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: (888) 522-2388
Date of fiscal year end: 12/31
Date of reporting period: 6/30/2020
Item 1: | Report(s) to Shareholders. |
LORD ABBETT
SEMIANNUAL REPORT
Lord Abbett
Bond Debenture Fund
For the six-month period ended June 30, 2020
Important Information on Paperless Delivery
Beginning in February 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer, investment advisor or bank. Instead, the reports will be made available on Lord Abbett’s website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. Shareholders who hold accounts directly with the Fund may elect to receive shareholder reports and other communications from the Fund electronically by signing into your Lord Abbett online account at lordabbett.com and selecting “Log In.” For further information, you may also contact the Fund at (800) 821-5129. Shareholders who hold accounts through a financial intermediary should contact them directly.
You may elect to receive all future reports in paper free of charge by contacting the Fund at (800) 821-5129. Your election to receive reports in paper will apply to all funds held with Lord Abbett. If your fund shares are held through a financial intermediary please contact them directly. Your election applies to all funds held with that intermediary.
Table of Contents
Lord Abbett Bond Debenture Fund
Semiannual Report
For the six-month period ended June 30, 2020
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, 2020. 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, 2020 through June 30, 2020).
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 1/1/20 – 6/30/20” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
For each class of the Fund, the second line of the table on the following page provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
2
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | ||||||
Account | Account | Paid During | ||||||
Value | Value | Period† | ||||||
1/1/20 - | ||||||||
1/1/20 | 6/30/20 | 6/30/20 | ||||||
Class A | ||||||||
Actual | $1,000.00 | $ | 970.00 | $3.82 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,020.98 | $3.92 | ||||
Class C | ||||||||
Actual | $1,000.00 | $ | 965.80 | $6.99 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,017.75 | $7.17 | ||||
Class F | ||||||||
Actual | $1,000.00 | $ | 970.30 | $3.33 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,021.48 | $3.42 | ||||
Class F3 | ||||||||
Actual | $1,000.00 | $ | 971.10 | $2.55 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,022.52 | $2.64 | ||||
Class I | ||||||||
Actual | $1,000.00 | $ | 970.60 | $2.89 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,021.93 | $2.97 | ||||
Class P | ||||||||
Actual | $1,000.00 | $ | 968.70 | $5.09 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,019.69 | $5.22 | ||||
Class R2 | ||||||||
Actual | $1,000.00 | $ | 968.10 | $5.82 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,018.95 | $5.97 | ||||
Class R3 | ||||||||
Actual | $1,000.00 | $ | 968.50 | $5.29 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,019.49 | $5.42 | ||||
Class R4 | ||||||||
Actual | $1,000.00 | $ | 968.60 | $4.06 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,020.74 | $4.17 | ||||
Class R5 | ||||||||
Actual | $1,000.00 | $ | 970.80 | $2.84 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,021.98 | $2.92 | ||||
Class R6 | ||||||||
Actual | $1,000.00 | $ | 971.00 | $2.50 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $ | 1,022.33 | $2.56 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.78% for Class A, 1.43% for Class C, 0.68% for Class F, 0.52% for Class F3, 0.59% for Class I, 1.04% for Class P, 1.19% for Class R2, 1.08% for Class R3, 0.83% for Class R4, 0.58% for Class R5 and 0.51% for Class R6) multiplied by the average account value over the period, multiplied by 182/366 (to reflect one-half year period). |
3
Portfolio Holdings Presented by Sector
June 30, 2020
Sector* | %** | |||
Asset Backed | 2.22 | % | ||
Automotive | 4.11 | % | ||
Banking | 5.20 | % | ||
Basic Industry | 5.52 | % | ||
Capital Goods | 3.89 | % | ||
Consumer Goods | 6.91 | % | ||
Electric | 0.00 | %(a) | ||
Energy | 9.87 | % | ||
Financial Services | 4.41 | % | ||
Foreign Government | 2.50 | % | ||
Health Care | 8.19 | % | ||
Information Technology | 0.11 | % | ||
Insurance | 2.05 | % | ||
Leisure | 4.47 | % | ||
Media | 4.87 | % | ||
Mortgage-Backed | 1.97 | % | ||
Municipal | 2.91 | % | ||
Real Estate | 1.13 | % | ||
Retail | 6.72 | % | ||
Technology & Electronics | 8.24 | % | ||
Telecommunications | 4.70 | % | ||
Transportation | 3.45 | % | ||
Utilities | 6.33 | % | ||
Repurchase Agreement | 0.15 | % | ||
Money Market Funds(b) | 0.08 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. | |
(a) | Amount represent less than 0.01%. | |
(b) | Securities were purchased with the cash collateral from loaned securities. |
4
Schedule of Investments (unaudited)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 98.10% | ||||||||||||
ASSET-BACKED SECURITIES 3.08% | ||||||||||||
Automobiles 0.18% | ||||||||||||
ACC Trust 2018-1 B† | 4.82% | 5/20/2021 | $ | 1,941 | $ | 1,944,102 | ||||||
ACC Trust 2018-1 C† | 6.81% | 2/21/2023 | 5,140 | 5,126,567 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-B A3 | 3.21% | 9/15/2021 | 4,214 | 4,247,471 | ||||||||
Mercedes-Benz Auto Lease Trust 2019-A A3 | 3.10% | 11/15/2021 | 11,186 | 11,295,815 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A B† | 2.32% | 6/15/2022 | 8,695 | 8,720,861 | ||||||||
Total | 31,334,816 | |||||||||||
Credit Cards 0.10% | ||||||||||||
Perimeter Master Note Business Trust 2019-2A A† | 4.23% | 5/15/2024 | 16,717 | 16,866,116 | (a) | |||||||
Other 2.80% | ||||||||||||
Ally Master Owner Trust 2018-3 A | 0.505% (1 Mo. LIBOR + .32% | )# | 7/15/2022 | 9,440 | 9,443,200 | |||||||
AMMC CLO XII Ltd. 2013-12A DR† | 3.148% (3 Mo. LIBOR + 2.70% | )# | 11/10/2030 | 3,859 | 3,334,070 | |||||||
Apex Credit CLO LLC 2017-2A B† | 2.156% (3 Mo. LIBOR + 1.85% | )# | 9/20/2029 | 7,197 | 6,796,348 | |||||||
Battalion CLO VII Ltd. 2014-7A CRR† | 4.065% (3 Mo. LIBOR + 2.93% | )# | 7/17/2028 | 1,831 | 1,686,670 | |||||||
Battalion CLO XV Ltd. 2019-16A B† | 3.903% (3 Mo. LIBOR + 2.00% | )# | 12/19/2032 | 23,286 | 22,840,345 | |||||||
Benefit Street Partners CLO XIX Ltd. 2019-19A B† | 3.878% (3 Mo. LIBOR + 2.00% | )# | 1/15/2033 | 7,922 | 7,752,501 | |||||||
Carlyle US CLO Ltd. 2019-4A B† | 4.259% (3 Mo. LIBOR + 2.70% | )# | 1/15/2033 | 15,609 | 15,400,125 | |||||||
Cedar Funding VI CLO Ltd. 2016-6A BR† | 2.735% (3 Mo. LIBOR + 1.60% | )# | 10/20/2028 | 2,600 | 2,503,823 | |||||||
Cedar Funding VI CLO Ltd. 2016-6A DR† | 4.135% (3 Mo. LIBOR + 3.00% | )# | 10/20/2028 | 7,699 | 7,111,663 | |||||||
Conn’s Receivables Funding LLC 2017-B C† | 5.95% | 11/15/2022 | 6,524 | 6,525,840 | ||||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 2.155% (3 Mo. LIBOR + 1.02% | )# | 4/20/2031 | 5,311 | 5,187,481 | |||||||
Greywolf CLO III Ltd. 2020-3RA A1R† | 2.388% (3 Mo. LIBOR + 1.29% | )# | 4/15/2033 | 20,101 | 19,568,396 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A CR† | 3.141% (3 Mo. LIBOR + 2.15% | )# | 7/25/2027 | 5,476 | 5,272,799 | (a) | ||||||
Halcyon Loan Advisors Funding Ltd. 2017-2A A2† | 2.835% (3 Mo. LIBOR + 1.70% | )# | 1/17/2030 | 9,320 | 9,060,939 |
See Notes to Financial Statements. | 5 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Harbor Park CLO Ltd. 2018-1A D† | 4.035% (3 Mo. LIBOR + 2.90% | )# | 1/20/2031 | $ | 4,560 | $ | 4,260,289 | |||||
Hardee’s Funding LLC 2018-1A A23† | 5.71% | 6/20/2048 | 2,749 | 2,764,236 | ||||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 37,612 | 37,280,703 | ||||||||
Jamestown CLO VII Ltd. 2015-7A BR† | 2.641% (3 Mo. LIBOR + 1.65% | )# | 7/25/2027 | 12,548 | 11,868,117 | |||||||
Kayne CLO 7 Ltd. 2020-7A A1† | 2.607% (3 Mo. LIBOR + 1.20% | )# | 4/17/2033 | 47,944 | 46,383,424 | |||||||
KKR CLO 9 Ltd. 9 B1R† | 2.969% (3 Mo. LIBOR + 1.75% | )# | 7/15/2030 | 6,340 | 6,122,591 | |||||||
KVK CLO Ltd. 2013-A BR† | 2.761% (3 Mo. LIBOR + 1.45% | )# | 1/14/2028 | 3,567 | 3,405,638 | |||||||
Marble Point CLO XVII Ltd. 2020-1A A† | 2.196% (3 Mo. LIBOR + 1.30% | )# | 4/20/2033 | 29,415 | 28,702,547 | |||||||
Marble Point CLO XVII Ltd. 2020-1A B† | 2.666% (3 Mo. LIBOR + 1.77% | )# | 4/20/2033 | 9,348 | 9,016,246 | |||||||
Mariner CLO Ltd. 2017-4A D† | 4.041% (3 Mo. LIBOR + 3.05% | )# | 10/26/2029 | 6,254 | 5,860,541 | |||||||
Mountain View CLO 2017-1A BR† | 2.926% (3 Mo. LIBOR + 1.75% | )# | 10/16/2029 | 11,046 | 10,740,486 | |||||||
Mountain View CLO X Ltd. 2015-10A BR† | 2.661% (3 Mo. LIBOR + 1.35% | )# | 10/13/2027 | 13,725 | 13,099,988 | |||||||
Northwoods Capital 20 Ltd. 2019-20A C† | 4.701% (3 Mo. LIBOR + 2.80% | )# | 1/25/2030 | 14,954 | 14,860,081 | |||||||
Octagon Investment Partners 29 Ltd. 2016-1A AR† | 2.20% (3 Mo. LIBOR + 1.18% | )# | 1/24/2033 | 15,000 | 14,499,342 | |||||||
OZLM Funding III Ltd. 2013-3A A2AR† | 3.048% (3 Mo. LIBOR + 1.95% | )# | 1/22/2029 | 15,000 | 14,690,562 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 2.269% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 9,660 | 9,406,557 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A B† | 2.619% (3 Mo. LIBOR + 1.40% | )# | 4/15/2026 | 5,069 | 4,836,614 | |||||||
Planet Fitness Master Issuer LLC 2018-1A A2I† | 4.262% | 9/5/2048 | 17,723 | 17,890,892 | ||||||||
Planet Fitness Master Issuer LLC 2018-1A A2II† | 4.666% | 9/5/2048 | 22,154 | 21,556,831 | ||||||||
Planet Fitness Master Issuer LLC 2019-1A A2† | 3.858% | 12/5/2049 | 15,166 | 13,129,798 | ||||||||
Regatta VI Funding Ltd. 2016-1A DR† | 3.835% (3 Mo. LIBOR + 2.70% | )# | 7/20/2028 | 2,216 | 2,089,181 | |||||||
Regatta XVI Funding Ltd. 2019-2A B† | 3.953% (3 Mo. LIBOR + 2.05% | )# | 1/15/2033 | 31,200 | 30,880,418 | |||||||
Sound Point CLO XI Ltd. 2016-1A DR† | 4.085% (3 Mo. LIBOR + 2.95% | )# | 7/20/2028 | 6,840 | 6,283,881 | |||||||
THL Credit Wind River CLO Ltd. 2018-3A D† | 4.085% (3 Mo. LIBOR + 2.95% | )# | 1/20/2031 | 1,264 | 1,127,092 |
6 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
West CLO Ltd. 2014-2A BR† | 2.926% (3 Mo. LIBOR + 1.75% | )# | 1/16/2027 | $ | 4,541 | $ | 4,406,846 | |||||
Wingstop Funding LLC 2018-1 A2† | 4.97% | 12/5/2048 | 19,550 | 20,402,867 | ||||||||
Total | 478,049,968 | |||||||||||
Total Asset-Backed Securities (cost $539,171,802) | 526,250,900 | |||||||||||
Shares | ||||||||||||
(000) | ||||||||||||
COMMON STOCKS 8.07% | ||||||||||||
Auto Parts & Equipment 0.03% | ||||||||||||
Chassix Holdings, Inc. | 607 | 4,552,927 | ||||||||||
Beverages 0.11% | ||||||||||||
Boston Beer Co., Inc. (The) Class A* | 36 | 19,225,486 | ||||||||||
Building & Construction 0.10% | ||||||||||||
DR Horton, Inc. | 312 | 17,293,136 | ||||||||||
Building Materials 0.15% | ||||||||||||
Trex Co., Inc.* | 200 | 25,958,590 | ||||||||||
Chemicals 0.16% | ||||||||||||
Scotts Miracle-Gro Co. (The) | 200 | 26,927,752 | ||||||||||
Discount Stores 0.15% | ||||||||||||
Amazon.com, Inc.* | 9 | 25,714,961 | ||||||||||
Diversified Capital Goods 0.38% | ||||||||||||
Enphase Energy, Inc.* | 450 | 21,400,173 | ||||||||||
Rockwell Automation, Inc. | 202 | 43,123,980 | ||||||||||
Total | 64,524,153 | |||||||||||
Electric: Integrated 0.00% | ||||||||||||
Pacific Gas And Electric Co. | 616 | 616,058 | (b) | |||||||||
Electronics 0.21% | ||||||||||||
IPG Photonics Corp.* | 113 | 18,200,095 | ||||||||||
Zebra Technologies Corp. Class A* | 70 | 17,985,350 | ||||||||||
Total | 36,185,445 | |||||||||||
Energy: Exploration & Production 0.13% | ||||||||||||
MEG Energy Corp.*(c) | CAD | 8,192 | 22,749,242 | |||||||||
Templar Energy LLC Class A Units | 417 | 33,346 | (a) | |||||||||
Total | 22,782,588 |
See Notes to Financial Statements. | 7 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Shares | Fair | |||||||
Investments | (000) | Value | ||||||
Food: Wholesale 0.56% | ||||||||
Beyond Meat, Inc.* | 449 | $ | 60,137,995 | |||||
McCormick & Co., Inc. | 199 | 35,638,361 | ||||||
Total | 95,776,356 | |||||||
Gaming 0.26% | ||||||||
DraftKings, Inc. Class A*(d) | 508 | 16,892,089 | ||||||
Penn National Gaming, Inc.* | 874 | 26,697,701 | ||||||
Total | 43,589,790 | |||||||
Health Services 0.10% | ||||||||
Illumina, Inc.* | 47 | 17,408,302 | ||||||
Investments & Miscellaneous Financial Services 0.11% | ||||||||
MarketAxess Holdings, Inc. | 38 | 19,030,452 | ||||||
Machinery 0.27% | ||||||||
Generac Holdings, Inc.* | 166 | 20,209,531 | ||||||
Roper Technologies, Inc. | 66 | 25,724,943 | ||||||
Total | 45,934,474 | |||||||
Media: Content 0.01% | ||||||||
ION Media Networks, Inc. | 4 | 1,406,720 | (b) | |||||
Metals/Mining (Excluding Steel) 0.16% | ||||||||
Pan American Silver Corp. (Canada)(e) | 866 | 26,322,298 | ||||||
Personal & Household Products 0.45% | ||||||||
Clorox Co. (The) | 202 | 44,255,923 | ||||||
Gibson Brands, Inc. | 107 | 12,560,985 | (a) | |||||
Pool Corp. | 73 | 19,973,201 | ||||||
Remington Outdoor Co., Inc.* | 164 | 81,874 | ||||||
Revlon, Inc. | 1,798 | 605,468 | ||||||
Total | 77,477,451 | |||||||
Pharmaceuticals 0.39% | ||||||||
AstraZeneca plc ADR | 350 | 18,505,100 | ||||||
NextCure, Inc.* | 1,316 | 28,207,107 | ||||||
Regeneron Pharmaceuticals, Inc.* | 31 | 19,295,108 | ||||||
Total | 66,007,315 | |||||||
Real Estate Development & Management 0.10% | ||||||||
CoStar Group, Inc.* | 24 | 17,370,907 |
8 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Shares | Fair | |||||||
Investments | (000) | Value | ||||||
Restaurants 0.86% | ||||||||
Chipotle Mexican Grill, Inc.* | 33 | $ | 34,937,300 | |||||
Domino’s Pizza, Inc. | 48 | 17,672,901 | ||||||
Shake Shack, Inc. Class A*(f) | 1,785 | 94,572,956 | ||||||
Total | 147,183,157 | |||||||
Software/Services 2.00% | ||||||||
Adyen NV†*(c) | EUR | 12 | 18,067,043 | |||||
DocuSign, Inc.* | 463 | 79,683,461 | ||||||
Fair Isaac Corp.* | 63 | 26,228,666 | ||||||
Spotify Technology SA (Sweden)*(e) | 241 | 62,313,640 | ||||||
Square, Inc. Class A* | 411 | 43,092,876 | ||||||
Trade Desk, Inc. (The) Class A* | 69 | 27,929,396 | ||||||
Twilio, Inc. Class A* | 168 | 36,867,826 | ||||||
Tyler Technologies, Inc.* | 76 | 26,302,870 | ||||||
Veeva Systems, Inc. Class A* | 85 | 20,034,471 | ||||||
Total | 340,520,249 | |||||||
Specialty Retail 0.74% | ||||||||
Chewy, Inc. Class A*(d) | 528 | 23,582,109 | ||||||
Claires Holdings LLC | 15 | 5,244,348 | ||||||
Lululemon Athletica, Inc.* | 87 | 26,998,225 | ||||||
NIKE, Inc. Class B | 195 | 19,163,774 | ||||||
SiteOne Landscape Supply, Inc.* | 237 | 27,053,629 | ||||||
Wayfair, Inc. Class A* | 124 | 24,575,175 | ||||||
Total | 126,617,260 | |||||||
Support: Services 0.11% | ||||||||
Booz Allen Hamilton Holding Corp. | 230 | 17,858,406 | ||||||
Technology Hardware & Equipment 0.22% | ||||||||
Analog Devices, Inc. | 153 | 18,730,930 | ||||||
NVIDIA Corp. | 50 | 19,030,072 | ||||||
Total | 37,761,002 | |||||||
Theaters & Entertainment 0.15% | ||||||||
Activision Blizzard, Inc. | 340 | 25,773,667 | ||||||
Transportation: Infrastructure/Services 0.06% | ||||||||
ACBL Holdings Corp. | 45 | 1,364,869 | (b) | |||||
ACBL Holdings Corp. | 167 | 4,176,450 | (b) | |||||
ACBL Holdings Corp. | 205 | 5,126,725 | (b) | |||||
Total | 10,668,044 |
See Notes to Financial Statements. | 9 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Shares (000) | Fair Value | |||||||||||
Trucking & Delivery 0.10% | |||||||||||||
Old Dominion Freight Line, Inc. | 103 | $ | 17,543,239 | ||||||||||
Total Common Stocks (cost $1,329,805,329) | 1,378,030,185 | ||||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | |||||||||||
CONVERTIBLE BOND 0.58% | |||||||||||||
Automakers | |||||||||||||
Tesla, Inc. (cost $63,218,448) | 2.00% | 5/15/2024 | $ | 28,375 | 99,629,328 | ||||||||
FLOATING RATE LOANS(g) 5.85% | |||||||||||||
Aerospace/Defense 0.06% | |||||||||||||
Alloy Finco Limited 2020 USD Term Loan B2 (Jersey)(e) | 8.50% (3 Mo. LIBOR + 6.50% | ) | 3/6/2024 | 8,103 | 7,008,895 | ||||||||
Alloy Finco Limited USD Holdco PIK Term Loan (Jersey)(e) | 0.50% (3 Mo. LIBOR + 13.50%) - 13.50% | 3/6/2025 | 8,344 | 3,692,164 | |||||||||
Total | 10,701,059 | ||||||||||||
Air Transportation 0.26% | |||||||||||||
American Airlines, Inc. 2018 Term Loan B | 1.934% (1 Mo. LIBOR + 1.75% | ) | 6/27/2025 | 46,272 | 33,130,541 | ||||||||
JetBlue Airways Corporation Term Loan | 6.25% (3 Mo. LIBOR + 5.25% | ) | 6/12/2024 | 11,635 | 11,420,128 | ||||||||
Total | 44,550,669 | ||||||||||||
Auto Parts & Equipment 0.14% | |||||||||||||
American Axle and Manufacturing, Inc. Term Loan B | 3.00% (1 Mo. LIBOR + 2.25% | ) | 4/6/2024 | 24,183 | 23,034,654 | ||||||||
Building Materials 0.24% | |||||||||||||
Forterra Finance, LLC 2017 Term Loan B | 4.00% (1 Mo. LIBOR + 3.00% | ) | 10/25/2023 | 24,908 | 24,285,591 | ||||||||
Yak Access, LLC 2018 1st Lien Term Loan B | 5.308% (3 Mo. LIBOR + 5.00% | ) | 7/11/2025 | 20,889 | 16,919,756 | (h) | |||||||
Total | 41,205,347 | ||||||||||||
Cable & Satellite Television 0.10% | |||||||||||||
Charter Communications Operating, LLC 2019 Term Loan B2 | 1.93% (1 Mo. LIBOR + 1.75%) | 2/1/2027 | 16,870 | 16,280,686 |
10 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals 0.24% | ||||||||||||
Illuminate Buyer, LLC Term Loan | – | (i) | 6/16/2027 | $ | 17,530 | $ | 17,297,702 | |||||
Starfruit Finco B.V 2018 USD Term Loan B (Netherlands)(e) | 3.188% (1 Mo. LIBOR + 3.00% | ) | 10/1/2025 | 24,993 | 23,556,232 | |||||||
Total | 40,853,934 | |||||||||||
Diversified Capital Goods 0.14% | ||||||||||||
Granite Holdings US Acquisition Co. Term Loan B | 6.322% (3 Mo. LIBOR + 5.25% | ) | 9/30/2026 | 22,333 | 19,652,804 | (h) | ||||||
UTEX Industries Inc. 1st Lien Term loan 2014 | – | (i) | 5/22/2021 | 13,346 | 3,725,763 | |||||||
Total | 23,378,567 | |||||||||||
Electric: Generation 0.16% | ||||||||||||
Astoria Energy LLC Term Loan B | 5.00% (1 Mo. LIBOR + 4.00% | ) | 12/24/2021 | 16,543 | 16,381,510 | |||||||
Frontera Generation Holdings LLC 2018 Term Loan B | 5.385% (1 Mo. LIBOR + 4.25% | ) | 5/2/2025 | 18,484 | 11,478,256 | |||||||
Total | 27,859,766 | |||||||||||
Electric: Integrated 0.33% | ||||||||||||
Pacific Gas & Electric Company Revolver | 0.50% (3 Mo. LIBOR + 0.50% | ) | 4/27/2022 | 51,030 | 55,579,873 | |||||||
Food: Wholesale 0.35% | ||||||||||||
Froneri International Ltd. 2020 USD Term Loan (United Kingdom)(e) | 2.428% (1 Mo. LIBOR + 2.25% | ) | 1/29/2027 | 15,174 | 14,311,515 | |||||||
JBS USA Lux S.A. 2019 Term Loan B (Luxembourg)(e) | 3.072% (2 Mo. LIBOR + 2.00% | ) | 5/1/2026 | 12,577 | 12,077,519 | |||||||
United Natural Foods, Inc. Term Loan B | 4.428% (1 Mo. LIBOR + 4.25% | ) | 10/22/2025 | 35,051 | 33,607,469 | |||||||
Total | 59,996,503 | |||||||||||
Gaming 0.27% | ||||||||||||
Penn National Gaming, Inc. 2018 1st Lien Term Loan B | 3.00% (3 Mo. LIBOR + 2.25% | ) | 10/15/2025 | 16,246 | 15,237,415 | |||||||
Playtika Holding Corp Term Loan B | 7.072% (3 Mo. LIBOR + 6.00% | ) | 12/10/2024 | 31,536 | 31,585,095 | |||||||
Total | 46,822,510 | |||||||||||
Gas Distribution 0.09% | ||||||||||||
Buckeye Partners, L.P. 2019 Term Loan B | 2.923% (1 Mo. LIBOR + 2.75% | ) | 11/1/2026 | 15,277 | 14,685,190 |
See Notes to Financial Statements. | 11 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Facilities 0.10% | ||||||||||||
WP CityMD Bidco LLC 2019 Term Loan B | 4.806% (6 Mo. LIBOR + 4.50%) - 4.8646% | 8/13/2026 | $ | 17,979 | $ | 17,765,569 | ||||||
Health Services 0.73% | ||||||||||||
Da Vinci Purchaser Corp. 2019 Term Loan | 5.238% (6 Mo. LIBOR + 4.00% | ) | 1/8/2027 | 16,312 | 15,924,389 | |||||||
Global Medical Response, Inc. 2018 Term Loan B1 | 4.25% (3 Mo. LIBOR + 3.25% | ) | 4/28/2022 | 17,866 | 17,244,763 | |||||||
National Mentor Holdings, Inc. 2019 Term Loan B | 4.43% (1 Mo. LIBOR + 4.25% | ) | 3/9/2026 | 9,733 | 9,429,233 | |||||||
National Mentor Holdings, Inc. 2019 Term Loan C | 4.43% (3 Mo. LIBOR + 4.25% | ) | 3/9/2026 | 443 | 429,323 | |||||||
Parexel International Corporation Term Loan B | 2.928% (1 Mo. LIBOR + 2.75% | ) | 9/27/2024 | 17,523 | 16,663,377 | |||||||
RegionalCare Hospital Partners Holdings, Inc. 2018 Term Loan B | 3.928% (1 Mo. LIBOR + 3.75% | ) | 11/17/2025 | 43,763 | 41,157,755 | |||||||
U.S. Renal Care, Inc. 2019 Term Loan B | 5.178% (1 Mo. LIBOR + 5.00% | ) | 6/26/2026 | 25,144 | 24,260,435 | |||||||
Total | 125,109,275 | |||||||||||
Insurance Brokerage 0.09% | ||||||||||||
Hub International Limited 2018 Term Loan B | 4.02% (3 Mo. LIBOR + 3.00% | ) | 4/25/2025 | 16,917 | 16,138,083 | |||||||
Machinery 0.13% | ||||||||||||
Vertical US Newco Inc. Term Loan B | – | (i) | 7/1/2027 | 22,635 | 22,352,237 | |||||||
Media: Content 0.09% | ||||||||||||
Univision Communications Inc. 2020 Term Loan B | 4.75% (1 Mo. LIBOR + 2.75% | ) | 3/13/2026 | 7,918 | 7,418,734 | |||||||
Univision Communications Inc. Term Loan C5 | 2.928% (1 Mo. LIBOR + 2.75% | ) | 3/15/2024 | 8,271 | 7,682,008 | |||||||
Total | 15,100,742 | |||||||||||
Personal & Household Products 0.32% | ||||||||||||
FGI Operating Company, LLC Exit Term Loan | 12.00% (3 Mo. LIBOR + 10.00% | ) | 5/16/2022 | 1,063 | 850,663 | (h) | ||||||
Revlon Consumer Products Corporation 2020 PIK Term Loan B1 | 2.00% (6 Mo. LIBOR + 2.00% | ) | 6/30/2025 | 23,301 | 23,096,753 | |||||||
Revlon Consumer Products Corporation 2020 Term Loan B2 | 4.25% (3 Mo. LIBOR + 3.50% | ) | 6/30/2025 | 25,550 | 15,713,433 | |||||||
TGP Holdings III, LLC 2018 1st Lien Term Loan | 5.25% (3 Mo. LIBOR + 4.25% | ) | 9/25/2024 | 16,127 | 14,970,386 | |||||||
Total | 54,631,235 |
12 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Rail 0.13% | ||||||||||||
Genesee & Wyoming Inc. (New) Term Loan | 2.308% (3 Mo. LIBOR + 2.00% | ) | 12/30/2026 | $ | 23,352 | $ | 22,547,453 | |||||
Recreation & Travel 0.29% | ||||||||||||
Alterra Mountain Company Term Loan B1 | 2.928% (1 Mo. LIBOR + 2.75% | ) | 7/31/2024 | 19,001 | 17,986,124 | |||||||
Delta 2 (LUX) S.a.r.l. 2018 USD Term Loan (Luxembourg)(e) | 3.50% (1 Mo. LIBOR + 2.50% | ) | 2/1/2024 | 16,211 | 15,491,442 | |||||||
Life Time Fitness Inc 2017 Term Loan B | 3.75% (3 Mo. LIBOR + 2.75%) | 6/10/2022 | 17,774 | 15,896,882 | ||||||||
Total | 49,374,448 | |||||||||||
Restaurants 0.25% | ||||||||||||
IRB Holding Corp 2020 Term Loan B | 3.75% (1 Mo. LIBOR + 2.75% | ) | 2/5/2025 | 19,207 | 17,803,841 | |||||||
Panera Bread Company Term Loan A | 2.438% (1 Mo. LIBOR + 2.25%) | 7/18/2022 | 25,825 | 24,275,836 | ||||||||
Total | 42,079,677 | |||||||||||
Software/Services 0.42% | ||||||||||||
Cornerstone OnDemand, Inc. Term Loan B | 5.348% (2 Mo. LIBOR + 4.25% | ) | 4/22/2027 | 15,869 | 15,640,636 | |||||||
Ellie Mae, Inc. Term Loan | 4.058% (3 Mo. LIBOR + 3.75% | ) | 4/17/2026 | 23,983 | 23,341,479 | |||||||
Tibco Software Inc. 2020 Term Loan B | 3.93% (1 Mo. LIBOR + 3.75% | ) | 6/30/2026 | 17,787 | 16,852,834 | |||||||
Ultimate Software Group Inc. (The) Term Loan B | 3.928% (1 Mo. LIBOR + 3.75%) | 5/4/2026 | 16,140 | 15,678,753 | ||||||||
Total | 71,513,702 | |||||||||||
Specialty Retail 0.27% | ||||||||||||
BJ’s Wholesale Club, Inc. 2017 1st Lien Term Loan | 2.435% (1 Mo. LIBOR + 2.25% | ) | 2/3/2024 | 24,629 | 23,888,114 | |||||||
Claire’s Stores, Inc. 2019 Term Loan B | 6.808% (3 Mo. LIBOR + 6.50% | ) | 12/18/2026 | 11,734 | 9,422,395 | |||||||
PetSmart, Inc. Consenting Term Loan | 5.00% (3 Mo. LIBOR + 4.00%) | 3/11/2022 | 13,643 | 13,499,976 | ||||||||
Total | 46,810,485 | |||||||||||
Support: Services 0.50% | ||||||||||||
DG Investment Intermediate Holdings 2, Inc. 2018 1st Lien Term Loan | 3.75% (1 Mo. LIBOR + 3.00% | ) | 2/3/2025 | 16,085 | 15,363,859 | |||||||
Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan | 9.561% (3 Mo. LIBOR + 8.25% | ) | 4/10/2026 | 19,000 | 16,791,250 |
See Notes to Financial Statements. | 13 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Support: Services (continued) | ||||||||||||
NEP/NCP Holdco, Inc. 2018 1st Lien Term Loan | 3.428% (1 Mo. LIBOR + 3.25% | ) | 10/20/2025 | $ | 29,321 | $ | 24,320,326 | |||||
Pike Corporation 2019 Term Loan B | 4.25% (1 Mo. LIBOR + 3.25%) | 7/24/2026 | 16,816 | 16,382,077 | ||||||||
Trans Union, LLC 2019 Term Loan B5 | 1.928% (1 Mo. LIBOR + 1.75% | ) | 11/16/2026 | 12,731 | 12,213,593 | |||||||
Total | 85,071,105 | |||||||||||
Telecommunications: Wireless 0.15% | ||||||||||||
Xplornet Communications, Inc. 2020 Term Loan B (Canada)(e) | 4.928% (1 Mo. LIBOR + 4.75% | ) | 5/29/2027 | 26,037 | 24,956,724 | |||||||
Total Floating Rate Loans (cost $1,033,186,291) | 998,399,493 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 2.64% | ||||||||||||
Argentina 0.31% | ||||||||||||
Ciudad Autonoma De Buenos Aires†(e) | 7.50% | 6/1/2027 | 28,645 | 22,099,617 | ||||||||
Province of Santa Fe†(e) | 6.90% | 11/1/2027 | 24,260 | 14,283,075 | ||||||||
Provincia de Mendoza†(e) | 8.375% | 5/19/2024 | 27,674 | 14,667,497 | ||||||||
Provincia of Neuquen†(e) | 7.50% | 4/27/2025 | 5,397 | 2,671,569 | ||||||||
Total | 53,721,758 | |||||||||||
Australia 0.17% | ||||||||||||
Australian Government(c) | 4.25% | 4/21/2026 | AUD | 33,642 | 28,213,916 | |||||||
Egypt 0.29% | ||||||||||||
Arab Republic of Egypt†(e) | 5.577% | 2/21/2023 | $ | 47,734 | 48,927,350 | |||||||
Ghana 0.28% | ||||||||||||
Republic of Ghana†(e) | 6.375% | 2/11/2027 | 50,000 | 46,937,500 | ||||||||
Honduras 0.10% | ||||||||||||
Honduras Government†(e)(j) | 5.625% | 6/24/2030 | 16,925 | 17,255,038 | ||||||||
Ivory Coast 0.15% | ||||||||||||
Ivory Coast Government International Bond†(c) | 5.875% | 10/17/2031 | EUR | 24,313 | 25,733,659 | |||||||
Kenya 0.48% | ||||||||||||
Republic of Kenya†(e) | 7.25% | 2/28/2028 | $ | 57,576 | 57,088,907 | |||||||
Republic of Kenya†(e) | 8.25% | 2/28/2048 | 24,972 | 24,695,435 | ||||||||
Total | 81,784,342 | |||||||||||
Mongolia 0.18% | ||||||||||||
Development Bank of Mongolia LLC†(e) | 7.25% | 10/23/2023 | 31,219 | 30,393,525 |
14 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Peru 0.06% | ||||||||||||
Republic of Peru(e) | 2.392% | 1/23/2026 | $ | 9,266 | $ | 9,641,273 | ||||||
Ukraine 0.32% | ||||||||||||
Ukraine Government†(e) | 7.375% | 9/25/2032 | 54,815 | 55,239,104 | ||||||||
United Arab Emirates 0.30% | ||||||||||||
Abu Dhabi Government International†(e) | 3.125% | 5/3/2026 | 47,836 | 52,019,976 | ||||||||
Total Foreign Government Obligations (cost $468,351,620) | 449,867,441 | |||||||||||
HIGH YIELD CORPORATE BONDS 72.75% | ||||||||||||
Aerospace/Defense 1.43% | ||||||||||||
Boeing Co. (The) | 4.508% | 5/1/2023 | 39,678 | 41,923,516 | ||||||||
Boeing Co. (The) | 5.805% | 5/1/2050 | 26,958 | 31,880,516 | ||||||||
Carrier Global Corp.† | 2.70% | 2/15/2031 | 11,871 | 11,823,426 | ||||||||
Huntington Ingalls Industries, Inc.† | 3.844% | 5/1/2025 | 10,309 | 11,205,980 | ||||||||
Leidos, Inc.† | 3.625% | 5/15/2025 | 18,230 | 19,945,899 | ||||||||
Raytheon Technologies Corp. | 4.125% | 11/16/2028 | 31,099 | 36,674,772 | ||||||||
Signature Aviation US Holdings, Inc.† | 4.00% | 3/1/2028 | 31,875 | 28,860,900 | ||||||||
Signature Aviation US Holdings, Inc.† | 5.375% | 5/1/2026 | 12,859 | 12,905,357 | ||||||||
TransDigm, Inc.† | 6.25% | 3/15/2026 | 15,911 | 15,928,502 | ||||||||
TransDigm, Inc. | 6.375% | 6/15/2026 | 19,375 | 17,742,850 | ||||||||
Triumph Group, Inc. | 5.25% | 6/1/2022 | 17,259 | 14,817,110 | ||||||||
Total | 243,708,828 | |||||||||||
Air Transportation 1.09% | ||||||||||||
Alaska Airlines 2020-1 Class A Pass Through Trust†(j) | 4.80% | 2/15/2029 | 18,047 | 18,362,822 | ||||||||
Azul Investments LLP† | 5.875% | 10/26/2024 | 38,566 | 18,131,612 | ||||||||
British Airways 2018-1 Class A Pass Through Trust (United Kingdom)†(e) | 4.125% | 3/20/2033 | 8,125 | 6,688,064 | ||||||||
British Airways 2019-1 Class A Pass Through Trust (United Kingdom)†(e) | 3.35% | 12/15/2030 | 14,558 | 12,066,172 | ||||||||
British Airways 2019-1 Class AA Pass Through Trust (United Kingdom)†(e) | 3.30% | 6/15/2034 | 35,847 | 32,469,685 | ||||||||
Delta Air Lines 2019-1 Class AA Pass Through Trust | 3.204% | 10/25/2025 | 22,520 | 22,571,963 | ||||||||
Delta Air Lines, Inc.† | 7.00% | 5/1/2025 | 31,708 | 32,764,474 | ||||||||
JetBlue 2019-1 Class A Pass Through Trust | 2.95% | 11/15/2029 | 13,303 | 11,723,149 | ||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.†(j) | 6.50% | 6/20/2027 | 31,232 | 31,388,160 | ||||||||
Total | 186,166,101 |
See Notes to Financial Statements. | 15 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Auto Loans 0.42% | ||||||||||||
General Motors Financial Co., Inc. | 2.75% | 6/20/2025 | $ | 37,594 | $ | 37,090,313 | ||||||
General Motors Financial Co., Inc. | 5.10% | 1/17/2024 | 6,093 | 6,516,918 | ||||||||
General Motors Financial Co., Inc. | 5.25% | 3/1/2026 | 24,966 | 27,228,133 | ||||||||
Mclaren Finance plc(c) | 5.00% | 8/1/2022 | GBP | 1,900 | 1,655,001 | |||||||
Total | 72,490,365 | |||||||||||
Auto Parts & Equipment 0.57% | ||||||||||||
Adient US LLC† | 7.00% | 5/15/2026 | $ | 21,145 | 21,919,647 | |||||||
Clarios Global LP/Clarios U.S. Finance Co.† | 8.50% | 5/15/2027 | 25,080 | 25,267,473 | ||||||||
Lear Corp. | 3.50% | 5/30/2030 | 4,510 | 4,515,901 | ||||||||
Lear Corp. | 3.80% | 9/15/2027 | 14,516 | 14,740,510 | ||||||||
Lear Corp. | 4.25% | 5/15/2029 | 17,051 | 17,522,707 | ||||||||
Magna International, Inc. (Canada)(e) | 2.45% | 6/15/2030 | 13,525 | 13,860,098 | ||||||||
Total | 97,826,336 | |||||||||||
Automakers 2.32% | ||||||||||||
Aston Martin Capital Holdings Ltd.(c) | 5.75% | 4/15/2022 | GBP | 14,541 | 16,283,552 | |||||||
Aston Martin Capital Holdings Ltd. (Jersey)†(e) | 6.50% | 4/15/2022 | $ | 20,477 | 18,511,208 | |||||||
BMW US Capital LLC† | 4.15% | 4/9/2030 | 32,668 | 37,711,079 | ||||||||
Ford Motor Co. | 9.00% | 4/22/2025 | 84,523 | 91,548,975 | ||||||||
Ford Motor Co. | 9.625% | 4/22/2030 | 22,491 | 26,678,262 | ||||||||
General Motors Co. | 6.125% | 10/1/2025 | 37,600 | 42,302,317 | ||||||||
General Motors Co. | 8.375% | 7/15/2049 | 15,000 | 1,500 | (b) | |||||||
Mclaren Finance plc. (United Kingdom)†(e) | 5.75% | 8/1/2022 | 7,682 | 5,435,015 | ||||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 111,041 | 111,052,659 | ||||||||
Volkswagen Group of America Finance LLC† | 3.35% | 5/13/2025 | 25,463 | 27,370,488 | ||||||||
Volkswagen Group of America Finance LLC† | 3.75% | 5/13/2030 | 17,706 | 19,621,378 | ||||||||
Total | 396,516,433 | |||||||||||
Banking 4.94% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(e) | 4.75% | 7/28/2025 | 31,461 | 34,789,511 | ||||||||
AIB Group plc (Ireland)†(e) | 4.263% (3 Mo. LIBOR + 1.87% | )# | 4/10/2025 | 16,837 | 17,956,437 | |||||||
AIB Group plc (Ireland)†(e) | 4.75% | 10/12/2023 | 21,394 | 23,090,740 | ||||||||
Australia & New Zealand Banking Group Ltd. (United Kingdom)†(e) | 6.75% (USD Swap + 5.17% | )# | – | (k) | 19,074 | 21,176,241 | ||||||
Bank Leumi Le-Israel BM (Israel)†(e) | 3.275% (5 Yr Treasury CMT + 1.63% | )# | 1/29/2031 | 17,475 | 17,035,679 | |||||||
Bank of America Corp. | 4.45% | 3/3/2026 | 19,634 | 22,561,034 | ||||||||
Bank of Ireland Group plc (Ireland)†(e) | 4.50% | 11/25/2023 | 31,384 | 33,732,186 | ||||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 24,313 | 26,590,051 |
16 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banking (continued) | ||||||||||||
BBVA USA | 3.875% | 4/10/2025 | $ | 26,897 | $ | 28,432,455 | ||||||
BNP Paribas SA (France)†(e) | 4.50% (5 Yr Treasury CMT + 2.94% | )# | – | (k) | 36,222 | 31,762,166 | ||||||
CIT Bank NA | 2.969% (SOFR + 1.72% | )# | 9/27/2025 | 16,827 | 15,772,704 | |||||||
CIT Group, Inc. | 5.25% | 3/7/2025 | 6,988 | 7,258,051 | ||||||||
CIT Group, Inc. | 6.125% | 3/9/2028 | 49,745 | 53,901,692 | ||||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 13,296 | 15,161,576 | ||||||||
Credit Suisse Group AG (Switzerland)†(e) | 5.10% (5 Yr Treasury CMT + 3.29% | )# | – | (k) | 28,486 | 27,026,092 | ||||||
Fifth Third Bancorp | 8.25% | 3/1/2038 | 8,042 | 13,056,111 | ||||||||
Global Bank Corp. (Panama)†(e) | 5.25% (3 Mo. LIBOR + 3.30% | )# | 4/16/2029 | 40,710 | 41,829,525 | |||||||
Goldman Sachs Group, Inc. (The) | 3.50% | 11/16/2026 | 13,667 | 15,041,528 | ||||||||
Goldman Sachs Group, Inc. (The) | 4.25% | 10/21/2025 | 18,995 | 21,422,382 | ||||||||
Home BancShares, Inc. | 5.625% (3 Mo. LIBOR + 3.58% | )# | 4/15/2027 | 19,481 | 19,721,174 | |||||||
Huntington Bancshares, Inc. | 5.70% (3 Mo. LIBOR + 2.88% | )# | – | (k) | 15,381 | 13,041,915 | ||||||
ING Groep NV (Netherlands)(e) | 5.75% (5 Yr Treasury CMT + 4.34% | )# | – | (k) | 43,461 | 43,171,332 | ||||||
Intesa Sanpaolo SpA (Italy)†(e) | 5.71% | 1/15/2026 | 62,976 | 66,789,957 | ||||||||
JPMorgan Chase & Co. | 3.54% (3 Mo. LIBOR + 1.38% | )# | 5/1/2028 | 11,994 | 13,400,423 | |||||||
JPMorgan Chase & Co. | 3.90% | 7/15/2025 | 17,386 | 19,730,372 | ||||||||
JPMorgan Chase & Co. | 4.60% (SOFR + 3.13% | )# | – | (k) | 6,965 | 6,218,700 | ||||||
JPMorgan Chase & Co. | 6.10% (3 Mo. LIBOR + 3.33% | )# | – | (k) | 12,752 | 13,076,126 | ||||||
Kookmin Bank (South Korea)†(e) | 1.75% | 5/4/2025 | 22,600 | 23,120,369 | ||||||||
Macquarie Bank Ltd. (United Kingdom)†(e) | 6.125% (5 Yr. Swap rate + 3.70% | )# | – | (k) | 32,254 | 31,958,392 | ||||||
Morgan Stanley | 3.125% | 7/27/2026 | 18,976 | 20,952,413 | ||||||||
Morgan Stanley | 3.625% | 1/20/2027 | 24,804 | 28,024,757 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 15,922 | 16,139,256 | ||||||||
SVB Financial Group | 3.125% | 6/5/2030 | 15,021 | 16,119,254 | ||||||||
US Bancorp | 3.00% | 7/30/2029 | 13,452 | 14,617,474 | ||||||||
Washington Mutual Bank(l) | 6.875% | 6/15/2011 | 22,500 | 2,250 | (b) | |||||||
Webster Financial Corp. | 4.10% | 3/25/2029 | 27,684 | 29,432,429 | ||||||||
Total | 843,112,754 | |||||||||||
Beverages 0.99% | ||||||||||||
Bacardi Ltd.† | 2.75% | 7/15/2026 | 20,151 | 20,544,162 | ||||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | 32,381 | 36,665,724 | ||||||||
Becle SAB de CV (Mexico)†(e) | 3.75% | 5/13/2025 | 15,764 | 16,739,901 | ||||||||
Brown-Forman Corp. | 3.50% | 4/15/2025 | 8,956 | 10,046,284 |
See Notes to Financial Statements. | 17 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Beverages 0.99% | ||||||||||||
Brown-Forman Corp. | 4.50% | 7/15/2045 | $ | 18,174 | $ | 21,916,137 | ||||||
PepsiCo, Inc. | 3.60% | 3/1/2024 | 14,292 | 15,737,302 | ||||||||
Suntory Holdings Ltd. (Japan)†(e) | 2.25% | 10/16/2024 | 44,835 | 46,725,021 | ||||||||
Total | 168,374,531 | |||||||||||
Brokerage 0.15% | ||||||||||||
Charles Schwab Corp. (The) | 5.375% (5 Yr Treasury CMT + 4.97% | )# | ||||||||||
– | (k) | 23,820 | 25,506,932 | |||||||||
Building & Construction 1.12% | ||||||||||||
Beazer Homes USA, Inc. | 7.25% | 10/15/2029 | 15,808 | 15,344,114 | ||||||||
Century Communities, Inc. | 5.875% | 7/15/2025 | 3,235 | 3,230,617 | ||||||||
Century Communities, Inc. | 6.75% | 6/1/2027 | 12,974 | 13,076,560 | ||||||||
D.R. Horton, Inc. | 2.60% | 10/15/2025 | 10,508 | 11,058,438 | ||||||||
ITR Concession Co. LLC† | 5.183% | 7/15/2035 | 7,658 | 8,834,829 | ||||||||
Lennar Corp. | 4.75% | 11/15/2022 | 15,303 | 15,933,866 | ||||||||
Lennar Corp. | 4.75% | 5/30/2025 | 8,420 | 9,010,284 | ||||||||
Lennar Corp. | 4.75% | 11/29/2027 | 7,613 | 8,276,854 | ||||||||
NVR, Inc. | 3.00% | 5/15/2030 | 29,310 | 30,665,186 | ||||||||
PulteGroup, Inc. | 6.375% | 5/15/2033 | 27,646 | 32,457,095 | ||||||||
Shea Homes LP/Shea Homes Funding Corp.† | 6.125% | 4/1/2025 | 13,841 | 13,960,655 | ||||||||
Toll Brothers Finance Corp. | 4.875% | 3/15/2027 | 12,916 | 13,922,609 | ||||||||
Toll Brothers Finance Corp. | 5.625% | 1/15/2024 | 14,213 | 15,259,716 | ||||||||
Total | 191,030,823 | |||||||||||
Building Materials 0.80% | ||||||||||||
Allegion plc (Ireland)(e) | 3.50% | 10/1/2029 | 11,813 | 12,431,070 | ||||||||
Ferguson Finance PLC (United Kindom)†(e) | 3.25% | 6/2/2030 | 23,147 | 23,757,553 | ||||||||
Hillman Group, Inc. (The)† | 6.375% | 7/15/2022 | 16,692 | 15,464,888 | ||||||||
Masonite International Corp.† | 5.375% | 2/1/2028 | 13,023 | 13,338,026 | ||||||||
Owens Corning, Inc. | 4.30% | 7/15/2047 | 26,681 | 27,183,347 | ||||||||
Owens Corning, Inc. | 4.40% | 1/30/2048 | 15,778 | 16,469,480 | ||||||||
Vertical Holdco GmbH(c)(j) | 6.625% | 7/15/2028 | EUR 10,503 | 11,800,116 | ||||||||
Vulcan Materials Co. | 4.50% | 6/15/2047 | $ | 14,595 | 16,337,683 | |||||||
Total | 136,782,163 | |||||||||||
Cable & Satellite Television 2.62% | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.125% | 5/1/2027 | 83,655 | 86,670,763 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.75% | 2/15/2026 | 61,221 | 63,458,321 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.875% | 4/1/2024 | 15,739 | 16,246,583 | ||||||||
CSC Holdings LLC† | 5.50% | 4/15/2027 | 27,834 | 28,989,111 |
18 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Cable & Satellite Television (continued) | ||||||||||||
CSC Holdings LLC† | 5.75% | 1/15/2030 | $ | 23,298 | $ | 24,367,262 | ||||||
CSC Holdings LLC† | 6.50% | 2/1/2029 | 13,352 | 14,612,095 | ||||||||
CSC Holdings LLC† | 10.875% | 10/15/2025 | 16,727 | 18,020,750 | ||||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 128,716 | 136,693,818 | ||||||||
LCPR Senior Secured Financing DAC (Ireland)†(e) | 6.75% | 10/15/2027 | 15,074 | 15,400,955 | ||||||||
VTR Finance NV (Chile)†(e)(j) | 6.375% | 7/15/2028 | 4,506 | 4,646,902 | ||||||||
Ziggo BV (Netherlands)†(e) | 5.50% | 1/15/2027 | 37,690 | 38,373,508 | ||||||||
Total | 447,480,068 | |||||||||||
Chemicals 0.66% | ||||||||||||
CF Industries, Inc.† | 4.50% | 12/1/2026 | 23,920 | 26,377,634 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(e) | 4.125% | 7/19/2027 | 31,514 | 34,368,033 | ||||||||
FMC Corp. | 3.45% | 10/1/2029 | 13,468 | 14,657,433 | ||||||||
OCI NV (Netherlands)†(e) | 6.625% | 4/15/2023 | 9,561 | 9,656,610 | ||||||||
Yingde Gases Investment Ltd. (Hong Kong)†(e) | 6.25% | 1/19/2023 | 27,120 | 27,857,296 | ||||||||
Total | 112,917,006 | |||||||||||
Consumer/Commercial/Lease Financing 0.57% | ||||||||||||
Navient Corp. | 6.125% | 3/25/2024 | 31,847 | 30,353,853 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 21,800 | 20,914,375 | ||||||||
Navient Corp. | 6.75% | 6/15/2026 | 21,722 | 20,251,746 | ||||||||
Quicken Loans LLC† | 5.25% | 1/15/2028 | 15,000 | 15,643,575 | ||||||||
USAA Capital Corp.† | 2.125% | 5/1/2030 | 9,025 | 9,303,918 | ||||||||
Total | 96,467,467 | |||||||||||
Department Stores 0.10% | ||||||||||||
Macy’s, Inc.† | 8.375% | 6/15/2025 | 17,119 | 17,065,503 | ||||||||
Discount Stores 1.24% | ||||||||||||
Amazon.com, Inc. | 3.15% | 8/22/2027 | 28,837 | 33,018,174 | ||||||||
Amazon.com, Inc. | 4.25% | 8/22/2057 | 20,632 | 27,715,425 | ||||||||
Amazon.com, Inc. | 4.80% | 12/5/2034 | 28,691 | 39,103,808 | ||||||||
Amazon.com, Inc. | 5.20% | 12/3/2025 | 53,869 | 66,171,368 | ||||||||
Costco Wholesale Corp. | 1.75% | 4/20/2032 | 22,489 | 22,913,913 | ||||||||
Dollar General Corp. | 3.50% | 4/3/2030 | 19,674 | 22,082,695 | ||||||||
Total | 211,005,383 | |||||||||||
Diversified Capital Goods 0.79% | ||||||||||||
BCD Acquisition, Inc.† | 9.625% | 9/15/2023 | 15,903 | 15,236,903 | ||||||||
Dover Corp. | 2.95% | 11/4/2029 | 17,664 | 18,969,996 | ||||||||
Leggett & Platt, Inc. | 4.40% | 3/15/2029 | 31,431 | 33,835,708 |
See Notes to Financial Statements. | 19 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Diversified Capital Goods (continued) | ||||||||||||
Siemens Financieringsmaatschappij NV (Netherlands)†(e) | 3.25% | 5/27/2025 | $ | 13,036 | $ | 14,479,473 | ||||||
SPX FLOW, Inc.† | 5.625% | 8/15/2024 | 8,609 | 8,834,082 | ||||||||
SPX FLOW, Inc.† | 5.875% | 8/15/2026 | 14,947 | 15,336,519 | ||||||||
Westinghouse Air Brake Technologies Corp. | 3.45% | 11/15/2026 | 17,989 | 18,542,999 | ||||||||
Westinghouse Air Brake Technologies Corp. | 4.95% | 9/15/2028 | 8,995 | 10,021,749 | ||||||||
Total | 135,257,429 | |||||||||||
Electric: Distribution/Transportation 0.87% | ||||||||||||
Adani Transmission Ltd. (India)†(e) | 4.25% | 5/21/2036 | 13,440 | 12,981,314 | ||||||||
Atlantic City Electric Co. | 4.00% | 10/15/2028 | 13,493 | 15,722,387 | ||||||||
Empresa de Transmision Electrica SA (Panama)†(e) | 5.125% | 5/2/2049 | 14,430 | 16,945,077 | ||||||||
Empresas Publicas de Medellin ESP (Colombia)†(e) | 4.25% | 7/18/2029 | 22,988 | 23,112,940 | ||||||||
Monongahela Power Co.† | 3.55% | 5/15/2027 | 13,657 | 15,154,421 | ||||||||
Oklahoma Gas & Electric Co. | 3.85% | 8/15/2047 | 10,634 | 12,477,469 | ||||||||
Oklahoma Gas & Electric Co. | 4.15% | 4/1/2047 | 11,379 | 13,234,610 | ||||||||
State Grid Overseas Investment 2016 Ltd.† | 3.50% | 5/4/2027 | 35,150 | 38,924,759 | ||||||||
Total | 148,552,977 | |||||||||||
Electric: Generation 1.94% | ||||||||||||
Adani Renewable Energy RJ Ltd./Kodangal Solar | ||||||||||||
Parks Pvt Ltd/Wardha Solar Maharash (India)†(e) | 4.625% | 10/15/2039 | 17,894 | 17,178,240 | ||||||||
Calpine Corp.† | 4.50% | 2/15/2028 | 3,333 | 3,271,939 | ||||||||
Calpine Corp.† | 5.125% | 3/15/2028 | 8,410 | 8,238,646 | ||||||||
Calpine Corp.† | 5.25% | 6/1/2026 | 10,457 | 10,588,915 | ||||||||
Clearway Energy Operating LLC† | 4.75% | 3/15/2028 | 8,966 | 9,153,210 | ||||||||
Clearway Energy Operating LLC | 5.75% | 10/15/2025 | 15,737 | 16,382,296 | ||||||||
Dayton Power & Light Co. (The) | 3.95% | 6/15/2049 | 10,775 | 11,527,578 | ||||||||
DPL, Inc. | 4.35% | 4/15/2029 | 17,956 | 18,208,980 | ||||||||
Exelon Generation Co. LLC | 3.25% | 6/1/2025 | 17,668 | 19,066,799 | ||||||||
Greenko Solar Mauritius Ltd. (Mauritius)†(e) | 5.95% | 7/29/2026 | 11,663 | 11,543,701 | ||||||||
NextEra Energy Operating Partners LP† | 3.875% | 10/15/2026 | 46,654 | 46,695,755 | ||||||||
NextEra Energy Operating Partners LP† | 4.50% | 9/15/2027 | 19,300 | 20,230,936 | ||||||||
NRG Energy, Inc.† | 3.75% | 6/15/2024 | 27,446 | 29,027,452 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 8,068 | 8,507,312 | ||||||||
NRG Energy, Inc.† | 5.25% | 6/15/2029 | 7,483 | 7,891,609 | ||||||||
NRG Energy, Inc. | 5.75% | 1/15/2028 | 45,435 | 48,039,107 | ||||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 17,366 | 17,602,960 | ||||||||
TerraForm Power Operating LLC† | 4.75% | 1/15/2030 | 19,948 | 20,293,300 | ||||||||
TerraForm Power Operating LLC† | 5.00% | 1/31/2028 | 7,569 | 7,927,127 | ||||||||
Total | 331,375,862 |
20 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Electric: Integrated 2.85% | ||||||||||||
AES Corp. (The) | 5.125% | 9/1/2027 | $ | 12,496 | $ | 12,995,653 | ||||||
Arizona Public Service Co. | 2.95% | 9/15/2027 | 13,385 | 14,525,129 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(e) | 4.35% | 8/1/2028 | 13,786 | 15,348,307 | ||||||||
Avangrid, Inc. | 3.80% | 6/1/2029 | 6,282 | 7,305,482 | ||||||||
Black Hills Corp. | 4.35% | 5/1/2033 | 13,491 | 15,369,935 | ||||||||
El Paso Electric Co. | 5.00% | 12/1/2044 | 20,062 | 23,824,687 | ||||||||
Electricite de France SA (France)†(e) | 3.625% | 10/13/2025 | 13,500 | 15,169,705 | ||||||||
Electricite de France SA (France)†(e) | 4.50% | 9/21/2028 | 14,507 | 16,912,121 | ||||||||
Enel Finance International NV (Netherlands)†(e) | 2.65% | 9/10/2024 | 28,508 | 29,813,943 | ||||||||
Enel Finance International NV (Netherlands)†(e) | 3.50% | 4/6/2028 | 45,048 | 48,513,487 | ||||||||
Entergy Arkansas LLC | 4.00% | 6/1/2028 | 18,151 | 20,980,454 | ||||||||
Entergy Arkansas LLC | 4.95% | 12/15/2044 | 16,883 | 18,531,035 | ||||||||
Entergy Louisiana LLC | 4.00% | 3/15/2033 | 10,745 | 13,215,127 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)†(e) | 7.125% | 2/11/2025 | 43,089 | 40,083,542 | ||||||||
Exelon Corp. | 4.05% | 4/15/2030 | 11,219 | 12,977,668 | ||||||||
Florida Power & Light Co. | 2.85% | 4/1/2025 | 15,868 | 17,385,464 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 6.00% | 4/15/2025 | 12,008 | 12,600,895 | ||||||||
Indianapolis Power & Light Co.† | 4.05% | 5/1/2046 | 24,503 | 29,126,701 | ||||||||
Louisville Gas & Electric Co. | 4.375% | 10/1/2045 | 15,039 | 18,162,144 | ||||||||
Ohio Power Co. | 4.00% | 6/1/2049 | 13,988 | 16,996,691 | ||||||||
Ohio Power Co. | 4.15% | 4/1/2048 | 12,877 | 15,893,871 | ||||||||
Puget Energy, Inc.† | 4.10% | 6/15/2030 | 26,265 | 29,049,196 | ||||||||
Puget Sound Energy, Inc. | 4.223% | 6/15/2048 | 13,467 | 16,968,244 | ||||||||
Rochester Gas & Electric Corp.† | 3.10% | 6/1/2027 | 13,724 | 14,946,097 | ||||||||
Sierra Pacific Power Co. | 2.60% | 5/1/2026 | 9,730 | 10,584,820 | ||||||||
Total | 487,280,398 | |||||||||||
Electronics 1.45% | ||||||||||||
Amphenol Corp. | 2.05% | 3/1/2025 | 13,443 | 14,046,558 | ||||||||
Amphenol Corp. | 2.80% | 2/15/2030 | 31,417 | 33,466,369 | ||||||||
KLA Corp. | 4.10% | 3/15/2029 | 29,229 | 34,512,147 | ||||||||
Lam Research Corp. | 4.875% | 3/15/2049 | 17,958 | 24,934,465 | ||||||||
Micron Technology, Inc. | 5.327% | 2/6/2029 | 25,257 | 30,251,944 | ||||||||
NVIDIA Corp. | 3.20% | 9/16/2026 | 29,939 | 33,958,991 | ||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. (Netherlands)†(e) | 3.40% | 5/1/2030 | 16,808 | 18,123,425 | ||||||||
Trimble, Inc. | 4.75% | 12/1/2024 | 31,261 | 34,047,898 | ||||||||
Xilinx, Inc. | 2.95% | 6/1/2024 | 22,061 | 23,690,244 | ||||||||
Total | 247,032,041 |
See Notes to Financial Statements. | 21 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Energy: Exploration & Production 3.72% | ||||||||||||
Apache Corp. | 4.25% | 1/15/2030 | $ | 31,384 | $ | 27,175,616 | ||||||
Apache Corp. | 4.375% | 10/15/2028 | 18,022 | 15,922,163 | ||||||||
Apache Corp. | 4.75% | 4/15/2043 | 6,798 | 5,481,760 | ||||||||
Apache Corp. | 5.10% | 9/1/2040 | 17,064 | 14,039,519 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 18,176 | 14,787,267 | ||||||||
Callon Petroleum Co. | 6.125% | 10/1/2024 | 17,958 | 6,161,839 | ||||||||
Centennial Resource Production LLC† | 5.375% | 1/15/2026 | 28,273 | 15,085,342 | ||||||||
Centennial Resource Production LLC† | 6.875% | 4/1/2027 | 44,083 | 23,492,051 | ||||||||
Continental Resources, Inc. | 4.375% | 1/15/2028 | 39,755 | 35,064,308 | ||||||||
Continental Resources, Inc. | 4.50% | 4/15/2023 | 17,398 | 16,650,756 | ||||||||
Diamondback Energy, Inc. | 3.50% | 12/1/2029 | 18,892 | 18,287,132 | ||||||||
Diamondback Energy, Inc. | 4.75% | 5/31/2025 | 7,831 | 8,383,968 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.50% | 1/30/2026 | 15,868 | 15,239,706 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.75% | 1/30/2028 | 18,862 | 18,151,185 | ||||||||
EQT Corp. | 6.125% | 2/1/2025 | 23,602 | 23,560,932 | ||||||||
HighPoint Operating Corp. | 7.00% | 10/15/2022 | 15,831 | 3,855,086 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.00% | 12/1/2024 | 19,212 | 16,592,348 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | 20,006 | 16,126,036 | ||||||||
Indigo Natural Resources LLC† | 6.875% | 2/15/2026 | 34,773 | 32,448,599 | ||||||||
Jagged Peak Energy LLC | 5.875% | 5/1/2026 | 15,687 | 15,262,902 | ||||||||
Laredo Petroleum, Inc. | 10.125% | 1/15/2028 | 35,291 | 24,439,017 | ||||||||
MEG Energy Corp. (Canada)†(e) | 7.00% | 3/31/2024 | 20,154 | 17,334,556 | ||||||||
MEG Energy Corp. (Canada)†(e) | 7.125% | 2/1/2027 | 53,847 | 44,894,936 | ||||||||
Murphy Oil Corp. | 5.75% | 8/15/2025 | 14,826 | 13,426,796 | ||||||||
Murphy Oil Corp. | 5.875% | 12/1/2027 | 15,253 | 13,436,978 | ||||||||
Murphy Oil Corp. | 6.875% | 8/15/2024 | 10,558 | 9,899,234 | ||||||||
Oasis Petroleum, Inc.† | 6.25% | 5/1/2026 | 3,225 | 542,300 | ||||||||
Oasis Petroleum, Inc. | 6.875% | 3/15/2022 | 22,099 | 3,715,394 | ||||||||
OGX Austria GmbH (Brazil)†(e)(l) | 8.50% | 6/1/2018 | 20,000 | 400 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 5.375% | 1/15/2025 | 18,078 | 17,620,446 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 5.625% | 10/15/2027 | 23,096 | 22,803,027 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 35,334 | 32,265,419 | ||||||||
Seven Generations Energy Ltd. (Canada)†(e) | 5.375% | 9/30/2025 | 18,584 | 16,411,809 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 14,228 | 7,013,052 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 17,841 | 9,035,396 | ||||||||
Southwestern Energy Co. | 6.20% | 1/23/2025 | 10,798 | 9,279,369 | ||||||||
Southwestern Energy Co. | 7.50% | 4/1/2026 | 5,508 | 4,838,530 | ||||||||
Southwestern Energy Co. | 7.75% | 10/1/2027 | 16,397 | 14,317,123 |
22 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Energy: Exploration & Production (continued) | ||||||||||||
Texaco Capital, Inc. | 8.625% | 11/15/2031 | $ | 11,023 | $ | 17,715,997 | ||||||
WPX Energy, Inc. | 5.25% | 10/15/2027 | 15,243 | 14,265,581 | ||||||||
Total | 635,023,875 | |||||||||||
Environmental 0.07% | ||||||||||||
Waste Pro USA, Inc.† | 5.50% | 2/15/2026 | 13,381 | 12,810,902 | ||||||||
Food & Drug Retailers 0.33% | ||||||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 4.625% | 1/15/2027 | 10,224 | 10,234,786 | ||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 4.875% | 2/15/2030 | 17,549 | 17,972,458 | ||||||||
Rite Aid Corp.† | 6.125% | 4/1/2023 | 28,216 | 27,485,911 | ||||||||
Total | 55,693,155 | |||||||||||
Food: Wholesale 2.43% | ||||||||||||
Arcor SAIC (Argentina)†(e) | 6.00% | 7/6/2023 | 26,221 | 23,639,805 | ||||||||
BRF SA (Brazil)†(e) | 4.875% | 1/24/2030 | 17,826 | 16,823,287 | ||||||||
Campbell Soup Co. | 3.125% | 4/24/2050 | 49,475 | 50,840,915 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 25,074 | 24,274,516 | ||||||||
FAGE International SA/FAGE USA Dairy Industry, Inc. (Luxembourg)†(e) | 5.625% | 8/15/2026 | 18,758 | 17,699,298 | ||||||||
General Mills, Inc. | 2.875% | 4/15/2030 | 7,342 | 7,998,793 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 6.75% | 2/15/2028 | 60,038 | 63,554,426 | ||||||||
Kraft Heinz Foods Co.† | 3.75% | 4/1/2030 | 10,503 | 10,851,223 | ||||||||
Kraft Heinz Foods Co. | 4.375% | 6/1/2046 | 18,370 | 18,080,483 | ||||||||
Kraft Heinz Foods Co. | 4.625% | 1/30/2029 | 5,403 | 5,827,328 | ||||||||
Kraft Heinz Foods Co. | 5.00% | 7/15/2035 | 12,508 | 13,772,665 | ||||||||
Kraft Heinz Foods Co. | 5.00% | 6/4/2042 | 18,238 | 19,236,486 | ||||||||
Lamb Weston Holdings, Inc.† | 4.625% | 11/1/2024 | 12,447 | 12,946,187 | ||||||||
McCormick & Co., Inc. | 2.50% | 4/15/2030 | 15,431 | 16,127,347 | ||||||||
McCormick & Co., Inc. | 4.20% | 8/15/2047 | 21,326 | 25,443,942 | ||||||||
MHP Lux SA (Luxembourg)†(e) | 6.95% | 4/3/2026 | 17,930 | 18,275,368 | ||||||||
Smithfield Foods, Inc.† | 5.20% | 4/1/2029 | 34,832 | 37,709,138 | ||||||||
Sysco Corp. | 2.40% | 2/15/2030 | 17,926 | 17,753,417 | ||||||||
Sysco Corp. | 6.60% | 4/1/2050 | 10,289 | 14,188,018 | ||||||||
Total | 415,042,642 | |||||||||||
Forestry/Paper 0.08% | ||||||||||||
Norbord, Inc. (Canada)†(e) | 6.25% | 4/15/2023 | 12,245 | 12,963,108 |
See Notes to Financial Statements. | 23 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Gaming 1.92% | ||||||||||||
Boyd Gaming Corp.† | 4.75% | 12/1/2027 | $ | 19,343 | $ | 16,641,557 | ||||||
Boyd Gaming Corp. | 6.00% | 8/15/2026 | 13,793 | 12,876,593 | ||||||||
Caesars Resort Collection LLC/CRC Finco, Inc.† | 5.25% | 10/15/2025 | 24,648 | 21,480,978 | ||||||||
Colt Merger Sub, Inc.†(j) | 5.75% | 7/1/2025 | 9,657 | 9,729,427 | ||||||||
Colt Merger Sub, Inc.†(j) | 8.125% | 7/1/2027 | 15,961 | 15,561,975 | ||||||||
Eldorado Resorts, Inc. | 6.00% | 4/1/2025 | 7,234 | 7,549,728 | ||||||||
Eldorado Resorts, Inc. | 6.00% | 9/15/2026 | 8,789 | 9,515,499 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 4.00% | 1/15/2031 | 19,903 | 19,715,713 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.75% | 6/1/2028 | 18,808 | 20,775,411 | ||||||||
Las Vegas Sands Corp. | 3.50% | 8/18/2026 | 18,000 | 17,963,741 | ||||||||
Las Vegas Sands Corp. | 3.90% | 8/8/2029 | 15,210 | 15,004,455 | ||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.† | 4.625% | 6/15/2025 | 13,662 | 13,441,085 | ||||||||
Mohegan Gaming & Entertainment† | 7.875% | 10/15/2024 | 16,392 | 13,665,109 | ||||||||
Penn National Gaming, Inc.† | 5.625% | 1/15/2027 | 25,676 | 24,044,033 | ||||||||
Scientific Games International, Inc.† | 7.00% | 5/15/2028 | 16,124 | 12,926,450 | ||||||||
Scientific Games International, Inc.† | 7.25% | 11/15/2029 | 16,014 | 12,838,264 | ||||||||
Scientific Games International, Inc.† | 8.25% | 3/15/2026 | 11,755 | 10,452,605 | ||||||||
Stars Group Holdings BV/Stars Group US Co-Borrower LLC (Netherlands)†(e) | 7.00% | 7/15/2026 | 15,242 | 16,102,182 | ||||||||
Wynn Macau Ltd. (Macau)†(e) | 5.125% | 12/15/2029 | 21,396 | 20,807,610 | ||||||||
Wynn Macau Ltd. (Macau)†(e) | 5.50% | 10/1/2027 | 36,932 | 36,669,967 | ||||||||
Total | 327,762,382 | |||||||||||
Gas Distribution 2.34% | ||||||||||||
AI Candelaria Spain SLU (Spain)†(e) | 7.50% | 12/15/2028 | 18,965 | 19,222,165 | ||||||||
Buckeye Partners LP | 6.375% (3 Mo. LIBOR + 4.02% | )# | 1/22/2078 | 45,048 | 33,078,521 | |||||||
Colonial Enterprises, Inc.† | 3.25% | 5/15/2030 | 11,253 | 12,213,236 | ||||||||
Dominion Energy Gas Holdings LLC | 3.60% | 12/15/2024 | 12,050 | 13,239,527 | ||||||||
Florida Gas Transmission Co. LLC† | 4.35% | 7/15/2025 | 18,069 | 20,301,667 | ||||||||
Midwest Connector Capital Co. LLC† | 4.625% | 4/1/2029 | 31,439 | 33,930,373 | ||||||||
National Fuel Gas Co. | 5.50% | 1/15/2026 | 49,743 | 52,974,988 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 32,573 | 35,809,680 | ||||||||
Northern Natural Gas Co.† | 4.30% | 1/15/2049 | 20,972 | 25,125,593 | ||||||||
ONE Gas, Inc. | 4.50% | 11/1/2048 | 13,497 | 17,128,032 | ||||||||
Plains All American Pipeline LP | 6.125% (3 Mo. LIBOR + 4.11% | )# | – | (k) | 27,434 | 19,609,290 | ||||||
Sabal Trail Transmission LLC† | 4.246% | 5/1/2028 | 20,166 | 22,542,070 | ||||||||
Sabine Pass Liquefaction LLC† | 4.50% | 5/15/2030 | 13,663 | 15,115,530 |
24 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Gas Distribution (continued) | ||||||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | $ | 16,126 | $ | 16,128,727 | ||||||
Transportadora de Gas Internacional SA ESP (Colombia)†(e) | 5.55% | 11/1/2028 | 24,773 | 27,098,194 | ||||||||
Western Midstream Operating LP | 3.10% | 2/1/2025 | 3,699 | 3,513,236 | ||||||||
Western Midstream Operating LP | 3.95% | 6/1/2025 | 3,831 | 3,607,729 | ||||||||
Western Midstream Operating LP | 4.05% | 2/1/2030 | 30,452 | 29,423,484 | ||||||||
Total | 400,062,042 | |||||||||||
Health Facilities 2.97% | ||||||||||||
AHP Health Partners, Inc.† | 9.75% | 7/15/2026 | 15,527 | 16,009,269 | ||||||||
Ascension Health | 3.945% | 11/15/2046 | 8,881 | 11,136,262 | ||||||||
CHS/Community Health Systems, Inc.† | 8.125% | 6/30/2024 | 32,988 | 22,204,718 | ||||||||
Dignity Health | 3.812% | 11/1/2024 | 7,500 | 7,888,881 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 60,149 | 73,388,499 | ||||||||
HCA, Inc. | 7.05% | 12/1/2027 | 3,490 | 3,914,262 | ||||||||
HCA, Inc. | 7.58% | 9/15/2025 | 5,778 | 6,673,590 | ||||||||
HCA, Inc. | 7.69% | 6/15/2025 | 12,776 | 14,611,209 | ||||||||
HCA, Inc. | 8.36% | 4/15/2024 | 2,295 | 2,650,725 | ||||||||
LifePoint Health, Inc.† | 4.375% | 2/15/2027 | 35,115 | 33,271,462 | ||||||||
MEDNAX, Inc.† | 6.25% | 1/15/2027 | 27,016 | 27,109,340 | ||||||||
Memorial Sloan-Kettering Cancer Center | 4.20% | 7/1/2055 | 28,034 | 36,873,522 | ||||||||
Mount Sinai Hospitals Group, Inc. | 3.737% | 7/1/2049 | 21,163 | 22,674,662 | ||||||||
MPT Operating Partnership LP/MPT Finance Corp. | 5.00% | 10/15/2027 | 16,011 | 16,501,817 | ||||||||
New York & Presbyterian Hospital (The) | 4.063% | 8/1/2056 | 16,078 | 20,078,890 | ||||||||
NYU Langone Hospitals | 4.368% | 7/1/2047 | 12,348 | 13,992,246 | ||||||||
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/2029 | 14,960 | 15,614,215 | ||||||||
Quest Diagnostics, Inc. | 2.80% | 6/30/2031 | 13,505 | 14,186,934 | ||||||||
Rede D’or Finance Sarl (Luxembourg)†(e) | 4.95% | 1/17/2028 | 20,352 | 19,269,579 | ||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.† | 9.75% | 12/1/2026 | 20,282 | 20,751,630 | ||||||||
Surgery Center Holdings, Inc.† | 10.00% | 4/15/2027 | 15,305 | 15,359,486 | ||||||||
Tenet Healthcare Corp.† | 4.875% | 1/1/2026 | 11,230 | 11,016,405 | ||||||||
Tenet Healthcare Corp. | 5.125% | 5/1/2025 | 20,960 | 20,251,762 | ||||||||
Tenet Healthcare Corp.† | 6.25% | 2/1/2027 | 42,711 | 42,523,926 | ||||||||
Tenet Healthcare Corp. | 6.75% | 6/15/2023 | 19,692 | 19,564,002 | ||||||||
Total | 507,517,293 | |||||||||||
Health Services 0.67% | ||||||||||||
CVS Health Corp. | 3.625% | 4/1/2027 | 15,780 | 17,751,971 | ||||||||
DaVita, Inc. | 5.00% | 5/1/2025 | 20,324 | 20,801,614 |
See Notes to Financial Statements. | 25 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Services (continued) | ||||||||||||
Hadrian Merger Sub, Inc.† | 8.50% | 5/1/2026 | $ | 29,836 | $ | 27,119,134 | ||||||
Montefiore Obligated Group | 5.246% | 11/1/2048 | 18,042 | 20,187,157 | ||||||||
Verscend Escrow Corp.† | 9.75% | 8/15/2026 | 26,792 | 28,944,067 | ||||||||
Total | 114,803,943 | |||||||||||
Hotels 0.50% | ||||||||||||
ESH Hospitality, Inc.† | 4.625% | 10/1/2027 | 8,665 | 8,159,744 | ||||||||
Hilton Domestic Operating Co., Inc. | 4.875% | 1/15/2030 | 18,327 | 18,093,881 | ||||||||
Hilton Domestic Operating Co., Inc. | 5.125% | 5/1/2026 | 42,165 | 42,130,846 | ||||||||
Marriott International, Inc. | 5.75% | 5/1/2025 | 14,908 | 16,264,006 | ||||||||
Total | 84,648,477 | |||||||||||
Insurance Brokerage 0.19% | ||||||||||||
Farmers Insurance Exchange† | 4.747% (3 Mo. LIBOR + 3.23% | )# | 11/1/2057 | 15,790 | 15,990,717 | |||||||
HUB International Ltd.† | 7.00% | 5/1/2026 | 15,861 | 15,876,940 | ||||||||
Total | 31,867,657 | |||||||||||
Integrated Energy 2.53% | ||||||||||||
Cenovus Energy, Inc. (Canada)(e) | 5.40% | 6/15/2047 | 86,819 | 74,606,407 | ||||||||
Exxon Mobil Corp. | 3.043% | 3/1/2026 | 23,752 | 26,122,227 | ||||||||
Hess Corp. | 5.60% | 2/15/2041 | 38,589 | 40,530,540 | ||||||||
Hess Corp. | 5.80% | 4/1/2047 | 29,053 | 31,566,234 | ||||||||
Lukoil Securities BV (Netherlands)†(e) | 3.875% | 5/6/2030 | 45,000 | 46,968,750 | ||||||||
Occidental Petroleum Corp. | 2.70% | 8/15/2022 | 50,389 | 47,002,607 | ||||||||
Occidental Petroleum Corp. | 2.70% | 2/15/2023 | 6,573 | 6,022,511 | ||||||||
Occidental Petroleum Corp. | 3.125% | 2/15/2022 | 15,064 | 14,502,113 | ||||||||
Petrobras Global Finance BV (Netherlands)(e) | 5.60% | 1/3/2031 | 23,542 | 23,668,538 | ||||||||
Petroleos Mexicanos (Mexico)(e) | 6.875% | 8/4/2026 | 45,082 | 42,699,642 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(e) | 4.375% | 4/16/2049 | 30,522 | 34,568,256 | ||||||||
Shell International Finance BV (Netherlands)(e) | 6.375% | 12/15/2038 | 28,912 | 43,416,142 | ||||||||
Total | 431,673,967 | |||||||||||
Investments & Miscellaneous Financial Services 0.29% | ||||||||||||
AG Issuer LLC† | 6.25% | 3/1/2028 | 7,470 | 6,965,775 | ||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 24,794 | 16,673,965 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 25,236 | 26,693,411 | ||||||||
Total | 50,333,151 |
26 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Life Insurance 0.58% | ||||||||||||
AIA Group Ltd. (Hong Kong)†(e) | 3.375% | 4/7/2030 | $ | 17,824 | $ | 19,494,805 | ||||||
Northwestern Mutual Life Insurance Co. (The)† | 3.85% | 9/30/2047 | 28,610 | 32,814,646 | ||||||||
Nuveen Finance LLC† | 4.125% | 11/1/2024 | 7,927 | 8,951,403 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.27% | 5/15/2047 | 17,804 | 21,193,981 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 12,705 | 16,368,191 | ||||||||
Total | 98,823,026 | |||||||||||
Machinery 0.37% | ||||||||||||
IDEX Corp. | 3.00% | 5/1/2030 | 16,199 | 16,920,855 | ||||||||
Itron, Inc.† | 5.00% | 1/15/2026 | 14,399 | 14,396,264 | ||||||||
Roper Technologies, Inc. | 4.20% | 9/15/2028 | 19,379 | 22,736,577 | ||||||||
Xylem, Inc. | 3.25% | 11/1/2026 | 8,884 | 9,820,023 | ||||||||
Total | 63,873,719 | |||||||||||
Managed Care 1.23% | ||||||||||||
Anthem, Inc. | 2.25% | 5/15/2030 | 26,990 | 27,803,319 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 30,763 | 31,109,853 | ||||||||
Centene Corp. | 4.25% | 12/15/2027 | 20,773 | 21,483,956 | ||||||||
Centene Corp. | 4.625% | 12/15/2029 | 31,215 | 33,127,543 | ||||||||
Centene Corp. | 4.75% | 1/15/2025 | 8,928 | 9,150,843 | ||||||||
Centene Corp.† | 5.375% | 6/1/2026 | 20,972 | 21,826,085 | ||||||||
Kaiser Foundation Hospitals | 4.15% | 5/1/2047 | 17,628 | 23,076,733 | ||||||||
Molina Healthcare, Inc.† | 4.875% | 6/15/2025 | 19,176 | 19,341,776 | ||||||||
MPH Acquisition Holdings LLC† | 7.125% | 6/1/2024 | 24,490 | 22,867,170 | ||||||||
Total | 209,787,278 | |||||||||||
Media: Content 1.70% | ||||||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | 27,032 | 26,602,326 | ||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.† | 5.375% | 8/15/2026 | 31,006 | 22,631,900 | ||||||||
Gray Television, Inc.† | 5.875% | 7/15/2026 | 9,833 | 9,818,890 | ||||||||
Netflix, Inc.† | 3.625% | 6/15/2025 | 6,617 | 6,695,577 | ||||||||
Netflix, Inc.(c) | 3.625% | 5/15/2027 | EUR | 50,197 | 58,878,309 | |||||||
Netflix, Inc.(c) | 3.625% | 6/15/2030 | EUR | 5,000 | 5,792,483 | |||||||
Netflix, Inc.†(c) | 3.625% | 6/15/2030 | EUR | 13,504 | 15,644,338 | |||||||
Netflix, Inc.†(c) | 3.875% | 11/15/2029 | EUR | 9,011 | 10,662,292 | |||||||
Netflix, Inc. | 4.875% | 4/15/2028 | $ | 36,655 | 39,253,839 | |||||||
Netflix, Inc. | 5.50% | 2/15/2022 | 5,323 | 5,567,193 |
See Notes to Financial Statements. | 27 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media: Content (continued) | ||||||||||||
Nexstar Broadcasting, Inc.† | 5.625% | 7/15/2027 | $ | 23,661 | $ | 23,720,862 | ||||||
Sirius XM Radio, Inc.† | 5.00% | 8/1/2027 | 11,533 | 11,847,678 | ||||||||
Sirius XM Radio, Inc.† | 5.375% | 7/15/2026 | 10,495 | 10,871,718 | ||||||||
Univision Communications, Inc.† | 5.125% | 2/15/2025 | 43,820 | 41,410,119 | ||||||||
Total | 289,397,524 | |||||||||||
Media: Diversified 0.32% | ||||||||||||
Cable Onda SA (Panama)†(e) | 4.50% | 1/30/2030 | 24,283 | 24,651,737 | ||||||||
Prosus NV (Netherlands)†(e) | 3.68% | 1/21/2030 | 28,534 | 29,941,931 | ||||||||
Total | 54,593,668 | |||||||||||
Medical Products 0.52% | ||||||||||||
Alcon Finance Corp.† | 2.60% | 5/27/2030 | 23,575 | 24,260,646 | ||||||||
Baxter International, Inc.† | 3.75% | 10/1/2025 | 13,842 | 15,781,869 | ||||||||
Boston Scientific Corp. | 7.00% | 11/15/2035 | 16,135 | 22,934,851 | ||||||||
Edwards Lifesciences Corp. | 4.30% | 6/15/2028 | 20,927 | 24,977,933 | ||||||||
Total | 87,955,299 | |||||||||||
Metals/Mining (Excluding Steel) 1.47% | ||||||||||||
Anglo American Capital PLC (United Kingdom)†(e) | 5.625% | 4/1/2030 | 17,340 | 20,980,623 | ||||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP (Canada)†(e) | 8.75% | 7/15/2026 | 18,211 | 17,888,938 | ||||||||
Corp. Nacional del Cobre de Chile (Chile)†(e) | 3.75% | 1/15/2031 | 5,600 | 6,122,592 | ||||||||
Freeport-McMoRan, Inc. | 3.875% | 3/15/2023 | 65,271 | 65,486,394 | ||||||||
Freeport-McMoRan, Inc. | 4.125% | 3/1/2028 | 19,839 | 19,290,154 | ||||||||
Freeport-McMoRan, Inc. | 4.25% | 3/1/2030 | 15,974 | 15,509,796 | ||||||||
Freeport-McMoRan, Inc. | 5.25% | 9/1/2029 | 11,700 | 12,017,538 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 17,694 | 18,003,645 | ||||||||
Mirabela Nickel Ltd. (Australia)(e) | 1.00% | 9/10/2044 | 185 | 19 | (b) | |||||||
Newmont Corp. | 2.25% | 10/1/2030 | 31,484 | 31,970,956 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 16,848 | 16,226,562 | ||||||||
Teck Resources Ltd. (Canada)†(e) | 3.90% | 7/15/2030 | 10,828 | 10,865,254 | ||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 16,616 | 16,213,560 | ||||||||
Total | 250,576,031 | |||||||||||
Monoline Insurance 0.18% | ||||||||||||
Fidelity National Financial, Inc. | 4.50% | 8/15/2028 | 26,914 | 30,330,888 | ||||||||
Multi-Line Insurance 0.09% | ||||||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 14,558 | 14,689,363 |
28 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Non-Electric Utilities 0.08% | ||||||||||||
Brooklyn Union Gas Co. (The)† | 3.407% | 3/10/2026 | $ | 11,916 | $ | 13,116,814 | ||||||
Oil Field Equipment & Services 0.50% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(e) | 4.60% | 11/2/2047 | 28,472 | 33,778,469 | ||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 11,763 | 8,917,824 | ||||||||
Oceaneering International, Inc. | 6.00% | 2/1/2028 | 25,383 | 17,858,463 | ||||||||
Transocean Phoenix 2 Ltd.† | 7.75% | 10/15/2024 | 6,079 | 5,760,279 | ||||||||
Transocean Pontus Ltd.† | 6.125% | 8/1/2025 | 11,838 | 10,417,260 | ||||||||
Transocean Proteus Ltd.† | 6.25% | 12/1/2024 | 8,613 | 7,966,563 | ||||||||
Total | 84,698,858 | |||||||||||
Oil Refining & Marketing 0.39% | ||||||||||||
Citgo Holding, Inc.† | 9.25% | 8/1/2024 | 21,838 | 21,783,405 | ||||||||
CITGO Petroleum Corp.† | 7.00% | 6/15/2025 | 13,655 | 13,706,206 | ||||||||
PBF Holding Co. LLC/PBF Finance Corp.† | 6.00% | 2/15/2028 | 20,958 | 17,447,535 | ||||||||
PBF Holding Co. LLC/PBF Finance Corp.† | 9.25% | 5/15/2025 | 13,171 | 14,084,738 | ||||||||
Total | 67,021,884 | |||||||||||
Packaging 0.25% | ||||||||||||
Crown Cork & Seal Co., Inc. | 7.375% | 12/15/2026 | 11,810 | 13,859,743 | ||||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 12,427 | 14,739,168 | ||||||||
Trivium Packaging Finance BV (Netherlands)†(e) | 5.50% | 8/15/2026 | 13,996 | 14,188,445 | ||||||||
Total | 42,787,356 | |||||||||||
Personal & Household Products 1.51% | ||||||||||||
Clorox Co. (The) | 1.80% | 5/15/2030 | 13,504 | 13,650,235 | ||||||||
Coty, Inc.† | 6.50% | 4/15/2026 | 19,236 | 16,411,290 | ||||||||
Hasbro, Inc. | 3.90% | 11/19/2029 | 44,903 | 46,839,184 | ||||||||
Hasbro, Inc. | 5.10% | 5/15/2044 | 24,241 | 24,851,061 | ||||||||
Mattel, Inc.† | 5.875% | 12/15/2027 | 16,278 | 16,938,887 | ||||||||
Mattel, Inc.† | 6.75% | 12/31/2025 | 23,059 | 23,963,720 | ||||||||
Newell Brands, Inc. | 4.70% | 4/1/2026 | 76,643 | 80,502,741 | ||||||||
Newell Brands, Inc. | 5.875% | 4/1/2036 | 15,478 | 16,580,807 | ||||||||
Revlon Consumer Products Corp. | 5.75% | 2/15/2021 | 2,098 | 1,285,686 | ||||||||
SC Johnson & Son, Inc.† | 4.75% | 10/15/2046 | 12,635 | 16,220,235 | ||||||||
Total | 257,243,846 | |||||||||||
Pharmaceuticals 1.33% | ||||||||||||
AbbVie, Inc.† | 3.20% | 11/21/2029 | 26,942 | 30,082,153 | ||||||||
AbbVie, Inc.† | 4.25% | 11/21/2049 | 14,179 | 17,072,011 | ||||||||
Bausch Health Americas, Inc.† | 8.50% | 1/31/2027 | 18,551 | 19,723,887 |
See Notes to Financial Statements. | 29 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Pharmaceuticals (continued) | ||||||||||||
Bausch Health Cos, Inc.† | 5.00% | 1/30/2028 | $ | 8,405 | $ | 7,923,730 | ||||||
Bausch Health Cos, Inc.† | 5.25% | 1/30/2030 | 10,346 | 9,827,355 | ||||||||
Bausch Health Cos., Inc.† | 6.125% | 4/15/2025 | 8,609 | 8,743,989 | ||||||||
Bausch Health Cos., Inc.† | 7.00% | 3/15/2024 | 12,232 | 12,716,020 | ||||||||
Eli Lilly and Co. | 2.25% | 5/15/2050 | 69,805 | 67,140,854 | ||||||||
Pfizer, Inc. | 2.625% | 4/1/2030 | 13,461 | 14,827,371 | ||||||||
Teva Pharmaceutical Finance Co. BV (Curacao)(e) | 2.95% | 12/18/2022 | 24,675 | 23,866,277 | ||||||||
Zoetis, Inc. | 3.90% | 8/20/2028 | 13,486 | 15,901,788 | ||||||||
Total | 227,825,435 | |||||||||||
Property & Casualty 0.31% | ||||||||||||
Allstate Corp. (The) | 3.28% | 12/15/2026 | 13,471 | 15,395,754 | ||||||||
Arch Capital Finance LLC | 4.011% | 12/15/2026 | 13,319 | 15,114,201 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 19,241 | 22,232,266 | ||||||||
Total | 52,742,221 | |||||||||||
Rail 0.34% | ||||||||||||
Central Japan Railway Co. (Japan)†(e) | 4.25% | 11/24/2045 | 17,006 | 21,623,694 | ||||||||
China Railway Xunjie Co. Ltd. (China)(e) | 3.25% | 7/28/2026 | 13,800 | 14,969,043 | ||||||||
Rumo Luxembourg Sarl (Luxembourg)†(e) | 5.875% | 1/18/2025 | 20,674 | 21,864,926 | ||||||||
Total | 58,457,663 | |||||||||||
Real Estate Development & Management 0.34% | ||||||||||||
CoStar Group, Inc.†(j) | 2.80% | 7/15/2030 | 17,267 | 17,703,887 | ||||||||
Kaisa Group Holdings Ltd. (China)(e) | 9.375% | 6/30/2024 | 17,500 | 16,076,225 | ||||||||
Ontario Teachers’ Cadillac Fairview Properties Trust (Canada)†(e) | 3.875% | 3/20/2027 | 23,275 | 24,997,754 | ||||||||
Total | 58,777,866 | |||||||||||
Real Estate Investment Trusts 0.67% | ||||||||||||
Alexandria Real Estate Equities, Inc. | 3.80% | 4/15/2026 | 6,288 | 7,064,536 | ||||||||
Alexandria Real Estate Equities, Inc. | 3.95% | 1/15/2028 | 14,750 | 16,845,043 | ||||||||
Alexandria Real Estate Equities, Inc. | 4.90% | 12/15/2030 | 7,100 | 8,877,844 | ||||||||
American Homes 4 Rent LP | 4.25% | 2/15/2028 | 3,051 | 3,266,437 | ||||||||
American Homes 4 Rent LP | 4.90% | 2/15/2029 | 7,040 | 7,860,842 | ||||||||
Goodman US Finance Four LLC† | 4.50% | 10/15/2037 | 12,258 | 14,039,057 | ||||||||
Goodman US Finance Three LLC† | 3.70% | 3/15/2028 | 7,763 | 8,404,468 | ||||||||
Hudson Pacific Properties LP | 3.95% | 11/1/2027 | 20,493 | 21,267,798 | ||||||||
Prologis LP | 3.875% | 9/15/2028 | 8,980 | 10,652,235 | ||||||||
Prologis LP | 4.375% | 2/1/2029 | 12,550 | 15,274,061 | ||||||||
Total | 113,552,321 |
30 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Recreation & Travel 0.78% | ||||||||||||
Carnival Corp.† | 11.50% | 4/1/2023 | $ | 35,826 | $ | 38,779,426 | ||||||
Merlin Entertainments Ltd. (United Kingdom)†(e) | 5.75% | 6/15/2026 | 8,041 | 7,773,557 | ||||||||
Royal Caribbean Cruises Ltd.† | 9.125% | 6/15/2023 | 12,274 | 12,183,570 | ||||||||
Royal Caribbean Cruises Ltd.† | 11.50% | 6/1/2025 | 23,800 | 24,828,996 | ||||||||
Silversea Cruise Finance Ltd.† | 7.25% | 2/1/2025 | 18,091 | 17,116,709 | ||||||||
Viking Cruises Ltd.† | 5.875% | 9/15/2027 | 26,060 | 15,575,671 | ||||||||
Viking Cruises Ltd.† | 13.00% | 5/15/2025 | 15,587 | 16,512,478 | ||||||||
Total | 132,770,407 | |||||||||||
Reinsurance 0.59% | ||||||||||||
AXIS Specialty Finance plc (United Kingdom)(e) | 5.15% | 4/1/2045 | 21,094 | 25,571,550 | ||||||||
Berkshire Hathaway, Inc. | 2.75% | 3/15/2023 | 7,903 | 8,372,151 | ||||||||
Berkshire Hathaway, Inc. | 3.125% | 3/15/2026 | 7,903 | 8,860,165 | ||||||||
PartnerRe Finance B LLC | 3.70% | 7/2/2029 | 26,944 | 29,637,874 | ||||||||
Transatlantic Holdings, Inc. | 8.00% | 11/30/2039 | 17,809 | 27,478,679 | ||||||||
Total | 99,920,419 | |||||||||||
Restaurants 0.76% | ||||||||||||
Darden Restaurants, Inc. | 4.55% | 2/15/2048 | 4,853 | 4,623,958 | ||||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | 24,585 | 23,566,198 | ||||||||
IRB Holding Corp.† | 7.00% | 6/15/2025 | 12,820 | 13,212,612 | ||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC† | 4.75% | 6/1/2027 | 25,312 | 26,018,331 | ||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC† | 5.00% | 6/1/2024 | 14,574 | 14,885,228 | ||||||||
Starbucks Corp. | 4.45% | 8/15/2049 | 39,350 | 47,614,183 | ||||||||
Total | 129,920,510 | |||||||||||
Software/Services 3.00% | ||||||||||||
Autodesk, Inc. | 3.50% | 6/15/2027 | 27,008 | 30,481,343 | ||||||||
Banff Merger Sub, Inc.† | 9.75% | 9/1/2026 | 15,289 | 15,419,874 | ||||||||
Global Payments, Inc. | 2.90% | 5/15/2030 | 41,296 | 43,244,346 | ||||||||
Global Payments, Inc. | 4.15% | 8/15/2049 | 22,442 | 25,740,737 | ||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc.† | 5.25% | 12/1/2027 | 11,226 | 11,448,443 | ||||||||
GrubHub Holdings, Inc.† | 5.50% | 7/1/2027 | 17,074 | 17,496,667 | ||||||||
Intuit, Inc. | 0.95% | 7/15/2025 | 9,023 | 9,041,659 | ||||||||
Intuit, Inc. | 1.65% | 7/15/2030 | 18,048 | 18,021,835 | ||||||||
j2 Cloud Services LLC/j2 Global Co-Obligor, Inc.† | 6.00% | 7/15/2025 | 13,134 | 13,398,059 | ||||||||
Match Group, Inc.† | 5.00% | 12/15/2027 | 22,260 | 23,241,889 | ||||||||
Microsoft Corp. | 3.125% | 11/3/2025 | 40,202 | 45,131,792 |
See Notes to Financial Statements. | 31 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Software/Services (continued) | ||||||||||||
Microsoft Corp. | 3.30% | 2/6/2027 | $ | 26,383 | $ | 30,188,458 | ||||||
PayPal Holdings, Inc. | 3.25% | 6/1/2050 | 47,393 | 51,856,812 | ||||||||
PTC, Inc.† | 3.625% | 2/15/2025 | 11,211 | 11,154,945 | ||||||||
PTC, Inc.† | 4.00% | 2/15/2028 | 22,263 | 22,153,021 | ||||||||
salesforce.com, Inc. | 3.70% | 4/11/2028 | 17,807 | 20,787,935 | ||||||||
Tencent Holdings Ltd. (China)†(e) | 3.595% | 1/19/2028 | 19,777 | 21,599,225 | ||||||||
Tencent Holdings Ltd. (China)†(e) | 3.925% | 1/19/2038 | 23,479 | 26,421,623 | ||||||||
VeriSign, Inc. | 4.75% | 7/15/2027 | 21,815 | 22,966,941 | ||||||||
VeriSign, Inc. | 5.25% | 4/1/2025 | 15,945 | 17,700,624 | ||||||||
Veritas US, Inc./Veritas Bermuda Ltd.† | 10.50% | 2/1/2024 | 20,022 | 17,992,670 | ||||||||
Visa, Inc. | 3.15% | 12/14/2025 | 14,645 | 16,350,360 | ||||||||
Total | 511,839,258 | |||||||||||
Specialty Retail 1.66% | ||||||||||||
AutoNation, Inc. | 4.75% | 6/1/2030 | 10,463 | 11,357,652 | ||||||||
Best Buy Co., Inc. | 4.45% | 10/1/2028 | 15,806 | 18,347,721 | ||||||||
eG Global Finance plc (United Kingdom)†(e) | 8.50% | 10/30/2025 | 22,482 | 23,088,564 | ||||||||
Gap, Inc. (The)† | 8.625% | 5/15/2025 | 17,736 | 18,855,585 | ||||||||
Gap, Inc. (The)† | 8.875% | 5/15/2027 | 7,984 | 8,597,770 | ||||||||
JD.com, Inc. (China)(e) | 3.375% | 1/14/2030 | 16,606 | 17,833,092 | ||||||||
JD.com, Inc. (China)(e) | 4.125% | 1/14/2050 | 31,012 | 33,090,192 | ||||||||
Murphy Oil USA, Inc. | 4.75% | 9/15/2029 | 14,991 | 15,363,002 | ||||||||
NIKE, Inc. | 2.40% | 3/27/2025 | 20,735 | 22,314,253 | ||||||||
Penske Automotive Group, Inc. | 5.50% | 5/15/2026 | 4,053 | 4,052,250 | ||||||||
PetSmart, Inc.† | 5.875% | 6/1/2025 | 15,768 | 15,856,380 | ||||||||
PetSmart, Inc.† | 7.125% | 3/15/2023 | 17,395 | 17,186,956 | ||||||||
Seven & i Holdings Co. Ltd. (Japan)†(e) | 3.35% | 9/17/2021 | 31,997 | 32,869,927 | ||||||||
Tiffany & Co. | 4.90% | 10/1/2044 | 24,318 | 29,083,240 | ||||||||
WW International, Inc.† | 8.625% | 12/1/2025 | 15,449 | 15,960,748 | ||||||||
Total | 283,857,332 | |||||||||||
Steel Producers/Products 0.25% | ||||||||||||
CSN Islands XI Corp. (Brazil)†(e) | 6.75% | 1/28/2028 | 26,705 | 22,899,538 | ||||||||
CSN Resources SA (Brazil)†(e) | 7.625% | 4/17/2026 | 15,335 | 13,283,944 | ||||||||
Joseph T Ryerson & Son, Inc.† | 11.00% | 5/15/2022 | 6,884 | 7,051,866 | ||||||||
Total | 43,235,348 | |||||||||||
Support: Services 2.09% | ||||||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 20,365 | 9,849,430 | ||||||||
Brand Industrial Service, Inc.† | 8.50% | 7/15/2025 | 18,812 | 16,989,399 |
32 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Support: Services (continued) | ||||||||||||
Brink’s Co. (The)† | 4.625% | 10/15/2027 | $ | 27,395 | $ | 26,378,782 | ||||||
Cleveland Clinic Foundation (The) | 4.858% | 1/1/2114 | 8,223 | 11,695,348 | ||||||||
Georgetown University (The) | 2.943% | 4/1/2050 | 17,968 | 17,627,143 | ||||||||
IHS Markit Ltd. (United Kingdom)†(e) | 4.00% | 3/1/2026 | 29,435 | 32,623,546 | ||||||||
IHS Markit Ltd. (United Kingdom)(e) | 4.25% | 5/1/2029 | 6,511 | 7,459,490 | ||||||||
IHS Markit Ltd. (United Kingdom)(e) | 4.75% | 8/1/2028 | 21,574 | 25,378,251 | ||||||||
Johns Hopkins University | 2.813% | 1/1/2060 | 10,114 | 10,700,310 | ||||||||
Marble II Pte Ltd. (Singapore)†(e) | 5.30% | 6/20/2022 | 15,805 | 15,646,393 | ||||||||
Maxim Crane Works Holdings Capital LLC† | 10.125% | 8/1/2024 | 16,120 | 15,895,207 | ||||||||
Metropolitan Museum of Art (The) | 3.40% | 7/1/2045 | 26,471 | 32,898,881 | ||||||||
Presidio Holdings, Inc.† | 4.875% | 2/1/2027 | 16,307 | 15,968,141 | ||||||||
Ritchie Bros Auctioneers, Inc. (Canada)†(e) | 5.375% | 1/15/2025 | 13,118 | 13,529,315 | ||||||||
Uber Technologies, Inc.† | 8.00% | 11/1/2026 | 20,289 | 20,674,491 | ||||||||
United Rentals North America, Inc. | 4.625% | 10/15/2025 | 11,437 | 11,516,716 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 21,596 | 22,169,698 | ||||||||
United Rentals North America, Inc. | 5.875% | 9/15/2026 | 6,713 | 7,042,709 | ||||||||
Verisk Analytics, Inc. | 3.625% | 5/15/2050 | 15,070 | 17,119,540 | ||||||||
WeWork Cos., Inc.† | 7.875% | 5/1/2025 | 50,858 | 24,824,553 | ||||||||
Total | 355,987,343 | |||||||||||
Technology Hardware & Equipment 0.80% | ||||||||||||
Apple, Inc. | 1.80% | 9/11/2024 | 22,440 | 23,513,111 | ||||||||
Apple, Inc. | 3.00% | 6/20/2027 | 26,927 | 30,093,635 | ||||||||
CDW LLC / CDW Finance Corp. | 4.25% | 4/1/2028 | 4,583 | 4,678,074 | ||||||||
CDW LLC/CDW Finance Corp. | 4.125% | 5/1/2025 | 7,171 | 7,211,337 | ||||||||
CDW LLC/CDW Finance Corp. | 5.50% | 12/1/2024 | 15,000 | 16,348,425 | ||||||||
Motorola Solutions, Inc. | 4.60% | 5/23/2029 | 17,963 | 20,748,828 | ||||||||
Western Digital Corp. | 4.75% | 2/15/2026 | 32,314 | 33,494,754 | ||||||||
Total | 136,088,164 | |||||||||||
Telecommunications Equipment 0.11% | ||||||||||||
Xiaomi Best Time International Ltd. (Hong Kong)†(e) | 3.375% | 4/29/2030 | 19,734 | 19,491,264 | ||||||||
Telecommunications: Satellite 0.29% | ||||||||||||
Connect Finco SARL/Connect US Finco LLC (Luxembourg)†(e) | 6.75% | 10/1/2026 | 29,167 | 27,618,232 | ||||||||
Hughes Satellite Systems Corp. | 5.25% | 8/1/2026 | 21,000 | 21,792,960 | ||||||||
Total | 49,411,192 |
See Notes to Financial Statements. | 33 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Telecommunications: Wireless 1.67% | ||||||||||||
American Tower Corp. | 2.95% | 1/15/2025 | $ | 44,909 | $ | 48,854,910 | ||||||
Crown Castle International Corp. | 4.15% | 7/1/2050 | 11,119 | 12,837,601 | ||||||||
SBA Communications Corp.† | 3.875% | 2/15/2027 | 40,849 | 40,734,827 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 99,783 | 121,879,946 | ||||||||
T-Mobile USA, Inc.† | 3.50% | 4/15/2025 | 10,684 | 11,665,806 | ||||||||
T-Mobile USA, Inc.† | 3.875% | 4/15/2030 | 16,027 | 17,893,264 | ||||||||
T-Mobile USA, Inc.† | 4.50% | 4/15/2050 | 11,073 | 13,071,123 | ||||||||
T-Mobile USA, Inc. | 6.50% | 1/15/2026 | 16,855 | 17,633,448 | ||||||||
Total | 284,570,925 | |||||||||||
Telecommunications: Wireline Integrated & Services 2.47% | ||||||||||||
Altice Financing SA (Luxembourg)†(e) | 7.50% | 5/15/2026 | 38,191 | 40,196,982 | ||||||||
Altice France Holding SA (Luxembourg)†(e) | 6.00% | 2/15/2028 | 13,128 | 12,488,076 | ||||||||
Altice France Holding SA (Luxembourg)†(e) | 10.50% | 5/15/2027 | 22,837 | 25,256,009 | ||||||||
Altice France SA (France)†(e) | 7.375% | 5/1/2026 | 46,103 | 48,177,174 | ||||||||
Altice France SA (France)†(e) | 8.125% | 2/1/2027 | 39,761 | 43,583,821 | ||||||||
Consolidated Communications, Inc. | 6.50% | 10/1/2022 | 11,460 | 10,593,338 | ||||||||
CyrusOne LP/CyrusOne Finance Corp. | 2.90% | 11/15/2024 | 9,245 | 9,724,240 | ||||||||
DKT Finance ApS (Denmark)†(e) | 9.375% | 6/17/2023 | 19,351 | 19,520,321 | ||||||||
Equinix, Inc.(c) | 2.875% | 2/1/2026 | EUR | 51,088 | 58,498,227 | |||||||
GCI LLC | 6.875% | 4/15/2025 | $ | 13,026 | 13,464,260 | |||||||
Hellas Telecommunications Luxembourg II SCA (Luxembourg)†(e)(l) | 6.054% (3 Mo. LIBOR + 5.75 % | )# | 1/15/2015 | 15,000 | 1,500 | (b) | ||||||
Motorola Solutions, Inc. | 4.60% | 2/23/2028 | 15,034 | 17,106,265 | ||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC | 8.25% | 10/15/2023 | 25,939 | 24,463,719 | ||||||||
Verizon Communications, Inc. | 2.625% | 8/15/2026 | 54,987 | 59,879,554 | ||||||||
VTR Comunicaciones SpA (Chile)†(e)(j) | 5.125% | 1/15/2028 | 6,429 | 6,592,940 | ||||||||
Zayo Group Holdings, Inc.† | 4.00% | 3/1/2027 | 16,659 | 15,839,044 | ||||||||
Zayo Group Holdings, Inc.† | 6.125% | 3/1/2028 | 16,702 | 16,271,422 | ||||||||
Total | 421,656,892 | |||||||||||
Tobacco 0.07% | ||||||||||||
BAT Capital Corp. | 4.70% | 4/2/2027 | 10,362 | 11,858,191 | ||||||||
Transportation: Infrastructure/Services 1.07% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(e) | 4.375% | 7/3/2029 | 26,773 | 26,272,215 | ||||||||
Aeropuerto Internacional de Tocumen SA (Panama)†(e) | 6.00% | 11/18/2048 | 22,251 | 24,449,509 | ||||||||
Autopistas del Sol SA (Costa Rica)†(e) | 7.375% | 12/30/2030 | 16,472 | 14,281,870 | ||||||||
Autoridad del Canal de Panama (Panama)†(e) | 4.95% | 7/29/2035 | 8,750 | 10,012,669 |
34 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Transportation: Infrastructure/Services (continued) | ||||||||||||
CH Robinson Worldwide, Inc. | 4.20% | 4/15/2028 | $ | 20,351 | $ | 23,211,935 | ||||||
Mersin Uluslararasi Liman Isletmeciligi AS (Turkey)†(e) | 5.375% | 11/15/2024 | 30,508 | 31,040,936 | ||||||||
Rumo Luxembourg Sarl (Luxembourg)(e)(j) | 5.25% | 1/10/2028 | 7,945 | 7,945,000 | ||||||||
Stena AB (Sweden)†(e) | 7.00% | 2/1/2024 | 18,962 | 17,893,396 | ||||||||
XPO Logistics, Inc.† | 6.25% | 5/1/2025 | 26,723 | 28,042,448 | ||||||||
Total | 183,149,978 | |||||||||||
Total High Yield Corporate Bonds (cost $12,013,952,195) | 12,416,160,277 | |||||||||||
MUNICIPAL BONDS 3.19% | ||||||||||||
Air Transportation 0.19% | ||||||||||||
Miami Dade Cnty, FL | 3.982% | 10/1/2041 | 13,915 | 13,705,579 | ||||||||
Miami-Dade Cnty, FL | 4.28% | 10/1/2041 | 18,040 | 19,306,228 | ||||||||
Total | 33,011,807 | |||||||||||
Education 0.82% | ||||||||||||
California State University | 3.899% | 11/1/2047 | 33,030 | 40,822,438 | ||||||||
Ohio Univ | 5.59% | 12/1/2114 | 11,104 | 16,590,042 | ||||||||
Permanent University Fund - Texas A&M University System | 3.66% | 7/1/2047 | 46,015 | 49,963,547 | ||||||||
Univ of California Bd of Regents | 6.548% | 5/15/2048 | 12,463 | 19,968,717 | ||||||||
Univ of California Bd of Regents | 3.006% | 5/15/2050 | 12,835 | 13,046,906 | ||||||||
Total | 140,391,650 | |||||||||||
General Obligation 0.79% | ||||||||||||
California | 7.55% | 4/1/2039 | 15,015 | 26,803,126 | ||||||||
Chicago Transit Auth, IL | 6.899% | 12/1/2040 | 11,826 | 16,316,924 | ||||||||
City of Portland | 7.701% | 6/1/2022 | 11,950 | 12,995,147 | ||||||||
District of Columbia | 5.591% | 12/1/2034 | 14,130 | 18,790,357 | ||||||||
Honolulu HI City & Cnty, | 5.418% | 12/1/2027 | 6,620 | 8,635,525 | ||||||||
Los Angeles Unif Sch Dist, CA | 5.75% | 7/1/2034 | 12,497 | 17,312,344 | ||||||||
Massachusetts | 4.20% | 12/1/2021 | 6,620 | 6,789,869 | ||||||||
Pennsylvania | 5.45% | 2/15/2030 | 12,190 | 15,579,186 | ||||||||
The Bd of Governors of the Univ of North Carolina | 3.847% | 12/1/2034 | 9,595 | 11,826,221 | ||||||||
Total | 135,048,699 | |||||||||||
Government Guaranteed 0.03% | ||||||||||||
City & County of San Francisco CA | 5.45% | 6/15/2025 | 4,540 | 5,446,638 | ||||||||
Lease Obligation 0.05% | ||||||||||||
Wisconsin | 3.294% | 5/1/2037 | 7,145 | 7,791,337 | ||||||||
See Notes to Financial Statements. | 35 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Miscellaneous 0.54% | ||||||||||||
Dallas Convention Center Hotel Dev Corp., TX | 7.088% | 1/1/2042 | $ | 17,795 | $ | 22,454,265 | ||||||
New York City Indl Dev Agy† | 11.00% | 3/1/2029 | 19,878 | 27,154,938 | ||||||||
Pasadena Public Fing Auth | 7.148% | 3/1/2043 | 26,795 | 41,508,402 | ||||||||
Total | 91,117,605 | |||||||||||
Tax Revenue 0.36% | ||||||||||||
Massachusetts Sch Bldg Auth | 5.715% | 8/15/2039 | 20,055 | 27,846,568 | ||||||||
Memphis-Shelby County Industrial Development Board, TN | 7.00% | 7/1/2045 | 12,890 | 14,095,086 | (a) | |||||||
San Jose Redev Agy, CA | 2.259% | 8/1/2020 | 19,600 | 19,622,148 | ||||||||
Total | 61,563,802 | |||||||||||
Transportation 0.07% | ||||||||||||
Foothill-Eastern Transportation Corridor Agency | 4.094% | 1/15/2049 | 10,790 | 11,096,652 | ||||||||
Transportation: Infrastructure/Services 0.23% | ||||||||||||
Chicago Transit Auth, IL | 6.20% | 12/1/2040 | 12,385 | 16,843,971 | ||||||||
Port of Seattle, WA | 3.571% | 5/1/2032 | 7,305 | 7,669,593 | ||||||||
Port of Seattle, WA | 3.755% | 5/1/2036 | 13,905 | 14,525,580 | ||||||||
Total | 39,039,144 | |||||||||||
Utilities 0.11% | ||||||||||||
San Antonio, TX | 5.718% | 2/1/2041 | 13,240 | 19,289,621 | ||||||||
Total Municipal Bonds (cost $488,740,872) | 543,796,955 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 1.94% | ||||||||||||
Angel Oak Mortgage Trust 2020-1 A1† | 2.466% | #(m) | 12/25/2059 | 8,979 | 9,056,355 | |||||||
BBCMS Mortgage Trust 2018-C2 C | 5.135% | #(m) | 12/15/2051 | 15,628 | 15,846,098 | |||||||
BBCMS Mortgage Trust 2019-BWAY A† | 1.141% (1 Mo. LIBOR + .96% | )# | 11/25/2034 | 25,000 | 24,205,610 | |||||||
Benchmark Mortgage Trust 2019-B12 WMA† | 4.388% | #(m) | 8/15/2052 | 35,544 | 34,522,110 | (a) | ||||||
CF Trust 2019-BOSS A1† | 3.435% (1 Mo. LIBOR + 3.25% | )# | 12/15/2021 | 18,200 | 16,727,999 | (a) | ||||||
Citigroup Commercial Mortgage Trust 2016-P3 D† | 2.804% | #(m) | 4/15/2049 | 9,991 | 5,668,167 | |||||||
COMM Mortgage Trust 2014-UBS5 AM | 4.193% | #(m) | 9/10/2047 | 17,906 | 19,146,041 | |||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 D† | 1.785% (1 Mo. LIBOR + 1.60% | )# | 5/15/2036 | 14,076 | 13,684,028 | |||||||
Credit Suisse Mortgage Capital Certificates 2020-AFC1 A1† | 2.24% | #(m) | 2/25/2050 | 20,472 | 20,851,883 | |||||||
Deephaven Residential Mortgage Trust 2020-1 A1† | 2.339% | #(m) | 1/25/2060 | 12,832 | 13,003,897 | |||||||
GCAT Trust 2020-NQM1 A1† | 2.247% | 1/25/2060 | 10,013 | 10,125,932 | ||||||||
Great Wolf Trust 2019-WOLF A† | 1.219% (1 Mo. LIBOR + 1.03% | )# | 12/15/2036 | 49,981 | 48,167,324 |
36 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMCC Commercial Mortgage Securities Trust 2017-JP5 | 4.032% | #(m) | 3/15/2050 | $ | 8,806 | $ | 7,988,077 | |||||
New Residential Mortgage Loan Trust 2020-NQM1 A1† | 2.464% | #(m) | 1/26/2060 | 8,107 | 8,271,544 | |||||||
PFP Ltd. 2019-6 A† | 1.245% (1 Mo. LIBOR + 1.05% | )# | 4/14/2037 | 25,000 | 24,235,000 | |||||||
PFP Ltd. 2019-6 C† | 2.295% (1 Mo. LIBOR + 2.10% | )# | 4/14/2037 | 27,054 | 25,430,760 | |||||||
Residential Mortgage Loan Trust 2020-1 A1† | 2.376% | #(m) | 2/25/2024 | 5,816 | 5,904,885 | |||||||
Starwood Mortgage Residential Trust 2020-1 A1† | 2.275% | #(m) | 2/25/2050 | 12,940 | 13,064,764 | |||||||
Verus Securitization Trust 2020-1 A1† | 2.417% | #(m) | 1/25/2060 | 14,944 | 15,169,100 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $337,345,087) | 331,069,574 | |||||||||||
Dividend | Shares | |||||||||||
Rate | (000) | |||||||||||
PREFERRED STOCK 0.00% | ||||||||||||
Energy: Exploration & Production 0.00% | ||||||||||||
Templar Energy LLC (cost $3,864,293) | Zero Coupon | 444 | – | (a) | ||||||||
Exercise | Expiration | |||||||||||
Price | Date | |||||||||||
WARRANT 0.00% | ||||||||||||
Personal & Household Products | ||||||||||||
Remington Outdoor Co., Inc. (cost $871,457) | $35.05 | 5/22/2022 | 165 | 1,651 | (a) | |||||||
Total Long-Term Investments (cost $16,278,507,394) | 16,743,205,804 | |||||||||||
Principal | ||||||||||||
Interest | Maturity | Amount | ||||||||||
Rate | Date | (000) | ||||||||||
SHORT-TERM INVESTMENT 0.22% | ||||||||||||
REPURCHASE AGREEMENT 0.15% | ||||||||||||
Repurchase Agreement dated 6/30/2020, 0.00% due 7/1/2020 with Fixed Income Clearing Corp. collateralized by $23,644,800 of U.S. Treasury Note at 2.75% due 8/31/2023; value: $25,776,895; proceeds: $25,271,380 (cost $25,271,380) | $ | 25,271 | $ | 25,271,380 |
See Notes to Financial Statements. | 37 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Shares | Fair | |||||||
Investments | (000) | Value | ||||||
Money Market Funds 0.07% | ||||||||
CitiBank N.A.(n) | $ | 1,290 | $ | 1,289,700 | ||||
Fidelity Government Portfolio(n) | 11,607 | 11,607,300 | ||||||
Total Money Market Funds (cost $12,897,000) | 12,897,000 | |||||||
Total Short-Term Investments (cost $38,168,380) | 38,168,380 | |||||||
Total Investments in Securities 98.32% (cost $16,316,675,774) | 16,781,374,184 | |||||||
Less Unfunded Loan Commitments (0.00)% (cost $482,098) | (546,466 | ) | ||||||
Net Investments 98.32% (cost $16,316,193,676) | 16,780,827,718 | |||||||
Cash, Foreign Cash, Securities Lending and Other Assets in Excess Liabilities(o) 1.68% | 286,097,163 | |||||||
Net Assets 100.00% | $ | 17,066,924,881 | ||||||
AUD | Australian dollar. | |
CAD | Canadian dollar. | |
EUR | Euro. | |
GBP | British pound. | |
ADR | American Depositary Receipt. | |
CMT | Constant Maturity Rate. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
SOFR | Secured Over Night Financing Rate. | |
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. At June 30, 2020, the total value of Rule 144A securities was $7,101,888,253, which represents 41.61% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at June 30, 2020. | |
* | Non-income producing security. | |
(a) | Level 3 Investment as described in Note 2(o) 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. | |
(b) | Level 3 Investment as described in Note 2(o) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(c) | Investment in non-U.S. dollar denominated securities. | |
(d) | All or a portion of this security was on loan to brokers at June 30, 2020. | |
(e) | Foreign security traded in U.S. dollars. | |
(f) | Affiliated issuers in which the Fund holds 5% or more of the voting securities. Not affiliated as of June 30, 2020. | |
(g) | 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, 2020. | |
(h) | Level 3 Investment as described in Note 2(o) 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. | |
(i) | Interest rate to be determined. | |
(j) | Securities purchased on a when-issued basis (See Note 2(l)). | |
(k) | Security is perpetual in nature and has no stated maturity. | |
(l) | Defaulted (non-income producing security). | |
(m) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(n) | Security was purchased with the cash collateral from loaned securities. | |
(o) | Cash, Foreign Cash, Securities Lending and Other Assets in Excess Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
38 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Centrally Cleared Credit Default Swaps on Indexes – Buy Protection at June 30, 2020 (1):
Fund | |||||||||||||||||||||||
Referenced | Central | Pays | Termination | Notional | Notional | Payments | Unrealized | ||||||||||||||||
Index | Clearing Party | (Quarterly) | Date | Amount | Value | Upfront(2) | Depreciation(3) | ||||||||||||||||
Markit CDX. NA.IG.34(4)(5) | Credit Suisse | 1.00% | 12/20/2024 | $ | 768,930,000 | $ | 778,007,911 | $ | (1,883,770 | ) | $ | (7,194,141 | ) |
Centrally Cleared Credit Default Swaps on Indexes – Sell Protection at June 30, 2020(1):
Fund | |||||||||||||||||||||||
Referenced | Central | Receives | Termination | Notional | Notional | Payments | Unrealized | ||||||||||||||||
Index | Clearing Party | (Quarterly) | Date | Amount | Value | Upfront(2) | Appreciation(3) | ||||||||||||||||
Markit CDX. NA.HY.33(4)(6) | Credit Suisse | 5.00% | 12/20/2024 | $ | 60,872,720 | $ | 60,564,664 | $ | (3,605,591 | ) | $ | 3,297,535 | |||||||||||
Markit CDX. NA.HY.34(4)(6) | Credit Suisse | 5.00% | 12/20/2024 | 290,511,212 | 288,616,193 | (17,442,852 | ) | 15,547,833 | |||||||||||||||
$ | (21,048,443 | ) | $ | 18,845,368 |
(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 make 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) pay to the buyer 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 paid/received by Central Clearing Party are presented net of amortization. | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $18,845,368. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $7,194,141. | |
(4) | Central Clearinghouse: Intercontinental Exchange (ICE). | |
(5) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of investment grade securities. | |
(6) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of high yield securities. |
See Notes to Financial Statements. | 39 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Credit Default Swaps on Indexes – Sell Protection at June 30, 2020(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 | $ | 5,718,000 | $ | 4,606,385 | $ | (247,694 | ) | $ | (863,921 | ) | $ | (1,111,615 | ) | ||||||||||
Markit CMBX NA.BBB.10* | Credit Suisse | 3.00% | 11/17/2059 | 50,333,000 | 40,264,891 | (2,567,323 | ) | (7,500,786 | ) | (10,068,109 | ) | |||||||||||||||
Markit CMBX NA.BBB.9* | Deutsche Bank | 3.00% | 9/17/2058 | 23,068,000 | 18,583,437 | (999,265 | ) | (3,485,298 | ) | (4,484,563 | ) | |||||||||||||||
Markit CMBX NA.BBB.11* | Deutsche Bank | 3.00% | 11/18/2054 | 9,162,000 | 7,289,488 | (273,136 | ) | (1,599,376 | ) | (1,872,512 | ) | |||||||||||||||
Markit CMBX NA.BBB.9* | Goldman Sachs | 3.00% | 9/17/2058 | 13,539,000 | 10,906,934 | (586,486 | ) | (2,045,580 | ) | (2,632,066 | ) | |||||||||||||||
Markit CMBX NA.BBB.10* | Goldman Sachs | 3.00% | 11/17/2059 | 34,779,000 | 27,822,158 | (1,773,964 | ) | (5,182,878 | ) | (6,956,842 | ) | |||||||||||||||
Markit CMBX NA.BBB.11* | Morgan Stanley | 3.00% | 11/18/2054 | 8,122,000 | 6,462,041 | (242,132 | ) | (1,417,827 | ) | (1,659,959 | ) | |||||||||||||||
Markit CMBX NA.BBB.11* | JPMorgan Chase | 3.00% | 11/18/2054 | 4,607,000 | 3,665,430 | (137,343 | ) | (804,227 | ) | (941,570 | ) | |||||||||||||||
$ | (6,827,343 | ) | $ | (22,899,893 | ) | $ | (29,727,236 | ) |
* | 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) pay to the buyer 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. | |
(3) | Total unrealized appreciation on Credit Default Swaps in Indexes amounted to $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $22,899,893. | |
(4) | Includes upfront payments received. |
40 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2020
Open Forward Foreign Currency Exchange Contracts at June 30, 2020:
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 | Morgan Stanley | 9/8/2020 | 13,545,000 | $ | 17,067,120 | $ | 16,790,281 | $ | 276,839 | ||||||||||||
Euro | Sell | Bank of America | 9/4/2020 | 174,803,000 | 197,644,683 | 196,665,763 | 978,920 | |||||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 1,255,759 | ||||||||||||||||||||
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||||
Australian dollar | Sell | Morgan Stanley | 8/26/2020 | 41,000,000 | $ | 26,916,869 | $ | 28,300,681 | $ | (1,383,812 | ) |
Open Futures Contracts at June 30, 2020:
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Appreciation | ||||||||||||
U.S. 10-Year Treasury Note | September 2020 | 232 | Long | $ | 32,196,303 | $ | 32,287,875 | $ | 91,572 | |||||||||
U.S. 2-Year Treasury Note | September 2020 | 22,358 | Long | 4,934,526,797 | 4,937,275,241 | 2,748,444 | ||||||||||||
U.S. 5-Year Treasury Note | September 2020 | 10,307 | Long | 1,292,828,345 | 1,296,024,731 | 3,196,386 | ||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 6,036,402 | ||||||||||||||||
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Depreciation | ||||||||||||
Euro-Bobl | September 2020 | 49 | Short | EUR | (6,568,858) | EUR | (6,614,020 | ) | $ | (50,739 | ) | |||||||
U.S. 10-Year Ultra Treasury Bond | September 2020 | 3,094 | Short | $ | (484,990,781 | ) | $ | (487,256,656 | ) | (2,265,875 | ) | |||||||
U.S. Long Bond | September 2020 | 2,561 | Short | (453,811,642 | ) | (457,298,563 | ) | (3,486,921 | ) | |||||||||
U.S. Ultra Treasury Bond | September 2020 | 4,742 | Short | (1,018,535,867 | ) | (1,034,496,938 | ) | (15,961,071 | ) | |||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (21,764,606 | ) |
See Notes to Financial Statements. | 41 |
Schedule of Investments (unaudited)(continued)
June 30, 2020
The following is a summary of the inputs used as of June 30, 2020 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 | ||||||||||||||||
Credit Cards | $ | – | $ | – | $ | 16,866,116 | $ | 16,866,116 | ||||||||
Other | – | 472,777,169 | 5,272,799 | 478,049,968 | ||||||||||||
Remaining Industries | – | 31,334,816 | – | 31,334,816 | ||||||||||||
Common Stocks | ||||||||||||||||
Auto Parts & Equipment | – | 4,552,927 | – | 4,552,927 | ||||||||||||
Electric: Integrated | – | – | 616,058 | 616,058 | ||||||||||||
Energy: Exploration & Production | 22,749,242 | – | 33,346 | 22,782,588 | ||||||||||||
Media: Content | – | – | 1,406,720 | 1,406,720 | ||||||||||||
Personal & Household Products | 64,229,124 | 687,342 | 12,560,985 | 77,477,451 | ||||||||||||
Specialty Retail | 121,372,912 | 5,244,348 | – | 126,617,260 | ||||||||||||
Transportation: Infrastructure/Services | – | – | 10,668,044 | 10,668,044 | ||||||||||||
Remaining Industries | 1,133,909,137 | – | – | 1,133,909,137 | ||||||||||||
Convertible Bond | – | 99,629,328 | – | 99,629,328 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Building Materials | – | 24,285,591 | 16,919,756 | 41,205,347 | ||||||||||||
Diversified Capital Goods | – | 3,725,763 | 19,652,804 | 23,378,567 | ||||||||||||
Personal & Household Products | – | 53,780,572 | 850,663 | 54,631,235 | ||||||||||||
Unfunded Commitments | – | (546,466) | – | (546,466) | ||||||||||||
Remaining Industries | – | 879,184,344 | – | 879,184,344 | ||||||||||||
Foreign Government Obligations | – | 449,867,441 | – | 449,867,441 | ||||||||||||
High Yield Corporate Bonds | ||||||||||||||||
Automakers | – | 396,514,933 | 1,500 | 396,516,433 | ||||||||||||
Banking | – | 843,110,504 | 2,250 | 843,112,754 | ||||||||||||
Metals/Mining (Excluding Steel) | – | 250,576,012 | 19 | 250,576,031 | ||||||||||||
Telecommunications: Wireline Integrated & Services | – | 421,655,392 | 1,500 | 421,656,892 | ||||||||||||
Remaining Industries | – | 10,504,298,167 | – | 10,504,298,167 | ||||||||||||
Municipal Bonds | ||||||||||||||||
Tax Revenue | – | 502,546,931 | 14,095,086 | 516,642,017 | ||||||||||||
Other Revenue | – | 27,154,938 | – | 27,154,938 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 279,819,465 | 51,250,109 | 331,069,574 | ||||||||||||
Preferred Stock | – | – | – | – | ||||||||||||
Warrant | – | – | 1,651 | 1,651 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreement | – | 25,271,380 | – | 25,271,380 | ||||||||||||
Money Market Funds | 12,897,000 | – | – | 12,897,000 | ||||||||||||
Total | $ | 1,355,157,415 | $ | 15,275,470,897 | $ | 150,199,406 | $ | 16,780,827,718 |
42 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
June 30, 2020
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 18,845,368 | $ | – | $ | 18,845,368 | ||||||||
Liabilities | – | (7,194,141) | – | (7,194,141) | ||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (29,727,236) | – | (29,727,236) | ||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 1,255,759 | – | 1,255,759 | ||||||||||||
Liabilities | – | (1,383,812) | – | (1,383,812) | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 6,036,402 | – | – | 6,036,402 | ||||||||||||
Liabilities | (21,764,606 | ) | – | – | (21,764,606) | |||||||||||
Total | $ | (15,728,204 | ) | $ | (18,204,062) | $ | – | $ | (33,932,266) |
(1) | Refer to Note 2(o) 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. |
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 | Floating Rate Loans | High Yield Corporate Bonds | Municipals Bonds | Non-Agency Commercial Mortgage- Backed Securities | Preferred Stock | Warrants | ||||||||||||||||||||||||
Balance as of January 1, 2020 | $ | 10,441,539 | $ | 14,526,216 | $ | 104,178,425 | $ | 5,269 | $ | – | $ | 53,842,824 | $ – | $ | 1,651 | |||||||||||||||||
Accrued Discounts (Premiums) | 270 | – | 156,797 | – | (36,912 | ) | 4,615 | – | – | |||||||||||||||||||||||
Realized Gain (Loss) | (534,204 | ) | – | (558,717 | ) | – | – | – | – | – | ||||||||||||||||||||||
Change in Unrealized Appreciation (Depreciation) | (95,887 | ) | (525,165 | ) | (5,967,990 | ) | – | 197,779 | (2,597,330 | ) | – | – | ||||||||||||||||||||
Purchases | – | 11,284,102 | 3,122,843 | – | – | – | – | – | ||||||||||||||||||||||||
Sales | (6,418,606 | ) | – | (17,174,408 | ) | – | – | – | – | – | ||||||||||||||||||||||
Transfers into Level 3 | 22,234,532 | – | 17,219,812 | – | 13,934,219 | – | – | – | ||||||||||||||||||||||||
Transfers out of Level 3 | (3,488,729 | ) | – | (63,553,539 | ) | – | – | – | – | – | ||||||||||||||||||||||
Balance as of June 30, 2020 | $ | 22,138,915 | $ | 25,285,153 | $ | 37,423,223 | $ | 5,269 | $ | 14,095,086 | $ | 51,250,109 | $ – | $ | 1,651 | |||||||||||||||||
Change in unrealized appreciation/ depreciation for the period ended June 30, 2020, related to Level 3 investments held at June 30, 2020 | $ | (95,887 | ) | $ | (525,165 | ) | $ | (5,898,051 | ) | $ | – | $ | 197,779 | $ | (2,597,330 | ) | $ – | $ | – |
See Notes to Financial Statements. | 43 |
Statement of Assets and Liabilities (unaudited)
June 30, 2020
ASSETS: | ||||
Investments in securities, at fair value including $12,310,020 of securities loaned (cost $16,316,193,676) | $ | 16,780,827,718 | ||
Cash | 39,736,063 | |||
Deposits with brokers for futures collateral | 66,612,760 | |||
Deposits with brokers for swaps collateral | 67,775,746 | |||
Foreign cash, at value (cost $684,416) | 684,532 | |||
Receivables: | ||||
Investment securities sold | 238,344,838 | |||
Interest and dividends | 191,754,952 | |||
Capital shares sold | 119,315,943 | |||
Variation margin for futures contracts | 10,122,526 | |||
Variation margin for centrally cleared credit default swap agreements | 12,690,570 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 1,255,759 | |||
Unrealized appreciation on unfunded commitments | 64,368 | |||
Prepaid expenses and other assets | 459,736 | |||
Total assets | 17,529,645,511 | |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 308,718,630 | |||
Capital shares reacquired | 37,815,082 | |||
Management fee | 5,973,668 | |||
12b-1 distribution plan | 2,609,471 | |||
Directors’ fees | 1,581,819 | |||
Fund administration | 554,334 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 1,383,812 | |||
Credit default swap agreements payable, at fair value (including upfront payments of $6,827,343) | 29,727,236 | |||
Payable for collateral due to broker for securities lending | 12,897,000 | |||
Interest payable | 70,080 | |||
Distributions payable | 59,303,459 | |||
Accrued expenses and other liabilities | 2,086,039 | |||
Total liabilities | 462,720,630 | |||
Commitments and contingent liabilities | ||||
NET ASSETS | $ | 17,066,924,881 | ||
COMPOSITION OF NET ASSETS: | ||||
Paid-in capital | $ | 17,586,966,550 | ||
Total distributable earnings (loss) | (520,041,669 | ) | ||
Net Assets | $ | 17,066,924,881 |
44 | See Notes to Financial Statements. |
Statement of Assets and Liabilities (unaudited)(concluded)
June 30, 2020
Net assets by class: | ||||
Class A Shares | $ | 5,039,774,722 | ||
Class C Shares | $ | 1,249,817,861 | ||
Class F Shares | $ | 6,392,667,774 | ||
Class F3 Shares | $ | 2,389,658,183 | ||
Class I Shares | $ | 1,481,101,640 | ||
Class P Shares | $ | 14,028,579 | ||
Class R2 Shares | $ | 5,954,821 | ||
Class R3 Shares | $ | 201,466,095 | ||
Class R4 Shares | $ | 59,803,445 | ||
Class R5 Shares | $ | 21,656,644 | ||
Class R6 Shares | $ | 210,995,117 | ||
Outstanding shares by class: | ||||
Class A Shares (1.8 billion shares of common stock authorized, $.001 par value) | 652,723,340 | |||
Class C Shares (600 million shares of common stock authorized, $.001 par value) | 161,435,978 | |||
Class F Shares (2.25 billion shares of common stock authorized, $.001 par value) | 829,161,763 | |||
Class F3 Shares (900 million shares of common stock authorized, $.001 par value) | 310,924,621 | |||
Class I Shares (900 million shares of common stock authorized, $.001 par value) | 192,876,672 | |||
Class P Shares (160 million shares of common stock authorized, $.001 par value) | 1,776,113 | |||
Class R2 Shares (478 million shares of common stock authorized, $.001 par value) | 771,129 | |||
Class R3 Shares (478 million shares of common stock authorized, $.001 par value) | 26,136,134 | |||
Class R4 Shares (478 million shares of common stock authorized, $.001 par value) | 7,743,084 | |||
Class R5 Shares (478 million shares of common stock authorized, $.001 par value) | 2,817,048 | |||
Class R6 Shares (478 million shares of common stock authorized, $.001 par value) | 27,457,746 | |||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||
Class A Shares-Net asset value | $7.72 | |||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $7.90 | |||
Class C Shares-Net asset value | $7.74 | |||
Class F Shares-Net asset value | $7.71 | |||
Class F3 Shares-Net asset value | $7.69 | |||
Class I Shares-Net asset value | $7.68 | |||
Class P Shares-Net asset value | $7.90 | |||
Class R2 Shares-Net asset value | $7.72 | |||
Class R3 Shares-Net asset value | $7.71 | |||
Class R4 Shares-Net asset value | $7.72 | |||
Class R5 Shares-Net asset value | $7.69 | |||
Class R6 Shares-Net asset value | $7.68 |
See Notes to Financial Statements. | 45 |
Statement of Operations (unaudited)
For the Six Months Ended June 30, 2020
Investment income: | ||||
Dividends (net of foreign withholding taxes of $8,295) | $ | 2,432,120 | ||
Interest and other | 371,701,048 | |||
Total investment income | 374,133,168 | |||
Expenses: | ||||
Management fee | 34,952,781 | |||
12b-1 distribution plan-Class A | 4,963,295 | |||
12b-1 distribution plan-Class C | 5,276,039 | |||
12b-1 distribution plan-Class F | 2,905,539 | |||
12b-1 distribution plan-Class P | 33,278 | |||
12b-1 distribution plan-Class R2 | 17,965 | |||
12b-1 distribution plan-Class R3 | 488,542 | |||
12b-1 distribution plan-Class R4 | 70,666 | |||
Shareholder servicing | 5,752,667 | |||
Fund administration | 3,234,213 | |||
Reports to shareholders | 570,181 | |||
Registration | 552,396 | |||
Directors’ fees | 178,074 | |||
Professional | 106,376 | |||
Custody | 44,187 | |||
Other | 163,147 | |||
Gross expenses | 59,309,346 | |||
Expense reductions (See Note 10) | (105,183 | ) | ||
Net expenses | 59,204,163 | |||
Net investment income | 314,929,005 | |||
Net realized and unrealized gain (loss): | ||||
Net realized gain (loss) on investments | (364,870,606 | ) | ||
Net realized gain (loss) on investments in affiliated issuers | (682,465 | ) | ||
Net realized gain (loss) on futures contracts | (203,864,104 | ) | ||
Net realized gain (loss) on forward foreign currency exchange contracts | 2,546,775 | |||
Net realized gain (loss) on swap contracts | (40,001,176 | ) | ||
Net realized gain (loss) on foreign currency related transactions | 6,028,852 | |||
Net change in unrealized appreciation/depreciation on investments | (150,034,410 | ) | ||
Net change in unrealized appreciation/depreciation on investments in affiliated issuers | (5,701,563 | ) | ||
Net change in unrealized appreciation/depreciation on futures contracts | (76,419,094 | ) | ||
Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts | (4,146,773 | ) | ||
Net change in unrealized appreciation/depreciation on swap contracts | (26,188,663 | ) | ||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | 22,327 | |||
Net change in unrealized appreciation/depreciation on unfunded commitments | 80,080 | |||
Net realized and unrealized gain (loss) | (863,230,820 | ) | ||
Net Decrease in Net Assets Resulting From Operations | $ | (548,301,815 | ) |
46 | See Notes to Financial Statements. |
Statements of Changes in Net Assets
INCREASE IN NET ASSETS | For the Six Months Ended June 30, 2020 (unaudited) | For the Year Ended December 31, 2019 | ||||||
Operations: | ||||||||
Net investment income | $ | 314,929,005 | $ | 555,633,659 | ||||
Net realized gain (loss) on investments, investments in affiliated issuers, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | (600,842,724 | ) | (147,604,828 | ) | ||||
Net change in unrealized appreciation/depreciation on investments, investments in affiliated issuers futures contracts, forward currency exchange contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | (262,388,096 | ) | 1,302,142,172 | |||||
Net increase (decrease) in net assets resulting from operations | (548,301,815 | ) | 1,710,171,003 | |||||
Distributions to shareholders: | ||||||||
Class A | (105,457,613 | ) | (194,859,155 | ) | ||||
Class C | (22,625,285 | ) | (45,095,077 | ) | ||||
Class F | (126,014,832 | ) | (195,649,540 | ) | ||||
Class F3 | (51,094,786 | ) | (81,839,796 | ) | ||||
Class I | (30,898,870 | ) | (48,283,037 | ) | ||||
Class P | (295,180 | ) | (685,754 | ) | ||||
Class R2 | (115,344 | ) | (250,541 | ) | ||||
Class R3 | (3,870,726 | ) | (6,586,870 | ) | ||||
Class R4 | (1,199,086 | ) | (1,241,702 | ) | ||||
Class R5 | (415,196 | ) | (1,390,615 | ) | ||||
Class R6 | (4,442,954 | ) | (6,028,037 | ) | ||||
Total distributions to shareholders | (346,429,872 | ) | (581,910,124 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 16): | ||||||||
Net proceeds from sales of shares | 4,393,546,353 | 5,924,604,430 | ||||||
Reinvestment of distributions | 306,005,263 | 514,580,185 | ||||||
Cost of shares reacquired | (3,224,026,516 | ) | (3,260,013,600 | ) | ||||
Net increase in net assets resulting from capital share transactions | 1,475,525,100 | 3,179,171,015 | ||||||
Net increase in net assets | 580,793,413 | 4,307,431,894 | ||||||
NET ASSETS: | ||||||||
Beginning of period | $ | 16,486,131,468 | $ | 12,178,699,574 | ||||
End of period | $ | 17,066,924,881 | $ | 16,486,131,468 |
See Notes to Financial Statements. | 47 |
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 | ||||||||||||||||||||||||||||
6/30/2020(c) | $ | 8.13 | $ | 0.14 | $ | (0.39 | ) | $ | (0.25 | ) | $ | (0.16 | ) | $ | – | $ | (0.16 | ) | ||||||||||
12/31/2019 | 7.47 | 0.31 | 0.68 | 0.99 | (0.33 | ) | – | (0.33 | ) | |||||||||||||||||||
12/31/2018 | 8.25 | 0.33 | (0.63 | ) | (0.30 | ) | (0.36 | ) | (0.12 | ) | (0.48 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2020(c) | 8.16 | 0.11 | (0.39 | ) | (0.28 | ) | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||
12/31/2019 | 7.49 | 0.26 | 0.69 | 0.95 | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||||
12/31/2018 | 8.27 | 0.28 | (0.63 | ) | (0.35 | ) | (0.31 | ) | (0.12 | ) | (0.43 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||
Class F | ||||||||||||||||||||||||||||
6/30/2020(c) | 8.12 | 0.14 | (0.38 | ) | (0.24 | ) | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||
12/31/2019 | 7.46 | 0.32 | 0.67 | 0.99 | (0.33 | ) | – | (0.33 | ) | |||||||||||||||||||
12/31/2018 | 8.24 | 0.34 | (0.64 | ) | (0.30 | ) | (0.36 | ) | (0.12 | ) | (0.48 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
6/30/2020(c) | 8.10 | 0.15 | (0.39 | ) | (0.24 | ) | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||
12/31/2019 | 7.43 | 0.33 | 0.69 | 1.02 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
12/31/2018 | 8.21 | 0.35 | (0.63 | ) | (0.28 | ) | (0.38 | ) | (0.12 | ) | (0.50 | ) | ||||||||||||||||
4/4/2017 to 12/31/2017(f) | 8.01 | 0.25 | 0.27 | 0.52 | (0.27 | ) | (0.05 | ) | (0.32 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
6/30/2020(c) | 8.09 | 0.14 | (0.38 | ) | (0.24 | ) | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||
12/31/2019 | 7.43 | 0.32 | 0.68 | 1.00 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
12/31/2018 | 8.21 | 0.34 | (0.63 | ) | (0.29 | ) | (0.37 | ) | (0.12 | ) | (0.49 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||
Class P | ||||||||||||||||||||||||||||
6/30/2020(c) | 8.32 | 0.13 | (0.39 | ) | (0.26 | ) | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||
12/31/2019 | 7.64 | 0.30 | 0.69 | 0.99 | (0.31 | ) | – | (0.31 | ) | |||||||||||||||||||
12/31/2018 | 8.44 | 0.31 | (0.64 | ) | (0.33 | ) | (0.35 | ) | (0.12 | ) | (0.47 | ) | ||||||||||||||||
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 | ) |
48 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | ||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses (%) | Net investment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||
$ | 7.72 | (3.00 | )(d) | 0.78 | (e) | 3.90 | (e) | $ | 5,039,775 | 77 | (d) | ||||||||||||
8.13 | 13.37 | 0.79 | 3.90 | 5,246,570 | 217 | ||||||||||||||||||
7.47 | (3.79 | ) | 0.79 | 4.11 | 4,252,132 | 147 | |||||||||||||||||
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 | |||||||||||||||||
7.74 | (3.42 | )(d) | 1.43 | (e) | 3.25 | (e) | 1,249,818 | 77 | (d) | ||||||||||||||
8.16 | 12.77 | 1.42 | 3.28 | 1,328,321 | 217 | ||||||||||||||||||
7.49 | (4.38 | ) | 1.43 | 3.46 | 1,296,749 | 147 | |||||||||||||||||
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 | |||||||||||||||||
7.71 | (2.97 | )(d) | 0.68 | (e) | 3.98 | (e) | 6,392,668 | 77 | (d) | ||||||||||||||
8.12 | 13.64 | 0.69 | 3.97 | 5,743,483 | 217 | ||||||||||||||||||
7.46 | (3.83 | ) | 0.69 | 4.20 | 3,827,057 | 147 | |||||||||||||||||
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 | |||||||||||||||||
7.69 | (2.89 | )(d) | 0.52 | (e) | 4.17 | (e) | 2,389,658 | 77 | (d) | ||||||||||||||
8.10 | 13.86 | 0.52 | 4.14 | 2,290,420 | 217 | ||||||||||||||||||
7.43 | (3.57 | ) | 0.52 | 4.37 | 1,533,935 | 147 | |||||||||||||||||
8.21 | 6.55 | (d) | 0.53 | (e) | 4.06 | (e) | 1,093,748 | 113 | |||||||||||||||
7.68 | (2.94 | )(d) | 0.59 | (e) | 4.08 | (e) | 1,481,102 | 77 | (d) | ||||||||||||||
8.09 | 13.80 | 0.59 | 4.07 | 1,401,118 | 217 | ||||||||||||||||||
7.43 | (3.77 | ) | 0.59 | 4.30 | 927,024 | 147 | |||||||||||||||||
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 | |||||||||||||||||
7.90 | (3.13 | )(d) | 1.04 | (e) | 3.65 | (e) | 14,029 | 77 | (d) | ||||||||||||||
8.32 | 13.16 | 1.04 | 3.67 | 16,727 | 217 | ||||||||||||||||||
7.64 | (4.00 | ) | 0.95 | 3.94 | 17,453 | 147 | |||||||||||||||||
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 |
See Notes to Financial Statements. | 49 |
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 | ||||||||||||||||||||||||||||
6/30/2020(c) | $ | 8.13 | $ | 0.12 | $ | (0.38 | ) | $ | (0.26 | ) | $ | (0.15 | ) | $ | – | $ | (0.15 | ) | ||||||||||
12/31/2019 | 7.47 | 0.28 | 0.67 | 0.95 | (0.29 | ) | – | (0.29 | ) | |||||||||||||||||||
12/31/2018 | 8.25 | 0.30 | (0.64 | ) | (0.34 | ) | (0.32 | ) | (0.12 | ) | (0.44 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
6/30/2020(c) | 8.12 | 0.13 | (0.39 | ) | (0.26 | ) | (0.15 | ) | – | (0.15 | ) | |||||||||||||||||
12/31/2019 | 7.46 | 0.29 | 0.67 | 0.96 | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||||
12/31/2018 | 8.24 | 0.30 | (0.63 | ) | (0.33 | ) | (0.33 | ) | (0.12 | ) | (0.45 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
6/30/2020(c) | 8.14 | 0.14 | (0.40 | ) | (0.26 | ) | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||
12/31/2019 | 7.47 | 0.30 | 0.69 | 0.99 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
12/31/2018 | 8.25 | 0.33 | (0.64 | ) | (0.31 | ) | (0.35 | ) | (0.12 | ) | (0.47 | ) | ||||||||||||||||
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(g) | 7.99 | 0.16 | (0.52 | ) | (0.36 | ) | (0.17 | ) | (0.06 | ) | (0.23 | ) | ||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
6/30/2020(c) | 8.10 | 0.14 | (0.38 | ) | (0.24 | ) | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||
12/31/2019 | 7.43 | 0.33 | 0.68 | 1.01 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
12/31/2018 | 8.21 | 0.34 | (0.63 | ) | (0.29 | ) | (0.37 | ) | (0.12 | ) | (0.49 | ) | ||||||||||||||||
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(g) | 7.95 | 0.17 | (0.52 | ) | (0.35 | ) | (0.18 | ) | (0.06 | ) | (0.24 | ) | ||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
6/30/2020(c) | 8.09 | 0.15 | (0.39 | ) | (0.24 | ) | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||
12/31/2019 | 7.43 | 0.33 | 0.68 | 1.01 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
12/31/2018 | 8.21 | 0.35 | (0.63 | ) | (0.28 | ) | (0.38 | ) | (0.12 | ) | (0.50 | ) | ||||||||||||||||
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(g) | 7.95 | 0.17 | (0.51 | ) | (0.34 | ) | (0.18 | ) | (0.06 | ) | (0.24 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on April 4, 2017. |
(g) | Commenced on June 30, 2015. |
50 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | ||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses (%) | Net investment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||
$ | 7.72 | (3.19 | )(d) | 1.19 | (e) | 3.50 | (e) | $ | 5,955 | 77 | (d) | ||||||||||||
8.13 | 12.93 | 1.19 | 3.51 | 6,688 | 217 | ||||||||||||||||||
7.47 | (4.17 | ) | 1.19 | 3.71 | 6,460 | 147 | |||||||||||||||||
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 | |||||||||||||||||
7.71 | (3.15 | )(d) | 1.08 | (e) | 3.61 | (e) | 201,466 | 77 | (d) | ||||||||||||||
8.12 | 13.20 | 1.09 | 3.60 | 201,289 | 217 | ||||||||||||||||||
7.46 | (4.21 | ) | 1.09 | 3.81 | 152,743 | 147 | |||||||||||||||||
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 | |||||||||||||||||
7.72 | (3.14 | )(d) | 0.83 | (e) | 3.87 | (e) | 59,803 | 77 | (d) | ||||||||||||||
8.14 | 13.46 | 0.84 | 3.80 | 48,229 | 217 | ||||||||||||||||||
7.47 | (3.83 | ) | 0.84 | 4.09 | 18,847 | 147 | |||||||||||||||||
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 | (e) | 4.27 | (e) | 207 | 119 | |||||||||||||||
7.69 | (2.92 | )(d) | 0.58 | (e) | 4.12 | (e) | 21,657 | 77 | (d) | ||||||||||||||
8.10 | 13.79 | 0.59 | 4.13 | 16,505 | 217 | ||||||||||||||||||
7.43 | (3.63 | ) | 0.59 | 4.32 | 30,204 | 147 | |||||||||||||||||
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 | (e) | 4.39 | (e) | 10 | 119 | |||||||||||||||
7.68 | (2.90 | )(d) | 0.51 | (e) | 4.18 | (e) | 210,995 | 77 | (d) | ||||||||||||||
8.09 | 13.73 | 0.52 | �� | 4.16 | 186,784 | 217 | |||||||||||||||||
7.43 | (3.56 | ) | 0.52 | 4.39 | 116,094 | 147 | |||||||||||||||||
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 | (e) | 4.49 | (e) | 10,994 | 119 |
See Notes to Financial Statements. | 51 |
Notes to Financial Statements (unaudited)
1. | ORGANIZATION |
Lord Abbett Bond-Debenture Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company. The Fund was organized in 1970 and incorporated under Maryland law on January 23, 1976.
The Fund’s investment objective is to seek high current income and the opportunity for capital appreciation to produce a high total return. The Fund has eleven active classes of shares: Class A, C, F, F3, I, P, R2, R3, R4, R5 and R6, each with different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class 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 June 30, 2020, Class C shares will automatically convert to 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 eighth anniversary of the month on which the purchase order was accepted, provided that the Fund or financial intermediary through which a shareholder purchased Class C shares has records verifying that the C shares have been held at least eight years. The first conversion of Class C to A Shares under this new policy took place on July 25, 2020 for all Class C shares that were held for more than eight years as of June 30, 2020. Prior to June 30, 2020, Class C shares converted 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 new investors, with certain exceptions as set forth in the Fund’s prospectus.
The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
2. | SIGNIFICANT ACCOUNTING POLICIES |
(a) | Investment Valuation–Under procedures approved by the Fund’s Board of Directors (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. |
Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. The Fund may utilize an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked prices. Fixed income |
52
Notes to Financial Statements (unaudited)(continued)
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 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 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, 2016 through December 31, 2019. 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, C, F, P, R2, R3 and R4 shares bear their class-specific share of all expenses and fees relating to the Fund’s 12b-1 Distribution Plan. |
53
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), if applicable, 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, if applicable, in Net realized gain (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. These credit default swaps |
54
Notes to Financial Statements (unaudited)(continued)
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 the 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 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. |
55
Notes to Financial Statements (unaudited)(continued)
(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 the 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) | Floating Rate Loans–The Fund may invest in floating rate loans, which usually take the form of loan participations and assignments. Loan participations and assignments are agreements to make money available to U.S. or foreign corporations, partnerships or other business entities (the “Borrower”) in a specified amount, at a specified rate and within a specified time. A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent typically administers and enforces the loan on behalf of the other Loan Investors in the syndicate and may hold any collateral on behalf of the Loan Investors. Such loan participations and assignments are typically senior, secured and collateralized in nature. The Fund records an investment when the Borrower withdraws money and records interest as earned. These loans pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or London InterBank Offered Rate (“LIBOR”). |
The loans in which the Fund invests may be subject to some restrictions on resale. For example, the Fund may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the Borrower. As a result, the Fund assumes the credit risk of the Borrower, the selling participant and any other persons interpositioned between the Fund and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, the Fund may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest. |
56
Notes to Financial Statements (unaudited)(continued)
Unfunded commitments represent the remaining obligation of the Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statement of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments, 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, 2020, the Fund had the following unfunded loan commitments: | |
Pacific Gas and Electric Company 5 Year Revolver $501,729 | |
(o) | Fair Value Measurements–Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk—for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below: |
• | Level 1 – | unadjusted quoted prices in active markets for identical investments; |
• | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and |
• | Level 3 – | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
A summary of inputs used in valuing the Fund’s investments and other financial instruments as of June 30, 2020 and, if applicable, 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. 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.
57
Notes to Financial Statements (unaudited)(continued)
The management fee is based on the Fund’s average daily net assets at the following annual rate:
First $500 million | .50% |
Next $9.5 billion | .45% |
Over $10 billion | .40% |
For the six months ended June 30, 2020, 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, C, F, P, R2, R3 and R4 shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. The following annual rates have been authorized by the Board pursuant to the plan:
Fees* | Class A | Class C(1) | Class F(2) | Class P | Class R2 | Class R3 | Class R4 |
Service | .15% | .25% | – | .25% | .25% | .25% | .25% |
Distribution | .05% | .75% | .10% | .20% | .35% | .25% | – |
* | The Fund may designate a portion of the aggregate fee as attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations. |
(1) | The Rule 12b-1 fee the Fund pays on Class C shares is a blended rate based on 1.00% of the Fund’s average daily net assets attributable to Class C shares held for less than one year and .80% (.25% service, .55% distribution) of the Fund’s average daily net assets attributable to Class C shares held for one year or more. All Class C shareholders of the Fund will bear Rule 12b-1 fees at the same rate. |
(2) | The Class F share Rule 12b-1 fee may be designated as a service fee in limited circumstances as described in the Fund’s prospectus. |
Class 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, 2020:
Distributor | Dealers’ |
Commissions | Concessions |
$343,494 | $2,125,950 |
Distributor received CDSCs of $125,697 and $153,894 for Class A and Class C shares, respectively, for the six months ended June 30, 2020.
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
58
Notes to Financial Statements (unaudited)(continued)
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, 2020 and fiscal year ended December 31, 2019 were as follows:
Six Months Ended | ||
6/30/2020 | Year Ended | |
(unaudited) | 12/31/2019 | |
Distributions paid from: | ||
Ordinary income | $346,429,872 | $581,910,124 |
Total distributions paid | $346,429,872 | $581,910,124 |
As of December 31, 2019, the Fund had a capital loss carryforward of $217,198,660, which will carryforward indefinitely.
As of June 30, 2020, 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 | $ | 16,418,623,603 | ||
Gross unrealized gain | 976,632,662 | |||
Gross unrealized loss | (641,469,102 | ) | ||
Net unrealized security gain | $ | 335,163,560 |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of amortization of premium, certain securities, other financial instruments, and wash sales.
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2020 were as follows:
U.S | Non-U.S | U.S | Non-U.S. |
Government | Government | Government | Government |
Purchases* | Purchases | Sales* | Sales |
$3,656,760,879 | $8,849,011,552 | $6,288,767,872 | $6,568,595,514 |
* | 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, 2020, the Fund engaged in cross-trades purchases of $74,795,735 and sales of $165,010,838 which resulted in net realized gains of $6.833,704.
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
The Fund entered into forward foreign currency exchange contracts for the six months ended June 30, 2020 (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
59
Notes to Financial Statements (unaudited)(continued)
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 futures contracts for the six months ended June 30, 2020 (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, 2020 (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, 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, 2020, 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) | – | – | $ | 18,845,368 | ||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 1,255,759 | – | ||||||||
Futures Contracts(3) | $ | 6,036,402 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Centrally Cleared Credit Default Swap Contracts(1) | – | – | $ | 7,194,141 | ||||||||
Credit Default Swap Contracts(4) | – | – | 29,727,236 | |||||||||
Forward Foreign Currency Exchange Contracts(5) | – | $ | 1,383,812 | – | ||||||||
Futures Contracts(3) | $ | 21,764,606 | – | – |
(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 on 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. |
60
Notes to Financial Statements (unaudited)(continued)
Transactions in derivative instruments for the six months ended June 30, 2020, were as follows:
Foreign | ||||||||||||
Interest Rate | Currency | Credit | ||||||||||
Contracts | Contracts | Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swap Contracts(1) | – | – | $ | (40,001,176 | ) | |||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 2,546,775 | – | ||||||||
Futures Contracts(3) | $ | (203,864,104 | ) | – | – | |||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | (26,188,663 | ) | |||||||
Forward Foreign Currency Exchange Contracts(5) | – | $ | (4,146,773 | ) | – | |||||||
Futures Contracts(6) | $ | (76,419,094 | ) | – | – | |||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swap Contracts(7) | – | – | $ | 2,012,047,597 | ||||||||
Forward Foreign Currency Exchange Contracts(7) | – | $ | 334,395,771 | – | ||||||||
Futures Contracts(8) | 36,461 | – | – |
* | Calculated based on the number of contracts or notional amounts for the six months ended June 30, 2020. |
(1) | Statement of Operations location: Net realized gain (loss) on swap contracts. |
(2) | Statement of Operations location: Net realized gain (loss) on forward foreign currency exchange contracts. |
(3) | Statement of Operations location: Net realized gain(loss) on futures contracts. |
(4) | Statement of Operations location: Net change in unrealized appreciation/depreciation on swap contracts. |
(5) | Statement of Operations location: Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts. |
(6) | Statement 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. |
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 | $ | 1,255,759 | $ | – | $ | 1,255,759 | ||||||
Repurchase Agreement | 25,271,380 | – | 25,271,380 | |||||||||
Total | $ | 26,527,139 | $ | – | $ | 26,527,139 |
61
Notes to Financial Statements (unaudited)(continued)
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) | |||||||||||||||
Fixed Income Clearing Corp. | $ | 25,271,380 | $ | – | $ | – | $ | (25,271,380 | ) | $ | – | |||||||||
Bank of America | 978,920 | – | (978,920 | ) | – | – | ||||||||||||||
Morgan Stanley | 276,839 | (276,839 | ) | – | – | – | ||||||||||||||
Total | $ | 26,527,139 | $ | (276,839 | ) | $ | (978,920 | ) | $ | (25,271,380 | ) | $ | – |
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 Swap Contracts | $ | 29,727,236 | $ | – | $ | 29,727,236 | ||||||
Forward Foreign Currency | ||||||||||||
Exchange Contracts | 1,383,812 | – | 1,383,812 | |||||||||
Total | $ | 31,111,048 | $ | – | $ | 31,111,048 |
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) | |||||||||||||||
Credit Suisse | $ | 11,179,724 | $ | – | $ | (11,179,724 | ) | $ | – | $ | – | |||||||||
Deutsche Bank | 6,357,075 | – | (6,300,000 | ) | – | 57,075 | ||||||||||||||
Goldman Sachs | 9,588,908 | – | (9,588,908 | ) | – | – | ||||||||||||||
Morgan Stanley | 3,043,771 | (276,839 | ) | (2,766,932 | ) | – | – | |||||||||||||
JPMorgan Chase | 941,570 | – | (940,000 | ) | – | 1,570 | ||||||||||||||
Total | $ | 31,111,048 | $ | (276,839 | ) | $ | (30,775,564 | ) | $ | – | $ | 58,645 |
(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, 2020. |
(c) | Net amount represents the amount owed by the Fund to the counterparty as of June 30, 2020. |
8. | TRANSACTIONS WITH AFFILIATED ISSUERS |
An affiliated issuer is one in which a Fund has ownership of at least 5% of the outstanding voting securities of the underlying issuer at any point during the fiscal year or any company which is under common ownership or control. Bond Debenture Fund had the following transactions with affiliated issuers during the six months ended June 30, 2020:
Net | Change in | |||||||
Balance of | Balance of | Realized | Dividend | Appreciation | ||||
Shares | Shares | Fair | Gain | Income | (Depreciation) | |||
Affiliated | Held at | Gross | Gross | Held at | Value at | 1/1/2020 to | 1/1/2020 to | 1/1/2020 to |
Issuer | 12/31/2019 | Additions | Sales | 6/30/2020 | 6/30/2020 | 6/30/2020(a) | 6/30/2020 | 6/30/2020 |
Shake Shack, Inc.(b) | 1,081,328 | 1,194,009 | (490,268) | 1,785,069 | $94,572,956 | $(682,465) | $ – | $(5,701,563) |
(a) | Represents realized gains (losses) only when the issuer was an affiliate of the Fund. |
(b) | Not an affiliated issuer as of June 30, 2020. |
62
Notes to Financial Statements (unaudited)(continued)
9. | 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 each fund. There is an equity-based plan available to all Independent Directors under which Independent Directors must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Directors’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Directors’ fees on the Statement of Operations and in Directors’ fees payable on the Statement of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
10. | 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.
11. | LINE OF CREDIT |
For the period ended June 30, 2020, the Fund and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $1.17 billion (the “Syndicated Facility”) whereas State Street Bank and Trust Company (“SSB”) participated as a lender and as agent for the lenders. The Participating Funds were subject to graduated borrowing limits of one third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $350 million, $500 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors. Effective August 6, 2020, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $600 million, or $900 million, based on past borrowings and likelihood of future borrowings, among other factors.
For the period ended June 30, 2020, the Participating Funds were party to an additional line of credit facility with SSB for $330 million (the “Bilateral Facility”), $250 million committed and $80 million uncommitted. Under the Bilateral Facility, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if net assets are less than $750 million), $250 million, $300 million, or $330 million, based on past borrowings and likelihood of future borrowings, among other factors.
The Syndicated Facility and the Bilateral Facility are to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions.
For the six months ended June 30, 2020, the Fund did not utilize the Facilities.
12. | 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.
For the six months ended June 30, 2020, the Fund did not participate as a borrower or lender in the Interfund Lending Program.
63
Notes to Financial Statements (unaudited)(continued)
13. | 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.
14. | SECURITIES LENDING AGREEMENT |
The Fund has established a securities lending agreement with Citibank, N.A. for the lending of securities to qualified brokers in exchange for securities or cash collateral equal to at least the market value of securities loaned, plus interest, if applicable. Cash collateral is invested in an approved money market fund. In accordance with the Fund’s securities lending agreement, the market value of securities on loan is determined each day at the close of business and any additional collateral required to cover the value of securities on loan is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Such income earned from securities lending is included in Securities Lending Income on the Statement of Operations.
As of June 30, 2020, the market value of securities loaned and collateral received for the Fund was as follows:
Market Value of Securities Loaned | Collateral Received | |||||
$12,310,020 | $12,897,000 |
15. | 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.
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.
64
Notes to Financial Statements (unaudited)(continued)
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 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
65
Notes to Financial Statements (unaudited)(continued)
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.
Geopolitical and other events (e.g., wars, terrorism, natural disasters, epidemics or pandemics such as the COVID-19 outbreak which began in late 2019) may disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Fund’s investments. Market disruptions can also prevent the Fund from implementing its investment strategies and achieving its investment objective.
The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, reductions and other changes, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. The impact of the COVID-19 outbreak could negatively affect the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. The COVID-19 pandemic and its effects may last for an extended period of time, and in either case could result in significant market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn or recession. The foregoing could disrupt the operations of the Fund and its service providers, adversely affect the value and liquidity of the Fund’s investments, and negatively impact the Fund’s performance and your investment in the Fund.
These factors can affect the Fund’s performance.
16. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of beneficial interest were as follows:
Six Months Ended | ||||||||||||||||
June 30, 2020 | Year Ended | |||||||||||||||
(unaudited | ) | December 31, 2019 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 84,805,094 | $ | 654,400,221 | 133,918,244 | $ | 1,069,217,883 | ||||||||||
Converted from Class C* | 3,829,340 | 29,258,577 | 26,275,240 | 209,115,573 | ||||||||||||
Reinvestment of distributions | 12,684,275 | 97,017,953 | 22,444,062 | 179,194,884 | ||||||||||||
Shares reacquired | (93,681,689 | ) | (704,964,983 | ) | (106,980,010 | ) | (849,818,557 | ) | ||||||||
Increase | 7,637,020 | $ | 75,711,768 | 75,657,536 | $ | 607,709,783 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 21,135,386 | $ | 165,141,714 | 43,768,575 | $ | 350,928,819 | ||||||||||
Reinvestment of distributions | 2,618,738 | 20,069,432 | 5,027,837 | 40,211,441 | ||||||||||||
Shares reacquired | (21,381,529 | ) | (161,688,105 | ) | (32,888,087 | ) | (261,619,288 | ) | ||||||||
Converted to Class A* | (3,818,576 | ) | (29,258,577 | ) | (26,206,544 | ) | (209,115,573 | ) | ||||||||
Decrease | (1,445,981 | ) | $ | (5,735,536 | ) | (10,298,219 | ) | $ | (79,594,601 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 318,252,981 | $ | 2,422,279,705 | 346,791,388 | $ | 2,762,309,640 | ||||||||||
Reinvestment of distributions | 13,114,265 | 100,127,641 | 19,369,737 | 154,501,880 | ||||||||||||
Shares reacquired | (209,441,943 | ) | (1,562,853,703 | ) | (172,184,295 | ) | (1,365,130,514 | ) | ||||||||
Increase | 121,925,303 | $ | 959,553,643 | 193,976,830 | $ | 1,551,681,006 |
66
Notes to Financial Statements (unaudited)(concluded)
Six Months Ended | ||||||||||||||||
June 30, 2020 | Year Ended | |||||||||||||||
(unaudited | ) | December 31, 2019 | ||||||||||||||
Class F3 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 61,260,906 | $ | 472,454,338 | 106,494,546 | $ | 845,843,853 | ||||||||||
Reinvestment of distributions | 6,719,004 | 51,150,590 | 10,303,012 | 81,952,647 | ||||||||||||
Shares reacquired | (39,977,173 | ) | (297,340,706 | ) | (40,243,536 | ) | (318,286,371 | ) | ||||||||
Increase | 28,002,737 | $ | 226,264,222 | 76,554,022 | $ | 609,510,129 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 71,328,102 | $ | 539,569,202 | 85,849,333 | $ | 681,803,971 | ||||||||||
Reinvestment of distributions | 3,760,149 | 28,607,328 | 5,557,418 | 44,150,983 | ||||||||||||
Shares reacquired | (55,439,468 | ) | (412,751,663 | ) | (43,011,770 | ) | (338,928,271 | ) | ||||||||
Increase | 19,648,783 | $ | 155,424,867 | 48,394,981 | $ | 387,026,683 | ||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 101,152 | $ | 806,781 | 237,182 | $ | 1,913,910 | ||||||||||
Reinvestment of distributions | 37,507 | 293,609 | 83,645 | 682,350 | ||||||||||||
Shares reacquired | (372,926 | ) | (2,899,249 | ) | (595,234 | ) | (4,849,340 | ) | ||||||||
Decrease | (234,267 | ) | $ | (1,798,859 | ) | (274,407 | ) | $ | (2,253,080 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 135,938 | $ | 1,019,028 | 279,426 | $ | 2,219,423 | ||||||||||
Reinvestment of distributions | 10,686 | 81,707 | 19,950 | 159,371 | ||||||||||||
Shares reacquired | (197,668 | ) | (1,533,867 | ) | (342,140 | ) | (2,715,689 | ) | ||||||||
Decrease | (51,044 | ) | $ | (433,132 | ) | (42,764 | ) | $ | (336,895 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 3,562,725 | $ | 27,813,039 | 6,315,210 | $ | 50,436,576 | ||||||||||
Reinvestment of distributions | 506,834 | 3,867,805 | 826,117 | 6,583,665 | ||||||||||||
Shares reacquired | (2,723,781 | ) | (20,175,074 | ) | (2,839,181 | ) | (22,473,168 | ) | ||||||||
Increase | 1,345,778 | $ | 11,505,770 | 4,302,146 | $ | 34,547,073 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 3,458,209 | $ | 27,132,640 | 4,187,331 | $ | 33,496,348 | ||||||||||
Reinvestment of distributions | 105,466 | 805,778 | 118,504 | 949,841 | ||||||||||||
Shares reacquired | (1,748,248 | ) | (13,261,595 | ) | (901,293 | ) | (7,212,781 | ) | ||||||||
Increase | 1,815,427 | $ | 14,676,823 | 3,404,542 | $ | 27,233,408 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 1,138,882 | $ | 8,896,188 | 1,391,831 | $ | 11,010,329 | ||||||||||
Reinvestment of distributions | 53,488 | 406,593 | 173,880 | 1,380,566 | ||||||||||||
Shares reacquired | (413,572 | ) | (3,115,704 | ) | (3,589,909 | ) | (28,601,514 | ) | ||||||||
Increase (decrease) | 778,798 | $ | 6,187,077 | (2,024,198 | ) | $ | (16,210,619 | ) | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 9,672,933 | $ | 74,033,497 | 14,483,680 | $ | 115,423,678 | ||||||||||
Reinvestment of distributions | 470,301 | 3,576,827 | 605,469 | 4,812,557 | ||||||||||||
Shares reacquired | (5,762,013 | ) | (43,441,867 | ) | (7,633,285 | ) | (60,378,107 | ) | ||||||||
Increase | 4,381,221 | $ | 34,168,457 | 7,455,864 | $ | 59,858,128 |
* | Effective June 30, 2020, automatic conversion of Class C shares occurs 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. Prior to June 30, 2020, conversion occurred following the tenth anniversary of the day on which the purchase was accepted. |
67
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a Liquidity Risk Management Program and Policy (“Program”). The Program is designed to assess, manage and periodically review the Fund’s liquidity risk. Liquidity risk is defined under Rule 22e-4 as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed Lord Abbett as the administrator for the Fund’s Program. At the May 28-29, 2020 meeting, Lord Abbett provided the Board with a report addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018 through February 28, 2020. Lord Abbett reported that the Program operated effectively during the period. In particular, Lord Abbett reported that: the Fund did not breach its 15% limit on illiquid investments at any point during the period and all regulatory reporting related to Rule 22e-4 was completed on time and without issue during the period.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Householding
The Fund has adopted a policy that allows it to send only one copy of the Fund’s prospectus, proxy material, annual report and semiannual report to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P.O. Box 219336, Kansas City, MO 64121.
Proxy Voting Policies, Procedures and Records
A description of the policies and procedures that Lord Abbett uses to vote proxies related to the Fund’s portfolio securities, and information on how Lord Abbett voted the Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.
Shareholder Reports and Quarterly Portfolio Disclosure
The Fund is required to file its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters as an attachment to Form N-PORT. 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.
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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 (08/20) |
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) | The principal executive officer and principal financial & accounting officer have concluded as of a date within 90 days of the filing date of this report, 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), that the design of such procedures is effective to provide reasonable assurance that material information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms. |
(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 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: | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
Item 13: | Exhibits. |
(a)(1) | Code of Ethics. Not applicable. |
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 25, 2020
By: | /s/Vito A. Fronda | ||
Vito A. Fronda | |||
Chief Financial Officer and Treasurer |
Date: August 25, 2020
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 25, 2020
By: | /s/Vito A. Fronda | ||
Vito A. Fronda | |||
Chief Financial Officer and Treasurer |
Date: August 25, 2020