,864,992 | $ | – | $ | 31,864,992 | ||||||
Forward Foreign Currency Exchange Contracts | 723,366 | – | 723,366 | |||||||||
Reverse Repurchase Agreement | 1,840,566 | – | 1,840,566 | |||||||||
Total | $ | 34,428,924 | $ | – | $ | 34,428,924 |
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) | |||||||||||||||
Citibank | $ | 57,606 | $ | (57,606 | ) | $ | – | $ | – | $ | – | |||||||||
Credit Suisse | 6,920,363 | – | (6,920,363 | ) | – | – | ||||||||||||||
Deutsche Bank AG | 5,627,925 | (1,019,878 | ) | (4,608,047 | ) | – | – | |||||||||||||
Goldman Sachs | 3,474,335 | (268,555 | ) | (3,205,780 | ) | – | – | |||||||||||||
J.P. Morgan Chase | 2,195,125 | (778,134 | ) | – | (1,416,991 | ) | – | |||||||||||||
Morgan Stanley | 15,991,698 | – | (15,991,698 | ) | – | – | ||||||||||||||
Standard Chartered Bank | 130,653 | – | – | – | 130,653 | |||||||||||||||
State Street Bank and Trust | 31,219 | (31,219 | ) | – | – | – | ||||||||||||||
Total | $ | 34,428,924 | $ | (2,155,392 | ) | $ | (30,725,888 | ) | $ | (1,416,991 | ) | $ | 130,653 |
(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, 2018. |
(c) | Net amount represents the amount owed by the Fund to the counterparty as of June 30, 2018. |
8. | DIRECTORS’ REMUNERATION |
The Fund’s officers and One Director, who are associated with Lord Abbett, do not receive any compensation from the Fund for serving in such capacities. Independent Directors’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of the fund. There is an equity-based plan available to all Independent Directors under which Independent Directors must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Directors’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Directors’ fees on the Statement of Operations and in Directors’ fees payable on the Statement of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
9. | EXPENSE REDUCTIONS |
The Fund has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of the Fund’s expenses.
10. | LINE OF CREDIT |
During the six months ended June 30, 2018, the Fund and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) participated in a syndicated line of credit facility with various lenders for $600 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
69
Notes to Financial Statements (unaudited)(continued)
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. During the six months ended June 30, 2018, the Fund did not utilize the Facility.
Effective August 9, 2018, the Participating Funds entered into an amended syndicated line of credit facility with various lenders for $1.06 billion (the “Syndicated Facility”), whereas SSB participates as a lender and as agent for the lenders. Under the Syndicated Facility, 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, $350 million, or $1 billion, based on past borrowings and likelihood of future borrowings. Also effective August 9, 2018, the Participating Funds entered into an additional line of credit facility with SSB for $250 million (the “Bilateral Facility,” and together with the Syndicated Facility, the “Facilities”). Under the Bilateral Facility, each Participating Fund may borrow up to the lesser of $250 million or one-third of Fund assets. The Facilities are to be used for temporary or emergency purposes to satisfy redemption requests and manage liquidity.
11. | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the U.S. Securities and Exchange Commission (“SEC exemptive order”), certain registered open-end management investment companies managed by Lord Abbett, including the Fund, participate in a joint lending and borrowing program (the “Interfund Lending Program”). The SEC exemptive order allows the Funds to borrow money from and lend money to each other for temporary or emergency purposes subject to the limitations and conditions.
During the six months ended June 30, 2018, the Fund did not participate as a borrower or lender in the Interfund Lending Program.
12. | 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.
13. | INVESTMENT RISKS |
The Fund is subject to the general risks and considerations associated with investing in debt securities and to the changing prospects of individual companies and/or sectors in which the Fund invests. The value of an investment will change as interest rates fluctuate and in response to market movements. When interest rates rise, the prices of debt securities are likely to decline; when rates fall, such prices tend to rise. Longer-term debt securities are usually more sensitive to interest rate changes. There is also the risk that an issuer of a debt security will fail to make timely payments of principal or interest to the Fund, a risk that is greater with high-yield securities (sometimes called “lower-rated bonds” or “junk bonds”), in which the Fund may substantially invest. Some issuers, particularly of high-yield securities, may default as to principal and/or interest payments after the Fund purchases its securities. A default, or concerns in the market about an increase in risk of default, may result in losses to the Fund. High-yield securities are subject to greater price fluctuations, as well as additional risks. The market for below investment grade securities may be less liquid, which may make such securities more difficult to sell at an acceptable price, especially during periods of financial distress, increased market volatility, or significant market decline.
70
Notes to Financial Statements (unaudited)(continued)
The Fund is subject to the risk of investing in securities issued or guaranteed by the U.S. Government or its agencies and instrumentalities (such as the Government National Mortgage Association (“Ginnie Mae”), the Federal National Mortgage Association (“Fannie Mae”), or the Federal Home Loan Mortgage Corporation (“Freddie Mac”)). Unlike Ginnie Mae securities, securities issued or guaranteed by U.S. Government-related organizations such as Fannie Mae and Freddie Mac are not backed by the full faith and credit of the U.S. Government and no assurance can be given that the U.S. Government would provide financial support to its agencies and instrumentalities if not required to do so by law. Consequently, the Fund may be required to look principally to the agency issuing or guaranteeing the obligation.
The mortgage-related and asset-backed 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, the Fund may invest in non-agency asset backed and mortgage related securities, which are issued by private institutions, not by government-sponsored enterprises.
The Fund may invest up to 20% of its net assets in equity securities, the value of which fluctuates in response to movements in the equity securities markets in general, the changing prospects of individual companies in which the Fund invests, or an individual company’s financial condition.
The Fund may invest in convertible securities, which have both equity and fixed income risk characteristics, including market, credit, liquidity, and interest rate risks. 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 the 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, industry and sector, liquidity, currency, political, information, and other risks. The securities of foreign companies also may be subject to inadequate exchange control regulations, the imposition of economic sanctions or other government restrictions, higher transaction and other costs, and delays in settlement to the extent they are traded on non-U.S. exchanges or markets.
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. Losses may also arise from the failure of a derivative counterparty to meet its contractual
71
Notes to Financial Statements (unaudited)(continued)
obligations. 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. The senior loans in which the Fund invests may consist primarily of senior loans that are rated below investment grade or, if unrated, deemed by Lord Abbett to be equivalent to below investment grade securities. Below investment grade senior loans, as in the case of high-yield debt securities, or junk bonds, are usually more credit sensitive than interest rate sensitive, although the value of these instruments may be impacted by broader interest rate swings in the overall fixed income market. In addition, senior loans may be subject to structural subordination.
These factors can affect the Fund’s performance.
14. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of beneficial interest were as follows:
Six Months Ended | ||||||||||||||||
June 30, 2018 | Year Ended | |||||||||||||||
(unaudited | ) | December 31, 2017 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 51,032,772 | $ | 416,157,369 | 130,421,720 | $ | 1,062,666,423 | ||||||||||
Converted from Class B* | 710,046 | 5,827,360 | 5,005,101 | 40,753,976 | ||||||||||||
Converted from Class C** | 39,473,974 | 317,741,129 | – | – | ||||||||||||
Reinvestment of distributions | 11,021,424 | 89,217,565 | 23,671,425 | 193,498,676 | ||||||||||||
Shares reacquired | (60,955,332 | ) | (495,574,801 | ) | (152,458,116 | ) | (1,239,565,300 | ) | ||||||||
Increase | 41,282,884 | $ | 333,368,622 | 6,640,130 | $ | 57,353,775 | ||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 349 | $ | 2,898 | 157,434 | $ | 1,272,177 | ||||||||||
Reinvestment of distributions | 3,780 | 31,162 | 109,093 | 889,855 | ||||||||||||
Shares reacquired | (100,456 | ) | (822,839 | ) | (966,972 | ) | (7,862,216 | ) | ||||||||
Converted to Class A* | (707,811 | ) | (5,827,360 | ) | (4,987,084 | ) | (40,753,976 | ) | ||||||||
Decrease | (804,138 | ) | $ | (6,616,139 | ) | (5,687,529 | ) | $ | (46,454,160 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 18,888,012 | $ | 154,459,982 | 41,611,419 | $ | 340,570,323 | ||||||||||
Reinvestment of distributions | 3,642,851 | 29,587,178 | 8,313,336 | 68,129,835 | ||||||||||||
Shares reacquired | (25,073,652 | ) | (204,416,331 | ) | (61,659,318 | ) | (502,939,276 | ) | ||||||||
Converted to Class A** | (39,376,137 | ) | (317,741,129 | ) | – | – | ||||||||||
Decrease | (41,918,926 | ) | $ | (338,110,300 | ) | (11,734,563 | ) | $ | (94,239,118 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 143,047,032 | $ | 1,164,474,728 | 376,928,985 | $ | 3,064,862,711 | ||||||||||
Reinvestment of distributions | 8,662,318 | 70,000,043 | 17,965,603 | 146,757,467 | ||||||||||||
Shares reacquired | (80,424,059 | ) | (652,508,184 | ) | (263,911,211 | ) | (2,168,609,611 | ) | ||||||||
Increase | 71,285,291 | $ | 581,966,587 | 130,983,377 | $ | 1,043,010,567 |
72
Notes to Financial Statements (unaudited)(continued)
Six Months Ended | ||||||||||||||||
June 30, 2018 | Year Ended | |||||||||||||||
(unaudited | ) | December 31, 2017 | ||||||||||||||
Class F3 Shares(a) | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 50,605,882 | $ | 410,024,045 | 134,987,915 | $ | 1,110,817,647 | ||||||||||
Reinvestment of distributions | 3,551,260 | 28,596,812 | 2,005,568 | 16,481,862 | ||||||||||||
Shares reacquired | (11,914,224 | ) | (96,302,393 | ) | (3,822,127 | ) | (31,457,352 | ) | ||||||||
Increase | 42,242,918 | $ | 342,318,464 | 133,171,356 | $ | 1,095,842,157 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 30,349,498 | $ | 246,103,849 | 86,548,200 | $ | 710,918,084 | ||||||||||
Reinvestment of distributions | 2,782,374 | 22,400,245 | 3,413,127 | 27,821,715 | ||||||||||||
Shares reacquired | (23,637,061 | ) | (191,198,899 | ) | (20,418,964 | ) | (166,070,091 | ) | ||||||||
Increase | 9,494,811 | $ | 77,305,195 | 69,542,363 | $ | 572,669,708 | ||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 142,172 | $ | 1,185,614 | 567,197 | $ | 4,718,360 | ||||||||||
Reinvestment of distributions | 58,030 | 481,591 | 204,932 | 1,711,749 | ||||||||||||
Shares reacquired | (1,586,724 | ) | (13,339,574 | ) | (1,478,406 | ) | (12,360,600 | ) | ||||||||
Decrease | (1,386,522 | ) | $ | (11,672,369 | ) | (706,277 | ) | $ | (5,930,491 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 257,824 | $ | 2,100,785 | 716,109 | $ | 5,790,307 | ||||||||||
Reinvestment of distributions | 11,628 | 94,319 | 24,247 | 198,610 | ||||||||||||
Shares reacquired | (513,978 | ) | (4,159,667 | ) | (313,038 | ) | (2,547,617 | ) | ||||||||
Increase (decrease) | (244,526 | ) | $ | (1,964,563 | ) | 427,318 | $ | 3,441,300 | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 2,535,733 | $ | 20,579,721 | 6,926,590 | $ | 56,141,762 | ||||||||||
Reinvestment of distributions | 369,106 | 2,983,736 | 784,980 | 6,408,309 | ||||||||||||
Shares reacquired | (2,265,648 | ) | (18,503,405 | ) | (5,488,388 | ) | (44,396,572 | ) | ||||||||
Increase | 639,191 | $ | 5,060,052 | 2,223,182 | $ | 18,153,499 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 825,577 | $ | 6,719,317 | 931,435 | $ | 7,342,108 | ||||||||||
Reinvestment of distributions | 21,544 | 174,173 | 19,728 | 161,790 | ||||||||||||
Shares reacquired | (211,362 | ) | (1,716,288 | ) | (192,083 | ) | (1,554,649 | ) | ||||||||
Increase | 635,759 | $ | 5,177,202 | 759,080 | $ | 5,949,249 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 1,111,004 | $ | 9,023,896 | 3,759,364 | $ | 30,034,372 | ||||||||||
Reinvestment of distributions | 81,140 | 653,819 | 148,299 | 1,207,888 | ||||||||||||
Shares reacquired | (606,201 | ) | (4,931,282 | ) | (633,158 | ) | (5,143,854 | ) | ||||||||
Increase | 585,943 | $ | 4,746,433 | 3,274,505 | $ | 26,098,406 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 8,851,429 | $ | 71,581,052 | 7,495,631 | $ | 60,862,794 | ||||||||||
Reinvestment of distributions | 195,981 | 1,575,929 | 174,435 | 1,423,439 | ||||||||||||
Shares reacquired | (2,323,474 | ) | (18,838,187 | ) | (1,208,481 | ) | (9,776,672 | ) | ||||||||
Increase | 6,723,936 | $ | 54,318,794 | 6,461,585 | $ | 52,509,561 |
73
Notes to Financial Statements (unaudited)(concluded)
Six Months Ended | ||||||||||||||||
June 30, 2018 | Year Ended | |||||||||||||||
(unaudited | ) | December 31, 2017 | ||||||||||||||
Class T Shares(b) | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | – | $ | – | 1,218 | $ | 10,000 | ||||||||||
Reinvestment of distributions | 27 | 220 | 29 | 236 | ||||||||||||
Increase | 27 | $ | 220 | 1,247 | $ | 10,236 |
* | Automatic conversion of Class B shares occurred on the 25th day of the month (or, if the 25th day was not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. Class B shares were closed on April 25, 2018. |
** | Automatic conversion of Class C 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 tenth anniversary of the day on which the purchase order was accepted. |
(a) | Shares commenced on April 4, 2017. |
(b) | Shares commenced on July 28, 2017. |
74
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).
75
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 (08/18) |
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/ Douglas B. Sieg | |
Douglas B. Sieg | ||
President and Chief Executive Officer |
Date: August 28, 2018
By: | /s/ Bernard J. Grzelak | |
Bernard J. Grzelak | ||
Chief Financial Officer and Vice President |
Date: August 28, 2018
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/ Douglas B. Sieg | |
Douglas B. Sieg | ||
President and Chief Executive Officer |
Date: August 28, 2018
By: | /s/ Bernard J. Grzelak | |
Bernard J. Grzelak | ||
Chief Financial Officer and Vice President |
Date: August 28, 2018