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: 12/31/2020
Item 1: Report(s) to Shareholders.
LORD ABBETT
ANNUAL REPORT
Lord Abbett
Bond Debenture Fund
For the fiscal year ended December 31, 2020
Table of Contents
Lord Abbett Bond Debenture Fund
Annual Report
For the fiscal year ended December 31, 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 overview of the performance of Lord Abbett Bond Debenture Fund for the fiscal year ended December 31, 2020. On this page and the following pages, we discuss the major factors that influenced fiscal year performance. For additional information about the Fund, please visit our website at www.lordabbett.com, where you also can access quarterly commentaries that provide updates on the Fund’s performance and other portfolio related updates.
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
For the fiscal year ended December 31, 2020, the Fund returned 7.60%, reflecting performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index,1 which returned 7.51% over the same period.
The trailing twelve-month period was characterized by several market-moving events. After trade tensions continued to ebb and flow in the final months of 2019, U.S. President Donald Trump signed a
“phase one” trade deal with China on the 15th of January 2020 and markets priced in a likelihood of two more interest rate cuts in 2020. The tide turned abruptly in February and March 2020, as the outbreak of the COVID-19 pandemic and the expected economic damage resulting from a sudden slowdown in corporate spending, individual spending, consumer confidence, and thus recessionary and deflationary pressures, triggered a severe sell-off. As the COVID-19 pandemic fueled fears of slowing global growth, oil prices fell
1
precipitously, with the primary U.S. oil contract closing in negative territory for the first time in history, although it has since rebounded. During the month of March, the S&P 500 Index2 experienced its fastest bear market since 1987 and the longest U.S. economic expansion in history ended at 128 months.
The U.S. Federal Reserve (Fed) responded to the COVID-19 outbreak with a breadth of policy measures which lifted investors’ confidence in the markets. The Fed launched a $700 billion quantitative easing program, decreased the reserve requirements to zero for thousands of banks, and cut the federal funds rate to the current target range of 0–0.25%. Next, the Fed announced additional stimulus programs, including open-ended asset purchases, purchases of corporate debt, and a commitment to a new small business lending program. Additionally, the central bank announced $2.3 trillion of credit support by expanding the Primary Market Corporate Credit Facility (PMCCF), the Secondary Market Corporate Credit Facility (SMCCF), and the Term Asset-Backed Securities Loan Facility (TALF). Most notably, the expanded measures included the purchase of select fallen angels.
Risk assets began to stage a recovery in April and May 2020 on the back of progress with respect to COVID-19 treatments and vaccines, commentary from several corporations that indicated stabilization in April and May, and massive monetary and fiscal policy globally. Positive market
sentiment continued into the third quarter of 2020 as well. In addition to the factors listed above, tailwinds for the continued rally in risk assets included a rebound in earnings revisions and further progress in COVID-19 treatments, as evidenced by multiple drugs reaching Phase III trials. In September, however, market sentiment soured amid political volatility related to the U.S. Supreme Court vacancy, increased COVID-19 concerns in Europe as global deaths topped one million, heightened uncertainty leading up to the U.S. Presidential election, and worries about stalled fiscal stimulus talks in Washington.
Despite the volatility in the fall, the markets rallied in the month of November with the Dow Jones Industrial Average having its best month since 1987. The rally was largely attributed to the conclusion of the U.S. Presidential election and positive vaccine news. Specifically, Former U.S. Vice President Biden defeated U.S. President Trump in the U.S. Presidential election, while the Republican Party narrowed the Democratic majority in the House. Soon after, Pfizer/BioNTech, Moderna, and AstraZeneca each announced a COVID-19 vaccine with greater than 90% efficacy rate. In December, as expected, the Food and Drug Administration (FDA) granted emergency use authorization for the Pfizer/BioNTech and Moderna vaccines. Monetary and fiscal policy remained largely supportive, as the Fed maintained interest rates near zero in its December meeting and noted that it would continue
2
its monthly pace of at least $120 billion of asset purchases until “substantial further progress has been made toward the Committee’s maximum employment and price stability goals”. Additionally, Congress passed a fifth COVID-19 relief package, worth roughly $900 billion, with approximately $325 billion in small business relief.
The Fund takes a flexible, multi-sector approach, which emphasizes credit sensitive sectors of the market, compared to its benchmark, which is largely comprised of U.S. Treasuries and government-related securities. The Fund benefited from an allocation to equity during the period, specifically equity-related securities tied to innovative companies in the information technology and health care sectors. The asset class’s return profile was advantageous during the market recovery, which began in late-March. Additionally, the Fund’s underweight allocation to mortgage
backed securities (MBS) contributed to relative performance, as MBS underperformed the Bloomberg Barclays U.S. Aggregate Bond Index during the period. The allocation to high yield bonds contributed meaningfully to relative performance as the Fund had exposure to many high-performing investments throughout the year, particularly in the energy and communications industries.
The Fund’s modest allocations to bank loans and collateralized loan obligations (CLOs) detracted from relative performance during the period. The asset classes faced pronounced outflows and a negative technical backdrop. The Fund’s modest allocation to sovereign bonds was also a relative detractor during the year.
The Fund’s portfolio is actively managed and, therefore, its holdings and the weightings of a particular issuer or particular sector as a percentage of portfolio assets are subject to change. Sectors may include many industries.
3
1 The Bloomberg Barclays U.S. Aggregate Bond Index is an index of U.S dollar-denominated, investment-grade U.S. government and corporate securities, and mortgage pass-through securities, and asset-backed securities. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and an investor cannot invest directly in an index.
2 The S&P 500® Index is widely regarded as the standard for measuring large cap U.S. stock market performance and includes a representative sample of leading companies in leading industries.
Unless otherwise specified, indexes reflect total return, with all dividends reinvested. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and are not available for direct investment.
Important Performance and Other Information
Performance data quoted in the following pages reflect past performance and are no guarantee of future results. Current performance may be higher or lower than the performance quoted. The investment return and principal value of an investment in the Fund will fluctuate so that shares, on any given day or when redeemed, may be worth more or less than their original cost. You can obtain performance data current to the most recent month end by calling Lord Abbett at 888-522-2388 or referring to www.lordabbett.com.
Except where noted, comparative Fund performance does not account for the deduction of sales charges and would be different if sales charges were included.
The Fund offers classes of shares with distinct pricing options. For a full description of the differences in pricing alternatives, please see the Fund’s prospectus.
During certain periods shown, expense waivers and reimbursements were in place. Without such expense waivers and reimbursements, the Fund’s returns would have been lower.
The annual commentary above discusses the views of the Fund’s management and various portfolio holdings of the Fund as of December 31, 2020. These views and portfolio holdings may have changed after this date. Information provided in the commentary is not a recommendation to buy or sell securities. Because the Fund’s portfolio is actively managed and may change significantly, the Fund may no longer own the securities described above or may have otherwise changed its position in the securities. For more recent information about the Fund’s portfolio holdings, please visit www.lordabbett.com.
A Note about Risk: See Notes to Financial Statements for a discussion of investment risks. For a more detailed discussion of the risks associated with the Fund, please see the Fund’s prospectus.
Mutual funds are not insured by the FDIC, are not deposits or other obligations of, or guaranteed by, banks, and are subject to investment risks including possible loss of principal amount invested.
4
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Bloomberg Barclays U.S. Aggregate Bond Index and the ICE BofA U.S. High Yield Constrained Index, assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable | ||||||||
1 Year | 5 Years | 10 Years | Life of Class | |||||
Class A3 | 5.14% | 7.08% | 6.24% | – | ||||
Class C4 | 5.77% | 6.88% | 5.81% | – | ||||
Class F5 | 7.57% | 7.65% | 6.63% | – | ||||
Class F36 | 7.77% | – | – | 6.39% | ||||
Class I5 | 7.69% | 7.77% | 6.74% | – | ||||
Class P5 | 7.25% | 7.39% | 6.41% | – | ||||
Class R25 | 7.17% | 7.14% | 6.12% | – | ||||
Class R35 | 7.16% | 7.23% | 6.22% | – | ||||
Class R47 | 7.41% | 7.51% | – | 5.89% | ||||
Class R57 | 7.70% | 7.80% | – | 6.17% | ||||
Class R67 | 7.91% | 7.85% | – | 6.24% |
1 Reflects the deduction of the maximum initial sales charge of 2.25%.
2 Performance of each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended December 31, 2020 is calculated using the SEC-required uniform method to compute such return.
4 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
5 Performance is at net asset value.
6 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
7 Commenced operations and performance for the Class began on June 30, 2015. Performance is at net asset value.
5
Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2020 through December 31, 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 7/1/20 – 12/31/20” 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.
6
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | ||||||||||
7/1/20 | 12/31/20 | 7/1/20 – 12/31/20 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,109.30 | $ | 4.14 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.22 | $ | 3.96 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,105.40 | $ | 7.52 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.00 | $ | 7.20 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,108.60 | $ | 3.60 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.72 | $ | 3.46 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,109.80 | $ | 2.65 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.62 | $ | 2.54 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,109.50 | $ | 3.08 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.22 | $ | 2.95 | ||||||
Class P | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,107.10 | $ | 5.46 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.96 | $ | 5.23 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,107.10 | $ | 6.25 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.20 | $ | 5.99 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,106.40 | $ | 5.72 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.71 | $ | 5.48 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,109.00 | $ | 4.40 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.96 | $ | 4.22 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,109.40 | $ | 3.08 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.22 | $ | 2.95 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,111.30 | $ | 2.65 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.62 | $ | 2.54 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.78% for Class A, 1.42% for Class C, 0.68% for Class F, 0.50% for Class F3, 0.58 % for Class I, 1.03% for Class P, 1.18% for Class R2, 1.08% for Class R3, 0.83% for Class R4, 0.58% for Class R5 and 0.50% for Class R6) multiplied by the average account value over the period, multiplied by 184/366 (to reflect one-half year period). |
7
Portfolio Holdings Presented by Sector
December 31, 2020
Sector* | %** | |
Agency | 0.16 | % |
Asset Backed | 2.47 | % |
Automotive | 3.76 | % |
Banking | 5.47 | % |
Basic Industry | 4.98 | % |
Capital Goods | 4.42 | % |
Consumer Goods | 5.04 | % |
Energy | 8.40 | % |
Financial Services | 1.91 | % |
Foreign Government | 3.36 | % |
Healthcare | 7.18 | % |
Insurance | 2.00 | % |
Leisure | 6.17 | % |
Media | 5.26 | % |
Mortgage Backed | 3.41 | % |
Municipal | 2.95 | % |
Real Estate | 1.35 | % |
Retail | 5.63 | % |
Services | 2.59 | % |
Technology & Electronics | 8.58 | % |
Telecommunications | 4.52 | % |
Transportation | 3.42 | % |
Utilities | 5.38 | % |
Money Market Fund(a) | 0.11 | % |
Time Deposit(a) | 0.01 | % |
Repurchase Agreement | 1.47 | % |
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. | |
(a) | Securities were purchased with the cash collateral from loaned securities. |
8
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 97.75% | ||||||||||||
ASSET-BACKED SECURITIES 3.08% | ||||||||||||
Automobiles 0.04% | ||||||||||||
ACC Trust 2018-1 C† | 6.81% | 2/21/2023 | $ | 2,509 | $ | 2,520,144 | ||||||
Mercedes-Benz Auto Lease Trust 2018-B A3 | 3.21% | 9/15/2021 | 986 | 987,848 | ||||||||
Mercedes-Benz Auto Lease Trust 2019-A A3 | 3.10% | 11/15/2021 | 4,804 | 4,823,935 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A B† | 2.32% | 6/15/2022 | 591 | 591,200 | ||||||||
Total | 8,923,127 | |||||||||||
Credit Cards 0.09% | ||||||||||||
Perimeter Master Note Business Trust 2019-2A A† | 4.23% | 5/15/2024 | 16,717 | 17,321,788 | ||||||||
Other 2.95% | ||||||||||||
AMMC CLO XII Ltd. 2013-12A DR† | 2.906% (3 Mo. LIBOR + 2.70% | )# | 11/10/2030 | 3,859 | 3,584,533 | |||||||
AMMC CLO XIII Ltd. 2013-13A A2LR† | 1.915% (3 Mo. LIBOR + 1.70% | )# | 7/24/2029 | 3,440 | 3,431,424 | |||||||
Apex Credit CLO LLC 2017-2A B† | 2.089% (3 Mo. LIBOR + 1.85% | )# | 9/20/2029 | 7,197 | 7,207,670 | |||||||
Apex Credit CLO Ltd. 2016-1A AS1R† | 1.517% (3 Mo. LIBOR + 1.30% | )# | 10/27/2028 | 4,895 | 4,898,571 | |||||||
Apidos CLO XXIII 2015-23A AR† | 1.457% (3 Mo. LIBOR + 1.22% | )# | 4/15/2033 | 4,000 | 3,994,889 | |||||||
Bain Capital Credit CLO Ltd. 2017-2A BR† | 2.015% (3 Mo. LIBOR + 1.80% | )# | 7/25/2030 | 7,000 | 7,008,719 | |||||||
Battalion CLO VII Ltd. 2014-7A CRR† | 3.148% (3 Mo. LIBOR + 2.93% | )# | 7/17/2028 | 1,831 | 1,791,745 | |||||||
Battalion CLO XV Ltd. 2019-16A B† | 2.218% (3 Mo. LIBOR + 2.00% | )# | 12/19/2032 | 23,286 | 23,292,998 | |||||||
Benefit Street Partners CLO XIX Ltd. 2019-19A B† | 2.237% (3 Mo. LIBOR + 2.00% | )# | 1/15/2033 | 7,922 | 7,936,139 | |||||||
Carlyle US CLO Ltd. 2019-4A B† | 2.937% (3 Mo. LIBOR + 2.70% | )# | 1/15/2033 | 15,609 | 15,701,149 | |||||||
Cedar Funding VI CLO Ltd. 2016-6A BR† | 1.818% (3 Mo. LIBOR + 1.60% | )# | 10/20/2028 | 2,600 | 2,593,472 | |||||||
Cedar Funding VI CLO Ltd. 2016-6A DR† | 3.218% (3 Mo. LIBOR + 3.00% | )# | 10/20/2028 | 7,699 | 7,539,151 | |||||||
CIFC Funding Ltd. 2013-2A A2LR† | 1.818% (3 Mo. LIBOR + 1.60% | )# | 10/18/2030 | 11,000 | 11,000,455 | |||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 1.238% (3 Mo. LIBOR + 1.02% | )# | 4/20/2031 | 5,311 | 5,262,208 |
See Notes to Financial Statements. | 9 |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Greywolf CLO III Ltd. 2020-3RA A1R† | 1.506% (3 Mo. LIBOR + 1.29% | )# | 4/15/2033 | $ | 20,101 | $ | 20,170,610 | |||||
Greywolf CLO VII Ltd. 2018-2A A1† | 1.398% (3 Mo. LIBOR + 1.18% | )# | 10/20/2031 | 10,000 | 9,996,712 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A CR† | 2.365% (3 Mo. LIBOR + 2.15% | )# | 7/25/2027 | 5,476 | 5,460,294 | |||||||
Halcyon Loan Advisors Funding Ltd. 2017-2A A2† | 1.918% (3 Mo. LIBOR + 1.70% | )# | 1/17/2030 | 9,320 | 9,345,625 | |||||||
Harbor Park CLO Ltd. 2018-1A D† | 3.118% (3 Mo. LIBOR + 2.90% | )# | 1/20/2031 | 4,560 | 4,427,968 | |||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 37,421 | 40,130,494 | ||||||||
Jamestown CLO VII Ltd. 2015-7A BR† | 1.865% (3 Mo. LIBOR + 1.65% | )# | 7/25/2027 | 12,548 | 12,311,918 | |||||||
Kayne CLO 5 Ltd. 2019-5A A† | 1.565% (3 Mo. LIBOR + 1.35% | )# | 7/24/2032 | 38,000 | 38,051,638 | |||||||
Kayne CLO 7 Ltd. 2020-7A A1† | 1.418% (3 Mo. LIBOR + 1.20% | )# | 4/17/2033 | 47,944 | 47,826,341 | |||||||
KKR CLO 9 Ltd. 9 B1R† | 1.987% (3 Mo. LIBOR + 1.75% | )# | 7/15/2030 | 6,340 | 6,340,917 | |||||||
KVK CLO Ltd. 2013-A BR† | 1.679% (3 Mo. LIBOR + 1.45% | )# | 1/14/2028 | 3,567 | 3,537,942 | |||||||
Marble Point CLO XVII Ltd. 2020-1A A† | 1.518% (3 Mo. LIBOR + 1.30% | )# | 4/20/2033 | 29,415 | 29,398,588 | |||||||
Marble Point CLO XVII Ltd. 2020-1A B† | 1.988% (3 Mo. LIBOR + 1.77% | )# | 4/20/2033 | 9,348 | 9,374,098 | |||||||
Mariner CLO Ltd. 2017-4A D† | 3.265% (3 Mo. LIBOR + 3.05% | )# | 10/26/2029 | 6,254 | 6,156,378 | |||||||
Mountain View CLO 2017-1A BR† | 1.98% (3 Mo. LIBOR + 1.75% | )# | 10/16/2029 | 11,046 | 11,052,805 | |||||||
Mountain View CLO X Ltd. 2015-10A BR† | 1.574% (3 Mo. LIBOR + 1.35% | )# | 10/13/2027 | 13,725 | 13,526,278 | |||||||
Neuberger Berman Loan Advisers CLO Ltd. 2019-35A A1† | 1.558% (3 Mo. LIBOR + 1.34% | )# | 1/19/2033 | 12,300 | 12,338,461 | |||||||
Northwoods Capital 20 Ltd. 2019-20A C† | 3.015% (3 Mo. LIBOR + 2.80% | )# | 1/25/2030 | 14,954 | 14,961,972 | |||||||
Octagon Investment Partners 29 Ltd. 2016-1A AR† | 1.395% (3 Mo. LIBOR + 1.18% | )# | 1/24/2033 | 15,000 | 14,963,061 | |||||||
Octagon Investment Partners 48 Ltd. 2020-3A A† | 1.732% (3 Mo. LIBOR + 1.50% | )# | 10/20/2031 | 35,000 | 35,128,761 | |||||||
Octagon Investment Partners XI 2012 1A A2R† | 2.137% (3 Mo. LIBOR + 1.90% | )# | 7/15/2029 | 6,105 | 6,120,198 |
10 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
OZLM Funding III Ltd. 2013-3A A2AR† | 2.166% (3 Mo. LIBOR + 1.95% | )# | 1/22/2029 | $ | 15,000 | $ | 15,018,326 | |||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 1.287% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 9,660 | 9,557,003 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A B† | 1.637% (3 Mo. LIBOR + 1.40% | )# | 4/15/2026 | 5,069 | 4,969,390 | |||||||
Parallel Ltd. 2017-1A A1R† | 1.248% (3 Mo. LIBOR + 1.03% | )# | 7/20/2029 | 5,000 | 4,973,355 | |||||||
Planet Fitness Master Issuer LLC 2018-1A A2I† | 4.262% | 9/5/2048 | 17,633 | 17,671,277 | ||||||||
Planet Fitness Master Issuer LLC 2018-1A A2II† | 4.666% | 9/5/2048 | 22,042 | 22,059,224 | ||||||||
Planet Fitness Master Issuer LLC 2019-1A A2† | 3.858% | 12/5/2049 | 14,088 | 13,338,556 | ||||||||
Regatta VI Funding Ltd. 2016-1A DR† | 2.918% (3 Mo. LIBOR + 2.70% | )# | 7/20/2028 | 2,216 | 2,148,162 | |||||||
Regatta XVI Funding Ltd. 2019-2A B† | 2.287% (3 Mo. LIBOR + 2.05% | )# | 1/15/2033 | 31,200 | 31,241,964 | |||||||
Sound Point CLO XI Ltd. 2016-1A DR† | 3.168% (3 Mo. LIBOR + 2.95% | )# | 7/20/2028 | 6,840 | 6,675,813 | |||||||
THL Credit Wind River CLO Ltd. 2017-1A B† | 1.918% (3 Mo. LIBOR + 1.70% | )# | 4/18/2029 | 9,200 | 9,156,096 | |||||||
THL Credit Wind River CLO Ltd. 2018-3A D† | 3.168% (3 Mo. LIBOR + 2.95% | )# | 1/20/2031 | 1,264 | 1,223,002 | |||||||
West CLO Ltd. 2014-2A BR† | 1.98% (3 Mo. LIBOR + 1.75% | )# | 1/16/2027 | 4,541 | 4,533,091 | |||||||
Total | 598,429,441 | |||||||||||
Total Asset-Backed Securities (cost $622,158,702) | 624,674,356 | |||||||||||
Shares (000) | ||||||||||||
COMMON STOCKS 10.76% | ||||||||||||
Advertising 0.32% | ||||||||||||
Snap, Inc. Class A* | 1,280 | 64,094,257 | ||||||||||
Air Transportation 0.38% | ||||||||||||
Hawaiian Holdings, Inc. | 1,846 | 32,674,501 | ||||||||||
JetBlue Airways Corp.* | 3,006 | 43,711,646 | ||||||||||
Total | 76,386,147 | |||||||||||
Auto Parts & Equipment 0.03% | ||||||||||||
Chassix Holdings, Inc. | 607 | 5,159,985 | ||||||||||
Automakers 0.46% | ||||||||||||
Ferrari NV (Italy)(a) | 229 | 52,493,060 |
See Notes to Financial Statements. | 11 |
Schedule of Investments (continued)
December 31, 2020
Investments | Shares (000) | Fair Value | ||||||
Automakers (continued) | ||||||||
Harley-Davidson, Inc. | 1,122 | $ | 41,159,270 | |||||
Total | 93,652,330 | |||||||
Banking 0.64% | ||||||||
East West Bancorp, Inc. | 487 | 24,703,681 | ||||||
South State Corp. | 459 | 33,193,002 | ||||||
SVB Financial Group* | 184 | 71,239,717 | ||||||
Total | 129,136,400 | |||||||
Beverages 0.27% | ||||||||
Boston Beer Co., Inc. (The) Class A* | 30 | 29,858,529 | ||||||
Brown-Forman Corp. Class B | 308 | 24,483,503 | ||||||
Total | 54,342,032 | |||||||
Diversified Capital Goods 0.56% | ||||||||
Enphase Energy, Inc.* | 516 | 90,620,955 | ||||||
Trane Technologies plc (Ireland)(a) | 157 | 22,813,491 | ||||||
Total | 113,434,446 | |||||||
Electronics 1.03% | ||||||||
Advanced Micro Devices, Inc.* | 735 | 67,427,668 | ||||||
Amphenol Corp. Class A | 269 | 35,179,484 | ||||||
Roku, Inc.* | 217 | 72,022,775 | ||||||
Trimble, Inc.* | 525 | 35,069,340 | ||||||
Total | 209,699,267 | |||||||
Energy: Exploration & Production 0.15% | ||||||||
Continental Resources, Inc.(b) | 1,266 | 20,634,268 | ||||||
Oasis Petroleum, Inc.* | 280 | 10,362,680 | ||||||
Total | 30,996,948 | |||||||
Food: Wholesale 0.10% | ||||||||
Performance Food Group Co.* | 431 | 20,497,057 | ||||||
Gaming 0.15% | ||||||||
Wynn Resorts Ltd. | 268 | 30,288,875 | ||||||
Hotels 0.10% | ||||||||
Hilton Worldwide Holdings, Inc. | 190 | 21,106,467 | ||||||
Investments & Miscellaneous Financial Services 0.11% | ||||||||
MarketAxess Holdings, Inc. | 38 | 21,559,751 |
12 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Shares (000) | Fair Value | ||||||
Machinery 0.42% | ||||||||
Generac Holdings, Inc.* | 184 | $ | 41,782,494 | |||||
Graco, Inc. | 311 | 22,514,307 | ||||||
Toro Co. (The) | 232 | 21,970,919 | ||||||
Total | 86,267,720 | |||||||
Managed Care 0.09% | ||||||||
BioNTech SE ADR*(b) | 230 | 18,755,959 | ||||||
Media: Content 0.02% | ||||||||
ION Media Networks, Inc. | 4 | 3,716,975 | (c) | |||||
Media: Diversified 0.28% | ||||||||
Walt Disney Co. (The)* | 316 | 57,260,308 | ||||||
Medical Products 0.58% | ||||||||
Align Technology, Inc.* | 103 | 55,041,674 | ||||||
IDEXX Laboratories, Inc.* | 124 | 62,080,855 | ||||||
Total | 117,122,529 | |||||||
Metals/Mining (Excluding Steel) 0.16% | ||||||||
Freeport-McMoRan, Inc. | 1,244 | 32,371,664 | ||||||
Miscellaneous 0.02% | ||||||||
UTEX Industries, Inc. | 114 | 4,140,930 | ||||||
Personal & Household Products 0.16% | ||||||||
Gibson Brands, Inc. | 107 | 12,560,985 | (d) | |||||
Pola Orbis Holdings, Inc.(e) | JPY | 990 | 20,103,472 | |||||
Remington Outdoor Co., Inc. | 164 | – | (c) | |||||
Revlon, Inc. Class A | 1,798 | 392,957 | ||||||
Total | 33,057,414 | |||||||
Pharmaceuticals 0.43% | ||||||||
Acceleron Pharma, Inc.* | 380 | 48,649,185 | ||||||
Mirati Therapeutics, Inc.* | 176 | 38,735,051 | ||||||
Total | 87,384,236 | |||||||
Real Estate Development & Management 0.42% | ||||||||
CoStar Group, Inc.* | 61 | 56,717,518 | ||||||
Innovative Industrial Properties, Inc. | 160 | 29,291,094 | ||||||
Total | 86,008,612 |
See Notes to Financial Statements. | 13 |
Schedule of Investments (continued)
December 31, 2020
Investments | Shares (000) | Fair Value | ||||||
Real Estate Investment Trusts 0.10% | ||||||||
CBRE Group, Inc. Class A* | 312 | $ | 19,543,740 | |||||
Recreation & Travel 0.25% | ||||||||
Vail Resorts, Inc. | 179 | 49,836,762 | ||||||
Restaurants 0.49% | ||||||||
Shake Shack, Inc. Class A*(b) | 1,184 | 100,344,675 | ||||||
Software/Services 1.95% | ||||||||
Airbnb, Inc. Class A* | 2 | 349,237 | ||||||
DocuSign, Inc.* | 133 | 29,609,915 | ||||||
Five9, Inc.* | 336 | 58,617,584 | ||||||
Match Group, Inc.* | 152 | 22,929,475 | ||||||
MongoDB, Inc.* | 84 | 29,987,739 | ||||||
Pinduoduo, Inc. ADR* | 219 | 38,828,535 | ||||||
Pinterest, Inc. Class A* | 1,448 | 95,441,191 | ||||||
RingCentral, Inc. Class A* | 77 | 29,058,283 | ||||||
Spotify Technology SA (Sweden)*(a) | 62 | 19,614,331 | ||||||
Take-Two Interactive Software, Inc.* | 105 | 21,789,067 | ||||||
Trade Desk, Inc. (The) Class A* | 24 | 19,386,603 | ||||||
Veeva Systems, Inc. Class A* | 110 | 30,026,453 | ||||||
Total | 395,638,413 | |||||||
Specialty Retail 0.13% | ||||||||
Claires Holdings LLC | 15 | 3,317,207 | ||||||
SiteOne Landscape Supply, Inc.* | 140 | 22,277,838 | ||||||
Total | 25,595,045 | |||||||
Support: Services 0.46% | ||||||||
Bright Horizons Family Solutions, Inc.* | 123 | 21,316,520 | ||||||
TopBuild Corp.* | 112 | 20,696,114 | ||||||
Uber Technologies, Inc.* | 1,022 | 52,118,634 | ||||||
Total | 94,131,268 | |||||||
Telecommunications: Wireless 0.28% | ||||||||
QUALCOMM, Inc. | 375 | 57,132,832 | ||||||
Theaters & Entertainment 0.11% | ||||||||
Live Nation Entertainment, Inc.* | 301 | 22,088,749 | ||||||
Transportation: Infrastructure/Services 0.00% | ||||||||
ACBL Holdings Corp. | 45 | 897,940 | (d) |
14 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Shares (000) | Fair Value | |||||||||||
Trucking & Delivery 0.11% | |||||||||||||
AMERCO | 51 | $ | 23,151,960 | ||||||||||
Total Common Stocks (cost $1,852,495,047) | 2,184,801,693 | ||||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | |||||||||||
CONVERTIBLE BOND 0.27% | |||||||||||||
Automakers | |||||||||||||
Tesla, Inc. (cost $37,103,423) | 2.00% | 5/15/2024 | $ | 4,827 | 54,892,161 | ||||||||
FLOATING RATE LOANS(f) 4.51% | |||||||||||||
Aerospace/Defense 0.06% | |||||||||||||
Alloy Finco Limited 2020 USD Term Loan B2 (Jersey)(a) | 8.50% (1 Mo. LIBOR + 6.50% | ) | 3/6/2024 | 8,103 | 7,636,860 | ||||||||
Alloy Finco Limited USD Holdco PIK Term Loan PIK 13.50% (Jersey)(a) | 0.50% | 3/6/2025 | 12,335 | 5,160,314 | |||||||||
Total | 12,797,174 | ||||||||||||
Air Transportation 0.29% | |||||||||||||
American Airlines, Inc. 2017 Incremental Term Loan | 2.159% (1 Mo. LIBOR + 2.00% | ) | 12/15/2023 | 33,635 | 30,409,332 | ||||||||
American Airlines, Inc. Repriced TL B due 2023 | – | (g) | 4/28/2023 | 11,261 | 10,207,603 | ||||||||
JetBlue Airways Corporation Term Loan | 6.25% (3 Mo. LIBOR + 5.25% | ) | 6/17/2024 | 17,101 | 17,624,441 | ||||||||
Total | 58,241,376 | ||||||||||||
Cable & Satellite Television 0.13% | |||||||||||||
Cablevision Lightpath LLC Term Loan B | 3.75% (3 Mo. LIBOR +3.25% | ) | 1/24/2028 | 9,775 | 9,770,895 | ||||||||
Charter Communications Operating, LLC 2019 Term Loan B2 | 1.90% (1 Mo. LIBOR + 1.75% | ) | 2/1/2027 | 16,785 | 16,716,906 | ||||||||
Total | 26,487,801 | ||||||||||||
Chemicals 0.21% | |||||||||||||
Illuminate Buyer, LLC Term Loan | 4.147% (1 Mo. LIBOR + 4.00% | ) | 6/30/2027 | 17,486 | 17,518,935 | ||||||||
Starfruit Finco B.V 2018 USD Term Loan B (Netherlands)(a) | 3.153% (1 Mo. LIBOR + 3.00% | ) | 10/1/2025 | 24,863 | 24,661,452 | ||||||||
Total | 42,180,387 |
See Notes to Financial Statements. | 15 |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Diversified Capital Goods 0.01% | ||||||||||||
UTEX Industries Inc. 2020 First Out Exit Term Loan A | 8.50% (3 Mo. LIBOR + 7.00% | ) | 11/1/2024 | $ | 1,494 | $ | 1,510,614 | |||||
UTEX Industries Inc. 2020 Second Out Term Loan | 11.00% (1 Mo. LIBOR + 9.50% | ) | 12/3/2025 | 720 | 713,188 | |||||||
Total | 2,223,802 | |||||||||||
Electric: Generation 0.12% | ||||||||||||
EFS Cogen Holdings I LLC 2020 Term Loan B | 4.50% (3 Mo. LIBOR + 3.50% | ) | 10/1/2027 | 18,533 | 18,480,607 | |||||||
Frontera Generation Holdings LLC 2018 Term Loan B | 5.25% (3 Mo. LIBOR + 4.25% | ) | 5/2/2025 | 18,436 | 4,885,633 | |||||||
Total | 23,366,240 | |||||||||||
Electric: Integrated 0.11% | ||||||||||||
Astoria Energy LLC 2020 Term Loan B | 4.50% (3 Mo. LIBOR +3.50% | ) | 12/10/2027 | 23,147 | 23,045,517 | |||||||
Food: Wholesale 0.11% | ||||||||||||
Chobani LLC 2020 Term Loan B | 4.50% (1 Mo. LIBOR + 3.50% | ) | 10/20/2027 | 10,837 | 10,842,593 | |||||||
JBS USA Lux S.A. 2019 Term Loan B (Luxembourg)(a) | 2.147% (1 Mo. LIBOR + 2.00% | ) | 5/1/2026 | 12,513 | 12,436,191 | |||||||
Total | 23,278,784 | |||||||||||
Gaming 0.43% | ||||||||||||
Mohegan Tribal Gaming Authority 2016 Term Loan B | 6.375% (3 Mo. LIBOR + 5.38% | ) | 10/13/2023 | 23,918 | 23,037,703 | |||||||
Motion Finco Sarl USD Term Loan B1 (Luxembourg)(a) | – | (g) | 11/12/2026 | 18,865 | 18,249,054 | |||||||
Penn National Gaming, Inc. 2018 1st Lien Term Loan B | 3.00% (1 Mo. LIBOR + 2.25% | ) | 10/15/2025 | 14,483 | 14,334,807 | |||||||
Playtika Holding Corp Term Loan B | 7.00% (3 Mo. LIBOR + 6.00% | ) | 12/10/2024 | 30,727 | 30,973,412 | |||||||
Total | 86,594,976 | |||||||||||
Health Services 0.67% | ||||||||||||
Da Vinci Purchaser Corp. 2019 Term Loan | 5.00% (3 Mo. LIBOR + 4.00% | ) | 1/8/2027 | 18,914 | 18,988,636 | |||||||
Global Medical Response, Inc. 2020 Term Loan B | 5.75% (3 Mo. LIBOR + 4.75% | ) | 10/2/2025 | 27,056 | 26,937,170 | |||||||
National Mentor Holdings, Inc. 2019 Term Loan B | 4.397% (1 Mo. LIBOR + 4.25% | ) | 3/9/2026 | 9,684 | 9,688,162 |
16 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Services (continued) | ||||||||||||
National Mentor Holdings, Inc. 2019 Term Loan C | 4.51% (3 Mo. LIBOR + 4.25% | ) | 3/9/2026 | $ | 443 | $ | 443,358 | |||||
Parexel International Corporation Term Loan B | 2.897% (1 Mo. LIBOR + 2.75% | ) | 9/27/2024 | 17,523 | 17,260,212 | |||||||
RegionalCare Hospital Partners Holdings, Inc. 2018 Term Loan B | 3.897% (1 Mo. LIBOR + 3.75% | ) | 11/16/2025 | 37,872 | 37,846,394 | |||||||
U.S. Renal Care, Inc. 2019 Term Loan B | 5.147% (1 Mo. LIBOR + 5.00% | ) | 6/26/2026 | 25,017 | 24,937,144 | |||||||
Total | 136,101,076 | |||||||||||
Insurance Brokerage 0.08% | ||||||||||||
Hub International Limited 2018 Term Loan B | 2.965% - 3.00% (3 Mo. LIBOR + 2.75% | ) | 4/25/2025 | 16,831 | 16,554,521 | |||||||
Machinery 0.11% | ||||||||||||
Vertical Midco GmbH USD Term Loan B (Germany)(a) | 4.57% (6 Mo. LIBOR + 4.25% | ) | 7/30/2027 | 22,579 | 22,780,103 | |||||||
Personal & Household Products 0.17% | ||||||||||||
FGI Operating Company, LLC Exit Term Loan | 10.254% (3 Mo. LIBOR + 10.00% | ) | 5/16/2022 | 1,066 | 234,524 | (h) | ||||||
Revlon Consumer Products Corporation 2020 Term Loan B2 | 4.25% (3 Mo. LIBOR + 3.50% | ) | 6/30/2025 | 25,550 | 15,010,800 | |||||||
TGP Holdings III, LLC 2018 1st Lien Term Loan | 5.00% (3 Mo. LIBOR + 4.00% | ) | 9/25/2024 | 19,385 | 19,348,819 | |||||||
Total | 34,594,143 | |||||||||||
Rail 0.11% | ||||||||||||
Genesee & Wyoming Inc. (New) Term Loan | 2.254% (3 Mo. LIBOR + 2.00% | ) | 12/30/2026 | 23,235 | 23,220,593 | |||||||
Recreation & Travel 0.18% | ||||||||||||
Alterra Mountain Company Term Loan B1 | 2.897% (1 Mo. LIBOR + 2.75% | ) | 7/31/2024 | 18,904 | 18,699,199 | |||||||
Delta 2 (LUX) S.a.r.l. 2018 USD Term Loan (Luxembourg)(a) | 3.50% (1 Mo. LIBOR + 2.50% | ) | 2/1/2024 | 16,211 | 16,097,804 | |||||||
Motion Finco Sarl Delayed Draw Term Loan B2 (Luxembourg)(a) | – | (g) | 11/12/2026 | 2,493 | 2,411,595 | |||||||
Total | 37,208,598 | |||||||||||
Restaurants 0.34% | ||||||||||||
IRB Holding Corp 2020 Term Loan B | 3.75% (6 Mo. LIBOR +2.75% | ) | 2/5/2025 | 29,083 | 28,892,654 |
See Notes to Financial Statements. | 17 |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Restaurants (continued) | ||||||||||||
Panera Bread Company Term Loan A | 2.438% (1 Mo. LIBOR + 2.25% | ) | 7/18/2022 | $ | 28,945 | $ | 27,786,747 | |||||
Zaxby’s Operating Company LLC 1st Lien Term Loan | – | (g) | 12/10/2027 | 11,635 | 11,678,171 | |||||||
Total | 68,357,572 | |||||||||||
Software/Services 0.59% | ||||||||||||
Cornerstone OnDemand, Inc. Term Loan B | 4.394% (1 Mo. LIBOR + 4.25% | ) | 4/22/2027 | 16,376 | 16,475,863 | |||||||
LogMeIn, Inc. Term Loan B | 4.903% (1 Mo. LIBOR + 4.75% | ) | 8/31/2027 | 51,078 | 51,014,804 | |||||||
Omnitracs, Inc. 2020 Incremental Term Loan | 4.403% (1 Mo. LIBOR + 4.25% | ) | 3/23/2025 | 18,236 | 18,338,175 | |||||||
Tibco Software, Inc. 2020 Term Loan B3 | 3.90% (1 Mo. LIBOR + 3.75% | ) | 6/30/2026 | 17,698 | 17,415,598 | |||||||
Ultimate Software Group Inc. (The) Term Loan B | 3.897% (1 Mo. LIBOR + 3.75% | ) | 5/4/2026 | 16,059 | 16,072,937 | |||||||
Total | 119,317,377 | |||||||||||
Specialty Retail 0.27% | ||||||||||||
BJ’s Wholesale Club, Inc. 2017 1st Lien Term Loan | 2.154% (1 Mo. LIBOR + 2.00% | ) | 2/3/2024 | 15,055 | 15,066,585 | |||||||
Claire’s Stores, Inc. 2019 Term Loan B | 6.647% (1 Mo. LIBOR + 6.50% | ) | 12/18/2026 | 11,675 | 9,865,522 | |||||||
Harbor Freight Tools USA, Inc. 2020 Term Loan B | 4.00% (1 Mo. LIBOR + 3.25% | ) | 10/19/2027 | 15,143 | 15,170,767 | |||||||
PetSmart, Inc. Consenting Term Loan | 4.50% (6 Mo. LIBOR + 3.50% | ) | 3/11/2022 | 13,643 | 13,675,625 | |||||||
Total | 53,778,499 | |||||||||||
Support: Services 0.40% | ||||||||||||
Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan | 8.474% (3 Mo. LIBOR + 8.25% | ) | 4/10/2026 | 20,018 | 19,974,756 | |||||||
NEP/NCP Holdco, Inc. 2018 1st Lien Term Loan | 3.395% (1 Mo. LIBOR + 3.25% | ) | 10/20/2025 | 29,172 | 27,762,465 | |||||||
Pike Corporation 2020 Term Loan B | 4.12% (1 Mo. LIBOR + 3.00% | ) | 7/24/2026 | 9,559 | 9,567,995 | |||||||
Sabre GLBL, Inc. 2020 Term Loan B | – | (g) | 12/10/2027 | 12,339 | 12,384,825 | |||||||
Trans Union, LLC 2019 Term Loan B5 | 1.898% (1 Mo. LIBOR + 1.75% | ) | 11/16/2026 | 11,905 | 11,877,437 | |||||||
Total | 81,567,478 |
18 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Technology Hardware & Equipment 0.12% | ||||||||||||
Delta TopCo, Inc. 2020 Term Loan B | 4.50% (6 Mo. LIBOR +3.75% | ) | 12/1/2027 | $ | 24,138 | $ | 24,173,216 | |||||
Total Floating Rate Loans (cost $917,457,462) | 915,869,233 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 3.33% | ||||||||||||
Argentina 0.25% | ||||||||||||
Ciudad Autonoma De Buenos Aires†(a) | 7.50% | 6/1/2027 | 25,650 | 21,418,006 | ||||||||
Province of Santa Fe†(a) | 6.90% | 11/1/2027 | 24,260 | 16,739,643 | ||||||||
Provincia de Mendoza Argentina†(a) | 2.75% | 3/19/2029 | 18,344 | 12,473,920 | ||||||||
Total | 50,631,569 | |||||||||||
Australia 0.15% | ||||||||||||
Australian Government(e) | 4.25% | 4/21/2026 | AUD | 33,642 | 31,193,695 | |||||||
Bermuda 0.14% | ||||||||||||
Bermuda Government International Bond† | 2.375% | 8/20/2030 | 14,545 | 15,290,431 | ||||||||
Bermuda Government International Bond† | 3.375% | 8/20/2050 | 12,887 | 13,934,069 | ||||||||
Total | 29,224,500 | |||||||||||
China 0.11% | ||||||||||||
China Government International Bond†(a) | 2.25% | 10/21/2050 | 23,290 | 23,137,423 | ||||||||
Egypt 0.25% | ||||||||||||
Arab Republic of Egypt†(a) | 5.577% | 2/21/2023 | 47,734 | 50,519,565 | ||||||||
Ghana 0.35% | ||||||||||||
Republic of Ghana†(a) | 6.375% | 2/11/2027 | 68,104 | 70,942,847 | ||||||||
Honduras 0.09% | ||||||||||||
Honduras Government†(a) | 5.625% | 6/24/2030 | 16,925 | 19,421,437 | ||||||||
Ivory Coast 0.16% | ||||||||||||
Ivory Coast Government International Bond†(e) | 5.875% | 10/17/2031 | EUR | 24,313 | 32,917,693 | |||||||
Kenya 0.48% | ||||||||||||
Republic of Kenya†(a) | 7.25% | 2/28/2028 | 57,576 | 64,739,145 | ||||||||
Republic of Kenya†(a) | 8.25% | 2/28/2048 | 27,972 | 32,116,052 | ||||||||
Total | 96,855,197 | |||||||||||
Morocco 0.10% | ||||||||||||
Morocco Government International Bond†(a) | 3.00% | 12/15/2032 | 19,788 | 20,144,382 | ||||||||
Mongolia 0.27% | ||||||||||||
Development Bank of Mongolia LLC†(a) | 7.25% | 10/23/2023 | 31,219 | 33,516,386 | ||||||||
Mongolia Government International Bond†(a) | 5.125% | 4/7/2026 | 19,014 | 20,441,329 | ||||||||
Total | 53,957,715 |
See Notes to Financial Statements. | 19 |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Nigeria 0.20% | ||||||||||||
Republic of Nigeria†(a) | 6.50% | 11/28/2027 | $ | 37,862 | $ | 40,891,907 | ||||||
Peru 0.16% | ||||||||||||
Peruvian Government International Bond(a) | 2.392% | 1/23/2026 | 9,266 | 9,900,814 | ||||||||
Peruvian Government International Bond(a) | 2.78% | 12/1/2060 | 21,761 | 22,000,371 | ||||||||
Total | 31,901,185 | |||||||||||
Sri Lanka 0.06% | ||||||||||||
Republic of Sri Lanka†(a) | 5.875% | 7/25/2022 | 16,568 | 11,544,914 | ||||||||
Ukraine 0.30% | ||||||||||||
Ukraine Government†(a) | 7.375% | 9/25/2032 | 54,815 | 60,399,278 | ||||||||
United Arab Emirates 0.26% | ||||||||||||
Abu Dhabi Government International†(a) | 3.125% | 5/3/2026 | 47,836 | 53,175,693 | ||||||||
Total Foreign Government Obligations (cost $628,196,392) | 676,859,000 | |||||||||||
HIGH YIELD CORPORATE BONDS 69.42% | ||||||||||||
Advertising 0.14% | ||||||||||||
Clear Channel Worldwide Holdings, Inc.† | 5.125% | 8/15/2027 | 18,997 | 19,210,716 | ||||||||
Clear Channel Worldwide Holdings, Inc. | 9.25% | 2/15/2024 | 9,474 | 9,617,105 | ||||||||
Total | 28,827,821 | |||||||||||
Aerospace/Defense 1.49% | ||||||||||||
Carrier Global Corp. | 2.70% | 2/15/2031 | 25,447 | 27,372,548 | ||||||||
Huntington Ingalls Industries, Inc. | 3.844% | 5/1/2025 | 10,309 | 11,488,303 | ||||||||
Leidos, Inc.† | 3.625% | 5/15/2025 | 18,230 | 20,405,568 | ||||||||
Raytheon Technologies Corp. | 4.125% | 11/16/2028 | 31,099 | 37,083,364 | ||||||||
Signature Aviation US Holdings, Inc.† | 4.00% | 3/1/2028 | 36,875 | 37,179,587 | ||||||||
Signature Aviation US Holdings, Inc.† | 5.375% | 5/1/2026 | 12,859 | 13,212,623 | ||||||||
TransDigm, Inc. | 5.50% | 11/15/2027 | 93,082 | 97,996,730 | ||||||||
TransDigm, Inc.† | 6.25% | 3/15/2026 | 36,017 | 38,403,306 | ||||||||
TransDigm, Inc. | 6.375% | 6/15/2026 | 19,375 | 20,089,453 | ||||||||
Total | 303,231,482 | |||||||||||
Agency 0.16% | ||||||||||||
Temasek Financial I Ltd. (Singapore)†(a) | 2.50% | 10/6/2070 | 32,855 | 33,113,318 | ||||||||
Air Transportation 1.37% | ||||||||||||
Alaska Airlines 2020-1 Class A Pass Through Trust† | 4.80% | 8/15/2027 | 25,482 | 28,147,672 | ||||||||
Azul Investments LLP† | 5.875% | 10/26/2024 | 38,566 | 36,136,728 |
20 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Air Transportation (continued) | ||||||||||||
British Airways 2020-1 Class A Pass Through | ||||||||||||
Trust (United Kingdom)†(a) | 4.25% | 11/15/2032 | $ | 10,155 | $ | 10,897,584 | ||||||
Delta Air Lines 2019-1 Class AA Pass Through Trust | 3.204% | 4/25/2024 | 22,520 | 23,187,299 | ||||||||
Delta Air Lines, Inc.† | 7.00% | 5/1/2025 | 44,594 | 51,515,721 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.† | 4.50% | 10/20/2025 | 21,947 | 23,465,835 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.† | 4.75% | 10/20/2028 | 29,268 | 31,970,119 | ||||||||
JetBlue 2019-1 Class A Pass Through Trust | 2.95% | 5/15/2028 | 12,974 | 12,021,413 | ||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.† | 6.50% | 6/20/2027 | 36,232 | 39,017,335 | ||||||||
United Airlines 2020-1 Class A Pass Through Trust | 5.875% | 10/15/2027 | 19,486 | 21,107,555 | ||||||||
Total | 277,467,261 | |||||||||||
Auto Loans 0.24% | ||||||||||||
Ford Motor Credit Co. LLC | 4.00% | 11/13/2030 | 15,567 | 16,394,853 | ||||||||
General Motors Financial Co., Inc. | 5.25% | 3/1/2026 | 24,966 | 29,452,037 | ||||||||
Mclaren Finance plc(e) | 5.00% | 8/1/2022 | GBP | 1,900 | 2,530,048 | |||||||
Total | 48,376,938 | |||||||||||
Auto Parts & Equipment 0.83% | ||||||||||||
Adient Global Holdings Ltd.† | 4.875% | 8/15/2026 | 19,500 | 20,060,625 | ||||||||
Adient US LLC† | 7.00% | 5/15/2026 | 21,145 | 23,034,306 | ||||||||
Allison Transmission, Inc.† | 3.75% | 1/30/2031 | 15,349 | 15,732,725 | ||||||||
Antofagasta plc (Chile)†(a) | 2.375% | 10/14/2030 | 19,294 | 19,390,470 | ||||||||
Clarios Global LP / Clarios US Finance Co.† | 8.50% | 5/15/2027 | 25,080 | 27,288,528 | ||||||||
Lear Corp. | 3.80% | 9/15/2027 | 19,516 | 21,904,091 | ||||||||
Lear Corp. | 4.25% | 5/15/2029 | 17,051 | 19,508,967 | ||||||||
Magna International, Inc. (Canada)(a) | 2.45% | 6/15/2030 | 13,525 | 14,558,693 | ||||||||
Tenneco, Inc.† | 7.875% | 1/15/2029 | 6,774 | 7,618,277 | ||||||||
Total | 169,096,682 | |||||||||||
Automakers 1.91% | ||||||||||||
BMW US Capital LLC† | 4.15% | 4/9/2030 | 32,668 | 39,537,128 | ||||||||
Ford Motor Co. | 9.00% | 4/22/2025 | 94,523 | 116,276,050 | ||||||||
Ford Motor Co. | 9.625% | 4/22/2030 | 22,491 | 31,776,522 | ||||||||
General Motors Co. | 6.125% | 10/1/2025 | 22,600 | 27,430,370 | ||||||||
General Motors Co. | 8.375% | 7/15/2049 | 15,000 | 1,500 | (c) | |||||||
Mclaren Finance plc. (United Kingdom)†(a) | 5.75% | 8/1/2022 | 7,682 | 7,489,950 | ||||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 111,041 | 115,899,044 | ||||||||
Volkswagen Group of America Finance LLC† | 3.35% | 5/13/2025 | 25,463 | 28,010,237 | ||||||||
Volkswagen Group of America Finance LLC† | 3.75% | 5/13/2030 | 17,706 | 20,455,904 | ||||||||
Total | 386,876,705 |
See Notes to Financial Statements. | 21 |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banking 4.79% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(a) | 4.75% | 7/28/2025 | $ | 31,461 | $ | 36,278,481 | ||||||
AIB Group plc (Ireland)†(a) | 4.263% (3 Mo. LIBOR + 1.87% | )# | 4/10/2025 | 16,837 | 18,423,271 | |||||||
AIB Group plc (Ireland)†(a) | 4.75% | 10/12/2023 | 11,394 | 12,542,846 | ||||||||
Australia & New Zealand Banking Group Ltd. (United Kingdom)†(a) | 6.75% (USD Swap + 5.17% | )# | – | (i) | 19,074 | 22,278,146 | ||||||
Banco Latinoamericano de Comercio Exterior SA (Panama)†(a) | 2.375% | 9/14/2025 | 21,476 | 22,013,115 | ||||||||
Banco Nacional de Panama (Panama)†(a) | 2.50% | 8/11/2030 | 1,995 | 1,999,988 | ||||||||
Bangkok Bank pcl (Hong Kong)†(a) | 5.00% (5 Yr Treasury CMT + 4.73% | )# | – | (i) | 34,604 | 36,266,731 | ||||||
Bank of America Corp. | 4.45% | 3/3/2026 | 19,634 | 22,891,862 | ||||||||
Bank of Ireland Group plc (Ireland)†(a) | 4.50% | 11/25/2023 | 31,384 | 34,422,186 | ||||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 24,313 | 27,994,550 | ||||||||
BBVA USA | 3.875% | 4/10/2025 | 26,897 | 30,174,004 | ||||||||
BNP Paribas SA (France)†(a) | 4.50% (5 Yr Treasury CMT + 2.94% | )# | – | (i) | 36,222 | 36,626,056 | ||||||
CIT Bank NA | 2.969% (SOFR + 1.72% | )# | 9/27/2025 | 16,827 | 17,657,833 | |||||||
CIT Group, Inc. | 5.25% | 3/7/2025 | 6,988 | 7,944,483 | ||||||||
CIT Group, Inc. | 6.125% | 3/9/2028 | 49,745 | 60,865,992 | ||||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 13,296 | 15,685,319 | ||||||||
Credit Suisse Group AG (Switzerland)†(a) | 5.10% (5 Yr Treasury CMT + 3.29% | )# | – | (i) | 28,486 | 29,696,655 | ||||||
Fifth Third Bancorp | 8.25% | 3/1/2038 | 8,042 | 13,616,017 | ||||||||
Global Bank Corp. (Panama)†(a) | 5.25% (3 Mo. LIBOR + 3.30% | )# | 4/16/2029 | 33,093 | 36,216,152 | |||||||
Goldman Sachs Group, Inc. (The) | 3.50% | 11/16/2026 | 13,667 | 15,353,188 | ||||||||
Goldman Sachs Group, Inc. (The) | 4.25% | 10/21/2025 | 18,995 | 21,795,723 | ||||||||
Home BancShares, Inc. | 5.625% (3 Mo. LIBOR + 3.58% | )# | 4/15/2027 | 19,481 | 19,917,785 | |||||||
Huntington Bancshares, Inc. | 5.70% (3 Mo. LIBOR + 2.88% | )# | – | (i) | 15,381 | 15,496,357 | ||||||
ING Groep NV (Netherlands)(a) | 5.75% (5 Yr Treasury CMT + 4.34% | )# | – | (i) | 43,461 | 47,273,182 | ||||||
Intesa Sanpaolo SpA (Italy)†(a) | 5.71% | 1/15/2026 | 62,976 | 72,111,591 | ||||||||
JPMorgan Chase & Co. | 3.54% (3 Mo. LIBOR + 1.38% | )# | 5/1/2028 | 11,994 | 13,719,614 | |||||||
JPMorgan Chase & Co. | 3.90% | 7/15/2025 | 17,386 | 19,761,918 | ||||||||
JPMorgan Chase & Co. | 4.60% (SOFR + 3.13% | )# | – | (i) | 6,965 | 7,200,069 |
22 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Banking (continued) | |||||||||||||
JPMorgan Chase & Co. | 6.10% (3 Mo. LIBOR + 3.33% | )# | – | (i) | $ | 12,752 | $ | 13,990,607 | |||||
Kookmin Bank (South Korea)†(a) | 1.75% | 5/4/2025 | 22,600 | 23,511,149 | |||||||||
Macquarie Bank Ltd. (United Kingdom)†(a) | 6.125% (5 Yr. Swap rate + 3.70% | )# | – | (i) | 32,254 | 34,538,712 | |||||||
Morgan Stanley | 3.125% | 7/27/2026 | 18,976 | 21,265,979 | |||||||||
Morgan Stanley | 3.625% | 1/20/2027 | 12,804 | 14,703,043 | |||||||||
OneMain Finance Corp. | 4.00% | 9/15/2030 | 22,655 | 23,535,373 | |||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 15,922 | 17,253,796 | |||||||||
SVB Financial Group | 3.125% | 6/5/2030 | 19,534 | 22,026,593 | |||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(a) | 6.50% | 1/8/2026 | 39,614 | 40,709,287 | |||||||||
US Bancorp | 3.00% | 7/30/2029 | 13,452 | 15,029,711 | |||||||||
Washington Mutual Bank(j) | 6.875% | 6/15/2011 | 22,500 | 2,250 | (c) | ||||||||
Webster Financial Corp. | 4.10% | 3/25/2029 | 27,684 | 30,558,897 | |||||||||
Total | 973,348,511 | ||||||||||||
Beverages 0.86% | |||||||||||||
Bacardi Ltd.† | 2.75% | 7/15/2026 | 20,151 | 21,375,031 | |||||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | 32,381 | 38,445,149 | |||||||||
Becle SAB de CV (Mexico)†(a) | 3.75% | 5/13/2025 | 15,764 | 17,221,057 | |||||||||
Brown-Forman Corp. | 3.50% | 4/15/2025 | 8,956 | 9,925,303 | |||||||||
Brown-Forman Corp. | 4.50% | 7/15/2045 | 18,174 | 24,510,489 | |||||||||
PepsiCo, Inc. | 3.60% | 3/1/2024 | 14,292 | 15,604,966 | |||||||||
Suntory Holdings Ltd. (Japan)†(a) | 2.25% | 10/16/2024 | 44,835 | 46,922,666 | |||||||||
Total | 174,004,661 | ||||||||||||
Brokerage 0.19% | |||||||||||||
Charles Schwab Corp. (The) | 5.375% (5 Yr Treasury CMT + 4.97% | )# | – | (i) | 23,820 | 26,589,075 | |||||||
Credit Suisse Group AG (Switzerland)†(a) | 4.50% (5 Yr. Treasury CMT + 3.55% | )# | – | (i) | 11,305 | 11,388,657 | |||||||
Total | 37,977,732 | ||||||||||||
Building & Construction 0.96% | |||||||||||||
Beazer Homes USA, Inc. | 7.25% | 10/15/2029 | 15,808 | 17,873,394 | |||||||||
Century Communities, Inc. | 6.75% | 6/1/2027 | 12,974 | 13,890,029 | |||||||||
D.R. Horton, Inc. | 2.60% | 10/15/2025 | 10,508 | 11,344,350 | |||||||||
ITR Concession Co. LLC† | 5.183% | 7/15/2035 | 7,658 | 9,099,684 | |||||||||
Lennar Corp. | 4.75% | 5/30/2025 | 8,420 | 9,635,638 | |||||||||
Lennar Corp. | 4.75% | 11/29/2027 | 7,613 | 9,006,560 | |||||||||
NVR, Inc. | 3.00% | 5/15/2030 | 51,660 | 56,553,732 |
See Notes to Financial Statements. | 23 |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Building & Construction 0.96% | ||||||||||||
PulteGroup, Inc. | 6.375% | 5/15/2033 | $ | 27,646 | $ | 37,989,060 | ||||||
Toll Brothers Finance Corp. | 4.875% | 3/15/2027 | 12,916 | 14,802,511 | ||||||||
Toll Brothers Finance Corp. | 5.625% | 1/15/2024 | 14,213 | 15,757,171 | ||||||||
Total | 195,952,129 | |||||||||||
Building Materials 0.88% | ||||||||||||
Allegion plc (Ireland)(a) | 3.50% | 10/1/2029 | 11,813 | 13,122,427 | ||||||||
Ferguson Finance plc (United Kingdom)†(a) | 3.25% | 6/2/2030 | 30,527 | 34,090,889 | ||||||||
Lennox International, Inc. | 1.35% | 8/1/2025 | 14,477 | 14,816,674 | ||||||||
Lennox International, Inc. | 1.70% | 8/1/2027 | 18,081 | 18,409,276 | ||||||||
Masonite International Corp.† | 5.375% | 2/1/2028 | 15,053 | 16,188,598 | ||||||||
Owens Corning, Inc. | 4.30% | 7/15/2047 | 26,681 | 32,124,684 | ||||||||
Owens Corning, Inc. | 4.40% | 1/30/2048 | 15,778 | 19,033,568 | ||||||||
Vertical Holdco GmbH†(e) | 6.625% | 7/15/2028 | EUR | 10,503 | 13,818,657 | |||||||
Vulcan Materials Co. | 4.50% | 6/15/2047 | $ | 14,595 | 18,110,476 | |||||||
Total | 179,715,249 | |||||||||||
Cable & Satellite Television 2.09% | ||||||||||||
Cable One, Inc.† | 4.00% | 11/15/2030 | 16,688 | 17,365,950 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.125% | 5/1/2027 | 58,655 | 62,322,404 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.75% | 2/15/2026 | 61,221 | 63,247,415 | ||||||||
CSC Holdings LLC† | 5.50% | 4/15/2027 | 27,834 | 29,531,874 | ||||||||
CSC Holdings LLC† | 5.75% | 1/15/2030 | 23,298 | 25,569,671 | ||||||||
CSC Holdings LLC† | 6.50% | 2/1/2029 | 13,352 | 15,100,111 | ||||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 106,794 | 119,688,841 | ||||||||
LCPR Senior Secured Financing DAC (Ireland)†(a) | 6.75% | 10/15/2027 | 15,074 | 16,242,235 | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc.† | 4.50% | 9/15/2026 | 10,439 | 10,791,316 | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc.† | 6.50% | 9/15/2028 | 22,978 | 24,169,984 | ||||||||
Ziggo BV (Netherlands)†(a) | 5.50% | 1/15/2027 | 37,690 | 39,408,476 | ||||||||
Total | 423,438,277 | |||||||||||
Chemicals 0.56% | ||||||||||||
CF Industries, Inc.† | 4.50% | 12/1/2026 | 23,920 | 28,354,636 | ||||||||
Chemours Co. (The)† | 5.75% | 11/15/2028 | 21,661 | 22,134,834 | ||||||||
FMC Corp. | 3.45% | 10/1/2029 | 13,468 | 15,382,015 | ||||||||
Ingevity Corp.† | 3.875% | 11/1/2028 | 18,666 | 18,840,994 | ||||||||
Yingde Gases Investment Ltd. (Hong Kong)†(a) | 6.25% | 1/19/2023 | 27,120 | 28,033,064 | ||||||||
Total | 112,745,543 |
24 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Consumer/Commercial/Lease Financing 1.00% | ||||||||||||
Avolon Holdings Funding Ltd. (Ireland)†(a) | 4.25% | 4/15/2026 | $ | 9,401 | $ | 10,135,531 | ||||||
Nationstar Mortgage Holdings, Inc.† | 5.125% | 12/15/2030 | 15,239 | 15,947,156 | ||||||||
Navient Corp. | 6.125% | 3/25/2024 | 31,847 | 34,095,876 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 33,898 | 36,906,447 | ||||||||
Navient Corp. | 6.75% | 6/15/2026 | 9,624 | 10,508,205 | ||||||||
OneMain Finance Corp. | 7.125% | 3/15/2026 | 27,085 | 32,062,004 | ||||||||
OneMain Finance Corp. | 5.375% | 11/15/2029 | 6,321 | 7,126,928 | ||||||||
Quicken Loans LLC† | 5.25% | 1/15/2028 | 15,000 | 16,040,625 | ||||||||
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.† | 3.625% | 3/1/2029 | 14,004 | 14,310,338 | ||||||||
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.† | 3.875% | 3/1/2031 | 15,128 | 15,733,120 | ||||||||
USAA Capital Corp.† | 2.125% | 5/1/2030 | 9,025 | 9,496,249 | ||||||||
Total | 202,362,479 | |||||||||||
Discount Stores 1.05% | ||||||||||||
Amazon.com, Inc. | 3.15% | 8/22/2027 | 28,837 | 32,872,834 | ||||||||
Amazon.com, Inc. | 4.25% | 8/22/2057 | 20,632 | 29,400,865 | ||||||||
Amazon.com, Inc. | 4.80% | 12/5/2034 | 28,691 | 39,381,191 | ||||||||
Amazon.com, Inc. | 5.20% | 12/3/2025 | 53,869 | 65,565,131 | ||||||||
Costco Wholesale Corp. | 1.75% | 4/20/2032 | 22,489 | 23,392,978 | ||||||||
Dollar General Corp. | 3.50% | 4/3/2030 | 19,674 | 22,608,804 | ||||||||
Total | 213,221,803 | |||||||||||
Diversified Capital Goods 0.73% | ||||||||||||
BCD Acquisition, Inc.† | 9.625% | 9/15/2023 | 15,903 | 16,320,454 | ||||||||
Dover Corp. | 2.95% | 11/4/2029 | 17,664 | 19,351,185 | ||||||||
Hillman Group, Inc. (The)† | 6.375% | 7/15/2022 | 16,692 | 16,625,482 | ||||||||
Leggett & Platt, Inc. | 4.40% | 3/15/2029 | 31,431 | 35,988,984 | ||||||||
Siemens Financieringsmaatschappij NV (Netherlands)†(a) | 3.25% | 5/27/2025 | 13,036 | 14,482,479 | ||||||||
SPX FLOW, Inc.† | 5.875% | 8/15/2026 | 14,947 | 15,666,324 | ||||||||
Westinghouse Air Brake Technologies Corp. | 3.45% | 11/15/2026 | 17,989 | 19,763,192 | ||||||||
Westinghouse Air Brake Technologies Corp. | 4.95% | 9/15/2028 | 8,995 | 10,680,934 | ||||||||
Total | 148,879,034 | |||||||||||
Electric: Distribution/Transportation 0.43% | ||||||||||||
Adani Transmission Ltd. (India)†(a) | 4.25% | 5/21/2036 | 13,035 | 13,846,907 | ||||||||
Atlantic City Electric Co. | 4.00% | 10/15/2028 | 13,493 | 15,856,498 | ||||||||
Empresa de Transmision Electrica SA (Panama)†(a) | 5.125% | 5/2/2049 | 14,430 | 18,011,598 | ||||||||
Empresas Publicas de Medellin ESP (Colombia)†(a) | 4.25% | 7/18/2029 | 22,988 | 24,756,927 | ||||||||
Monongahela Power Co.† | 3.55% | 5/15/2027 | 13,657 | 14,787,697 | ||||||||
Total | 87,259,627 |
See Notes to Financial Statements. | 25 |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Generation 2.43% | ||||||||||||
Adani Renewable Energy RJ Ltd./Kodangal Solar Parks Pvt Ltd/Wardha Solar Maharash (India)†(a) | 4.625% | 10/15/2039 | $ | 17,641 | $ | 18,337,820 | ||||||
Calpine Corp.† | 3.75% | 3/1/2031 | 22,848 | 22,669,900 | ||||||||
Calpine Corp.† | 4.625% | 2/1/2029 | 39,661 | 40,842,105 | ||||||||
Calpine Corp.† | 5.00% | 2/1/2031 | 21,862 | 22,878,583 | ||||||||
Calpine Corp.† | 5.125% | 3/15/2028 | 19,268 | 20,296,622 | ||||||||
Calpine Corp.† | 5.25% | 6/1/2026 | 7,007 | 7,259,252 | ||||||||
Clearway Energy Operating LLC† | 4.75% | 3/15/2028 | 8,966 | 9,624,463 | ||||||||
Clearway Energy Operating LLC | 5.75% | 10/15/2025 | 15,737 | 16,592,699 | ||||||||
Dayton Power & Light Co. (The) | 3.95% | 6/15/2049 | 10,775 | 12,542,366 | ||||||||
DPL, Inc. | 4.35% | 4/15/2029 | 17,956 | 20,167,910 | ||||||||
Greenko Solar Mauritius Ltd. (Mauritius)†(a) | 5.95% | 7/29/2026 | 11,663 | 12,655,308 | ||||||||
NextEra Energy Operating Partners LP† | 3.875% | 10/15/2026 | 46,654 | 49,890,621 | ||||||||
NextEra Energy Operating Partners LP† | 4.50% | 9/15/2027 | 19,300 | 21,650,161 | ||||||||
NRG Energy, Inc.† | 3.75% | 6/15/2024 | 27,446 | 30,060,291 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 8,068 | 9,369,682 | ||||||||
NRG Energy, Inc.† | 5.25% | 6/15/2029 | 8,525 | 9,397,235 | ||||||||
NRG Energy, Inc. | 5.75% | 1/15/2028 | 52,435 | 57,383,553 | ||||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 15,544 | 16,532,877 | ||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc.† | 4.50% | 8/15/2028 | 10,681 | 11,288,482 | ||||||||
TerraForm Power Operating LLC† | 4.75% | 1/15/2030 | 19,948 | 21,388,445 | ||||||||
TerraForm Power Operating LLC† | 5.00% | 1/31/2028 | 7,569 | 8,519,099 | ||||||||
Topaz Solar Farms LLC† | 5.75% | 9/30/2039 | 47,644 | 54,764,782 | ||||||||
Total | 494,112,256 | |||||||||||
Electric: Integrated 2.18% | ||||||||||||
Arizona Public Service Co. | 2.95% | 9/15/2027 | 13,385 | 14,716,088 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(a) | 4.35% | 8/1/2028 | 13,786 | 16,006,567 | ||||||||
Black Hills Corp. | 4.35% | 5/1/2033 | 13,491 | 16,357,727 | ||||||||
El Paso Electric Co. | 5.00% | 12/1/2044 | 20,062 | 23,862,901 | ||||||||
Electricite de France SA (France)†(a) | 3.625% | 10/13/2025 | 13,500 | 15,146,526 | ||||||||
Electricite de France SA (France)†(a) | 4.50% | 9/21/2028 | 14,507 | 17,319,346 | ||||||||
Enel Finance International NV (Netherlands)†(a) | 2.65% | 9/10/2024 | 28,508 | 30,388,645 | ||||||||
Enel Finance International NV (Netherlands)†(a) | 3.50% | 4/6/2028 | 45,048 | 51,349,456 | ||||||||
Entergy Arkansas LLC | 4.00% | 6/1/2028 | 18,151 | 21,270,073 | ||||||||
Entergy Arkansas LLC | 4.95% | 12/15/2044 | 16,883 | 18,403,220 | ||||||||
FirstEnergy Corp. | 3.90% | 7/15/2027 | 35,740 | 39,425,552 | ||||||||
Florida Power & Light Co. | 2.85% | 4/1/2025 | 15,868 | 17,292,377 |
26 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Integrated (continued) | ||||||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 6.00% | 4/15/2025 | $ | 12,008 | $ | 12,863,570 | ||||||
Indianapolis Power & Light Co.† | 4.05% | 5/1/2046 | 24,503 | 29,974,146 | ||||||||
Louisville Gas & Electric Co. | 4.375% | 10/1/2045 | 15,039 | 19,007,902 | ||||||||
Ohio Power Co. | 4.00% | 6/1/2049 | 13,988 | 17,655,745 | ||||||||
Ohio Power Co. | 4.15% | 4/1/2048 | 12,877 | 16,338,996 | ||||||||
Puget Energy, Inc. | 4.10% | 6/15/2030 | 26,265 | 29,740,911 | ||||||||
Puget Sound Energy, Inc. | 4.223% | 6/15/2048 | 13,467 | 17,232,752 | ||||||||
Union Electric Co. | 2.625% | 3/15/2051 | 17,622 | 18,472,088 | ||||||||
Total | 442,824,588 | |||||||||||
Electronics 1.47% | ||||||||||||
Amphenol Corp. | 2.05% | 3/1/2025 | 13,443 | 14,209,684 | ||||||||
Amphenol Corp. | 2.80% | 2/15/2030 | 31,417 | 34,677,573 | ||||||||
Flex Ltd. | 4.875% | 5/12/2030 | 21,657 | 26,075,345 | ||||||||
FLIR Systems, Inc. | 2.50% | 8/1/2030 | 18,054 | 18,962,898 | ||||||||
KLA Corp. | 4.10% | 3/15/2029 | 29,229 | 35,072,292 | ||||||||
Lam Research Corp. | 4.875% | 3/15/2049 | 17,958 | 25,958,769 | ||||||||
Micron Technology, Inc. | 5.327% | 2/6/2029 | 25,257 | 31,619,897 | ||||||||
NVIDIA Corp. | 3.20% | 9/16/2026 | 29,939 | 33,932,869 | ||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. (Netherlands)†(a) | 3.40% | 5/1/2030 | 16,808 | 19,088,170 | ||||||||
Trimble, Inc. | 4.75% | 12/1/2024 | 31,261 | 35,754,869 | ||||||||
Xilinx, Inc. | 2.95% | 6/1/2024 | 22,061 | 23,741,945 | ||||||||
Total | 299,094,311 | |||||||||||
Energy: Exploration & Production 4.25% | ||||||||||||
Apache Corp. | 4.25% | 1/15/2030 | 56,277 | 59,196,369 | ||||||||
Apache Corp. | 4.375% | 10/15/2028 | 18,022 | 18,787,575 | ||||||||
Apache Corp. | 4.75% | 4/15/2043 | 6,798 | 7,061,355 | ||||||||
Apache Corp. | 5.10% | 9/1/2040 | 17,064 | 18,333,135 | ||||||||
Centennial Resource Production LLC† | 5.375% | 1/15/2026 | 28,273 | 19,791,100 | ||||||||
Centennial Resource Production LLC† | 6.875% | 4/1/2027 | 44,083 | 31,757,614 | ||||||||
Continental Resources, Inc. | 4.375% | 1/15/2028 | 39,755 | 40,621,261 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 26,283 | 29,222,885 | ||||||||
Diamondback Energy, Inc. | 3.50% | 12/1/2029 | 18,892 | 20,202,800 | ||||||||
Diamondback Energy, Inc. | 4.75% | 5/31/2025 | 7,831 | 8,823,077 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.50% | 1/30/2026 | 15,868 | 16,312,701 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.75% | 1/30/2028 | 18,862 | 20,374,732 | ||||||||
EQT Corp. | 7.875% | 2/1/2025 | 23,602 | 26,909,702 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.00% | 12/1/2024 | 24,312 | 24,218,277 |
See Notes to Financial Statements. | 27 |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Energy: Exploration & Production (continued) | ||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.75% | 10/1/2025 | $ | 4,334 | $ | 4,398,555 | ||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | 20,772 | 21,311,241 | ||||||||
Indigo Natural Resources LLC† | 6.875% | 2/15/2026 | 28,747 | 29,465,675 | ||||||||
Jagged Peak Energy LLC | 5.875% | 5/1/2026 | 15,687 | 16,282,557 | ||||||||
Laredo Petroleum, Inc. | 10.125% | 1/15/2028 | 43,691 | 37,224,732 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 13,543 | 13,289,069 | ||||||||
MEG Energy Corp. (Canada)†(a) | 7.00% | 3/31/2024 | 20,154 | 20,405,925 | ||||||||
MEG Energy Corp. (Canada)†(a) | 7.125% | 2/1/2027 | 56,476 | 58,452,660 | ||||||||
Murphy Oil Corp. | 5.75% | 8/15/2025 | 14,826 | 14,790,492 | ||||||||
Murphy Oil Corp. | 5.875% | 12/1/2027 | 15,253 | 15,038,543 | ||||||||
Murphy Oil Corp. | 6.875% | 8/15/2024 | 20,449 | 20,836,509 | ||||||||
OGX Austria GmbH (Brazil)†(a)(j) | 8.50% | 6/1/2018 | 20,000 | 400 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 5.375% | 1/15/2025 | 18,078 | 18,625,311 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 5.625% | 10/15/2027 | 11,076 | 12,139,296 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 35,334 | 36,548,606 | ||||||||
Range Resources Corp. | 4.875% | 5/15/2025 | 21,064 | 19,936,339 | ||||||||
Range Resources Corp. | 5.00% | 3/15/2023 | 16,995 | 16,601,991 | ||||||||
Seven Generations Energy Ltd. (Canada)†(a) | 5.375% | 9/30/2025 | 21,700 | 22,147,346 | ||||||||
SM Energy Co. | 6.125% | 11/15/2022 | 12,445 | 12,115,394 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 4,233 | 3,396,983 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 31,943 | 25,953,687 | ||||||||
Southwestern Energy Co. | 6.45% | 1/23/2025 | 17,032 | 17,702,635 | ||||||||
Southwestern Energy Co. | 7.75% | 10/1/2027 | 16,397 | 17,734,585 | ||||||||
Southwestern Energy Co. | 8.375% | 9/15/2028 | 26,583 | 28,892,398 | ||||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(a) | 3.25% | 8/15/2030 | 18,803 | 19,949,494 | ||||||||
Texaco Capital, Inc. | 8.625% | 11/15/2031 | 11,023 | 17,754,683 | ||||||||
Total | 862,607,689 | |||||||||||
Environmental 0.09% | ||||||||||||
Waste Pro USA, Inc.† | 5.50% | 2/15/2026 | 18,300 | 18,764,912 | ||||||||
Food & Drug Retailers 0.37% | ||||||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 4.625% | 1/15/2027 | 10,224 | 10,886,566 | ||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 4.875% | 2/15/2030 | 17,549 | 19,354,441 | ||||||||
Rite Aid Corp. | 7.70% | 2/15/2027 | 22,549 | 21,656,285 | ||||||||
Rite Aid Corp.† | 8.00% | 11/15/2026 | 22,572 | 24,169,872 | ||||||||
Total | 76,067,164 |
28 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food: Wholesale 1.95% | ||||||||||||
Arcor SAIC (Argentina)†(a) | 6.00% | 7/6/2023 | $ | 25,682 | $ | 25,316,288 | ||||||
BRF SA (Brazil)†(a) | 4.875% | 1/24/2030 | 17,826 | 19,374,812 | ||||||||
Campbell Soup Co. | 3.125% | 4/24/2050 | 49,475 | 52,358,002 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 25,074 | 26,370,702 | ||||||||
FAGE International SA/FAGE USA Dairy Industry, Inc. (Luxembourg)†(a) | 5.625% | 8/15/2026 | 18,758 | 19,293,729 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 6.75% | 2/15/2028 | 50,781 | 57,116,946 | ||||||||
Kraft Heinz Foods Co. | 4.375% | 6/1/2046 | 18,370 | 19,876,131 | ||||||||
Kraft Heinz Foods Co.† | 4.875% | 10/1/2049 | $ | 8,383 | $ | 9,780,218 | ||||||
Kraft Heinz Foods Co. | 5.00% | 6/4/2042 | 18,238 | 21,398,934 | ||||||||
Kraft Heinz Foods Co. | 5.20% | 7/15/2045 | 12,508 | 14,873,259 | ||||||||
Lamb Weston Holdings, Inc.† | 4.625% | 11/1/2024 | 9,200 | 9,614,000 | ||||||||
McCormick & Co., Inc. | 2.50% | 4/15/2030 | 15,431 | 16,542,184 | ||||||||
McCormick & Co., Inc. | 4.20% | 8/15/2047 | 21,326 | 27,127,469 | ||||||||
Smithfield Foods, Inc.† | 5.20% | 4/1/2029 | 34,832 | 41,489,713 | ||||||||
Sysco Corp. | 2.40% | 2/15/2030 | 17,926 | 18,680,529 | ||||||||
Sysco Corp. | 6.60% | 4/1/2050 | 10,289 | 15,847,379 | ||||||||
Total | 395,060,295 | |||||||||||
Forestry/Paper 0.25% | ||||||||||||
Norbord, Inc. (Canada)†(a) | 6.25% | 4/15/2023 | 12,245 | 13,330,458 | ||||||||
Suzano Austria GmbH (Brazil)(a) | 3.75% | 1/15/2031 | 18,821 | 19,992,607 | ||||||||
Weyerhaeuser Co. | 7.375% | 3/15/2032 | 11,362 | 17,050,349 | ||||||||
Total | 50,373,414 | |||||||||||
Gaming 2.54% | ||||||||||||
Boyd Gaming Corp. | 4.75% | 12/1/2027 | 25,833 | 26,887,245 | ||||||||
Boyd Gaming Corp. | 6.00% | 8/15/2026 | 16,548 | 17,209,920 | ||||||||
Caesars Entertainment, Inc.† | 8.125% | 7/1/2027 | 49,840 | 55,239,043 | ||||||||
Caesars Resort Collection LLC/CRC Finco, Inc.† | 5.25% | 10/15/2025 | 24,648 | 24,941,434 | ||||||||
Caesars Resort Collection LLC/CRC Finco, Inc.† | 5.75% | 7/1/2025 | 9,657 | 10,244,411 | ||||||||
Churchill Downs, Inc.† | 4.75% | 1/15/2028 | 10,938 | 11,537,566 | ||||||||
Churchill Downs, Inc.† | 5.50% | 4/1/2027 | 36,639 | 38,876,360 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 4.00% | 1/15/2031 | 19,903 | 21,755,870 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.75% | 6/1/2028 | 18,808 | 22,331,961 | ||||||||
Las Vegas Sands Corp. | 3.50% | 8/18/2026 | 36,000 | 38,542,911 | ||||||||
Las Vegas Sands Corp. | 3.90% | 8/8/2029 | 15,210 | 16,361,397 | ||||||||
Melco Resorts Finance Ltd. (Hong Kong)†(a) | 5.75% | 7/21/2028 | 20,034 | 21,371,269 | ||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.† | 4.625% | 6/15/2025 | 13,662 | 14,645,664 |
See Notes to Financial Statements. | 29 |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Gaming (continued) | ||||||||||||
Mohegan Gaming & Entertainment† | 7.875% | 10/15/2024 | $ | 21,238 | $ | 22,220,257 | ||||||
Penn National Gaming, Inc.† | 5.625% | 1/15/2027 | 25,676 | 26,833,988 | ||||||||
Scientific Games International, Inc.† | 7.00% | 5/15/2028 | 16,124 | 17,363,936 | ||||||||
Scientific Games International, Inc.† | 7.25% | 11/15/2029 | 16,014 | 17,602,429 | ||||||||
Stars Group Holdings BV/Stars Group US Co-Borrower LLC (Netherlands)†(a) | 7.00% | 7/15/2026 | 15,242 | 16,070,784 | ||||||||
Wynn Macau Ltd. (Macau)†(a) | 5.125% | 12/15/2029 | 21,396 | 21,888,643 | ||||||||
Wynn Macau Ltd. (Macau)†(a) | 5.50% | 10/1/2027 | 36,932 | 38,401,894 | ||||||||
Wynn Macau Ltd. (Macau)†(a) | 5.625% | 8/26/2028 | 33,382 | 35,048,763 | ||||||||
Total | 515,375,745 | |||||||||||
Gas Distribution 1.79% | ||||||||||||
AI Candelaria Spain SLU (Spain)†(a) | 7.50% | 12/15/2028 | 18,965 | 22,141,827 | ||||||||
Buckeye Partners LP | 6.375% (3 Mo. LIBOR + 4.02% | )# | 1/22/2078 | 45,048 | 33,979,481 | |||||||
Colonial Enterprises, Inc.† | 3.25% | 5/15/2030 | 11,253 | 12,736,017 | ||||||||
Eastern Energy Gas Holdings LLC | 3.60% | 12/15/2024 | 12,050 | 13,335,687 | ||||||||
ENN Energy Holdings Ltd. (China)†(a) | 2.625% | 9/17/2030 | 20,367 | 20,495,705 | ||||||||
Florida Gas Transmission Co. LLC† | 4.35% | 7/15/2025 | 18,069 | 20,536,109 | ||||||||
National Fuel Gas Co. | 5.50% | 1/15/2026 | 49,743 | 57,426,465 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 32,573 | 36,910,404 | ||||||||
Northern Natural Gas Co.† | 4.30% | 1/15/2049 | 20,972 | 25,530,851 | ||||||||
ONE Gas, Inc. | 4.50% | 11/1/2048 | 13,497 | 18,084,338 | ||||||||
Sabal Trail Transmission LLC† | 4.246% | 5/1/2028 | 20,166 | 23,158,502 | ||||||||
Sabine Pass Liquefaction LLC† | 4.50% | 5/15/2030 | 13,663 | 16,204,540 | ||||||||
Transportadora de Gas Internacional SA ESP (Colombia)†(a) | 5.55% | 11/1/2028 | 24,773 | 29,294,320 | ||||||||
Western Midstream Operating LP | 5.05% | 2/1/2030 | 30,452 | 33,918,503 | ||||||||
Total | 363,752,749 | |||||||||||
Health Facilities 2.84% | ||||||||||||
AHP Health Partners, Inc.† | 9.75% | 7/15/2026 | 15,527 | 17,193,202 | ||||||||
Ascension Health | 3.945% | 11/15/2046 | 8,881 | 11,470,890 | ||||||||
Dignity Health | 3.812% | 11/1/2024 | 7,500 | 8,174,793 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 60,149 | 80,344,914 | ||||||||
HCA, Inc. | 7.05% | 12/1/2027 | 3,490 | 4,232,724 | ||||||||
HCA, Inc. | 7.58% | 9/15/2025 | 5,778 | 6,991,380 | ||||||||
HCA, Inc. | 7.69% | 6/15/2025 | 12,776 | 15,377,769 | ||||||||
HCA, Inc. | 8.36% | 4/15/2024 | 2,295 | 2,696,625 | ||||||||
Legacy LifePoint Health LLC† | 4.375% | 2/15/2027 | 35,115 | 35,729,512 | ||||||||
30 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Facilities (continued) | ||||||||||||
MEDNAX, Inc.† | 6.25% | 1/15/2027 | $ | 27,016 | $ | 29,007,890 | ||||||
Memorial Sloan-Kettering Cancer Center | 4.20% | 7/1/2055 | 28,034 | 37,576,157 | ||||||||
Mount Sinai Hospitals Group, Inc. | 3.737% | 7/1/2049 | 21,163 | 24,294,294 | ||||||||
MPT Operating Partnership LP/MPT Finance Corp. | 5.00% | 10/15/2027 | 16,011 | 17,060,121 | ||||||||
New York & Presbyterian Hospital (The) | 4.063% | 8/1/2056 | 16,078 | 21,080,774 | ||||||||
NYU Langone Hospitals | 4.368% | 7/1/2047 | 12,348 | 15,103,533 | ||||||||
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/2029 | 14,960 | 16,023,544 | ||||||||
Quest Diagnostics, Inc. | 2.80% | 6/30/2031 | 13,505 | 14,817,323 | ||||||||
Rede D’or Finance Sarl (Luxembourg)†(a) | 4.95% | 1/17/2028 | 20,352 | 21,823,958 | ||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.† | 9.75% | 12/1/2026 | 20,282 | 22,398,934 | ||||||||
Surgery Center Holdings, Inc.† | 10.00% | 4/15/2027 | 15,305 | 16,940,722 | ||||||||
Tenet Healthcare Corp.† | 4.875% | 1/1/2026 | 11,230 | 11,761,741 | ||||||||
Tenet Healthcare Corp. | 5.125% | 5/1/2025 | 20,960 | 21,394,710 | ||||||||
Tenet Healthcare Corp.† | 6.125% | 10/1/2028 | 36,407 | 38,064,611 | ||||||||
Tenet Healthcare Corp.† | 6.25% | 2/1/2027 | 42,711 | 45,333,242 | ||||||||
Tenet Healthcare Corp. | 6.75% | 6/15/2023 | 19,692 | 21,204,346 | ||||||||
Universal Health Services, Inc.† | 2.65% | 10/15/2030 | 18,799 | 19,550,744 | ||||||||
Total | 575,648,453 | |||||||||||
Health Services 0.43% | ||||||||||||
CVS Health Corp. | 3.625% | 4/1/2027 | 15,780 | 17,975,131 | ||||||||
Hadrian Merger Sub, Inc.† | 8.50% | 5/1/2026 | 29,836 | 30,911,886 | ||||||||
Montefiore Obligated Group | 5.246% | 11/1/2048 | 18,042 | 21,819,389 | ||||||||
RP Escrow Issuer LLC† | 5.25% | 12/15/2025 | 16,541 | 17,321,239 | ||||||||
Total | 88,027,645 | |||||||||||
Hotels 1.10% | ||||||||||||
ESH Hospitality, Inc.† | 4.625% | 10/1/2027 | 19,131 | 19,633,189 | ||||||||
Hilton Domestic Operating Co., Inc. | 4.875% | 1/15/2030 | 36,017 | 39,416,104 | ||||||||
Hilton Domestic Operating Co., Inc. | 5.125% | 5/1/2026 | 33,665 | 34,843,275 | ||||||||
Host Hotels & Resorts LP | 3.50% | 9/15/2030 | 29,720 | 31,357,611 | ||||||||
Marriott International, Inc. | 3.50% | 10/15/2032 | 27,083 | 29,684,698 | ||||||||
Marriott International, Inc. | 5.75% | 5/1/2025 | 14,908 | 17,444,704 | ||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer† | 5.875% | 10/1/2028 | 18,793 | 20,049,782 | ||||||||
Wyndham Destinations, Inc. | 6.00% | 4/1/2027 | 27,077 | 30,410,856 | ||||||||
Total | 222,840,219 |
See Notes to Financial Statements. | 31 |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance Brokerage 0.28% | ||||||||||||
Brown & Brown, Inc. | 2.375% | 3/15/2031 | $ | 22,560 | $ | 23,650,021 | ||||||
Farmers Insurance Exchange† | 4.747% (3 Mo. LIBOR + 3.23% | )# | 11/1/2057 | 15,790 | 17,039,454 | |||||||
HUB International Ltd.† | 7.00% | 5/1/2026 | 15,861 | 16,603,215 | ||||||||
Total | 57,292,690 | |||||||||||
Integrated Energy 1.40% | ||||||||||||
Cenovus Energy, Inc. (Canada)(a) | 5.375% | 7/15/2025 | 16,983 | 19,158,711 | ||||||||
Cenovus Energy, Inc. (Canada)(a) | 5.40% | 6/15/2047 | 50,417 | 59,187,094 | ||||||||
Exxon Mobil Corp. | 3.043% | 3/1/2026 | 23,752 | 26,329,015 | ||||||||
Lukoil Securities BV (Netherlands)†(a) | 3.875% | 5/6/2030 | 45,000 | 48,740,850 | ||||||||
Petroleos Mexicanos (Mexico)(a) | 6.875% | 8/4/2026 | 45,082 | 49,319,708 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(a) | 4.375% | 4/16/2049 | 30,522 | 36,926,502 | ||||||||
Shell International Finance BV (Netherlands)(a) | 6.375% | 12/15/2038 | 28,912 | 45,000,159 | ||||||||
Total | 284,662,039 | |||||||||||
Investments & Miscellaneous Financial Services 0.38% | ||||||||||||
AG Issuer LLC† | 6.25% | 3/1/2028 | 17,428 | 17,667,635 | ||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 33,753 | 29,562,749 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 26,061 | 29,596,798 | ||||||||
Total | 76,827,182 | |||||||||||
Life Insurance 0.56% | ||||||||||||
AIA Group Ltd. (Hong Kong)†(a) | 3.20% | 9/16/2040 | 18,831 | 19,774,998 | ||||||||
AIA Group Ltd. (Hong Kong)†(a) | 3.375% | 4/7/2030 | 17,824 | 20,046,829 | ||||||||
Northwestern Mutual Life Insurance Co. (The)† | 3.85% | 9/30/2047 | 28,610 | 33,754,186 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.27% | 5/15/2047 | 17,804 | 22,301,639 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 12,705 | 17,227,382 | ||||||||
Total | 113,105,034 | |||||||||||
Machinery 0.63% | ||||||||||||
IDEX Corp. | 3.00% | 5/1/2030 | 16,199 | 17,845,741 | ||||||||
Itron, Inc.† | 5.00% | 1/15/2026 | 14,399 | 14,740,976 | ||||||||
Mueller Water Products, Inc.† | 5.50% | 6/15/2026 | 18,105 | 18,825,760 | ||||||||
Roper Technologies, Inc. | 1.75% | 2/15/2031 | 42,668 | 42,516,920 | ||||||||
Roper Technologies, Inc. | 4.20% | 9/15/2028 | 19,379 | 23,126,197 | ||||||||
Xylem, Inc. | 3.25% | 11/1/2026 | 8,884 | 9,997,687 | ||||||||
Total | 127,053,281 |
32 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Managed Care 0.98% | ||||||||||||
Anthem, Inc. | 2.25% | 5/15/2030 | $ | 26,990 | $ | 28,686,493 | ||||||
Centene Corp. | 3.375% | 2/15/2030 | 45,763 | 48,218,414 | ||||||||
Centene Corp. | 4.25% | 12/15/2027 | 20,773 | 22,067,470 | ||||||||
Centene Corp. | 4.625% | 12/15/2029 | 31,215 | 34,695,629 | ||||||||
Centene Corp.† | 5.375% | 6/1/2026 | 20,972 | 22,145,593 | ||||||||
Kaiser Foundation Hospitals | 4.15% | 5/1/2047 | 17,628 | 23,019,337 | ||||||||
Molina Healthcare, Inc.† | 3.875% | 11/15/2030 | 18,940 | 20,360,500 | ||||||||
Total | 199,193,436 | |||||||||||
Media: Content 1.96% | ||||||||||||
Activision Blizzard, Inc. | 2.50% | 9/15/2050 | 27,086 | 26,475,190 | ||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | 27,032 | 27,956,630 | ||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.† | 5.375% | 8/15/2026 | 31,006 | 25,250,511 | ||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.† | 6.625% | 8/15/2027 | 38,236 | 23,180,575 | ||||||||
Gray Television, Inc.† | 5.875% | 7/15/2026 | 9,833 | 10,306,213 | ||||||||
Netflix, Inc.† | 3.625% | 6/15/2025 | 6,617 | 7,097,493 | ||||||||
Netflix, Inc.(e) | 3.625% | 5/15/2027 | EUR | 50,197 | 68,569,728 | |||||||
Netflix, Inc.(e) | 3.625% | 6/15/2030 | EUR | 5,000 | 6,965,788 | |||||||
Netflix, Inc.†(e) | 3.625% | 6/15/2030 | EUR | 13,504 | 18,813,199 | |||||||
Netflix, Inc.†(e) | 3.875% | 11/15/2029 | EUR | 9,011 | 12,754,754 | |||||||
Netflix, Inc. | 4.875% | 4/15/2028 | $ | 41,959 | 47,385,557 | |||||||
Netflix, Inc.† | 4.875% | 6/15/2030 | 6,484 | 7,468,758 | ||||||||
Netflix, Inc.† | 5.375% | 11/15/2029 | 19,637 | 23,171,660 | ||||||||
Nexstar Broadcasting, Inc.† | 5.625% | 7/15/2027 | 23,661 | 25,383,876 | ||||||||
Sirius XM Radio, Inc.† | 5.00% | 8/1/2027 | 11,533 | 12,270,824 | ||||||||
Sirius XM Radio, Inc.† | 5.375% | 7/15/2026 | 10,495 | 10,967,275 | ||||||||
Univision Communications, Inc.† | 5.125% | 2/15/2025 | 43,820 | 44,230,812 | ||||||||
Total | 398,248,843 | |||||||||||
Media: Diversified 0.29% | ||||||||||||
Cable Onda SA (Panama)†(a) | 4.50% | 1/30/2030 | 24,283 | 26,817,538 | ||||||||
Prosus NV (Netherlands)†(a) | 3.68% | 1/21/2030 | 28,534 | 31,104,130 | ||||||||
Total | 57,921,668 | |||||||||||
Medical Products 0.36% | ||||||||||||
Alcon Finance Corp.† | 2.60% | 5/27/2030 | 23,575 | 25,138,820 | ||||||||
Boston Scientific Corp. | 7.00% | 11/15/2035 | 16,135 | 23,756,035 |
See Notes to Financial Statements. | 33 |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Medical Products (continued) | ||||||||||||
Edwards Lifesciences Corp. | 4.30% | 6/15/2028 | $ | 20,927 | $ | 24,787,959 | ||||||
Total | 73,682,814 | |||||||||||
Metals/Mining (Excluding Steel) 1.76% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(a) | 3.95% | 9/10/2050 | 18,109 | 20,373,763 | ||||||||
Anglo American Capital plc (United Kingdom)†(a) | 5.625% | 4/1/2030 | 17,340 | 22,112,596 | ||||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP (Canada)†(a) | 8.75% | 7/15/2026 | 18,211 | 19,755,566 | ||||||||
Cleveland-Cliffs, Inc.† | 6.75% | 3/15/2026 | 13,847 | 14,972,069 | ||||||||
Cleveland-Cliffs, Inc.† | 9.875% | 10/17/2025 | 13,077 | 15,398,167 | ||||||||
Corp. Nacional del Cobre de Chile (Chile)†(a) | 3.75% | 1/15/2031 | 16,720 | 18,948,609 | ||||||||
First Quantum Minerals Ltd. (Canada)†(a) | 6.875% | 10/15/2027 | 19,282 | 20,945,072 | ||||||||
Freeport-McMoRan, Inc. | 4.125% | 3/1/2028 | 19,839 | 20,843,349 | ||||||||
Freeport-McMoRan, Inc. | 4.25% | 3/1/2030 | 31,315 | 33,771,349 | ||||||||
Freeport-McMoRan, Inc. | 4.375% | 8/1/2028 | 17,287 | 18,399,851 | ||||||||
Freeport-McMoRan, Inc. | 4.625% | 8/1/2030 | 20,241 | 22,250,425 | ||||||||
Freeport-McMoRan, Inc. | 5.25% | 9/1/2029 | 11,700 | 13,036,023 | ||||||||
Fresnillo plc (Mexico)†(a) | 4.25% | 10/2/2050 | 12,855 | 14,137,286 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 17,694 | 19,352,812 | ||||||||
Mirabela Nickel Ltd. (Australia)(a) | 1.00% | 9/10/2044 | 185 | 19 | (d) | |||||||
Newmont Corp. | 2.25% | 10/1/2030 | 31,484 | 33,172,508 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 16,848 | 17,153,202 | ||||||||
Teck Resources Ltd. (Canada)(a) | 3.90% | 7/15/2030 | 10,828 | 12,071,723 | ||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 19,893 | 20,356,109 | ||||||||
Total | 357,050,498 | |||||||||||
Monoline Insurance 0.16% | ||||||||||||
Fidelity National Financial, Inc. | 4.50% | 8/15/2028 | 26,914 | 31,498,135 | ||||||||
Multi-Line Insurance 0.08% | ||||||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 14,558 | 16,252,730 | ||||||||
Non-Electric Utilities 0.07% | ||||||||||||
Brooklyn Union Gas Co. (The)† | 3.407% | 3/10/2026 | 11,916 | 13,321,826 | ||||||||
Oil Field Equipment & Services 0.59% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(a) | 4.60% | 11/2/2047 | 28,472 | 35,477,251 | ||||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates)†(a) | 3.25% | 9/30/2040 | 45,094 | 47,710,776 | ||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 14,416 | 13,154,600 |
34 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil Field Equipment & Services (continued) | ||||||||||||
Oceaneering International, Inc. | 6.00% | 2/1/2028 | $ | 26,203 | $ | 23,484,439 | ||||||
Total | 119,827,066 | |||||||||||
Oil Refining & Marketing 0.16% | ||||||||||||
PBF Holding Co. LLC/PBF Finance Corp.† | 9.25% | 5/15/2025 | 32,782 | 32,196,022 | ||||||||
Packaging 0.35% | ||||||||||||
Ball Corp. | 2.875% | 8/15/2030 | 24,932 | 24,900,835 | ||||||||
Crown Cork & Seal Co., Inc. | 7.375% | 12/15/2026 | 11,810 | 14,420,719 | ||||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 12,427 | 16,442,474 | ||||||||
Trivium Packaging Finance BV (Netherlands)†(a) | 5.50% | 8/15/2026 | 13,996 | 14,827,012 | ||||||||
Total | 70,591,040 | |||||||||||
Personal & Household Products 1.32% | ||||||||||||
Clorox Co. (The) | 1.80% | 5/15/2030 | 17,116 | 17,690,860 | ||||||||
Hasbro, Inc. | 3.90% | 11/19/2029 | 44,903 | 50,903,364 | ||||||||
Hasbro, Inc. | 5.10% | 5/15/2044 | 24,241 | 27,788,772 | ||||||||
Mattel, Inc.† | 5.875% | 12/15/2027 | 24,502 | 27,273,789 | ||||||||
Mattel, Inc.† | 6.75% | 12/31/2025 | 23,059 | 24,361,142 | ||||||||
Newell Brands, Inc. | 4.70% | 4/1/2026 | 76,643 | 84,531,864 | ||||||||
Newell Brands, Inc. | 5.875% | 4/1/2036 | 15,478 | 18,844,465 | ||||||||
SC Johnson & Son, Inc.† | 4.75% | 10/15/2046 | 12,635 | 17,582,440 | ||||||||
Total | 268,976,696 | |||||||||||
Pharmaceuticals 0.75% | ||||||||||||
AbbVie, Inc. | 3.20% | 11/21/2029 | 26,942 | 30,224,471 | ||||||||
AbbVie, Inc. | 4.25% | 11/21/2049 | 14,179 | 17,834,931 | ||||||||
AstraZeneca plc (United Kingdom)(a) | 2.125% | 8/6/2050 | 54,143 | 50,699,887 | ||||||||
Pfizer, Inc. | 2.625% | 4/1/2030 | 13,461 | 15,027,306 | ||||||||
Regeneron Pharmaceuticals, Inc. | 2.80% | 9/15/2050 | 22,574 | 21,960,965 | ||||||||
Zoetis, Inc. | 3.90% | 8/20/2028 | 13,486 | 15,901,818 | ||||||||
Total | 151,649,378 | |||||||||||
Property & Casualty 0.33% | ||||||||||||
Allstate Corp. (The) | 3.28% | 12/15/2026 | 13,471 | 15,394,826 | ||||||||
Arch Capital Finance LLC | 4.011% | 12/15/2026 | 13,319 | 15,503,338 | ||||||||
CNA Financial Corp. | 2.05% | 8/15/2030 | 11,287 | 11,525,573 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 19,241 | 24,647,472 | ||||||||
Total | 67,071,209 |
See Notes to Financial Statements. | 35 |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Rail 0.10% | ||||||||||||
Central Japan Railway Co. (Japan)†(a) | 4.25% | 11/24/2045 | $ | 17,006 | $ | 21,249,008 | ||||||
Real Estate Development & Management 0.09% | ||||||||||||
CoStar Group, Inc.† | 2.80% | 7/15/2030 | 17,267 | 17,960,594 | ||||||||
Real Estate Investment Trusts 0.74% | ||||||||||||
Alexandria Real Estate Equities, Inc. | 3.80% | 4/15/2026 | 6,288 | 7,238,777 | ||||||||
Alexandria Real Estate Equities, Inc. | 3.95% | 1/15/2028 | 14,750 | 17,146,732 | ||||||||
Alexandria Real Estate Equities, Inc. | 4.90% | 12/15/2030 | 7,100 | 9,048,573 | ||||||||
American Homes 4 Rent LP | 4.90% | 2/15/2029 | 12,968 | 15,673,877 | ||||||||
CyrusOne LP/CyrusOne Finance Corp. | 2.15% | 11/1/2030 | 22,556 | 22,041,498 | ||||||||
Goodman US Finance Four LLC† | 4.50% | 10/15/2037 | 12,258 | 14,311,341 | ||||||||
Goodman US Finance Three LLC† | 3.70% | 3/15/2028 | 7,763 | 8,470,847 | ||||||||
Prologis LP | 3.875% | 9/15/2028 | 8,980 | 10,653,144 | ||||||||
Prologis LP | 4.375% | 2/1/2029 | 15,050 | 18,494,510 | ||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC | 8.25% | 10/15/2023 | 25,939 | 26,182,178 | ||||||||
Total | 149,261,477 | |||||||||||
Recreation & Travel 0.87% | ||||||||||||
Carnival Corp.† | 7.625% | 3/1/2026 | 12,609 | 13,761,021 | ||||||||
Carnival Corp.† | 9.875% | 8/1/2027 | 18,736 | 21,581,530 | ||||||||
Carnival Corp.† | 11.50% | 4/1/2023 | 42,826 | 49,582,872 | ||||||||
Merlin Entertainments Ltd. (United Kingdom)†(a) | 5.75% | 6/15/2026 | 15,129 | 15,934,771 | ||||||||
Royal Caribbean Cruises Ltd.† | 9.125% | 6/15/2023 | 12,274 | 13,332,632 | ||||||||
Royal Caribbean Cruises Ltd.† | 11.50% | 6/1/2025 | 35,300 | 41,311,590 | ||||||||
Viking Cruises Ltd.† | 13.00% | 5/15/2025 | 17,187 | 20,570,691 | ||||||||
Total | 176,075,107 | |||||||||||
Reinsurance 0.50% | ||||||||||||
AXIS Specialty Finance plc (United Kingdom)(a) | 5.15% | 4/1/2045 | 21,094 | 25,560,394 | ||||||||
Berkshire Hathaway, Inc. | 2.75% | 3/15/2023 | 7,903 | 8,300,636 | ||||||||
Berkshire Hathaway, Inc. | 3.125% | 3/15/2026 | 7,903 | 8,832,176 | ||||||||
PartnerRe Finance B LLC | 3.70% | 7/2/2029 | 26,944 | 31,035,261 | ||||||||
Transatlantic Holdings, Inc. | 8.00% | 11/30/2039 | 17,809 | 28,214,022 | ||||||||
Total | 101,942,489 | |||||||||||
Restaurants 0.74% | ||||||||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | 24,585 | 25,404,910 | ||||||||
IRB Holding Corp.† | 7.00% | 6/15/2025 | 12,820 | 14,028,606 |
36 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Restaurants (continued) | ||||||||||||
KFC Holding Co./Pizza Hut Holdings LLC/ Taco Bell of America LLC† | 4.75% | 6/1/2027 | $ | 25,312 | $ | 26,803,256 | ||||||
Starbucks Corp. | 4.45% | 8/15/2049 | 39,350 | 51,911,036 | ||||||||
Stonegate Pub Co. Financing 2019 plc(e) | 8.25% | 7/31/2025 | GBP | 15,736 | 21,863,296 | |||||||
Stonegate Pub Co. Financing plc(e) | 8.00% | 7/13/2025 | GBP | 6,924 | 9,459,107 | |||||||
Total | 149,470,211 | |||||||||||
Software/Services 2.59% | ||||||||||||
Autodesk, Inc. | 3.50% | 6/15/2027 | $ | 27,008 | 30,450,346 | |||||||
Banff Merger Sub, Inc.† | 9.75% | 9/1/2026 | 24,349 | 26,326,626 | ||||||||
Global Payments, Inc. | 2.90% | 5/15/2030 | 41,296 | 44,937,965 | ||||||||
Global Payments, Inc. | 4.15% | 8/15/2049 | 22,442 | 27,674,340 | ||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc.† | 5.25% | 12/1/2027 | 11,226 | 11,836,414 | ||||||||
GrubHub Holdings, Inc.† | 5.50% | 7/1/2027 | 19,374 | 20,342,700 | ||||||||
Intuit, Inc. | 0.95% | 7/15/2025 | 9,023 | 9,144,287 | ||||||||
Intuit, Inc. | 1.65% | 7/15/2030 | 18,048 | 18,553,005 | ||||||||
Match Group Holdings II LLC† | 5.00% | 12/15/2027 | 22,260 | 23,738,064 | ||||||||
Microsoft Corp. | 3.30% | 2/6/2027 | 26,383 | 30,108,602 | ||||||||
PayPal Holdings, Inc. | 3.25% | 6/1/2050 | 47,393 | 54,780,658 | ||||||||
PTC, Inc.† | 3.625% | 2/15/2025 | 11,211 | 11,546,293 | ||||||||
PTC, Inc.† | 4.00% | 2/15/2028 | 22,263 | 23,376,150 | ||||||||
salesforce.com, Inc. | 3.70% | 4/11/2028 | 17,807 | 21,015,222 | ||||||||
ServiceNow, Inc. | 1.40% | 9/1/2030 | 20,835 | 20,340,560 | ||||||||
Tencent Holdings Ltd. (China)†(a) | 3.595% | 1/19/2028 | 19,777 | 21,831,237 | ||||||||
Tencent Holdings Ltd. (China)†(a) | 3.925% | 1/19/2038 | 23,479 | 26,969,456 | ||||||||
VeriSign, Inc. | 4.75% | 7/15/2027 | 21,815 | 23,444,580 | ||||||||
VeriSign, Inc. | 5.25% | 4/1/2025 | 15,945 | 18,147,403 | ||||||||
Veritas US, Inc./Veritas Bermuda Ltd.† | 7.50% | 9/1/2025 | 23,039 | 23,672,572 | ||||||||
Veritas US, Inc./Veritas Bermuda Ltd.† | 10.50% | 2/1/2024 | 20,022 | 20,435,755 | ||||||||
Visa, Inc. | 3.15% | 12/14/2025 | 14,645 | 16,436,791 | ||||||||
Total | 525,109,026 | |||||||||||
Specialty Retail 2.01% | ||||||||||||
AutoNation, Inc. | 4.75% | 6/1/2030 | 10,463 | 12,598,487 | ||||||||
B2W Digital Lux Sarl (Luxembourg)†(a) | 4.375% | 12/20/2030 | 19,301 | 20,000,661 | ||||||||
Best Buy Co., Inc. | 1.95% | 10/1/2030 | 22,556 | 22,700,153 | ||||||||
Best Buy Co., Inc. | 4.45% | 10/1/2028 | 15,806 | 18,915,366 | ||||||||
Carvana Co.† | 5.625% | 10/1/2025 | 41,186 | 42,318,615 | ||||||||
Carvana Co.† | 5.875% | 10/1/2028 | 18,425 | 19,154,446 | ||||||||
eG Global Finance plc (United Kingdom)†(a) | 8.50% | 10/30/2025 | 22,482 | 23,864,643 |
See Notes to Financial Statements. | 37 |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Specialty Retail (continued) | ||||||||||||
Gap, Inc. (The)† | 8.625% | 5/15/2025 | $ | 17,736 | $ | 19,807,033 | ||||||
Gap, Inc. (The)† | 8.875% | 5/15/2027 | 18,953 | 22,009,171 | ||||||||
JD.com, Inc. (China)(a) | 3.375% | 1/14/2030 | 16,606 | 18,070,198 | ||||||||
JD.com, Inc. (China)(a) | 4.125% | 1/14/2050 | 31,012 | 34,720,832 | ||||||||
Meituan (China)†(a) | 3.05% | 10/28/2030 | 15,640 | 16,274,984 | ||||||||
Murphy Oil USA, Inc. | 4.75% | 9/15/2029 | 14,991 | 15,981,380 | ||||||||
NIKE, Inc. | 2.40% | 3/27/2025 | 20,735 | 22,354,989 | ||||||||
Penske Automotive Group, Inc. | 3.50% | 9/1/2025 | 12,185 | 12,398,238 | ||||||||
Penske Automotive Group, Inc. | 5.50% | 5/15/2026 | 5,413 | 5,632,903 | ||||||||
Seven & i Holdings Co. Ltd. (Japan)†(a) | 3.35% | 9/17/2021 | 31,997 | 32,629,819 | ||||||||
Tiffany & Co. | 4.90% | 10/1/2044 | 24,318 | 33,474,334 | ||||||||
WW International, Inc.† | 8.625% | 12/1/2025 | 15,449 | 16,111,376 | ||||||||
Total | 409,017,628 | |||||||||||
Steel Producers/Products 0.17% | ||||||||||||
CSN Inova Ventures (Brazil)†(a) | 6.75% | 1/28/2028 | 20,418 | 22,133,112 | ||||||||
CSN Resources SA (Brazil)†(a) | 7.625% | 4/17/2026 | 5,057 | 5,442,596 | ||||||||
Reliance Steel & Aluminum Co. | 2.15% | 8/15/2030 | 6,768 | 6,964,421 | ||||||||
Total | 34,540,129 | |||||||||||
Support: Services 1.62% | ||||||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 20,365 | 14,930,091 | ||||||||
Brink’s Co. (The)† | 4.625% | 10/15/2027 | 27,395 | 28,679,141 | ||||||||
Cleveland Clinic Foundation (The) | 4.858% | 1/1/2114 | 8,223 | 11,607,685 | ||||||||
Georgetown University (The) | 2.943% | 4/1/2050 | 17,968 | 18,160,846 | ||||||||
H&E Equipment Services, Inc.† | 3.875% | 12/15/2028 | 30,483 | 30,750,641 | ||||||||
Hertz Corp. (The)†(j) | 5.50% | 10/15/2024 | 21,042 | 11,402,134 | ||||||||
Hertz Corp. (The)†(j) | 6.00% | 1/15/2028 | 33,966 | 18,405,326 | ||||||||
Hertz Corp. (The)(j) | 6.25% | 10/15/2022 | 6,056 | 3,285,380 | ||||||||
Johns Hopkins University | 2.813% | 1/1/2060 | 10,114 | 10,704,571 | ||||||||
Maxim Crane Works Holdings Capital LLC† | 10.125% | 8/1/2024 | 16,120 | 16,826,943 | ||||||||
Metropolitan Museum of Art (The) | 3.40% | 7/1/2045 | 26,471 | 29,458,610 | ||||||||
Presidio Holdings, Inc.† | 4.875% | 2/1/2027 | 16,307 | 17,326,187 | ||||||||
Quanta Services, Inc. | 2.90% | 10/1/2030 | 15,040 | 16,129,726 | ||||||||
Uber Technologies, Inc.† | 6.25% | 1/15/2028 | 13,570 | 14,774,337 | ||||||||
Uber Technologies, Inc.† | 7.50% | 9/15/2027 | 14,427 | 15,887,734 | ||||||||
Uber Technologies, Inc.† | 8.00% | 11/1/2026 | 20,289 | 22,127,691 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 21,596 | 23,026,735 | ||||||||
United Rentals North America, Inc. | 5.875% | 9/15/2026 | 6,713 | 7,114,538 |
38 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||||
Support: Services (continued) | ||||||||||||||
Verisk Analytics, Inc. | 3.625% | 5/15/2050 | $ | 15,070 | $ | 17,564,905 | ||||||||
Total | 328,163,221 | |||||||||||||
Technology Hardware & Equipment 0.67% | ||||||||||||||
Apple, Inc. | 1.80% | 9/11/2024 | 22,440 | 23,572,883 | ||||||||||
Apple, Inc. | 3.00% | 6/20/2027 | 26,927 | 30,169,239 | ||||||||||
CDW LLC/CDW Finance Corp. | 4.125% | 5/1/2025 | 7,171 | 7,515,602 | ||||||||||
CDW LLC/CDW Finance Corp. | 5.50% | 12/1/2024 | 15,000 | 16,797,975 | ||||||||||
Motorola Solutions, Inc. | 4.60% | 5/23/2029 | 17,963 | 21,524,933 | ||||||||||
Switch Ltd.† | 3.75% | 9/15/2028 | 1,531 | 1,556,836 | ||||||||||
Western Digital Corp. | 4.75% | 2/15/2026 | 32,314 | 35,747,362 | ||||||||||
Total | 136,884,830 | |||||||||||||
Telecommunications Equipment 0.10% | ||||||||||||||
Xiaomi Best Time International Ltd. (Hong Kong)†(a) | 3.375% | 4/29/2030 | 19,734 | 21,070,428 | ||||||||||
Telecommunications: Satellite 0.27% | ||||||||||||||
Connect Finco SARL/Connect US Finco LLC (Luxembourg)†(a) | 6.75% | 10/1/2026 | 29,167 | 31,458,651 | ||||||||||
Hughes Satellite Systems Corp. | 5.25% | 8/1/2026 | 21,000 | 23,253,510 | ||||||||||
Total | 54,712,161 | |||||||||||||
Telecommunications: Wireless 1.53% | ||||||||||||||
American Tower Corp. | 2.95% | 1/15/2025 | 44,909 | 48,666,571 | ||||||||||
Crown Castle International Corp. | 4.15% | 7/1/2050 | 11,119 | 13,540,031 | ||||||||||
SBA Communications Corp.(k) | 3.875% | 2/15/2027 | 40,849 | 42,956,767 | ||||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 99,783 | 131,748,983 | ||||||||||
T-Mobile USA, Inc.† | 3.875% | 4/15/2030 | 16,027 | 18,579,460 | ||||||||||
T-Mobile USA, Inc.† | 4.50% | 4/15/2050 | 11,073 | 13,678,034 | ||||||||||
Vmed O2 UK Financing I plc (United Kingdom)†(a) | 4.25% | 1/31/2031 | 40,933 | 41,921,123 | ||||||||||
Total | 311,090,969 | |||||||||||||
Telecommunications: Wireline Integrated & Services 2.40% | ||||||||||||||
Altice Financing SA (Luxembourg)†(a) | 7.50% | 5/15/2026 | 38,191 | 40,350,701 | ||||||||||
Altice France Holding SA (Luxembourg)†(a) | 6.00% | 2/15/2028 | 13,128 | 13,319,472 | ||||||||||
Altice France Holding SA (Luxembourg)†(a) | 10.50% | 5/15/2027 | 31,171 | 35,047,893 | ||||||||||
Altice France SA (France)†(a) | 7.375% | 5/1/2026 | 46,103 | 48,581,036 | ||||||||||
Altice France SA (France)†(a) | 8.125% | 2/1/2027 | 39,761 | 43,882,426 | ||||||||||
CyrusOne LP/CyrusOne Finance Corp. | 2.90% | 11/15/2024 | 9,245 | 9,887,389 | ||||||||||
DKT Finance ApS (Denmark)†(a) | 9.375% | 6/17/2023 | 19,351 | 20,075,463 |
See Notes to Financial Statements. | 39 |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||||
Telecommunications: Wireline Integrated & Services (continued) | ||||||||||||||
Equinix, Inc.(e) | 2.875% | 2/1/2026 | EUR | 25,544 | $ | 31,765,974 | ||||||||
Frontier Communications Corp.† | 5.00% | 5/1/2028 | $ | 26,116 | 27,274,898 | |||||||||
Frontier Communications Corp.† | 5.875% | 10/15/2027 | 14,606 | 15,820,124 | ||||||||||
Frontier Communications Corp.† | 6.75% | 5/1/2029 | 27,815 | 29,814,203 | ||||||||||
Hellas Telecommunications Luxembourg II SCA (Luxembourg)†(a)(j) | 6.054% (3 Mo. LIBOR + 5.75% | )# | 1/15/2015 | 15,000 | 1,500 | (c) | ||||||||
Motorola Solutions, Inc. | 4.60% | 2/23/2028 | 15,034 | 18,141,108 | ||||||||||
Verizon Communications, Inc. | 2.625% | 8/15/2026 | 54,987 | 60,268,358 | ||||||||||
VTR Comunicaciones SpA (Chile)†(a) | 5.125% | 1/15/2028 | 35,429 | 37,788,571 | ||||||||||
Windstream Escrow LLC/Windstream Escrow Finance Corp.† | 7.75% | 8/15/2028 | 19,090 | 19,259,424 | ||||||||||
Zayo Group Holdings, Inc.† | 4.00% | 3/1/2027 | 15,062 | 15,119,311 | ||||||||||
Zayo Group Holdings, Inc.† | 6.125% | 3/1/2028 | 20,615 | 21,835,820 | ||||||||||
Total | 488,233,671 | |||||||||||||
Theaters & Entertainment 0.21% | ||||||||||||||
Live Nation Entertainment, Inc.†(k) | 3.75% | 1/15/2028 | 20,141 | 20,400,819 | ||||||||||
Pinnacle Bidco plc†(e) | 5.50% | 2/15/2025 | EUR | 18,919 | 22,904,964 | |||||||||
Total | 43,305,783 | |||||||||||||
Tobacco 0.06% | ||||||||||||||
BAT Capital Corp. | 4.70% | 4/2/2027 | $ | 10,362 | 12,196,241 | |||||||||
Transportation: Infrastructure/Services 0.81% | ||||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(a) | 4.375% | 7/3/2029 | 26,773 | 29,092,577 | ||||||||||
Aeropuerto Internacional de Tocumen SA (Panama)†(a) | 6.00% | 11/18/2048 | 32,060 | 38,408,889 | ||||||||||
Autoridad del Canal de Panama (Panama)†(a) | 4.95% | 7/29/2035 | 8,750 | 11,084,456 | ||||||||||
CH Robinson Worldwide, Inc. | 4.20% | 4/15/2028 | 20,351 | 24,096,374 | ||||||||||
Mersin Uluslararasi Liman Isletmeciligi AS (Turkey)†(a) | 5.375% | 11/15/2024 | 30,508 | 32,524,823 | ||||||||||
XPO Logistics, Inc.† | 6.25% | 5/1/2025 | 26,723 | 28,807,795 | ||||||||||
Total | 164,014,914 | |||||||||||||
Trucking & Delivery 0.16% | ||||||||||||||
FedEx Corp. 2020-1 Class AA Pass Through Trust | 1.875% | 2/20/2034 | 31,596 | 32,688,015 | ||||||||||
Total High Yield Corporate Bonds (cost $12,837,644,404) | 14,093,852,181 | |||||||||||||
MUNICIPAL BONDS 2.94% | ||||||||||||||
Air Transportation 0.17% | ||||||||||||||
Miami Dade Cnty, FL | 3.982% | 10/1/2041 | 13,915 | 15,104,037 | ||||||||||
Miami-Dade Cnty, FL | 4.28% | 10/1/2041 | 18,040 | 19,883,507 | ||||||||||
Total | 34,987,544 |
40 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||||
Education 0.70% | ||||||||||||||
California State University | 3.899% | 11/1/2047 | $ | 33,030 | $ | 40,511,625 | ||||||||
Ohio Univ | 5.59% | 12/1/2114 | 11,104 | 15,853,958 | ||||||||||
Permanent University Fund - Texas A&M University System | 3.66% | 7/1/2047 | 46,015 | 50,901,793 | ||||||||||
Univ of California Bd of Regents | 6.548% | 5/15/2048 | 12,463 | 20,254,120 | ||||||||||
University of California Bond of Regents | 3.006% | 5/15/2050 | 12,835 | 13,648,226 | ||||||||||
Total | 141,169,722 | |||||||||||||
General Obligation 0.85% | ||||||||||||||
California | 7.55% | 4/1/2039 | 15,015 | 26,395,319 | ||||||||||
Chicago Transit Authority Sales & Transfer Tax Receipts Revenue | 6.899% | 12/1/2040 | 11,826 | 17,115,888 | ||||||||||
City of Portland | 7.701% | 6/1/2022 | 11,950 | 12,757,103 | ||||||||||
District of Columbia | 5.591% | 12/1/2034 | 14,130 | 19,113,086 | ||||||||||
Honolulu HI City & Cnty, | 5.418% | 12/1/2027 | 6,620 | 8,569,524 | ||||||||||
Los Angeles Unif Sch Dist, CA | 5.75% | 7/1/2034 | 12,497 | 17,647,014 | ||||||||||
Massachusetts | 4.20% | 12/1/2021 | 3,675 | 3,806,271 | ||||||||||
Pennsylvania | 5.45% | 2/15/2030 | 12,190 | 15,559,194 | ||||||||||
State of Illinois | 5.10% | 6/1/2033 | 36,860 | 39,697,114 | ||||||||||
The Bd of Governors of the Univ of North Carolina | 3.847% | 12/1/2034 | 9,595 | 12,039,422 | ||||||||||
Total | 172,699,935 | |||||||||||||
Government Guaranteed 0.03% | ||||||||||||||
City & County of San Francisco CA | 5.45% | 6/15/2025 | 4,540 | 5,490,131 | ||||||||||
Lease Obligation 0.04% | ||||||||||||||
Wisconsin | 3.294% | 5/1/2037 | 7,145 | 8,305,205 | ||||||||||
Miscellaneous 0.51% | ||||||||||||||
County of Miami-Dade FL(k) | 2.786% | 10/1/2037 | 9,690 | 9,908,122 | ||||||||||
Dallas Convention Center Hotel Dev Corp., TX | 7.088% | 1/1/2042 | 17,795 | 24,847,870 | ||||||||||
New York City Indl Dev Agy† | 11.00% | 3/1/2029 | 19,878 | 27,267,845 | ||||||||||
Pasadena Public Fing Auth | 7.148% | 3/1/2043 | 26,795 | 42,177,206 | (d) | |||||||||
Total | 104,201,043 | |||||||||||||
Multi-Line Insurance 0.03% | ||||||||||||||
City & County Honolulu HI Wastewater System Revenue | 1.623% | 7/1/2031 | 6,635 | 6,728,355 | ||||||||||
Tax Revenue 0.25% | ||||||||||||||
Massachusetts Sch Bldg Auth | 5.715% | 8/15/2039 | 20,055 | 29,106,423 |
See Notes to Financial Statements. | 41 |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||||
Tax Revenue (continued) | ||||||||||||||
Memphis-Shelby County Industrial Development Board, TN | 7.00% | 7/1/2045 | $ | 22,085 | $ | 21,731,640 | ||||||||
Total | 50,838,063 | |||||||||||||
Transportation 0.06% | ||||||||||||||
Foothill-Eastern Transportation Corridor Agency | 4.094% | 1/15/2049 | 10,790 | 11,613,169 | ||||||||||
Transportation: Infrastructure/Services 0.20% | ||||||||||||||
Chicago Transit Authority Sales Tax Receipts Fund | 6.20% | 12/1/2040 | 12,385 | 17,263,451 | ||||||||||
Port of Seattle, WA | 3.571% | 5/1/2032 | 7,305 | 7,896,632 | ||||||||||
Port of Seattle, WA | 3.755% | 5/1/2036 | 13,905 | 14,838,304 | ||||||||||
Total | 39,998,387 | |||||||||||||
Utilities 0.10% | ||||||||||||||
San Antonio, TX | 5.718% | 2/1/2041 | 13,240 | 19,657,958 | ||||||||||
Total Municipal Bonds (cost $528,516,264) | 595,689,512 | |||||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 3.38% | ||||||||||||||
Angel Oak Mortgage Trust 2020-1 A1† | 2.466% | #(l) | 12/25/2059 | 7,621 | 7,703,011 | |||||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 1.109% (1 Mo. LIBOR + .95% | )# | 6/15/2035 | 35,420 | 34,775,912 | |||||||||
BANK 2020-BN30 A4 | 1.925% | 12/10/2053 | 66,200 | 68,573,204 | ||||||||||
BBCMS Mortgage Trust 2018-C2 C | 4.97% | #(l) | 12/15/2051 | 15,628 | 17,598,034 | |||||||||
BBCMS Mortgage Trust 2019-BWAY A† | 1.115% (1 Mo. LIBOR + .96% | )# | 11/15/2034 | 25,000 | 24,447,813 | |||||||||
Benchmark Mortgage Trust 2019-B12 WMA† | 4.246% | #(l) | 8/15/2052 | 35,544 | 34,048,664 | (d) | ||||||||
Benchmark Mortgage Trust 2020-B22 A5 | 1.973% | 1/15/2054 | 49,800 | 51,798,026 | ||||||||||
BHMS 2018-ATLS A† | 1.409% (1 Mo. LIBOR + 1.25% | )# | 7/15/2035 | 13,489 | 13,163,649 | |||||||||
BX Commercial Mortgage Trust 2020-VIV4 A† | 2.843% | 3/9/2044 | 9,445 | 9,779,581 | ||||||||||
CF Trust 2019-BOSS A1† | 4.75% (1 Mo. LIBOR + 3.25% | )# | 12/15/2021 | 18,200 | 16,851,436 | (d) | ||||||||
Citigroup Commercial Mortgage Trust 2016-P3 D† | 2.804% | #(l) | 4/15/2049 | 9,991 | 6,790,126 | |||||||||
COMM Mortgage Trust 2014-UBS5 AM | 4.193% | #(l) | 9/10/2047 | 17,906 | 19,704,658 | |||||||||
COMM Mortgage Trust 2020-SBX A† | 1.67% | 1/10/2038 | 7,500 | 7,769,870 | ||||||||||
COMM Mortgage Trust 2020-SBX C† | 2.056% | #(l) | 1/10/2038 | 5,900 | 6,124,911 | |||||||||
COMM Mortgage Trust 2020-SBX D† | 2.321% | #(l) | 1/10/2038 | 8,000 | 8,269,308 | |||||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 D† | 1.759% (1 Mo. LIBOR + 1.60% | )# | 5/15/2036 | 14,076 | 13,970,571 | |||||||||
Credit Suisse Mortgage Capital Certificates 2020-AFC1 A1† | 2.24% | #(l) | 2/25/2050 | 17,413 | 17,720,472 |
42 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||||
Deephaven Residential Mortgage Trust 2020-1 A1† | 2.339% | #(l) | 1/25/2060 | $ | 10,600 | $ | 10,743,097 | |||||||
GCAT Trust 2020-NQM1 A1† | 2.247% | 1/25/2060 | 8,155 | 8,363,582 | ||||||||||
Great Wolf Trust 2019-WOLF A† | 1.193% (1 Mo. LIBOR + 1.03% | )# | 12/15/2036 | 53,981 | 52,913,132 | |||||||||
Great Wolf Trust 2019-WOLF D† | 2.092% (1 Mo. LIBOR + 1.93% | )# | 12/15/2036 | 9,445 | 8,827,325 | |||||||||
GS Mortgage Securities Trust 2020-GSA2 A5 | 2.012% | 12/12/2053 | 47,240 | 48,958,194 | ||||||||||
GS Mortgage Securities Trust 2020-GSA2 E | 2.25% | 12/12/2053 | 9,450 | 7,440,148 | ||||||||||
Hilton Orlando Trust 2018-ORL A† | 0.929% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | 9,443 | 9,278,720 | |||||||||
HPLY Trust 2019-HIT A† | 1.159% (1 Mo. LIBOR + 1.00% | )# | 11/15/2036 | 17,133 | 16,898,731 | |||||||||
JPMCC Commercial Mortgage Securities Trust 2017-JP5 | 3.871% | #(l) | 3/15/2050 | 8,806 | 9,341,887 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK A† | 3.392% | 6/5/2032 | 18,000 | 18,023,819 | ||||||||||
New Residential Mortgage Loan Trust 2020-NQM1 A1† | 2.464% | #(l) | 1/26/2060 | 6,712 | 6,871,475 | |||||||||
One New York Plaza Trust 2020-1NYP B† | 1.659% (1 Mo. LIBOR + 1.50% | )# | 1/15/2026 | 9,400 | 9,438,715 | |||||||||
One New York Plaza Trust 2020-1NYP C† | 2.359% (1 Mo. LIBOR + 2.20% | )# | 1/15/2026 | 23,620 | 23,733,114 | |||||||||
One New York Plaza Trust 2020-1NYP D† | 2.909% (1 Mo. LIBOR + 2.75% | )# | 1/15/2026 | 8,500 | 8,547,162 | |||||||||
PFP Ltd. 2019-6 A† | 1.203% (1 Mo. LIBOR + 1.05% | )# | 4/14/2037 | 25,000 | 24,735,891 | |||||||||
PFP Ltd. 2019-6 C† | 2.253% (1 Mo. LIBOR + 2.10% | )# | 4/14/2037 | 27,054 | 26,150,075 | |||||||||
Residential Mortgage Loan Trust 2020-1 A1† | 2.376% | #(l) | 2/25/2024 | 5,044 | 5,151,263 | |||||||||
Starwood Mortgage Residential Trust 2020-1 A1† | 2.275% | #(l) | 2/25/2050 | 10,196 | 10,433,240 | |||||||||
Verus Securitization Trust 2020-1 A1† | 2.417% | 1/25/2060 | 11,947 | 12,184,679 | ||||||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||||||
2020-SDAL A† | 1.169% (1 Mo. LIBOR + 1.01% | )# | 2/15/2037 | 9,878 | 9,550,988 | |||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $684,404,185) | 686,674,483 |
See Notes to Financial Statements. | 43 |
Schedule of Investments (continued)
December 31, 2020
Investments | Dividend Rate | Shares (000) | Fair Value | |||||||||||
PREFERRED STOCKS 0.06% | ||||||||||||||
Transportation: Infrastructure/Services | ||||||||||||||
ACBL Holdings Corp. Series A | Zero Coupon | 167 | $ | 4,594,095 | (d) | |||||||||
ACBL Holdings Corp. Series B | Zero Coupon | 205 | 7,074,880 | (d) | ||||||||||
Total Preferred Stocks (cost $9,303,175) | 11,668,975 | |||||||||||||
Exercise Price | Expiration Date | |||||||||||||
WARRANT 0.00% | ||||||||||||||
Personal & Household Products | ||||||||||||||
Remington Outdoor Co., Inc. (cost $871,457) | $ | 35.05 | 5/22/2022 | 165 | – | (c) | ||||||||
Total Long-Term Investments (cost $18,118,150,511) | 19,844,981,594 | |||||||||||||
Principal Amount (000) | ||||||||||||||
SHORT-TERM INVESTMENTS 1.59% | ||||||||||||||
REPURCHASE AGREEMENT 1.47% | ||||||||||||||
Repurchase Agreement dated 12/31/2020, 0.00% due 1/4/2021 with Fixed Income Clearing Corp. collateralized by $303,034,600 of U.S. Treasury Note at 0.125% due 12/31/2022; value: $303,034,600; proceeds: $297,092,679 (cost $297,092,679) | $ | 297,093 | 297,092,679 | |||||||||||
Shares | ||||||||||||||
Money Market Fund 0.11% | ||||||||||||||
Fidelity Government Portfolio(m) (cost $22,180,862) | 22,180,862 | 22,180,862 | ||||||||||||
Time Deposit 0.01% | ||||||||||||||
CitiBank N.A.(m) (cost $2,464,541) | 2,464,541 | 2,464,541 | ||||||||||||
Total Short-Term Investments (cost $321,738,082) | 321,738,082 | |||||||||||||
Total Investments in Securities 99.34% (cost $18,439,888,593) | 20,166,719,676 | |||||||||||||
Cash and Other Assets in Excess of Liabilities(n) 0.66% | 134,413,423 | |||||||||||||
Net Assets 100.00% | $ | 20,301,133,099 |
44 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
AUD | Australian dollar. | |
EUR | Euro. | |
GBP | British pound. | |
JPY | Japanese yen. | |
ADR | American Depositary Receipt. | |
CMT | Constant Maturity Rate. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
SOFR | Secured Over Night Financing Rate. |
† | 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 December 31, 2020, the total value of Rule 144A securities was $8,589,332,161, which represents 42.31% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at December 31, 2020. | |
* | Non-income producing security. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | All or a portion of this security is temporarily on loan to unaffiliated broker/dealers. | |
(c) | Level 3 Investment as described in Note 2(o) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(d) | 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. | |
(e) | Investment in non-U.S. dollar denominated securities. | |
(f) | 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 December 31, 2020. | |
(g) | Interest rate to be determined. | |
(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) | Security is perpetual in nature and has no stated maturity. | |
(j) | Defaulted (non-income producing security). | |
(k) | Securities purchased on a when-issued basis (See Note 2(l)). | |
(l) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(m) | Security was purchased with the cash collateral from loaned securities. | |
(n) | Cash and Other Assets in Excess Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swap contracts as follows: |
Centrally Cleared Credit Default Swaps on Indexes - Buy Protection at December 31, 2020(1):
Referenced Index | Central Clearingparty | Fund Pays (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Depreciation(3) | |||||||||||||||
Markit CDX. NA.IG.34(4)(5) | Credit Suisse | 1.00% | 6/20/2025 | $ | 319,440,000 | $ | 324,663,911 | $ | (2,329,425 | ) | $ | (2,894,486 | ) | |||||||||
Markit CDX. NA.IG.35(4)(5) | Credit Suisse | 1.00% | 12/20/2025 | 872,100,000 | 893,467,566 | (19,774,126 | ) | (1,593,440 | ) | |||||||||||||
Markit CDX. EM.34(4)(6) | Credit Suisse | 1.00% | 12/20/2025 | 115,675,000 | 112,898,705 | 3,639,405 | (863,110 | ) | ||||||||||||||
Total | $ | (18,464,146 | ) | $ | (5,351,036 | ) |
(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. |
See Notes to Financial Statements. | 45 |
Schedule of Investments (continued)
December 31, 2020
(2) | Upfront payments received by Central Clearingparty are presented net of amortization. | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $5,351,036. | |
(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 emerging market securities. |
Open Forward Foreign Currency Exchange Contracts at December 31, 2020:
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 | State Street Bank and Trust | 2/26/2021 | 40,285,000 | $ | 29,529,445 | $ | 31,072,525 | $ | (1,543,080 | ) | |||||||||
Euro | Sell | J.P. Morgan | 3/4/2021 | 170,000,000 | 206,083,350 | 207,958,158 | (1,874,808 | ) | ||||||||||||
Euro | Sell | State Street Bank and Trust | 3/4/2021 | 3,270,000 | 3,973,331 | 4,000,136 | (26,805 | ) | ||||||||||||
British pound | Sell | Bank of America | 3/8/2021 | 1,281,000 | 1,745,647 | 1,752,465 | (6,818 | ) | ||||||||||||
British pound | Sell | Bank of America | 3/8/2021 | 1,867,000 | 2,521,512 | 2,554,139 | (32,627 | ) | ||||||||||||
British pound | Sell | Bank of America | 3/8/2021 | 1,505,000 | 2,028,385 | 2,058,907 | (30,522 | ) | ||||||||||||
British pound | Sell | Bank of America | 3/8/2021 | 1,216,574 | 1,647,117 | 1,664,327 | (17,210 | ) | ||||||||||||
British pound | Sell | Toronto Dominion Bank | 3/8/2021 | 17,528,000 | 23,568,061 | 23,979,079 | (411,018 | ) | ||||||||||||
British pound | Sell | Toronto Dominion Bank | 3/8/2021 | 1,836,000 | 2,449,022 | 2,511,729 | (62,707 | ) | ||||||||||||
Japanese yen | Sell | Morgan Stanley | 1/29/2021 | 77,822,000 | 743,421 | 753,911 | (10,490 | ) | ||||||||||||
Japanese yen | Sell | State Street Bank and Trust | 1/29/2021 | 560,000,000 | 5,306,242 | 5,425,075 | (118,833 | ) | ||||||||||||
Japanese yen | Sell | State Street Bank and Trust | 1/29/2021 | 670,000,000 | 6,422,776 | 6,490,714 | (67,938 | ) | ||||||||||||
Japanese yen | Sell | State Street Bank and Trust | 1/29/2021 | 753,400,000 | 7,192,353 | 7,298,663 | (106,310 | ) | ||||||||||||
Japanese yen | Sell | State Street Bank and Trust | 1/29/2021 | 78,500,000 | 750,520 | 760,479 | (9,959 | ) | ||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (4,319,125 | ) |
Open Futures Contracts at December 31, 2020:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 10-Year Ultra Treasury Note | March 2021 | 6,408 | Short | $ | (1,003,420,133 | ) | $ | (1,001,950,875 | ) | $ | 1,469,258 | |||||||
U.S. 2-Year Treasury Note | March 2021 | 25,760 | Long | 5,687,167,833 | 5,692,356,237 | 5,188,404 | ||||||||||||
U.S. 5-Year Treasury Note | March 2021 | 16,566 | Long | 2,086,948,418 | 2,090,033,868 | 3,085,450 | ||||||||||||
U.S. Long Bond | March 2021 | 1,574 | Short | (274,177,792 | ) | (272,597,125 | ) | 1,580,667 | ||||||||||
U.S. Ultra Treasury Bond | March 2021 | 4,094 | Short | (878,100,014 | ) | (874,324,875 | ) | 3,775,139 | ||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 15,098,918 |
46 | See Notes to Financial Statements. |
Schedule of Investments (continued)
December 31, 2020
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
Euro-Bobl | March 2021 | 49 | Short | EUR | (6,615,406 | ) | EUR | (6,623,820 | ) | $ | (10,279 | ) | ||||||
U.S. 10-Year Treasury Note | March 2021 | 3,238 | Short | $ | (446,787,918 | ) | $ | (447,096,969 | ) | (309,051 | ) | |||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (319,330 | ) |
The following is a summary of the inputs used as of December 31, 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 | $ | – | $ | 624,674,356 | $ | – | $ | 624,674,356 | ||||||||
Common Stocks | ||||||||||||||||
Auto Parts & Equipment | – | 5,159,985 | – | 5,159,985 | ||||||||||||
Media: Content | – | – | 3,716,975 | 3,716,975 | ||||||||||||
Miscellaneous | – | 4,140,930 | – | 4,140,930 | ||||||||||||
Personal & Household Products | – | 20,496,429 | 12,560,985 | 33,057,414 | ||||||||||||
Specialty Retail | 22,277,838 | 3,317,207 | – | 25,595,045 | ||||||||||||
Transportation: | ||||||||||||||||
Infrastructure/Services | – | – | 897,940 | 897,940 | ||||||||||||
Remaining Industries | 2,112,233,404 | – | – | 2,112,233,404 | ||||||||||||
Convertible Bond | – | 54,892,161 | – | 54,892,161 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Personal & Household Products | – | 34,359,619 | 234,524 | 34,594,143 | ||||||||||||
Remaining Industries | – | 881,275,090 | – | 881,275,090 | ||||||||||||
Foreign Government Obligations | – | 676,859,000 | – | 676,859,000 | ||||||||||||
High Yield Corporate Bonds | – | 386,875,205 | 1,500 | 386,876,705 | ||||||||||||
Automakers | ||||||||||||||||
Banking | – | 973,346,261 | 2,250 | 973,348,511 | ||||||||||||
Metals/Mining (Excluding Steel) | – | 357,050,479 | 19 | 357,050,498 | ||||||||||||
Telecommunications: | ||||||||||||||||
Wireline Integrated & Services | – | 488,232,171 | 1,500 | 488,233,671 | ||||||||||||
Remaining Industries | – | 11,888,342,796 | – | 11,888,342,796 | ||||||||||||
Municipal Bonds | ||||||||||||||||
Other Revenue | – | 27,267,845 | 42,177,206 | 69,445,051 | ||||||||||||
Remaining Industries | – | 526,244,461 | – | 526,244,461 | ||||||||||||
Non-Agency Commercial | ||||||||||||||||
Mortgage-Backed Securities | – | 635,774,383 | 50,900,100 | 686,674,483 | ||||||||||||
Preferred Stocks | – | – | 11,668,975 | 11,668,975 | ||||||||||||
Warrant | – | – | – | – | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreement | – | 297,092,679 | – | 297,092,679 | ||||||||||||
Money Market Fund | 22,180,862 | – | – | 22,180,862 | ||||||||||||
Time Deposit | – | 2,464,541 | – | 2,464,541 | ||||||||||||
Total | $ | 2,156,692,104 | $ | 17,887,865,598 | $ | 122,161,974 | $ | 20,166,719,676 |
See Notes to Financial Statements. | 47 |
Schedule of Investments (concluded)
December 31, 2020
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (5,351,036 | ) | – | (5,351,036 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (4,319,125 | ) | – | (4,319,125 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 15,098,918 | – | – | 15,098,918 | ||||||||||||
Liabilities | (319,330 | ) | – | – | (319,330 | ) | ||||||||||
Total | $ | 14,779,588 | $ | (9,670,161 | ) | $ | – | $ | 5,109,427 |
(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. |
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets
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 | Municipal 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) | – | – | 78,798 | – | (230,128 | ) | 17,578 | – | – | |||||||||||||||||||||||
Realized Gain (Loss) | (534,204 | ) | (4,168,224 | ) | (1,278,855 | ) | – | – | – | (3,864,293 | ) | – | ||||||||||||||||||||
Change in Unrealized Appreciation (Depreciation) | – | 5,317,947 | (1,456,827 | ) | 49,236 | 1,399,194 | (2,960,302 | ) | 6,230,093 | (1,651 | ) | |||||||||||||||||||||
Purchases | – | 1,364,869 | 5,487 | – | – | – | 9,303,175 | – | ||||||||||||||||||||||||
Sales | (6,418,606 | ) | – | (37,738,965 | ) | (49,236 | ) | – | – | – | – | |||||||||||||||||||||
Transfers into Level 3 | – | 135,092 | – | – | 41,008,140 | – | – | – | ||||||||||||||||||||||||
Transfers out of Level 3 | (3,488,729 | ) | – | (63,553,539 | ) | – | – | – | – | – | ||||||||||||||||||||||
Balance as of December 31, 2020 | $ | – | $ | 17,175,900 | $ | 234,524 | $ | 5,269 | $ | 42,177,206 | $ | 50,900,100 | $ | 11,668,975 | $ | – | ||||||||||||||||
Change in unrealized appreciation/depreciation for the year ended December 31, 2020, related to Level 3 investments held at December 31, 2020 | $ | – | $ | 1,183,069 | $ | (619,387 | ) | $ | 49,236 | $ | 1,399,194 | $ | (2,960,302 | ) | $ | 2,365,800 | $ | (1,651 | ) |
48 | See Notes to Financial Statements. |
Statement of Assets and Liabilities
December 31, 2020
ASSETS: | ||||
Investments in securities, at fair value including $23,546,853 of securities loaned (cost $18,439,888,593) | $ | 20,166,719,676 | ||
Cash | 41,603,410 | |||
Deposits with brokers for futures collateral | 54,342,236 | |||
Deposits with brokers for forwards and swaps collateral | 25,712,080 | |||
Receivables: | ||||
Interest and dividends | 205,351,749 | |||
Capital shares sold | 136,694,047 | |||
Investment securities sold | 38,526,596 | |||
Securities lending income receivable | 51,361 | |||
Prepaid expenses and other assets | 401,827 | |||
Total assets | 20,669,402,982 | |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 225,755,559 | |||
Capital shares reacquired | 36,259,997 | |||
Management fee | 7,189,793 | |||
Variation margin on futures contracts | 5,770,370 | |||
12b-1 distribution plan | 3,042,680 | |||
Directors’ fees | 1,939,763 | |||
Fund administration | 674,512 | |||
Variation margin for centrally cleared credit default swap agreements | 632,891 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 4,319,125 | |||
Payable for collateral due to broker for securities lending | 24,645,403 | |||
Interest payable | 70,080 | |||
Distributions payable | 55,346,779 | |||
Accrued expenses and other liabilities | 2,622,931 | |||
Total liabilities | 368,269,883 | |||
Commitments and contingent liabilities | ||||
NET ASSETS | $ | 20,301,133,099 | ||
COMPOSITION OF NET ASSETS: | ||||
Paid-in capital | $ | 19,251,153,351 | ||
Total distributable earnings (loss) | 1,049,979,748 | |||
Net Assets | $ | 20,301,133,099 |
See Notes to Financial Statements. | 49 |
Statement of Assets and Liabilities (concluded)
December 31, 2020
Net assets by class: | ||||
Class A Shares | $ | 5,877,018,289 | ||
Class C Shares | $ | 1,197,178,276 | ||
Class F Shares | $ | 7,838,613,652 | ||
Class F3 Shares | $ | 2,989,746,840 | ||
Class I Shares | $ | 1,782,403,739 | ||
Class P Shares | $ | 14,103,686 | ||
Class R2 Shares | $ | 5,222,015 | ||
Class R3 Shares | $ | 232,103,382 | ||
Class R4 Shares | $ | 61,182,634 | ||
Class R5 Shares | $ | 22,721,848 | ||
Class R6 Shares | $ | 280,838,738 | ||
Outstanding shares by class: | ||||
Class A Shares (1.8 billion shares of common stock authorized, $.001 par value) | 699,021,048 | |||
Class C Shares (600 million shares of common stock authorized, $.001 par value) | 142,022,799 | |||
Class F Shares (2.25 billion shares of common stock authorized, $.001 par value) | 933,715,001 | |||
Class F3 Shares (900 million shares of common stock authorized, $.001 par value) | 357,248,192 | |||
Class I Shares (900 million shares of common stock authorized, $.001 par value) | 213,165,534 | |||
Class P Shares (160 million shares of common stock authorized, $.001 par value) | 1,639,802 | |||
Class R2 Shares (478 million shares of common stock authorized, $.001 par value) | 621,044 | |||
Class R3 Shares (478 million shares of common stock authorized, $.001 par value) | 27,652,289 | |||
Class R4 Shares (478 million shares of common stock authorized, $.001 par value) | 7,274,860 | |||
Class R5 Shares (478 million shares of common stock authorized, $.001 par value) | 2,714,173 | |||
Class R6 Shares (478 million shares of common stock authorized, $.001 par value) | 33,563,100 | |||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||
Class A Shares-Net asset value | $8.41 | |||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $8.60 | |||
Class C Shares-Net asset value | $8.43 | |||
Class F Shares-Net asset value | $8.40 | |||
Class F3 Shares-Net asset value | $8.37 | |||
Class I Shares-Net asset value | $8.36 | |||
Class P Shares-Net asset value | $8.60 | |||
Class R2 Shares-Net asset value | $8.41 | |||
Class R3 Shares-Net asset value | $8.39 | |||
Class R4 Shares-Net asset value | $8.41 | |||
Class R5 Shares-Net asset value | $8.37 | |||
Class R6 Shares-Net asset value | $8.37 |
50 | See Notes to Financial Statements. |
For the Year Ended December 31, 2020
Investment income: | ||||
Dividends (net of foreign withholding taxes of $35,997) | $ | 7,031,854 | ||
Securities lending net income | 129,211 | |||
Interest and other | 763,120,794 | |||
Total investment income | 770,281,859 | |||
Expenses: | ||||
Management fee | 74,983,480 | |||
12b-1 distribution plan-Class A | 10,487,560 | |||
12b-1 distribution plan-Class C | 10,282,434 | |||
12b-1 distribution plan-Class F | 6,455,217 | |||
12b-1 distribution plan-Class P | 65,420 | |||
12b-1 distribution plan-Class R2 | 33,665 | |||
12b-1 distribution plan-Class R3 | 1,028,667 | |||
12b-1 distribution plan-Class R4 | 150,844 | |||
Shareholder servicing | 12,458,515 | |||
Fund administration | 6,973,348 | |||
Reports to shareholders | 1,373,583 | |||
Registration | 1,311,909 | |||
Directors’ fees | 604,465 | |||
Professional | 275,639 | |||
Custody | 241,311 | |||
Other | 338,411 | |||
Gross expenses | 127,064,468 | |||
Expense reductions (See Note 10) | (107,874 | ) | ||
Fees waived and expenses reimbursed (See Note 3) | (241,311 | ) | ||
Net expenses | 126,715,283 | |||
Net investment income | 643,566,576 | |||
Net realized and unrealized gain (loss): | ||||
Net realized gain (loss) on investments | (58,075,124 | ) | ||
Net realized gain (loss) on futures contracts | (193,114,415 | ) | ||
Net realized gain (loss) on forward foreign currency exchange contracts | (15,575,276 | ) | ||
Net realized gain (loss) on swap contracts | (51,155,476 | ) | ||
Net realized gain (loss) on foreign currency related transactions | 6,415,649 | |||
Net change in unrealized appreciation/depreciation on investments | 1,106,461,068 | |||
Net change in unrealized appreciation/depreciation on futures contracts | (45,911,301 | ) | ||
Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts | (8,337,845 | ) | ||
Net change in unrealized appreciation/depreciation on swap contracts | (20,291,034 | ) | ||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | 65,760 | |||
Net change in unrealized appreciation/depreciation on unfunded commitments | 15,712 | |||
Net realized and unrealized gain (loss) | 720,497,718 | |||
Net Increase in Net Assets Resulting From Operations | $ | 1,364,064,294 |
See Notes to Financial Statements. | 51 |
Statements of Changes in Net Assets
INCREASE IN NET ASSETS | For the Year Ended December 31, 2020 | For the Year Ended December 31, 2019 | ||||||
Operations: | ||||||||
Net investment income | $ | 643,566,576 | $ | 555,633,659 | ||||
Net realized gain (loss) on investments, futures contracts, forward foreign currency exchange contracts, swaps and foreign currency related transactions | (311,504,642 | ) | (147,604,828 | ) | ||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward foreign currency exchange contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | 1,032,002,360 | 1,302,142,172 | ||||||
Net increase in net assets resulting from operations | 1,364,064,294 | 1,710,171,003 | ||||||
Distributions to shareholders: | ||||||||
Class A | (205,376,467 | ) | (194,859,155 | ) | ||||
Class C | (40,107,893 | ) | (45,095,077 | ) | ||||
Class F | (257,451,494 | ) | (195,649,540 | ) | ||||
Class F3 | (103,182,409 | ) | (81,839,796 | ) | ||||
Class I | (62,022,180 | ) | (48,283,037 | ) | ||||
Class P | (536,264 | ) | (685,754 | ) | ||||
Class R2 | (199,665 | ) | (250,541 | ) | ||||
Class R3 | (7,457,428 | ) | (6,586,870 | ) | ||||
Class R4 | (2,344,872 | ) | (1,241,702 | ) | ||||
Class R5 | (858,625 | ) | (1,390,615 | ) | ||||
Class R6 | (9,237,267 | ) | (6,028,037 | ) | ||||
Total distributions to shareholders | (688,774,564 | ) | (581,910,124 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 16): | ||||||||
Net proceeds from sales of shares | 8,046,302,557 | 5,924,604,430 | ||||||
Reinvestment of distributions | 610,268,377 | 514,580,185 | ||||||
Cost of shares reacquired | (5,516,859,033 | ) | (3,260,013,600 | ) | ||||
Net increase in net assets resulting from capital share transactions | 3,139,711,901 | 3,179,171,015 | ||||||
Net increase in net assets | 3,815,001,631 | 4,307,431,894 | ||||||
NET ASSETS: | ||||||||
Beginning of year | $ | 16,486,131,468 | $ | 12,178,699,574 | ||||
End of year | $ | 20,301,133,099 | $ | 16,486,131,468 |
52 | See Notes to Financial Statements. |
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53
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment oper- ations | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
12/31/2020 | $ | 8.13 | $ | 0.29 | $ | 0.30 | $ | 0.59 | $ | (0.31 | ) | $ | – | $ | (0.31 | ) | ||||||||||||
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 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
12/31/2020 | 8.16 | 0.24 | 0.29 | 0.53 | (0.26 | ) | – | (0.26 | ) | |||||||||||||||||||
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 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
12/31/2020 | 8.12 | 0.29 | 0.31 | 0.60 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
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 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
12/31/2020 | 8.10 | 0.31 | 0.29 | 0.60 | (0.33 | ) | – | (0.33 | ) | |||||||||||||||||||
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(c) | 8.01 | 0.25 | 0.27 | 0.52 | (0.27 | ) | (0.05 | ) | (0.32 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
12/31/2020 | 8.09 | 0.30 | 0.29 | 0.59 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
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 | ) | |||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
12/31/2020 | 8.32 | 0.28 | 0.30 | 0.58 | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||||
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 | ) |
54 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reim- bursements (%) | Total expenses (%) | Net investment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 8.41 | 7.60 | 0.78 | 0.78 | 3.65 | $ | 5,877,018 | 109 | ||||||||||||||||||
8.13 | 13.37 | 0.79 | 0.79 | 3.90 | 5,246,570 | 217 | ||||||||||||||||||||
7.47 | (3.79 | ) | 0.79 | 0.79 | 4.11 | 4,252,132 | 147 | |||||||||||||||||||
8.25 | 9.21 | 0.81 | 0.81 | 4.10 | 4,491,809 | 113 | ||||||||||||||||||||
7.93 | 12.35 | 0.81 | 0.81 | 4.57 | 4,263,801 | 119 | ||||||||||||||||||||
8.43 | 6.77 | 1.42 | 1.42 | 3.02 | 1,197,178 | 109 | ||||||||||||||||||||
8.16 | 12.77 | 1.42 | 1.42 | 3.28 | 1,328,321 | 217 | ||||||||||||||||||||
7.49 | (4.38 | ) | 1.43 | 1.43 | 3.46 | 1,296,749 | 147 | |||||||||||||||||||
8.27 | 8.52 | 1.43 | 1.43 | 3.49 | 1,872,830 | 113 | ||||||||||||||||||||
7.95 | 11.63 | 1.44 | 1.44 | 3.95 | 1,892,905 | 119 | ||||||||||||||||||||
8.40 | 7.57 | 0.68 | 0.68 | 3.73 | 7,838,614 | 109 | ||||||||||||||||||||
8.12 | 13.64 | 0.69 | 0.69 | 3.97 | 5,743,483 | 217 | ||||||||||||||||||||
7.46 | (3.83 | ) | 0.69 | 0.69 | 4.20 | 3,827,057 | 147 | |||||||||||||||||||
8.24 | 9.32 | 0.71 | 0.71 | 4.16 | 3,793,021 | 113 | ||||||||||||||||||||
7.92 | 12.46 | 0.71 | 0.71 | 4.65 | 2,607,811 | 119 | ||||||||||||||||||||
8.37 | 7.77 | 0.50 | 0.50 | 3.91 | 2,989,747 | 109 | ||||||||||||||||||||
8.10 | 13.86 | 0.52 | 0.52 | 4.14 | 2,290,420 | 217 | ||||||||||||||||||||
7.43 | (3.57 | ) | 0.52 | 0.52 | 4.37 | 1,533,935 | 147 | |||||||||||||||||||
8.21 | 6.55 | (d) | 0.53 | (e) | 0.53 | (e) | 4.06 | (e) | 1,093,748 | 113 | ||||||||||||||||
8.36 | 7.69 | 0.58 | 0.58 | 3.84 | 1,782,404 | 109 | ||||||||||||||||||||
8.09 | 13.80 | 0.59 | 0.59 | 4.07 | 1,401,118 | 217 | ||||||||||||||||||||
7.43 | (3.77 | ) | 0.59 | 0.59 | 4.30 | 927,024 | 147 | |||||||||||||||||||
8.21 | 9.44 | 0.61 | 0.61 | 4.25 | 1,039,534 | 113 | ||||||||||||||||||||
7.89 | 12.62 | 0.61 | 0.61 | 4.77 | 450,661 | 119 | ||||||||||||||||||||
8.60 | 7.25 | 1.03 | 1.03 | 3.42 | 14,104 | 109 | ||||||||||||||||||||
8.32 | 13.16 | 1.04 | 1.04 | 3.67 | 16,727 | 217 | ||||||||||||||||||||
7.64 | (4.00 | ) | 0.95 | 0.95 | 3.94 | 17,453 | 147 | |||||||||||||||||||
8.44 | 9.18 | 0.86 | 0.86 | 4.07 | 32,370 | 113 | ||||||||||||||||||||
8.11 | 12.27 | 0.87 | 0.87 | 4.53 | 36,825 | 119 |
See Notes to Financial Statements. | 55 |
Financial Highlights (concluded)
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment oper- ations | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
12/31/2020 | $ | 8.13 | $ | 0.26 | $ | 0.30 | $ | 0.56 | $ | (0.28 | ) | $ | – | $ | (0.28 | ) | ||||||||||||
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 | ) | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
12/31/2020 | 8.12 | 0.27 | 0.29 | 0.56 | (0.29 | ) | – | (0.29 | ) | |||||||||||||||||||
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 | ) | |||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
12/31/2020 | 8.14 | 0.29 | 0.29 | 0.58 | (0.31 | ) | – | (0.31 | ) | |||||||||||||||||||
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 | ) | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
12/31/2020 | 8.10 | 0.30 | 0.29 | 0.59 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
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 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
12/31/2020 | 8.09 | 0.31 | 0.30 | 0.61 | (0.33 | ) | – | (0.33 | ) | |||||||||||||||||||
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 | ) |
(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) | Commenced on April 4, 2017. |
(d) | Not annualized. |
(e) | Annualized. |
56 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reim- bursements (%) | Total expenses (%) | Net investment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 8.41 | 7.17 | 1.18 | 1.18 | 3.28 | $ | 5,222 | 109 | ||||||||||||||||||
8.13 | 12.93 | 1.19 | 1.19 | 3.52 | 6,688 | 217 | ||||||||||||||||||||
7.47 | (4.17 | ) | 1.19 | 1.19 | 3.71 | 6,460 | 147 | |||||||||||||||||||
8.25 | 8.78 | 1.21 | 1.21 | 3.68 | 9,066 | 113 | ||||||||||||||||||||
7.93 | 11.91 | 1.21 | 1.21 | 4.05 | 5,324 | 119 | ||||||||||||||||||||
8.39 | 7.16 | 1.08 | 1.08 | 3.36 | 232,103 | 109 | ||||||||||||||||||||
8.12 | 13.20 | 1.09 | 1.09 | 3.60 | 201,289 | 217 | ||||||||||||||||||||
7.46 | (4.21 | ) | 1.09 | 1.09 | 3.81 | 152,743 | 147 | |||||||||||||||||||
8.24 | 8.90 | 1.10 | 1.10 | 3.80 | 151,842 | 113 | ||||||||||||||||||||
7.92 | 12.03 | 1.11 | 1.11 | 4.19 | 128,317 | 119 | ||||||||||||||||||||
8.41 | 7.41 | 0.83 | 0.83 | 3.61 | 61,183 | 109 | ||||||||||||||||||||
8.14 | 13.46 | 0.84 | 0.84 | 3.80 | 48,229 | 217 | ||||||||||||||||||||
7.47 | (3.83 | ) | 0.84 | 0.84 | 4.09 | 18,847 | 147 | |||||||||||||||||||
8.25 | 9.16 | 0.86 | 0.86 | 3.98 | 8,420 | 113 | ||||||||||||||||||||
7.93 | 12.29 | 0.86 | 0.86 | 4.40 | 2,072 | 119 | ||||||||||||||||||||
8.37 | 7.70 | 0.58 | 0.58 | 3.85 | 22,722 | 109 | ||||||||||||||||||||
8.10 | 13.79 | 0.59 | 0.59 | 4.13 | 16,505 | 217 | ||||||||||||||||||||
7.43 | (3.63 | ) | 0.59 | 0.59 | 4.32 | 30,204 | 147 | |||||||||||||||||||
8.21 | 9.46 | 0.61 | 0.61 | 4.29 | 27,302 | 113 | ||||||||||||||||||||
7.86 | 12.62 | 0.61 | 0.61 | 2.70 | 386 | 119 | ||||||||||||||||||||
8.37 | 7.91 | 0.50 | 0.50 | 3.92 | 280,839 | 109 | ||||||||||||||||||||
8.09 | 13.73 | 0.52 | 0.52 | 4.16 | 186,784 | 217 | ||||||||||||||||||||
7.43 | (3.56 | ) | 0.52 | 0.52 | 4.39 | 116,094 | 147 | |||||||||||||||||||
8.21 | 9.54 | 0.52 | 0.52 | 4.31 | 69,028 | 113 | ||||||||||||||||||||
7.89 | 12.56 | 0.53 | 0.53 | 4.83 | 15,346 | 119 |
See Notes to Financial Statements. | 57 |
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. Exchange |
58
Notes to Financial Statements (continued)
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. Fixed income securities are valued based on evaluated prices supplied by independent pricing services, which reflect broker/dealer supplied valuations and the independent pricing services’ own electronic data processing techniques. Floating rate loans are valued at the average of bid and ask quotations obtained from dealers in loans on the basis of prices supplied by independent pricing services. Exchange traded options and futures contracts are valued at the last quoted sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available. | |
Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values, yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and may employ techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. | |
Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. | |
(b) | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
(c) | Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other 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, 2017 through December 31, 2020. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. |
59
Notes to Financial Statements (continued)
(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. In addition, Class F3 and R6 bear only their class specific shareholder servicing expenses. 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. |
(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 forward 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 forward foreign currency in U.S. dollars upon closing of such contracts is included, if applicable, in Net realized gain (loss) on forward 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. |
60
Notes to Financial Statements (continued)
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 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. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statement of Assets and Liabilities. 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 |
61
Notes to Financial Statements (continued)
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 its counterparty. |
(l) | When-Issued, Forward Transactions or To-Be-Announced (“TBA”) Transactions–The Fund may purchase portfolio securities on a when-issued or forward basis. When-issued, forward transactions or TBA transactions involve a commitment by 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 |
62
Notes to Financial Statements (continued)
pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or London InterBank Offered Rate (“LIBOR”). | |
The loans in which the Fund invests may be subject to some restrictions on resale. For example, the Fund may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the Borrower. As a result, the Fund assumes the credit risk of the Borrower, the selling participant and any other persons interpositioned between the Fund and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, the Fund may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest. | |
Unfunded commitments represent the remaining obligation of the Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statement of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments, if any, on the Statement of Assets and Liabilities represents mark to market of the unfunded portion of the Fund’s floating rate notes. As of December 31, 2020, the Fund had no unfunded loan commitments. | |
(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 December 31, 2020 and, if applicable, Level 3 rollforwards for the fiscal year then ended is included in the Fund’s Schedule of Investments.
63
Notes to Financial Statements (continued)
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 provides the Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of the Fund’s investment portfolio.
The management fee is based on the Fund’s average daily net assets at the following annual rate:
First $500 million | .50% | |
Next $9.5 billion | .45% | |
Over $10 billion | .40% |
For the fiscal year ended December 31, 2020, the effective management fee was at an annualized rate of .43% 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. Lord Abbett voluntarily waived $241,311 of fund administration fees during the fiscal year ended December 31, 2020.
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 fiscal year ended December 31, 2020:
Distributor Commissions | Dealers’ Concessions | |||||
$671,675 | $4,212,027 |
Distributor received CDSCs of $181,989 and $225,298 for Class A and Class C shares, respectively, for the fiscal year ended December 31, 2020.
64
Notes to Financial Statements (continued)
One Director and certain of the Fund’s officers have an interest in Lord Abbett.
4. | DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS |
Dividends from net investment income, if any, are declared daily and paid monthly. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.
The tax character of distributions paid during the fiscal years ended December 31, 2020 and 2019 were as follows:
Year Ended 12/31/2020 | Year Ended 12/31/2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 688,774,564 | $ | 581,910,124 | ||||
Total distributions paid | $ | 688,774,564 | $ | 581,910,124 |
As of December 31, 2020, the components of accumulated gains on a tax-basis were as follows:
Capital loss carryforwards* | $ | (614,891,307 | ) | |
Temporary differences | (7,944,459 | ) | ||
Unrealized gains – net | 1,672,815,514 | |||
Total accumulated gains - net | $ | 1,049,979,748 |
* | The capital losses will carry forward indefinitely. |
As of December 31, 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 | $ | 18,499,108,487 | ||
Gross unrealized gain | 1,873,371,516 | |||
Gross unrealized loss | (200,650,900 | ) | ||
Net unrealized security gain | $ | 1,672,720,616 |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of certain securities, other financial instruments, amortization of premium and wash sales.
65
Notes to Financial Statements (continued)
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the fiscal year ended December 31, 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 | $16,234,646,821 | $6,288,767,872 | $12,422,745,356 |
* | Included 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 fiscal year ended December 31, 2020, the Fund engaged in cross-trades purchases of $89,581,002 and sales of $261,440,961 which resulted in net realized gains of $11,544,409.
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
The Fund entered into forward foreign currency exchange contracts for the fiscal year ended December 31, 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 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 fiscal year ended December 31, 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 fiscal year ended December 31, 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
66
Notes to Financial Statements (continued)
through a central clearinghouse. As a counterparty to all centrally cleared credit default swaps, the clearinghouse guarantees credit default swaps against default.
As of December 31, 2020, the Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Fund’s use of derivative instruments:
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||
Futures Contracts(1) | $ | 15,098,918 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Centrally Cleared Credit Default Swap Contracts(2) | – | – | $ | 5,351,036 | ||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 4,319,125 | – | ||||||||
Futures Contracts(1) | $ | 319,330 | – | – |
(1) | 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. |
(2) | 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. |
(3) | Statement of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
Transactions in derivative instruments for the year ended December 31, 2020, were as follows:
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swap Contracts(1) | – | – | $ | (51,155,476 | ) | |||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (15,575,276 | ) | – | |||||||
Futures Contracts(3) | $ | (193,114,415 | ) | – | – | |||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | (20,291,034 | ) | |||||||
Forward Foreign Currency Exchange Contracts(5) | – | $ | (8,337,845 | ) | – | |||||||
Futures Contracts(6) | $ | (45,911,301 | ) | – | – | |||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swap Contracts(7) | – | – | 1,378,855,280 | |||||||||
Forward Foreign Currency Exchange Contracts(8) | – | $ | 317,360,684 | – | ||||||||
Futures Contracts(7) | 44,097 | – | – |
* | Calculated based on the number of contracts or notional amounts for the fiscal year ended December 31, 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 number of contracts. |
(8) | Amount represents notional amounts in U.S. dollars. |
67
Notes to Financial Statements (continued)
7. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board (“FASB”) requires disclosures intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. The following tables illustrate gross and net information about recognized assets and liabilities eligible for offset in the Statement of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between the Fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Fund’s accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty:
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Repurchase Agreement | $297,092,679 | $ – | $ | 297,092,679 | ||||||||
Total | $297,092,679 | $ – | $ | 297,092,679 |
Net Amounts of Assets Presented in | Amounts Not Offset in the Statement of Assets and Liabilities | |||||||||||||||||||
Counterparty | the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Securities Collateral Received(a) | Net Amount(b) | |||||||||||||||
Fixed Income Clearing Corp. | $297,092,679 | $ – | $ – | $(297,092,679 | ) | $ – | ||||||||||||||
Total | $297,092,679 | $ – | $ – | $(297,092,679 | ) | $ – |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | |||||||||
Forward Foreign Currency Exchange Contracts | $4,319,125 | $ – | $4,319,125 | |||||||||
Total | $4,319,125 | $ – | $4,319,125 |
Net Amounts of Liabilities Presented in | Amounts Not Offset in the Statement of Assets and Liabilities | |||||||||||||||||||
Counterparty | the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged(a) | Securities Collateral Pledged(a) | Net Amount(c) | |||||||||||||||
Bank of America | $ 87,177 | $ – | $ – | $ – | $ 87,177 | |||||||||||||||
J.P. Morgan | 1,874,808 | – | (1,874,808 | ) | – | – | ||||||||||||||
Morgan Stanley | 10,490 | – | (10,000 | ) | – | 490 | ||||||||||||||
State Street Bank and Trust | 1,872,925 | – | (1,760,000 | ) | – | 112,925 | ||||||||||||||
Toronto Dominion Bank | 473,725 | – | (360,000 | ) | – | 113,725 | ||||||||||||||
Total | $4,319,125 | $ – | $(4,004,808 | ) | $ – | $314,317 |
(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 December 31, 2020. |
(c) | Net amount represents the amount owed by the Fund to the counterparty as of December 31, 2020. |
68
Notes to Financial Statements (continued)
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 fiscal year ended December 31, 2020:
Affiliated Issuer | Balance of Shares Held at 12/31/2019 | Gross Additions | Gross Sales | Balance of Shares Held at 12/31/2020 | Fair Value at 12/31/2020 | Net Realized Gain 1/1/2020 to 12/31/2020(a) | Dividend Income 1/1/2020 to 12/31/2020 | Change in Appreciation (Depreciation 1/1/2020 to 12/31/2020 | ) | |||||||||||||||||||||||
Shake Shack, Inc.(b) | 1,081,328 | 1,326,389 | (1,224,128 | ) | 1,183,589 | $ | 100,344,675 | $ | (682,465 | ) | $ | – | $ | 43,482,832 |
(a) | Represents realized gains (losses) only when the issuer was an affiliate of the Fund. (b) Not an affiliated issuer as of December 31, 2020. |
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 fund. 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 August 5, 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 December 31, 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.
69
Notes to Financial Statements (continued)
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 fiscal year ended December 31, 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”), which permits 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 Fund to borrow money from and lend money to each other for temporary or emergency purposes subject to the limitations and conditions.
For the fiscal year ended December 31, 2020, the Fund did not participate as a borrower or lender in the Interfund Lending Program.
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. Any income earned from securities lending is included in Securities lending net income on the Statement of Operations.
The initial collateral received by the Fund is required to have a value equal to at least 100% of the market value of the securities loaned. The collateral must be marked-to-market daily to cover increases in the market value of the securities loaned (or potentially a decline in the value of the collateral). In general, the risk of borrower default will be borne by the Fund’s agent; the Fund will bear the risk of loss with respect to the investment of the cash collateral. The advantage of such loans is that the Fund continues to receive income on loaned securities while receiving a portion of any securities lending fees and earning returns on the cash amounts which may be reinvested for the purchase of investments in securities.
As of December 31, 2020, the market value of securities loaned and collateral received for the Fund were as follows:
Market Value of Securities Loaned | Collateral Received(1) | |||||
$23,546,853 | $24,645,403 |
(1) | Statement of Assets and Liabilities location: Payable for collateral due to broker for securities lending. |
70
Notes to Financial Statements (continued)
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.
On July 27, 2017, the head of the United Kingdom’s Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. On November 30, 2020, the administrator of LIBOR announced a delay in the phase out of a majority of the U.S. dollar LIBOR publications until June 30, 2023, with the remainder of LIBOR publications to still end at the end of 2021. There remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. As such, the potential effect of a transition away from LIBOR on the Fund or the LIBOR-based instruments in which the Fund invest cannot yet be determined. The transition process might lead to increased volatility and illiquidity in markets that currently rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based instruments. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior and/or subsequent to the end of 2021.
The Fund is subject to the risk of investing in securities issued or guaranteed by the U.S. Government or its agencies and instrumentalities (such as the Government National Mortgage Association (“Ginnie Mae”), the Federal National Mortgage Association (“Fannie Mae”), or the Federal Home Loan Mortgage Corporation (“Freddie Mac”)). Unlike Ginnie Mae securities, securities issued or guaranteed by U.S. Government-related organizations such as Fannie Mae and Freddie Mac are not backed by the full faith and credit of the U.S. Government and no assurance can be given that the U.S. Government would provide financial support to its agencies and instrumentalities if not required to do so by law. Consequently, the Fund may be required to look principally to the agency issuing or guaranteeing the obligation.
The mortgage-related and asset-backed securities in which the Fund may invest may be particularly sensitive to changes in prevailing interest rates, and economic conditions, including delinquencies and/or defaults. These changes can affect the value, income, and/or liquidity of such positions. When interest rates are declining, the value of these securities with prepayment features may not increase as much as other fixed income securities. Early principal repayment may deprive the Fund of income payments above current market rates. Alternatively, rising interest rates may cause prepayments to occur at a slower-than-expected rate, extending the duration of a security and typically reducing its value. The payment rate will thus affect the price and volatility of a mortgage-
71
Notes to Financial Statements (continued)
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 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.
72
Notes to Financial Statements (continued)
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:
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 157,828,188 | $ | 1,247,429,407 | 133,918,244 | $ | 1,069,217,883 | ||||||||||
Converted from Class C* | 27,104,298 | 215,045,790 | 26,275,240 | 209,115,573 | ||||||||||||
Reinvestment of distributions | 23,977,523 | 188,807,761 | 22,444,062 | 179,194,884 | ||||||||||||
Shares reacquired | (154,975,281 | ) | (1,201,109,809 | ) | (106,980,010 | ) | (849,818,557 | ) | ||||||||
Increase | 53,934,728 | $ | 450,173,149 | 75,657,536 | $ | 607,709,783 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 37,621,637 | $ | 299,231,798 | 43,768,575 | $ | 350,928,819 | ||||||||||
Reinvestment of distributions | 4,567,428 | 35,936,774 | 5,027,837 | 40,211,441 | ||||||||||||
Shares reacquired | (36,038,524 | ) | (280,575,914 | ) | (32,888,087 | ) | (261,619,288 | ) | ||||||||
Converted to Class A* | (27,009,701 | ) | (215,045,790 | ) | (26,206,544 | ) | (209,115,573 | ) | ||||||||
Decrease | (20,859,160 | ) | $ | (160,453,132 | ) | (10,298,219 | ) | $ | (79,594,601 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 552,538,189 | $ | 4,318,157,677 | 346,791,388 | $ | 2,762,309,640 | ||||||||||
Reinvestment of distributions | 26,035,953 | 205,019,920 | 19,369,737 | 154,501,880 | ||||||||||||
Shares reacquired | (352,095,601 | ) | (2,712,535,592 | ) | (172,184,295 | ) | (1,365,130,514 | ) | ||||||||
Increase | 226,478,541 | $ | 1,810,642,005 | 193,976,830 | $ | 1,551,681,006 | ||||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 126,591,883 | $ | 999,521,576 | 106,494,546 | $ | 845,843,853 | ||||||||||
Reinvestment of distributions | 13,162,579 | 103,289,531 | 10,303,012 | 81,952,647 | ||||||||||||
Shares reacquired | (65,428,154 | ) | (502,039,709 | ) | (40,243,536 | ) | (318,286,371 | ) | ||||||||
Increase | 74,326,308 | $ | 600,771,398 | 76,554,022 | $ | 609,510,129 |
73
Notes to Financial Statements (concluded)
Year Ended December 31, 2020 | Year Ended December 31, 2019 | |||||||||||||||
Class I Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 118,039,562 | $ | 916,994,059 | 85,849,333 | $ | 681,803,971 | ||||||||||
Reinvestment of distributions | 7,546,014 | 59,201,144 | 5,557,418 | 44,150,983 | ||||||||||||
Shares reacquired | (85,647,931 | ) | (656,056,441 | ) | (43,011,770 | ) | (338,928,271 | ) | ||||||||
Increase | 39,937,645 | $ | 320,138,762 | 48,394,981 | $ | 387,026,683 | ||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 196,791 | $ | 1,597,987 | 237,182 | $ | 1,913,910 | ||||||||||
Reinvestment of distributions | 66,369 | 533,363 | 83,645 | 682,350 | ||||||||||||
Shares reacquired | (633,738 | ) | (5,060,755 | ) | (595,234 | ) | (4,849,340 | ) | ||||||||
Decrease | (370,578 | ) | $ | (2,929,405 | ) | (274,407 | ) | $ | (2,253,080 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 275,486 | $ | 2,139,183 | 279,426 | $ | 2,219,423 | ||||||||||
Reinvestment of distributions | 19,221 | 151,092 | 19,950 | 159,371 | ||||||||||||
Shares reacquired | (495,836 | ) | (3,930,282 | ) | (342,140 | ) | (2,715,689 | ) | ||||||||
Decrease | (201,129 | ) | $ | (1,640,007 | ) | (42,764 | ) | $ | (336,895 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 6,611,968 | $ | 52,550,660 | 6,315,210 | $ | 50,436,576 | ||||||||||
Reinvestment of distributions | 948,942 | 7,452,905 | 826,117 | 6,583,665 | ||||||||||||
Shares reacquired | (4,698,977 | ) | (36,107,907 | ) | (2,839,181 | ) | (22,473,168 | ) | ||||||||
Increase | 2,861,933 | $ | 23,895,658 | 4,302,146 | $ | 34,547,073 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 5,324,778 | $ | 42,217,803 | 4,187,331 | $ | 33,496,348 | ||||||||||
Reinvestment of distributions | 197,209 | 1,551,816 | 118,504 | 949,841 | ||||||||||||
Shares reacquired | (4,174,784 | ) | (33,204,398 | ) | (901,293 | ) | (7,212,781 | ) | ||||||||
Increase | 1,347,203 | $ | 10,565,221 | 3,404,542 | $ | 27,233,408 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 1,533,274 | $ | 12,080,926 | 1,391,831 | $ | 11,010,329 | ||||||||||
Reinvestment of distributions | 106,943 | 838,962 | 173,880 | 1,380,566 | ||||||||||||
Shares reacquired | (964,294 | ) | (7,618,343 | ) | (3,589,909 | ) | (28,601,514 | ) | ||||||||
Increase (decrease) | 675,923 | $ | 5,301,545 | (2,024,198 | ) | $ | (16,210,619 | ) | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 19,643,874 | $ | 154,381,481 | 14,483,680 | $ | 115,423,678 | ||||||||||
Reinvestment of distributions | 953,284 | 7,485,109 | 605,469 | 4,812,557 | ||||||||||||
Shares reacquired | (10,110,583 | ) | (78,619,883 | ) | (7,633,285 | ) | (60,378,107 | ) | ||||||||
Increase | 10,486,575 | $ | 83,246,707 | 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. |
74
Report of Independent Registered Public Accounting Firm
To the shareholders and the Board of Directors of Lord Abbett Bond-Debenture Fund, Inc.
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Lord Abbett Bond-Debenture Fund, Inc. (the “Fund”), including the schedule of investments, as of December 31, 2020, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2020, by correspondence with the custodian, brokers and selling or agent banks; when replies were not received from brokers and selling or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
DELOITTE & TOUCHE LLP
New York, New York
February 26, 2021
We have served as the auditor of one or more Lord Abbett Family of Funds’ investment companies since 1932.
75
Basic Information About Management
The Board is responsible for the management of the business and affairs of the Fund in accordance with the laws of the state of organization. The Board elects officers who are responsible for the day-to-day operations of the Fund and who execute policies authorized by the Board. The Board also approves an investment adviser to the Fund and continues to monitor the cost and quality of the services the investment adviser provides, and annually considers whether to renew the contract with the investment adviser. Generally, each Board member holds office until his/her successor is elected and qualified or until his/her earlier resignation or removal, as provided in the Fund’s organizational documents.
Lord, Abbett & Co. LLC (“Lord Abbett”), a Delaware limited liability company, is the Fund’s investment adviser. Designated Lord Abbett personnel are responsible for the day-to-day management of the Fund.
Independent Board Members
The following Independent Board Members also are board members of each of the 13 investment companies in the Lord Abbett Family of Funds, which consist of 60 investment portfolios.
Name, Address and Year of Birth | Current Position and Length of Service with the Fund | Principal Occupation and Other Directorships During the Past Five Years | ||
Evelyn E. Guernsey Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1955) | Board member since 2011 | Principal Occupation: None.
Other Directorships: None. | ||
Julie A. Hill Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1946) | Board member since 2004 | Principal Occupation: Owner and CEO of The Hill Company, a business consulting firm (since 1998).
Other Directorships: Currently serves as director of Anthem, Inc., a health benefits company (since 1994). | ||
Kathleen M. Lutito Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1963) | Board member since 2017 | Principal Occupation: President and Chief Investment Officer of CenturyLink Investment Management Company (since 2006).
Other Directorships: None. | ||
James M. McTaggart Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1947) | Board member since 2012 | Principal Occupation: Independent management advisor and consultant (since 2012).
Other Directorships: Blyth, Inc., a home products company (2004–2015). | ||
Charles O. Prince Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1950) | Board member since 2019 | Principal Occupation: None. Formerly Chairman and Chief Executive Officer, Citigroup, Inc. (Retired 2007).
Other Directorships: Currently serves as director of Johnson & Johnson (2006–Present). Previously served as director of Xerox Corporation (2008–2018). |
76
Basic Information About Management (continued)
Name, Address and Year of Birth | Current Position and Length of Service with the Fund | Principal Occupation and Other Directorships During the Past Five Years | ||
Karla M. Rabusch Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1959) | Board member since 2017 | Principal Occupation: President and Director of Wells Fargo Funds Management, LLC (2003–2017); President of Wells Fargo Funds (2003–2016).
Other Directorships: None. | ||
Mark A. Schmid Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1959) | Board member since 2016 | Principal Occupation: Vice President and Chief Investment Officer of the University of Chicago (since 2009).
Other Directorships: None. | ||
James L.L. Tullis Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1947) | Board member since 2006; Chairman since 2017 | Principal Occupation: Chairman of Tullis Health Investors - FL LLC (since 2018); CEO of Tullis–Dickerson and Co. Inc., a venture capital management firm (1990–2016).
Other Directorships: Currently serves as director of Crane Co. (since 1998), Alphatec Spine (since 2018), electroCore, Inc. (since 2018), and Exagen Inc. (since 2019). |
Interested Board Members
Mr. Sieg is affiliated with Lord Abbett and is an “interested person” of the Fund as defined in the Act. Mr. Sieg is a board member of each of the 13 investment companies in the Lord Abbett Family of Funds, which consist of 60 investment portfolios. Mr. Sieg is an officer of the Lord Abbett Family of Funds.
Name, Address and Year of Birth | Current Position and Length of Service with the Fund | Principal Occupation and Other Directorships During the Past Five Years | ||
Douglas B. Sieg Lord, Abbett & Co. LLC 90 Hudson Street Jersey City, NJ 07302 (1969) | Board member since 2016; President and Chief Executive Officer since 2018 | Principal Occupation: Managing Partner (since 2018) and was formerly Head of Client Services, joined Lord Abbett in 1994.
Other Directorships: None. |
Officers
None of the officers listed below have received compensation from the Fund. All of the officers of the Fund also may be officers of the other Lord Abbett Funds and maintain offices at 90 Hudson Street, Jersey City, NJ 07302. Unless otherwise indicated, the position(s) and title(s) listed under the “Principal Occupation During the Past Five Years” column indicate each officer’s position(s) and title(s) with Lord Abbett. Each officer serves for an indefinite term (i.e., until his or her death, resignation, retirement, or removal).
Name and Year of Birth | Current Position with the Fund | Length of Service of Current Position | Principal Occupation During the Past Five Years | |||
Douglas B. Sieg (1969) | President and Chief Executive Officer | Elected as President and Chief Executive Officer in 2018 | Managing Partner of Lord Abbett (since 2018) and was formerly Head of Client Services, joined Lord Abbett in 1994. |
77
Basic Information About Management (concluded)
Name and Year of Birth | Current Position with the Fund | Length of Service of Current Position | Principal Occupation During the Past Five Years | |||
Jackson C. Chan (1964) | AML Compliance Officer | Elected in 2018 | Deputy Chief Compliance Officer and Director of Regulatory Affairs, joined Lord Abbett in 2014. | |||
Pamela P. Chen (1978) | Vice President, Assistant Secretary and Privacy Officer | Elected as Vice President and Assistant Secretary in 2018 and Privacy Officer in 2019 | Associate General Counsel, joined Lord Abbett in 2017 and was formerly Special Counsel at Schulte, Roth & Zabel LLP (2005–2017). | |||
John T. Fitzgerald (1975) | Vice President and Assistant Secretary | Elected in 2018 | Deputy General Counsel, joined Lord Abbett in 2018 and was formerly Deputy Head of U.S. Funds Legal, Executive Director and Assistant General Counsel at JPMorgan Chase (2005–2018). | |||
Vito A. Fronda (1969) | Chief Financial Officer and Treasurer | Elected as Chief Financial Officer in 2020 and Treasurer in 2018 | Partner and Director of U.S. Fund Treasury & Global Taxation, joined Lord Abbett in 2003. | |||
Linda Y. Kim (1980) | Vice President and Assistant Secretary | Elected in 2016 | Counsel, joined Lord Abbett in 2015. | |||
Joseph M. McGill (1962) | Chief Compliance Officer | Elected in 2014 | Partner and Chief Compliance Officer, joined Lord Abbett in 2014. | |||
Amanda S. Ryan (1978) | Vice President and Assistant Secretary | Elected in 2018 | Counsel, joined Lord Abbett in 2016 and was formerly a Director and Corporate Counsel at PGIM Investments (2012–2016). | |||
Lawrence B. Stoller (1963) | Vice President, Secretary and Chief Legal Officer | Elected as Vice President and Secretary in 2007 and Chief Legal Officer in 2019 | Partner and General Counsel, joined Lord Abbett in 2007. |
Please call 888-522-2388 for a copy of the statement of additional information, which contains further information about the Fund’s Board members. It is available free upon request.
78
Approval of Advisory Contract
The Board, including all of the Directors who are not “interested persons” of the Fund or of Lord Abbett, as defined in the Investment Company Act of 1940, as amended (the “Independent Directors”), annually considers whether to approve the continuation of the existing management agreement between the Fund and Lord Abbett (the “Agreement”). In connection with its most recent approval, the Board reviewed materials relating specifically to the Agreement, as well as numerous materials received throughout the course of the year, including information about the Fund’s investment performance compared to the performance of its benchmarks. Before making its decision as to the Fund, the Board had the opportunity to ask questions and request further information, taking into account its knowledge of Lord Abbett gained through its meetings and discussions. These meetings and discussions included reviews of Fund performance conducted by members of the Contract Committee, the deliberations of the Contract Committee, and discussions between the Contract Committee and Lord Abbett’s management. The Independent Directors also met with their independent legal counsel in various private sessions at which no representatives of management were present.
The materials received by the Board included, but were not limited to: (1) information provided by Broadridge Financial Solutions (“Broadridge”) regarding the investment performance of the Fund compared to the investment performance of certain funds with similar investment styles as determined by Broadridge, based, in part, on the Fund’s Morningstar category (the “performance peer group”), and the investment performance of two appropriate benchmarks; (2) information provided by Broadridge regarding the expense ratios, contractual and actual management fee rates, and other expense components for the Fund and certain funds in the same Morningstar category, with generally the same or similar share classes and operational characteristics, including asset size (the “expense peer group”); (3) certain supplemental investment performance information provided by Lord Abbett; (4) information provided by Lord Abbett on the expense ratios, management fee rates, and other expense components for the Fund; (5) sales and redemption information for the Fund; (6) information regarding Lord Abbett’s financial condition; (7) an analysis of the relative profitability of the Agreement to Lord Abbett; (8) information provided by Lord Abbett regarding the investment management fee schedules for Lord Abbett’s other advisory clients maintaining accounts with a similar investment strategy as the Fund; and (9) information regarding the personnel and other resources devoted by Lord Abbett to managing the Fund.
Investment Management and Related Services Generally. The Board considered the services provided by Lord Abbett to the Fund, including investment research, portfolio management, and trading, and Lord Abbett’s commitment to compliance with all applicable legal requirements. The Board also observed that Lord Abbett was solely engaged in the investment management business and accordingly did not experience the conflicts of interest that may result from being engaged in other lines of business. The Board considered the investment advisory services provided by Lord Abbett to other clients, the fees charged for the services, and the differences in the nature of the services provided to the Fund and other Lord Abbett Funds, on the one hand, and the services provided to other clients, on the other. After reviewing these and related factors, the Board concluded that the Fund was likely to continue to benefit from the nature, extent and quality of the investment services provided by Lord Abbett under the Agreement.
Investment Performance. The Board reviewed the Fund’s investment performance in relation to that of the performance peer group and two appropriate benchmarks as of various periods ended June 30, 2020. The Board observed that the Fund’s investment performance was above the median of the performance peer group for the five-, and ten-year periods, equal to the median of the performance peer group for the three-year period, and below the median of the performance peer
79
Approval of Advisory Contract (continued)
group for the one-year period. The Board further considered Lord Abbett’s performance and reputation generally, the performance of other Lord Abbett-managed funds overseen by the Board, and the willingness of Lord Abbett to take steps intended to improve performance when appropriate. After reviewing these and related factors, the Board concluded that the Fund’s Agreement should be continued.
Lord Abbett’s Personnel and Methods. The Board considered the qualifications of the personnel providing investment management services to the Fund, in light of its investment objective and discipline, and other services provided to the Fund by Lord Abbett. Among other things, the Board considered the size, experience, and turnover of Lord Abbett’s staff, Lord Abbett’s investment methodology and philosophy, and Lord Abbett’s approach to recruiting, training, and retaining personnel.
Nature and Quality of Other Services. The Board considered the nature, quality, and extent of compliance, administrative, and other services performed by Lord Abbett and the nature and extent of Lord Abbett’s supervision of third party service providers, including the Fund’s transfer agent and custodian.
Expenses. The Board considered the expense level of the Fund, including the contractual and actual management fee rates, and the expense levels of the Fund’s expense peer group. It also considered how the expense level of the Fund related to those of the expense peer group and the amount and nature of the fees paid by shareholders. The Board observed that the net total expense ratio of the Fund was below the median of the expense peer group. After reviewing these and related factors, the Board concluded, within the context of its overall approval of the Agreement, that the management fees paid by, and expense level of, the Fund were reasonable in light of all of the factors it considered and supported the continuation of the Agreement.
Profitability. The Board considered the level of Lord Abbett’s operating margin in managing the Fund, including a review of Lord Abbett’s methodology for allocating its costs to its management of the Fund. It considered whether the Fund was profitable to Lord Abbett in connection with the Fund’s operation, including the fee that Lord Abbett receives from the Fund for providing administrative services to the Fund. The Board considered Lord Abbett’s profit margins excluding Lord Abbett’s marketing and distribution expenses. The Board also considered Lord Abbett’s profit margins, without those exclusions, in comparison with available industry data and how those profit margins could affect Lord Abbett’s ability to recruit and retain personnel. The Board recognized that Lord Abbett’s overall profitability was a factor in enabling it to attract and retain qualified personnel to provide services to the Fund. After reviewing these and related factors, the Board concluded, within the context of its overall approval of the Agreement, that Lord Abbett’s profitability with respect to the Fund was not excessive.
Economies of Scale. The Board considered the extent to which there had been economies of scale in managing the Fund, whether the Fund’s shareholders had appropriately benefited from such economies of scale, and whether there was potential for realization of any further economies of scale. The Board also considered information provided by Lord Abbett regarding how it shares any potential economies of scale through its investments in its businesses supporting the Funds. The Board also considered the Fund’s existing management fee schedule, with its breakpoints in the level of the management fee. The Board concluded that no action was required with respect to economies of scale.
80
Approval of Advisory Contract (concluded)
Other Benefits to Lord Abbett. The Board considered the amount and nature of the fees paid by the Fund and the Fund’s shareholders to Lord Abbett and the Distributor for services other than investment advisory services, such as the fee that Lord Abbett receives from the Fund for providing administrative services to the Fund. The Board also considered the revenues and profitability of Lord Abbett’s investment advisory business apart from its mutual fund business, and the intangible benefits enjoyed by Lord Abbett by virtue of its relationship with the Fund. The Board observed that the Distributor receives 12b-1 fees from certain of the Lord Abbett Funds as to shares held in accounts for which there is no other broker of record, may retain a portion of the 12b-1 fees it receives, and receives a portion of the sales charges on sales and redemptions of some classes of shares of the Lord Abbett Funds. In addition, the Board observed that Lord Abbett accrues certain benefits for its business of providing investment advice to clients other than the Lord Abbett Funds, but that business also benefits the Funds. The Board also noted that Lord Abbett, as disclosed in the prospectus of the Fund, has entered into revenue sharing arrangements with certain entities that distribute shares of the Lord Abbett Funds. The Board also took into consideration the investment research that Lord Abbett receives as a result of client brokerage transactions.
Alternative Arrangements. The Board considered whether, instead of approving continuation of the Agreement, it might be in the best interests of the Fund to implement one or more alternative arrangements, such as continuing to employ Lord Abbett, but on different terms. After considering all of the relevant factors, the Board unanimously found that continuation of the Agreement was in the best interests of the Fund and its shareholders and voted unanimously to approve the continuation of the Agreement. In considering whether to approve the continuation of the Agreement, the Board did not identify any single factor as paramount or controlling. Individual Directors may have evaluated the information presented differently from one another, giving different weights to various factors. This summary does not discuss in detail all matters considered.
81
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 (or related notice of internet availability of 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.
Tax Information
1% of the ordinary income distributions paid by the Fund during the year ended December 31, 2020 is qualified dividend income. For corporate shareholders, 1% of the Fund’s ordinary income distributions qualified for the dividend received deduction.
For foreign shareholders, 100% of the net investment income distributions paid by the Fund during the year ended December 31, 2020 represents interest-related dividends. |
82
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-2 (2/21) |
Item 2: | Code of Ethics. |
(a) | In accordance with applicable requirements, the Registrant adopted a Sarbanes-Oxley Code of Ethics on June 19, 2003 that applies to the principal executive officer and senior financial officers of the Registrant (“Code of Ethics”). The Code of Ethics was in effect during the fiscal year ended December 31, 2020 (the “Period”). |
(b) | Not applicable. |
(c) | The Registrant has not amended the Code of Ethics as described in Form N-CSR during the Period. |
(d) | The Registrant has not granted any waiver, including an implicit waiver, from a provision of the Code of Ethics as described in Form N-CSR during the Period. |
(e) | Not applicable. |
(f) | See Item 12(a)(1) concerning the filing of the Code of Ethics. |
Item 3: | Audit Committee Financial Expert. |
The Registrant’s board of directors has determined that each of the following independent directors who are members of the audit committee is an audit committee financial expert: Evelyn E. Guernsey, Karla M. Rabusch and Mark A. Schmid. Each of these persons is independent within the meaning of the Form N-CSR.
Item 4: | Principal Accountant Fees and Services. |
In response to sections (a), (b), (c) and (d) of Item 4, the aggregate fees billed to the Registrant for the fiscal years ended December 31, 2020 and 2019 by the Registrant’s principal accounting firm, Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu and their respective affiliates (collectively, “Deloitte”) were as follows:
Fiscal year ended: | ||||||||||
2020 | 2019 | |||||||||
Audit Fees {a} | $73,000 | $79,100 | ||||||||
Audit-Related Fees | - 0 - | - 0 - | ||||||||
Total audit and audit-related fees | 73,000 | 79,100 | ||||||||
Tax Fees {b} | 7,597 | 7,556 | ||||||||
All Other Fees | - 0 - | - 0 - | ||||||||
Total Fees | $80,597 | $86,656 |
{a} Consists of fees for audits of the Registrant’s annual financial statements.
{b} Fees for the fiscal year ended December 31, 2020 and 2019 consist of fees for preparing the U.S. Income Tax Return for Regulated Investment Companies, New Jersey Corporation Business Tax Return, New Jersey Annual Report Form, U.S. Return of Excise Tax on Undistributed Income of Investment Companies, IRS Forms 1099-MISC and 1096 Annual Summary and Transmittal of U.S. Information Returns.
(e) (1) Pursuant to Rule 2-01(c) (7) of Regulation S-X, the Registrant’s Audit Committee has adopted pre-approval policies and procedures. Such policies and procedures generally provide that the Audit Committee must pre-approve:
· | any audit, audit-related, tax, and other services to be provided to the Lord Abbett Funds, including the Registrant, and |
· | any audit-related, tax, and other services to be provided to the Registrant’s investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to one or more Funds comprising the Registrant if the engagement relates directly to operations and financial reporting of a Fund, by the independent auditor to assure that the provision of such services does not impair the auditor’s independence. |
The Audit Committee has delegated pre-approval authority to its Chairman, subject to a fee limit of $10,000 per event, and not to exceed $25,000 annually. The Chairman will report any pre-approval decisions to the Audit Committee at its next scheduled meeting. Unless a type of service to be provided by the independent auditor has received general pre-approval, it must be pre-approved by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre-approval by the Audit Committee.
(e) (2) The Registrant’s Audit Committee has approved 100% of the services described in this Item 4 (b) through (d).
(f) Not applicable.
(g) The aggregate non-audit fees billed by Deloitte for services rendered to the Registrant are shown above in the response to Item 4 (a), (b), (c) and (d) as “All Other Fees”.
The aggregate non-audit fees billed by Deloitte for services rendered to the Registrant’s investment adviser, Lord, Abbett & Co. LLC (“Lord Abbett”), for the fiscal years ended December 31, 2020 and 2019 were:
Fiscal year ended: | ||||||||||
2020 | 2019 | |||||||||
All Other Fees {a} | $214,142 | $215,383 |
{a} Consist of fees for Independent Services Auditors’ Report on Controls Placed in Operation and Tests of Operating Effectiveness related to Lord Abbett’s Asset Management Services (“SOC-1 Report”).
The aggregate non-audit fees billed by Deloitte for services rendered to entities under the common control of Lord Abbett for the fiscal years ended December 31, 2020 and 2019 were:
Fiscal year ended: | ||||||||||
2020 | 2019 | |||||||||
All Other Fees | $ - 0 - | $ - 0 - |
(h) The Registrant’s Audit Committee has considered the provision of non-audit services that were rendered to the Registrant’s investment adviser, and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant, that were not pre-approved pursuant to Rule 2-01 (c)(7)(ii) of Regulation S-X and has determined that the provision of such services is compatible with maintaining Deloitte’s independence.
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. |
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: February 26, 2021
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: February 26, 2021
By: | /s/Vito A. Fronda | |
Vito A. Fronda | ||
Chief Financial Officer and Treasurer |
Date: February 26, 2021