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: 811-05476
LORD ABBETT GLOBAL 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: 6/30/2013
Item 1: | Report(s) to Shareholders. |
2 0 1 3
L O R D A B B E T T
S E M I A N N U A L
R E P O R T
Lord Abbett
Emerging Markets Currency Fund
Global Allocation Fund
For the six-month period ended June 30, 2013
Table of Contents
Lord Abbett Emerging Markets Currency Fund and
Lord Abbett Global Allocation Fund
Semiannual Report
For the six-month period ended June 30, 2013
Dear Shareholders: We are pleased to provide you with this semiannual report of the Funds for the six-month period ended June 30, 2013. For additional information about the Funds, please visit our Website at www.lordabbett.com, where you can access the quarterly commentaries by the Funds’ portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our Website.
Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.
Best regards,
Daria L. Foster
Director, President and Chief Executive Officer
1
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 each 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, 2013 through June 30, 2013).
Actual Expenses
For each class of each Fund, the first line of the table on the following pages 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 1/1/13 – 6/30/13” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
For each class of each Fund, the second line of the table on the following pages 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 each 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
Emerging Markets Currency Fund
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† | |
| | 1/1/13 | | 6/30/13 | | 1/1/13 - 6/30/13 | |
Class A | | | | | | | | | |
Actual | | $1,000.00 | | $ | 959.70 | | | $4.76 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $ | 1,019.95 | | | $4.91 | |
Class B | | | | | | | | | |
Actual | | $1,000.00 | | $ | 956.20 | | | $8.59 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $ | 1,016.02 | | | $8.85 | |
Class C | | | | | | | | | |
Actual | | $1,000.00 | | $ | 957.00 | | | $7.81 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $ | 1,016.83 | | | $8.05 | |
Class F | | | | | | | | | |
Actual | | $1,000.00 | | $ | 961.60 | | | $4.28 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $ | 1,020.45 | | | $4.41 | |
Class I | | | | | | | | | |
Actual | | $1,000.00 | | $ | 962.00 | | | $3.79 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $ | 1,020.93 | | | $3.91 | |
Class P | | | | | | | | | |
Actual | | $1,000.00 | | $ | 960.20 | | | $5.83 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $ | 1,018.85 | | | $6.01 | |
Class R2 | | | | | | | | | |
Actual | | $1,000.00 | | $ | 957.90 | | | $6.70 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $ | 1,017.95 | | | $6.90 | |
Class R3 | | | | | | | | | |
Actual | | $1,000.00 | | $ | 959.70 | | | $6.12 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $ | 1,018.52 | | | $6.31 | |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.98% for Class A, 1.77% for Class B, 1.61% for Class C, 0.88% for Class F, 0.78% for Class I, 1.20% for Class P, 1.38% for Class R2 and 1.26% 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, 2013
Sector* | | %** |
Asset-Backed | | | 10.78 | % |
Automotive | | | 0.95 | % |
Banking | | | 4.39 | % |
Basic Industry | | | 3.40 | % |
Capital Goods | | | 0.92 | % |
Consumer Cyclical | | | 1.96 | % |
Consumer Non-Cyclical | | | 1.40 | % |
Energy | | | 7.93 | % |
Financial Services | | | 0.84 | % |
Foreign Government | | | 11.18 | % |
Health Care | | �� | 2.52 | % |
| | | | |
Sector* | | %** |
Insurance | | | 0.97 | % |
Integrated Oils | | | 0.38 | % |
Media | | | 2.40 | % |
Mortgage-Backed | | | 40.70 | % |
Real Estate | | | 1.94 | % |
Services | | | 1.75 | % |
Supranational | | | 0.25 | % |
Technology & Electronics | | | 1.54 | % |
Telecommunications | | | 2.14 | % |
Utility | | | 1.66 | % |
Total | | | 100.00 | % |
* | A sector may comprise several industries. |
** | Represents percent of total investments. |
3
Global Allocation Fund
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†# | |
| | 1/1/13 | | 6/30/13 | | 1/1/13 - 6/30/13 | |
Class A* | | | | | | | |
Actual | | $1,000.00 | | $1,034.30 | | $1.56 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,023.28 | | $1.56 | |
Class B* | | | | | | | |
Actual | | $1,000.00 | | $1,029.50 | | $5.28 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.59 | | $5.26 | |
Class C* | | | | | | | |
Actual | | $1,000.00 | | $1,029.70 | | $5.28 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.61 | | $5.26 | |
Class F* | | | | | | | |
Actual | | $1,000.00 | | $1,034.10 | | $0.81 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,024.02 | | $0.80 | |
Class I* | | | | | | | |
Actual | | $1,000.00 | | $1,034.40 | | $0.30 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,024.51 | | $0.30 | |
Class R2* | | | | | | | |
Actual | | $1,000.00 | | $1,031.70 | | $3.32 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.55 | | $3.31 | |
Class R3* | | | | | | | |
Actual | | $1,000.00 | | $1,032.20 | | $2.62 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,022.22 | | $2.61 | |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.31% for Class A, 1.05% for Classes B and C, 0.16% for Class F, 0.06% for Class I, 0.66% for Class R2 and 0.52% for Class R3) multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period). |
# | Does not include expenses of Underlying Funds in which Global Allocation Fund invests. |
* | The annualized expenses of each class have been restated (0.32% for Class A, 1.07% for Classes B and C, 0.17% for Class F, 0.07% for Class I, 0.67% for Class R2 and 0.57% for Class R3). Had these restated expenses been in place throughout the most recent fiscal half-year, expenses paid during the period would have been: |
| | Actual | | Hypothetical (5% Return Before Expenses) | |
Class A | | $1.61 | | $1.61 | |
Class B | | $5.38 | | $5.36 | |
Class C | | $5.38 | | $5.36 | |
Class F | | $0.86 | | $0.85 | |
Class I | | $0.35 | | $0.35 | |
Class R2 | | $3.38 | | $3.36 | |
Class R3 | | $2.87 | | $2.86 | |
4
Global Allocation Fund (concluded)
Portfolio Holdings Presented by Portfolio Allocation
June 30, 2013
Underlying Fund Name | | | %* |
Lord Abbett Equity Trust - Calibrated Large Cap Value Fund - Class I | | | 0.56 | % |
Lord Abbett Equity Trust - Calibrated Mid Cap Value Fund - Class I | | | 7.72 | % |
Lord Abbett Global Fund, Inc. - Emerging Markets Currency Fund - Class I | | | 18.80 | % |
Lord Abbett Investment Trust - High Yield Fund - Class I | | | 11.74 | % |
Lord Abbett Securities Trust - International Dividend Income Fund - Class I | | | 38.65 | % |
Lord Abbett Mid Cap Stock Fund, Inc. - Class I | | | 20.18 | % |
Lord Abbett Investment Trust - Short Duration Income Fund - Class I | | | 2.35 | % |
| | | 100.00 | % |
* | Represents percent of total investments. |
5
Schedule of Investments (unaudited)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
LONG-TERM INVESTMENTS 75.03% | | | | | | | | | | | |
| | | | | | | | | | | |
ASSET-BACKED SECURITIES 10.22% | | | | | | | | | | | |
| | | | | | | | | | | |
Automobiles 5.47% | | | | | | | | | | | |
Ally Auto Receivables Trust 2012-1 A2 | | 0.71% | | 9/15/2014 | | $ | 123 | | $ | 123,397 | |
Ally Auto Receivables Trust 2012-5 A3 | | 0.62% | | 3/15/2017 | | | 1,020 | | | 1,017,664 | |
AmeriCredit Automobile Receivables Trust 2011-4 A2 | | 0.92% | | 3/9/2015 | | | 33 | | | 33,252 | |
AmeriCredit Automobile Receivables Trust 2011-5 A2 | | 1.19% | | 8/8/2015 | | | 159 | | | 159,030 | |
AmeriCredit Automobile Receivables Trust 2012-1 A2 | | 0.91% | | 10/8/2015 | | | 353 | | | 353,057 | |
AmeriCredit Automobile Receivables Trust 2012-3 A2 | | 0.71% | | 12/8/2015 | | | 384 | | | 384,293 | |
AmeriCredit Automobile Receivables Trust 2012-4 A2 | | 0.49% | | 4/8/2016 | | | 773 | | | 772,634 | |
AmeriCredit Automobile Receivables Trust 2012-4 A3 | | 0.67% | | 6/8/2017 | | | 625 | | | 622,363 | |
AmeriCredit Automobile Receivables Trust 2013-1 A3 | | 0.61% | | 10/10/2017 | | | 425 | | | 422,216 | |
AmeriCredit Automobile Receivables Trust 2013-1 B | | 1.07% | | 3/8/2018 | | | 257 | | | 254,322 | |
AmeriCredit Automobile Receivables Trust 2013-3 B | | 1.58% | | 9/10/2018 | | | 250 | | | 248,420 | |
BMW Vehicle Lease Trust 2013-1 A3 | | 0.54% | | 9/21/2015 | | | 483 | | | 481,479 | |
California Republic Auto Receivables Trust 2013-1 A2† | | 1.41% | | 9/17/2018 | | | 625 | | | 624,244 | |
Capital Auto Receivables Asset Trust 2013-1 A1 | | 0.47% | | 3/20/2015 | | | 650 | | | 648,992 | |
Capital Auto Receivables Asset Trust 2013-1 A2 | | 0.62% | | 7/20/2016 | | | 500 | | | 499,113 | |
CarMax Auto Owner Trust 2011-3 A2 | | 0.70% | | 11/17/2014 | | | 47 | | | 46,657 | |
Ford Credit Auto Lease Trust 2012-A A2 | | 0.63% | | 4/15/2014 | | | 192 | | | 192,023 | |
Harley-Davidson Motorcycle Trust 2011-2 A2 | | 0.71% | | 5/15/2015 | | | 72 | | | 72,128 | |
Huntington Auto Trust 2012-2 A3 | | 0.51% | | 4/17/2017 | | | 1,880 | | | 1,871,626 | |
Hyundai Auto Lease Securitization Trust 2012-A A3† | | 0.92% | | 8/17/2015 | | | 1,530 | | | 1,533,150 | |
Hyundai Auto Lease Securitization Trust 2013-A A3† | | 0.66% | | 6/15/2016 | | | 900 | | | 896,887 | |
Hyundai Auto Receivables Trust 2012-C A3 | | 0.53% | | 4/17/2017 | | | 950 | | | 947,781 | |
Mercedes-Benz Auto Lease Trust 2013-A A2 | | 0.49% | | 6/15/2015 | | | 1,400 | | | 1,397,356 | |
Mercedes-Benz Auto Lease Trust 2013-A A3 | | 0.59% | | 2/15/2016 | | | 930 | | | 926,789 | |
Santander Drive Auto Receivables Trust 2010-A A3† | | 1.83% | | 11/17/2014 | | | 112 | | | 112,784 | |
6 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Automobiles (continued) | | | | | | | | | | | | |
Santander Drive Auto Receivables Trust 2011-4 A2 | | 1.37% | | | 3/16/2015 | | $ | 93 | | $ | 93,462 | |
Santander Drive Auto Receivables Trust 2012-2 A2 | | 0.91% | | | 5/15/2015 | | | 555 | | | 555,387 | |
Santander Drive Auto Receivables Trust 2012-3 A2 | | 0.83% | | | 4/15/2015 | | | 463 | | | 462,713 | |
Santander Drive Auto Receivables Trust 2012-3 A3 | | 1.08% | | | 4/15/2016 | | | 400 | | | 401,480 | |
Santander Drive Auto Receivables Trust 2012-4 A2 | | 0.79% | | | 8/17/2015 | | | 761 | | | 760,828 | |
Santander Drive Auto Receivables Trust 2012-6 A3 | | 0.62% | | | 7/15/2016 | | | 910 | | | 910,125 | |
Santander Drive Auto Receivables Trust 2013-2 A2 | | 0.47% | | | 3/15/2016 | | | 1,200 | | | 1,199,489 | |
Santander Drive Auto Receivables Trust 2013-3 A2 | | 0.55% | | | 9/15/2016 | | | 600 | | | 599,418 | |
Santander Drive Auto Receivables Trust 2013-3 B | | 1.19% | | | 5/15/2018 | | | 420 | | | 416,574 | |
Volkswagen Auto Lease Trust 2012-A A3 | | 0.87% | | | 7/20/2015 | | | 960 | | | 961,895 | |
Volkswagen Auto Loan Enhanced Trust 2012-2 A3 | | 0.46% | | | 1/20/2017 | | | 2,050 | | | 2,041,572 | |
Total | | | | | | | | | | | 23,044,600 | |
| | | | | | | | | | | | |
Credit Cards 1.80% | | | | | | | | | | | | |
Bank of America Credit Card Trust 2008-C5 | | 4.943% | # | | 3/15/2016 | | | 650 | | | 658,212 | |
Bank One Issuance Trust 2003-A8 | | 0.443% | # | | 5/16/2016 | | | 1,200 | | | 1,199,869 | |
Chase Issuance Trust 2012-A1 | | 0.293% | # | | 5/16/2016 | | | 175 | | | 174,799 | |
Citibank Omni Master Trust 2009-A14A† | | 2.943% | # | | 8/15/2018 | | | 1,675 | | | 1,720,599 | |
GE Capital Credit Card Master Note Trust 2011-1 A | | 0.743% | # | | 1/15/2017 | | | 1,000 | | | 1,001,761 | |
World Financial Network Credit Card Master Trust 2009-D A | | 4.66% | | | 5/15/2017 | | | 570 | | | 571,125 | |
World Financial Network Credit Card Master Trust 2013-B A | | 0.91% | | | 3/16/2020 | | | 2,250 | | | 2,234,441 | |
Total | | | | | | | | | | | 7,560,806 | |
| | | | | | | | | | | | |
Other 2.95% | | | | | | | | | | | | |
HLSS Servicer Advance Receivables Backed Notes 2012-T2 A2† | | 1.99% | | | 10/15/2045 | | | 750 | | | 751,175 | |
HLSS Servicer Advance Receivables Backed Notes 2013-T1 A2† | | 1.495% | | | 1/16/2046 | | | 850 | | | 839,698 | |
| See Notes to Financial Statements. | 7 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Other (continued) | | | | | | | | | | | | |
HLSS Servicer Advance Receivables Backed Notes 2013-T2 A2† | | 1.147% | | | 5/16/2044 | | $ | 500 | | $ | 498,895 | |
HLSS Servicer Advance Receivables Backed Notes 2013-T3 A3† | | 1.793% | | | 5/15/2046 | | | 500 | | | 493,893 | |
SLM Student Loan Trust 2007-2 A2 | | 0.276% | # | | 7/25/2017 | | | 740 | | | 737,534 | |
SLM Student Loan Trust 2007-7 A2(a) | | 0.476% | # | | 1/25/2016 | | | 499 | | | 498,175 | |
SLM Student Loan Trust 2010-A 2A† | | 3.443% | # | | 5/16/2044 | | | 1,992 | | | 2,062,829 | |
SLM Student Loan Trust 2010-C A1† | | 1.843% | # | | 12/15/2017 | | | 231 | | | 232,058 | |
SLM Student Loan Trust 2011-1 A1 | | 0.713% | # | | 3/25/2026 | | | 1,073 | | | 1,065,673 | |
SLM Student Loan Trust 2011-A A1† | | 1.193% | # | | 10/15/2024 | | | 802 | | | 805,419 | |
SLM Student Loan Trust 2011-B A1† | | 1.043% | # | | 12/16/2024 | | | 1,044 | | | 1,045,355 | |
SLM Student Loan Trust 2011-C A1† | | 1.593% | # | | 12/15/2023 | | | 425 | | | 428,460 | |
SLM Student Loan Trust 2012-A A1† | | 1.593% | # | | 8/15/2025 | | | 715 | | | 722,983 | |
SLM Student Loan Trust 2012-C A1† | | 1.293% | # | | 8/15/2023 | | | 1,034 | | | 1,040,434 | |
SLM Student Loan Trust 2012-E A1† | | 0.943% | # | | 10/16/2023 | | | 387 | | | 387,694 | |
SLM Student Loan Trust 2013-B A1† | | 0.843% | # | | 7/15/2022 | | | 824 | | | 821,632 | |
Total | | | | | | | | | | | 12,431,907 | |
Total Asset-Backed Securities (cost $43,173,626) | | | | | | | | | | | 43,037,313 | |
| | | | | | | | | | | | |
CORPORATE BONDS 25.51% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Auto Loans 0.65% | | | | | | | | | | | | |
Ford Motor Credit Co. LLC | | 8.70% | | | 10/1/2014 | | | 2,500 | | | 2,725,927 | |
| | | | | | | | | | | | |
Auto Parts & Equipment 0.13% | | | | | | | | | | | | |
Delphi Corp. | | 5.875% | | | 5/15/2019 | | | 500 | | | 533,750 | |
| | | | | | | | | | | | |
Banking 3.51% | | | | | | | | | | | | |
Abbey National Treasury Services plc (United Kingdom)(b) | | 1.856% | # | | 4/25/2014 | | | 500 | | | 503,746 | |
Abbey National Treasury Services plc (United Kingdom)†(b) | | 3.875% | | | 11/10/2014 | | | 1,500 | | | 1,545,114 | |
Associated Banc-Corp | | 1.875% | | | 3/12/2014 | | | 1,000 | | | 1,001,911 | |
Bank of America Corp. | | 5.375% | | | 6/15/2014 | | | 750 | | | 778,213 | |
Caribbean Development Bank† | | 0.576% | # | | 7/19/2013 | | | 1,000 | | | 1,000,111 | |
Citigroup, Inc. | | 5.00% | | | 9/15/2014 | | | 500 | | | 519,765 | |
Compagnie de Financement Foncier SA (France)†(b) | | 1.026% | # | | 4/17/2014 | | | 1,300 | | | 1,304,957 | |
Credit Suisse AG (Guernsey)†(b) | | 1.625% | | | 3/6/2015 | | | 800 | | | 812,271 | |
DnB NOR Boligkreditt AS (Norway)†(b) | | 2.10% | | | 10/14/2015 | | | 2,140 | | | 2,197,352 | |
Goldman Sachs Group, Inc. (The) | | 1.273% | # | | 2/7/2014 | | | 1,000 | | | 1,002,755 | |
8 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Banking (continued) | | | | | | | | | | | | |
Regions Financial Corp. | | 7.75% | | | 11/10/2014 | | $ | 325 | | $ | 351,303 | |
Royal Bank of Canada (Canada)(b) | | 1.20% | | | 9/19/2017 | | | 2,250 | | | 2,197,476 | |
Santander Holdings USA, Inc. | | 4.625% | | | 4/19/2016 | | | 250 | | | 263,903 | |
Sparebank 1 Boligkreditt AS (Norway)†(b) | | 2.30% | | | 6/30/2017 | | | 1,280 | | | 1,306,877 | |
Total | | | | | | | | | | | 14,785,754 | |
| | | | | | | | | | | | |
Brokerage 0.13% | | | | | | | | | | | | |
Lazard Group LLC | | 7.125% | | | 5/15/2015 | | | 500 | | | 543,170 | |
| | | | | | | | | | | | |
Building Materials 0.44% | | | | | | | | | | | | |
CRH America, Inc. | | 5.30% | | | 10/15/2013 | | | 1,850 | | | 1,873,554 | |
| | | | | | | | | | | | |
Chemicals 0.90% | | | | | | | | | | | | |
Airgas, Inc. | | 7.125% | | | 10/1/2018 | | | 500 | | | 524,427 | |
Cabot Finance BV (Netherlands)†(b) | | 5.25% | | | 9/1/2013 | | | 650 | | | 654,305 | |
Rhodia SA (France)†(b) | | 6.875% | | | 9/15/2020 | | | 1,000 | | | 1,122,405 | |
Yara International ASA (Norway)†(b) | | 5.25% | | | 12/15/2014 | | | 1,435 | | | 1,511,524 | |
Total | | | | | | | | | | | 3,812,661 | |
| | | | | | | | | | | | |
Computer Hardware 0.24% | | | | | | | | | | | | |
Hewlett-Packard Co. | | 1.823% | # | | 9/19/2014 | | | 1,000 | | | 1,009,914 | |
| | | | | | | | | | | | |
Consumer/Commercial/Lease Financing 0.45% | | | | | | | | | | | | |
Nordea Eiendomskreditt AS (Norway)†(b) | | 2.125% | | | 9/22/2016 | | | 940 | | | 966,573 | |
SLM Corp. | | 5.00% | | | 10/1/2013 | | | 700 | | | 704,375 | |
SLM Corp. | | 5.00% | | | 6/15/2018 | | | 250 | | | 243,111 | |
Total | | | | | | | | | | | 1,914,059 | |
| | | | | | | | | | | | |
Diversified Capital Goods 0.37% | | | | | | | | | | | | |
Smiths Group plc (United Kingdom)†(b) | | 6.05% | | | 5/15/2014 | | | 1,500 | | | 1,547,536 | |
| | | | | | | | | | | | |
Electric: Distribution/Transportation 0.06% | | | | | | | | | | | | |
SteelRiver Transmission Co. LLC† | | 4.71% | | | 6/30/2017 | | | 252 | | | 259,853 | |
| | | | | | | | | | | | |
Electric: Generation 0.39% | | | | | | | | | | | | |
TransAlta Corp. (Canada)(b) | | 5.75% | | | 12/15/2013 | | | 1,625 | | | 1,661,408 | |
| | | | | | | | | | | | |
Electric: Integrated 0.53% | | | | | | | | | | | | |
Black Hills Corp. | | 9.00% | | | 5/15/2014 | | | 625 | | | 665,356 | |
Duquesne Light Holdings, Inc. | | 5.50% | | | 8/15/2015 | | | 500 | | | 541,865 | |
Entergy Corp. | | 3.625% | | | 9/15/2015 | | | 1,000 | | | 1,036,599 | |
Total | | | | | | | | | | | 2,243,820 | |
| See Notes to Financial Statements. | 9 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Energy: Exploration & Production 2.44% | | | | | | | | | | | | |
Anadarko Petroleum Corp. | | 7.625% | | | 3/15/2014 | | $ | 3,375 | | $ | 3,532,288 | |
Noble Energy, Inc. | | 5.25% | | | 4/15/2014 | | | 435 | | | 447,466 | |
Petrohawk Energy Corp. | | 7.875% | | | 6/1/2015 | | | 500 | | | 510,875 | |
Petrohawk Energy Corp. | | 10.50% | | | 8/1/2014 | | | 1,500 | | | 1,580,250 | |
Plains Exploration & Production Co. | | 7.625% | | | 4/1/2020 | | | 500 | | | 552,849 | |
Talisman Energy, Inc. (Canada)(b) | | 5.125% | | | 5/15/2015 | | | 1,000 | | | 1,069,009 | |
Woodside Finance Ltd. (Australia)†(b) | | 4.50% | | | 11/10/2014 | | | 1,517 | | | 1,583,595 | |
Woodside Finance Ltd. (Australia)†(b) | | 5.00% | | | 11/15/2013 | | | 1,000 | | | 1,014,693 | |
Total | | | | | | | | | | | 10,291,025 | |
| | | | | | | | | | | | |
Food & Drug Retailers 0.51% | | | | | | | | | | | | |
Safeway, Inc. | | 1.774% | # | | 12/12/2013 | | | 1,350 | | | 1,355,117 | |
Safeway, Inc. | | 5.625% | | | 8/15/2014 | | | 750 | | | 787,232 | |
Total | | | | | | | | | | | 2,142,349 | |
| | | | | | | | | | | | |
Food: Wholesale 1.01% | | | | | | | | | | | | |
Bunge Ltd. Finance Corp. | | 4.10% | | | 3/15/2016 | | | 982 | | | 1,037,530 | |
Wm. Wrigley Jr. Co.† | | 3.70% | | | 6/30/2014 | | | 3,131 | | | 3,214,178 | |
Total | | | | | | | | | | | 4,251,708 | |
| | | | | | | | | | | | |
Gaming 0.63% | | | | | | | | | | | | |
Seminole Indian Tribe of Florida† | | 7.75% | | | 10/1/2017 | | | 2,500 | | | 2,665,625 | |
| | | | | | | | | | | | |
Gas Distribution 2.34% | | | | | | | | | | | | |
Buckeye Partners LP | | 4.625% | | | 7/15/2013 | | | 2,000 | | | 2,002,362 | |
DCP Midstream LLC† | | 9.70% | | | 12/1/2013 | | | 850 | | | 880,087 | |
Energy Transfer Partners LP | | 6.00% | | | 7/1/2013 | | | 2,000 | | | 2,000,000 | |
Energy Transfer Partners LP | | 6.125% | | | 2/15/2017 | | | 425 | | | 478,923 | |
Energy Transfer Partners LP | | 8.50% | | | 4/15/2014 | | | 800 | | | 846,502 | |
Southeast Supply Header LLC† | | 4.85% | | | 8/15/2014 | | | 1,500 | | | 1,549,358 | |
Sunoco Logistics Partners Operations LP | | 8.75% | | | 2/15/2014 | | | 2,000 | | | 2,095,244 | |
Total | | | | | | | | | | | 9,852,476 | |
| | | | | | | | | | | | |
Hotels 0.68% | | | | | | | | | | | | |
Host Hotels & Resorts LP | | 6.00% | | | 11/1/2020 | | | 2,350 | | | 2,533,265 | |
Wyndham Worldwide Corp. | | 6.00% | | | 12/1/2016 | | | 292 | | | 326,029 | |
Total | | | | | | | | | | | 2,859,294 | |
| | | | | | | | | | | | |
Insurance Brokerage 0.19% | | | | | | | | | | | | |
Willis North America, Inc. | | 5.625% | | | 7/15/2015 | | | 750 | | | 805,192 | |
10 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Life Insurance 0.33% | | | | | | | | | | | | |
Coventry Health Care, Inc. | | 6.125% | | | 1/15/2015 | | $ | 276 | | $ | 296,338 | |
UnumProvident Finance Co. plc (United Kingdom)†(b) | | 6.85% | | | 11/15/2015 | | | 1,000 | | | 1,114,805 | |
Total | | | | | | | | | | | 1,411,143 | |
| | | | | | | | | | | | |
Media: Cable 0.82% | | | | | | | | | | | | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc. | | 4.75% | | | 10/1/2014 | | | 1,314 | | | 1,375,489 | |
Virgin Media Secured Finance plc (United Kingdom)(b) | | 6.50% | | | 1/15/2018 | | | 2,000 | | | 2,065,000 | |
Total | | | | | | | | | | | 3,440,489 | |
| | | | | | | | | | | | |
Media: Services 0.44% | | | | | | | | | | | | |
Interpublic Group of Cos., Inc. (The) | | 10.00% | | | 7/15/2017 | | | 1,750 | | | 1,846,600 | |
| | | | | | | | | | | | |
Medical Products 0.98% | | | | | | | | | | | | |
Bio-Rad Laboratories, Inc. | | 8.00% | | | 9/15/2016 | | | 800 | | | 841,171 | |
CareFusion Corp. | | 5.125% | | | 8/1/2014 | | | 1,135 | | | 1,184,340 | |
Life Technologies Corp. | | 4.40% | | | 3/1/2015 | | | 2,000 | | | 2,093,178 | |
Total | | | | | | | | | | | 4,118,689 | |
| | | | | | | | | | | | |
Metals/Mining (Excluding Steel) 1.68% | | | | | | | | | | | | |
Anglo American Capital plc (United Kingdom)†(b) | | 9.375% | | | 4/8/2014 | | | 3,214 | | | 3,407,576 | |
Glencore Funding LLC† | | 1.431% | # | | 5/27/2016 | | | 700 | | | 682,089 | |
Glencore Funding LLC† | | 6.00% | | | 4/15/2014 | | | 1,500 | | | 1,552,905 | |
Vale Overseas Ltd. (Brazil)(b) | | 9.00% | | | 8/15/2013 | | | 500 | | | 503,100 | |
Xstrata Finance Canada Ltd. (Canada)†(b) | | 2.85% | | | 11/10/2014 | | | 900 | | | 916,522 | |
Total | | | | | | | | | | | 7,062,192 | |
| | | | | | | | | | | | |
Oil Field Equipment & Services 0.38% | | | | | | | | | | | | |
National Oilwell Varco, Inc. | | 6.125% | | | 8/15/2015 | | | 750 | | | 750,915 | |
Transocean, Inc. | | 2.50% | | | 10/15/2017 | | | 300 | | | 296,771 | |
Transocean, Inc. | | 5.05% | | | 12/15/2016 | | | 500 | | | 544,146 | |
Total | | | | | | | | | | | 1,591,832 | |
| | | | | | | | | | | | |
Pharmaceuticals 1.33% | | | | | | | | | | | | |
Mylan, Inc.† | | 7.625% | | | 7/15/2017 | | | 2,000 | | | 2,214,982 | |
Mylan, Inc.† | | 7.875% | | | 7/15/2020 | | | 1,750 | | | 2,020,373 | |
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC (Puerto Rico) | | 7.75% | | | 9/15/2018 | | | 1,250 | | | 1,356,250 | |
Total | | | | | | | | | | | 5,591,605 | |
| See Notes to Financial Statements. | 11 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Real Estate Investment Trusts 1.00% | | | | | | | | | | | |
BRE Properties, Inc. | | 4.697% | | 3/17/2014 | | $ | 1,750 | | $ | 1,792,873 | |
Hospitality Properties Trust | | 5.125% | | 2/15/2015 | | | 1,628 | | | 1,686,309 | |
Kilroy Realty LP | | 5.00% | | 11/3/2015 | | | 350 | | | 378,044 | |
ProLogis LP | | 6.125% | | 12/1/2016 | | | 50 | | | 56,380 | |
Regency Centers LP | | 5.25% | | 8/1/2015 | | | 262 | | | 281,926 | |
Total | | | | | | | | | | 4,195,532 | |
| | | | | | | | | | | |
Software/Services 0.59% | | | | | | | | | | | |
Fidelity National Information Services, Inc. | | 7.875% | | 7/15/2020 | | | 2,250 | | | 2,481,138 | |
| | | | | | | | | | | |
Specialty Retail 0.74% | | | | | | | | | | | |
QVC, Inc.† | | 7.375% | | 10/15/2020 | | | 2,688 | | | 2,933,732 | |
QVC, Inc.† | | 7.50% | | 10/1/2019 | | | 150 | | | 163,130 | |
Total | | | | | | | | | | 3,096,862 | |
| | | | | | | | | | | |
Support: Services 0.20% | | | | | | | | | | | |
Western Union Co. (The) | | 2.875% | | 12/10/2017 | | | 850 | | | 853,068 | |
| | | | | | | | | | | |
Telecommunications: Integrated/Services 0.79% | | | | | | | | | | | |
Qwest Communications International, Inc. | | 7.125% | | 4/1/2018 | | | 1,500 | | | 1,559,063 | |
Qwest Corp. | | 7.50% | | 10/1/2014 | | | 1,000 | | | 1,076,686 | |
Qwest Corp. | | 7.625% | | 6/15/2015 | | | 625 | | | 692,314 | |
Total | | | | | | | | | | 3,328,063 | |
| | | | | | | | | | | |
Telecommunications: Wireless 0.51% | | | | | | | | | | | |
Cellco Partnership/Verizon Wireless Capital LLC | | 5.55% | | 2/1/2014 | | | 2,075 | | | 2,130,560 | |
| | | | | | | | | | | |
Transportation (Excluding Air/Rail) 0.12% | | | | | | | | | | | |
Penske Truck Leasing Co. LP/PTL Finance Corp.† | | 3.75% | | 5/11/2017 | | | 500 | | | 523,620 | |
Total Corporate Bonds (cost $107,654,480) | | | | | | | | | | 107,450,468 | |
| | | | | | | | | | | |
FOREIGN BOND(c) 0.40% | | | | | | | | | | | |
| | | | | | | | | | | |
Netherlands | | | | | | | | | | | |
Ziggo Finance BV† (cost $1,654,047) | | 6.125% | | 11/15/2017 | | EUR | 1,250 | | | 1,694,178 | |
| | | | | | | | | | | |
FOREIGN GOVERNMENT OBLIGATION 0.08% | | | | | | | | | | | |
| | | | | | | | | | | |
Brazil | | | | | | | | | | | |
Republic of Brazil(b) (cost $321,291) | | 8.00% | | 1/15/2018 | | $ | 278 | | | 314,583 | |
12 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
GOVERNMENT SPONSORED ENTERPRISES BOND 0.14% | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. (cost $623,743) | | 0.875% | | | 3/7/2018 | | $ | 625 | | $ | 605,489 | |
| | | | | | | | | | | | |
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 2.71% | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. K005 A1 | | 3.484% | | | 4/25/2019 | | | 1,510 | | | 1,610,493 | |
Federal Home Loan Mortgage Corp. K006 A1 | | 3.398% | | | 7/25/2019 | | | 1,555 | | | 1,659,721 | |
Federal Home Loan Mortgage Corp. K007 A1 | | 3.342% | | | 12/25/2019 | | | 1,999 | | | 2,131,306 | |
Federal Home Loan Mortgage Corp. K008 A1 | | 2.746% | | | 12/25/2019 | | | 710 | | | 743,374 | |
Federal Home Loan Mortgage Corp. K009 A1 | | 2.757% | | | 5/25/2020 | | | 803 | | | 840,970 | |
Federal Home Loan Mortgage Corp. K706 A1 | | 1.691% | | | 6/25/2018 | | | 638 | | | 649,616 | |
Federal National Mortgage Assoc. 2011-M3 A1 | | 2.072% | | | 7/25/2021 | | | 740 | | | 758,513 | |
Federal National Mortgage Assoc. 2011-M8 A1 | | 1.977% | | | 8/25/2021 | | | 1,795 | | | 1,817,010 | |
Federal National Mortgage Assoc. 2012-M2 A1 | | 1.824% | | | 2/25/2022 | | | 696 | | | 698,154 | |
Federal National Mortgage Assoc. 2013-M5 ASQ2 | | 0.595% | | | 8/25/2015 | | | 525 | | | 524,653 | |
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $11,094,695) | | | | | | | | | | | 11,433,810 | |
| | | | | | | | | | | | |
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 13.19% | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. | | 2.423% | # | | 6/1/2038 | | | 291 | | | 310,375 | |
Federal Home Loan Mortgage Corp. | | 2.444% | # | | 10/1/2035 | | | 784 | | | 829,520 | |
Federal Home Loan Mortgage Corp. | | 2.462% | # | | 6/1/2037 | | | 1,237 | | | 1,311,953 | |
Federal Home Loan Mortgage Corp. | | 2.535% | # | | 2/1/2038 | | | 954 | | | 1,020,916 | |
Federal Home Loan Mortgage Corp. | | 2.609% | # | | 4/1/2038 | | | 1,162 | | | 1,235,129 | |
Federal Home Loan Mortgage Corp. | | 2.626% | # | | 8/1/2038 | | | 224 | | | 238,224 | |
Federal Home Loan Mortgage Corp. | | 2.628% | # | | 12/1/2035 | | | 1,112 | | | 1,181,969 | |
Federal Home Loan Mortgage Corp. | | 2.64% | # | | 2/1/2038 | | | 655 | | | 703,157 | |
Federal Home Loan Mortgage Corp. | | 2.652% | # | | 12/1/2035 | | | 760 | | | 813,203 | |
Federal Home Loan Mortgage Corp. | | 2.691% | # | | 3/1/2038 | | | 787 | | | 837,678 | |
Federal Home Loan Mortgage Corp. | | 2.705% | # | | 3/1/2036 | | | 741 | | | 788,149 | |
Federal Home Loan Mortgage Corp. | | 2.708% | # | | 12/1/2037 | | | 528 | | | 561,683 | |
Federal Home Loan Mortgage Corp. | | 2.728% | # | | 4/1/2037 | | | 644 | | | 685,892 | |
| See Notes to Financial Statements. | 13 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. | | 2.739% | # | | 5/1/2036 | | $ | 569 | | $ | 605,645 | |
Federal Home Loan Mortgage Corp. | | 2.744% | # | | 10/1/2039 | | | 690 | | | 733,716 | |
Federal Home Loan Mortgage Corp. | | 2.793% | # | | 4/1/2037 | | | 288 | | | 306,542 | |
Federal Home Loan Mortgage Corp. | | 2.825% | # | | 2/1/2035 | | | 1,993 | | | 2,123,908 | |
Federal Home Loan Mortgage Corp. | | 2.833% | # | | 5/1/2035 | | | 503 | | | 537,573 | |
Federal Home Loan Mortgage Corp. | | 2.858% | # | | 11/1/2038 | | | 1,092 | | | 1,158,623 | |
Federal Home Loan Mortgage Corp. | | 2.859% | # | | 12/1/2036 | | | 983 | | | 1,049,039 | |
Federal Home Loan Mortgage Corp. | | 2.948% | # | | 9/1/2036 | | | 890 | | | 951,551 | |
Federal Home Loan Mortgage Corp. | | 2.988% | # | | 2/1/2037 | | | 1,088 | | | 1,167,087 | |
Federal Home Loan Mortgage Corp. | | 3.099% | # | | 10/1/2038 | | | 461 | | | 492,749 | |
Federal Home Loan Mortgage Corp. | | 4.418% | # | | 9/1/2037 | | | 554 | | | 589,296 | |
Federal Home Loan Mortgage Corp. | | 5.00% | | | 5/1/2021 | | | 163 | | | 174,331 | |
Federal Home Loan Mortgage Corp. | | 5.064% | # | | 7/1/2036 | | | 332 | | | 357,926 | |
Federal Home Loan Mortgage Corp. | | 5.155% | # | | 6/1/2037 | | | 461 | | | 491,240 | |
Federal Home Loan Mortgage Corp. | | 5.512% | # | | 7/1/2038 | | | 926 | | | 985,668 | |
Federal National Mortgage Assoc. | | 1.793% | # | | 8/1/2037 | | | 337 | | | 354,367 | |
Federal National Mortgage Assoc. | | 2.02% | # | | 6/1/2037 | | | 346 | | | 362,723 | |
Federal National Mortgage Assoc. | | 2.06% | # | | 1/1/2035 | | | 907 | | | 959,125 | |
Federal National Mortgage Assoc. | | 2.061% | # | | 11/1/2034 | | | 982 | | | 1,033,377 | |
Federal National Mortgage Assoc. | | 2.257% | # | | 6/1/2038 | | | 1,034 | | | 1,099,925 | |
Federal National Mortgage Assoc. | | 2.372% | # | | 1/1/2038 | | | 529 | | | 566,146 | |
Federal National Mortgage Assoc. | | 2.398% | # | | 3/1/2038 | | | 306 | | | 329,825 | |
Federal National Mortgage Assoc. | | 2.405% | # | | 11/1/2036 | | | 229 | | | 244,519 | |
Federal National Mortgage Assoc. | | 2.476% | # | | 3/1/2039 | | | 517 | | | 549,460 | |
Federal National Mortgage Assoc. | | 2.488% | # | | 2/1/2036 | | | 502 | | | 533,888 | |
Federal National Mortgage Assoc. | | 2.505% | # | | 12/1/2035 | | | 850 | | | 900,055 | |
Federal National Mortgage Assoc. | | 2.506% | # | | 1/1/2036 | | | 1,718 | | | 1,824,687 | |
Federal National Mortgage Assoc. | | 2.546% | # | | 8/1/2037 | | | 588 | | | 624,346 | |
Federal National Mortgage Assoc. | | 2.553% | # | | 11/1/2036 | | | 2,041 | | | 2,176,923 | |
Federal National Mortgage Assoc. | | 2.611% | # | | 9/1/2038 | | | 441 | | | 468,499 | |
Federal National Mortgage Assoc. | | 2.621% | # | | 1/1/2038 | | | 559 | | | 597,628 | |
Federal National Mortgage Assoc. | | 2.684% | # | | 7/1/2035 | | | 726 | | | 773,526 | |
Federal National Mortgage Assoc. | | 2.693% | # | | 2/1/2038 | | | 273 | | | 290,389 | |
Federal National Mortgage Assoc. | | 2.708% | # | | 6/1/2038 | | | 234 | | | 249,705 | |
Federal National Mortgage Assoc. | | 2.726% | # | | 4/1/2040 | | | 1,899 | | | 2,021,687 | |
Federal National Mortgage Assoc. | | 2.803% | # | | 11/1/2038 | | | 796 | | | 848,188 | |
Federal National Mortgage Assoc. | | 2.804% | # | | 12/1/2038 | | | 292 | | | 312,623 | |
Federal National Mortgage Assoc. | | 2.811% | # | | 10/1/2036 | | | 841 | | | 892,440 | |
14 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | | | | | | | | | | | | |
Federal National Mortgage Assoc. | | 2.898% | # | | 9/1/2037 | | $ | 238 | | $ | 253,771 | |
Federal National Mortgage Assoc. | | 2.95% | | | 3/1/2015 | | | 1,000 | | | 1,030,233 | |
Federal National Mortgage Assoc. | | 3.18% | | | 11/1/2014 | | | 1,137 | | | 1,164,720 | |
Federal National Mortgage Assoc. | | 3.255% | # | | 8/1/2038 | | | 303 | | | 324,913 | |
Federal National Mortgage Assoc. | | 3.723% | # | | 8/1/2038 | | | 723 | | | 776,692 | |
Federal National Mortgage Assoc. | | 4.50% | | | 11/1/2018 | | | 5,137 | | | 5,468,170 | |
Federal National Mortgage Assoc. | | 5.294% | # | | 9/1/2037 | | | 366 | | | 394,284 | |
Federal National Mortgage Assoc. | | 5.50% | | | 2/1/2034 | | | 1,313 | | | 1,437,404 | |
Federal National Mortgage Assoc. | | 5.50% | | | 11/1/2034 | | | 1,439 | | | 1,577,851 | |
Federal National Mortgage Assoc. | | 5.50% | | | 8/1/2037 | | | 2,631 | | | 2,869,734 | |
Total Government Sponsored Enterprises Pass-Throughs (cost $55,439,180) | | | | | | | | | | | 55,554,565 | |
| | | | | | | | | | | | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 22.78% | | | | | | | | | | | | |
7 WTC Depositor LLC Trust 2012-7WTC A† | | 4.082% | | | 3/13/2031 | | | 191 | | | 199,648 | |
Americold LLC Trust 2010-ARTA A1† | | 3.847% | | | 1/14/2029 | | | 481 | | | 503,560 | |
Arkle Master Issuer plc 2010-2A 1A1† | | 1.674% | # | | 5/17/2060 | | | 400 | | | 400,820 | |
Arkle Master Issuer plc 2011-1A 2A† | | 1.524% | # | | 5/17/2060 | | | 400 | | | 400,721 | |
Banc of America Commercial Mortgage, Inc. 2005-2 AAB | | 4.742% | | | 7/10/2043 | | | 97 | | | 97,066 | |
Banc of America Re-REMIC Trust 2011-STRP A3† | | 2.415% | | | 11/17/2039 | | | 750 | | | 749,385 | |
Banc of America Re-REMIC Trust 2011-STRP A4† | | 1.501% | | | 5/17/2046 | | | 412 | | | 412,719 | |
CFCRE Commercial Mortgage Trust 2011-C2 A2 | | 3.061% | | | 12/15/2047 | | | 400 | | | 417,239 | |
Citigroup Commercial Mortgage Trust 2005-C3 A2 | | 4.639% | | | 5/15/2043 | | | 10 | | | 9,563 | |
Commercial Mortgage Pass-Through Certificates 2007-C9 AM | | 5.65% | | | 12/10/2049 | | | 1,230 | | | 1,360,282 | |
Commercial Mortgage Pass-Through Certificates 2007-FL14 AJ† | | 0.373% | # | | 6/15/2022 | | | 829 | | | 822,180 | |
Commercial Mortgage Pass-Through Certificates 2010-C1 A1† | | 3.156% | | | 7/10/2046 | | | 1,652 | | | 1,719,476 | |
Commercial Mortgage Pass-Through Certificates 2011-FL1 C† | | 3.553% | # | | 7/17/2028 | | | 358 | | | 361,371 | |
Commercial Mortgage Pass-Through Certificates 2012-9W57 A† | | 2.365% | | | 2/10/2029 | | | 2,135 | | | 2,185,420 | |
Commercial Mortgage Pass-Through Certificates 2012-9W57 X† | | 1.525% | # | | 2/10/2029 | | | 8,000 | | | 382,404 | |
Commercial Mortgage Pass-Through Certificates 2012-CR1 A1 | | 1.116% | | | 5/15/2045 | | | 1,205 | | | 1,208,454 | |
| See Notes to Financial Statements. | 15 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | | | |
Commercial Mortgage Pass-Through Certificates 2012-CR3 A2 | | 1.765% | | | 10/15/2045 | | $ | 2,210 | | $ | 2,197,836 | |
Commercial Mortgage Pass-Through Certificates 2012-FL2 A† | | 2.32% | # | | 9/17/2029 | | | 2,230 | | | 2,255,287 | |
Commercial Mortgage Pass-Through Certificates 2013-CR6 A2 | | 2.122% | | | 3/10/2046 | | | 2,200 | | | 2,210,550 | |
Commercial Mortgage Pass-Through Certificates 2013-LC6 A2 | | 1.906% | | | 1/10/2046 | | | 2,000 | | | 1,991,197 | |
Credit Suisse Mortgage Capital Certificates 2006-C3 A3 | | 5.989% | # | | 6/15/2038 | | | 1,520 | | | 1,678,347 | |
Credit Suisse Mortgage Capital Certificates 2006-C5 A3 | | 5.311% | | | 12/15/2039 | | | 683 | | | 752,534 | |
Credit Suisse Mortgage Capital Certificates 2013-TH1 A1† | | 2.13% | | | 2/25/2043 | | | 671 | | | 632,715 | |
DBUBS Mortgage Trust 2011-LC1A A1† | | 3.742% | | | 11/10/2046 | | | 2,252 | | | 2,383,738 | |
DBUBS Mortgage Trust 2011-LC2A A1† | | 3.527% | | | 7/10/2044 | | | 1,184 | | | 1,261,941 | |
DBUBS Mortgage Trust 2011-LC2A A2† | | 3.386% | | | 7/10/2044 | | | 1,205 | | | 1,270,904 | |
DBUBS Mortgage Trust 2011-LC3A A2 | | 3.642% | | | 8/10/2044 | | | 1,850 | | | 1,958,358 | |
DDR Corp. 2009-DDR1 A† | | 3.807% | | | 10/14/2022 | | | 2,137 | | | 2,200,825 | |
DDR Corp. 2009-DDR1 B† | | 5.73% | | | 10/14/2022 | | | 500 | | | 522,448 | |
Del Coronado Trust 2013 HDC A† | | 0.993% | # | | 3/15/2026 | | | 1,200 | | | 1,198,516 | |
Extended Stay America Trust 2013-ESH7 B7† | | 3.604% | | | 12/5/2031 | | | 1,000 | | | 957,292 | |
Extended Stay America Trust 2013-ESH7 C7† | | 3.902% | | | 12/5/2031 | | | 1,030 | | | 989,341 | |
Fosse Master Issuer plc 2012-1A 2A2† | | 1.677% | # | | 10/18/2054 | | | 300 | | | 305,355 | |
Fosse Master Issuer plc 2012-1A 2B1† | | 2.227% | # | | 10/18/2054 | | | 350 | | | 356,362 | |
GMAC Commercial Mortgage Securities, Inc. 2003-C2 A2 | | 5.637% | # | | 5/10/2040 | | | 269 | | | 268,846 | |
Granite Master Issuer plc 2005-1 A4 | | 0.392% | # | | 12/20/2054 | | | 597 | | | 579,102 | |
Granite Master Issuer plc 2005-2 A6 | | 0.452% | # | | 12/20/2054 | | | 318 | | | 308,658 | |
Granite Master Issuer plc 2006-4 A4 | | 0.292% | # | | 12/20/2054 | | | 470 | | | 455,755 | |
Granite Master Issuer plc 2007-1 3A1 | | 0.392% | # | | 12/20/2054 | | | 112 | | | 108,803 | |
Greenwich Capital Commercial Funding Corp. 2007-GG9 A2 | | 5.381% | | | 3/10/2039 | | | 634 | | | 653,408 | |
GS Mortgage Securities Corp. II 2005-GG4 AABA | | 4.68% | | | 7/10/2039 | | | 205 | | | 206,570 | |
GS Mortgage Securities Corp. II 2007-EOP B† | | 1.731% | | | 3/6/2020 | | | 615 | | | 616,550 | |
GS Mortgage Securities Corp. II 2010-C1 A1† | | 3.679% | | | 8/10/2043 | | | 1,173 | | | 1,245,338 | |
GS Mortgage Securities Corp. II 2010-C2 A1† | | 3.849% | | | 12/10/2043 | | | 1,676 | | | 1,783,509 | |
GS Mortgage Securities Corp. II 2011-ALF B† | | 3.215% | | | 2/10/2021 | | | 500 | | | 504,100 | |
16 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | | | |
GS Mortgage Securities Corp. II 2011-GC3 A1† | | 2.331% | | | 3/10/2044 | | $ | 804 | | $ | 815,899 | |
GS Mortgage Securities Corp. II 2011-GC3 A2† | | 3.645% | | | 3/10/2044 | | | 1,600 | | | 1,691,123 | |
GS Mortgage Securities Corp. II 2011-GC5 A2 | | 2.999% | | | 8/10/2044 | | | 1,000 | | | 1,043,828 | |
GS Mortgage Securities Corp. II 2013-KYO C† | | 1.943% | # | | 11/8/2029 | | | 700 | | | 695,239 | |
GS Mortgage Securities Trust 2012-GCJ7 A1 | | 1.144% | | | 5/10/2045 | | | 1,212 | | | 1,216,516 | |
Holmes Master Issuer plc 2010-1A A2† | | 1.677% | # | | 10/15/2054 | | | 369 | | | 371,139 | |
JPMorgan Chase Commercial Mortgage Securities Corp. 2004-LN2 A1 | | 4.475% | | | 7/15/2041 | | | 268 | | | 268,006 | |
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-LDP9 A3 | | 5.336% | | | 5/15/2047 | | | 1,399 | | | 1,546,706 | |
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD11 A2 | | 5.988% | # | | 6/15/2049 | | | 586 | | | 601,066 | |
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LDPX A2SF | | 0.323% | # | | 1/15/2049 | | | 407 | | | 405,351 | |
JPMorgan Chase Commercial Mortgage Securities Corp. 2010-C2 A1† | | 2.749% | | | 11/15/2043 | | | 1,773 | | | 1,832,346 | |
JPMorgan Chase Commercial Mortgage Securities Corp. 2011-PLSD A2† | | 3.364% | | | 11/13/2044 | | | 2,000 | | | 2,100,656 | |
JPMorgan Chase Commercial Mortgage Securities Corp. 2012-C8 A2 | | 1.797% | | | 10/15/2045 | | | 2,250 | | | 2,245,006 | |
JPMorgan Chase Commercial Mortgage Securities Corp. 2012-LC9 A2 | | 1.677% | | | 12/15/2047 | | | 1,100 | | | 1,091,046 | |
Merrill Lynch Floating Trust 2008-LAQA A1† | | 0.731% | # | | 7/9/2021 | | | 739 | | | 737,303 | |
Merrill Lynch Floating Trust 2008-LAQA A2† | | 0.731% | # | | 7/9/2021 | | | 2,250 | | | 2,203,170 | |
Merrill Lynch Mortgage Trust 2005-CIP1 A2 | | 4.96% | | | 7/12/2038 | | | 197 | | | 199,101 | |
Merrill Lynch Mortgage Trust 2005-MKB2 A2 | | 4.806% | | | 9/12/2042 | | | 3 | | | 2,638 | |
Merrill Lynch Mortgage Trust 2007-C1 A2FL† | | 0.503% | # | | 6/12/2050 | | | 135 | | | 133,759 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 AM | | 5.204% | | | 12/12/2049 | | | 1,100 | | | 1,187,102 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-7 A3FL† | | 0.409% | # | | 6/12/2050 | | | 161 | | | 160,243 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 A2 | | 1.972% | | | 8/15/2045 | | | 680 | | | 686,090 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 A2 | | 1.868% | | | 11/15/2045 | | | 2,210 | | | 2,214,846 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A1† | | 2.117% | | | 10/15/2030 | | | 416 | | | 412,944 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 A2 | | 1.97% | | | 5/15/2046 | | | 1,720 | | | 1,714,167 | |
Morgan Stanley Capital I 2006-T21 A2 | | 5.09% | | | 10/12/2052 | | | 3 | | | 3,465 | |
Morgan Stanley Capital I 2007-HQ12 A3 | | 5.763% | # | | 4/12/2049 | | | 955 | | | 957,990 | |
| See Notes to Financial Statements. | 17 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | | | |
Morgan Stanley Capital I 2011-C1 A2† | | 3.884% | | | 9/15/2047 | | $ | 1,515 | | $ | 1,607,107 | |
Morgan Stanley Capital I 2011-C2 A2† | | 3.476% | | | 6/15/2044 | | | 750 | | | 792,745 | |
Morgan Stanley Capital I 2012-STAR A1† | | 2.084% | | | 8/5/2034 | | | 931 | | | 917,650 | |
Morgan Stanley Re-REMIC Trust 2010-C30A A3A† | | 3.25% | | | 12/17/2043 | | | 3 | | | 3,390 | |
RBSCF Trust 2010-MB1 A2† | | 3.686% | | | 4/15/2024 | | | 1,580 | | | 1,639,180 | |
RBSCF Trust 2010-RR3 WBTB† | | 6.122% | # | | 2/16/2051 | | | 1,500 | | | 1,674,085 | |
Sequoia Mortgage Trust 2012-4 A3 | | 2.069% | | | 9/25/2042 | | | 508 | | | 487,428 | |
Sequoia Mortgage Trust 2012-6 A2 | | 1.808% | | | 12/25/2042 | | | 1,004 | | | 935,382 | |
Sequoia Mortgage Trust 2013-2 A1 | | 1.874% | | | 2/25/2043 | | | 711 | | | 643,638 | |
Silverstone Master Issuer plc 2011-1A† | | 1.826% | # | | 1/21/2055 | | | 400 | | | 406,280 | |
UBS-Barclays Commercial Mortgage Trust 2012-C2 A2 | | 2.113% | | | 5/10/2063 | | | 2,100 | | | 2,125,220 | |
UBS-Barclays Commercial Mortgage Trust 2012-C4 A2 | | 1.712% | | | 12/10/2045 | | | 1,000 | | | 991,172 | |
Vornado DP LLC 2010-VNO A1† | | 2.97% | | | 9/13/2028 | | | 763 | | | 797,159 | |
Wachovia Bank Commercial Mortgage Trust 2005-C18 APB | | 4.807% | | | 4/15/2042 | | | 307 | | | 315,434 | |
Wachovia Bank Commercial Mortgage Trust 2006-C27 A3 | | 5.765% | | | 7/15/2045 | | | 713 | | | 771,920 | |
Wachovia Bank Commercial Mortgage Trust 2006-C27 AM | | 5.795% | | | 7/15/2045 | | | 645 | | | 705,290 | |
Wachovia Bank Commercial Mortgage Trust 2007-C30 A3 | | 5.246% | | | 12/15/2043 | | | 288 | | | 295,938 | |
Wells Fargo Commercial Mortgage Trust 2012-LC5 A2 | | 1.844% | | | 10/15/2045 | | | 540 | | | 536,789 | |
WF-RBS Commercial Mortgage Trust 2011-C2 A2† | | 3.791% | | | 2/15/2044 | | | 1,500 | | | 1,587,194 | |
WF-RBS Commercial Mortgage Trust 2011-C4 A1† | | 1.607% | | | 6/15/2044 | | | 696 | | | 702,855 | |
WF-RBS Commercial Mortgage Trust 2011-C5 A3 | | 3.526% | | | 11/15/2044 | | | 1,000 | | | 1,039,861 | |
WF-RBS Commercial Mortgage Trust 2012-C10 A2 | | 1.765% | | | 12/15/2045 | | | 420 | | | 415,089 | |
WF-RBS Commercial Mortgage Trust 2012-C7 A1 | | 2.30% | | | 6/15/2045 | | | 496 | | | 496,371 | |
WF-RBS Commercial Mortgage Trust 2012-C8 A2 | | 1.881% | | | 8/15/2045 | | | 1,430 | | | 1,426,228 | |
WF-RBS Commercial Mortgage Trust 2012-C9 A2 | | 1.829% | | | 11/15/2045 | | | 595 | | | 589,973 | |
18 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | | |
WF-RBS Commercial Mortgage Trust 2013-C11 A2 | | 2.029% | | 3/15/2045 | | $ | 2,200 | | $ | 2,207,518 | |
WF-RBS Commercial Mortgage Trust 2013-C12 A2 | | 2.072% | | 3/15/2048 | | | 2,225 | | | 2,217,051 | |
Total Non-Agency Commercial Mortgage-Backed Securities (cost $96,996,426) | | | | | | | | | | 95,949,185 | |
Total Long-Term Investments (cost $316,957,488) | | | | | | | | | | 316,039,591 | |
| | | | | | | | | | | |
SHORT-TERM INVESTMENTS 18.82% | | | | | | | | | | | |
| | | | | | | | | | | |
COMMERCIAL PAPER 2.79% | | | | | | | | | | | |
| | | | | | | | | | | |
Automotive 0.12% | | | | | | | | | | | |
Daimler Finance North America LLC | | Zero Coupon | | 7/22/2013 | | | 500 | | | 499,694 | |
| | | | | | | | | | | |
Consumer Cyclical 0.53% | | | | | | | | | | | |
Newell Rubbermaid, Inc. | | Zero Coupon | | 8/30/2013 | | | 1,500 | | | 1,498,651 | |
Safeway, Inc. | | Zero Coupon | | 11/29/2013 | | | 750 | | | 747,396 | |
Total | | | | | | | | | | 2,246,047 | |
| | | | | | | | | | | |
Consumer Non-Cyclical 0.06% | | | | | | | | | | | |
Avon Capital Corp. | | Zero Coupon | | 10/28/2013 | | | 250 | | | 249,523 | |
| | | | | | | | | | | |
Energy 1.48% | | | | | | | | | | | |
BP Capital Markets plc | | Zero Coupon | | 8/12/2013 | | | 2,000 | | | 1,998,670 | |
Weatherford International Ltd. | | Zero Coupon | | 7/8/2013 | | | 1,250 | | | 1,249,733 | |
Weatherford International Ltd. | | Zero Coupon | | 9/10/2013 | | | 1,500 | | | 1,498,985 | |
Weatherford International Ltd. | | Zero Coupon | | 8/20/2013 | | | 1,500 | | | 1,497,625 | |
Total | | | | | | | | | | 6,245,013 | |
| | | | | | | | | | | |
Telecommunications 0.36% | | | | | | | | | | | |
Vodafone Group plc | | Zero Coupon | | 9/9/2013 | | | 500 | | | 499,668 | |
Vodafone Group plc | | Zero Coupon | | 7/31/2013 | | | 1,000 | | | 999,067 | |
Total | | | | | | | | | | 1,498,735 | |
| | | | | | | | | | | |
Utility 0.24% | | | | | | | | | | | |
Entergy Corp. | | Zero Coupon | | 7/22/2013 | | | 500 | | | 499,732 | |
Entergy Corp. | | Zero Coupon | | 8/12/2013 | | | 500 | | | 499,457 | |
Total | | | | | | | | | | 999,189 | |
Total Commercial Paper (cost $11,733,085) | | | | | | | | | | 11,738,201 | |
| | | | | | | | | | | |
CORPORATE BONDS 5.61% | | | | | | | | | | | |
| | | | | | | | | | | |
Banking 0.85% | | | | | | | | | | | |
Morgan Stanley | | 4.75% | | 4/1/2014 | | | 3,500 | | | 3,576,713 | |
| See Notes to Financial Statements. | 19 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Beverages 0.02% | | | | | | | | | | | | |
SABMiller plc (United Kingdom)†(b) | | 5.50% | | | 8/15/2013 | | $ | 100 | | $ | 100,576 | |
| | | | | | | | | | | | |
Diversified Capital Goods 0.36% | | | | | | | | | | | | |
Ingersoll-Rand Global Holding Co. Ltd. | | 6.00% | | | 8/15/2013 | | | 1,000 | | | 1,006,349 | |
Leucadia National Corp. | | 7.00% | | | 8/15/2013 | | | 500 | | | 503,625 | |
Total | | | | | | | | | | | 1,509,974 | |
| | | | | | | | | | | | |
Electric: Integrated 0.33% | | | | | | | | | | | | |
Cleveland Electric Illuminating Co. (The) | | 5.65% | | | 12/15/2013 | | | 390 | | | 398,259 | |
Great Plains Energy, Inc. | | 2.75% | | | 8/15/2013 | | | 1,000 | | | 1,002,154 | |
Total | | | | | | | | | | | 1,400,413 | |
| | | | | | | | | | | | |
Electronics 0.31% | | | | | | | | | | | | |
Avnet, Inc. | | 5.875% | | | 3/15/2014 | | | 1,250 | | | 1,289,182 | |
| | | | | | | | | | | | |
Energy: Exploration & Production 0.72% | | | | | | | | | | | | |
Canadian Oil Sands Ltd. (Canada)†(b) | | 5.80% | | | 8/15/2013 | | | 3,000 | | | 3,016,371 | |
| | | | | | | | | | | | |
Gas Distribution 0.44% | | | | | | | | | | | | |
Panhandle Eastern Pipe Line Co. LP | | 6.05% | | | 8/15/2013 | | | 1,850 | | | 1,861,120 | |
| | | | | | | | | | | | |
Machinery 0.14% | | | | | | | | | | | | |
Roper Industries, Inc. | | 6.625% | | | 8/15/2013 | | | 575 | | | 578,816 | |
| | | | | | | | | | | | |
Media: Cable 0.59% | | | | | | | | | | | | |
Time Warner Cable, Inc. | | 6.20% | | | 7/1/2013 | | | 2,500 | | | 2,500,000 | |
| | | | | | | | | | | | |
Medical Products 0.19% | | | | | | | | | | | | |
Agilent Technologies, Inc. | | 2.50% | | | 7/15/2013 | | | 535 | | | 535,336 | |
DENTSPLY International, Inc. | | 1.775% | # | | 8/15/2013 | | | 250 | | | 250,335 | |
Total | | | | | | | | | | | 785,671 | |
| | | | | | | | | | | | |
Metals/Mining (Excluding Steel) 0.16% | | | | | | | | | | | | |
Anglo American Capital plc (United Kingdom)†(b) | | 2.15% | | | 9/27/2013 | | | 685 | | | 687,027 | |
| | | | | | | | | | | | |
Multi-Line Insurance 0.38% | | | | | | | | | | | | |
Hartford Financial Services Group, Inc. | | 4.625% | | | 7/15/2013 | | | 1,250 | | | 1,251,909 | |
Hartford Financial Services Group, Inc. | | 4.75% | | | 3/1/2014 | | | 350 | | | 358,532 | |
Total | | | | | | | | | | | 1,610,441 | |
| | | | | | | | | | | | |
Real Estate Investment Trusts 0.30% | | | | | | | | | | | | |
Camden Property Trust | | 5.375% | | | 12/15/2013 | | | 1,250 | | | 1,275,245 | |
20 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Software/Services 0.18% | | | | | | | | | | | |
HP Enterprise Services LLC | | 6.00% | | 8/1/2013 | | $ | 750 | | $ | 753,009 | |
| | | | | | | | | | | |
Specialty Retail 0.06% | | | | | | | | | | | |
Best Buy Co., Inc. | | 7.25% | | 7/15/2013 | | | 250 | | | 251,563 | |
| | | | | | | | | | | |
Telecommunications: Integrated/Services 0.36% | | | | | | | | | | | |
Deutsche Telekom International Finance BV (Netherlands)(b) | | 5.875% | | 8/20/2013 | | | 1,500 | | | 1,510,312 | |
| | | | | | | | | | | |
Tobacco 0.22% | | | | | | | | | | | |
BAT International Finance plc (United Kingdom)†(b) | | 8.125% | | 11/15/2013 | | | 400 | | | 410,352 | |
Universal Corp. | | 5.20% | | 10/15/2013 | | | 500 | | | 504,897 | |
Total | | | | | | | | | | 915,249 | |
Total Corporate Bonds (cost $23,643,875) | | | | | | | | | | 23,621,682 | |
| | | | | | | | | | | |
FOREIGN GOVERNMENT OBLIGATIONS(c) 10.42% | | | | | | | | | | | |
| | | | | | | | | | | |
Hungary 3.14% | | | | | | | | | | | |
Hungary Treasury Bill | | Zero Coupon | | 7/24/2013 | | HUF | 3,000,000 | | | 13,232,847 | |
| | | | | | | | | | | |
Nigeria 1.08% | | | | | | | | | | | |
Nigeria Treasury Bill | | Zero Coupon | | 11/21/2013 | | NGN | 775,075 | | | 4,524,410 | |
| | | | | | | | | | | |
Turkey 6.20% | | | | | | | | | | | |
Turkey Government Bond | | Zero Coupon | | 9/11/2013 | | TRY | 34,500 | | | 17,693,078 | |
Turkey Government Bond | | 10.00% | | 12/4/2013 | | TRY | 16,000 | | | 8,433,453 | |
Total | | | | | | | | | | 26,126,531 | |
Total Foreign Government Obligations (cost $45,099,816) | | | | | | | | | | 43,883,788 | |
Total Short-Term Investments (cost $80,476,776) | | | | | | | | | | 79,243,671 | |
Total Investments in Securities 93.85% (cost $397,434,264) | | | | | | | | | | 395,283,262 | |
Cash, Foreign Cash and Other Assets in Excess of Liabilities(d) 6.15% | | | | | | | | | | 25,919,455 | |
Net Assets 100.00% | | | | | | | | | $ | 421,202,717 | |
EUR | | euro. |
HUF | | Hungarian forint. |
NGN | | Nigerian naira. |
TRY | | Turkish lira. |
† | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. |
# | | Variable rate security. The interest rate represents the rate in effect at June 30, 2013. |
(a) | | Security has been fully or partially segregated to cover margin requirements for open futures contracts as of June 30, 2013. |
(b) | | Foreign security traded in U.S. dollars. |
(c) | | Investment in non-U.S. dollar denominated securities. |
(d) | | Cash, Foreign Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on credit default swaps, forward foreign currency exchange contracts and futures contracts as follows: |
| See Notes to Financial Statements. | 21 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Credit Default Swaps on Indexes - Sell Protection at June 30, 2013(1):
Swap Counterparty | | Fund Receives | | Referenced Index | | Termination Date | | Notional Amount | | Fair Value(2) | | Upfront Payments Received(3) | | Unrealized Appreciation | |
| | | | Markit CMBX. | | | | | | | | | | | | | | | |
UBS AG | | .07% | | NA.AAA.2 | | 3/15/2049 | | | $1,300,000 | | | $1,262,976 | | | $ 70,851 | | | $33,827 | |
Swap Counterparty | | Fund Receives | | Referenced Index | | Termination Date | | Notional Amount | | Fair Value(2) | | Upfront Payments Received(3) | | Unrealized Depreciation | |
| | | | Markit CMBX. | | | | | | | | | | | | | | | |
Credit Suisse | | .07% | | NA.AAA.2 | | 3/15/2049 | | | $500,000 | | | $485,760 | | | $12,335 | | | $(1,905) | |
| | | | Markit CMBX. | | | | | | | | | | | | | | | |
Morgan Stanley | | .07% | | NA.AAA.2 | | 3/15/2049 | | | 500,000 | | | 485,760 | | | 14,180 | | | (60) | |
| | | | Markit CMBX. | | | | | | | | | | | | | | | |
Credit Suisse | | .08% | | NA.AAA.3 | | 12/13/2049 | | | 1,000,000 | | | 958,930 | | | 35,782 | | | (5,288) | |
Unrealized Depreciation on Credit Default Swaps on Indexes | | | | | | | | | $(7,253) | |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. |
(2) | Fair value serves as the indicator of the current status of payment/performance risk. |
(3) | Total upfront payments received amount to $133,148. Upfront payments received are presented net of amortization (See Note 2(n)). |
Open Forward Foreign Currency Exchange Contracts at June 30, 2013:
Forward Foreign Currency Exchange Contracts | | Transaction Type | | Counterparty | | Expiration Date | | Foreign Currency | | U.S. $ Cost on Origination Date | | | U.S. $ Current Value | | | Unrealized Appreciation | |
Argentine peso | | Buy | | J.P. Morgan | | 8/12/2013 | | 47,800,000 | | $ | 8,237,829 | | | $ | 8,552,131 | | | $ | 314,302 | |
Argentine peso | | Buy | | UBS AG | | 10/2/2013 | | 18,800,000 | | | 3,219,178 | | | | 3,327,286 | | | | 108,108 | |
Argentine peso | | Buy | | UBS AG | | 7/5/2013 | | 25,400,000 | | | 4,402,080 | | | | 4,702,784 | | | | 300,704 | |
Argentine peso | | Buy | | UBS AG | | 9/9/2013 | | 100,000,000 | | | 17,241,379 | | | | 17,577,435 | | | | 336,056 | |
Colombian peso | | Buy | | J.P. Morgan | | 10/3/2013 | | 984,000,000 | | | 505,718 | | | | 507,364 | | | | 1,646 | |
Hungarian forint | | Buy | | Barclays Bank plc | | 8/12/2013 | | 1,895,000,000 | | | 8,256,361 | | | | 8,328,501 | | | | 72,140 | |
Hungarian forint | | Buy | | Deutsche Bank | | 7/5/2013 | | 149,000,000 | | | 651,219 | | | | 657,364 | | | | 6,145 | |
Hungarian forint | | Buy | | Goldman Sachs | | 7/5/2013 | | 1,080,000,000 | | | 4,619,797 | | | | 4,764,786 | | | | 144,989 | |
Hungarian forint | | Buy | | Goldman Sachs | | 8/12/2013 | | 87,000,000 | | | 380,116 | | | | 382,364 | | | | 2,248 | |
Hungarian forint | | Buy | | J.P. Morgan | | 9/9/2013 | | 895,000,000 | | | 3,870,751 | | | | 3,922,969 | | | | 52,218 | |
Indonesian rupiah | | Buy | | J.P. Morgan | | 8/16/2013 | | 6,750,000,000 | | | 641,513 | | | | 661,775 | | | | 20,262 | |
Indonesian rupiah | | Buy | | J.P. Morgan | | 7/5/2013 | | 166,500,000,000 | | | 16,633,367 | | | | 16,738,281 | | | | 104,914 | |
Romanian new leu | | Buy | | J.P. Morgan | | 7/5/2013 | | 8,760,000 | | | 2,517,799 | | | | 2,553,026 | | | | 35,227 | |
Romanian new leu | | Buy | | UBS AG | | 7/5/2013 | | 29,500,000 | | | 8,589,314 | | | | 8,597,518 | | | | 8,204 | |
South African rand | | Buy | | Deutsche Bank | | 9/9/2013 | | 205,500,000 | | | 20,165,841 | | | | 20,584,500 | | | | 418,659 | |
South African rand | | Buy | | Goldman Sachs | | 9/9/2013 | | 44,305,000 | | | 4,336,881 | | | | 4,437,938 | | | | 101,057 | |
Thai baht | | Buy | | J.P. Morgan | | 9/9/2013 | | 116,700,000 | | | 3,724,864 | | | | 3,749,361 | | | | 24,497 | |
22 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Forward Foreign Currency Exchange Contracts | | Transaction Type | | Counterparty | | Expiration Date | | Foreign Currency | | U.S. $ Cost on Origination Date | | | U.S. $ Current Value | | | Unrealized Appreciation | |
Argentine peso | | Sell | | UBS AG | | 7/5/2013 | | 5,575,000 | | $ | 1,034,323 | | | $ | 1,032,205 | | | $ | 2,118 | |
Argentine peso | | Sell | | UBS AG | | 7/5/2013 | | 17,330,000 | | | 3,209,259 | | | | 3,208,632 | | | | 627 | |
Brazilian real | | Sell | | Barclays Bank plc | | 7/5/2013 | | 1,680,000 | | | 773,908 | | | | 752,395 | | | | 21,513 | |
Brazilian real | | Sell | | Barclays Bank plc | | 7/5/2013 | | 9,326,000 | | | 4,309,612 | | | | 4,176,689 | | | | 132,923 | |
Brazilian real | | Sell | | Barclays Bank plc | | 7/5/2013 | | 18,494,000 | | | 8,370,220 | | | | 8,282,616 | | | | 87,604 | |
Chilean peso | | Sell | | Deutsche Bank | | 7/5/2013 | | 3,348,000,000 | | | 6,616,601 | | | | 6,586,402 | | | | 30,199 | |
Chilean peso | | Sell | | J.P. Morgan | | 7/5/2013 | | 657,000,000 | | | 1,296,267 | | | | 1,292,493 | | | | 3,774 | |
Colombian peso | | Sell | | Goldman Sachs | | 7/5/2013 | | 4,627,000,000 | | | 2,415,557 | | | | 2,407,308 | | | | 8,249 | |
Colombian peso | | Sell | | Goldman Sachs | | 7/5/2013 | | 826,000,000 | | | 431,106 | | | | 429,746 | | | | 1,360 | |
Czech koruna | | Sell | | Deutsche Bank | | 9/23/2013 | | 144,000,000 | | | 7,512,642 | | | | 7,208,163 | | | | 304,479 | |
euro | | Sell | | Barclays Bank plc | | 8/12/2013 | | 9,900,000 | | | 12,937,518 | | | | 12,888,501 | | | | 49,017 | |
euro | | Sell | | Goldman Sachs | | 7/17/2013 | | 263,000 | | | 344,580 | | | | 342,354 | | | | 2,226 | |
euro | | Sell | | Morgan Stanley | | 9/20/2013 | | 465,000 | | | 622,861 | | | | 605,479 | | | | 17,382 | |
Hungarian forint | | Sell | | Barclays Bank plc | | 7/5/2013 | | 160,000,000 | | | 709,159 | | | | 705,894 | | | | 3,265 | |
Hungarian forint | | Sell | | J.P. Morgan | | 8/12/2013 | | 398,000,000 | | | 1,749,973 | | | | 1,749,205 | | | | 768 | |
Hungarian forint | | Sell | | UBS AG | | 7/5/2013 | | 1,069,000,000 | | | 4,793,771 | | | | 4,716,255 | | | | 77,516 | |
Indian rupee | | Sell | | J.P. Morgan | | 7/5/2013 | | 41,000,000 | | | 697,481 | | | | 689,272 | | | | 8,209 | |
Mexican peso | | Sell | | Barclays Bank plc | | 7/5/2013 | | 3,950,000 | | | 308,539 | | | | 304,763 | | | | 3,776 | |
Mexican peso | | Sell | | Barclays Bank plc | | 7/5/2013 | | 142,470,000 | | | 11,131,327 | | | | 10,992,284 | | | | 139,043 | |
Mexican peso | | Sell | | Morgan Stanley | | 8/12/2013 | | 3,900,000 | | | 303,842 | | | | 299,892 | | | | 3,950 | |
Philippine peso | | Sell | | Barclays Bank plc | | 7/5/2013 | | 28,000,000 | | | 653,046 | | | | 648,429 | | | | 4,617 | |
Polish zloty | | Sell | | J.P. Morgan | | 7/5/2013 | | 1,535,000 | | | 474,202 | | | | 461,886 | | | | 12,316 | |
Polish zloty | | Sell | | Morgan Stanley | | 7/5/2013 | | 7,030,000 | | | 2,143,412 | | | | 2,115,349 | | | | 28,063 | |
Romanian new leu | | Sell | | J.P. Morgan | | 7/5/2013 | | 19,860,000 | | | 5,994,567 | | | | 5,788,024 | | | | 206,543 | |
Russian ruble | | Sell | | J.P. Morgan | | 7/5/2013 | | 16,100,000 | | | 493,766 | | | | 489,825 | | | | 3,941 | |
Singapore dollar | | Sell | | Credit Suisse | | 9/9/2013 | | 8,350,000 | | | 6,594,566 | | | | 6,588,565 | | | | 6,001 | |
South African rand | | Sell | | Goldman Sachs | | 8/12/2013 | | 6,150,000 | | | 619,965 | | | | 618,481 | | | | 1,484 | |
South Korean won | | Sell | | UBS AG | | 7/5/2013 | | 372,500,000 | | | 327,047 | | | | 326,107 | | | | 940 | |
Taiwan dollar | | Sell | | Deutsche Bank | | 7/5/2013 | | 142,250,000 | | | 4,773,490 | | | | 4,746,500 | | | | 26,990 | |
Taiwan dollar | | Sell | | J.P. Morgan | | 7/5/2013 | | 138,800,000 | | | 4,656,156 | | | | 4,631,383 | | | | 24,773 | |
Turkish lira | | Sell | | J.P. Morgan | | 7/5/2013 | | 1,560,000 | | | 819,830 | | | | 808,337 | | | | 11,493 | |
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | | | $ | 3,276,535 | |
Forward Foreign Currency Exchange Contracts | | Transaction Type | | Counterparty | | Expiration Date | | Foreign Currency | | U.S. $ Cost on Origination Date | | | U.S. $ Current Value | | | Unrealized Depreciation | |
Brazilian real | | Buy | | Barclays Bank plc | | 10/2/2013 | | 18,800,000 | | $ | 8,358,527 | | | $ | 8,269,188 | | | $ | (89,339 | ) |
Brazilian real | | Buy | | Deutsche Bank | | 8/12/2013 | | 27,500,000 | | | 13,477,089 | | | | 12,217,200 | | | | (1,259,889 | ) |
Brazilian real | | Buy | | Goldman Sachs | | 8/12/2013 | | 590,000 | | | 287,393 | | | | 262,114 | | | | (25,279 | ) |
Brazilian real | | Buy | | J.P. Morgan | | 8/12/2013 | | 1,055,000 | | | 512,708 | | | | 468,696 | | | | (44,012 | ) |
Brazilian real | | Buy | | Morgan Stanley | | 7/5/2013 | | 29,500,000 | | | 14,414,855 | | | | 13,211,700 | | | | (1,203,155 | ) |
Brazilian real | | Buy | | Morgan Stanley | | 8/12/2013 | | 1,540,000 | | | 753,757 | | | | 684,163 | | | | (69,594 | ) |
| See Notes to Financial Statements. | 23 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Forward Foreign Currency Exchange Contracts | | Transaction Type | | Counterparty | | Expiration Date | | Foreign Currency | | U.S. $ Cost on Origination Date | | | U.S. $ Current Value | | | Unrealized Depreciation | |
Brazilian real | | Buy | | UBS AG | | 9/9/2013 | | 25,510,000 | | $ | 12,022,811 | | | $ | 11,275,851 | | | $ | (746,960 | ) |
Chilean peso | | Buy | | Credit Suisse | | 8/12/2013 | | 1,060,000,000 | | | 2,229,467 | | | | 2,072,022 | | | | (157,445 | ) |
Chilean peso | | Buy | | Credit Suisse | | 9/9/2013 | | 9,300,000,000 | | | 18,693,467 | | | | 18,105,532 | | | | (587,935 | ) |
Chilean peso | | Buy | | Goldman Sachs | | 8/12/2013 | | 332,500,000 | | | 699,592 | | | | 649,950 | | | | (49,642 | ) |
Chilean peso | | Buy | | J.P. Morgan | | 10/2/2013 | | 666,000,000 | | | 1,296,376 | | | | 1,292,200 | | | | (4,176 | ) |
Chilean peso | | Buy | | Morgan Stanley | | 7/5/2013 | | 7,630,000,000 | | | 15,953,999 | | | | 15,010,230 | | | | (943,769 | ) |
Colombian peso | | Buy | | Credit Suisse | | 8/12/2013 | | 19,000,000,000 | | | 10,256,410 | | | | 9,848,322 | | | | (408,088 | ) |
Colombian peso | | Buy | | Deutsche Bank | | 8/12/2013 | | 12,821,000,000 | | | 6,930,270 | | | | 6,645,544 | | | | (284,726 | ) |
Colombian peso | | Buy | | Deutsche Bank | | 9/9/2013 | | 18,250,000,000 | | | 9,517,105 | | | | 9,433,304 | | | | (83,801 | ) |
Colombian peso | | Buy | | Goldman Sachs | | 7/5/2013 | | 6,858,000,000 | | | 3,744,778 | | | | 3,568,040 | | | | (176,738 | ) |
Colombian peso | | Buy | | Goldman Sachs | | 8/12/2013 | | 965,000,000 | | | 522,045 | | | | 500,191 | | | | (21,854 | ) |
euro | | Buy | | Barclays Bank plc | | 8/12/2013 | | 4,285,000 | | | 5,610,445 | | | | 5,578,508 | | | | (31,937 | ) |
Hungarian forint | | Buy | | Deutsche Bank | | 8/12/2013 | | 96,000,000 | | | 422,149 | | | | 421,919 | | | | (230 | ) |
Indian rupee | | Buy | | Barclays Bank plc | | 7/5/2013 | | 311,500,000 | | | 5,625,790 | | | | 5,236,785 | | | | (389,005 | ) |
Indian rupee | | Buy | | Barclays Bank plc | | 7/5/2013 | | 30,800,000 | | | 558,244 | | | | 517,794 | | | | (40,450 | ) |
Indian rupee | | Buy | | Barclays Bank plc | | 8/12/2013 | | 44,000,000 | | | 802,246 | | | | 731,714 | | | | (70,532 | ) |
Indian rupee | | Buy | | Barclays Bank plc | | 9/10/2013 | | 1,038,000,000 | | | 18,124,673 | | | | 17,178,699 | | | | (945,974 | ) |
Indian rupee | | Buy | | J.P. Morgan | | 8/12/2013 | | 748,000,000 | | | 13,707,165 | | | | 12,439,132 | | | | (1,268,033 | ) |
Indian rupee | | Buy | | Morgan Stanley | | 8/12/2013 | | 31,560,000 | | | 560,578 | | | | 524,838 | | | | (35,740 | ) |
Indonesian rupiah | | Buy | | Barclays Bank plc | | 8/16/2013 | | 54,900,000,000 | | | 5,565,129 | | | | 5,382,435 | | | | (182,694 | ) |
Indonesian rupiah | | Buy | | Goldman Sachs | | 7/5/2013 | | 9,466,000,000 | | | 960,723 | | | | 951,619 | | | | (9,104 | ) |
Indonesian rupiah | | Buy | | J.P. Morgan | | 8/16/2013 | | 118,000,000,000 | | | 11,919,192 | | | | 11,568,805 | | | | (350,387 | ) |
Mexican peso | | Buy | | J.P. Morgan | | 7/5/2013 | | 33,600,000 | | | 2,692,381 | | | | 2,592,411 | | | | (99,970 | ) |
Mexican peso | | Buy | | J.P. Morgan | | 7/5/2013 | | 56,400,000 | | | 4,568,722 | | | | 4,351,546 | | | | (217,176 | ) |
Mexican peso | | Buy | | J.P. Morgan | | 7/5/2013 | | 56,420,000 | | | 4,585,323 | | | | 4,353,090 | | | | (232,233 | ) |
Mexican peso | | Buy | | J.P. Morgan | | 8/12/2013 | | 135,000,000 | | | 11,058,350 | | | | 10,380,875 | | | | (677,475 | ) |
Mexican peso | | Buy | | J.P. Morgan | | 9/9/2013 | | 175,000,000 | | | 13,555,510 | | | | 13,423,509 | | | | (132,001 | ) |
Peruvian Nuevo sol | | Buy | | UBS AG | | 9/9/2013 | | 18,000,000 | | | 6,589,786 | | | | 6,432,406 | | | | (157,380 | ) |
Philippine peso | | Buy | | Barclays Bank plc | | 8/12/2013 | | 530,100,000 | | | 13,005,397 | | | | 12,308,824 | | | | (696,573 | ) |
Philippine peso | | Buy | | Barclays Bank plc | | 8/12/2013 | | 27,000,000 | | | 661,246 | | | | 626,935 | | | | (34,311 | ) |
Philippine peso | | Buy | | J.P. Morgan | | 7/5/2013 | | 152,500,000 | | | 3,696,970 | | | | 3,531,622 | | | | (165,348 | ) |
Philippine peso | | Buy | | Morgan Stanley | | 9/9/2013 | | 255,800,000 | | | 5,985,026 | | | | 5,935,379 | | | | (49,647 | ) |
Polish zloty | | Buy | | Deutsche Bank | | 8/12/2013 | | 1,065,000 | | | 325,757 | | | | 319,703 | | | | (6,054 | ) |
Polish zloty | | Buy | | Goldman Sachs | | 7/5/2013 | | 75,300,000 | | | 23,284,579 | | | | 22,658,003 | | | | (626,576 | ) |
Polish zloty | | Buy | | Goldman Sachs | | 7/5/2013 | | 1,320,000 | | | 419,048 | | | | 397,192 | | | | (21,856 | ) |
Polish zloty | | Buy | | Goldman Sachs | | 8/12/2013 | | 6,500,000 | | | 2,035,426 | | | | 1,951,240 | | | | (84,186 | ) |
Polish zloty | | Buy | | J.P. Morgan | | 8/12/2013 | | 24,000,000 | | | 7,523,209 | | | | 7,204,577 | | | | (318,632 | ) |
Romanian new leu | | Buy | | J.P. Morgan | | 8/12/2013 | | 1,230,000 | | | 371,227 | | | | 356,958 | | | | (14,269 | ) |
Russian ruble | | Buy | | Barclays Bank plc | | 8/12/2013 | | 154,700,000 | | | 4,857,905 | | | | 4,681,123 | | | | (176,782 | ) |
Russian ruble | | Buy | | Deutsche Bank | | 8/12/2013 | | 20,500,000 | | | 650,752 | | | | 620,317 | | | | (30,435 | ) |
Russian ruble | | Buy | | Deutsche Bank | | 8/12/2013 | | 15,050,000 | | | 472,915 | | | | 455,403 | | | | (17,512 | ) |
Russian ruble | | Buy | | Goldman Sachs | | 7/5/2013 | | 16,100,000 | | | 501,698 | | | | 489,825 | | | | (11,873 | ) |
24 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Forward Foreign Currency Exchange Contracts | | Transaction Type | | Counterparty | | Expiration Date | | Foreign Currency | | U.S. $ Cost on Origination Date | | | U.S. $ Current Value | | | Unrealized Depreciation | |
Russian ruble | | Buy | | Goldman Sachs | | 8/12/2013 | | 11,800,000 | | $ | 372,283 | | | $ | 357,060 | | | $ | (15,223 | ) |
Russian ruble | | Buy | | J.P. Morgan | | 9/9/2013 | | 175,000,000 | | | 5,344,327 | | | | 5,269,043 | | | | (75,284 | ) |
Russian ruble | | Buy | | J.P. Morgan | | 9/9/2013 | | 790,000,000 | | | 24,480,942 | | | | 23,785,966 | | | | (694,976 | ) |
Singapore dollar | | Buy | | Deutsche Bank | | 9/9/2013 | | 13,800,000 | | | 11,071,319 | | | | 10,888,886 | | | | (182,433 | ) |
South African rand | | Buy | | Goldman Sachs | | 8/12/2013 | | 3,500,000 | | | 379,253 | | | | 351,981 | | | | (27,272 | ) |
South African rand | | Buy | | Goldman Sachs | | 8/12/2013 | | 2,650,000 | | | 279,592 | | | | 266,500 | | | | (13,092 | ) |
South Korean won | | Buy | | Barclays Bank plc | | 8/12/2013 | | 470,000,000 | | | 419,037 | | | | 410,570 | | | | (8,467 | ) |
South Korean won | | Buy | | Deutsche Bank | | 9/9/2013 | | 7,117,000,000 | | | 6,255,329 | | | | 6,209,764 | | | | (45,565 | ) |
South Korean won | | Buy | | J.P. Morgan | | 8/12/2013 | | 17,260,000,000 | | | 15,646,530 | | | | 15,077,528 | | | | (569,002 | ) |
South Korean won | | Buy | | Morgan Stanley | | 7/5/2013 | | 372,500,000 | | | 332,515 | | | | 326,107 | | | | (6,408 | ) |
South Korean won | | Buy | | UBS AG | | 8/12/2013 | | 742,000,000 | | | 664,733 | | | | 648,176 | | | | (16,557 | ) |
Taiwan dollar | | Buy | | Deutsche Bank | | 7/5/2013 | | 80,000,000 | | | 2,691,790 | | | | 2,669,385 | | | | (22,405 | ) |
Thai baht | | Buy | | Deutsche Bank | | 8/16/2013 | | 14,000,000 | | | 466,858 | | | | 450,350 | | | | (16,508 | ) |
Thai baht | | Buy | | J.P. Morgan | | 7/5/2013 | | 45,700,000 | | | 1,555,215 | | | | 1,473,325 | | | | (81,890 | ) |
Thai baht | | Buy | | J.P. Morgan | | 8/16/2013 | | 497,500,000 | | | 16,712,577 | | | | 16,003,514 | | | | (709,063 | ) |
Thai baht | | Buy | | Morgan Stanley | | 9/9/2013 | | 244,000,000 | | | 7,967,347 | | | | 7,839,282 | | | | (128,065 | ) |
Thai baht | | Buy | | UBS AG | | 7/5/2013 | | 130,740,000 | | | 4,539,568 | | | | 4,214,935 | | | | (324,633 | ) |
Turkish lira | | Buy | | Barclays Bank plc | | 7/5/2013 | | 14,900,000 | | | 8,194,738 | | | | 7,720,659 | | | | (474,079 | ) |
Turkish lira | | Buy | | Barclays Bank plc | | 7/5/2013 | | 8,820,000 | | | 4,868,713 | | | | 4,570,216 | | | | (298,497 | ) |
Turkish lira | | Buy | | Deutsche Bank | | 9/9/2013 | | 4,300,000 | | | 2,269,591 | | | | 2,205,714 | | | | (63,877 | ) |
Turkish lira | | Buy | | Goldman Sachs | | 9/9/2013 | | 8,420,000 | | | 4,430,504 | | | | 4,319,096 | | | | (111,408 | ) |
Turkish lira | | Buy | | J.P. Morgan | | 7/5/2013 | | 1,365,000 | | | 755,648 | | | | 707,295 | | | | (48,353 | ) |
Argentine peso | | Sell | | UBS AG | | 7/5/2013 | | 2,495,000 | | | 461,183 | | | | 461,947 | | | | (764 | ) |
Chilean peso | | Sell | | Deutsche Bank | | 7/5/2013 | | 3,275,000,000 | | | 6,362,312 | | | | 6,442,792 | | | | (80,480 | ) |
Chilean peso | | Sell | | Morgan Stanley | | 7/5/2013 | | 350,000,000 | | | 687,988 | | | | 688,543 | | | | (555 | ) |
Colombian peso | | Sell | | J.P. Morgan | | 7/5/2013 | | 1,405,000,000 | | | 728,357 | | | | 730,985 | | | | (2,628 | ) |
euro | | Sell | | UBS AG | | 7/5/2013 | | 740,000 | | | 962,191 | | | | 963,232 | | | | (1,041 | ) |
Hungarian forint | | Sell | | Goldman Sachs | | 8/12/2013 | | 87,000,000 | | | 380,761 | | | | 382,364 | | | | (1,603 | ) |
Indian rupee | | Sell | | Morgan Stanley | | 7/5/2013 | | 270,000,000 | | | 4,499,250 | | | | 4,539,107 | | | | (39,857 | ) |
Indonesian rupiah | | Sell | | Barclays Bank plc | | 7/5/2013 | | 6,500,000,000 | | | 643,354 | | | | 653,446 | | | | (10,092 | ) |
Indonesian rupiah | | Sell | | Goldman Sachs | | 7/5/2013 | | 9,466,000,000 | | | 935,958 | | | | 951,619 | | | | (15,661 | ) |
Mexican peso | | Sell | | J.P. Morgan | | 8/12/2013 | | 4,000,000 | | | 302,644 | | | | 307,581 | | | | (4,937 | ) |
Romanian new leu | | Sell | | J.P. Morgan | | 7/5/2013 | | 18,400,000 | | | 5,331,876 | | | | 5,362,520 | | | | (30,644 | ) |
Romanian new leu | | Sell | | J.P. Morgan | | 8/12/2013 | | 1,230,000 | | | 354,785 | | | | 356,958 | | | | (2,173 | ) |
Russian ruble | | Sell | | Goldman Sachs | | 8/12/2013 | | 11,800,000 | | | 355,277 | | | | 357,060 | | | | (1,783 | ) |
South African rand | | Sell | | Goldman Sachs | | 9/9/2013 | | 3,200,000 | | | 309,614 | | | | 320,537 | | | | (10,923 | ) |
Taiwan dollar | | Sell | | Deutsche Bank | | 9/9/2013 | | 190,500,000 | | | 6,360,601 | | | | 6,360,817 | | | | (216 | ) |
Thai baht | | Sell | | J.P. Morgan | | 7/5/2013 | | 16,000,000 | | | 514,900 | | | | 515,825 | | | | (925 | ) |
Turkish lira | | Sell | | Barclays Bank plc | | 7/5/2013 | | 16,275,000 | | | 8,432,210 | | | | 8,433,136 | | | | (926 | ) |
Turkish lira | | Sell | | Barclays Bank plc | | 7/5/2013 | | 900,000 | | | 464,935 | | | | 466,349 | | | | (1,414 | ) |
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | | | $ | (17,390,456 | ) |
| See Notes to Financial Statements. | 25 |
Schedule of Investments (unaudited)(concluded)
EMERGING MARKETS CURRENCY FUND June 30, 2013
Open Futures Contracts at June 30, 2013:
Type | | Expiration | | Contracts | | Position | | Fair Value | | | Unrealized Appreciation | |
U.S. 2-Year Treasury Note | | September 2013 | | 432 | | Short | | $ | (95,040,000 | ) | | | $ | 78,255 | |
U.S. 5-Year Treasury Note | | September 2013 | | 513 | | Short | | | (62,097,047 | ) | | | | 819,918 | |
Totals | | | | | | | | $ | (157,137,047 | ) | | | $ | 898,173 | |
The following is a summary of the inputs used as of June 30, 2013 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Asset-Backed Securities | | $ | — | | | $ | 43,037,313 | | | $ | — | | | $ | 43,037,313 | |
Corporate Bonds | | | — | | | | 131,072,150 | | | | — | | | | 131,072,150 | |
Foreign Bond | | | — | | | | 1,694,178 | | | | — | | | | 1,694,178 | |
Foreign Government Obligation | | | — | | | | 44,198,371 | | | | — | | | | 44,198,371 | |
Government Sponsored Enterprises Bond | | | — | | | | 605,489 | | | | — | | | | 605,489 | |
Government Sponsored Enterprises Collateralized Mortgage Obligations | | | — | | | | 11,433,810 | | | | — | | | | 11,433,810 | |
Government Sponsored Enterprises Pass-Throughs | | | — | | | | 55,554,565 | | | | — | | | | 55,554,565 | |
Non-Agency Commercial Mortgage-Backed Securities | | | — | | | | 95,949,185 | | | | — | | | | 95,949,185 | |
Commercial Paper | | | — | | | | 11,738,201 | | | | — | | | | 11,738,201 | |
Total | | $ | — | | | $ | 395,283,262 | | | $ | — | | | $ | 395,283,262 | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
Assets | | $ | 898,173 | | | $ | — | | | $ | — | | | $ | 898,173 | |
Liabilities | | | — | | | | — | | | | — | | | | — | |
Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
Assets | | | — | | | | 3,276,535 | | | | — | | | | 3,276,535 | |
Liabilities | | | — | | | | (17,390,456 | ) | | | — | | | | (17,390,456 | ) |
Credit Default Swaps | | | | | | | | | | | | | | | | |
Assets | | | — | | | | 33,827 | | | | — | | | | 33,827 | |
Liabilities | | | — | | | | (7,253 | ) | | | — | | | | (7,253 | ) |
Total | | $ | 898,173 | | | $ | (14,087,347 | ) | | $ | — | | | $ | (13,189,174 | ) |
(1) | Refer to note 2(o) for a description of fair value measurements and the three-tier hierarchy of inputs. |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
(3) | There were no level transfers during the period ended June 30, 2013. |
26 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)
GLOBAL ALLOCATION FUND June 30, 2013
Investments | | Shares | | | Fair Value (000) | |
INVESTMENTS IN UNDERLYING FUNDS(a) 99.89% | | | | | | | | |
Lord Abbett Equity Trust- Calibrated Large Cap Value Fund - Class I (b) | | | 50,689 | | | $ | 1,038 | |
Lord Abbett Equity Trust- Calibrated Mid Cap Value Fund - Class I (b) | | | 713,945 | | | | 14,400 | |
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund - Class I (c) | | | 5,591,892 | | | | 35,061 | |
Lord Abbett Investment Trust-High Yield Fund - Class I (d) | | | 2,790,544 | | | | 21,906 | |
Lord Abbett Securities Trust-International Dividend Income Fund - Class I (e) | | | 9,000,551 | | | | 72,094 | |
Lord Abbett Mid Cap Stock Fund, Inc. - Class I (f) | | | 1,845,484 | | | | 37,630 | |
Lord Abbett Investment Trust-Short Duration Income Fund - Class I (g) | | | 962,727 | | | | 4,390 | |
Total Investments in Underlying Funds (cost $178,200,863) | | | | | | | 186,519 | |
Cash and Other Assets in Excess of Liabilities 0.11% | | | | | | | 202 | |
Net Assets 100.00% | | | | | | $ | 186,721 | |
(a) | Affiliated issuers (See Note 12). |
(b) | Fund investment objective is total return. |
(c) | Fund investment objective is to seek high total return. |
(d) | Fund investment objective is to seek a high current income and the opportunity for capital appreciation to produce a high total return. |
(e) | Fund investment objective is to seek a high level of total return. |
(f) | Fund investment objective is to seek capital appreciation through investments, primarily in equity securities, which are believed to be undervalued in the marketplace. |
(g) | Fund investment objective is to seek a high level of income consistent with preservation of capital. |
The following is a summary of the inputs used as of June 30, 2013 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | | Level 1 (000) | | | Level 2 (000) | | | Level 3 (000) | | | Total (000) | |
Investments in Underlying Funds | | $ | 186,519 | | | $ | — | | | $ | — | | | $ | 186,519 | |
Total | | $ | 186,519 | | | $ | — | | | $ | — | | | $ | 186,519 | |
(1) | Refer to note 2(o) for a description of fair value measurements and the three-tier hierarchy of inputs. |
(2) | See Schedule of Investments for fair values in each investment strategy of the Underlying Funds. |
(3) | There were no level transfers during the period ended June 30, 2013. |
| See Notes to Financial Statements. | 27 |
Statements of Assets and Liabilities (unaudited)
June 30, 2013
| | Emerging Markets Currency Fund | | | Global Allocation Fund | |
ASSETS: | | | | | | | | | | |
Investments in securities, at cost | | | $ | 397,434,264 | | | | $ | 178,200,863 | |
Investments in securities, at fair value | | | $ | 395,283,262 | | | | $ | 186,518,669 | |
Cash | | | | 17,707,586 | | | | | 96,286 | |
Deposits with brokers for derivatives | | | | 15,020,000 | | | | | — | |
Foreign cash, at value (cost $164,168 and $0, respectively) | | | | 159,060 | | | | | — | |
Receivables: | | | | | | | | | | |
Interest and dividends | | | | 3,337,095 | | | | | 1,910,525 | |
Investment securities sold | | | | 4,416,212 | | | | | — | |
Capital shares sold | | | | 1,793,960 | | | | | 2,559,780 | |
From affiliates (See Note 3) | | | | — | | | | | 78,408 | |
Variation margin | | | | 1,352 | | | | | — | |
Unrealized appreciation on forward foreign currency exchange contracts | | | | 3,276,535 | | | | | — | |
Unrealized appreciation on credit default swaps | | | | 33,827 | | | | | — | |
Prepaid expenses and other assets | | | | 46,121 | | | | | 35,019 | |
Total assets | | | | 441,075,010 | | | | | 191,198,687 | |
LIABILITIES: | | | | | | | | | | |
Payables: | | | | | | | | | | |
Investment securities purchased | | | | 2,402 | | | | | 1,909,997 | |
Capital shares reacquired | | | | 857,528 | | | | | 248,237 | |
Management fee | | | | 177,087 | | | | | 10,840 | |
12b-1 distribution fees | | | | 47,844 | | | | | 62,914 | |
Directors’ fees | | | | 49,204 | | | | | 29,419 | |
Fund administration | | | | 14,167 | | | | | — | |
To affiliates (See Note 3) | | | | 63,353 | | | | | — | |
Unrealized depreciation on forward foreign currency exchange contracts | | | | 17,390,456 | | | | | — | |
Unrealized depreciation on credit default swaps | | | | 7,253 | | | | | — | |
Upfront payments received from credit default swaps, net of amortization | | | | 133,148 | | | | | — | |
Distributions payable | | | | 985,475 | | | | | 2,135,024 | |
Accrued expenses and other liabilities | | | | 144,376 | | | | | 81,228 | |
Total liabilities | | | | 19,872,293 | | | | | 4,477,659 | |
NET ASSETS | | | $ | 421,202,717 | | | | $ | 186,721,028 | |
COMPOSITION OF NET ASSETS: | | | | | | | | | | |
Paid-in capital | | | $ | 449,609,254 | | | | $ | 183,343,145 | |
Distributions in excess of net investment income | | | | (5,002,206 | ) | | | | (16,103 | ) |
Accumulated net realized loss on investments, futures contracts, swaps and foreign currency related transactions | | | | (8,063,871 | ) | | | | (4,923,712 | ) |
Net unrealized appreciation (depreciation) on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | | | | (15,340,460 | ) | | | | 8,317,698 | |
Net Assets | | | $ | 421,202,717 | | | | $ | 186,721,028 | |
28 | See Notes to Financial Statements. |
Statements of Assets and Liabilities (unaudited)(concluded)
June 30, 2013
| | Emerging Markets Currency Fund | | | Global Allocation Fund | |
Net assets by class: | | | | | | | | | | |
Class A Shares | | | $ | 69,353,620 | | | | $ | 119,083,383 | |
Class B Shares | | | $ | 901,890 | | | | $ | 6,351,253 | |
Class C Shares | | | $ | 25,074,675 | | | | $ | 29,800,295 | |
Class F Shares | | | $ | 60,754,143 | | | | $ | 3,135,420 | |
Class I Shares | | | $ | 264,398,696 | | | | $ | 22,883,496 | |
Class P Shares | | | $ | 9,626 | | | | $ | — | |
Class R2 Shares | | | $ | 234,341 | | | | $ | 106,248 | |
Class R3 Shares | | | $ | 475,726 | | | | $ | 5,360,933 | |
Outstanding shares by class: | | | | | | | | | | |
Class A Shares (415 million and 430 million shares of common stock authorized, $0.001 par value) | | | | 11,038,091 | | | | | 10,242,492 | |
Class B Shares (30 million and 15 million shares of common stock authorized, $0.001 par value) | | | | 142,893 | | | | | 593,497 | |
Class C Shares (100 million and 20 million shares of common stock authorized, $0.001 par value) | | | | 3,967,848 | | | | | 2,781,615 | |
Class F Shares (100 million and 20 million shares of common stock authorized, $0.001 par value) | | | | 9,678,181 | | | | | 269,623 | |
Class I Shares (100 million and 15 million shares of common stock authorized, $0.001 par value) | | | | 42,176,431 | | | | | 1,957,286 | |
Class P Shares (20 million and 20 million shares of common stock authorized, $0.001 par value) | | | | 1,534 | | | | | — | |
Class R2 Shares (20 million and 20 million shares of common stock authorized, $0.001 par value) | | | | 37,239 | | | | | 8,984 | |
Class R3 Shares (20 million and 20 million shares of common stock authorized, $0.001 par value) | | | | 75,905 | | | | | 458,834 | |
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | | | | | | | | | | |
Class A Shares-Net asset value | | | | $6.28 | | | | | $11.63 | |
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25% and 5.75%, respectively) | | | | $6.42 | | | | | $12.34 | |
Class B Shares-Net asset value | | | | $6.31 | | | | | $10.70 | |
Class C Shares-Net asset value | | | | $6.32 | | | | | $10.71 | |
Class F Shares-Net asset value | | | | $6.28 | | | | | $11.63 | |
Class I Shares-Net asset value | | | | $6.27 | | | | | $11.69 | |
Class P Shares-Net asset value | | | | $6.28 | | | | | — | |
Class R2 Shares-Net asset value | | | | $6.29 | | | | | $11.83 | |
Class R3 Shares-Net asset value | | | | $6.27 | | | | | $11.68 | |
| See Notes to Financial Statements. | 29 |
Statements of Operations (unaudited)
For the Six Months Ended June 30, 2013
| | Emerging Markets Currency Fund | | | Global Allocation Fund | |
Investment income: | | | | | | | | | | |
Dividends | | | $ | — | | | | $ | 3,243,379 | |
Interest | | | | 4,281,199 | | | | | 2 | |
Total investment income | | | | 4,281,199 | | | | | 3,243,381 | |
Expenses: | | | | | | | | | | |
Management fee | | | | 1,118,251 | | | | | 234,289 | |
12b-1 distribution plan-Class A | | | | 74,558 | | | | | 147,507 | |
12b-1 distribution plan-Class B | | | | 5,423 | | | | | 34,020 | |
12b-1 distribution plan-Class C | | | | 113,969 | | | | | 150,425 | |
12b-1 distribution plan-Class F | | | | 34,483 | | | | | 1,503 | |
12b-1 distribution plan-Class P | | | | 22 | | | | | — | |
12b-1 distribution plan-Class R2 | | | | 745 | | | | | 336 | |
12b-1 distribution plan-Class R3 | | | | 1,259 | | | | | 12,449 | |
Shareholder servicing | | | | 159,582 | | | | | 167,443 | |
Professional | | | | 34,212 | | | | | 17,088 | |
Reports to shareholders | | | | 33,026 | | | | | 16,726 | |
Fund administration | | | | 89,460 | | | | | — | |
Custody | | | | 41,357 | | | | | 3,997 | |
Directors’ fees | | | | 6,296 | | | | | 2,564 | |
Registration | | | | 43,033 | | | | | 38,094 | |
Subsidy (See Note 3) | | | | 205,055 | | | | | — | |
Other | | | | 8,426 | | | | | 4,707 | |
Gross expenses | | | | 1,969,157 | | | | | 831,148 | |
Expense reductions (See Note 9) | | | | (105 | ) | | | | (93 | ) |
Expenses assumed by Underlying Funds (See Note 3) | | | | — | | | | | (250,526 | ) |
Management fee waived (See Note 3) | | | | — | | | | | (181,027 | ) |
Net expenses | | | | 1,969,052 | | | | | 399,502 | |
Net investment income | | | | 2,312,147 | | | | | 2,843,879 | |
Net realized and unrealized gain (loss): | | | | | | | | | | |
Net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions | | | | 3,913,101 | | | | | (332,593 | ) |
Net change in unrealized appreciation/depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | | | | (23,906,499 | ) | | | | 3,280,864 | |
Net realized and unrealized gain (loss) | | | | (19,993,398 | ) | | | | 2,948,271 | |
Net Increase (Decrease) in Net Assets Resulting From Operations | | | $ | (17,681,251 | ) | | | $ | 5,792,150 | |
30 | See Notes to Financial Statements. |
Statements of Changes in Net Assets
| | Emerging Markets Currency Fund | |
INCREASE (DECREASE) IN NET ASSETS | | For the Six Months Ended June 30, 2013 (unaudited) | | | For the Year Ended December 31, 2012 | |
Operations: | | | | | | | | | | |
Net investment income | | | $ | 2,312,147 | | | | $ | 4,501,890 | |
Net realized gain on investments, futures contracts, swaps and foreign currency related transactions | | | | 3,913,101 | | | | | 11,874,941 | |
Net change in unrealized appreciation/depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | | | | (23,906,499 | ) | | | | 20,772,775 | |
Net increase (decrease) in net assets resulting from operations | | | | (17,681,251 | ) | | | | 37,149,606 | |
Distributions to shareholders from: | | | | | | | | | | |
Net investment income | | | | | | | | | | |
Class A | | | | (975,779 | ) | | | | (1,843,700 | ) |
Class B | | | | (10,024 | ) | | | | (23,310 | ) |
Class C | | | | (274,231 | ) | | | | (573,748 | ) |
Class F | | | | (934,019 | ) | | | | (1,749,818 | ) |
Class I | | | | (3,876,068 | ) | | | | (5,593,517 | ) |
Class P | | | | (120 | ) | | | | (203 | ) |
Class R2 | | | | (2,736 | ) | | | | (6,247 | ) |
Class R3 | | | | (6,034 | ) | | | | (10,022 | ) |
Return of capital | | | | | | | | | | |
Class A | | | | — | | | | | (282,877 | ) |
Class B | | | | — | | | | | (3,577 | ) |
Class C | | | | — | | | | | (88,029 | ) |
Class F | | | | — | | | | | (268,473 | ) |
Class I | | | | — | | | | | (858,207 | ) |
Class P | | | | — | | | | | (31 | ) |
Class R2 | | | | — | | | | | (958 | ) |
Class R3 | | | | — | | | | | (1,538 | ) |
Total distributions to shareholders | | | | (6,079,011 | ) | | | | (11,304,255 | ) |
Capital share transactions (Net of share conversions) (See Note 14): | | | | | | | | | | |
Net proceeds from sales of shares | | | | 90,281,800 | | | | | 216,733,975 | |
Reinvestment of distributions | | | | 5,519,841 | | | | | 10,159,041 | |
Cost of shares reacquired | | | | (98,806,400 | ) | | | | (119,792,291 | ) |
Net increase (decrease) in net assets resulting from capital share transactions | | | | (3,004,759 | ) | | | | 107,100,725 | |
Net increase (decrease) in net assets | | | | (26,765,021 | ) | | | | 132,946,076 | |
NET ASSETS: | | | | | | | | | | |
Beginning of period | | | $ | 447,967,738 | | | | $ | 315,021,662 | |
End of period | | | $ | 421,202,717 | | | | $ | 447,967,738 | |
Distributions in excess of net investment income | | | $ | (5,002,206 | ) | | | $ | (1,235,342 | ) |
| See Notes to Financial Statements. | 31 |
Statements of Changes in Net Assets (concluded)
| | Global Allocation Fund | |
INCREASE IN NET ASSETS | | For the Six Months Ended June 30, 2013 (unaudited) | | | For the Year Ended December 31, 2012 | |
Operations: | | | | | | | | | | |
Net investment income | | | $ | 2,843,879 | | | | $ | 5,454,401 | |
Capital gains distributions received from Underlying Funds | | | | — | | | | | 689,757 | |
Net realized gain (loss) on investments and foreign currency related transactions | | | | (332,593 | ) | | | | 686,556 | |
Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies | | | | 3,280,864 | | | | | 16,781,922 | |
Net increase in net assets resulting from operations | | | | 5,792,150 | | | | | 23,612,636 | |
Distributions to shareholders from: | | | | | | | | | | |
Net investment income | | | | | | | | | | |
Class A | | | | (1,837,829 | ) | | | | (3,899,618 | ) |
Class B | | | | (83,886 | ) | | | | (226,021 | ) |
Class C | | | | (398,211 | ) | | | | (890,794 | ) |
Class F | | | | (50,576 | ) | | | | (92,639 | ) |
Class I | | | | (380,042 | ) | | | | (664,970 | ) |
Class R2 | | | | (1,407 | ) | | | | (3,183 | ) |
Class R3 | | | | (77,455 | ) | | | | (150,568 | ) |
Return of capital | | | | | | | | | | |
Class A | | | | — | | | | | (65,497 | ) |
Class B | | | | — | | | | | (3,796 | ) |
Class C | | | | — | | | | | (14,961 | ) |
Class F | | | | — | | | | | (1,556 | ) |
Class I | | | | — | | | | | (11,168 | ) |
Class R2 | | | | — | | | | | (53 | ) |
Class R3 | | | | — | | | | | (2,529 | ) |
Total distributions to shareholders | | | | (2,829,406 | ) | | | | (6,027,353 | ) |
Capital share transactions (Net of share conversions) (See Note 14): | | | | | | | | | | |
Net proceeds from sales of shares | | | | 23,183,236 | | | | | 34,627,973 | |
Reinvestment of distributions | | | | 2,681,765 | | | | | 5,682,158 | |
Cost of shares reacquired | | | | (19,804,514 | ) | | | | (43,626,970 | ) |
Net increase (decrease) in net assets resulting from capital share transactions | | | | 6,060,487 | | | | | (3,316,839 | ) |
Net increase in net assets | | | | 9,023,231 | | | | | 14,268,444 | |
NET ASSETS: | | | | | | | | | | |
Beginning of period | | | $ | 177,697,797 | | | | $ | 163,429,353 | |
End of period | | | $ | 186,721,028 | | | | $ | 177,697,797 | |
Distributions in excess of net investment income | | | $ | (16,103 | ) | | | $ | (30,576 | ) |
32 | See Notes to Financial Statements. |
Financial Highlights
EMERGING MARKETS CURRENCY FUND
| | Class A Shares |
| | Six Months Ended 6/30/2013 | | Year Ended 12/31 |
| | (unaudited) | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $6.63 | | | | $6.15 | | | | $6.74 | | | | $6.70 | | | | $5.72 | | | | $6.73 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .03 | | | | .07 | | | | .08 | | | | .11 | | | | .17 | | | | .24 | |
Net realized and unrealized gain (loss) | | | (.29 | ) | | | .58 | | | | (.46 | ) | | | .27 | | | | .99 | | | | (1.01 | ) |
Total from investment operations | | | (.26 | ) | | | .65 | | | | (.38 | ) | | | .38 | | | | 1.16 | | | | (.77 | ) |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.09 | ) | | | (.15 | ) | | | (.18 | ) | | | (.20 | ) | | | (.18 | ) | | | (.14 | ) |
Net realized gain | | | — | | | | — | | | | (.03 | ) | | | (.14 | ) | | | — | | | | — | |
Return of capital | | | — | | | | (.02 | ) | | | — | | | | — | | | | — | | | | (.10 | ) |
Total distributions | | | (.09 | ) | | | (.17 | ) | | | (.21 | ) | | | (.34 | ) | | | (.18 | ) | | | (.24 | ) |
Net asset value, end of period | | | $6.28 | | | | $6.63 | | | | $6.15 | | | | $6.74 | | | | $6.70 | | | | $5.72 | |
Total Return(b) | | | (4.03 | )%(c) | | | 10.69 | % | | | (5.87 | )% | | | 5.79 | % | | | 20.53 | % | | | (11.90 | )% |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses reimbursed | | | .48 | %(c) | | | 1.01 | % | | | 1.02 | % | | | 1.17 | % | | | 1.27 | % | | | 1.23 | % |
Expenses, including expense reductions and expenses reimbursed | | | .48 | %(c) | | | 1.01 | % | | | 1.02 | % | | | 1.17 | % | | | 1.27 | % | | | 1.22 | % |
Expenses, excluding expense reductions and expenses reimbursed | | | .48 | %(c) | | | 1.01 | % | | | 1.02 | % | | | 1.17 | % | | | 1.27 | % | | | 1.27 | % |
Net investment income | | | .46 | %(c) | | | 1.02 | % | | | 1.18 | % | | | 1.68 | % | | | 2.69 | % | | | 3.59 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $69,354 | | | $ | 73,947 | | | $ | 80,034 | | | $ | 98,279 | | | $ | 109,152 | | | $ | 83,426 | |
Portfolio turnover rate | | | 59.12 | %(c) | | | 141.92 | % | | | 130.30 | % | | | 113.50 | % | | | 90.72 | % | | | 83.70 | % |
(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. | 33 |
Financial Highlights (continued)
EMERGING MARKETS CURRENCY FUND
| | Class B Shares |
| | Six Months Ended 6/30/2013 | | Year Ended 12/31 |
| | (unaudited) | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $6.66 | | | | $6.18 | | | | $6.77 | | | | $6.73 | | | | $5.74 | | | | $6.74 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | — | (b) | | | .02 | | | | .03 | | | | .07 | | | | .13 | | | | .19 | |
Net realized and unrealized gain (loss) | | | (.29 | ) | | | .58 | | | | (.46 | ) | | | .26 | | | | .99 | | | | (1.00 | ) |
Total from investment operations | | | (.29 | ) | | | .60 | | | | (.43 | ) | | | .33 | | | | 1.12 | | | | (.81 | ) |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.06 | ) | | | (.10 | ) | | | (.13 | ) | | | (.15 | ) | | | (.13 | ) | | | (.11 | ) |
Net realized gain | | | — | | | | — | | | | (.03 | ) | | | (.14 | ) | | | — | | | | — | |
Return of capital | | | — | | | | (.02 | ) | | | — | | | | — | | | | — | | | | (.08 | ) |
Total distributions | | | (.06 | ) | | | (.12 | ) | | | (.16 | ) | | | (.29 | ) | | | (.13 | ) | | | (.19 | ) |
Net asset value, end of period | | | $6.31 | | | | $6.66 | | | | $6.18 | | | | $6.77 | | | | $6.73 | | | | $5.74 | |
Total Return(c) | | | (4.38 | )%(d) | | | 9.79 | % | | | (6.55 | )% | | | 5.10 | % | | | 19.68 | % | | | (12.37 | )% |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses reimbursed | | | .88 | %(d) | | | 1.80 | % | | | 1.80 | % | | | 1.83 | % | | | 1.93 | % | | | 1.88 | % |
Expenses, including expense reductions and expenses reimbursed | | | .88 | %(d) | | | 1.80 | % | | | 1.80 | % | | | 1.83 | % | | | 1.93 | % | | | 1.88 | % |
Expenses, excluding expense reductions and expenses reimbursed | | | .88 | %(d) | | | 1.80 | % | | | 1.80 | % | | | 1.83 | % | | | 1.93 | % | | | 1.95 | % |
Net investment income | | | .07 | %(d) | | | .24 | % | | | .44 | % | | | 1.05 | % | | | 2.11 | % | | | 2.93 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $902 | | | | $1,219 | | | | $1,674 | | | | $2,693 | | | | $3,884 | | | | $4,105 | |
Portfolio turnover rate | | | 59.12 | %(d) | | | 141.92 | % | | | 130.30 | % | | | 113.50 | % | | | 90.72 | % | | | 83.70 | % |
(a) | Calculated using average shares outstanding during the period. |
(b) | Amount is less than $.01. |
(c) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
(d) | Not annualized. |
34 | See Notes to Financial Statements. | |
Financial Highlights (continued)
EMERGING MARKETS CURRENCY FUND
| | Class C Shares |
| | Six Months Ended 6/30/2013 | | Year Ended 12/31 |
| | (unaudited) | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $6.67 | | | | $6.19 | | | | $6.78 | | | | $6.74 | | | | $5.74 | | | | $6.75 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .01 | | | | .02 | | | | .03 | | | | .07 | | | | .13 | | | | .19 | |
Net realized and unrealized gain (loss) | | | (.29 | ) | | | .59 | | | | (.46 | ) | | | .26 | | | | 1.00 | | | | (1.01 | ) |
Total from investment operations | | | (.28 | ) | | | .61 | | | | (.43 | ) | | | .33 | | | | 1.13 | | | | (.82 | ) |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.07 | ) | | | (.11 | ) | | | (.13 | ) | | | (.15 | ) | | | (.13 | ) | | | (.11 | ) |
Net realized gain | | | — | | | | — | | | | (.03 | ) | | | (.14 | ) | | | — | | | | — | |
Return of capital | | | — | | | | (.02 | ) | | | — | | | | — | | | | — | | | | (.08 | ) |
Total distributions | | | (.07 | ) | | | (.13 | ) | | | (.16 | ) | | | (.29 | ) | | | (.13 | ) | | | (.19 | ) |
Net asset value, end of period | | | $6.32 | | | | $6.67 | | | | $6.19 | | | | $6.78 | | | | $6.74 | | | | $5.74 | |
Total Return(b) | | | (4.30 | )%(c) | | | 9.91 | % | | | (6.44 | )% | | | 5.09 | % | | | 19.85 | % | | | (12.50 | )% |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses reimbursed | | | .80 | %(c) | | | 1.68 | % | | | 1.69 | % | | | 1.82 | % | | | 1.91 | % | | | 1.87 | % |
Expenses, including expense reductions and expenses reimbursed | | | .80 | %(c) | | | 1.68 | % | | | 1.69 | % | | | 1.82 | % | | | 1.91 | % | | | 1.87 | % |
Expenses, excluding expense reductions and expenses reimbursed | | | .80 | %(c) | | | 1.68 | % | | | 1.69 | % | | | 1.82 | % | | | 1.91 | % | | | 1.91 | % |
Net investment income | | | .15 | %(c) | | | .37 | % | | | .51 | % | | | 1.02 | % | | | 2.03 | % | | | 2.95 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $25,075 | | | | $28,543 | | | | $36,551 | | | | $34,232 | | | | $27,512 | | | | $18,407 | |
Portfolio turnover rate | | | 59.12 | %(c) | | | 141.92 | % | | | 130.30 | % | | | 113.50 | % | | | 90.72 | % | | | 83.70 | % |
(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. | 35 |
Financial Highlights (continued)
EMERGING MARKETS CURRENCY FUND
| | Class F Shares |
| | Six Months Ended 6/30/2013 | | Year Ended 12/31 |
| | (unaudited) | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $6.62 | | | | $6.15 | | | | $6.74 | | | | $6.69 | | | | $5.71 | | | | $6.73 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .03 | | | | .07 | | | | .09 | | | | .13 | | | | .18 | | | | .25 | |
Net realized and unrealized gain (loss) | | | (.28 | ) | | | .58 | | | | (.47 | ) | | | .27 | | | | .99 | | | | (1.01 | ) |
Total from investment operations | | | (.25 | ) | | | .65 | | | | (.38 | ) | | | .40 | | | | 1.17 | | | | (.76 | ) |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.09 | ) | | | (.16 | ) | | | (.18 | ) | | | (.21 | ) | | | (.19 | ) | | | (.15 | ) |
Net realized gain | | | — | | | | — | | | | (.03 | ) | | | (.14 | ) | | | — | | | | — | |
Return of capital | | | — | | | | (.02 | ) | | | — | | | | — | | | | — | | | | (.11 | ) |
Total distributions | | | (.09 | ) | | | (.18 | ) | | | (.21 | ) | | | (.35 | ) | | | (.19 | ) | | | (.26 | ) |
Net asset value, end of period | | | $6.28 | | | | $6.62 | | | | $6.15 | | | | $6.74 | | | | $6.69 | | | | $5.71 | |
Total Return(b) | | | (3.84 | )%(c) | | | 10.63 | % | | | (5.77 | )% | | | 6.20 | % | | | 20.82 | % | | | (11.76 | )% |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses reimbursed | | | .43 | %(c) | | | .91 | % | | | .91 | % | | | .92 | % | | | .98 | % | | | .96 | % |
Expenses, including expense reductions and expenses reimbursed | | | .43 | %(c) | | | .91 | % | | | .91 | % | | | .92 | % | | | .98 | % | | | .96 | % |
Expenses, excluding expense reductions and expenses reimbursed | | | .43 | %(c) | | | .91 | % | | | .91 | % | | | .92 | % | | | .98 | % | | | .98 | % |
Net investment income | | | .51 | %(c) | | | 1.12 | % | | | 1.27 | % | | | 1.88 | % | | | 2.72 | % | | | 3.94 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $60,754 | | | | $71,622 | | | | $76,795 | | | | $61,059 | | | | $24,463 | | | | $710 | |
Portfolio turnover rate | | | 59.12 | %(c) | | | 141.92 | % | | | 130.30 | % | | | 113.50 | % | | | 90.72 | % | | | 83.70 | % |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
36 | See Notes to Financial Statements. | |
Financial Highlights (continued)
EMERGING MARKETS CURRENCY FUND
| | Class I Shares |
| | Six Months Ended 6/30/2013 | | Year Ended 12/31 |
| | (unaudited) | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $6.61 | | | | $6.14 | | | | $6.73 | | | | $6.69 | | | | $5.72 | | | | $6.73 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .04 | | | | .08 | | | | .09 | | | | .13 | | | | .19 | | | | .26 | |
Net realized and unrealized gain (loss) | | | (.29 | ) | | | .57 | | | | (.46 | ) | | | .27 | | | | .98 | | | | (1.00 | ) |
Total from investment operations | | | (.25 | ) | | | .65 | | | | (.37 | ) | | | .40 | | | | 1.17 | | | | (.74 | ) |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.09 | ) | | | (.16 | ) | | | (.19 | ) | | | (.22 | ) | | | (.20 | ) | | | (.15 | ) |
Net realized gain | | | — | | | | — | | | | (.03 | ) | | | (.14 | ) | | | — | | | | — | |
Return of capital | | | — | | | | (.02 | ) | | | — | | | | — | | | | — | | | | (.12 | ) |
Total distributions | | | (.09 | ) | | | (.18 | ) | | | (.22 | ) | | | (.36 | ) | | | (.20 | ) | | | (.27 | ) |
Net asset value, end of period | | | $6.27 | | | | $6.61 | | | | $6.14 | | | | $6.73 | | | | $6.69 | | | | $5.72 | |
Total Return(b) | | | (3.80 | )%(c) | | | 10.75 | % | | | (5.68 | )% | | | 6.17 | % | | | 20.89 | % | | | (11.47 | )% |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses reimbursed | | | .39 | %(c) | | | .80 | % | | | .81 | % | | | .83 | % | | | .92 | % | | | .88 | % |
Expenses, including expense reductions and expenses reimbursed | | | .39 | %(c) | | | .80 | % | | | .81 | % | | | .83 | % | | | .92 | % | | | .87 | % |
Expenses, excluding expense reductions and expenses reimbursed | | | .39 | %(c) | | | .80 | % | | | .81 | % | | | .83 | % | | | .92 | % | | | .90 | % |
Net investment income | | | .57 | %(c) | | | 1.21 | % | | | 1.40 | % | | | 2.00 | % | | | 3.06 | % | | | 3.96 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $264,399 | | | | $271,710 | | | | $119,329 | | | | $79,092 | | | | $27,176 | | | | $19,830 | |
Portfolio turnover rate | | | 59.12 | %(c) | | | 141.92 | % | | | 130.30 | % | | | 113.50 | % | | | 90.72 | % | | | 83.70 | % |
(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. | 37 |
Financial Highlights (continued)
EMERGING MARKETS CURRENCY FUND
| | Class P Shares |
| | Six Months Ended 6/30/2013 | | Year Ended 12/31 |
| | (unaudited) | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $6.62 | | | | $6.14 | | | | $6.74 | | | | $6.69 | | | | $5.71 | | | | $6.71 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .02 | | | | .05 | | | | .07 | | | | .11 | | | | .16 | | | | .24 | |
Net realized and unrealized gain (loss) | | | (.28 | ) | | | .59 | | | | (.48 | ) | | | .27 | | | | .99 | | | | (1.01 | ) |
Total from investment operations | | | (.26 | ) | | | .64 | | | | (.41 | ) | | | .38 | | | | 1.15 | | | | (.77 | ) |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.08 | ) | | | (.14 | ) | | | (.16 | ) | | | (.19 | ) | | | (.17 | ) | | | (.13 | ) |
Net realized gain | | | — | | | | — | | | | (.03 | ) | | | (.14 | ) | | | — | | | | — | |
Return of capital | | | — | | | | (.02 | ) | | | — | | | | — | | | | — | | | | (.10 | ) |
Total distributions | | | (.08 | ) | | | (.16 | ) | | | (.19 | ) | | | (.33 | ) | | | (.17 | ) | | | (.23 | ) |
Net asset value, end of period | | | $6.28 | | | | $6.62 | | | | $6.14 | | | | $6.74 | | | | $6.69 | | | | $5.71 | |
Total Return(b) | | | (3.98 | )%(c) | | | 10.27 | % | | | (6.07 | )% | | | 5.87 | % | | | 20.43 | % | | | (11.91 | )% |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses reimbursed | | | .59 | %(c) | | | 1.24 | % | | | 1.25 | % | | | 1.27 | % | | | 1.32 | % | | | 1.30 | % |
Expenses, including expense reductions and expenses reimbursed | | | .59 | %(c) | | | 1.24 | % | | | 1.25 | % | | | 1.27 | % | | | 1.32 | % | | | 1.30 | % |
Expenses, excluding expense reductions and expenses reimbursed | | | .59 | %(c) | | | 1.24 | % | | | 1.25 | % | | | 1.27 | % | | | 1.32 | % | | | 1.37 | % |
Net investment income | | | .37 | %(c) | | | .80 | % | | | .98 | % | | | 1.61 | % | | | 2.50 | % | | | 3.52 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $10 | | | | $10 | | | | $9 | | | | $32 | | | | $16 | | | | $4 | |
Portfolio turnover rate | | | 59.12 | %(c) | | | 141.92 | % | | | 130.30 | % | | | 113.50 | % | | | 90.72 | % | | | 83.70 | % |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
38 | See Notes to Financial Statements. | |
Financial Highlights (continued)
EMERGING MARKETS CURRENCY FUND
| | Class R2 Shares |
| | Six Months Ended 6/30/2013 | | Year Ended 12/31 |
| | (unaudited) | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $6.64 | | | | $6.16 | | | | $6.75 | | | | $6.71 | | | | $5.72 | | | | $6.73 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .02 | | | | .04 | | | | .05 | | | | .09 | | | | .15 | | | | .25 | |
Net realized and unrealized gain (loss) | | | (.30 | ) | | | .59 | | | | (.46 | ) | | | .27 | | | | 1.00 | | | | (1.01 | ) |
Total from investment operations | | | (.28 | ) | | | .63 | | | | (.41 | ) | | | .36 | | | | 1.15 | | | | (.76 | ) |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.07 | ) | | | (.13 | ) | | | (.15 | ) | | | (.18 | ) | | | (.16 | ) | | | (.14 | ) |
Net realized gain | | | — | | | | — | | | | (.03 | ) | | | (.14 | ) | | | — | | | | — | |
Return of capital | | | — | | | | (.02 | ) | | | — | | | | — | | | | — | | | | (.11 | ) |
Total distributions | | | (.07 | ) | | | (.15 | ) | | | (.18 | ) | | | (.32 | ) | | | (.16 | ) | | | (.25 | ) |
Net asset value, end of period | | | $6.29 | | | | $6.64 | | | | $6.16 | | | | $6.75 | | | | $6.71 | | | | $5.72 | |
Total Return(b) | | | (4.21 | )%(c) | | | 10.24 | % | | | (6.22 | )% | | | 5.54 | % | | | 20.12 | % | | | (11.63 | )% |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses reimbursed | | | .68 | %(c) | | | 1.41 | % | | | 1.41 | % | | | 1.42 | % | | | 1.50 | % | | | 1.08 | % |
Expenses, including expense reductions and expenses reimbursed | | | .68 | %(c) | | | 1.41 | % | | | 1.41 | % | | | 1.42 | % | | | 1.50 | % | | | 1.07 | % |
Expenses, excluding expense reductions and expenses reimbursed | | | .68 | %(c) | | | 1.41 | % | | | 1.41 | % | | | 1.42 | % | | | 1.50 | % | | | 1.15 | % |
Net investment income | | | .27 | %(c) | | | .63 | % | | | .76 | % | | | 1.39 | % | | | 2.44 | % | | | 3.74 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $234 | | | | $300 | | | | $218 | | | | $70 | | | | $23 | | | | $12 | |
Portfolio turnover rate | | | 59.12 | %(c) | | | 141.92 | % | | | 130.30 | % | | | 113.50 | % | | | 90.72 | % | | | 83.70 | % |
(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. | 39 |
Financial Highlights (concluded)
EMERGING MARKETS CURRENCY FUND
| | Class R3 Shares |
| | Six Months Ended 6/30/2013 | | Year Ended 12/31 |
| | (unaudited) | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $6.61 | | | | $6.14 | | | | $6.73 | | | | $6.70 | | | | $5.72 | | | | $6.73 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .02 | | | | .05 | | | | .06 | | | | .10 | | | | .16 | | | | .23 | |
Net realized and unrealized gain (loss) | | | (.28 | ) | | | .57 | | | | (.46 | ) | | | .26 | | | | .99 | | | | (.99 | ) |
Total from investment operations | | | (.26 | ) | | | .62 | | | | (.40 | ) | | | .36 | | | | 1.15 | | | | (.76 | ) |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.08 | ) | | | (.13 | ) | | | (.16 | ) | | | (.19 | ) | | | (.17 | ) | | | (.14 | ) |
Net realized gain | | | — | | | | — | | | | (.03 | ) | | | (.14 | ) | | | — | | | | — | |
Return of capital | | | — | | | | (.02 | ) | | | — | | | | — | | | | — | | | | (.11 | ) |
Total distributions | | | (.08 | ) | | | (.15 | ) | | | (.19 | ) | | | (.33 | ) | | | (.17 | ) | | | (.25 | ) |
Net asset value, end of period | | | $6.27 | | | | $6.61 | | | | $6.14 | | | | $6.73 | | | | $6.70 | | | | $5.72 | |
Total Return(b) | | | (4.03 | )%(c) | | | 10.23 | % | | | (6.14 | )% | | | 5.49 | % | | | 20.33 | % | | | (11.76 | )% |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses reimbursed | | | .63 | %(c) | | | 1.29 | % | | | 1.31 | % | | | 1.33 | % | | | 1.41 | % | | | 1.26 | % |
Expenses, including expense reductions and expenses reimbursed | | | .63 | %(c) | | | 1.29 | % | | | 1.31 | % | | | 1.33 | % | | | 1.41 | % | | | 1.26 | % |
Expenses, excluding expense reductions and expenses reimbursed | | | .63 | %(c) | | | 1.29 | % | | | 1.31 | % | | | 1.33 | % | | | 1.41 | % | | | 1.30 | % |
Net investment income | | | .32 | %(c) | | | .74 | % | | | .92 | % | | | 1.48 | % | | | 2.52 | % | | | 3.50 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $476 | | | | $617 | | | | $411 | | | | $326 | | | | $103 | | | | $57 | |
Portfolio turnover rate | | | 59.12 | %(c) | | | 141.92 | % | | | 130.30 | % | | | 113.50 | % | | | 90.72 | % | | | 83.70 | % |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
40 | See Notes to Financial Statements. | |
Financial Highlights
GLOBAL ALLOCATION FUND
| | Class A Shares |
| | Six Months Ended 6/30/2013 | | Year Ended 12/31 |
| | (unaudited) | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $11.42 | | | | $10.29 | | | | $11.41 | | | | $10.56 | | | | $7.95 | | | | $13.15 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .19 | | | | .36 | | | | .35 | | | | .33 | | | | .28 | | | | .26 | |
Net realized and unrealized gain (loss) | | | .20 | | | | 1.16 | | | | (1.12 | ) | | | .84 | | | | 2.66 | | | | (5.10 | ) |
Total from investment operations | | | .39 | | | | 1.52 | | | | (.77 | ) | | | 1.17 | | | | 2.94 | | | | (4.84 | ) |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.18 | ) | | | (.38 | ) | | | (.35 | ) | | | (.32 | ) | | | (.33 | ) | | | (.17 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.19 | ) |
Return of capital | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.18 | ) | | | (.39 | ) | | | (.35 | ) | | | (.32 | ) | | | (.33 | ) | | | (.36 | ) |
Net asset value, end of period | | | $11.63 | | | | $11.42 | | | | $10.29 | | | | $11.41 | | | | $10.56 | | | | $7.95 | |
Total Return(b) | | | 3.43 | %(c) | | | 15.02 | % | | | (6.89 | )% | | | 11.36 | % | | | 37.83 | % | | | (37.33 | )% |
Ratios to Average Net Assets:(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .15 | %(c) | | | .30 | % | | | .28 | % | | | .35 | % | | | .35 | % | | | 1.07 | % |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .15 | %(c) | | | .30 | % | | | .28 | % | | | .35 | % | | | .35 | % | | | 1.06 | % |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .38 | %(c) | | | .80 | % | | | .84 | % | | | .94 | % | | | 1.17 | % | | | 1.60 | % |
Net investment income | | | 1.57 | %(c) | | | 3.31 | % | | | 3.11 | % | | | 3.07 | % | | | 3.15 | % | | | 2.40 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $119,083 | | | | $110,910 | | | | $108,217 | | | | $107,234 | | | | $83,625 | | | | $53,568 | |
Portfolio turnover rate | | | 9.23 | %(c) | | | 36.34 | % | | | 27.66 | % | | | 9.48 | % | | | 6.81 | % | | | 147.44 | % |
(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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
| See Notes to Financial Statements. | 41 |
Financial Highlights (continued)
GLOBAL ALLOCATION FUND
| | Class B Shares |
| | Six Months Ended 6/30/2013 | | Year Ended 12/31 |
| | (unaudited) | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $10.53 | | | | $9.51 | | | | $10.57 | | | | $9.81 | | | | $7.38 | | | | $12.25 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .12 | | | | .25 | | | | .24 | | | | .23 | | | | .21 | | | | .18 | |
Net realized and unrealized gain (loss) | | | .19 | | | | 1.09 | | | | (1.03 | ) | | | .79 | | | | 2.48 | | | | (4.74 | ) |
Total from investment operations | | | .31 | | | | 1.34 | | | | (.79 | ) | | | 1.02 | | | | 2.69 | | | | (4.56 | ) |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.14 | ) | | | (.31 | ) | | | (.27 | ) | | | (.26 | ) | | | (.26 | ) | | | (.12 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.19 | ) |
Return of capital | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.14 | ) | | | (.32 | ) | | | (.27 | ) | | | (.26 | ) | | | (.26 | ) | | | (.31 | ) |
Net asset value, end of period | | | $10.70 | | | | $10.53 | | | | $9.51 | | | | $10.57 | | | | $9.81 | | | | $7.38 | |
Total Return(b) | | | 2.95 | %(c) | | | 14.24 | % | | | (7.56 | )% | | | 10.60 | % | | | 37.10 | % | | | (37.74 | )% |
Ratios to Average Net Assets:(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .52 | %(c) | | | 1.04 | % | | | .99 | % | | | 1.00 | % | | | 1.00 | % | | | 1.72 | % |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .52 | %(c) | | | 1.04 | % | | | .99 | % | | | 1.00 | % | | | 1.00 | % | | | 1.72 | % |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .75 | %(c) | | | 1.54 | % | | | 1.55 | % | | | 1.59 | % | | | 1.82 | % | | | 2.26 | % |
Net investment income | | | 1.13 | %(c) | | | 2.51 | % | | | 2.29 | % | | | 2.35 | % | | | 2.49 | % | | | 1.74 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $6,351 | | | | $6,939 | | | | $8,276 | | | | $11,389 | | | | $10,668 | | | | $7,194 | |
Portfolio turnover rate | | | 9.23 | %(c) | | | 36.34 | % | | | 27.66 | % | | | 9.48 | % | | | 6.81 | % | | | 147.44 | % |
(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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
42 | See Notes to Financial Statements. | |
Financial Highlights (continued)
GLOBAL ALLOCATION FUND
| | Class C Shares |
| | Six Months Ended 6/30/2013 | | Year Ended 12/31 |
| | (unaudited) | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $10.54 | | | | $9.53 | | | | $10.59 | | | | $9.83 | | | | $7.40 | | | | $12.28 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .13 | | | | .26 | | | | .25 | | | | .24 | | | | .22 | | | | .18 | |
Net realized and unrealized gain (loss) | | | .18 | | | | 1.07 | | | | (1.03 | ) | | | .78 | | | | 2.47 | | | | (4.75 | ) |
Total from investment operations | | | .31 | | | | 1.33 | | | | (.78 | ) | | | 1.02 | | | | 2.69 | | | | (4.57 | ) |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.14 | ) | | | (.31 | ) | | | (.28 | ) | | | (.26 | ) | | | (.26 | ) | | | (.12 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.19 | ) |
Return of capital | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.14 | ) | | | (.32 | ) | | | (.28 | ) | | | (.26 | ) | | | (.26 | ) | | | (.31 | ) |
Net asset value, end of period | | | $10.71 | | | | $10.54 | | | | $9.53 | | | | $10.59 | | | | $9.83 | | | | $7.40 | |
Total Return(b) | | | 2.97 | %(c) | | | 14.17 | % | | | (7.48 | )% | | | 10.58 | % | | | 37.00 | % | | | (37.73 | )% |
Ratios to Average Net Assets:(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .52 | %(c) | | | 1.04 | % | | | .97 | % | | | 1.00 | % | | | 1.00 | % | | | 1.71 | % |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .52 | %(c) | | | 1.04 | % | | | .97 | % | | | 1.00 | % | | | 1.00 | % | | | 1.71 | % |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .75 | %(c) | | | 1.53 | % | | | 1.53 | % | | | 1.59 | % | | | 1.80 | % | | | 2.25 | % |
Net investment income | | | 1.18 | %(c) | | | 2.62 | % | | | 2.42 | % | | | 2.46 | % | | | 2.55 | % | | | 1.76 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $29,800 | | | | $29,821 | | | | $26,322 | | | | $25,893 | | | | $17,741 | | | | $9,428 | |
Portfolio turnover rate | | | 9.23 | %(c) | | | 36.34 | % | | | 27.66 | % | | | 9.48 | % | | | 6.81 | % | | | 147.44 | % |
(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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
| See Notes to Financial Statements. | 43 |
Financial Highlights (continued)
GLOBAL ALLOCATION FUND
| | Class F Shares |
| | Six Months Ended 6/30/2013 | | Year Ended 12/31 |
| | (unaudited) | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $11.43 | | | | $10.29 | | | | $11.41 | | | | $10.56 | | | | $7.95 | | | | $13.12 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .20 | | | | .36 | | | | .37 | | | | .39 | | | | .35 | | | | .32 | |
Net realized and unrealized gain (loss) | | | .19 | | | | 1.19 | | | | (1.12 | ) | | | .80 | | | | 2.61 | | | | (5.11 | ) |
Total from investment operations | | | .39 | | | | 1.55 | | | | (.75 | ) | | | 1.19 | | | | 2.96 | | | | (4.79 | ) |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.19 | ) | | | (.40 | ) | | | (.37 | ) | | | (.34 | ) | | | (.35 | ) | | | (.19 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.19 | ) |
Return of capital | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.19 | ) | | | (.41 | ) | | | (.37 | ) | | | (.34 | ) | | | (.35 | ) | | | (.38 | ) |
Net asset value, end of period | | | $11.63 | | | | $11.43 | | | | $10.29 | | | | $11.41 | | | | $10.56 | | | | $7.95 | |
Total Return(b) | | | 3.41 | %(c) | | | 15.28 | % | | | (6.72 | )% | | | 11.57 | % | | | 38.16 | % | | | (37.09 | )% |
Ratios to Average Net Assets:(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .08 | %(c) | | | .15 | % | | | .10 | % | | | .10 | % | | | .10 | % | | | .62 | % |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .08 | %(c) | | | .15 | % | | | .10 | % | | | .10 | % | | | .10 | % | | | .61 | % |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .31 | %(c) | | | .65 | % | | | .66 | % | | | .69 | % | | | .83 | % | | | 1.26 | % |
Net investment income | | | 1.69 | %(c) | | | 3.31 | % | | | 3.36 | % | | | 3.63 | % | | | 3.66 | % | | | 3.02 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $3,135 | | | | $2,423 | | | | $3,156 | | | | $2,256 | | | | $641 | | | | $9 | |
Portfolio turnover rate | | | 9.23 | %(c) | | | 36.34 | % | | | 27.66 | % | | | 9.48 | % | | | 6.81 | % | | | 147.44 | % |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
44 | See Notes to Financial Statements. | |
Financial Highlights (continued)
GLOBAL ALLOCATION FUND
| | Class I Shares |
| | Six Months Ended 6/30/2013 | | Year Ended 12/31 |
| | (unaudited) | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $11.49 | | | | $10.34 | | | | $11.47 | | | | $10.61 | | | | $7.98 | | | | $13.18 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .20 | | | | .39 | | | | .38 | | | | .37 | | | | .32 | | | | .31 | |
Net realized and unrealized gain (loss) | | | .20 | | | | 1.18 | | | | (1.13 | ) | | | .84 | | | | 2.67 | | | | (5.13 | ) |
Total from investment operations | | | .40 | | | | 1.57 | | | | (.75 | ) | | | 1.21 | | | | 2.99 | | | | (4.82 | ) |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.20 | ) | | | (.41 | ) | | | (.38 | ) | | | (.35 | ) | | | (.36 | ) | | | (.19 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.19 | ) |
Return of capital | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.20 | ) | | | (.42 | ) | | | (.38 | ) | | | (.35 | ) | | | (.36 | ) | | | (.38 | ) |
Net asset value, end of period | | | $11.69 | | | | $11.49 | | | | $10.34 | | | | $11.47 | | | | $10.61 | | | | $7.98 | |
Total Return(b) | | | 3.44 | %(c) | | | 15.42 | % | | | (6.69 | )% | | | 11.69 | % | | | 38.39 | % | | | (37.10 | )% |
Ratios to Average Net Assets:(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .03 | %(c) | | | .05 | % | | | .00 | % | | | .00 | % | | | .00 | % | | | .69 | % |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .03 | %(c) | | | .05 | % | | | .00 | % | | | .00 | % | | | .00 | % | | | .69 | % |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .26 | %(c) | | | .55 | % | | | .57 | % | | | .60 | % | | | .80 | % | | | 1.25 | % |
Net investment income | | | 1.68 | %(c) | | | 3.57 | % | | | 3.38 | % | | | 3.40 | % | | | 3.55 | % | | | 2.85 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $22,883 | | | | $22,289 | | | | $14,086 | | | | $8,460 | | | | $1,055 | | | | $557 | |
Portfolio turnover rate | | | 9.23 | %(c) | | | 36.34 | % | | | 27.66 | % | | | 9.48 | % | | | 6.81 | % | | | 147.44 | % |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
| See Notes to Financial Statements. | 45 |
Financial Highlights (continued)
GLOBAL ALLOCATION FUND
| | Class R2 Shares |
| | Six Months Ended 6/30/2013 | | Year Ended 12/31 | | | 6/23/2008(a) to |
| | (unaudited) | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 12/31/2008 |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $11.62 | | | | $10.46 | | | | $11.55 | | | | $10.64 | | | | $7.96 | | | | $11.83 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(b) | | | .16 | | | | .34 | | | | .49 | | | | .36 | | | | .31 | | | | .18 | |
Net realized and unrealized gain (loss) | | | .21 | | | | 1.18 | | | | (1.26 | ) | | | .85 | | | | 2.68 | | | | (3.70 | ) |
Total from investment operations | | | .37 | | | | 1.52 | | | | (.77 | ) | | | 1.21 | | | | 2.99 | | | | (3.52 | ) |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.16 | ) | | | (.35 | ) | | | (.32 | ) | | | (.30 | ) | | | (.31 | ) | | | (.16 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.19 | ) |
Return of capital | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.16 | ) | | | (.36 | ) | | | (.32 | ) | | | (.30 | ) | | | (.31 | ) | | | (.35 | ) |
Net asset value, end of period | | | $11.83 | | | | $11.62 | | | | $10.46 | | | | $11.55 | | | | $10.64 | | | | $7.96 | |
Total Return(c) | | | 3.17 | %(d) | | | 14.71 | % | | | (6.77 | )% | | | 11.63 | % | | | 38.36 | % | | | (30.36 | )%(d) |
Ratios to Average Net Assets:(e) | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .32 | %(d) | | | .61 | % | | | .34 | % | | | .05 | % | | | .00 | % | | | .32 | %(d) |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .32 | %(d) | | | .61 | % | | | .34 | % | | | .05 | % | | | .00 | % | | | .32 | %(d) |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .55 | %(d) | | | 1.11 | % | | | .93 | % | | | .65 | % | | | .81 | % | | | .87 | %(d) |
Net investment income | | | 1.34 | %(d) | | | 3.05 | % | | | 4.44 | % | | | 3.38 | % | | | 3.46 | % | | | 1.88 | %(d) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $106 | | | | $107 | | | | $88 | | | | $11 | | | | $10 | | | | $7 | |
Portfolio turnover rate | | | 9.23 | %(d) | | | 36.34 | % | | | 27.66 | % | | | 9.48 | % | | | 6.81 | % | | | 147.44 | % |
(a) | Commencement of operations was 6/23/2008, SEC effective date was 9/14/2007 and date shares first became available to |
| the public was 7/1/2008. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
46 | See Notes to Financial Statements. | |
Financial Highlights (concluded)
GLOBAL ALLOCATION FUND
| | Class R3 Shares |
| | Six Months Ended 6/30/2013 | | Year Ended 12/31 | | | 6/23/2008(a) to |
| | (unaudited) | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 12/31/2008 |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $11.48 | | | | $10.34 | | | | $11.47 | | | | $10.62 | | | | $7.95 | | | | $11.83 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(b) | | | .18 | | | | .35 | | | | .34 | | | | .34 | | | | .37 | | | | .18 | |
Net realized and unrealized gain (loss) | | | .19 | | | | 1.16 | | | | (1.14 | ) | | | .82 | | | | 2.62 | | | | (3.70 | ) |
Total from investment operations | | | .37 | | | | 1.51 | | | | (.80 | ) | | | 1.16 | | | | 2.99 | | | | (3.52 | ) |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.17 | ) | | | (.36 | ) | | | (.33 | ) | | | (.31 | ) | | | (.32 | ) | | | (.17 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.19 | ) |
Return of capital | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.17 | ) | | | (.37 | ) | | | (.33 | ) | | | (.31 | ) | | | (.32 | ) | | | (.36 | ) |
Net asset value, end of period | | | $11.68 | | | | $11.48 | | | | $10.34 | | | | $11.47 | | | | $10.62 | | | | $7.95 | |
Total Return(c) | | | 3.22 | %(d) | | | 14.81 | % | | | (7.10 | )% | | | 11.17 | % | | | 38.40 | % | | | (30.40 | )%(d) |
Ratios to Average Net Assets:(e) | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .26 | %(d) | | | .52 | % | | | .47 | % | | | .50 | % | | | .26 | % | | | .27 | %(d) |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .26 | %(d) | | | .52 | % | | | .47 | % | | | .50 | % | | | .26 | % | | | .26 | %(d) |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .49 | %(d) | | | 1.02 | % | | | 1.04 | % | | | 1.10 | % | | | .92 | % | | | .82 | %(d) |
Net investment income | | | 1.46 | %(d) | | | 3.17 | % | | | 3.03 | % | | | 3.20 | % | | | 3.79 | % | | | 1.93 | %(d) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $5,361 | | | | $5,211 | | | | $3,285 | | | | $2,179 | | | | $51 | | | | $7 | |
Portfolio turnover rate | | | 9.23 | %(d) | | | 36.34 | % | | | 27.66 | % | | | 9.48 | % | | | 6.81 | % | | | 147.44 | % |
(a) | Commencement of operations was 6/23/2008, SEC effective date was 9/14/2007 and date shares first became available to |
| the public was 7/1/2008. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
| See Notes to Financial Statements. | 47 |
Notes to Financial Statements (unaudited)
Lord Abbett Global Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and was incorporated under Maryland law on February 23, 1988. The Company currently consists of three funds. This report covers the following two funds (each, a “Fund” and collectively, the “Funds”) and their respective classes: Lord Abbett Emerging Markets Currency Fund (“Emerging Markets Currency Fund”), Class A, B, C, F, I, P, R2 and R3 shares; and Lord Abbett Global Allocation Fund (“Global Allocation Fund”), Class A, B, C, F, I, P, R2 and R3 shares. Global Allocation Fund is diversified as defined in the Act and Emerging Markets Currency Fund is non-diversified as defined in the Act.
Emerging Markets Currency Fund’s investment objective is to seek high total return. Global Allocation Fund’s investment objective is total return. Global Allocation Fund invests principally in other mutual funds (“Underlying Funds”) managed by Lord, Abbett & Co. LLC (“Lord Abbett”).
Each class of shares has 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 each Fund’s prospectus); Class B shares redeemed before the sixth anniversary of purchase; and Class C shares redeemed before the first anniversary of purchase. Class B shares will automatically convert to Class A shares on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. The Funds no longer issue Class B shares for purchase. Emerging Markets Currency Fund’s Class P shares are closed to substantially all new investors, with certain exceptions as set forth in the Funds’ prospectus. As of the date of this report, Global Allocation Fund has not issued Class P shares.
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–Under procedures approved by the Funds’ Board of Directors (the “Board”), Lord Abbett, the Funds’ investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Funds to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. |
| |
| Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange LLC. Each Fund may rely |
48
Notes to Financial Statements (unaudited)(continued)
| 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. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Swaps are valued daily using independent pricing services or quotations from broker/dealer to the extent available. Investments in the Underlying Funds are valued at their NAV each business day at the close of regular trading on the New York Stock Exchange LLC, normally 4:00 p.m. Eastern time. |
| |
| Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee and approved by the Board. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use observable inputs such as yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and employs techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. |
| |
| Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
| |
(b) | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
| |
(c) | Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income on the Statements of Operations. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. |
| |
(d) | Income Taxes–It is the policy of each 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. |
| |
| Each 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 Funds’ filed U.S. federal tax returns remains open for the fiscal years ended December 31, 2009 through December 31, 2012. The statutes of limitations on the Company’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. |
49
Notes to Financial Statements (unaudited)(continued)
(e) | Expenses–Expenses incurred by the Company that do not specifically relate to an individual fund are generally allocated to the Funds within the Company on a pro rata basis by relative net assets. 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 Funds’ 12b-1 Distribution Plan. |
| |
(f) | Foreign Transactions–The books and records of Emerging Markets Currency 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, swaps 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 (loss) on investments, futures contracts, swaps 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) | Forward Foreign Currency Exchange Contracts–Emerging Markets Currency Fund may enter into forward foreign currency exchange contracts in order to reduce its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings or gain or reduce exposure to foreign currency for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included in Net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions on the Fund’s Statement of Operations. |
| |
(h) | Futures Contracts–Emerging Markets Currency 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 the Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. The Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract. |
| |
(i) | When-Issued, Forward Transactions or To-Be-Announced (“TBA”) Transactions–Emerging Markets Currency Fund may purchase portfolio securities on a when-issued or forward basis. When-issued, forward transactions or TBA transactions involve a commitment by |
50
Notes to Financial Statements (unaudited)(continued)
| a Fund to purchase securities, with payment and delivery (“settlement”) to take place in the future, in order to secure what is considered to be an advantageous price or yield at the time of entering into the transaction. During the period between purchase and settlement, the fair value of the securities will fluctuate and assets consisting of cash and/or marketable securities (normally short-term U.S. Government or U.S. Government sponsored enterprise securities) marked to market daily in an amount sufficient to make payment at settlement will be segregated at the Fund’s custodian in order to pay for the commitment. At the time each 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. |
| |
(j) | Mortgage Dollar Rolls–Emerging Markets Currency Fund may enter into mortgage dollar rolls in which a Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. During the roll period, the Fund loses the right to receive principal (including prepayments of principal) and interest paid on the securities sold. |
| |
(k) | Commercial Paper–Each Fund may purchase commercial paper. Commercial paper consists of unsecured promissory notes issued by corporations to finance short-term credit needs. Commercial paper is issued in bearer form with maturities generally not exceeding nine months. Commercial paper obligations may include variable amount master demand notes. |
| |
(l) | Repurchase Agreements–Each 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. Each 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, a Fund may incur a loss upon disposition of the securities. |
| |
(m) | Interest Rate Swaps–Emerging Markets Currency Fund may invest in interest rate swaps in order to enhance returns or hedge against interest rate risk. Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. The interest rate swap agreement will normally be entered into on a zero coupon basis, meaning that the floating rate will be based on the cumulative of the variable rate, and the fixed rate will compound until the swap’s maturity date, at which point the payments would be netted. The swaps are valued daily and any unrealized gain (loss) is included in the Net change in unrealized appreciation/depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. A liquidation payment received or made at the termination or maturity of the swap is recorded in realized gain (loss) and is included in Net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions on the Fund’s Statement of Operations. |
51
Notes to Financial Statements (unaudited)(continued)
(n) | Credit Default Swaps–Emerging Markets Currency Fund may enter into credit default swap contracts. As a seller of a credit default swap contract (“seller of protection”), the Fund is required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty in the event of a default by or other credit event involving the referenced issuer, obligation or index. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract. As a purchaser of a credit default swap contract (“buyer of protection”), the Fund would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty in the event of default by or other credit event involving the referenced issuer, obligation or index. In return, the Fund would make periodic payments to the counterparty over the term of the contracts, provided no event of default has occurred. |
| |
| These credit default swaps may have as a reference obligation corporate or sovereign issuers or credit indices. These credit indices are comprised of a basket of securities representing a particular sector of the market. During the period, Emerging Markets Currency Fund entered into credit default swaps based on CMBX indices, which are comprised of commercial mortgage-backed securities. |
| |
| Credit default swaps are fair valued based upon quotations from counterparties, brokers or market-makers and the change in value, if any, is recorded as an unrealized appreciation or depreciation. For a credit default swap sold by the Fund, payment of the agreed-upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by the Fund, the agreed-upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund. |
| |
| Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and credit rating of each credit default swap where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities. |
| |
| Entering into credit default swaps involves credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, and that Lord Abbett does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based. |
52
Notes to Financial Statements (unaudited)(continued)
(o) | Fair Value Measurements–Fair value is defined as the price that each 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 each Fund’s own assumptions in determining the fair value of investments). |
| | | |
| A summary of inputs used in valuing each Fund’s investments as of June 30, 2013, and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the six months then ended is included in each Fund’s Schedule of Investments. |
| |
| Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. |
3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
Management Fee
The Company has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies each 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 each Fund’s investment portfolio.
The management fee is based on each Fund’s average daily net assets at the following annual rates:
Emerging Markets Currency Fund
First $1 billion | | | .50 | % |
Over $1 billion | | | .45 | % |
Global Allocation Fund | | | .25 | %(1) |
(1) | For the period from May 1, 2013 through April 30, 2014, Lord Abbett has contractually agreed to waive .18% of its annual management fee for Global Allocation Fund. This agreement may be terminated only upon approval of the Board. During the period January 1, 2013 through April 30, 2013, Lord Abbett had contractually agreed to waive .20% of its annual management fee for the Fund. |
53
Notes to Financial Statements (unaudited)(continued)
For the six months ended June 30, 2013, the effective management fee, net of waivers, was at an annualized rate of .50% and .06% of average daily net assets for Emerging Markets Currency Fund and Global Allocation Fund, respectively.
In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of ..04% of Emerging Markets Currency Fund’s average daily net assets. Global Allocation Fund does not pay such fee.
Global Allocation Fund has entered into a Servicing Arrangement with the Underlying Funds in which it invests (Lord Abbett Equity Trust – Lord Abbett Calibrated Large Cap Value Fund and Lord Abbett Calibrated Mid Cap Value Fund; Lord Abbett Global Fund, Inc. – Lord Abbett Emerging Markets Currency Fund; Lord Abbett Investment Trust – Lord Abbett High Yield Fund and Lord Abbett Short Duration Income Fund; Lord Abbett Mid Cap Stock Fund, Inc. and Lord Abbett Securities Trust – Lord Abbett International Dividend Income Fund), pursuant to which each Underlying Fund will pay a portion of the expenses (excluding management fees and distribution and service fees) of Global Allocation Fund in proportion to the average daily value of total Underlying Fund shares owned by Global Allocation Fund. The expenses assumed by the Underlying Funds are reflected in Expenses assumed by Underlying Funds in Global Allocation Fund’s Statement of Operations and Receivables from affiliates on Global Allocation Fund’s Statement of Assets and Liabilities. Amounts paid pursuant to the Servicing Arrangement are included in Subsidy expense on Emerging Markets Currency Fund’s Statement of Operations and Payable to affiliates on Emerging Markets Currency Fund’s Statement of Assets and Liabilities.
As of June 30, 2013, the percentages of Emerging Markets Currency Fund’s outstanding shares owned by Lord Abbett Balanced Strategy Fund, Lord Abbett Diversified Income Strategy Fund and Lord Abbett Global Allocation Fund were 33.25%, 17.55% and 8.33%, respectively.
12b-1 Distribution Plan
Each 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 following annual rates have been approved by the Board pursuant to the plan:
Emerging Markets Currency Fund | | | | | | | |
Fees* | | Class A | | Class B | | Class C(1) | | Class F | | Class P | | Class R2 | | Class R3 |
Service | | .15 | % | | .25% | | | .25% | | | — | | | .25% | | | .25% | | | .25% | |
Distribution | | .05 | % | | .75% | | | .75% | | | .10 | % | | .20% | | | .35% | | | .25% | |
| | | | | | | | | | | | | | | | | | | | | |
Global Allocation Fund | | | | | | | | | | |
Fees* | | Class A | | Class B | | Class C | | Class F | | Class P | | Class R2 | | Class R3 |
Service | | .25 | % | | .25% | | | .25% | | | — | | | .25% | | | .25% | | | .25% | |
Distribution | | — | | | .75% | | | .75% | | | .10 | % | | .20% | | | .35% | | | .25% | |
* | The Fund may designate a portion of the aggregate fee as attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations. |
(1) | The Class C 12b-1 fee is a blended rate calculated based on 1.00% of the Fund’s average daily net assets attributable to Class C shares held for less than one year and .80% (.25% service, .55% distribution) of the Fund’s average daily net assets attributable to Class C shares held for one year or more. All Class C shareholders of the Fund will bear Rule 12b-1 fees at the same rate. |
Class I shares do not have a distribution plan.
54
Notes to Financial Statements (unaudited)(continued)
Commissions
Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers, for the six months ended June 30, 2013:
| | Distributor Commissions | | | Dealers’ Concessions | |
Emerging Markets Currency Fund | | $ | 4,081 | | | $ | 28,649 | |
Global Allocation Fund | | | 47,291 | | | | 260,118 | |
Distributor received the following amount of CDSCs for the six months ended June 30, 2013:
| | Class A | | | Class C | |
Emerging Markets Currency Fund | | $ | 778 | | | $ | 1,067 | |
Global Allocation Fund | | | 1,394 | | | | 2,059 | |
A Director and certain of the Company’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 for Emerging Markets Currency Fund and declared and paid quarterly for Global Allocation Fund. 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, 2013 and the fiscal year ended December 31, 2012 was as follows:
| | Emerging Markets Currency Fund | | | Global Allocation Fund | |
| | Six Months Ended 6/30/2013 (unaudited) | | | Year Ended 12/31/2012 | | | Six Months Ended 6/30/2013 (unaudited) | | | Year Ended 12/31/2012 | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Ordinary income | | $ | 6,079,011 | | | $ | 9,800,565 | | | $ | 2,829,406 | | | $ | 5,927,793 | |
Return of capital | | | — | | | | 1,503,690 | | | | — | | | | 99,560 | |
Total distributions paid | | $ | 6,079,011 | | | $ | 11,304,255 | | | $ | 2,829,406 | | | $ | 6,027,353 | |
55
Notes to Financial Statements (unaudited)(continued)
As of December 31, 2012, the capital loss carryforwards, along with the related expiration dates, were as follows:
| | 2017 | | | 2018 | | | Indefinite | | | Total | |
Emerging Markets Currency Fund | | $ | — | | | $ | — | | | $ | 3,789,379 | | | $ | 3,789,379 | |
Global Allocation Fund | | | 1,471,601 | | | | 8,248 | | | | — | | | | 1,479,849 | |
In accordance with the Regulated Investment Company Modernization Act of 2010, the Funds will carryforward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) indefinitely. Post-enactment losses will also retain their character as either short-term or long-term and be utilized before any pre-enactment losses.
As of June 30, 2013, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | Emerging Markets Currency Fund | | | Global Allocation Fund | |
Tax cost | | $ | 400,874,829 | | | $ | 181,312,133 | |
Gross unrealized gain | | | 1,460,492 | | | | 7,865,218 | |
Gross unrealized loss | | | (7,052,059 | ) | | | (2,658,682 | ) |
Net unrealized security gain (loss) | | $ | (5,591,567 | ) | | $ | 5,206,536 | |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of certain distributions received, wash sales and amortization of premium.
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2013 were as follows:
| | U.S. Government Purchases* | | Non-U.S. Government Purchases | | U.S. Government Sales* | | Non-U.S. Government Sales |
Emerging Markets Currency Fund | | $71,774,262 | | $144,727,398 | | $66,314,280 | | $180,061,022 |
Global Allocation Fund | | — | | 22,897,596 | | — | | 17,299,400 |
* | Includes U.S. Government sponsored enterprises securities. |
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
Emerging Markets Currency Fund entered into forward foreign currency exchange contracts for the six months ended June 30, 2013 (as described in note 2(g)). A forward foreign currency exchange contract reduces the Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. The Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and the Fund’s returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. The Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on foreign currency exchange contracts and deposits as collateral.
56
Notes to Financial Statements (unaudited)(continued)
Emerging Markets Currency Fund entered into U.S. Treasury futures contracts for the six months ended June 30, 2013 (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.
Emerging Markets Currency Fund entered into credit default swaps for the six months ended June 30, 2013 (as described in note 2(n)) for investment purposes to hedge credit risk or for speculative purposes. Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying security in the event of a defined credit event, such as payment default or bankruptcy. Under a credit default swap one party acts as a guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying security at par if the defined credit event occurs. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain or loss on swap transactions in the Statements of Operations. The Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract.
Emerging Markets Currency Fund entered into interest rate swaps for the six months ended June 30, 2013 (as described in note 2(m)) to hedge against interest rate risk. The Fund’s use of interest rate swaps involves the risk that Lord Abbett will not accurately predict expectations of interest rates, and the Fund’s returns could be reduced as a result. The Fund’s risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the life of the contract, to the extent that amount is positive.
As of June 30, 2013, Emerging Markets Currency Fund had the following derivatives, grouped into appropriate risk categories that illustrate how and why the Fund uses derivative instruments:
Asset Derivatives | | Interest Rate Contracts | | | Forward Foreign Currency Exchange Contracts | | | Credit Contracts | | | Fair Value | |
Credit Default Swaps(1) | | $ | — | | | $ | — | | | $ | 33,827 | | | $ | 33,827 | |
Forward Foreign Currency | | | | | | | | | | | | | | | | |
Exchange Contracts(2) | | | — | | | | 3,276,535 | | | | — | | | | 3,276,535 | |
Futures Contracts(3) | | | 898,173 | | | | — | | | | — | | | | 898,173 | |
Total | | $ | 898,173 | | | $ | 3,276,535 | | | $ | 33,827 | | | $ | 4,208,535 | |
| | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | | | | | | | | | | | | |
Credit Default Swaps(4) | | $ | — | | | $ | — | | | $ | 7,253 | | | $ | 7,253 | |
Forward Foreign Currency | | | | | | | | | | | | | | | | |
Exchange Contracts(5) | | | — | | | | 17,390,456 | | | | — | | | | 17,390,456 | |
Total | | $ | — | | | $ | 17,390,456 | | | $ | 7,253 | | | $ | 17,397,709 | |
(1) | Statements of Assets and Liabilities location: Unrealized appreciation on credit default swaps. |
(2) | Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
(3) | Statements of Assets and Liabilities location: Represents cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
(4) | Statements of Assets and Liabilities location: Unrealized depreciation on credit default swaps. |
(5) | Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
57
Notes to Financial Statements (unaudited)(continued)
Transactions in derivative instruments for the six months ended June 30, 2013, were as follows:
| | Interest Rate Contracts | | | Forward Foreign Currency Exchange Contracts | | | Credit Contracts | | | Total | |
Net Realized Gain (Loss)(1) | | | | | | | | | | | | | | | | |
Credit Default Swaps | | $ | — | | | $ | — | | | $ | 153,397 | | | $ | 153,397 | |
Forward Foreign Currency | | | | | | | | | | | | | | | | |
Exchange Contracts | | | — | | | | 4,115,429 | | | | — | | | | 4,115,429 | |
Futures Contracts | | | 716,172 | | | | — | | | | — | | | | 716,172 | |
Interest Rate Swaps | | | (23,585 | ) | | | — | | | | — | | | | (23,585 | ) |
Net Change in Unrealized Appreciation/Depreciation(2) | | | | | | | | | | | | | | | | |
Credit Default Swaps | | $ | — | | | $ | — | | | $ | (111,579 | ) | | $ | (111,579 | ) |
Forward Foreign Currency | | | | | | | | | | | | | | | | |
Exchange Contracts | | | — | | | | (19,008,089 | ) | | | — | | | | (19,008,089 | ) |
Futures Contracts | | | 779,710 | | | | — | | | | — | | | | 779,710 | |
Interest Rate Swaps | | | 31,814 | | | | — | | | | — | | | | 31,814 | |
Average Number of Contracts/ Notional Amounts* | | | | | | | | | | | | | | | | |
Credit Default Swaps(3) | | $ | — | | | $ | — | | | $ | 4,785,714 | | | $ | 4,785,714 | |
Forward Foreign Currency | | | | | | | | | | | | | | | | |
Exchange Contracts(3) | | | — | | | | 690,300,541 | | | | — | | | | 690,300,541 | |
Futures Contracts(4) | | | 964 | | | | — | | | | — | | | | 964 | |
Interest Rate Swaps(3) | | $ | 5,142,857 | | | $ | — | | | $ | — | | | $ | 5,142,857 | |
* | Calculated based on the number of contracts or notional amounts for the six months ended June 30, 2013. |
(1) | Statements of Operations location: Net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions. |
(2) | Statements of Operations location: Net change in unrealized appreciation/depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies. |
(3) | Amount represents notional amount in U.S. dollars. |
(4) | Amount represents number of contracts. |
7. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011–11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011–11”). These disclosure requirements are intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. In addition, FASB issued Accounting Standards Update No. 2013–01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013–01”), specifying which transactions are subject to disclosures about offsetting.
The following tables illustrate Emerging Markets Currency Fund’s gross and net information about recognized assets and liabilities eligible for offset in the Statement of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between two counterparties who have multiple contracts with each other that provides for the net settlement of all contracts, as well as cash collateral, through single payment in the event of default on or termination of any one contract:
58
Notes to Financial Statements (unaudited)(continued)
Description | | Gross Amounts of Recognized Assets | | | Gross Amounts Offset in the Statements of Assets and Liabilities | | | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | |
Forward Foreign Currency Exchange Contracts | | $ | 3,276,535 | | | $ | — | | | $ | 3,276,535 | |
Swaps | | | 33,827 | | | | — | | | | 33,827 | |
Total | | $ | 3,310,362 | | | $ | — | | | $ | 3,310,362 | |
| | | | | Gross Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Received(a) | | | Net Amount(b) | |
Barclays Bank plc | | $ | 513,898 | | | $ | (513,898 | ) | | $ | — | | | $ | — | |
Credit Suisse | | | 6,001 | | | | (6,001 | ) | | | — | | | | — | |
Deutsche Bank | | | 786,472 | | | | (786,472 | ) | | | — | | | | — | |
Goldman Sachs | | | 261,613 | | | | (261,613 | ) | | | — | | | | — | |
J.P. Morgan | | | 824,883 | | | | (824,883 | ) | | | — | | | | — | |
Morgan Stanley | | | 49,395 | | | | (49,395 | ) | | | — | | | | — | |
UBS AG | | | 868,100 | | | | (868,100 | ) | | | — | | | | — | |
Total | | $ | 3,310,362 | | | $ | (3,310,362 | ) | | $ | — | | | $ | — | |
Description | | Gross Amounts of Recognized Liabilities | | | Gross Amounts Offset in the Statements of Assets and Liabilities | | | Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities | |
Forward Foreign Currency Exchange Contracts | | $ | 17,390,456 | | | $ | — | | | $ | 17,390,456 | |
Swaps | | | 7,253 | | | | — | | | | 7,253 | |
Total | | $ | 17,397,709 | | | $ | — | | | $ | 17,397,709 | |
| | | | | Gross Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Pledged(a) | | | Net Amount(c) | |
Barclays Bank plc | | $ | 3,451,072 | | | $ | (513,898 | ) | | $ | (2,937,174 | ) | | $ | — | |
Credit Suisse | | | 1,160,661 | | | | (6,001 | ) | | | (1,154,660 | ) | | | — | |
Deutsche Bank | | | 2,094,131 | | | | (786,472 | ) | | | (1,307,659 | ) | | | — | |
Goldman Sachs | | | 1,224,073 | | | | (261,613 | ) | | | (962,460 | ) | | | — | |
J.P. Morgan | | | 5,743,587 | | | | (824,883 | ) | | | (4,918,704 | ) | | | — | |
Morgan Stanley | | | 2,476,850 | | | | (49,395 | ) | | | (2,410,000 | ) | | | 17,455 | |
UBS AG | | | 1,247,335 | | | | (868,100 | ) | | | (379,235 | ) | | | — | |
Total | | $ | 17,397,709 | | | $ | (3,310,362 | ) | | $ | (14,069,892 | ) | | $ | 17,455 | |
(a) | Collateral received (or pledged) is limited to an amount not to exceed 100% of the net amount of assets (or liabilities) in the tables presented above, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2013. |
(c) | Net Amount represents amounts under collateralized by the Fund to each counterparty as of June 30, 2013. |
59
Notes to Financial Statements (unaudited)(continued)
8. | DIRECTORS’ REMUNERATION |
The Company’s officers and a Director, who are associated with Lord Abbett, do not receive any compensation from the Company for serving in such capacities. Independent Directors’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Directors under which Independent Directors must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, Directors’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Directors’ fees on the Statements of Operations and in Directors’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
The Company 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 each Fund’s expenses.
On April 2, 2012, Emerging Markets Currency Fund and certain other funds managed by Lord Abbett (the “participating funds”) entered into an unsecured revolving credit facility (“Facility”) with 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 Board considers annual renewal of the Facility under terms that depend on market conditions at the time of the renewal. The amounts available under the Facility are (i) the lesser of either $250,000,000 or 33.33% of total assets per participating fund and (ii) $350,000,000 in the aggregate for all participating funds. The annual fee to maintain the Facility is .09% of the amount available under the Facility. Each participating fund pays its pro rata share based on the net assets of each participating fund. This amount is included in Other expenses on the Fund’s Statement of Operations. Any borrowings under this Facility will bear interest at current market rates as set forth in the credit agreement.
Effective April 1, 2013, Emerging Markets Currency Fund and the participating funds entered into a short term extension of the Facility through June 30, 2013. Effective July 1, 2013, the Emerging Markets Currency Fund and the participating funds renewed the Facility through June 30, 2014 under the same terms as described above.
During the six months ended June 30, 2013, a participating fund utilized the Facility and fully repaid its borrowings on June 13, 2013. As of June 30, 2013, there were no loans outstanding pursuant to this Facility.
11. | CUSTODIAN AND ACCOUNTING AGENT |
SSB is the Company’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.
12. | TRANSACTIONS WITH AFFILIATED ISSUERS |
An affiliated issuer is one in which a Fund has ownership of at least 5% of the outstanding voting securities of the underlying issuer at any point during the fiscal year or any company which is under common ownership or control. Global Allocation Fund had the following transactions with affiliated issuers (i.e. the Underlying Funds) for the six months ended June 30, 2013:
60
Notes to Financial Statements (unaudited)(continued)
Affiliated Issuer | | Balance of Shares Held at 12/31/2012 | | | Gross Additions | | | Gross Sales | | | Balance of Shares Held at 6/30/2013 | | | Fair Value at 6/30/2013 | | | Net Realized Gain (Loss) 1/1/2013 to 6/30/2013 | | | Dividend Income 1/1/2013 to 6/30/2013 | |
Lord Abbett Affiliated Fund, Inc. – Class I | | | 142,096 | | | | 90,623 | | | | (232,719 | ) | | | — | | | $ | — | | | $ | 236,687 | | | $ | 9,230 | |
Lord Abbett Equity Trust – Calibrated Large Cap Value Fund – Class I | | | 50,689 | | | | — | | | | — | | | | 50,689 | | | | 1,037,598 | | | | — | | | | — | |
Lord Abbett Equity Trust – Calibrated Mid Cap Value Fund – Class I | | | 666,452 | | | | 47,493 | | | | — | | | | 713,945 | | | | 14,400,270 | | | | — | | | | — | |
Lord Abbett Global Fund, Inc. – Emerging Markets Currency Fund – Class I | | | 5,082,070 | | | | 820,893 | | | | (311,071 | ) | | | 5,591,892 | | | | 35,061,163 | | | | (22,504 | ) | | | 496,911 | |
Lord Abbett Investment Trust – High Yield Fund – Class I | | | 2,406,133 | | | | 452,782 | | | | (68,371 | ) | | | 2,790,544 | | | | 21,905,770 | | | | 78,523 | | | | 697,622 | |
Lord Abbett Securities Trust – International Dividend Income Fund – Class I | | | 9,353,041 | | | | 620,519 | | | | (973,009 | ) | | | 9,000,551 | | | | 72,094,416 | | | | (866,168 | ) | | | 2,006,007 | |
Lord Abbett Mid Cap Stock Fund, Inc. – Class I | | | 1,907,046 | | | | 47,806 | | | | (109,368 | ) | | | 1,845,484 | | | | 37,629,417 | | | | 240,869 | | | | — | |
Lord Abbett Investment Trust – Short Duration Income Fund – Class I | | | — | | | | 1,189,020 | | | | (226,293 | ) | | | 962,727 | | | | 4,390,035 | | | | — | | | | 33,609 | |
Total | | | | | | | | | | | | | | | | | | $ | 186,518,669 | | | $ | (332,593 | ) | | $ | 3,243,379 | |
Each Fund is subject to the risks of investing in securities that are issued by non-U.S. entities, the risks of investing in derivatives, liquidity risk, and the risks from leverage.
Foreign securities may pose greater risks than domestic securities, including greater price fluctuations, less government regulation, and higher transaction costs. These risks generally are greater for emerging markets securities. Foreign investments also may be affected by changes in currency rates or currency controls.
Derivatives are subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, and credit risk. Derivatives also 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 a Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements, changes in foreign exchange and interest rates, and other factors. If a Fund incorrectly forecasts these and other factors, its performance could suffer. A Fund’s use of derivatives could result in a loss exceeding the amount of the Fund’s investment in these instruments.
Emerging Markets Currency Fund is non-diversified, which means that it may invest a greater portion of its assets in a single issuer than a diversified fund. Thus, it may be exposed to greater risk.
61
Notes to Financial Statements (unaudited)(continued)
Each Fund may invest in swap contracts. Swap contracts are bilateral agreements between a fund and its counterparty. Each party is exposed to the risk of default by the other. In addition, swap contracts may involve a small investment of cash compared to the risk assumed, with the result that small changes may produce disproportionate and substantial gains or losses to a Fund.
Each Fund may invest in credit default swap contracts. Such contracts are subject to the risk that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, and that Lord Abbett does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based.
Illiquid securities may lower a Fund’s returns since the Fund may be unable to sell these securities at its desired time or price.
Leverage, including borrowing, may increase volatility in a Fund by magnifying the effect of changes in the value of the Fund’s holdings. The use of leverage may cause investors in a Fund to lose more money in adverse environments than would be the case in the absence of leverage.
Each Fund is subject to the general risks and considerations associated with investing in debt securities, including interest rate risk. When interest rates rise, the prices of debt securities and an investment in a Fund are likely to decline. In times of economic uncertainty, high-yield debt securities (or “junk bonds”) may decline in price, even when interest rates are falling. There is also the risk that an issuer of a debt security will fail to make timely payments of principal or interest to a Fund, a risk that is greater with junk bonds.
The mortgage-related securities in which a Fund may invest may be particularly sensitive to changes in prevailing interest rates, 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 a 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.
Foreign currency exchange rates may fluctuate significantly over short periods of time. Emerging Markets Currency Fund’s use of currency-related transactions involves the risk that Lord Abbett will not accurately predict currency movements, and the Fund’s returns could be reduced as a result. A decline in the value of foreign currencies relative to the U.S. dollar will reduce the value of securities held by Emerging Markets Currency Fund that are denominated in those currencies.
The securities markets of developing or emerging countries tend to be less liquid, are especially subject to greater price volatility, have a smaller market capitalization, have less government regulation and may not be subject to as extensive and frequent accounting, financial, and other reporting requirements as securities issued in more developed countries.
Emerging Markets Currency Fund believes that its investment strategies with respect to foreign currencies will generate qualifying income under current U.S. federal income tax law. However, there can be no assurance that the U.S. Treasury Department will not issue regulations in the future (possibly with retroactive effect) that would treat some or all of the Fund’s foreign currency gains as nonqualifying income.
62
Notes to Financial Statements (unaudited)(continued)
The value of Global Allocation Fund’s investments will fluctuate in response to various factors related to domestic and foreign equity and fixed income markets, as well as the financial condition and prospects of issuers in which the Fund invests through its Underlying Funds. Because equity and fixed income investments can move in different directions or to different degrees, fixed income investments may counteract some of the volatility experienced by equity holdings, but the diminished risk that may accompany this investment approach also may result in lower returns.
These factors can affect each Fund’s performance.
14. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of capital stock were as follows:
Emerging Markets Currency Fund | | Six Months Ended June 30, 2013 (unaudited) | | | Year Ended December 31, 2012 | |
Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 2,432,283 | | | $ | 16,149,875 | | | | 3,757,643 | | | $ | 24,345,954 | |
Converted from Class B* | | | 17,635 | | | | 115,782 | | | | 24,737 | | | | 159,490 | |
Reinvestment of distributions | | | 135,625 | | | | 887,577 | | | | 289,200 | | | | 1,872,926 | |
Shares reacquired | | | (2,706,071 | ) | | | (17,759,746 | ) | | | (5,926,704 | ) | | | (38,303,761 | ) |
Decrease | | | (120,528 | ) | | $ | (606,512 | ) | | | (1,855,124 | ) | | $ | (11,925,391 | ) |
| | | | | | | | | | | | | | | | |
Class B Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,467 | | | $ | 9,819 | | | | 10,818 | | | $ | 68,868 | |
Reinvestment of distributions | | | 1,366 | | | | 8,995 | | | | 3,704 | | | | 24,089 | |
Shares reacquired | | | (25,435 | ) | | | (168,039 | ) | | | (77,789 | ) | | | (499,593 | ) |
Converted to Class A* | | | (17,555 | ) | | | (115,782 | ) | | | (24,626 | ) | | | (159,490 | ) |
Decrease | | | (40,157 | ) | | $ | (265,007 | ) | | | (87,893 | ) | | $ | (566,126 | ) |
| | | | | | | | | | | | | | | | |
Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 440,684 | | | $ | 2,941,324 | | | | 785,246 | | | $ | 5,102,670 | |
Reinvestment of distributions | | | 25,822 | | | | 170,042 | | | | 62,054 | | | | 404,207 | |
Shares reacquired | | | (780,842 | ) | | | (5,164,256 | ) | | | (2,474,000 | ) | | | (16,060,369 | ) |
Decrease | | | (314,336 | ) | | $ | (2,052,890 | ) | | | (1,626,700 | ) | | $ | (10,553,492 | ) |
| | | | | | | | | | | | | | | | |
Class F Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 3,456,144 | | | $ | 22,793,872 | | | | 4,840,724 | | | $ | 31,183,175 | |
Reinvestment of distributions | | | 90,458 | | | | 591,720 | | | | 219,054 | | | | 1,417,322 | |
Shares reacquired | | | (4,684,009 | ) | | | (30,693,388 | ) | | | (6,740,611 | ) | | | (43,176,965 | ) |
Decrease | | | (1,137,407 | ) | | $ | (7,307,796 | ) | | | (1,680,833 | ) | | $ | (10,576,468 | ) |
| | | | | | | | | | | | | | | | |
Class I Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 7,307,747 | | | $ | 48,138,070 | | | | 23,966,025 | | | $ | 155,303,285 | |
Reinvestment of distributions | | | 590,673 | | | | 3,855,424 | | | | 994,229 | | | | 6,428,608 | |
Shares reacquired | | | (6,810,282 | ) | | | (44,597,342 | ) | | | (3,315,979 | ) | | | (21,233,561 | ) |
Increase | | | 1,088,138 | | | $ | 7,396,152 | | | | 21,644,275 | | | $ | 140,498,332 | |
63
Notes to Financial Statements (unaudited)(continued)
Emerging Markets Currency Fund | | Six Months Ended June 30, 2013 (unaudited) | | | Year Ended December 31, 2012 | |
Class P Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Reinvestment of distributions | | | 19 | | | $ | 120 | | | | 35 | | | $ | 233 | |
Shares reacquired | | | (1 | ) | | | (6 | ) | | | — | (a) | | | (3 | ) |
Increase | | | 18 | | | $ | 114 | | | | 35 | | | $ | 230 | |
| | | | | | | | | | | | | | | | |
Class R2 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 7,782 | | | $ | 51,348 | | | | 51,280 | | | $ | 325,886 | |
Reinvestment of distributions | | | 13 | | | | 89 | | | | 32 | | | | 206 | |
Shares reacquired | | | (15,726 | ) | | | (104,770 | ) | | | (41,598 | ) | | | (271,613 | ) |
Increase (decrease) | | | (7,931 | ) | | $ | (53,333 | ) | | | 9,714 | | | $ | 54,479 | |
| | | | | | | | | | | | | | | | |
Class R3 | | | | | | | | | | | | | | | | |
Shares sold | | | 29,918 | | | $ | 197,492 | | | | 62,494 | | | $ | 404,137 | |
Reinvestment of distributions | | | 899 | | | | 5,874 | | | | 1,771 | | | | 11,450 | |
Shares reacquired | | | (48,170 | ) | | | (318,853 | ) | | | (38,015 | ) | | | (246,426 | ) |
Increase (decrease) | | | (17,353 | ) | | $ | (115,487 | ) | | | 26,250 | | | $ | 169,161 | |
* | Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. |
(a) | Value is less than 1 share. |
Global Allocation Fund | | | Six Months Ended June 30, 2013 (unaudited) | | | Year Ended December 31, 2012 | |
Class A Shares | | | Shares | | | | Amount | | | | Shares | | | | Amount | |
Shares sold | | | 1,294,436 | | | $ | 15,488,544 | | | | 1,552,196 | | | $ | 17,000,236 | |
Converted from Class B* | | | 42,184 | | | | 505,609 | | | | 93,200 | | | | 1,029,990 | |
Reinvestment of distributions | | | 152,967 | | | | 1,791,816 | | | | 345,422 | | | | 3,800,383 | |
Shares reacquired | | | (955,811 | ) | | | (11,443,968 | ) | | | (2,800,046 | ) | | | (30,588,025 | ) |
Increase (decrease) | | | 533,776 | | | $ | 6,342,001 | | | | (809,228 | ) | | $ | (8,757,416 | ) |
| | | | | | | | | | | | | | | | |
Class B Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 18,803 | | | $ | 206,561 | | | | 40,503 | | | $ | 411,873 | |
Reinvestment of distributions | | | 7,585 | | | | 81,647 | | | | 21,945 | | | | 222,539 | |
Shares reacquired | | | (46,139 | ) | | | (510,307 | ) | | | (172,488 | ) | | | (1,738,387 | ) |
Converted to Class A* | | | (45,828 | ) | | | (505,609 | ) | | | (101,001 | ) | | | (1,029,990 | ) |
Decrease | | | (65,579 | ) | | $ | (727,708 | ) | | | (211,041 | ) | | $ | (2,133,965 | ) |
| | | | | | | | | | | | | | | | |
Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 468,463 | | | $ | 5,170,589 | | | | 800,084 | | | $ | 8,165,734 | |
Reinvestment of distributions | | | 33,802 | | | | 364,242 | | | | 80,450 | | | | 818,422 | |
Shares reacquired | | | (549,536 | ) | | | (6,035,605 | ) | | | (814,477 | ) | | | (8,174,226 | ) |
Increase (decrease) | | | (47,271 | ) | | $ | (500,774 | ) | | | 66,057 | | | $ | 809,930 | |
| | | | | | | | | | | | | | | | |
Class F Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 100,398 | | | $ | 1,198,814 | | | | 73,178 | | | $ | 805,841 | |
Reinvestment of distributions | | | 2,878 | | | | 33,717 | | | | 6,196 | | | | 68,285 | |
Shares reacquired | | | (45,694 | ) | | | (543,050 | ) | | | (174,083 | ) | | | (1,860,127 | ) |
Increase (decrease) | | | 57,582 | | | $ | 689,481 | | | | (94,709 | ) | | $ | (986,001 | ) |
64
Notes to Financial Statements (unaudited)(concluded)
Global Allocation Fund | | | Six Months Ended June 30, 2013 (unaudited) | | | | Year Ended December 31, 2012 | |
Class I Shares | | | Shares | | | | Amount | | | | Shares | | | | Amount | |
Shares sold | | | 5,571 | | | $ | 67,048 | | | | 575,905 | | | $ | 6,222,060 | |
Reinvestment of distributions | | | 28,201 | | | | 332,274 | | | | 55,529 | | | | 616,411 | |
Shares reacquired | | | (16,924 | ) | | | (201,045 | ) | | | (53,055 | ) | | | (584,559 | ) |
Increase | | | 16,848 | | | $ | 198,277 | | | | 578,379 | | | $ | 6,253,912 | |
| | | | | | | | | | | | | | | | |
Class R2 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 996 | | | $ | 11,905 | | | | 1,137 | | | $ | 12,711 | |
Reinvestment of distributions | | | 119 | | | | 1,408 | | | | 289 | | | | 3,236 | |
Shares reacquired | | | (1,310 | ) | | | (15,934 | ) | | | (705 | ) | | | (7,402 | ) |
Increase (decrease) | | | (195 | ) | | $ | (2,621 | ) | | | 721 | | | $ | 8,545 | |
| | | | | | | | | | | | | | | | |
Class R3 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 86,532 | | | $ | 1,039,775 | | | | 184,157 | | | $ | 2,009,518 | |
Reinvestment of distributions | | | 6,518 | | | | 76,661 | | | | 13,808 | | | | 152,882 | |
Shares reacquired | | | (88,131 | ) | | | (1,054,605 | ) | | | (61,723 | ) | | | (674,244 | ) |
Increase | | | 4,919 | | | $ | 61,831 | | | | 136,242 | | | $ | 1,488,156 | |
* | Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. |
65
Investments in Underlying Funds (unaudited)
Global Allocation Fund invests in Underlying Funds managed by Lord Abbett. As of June 30, 2013, Global Allocation Fund’s long-term investments were allocated among the Underlying Funds as follows:
Underlying Fund Name | | % of Investments |
Lord Abbett Equity Trust - Calibrated Large Cap Value Fund - Class I | | | .56 | % |
Lord Abbett Equity Trust - Calibrated Mid Cap Value Fund - Class I | | | 7.72 | % |
Lord Abbett Global Fund, Inc. - Emerging Markets Currency Fund - Class I | | | 18.80 | % |
Lord Abbett Investment Trust - High Yield Fund - Class I | | | 11.74 | % |
Lord Abbett Securities Trust - International Dividend Income Fund - Class I | | | 38.65 | % |
Lord Abbett Mid Cap Stock Fund, Inc. - Class I | | | 20.18 | % |
Lord Abbett Investment Trust - Short Duration Income Fund - Class I | | | 2.35 | % |
The Ten Largest Holdings and the Holdings by Sector, as of June 30, 2013, for each Underlying Fund are presented below. Each Underlying Fund’s annual and semiannual reports, which are sent to shareholders and filed with the SEC, contain information about the Underlying Fund’s portfolio holdings, including a complete schedule of holdings. A complete schedule of holdings for each Underlying Fund is also filed with the SEC on Form N-Q as of the end of each respective Underlying Fund’s first and third quarters. In addition, on or about the first day of the second month following each calendar quarter-end, each Fund makes publicly available a complete schedule of its portfolio holdings as of the last day of each such quarter. The information for the most recently ended calendar quarter may be viewed at www.lordabbett.com or requested at no charge by calling Lord Abbett at 888-522-2388.
Lord Abbett Equity Trust — Calibrated Large Cap Value Fund
Ten Largest Holdings | | % of Investments |
JPMorgan Chase & Co. | | | 4.41 | % |
Exxon Mobil Corp. | | | 3.44 | % |
Pfizer, Inc. | | | 3.13 | % |
Chevron Corp. | | | 2.91 | % |
Cisco Systems, Inc. | | | 2.78 | % |
Citigroup, Inc. | | | 2.32 | % |
SunTrust Banks, Inc. | | | 2.22 | % |
Cardinal Health, Inc. | | | 2.14 | % |
ACE Ltd. | | | 2.02 | % |
Ford Motor Co. | | | 2.00 | % |
66
Investments in Underlying Funds (unaudited)(continued)
Holdings by Sector* | | % of Investments |
Consumer Discretionary | | | 6.54 | % |
Consumer Staples | | | 6.22 | % |
Energy | | | 15.01 | % |
Financials | | | 29.66 | % |
Health Care | | | 12.43 | % |
Industrials | | | 9.41 | % |
Information Technology | | | 8.48 | % |
Materials | | | 3.01 | % |
Telecommunication Services | | | 2.45 | % |
Utilities | | | 5.97 | % |
Short-Term Investment | | | 0.82 | % |
Total | | | 100.00 | % |
* | A sector may comprise several industries. |
Lord Abbett Equity Trust — Calibrated Mid Cap Value Fund
Ten Largest Holdings | | % of Investments |
AES Corp. (The) | | | 2.31 | % |
SunTrust Banks, Inc. | | | 2.30 | % |
Everest Re Group Ltd. | | | 2.24 | % |
Great Plains Energy, Inc. | | | 2.03 | % |
Cardinal Health, Inc. | | | 2.02 | % |
CIT Group, Inc. | | | 1.96 | % |
Hartford Financial Services Group, Inc. | | | 1.95 | % |
Paychex, Inc. | | | 1.93 | % |
PPL Corp. | | | 1.91 | % |
Allegheny Technologies, Inc. | | | 1.87 | % |
| | | | |
Holdings by Sector* | | % of Investments |
Consumer Discretionary | | | 8.23 | % |
Consumer Staples | | | 3.51 | % |
Energy | | | 7.37 | % |
Financials | | | 33.17 | % |
Health Care | | | 7.87 | % |
Industrials | | | 10.45 | % |
Information Technology | | | 10.41 | % |
Materials | | | 5.52 | % |
Telecommunication Services | | | 0.42 | % |
Utilities | | | 12.12 | % |
Short-Term Investment | | | 0.93 | % |
Total | | | 100.00 | % |
* | A sector may comprise several industries. |
67
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Global Fund, Inc. — Emerging Markets Currency Fund
Ten Largest Holdings | | % of Investments |
Turkey Government Bond, Zero Coupon, 9/11/2013 | | | 4.48 | % |
Hungary Treasury Bill, Zero Coupon, 7/24/2013 | | | 3.35 | % |
Turkey Government Bond, 10.00%, 12/4/2013 | | | 2.13 | % |
Federal National Mortgage Assoc., 4.50%, 11/1/2018 | | | 1.38 | % |
Nigeria Treasury Bill, Zero Coupon, 11/21/2013 | | | 1.14 | % |
Morgan Stanley, 4.75%, 4/1/2014 | | | 0.90 | % |
Anadarko Petroleum Corp., 7.625%, 3/15/2014 | | | 0.89 | % |
Anglo American Capital plc (United Kingdom), 9.375%, 4/8/2014 | | | 0.86 | % |
Wm. Wrigley Jr. Co., 3.70%, 6/30/2014 | | | 0.81 | % |
Canadian Oil Sands Ltd. (Canada), 5.80%, 8/15/2013 | | | 0.76 | % |
| | | | |
Holdings by Sector* | | % of Investments |
Asset-Backed | | | 10.78 | % |
Automotive | | | 0.95 | % |
Banking | | | 4.39 | % |
Basic Industry | | | 3.40 | % |
Capital Goods | | | 0.92 | % |
Consumer Cyclical | | | 1.96 | % |
Consumer Non-Cyclical | | | 1.40 | % |
Energy | | | 7.93 | % |
Financial Services | | | 0.84 | % |
Foreign Government | | | 11.18 | % |
Health Care | | | 2.52 | % |
Insurance | | | 0.97 | % |
Integrated Oils | | | 0.38 | % |
Media | | | 2.40 | % |
Mortgage-Backed | | | 40.70 | % |
Real Estate | | | 1.94 | % |
Services | | | 1.75 | % |
Supranational | | | 0.25 | % |
Technology & Electronics | | | 1.54 | % |
Telecommunications | | | 2.14 | % |
Utility | | | 1.66 | % |
Total | | | 100.00 | % |
* | A sector may comprise several industries. |
68
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust — High Yield Fund
Ten Largest Holdings | | % of Investments |
Alliance Data Systems Corp., 6.375%, 4/1/2020 | | | 0.90 | % |
First Data Corp.,12.625%, 1/15/2021 | | | 0.89 | % |
LBG Capital No.1 plc, 8.00% | | | 0.77 | % |
AMC Networks, Inc., 7.75%, 7/15/2021 | | | 0.75 | % |
Sprint Nextel Corp., 7.00%, 8/15/2020 | | | 0.73 | % |
Delphi Corp., 5.00%, 2/15/2023 | | | 0.69 | % |
Red de Carreteras de Occidente S.A.P.I.B. de CV, 9.00%, 6/10/2028 | | | 0.67 | % |
Sprint Nextel Corp., 9.00%, 11/15/2018 | | | 0.57 | % |
ROC Finance LLC/ROC Finance 1 Corp., 12.125%, 9/1/2018 | | | 0.55 | % |
Intelsat Luxembourg SA, 7.75%, 6/1/2021 | | | 0.53 | % |
| | | | |
Holdings by Sector* | | % of Investments |
Automotive | | | 2.51 | % |
Banking | | | 2.24 | % |
Basic Industry | | | 9.16 | % |
Capital Goods | | | 5.80 | % |
Consumer Cyclical | | | 7.25 | % |
Consumer Non-Cyclical | | | 5.22 | % |
Energy | | | 13.86 | % |
Financial Services | | | 3.61 | % |
Healthcare | | | 5.38 | % |
Insurance | | | 0.86 | % |
Media | | | 8.41 | % |
Real Estate | | | 0.35 | % |
Services | | | 15.04 | % |
Technology & Electronics | | | 6.08 | % |
Telecommunications | | | 8.20 | % |
Utility | | | 6.03 | % |
Total | | | 100.00 | % |
* | A sector may comprise several industries. |
69
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Securities Trust — International Dividend Income Fund
Ten Largest Holdings | | % of Investments |
National Australia Bank Ltd. | | | 2.04 | % |
Toyota Motor Corp. | | | 1.72 | % |
KDDI Corp. | | | 1.70 | % |
Nissan Motor Co., Ltd. | | | 1.69 | % |
Roche Holding AG | | | 1.67 | % |
EDP—Energias de Portugal SA | | | 1.65 | % |
AXA SA | | | 1.61 | % |
Sumitomo Corp. | | | 1.59 | % |
Total SA ADR | | | 1.57 | % |
Bezeq The Israeli Telecommunication Corp., Ltd. | | | 1.57 | % |
| | | | |
Holdings by Sector* | | % of Investments |
Consumer Discretionary | | | 11.37 | % |
Consumer Staples | | | 9.25 | % |
Energy | | | 9.04 | % |
Financials | | | 21.39 | % |
Health Care | | | 5.73 | % |
Industrials | | | 9.61 | % |
Information Technology | | | 3.75 | % |
Materials | | | 3.94 | % |
Telecommunication Services | | | 12.38 | % |
Utilities | | | 10.38 | % |
Short-Term Investment | | | 3.16 | % |
Total | | | 100.00 | % |
* | A sector may comprise several industries. |
Lord Abbett Mid Cap Stock Fund, Inc.
Ten Largest Holdings | | % of Investments |
Hartford Financial Services Group, Inc. | | | 2.10 | % |
CIGNA Corp. | | | 1.80 | % |
SunTrust Banks, Inc. | | | 1.73 | % |
CIT Group, Inc. | | | 1.72 | % |
Jones Lang LaSalle, Inc. | | | 1.61 | % |
Interpublic Group of Cos., Inc. (The) | | | 1.59 | % |
XL Group plc (Ireland) | | | 1.56 | % |
Fidelity National Information Services, Inc. | | | 1.55 | % |
Actavis, Inc. | | | 1.52 | % |
Macy’s, Inc. | | | 1.52 | % |
70
Investments in Underlying Funds (unaudited)(continued)
Holdings by Sector* | | % of Investments |
Consumer Discretionary | | | 8.80 | % |
Consumer Staples | | | 3.54 | % |
Energy | | | 7.65 | % |
Financials | | | 31.02 | % |
Health Care | | | 11.48 | % |
Industrials | | | 12.74 | % |
Information Technology | | | 10.73 | % |
Materials | | | 6.61 | % |
Utilities | | | 6.31 | % |
Short-Term Investment | | | 1.12 | % |
Total | | | 100.00 | % |
* | A sector may comprise several industries. |
Lord Abbett Investment Trust — Short Duration Income Fund
Ten Largest Holdings | | % of Investments |
U.S. Treasury Note, 0.375%, 3/15/2015 | | | 2.34 | % |
QVC, Inc., 7.50%, 10/1/2019 | | | 0.56 | % |
Fidelity National Information Services, Inc., 7.875%, 7/15/2020 | | | 0.55 | % |
Mylan, Inc., 6.00%, 11/15/2018 | | | 0.52 | % |
Citigroup, Inc., 5.00%, 9/15/2014 | | | 0.51 | % |
Host Hotels & Resorts LP, 6.00%, 11/1/2020 | | | 0.51 | % |
Commercial Mortgage Pass-Through Certificates 2013-CR6 A2 | | | 0.50 | % |
Banc of America Large Loan, Inc. 2010-HLTN, 2.491%, 11/15/2015 | | | 0.49 | % |
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-5 AM, 5.419%, 8/12/2048 | | | 0.49 | % |
JPMorgan Chase Bank NA, 6.00%, 10/1/2017 | | | 0.49 | % |
71
Investments in Underlying Funds (unaudited)(concluded)
Holdings by Sector* | | % of Investments |
Auto | | | 0.63 | % |
Basic Industry | | | 1.09 | % |
Capital Goods | | | 0.14 | % |
Consumer Cyclicals | | | 3.36 | % |
Consumer Discretionary | | | 2.16 | % |
Consumer Non-Cyclical | | | 0.19 | % |
Consumer Services | | | 1.43 | % |
Consumer Staples | | | 0.96 | % |
Energy | | | 6.18 | % |
Financial Services | | | 53.88 | % |
Foreign Government | | | 0.74 | % |
Health Care | | | 2.60 | % |
Integrated Oils | | | 2.99 | % |
Materials and Processing | | | 3.95 | % |
Municipal | | | 0.12 | % |
Producer Durables | | | 0.67 | % |
Technology | | | 1.71 | % |
Telecommunications | | | 1.96 | % |
Transportation | | | 0.98 | % |
U.S. Government | | | 10.50 | % |
Utilities | | | 1.80 | % |
Short-Term Investment | | | 1.96 | % |
Total | | | 100.00 | % |
* | A sector may comprise several industries. |
72
Householding
The Company has adopted a policy that allows it to send only one copy of each 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 each Fund’s portfolio securities, and information on how Lord Abbett voted each 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 Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).
73
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 Global Fund, Inc. | | |
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC. | | Lord Abbett Emerging Markets Currency Fund Lord Abbett Global Allocation Fund | | LAGF-3-0613 (08/13) |
2 0 1 3
L O R D A B B E T T
S E M I A N N U A L
R E P O R T
Lord Abbett
Emerging Markets Local Bond Fund
For the period ended June 30, 2013
Table of Contents
Lord Abbett Emerging Markets Local Bond Fund
Semiannual Report
For the period ended June 30, 2013
Dear Shareholders: We are pleased to provide you with this semiannual report for Lord Abbett Emerging Markets Local Bond Fund for the period ended June 30, 2013. For additional information about the Fund, please visit our Website at www.lordabbett.com, where you can access the quarterly commentaries by the Fund’s portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our Website.
Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.
Best regards,
Daria L. Foster
Director, President and Chief Executive Officer
1
Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 21, 2013, commencement of operations, through June 30, 2013).
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 6/21/13 – 6/30/13” 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† | |
| | 6/21/13 | | 6/30/13 | | 6/21/13 - 6/30/13 | |
Class A* | | | | | | | | | | | | | | | | |
Actual | | | $ | 1,000.00 | | | | $ | 1,008.70 | | | | $ | 0.00 | | |
Hypothetical (5% Return Before Expenses) | | | $ | 1,000.00 | | | | $ | 1,001.37 | | | | $ | 0.00 | | |
Class C* | | | | | | | | | | | | | | | | |
Actual | | | $ | 1,000.00 | | | | $ | 1,008.70 | | | | $ | 0.00 | | |
Hypothetical (5% Return Before Expenses) | | | $ | 1,000.00 | | | | $ | 1,001.37 | | | | $ | 0.00 | | |
Class F* | | | | | | | | | | | | | | | | |
Actual | | | $ | 1,000.00 | | | | $ | 1,008.70 | | | | $ | 0.00 | | |
Hypothetical (5% Return Before Expenses) | | | $ | 1,000.00 | | | | $ | 1,001.37 | | | | $ | 0.00 | | |
Class I* | | | | | | | | | | | | | | | | |
Actual | | | $ | 1,000.00 | | | | $ | 1,008.70 | | | | $ | 0.00 | | |
Hypothetical (5% Return Before Expenses) | | | $ | 1,000.00 | | | | $ | 1,001.37 | | | | $ | 0.00 | | |
Class R2* | | | | | | | | | | | | | | | | |
Actual | | | $ | 1,000.00 | | | | $ | 1,008.70 | | | | $ | 0.00 | | |
Hypothetical (5% Return Before Expenses) | | | $ | 1,000.00 | | | | $ | 1,001.37 | | | | $ | 0.00 | | |
Class R3* | | | | | | | | | | | | | | | | |
Actual | | | $ | 1,000.00 | | | | $ | 1,008.70 | | | | $ | 0.00 | | |
Hypothetical (5% Return Before Expenses) | | | $ | 1,000.00 | | | | $ | 1,001.37 | | | | $ | 0.00 | | |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.00% for Class A, 0.00% for Class C, 0.00% for Class F, 0.00% for Class I, 0.00% for Class R2 and 0.00% for Class R3) multiplied by the average account value over the period, multiplied by 10/365 (to reflect the period June 21, 2013, commencement of investment operations, to June 30, 2013). |
* | The annualized expenses of each class have been restated (1.05% for Class A, 1.85% for Class C, 0.95% for Class F, 0.85% for Class I, 1.45% for Class R2 and 1.35% for Class R3). Had these restated expenses been in place throughout the most recent period, expenses paid during the period would have been: |
| | Actual | | Hypothetical (5% Return Before Expenses) | |
Class A | | | $ | 0.29 | | | | $ | 0.29 | | |
Class C | | | $ | 0.51 | | | | $ | 0.51 | | |
Class F | | | $ | 0.26 | | | | $ | 0.26 | | |
Class I | | | $ | 0.23 | | | | $ | 0.23 | | |
Class R2 | | | $ | 0.40 | | | | $ | 0.40 | | |
Class R3 | | | $ | 0.37 | | | | $ | 0.37 | | |
Portfolio Holdings Presented by Sector
June 30, 2013
Sector* | | | %** | |
Consumer Services | | | 2.31% | |
Financial Services | | | 13.06% | |
Foreign Government | | | 79.06% | |
Telecommunications | | | 2.31% | |
Transportation | | | 2.14% | |
Utilities | | | 1.12% | |
Total | | | 100.00% | |
* | A sector may comprise several industries. |
** | Represents percent of total investments. |
3
Schedule of Investments (unaudited)
June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | U.S. $ Fair Value | |
| | | | | | | | | | | |
FOREIGN BONDS(a) 35.34% | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Brazil 8.74% | | | | | | | | | | | | | |
Banco do Brasil SA† | | 9.75% | | 7/18/2017 | | BRL | | 155 | | | $ | 69,812 | |
Brazil Letras do Tesouro Nacional | | Zero Coupon | | 1/1/2016 | | BRL | | 575 | | | | 200,177 | |
Brazil Notas do Tesouro Nacional Series F | | 10.00% | | 1/1/2021 | | BRL | | 230 | | | | 98,533 | |
Itau Unibanco Holding SA† | | 10.50% | | 11/23/2015 | | BRL | | 160 | | | | 72,243 | |
| | | | | | | | | | | | | |
Total | | | | | | | | | | | | 440,765 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Colombia 3.74% | | | | | | | | | | | | | |
Colombian TES Series B | | 11.00% | | 7/24/2020 | | COP | | 295,000 | | | | 188,757 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Luxembourg 1.98% | | | | | | | | | | | | | |
Russian Agricultural Bank OJSC Via | | | | | | | | | | | | | |
RSHB Capital SA† | | 8.625% | | 2/17/2017 | | RUB | | 3,300 | | | | 99,785 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Malaysia 4.51% | | | | | | | | | | | | | |
Bank Negara Malaysia Monetary Notes | | Zero Coupon | | 1/9/2014 | | MYR | | 731 | | | | 227,707 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Mexico 10.42% | | | | | | | | | | | | | |
America Movil SAB de CV | | 9.00% | | 1/15/2016 | | MXN | | 1,300 | | | | 108,676 | |
Grupo Televisa SAB† | | 8.49% | | 5/11/2037 | | MXN | | 1,400 | | | | 108,689 | |
Mexican Bonos | | 5.00% | | 6/15/2017 | | MXN | | 1,000 | | | | 77,476 | |
Mexican Bonos | | 6.25% | | 6/16/2016 | | MXN | | 950 | | | | 77,057 | |
Mexican Bonos | | 7.75% | | 5/29/2031 | | MXN | | 600 | | | | 51,406 | |
Petroleos Mexicanos† | | 7.65% | | 11/24/2021 | | MXN | | 1,250 | | | | 102,537 | |
| | | | | | | | | | | | | |
Total | | | | | | | | | | | | 525,841 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
South Africa 3.05% | | | | | | | | | | | | | |
Eskom Holdings SOC Ltd. | | Zero Coupon | | 12/31/2018 | | ZAR | | 800 | | | | 52,605 | |
Transnet SOC Ltd. | | 8.90% | | 11/14/2027 | | ZAR | | 1,000 | | | | 101,021 | |
| | | | | | | | | | | | | |
Total | | | | | | | | | | | | 153,626 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Turkey 2.90% | | | | | | | | | | | | | |
Akbank TAS† | | 7.50% | | 2/5/2018 | | TRY | | 305 | | | | 145,993 | |
| | | | | | | | | | | | | |
Total Foreign Bonds (cost $1,757,888) | | | | | | | | | | | | 1,782,474 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
FOREIGN GOVERNMENT OBLIGATIONS(a) 58.07% | | | | | | | | | | | |
| | | | | | | | | | | | | |
Colombia 1.20% | | | | | | | | | | | | | |
Republic of Colombia | | 12.00% | | 10/22/2015 | | COP | | 101,000 | | | | 60,560 | |
| | | | | | | | | | | | | |
4 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | U.S. $ Fair Value | |
| | | | | | | | | | | |
Hungary 4.26% | | | | | | | | | | | | | |
Hungary Government Bond | | 6.75% | | 11/24/2017 | | HUF | | 25,730 | | | $ | 119,860 | |
Hungary Government Bond | | 7.75% | | 8/24/2015 | | HUF | | 20,220 | | | | 94,891 | |
| | | | | | | | | | | | | |
Total | | | | | | | | | | | | 214,751 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Indonesia 4.17% | | | | | | | | | | | | | |
Indonesia Treasury Bond | | 7.00% | | 5/15/2022 | | IDR | | 397,000 | | | | 39,643 | |
Indonesia Treasury Bond | | 10.00% | | 2/15/2028 | | IDR | | 1,410,000 | | | | 170,478 | |
| | | | | | | | | | | | | |
Total | | | | | | | | | | | | 210,121 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Malaysia 3.94% | | | | | | | | | | | | | |
Malaysia Government Bond | | 4.012% | | 9/15/2017 | | MYR | | 306 | | | | 98,844 | |
Malaysia Government Bond | | 4.378% | | 11/29/2019 | | MYR | | 302 | | | | 100,029 | |
| | | | | | | | | | | | | |
Total | | | | | | | | | | | | 198,873 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Nigeria 3.96% | | | | | | | | | | | | | |
Nigeria Treasury Bill | | Zero Coupon | | 5/22/2014 | | NGN | | 36,550 | | | | 199,630 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Peru 0.95% | | | | | | | | | | | | | |
Peru Government Bond | | 6.85% | | 2/12/2042 | | PEN | | 132 | | | | 48,160 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Philippines 2.35% | | | | | | | | | | | | | |
Republic of Philippines | | 4.95% | | 1/15/2021 | | PHP | | 5,000 | | | | 118,698 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Poland 4.05% | | | | | | | | | | | | | |
Poland Government Bond | | 3.75% | | 4/25/2018 | | PLN | | 350 | | | | 105,573 | |
Poland Government Bond | | 5.50% | | 4/25/2015 | | PLN | | 315 | | | | 98,895 | |
| | | | | | | | | | | | | |
Total | | | | | | | | | | | | 204,468 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Romania 2.74% | | | | | | | | | | | | | |
Romania Government Bond | | 5.90% | | 7/26/2017 | | RON | | 470 | | | | 138,286 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Russia 9.80% | | | | | | | | | | | | | |
Russian Federal Bond - OFZ | | 7.60% | | 4/14/2021 | | RUB | | 7,240 | | | | 224,877 | |
Russian Federal Bond - OFZ | | 8.10% | | 11/26/2014 | | RUB | | 5,530 | | | | 173,085 | |
Russian Federal Bond - OFZ | | 8.15% | | 2/3/2027 | | RUB | | 3,070 | | | | 96,194 | |
| | | | | | | | | | | | | |
Total | | | | | | | | | | | | 494,156 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
South Africa 6.83% | | | | | | | | | | | | | |
Republic of South Africa | | 7.25% | | 1/15/2020 | | ZAR | | 1,457 | | | | 146,750 | |
Republic of South Africa | | 13.50% | | 9/15/2015 | | ZAR | | 1,700 | | | | 197,800 | |
| | | | | | | | | | | | | |
Total | | | | | | | | | | | | 344,550 | |
| | | | | | | | | | | | | |
| See Notes to Financial Statements. | 5 |
Schedule of Investments (unaudited)(continued)
June 30, 2013
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | U.S. $ Fair Value | |
| | | | | | | | | | | |
Thailand 6.98% | | | | | | | | | | | | | |
Thailand Government Bond | | 3.875% | | 6/13/2019 | | THB | | 3,050 | | | $ | 100,406 | |
Thailand Government Bond | | 3.65% | | 12/17/2021 | | THB | | 3,125 | | | | 100,549 | |
Thailand Government Bond | | 3.625% | | 6/16/2023 | | THB | | 4,740 | | | | 151,089 | |
| | | | | | | | | | | | | |
Total | | | | | | | | | | | | 352,044 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Turkey 6.84% | | | | | | | | | | | | | |
Turkey Government Bond | | 6.30% | | 2/14/2018 | | TRY | | 305 | | | | 148,055 | |
Turkey Government Bond | | 9.00% | | 1/27/2016 | | TRY | | 370 | | | | 197,114 | |
| | | | | | | | | | | | | |
Total | | | | | | | | | | | | 345,169 | |
| | | | | | | | | | | | | |
Total Foreign Government Obligations (cost $2,919,995) | | | | | | | | | | | | 2,929,466 | |
| | | | | | | | | | | | | |
Total Investments in Securities 93.41% (cost $4,677,883) | | | | | | | | | | | | 4,711,940 | |
| | | | | | | | | | | | | |
Cash and Other Assets in Excess of Liabilities(b) 6.59% | | | | | | | | 332,683 | |
| | | | | | | | | | | | | |
Net Assets 100.00% | | | | | | | | | | | $ | 5,044,623 | |
| | | | | | | | | | | | | |
BRL | | Brazilian real. |
COP | | Colombian peso. |
HUF | | Hungarian forint. |
IDR | | Indonesian rupiah. |
MXN | | Mexican peso. |
MYR | | Malaysian ringgit. |
NGN | | Nigerian naira. |
PEN | | Peruvian Nuevo Sol. |
PHP | | Philippine Peso. |
PLN | | Polish zloty. |
RON | | Romanian new leu. |
RUB | | Russian Ruble. |
THB | | Thai baht. |
TRY | | Turkish lira. |
ZAR | | South African Rand. |
† | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. |
(a) | | Investment in non-U.S. dollar denominated securities. |
(b) | | Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts as follows: |
6 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
June 30, 2013
Open Forward Foreign Currency Exchange Contracts at June 30, 2013:
Forward Foreign Currency Exchange Contracts | | Transaction Type | | Counterparty | | Expiration Date | | Foreign Currency | | | U.S. $ Cost on Origination Date | | | U.S. $ Current Value | | | Unrealized Appreciation | |
Indonesian rupiah | | Buy | | Deutsche Bank | | 9/30/2013 | | | 2,369,025,000 | | | $ | 225,000 | | | $ | 229,084 | | | $ | 4,084 | |
Polish zloty | | Buy | | Deutsche Bank | | 10/2/2013 | | | 483,000 | | | | 144,160 | | | | 144,550 | | | | 390 | |
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | | | | $ | 4,474 | |
Forward Foreign Currency Exchange Contracts | | Transaction Type | | Counterparty | | Expiration Date | | Foreign Currency | | | U.S. $ Cost on Origination Date | | | U.S. $ Current Value | | | Unrealized Depreciation | |
Brazilian real | | Buy | | Deutsche Bank | | 10/2/2013 | | | 112,000 | | | $ | 49,645 | | | $ | 49,263 | | | $ | (382 | ) |
The following is a summary of the inputs used as of June 30, 2013 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Foreign Bonds | | $ | — | | | $ | 1,782,474 | | | $ | — | | | $ | 1,782,474 | |
Foreign Government Obligations | | | — | | | | 2,929,466 | | | | — | | | | 2,929,466 | |
Total | | $ | — | | | $ | 4,711,940 | | | $ | — | | | $ | 4,711,940 | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
Assets | | $ | — | | | $ | 4,474 | | | $ | — | | | $ | 4,474 | |
Liabilities | | | — | | | | (382 | ) | | | — | | | | (382 | ) |
Total | | $ | — | | | $ | 4,092 | | | $ | — | | | $ | 4,092 | |
(1) | Refer to note 2(n) for a description of fair value measurements and the three-tier hierarchy of inputs. |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
(3) | There were no level transfers during the period ended June 30, 2013. |
| See Notes to Financial Statements. | 7 |
Statement of Assets and Liabilities (unaudited)
June 30, 2013
ASSETS: | | | |
Investments in securities, at fair value (cost $4,677,883) | | $ | 4,711,940 | |
Cash | | | 4,092,785 | |
Receivables: | | | | |
Interest and dividends | | | 106,060 | |
From advisor (See Note 3) | | | 6,265 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 4,474 | |
Prepaid expenses | | | 105,334 | |
Total assets | | | 9,026,858 | |
LIABILITIES: | | | | |
Payables: | | | | |
Investment securities purchased | | | 3,953,225 | |
Offering costs | | | 22,800 | |
Management fee | | | 674 | |
12b-1 distribution fees | | | 131 | |
Fund administration | | | 38 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 382 | |
Accrued expenses and other liabilities | | | 4,985 | |
Total liabilities | | | 3,982,235 | |
NET ASSETS | | $ | 5,044,623 | |
COMPOSITION OF NET ASSETS: | | | | |
Paid-in capital | | $ | 5,000,653 | |
Distributions in excess of net investment income | | | (147 | ) |
Accumulated net realized gain on foreign currency related transactions | | | 2,902 | |
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | | | 41,215 | |
Net Assets | | $ | 5,044,623 | |
8 | See Notes to Financial Statements. |
Statement of Assets and Liabilities (unaudited)(concluded)
June 30, 2013
Net assets by class: | | | | |
Class A Shares | | $ | 2,320,543 | |
Class C Shares | | $ | 100,892 | |
Class F Shares | | $ | 100,892 | |
Class I Shares | | $ | 2,320,512 | |
Class R2 Shares | | $ | 100,892 | |
Class R3 Shares | | $ | 100,892 | |
Outstanding shares by class: | | | | |
Class A Shares (350 million shares of common stock authorized, $.001 par value) | | | 153,353 | |
Class C Shares (85 million shares of common stock authorized, $.001 par value) | | | 6,668 | |
Class F Shares (85 million shares of common stock authorized, $.001 par value) | | | 6,668 | |
Class I Shares (85 million shares of common stock authorized, $.001 par value) | | | 153,353 | |
Class R2 Shares (15 million shares of common stock authorized, $.001 par value) | | | 6,667 | |
Class R3 Shares (15 million shares of common stock authorized, $.001 par value) | | | 6,667 | |
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | | | | |
Class A Shares-Net asset value | | | $15.13 | |
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | | | $15.48 | |
Class C Shares-Net asset value | | | $15.13 | |
Class F Shares-Net asset value | | | $15.13 | |
Class I Shares-Net asset value | | | $15.13 | |
Class R2 Shares-Net asset value | | | $15.13 | |
Class R3 Shares-Net asset value | | | $15.13 | |
| See Notes to Financial Statements. | 9 |
Statement of Operations (unaudited)
For the Period Ended June 30, 2013*
Investment income: | | | | |
Interest (net of foreign withholding taxes of $75) | | $ | 506 | |
Total investment income | | | 506 | |
Expenses: | | | | |
Management fee | | | 674 | |
12b-1 distribution plan-Class A | | | 88 | |
12b-1 distribution plan-Class C | | | 19 | |
12b-1 distribution plan-Class F | | | 2 | |
12b-1 distribution plan-Class R2 | | | 12 | |
12b-1 distribution plan-Class R3 | | | 10 | |
Professional | | | 2,565 | |
Custody | | | 1,466 | |
Reports to shareholders | | | 440 | |
Offering costs | | | 437 | |
Registration | | | 367 | |
Fund administration | | | 38 | |
Other | | | 147 | |
Gross expenses | | | 6,265 | |
Management fee waived and expenses reimbursed (See Note 3) | | | (6,134 | ) |
12b-1 distribution plan reimbursed (See Note 3) | | | (131 | ) |
Net investment income | | | 506 | |
Net realized and unrealized gain: | | | | |
Net realized gain on foreign currency related transactions | | | 2,902 | |
Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies | | | 41,215 | |
Net realized and unrealized gain | | | 44,117 | |
Net Increase in Net Assets Resulting From Operations | | $ | 44,623 | |
* | For the period June 21, 2013 (commencement of operations) to June 30, 2013. |
10 | See Notes to Financial Statements. |
Statement of Changes in Net Assets
INCREASE IN NET ASSETS | | For the Period Ended June 30, 2013* (unaudited) | |
Operations: | | | | | |
Net investment income | | | $ | 506 | |
Net realized gain on foreign currency related transactions | | | | 2,902 | |
Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies | | | | 41,215 | |
Net increase in net assets resulting from operations | | | | 44,623 | |
Distributions to shareholders from: | | | | | |
Net investment income | | | | | |
Class A | | | | (301 | ) |
Class C | | | | (13 | ) |
Class F | | | | (13 | ) |
Class I | | | | (300 | ) |
Class R2 | | | | (13 | ) |
Class R3 | | | | (13 | ) |
Total distributions to shareholders | | | | (653 | ) |
Capital share transactions (See Note 12): | | | | | |
Net proceeds from sales of shares | | | | 5,000,000 | |
Reinvestment of distributions | | | | 653 | |
Net increase in net assets resulting from capital share transactions | | | | 5,000,653 | |
Net increase in net assets | | | | 5,044,623 | |
NET ASSETS: | | | | | |
Beginning of period | | | $ | — | |
End of period | | | $ | 5,044,623 | |
Distributions in excess of net investment income | | | $ | (147 | ) |
* | For the period June 21, 2013 (commencement of operations) to June 30, 2013. |
| See Notes to Financial Statements. | 11 |
Financial Highlights
| | Class A Shares |
| | 6/21/2013(a) to 6/30/2013 (unaudited) |
Per Share Operating Performance | | | | | |
Net asset value, beginning of period | | | $ | 15.00 | |
Investment operations: | | | | | |
Net investment income(b) | | | | — | (c) |
Net realized and unrealized gain | | | | .13 | |
Total from investment operations | | | | .13 | |
Distributions to shareholders from: | | | | | |
Net investment income | | | | — | (c) |
Net asset value, end of period | | | $ | 15.13 | |
Total Return(d) | | | | .88 | %(e) |
Ratios to Average Net Assets: | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | | .00 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | | .00 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | | .13 | %(e) |
Net investment income | | | | .01 | %(e) |
| | | | | |
Supplemental Data: | | | | | |
Net assets, end of period (000) | | | $ | 2,321 | |
Portfolio turnover rate | | | | 0.00 | %(e) |
(a) | Commencement of investment operations was 6/21/2013, SEC effective date was 5/1/2013 and date shares first became available to the public was 7/1/2013. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Amount is less than $.01. |
(d) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
(e) | Not annualized. |
12 | See Notes to Financial Statements. |
Financial Highlights (continued)
| | Class C Shares |
| | 6/21/2013(a) to 6/30/2013 (unaudited) |
Per Share Operating Performance | | | | | |
Net asset value, beginning of period | | | $ | 15.00 | |
Investment operations: | | | | | |
Net investment income(b) | | | | — | (c) |
Net realized and unrealized gain | | | | .13 | |
Total from investment operations | | | | .13 | |
Distributions to shareholders from: | | | | | |
Net investment income | | | | — | (c) |
Net asset value, end of period | | | $ | 15.13 | |
Total Return(d) | | | | .88 | %(e) |
Ratios to Average Net Assets: | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | | .00 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | | .00 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | | .14 | %(e) |
Net investment income | | | | .01 | %(e) |
| | | | | |
Supplemental Data: | | | | | |
Net assets, end of period (000) | | | $ | 101 | |
Portfolio turnover rate | | | | 0.00 | %(e) |
(a) | Commencement of investment operations was 6/21/2013, SEC effective date was 5/1/2013 and date shares first became available to the public was 7/1/2013. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Amount is less than $.01. |
(d) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
(e) | Not annualized. |
| See Notes to Financial Statements. | 13 |
Financial Highlights (continued)
| | Class F Shares |
| | 6/21/2013(a) to 6/30/2013 (unaudited) |
Per Share Operating Performance | | | | | |
Net asset value, beginning of period | | | $ | 15.00 | |
Investment operations: | | | | | |
Net investment income(b) | | | | — | (c) |
Net realized and unrealized gain | | | | .13 | |
Total from investment operations | | | | .13 | |
Distributions to shareholders from: | | | | | |
Net investment income | | | | — | (c) |
Net asset value, end of period | | | $ | 15.13 | |
Total Return(d) | | | | .88 | %(e) |
Ratios to Average Net Assets: | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | | .00 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | | .00 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | | .12 | %(e) |
Net investment income | | | | .01 | %(e) |
| | | | | |
Supplemental Data: | | | | | |
Net assets, end of period (000) | | | $ | 101 | |
Portfolio turnover rate | | | | 0.00 | %(e) |
(a) | Commencement of investment operations was 6/21/2013, SEC effective date was 5/1/2013 and date shares first became available to the public was 7/1/2013. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Amount is less than $.01. |
(d) | Total return assumes the reinvestment of all distributions. |
(e) | Not annualized. |
14 | See Notes to Financial Statements. |
Financial Highlights (continued)
| | Class I Shares |
| | 6/21/2013(a) to 6/30/2013 (unaudited) |
Per Share Operating Performance | | | | | |
Net asset value, beginning of period | | | $ | 15.00 | |
Investment operations: | | | | | |
Net investment income(b) | | | | — | (c) |
Net realized and unrealized gain | | | | .13 | |
Total from investment operations | | | | .13 | |
Distributions to shareholders from: | | | | | |
Net investment income | | | | — | (c) |
Net asset value, end of period | | | $ | 15.13 | |
Total Return(d) | | | | .88 | %(e) |
Ratios to Average Net Assets: | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | | .00 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | | .00 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | | .12 | %(e) |
Net investment income | | | | .01 | %(e) |
| | | | | |
Supplemental Data: | | | | | |
Net assets, end of period (000) | | | $ | 2,321 | |
Portfolio turnover rate | | | | 0.00 | %(e) |
(a) | Commencement of investment operations was 6/21/2013, SEC effective date was 5/1/2013 and date shares first became available to the public was 7/1/2013. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Amount is less than $.01. |
(d) | Total return assumes the reinvestment of all distributions. |
(e) | Not annualized. |
| See Notes to Financial Statements. | 15 |
Financial Highlights (continued)
| | Class R2 Shares |
| | 6/21/2013(a) to 6/30/2013 (unaudited) |
Per Share Operating Performance | | | | | |
Net asset value, beginning of period | | | $ | 15.00 | |
Investment operations: | | | | | |
Net investment income(b) | | | | — | (c) |
Net realized and unrealized gain | | | | .13 | |
Total from investment operations | | | | .13 | |
Distributions to shareholders from: | | | | | |
Net investment income | | | | — | (c) |
Net asset value, end of period | | | $ | 15.13 | |
Total Return(d) | | | | .88 | %(e) |
Ratios to Average Net Assets: | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | | .00 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | | .00 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | | .13 | %(e) |
Net investment income | | | | .01 | %(e) |
| | | | | |
Supplemental Data: | | | | | |
Net assets, end of period (000) | | | | $101 | |
Portfolio turnover rate | | | | 0.00 | %(e) |
(a) | Commencement of investment operations was 6/21/2013, SEC effective date was 5/1/2013 and date shares first became available to the public was 7/1/2013. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Amount is less than $.01. |
(d) | Total return assumes the reinvestment of all distributions. |
(e) | Not annualized. |
16 | See Notes to Financial Statements. |
Financial Highlights (concluded)
| | Class R3 Shares |
| | 6/21/2013(a) to 6/30/2013 (unaudited) |
Per Share Operating Performance | | | | | |
Net asset value, beginning of period | | | $ | 15.00 | |
Investment operations: | | | | | |
Net investment income(b) | | | | — | (c) |
Net realized and unrealized gain | | | | .13 | |
Total from investment operations | | | | .13 | |
Distributions to shareholders from: | | | | | |
Net investment income | | | | — | (c) |
Net asset value, end of period | | | $ | 15.13 | |
Total Return(d) | | | | .88 | %(e) |
Ratios to Average Net Assets: | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | | .00 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | | .00 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | | .13 | %(e) |
Net investment income | | | | .01 | %(e) |
| | | | | |
Supplemental Data: | | | | | |
Net assets, end of period (000) | | | | $101 | |
Portfolio turnover rate | | | | 0.00 | %(e) |
(a) | Commencement of investment operations was 6/21/2013, SEC effective date was 5/1/2013 and date shares first became available to the public was 7/1/2013. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Amount is less than $.01. |
(d) | Total return assumes the reinvestment of all distributions. |
(e) | Not annualized. |
| See Notes to Financial Statements. | 17 |
Notes to Financial Statements (unaudited)
Lord Abbett Global Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and was incorporated under Maryland law on February 23, 1988. The Company currently consists of three funds. This report covers one of the Funds, Lord Abbett Emerging Markets Local Bond Fund (the “Fund”), and its respective classes: Class A, C, F, I, R2 and R3 shares. The Fund commenced operations on June 21, 2013. The Fund became effective with the Securities and Exchange Commission (“SEC”) on May 1, 2013 and shares became available to the public on July 1, 2013. The Fund is non-diversified as defined in the Act.
The Fund’s investment objective is total return. Each class of shares has different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class C, F, I, 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); and Class C shares redeemed before the first anniversary of 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–Under procedures approved by the Fund’s Board of Directors (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. |
| | |
| Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange 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. Forward foreign currency exchange contracts are valued using daily forward exchange rates. |
18
Notes to Financial Statements (unaudited)(continued)
| Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee and approved by the Board. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use observable inputs such as yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and employs techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. |
| |
| Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
| |
(b) | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
| |
(c) | Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income on the Statement of Operations. 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. |
| |
(e) | Expenses–Expenses incurred by the Company that do not specifically relate to an individual fund are generally allocated to the funds within the Company on a pro rata basis by relative net assets. Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Class A, C, F, 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 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 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. |
19
Notes to Financial Statements (unaudited)(continued)
| The Fund uses foreign currency exchange contracts to facilitate transactions in foreign denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms. |
| |
(g) | Forward Foreign Currency Exchange Contracts–The Fund may enter into forward foreign currency exchange contracts in order to reduce their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or gain or reduce exposure to foreign currency for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included in Net realized gain on and foreign currency related transactions on the Fund’s Statement of Operations. |
| |
(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 the Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. The Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract. As of June 30, 2013, the Fund did not have open futures contracts. |
| |
(i) | When-Issued, Forward Transactions or To-Be-Announced (“TBA”) Transactions–The Fund may purchase portfolio securities on a when-issued or forward basis. When-issued, forward transactions or TBA transactions involve a commitment by a Fund to purchase securities, with payment and delivery (“settlement”) to take place in the future, in order to secure what is considered to be an advantageous price or yield at the time of entering into the transaction. During the period between purchase and settlement, the fair value of the securities will fluctuate and assets consisting of cash and/or marketable securities (normally short-term U.S. Government or U.S. Government sponsored enterprise securities) marked to market daily in an amount sufficient to make payment at settlement will be segregated at the Fund’s custodian in order to pay for the commitment. At the time the Fund makes the commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the liability for the purchase and fair value of the security in determining its NAV. The Fund, generally, has the ability to close out a purchase obligation on or before the settlement date rather than take delivery of the security. Under no circumstances will settlement for such securities take place more than 120 days after the purchase date. |
| |
(j) | 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 |
20
Notes to Financial Statements (unaudited)(continued)
| 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. |
| |
(k) | Mortgage Dollar Rolls–The Fund may enter into mortgage dollar rolls in which a Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. During the roll period, the Fund loses the right to receive principal (including prepayments of principal) and interest paid on the securities sold. |
| |
(l) | Interest Rate Swaps–The Fund may invest in interest rate swaps in order to enhance returns or hedge against interest rate risk. Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. The interest rate swap agreement will normally be entered into on a zero coupon basis, meaning that the floating rate will be based on the cumulative of the variable rate, and the fixed rate will compound until the swap’s maturity date, at which point the payments would be netted. The swaps are valued daily and any unrealized gain (loss) is included in the Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. A liquidation payment received or made at the termination or maturity of the swap is recorded in realized gain (loss) and is included in Net realized gain on and foreign currency related transactions on the Fund’s Statement of Operations. As of June 30, 2013, the Fund did not have open interest rate swaps. |
| |
(m) | Credit Default Swaps–The Fund may enter into credit default swap contracts. As a seller of a credit default swap contract (“seller of protection”), the Fund is required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty in the event of a default by or other credit event involving the referenced issuer, obligation or index. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract. As a purchaser of a credit default swap contract (“buyer of protection”), the Fund would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty in the event of default by or other credit event involving the referenced issuer, obligation or index. In return, the Fund would make periodic payments to the counterparty over the term of the contracts, provided no event of default has occurred. |
| |
| These credit default swaps may have as a reference obligation corporate or sovereign issuers or credit indices. These credit indices are comprised of a basket of securities representing a particular sector of the market. |
| |
| Credit default swaps are fair valued daily based upon quotations from counterparties, brokers or market-makers and the change in value, if any, is recorded as an unrealized appreciation or depreciation. For a credit default swap sold by the Fund, payment of the agreed-upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by the Fund, the agreed-upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund. |
21
Notes to Financial Statements (unaudited)(continued)
| Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and credit rating of each credit default swap where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities. |
| |
| Entering into credit default swaps involves credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, and that Lord Abbett does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based. As of June 30, 2013, the Fund did not have open credit default swaps. |
| |
(n) | Fair Value Measurements–Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk – for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. |
| |
| Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy 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). |
| A summary of inputs used in valuing the Fund’s investments as of June 30, 2013, and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the period then ended is included in the Fund’s Schedule of Investments. |
22
Notes to Financial Statements (unaudited)(continued)
Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
Management Fee
The Company has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies the Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of the Fund’s investment portfolio.
The management fee is based on the Fund’s average daily net assets at the following annual rates:
First $2 billion | | | .70 | % |
Next $3 billion | | | .65 | % |
Over $5 billion | | | .60 | % |
For the period ended June 30, 2013, the effective management fee, net of waivers, was at an annualized rate of .00% of average daily net assets for the Fund.
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.
For the period ended June 30, 2013 and continuing through April 30, 2014, Lord Abbett has contractually agreed to waive all or a portion of its management fee and administrative fee, and, if necessary, reimburse the Fund’s other expenses to the extent necessary so that the total net annual operating expenses for each class, excluding 12b-1 fees, do not exceed an annual rate of 0.85%. This agreement may be terminated only by the Board.
For the period June 21, 2013 through June 30, 2013, Lord Abbett voluntarily waived its entire management fee and reimbursed all expenses of the Fund. In addition, Lord Abbett Distributor LLC (the “Distributor”) voluntarily reimbursed its entire 12b-1 fee for each applicable share class.
12b-1 Distribution Plan
The Fund has adopted a distribution plan with respect to Class A, C, F, R2 and R3 shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to the Distributor, an affiliate of Lord Abbett. The following annual rates have been approved by the Board pursuant to the plan:
Fees* | | Class A | | Class C(1) | | Class F | | Class R2 | | Class R3 |
Service | | | .15 | % | | | .25 | % | | | — | | | | .25 | % | | | .25 | % |
Distribution | | | .05 | % | | | .75 | % | | | .10 | % | | | .35 | % | | | .25 | % |
* | The Fund may designate a portion of the aggregate fee as attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations. |
(1) | The Class C 12b-1 fee is a blended rate calculated based on 1.00% of the Fund’s average daily net assets attributable to Class C shares held for less than one year and .80% (.25% service, .55% distribution) of the Fund’s average daily net assets attributable to Class C shares held for one year or more. All Class C shareholders of the Fund will bear Rule 12b-1 fees at the same rate. |
Class I shares do not have a distribution plan.
A Director and certain of the Company’s officers have an interest in Lord Abbett.
23
Notes to Financial Statements (unaudited)(continued)
4. | DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS |
Dividends from net investment income, if any, are declared daily and paid monthly for the Fund. 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 period ended June 30, 2013 is as follows:
| | Period Ended | |
| | 6/30/2013 | |
| | (unaudited) | |
Distributions paid from: | | | | |
Ordinary income | | $ | 653 | |
Total distributions paid | | $ | 653 | |
As of June 30, 2013, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | | $ | 4,677,883 | |
Gross unrealized gain | | | 43,517 | |
Gross unrealized loss | | | (9,460 | ) |
Net unrealized security gain | | $ | 34,057 | |
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the period ended June 30, 2013 were as follows:
Purchases | | | Sales | |
$4,677,947 | | | $ | — | |
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
The Fund entered into forward foreign currency exchange contracts for the period ended June 30, 2013 (as described in note 2(g)). A forward foreign currency exchange contract reduces the Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. The Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and the Fund’s returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those
24
Notes to Financial Statements (unaudited)(continued)
currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. The Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts.
As of June 30, 2013, the Fund had the following derivatives, grouped into appropriate risk categories that illustrate how and why the Fund uses derivative instruments:
| | Forward Foreign | | | | |
| | Currency Exchange | | | | |
Asset Derivatives | | Contracts | | | Fair Value | |
Forward Foreign Currency Exchange Contracts(1) | | $ | 4,474 | | | $ | 4,474 | |
Total | | $ | 4,474 | | | $ | 4,474 | |
Liability Derivatives | | | | | | | | |
Forward Foreign Currency Exchange Contracts(2) | | $ | 382 | | | $ | 382 | |
Total | | $ | 382 | | | $ | 382 | |
(1) | Statement of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
(2) | Statement of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
Transactions in derivative instruments for the period ended June 30, 2013, were as follows:
| | Forward Foreign | | | | |
| | Currency Exchange | | | | |
| | Contracts | | | Total | |
Net Realized Gain (Loss)(1) | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | — | |
Net Change in Unrealized Appreciation/Depreciation(2) | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | 4,092 | | | $ | 4,092 | |
Average Notional Amounts* | | | | | | | | |
Forward Foreign Currency Exchange Contracts(3) | | $ | 418,806 | | | $ | 418,806 | |
* | Calculated based on the notional amounts for the period ended June 30, 2013. |
(1) | Statement of Operations location: Net realized gain on foreign currency related transactions. |
(2) | Statement of Operations location: Net change in unrealized appreciation/depreciation on investments and translation of assets |
| and liabilities denominated in foreign currencies. |
(3) | Amount represents notional amount in U.S. dollars. |
7. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011–11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011–11”). These disclosure requirements are intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. In addition, FASB issued Accounting Standards Update No. 2013–1 “Clarifying the Scope of Offsetting Assets and Liabilities” (“ASU 2013–1”), specifying which transactions are subject to disclosures about offsetting.
The following tables illustrate gross and net information about recognized assets and liabilities eligible for offset in the statement of assets and liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between two counterparties who have multiple contracts with each other that provides for the net settlement of all contracts, as well as cash collateral, through a single payment in the event of default on or termination of any one contract:
25
Notes to Financial Statements (unaudited)(continued)
| | Gross | | | Gross Amounts | | | Net Amounts of | |
| | Amounts of | | | Offset in the | | | Assets Presented | |
| | Recognized | | | Statement of Assets | | | in the Statement of | |
Description | | Assets | | | and Liabilities | | | Assets and Liabilities | |
Forward Foreign Currency Exchange Contracts | | $ | 4,474 | | | $ | — | | | $ | 4,474 | |
Total | | $ | 4,474 | | | $ | — | | | $ | 4,474 | |
| | | | | Gross Amounts Not Offset in the | | | | |
| | | | | Statement of Assets and Liabilities | | | | |
| | Net Amounts of | | | | | | | | | | |
| | Assets Presented | | | | | | | | | | |
| | in the Statement of | | | Financial | | | Cash Collateral | | | | |
Counterparty | | Assets and Liabilities | | | Instruments | | | Received(a) | | | Net Amount(b) | |
Deutsche Bank | | $ | 4,474 | | | $ | (382 | ) | | $ | — | | | $ | 4,092 | |
Total | | $ | 4,474 | | | $ | (382 | ) | | $ | — | | | $ | 4,092 | |
| | Gross | | | Gross Amounts | | | Net Amounts of | |
| | Amounts of | | | Offset in the | | | Liabilities Presented | |
| | Recognized | | | Statement of Assets | | | in the Statement of | |
Description | | Liabilities | | | and Liabilities | | | Assets and Liabilities | |
Forward Foreign Currency Exchange Contracts | | $ | 382 | | | $ | — | | | $ | 382 | |
Total | | $ | 382 | | | $ | — | | | $ | 382 | |
| | | | | Gross Amounts Not Offset in the | | | | |
| | | | | Statement of Assets and Liabilities | | | | |
| | Net Amounts of | | | | | | | | | | |
| | Liabilities Presented | | | | | | | | | | |
| | in the Statement of | | | Financial | | | Cash Collateral | | | | |
Counterparty | | Assets and Liabilities | | | Instruments | | | Pledged(a) | | | Net Amount(c) | |
Deutsche Bank | | $ | 382 | | | $ | (382 | ) | | $ | — | | | $ | — | |
Total | | $ | 382 | | | $ | (382 | ) | | $ | — | | | $ | — | |
(a) | Collateral received (or pledged) is limited to an amount not to exceed 100% of the net amount of assets (or liabilities) in the tables presented above, for each respective counterparty. |
(b) | Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2013. |
(c) | Net Amount represents amounts under collateralized by the Fund to each counterparty as of June 30, 2013. |
8. | DIRECTORS’ REMUNERATION |
The Company’s officers and a Director, who are associated with Lord Abbett, do not receive any compensation from the Company for serving in such capacities. Independent Directors’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Directors under which Independent Directors must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, Directors’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Directors’ fees on the Statement of Operations and in Directors’ fees payable on the Statement of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
26
Notes to Financial Statements (unaudited)(continued)
The Company has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of the Fund’s expenses.
10. | CUSTODIAN AND ACCOUNTING AGENT |
State Street Bank and Trust Company (“SSB”) is the Company’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating the Fund’s NAV.
The Fund is subject to the risks of investing in securities that are issued by non-U.S. entities, the risks of investing in derivatives, liquidity risk, and the risks from leverage.
Foreign securities may pose greater risks than domestic securities, including greater price fluctuations, less government regulation, and higher transaction costs. These risks generally are greater for emerging markets securities. Foreign investments also may be affected by changes in currency rates or currency controls.
Derivatives are subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, and credit risk. Derivatives also 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 a Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements, changes in foreign exchange and interest rates, and other factors. If a Fund incorrectly forecasts these and other factors, its performance could suffer. The Fund’s use of derivatives could result in a loss exceeding the amount of the Fund’s investment in these instruments.
The Fund is non-diversified, which means that it may invest a greater portion of its assets in a single issuer than a diversified fund. Thus, it may be exposed to greater risk.
The Fund may invest in swap contracts. Swap contracts are bilateral agreements between a fund and its counterparty. Each party is exposed to the risk of default by the other. In addition, swap contracts may involve a small investment of cash compared to the risk assumed, with the result that small changes may produce disproportionate and substantial gains or losses to the Fund.
The Fund may invest in credit default swap and interest rate swap contracts. Such contracts are subject to the risk that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements. Credit default swaps are subject to the risk and that Lord Abbett does not correctly predict the creditworthiness of the issuers of the reference obligation on which the swap is based. Interest rate swaps are subject to the risk that Lord Abbett does not correctly anticipate changes in interest rates.
Illiquid securities may lower a Fund’s returns since the Fund may be unable to sell these securities at its desired time or price. To the extent illiquid securities can be sold, the Fund may have to do so at disadvantageous prices in order to meet requests for the redemption of Fund shares.
27
Notes to Financial Statements (unaudited)(continued)
Leverage, including borrowing, may increase volatility in a Fund by magnifying the effect of changes in the value of the Fund’s holdings. The use of leverage may cause investors in a Fund to lose more money in adverse environments than would be the case in the absence of leverage.
The Fund is subject to the general risks and considerations associated with investing in debt securities, including interest rate risk. When interest rates rise, the prices of debt securities and an investment in the Fund are likely to decline. In times of economic uncertainty, high-yield debt securities (or “junk bonds”) may decline in price, even when interest rates are falling. 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 junk bonds.
The Fund may invest in floating rate or adjustable rate senior loans, including bridge loans, novations, assignments, and participations, which are business loans made to borrowers that may be U.S. or foreign corporations, partnerships or other business entities. Senior loans are subject to increased credit and liquidity risks.
The mortgage-related securities in which a Fund may invest may be particularly sensitive to changes in prevailing interest rates, 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 a 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.
Foreign currency exchange rates may fluctuate significantly over short periods of time. The Fund’s use of currency-related transactions involves the risk that Lord Abbett will not accurately predict currency movements, and the Fund’s returns could be reduced as a result. A decline in the value of foreign currencies relative to the U.S. dollar will reduce the value of securities held by the Fund that are denominated in those currencies.
The securities markets of developing or emerging countries tend to be less liquid, are especially subject to greater price volatility, have a smaller market capitalization, have less government regulation and may not be subject to as extensive and frequent accounting, financial, and other reporting requirements as securities issued in more developed countries.
Bonds issued or guaranteed by foreign governments and governmental entities (commonly referred to as “sovereign debt”) are subject to the risk that such governments or entities are unable or unwilling to make interest payments and/or repay the principal owed. The Fund may have limited recourse in such instances.
The Fund believes that its investment strategies with respect to foreign currencies will generate qualifying income under current U.S. federal income tax law. However, there can be no assurance that the U.S. Treasury Department will not issue regulations in the future (possibly with retroactive effect) that would treat some or all of the fund’s foreign currency gains as nonqualifying income.
These factors can affect the Fund’s performance.
28
Notes to Financial Statements (unaudited)(concluded)
12. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of capital stock were as follows:
| | Period Ended | |
| | June 30, 2013† | |
| | | | | (unaudited) | |
Class A Shares | | | Shares | | | | Amount | |
Shares sold | | | 153,333 | | | $ | 2,300,000 | |
Reinvestment of distributions | | | 20 | | | | 301 | |
Increase | | | 153,353 | | | $ | 2,300,301 | |
| | | | | | | | |
Class C Shares | | | | | | | | |
Shares sold | | | 6,667 | | | $ | 100,000 | |
Reinvestment of distributions | | | 1 | | | | 13 | |
Increase | | | 6,668 | | | $ | 100,013 | |
| | | | | | | | |
Class F Shares | | | | | | | | |
Shares sold | | | 6,667 | | | $ | 100,000 | |
Reinvestment of distributions | | | 1 | | | | 13 | |
Increase | | | 6,668 | | | $ | 100,013 | |
| | | | | | | | |
Class I Shares | | | | | | | | |
Shares sold | | | 153,333 | | | $ | 2,300,000 | |
Reinvestment of distributions | | | 20 | | | | 300 | |
Increase | | | 153,353 | | | $ | 2,300,300 | |
| | | | | | | | |
Class R2 Shares | | | | | | | | |
Shares sold | | | 6,666 | | | $ | 100,000 | |
Reinvestment of distributions | | | 1 | | | | 13 | |
Increase | | | 6,667 | | | $ | 100,013 | |
| | | | | | | | |
Class R3 Shares | | | | | | | | |
Shares sold | | | 6,666 | | | $ | 100,000 | |
Reinvestment of distributions | | | 1 | | | | 13 | |
Increase | | | 6,667 | | | $ | 100,013 | |
† | For the period June 21, 2013 (commencement of operations) to June 30, 2013. |
29
Approval of Advisory Contract
At a meeting held on February 28, 2013, the Board of Directors (the “Board”), including all of the Directors who are not interested persons of the Company or Lord, Abbett & Co. LLC (“Lord Abbett”), considered whether to approve the proposed management agreement between the Fund and Lord Abbett. The Board reviewed materials relating specifically to the management agreement before and at the meeting and had the opportunity to ask questions and request further information, taking into account its familiarity with Lord Abbett gained through its meetings and discussions.
The materials received by the Board included, but were not limited to, (1) information provided by Lipper Inc. regarding the expense ratios, contractual and effective management fee rates, and other expense components for the Fund and a group of funds with similar objectives and of similar size (the “peer group”); (2) information provided by Lord Abbett on the projected expense ratios, management fee rates, and other expense components for the Fund information regarding the distribution arrangements of the Fund; and (3) information regarding the personnel and other resources devoted by Lord Abbett to managing the Fund.
Investment Management Services Generally. The Board considered the investment management services to be provided by Lord Abbett to the Fund, including investment research, portfolio management, and trading, and Lord Abbett’s commitment to compliance with all relevant legal requirements. The Board also observed that Lord Abbett was engaged solely in the investment management business and accordingly did not experience the conflicts of interest resulting from being engaged in other lines of business.
Investment Performance. Because the Fund had not yet begun operations, the Board was not able to review the Fund’s investment performance and compliance.
Lord Abbett’s Personnel and Methods. The Board considered the qualifications of the personnel who would provide investment management services to the Fund, in light of its investment objective and discipline. Among other things, the Board considered the size, experience, and turnover of Lord Abbett’s investment management staff, Lord Abbett’s investment methodology and philosophy, and Lord Abbett’s approach to recruiting, training, and retaining investment management personnel. The Board determined that Lord Abbett had the expertise and resources to manage the Fund effectively.
Nature and Quality of Other Services. The Board considered the nature, quality, costs, and extent of compliance, administrative, and other services performed by Lord Abbett and Lord Abbett Distributor (“Distributor”) and the nature and extent of Lord Abbett’s supervision of third party service providers, including the Fund’s transfer agent and custodian.
Expenses. The Board considered the projected expense levels of each class of shares of the Fund and the expense levels of the peer group. It also considered the amount and nature of the fees to be paid by shareholders. The Board noted that it and Lord Abbett had agreed to a management fee waiver and expense limitation agreement under which it would waive all or a portion of its management fee and, if necessary, reimburse the Fund’s other expenses to the extent necessary so that the total net annual operating expenses for each class, excluding Rule 12b-1 fees, do not exceed an annual rate of 0.85%.
Profitability. Because the Fund had not yet begun operations, the Board was not able to consider the level of Lord Abbett’s profits in managing the Fund.
Economies of Scale. The Board considered whether there might be economies of scale in managing the Fund and whether the Fund would benefit appropriately from any such economies of scale. The Board concluded that the existing management fee schedule, with its breakpoints in the level of the management fee, adequately addressed any economies of scale in managing the Fund.
30
Other Benefits to Lord Abbett. The Board considered the character and amount of fees proposed to be paid by the Fund and the Fund’s shareholders to Lord Abbett and Distributor for services other than investment advisory services. The Board also considered the revenues and profitability of Lord Abbett’s investment advisory business apart from its mutual fund business, and the intangible benefits enjoyed by Lord Abbett by virtue of its relationship with the Fund. The Board observed that Distributor receives Rule 12b-1 fees from certain of the Lord Abbett Funds as to shares held in accounts for which there is no other broker of record, may retain a portion of the 12b-1 fees from the Funds, and receives a portion of the sales charges on sales and redemptions of some classes of shares. In addition, the Board observed that Lord Abbett accrues certain benefits for its business of providing investment advice to clients other than the Lord Abbett Funds, but that that business also benefits the Funds. The Board also noted that Lord Abbett, as disclosed in the prospectus of the Fund, has entered into revenue sharing arrangements with certain entities that distribute shares of the Fund.
In considering whether to approve the management agreement, the Board did not identify any single factor as paramount or controlling. This summary does not discuss in detail all matters considered. After considering all of the relevant factors, the Board unanimously found that approval of the management agreement was in the best interests of the Fund and its shareholders and voted unanimously to approve the management agreement.
31
Householding
The Company 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 SEC’s Website at www.sec.gov.
Shareholder Reports and Quarterly Portfolio Disclosure
The Fund is required to file its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).
32
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 Emerging Markets Local Bond Fund, Inc. | | EMLB-3-0613 (08/13) |
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. |
| (a)(1) | Code of Ethics. Not applicable. |
| | |
| (a)(2) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2 under the Investment Company Act of 1940 is attached hereto as a part of EX-99.CERT. |
| | |
| (b) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Section 906 of the Sarbanes-Oxley Act of 2002 is provided as a part of EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | LORD ABBETT GLOBAL FUND, INC. | |
| | | |
| By: | /s/ Daria L. Foster | |
| | Daria L. Foster | |
| | President and Chief Executive Officer | |
| | | |
Date: August 21, 2013 | | | |
| | | |
| By: | /s/ Joan A. Binstock | |
| | Joan A. Binstock | |
| | Chief Financial Officer and Vice President | |
| | | |
Date: August 21, 2013 | | | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| By: | /s/ Daria L. Foster | |
| | Daria L. Foster | |
| | President and Chief Executive Officer | |
| | | |
Date: August 21, 2013 | | | |
| | | |
| By: | /s/ Joan A. Binstock | |
| | Joan A. Binstock | |
| | Chief Financial Officer and Vice President | |
| | | |
Date: August 21, 2013 | | | |