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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-02145

LORD ABBETT BOND-DEBENTURE FUND, INC.

(Exact name of Registrant as specified in charter)

90 Hudson Street, Jersey City, NJ 07302

(Address of principal executive offices) (Zip code)

Thomas R. Phillips, Esq., Vice President & Assistant Secretary

90 Hudson Street, Jersey City, NJ 07302

(Name and address of agent for service)

Registrant’s telephone number, including area code: (800) 201-6984

Date of fiscal year end: 12/31

Date of reporting period: 6/30/2011

Item 1: Report to Shareholders.

2011

LORD ABBETT

SEMIANNUAL

REPORT    

Lord Abbett

Bond Debenture Fund

For the six-month period ended June 30, 2011

Lord Abbett Bond Debenture Fund

Semiannual Report

For the six-month period ended June 30, 2011

From left to right: Robert S. Dow, Director and Chairman of the Lord Abbett Funds; E. Thayer Bigelow, Independent Lead Director of the Lord Abbett Funds; and Daria L. Foster, Director and President of the Lord Abbett Funds.

Dear Shareholders: We are pleased to provide you with this semiannual report of the Lord Abbett Bond Debenture Fund for the six-month period ended June 30, 2011. For additional information about the Fund, please visit our Website at www.lordabbett.com, where you can access the quarterly commentaries by the Fund’s portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our Website.

Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.

Best regards,

Robert S. Dow

Chairman

1

Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2011 through June 30, 2011).

Actual Expenses

For each class of the Fund, the first line of the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 1/1/11 – 6/30/11” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

For each class of the Fund, the second line of the table on the following page provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

2

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value		Ending Account Value		Expenses Paid During Period†
	1/1/11		6/30/11		1/1/11 - 6/30/11
Class A
Actual	$	1,000.00	$	1,051.10	$	4.93
Hypothetical (5% Return Before Expenses)	$	1,000.00	$	1,020.00	$	4.86
Class B
Actual	$	1,000.00	$	1,049.00	$	8.23
Hypothetical (5% Return Before Expenses)	$	1,000.00	$	1,016.77	$	8.10
Class C
Actual	$	1,000.00	$	1,047.70	$	8.22
Hypothetical (5% Return Before Expenses)	$	1,000.00	$	1,016.77	$	8.10
Class F
Actual	$	1,000.00	$	1,052.30	$	3.66
Hypothetical (5% Return Before Expenses)	$	1,000.00	$	1,021.24	$	3.61
Class I
Actual	$	1,000.00	$	1,053.00	$	3.16
Hypothetical (5% Return Before Expenses)	$	1,000.00	$	1,021.73	$	3.11
Class P
Actual	$	1,000.00	$	1,051.40	$	5.44
Hypothetical (5% Return Before Expenses)	$	1,000.00	$	1,019.50	$	5.36
Class R2
Actual	$	1,000.00	$	1,049.80	$	6.20
Hypothetical (5% Return Before Expenses)	$	1,000.00	$	1,018.76	$	6.11
Class R3
Actual	$	1,000.00	$	1,050.30	$	5.69
Hypothetical (5% Return Before Expenses)	$	1,000.00	$	1,019.27	$	5.61

^†  For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.97% for Class A, 1.62% for Classes B and C, 0.72% for Class F, 0.62% for Class I, 1.07% for Class P, 1.22% for Class R2 and 1.12% for Class R3) multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

June 30, 2011

Sector*	%**		Sector*	%**
Agency		0.21%	Insurance		2.14%
Automotive		4.38%	Media		6.95%
Banking		4.51%	Municipal		0.38%
Basic Industry		9.58%	Real Estate		1.18%
Capital Goods		8.02%	Services		11.07%
Consumer Cyclical		4.61%	Technology & Electronics		7.03%
Consumer Non-Cyclical		3.09%	Telecommunications		8.21%
Energy		13.91%	Utility		2.14%
Financial Services		4.45%	Short-Term Investment		0.50%
Healthcare		7.64%	Total		100.00%

* A sector may comprise several industries.

** Represents percent of total investments.

3

Schedule of Investments (unaudited)

June 30, 2011

Investments	Shares (000)		Fair Value
LONG-TERM INVESTMENTS 98.19%
COMMON STOCKS 4.20%
Aerospace & Defense 0.08%
SAIC, Inc.*		400	$	6,728,000
Agency/Government Related 0.00%
Fannie Mae*		818		270,821
Auto Parts & Equipment 0.43%
Cooper-Standard Holdings, Inc.*		753		34,635,194
Automakers 0.06%
General Motors Co.*		58		1,767,134
Oshkosh Corp.*		100		2,894,000
Total				4,661,134
Banking 0.17%
Bank of America Corp.		300		3,288,000
Fifth Third Bancorp		200		2,550,000
Huntington Bancshares, Inc.		700		4,592,000
Regions Financial Corp.		600		3,720,000
Total				14,150,000
Chemicals 0.28%
LyondellBasell Industries NV Class A (Netherlands)(a)		353		13,578,300
Rockwood Holdings, Inc.*		135		7,464,150
TPC Group, Inc.*		35		1,381,015
Total				22,423,465
Diversified Capital Goods 0.35%
Emerson Electric Co.		350		19,687,500
Pall Corp.		150		8,434,500
Total				28,122,000
Energy: Exploration & Production 0.41%
Continental Resources, Inc.*		220		14,280,200
Whiting Petroleum Corp.*		336		19,145,890
Total				33,426,090

See Notes to Financial Statements.

4

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Shares (000)		Fair Value
Food & Drug Retailers 0.08%
Ingles Markets, Inc. Class A		185	$	3,061,750
SUPERVALU, INC.		350		3,293,500
Total				6,355,250
Food: Wholesale 0.23%
Archer Daniels Midland Co.		631		19,021,635
Gas Distribution 0.31%
El Paso Corp.		1,226		24,765,200
Integrated Energy 0.33%
ConocoPhillips		350		26,316,500
Media: Cable 0.13%
Charter Communications, Inc. Class A*		200		10,852,000
Media: Services 0.15%
Omnicom Group, Inc.		250		12,040,000
Pharmaceuticals 0.52%
Gilead Sciences, Inc.*		150		6,211,500
Mylan, Inc.*		800		19,736,000
Pfizer, Inc.		300		6,180,000
Teva Pharmaceutical Industries Ltd. ADR		200		9,644,000
Total				41,771,500
Railroads 0.26%
Union Pacific Corp.		200		20,880,000
Software/Services 0.41%
Adobe Systems, Inc.*		220		6,919,000
Fortinet, Inc.*		100		2,729,000
Informatica Corp.*		335		19,574,050
Nuance Communications, Inc.*		200		4,294,000
Total				33,516,050
Total Common Stocks (cost $273,262,380)				339,934,839

See Notes to Financial Statements.

5

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
CONVERTIBLE BONDS 6.43%
Airlines 0.07%
AMR Corp.		6.25%		10/15/2014	$	5,800	$	5,655,000
Auto Parts & Equipment 0.17%
Meritor, Inc. (Zero Coupon after 3/1/2016)~		4.625%		3/1/2026		12,335		13,522,244
Automakers 0.28%
Ford Motor Co.		4.25%		11/15/2016		13,050		22,429,687
Beverages 0.14%
Central European Distribution Corp. (Poland)(a)		3.00%		3/15/2013		14,033		11,577,225
Computer Hardware 0.43%
Intel Corp.		2.95%		12/15/2035		15,000		15,581,250
NetApp, Inc.		1.75%		6/1/2013		8,700		14,866,125
SanDisk Corp.		1.50%		8/15/2017		4,200		4,462,500
Total								34,909,875
Diversified Capital Goods 0.13%
Ingersoll-Rand Co., Ltd.		4.50%		4/15/2012		4,000		10,215,000
Electronics 0.26%
A123 Systems, Inc.		3.75%		4/15/2016		8,550		7,748,438
Itron, Inc.		2.50%		8/1/2026		13,625		13,727,187
Total								21,475,625
Health Services 0.52%
Human Genome Sciences, Inc.		2.25%		10/15/2011		15,000		23,700,000
Human Genome Sciences, Inc.		2.25%		8/15/2012		1,000		1,460,000
Incyte Corp.		4.75%		10/1/2015		3,000		6,918,750
Omnicare, Inc.		3.75%		12/15/2025		7,500		10,040,625
Total								42,119,375
Integrated Energy 0.23%
SunPower Corp.		4.75%		4/15/2014		8,000		8,520,000
Suntech Power Holdings Co., Ltd. (China)(a)		3.00%		3/15/2013		11,250		9,773,438
Total								18,293,438

See Notes to Financial Statements.

6

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Machinery 0.03%
Altra Holdings, Inc.†		2.75%		3/1/2031	$	2,075	$	2,253,969
Media: Diversified 0.32%
Liberty Media LLC (convertible into Viacom, Inc., Class B and CBS Corp.)		3.25%		3/15/2031		30,000		25,875,000
Media: Services 0.20%
Interpublic Group of Cos., Inc. (The)		4.25%		3/15/2023		7,600		8,730,500
Omnicom Group, Inc.		Zero Coupon		7/1/2038		7,000		7,743,750
Total								16,474,250
Medical Products 0.43%
Life Technologies Corp.		1.50%		2/15/2024		20,000		22,950,000
Medtronic, Inc.		1.625%		4/15/2013		8,500		8,733,750
NuVasive, Inc.		2.75%		7/1/2017		3,000		3,048,750
Total								34,732,500
Metals/Mining (Excluding Steel) 0.40%
Newmont Mining Corp.		1.25%		7/15/2014		20,000		26,150,000
Newmont Mining Corp.		3.00%		2/15/2012		5,000		6,150,000
Total								32,300,000
Monoline Insurance 0.10%
Radian Group, Inc.		3.00%		11/15/2017		10,800		7,789,500
Oil Field Equipment & Services 0.12%
Exterran Energy Corp.		4.75%		1/15/2014		10,000		9,850,000
Packaging 0.20%
Owens-Brockway Glass Container, Inc.†		3.00%		6/1/2015		16,375		16,211,250
Pharmaceuticals 0.60%
Gilead Sciences, Inc.		0.625%		5/1/2013		21,000		25,016,250
Salix Pharmaceuticals Ltd.		2.75%		5/15/2015		4,000		4,620,000
Vertex Pharmaceuticals, Inc.		3.35%		10/1/2015		15,000		18,956,250
Total								48,592,500
Software/Services 1.23%
Alliance Data Systems Corp.		1.75%		8/1/2013		8,500		10,826,875
Concur Technologies, Inc.†		2.50%		4/15/2015		6,400		7,392,000

See Notes to Financial Statements.

7

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Software/Services (continued)
Digital River, Inc.†		2.00%		11/1/2030	$	10,000	$	10,050,000
EMC Corp.		1.75%		12/1/2013		22,975		40,378,562
Nuance Communications, Inc.		2.75%		8/15/2027		2,775		3,649,125
Symantec Corp.		1.00%		6/15/2013		20,775		25,345,500
Xilinx, Inc.		2.625%		6/15/2017		1,700		2,273,750
Total								99,915,812
Telecommunications: Wireless 0.57%
SBA Communications Corp.		4.00%		10/1/2014		33,000		46,447,500
Total Convertible Bonds (cost $481,370,840)								520,639,750
					Shares (000)
CONVERTIBLE PREFERRED STOCKS 3.54%
Auto Parts & Equipment 0.05%
Cooper-Standard Holdings, Inc. PIK		7.00%				22		4,334,626
Automakers 0.15%
General Motors Co.		4.75%				253		12,311,724
Banking 1.32%
Bank of America Corp.		7.25%				35		35,042,000
Citigroup, Inc.		7.50%				335		40,250,250
Wells Fargo & Co.		7.50%				30		31,800,000
Total								107,092,250
Energy: Exploration & Production 0.52%
Apache Corp.		6.00%				635		41,859,200
Whiting Petroleum Corp.		6.25%				2		527,279
Total								42,386,479
Food: Wholesale 0.23%
Bunge Ltd.		4.875%				180		18,135,000
Gas Distribution 0.52%
Williams Cos., Inc. (The)		5.50%				300		41,643,750
Investments & Miscellaneous Financial Services 0.26%
AMG Capital Trust I		5.10%				450		21,318,750

See Notes to Financial Statements.

8

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate				Shares (000)		Fair Value
Life Insurance 0.41%
MetLife, Inc.		5.00%				400	$	32,972,000
Multi-Line Insurance 0.08%
Hartford Financial Services Group, Inc. (The)		7.25%				250		6,515,000
Total Convertible Preferred Stocks (cost $230,807,678)								286,709,579
			Maturity Date		Principal Amount (000)
FLOATING RATE LOANS(b) 2.08%
Department Stores 0.04%
Neiman-Marcus Group, Inc. (The) New Term Loan		4.75%		5/16/2018	$	3,000		2,967,102
Electric: Generation 0.20%
Texas Competitive Electric Holdings Co. LLC Extended Term Loan		4.69% - 4.768%		10/10/2017		21,124		16,518,533
Gaming 0.28%
Caesar’s Entertainment Operating Co. Term Loan B1		3.274%		1/28/2015		10,000		9,009,340
Harrah’s Property Co. Senior Note		3.19%		2/13/2013		10,000		8,430,000
MGM Mirage Class C Term Loan		7.00%		2/21/2014		5,000		4,902,345
Total								22,341,685
Health Facilities 0.21%
Drumm Investors LLC Term Loan		5.00%		5/4/2018		10,000		9,824,950
HCA, Inc. Extended Term Loan B2		3.496%		3/17/2017		7,057		6,971,237
Total								16,796,187
Insurance Brokerage 0.10%
USI Holdings Corp. Incremental Term Loan		7.00%		5/5/2014		7,860		7,850,175
Investments & Miscellaneous Financial Services 0.49%
Nuveen Investments, Inc. 1st Lien Term Loan		3.246% - 3.273%		11/13/2014		11,509		11,380,982
Nuveen Investments, Inc. 2nd Lien Term Loan		12.50%		7/31/2015		13,800		14,731,500

See Notes to Financial Statements.

9

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Investments & Miscellaneous Financial Services (continued)
Nuveen Investments, Inc. Extended Term Loan		5.746% - 5.773%		5/12/2017		$13,447	$	13,469,650
Total								39,582,132
Media: Broadcast 0.31%
Clear Channel Communication Term Loan B		3.836%		1/28/2016		9,640		8,150,536
Univision Communications, Inc. Extended Term Loan		4.436%		3/29/2017		10,162		9,673,598
Univision Communications, Inc. Initial Term Loan		2.186%		9/29/2014		8,074		7,738,694
Total								25,562,828
Software/Services 0.18%
Nuance Communications, Inc. Incremental Term Loan		1.95%		3/29/2013		5,938		5,914,950
Nuance Communications, Inc. Term Loan		1.95%		3/29/2013		3,958		3,942,763
Syniverse Technologies, Inc. Term Loan B		5.25%		12/21/2017		4,975		5,006,094
Total								14,863,807
Specialty Retail 0.11%
Michaels Stores, Inc. Term Loan B1		2.50% - 2.563%		10/31/2013		3,722		3,665,935
Michaels Stores, Inc. Term Loan B2		4.75% - 4.813%		7/31/2016		5,009		5,000,146
Total								8,666,081
Support: Services 0.09%
Brickman Group Holdings, Inc. New Term Loan B		7.25%		10/14/2016		7,557		7,669,189
Telecommunications: Integrated/Services 0.07%
Level 3 Financing, Inc. Bridge Term Loan		14.00%		4/10/2012		6,061		6,060,606
Total Floating Rate Loans (cost $167,215,218)								168,878,325
FOREIGN BONDS(c) 0.44%
Netherlands 0.25%
Goodyear Dunlop Tires Europe BV†		6.75%		4/15/2019		EUR  5,200		7,484,222
Refresco Group BV†		7.375%		5/15/2018		EUR  2,000		2,943,804

See Notes to Financial Statements.

10

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Netherlands (continued)
Ziggo Bond Co. BV†		8.00%		5/15/2018		EUR  6,750	$	10,082,166
Total								20,510,192
United Kingdom 0.19%
R&R Ice Cream plc†		8.375%		11/15/2017		EUR10,400		14,855,333
Total Foreign Bonds (cost $33,894,673)								35,365,525
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 0.19%
Federal National Mortgage Assoc. (cost $14,908,763)		4.50%		2/1/2039		$14,706		15,259,607
HIGH YIELD CORPORATE BONDS 80.10%
Aerospace/Defense 1.11%
Alliant Techsystems, Inc.		6.875%		9/15/2020		3,500		3,657,500
Esterline Technologies Corp.		6.625%		3/1/2017		8,000		8,320,000
Esterline Technologies Corp.		7.00%		8/1/2020		9,100		9,577,750
Huntington Ingalls Industries, Inc.†		7.125%		3/15/2021		3,425		3,562,000
Mantech International Corp.		7.25%		4/15/2018		15,000		15,750,000
Moog, Inc.		6.25%		1/15/2015		10,750		10,965,000
Spirit Aerosystems, Inc.		6.75%		12/15/2020		19,000		19,380,000
Spirit Aerosystems, Inc.		7.50%		10/1/2017		7,575		8,010,562
Triumph Group, Inc.		8.00%		11/15/2017		10,440		11,040,300
Total								90,263,112
Airlines 0.54%
Delta Air Lines, Inc.		4.95%		5/23/2019		3,647		3,651,568
Delta Air Lines, Inc.†		9.50%		9/15/2014		3,953		4,234,651
United Airlines, Inc.		6.636%		7/2/2022		7,930		7,970,121
United Airlines, Inc.†		9.875%		8/1/2013		16,650		17,565,750
United Airlines, Inc.†		12.00%		11/1/2013		9,600		10,344,000
Total								43,766,090
Apparel/Textiles 0.46%
Hanesbrands, Inc.		6.375%		12/15/2020		10,000		9,750,000
Levi Strauss & Co.		7.625%		5/15/2020		8,675		8,718,375
Levi Strauss & Co.		8.875%		4/1/2016		10,275		10,711,688
Perry Ellis International, Inc.		7.875%		4/1/2019		7,650		7,936,875
Total								37,116,938

See Notes to Financial Statements.

11

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date			Principal Amount (000)		Fair Value
Auto Loans 0.20%
Ford Motor Credit Co. LLC		8.00%		6/1/2014		$	15,000	$	16,466,355
Auto Parts & Equipment 2.07%
Cooper-Standard Automotive, Inc.		8.50%		5/1/2018			15,000		15,900,000
Dana Holding Corp.		6.50%		2/15/2019			10,000		9,950,000
Dana Holding Corp.		6.75%		2/15/2021			10,000		9,912,500
Exide Technologies†		8.625%		2/1/2018			6,250		6,531,250
Goodyear Tire & Rubber Co. (The)		10.50%		5/15/2016			9,750		11,017,500
International Automotive Components Group SL (Spain)†(a)		9.125%		6/1/2018			9,000		9,247,500
Pinafore LLC/Pinafore, Inc.†		9.00%		10/1/2018			5,350		5,791,375
Stanadyne Corp.		10.00%		8/15/2014			10,000		10,225,000
Stanadyne Holdings, Inc.		12.00%		2/15/2015			18,750		19,265,625
Stoneridge, Inc.†		9.50%		10/15/2017			7,250		8,047,500
Tenneco, Inc.		6.875%		12/15/2020			11,575		11,835,437
Tenneco, Inc.		7.75%		8/15/2018			2,950		3,104,875
TRW Automotive, Inc.†		7.25%		3/15/2017			25,000		27,875,000
TRW Automotive, Inc.†		8.875%		12/1/2017			10,000		11,250,000
UCI International, Inc.		8.625%		2/15/2019			7,175		7,426,125
Total									167,379,687
Automakers 0.77%
Chrysler Group LLC/CG Co-Issuer, Inc.†		8.25%		6/15/2021			16,000		15,760,000
Ford Motor Co.		7.45%		7/16/2031			15,000		17,079,555
General Motors Co.(d)		–		–	(e)		15,000		450,000
Navistar International Corp.		8.25%		11/1/2021			20,000		21,500,000
Oshkosh Corp.		8.50%		3/1/2020			7,350		7,993,125
Total									62,782,680
Banking 2.82%
Ally Financial, Inc.		7.50%		9/15/2020			6,000		6,300,000
Ally Financial, Inc.		8.30%		2/12/2015			25,000		28,000,000
Bank of America Corp.		8.00%		–	(e)		15,000		15,684,570
Capital One Capital VI		8.875%		5/15/2040			20,000		20,728,160
Discover Bank		8.70%		11/18/2019			11,200		13,532,098
Fifth Third Capital Trust IV		6.50%		4/15/2037			16,250		16,087,500
Huntington Bancshares, Inc.		7.00%		12/15/2020			5,050		5,703,924
JPMorgan Chase & Co.		7.90%		–	(e)		7,275		7,840,595

See Notes to Financial Statements.

12

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate			Maturity Date			Principal Amount (000)		Fair Value
Banking (continued)
Macquarie Group Ltd. (Australia)†(a)		6.25%			1/14/2021			$10,750	$	10,762,760
Morgan Stanley		4.85%			2/3/2016			CAD20,000		20,875,318
Regions Bank		6.45%			6/26/2037			$  6,650		6,242,521
Regions Bank		7.50%			5/15/2018			7,987		8,363,220
Regions Financial Corp.		7.75%			11/10/2014			6,025		6,388,187
Regions Financing Trust II		6.625%			5/15/2047			10,000		8,920,750
SVB Financial Group		5.375%			9/15/2020			9,350		9,411,934
Wachovia Capital Trust III		5.57%	#		–	(e)		15,000		13,781,250
Washington Mutual Bank(f)		6.875%			6/15/2011			22,500		84,375
Zions Bancorporation		7.75%			9/23/2014			27,000		29,625,453
Total										228,332,615
Beverages 0.26%
CEDC Finance Corp. International, Inc.†		9.125%			12/1/2016			11,300		10,367,750
Constellation Brands, Inc.		7.25%			5/15/2017			10,000		10,925,000
Total										21,292,750
Brokerage 0.65%
Cantor Fitzgerald LP†		7.875%			10/15/2019			12,655		13,843,887
Lazard Group LLC		7.125%			5/15/2015			12,500		14,077,162
Raymond James Financial, Inc.		8.60%			8/15/2019			20,000		24,460,960
Total										52,382,009
Building & Construction 0.92%
K. Hovnanian Enterprises, Inc.		10.625%			10/15/2016			9,750		9,774,375
KB Home		9.10%			9/15/2017			18,000		18,315,000
Lennar Corp.		12.25%			6/1/2017			17,700		21,726,750
Odebrecht Finance Ltd.†		6.00%			4/5/2023			4,700		4,694,125
Ryland Group, Inc.		8.40%			5/15/2017			7,500		8,193,750
Toll Brothers Finance Corp.		8.91%			10/15/2017			10,000		11,734,290
Total										74,438,290
Building Materials 0.58%
Building Materials Corp. of America†		6.75%			5/1/2021			6,250		6,296,875
Building Materials Corp. of America†		7.50%			3/15/2020			5,150		5,446,125
Cemex Finance LLC†		9.50%			12/14/2016			4,825		5,011,969
Masco Corp.		7.125%			3/15/2020			12,000		12,303,432
Owens Corning, Inc.		9.00%			6/15/2019			15,000		17,942,235
Total										47,000,636

See Notes to Financial Statements.

13

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Chemicals 2.50%
Airgas, Inc.		7.125%		10/1/2018	$	10,500	$	11,392,500
Ashland, Inc.		9.125%		6/1/2017		5,000		5,650,000
Celanese US Holdings LLC		6.625%		10/15/2018		7,365		7,806,900
Chemtura Corp.		7.875%		9/1/2018		10,000		10,525,000
Dow Chemical Co. (The)		8.55%		5/15/2019		10,000		12,913,870
Huntsman International LLC		8.625%		3/15/2020		23,000		25,185,000
INEOS Finance plc (United Kingdom)†(a)		9.00%		5/15/2015		4,350		4,589,250
INEOS Group Holdings plc (United Kingdom)†(a)		8.50%		2/15/2016		23,000		22,827,500
Lyondell Chemical Co.†		8.00%		11/1/2017		16,200		18,063,000
Momentive Performance Materials, Inc.		9.00%		1/15/2021		12,000		12,300,000
Nalco Co.†		6.625%		1/15/2019		12,600		12,978,000
Nalco Co.		8.25%		5/15/2017		15,000		16,462,500
Phibro Animal Health Corp.†		9.25%		7/1/2018		11,700		12,402,000
Polymer Group, Inc.†		7.75%		2/1/2019		10,500		10,578,750
Rockwood Specialties Group, Inc.		7.50%		11/15/2014		18,250		18,751,875
Total								202,426,145
Computer Hardware 0.54%
Brocade Communications Systems, Inc.		6.625%		1/15/2018		15,885		16,838,100
Brocade Communications Systems, Inc.		6.875%		1/15/2020		12,500		13,531,250
Seagate HDD Cayman†		6.875%		5/1/2020		13,200		13,167,000
Total								43,536,350
Consumer/Commercial/Lease Financing 1.39%
CIT Group, Inc.†		7.00%		5/2/2017		5,000		5,000,000
CIT Group, Inc.†		7.00%		5/2/2016		15,000		14,981,250
International Lease Finance Corp.		6.25%		5/15/2019		5,400		5,284,219
International Lease Finance Corp.		8.25%		12/15/2020		6,100		6,603,250
International Lease Finance Corp.		8.75%		3/15/2017		32,075		35,162,219
Provident Funding Associates LP/PFG Finance Corp.†		10.25%		4/15/2017		15,800		17,380,000
SLM Corp.		6.25%		1/25/2016		9,200		9,554,402
Springleaf Finance Corp.		6.90%		12/15/2017		20,000		18,450,000
Total								112,415,340
Consumer Products 0.43%
Armored AutoGroup, Inc.†		9.25%		11/1/2018		12,675		12,611,625

See Notes to Financial Statements.

14

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Consumer Products (continued)
Elizabeth Arden, Inc.		7.375%		3/15/2021	$	21,000	$	21,971,250
Total								34,582,875
Department Stores 0.47%
J.C. Penney Corp., Inc.		7.125%		11/15/2023		5,025		5,251,125
Macy’s Retail Holdings, Inc.		5.90%		12/1/2016		7,000		7,892,941
Macy’s Retail Holdings, Inc.		6.375%		3/15/2037		12,900		13,473,470
Macy’s Retail Holdings, Inc.		8.125%		7/15/2015		10,000		11,912,500
Total								38,530,036
Diversified Capital Goods 2.28%
Actuant Corp.		6.875%		6/15/2017		23,000		23,632,500
Amsted Industries, Inc.†		8.125%		3/15/2018		15,000		15,825,000
Belden, Inc.		7.00%		3/15/2017		17,500		18,025,000
Belden, Inc.		9.25%		6/15/2019		12,000		13,410,000
Griffon Corp.†		7.125%		4/1/2018		6,200		6,254,250
Mueller Water Products, Inc.		7.375%		6/1/2017		23,500		22,207,500
Park-Ohio Industries, Inc.†		8.125%		4/1/2021		11,400		11,457,000
RBS Global, Inc./Rexnord LLC		8.50%		5/1/2018		30,000		31,837,500
SPX Corp.†		6.875%		9/1/2017		21,000		22,575,000
Valmont Industries, Inc.		6.625%		4/20/2020		17,500		19,195,610
Total								184,419,360
Electric: Generation 0.98%
Dynegy Holdings, Inc.		7.75%		6/1/2019		15,000		10,987,500
Dynegy Holdings, Inc.		8.375%		5/1/2016		22,500		18,112,500
Edison Mission Energy		7.00%		5/15/2017		20,000		16,300,000
Mirant Americas Generation LLC		9.125%		5/1/2031		20,000		20,200,000
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.		10.25%		11/1/2015		10,500		6,405,000
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.†		11.50%		10/1/2020		7,500		7,406,250
Total								79,411,250
Electric: Integrated 0.92%
AES Corp. (The)†		7.375%		7/1/2021		8,280		8,414,550
AES Corp. (The)		8.00%		10/15/2017		29,950		31,896,750
Black Hills Corp.		5.875%		7/15/2020		8,000		8,453,960
Duquesne Light Holdings, Inc.†		6.40%		9/15/2020		20,500		21,242,018

See Notes to Financial Statements.

15

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Electric: Integrated (continued)
SCANA Corp.		4.75%		5/15/2021	$	4,800	$	4,824,864
Total								74,832,142
Electronics 1.33%
Advanced Micro Devices, Inc.		7.75%		8/1/2020		16,000		16,560,000
Advanced Micro Devices, Inc.		8.125%		12/15/2017		9,225		9,686,250
CPI International Acquisition, Inc.†		8.00%		2/15/2018		12,500		11,875,000
Freescale Semiconductor, Inc.†		9.25%		4/15/2018		8,800		9,526,000
Freescale Semiconductor, Inc.†		10.125%		3/15/2018		8,134		9,069,410
Freescale Semiconductor, Inc.†		10.75%		8/1/2020		13,408		15,218,080
KLA-Tencor Corp.		6.90%		5/1/2018		12,850		14,535,624
NXP BV LLC (Netherlands)†(a)		9.75%		8/1/2018		12,500		14,062,500
Sensata Technologies BV (Netherlands)†(a)		6.50%		5/15/2019		7,550		7,568,875
Total								108,101,739
Energy: Exploration & Production 5.80%
Berry Petroleum Co.		6.75%		11/1/2020		6,000		6,045,000
BreitBurn Energy Partners LP/BreitBurn Finance Corp.		8.625%		10/15/2020		3,400		3,604,000
Brigham Exploration Co.†		6.875%		6/1/2019		5,000		4,987,500
Brigham Exploration Co.		8.75%		10/1/2018		9,825		10,758,375
Chaparral Energy, Inc.		8.25%		9/1/2021		18,000		18,225,000
Chesapeake Energy Corp.		6.625%		8/15/2020		10,146		10,729,395
Cimarex Energy Co.		7.125%		5/1/2017		25,000		26,375,000
Concho Resources, Inc.		7.00%		1/15/2021		10,700		11,101,250
Concho Resources, Inc.		8.625%		10/1/2017		5,650		6,186,750
Continental Resources, Inc.		7.375%		10/1/2020		7,200		7,686,000
Continental Resources, Inc.		8.25%		10/1/2019		29,750		32,650,625
Energy XXI Gulf Coast, Inc.†		7.75%		6/15/2019		10,000		9,975,000
Forest Oil Corp.		7.25%		6/15/2019		32,000		32,800,000
Forest Oil Corp.		8.50%		2/15/2014		9,825		10,709,250
Kerr-McGee Corp.		6.95%		7/1/2024		12,900		14,732,110
LINN Energy LLC/LINN Energy Finance Corp.†		7.75%		2/1/2021		18,500		19,332,500
MEG Energy Corp. (Canada)†(a)		6.50%		3/15/2021		15,750		15,887,812
Nabors Industries, Inc.		6.15%		2/15/2018		10,000		11,070,220
Newfield Exploration Co.		7.125%		5/15/2018		16,500		17,572,500
Oasis Petroleum, Inc.†		7.25%		2/1/2019		20,000		19,900,000
OGX Petroleo e Gas Participacoes SA (Brazil)†(a)		8.50%		6/1/2018		41,750		43,148,625

See Notes to Financial Statements.

16

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Energy: Exploration & Production (continued)
Pan American Energy LLC (Argentina)†(a)		7.875%		5/7/2021	$	13,175	$	14,031,375
Penn Virginia Corp.		7.25%		4/15/2019		9,750		9,445,313
QEP Resources, Inc.		6.80%		3/1/2020		10,000		10,509,460
QEP Resources, Inc.		6.875%		3/1/2021		10,700		11,342,000
Quicksilver Resources, Inc.		7.125%		4/1/2016		10,000		9,900,000
Quicksilver Resources, Inc.		8.25%		8/1/2015		15,000		15,881,250
Range Resources Corp.		7.25%		5/1/2018		8,000		8,520,000
Range Resources Corp.		8.00%		5/15/2019		15,000		16,350,000
SandRidge Energy, Inc.†		7.50%		3/15/2021		13,125		13,305,469
SM Energy Co.†		6.625%		2/15/2019		12,000		12,060,000
Unit Corp.		6.625%		5/15/2021		3,105		3,108,881
W&T Offshore, Inc.†		8.50%		6/15/2019		7,350		7,460,250
Whiting Petroleum Corp.		6.50%		10/1/2018		4,200		4,389,000
Total								469,779,910
Environmental 0.34%
Clean Harbors, Inc.		7.625%		8/15/2016		12,420		13,227,300
Clean Harbors, Inc.†		7.625%		8/15/2016		5,200		5,538,000
EnergySolutions, Inc./EnergySolutions LLC		10.75%		8/15/2018		5,000		5,300,000
WCA Waste Corp.†		7.50%		6/15/2019		3,400		3,412,750
Total								27,478,050
Food & Drug Retailers 0.79%
Ingles Markets, Inc.		8.875%		5/15/2017		25,850		27,788,750
Rite Aid Corp.		9.375%		12/15/2015		7,000		6,562,500
Rite Aid Corp.		10.25%		10/15/2019		9,525		10,525,125
Stater Bros Holdings, Inc.†		7.375%		11/15/2018		8,500		8,861,250
SUPERVALU, INC.		7.50%		11/15/2014		10,000		10,050,000
Total								63,787,625
Food: Wholesale 1.54%
Blue Merger Sub, Inc.†		7.625%		2/15/2019		7,500		7,612,500
Bumble Bee Acquisition Corp.†		9.00%		12/15/2017		3,800		3,838,000
Bumble Bee Holdco SCA PIK†		9.625%		3/15/2018		5,725		5,238,375
Bunge NA Finance LP		5.90%		4/1/2017		9,050		9,903,659
Corn Products International, Inc.		4.625%		11/1/2020		10,000		10,106,620
Dole Food Co., Inc.		8.75%		7/15/2013		30,000		32,775,000
Dole Food Co., Inc.		13.875%		3/15/2014		5,395		6,487,488

See Notes to Financial Statements.

17

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Food: Wholesale (continued)
Mead Johnson Nutrition Co.		4.90%		11/1/2019	$	15,000	$	15,855,120
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.		8.25%		9/1/2017		5,250		5,473,125
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.		9.25%		4/1/2015		8,250		8,600,625
Viterra, Inc. (Canada)†(a)		5.95%		8/1/2020		18,250		18,590,727
Total								124,481,239
Forestry/Paper 1.48%
Boise Paper Holdings LLC/Boise Co-Issuer Co.		8.00%		4/1/2020		3,600		3,798,000
Boise Paper Holdings LLC/Boise Finance Co.		9.00%		11/1/2017		3,750		4,096,875
Cascades, Inc. (Canada)(a)		7.75%		12/15/2017		6,300		6,599,250
Cascades, Inc. (Canada)(a)		7.875%		1/15/2020		3,425		3,583,406
Georgia-Pacific LLC†		5.40%		11/1/2020		5,100		5,207,044
Georgia-Pacific LLC†		8.25%		5/1/2016		20,000		22,680,880
Longview Fibre Paper & Packaging, Inc.†		8.00%		6/1/2016		14,000		14,140,000
Millar Western Forest Products Ltd. (Canada)†(a)		8.50%		4/1/2021		10,000		9,050,000
NewPage Corp.		11.375%		12/31/2014		11,150		10,453,125
Rock-Tenn Co.		9.25%		3/15/2016		10,000		10,850,000
Smurfit Kappa Funding plc (Ireland)(a)		7.75%		4/1/2015		18,000		18,270,000
Weyerhaeuser Co.		7.375%		10/1/2019		10,000		11,345,630
Total								120,074,210
Gaming 3.18%
Ameristar Casinos, Inc.†		7.50%		4/15/2021		6,500		6,735,625
Boyd Gaming Corp.		7.125%		2/1/2016		12,500		11,593,750
Caesar’s Entertainment Operating Co., Inc.		5.625%		6/1/2015		12,000		9,750,000
Caesar’s Entertainment Operating Co., Inc.		12.75%		4/15/2018		20,000		20,050,000
CityCenter Holdings LLC/CityCenter Finance Corp.†		7.625%		1/15/2016		11,800		12,242,500
CityCenter Holdings LLC/CityCenter Finance Corp. PIK†		10.75%		1/15/2017		6,750		7,357,500
Downstream Development Authority Quapaw Tribe of Oklahoma†		10.50%		7/1/2019		11,600		11,600,000
Isle of Capri Casinos, Inc.		7.00%		3/1/2014		20,000		19,925,000
Marina District Finance Co., Inc.		9.875%		8/15/2018		18,000		18,765,000
MCE Finance Ltd.		10.25%		5/15/2018		11,000		12,306,250
MGM Resorts International		6.625%		7/15/2015		10,000		9,425,000
MGM Resorts International		9.00%		3/15/2020		4,950		5,445,000

See Notes to Financial Statements.

18

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Gaming (continued)
Midwest Gaming Borrower LLC/Midwest Finance Corp.†		11.625%		4/15/2016	$	7,700	$	8,162,000
Mohegan Tribal Gaming Authority†		11.50%		11/1/2017		20,000		20,700,000
Peninsula Gaming LLC		8.375%		8/15/2015		4,600		4,853,000
Peninsula Gaming LLC†		8.375%		8/15/2015		3,600		3,798,000
River Rock Entertainment Authority (The)		9.75%		11/1/2011		17,000		15,172,500
Snoqualmie Entertainment Authority†		9.125%		2/1/2015		17,725		17,414,812
Station Casinos, Inc.(f)		6.50%		2/1/2014		27,000		2,700
Sugarhouse HSP Gaming Prop. Mezz. LP/Sugarhouse HSP Gaming Finance Corp.†		8.625%		4/15/2016		14,000		14,490,000
Wynn Las Vegas LLC/Capital Corp.		7.75%		8/15/2020		5,300		5,783,625
Wynn Las Vegas LLC/Capital Corp.		7.875%		11/1/2017		20,000		21,875,000
Total								257,447,262
Gas Distribution 3.27%
El Paso Corp.		6.50%		9/15/2020		8,200		9,006,298
El Paso Corp.		7.00%		6/15/2017		30,000		34,091,250
El Paso Corp.		7.25%		6/1/2018		10,000		11,282,230
El Paso Corp.		7.75%		1/15/2032		10,000		11,682,720
El Paso Pipeline Partners Operating Co. LLC		6.50%		4/1/2020		10,000		11,244,490
Ferrellgas LP/Ferrellgas Finance Corp.†		6.50%		5/1/2021		10,325		9,808,750
Ferrellgas Partners LP		8.625%		6/15/2020		9,750		10,335,000
Florida Gas Transmission Co. LLC†		7.90%		5/15/2019		7,700		9,512,526
IFM US Colonial Pipeline 2 LLC†		6.45%		5/1/2021		19,000		20,081,100
Inergy LP/Inergy Finance Corp.†		6.875%		8/1/2021		19,500		19,524,375
Inergy LP/Inergy Finance Corp.		8.75%		3/1/2015		943		1,009,010
Kinder Morgan Finance Co. LLC†		6.00%		1/15/2018		17,000		17,722,500
MarkWest Energy Partners LP		6.75%		11/1/2020		17,000		17,425,000
MarkWest Energy Partners LP		8.75%		4/15/2018		6,000		6,570,000
National Fuel Gas Co.		6.50%		4/15/2018		25,400		28,439,110
National Fuel Gas Co.		8.75%		5/1/2019		5,000		6,259,850
NiSource Finance Corp.		10.75%		3/15/2016		2,200		2,877,512
NorthernStar Natural Gas, Inc. PIK(f)		5.00%		5/15/2014		4,229		423
Northwest Pipeline GP		6.05%		6/15/2018		5,025		5,698,234
Panhandle Eastern Pipeline Co. LP		7.00%		6/15/2018		7,600		8,953,218
Panhandle Eastern Pipeline Co. LP		8.125%		6/1/2019		13,800		16,703,382
Suburban Propane Partners LP/Suburban Energy Finance Corp.		7.375%		3/15/2020		6,600		6,930,000
Total								265,156,978

See Notes to Financial Statements.

19

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Health Facilities 3.90%
Bausch & Lomb, Inc.		9.875%		11/1/2015	$	30,000	$	31,950,000
Biomet, Inc.		10.00%		10/15/2017		22,000		24,090,000
Capella Healthcare, Inc.†		9.25%		7/1/2017		10,000		10,600,000
Community Health Systems, Inc.		8.875%		7/15/2015		39,000		40,267,500
HCA Holdings, Inc.†		7.75%		5/15/2021		22,000		22,935,000
HCA, Inc.		7.875%		2/15/2020		10,000		10,900,000
HCA, Inc.		9.875%		2/15/2017		7,800		8,716,500
HealthSouth Corp.		8.125%		2/15/2020		24,650		26,591,187
Kindred Healthcare, Inc.†		8.25%		6/1/2019		9,000		9,000,000
Omega Healthcare Investors, Inc.†		6.75%		10/15/2022		6,900		6,839,625
Omega Healthcare Investors, Inc.		7.50%		2/15/2020		7,750		8,253,750
Select Medical Corp.		7.625%		2/1/2015		20,000		19,900,000
Tenet Healthcare Corp.		8.875%		7/1/2019		6,850		7,594,938
Tenet Healthcare Corp.		9.25%		2/1/2015		15,000		16,481,250
United Surgical Partners International, Inc.		8.875%		5/1/2017		21,500		22,575,000
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc.		8.00%		2/1/2018		30,000		31,125,000
Vanguard Health Systems, Inc.		Zero Coupon		2/1/2016		5,750		3,816,563
VWR Funding, Inc. PIK		10.25%		7/15/2015		13,969		14,667,351
Total								316,303,664
Health Services 0.39%
inVentiv Health, Inc.†		10.00%		8/15/2018		3,500		3,325,000
STHI Holding Corp.†		8.00%		3/15/2018		12,500		12,750,000
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC (Ireland)†(a)		7.75%		9/15/2018		15,000		15,206,250
Total								31,281,250
Hotels 1.20%
FelCor Lodging LP†		6.75%		6/1/2019		16,500		15,922,500
FelCor Lodging LP		10.00%		10/1/2014		7,630		8,602,825
Gaylord Entertainment Co.		6.75%		11/15/2014		9,600		9,768,000
Host Hotels & Resorts LP		6.375%		3/15/2015		15,000		15,375,000
Hyatt Hotels Corp.†		5.75%		8/15/2015		20,036		21,085,285
Starwood Hotels & Resorts Worldwide, Inc.		6.75%		5/15/2018		8,500		9,456,250
Starwood Hotels & Resorts Worldwide, Inc.		7.875%		10/15/2014		10,000		11,475,000
Wyndham Worldwide Corp.		5.75%		2/1/2018		5,315		5,495,694
Total								97,180,554

See Notes to Financial Statements.

20

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate			Maturity Date		Principal Amount (000)		Fair Value
Household & Leisure Products 0.37%
American Standard Americas†		10.75%			1/15/2016	$	12,675	$	12,247,219
Whirlpool Corp.		8.60%			5/1/2014		15,000		17,490,720
Total									29,737,939
Insurance Brokerage 0.33%
HUB International Holdings, Inc.†		9.00%			12/15/2014		10,000		10,250,000
USI Holdings Corp.†		4.136%	#		11/15/2014		17,250		16,128,750
Total									26,378,750
Integrated Energy 0.51%
Alta Wind Holdings LLC†		7.00%			6/30/2035		11,317		12,044,675
Coso Geothermal Power Holdings LLC†		7.00%			7/15/2026		14,197		11,826,601
LUKOIL International Finance BV (Netherlands)†(a)		6.656%			6/7/2022		16,525		17,495,844
Total									41,367,120
Investments & Miscellaneous Financial Services 0.81%
FMR LLC†		5.35%			11/15/2021		14,800		15,418,862
KKR Group Finance Co.†		6.375%			9/29/2020		10,900		11,547,209
Nuveen Investments, Inc.		10.50%			11/15/2015		33,750		34,678,125
Nuveen Investments, Inc.†		10.50%			11/15/2015		4,300		4,375,250
Total									66,019,446
Leisure 0.73%
MU Finance plc (United Kingdom)†(a)		8.375%			2/1/2017		20,600		22,042,000
NCL Corp. Ltd.†		9.50%			11/15/2018		9,225		9,870,750
Speedway Motorsports, Inc.		8.75%			6/1/2016		15,450		16,743,937
Universal City Development Partners Ltd.		8.875%			11/15/2015		9,225		10,308,938
Total									58,965,625
Life Insurance 0.23%
MetLife Capital Trust X†		9.25%			4/8/2038		15,075		18,466,875
Local-Authority 0.19%
New York City Industrial Development Agency†		11.00%			3/1/2029		12,000		15,094,920
Machinery 0.98%
Altra Holdings, Inc.		8.125%			12/1/2016		20,000		21,700,000
Manitowoc Co., Inc. (The)		8.50%			11/1/2020		3,600		3,861,000
Manitowoc Co., Inc. (The)		9.50%			2/15/2018		20,450		22,316,062

See Notes to Financial Statements.

21

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Machinery (continued)
Roper Industries, Inc.		6.25%		9/1/2019	$	10,350	$	11,737,863
Steelcase, Inc.		6.375%		2/15/2021		11,175		11,647,725
Thermadyne Holdings Corp.†		9.00%		12/15/2017		7,500		7,875,000
Total								79,137,650
Managed Care 0.19%
Centene Corp.		5.75%		6/1/2017		15,500		15,248,125
Media: Broadcast 1.84%
Allbritton Communications Co.		8.00%		5/15/2018		12,825		13,113,562
AMC Networks, Inc.†		7.75%		7/15/2021		10,000		10,475,000
Belo Corp.		8.00%		11/15/2016		10,000		11,000,000
Citadel Broadcasting Corp.†		7.75%		12/15/2018		5,650		6,031,375
Clear Channel Communications, Inc.		5.50%		9/15/2014		2,150		1,892,000
Clear Channel Communications, Inc.†		9.00%		3/1/2021		13,150		12,656,875
Cumulus Media, Inc.†		7.75%		5/1/2019		12,000		11,640,000
Discovery Communications LLC		5.625%		8/15/2019		11,150		12,342,392
FoxCo Acquisition Sub LLC†		13.375%		7/15/2016		5,650		6,271,500
Gray Television, Inc.		10.50%		6/29/2015		14,175		14,812,875
Grupo Televisa SA (Mexico)(a)		6.00%		5/15/2018		5,050		5,515,186
LIN Television Corp.		6.50%		5/15/2013		12,075		12,150,469
LIN Television Corp.		8.375%		4/15/2018		7,500		7,931,250
Salem Communications Corp.		9.625%		12/15/2016		4,442		4,702,968
Sinclair Television Group, Inc.†		9.25%		11/1/2017		8,750		9,646,875
Univision Communications, Inc.†		8.50%		5/15/2021		8,625		8,646,562
Total								148,828,889
Media: Cable 2.44%
CCH II LLC/CCH II Capital Corp.		13.50%		11/30/2016		3,667		4,336,098
CCO Holdings LLC/CCO Holdings Capital Corp.		7.00%		1/15/2019		9,450		9,780,750
CCO Holdings LLC/CCO Holdings Capital Corp.		8.125%		4/30/2020		17,500		18,987,500
CSC Holdings LLC		8.625%		2/15/2019		15,000		16,987,500
DISH DBS Corp.†		6.75%		6/1/2021		20,000		20,600,000
DISH DBS Corp.		7.125%		2/1/2016		22,350		23,691,000
Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG (Germany)†(a)		7.50%		3/15/2019		4,450		4,561,250
Mediacom Broadband LLC		8.50%		10/15/2015		10,000		10,300,000
Mediacom Communications Corp.		9.125%		8/15/2019		32,450		34,397,000

See Notes to Financial Statements.

22

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Media: Cable (continued)
Ono Finance II plc (Ireland)†(a)		10.875%		7/15/2019	$	7,075	$	7,570,250
Time Warner Cable, Inc.		4.125%		2/15/2021		7,500		7,263,480
Virgin Media Finance plc (United Kingdom)(a)		8.375%		10/15/2019		15,000		16,800,000
Virgin Media Finance plc (United Kingdom)(a)		9.50%		8/15/2016		17,500		19,862,500
Virgin Media Secured Finance plc (United Kingdom)†(a)		5.25%		1/15/2021		2,250		2,400,563
Total								197,537,891
Media: Services 1.16%
Affinion Group, Inc.		11.50%		10/15/2015		12,200		12,657,500
Interpublic Group of Cos., Inc. (The)		6.25%		11/15/2014		10,000		11,125,000
Interpublic Group of Cos., Inc. (The)		10.00%		7/15/2017		15,000		17,812,500
Lamar Media Corp.		7.875%		4/15/2018		7,500		7,893,750
Nielsen Finance LLC/Nielsen Finance Co.†		7.75%		10/15/2018		5,450		5,749,750
Nielsen Finance LLC/Nielsen Finance Co.		11.50%		5/1/2016		1,788		2,100,900
WMG Acquisition Corp.		7.375%		4/15/2014		10,000		10,175,000
WMG Acquisition Corp.		9.50%		6/15/2016		25,000		26,500,000
Total								94,014,400
Medical Products 0.31%
Bio-Rad Laboratories, Inc.		8.00%		9/15/2016		12,500		13,937,500
Giant Funding Corp.†		8.25%		2/1/2018		5,100		5,342,250
Life Technologies Corp.		6.00%		3/1/2020		5,300		5,760,109
Total								25,039,859
Metals/Mining (Excluding Steel) 3.32%
Arch Coal, Inc.†		7.25%		6/15/2021		21,000		21,131,250
Arch Coal, Inc.		7.25%		10/1/2020		2,600		2,658,500
Arch Coal, Inc.		8.75%		8/1/2016		10,000		10,900,000
Boart Longyear Management Pty Ltd. (Australia)†(a)		7.00%		4/1/2021		8,700		8,939,250
Cliffs Natural Resources, Inc.		5.90%		3/15/2020		10,000		10,845,160
CONSOL Energy, Inc.†		6.375%		3/1/2021		3,950		3,950,000
CONSOL Energy, Inc.		8.25%		4/1/2020		15,000		16,425,000
FMG Resources (August 2006) Pty Ltd. (Australia)†(a)		6.875%		2/1/2018		6,000		6,120,000
FMG Resources (August 2006) Pty Ltd. (Australia)†(a)		7.00%		11/1/2015		6,000		6,150,000
Foundation PA Coal Co.		7.25%		8/1/2014		10,000		10,200,000

See Notes to Financial Statements.

23

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate			Maturity Date			Principal Amount (000)		Fair Value
Metals/Mining (Excluding Steel) (continued)
Gold Fields Orogen Holding BVI Ltd.†		4.875%			10/7/2020		$	14,500	$	13,749,872
James River Escrow, Inc.†		7.875%			4/1/2019			22,500		22,387,500
Mirabela Nickel Ltd. (Australia)†(a)		8.75%			4/15/2018			17,000		17,000,000
Murray Energy Corp.†		10.25%			10/15/2015			10,000		10,550,000
Noranda Aluminum Acquisition Corp. PIK		4.417%	#		5/15/2015			16,786		15,857,284
Novelis, Inc.		8.75%			12/15/2020			9,500		10,307,500
Patriot Coal Corp.		8.25%			4/30/2018			12,500		13,000,000
Peabody Energy Corp.		7.375%			11/1/2016			7,300		8,285,500
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp.		8.25%			4/15/2018			14,275		14,810,312
Quadra FNX Mining Ltd. (Canada)†(a)		7.75%			6/15/2019			20,700		21,010,500
Teck Resources Ltd. (Canada)(a)		10.75%			5/15/2019			15,000		18,982,845
Thompson Creek Metals Co., Inc. (Canada)†(a)		7.375%			6/1/2018			6,000		5,910,000
Total										269,170,473
Monoline Insurance 0.21%
Fidelity National Financial, Inc.		6.60%			5/15/2017			16,250		17,173,423
Multi-Line Insurance 0.33%
AXA SA (France)†(a)		6.379%			–	(e)		11,225		9,934,125
Genworth Financial, Inc.		7.625%			9/24/2021			13,575		13,757,014
ZFS Finance USA Trust V†		6.50%			5/9/2037			3,024		3,024,000
Total										26,715,139
Oil Field Equipment & Services 1.34%
Basic Energy Services, Inc.†		7.75%			2/15/2019			11,850		11,938,875
Complete Production Services, Inc.		8.00%			12/15/2016			17,125		17,981,250
Dresser-Rand Group, Inc.†		6.50%			5/1/2021			15,000		15,525,000
Key Energy Services, Inc.		6.75%			3/1/2021			5,750		5,764,375
Oil States International, Inc.†		6.50%			6/1/2019			16,000		16,120,000
Precision Drilling Corp. (Canada)(a)		6.625%			11/15/2020			5,700		5,785,500
SEACOR Holdings, Inc.		7.375%			10/1/2019			19,750		21,715,559
SESI LLC†		6.375%			5/1/2019			6,700		6,649,750
Trinidad Drilling Ltd. (Canada)†(a)		7.875%			1/15/2019			6,600		6,864,000
Total										108,344,309
Oil Refining & Marketing 0.32%
Alon Refining Krotz Springs, Inc.		13.50%			10/15/2014			6,275		6,588,750

See Notes to Financial Statements.

24

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Oil Refining & Marketing (continued)
Tesoro Corp.		9.75%		6/1/2019	$	17,000	$	19,082,500
Total								25,671,250
Packaging 2.77%
AEP Industries, Inc.†		8.25%		4/15/2019		15,000		15,112,500
Ardagh Packaging Finance plc (Ireland)†(a)		7.375%		10/15/2017		7,775		8,047,125
Ardagh Packaging Finance plc (Ireland)†(a)		9.125%		10/15/2020		9,500		10,046,250
Ball Corp.		6.625%		3/15/2018		10,000		10,337,500
Ball Corp.		7.375%		9/1/2019		10,000		10,975,000
Crown Americas LLC/Crown Americas Capital Corp. II		7.625%		5/15/2017		10,000		10,712,500
Crown Cork & Seal Co., Inc.		7.375%		12/15/2026		47,770		47,053,450
Graham Packaging Co. LP/GPC Capital Corp. I		8.25%		1/1/2017		10,000		11,200,000
Graham Packaging Co. LP/GPC Capital Corp. I		8.25%		10/1/2018		7,500		8,381,250
Graphic Packaging International, Inc.		9.50%		8/15/2013		13,258		13,456,870
Packaging Dynamics Corp.†		8.75%		2/1/2016		6,525		6,655,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA†		8.50%		10/15/2016		21,500		22,521,250
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA†		8.75%		5/15/2018		12,000		11,850,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA†		9.00%		4/15/2019		6,500		6,451,250
Sealed Air Corp.†		6.875%		7/15/2033		5,000		4,415,110
Sealed Air Corp.		7.875%		6/15/2017		2,500		2,706,507
Solo Cup Co.		8.50%		2/15/2014		12,650		11,859,375
Vitro SA de CV (Mexico)(a)(f)		9.125%		2/1/2017		16,500		12,292,500
Total								224,073,937
Pharmaceuticals 0.47%
Axcan Intermediate Holdings, Inc.		12.75%		3/1/2016		10,000		10,887,500
Mylan, Inc.†		7.625%		7/15/2017		5,250		5,748,750
Mylan, Inc.†		7.875%		7/15/2020		7,500		8,268,750
Valeant Pharmaceuticals International†		6.75%		8/15/2021		14,150		13,513,250
Total								38,418,250
Printing & Publishing 0.15%
ProQuest LLC/ProQuest Notes Co.†		9.00%		10/15/2018		11,625		11,973,750

See Notes to Financial Statements.

25

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Property & Casualty 0.33%
Liberty Mutual Group, Inc.†(g)		10.75%		6/15/2058	$	20,000	$	26,750,000
Railroads 0.34%
Florida East Coast Railway Corp.†		8.125%		2/1/2017		20,000		20,750,000
Kansas City Southern de Mexico SA de CV (Mexico)†(a)		6.125%		6/15/2021		7,125		7,160,625
Total								27,910,625
Real Estate Investment Trusts 1.16%
Developers Diversified Realty Corp.		7.875%		9/1/2020		11,000		12,633,313
DuPont Fabros Technology LP		8.50%		12/15/2017		13,875		15,227,812
Goodman Funding Pty Ltd. (Australia)†(a)		6.375%		11/12/2020		12,000		12,375,300
Health Care REIT, Inc.		6.125%		4/15/2020		10,000		10,729,370
Kilroy Realty LP		5.00%		11/3/2015		8,000		8,346,048
ProLogis LP		6.875%		3/15/2020		21,000		23,226,819
ProLogis LP		8.65%		5/15/2016		10,187		11,700,442
Total								94,239,104
Restaurants 0.39%
DineEquity, Inc.†		9.50%		10/30/2018		6,425		7,003,250
Wendy’s/Arby’s Restaurants LLC		10.00%		7/15/2016		22,500		25,031,250
Total								32,034,500
Software/Services 1.75%
Buccaneer Merger Sub, Inc.†		9.125%		1/15/2019		11,275		11,782,375
Ceridian Corp.		11.25%		11/15/2015		6,750		6,783,750
Fidelity National Information Services, Inc.		7.625%		7/15/2017		5,000		5,331,250
First Data Corp.†		7.375%		6/15/2019		4,450		4,505,625
First Data Corp.†		8.25%		1/15/2021		15,000		14,775,000
First Data Corp.		9.875%		9/24/2015		2,514		2,595,705
First Data Corp.†		12.625%		1/15/2021		11,243		12,086,225
SERENA Software, Inc.		10.375%		3/15/2016		7,600		8,008,500
SunGard Data Systems, Inc.		7.375%		11/15/2018		15,250		15,326,250
SunGard Data Systems, Inc.		7.625%		11/15/2020		6,100		6,191,500
SunGard Data Systems, Inc.		10.25%		8/15/2015		40,000		41,500,000
Vangent, Inc.		9.625%		2/15/2015		12,500		12,687,500
Total								141,573,680

See Notes to Financial Statements.

26

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Specialty Retail 1.84%
Brookstone Co., Inc.†		13.00%		10/15/2014	$	7,821	$	6,667,403
Brown Shoe Co., Inc.†		7.125%		5/15/2019		12,500		12,000,000
J. Crew Group, Inc.†		8.125%		3/1/2019		12,400		11,997,000
Limited Brands, Inc.		7.00%		5/1/2020		15,000		15,862,500
Limited Brands, Inc.		7.60%		7/15/2037		7,500		7,387,500
Limited Brands, Inc.		8.50%		6/15/2019		12,500		14,312,500
PETCO Animal Supplies, Inc.†		9.25%		12/1/2018		14,000		14,945,000
QVC, Inc.†		7.125%		4/15/2017		7,800		8,229,000
QVC, Inc.†		7.375%		10/15/2020		17,500		18,506,250
Toys “R” Us Property Co. I LLC		10.75%		7/15/2017		23,575		26,345,062
Toys “R” Us Property Co. II LLC		8.50%		12/1/2017		12,000		12,600,000
Total								148,852,215
Steel Producers/Products 0.90%
Algoma Acquisition Corp. (Canada)†(a)		9.875%		6/15/2015		18,700		17,484,500
Allegheny Ludlum Corp.		6.95%		12/15/2025		13,875		15,301,503
Allegheny Technologies, Inc.		9.375%		6/1/2019		10,200		12,943,004
Essar Steel Algoma, Inc. (Canada)†(a)		9.375%		3/15/2015		11,000		11,082,500
JMC Steel Group†		8.25%		3/15/2018		7,700		7,854,000
Steel Dynamics, Inc.		7.625%		3/15/2020		7,500		7,968,750
Total								72,634,257
Support: Services 1.91%
ARAMARK Holdings Corp. PIK†		8.625%		5/1/2016		2,900		2,965,250
Audatex North America, Inc.†		6.75%		6/15/2018		5,900		5,959,000
Avis Budget Car Rental		9.625%		3/15/2018		13,240		14,199,900
B-Corp Merger Sub, Inc.†		8.25%		6/1/2019		4,400		4,378,000
Corrections Corp. of America		7.75%		6/1/2017		8,719		9,536,406
Diversey, Inc.		8.25%		11/15/2019		8,150		9,596,625
Expedia, Inc.		8.50%		7/1/2016		12,250		13,413,750
FTI Consulting, Inc.		6.75%		10/1/2020		10,000		10,150,000
FTI Consulting, Inc.		7.75%		10/1/2016		12,075		12,678,750
Hertz Corp. (The)†		7.50%		10/15/2018		21,500		22,252,500
Iron Mountain, Inc.		8.375%		8/15/2021		11,250		11,868,750
PHH Corp.		9.25%		3/1/2016		5,750		6,317,813
RSC Equipment Rental, Inc./RSC Holdings III LLC		8.25%		2/1/2021		5,975		5,975,000
Travelport LLC		9.875%		9/1/2014		6,000		5,550,000
Travelport LLC/Travelport, Inc.		9.00%		3/1/2016		10,000		8,975,000

See Notes to Financial Statements.

27

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Support: Services (continued)
United Rentals (North America), Inc.		10.875%		6/15/2016	$	10,000	$	11,237,500
Total								155,054,244
Telecommunications Equipment 0.79%
Alcatel-Lucent USA, Inc.		6.45%		3/15/2029		13,600		12,308,000
Avaya, Inc.†		7.00%		4/1/2019		21,000		20,422,500
CommScope, Inc.†		8.25%		1/15/2019		30,000		31,050,000
Total								63,780,500
Telecommunications: Integrated/Services 3.06%
CenturyLink, Inc.		6.15%		9/15/2019		10,000		10,073,670
CenturyLink, Inc.		6.45%		6/15/2021		12,000		11,884,308
Dycom Investments, Inc.†		7.125%		1/15/2021		16,750		17,168,750
EH Holding Corp.†		7.625%		6/15/2021		22,000		22,550,000
Equinix, Inc.		8.125%		3/1/2018		11,750		12,851,563
GCI, Inc.†		6.75%		6/1/2021		7,725		7,744,313
Hellas II (Luxembourg)†(a)(f)		6.001%		1/15/2015		15,000		1,500
Intelsat Jackson Holdings SA (Luxembourg)†(a)		7.50%		4/1/2021		23,250		23,162,812
Intelsat Jackson Holdings SA (Luxembourg)(a)		11.25%		6/15/2016		16,945		18,004,062
Intelsat Luxembourg SA (Luxembourg)(a)		11.25%		2/4/2017		35,300		37,991,625
Level 3 Escrow, Inc.†		8.125%		7/1/2019		7,750		7,808,125
MasTec, Inc.		7.625%		2/1/2017		12,500		12,781,250
Telecom Italia Capital SA (Italy)(a)		7.175%		6/18/2019		5,250		5,805,335
Telefonica Emisiones SAU (Spain)(a)		7.045%		6/20/2036		6,700		7,109,792
Telemar Norte Leste SA (Brazil)†(a)		5.50%		10/23/2020		9,532		9,460,510
Windstream Corp.		7.00%		3/15/2019		28,000		28,420,000
Windstream Corp.		7.75%		10/1/2021		14,700		15,435,000
Total								248,252,615
Telecommunications: Wireless 4.40%
CC Holdings GS V LLC/Crown Castle GS III Corp.†		7.75%		5/1/2017		40,000		43,500,000
Clearwire Communications LLC/Clearwire Finance, Inc.†		12.00%		12/1/2017		15,000		15,750,000
Cricket Communications, Inc.†		7.75%		10/15/2020		4,425		4,347,563
Digicel Group Ltd. (Jamaica)†(a)		10.50%		4/15/2018		12,000		13,500,000
GeoEye, Inc.		8.625%		10/1/2016		3,500		3,701,250
GeoEye, Inc.		9.625%		10/1/2015		17,000		19,295,000
Inmarsat Finance plc (United Kingdom)†(a)		7.375%		12/1/2017		10,000		10,650,000

See Notes to Financial Statements.

28

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate			Maturity Date		Principal Amount (000)		Fair Value
Telecommunications: Wireless (continued)
iPCS, Inc. PIK		3.523%	#		5/1/2014	$	4,868	$	4,685,225
MetroPCS Wireless, Inc.		6.625%			11/15/2020		24,400		24,217,000
MetroPCS Wireless, Inc.		7.875%			9/1/2018		20,000		21,275,000
NII Capital Corp.		8.875%			12/15/2019		16,250		18,017,187
NII Capital Corp.		10.00%			8/15/2016		15,840		18,453,600
SBA Telecommunications, Inc.		8.25%			8/15/2019		10,000		10,750,000
Sprint Capital Corp.		6.90%			5/1/2019		45,000		46,575,000
Sprint Nextel Corp.		8.375%			8/15/2017		25,000		27,593,750
Telemovil Finance Co., Ltd. (El Salvador)†(a)		8.00%			10/1/2017		11,450		12,119,825
ViaSat, Inc.		8.875%			9/15/2016		12,750		13,578,750
Vimpel Communications via VIP Finance Ireland Ltd. OJSC (Luxembourg)†(a)		7.748%			2/2/2021		8,550		8,849,250
Wind Acquisition Finance SA (Italy)†(a)		7.25%			2/15/2018		14,000		14,595,000
Wind Acquisition Finance SA (Italy)†(a)		11.75%			7/15/2017		21,625		24,598,437
Total									356,051,837
Theaters & Entertainment 0.68%
Cinemark USA, Inc.†		7.375%			6/15/2021		1,925		1,925,000
Cinemark USA, Inc.		8.625%			6/15/2019		15,500		17,050,000
Lions Gate Entertainment, Inc.†		10.25%			11/1/2016		15,450		15,797,625
Live Nation Entertainment, Inc.†		8.125%			5/15/2018		20,000		20,300,000
Total									55,072,625
Transportation (Excluding Air/Rail) 0.44%
Asciano Finance Ltd. (Australia)†(a)		4.625%			9/23/2020		9,750		9,320,279
CMA CGM SA (France)†(a)		8.50%			4/15/2017		3,175		2,682,875
Commercial Barge Line Co.		12.50%			7/15/2017		9,500		10,711,250
Great Lakes Dredge & Dock Corp.†		7.375%			2/1/2019		13,000		12,870,000
Total									35,584,404
Total High Yield Corporate Bonds (cost $6,168,472,531)									6,487,615,767
MUNICIPAL BOND 0.19%
Other Revenue
Metro Govt of Nashville & Davidson Cnty TN Convtn Ctr Auth Build America Bds Ser B (cost $14,880,796)		6.731%			7/1/2043		14,650		15,116,309

See Notes to Financial Statements.

29

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Interest Rate			Maturity Date		Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 0.80%
Banc of America Commercial Mortgage, Inc. 2006-4 AM		5.675%			7/10/2046	$	10,000	$	9,957,284
Greenwich Capital Commercial Funding Corp. 2006-GG7 AM		6.078%	#		7/10/2038		10,000		10,293,087
GS Mortgage Securities Corp. II 2006-GG8 AM		5.591%			11/10/2039		10,000		9,826,173
LB-UBS Commercial Mortgage Trust 2007-C1 AM		5.455%			2/15/2040		10,000		9,739,982
Morgan Stanley Capital I 2011-C1†		5.423%	#		9/15/2047		11,000		10,484,759
Wachovia Bank Commercial Mortgage Trust 2006-C28 AM		5.603%			10/15/2048		15,000		14,218,363
Total Non-Agency Commercial Mortgage-Backed Securities (cost $68,026,044)									64,519,648
						Shares (000)
PREFERRED STOCKS 0.15%
Agency/Government Related 0.01%
Fannie Mae*		Zero Coupon					481		1,035,010
Banking 0.14%
U.S. Bancorp		3.50%	#				13		10,937,063
Total Preferred Stocks (cost $20,694,030)									11,972,073
	Exercise Price			Expiration Date
WARRANTS 0.07%
Auto Parts & Equipment 0.03%
Cooper-Standard Holdings, Inc.		$27.33			11/27/2017		83,503		2,004,072
Automakers 0.02%
General Motors Co.		10.00			07/10/2016		52,915		1,132,381
General Motors Co.		18.33			07/10/2019		52,915		842,936
Total									1,975,317
Media: Broadcast 0.01%
ION Media Networks, Inc.(h)		687.00			12/18/2016		1,950		365,625
ION Media Networks, Inc.(h)		500.00			12/18/2016		1,975		567,812
Total									933,437

See Notes to Financial Statements.

30

Schedule of Investments (unaudited)(continued)

June 30, 2011

Investments	Exercise Price		Expiration Date		Shares (000)		Fair Value
Media: Cable 0.01%
Charter Communications, Inc.	$	46.86		11/30/2014		84,078	$	1,177,092
Total Warrants (cost $13,538,967)								6,089,918
Total Long-Term Investments (cost $7,487,071,920)								7,952,101,340
					Principal Amount (000)
SHORT-TERM INVESTMENT 0.49%
Repurchase Agreement
Repurchase Agreement dated 6/30/2011, 0.01% due 7/1/2011 with Fixed Income Clearing Corp. collateralized by $40,560,000 of Federal Home Loan Mortgage Corp. at 1.00% due 11/8/2013; value: $40,610,700 proceeds: $39,811,152 (cost $39,811,141)					$	39,811		39,811,141
Total Investments in Securities 98.68% (cost $7,526,883,061)								7,991,912,481
Cash and Other Assets in Excess of Liabilities(i) 1.32%								106,935,822
Net Assets 100.00%							$	8,098,848,303

See Notes to Financial Statements.

31

Schedule of Investments (unaudited)(concluded)

June 30, 2011

ADR	American Depositary Receipt.
CAD	Canadian dollar.
PIK	Payment-in-kind.
*	Non-income producing security.
~	Deferred interest debentures pay the stated rate, after which they pay a predetermined interest 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 investors. Unless otherwise noted, 144A securities are deemed to be liquid.
#	Variable rate security. The interest rate represents the rate in effect at June 30, 2011.
(a)	Foreign security traded in U.S. dollars.
(b)	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 shown is the rate(s) in effect at June 30, 2011.
(c)	Investment in non-U.S. dollar denominated securities.
(d)	Stub Rights issued in connection with a plan of reorganization.
(e)	Security is perpetual in nature and has no stated maturity.
(f)	Defaulted security.
(g)	Debenture pays interest at an annual fixed rate of 10.75% through June 15, 2038. Thereafter, interest will be paid at an annual floating rate of 3-month LIBOR plus 7.12% through June 15, 2058. This debenture is subject to full redemption at the option of the issuer any time prior to June 15, 2038.
(h)	Restricted securities of ION Media Networks, Inc. acquired through private placement for the period ending June 30, 2011 are as follows:

Investment Type	Acquisition Date	Acquired Shares	Cost on Acquisition Date	Fair value per share at June 30, 2011
Warrant	April 15, 2011	1,950	$4,318,663	$187.50
Warrant	April 15, 2011	1,975	5,785,009	287.50

⁽ⁱ⁾ Cash and Other Assets in Excess of Liabilities include net unrealized appreciation on open futures contracts, as follows:

Open Futures Contracts at June 30, 2011:

Type	Expiration	Contracts		Position	Market Value		Unrealized Appreciation
U.S. 10-Year Treasury Note	September 2011		481	Short	$	(58,839,828)	$	473,682

See Notes to Financial Statements.

32

Statement of Assets and Liabilities (unaudited)

June 30, 2011

ASSETS:
Investments in securities, at fair value (cost $7,526,883,061)	$	7,991,912,481
Deposits with broker for futures collateral		529,100
Cash		1,613,491
Receivables:
Interest and dividends		129,533,734
Capital shares sold		51,438,785
Investment securities sold		48,692,137
Variation margin		248,109
Prepaid expenses and other assets		102,815
Total assets		8,224,070,652
LIABILITIES:
Payables:
Investment securities purchased		51,032,804
Capital shares reacquired		23,425,773
12b-1 distribution fees		4,519,039
Management fee		3,024,169
Directors’ fees		1,213,728
Fund administration		266,988
To affiliates (See Note 3)		61,018
Distributions payable		40,107,896
Accrued expenses		1,570,934
Total liabilities		125,222,349
NET ASSETS	$	8,098,848,303
COMPOSITION OF NET ASSETS:
Paid-in capital	$	7,861,833,467
Distribution in excess of net investment income		(52,092,178	)
Accumulated net realized loss on investments, futures contracts and foreign currency related transactions		(176,403,881	)
Net unrealized appreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies		465,510,895
Net Assets	$	8,098,848,303

See Notes to Financial Statements.

33

Statement of Assets and Liabilities (unaudited)(concluded)

June 30, 2011

Net assets by class:
Class A Shares	$	4,506,180,171
Class B Shares	$	383,024,421
Class C Shares	$	1,863,611,905
Class F Shares	$	786,183,888
Class I Shares	$	377,620,627
Class P Shares	$	141,848,711
Class R2 Shares	$	1,276,597
Class R3 Shares	$	39,101,983
Outstanding shares by class:
Class A Shares (1.14 billion shares of common stock authorized, $.001 par value)		565,337,461
Class B Shares (500 million shares of common stock authorized, $.001 par value)		47,889,500
Class C Shares (600 million shares of common stock authorized, $.001 par value)		233,226,815
Class F Shares (300 million shares of common stock authorized, $.001 par value)		98,755,001
Class I Shares (300 million shares of common stock authorized, $.001 par value)		47,597,060
Class P Shares (160 million shares of common stock authorized, $.001 par value)		17,426,991
Class R2 Shares (300 million shares of common stock authorized, $.001 par value)		160,137
Class R3 Shares (300 million shares of common stock authorized, $.001 par value)		4,913,213
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares):
Class A Shares-Net asset value		$7.97
Class A Shares-Maximum offering price (Net asset value plus sales charge of 4.75%)		$8.37
Class B Shares-Net asset value		$8.00
Class C Shares-Net asset value		$7.99
Class F Shares-Net asset value		$7.96
Class I Shares-Net asset value		$7.93
Class P Shares-Net asset value		$8.14
Class R2 Shares-Net asset value		$7.97
Class R3 Shares-Net asset value		$7.96

See Notes to Financial Statements.

34

Statement of Operations (unaudited)

For the Six Months Ended June 30, 2011

Investment income:
Dividends (net of foreign withholding taxes of $22,127)	$	10,649,269
Interest and other		267,244,994
Total investment income		277,894,263
Expenses:
Management fee		18,326,873
12b-1 distribution plan-Class A		7,771,450
12b-1 distribution plan-Class B		2,324,031
12b-1 distribution plan-Class C		9,285,148
12b-1 distribution plan-Class F		370,094
12b-1 distribution plan-Class P		320,467
12b-1 distribution plan-Class R2		3,827
12b-1 distribution plan-Class R3		92,193
Shareholder servicing		4,068,361
Fund administration		1,618,036
Reports to shareholders		289,696
Subsidy (See Note 3)		184,474
Registration		142,031
Directors’ fees		119,271
Professional		69,560
Custody		56,421
Other		123,271
Gross expenses		45,165,204
Expense reductions (See Note 7)		(5,287	)
Net expenses		45,159,917
Net investment income		232,734,346
Net realized and unrealized gain (loss):
Net realized gain on investments, futures contracts and foreign currency related transactions		185,092,942
Net change in unrealized appreciation/depreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies		(16,075,502	)
Net realized and unrealized gain		169,017,440
Net Increase in Net Assets Resulting From Operations	$	401,751,786

See Notes to Financial Statements.

35

Statements of Changes in Net Assets

INCREASE (DECREASE) IN NET ASSETS	For the Six Months Ended June 30, 2011 (unaudited)			For the Year Ended December 31, 2010
Operations:
Net investment income	$	232,734,346		$	483,778,201
Net realized gain on investments, futures contracts and foreign currency related transactions		185,092,942			227,859,128
Net change in unrealized appreciation/depreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies		(16,075,502	)		256,550,239
Net increase in net assets resulting from operations		401,751,786			968,187,568
Distributions to shareholders from:
Net investment income
Class A		(133,236,478	)		(274,946,555	)
Class B		(12,396,076	)		(34,252,312	)
Class C		(49,756,882	)		(102,248,065	)
Class F		(23,011,790	)		(36,820,969	)
Class I		(12,264,873	)		(20,369,323	)
Class P		(4,188,106	)		(8,598,647	)
Class R2		(36,603	)		(55,546	)
Class R3		(1,084,418	)		(1,695,379	)
Total distributions to shareholders		(235,975,226	)		(478,986,796	)
Capital share transactions (Net of share conversions) (See Note 11):
Proceeds from sales of shares		817,367,789			1,450,866,902
Reinvestment of distributions		186,137,965			402,759,836
Cost of shares reacquired		(1,111,762,464	)		(2,514,775,434	)
Net decrease in net assets resulting from capital share transactions		(108,256,710	)		(661,148,696	)
Net increase (decrease) in net assets		57,519,850			(171,947,924	)
NET ASSETS:
Beginning of period	$	8,041,328,453		$	8,213,276,377
End of period	$	8,098,848,303		$	8,041,328,453
Distributions in excess of net investment income	$	(52,092,178	)	$	(48,851,298	)

See Notes to Financial Statements.

36

Financial Highlights

	Class A Shares
	Six Months Ended 6/30/2011 (unaudited)			Year Ended 12/31
				2010			2009			2008			2007			2006
Per Share Operating Performance
Net asset value, beginning of period		$7.81			$7.35			$5.86			$7.92			$8.02			$7.80
Investment operations:
Net investment income(a)		.23			.47			.45			.47			.46			.43
Net realized and unrealized gain (loss)		.17			.45			1.55			(2.01	)		(.04	)		.31
Total from investment operations		.40			.92			2.00			(1.54	)		.42			.74
Distributions to shareholders from:
Net investment income		(.24	)		(.46	)		(.51	)		(.52	)		(.52	)		(.52	)
Net asset value, end of period		$7.97			$7.81			$7.35			$5.86			$7.92			$8.02
Total Return(b)		5.11	%(c)		12.94	%		35.37	%		(20.26	)%		5.34	%		9.87	%
Ratios to Average Net Assets:
Expenses, including expense reductions		.48	%(c)		.97	%		1.00	%		1.00	%		.99	%		.99	%
Expenses, excluding expense reductions		.48	%(c)		.97	%		1.00	%		1.00	%		.99	%		.99	%
Net investment income		2.93	%(c)		6.19	%		6.82	%		6.63	%		5.73	%		5.54	%
Supplemental Data:
Net assets, end of period (000)		$4,506,180			$4,415,645			$4,709,961			$3,316,663			$4,526,753			$4,731,545
Portfolio turnover rate		23.63	%(c)		42.65	%		41.93	%		29.01	%		40.08	%		32.40	%

^(a)  Calculated using average shares outstanding during the period.

^(b)  Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.

^(c)  Not annualized.

See Notes to Financial Statements.

37

Financial Highlights (continued)

	Class B Shares
	Six Months Ended 6/30/2011 (unaudited)			Year Ended 12/31
				2010			2009			2008			2007			2006
Per Share Operating Performance
Net asset value, beginning of period		$7.84			$7.37			$5.87			$7.93			$8.03			$7.80
Investment operations:
Net investment income(a)		.21			.42			.41			.43			.41			.38
Net realized and unrealized gain (loss)		.16			.46			1.55			(2.02	)		(.04	)		.32
Total from investment operations		.37			.88			1.96			(1.59	)		.37			.70
Distributions to shareholders from:
Net investment income		(.21	)		(.41	)		(.46	)		(.47	)		(.47	)		(.47	)
Net asset value, end of period		$8.00			$7.84			$7.37			$5.87			$7.93			$8.03
Total Return(b)		4.90	%(c)		12.16	%		34.52	%		(20.82	)%		4.63	%		9.26	%
Ratios to Average Net Assets:
Expenses, including expense reductions		.80	%(c)		1.62	%		1.65	%		1.65	%		1.64	%		1.64	%
Expenses, excluding expense reductions		.80	%(c)		1.62	%		1.65	%		1.65	%		1.64	%		1.64	%
Net investment income		2.61	%(c)		5.54	%		6.21	%		5.95	%		5.08	%		4.88	%
Supplemental Data:
Net assets, end of period (000)		$383,024			$530,340			$717,671			$660,920			$1,061,150			$1,269,914
Portfolio turnover rate		23.63	%(c)		42.65	%		41.93	%		29.01	%		40.08	%		32.40	%

^(a)  Calculated using average shares outstanding during the period.

^(b)  Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.

^(c)  Not annualized.

See Notes to Financial Statements.

38

Financial Highlights (continued)

	Class C Shares
	Six Months Ended 6/30/2011 (unaudited)			Year Ended 12/31
				2010			2009			2008			2007			2006
Per Share Operating Performance
Net asset value, beginning of period		$7.83			$7.36			$5.87			$7.94			$8.03			$7.81
Investment operations:
Net investment income(a)		.21			.42			.41			.43			.41			.38
Net realized and unrealized gain (loss)		.16			.46			1.54			(2.03	)		(.03	)		.31
Total from investment operations		.37			.88			1.95			(1.60	)		.38			.69
Distributions to shareholders from:
Net investment income		(.21	)		(.41	)		(.46	)		(.47	)		(.47	)		(.47	)
Net asset value, end of period		$7.99			$7.83			$7.36			$5.87			$7.94			$8.03
Total Return(b)		4.77	%(c)		12.34	%		34.44	%		(20.90	)%		4.77	%		9.13	%
Ratios to Average Net Assets:
Expenses, including expense reductions		.80	%(c)		1.62	%		1.65	%		1.65	%		1.64	%		1.64	%
Expenses, excluding expense reductions		.80	%(c)		1.62	%		1.65	%		1.65	%		1.64	%		1.64	%
Net investment income		2.61	%(c)		5.54	%		6.13	%		5.98	%		5.08	%		4.88	%
Supplemental Data:
Net assets, end of period (000)		$1,863,612			$1,866,405			$1,888,177			$1,018,175			$1,322,738			$1,312,440
Portfolio turnover rate		23.63	%(c)		42.65	%		41.93	%		29.01	%		40.08	%		32.40	%

^(a)  Calculated using average shares outstanding during the period.

^(b)  Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.

^(c)  Not annualized.

See Notes to Financial Statements.

39

Financial Highlights (continued)

	Class F Shares
	Six Months Ended 6/30/2011 (unaudited)			Year Ended 12/31									9/7/2007(a) to 12/31/2007
				2010			2009			2008
Per Share Operating Performance
Net asset value, beginning of period		$7.80			$7.34			$5.85			$7.92			$7.92
Investment operations:
Net investment income(b)														–	(c)
Net realized and unrealized gain														.03
Total from investment operations														.03
Net asset value on SEC Effective Date, 9/14/2007														$7.95
Investment operations:
Net investment income(b)		.24			.48			.46			.49			.15
Net realized and unrealized gain (loss)		.17			.46			1.55			(2.02	)		(.04	)
Total from investment operations		.41			.94			2.01			(1.53	)		.11
Distributions to shareholders from:
Net investment income		(.25	)		(.48	)		(.52	)		(.54	)		(.14	)
Net asset value, end of period		$7.96			$7.80			$7.34			$5.85			$7.92
Total Return(d)														.38	%(e)(f)
Total Return(d)		5.23	%(e)		13.24	%		35.81	%		(20.17	)%		1.31	%(e)(g)
Ratios to Average Net Assets:
Expenses, including expense reductions		.36	%(e)		.72	%		.75	%		.75	%		.25	%(e)
Expenses, excluding expense reductions		.36	%(e)		.72	%		.75	%		.75	%		.25	%(e)
Net investment income		3.04	%(e)		6.42	%		6.87	%		7.44	%		1.87	%(e)
Supplemental Data:
Net assets, end of period (000)		$786,184			$695,689			$435,085			$35,771			$10
Portfolio turnover rate		23.63	%(e)		42.65	%		41.93	%		29.01	%		40.08	%

^(a)  Commencement of operations was 9/7/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007.

^(b)  Calculated using average shares outstanding during the period.

^(c)  Amount less than $.01.

^(d)  Total return assumes the reinvestment of all distributions.

^(e)  Not annualized.

^(f)  Total return for the period 9/7/2007 through 9/14/2007.

^(g)  Total return for the period 9/14/2007 through 12/31/2007.

See Notes to Financial Statements.

40

Financial Highlights (continued)

	Class I Shares
	Six Months Ended 6/30/2011 (unaudited)			Year Ended 12/31
				2010			2009			2008			2007			2006
Per Share Operating Performance
Net asset value, beginning of period		$7.77			$7.31			$5.83			$7.90			$8.00			$7.78
Investment operations:
Net investment income(a)		.25			.49			.47			.50			.49			.46
Net realized and unrealized gain (loss)		.16			.46			1.54			(2.02	)		(.04	)		.31
Total from investment operations		.41			.95			2.01			(1.52	)		.45			.77
Distributions to shareholders from:
Net investment income		(.25	)		(.49	)		(.53	)		(.55	)		(.55	)		(.55	)
Net asset value, end of period		$7.93			$7.77			$7.31			$5.83			$7.90			$8.00
Total Return(b)		5.30	%(c)		13.40	%		35.87	%		(20.14	)%		5.72	%		10.29	%
Ratios to Average Net Assets:
Expenses, including expense reductions		.31	%(c)		.62	%		.65	%		.65	%		.64	%		.64	%
Expenses, excluding expense reductions		.31	%(c)		.62	%		.65	%		.65	%		.64	%		.64	%
Net investment income		3.10	%(c)		6.53	%		7.15	%		6.98	%		6.07	%		5.89	%
Supplemental Data:
Net assets, end of period (000)		$377,621			$353,941			$294,144			$203,843			$262,929			$342,363
Portfolio turnover rate		23.63	%(c)		42.65	%		41.93	%		29.01	%		40.08	%		32.40	%

^(a)  Calculated using average shares outstanding during the period.

^(b)  Total return assumes the reinvestment of all distributions.

^(c)  Not annualized.

See Notes to Financial Statements.

41

Financial Highlights (continued)

	Class P Shares
	Six Months Ended 6/30/2011 (unaudited)			Year Ended 12/31
				2010			2009			2008			2007			2006
Per Share Operating Performance
Net asset value, beginning of period		$7.98			$7.49			$5.97			$8.06			$8.15			$7.91
Investment operations:
Net investment income(a)		.24			.47			.45			.47			.46			.43
Net realized and unrealized gain (loss)		.16			.48			1.57			(2.05	)		(.04	)		.32
Total from investment operations		.40			.95			2.02			(1.58	)		.42			.75
Distributions to shareholders from:
Net investment income		(.24	)		(.46	)		(.50	)		(.51	)		(.51	)		(.51	)
Net asset value, end of period		$8.14			$7.98			$7.49			$5.97			$8.06			$8.15
Total Return(b)		5.14	%(c)		12.73	%		35.47	%		(20.50	)%		5.27	%		9.86	%
Ratios to Average Net Assets:
Expenses, including expense reductions		.53	%(c)		1.07	%		1.10	%		1.10	%		1.09	%		1.09	%
Expenses, excluding expense reductions		.53	%(c)		1.07	%		1.10	%		1.10	%		1.09	%		1.09	%
Net investment income		2.88	%(c)		6.08	%		6.70	%		6.55	%		5.64	%		5.43	%
Supplemental Data:
Net assets, end of period (000)		$141,849			$143,083			$150,002			$99,134			$120,343			$106,734
Portfolio turnover rate		23.63	%(c)		42.65	%		41.93	%		29.01	%		40.08	%		32.40	%

^(a)  Calculated using average shares outstanding during the period.

^(b)  Total return assumes the reinvestment of all distributions.

^(c)  Not annualized.

See Notes to Financial Statements.

42

Financial Highlights (continued)

	Class R2 Shares
	Six Months Ended 6/30/2011 (unaudited)			Year Ended 12/31									9/7/2007(a)to 12/31/2007
				2010			2009			2008
Per Share Operating Performance
Net asset value, beginning of period		$7.81			$7.35			$5.86			$7.92			$7.92
Investment operations:
Net investment income(b)														–	(c)
Net realized and unrealized gain														.03
Total from investment operations														.03
Net asset value on SEC Effective Date, 9/14/2007														$7.95
Investment operations:
Net investment income(b)		.22			.45			.43			.46			.14
Net realized and unrealized gain (loss)		.17			.45			1.55			(2.02	)		(.05	)
Total from investment operations		.39			.90			1.98			(1.56	)		.09
Distributions to shareholders from:
Net investment income		(.23	)		(.44	)		(.49	)		(.50	)		(.12	)
Net asset value, end of period		$7.97			$7.81			$7.35			$5.86			$7.92
Total Return(d)														.38	%(e)(f)
Total Return(d)		4.98	%(e)		12.63	%		35.26	%		(20.61	)%		1.18	%(e)(g)
Ratios to Average Net Assets:
Expenses, including expense reductions		.60	%(e)		1.22	%		1.25	%		1.24	%		.39	%(e)
Expenses, excluding expense reductions		.60	%(e)		1.22	%		1.25	%		1.24	%		.39	%(e)
Net investment income		2.80	%(e)		5.92	%		6.57	%		6.44	%		1.72	%(e)
Supplemental Data:
Net assets, end of period (000)		$1,277			$1,234			$456			$338			$46
Portfolio turnover rate		23.63	%(e)		42.65	%		41.93	%		29.01	%		40.08	%

^(a)  Commencement of operations was 9/7/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007.

^(b)  Calculated using average shares outstanding during the period.

^(c)  Amount less than $.01.

^(d)  Total return assumes the reinvestment of all distributions.

^(e)  Not annualized.

^(f)  Total return for the period 9/7/2007 through 9/14/2007.

^(g)  Total return for the period 9/14/2007 through 12/31/2007.

See Notes to Financial Statements.

43

Financial Highlights (concluded)

	Class R3 Shares
	Six Months Ended 6/30/2011 (unaudited)			Year Ended 12/31									9/7/2007(a)to 12/31/2007
				2010			2009			2008
Per Share Operating Performance
Net asset value, beginning of period		$7.80			$7.34			$5.85			$7.92			$7.92
Investment operations:
Net investment income(b)														–	(c)
Net realized and unrealized gain														.03
Total from investment operations														.03
Net asset value on SEC Effective Date, 9/14/2007														$7.95
Investment operations:
Net investment income(b)		.23			.45			.44			.47			.14
Net realized and unrealized gain (loss)		.16			.46			1.55			(2.03	)		(.04	)
Total from investment operations		.39			.91			1.99			(1.56	)		.10
Distributions to shareholders from:
Net investment income		(.23	)		(.45	)		(.50	)		(.51	)		(.13	)
Net asset value, end of period		$7.96			$7.80			$7.34			$5.85			$7.92
Total Return(d)														.38	%(e)(f)
Total Return(d)		5.03	%(e)		12.83	%		35.31	%		(20.52	)%		1.21	%(e)(g)
Ratios to Average Net Assets:
Expenses, including expense reductions		.55	%(e)		1.12	%		1.14	%		1.15	%		.35	%(e)
Expenses, excluding expense reductions		.55	%(e)		1.12	%		1.14	%		1.15	%		.35	%(e)
Net investment income		2.86	%(e)		6.03	%		6.53	%		7.01	%		1.77	%(e)
Supplemental Data:
Net assets, end of period (000)		$39,102			$34,991			$17,780			$5,399			$14
Portfolio turnover rate		23.63	%(e)		42.65	%		41.93	%		29.01	%		40.08	%

^(a)  Commencement of operations was 9/7/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007.

^(b)  Calculated using average shares outstanding during the period.

^(c)  Amount less than $.01.

^(d)  Total return assumes the reinvestment of all distributions.

^(e)  Not annualized.

^(f)  Total return for the period 9/7/2007 through 9/14/2007.

^(g)  Total return for the period 9/14/2007 through 12/31/2007.

See Notes to Financial Statements.

44

Notes to Financial Statements (unaudited)

1.    ORGANIZATION

Lord Abbett Bond-Debenture Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company. The Fund was 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 eight classes of shares: Class A, B, C, F, I, P, R2 and R3, each with different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class B, C, F, I, P, R2 and R3 shares, although there may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in the Fund’s prospectus); Class B shares redeemed before the sixth anniversary of purchase; and Class C shares redeemed before the first anniversary of purchase. Class B shares will automatically convert to Class A shares on the 25^th day of the month (or, if the 25^th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. The Fund’s Class P shares are closed to substantially all investors, with certain exceptions as set forth in the Fund’s prospectus. The Fund no longer issues Class B shares for purchase.

The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

2.    SIGNIFICANT ACCOUNTING POLICIES

(a) Investment Valuation–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 more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange LLC. The Fund may rely on an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked prices. Fixed income securities are valued at the mean between the bid and asked prices on the basis of prices supplied by independent pricing services, which reflect broker/dealer supplied valuations and the independent pricing services’ own electronic data processing techniques. Exchange-traded options and futures contracts are valued at the last sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used. 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. Securities for which market quotations are not readily available are valued at fair value as determined by management and approved in good faith by the Board of Directors. Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates current fair value.

45

Notes to Financial Statements (unaudited)(continued)

(b) Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day.

(c) Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income on the Statement of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day.

(d) Income Taxes–It is the policy of the Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.

The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns remains open for the fiscal years ended December 31, 2007 through December 31, 2010. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

(e) Expenses–Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Class A, B, C, F, P, R2 and R3 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) is included in Net change in unrealized appreciation/depreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions are included in Net realized gain on investments, futures contracts and foreign currency related transactions on the Fund’s Statement of Operations. The Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities.

The Fund uses foreign currency exchange contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

(g) When-Issued or Forward Transactions–The Fund may purchase portfolio securities on a when-issued or forward basis. When-issued or forward 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

46

Notes to Financial Statements (unaudited)(continued)

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.

(h) Futures Contracts–The Fund may purchase and sell futures contracts to enhance returns, to attempt to hedge some of its investment risk, or as a substitute position for 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 a 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) 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.

(j) 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. A Fund records an investment when the Borrower withdraws money and records interest as earned. These loans pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or London InterBank Offered Rate (“LIBOR”).

47

Notes to Financial Statements (unaudited)(continued)

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. As of June 30, 2011, the Fund had no unfunded loan commitments.

(k) Fair Value Measurements–Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk – for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

• Level 1 - unadjusted quoted prices in active markets for identical investments;

• Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and

• Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of June 30, 2011 in valuing the Fund’s investments carried at fair value:

Investment Type*	Level 1		Level 2		Level 3		Total
Common Stocks	$	339,934,839	$	–	$	–	$	339,934,839
Convertible Bonds		–		520,639,750		–		520,639,750
Convertible Preferred Stocks		201,277,453		85,432,126		–		286,709,579
Floating Rate Loans		–		168,878,325		–		168,878,325
Foreign Bonds		–		35,365,525		–		35,365,525

48

Notes to Financial Statements (unaudited)(continued)

Investment Type*	Level 1		Level 2		Level 3		Total
Government Sponsored Enterprises Pass-Through	$	–	$	15,259,607	$	–	$	15,259,607
High Yield Corporate Bonds		–		6,487,613,844		1,923		6,487,615,767
Municipal Bond		–		15,116,309		–		15,116,309
Non-Agency Commercial Mortgage-Backed Securities		–		64,519,648		–		64,519,648
Preferred Stocks		1,035,010		10,937,063		–		11,972,073
Warrants		3,152,409		2,937,509		–		6,089,918
Repurchase Agreement		–		39,811,141		–		39,811,141
Total	$	545,399,711	$	7,446,510,847	$	1,923	$	7,991,912,481
Other Financial Instruments
Futures Contracts
Assets	$	473,682	$	–	$	–	$	473,682
Liabilities		–		–		–		–
Total	$	473,682	$	–	$	–	$	473,682

* See Schedule of Investments for fair values in each industry.

The following is a reconciliation of investment with unobservable inputs (Level 3) that were used in determining fair value:

Investment Type	High Yield Corporate Bonds
Balance as of January 1, 2011	$	423
Accrued discounts/premiums		–
Realized gain (loss)		–
Change in unrealized appreciation/depreciation		(111,000	)
Net purchase (sales)		–
Net transfers in or out of Level 3		112,500
Balance as of June 30, 2011	$	1,923

(l) Disclosures about Derivative Instruments and Hedging Activities–The Fund entered into U.S. Treasury futures contracts during the six months ended June 30, 2011 (as described in note 2(h)) to hedge against changes in interest rates. The Fund bears the risk of interest rates moving unexpectedly, in which case the Fund may not achieve the anticipated benefits of the futures contracts and realize a loss. There is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default.

As of June 30, 2011, the Fund had a futures interest rate contract with a cumulative unrealized appreciation of $473,682, which is included in the Schedule of Investments. Only the current day’s variation margin is included in the Statement of Assets and Liabilities. Amounts of $1,463,265 and $(3,109,225) are included in the Statement of Operations related to futures contracts under the captions Net realized gain (loss) on investments, futures contracts and foreign currency related transactions and Net change in unrealized depreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies, respectively. The average number of futures contracts throughout the period was 640.

49

Notes to Financial Statements (unaudited)(continued)

3.    MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Management Fee

The Fund has a management agreement with Lord, Abbett & Co. LLC (“Lord Abbett”), pursuant to which Lord Abbett supplies the Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of the Fund’s investment portfolio.

The management fee is based on the Fund’s average daily net assets at the following annual rate:

First $500 million	.50%
Next $9.5 billion	.45%
Over $10 billion	.40%

For the six months ended June 30, 2011, the effective management fee was at a rate of .45% of the Fund’s average daily net assets.

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

The Fund, along with certain other funds managed by Lord Abbett (collectively, the “Underlying Funds”), has entered into a Servicing Arrangement with Lord Abbett Balanced Strategy Fund and Lord Abbett Diversified Income Strategy Fund of Lord Abbett Investment Trust (each, a “Fund of Funds”), pursuant to which each Underlying Fund pays a portion of the expenses (excluding management fees and distribution and service fees) of each Fund of Funds in proportion to the average daily value of the Underlying Fund shares owned by each Fund of Funds. Amounts paid pursuant to the Servicing Arrangement are included in Subsidy expense on the Fund’s Statement of Operations and Payable to affiliates on the Fund’s Statement of Assets and Liabilities.

As of June 30, 2011, the percentages of the Fund’s outstanding shares owned by Lord Abbett Balanced Strategy Fund and Lord Abbett Diversified Income Strategy Fund were 2.52% and .67%, respectively.

12b-1 Distribution Plan

The Fund has adopted a distribution plan with respect to Class A, B, C, F, P, R2 and R3 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 fees are accrued daily at annual rates based upon the Fund’s average daily net assets as follows:

Fees*	Class A			Class B		Class C		Class F		Class P		Class R2		Class R3
Service		.25%	(1)		.25%		.25%		–		.25%		.25%		.25%
Distribution		.10%			.75%		.75%		.10%		.20%		.35%		.25%

* The Fund may designate a portion of the aggregate fee as attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations.

⁽¹⁾  Annual service fee on shares sold prior to June 1, 1990 is .15% of the average daily net assets attributable to Class A shares.

Class I shares do not have a distribution plan.

50

Notes to Financial Statements (unaudited)(continued)

Commissions

Distributor received the following commissions on sales of shares of the Fund, after concessions were paid to authorized dealers, for the six months ended June 30, 2011:

Distributor Commissions	Dealers’ Concessions
$908,888	$	4,644,359

Distributor received CDSCs of $7,729 and $80,276 for Class A and Class C shares, respectively, for the six months ended June 30, 2011.

Two Directors’ and certain of the Fund’s officers have an interest in Lord Abbett.

4.    DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS

Dividends from net investment income, if any, are declared daily and paid monthly. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.

The tax character of distributions paid during the six months ended June 30, 2011 and the fiscal year ended December 31, 2010 was as follows:

	Six Months Ended 6/30/2011 (unaudited)		Year Ended 12/31/2010
Distributions paid from:
Ordinary income	$	235,975,226	$	478,986,796
Total distributions paid	$	235,975,226	$	478,986,796

As of December 31, 2010, the capital loss carryforwards, along with the related expiration dates, were as follows:

2016	2017		Total
$19,692,828	$	325,199,091	$	344,891,919

As of June 30, 2011, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:

Tax cost	$	7,602,824,899
Gross unrealized gain		590,733,858
Gross unrealized loss		(201,646,276	)
Net unrealized security gain	$	389,087,582

51

Notes to Financial Statements (unaudited)(continued)

The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of wash sales, premium amortization and certain securities.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act includes numerous provisions that generally become effective for taxable years beginning after the date of enactment. Management is currently assessing the impact of the Modernization Act as it relates to the Fund.

5.    PORTFOLIO SECURITIES TRANSACTIONS

Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2011 were as follows:

Purchases	Sales
$1,915,873,894	$	2,020,614,914

There were no purchases or sales of U.S. Government securities for the six months ended June 30, 2011.

6.    DIRECTORS’ REMUNERATION

The Fund’s officers and the two Directors who are associated with Lord Abbett do not receive any compensation from the Fund for serving in such capacities. Outside 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 outside Directors under which outside Directors must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, Directors’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Directors’ fees on the Statement of Operations and in Directors’ fees payable on the Statement of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.

7.    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.

8.    LINE OF CREDIT

The Fund and certain other funds managed by Lord Abbett have available an unsecured revolving credit facility (“Facility”) from State Street Bank and Trust Company (“SSB”), to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. The Facility is renewed annually under terms that depend on market conditions at the time of the renewal. The amount available under the Facility is $200,000,000. Effective December 4, 2009, the annual fee to maintain the Facility (of which each participating fund pays its pro rata share based on the net assets of each participating fund) was .15% of the amount available under the Facility. This amount is included in Other expenses on the Fund’s Statement of Operations. In connection with the annual renewal period that commenced December 4, 2009, the Fund paid an upfront commitment fee of .05%, which was amortized through Other expenses on the Statement of Operations over the annual period of the Facility.

52

Notes to Financial Statements (unaudited)(continued)

On November 22, 2010, the Fund and certain other funds managed by Lord Abbett entered into a short term extension of the Facility through February 2, 2011. On February 3, 2011, the Facility was renewed for an annual period by the Fund and certain other funds managed by Lord Abbett. The amount available under the Facility remained the same. The annual fee to maintain the Facility was reduced from .15% to .125% and the upfront commitment fee of .05% was removed. Any borrowings under this Facility will bear interest at current market rates as set forth in the credit agreement. As of June 30, 2011, there were no loans outstanding pursuant to this Facility nor was the Facility utilized at any time during the six months ended June 30, 2011.

9.    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.

10.    INVESTMENT RISKS

The Fund is subject to the general risks and considerations associated with investing in debt securities. The value of an investment will change as interest rates fluctuate and in response to market movements. When interest rates rise, the prices of debt securities are likely to decline; when rates fall, such prices tend to rise. Longer-term debt securities are usually more sensitive to interest rate changes. There is also the risk that an issuer of a debt security will fail to make timely payments of principal or interest to the Fund, a risk that is greater with high yield securities (sometimes called “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 bonds are subject to greater price fluctuations, as well as additional risks.

The mortgage-related securities in which the Fund may invest may be particularly sensitive to changes in prevailing interest rates, and economic conditions, including delinquencies and/or defaults. These changes can affect the value, income and/or liquidity of such positions. When interest rates are declining, the value of these securities with prepayment features may not increase as much as other fixed income securities. Early principal repayment may deprive the Fund of income payments above current market rates. Alternatively, rising interest rates may cause payments to occur at a slower-than-expected rate, extending the duration of a security and typically reducing its value. The payment rate will thus affect the price and volatility of a mortgage-related security. In addition, while securities of government sponsored enterprises are guaranteed with respect to the timely payment of interest and principal by the particular enterprise involved, they are not guaranteed by the U.S. Government.

The Fund may invest up to 20% of its net assets in equity securities, which may subject it to the general risks and considerations associated with investing in equity securities. The value of an investment will fluctuate in response to movements in the equity securities market in general and to the changing prospects of individual companies in which the Fund invests.

Due to the Fund’s exposure to foreign companies (and ADRs), the Fund may experience increased market, liquidity, currency, political, information, and other risks.

53

Notes to Financial Statements (unaudited)(continued)

The Fund is subject to the risks associated with derivatives, which may be different from and greater than the risks associated with directly investing in securities. Derivatives may be subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, and credit risk. Illiquid securities may lower the Fund’s returns since the Fund may be unable to sell these securities at their desired time or price. Derivatives also may involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with the value of the underlying asset, rate or index. Whether the Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements and other factors. If the Fund incorrectly forecasts these and other factors, the Fund’s performance could suffer.

The Fund may invest up to 15% of its net assets in floating rate or adjustable rate senior loans, including bridge loans, novations, assignments, and participations, which are subject to increased credit and liquidity risks. Senior loans are business loans made to borrowers that may be U.S. or foreign corporations, partnerships or other business entities.

These factors can affect the Fund’s performance.

11.    SUMMARY OF CAPITAL TRANSACTIONS

Transactions in shares of capital stock were as follows:

	Six Months Ended June 30, 2011 (unaudited)						Year Ended December 31, 2010
Class A Shares	Shares			Amount			Shares			Amount
Shares sold		47,224,077		$	378,327,568			76,673,603		$	576,997,631
Converted from Class B*		10,654,704			85,193,842			16,283,545			122,651,868
Reinvestment of distributions		14,036,535			112,686,056			33,237,112			250,228,410
Shares reacquired		(72,048,606	)		(576,154,173	)		(201,853,834	)		(1,515,686,651	)
Increase (decrease)		(133,290	)	$	53,293			(75,659,574	)	$	(565,808,742	)
Class B Shares
Shares sold		542,425		$	4,365,391			3,214,259		$	24,040,503
Reinvestment of distributions		1,214,776			9,784,076			3,797,564			28,646,849
Shares reacquired		(10,929,119	)		(87,820,935	)		(20,480,633	)		(154,900,511	)
Converted to Class A*		(10,618,833	)		(85,193,842	)		(16,235,495	)		(122,651,868	)
Decrease		(19,790,751	)	$	(158,865,310	)		(29,704,305	)	$	(224,865,027	)
Class C Shares
Shares sold		16,260,950		$	130,567,571			33,788,212		$	254,625,521
Reinvestment of distributions		4,086,470			32,887,762			9,454,389			71,369,236
Shares reacquired		(25,542,402	)		(204,783,645	)		(61,213,937	)		(461,822,088	)
Decrease		(5,194,982	)	$	(41,328,312	)		(17,971,336	)	$	(135,827,331	)
Class F Shares
Shares sold		25,533,230		$	204,109,605			61,282,387		$	459,491,221
Reinvestment of distributions		1,824,242			14,628,148			2,884,822			21,782,805
Shares reacquired		(17,836,492	)		(142,386,225	)		(34,225,748	)		(257,202,177	)
Increase		9,520,980		$	76,351,528			29,941,461		$	224,071,849

54

Notes to Financial Statements (unaudited)(concluded)

	Six Months Ended June 30, 2011 (unaudited)						Year Ended December 31, 2010
Class I Shares	Shares			Amount			Shares			Amount
Shares sold		9,860,425		$	78,289,407			11,353,565		$	86,075,832
Reinvestment of distributions		1,368,716			10,939,317			2,662,515			19,972,137
Shares reacquired		(9,163,155	)		(72,971,907	)		(8,699,327	)		(65,274,705	)
Increase		2,065,986		$	16,256,817			5,316,753		$	40,773,264
Class P Shares
Shares sold		1,554,745		$	12,698,699			3,585,805		$	27,457,010
Reinvestment of distributions		503,551			4,128,969			1,173,790			9,020,565
Shares reacquired		(2,571,053	)		(20,965,146	)		(6,834,064	)		(52,126,819	)
Decrease		(512,757	)	$	(4,137,478	)		(2,074,469	)	$	(15,649,244	)
Class R2 Shares
Shares sold		27,237		$	217,725			147,551		$	1,113,833
Reinvestment of distributions		1,495			12,004			2,492			18,872
Shares reacquired		(26,696	)		(213,215	)		(54,084	)		(407,095	)
Increase		2,036		$	16,514			95,959		$	725,610
Class R3 Shares
Shares sold		1,099,637		$	8,791,823			2,813,435		$	21,065,351
Reinvestment of distributions		133,668			1,071,633			228,177			1,720,962
Shares reacquired		(808,532	)		(6,467,218	)		(976,228	)		(7,355,388	)
Increase		424,773		$	3,396,238			2,065,384		$	15,430,925

* Automatic conversion of Class B shares occurs on the 25^th day of the month (or, if the 25^th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted.

55

Householding

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

Proxy Voting Policies, Procedures and Records

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

Shareholder Reports and Quarterly Portfolio Disclosure

The Fund is required to file its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by (i) visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330); (ii) sending your request and duplicating fee to the SEC’s Public Reference Section, Washington, DC 20549-1520; or (iii) sending your request electronically, after paying a duplicating fee, to publicinfo@sec.gov.

56

This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus.

Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC.

Lord Abbett Bond-Debenture Fund, Inc.

LABD-3-0611 (08/11)

Item 2: Code of Ethics.

Not applicable.

Item 3: Audit Committee Financial Expert.

Not applicable.

Item 4: Principal Accountant Fees and Services.

Not applicable.

Item 5: Audit Committee of Listed Registrants.

Not applicable.

Item 6: Investments.

Not applicable.

Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8: Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9: Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10: Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11: Controls and Procedures.

(a) Based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days prior to the filing date of this report, the Chief Executive Officer and Chief Financial Officer of the Registrant have concluded that such disclosure controls and procedures are reasonably designed and effective to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to them by others within those entities.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12: Exhibits.

(a)(1)	Amendments to Code of Ethics – Not applicable.
(a)(2)	Certification of each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2 under the Investment Company Act of 1940 is attached hereto as a part of EX-99.CERT.
(a)(3)	Not applicable.
(b)	Certification of each principal executive officer and principal financial officer of the Registrant as required by Section 906 of the Sarbanes-Oxley Act of 2002 is provided as a part of EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

		LORD ABBETT BOND-DEBENTURE FUND, INC.
	By:	/s/ Robert S. Dow
		Robert S. Dow
		Chief Executive Officer and Chairman
Date: August 22, 2011
	By:	/s/ Joan A. Binstock
		Joan A. Binstock
		Chief Financial Officer and Vice President

Date: August 22, 2011

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/ Robert S. Dow
		Robert S. Dow
		Chief Executive Officer and Chairman
Date: August 22, 2011
	By:	/s/ Joan A. Binstock
		Joan A. Binstock
		Chief Financial Officer and Vice President

Date: August 22, 2011