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: 6/30/2014
Item 1: | Report(s) to Shareholders. |
2 0 1 4
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 Corporate Debt Fund
Emerging Markets Currency Fund
Emerging Markets Local Bond Fund
Multi-Asset Global Opportunity Fund
For the six-month period ended June 30, 2014
Table of Contents
Lord Abbett Emerging Markets Corporate Debt Fund, Lord Abbett Emerging Markets Currency Fund, Lord Abbett Emerging Markets Local Bond Fund, and Lord Abbett Multi-Asset Global Opportunity Fund
Semiannual Report
For the six-month period ended June 30, 2014
Daria L. Foster, Director, President and Chief Executive Officer of the Lord Abbett Funds, and E. Thayer Bigelow, Independent Chairman of the Lord Abbett Funds.
Dear Shareholders: We are pleased to provide you with this semiannual report for the Funds for the six-month period ended June 30, 2014. For additional information about the Funds, please visit our website at www.lordabbett.com, where you also 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, 2014 through June 30, 2014).
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 entitled “Expenses Paid During Period 1/1/14 – 6/30/14” 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 Corporate Debt 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† | |
| | 1/1/14 | | 6/30/14 | | 1/1/14 - 6/30/14 | |
Class A | | | | | | | | |
Actual | | $1,000.00 | | $1,076.40 | | $5.41 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.59 | | $5.26 | | |
Class C | | | | | | | | |
Actual | | $1,000.00 | | $1,072.20 | | $9.51 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,015.62 | | $9.25 | | |
Class F | | | | | | | | |
Actual | | $1,000.00 | | $1,076.90 | | $4.89 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.08 | | $4.76 | | |
Class I | | | | | | | | |
Actual | | $1,000.00 | | $1,077.50 | | $4.38 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.58 | | $4.26 | | |
Class R2 | | | | | | | | |
Actual | | $1,000.00 | | $1,077.40 | | $4.38 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.58 | | $4.26 | | |
Class R3 | | | | | | | | |
Actual | | $1,000.00 | | $1,077.40 | | $4.38 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.58 | | $4.26 | | |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.05% for Class A, 1.85% for Class C, 0.95% for Class F, 0.85% for Classes I, R2 and 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, 2014
Sector* | | %** |
Consumer Cyclicals | | 4.31 | % |
Consumer Discretionary | | 3.77 | % |
Consumer Services | | 4.14 | % |
Consumer Staples | | 9.30 | % |
Energy | | 14.56 | % |
Financial Services | | 17.35 | % |
Foreign Government | | 2.10 | % |
Integrated Oils | | 5.63 | % |
Materials and Processing | | 7.98 | % |
Sector* | | %** | |
Municipal | | 0.76 | % |
Producer Durables | | 1.63 | % |
Technology | | 2.05 | % |
Telecommunications | | 9.34 | % |
Transportation | | 7.67 | % |
Utilities | | 7.32 | % |
Repurchase Agreement | | 2.09 | % |
Total | | 100.00 | % |
* | A sector may comprise several industries. |
** | Represents percent of total investments. |
3
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† | |
| | | | | | 1/1/14 - | |
| | 1/1/14 | | 6/30/14 | | 6/30/14 | |
Class A | | | | | | | | |
Actual | | $1,000.00 | | $1,034.30 | | $4.89 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.98 | | $4.86 | | |
Class B | | | | | | | | |
Actual | | $1,000.00 | | $1,030.10 | | $8.91 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.02 | | $8.85 | | |
Class C | | | | | | | | |
Actual | | $1,000.00 | | $1,030.90 | | $8.06 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.86 | | $8.00 | | |
Class F | | | | | | | | |
Actual | | $1,000.00 | | $1,033.20 | | $4.39 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.48 | | $4.36 | | |
Class I | | | | | | | | |
Actual | | $1,000.00 | | $1,035.30 | | $3.84 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.03 | | $3.81 | | |
Class P | | | | | | | | |
Actual | | $1,000.00 | | $1,031.50 | | $5.94 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.94 | | $5.91 | | |
Class R2 | | | | | | | | |
Actual | | $1,000.00 | | $1,032.20 | | $6.90 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.00 | | $6.85 | | |
Class R3 | | | | | | | | |
Actual | | $1,000.00 | | $1,031.30 | | $6.30 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.60 | | $6.26 | | |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.97% for Class A, 1.77% for Class B, 1.60% for Class C, 0.87% for Class F, 0.76% for Class I, 1.18% for Class P, 1.37% for Classes R2 and 1.25% 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, 2014
Sector* | | %** |
Asset-Backed | | 16.79 | % |
Automotive | | 1.38 | % |
Banking | | 7.36 | % |
Basic Industry | | 3.24 | % |
Capital Goods | | 1.39 | % |
Consumer Cyclical | | 1.86 | % |
Consumer Non-Cyclical | | 1.50 | % |
Energy | | 11.10 | % |
Financial Services | | 2.10 | % |
Foreign Government | | 0.05 | % |
Sector* | | %** |
Health Care | | 2.95 | % |
Insurance | | 0.37 | % |
Media | | 1.18 | % |
Mortgage-Backed | | 32.29 | % |
Real Estate | | 3.84 | % |
Services | | 4.79 | % |
Supranational | | 0.05 | % |
Technology & Electronics | | 2.20 | % |
Telecommunications | | 1.52 | % |
Utility | | 4.04 | % |
Total | | 100.00 | % |
* | A sector may comprise several industries. |
** | Represents percent of total investments. |
4
Emerging Markets Local Bond 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† | |
| | 1/1/14 | | 6/30/14 | | 1/1/14 - 6/30/14 | |
Class A | | | | | | | | |
Actual | | $1,000.00 | | $1,055.90 | | $5.35 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.59 | | $5.26 | | |
Class C | | | | | | | | |
Actual | | $1,000.00 | | $1,051.80 | | $9.41 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,015.62 | | $9.25 | | |
Class F | | | | | | | | |
Actual | | $1,000.00 | | $1,056.50 | | $4.84 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.08 | | $4.76 | | |
Class I | | | | | | | | |
Actual | | $1,000.00 | | $1,057.00 | | $4.34 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.58 | | $4.26 | | |
Class R2 | | | | | | | | |
Actual | | $1,000.00 | | $1,057.00 | | $4.34 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.58 | | $4.26 | | |
Class R3 | | | | | | | | |
Actual | | $1,000.00 | | $1,057.00 | | $4.34 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.58 | | $4.26 | | |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.05% for Class A, 1.85% for Class C, 0.95% for Class F, 0.85% for Classes I, R2, and 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, 2014
Sector* | | %** |
Consumer Services | | 1.30 | % |
Financial Services | | 9.99 | % |
Foreign Government | | 79.19 | % |
Integrated Oils | | 2.76 | % |
Telecommunications | | 1.28 | % |
Transportation | | 1.07 | % |
Utilities | | 1.79 | % |
Repurchase Agreement | | 2.62 | % |
Total | | 100.00 | % |
* | A sector may comprise several industries. |
** | Represents percent of total investments. |
5
Multi-Asset Global Opportunity 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†# | |
| | 1/1/14 | | 6/30/14 | | 1/1/14 - 6/30/14 | |
Class A* | | | | | | | | |
Actual | | $1,000.00 | | $1,071.10 | | $1.69 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,023.16 | | $1.66 | | |
Class B* | | | | | | | | |
Actual | | $1,000.00 | | $1,067.50 | | $5.49 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.49 | | $5.36 | | |
Class C* | | | | | | | | |
Actual | | $1,000.00 | | $1,067.00 | | $5.48 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.49 | | $5.36 | | |
Class F* | | | | | | | | |
Actual | | $1,000.00 | | $1,071.90 | | $0.92 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,023.90 | | $0.90 | | |
Class I* | | | | | | | | |
Actual | | $1,000.00 | | $1,072.80 | | $0.41 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,024.40 | | $0.40 | | |
Class R2* | | | | | | | | |
Actual | | $1,000.00 | | $1,069.80 | | $3.49 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.42 | | $3.41 | | |
Class R3* | | | | | | | | |
Actual | | $1,000.00 | | $1,070.50 | | $2.77 | | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,022.12 | | $2.71 | | |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.33% for Class A, 1.07% for Classes B and C, 0.18% for Class F, 0.08% for Class I, 0.68% for Class R2 and 0.54% 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 Multi-Asset Global Opportunity Fund invests. |
* | The annualized expenses of each class have been restated (0.35% for Class A, 1.10% for Classes B and C, 0.20% for Class F, 0.10% for Class I, 0.70% for Class R2 and 0.60% 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 | | $1.80 | | $1.76 |
Class B | | $5.64 | | $5.51 |
Class C | | $5.64 | | $5.51 |
Class F | | $1.03 | | $1.00 |
Class I | | $0.51 | | $0.50 |
Class R2 | | $3.59 | | $3.51 |
Class R3 | | $3.08 | | $3.01 |
6
Multi-Asset Global Opportunity Fund (concluded)
Portfolio Holdings Presented by Portfolio Allocation
June 30, 2014
Underlying Fund Name | | %* | |
Lord Abbett Affiliated Fund, Inc.-Class I | | 1.01 | % |
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund-Class I | | 0.46 | % |
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I | | 12.22 | % |
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund-Class I | | 18.80 | % |
Lord Abbett Investment Trust-High Yield Fund-Class I | | 10.72 | % |
Lord Abbett Securities Trust-International Dividend Income Fund-Class I | | 42.37 | % |
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | | 12.68 | % |
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | | 0.50 | % |
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | | 1.18 | % |
Repurchase Agreement | | 0.06 | % |
Total | | 100.00 | % |
* | Represents percent of total investments. |
7
Schedule of Investments (unaudited)
EMERGING MARKETS CORPORATE DEBT FUND June 30, 2014
Investments | | | | | | Shares (000) | | Fair Value | |
LONG-TERM INVESTMENTS 95.92% | | | | | | | | | | | |
| | | | | | | | | | | |
COMMON STOCK 0.10% | | | | | | | | | | | |
| | | | | | | | | | | |
Oil | | | | | | | | | | | |
Geopark Ltd. (Chile)*(a) (cost $12,007) | | | | | | | 1 | | $ | 11,437 | |
| | | | | | | | | | | |
| | Interest Rate | | Maturity Date | | Principal Amount (000) | | | | |
CONVERTIBLE BONDS 0.20% | | | | | | | | | | | |
| | | | | | | | | | | |
Metals & Minerals: Miscellaneous 0.10% | | | | | | | | | | | |
Stillwater Mining Co. | | 1.75% | | 10/15/2032 | | $ | 8 | | | 11,680 | |
| | | | | | | | | | | |
Technology 0.10% | | | | | | | | | | | |
Vipshop Holdings Ltd. (China)(a) | | 1.50% | | 3/15/2019 | | | 10 | | | 11,819 | |
Total Convertible Bonds (cost $21,603) | | | | | | | | | | 23,499 | |
| | | | | | | | | | | |
CORPORATE BONDS 90.26% | | | | | | | | | | | |
| | | | | | | | | | | |
Air Transportation 3.60% | | | | | | | | | | | |
Air Canada (Canada)†(a) | | 7.75% | | 4/15/2021 | | | 200 | | | 213,000 | |
VRG Linhas Aereas SA (Brazil)†(a) | | 10.75% | | 2/12/2023 | | | 200 | | | 213,000 | |
Total | | | | | | | | | | 426,000 | |
| | | | | | | | | | | |
Banks: Regional 9.32% | | | | | | | | | | | |
Banco GNB Sudameris SA (Colombia)†(a) | | 3.875% | | 5/2/2018 | | | 200 | | | 199,000 | |
Banco Mercantil del Norte SA (Mexico)(a) | | 4.375% | | 7/19/2015 | | | 48 | | | 49,560 | |
Corpbanca SA (Chile)(a) | | 3.125% | | 1/15/2018 | | | 200 | | | 200,478 | |
ICICI Bank Ltd. (Hong Kong)†(a) | | 5.75% | | 11/16/2020 | | | 200 | | | 219,299 | |
Korea Development Bank (The) (South Korea)(a) | | 3.00% | | 3/17/2019 | | | 200 | | | 206,829 | |
National Savings Bank (Sri Lanka)(a) | | 8.875% | | 9/18/2018 | | | 200 | | | 227,500 | |
Total | | | | | | | | | | 1,102,666 | |
| | | | | | | | | | | |
Beverages 2.69% | | | | | | | | | | | |
Ajecorp BV (Netherlands)†(a) | | 6.50% | | 5/14/2022 | | | 150 | | | 138,750 | |
Anadolu Efes Biracilik ve Malt Sanayii AS (Turkey)†(a) | | 3.375% | | 11/1/2022 | | | 200 | | | 179,500 | |
Total | | | | | | | | | | 318,250 | |
| | | | | | | | | | | |
Broadcasting 0.41% | | | | | | | | | | | |
Clear Channel Communications, Inc. | | 6.875% | | 6/15/2018 | | | 50 | | | 48,687 | |
8 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Business Services 1.89% | | | | | | | | | | | |
DP World Ltd. (United Arab Emirates)†(a) | | 6.85% | | 7/2/2037 | | $ | 200 | | $ | 224,000 | |
| | | | | | | | | | | |
Chemicals 3.76% | | | | | | | | | | | |
Grupo Idesa SA de CV (Mexico)†(a) | | 7.875% | | 12/18/2020 | | | 200 | | | 214,000 | |
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC | | 9.00% | | 11/15/2020 | | | 20 | | | 20,500 | |
OCP SA (Morocco)†(a) | | 6.875% | | 4/25/2044 | | | 200 | | | 210,074 | |
Total | | | | | | | | | | 444,574 | |
| | | | | | | | | | | |
Computer Service 0.16% | | | | | | | | | | | |
First Data Corp. | | 11.75% | | 8/15/2021 | | | 16 | | | 19,060 | |
| | | | | | | | | | | |
Construction/Homebuilding 1.83% | | | | | | | | | | | |
Odebrecht Finance Ltd.† | | 7.125% | | 6/26/2042 | | | 200 | | | 217,000 | |
| | | | | | | | | | | |
Diversified 5.09% | | | | | | | | | | | |
Hutchison Whampoa International 11 Ltd.† | | 3.50% | | 1/13/2017 | | | 200 | | | 210,790 | |
San Miguel Corp. (Philippines)(a) | | 4.875% | | 4/26/2023 | | | 200 | | | 187,000 | |
Tenedora Nemak SA de CV (Mexico)†(a) | | 5.50% | | 2/28/2023 | | | 200 | | | 204,000 | |
Total | | | | | | | | | | 601,790 | |
| | | | | | | | | | | |
Electric: Power 3.48% | | | | | | | | | | | |
AES El Salvador Trust II (Panama)†(a) | | 6.75% | | 3/28/2023 | | | 200 | | | 206,500 | |
Korea Western Power Co., Ltd. (South Korea)†(a) | | 2.875% | | 10/10/2018 | | | 200 | | | 205,025 | |
Total | | | | | | | | | | 411,525 | |
| | | | | | | | | | | |
Entertainment 0.19% | | | | | | | | | | | |
Shingle Springs Tribal Gaming Authority† | | 9.75% | | 9/1/2021 | | | 20 | | | 22,700 | |
| | | | | | | | | | | |
Financial Services 2.22% | | | | | | | | | | | |
Rio Oil Finance Trust Series 2014-1† | | 6.25% | | 7/6/2024 | | | 250 | | | 262,951 | |
| | | | | | | | | | | |
Financial: Miscellaneous 0.10% | | | | | | | | | | | |
First Cash Financial Services, Inc.† | | 6.75% | | 4/1/2021 | | | 11 | | | 11,743 | |
| | | | | | | | | | | |
Food 5.42% | | | | | | | | | | | |
ESAL GmbH (Austria)†(a) | | 6.25% | | 2/5/2023 | | | 200 | | | 197,000 | |
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc. (Greece)†(a) | | 9.875% | | 2/1/2020 | | | 20 | | | 21,500 | |
Tingyi Cayman Islands Holding Corp. (China)(a) | | 3.875% | | 6/20/2017 | | | 200 | | | 212,382 | |
Tonon Luxembourg SA (Luxembourg)†(a) | | 10.50% | | 5/14/2024 | | | 200 | | | 210,500 | |
Total | | | | | | | | | | 641,382 | |
| See Notes to Financial Statements. | 9 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Gaming 0.19% | | | | | | | | | | | |
Mohegan Tribal Gaming Authority | | 9.75% | | 9/1/2021 | | $ | 20 | | $ | 22,300 | |
| | | | | | | | | | | |
Leasing 0.86% | | | | | | | | | | | |
Jurassic Holdings III, Inc.† | | 6.875% | | 2/15/2021 | | | 100 | | | 102,250 | |
| | | | | | | | | | | |
Lodging 1.72% | | | | | | | | | | | |
MCE Finance Ltd. (Macao)†(a) | | 5.00% | | 2/15/2021 | | | 200 | | | 203,000 | |
| | | | | | | | | | | |
Machinery: Agricultural 1.60% | | | | | | | | | | | |
Comfeed Finance BV (Netherlands)†(a) | | 6.00% | | 5/2/2018 | | | 200 | | | 189,500 | |
| | | | | | | | | | | |
Media 3.65% | | | | | | | | | | | |
Columbus International, Inc. (Barbados)†(a) | | 7.375% | | 3/30/2021 | | | 200 | | | 216,250 | |
VTR Finance BV (Netherlands)†(a) | | 6.875% | | 1/15/2024 | | | 200 | | | 215,248 | |
Total | | | | | | | | | | 431,498 | |
| | | | | | | | | | | |
Metals & Minerals: Miscellaneous 1.65% | | | | | | | | | | | |
AngloGold Ashanti Holdings plc | | 5.125% | | 8/1/2022 | | | 200 | | | 195,394 | |
| | | | | | | | | | | |
Natural Gas 1.77% | | | | | | | | | | | |
Fermaca Enterprises S de RL de CV (Mexico)†(a) | | 6.375% | | 3/30/2038 | | | 200 | | | 209,500 | |
| | | | | | | | | | | |
Oil 10.82% | | | | | | | | | | | |
CNOOC Curtis Funding No 1 Pty Ltd. (Australia)†(a) | | 4.50% | | 10/3/2023 | | | 200 | | | 210,212 | |
Delek & Avner Tamar Bond Ltd. (Israel)†(a) | | 5.412% | | 12/30/2025 | | | 200 | | | 206,577 | |
Dolphin Energy Ltd. (United Arab Emirates)†(a) | | 5.50% | | 12/15/2021 | | | 200 | | | 227,750 | |
GeoPark Latin America Ltd. Agencia en Chile (Chile)†(a) | | 7.50% | | 2/11/2020 | | | 200 | | | 217,500 | |
Petroleos de Venezuela SA (Venezuela)†(a) | | 6.00% | | 11/15/2026 | | | 50 | | | 32,500 | |
Petroleos de Venezuela SA (Venezuela)(a) | | 8.50% | | 11/2/2017 | | | 90 | | | 84,402 | |
Petronas Capital Ltd. (Malaysia)†(a) | | 5.25% | | 8/12/2019 | | | 100 | | | 113,981 | |
Rosneft Oil Co. via Rosneft International Finance Ltd. (Ireland)†(a) | | 4.199% | | 3/6/2022 | | | 200 | | | 187,000 | |
Total | | | | | | | | | | 1,279,922 | |
| | | | | | | | | | | |
Oil: Integrated Domestic 1.71% | | | | | | | | | | | |
EDC Finance Ltd. (Ireland)†(a) | | 4.875% | | 4/17/2020 | | | 200 | | | 196,500 | |
Pioneer Energy Services Corp. | | 9.875% | | 3/15/2018 | | | 6 | | | 6,300 | |
Total | | | | | | | | | | 202,800 | |
| | | | | | | | | | | |
Oil: Integrated International 3.80% | | | | | | | | | | | |
MIE Holdings Corp. (Hong Kong)†(a) | | 7.50% | | 4/25/2019 | | | 200 | | | 212,164 | |
Petroleos Mexicanos (Mexico)(a) | | 5.50% | | 6/27/2044 | | | 100 | | | 104,600 | |
10 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Oil: Integrated International (continued) | | | | | | | | | | | |
YPF SA (Argentina)†(a) | | 8.875% | | 12/19/2018 | | $ | 125 | | $ | 132,500 | |
Total | | | | | | | | | | 449,264 | |
| | | | | | | | | | | |
Real Estate Investment Trusts 3.46% | | | | | | | | | | | |
China South City Holdings Ltd. (Hong Kong)(a) | | 8.25% | | 1/29/2019 | | | 200 | | | 201,000 | |
Shimao Property Holdings Ltd. (Hong Kong)(a) | | 8.125% | | 1/22/2021 | | | 200 | | | 208,500 | |
Total | | | | | | | | | | 409,500 | |
| | | | | | | | | | | |
Retail 2.01% | | | | | | | | | | | |
Hot Topic, Inc.† | | 9.25% | | 6/15/2021 | | | 20 | | | 22,300 | |
Pacific Emerald Pte Ltd. (Singapore)(a) | | 9.75% | | 7/25/2018 | | | 200 | | | 215,500 | |
Total | | | | | | | | | | 237,800 | |
| | | | | | | | | | | |
Steel 0.47% | | | | | | | | | | | |
Vale Overseas Ltd. (Brazil)(a) | | 6.25% | | 1/23/2017 | | | 50 | | | 56,017 | |
| | | | | | | | | | | |
Technology 1.75% | | | | | | | | | | | |
Baidu, Inc. (China)(a) | | 3.25% | | 8/6/2018 | | | 200 | | | 207,133 | |
| | | | | | | | | | | |
Telecommunications 9.15% | | | | | | | | | | | |
Altice Finco SA (Luxembourg)†(a) | | 8.125% | | 1/15/2024 | | | 200 | | | 221,500 | |
Altice SA (Luxembourg)†(a) | | 7.75% | | 5/15/2022 | | | 200 | | | 214,000 | |
Avanti Communications Group plc (United Kingdom)†(a) | | 10.00% | | 10/1/2019 | | | 30 | | | 31,950 | |
Bharti Airtel International Netherlands BV (Netherlands)†(a) | | 5.125% | | 3/11/2023 | | | 200 | | | 205,890 | |
Comcel Trust† | | 6.875% | | 2/6/2024 | | | 200 | | | 216,500 | |
Ooredoo International Finance Ltd.† | | 3.25% | | 2/21/2023 | | | 200 | | | 192,500 | |
Total | | | | | | | | | | 1,082,340 | |
| | | | | | | | | | | |
Transportation: Miscellaneous 1.80% | | | | | | | | | | | |
Mersin Uluslararasi Liman Isletmeciligi AS (Turkey)†(a) | | 5.875% | | 8/12/2020 | | | 200 | | | 212,880 | |
| | | | | | | | | | | |
Utilities 1.80% | | | | | | | | | | | |
Hrvatska Elektroprivreda (Croatia)†(a) | | 6.00% | | 11/9/2017 | | | 200 | | | 212,750 | |
| | | | | | | | | | | |
Utilities: Miscellaneous 1.89% | | | | | | | | | | | |
Inkia Energy Ltd. (Peru)†(a) | | 8.375% | | 4/4/2021 | | | 200 | | | 223,500 | |
Total Corporate Bonds (cost $10,281,913) | | | | | | | | | | 10,679,676 | |
| See Notes to Financial Statements. | 11 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
FOREIGN BONDS(b) 2.56% | | | | | | | | | | | |
| | | | | | | | | | | |
Brazil 1.00% | | | | | | | | | | | |
| | | | | | | | | | | |
Food/Beverage | | | | | | | | | | | |
BRF SA† | | 7.75% | | 5/22/2018 | | BRL | 300 | | $ | 117,787 | |
| | | | | | | | | | | |
Mexico 1.25% | | | | | | | | | | | |
| | | | | | | | | | | |
Transportation: Miscellaneous | | | | | | | | | | | |
Red de Carreteras de Occidente SAPIB de CV | | 9.00% | | 6/10/2028 | | MXN | 2,000 | | | 148,205 | |
| | | | | | | | | | | |
United Kingdom 0.31% | | | | | | | | | | | |
| | | | | | | | | | | |
Retail | | | | | | | | | | | |
Enterprise Inns plc | | 6.875% | | 2/15/2021 | | GBP | 20 | | | 36,795 | |
Total Foreign Bonds (cost $285,159) | | | | | | | | | | 302,787 | |
| | | | | | | | | | | |
FOREIGN GOVERNMENT OBLIGATIONS 2.06% | | | | | | | | | | | |
| | | | | | | | | | | |
Belize 0.30% | | | | | | | | | | | |
Republic of Belize†(a) | | 5.00% | | 2/20/2038 | | $ | 50 | | | 35,500 | |
| | | | | | | | | | | |
Kenya 1.76% | | | | | | | | | | | |
Republic of Kenya†(a) | | 6.875% | | 6/24/2024 | | | 200 | | | 208,400 | |
Total Foreign Government Obligations (cost $232,600) | | | | | | | | | | 243,900 | |
| | | | | | | | | | | |
MUNICIPAL BOND 0.74% | | | | | | | | | | | |
| | | | | | | | | | | |
General Obligation | | | | | | | | | | | |
PR Comwlth GO (cost $93,035) | | 8.00% | | 7/1/2035 | | | 100 | | | 88,094 | |
Total Long-Term Investments (cost $10,926,317) | | | | | | | | | | 11,349,393 | |
| | | | | | | | | | | |
SHORT-TERM INVESTMENT 2.04% | | | | | | | | | | | |
| | | | | | | | | | | |
Repurchase Agreement | | | | | | | | | | | |
Repurchase Agreement dated 6/30/2014, Zero Coupon due 7/1/2014 with Fixed Income Clearing Corp. collateralized by $250,000 of U.S. Treasury Note at 2.00% due 11/30/2020; value: $250,313; proceeds: $241,729 (cost $241,729) | | | | | | | 242 | | | 241,729 | |
Total Investments in Securities 97.96% (cost $11,168,046) | | | | | | | | | | 11,591,122 | |
Cash and Other Assets in Excess of Liabilities(c) 2.04% | | | | | | | | | | 240,932 | |
Net Assets 100.00% | | | | | | | | | $ | 11,832,054 | |
12 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(concluded)
EMERGING MARKETS CORPORATE DEBT FUND June 30, 2014
BRL | | Brazilian real. |
GBP | | British pound. |
MXN | | Mexican peso. |
* | | Non-income producing security. |
† | | 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) | | Foreign security traded in U.S. dollars. |
(b) | | Investment in non-U.S. dollar denominated securities. |
(c) | | Cash and Other Assets in Excess of Liabilities include net unrealized depreciation on forward foreign currency exchange contracts as follows: |
Open Forward Foreign Currency Exchange Contracts at June 30, 2014:
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 | | Sell | | Credit Suisse | | 7/8/2014 | | 257,000 | | $111,927 | | $116,117 | | | $(4,190) |
British pound | | Sell | | Bank of America | | 7/17/2014 | | 21,000 | | 35,137 | | 35,935 | | | (798) |
Mexican peso | | Sell | | Goldman Sachs | | 7/10/2014 | | 1,885,416 | | 143,314 | | 145,247 | | | (1,933) |
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | $(6,921) |
The following is a summary of the inputs used as of June 30, 2014 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | $ | 11,437 | | | $ | — | | | $ | — | | | $ | 11,437 | |
Convertible Bonds | | | — | | | | 23,499 | | | | — | | | | 23,499 | |
Corporate Bonds | | | — | | | | 10,679,676 | | | | — | | | | 10,679,676 | |
Foreign Bonds | | | — | | | | 302,787 | | | | — | | | | 302,787 | |
Foreign Government Obligations | | | — | | | | 243,900 | | | | — | | | | 243,900 | |
Municipal Bond | | | — | | | | 88,094 | | | | — | | | | 88,094 | |
Repurchase Agreement | | | — | | | | 241,729 | | | | — | | | | 241,729 | |
Total | | $ | 11,437 | | | $ | 11,579,685 | | | $ | — | | | $ | 11,591,122 | |
Other Financial Instruments | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
Assets | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Liabilities | | | — | | | | (6,921 | ) | | | — | | | | (6,921 | ) |
Total | | $ | — | | | $ | (6,921 | ) | | $ | — | | | $ | (6,921 | ) |
| |
(1) | Refer to Note 2(p) for a description of fair value measurements and the three-tier hierarchy of inputs. |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
(3) | There were no level transfers during the period ended June 30, 2014. |
| |
| See Notes to Financial Statements. | 13 |
Schedule of Investments (unaudited)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
LONG-TERM INVESTMENTS 88.12% | | | | | | | | | | | |
| | | | | | | | | | | |
ASSET-BACKED SECURITIES 15.92% | | | | | | | | | | | |
| | | | | | | | | | | |
Automobiles 6.68% | | | | | | | | | | | |
Ally Auto Receivables Trust 2012-5 A3 | | 0.62% | | 3/15/2017 | | $ | 992 | | $ | 993,306 | |
Ally Auto Receivables Trust 2014-1 A3 | | 0.97% | | 10/15/2018 | | | 2,235 | | | 2,237,448 | |
AmeriCredit Automobile Receivables Trust 2011-4 A3 | | 1.17% | | 5/9/2016 | | | 99 | | | 99,377 | |
AmeriCredit Automobile Receivables Trust 2012-4 A2 | | 0.49% | | 4/8/2016 | | | 53 | | | 53,401 | |
AmeriCredit Automobile Receivables Trust 2012-4 A3 | | 0.67% | | 6/8/2017 | | | 625 | | | 625,796 | |
AmeriCredit Automobile Receivables Trust 2012-5 A3 | | 0.62% | | 6/8/2017 | | | 1,600 | | | 1,600,784 | |
AmeriCredit Automobile Receivables Trust 2013-1 B | | 1.07% | | 3/8/2018 | | | 257 | | | 257,812 | |
AmeriCredit Automobile Receivables Trust 2013-3 B | | 1.58% | | 9/10/2018 | | | 250 | | | 251,970 | |
AmeriCredit Automobile Receivables Trust 2013-4 A2 | | 0.74% | | 11/8/2016 | | | 1,073 | | | 1,074,326 | |
AmeriCredit Automobile Receivables Trust 2013-5 A2A | | 0.65% | | 3/8/2017 | | | 390 | | | 390,862 | |
AmeriCredit Automobile Receivables Trust 2013-5 A3 | | 0.90% | | 9/10/2018 | | | 586 | | | 587,350 | |
California Republic Auto Receivables Trust 2013-1 A2† | | 1.41% | | 9/17/2018 | | | 466 | | | 470,595 | |
California Republic Auto Receivables Trust 2013-2 A2 | | 1.23% | | 3/15/2019 | | | 546 | | | 549,806 | |
California Republic Auto Receivables Trust 2014-1 A3 | | 0.85% | | 5/15/2018 | | | 170 | | | 170,090 | |
Capital Auto Receivables Asset Trust 2013-1 A2 | | 0.62% | | 7/20/2016 | | | 919 | | | 919,698 | |
Capital Auto Receivables Asset Trust 2013-2 A2 | | 0.92% | | 9/20/2016 | | | 1,424 | | | 1,428,057 | |
Capital Auto Receivables Asset Trust 2014-1 A2 | | 0.96% | | 4/20/2017 | | | 1,905 | | | 1,912,769 | |
CarFinance Capital Auto Trust 2014-1A A† | | 1.46% | | 12/17/2018 | | | 228 | | | 228,589 | |
CarMax Auto Owner Trust 2013-3 A3 | | 0.97% | | 4/16/2018 | | | 1,027 | | | 1,032,898 | |
CarMax Auto Owner Trust 2013-4 A3 | | 0.80% | | 7/16/2018 | | | 450 | | | 450,003 | |
CarMax Auto Owner Trust 2014-2 A3 | | 0.98% | | 1/15/2019 | | | 1,240 | | | 1,241,517 | |
Chrysler Capital Auto Receivables Trust 2013-AA A3† | | 0.91% | | 4/16/2018 | | | 440 | | | 441,736 | |
Ford Credit Auto Owner Trust 2013-D A3 | | 0.67% | | 4/15/2018 | | | 2,667 | | | 2,668,662 | |
Honda Auto Receivables Owner Trust 2013-4 A3 | | 0.69% | | 9/18/2017 | | | 1,100 | | | 1,102,324 | |
| | | | | | | | | | | |
14 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Automobiles (continued) | | | | | | | | | | | |
Hyundai Auto Lease Securitization Trust 2013-A A3† | | 0.66% | | 6/15/2016 | | $ | 1,790 | | $ | 1,792,819 | |
Hyundai Auto Receivables Trust 2014-B A3 | | 0.90% | | 12/17/2018 | | | 1,060 | | | 1,061,016 | |
Mercedes-Benz Auto Lease Trust 2013-A A2 | | 0.49% | | 6/15/2015 | | | 736 | | | 735,750 | |
Mercedes-Benz Auto Lease Trust 2013-A A3 | | 0.59% | | 2/15/2016 | | | 1,040 | | | 1,040,831 | |
Mercedes-Benz Auto Lease Trust 2013-B A3 | | 0.62% | | 7/15/2016 | | | 570 | | | 570,910 | |
Nissan Auto Lease Trust 2012-B A3 | | 0.58% | | 11/16/2015 | | | 1,140 | | | 1,140,726 | |
Nissan Auto Lease Trust 2013-A A3 | | 0.61% | | 4/15/2016 | | | 1,558 | | | 1,561,213 | |
Porsche Innovative Lease Owner Trust 2013-1 A3† | | 0.70% | | 8/22/2016 | | | 571 | | | 572,076 | |
Santander Drive Auto Receivables Trust 2012-4 A3 | | 1.04% | | 8/15/2016 | | | 522 | | | 522,300 | |
Santander Drive Auto Receivables Trust 2012-6 A3 | | 0.62% | | 7/15/2016 | | | 476 | | | 475,930 | |
Santander Drive Auto Receivables Trust 2013-1 A3 | | 0.62% | | 6/15/2017 | | | 1,427 | | | 1,428,664 | |
Santander Drive Auto Receivables Trust 2013-2 A2 | | 0.47% | | 3/15/2016 | | | 74 | | | 74,218 | |
Santander Drive Auto Receivables Trust 2013-3 A2 | | 0.55% | | 9/15/2016 | | | 208 | | | 208,291 | |
Santander Drive Auto Receivables Trust 2013-3 B | | 1.19% | | 5/15/2018 | | | 420 | | | 421,551 | |
Volkswagen Auto Loan Enhanced Trust 2013-2 A3 | | 0.70% | | 4/20/2018 | | | 1,865 | | | 1,866,279 | |
World Omni Automobile Lease Securitization Trust 2013-A A2A | | 0.73% | | 5/16/2016 | | | 548 | | | 548,832 | |
Total | | | | | | | | | | 34,810,582 | |
| | | | | | | | | | | |
Credit Cards 4.06% | | | | | | | | | | | |
American Express Credit Account Master Trust 2009-2 A | | 1.402% | # | 3/15/2017 | | | 1,200 | | | 1,201,841 | |
American Express Credit Account Master Trust 2012-5 A | | 0.59% | | 5/15/2018 | | | 2,075 | | | 2,078,729 | |
Bank of America Credit Card Trust 2007-A10 | | 0.222% | # | 12/15/2016 | | | 1,500 | | | 1,499,931 | |
Barclays Dryrock Issuance Trust 2012-1 A | | 0.302% | # | 8/15/2017 | | | 1,000 | | | 1,000,000 | |
Capital One Multi-Asset Execution Trust 2014-A2 | | 1.26% | | 1/15/2020 | | | 880 | | | 884,505 | |
Chase Issuance Trust 2012-A3 | | 0.79% | | 6/15/2017 | | | 2,000 | | | 2,007,749 | |
Citibank Credit Card Issuance Trust 2013-A1 | | 0.254% | # | 4/24/2017 | | | 2,000 | | | 1,999,619 | |
Citibank Omni Master Trust 2009-A14A† | | 2.902% | # | 8/15/2018 | | | 2,792 | | | 2,801,123 | |
Discover Card Execution Note Trust 2012-A1 | | 0.81% | | 8/15/2017 | | | 2,165 | | | 2,171,476 | |
Dryden Senior Loan Fund 2012-23RA A1R†(a) | | 1.484% | # | 7/17/2023 | | | 2,000 | | | 1,998,000 | |
GE Capital Credit Card Master Note Trust 2010-1 A | | 3.69% | | 3/15/2018 | | | 2,000 | | | 2,044,704 | |
World Financial Network Credit Card Master Trust 2011-A | | 1.68% | | 8/15/2018 | | | 400 | | | 401,206 | |
World Financial Network Credit Card Master Trust 2013-B A | | 0.91% | | 3/16/2020 | | | 1,050 | | | 1,052,633 | |
Total | | | | | | | | | | 21,141,516 | |
| | | | | | | | | | | |
| See Notes to Financial Statements. | 15 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Other 5.18% | | | | | | | | | | | |
AMAC CDO Funding I 2006-1A A1† | | 0.428% | # | 11/23/2050 | | $ | 406 | | $ | 392,171 | |
Avenue CLO VI Ltd. 2007-6A A2† | | 0.576% | # | 7/17/2019 | | | 500 | | | 484,781 | |
Babson CLO, Inc. 2006 I-1A B† | | 0.617% | # | 7/15/2018 | | | 500 | | | 497,480 | |
CIFC Funding II Ltd. 2014-2A A1L† | | 1.725% | # | 5/24/2026 | | | 500 | | | 501,217 | |
Divcore CLO 2013 | | 4.051% | | 11/27/2032 | | | 1,000 | | | 1,001,250 | |
Fairway Loan Funding Co. 2006-1A A3L† | | 0.886% | # | 10/17/2018 | | | 600 | | | 594,808 | |
Fortress Credit BSL II Ltd. 2013-2A A1F† | | 1.727% | # | 10/19/2025 | | | 525 | | | 522,809 | |
Fortress Credit BSL Ltd. 2013-1A A† | | 1.408% | # | 1/19/2025 | | | 1,000 | | | 990,761 | |
Fraser Sullivan CLO II Ltd. 2006-2A A2† | | 0.531% | # | 12/20/2020 | | | 500 | | | 491,088 | |
Gannett Peak CLO Ltd. 2006-1A A2† | | 0.588% | # | 10/27/2020 | | | 400 | | | 395,297 | |
Gleneagles CLO Ltd. 2005-1A B† | | 0.775% | # | 11/1/2017 | | | 500 | | | 492,949 | |
HLSS Servicer Advance Receivables Backed Notes 2012-T2 A2† | | 1.99% | | 10/15/2045 | | | 750 | | | 756,264 | |
HLSS Servicer Advance Receivables Backed Notes 2013-T1 A2† | | 1.495% | | 1/16/2046 | | | 1,660 | | | 1,662,723 | |
HLSS Servicer Advance Receivables Backed Notes 2013-T2 A2† | | 1.147% | | 5/16/2044 | | | 500 | | | 500,185 | |
HLSS Servicer Advance Receivables Backed Notes 2013-T3 A3† | | 1.793% | | 5/15/2046 | | | 500 | | | 494,806 | |
HLSS Servicer Advance Receivables Backed Notes 2013-T3 B3† | | 2.14% | | 5/15/2046 | | | 750 | | | 739,583 | |
HLSS Servicer Advance Receivables Backed Notes 2013-T6 AT6† | | 1.287% | | 9/15/2044 | | | 630 | | | 630,349 | |
HLSS Servicer Advance Receivables Backed Notes 2013-T7 AT7† | | 1.981% | | 11/15/2046 | | | 1,650 | | | 1,653,427 | |
JFIN CLO Ltd. 2007-1A A2† | | 0.468% | # | 7/20/2021 | | | 471 | | | 467,273 | |
JFIN Revolver CLO Ltd. 2013-1A A† | | 1.497% | # | 1/20/2021 | | | 750 | | | 748,020 | |
KKR Financial CLO Corp. 2007-1A B† | | 0.974% | # | 5/15/2021 | | | 750 | | | 730,356 | |
Liberty CLO Ltd. 2005-1A A1C† | | 0.475% | # | 11/1/2017 | | | 369 | | | 368,088 | |
New Residential Advance Receivables Trust Advance Receivables Backed 2014-T2 AT2† | | 2.377% | | 3/15/2047 | | | 400 | | | 401,887 | |
OZLM VII Ltd. 2014-7A A1B† | | 1.745% | # | 7/17/2026 | | | 750 | | | 748,800 | |
Red River CLO Ltd. 1A A† | | 0.495% | # | 7/27/2018 | | | 474 | | | 471,206 | |
SLM Student Loan Trust 2006-4 A4 | | 0.309% | # | 4/25/2023 | | | 41 | | | 41,296 | |
SLM Student Loan Trust 2010-A 2A† | | 3.402% | # | 5/16/2044 | | | 1,622 | | | 1,726,381 | |
SLM Student Loan Trust 2011-1 A1(b) | | 0.672% | # | 3/25/2026 | | | 899 | | | 902,704 | |
SLM Student Loan Trust 2011-B A1† | | 1.002% | # | 12/16/2024 | | | 1,818 | | | 1,827,808 | |
SLM Student Loan Trust 2012-A A1† | | 1.552% | # | 8/15/2025 | | | 582 | | | 589,998 | |
SLM Student Loan Trust 2012-C A1† | | 1.252% | # | 8/15/2023 | | | 700 | | | 704,992 | |
| |
16 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Other (continued) | | | | | | | | | | | |
SLM Student Loan Trust 2012-E A1† | | 0.902% | # | 10/16/2023 | | $ | 283 | | $ | 284,478 | |
SLM Student Loan Trust 2013-B A1† | | 0.802% | # | 7/15/2022 | | | 673 | | | 674,832 | |
Stone Tower CLO V Ltd. 2006-5A A2B† | | 0.559% | # | 7/16/2020 | | | 1,500 | | | 1,455,453 | |
Stone Tower CLO VI Ltd. 2007-6A A2B† | | 0.546% | # | 4/17/2021 | | | 600 | | | 570,742 | |
Venture XVII CLO Ltd. 2014-17A A† | | 1.764% | # | 7/15/2026 | | | 850 | | | 852,189 | |
Westchester CLO Ltd. 2007-1A A1A† | | 0.45% | # | 8/1/2022 | | | 602 | | | 596,270 | |
Total | | | | | | | | | | 26,964,721 | |
Total Asset-Backed Securities (cost $82,844,352) | | | | | | | | | | 82,916,819 | |
| | | | | | | | | | | |
CORPORATE BONDS 34.63% | | | | | | | | | | | |
| | | | | | | | | | | |
Aerospace/Defense 0.31% | | | | | | | | | | | |
Exelis, Inc. | | 4.25% | | 10/1/2016 | | | 1,500 | | | 1,591,838 | |
| | | | | | | | | | | |
Auto Loans 0.38% | | | | | | | | | | | |
Ford Motor Credit Co. LLC | | 0.80% | # | 12/6/2017 | | | 2,000 | | | 2,003,006 | |
| | | | | | | | | | | |
Auto Parts & Equipment 0.83% | | | | | | | | | | | |
Continental Rubber of America Corp.† | | 4.50% | | 9/15/2019 | | | 2,500 | | | 2,661,000 | |
Delphi Corp. | | 6.125% | | 5/15/2021 | | | 1,500 | | | 1,680,150 | |
Total | | | | | | | | | | 4,341,150 | |
| | | | | | | | | | | |
Banking 5.54% | | | | | | | | | | | |
AmSouth Bank | | 5.20% | | 4/1/2015 | | | 1,250 | | | 1,289,734 | |
Associated Banc-Corp. | | 5.125% | | 3/28/2016 | | | 1,250 | | | 1,331,920 | |
Bank of America Corp. | | 5.70% | | 5/2/2017 | | | 308 | | | 342,019 | |
Bank of America Corp. | | 7.75% | | 8/15/2015 | | | 811 | | | 871,780 | |
Bank of America Corp. | | 7.80% | | 9/15/2016 | | | 123 | | | 139,856 | |
Bank of America Corp. | | 10.20% | | 7/15/2015 | | | 3,000 | | | 3,290,553 | |
Bank of America NA | | 6.10% | | 6/15/2017 | | | 500 | | | 564,474 | |
Citigroup, Inc. | | 0.501% | # | 6/9/2016 | | | 4,430 | | | 4,391,813 | |
Comerica Bank | | 8.375% | | 7/15/2024 | | | 250 | | | 250,655 | |
Export-Import Bank of Korea (South Korea)(c) | | 0.977% | # | 1/14/2017 | | | 1,000 | | | 1,007,396 | |
Goldman Sachs Group, Inc. (The) | | 2.227% | # | 8/24/2016 | | | 250 | | | 255,639 | |
Korea Development Bank (The) (South Korea)(c) | | 0.853% | # | 1/22/2017 | | | 1,000 | | | 1,001,773 | |
Lloyds Bank plc (United Kingdom)(c) | | 9.875% | | 12/16/2021 | | | 500 | | | 592,500 | |
Morgan Stanley | | 3.00% | | 8/31/2015 | | | 500 | | | 510,625 | |
Morgan Stanley | | 5.375% | | 10/15/2015 | | | 450 | | | 476,635 | |
Regions Financial Corp. | | 5.75% | | 6/15/2015 | | | 500 | | | 522,707 | |
Regions Financial Corp. | | 7.75% | | 11/10/2014 | | | 1,000 | | | 1,025,094 | |
| | | | | | | | | | | |
| See Notes to Financial Statements. | 17 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
| | | | | | Principal | | | |
| | Interest | | Maturity | | Amount | | Fair | |
Investments | | Rate | | Date | | | (000) | | | Value | |
Banking (continued) | | | | | | | | | | | |
Royal Bank of Scotland Group plc (United Kingdom)(c) | | 1.174% | # | 3/31/2017 | | $ | 2,000 | | $ | 2,011,080 | |
Royal Bank of Scotland Group plc (United Kingdom)(c) | | 2.55% | | 9/18/2015 | | | 895 | | | 913,731 | |
Santander Holdings USA, Inc. | | 3.00% | | 9/24/2015 | | | 250 | | | 256,862 | |
Shinhan Bank (South Korea)†(c) | | 0.88% | # | 4/8/2017 | | | 1,800 | | | 1,806,640 | |
US Bank NA | | 3.778% | | 4/29/2020 | | | 5,000 | | | 5,118,680 | |
Zions Bancorporation | | 4.00% | | 6/20/2016 | | | 832 | | | 874,696 | |
Total | | | | | | | | | | 28,846,862 | |
| | | | | | | | | | | |
Brokerage 0.37% | | | | | | | | | | | |
Jefferies Group LLC | | 5.125% | | 4/13/2018 | | | 1,000 | | | 1,097,519 | |
Jefferies Group LLC | | 5.50% | | 3/15/2016 | | | 500 | | | 535,774 | |
Raymond James Financial, Inc. | | 8.60% | | 8/15/2019 | | | 250 | | | 316,041 | |
Total | | | | | | | | | | 1,949,334 | |
| | | | | | | | | | | |
Building Materials 0.15% | | | | | | | | | | | |
Martin Marietta Materials, Inc.†(a) | | 1.331% | # | 6/30/2017 | | | 500 | | | 500,073 | |
Owens Corning, Inc. | | 6.50% | | 12/1/2016 | | | 250 | | | 278,971 | |
Total | | | | | | | | | | 779,044 | |
| | | | | | | | | | | |
Chemicals 0.50% | | | | | | | | | | | |
Incitec Pivot Ltd. (Australia)†(c) | | 4.00% | | 12/7/2015 | | | 250 | | | 259,790 | |
Yara International ASA (Norway)†(c) | | 5.25% | | 12/15/2014 | | | 1,685 | | | 1,720,385 | |
Yara International ASA (Norway)†(c) | | 7.875% | | 6/11/2019 | | | 500 | | | 612,847 | |
Total | | | | | | | | | | 2,593,022 | |
| | | | | | | | | | | |
Computer Hardware 0.36% | | | | | | | | | | | |
Brocade Communications Systems, Inc. | | 6.875% | | 1/15/2020 | | | 1,750 | | | 1,855,000 | |
| | | | | | | | | | | |
Consumer Products 0.39% | | | | | | | | | | | |
Avon Products, Inc. | | 2.375% | | 3/15/2016 | | | 2,000 | | | 2,027,282 | |
| | | | | | | | | | | |
Consumer/Commercial/Lease Financing 0.70% | | | | | | | | | | | |
Air Lease Corp. | | 5.625% | | 4/1/2017 | | | 2,000 | | | 2,197,500 | |
International Lease Finance Corp.† | | 7.125% | | 9/1/2018 | | | 1,250 | | | 1,453,125 | |
Total | | | | | | | | | | 3,650,625 | |
| | | | | | | | | | | |
Diversified Capital Goods 0.62% | | | | | | | | | | | |
Leucadia National Corp. | | 8.125% | | 9/15/2015 | | | 3,000 | | | 3,243,750 | |
| | | | | | | | | | | |
18 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Electric: Distribution/Transportation 0.50% | | | | | | | | | | | |
Pepco Holdings, Inc. | | 2.70% | | 10/1/2015 | | $ | 1,000 | | $ | 1,020,013 | |
PPL WEM Holdings Ltd. (United Kingdom)†(c) | | 3.90% | | 5/1/2016 | | | 1,250 | | | 1,309,528 | |
SteelRiver Transmission Co. LLC† | | 4.71% | | 6/30/2017 | | | 237 | | | 251,410 | |
Total | | | | | | | | | | 2,580,951 | |
| | | | | | | | | | | |
Electric: Integrated 1.94% | | | | | | | | | | | |
Cleveland Electric Illuminating Co. (The) | | 5.70% | | 4/1/2017 | | | 1,000 | | | 1,091,929 | |
Duquesne Light Holdings, Inc. | | 5.50% | | 8/15/2015 | | | 1,000 | | | 1,051,116 | |
Entergy Corp. | | 4.70% | | 1/15/2017 | | | 2,250 | | | 2,429,096 | |
Exelon Generation Co. LLC | | 6.20% | | 10/1/2017 | | | 375 | | | 427,569 | |
Jersey Central Power & Light Co. | | 5.625% | | 5/1/2016 | | | 1,375 | | | 1,482,218 | |
Pennsylvania Electric Co. | | 6.05% | | 9/1/2017 | | | 2,000 | | | 2,269,476 | |
Public Service Co. of New Mexico | | 7.95% | | 5/15/2018 | | | 1,125 | | | 1,351,832 | |
Total | | | | | | | | | | 10,103,236 | |
| | | | | | | | | | | |
Energy: Exploration & Production 2.36% | | | | | | | | | | | |
Continental Resources, Inc. | | 7.125% | | 4/1/2021 | | | 1,225 | | | 1,388,844 | |
Continental Resources, Inc. | | 7.375% | | 10/1/2020 | | | 1,900 | | | 2,120,875 | |
Continental Resources, Inc. | | 8.25% | | 10/1/2019 | | | 1,526 | | | 1,619,428 | |
Hrvatska Elektroprivreda (Croatia)†(c) | | 6.00% | | 11/9/2017 | | | 200 | | | 212,750 | |
Petrohawk Energy Corp. | | 6.25% | | 6/1/2019 | | | 1,128 | | | 1,221,060 | |
Plains Exploration & Production Co. | | 7.625% | | 4/1/2020 | | | 3,750 | | | 4,115,625 | |
Plains Exploration & Production Co. | | 8.625% | | 10/15/2019 | | | 1,500 | | | 1,612,500 | |
Total | | | | | | | | | | 12,291,082 | |
| | | | | | | | | | | |
Food & Drug Retailers 0.19% | | | | | | | | | | | |
Safeway, Inc. | | 5.625% | | 8/15/2014 | | | 1,000 | | | 1,005,909 | |
| | | | | | | | | | | |
Food: Wholesale 0.38% | | | | | | | | | | | |
Mondelez International, Inc. | | 0.745% | # | 2/1/2019 | | | 2,000 | | | 1,997,762 | |
| | | | | | | | | | | |
Gas Distribution 2.87% | | | | | | | | | | | |
Copano Energy LLC/Copano Energy Finance Corp. | | 7.125% | | 4/1/2021 | | | 1,250 | | | 1,417,145 | |
Crosstex Energy LP/Crosstex Energy Finance Corp. | | 7.125% | | 6/1/2022 | | | 3,171 | | | 3,692,233 | |
DCP Midstream Operating LP | | 3.25% | | 10/1/2015 | | | 1,150 | | | 1,181,988 | |
El Paso Pipeline Partners Operating Co. LLC | | 4.10% | | 11/15/2015 | | | 1,000 | | | 1,045,313 | |
Enbridge Energy Partners LP | | 6.50% | | 4/15/2018 | | | 500 | | | 583,328 | |
Gulfstream Natural Gas System LLC† | | 5.56% | | 11/1/2015 | | | 2,750 | | | 2,905,884 | |
Southeast Supply Header LLC† | | 4.85% | | 8/15/2014 | | | 1,500 | | | 1,506,600 | |
Texas Gas Transmission LLC | | 4.60% | | 6/1/2015 | | | 2,500 | | | 2,590,565 | |
Total | | | | | | | | | | 14,923,056 | |
| See Notes to Financial Statements. | 19 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Health Facilities 0.87% | | | | | | | | | | | |
Omega Healthcare Investors, Inc. | | 6.75% | | 10/15/2022 | | $ | 2,000 | | $ | 2,171,400 | |
Omega Healthcare Investors, Inc. | | 7.50% | | 2/15/2020 | | | 2,203 | | | 2,379,240 | |
Total | | | | | | | | | | 4,550,640 | |
| | | | | | | | | | | |
Hotels 1.04% | | | | | | | | | | | |
Host Hotels & Resorts LP | | 5.875% | | 6/15/2019 | | | 1,500 | | | 1,611,990 | |
Host Hotels & Resorts LP | | 6.00% | | 11/1/2020 | | | 3,500 | | | 3,820,789 | |
Total | | | | | | | | | | 5,432,779 | |
| | | | | | | | | | | |
Integrated Energy 1.35% | | | | | | | | | | | |
CNPC General Capital Ltd. (China)†(c) | | 1.125% | # | 5/14/2017 | | | 2,000 | | | 2,007,014 | |
Petrobras Global Finance BV (Netherlands)(c) | | 2.592% | # | 3/17/2017 | | | 3,000 | | | 3,043,200 | |
Sinopec Group Overseas Development 2014 Ltd.† | | 1.007% | # | 4/10/2017 | | | 2,000 | | | 2,003,000 | |
Total | | | | | | | | | | 7,053,214 | |
| | | | | | | | | | | |
Investments & Miscellaneous Financial Services 0.54% | | | | | | | | | | | |
Ares Capital Corp. | | 4.875% | | 11/30/2018 | | | 750 | | | 798,866 | |
Kayne Anderson MLP Investment Co. | | 1.481% | # | 8/19/2016 | | | 2,000 | | | 2,005,236 | |
Total | | | | | | | | | | 2,804,102 | |
| | | | | | | | | | | |
Life Insurance 0.35% | | | | | | | | | | | |
Symetra Financial Corp.† | | 6.125% | | 4/1/2016 | | | 825 | | | 885,786 | |
UnumProvident Finance Co. plc (United Kingdom)†(c) | | 6.85% | | 11/15/2015 | | | 889 | | | 956,123 | |
Total | | | | | | | | | | 1,841,909 | |
| | | | | | | | | | | |
Media: Cable 0.12% | | | | | | | | | | | |
BSKYB Finance UK PLC (United Kingdom)†(c) | | 5.625% | | 10/15/2015 | | | 450 | | | 477,770 | |
Cox Communications, Inc. | | 5.50% | | 10/1/2015 | | | 150 | | | 158,828 | |
Total | | | | | | | | | | 636,598 | |
| | | | | | | | | | | |
Medical Products 0.27% | | | | | | | | | | | |
Hospira, Inc. | | 6.05% | | 3/30/2017 | | | 1,250 | | | 1,379,899 | |
| | | | | | | | | | | |
Metals/Mining (Excluding Steel) 1.44% | | | | | | | | | | | |
Anglo American Capital plc (United Kingdom)†(c) | | 1.176% | # | 4/15/2016 | | | 500 | | | 501,809 | |
Barrick Gold Corp. (Canada)(c) | | 2.90% | | 5/30/2016 | | | 375 | | | 387,227 | |
Glencore Canada Corp. (Canada)(c) | | 5.50% | | 6/15/2017 | | | 500 | | | 550,843 | |
Glencore Funding LLC† | | 1.387% | # | 5/27/2016 | | | 3,200 | | | 3,220,867 | |
Glencore Funding LLC† | | 1.587% | # | 1/15/2019 | | | 500 | | | 502,960 | |
20 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Metals/Mining (Excluding Steel) (continued) | | | | | | | | | | | |
Kinross Gold Corp. (Canada)(c) | | 3.625% | | 9/1/2016 | | $ | 1,500 | | $ | 1,563,693 | |
Xstrata Finance Canada Ltd. (Canada)†(c) | | 3.60% | | 1/15/2017 | | | 750 | | | 787,348 | |
Total | | | | | | | | | | 7,514,747 | |
| | | | | | | | | | | |
Oil Field Equipment & Services 0.63% | | | | | | | | | | | |
National Oilwell Varco, Inc. | | 6.125% | | 8/15/2015 | | | 750 | | | 750,823 | |
Noble Holding International Ltd. | | 3.45% | | 8/1/2015 | | | 250 | | | 257,196 | |
Transocean, Inc. | | 6.00% | | 3/15/2018 | | | 2,000 | | | 2,260,956 | |
Total | | | | | | | | | | 3,268,975 | |
| | | | | | | | | | | |
Pharmaceuticals 1.14% | | | | | | | | | | | |
Mylan, Inc.† | | 6.00% | | 11/15/2018 | | | 756 | | | 790,803 | |
Mylan, Inc.† | | 7.875% | | 7/15/2020 | | | 2,754 | | | 3,049,058 | |
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC | | 7.75% | | 9/15/2018 | | | 2,000 | | | 2,107,580 | |
Total | | | | | | | | | | 5,947,441 | |
| | | | | | | | | | | |
Real Estate Investment Trusts 3.06% | | | | | | | | | | | |
ARC Properties Operating Partnership LP/Clark Acquisition LLC† | | 2.00% | | 2/6/2017 | | | 2,500 | | | 2,507,590 | |
DDR Corp. | | 7.50% | | 7/15/2018 | | | 500 | | | 597,651 | |
Digital Realty Trust LP | | 4.50% | | 7/15/2015 | | | 2,000 | | | 2,057,440 | |
Digital Realty Trust LP | | 5.875% | | 2/1/2020 | | | 250 | | | 278,185 | |
Healthcare Realty Trust, Inc. | | 6.50% | | 1/17/2017 | | | 2,150 | | | 2,418,720 | |
Hospitality Properties Trust | | 5.125% | | 2/15/2015 | | | 1,943 | | | 1,952,800 | |
Hospitality Properties Trust | | 6.30% | | 6/15/2016 | | | 500 | | | 534,275 | |
Hospitality Properties Trust | | 6.70% | | 1/15/2018 | | | 687 | | | 774,399 | |
Kilroy Realty LP | | 5.00% | | 11/3/2015 | | | 475 | | | 501,856 | |
Mid-America Apartments LP† | | 6.05% | | 9/1/2016 | | | 575 | | | 629,846 | |
Reckson Operating Partnership LP | | 6.00% | | 3/31/2016 | | | 1,500 | | | 1,614,993 | |
Regency Centers LP | | 5.25% | | 8/1/2015 | | | 1,262 | | | 1,321,829 | |
SL Green Realty Corp./SL Green Operating Partnership/Reckson Operating Part | | 5.00% | | 8/15/2018 | | | 500 | | | 544,711 | |
UDR, Inc. | | 5.25% | | 1/15/2016 | | | 175 | | | 186,302 | |
Total | | | | | | | | | | 15,920,597 | |
| | | | | | | | | | | |
Restaurants 0.33% | | | | | | | | | | | |
Darden Restaurants, Inc. | | 6.20% | | 10/15/2017 | | | 1,500 | | | 1,717,905 | |
| See Notes to Financial Statements. | 21 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Software/Services 1.40% | | | | | | | | | | | |
Computer Sciences Corp. | | 2.50% | | 9/15/2015 | | $ | 500 | | $ | 509,091 | |
Dun & Bradstreet Corp. (The) | | 2.875% | | 11/15/2015 | | | 3,000 | | | 3,082,956 | |
Fidelity National Information Services, Inc. | | 7.875% | | 7/15/2020 | | | 3,500 | | | 3,706,710 | |
Total | | | | | | | | | | 7,298,757 | |
| | | | | | | | | | | |
Specialty Retail 1.09% | | | | | | | | | | | |
QVC, Inc.† | | 7.375% | | 10/15/2020 | | | 4,000 | | | 4,295,032 | |
QVC, Inc.† | | 7.50% | | 10/1/2019 | | | 1,300 | | | 1,366,474 | |
Total | | | | | | | | | | 5,661,506 | |
| | | | | | | | | | | |
Support: Services 1.07% | | | | | | | | | | | |
URS Corp. | | 3.85% | | 4/1/2017 | | | 500 | | | 521,454 | |
Western Union Co. (The) | | 1.227% | # | 8/21/2015 | | | 5,000 | | | 5,033,175 | |
Total | | | | | | | | | | 5,554,629 | |
| | | | | | | | | | | |
Telecommunications: Integrated/Services 0.47% | | | | | | | | | | | |
Qwest Corp. | | 7.50% | | 10/1/2014 | | | 1,750 | | | 1,779,731 | |
Qwest Corp. | | 7.625% | | 6/15/2015 | | | 625 | | | 662,204 | |
Total | | | | | | | | | | 2,441,935 | |
| | | | | | | | | | | |
Telecommunications: Wireless 0.22% | | | | | | | | | | | |
American Tower Corp. | | 7.00% | | 10/15/2017 | | | 1,000 | | | 1,164,625 | |
| | | | | | | | | | | |
Transportation (Excluding Air/Rail) 0.85% | | | | | | | | | | | |
Asciano Finance Ltd. (Australia)†(c) | | 3.125% | | 9/23/2015 | | | 2,750 | | | 2,807,398 | |
Con-way, Inc. | | 7.25% | | 1/15/2018 | | | 1,391 | | | 1,623,297 | |
Total | | | | | | | | | | 4,430,695 | |
Total Corporate Bonds (cost $179,318,003) | | | | | | | | | | 180,403,862 | |
| | | | | | | | | | | |
FLOATING RATE LOANS(d) 5.04% | | | | | | | | | | | |
| | | | | | | | | | | |
Aerospace/Defense 0.77% | | | | | | | | | | | |
Alliant Techsystems, Inc. Term Loan B | | 3.50% - 5.00% | | 11/1/2020 | | | 2,139 | | | 2,146,941 | |
Delos Finance S.A.R.L. Term Loan (Luxembourg)(c) | | 3.50% | | 3/6/2021 | | | 1,850 | | | 1,852,118 | |
Total | | | | | | | | | | 3,999,059 | |
| | | | | | | | | | | |
Apparel/Textiles 0.19% | | | | | | | | | | | |
PVH Corp. Tranche B Term Loan | | 3.25% | | 2/13/2020 | | | 983 | | | 991,446 | |
| | | | | | | | | | | |
Electronics 0.37% | | | | | | | | | | | |
Avago Technologies Cayman Ltd. Term Loan | | 3.00% | | 5/6/2021 | | | 1,925 | | | 1,933,201 | |
22 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Food: Wholesale 0.09% | | | | | | | | | | | |
Aramark Corp. Term Loan E | | 3.25% | | 9/7/2019 | | $ | 499 | | $ | 496,007 | |
| | | | | | | | | | | |
Gaming 0.94% | | | | | | | | | | | |
Las Vegas Sands LLC Term Loan B | | 3.25% | | 12/19/2020 | | | 2,239 | | | 2,241,187 | |
Seminole Tribe of Florida Initial Term Loan | | 3.00% | | 4/29/2020 | | | 2,663 | | | 2,662,120 | |
Total | | | | | | | | | | 4,903,307 | |
| | | | | | | | | | | |
Media: Broadcast 0.43% | | | | | | | | | | | |
AMC Networks, Inc. Term Loan A | | 2.151% | | 6/30/2017 | | | 2,250 | | | 2,254,579 | |
| | | | | | | | | | | |
Media: Cable 0.59% | | | | | | | | | | | |
Charter Communications Operating LLC Term Loan E | | 3.00% | | 7/1/2020 | | | 1,742 | | | 1,717,525 | |
CSC Holdings LLC Term Loan B | | 2.65% | | 4/17/2020 | | | 1,350 | | | 1,337,633 | |
Total | | | | | | | | | | 3,055,158 | |
| | | | | | | | | | | |
Medical Products 0.57% | | | | | | | | | | | |
Fresenius US Finance I, Inc. Tranche B Term Loan (Germany)(c) | | 2.234% | | 8/7/2019 | | | 1,608 | | | 1,613,212 | |
Thermo Fisher Scientific, Inc. Committed Term Loan | | 1.623% | | 5/31/2016 | | | 1,363 | | | 1,364,633 | |
Total | | | | | | | | | | 2,977,845 | |
| | | | | | | | | | | |
Support: Services 0.60% | | | | | | | | | | | |
Activision Blizzard, Inc. Term Loan | | 3.25% | | 10/12/2020 | | | 3,092 | | | 3,103,441 | |
| | | | | | | | | | | |
Telecommunications: Wireless 0.49% | | | | | | | | | | | |
American Tower Corp. Term Loan A | | 1.40% | | 1/3/2019 | | | 1,625 | | | 1,625,008 | |
DigitalGlobe, Inc. Term Loan | | 3.75% | | 1/31/2020 | | | 914 | | | 916,997 | |
Total | | | | | | | | | | 2,542,005 | |
Total Floating Rate Loans (cost $26,284,107) | | | | | | | | | | 26,256,048 | |
| | | | | | | | | | | |
FOREIGN GOVERNMENT OBLIGATION(c) 0.05% | | | | | | | | | | | |
| | | | | | | | | | | |
Brazil | | | | | | | | | | | |
Federal Republic of Brazil (cost $249,913) | | 8.00% | | 1/15/2018 | | | 222 | | | 248,333 | |
| | | | | | | | | | | |
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 2.14% | |
| |
Federal Home Loan Mortgage Corp. 2011-K704 B† | | 4.687% | # | 10/25/2030 | | | 1,500 | | | 1,621,437 | |
Federal Home Loan Mortgage Corp. 2012-K706 B† | | 4.163% | # | 11/25/2044 | | | 100 | | | 106,241 | |
| See Notes to Financial Statements. | 23 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | | | | |
Federal Home Loan Mortgage Corp. 2012-K710 B† | | 3.949% | # | 6/25/2047 | | $ | 200 | | $ | 210,146 | |
Federal Home Loan Mortgage Corp. 2012-K711 B† | | 3.684% | # | 8/25/2045 | | | 303 | | | 314,923 | |
Federal Home Loan Mortgage Corp. 2013-K712 B† | | 3.484% | # | 5/25/2045 | | | 75 | | | 76,985 | |
Federal Home Loan Mortgage Corp. 2013-K713 B† | | 3.274% | # | 4/25/2046 | | | 300 | | | 303,667 | |
Federal Home Loan Mortgage Corp. K005 A1 | | 3.484% | | 4/25/2019 | | | 1,359 | | | 1,437,841 | |
Federal Home Loan Mortgage Corp. K006 A1 | | 3.398% | | 7/25/2019 | | | 797 | | | 842,561 | |
Federal Home Loan Mortgage Corp. K706 A1 | | 1.691% | | 6/25/2018 | | | 571 | | | 580,906 | |
Federal National Mortgage Assoc. 2011-M8 A1 | | 1.977% | | 8/25/2021 | | | 1,622 | | | 1,644,667 | |
Federal National Mortgage Assoc. 2012-M2 A1 | | 1.824% | | 2/25/2022 | | | 637 | | | 640,801 | |
Federal National Mortgage Assoc. 2013-M14 A | | 1.70% | | 8/25/2018 | | | 823 | | | 824,251 | |
Federal National Mortgage Assoc. 2013-M5 ASQ2 | | 0.595% | | 8/25/2015 | | | 432 | | | 432,684 | |
Government National Mortgage Assoc. 2014-15 IO | | 1.06% | | 8/16/2054 | | | 19,896 | | | 1,639,204 | |
Government National Mortgage Assoc. 2014-70 A | | 2.50% | | 3/16/2049 | | | 150 | | | 151,587 | |
Government National Mortgage Assoc. 2014-78 A | | 2.20% | | 4/16/2047 | | | 243 | | | 243,591 | |
Government National Mortgage Assoc. 2014-78 IO | | 1.003% | # | 3/16/2056 | | | 1,340 | | | 106,101 | |
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $11,031,270) | | | | | | 11,177,593 | |
| | | | | | | | | | | |
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 6.76% | | | | | |
| | | | | | | | | | | |
Federal Home Loan Mortgage Corp. | | 2.274% | # | 2/1/2038 | | | 753 | | | 799,445 | |
Federal Home Loan Mortgage Corp. | | 2.283% | # | 4/1/2038 | | | 992 | | | 1,049,183 | |
Federal Home Loan Mortgage Corp. | | 2.34% | # | 12/1/2035 | | | 880 | | | 933,925 | |
Federal Home Loan Mortgage Corp. | | 2.359% | # | 6/1/2038 | | | 243 | | | 259,525 | |
Federal Home Loan Mortgage Corp. | | 2.36% | # | 12/1/2037 | | | 434 | | | 462,065 | |
Federal Home Loan Mortgage Corp. | | 2.37% | # | 10/1/2035 | | | 642 | | | 683,768 | |
Federal Home Loan Mortgage Corp. | | 2.38% | # | 4/1/2037 | | | 563 | | | 598,401 | |
Federal Home Loan Mortgage Corp. | | 2.38% | # | 3/1/2038 | | | 632 | | | 672,250 | |
Federal Home Loan Mortgage Corp. | | 2.417% | # | 5/1/2036 | | | 475 | | | 505,776 | |
Federal Home Loan Mortgage Corp. | | 2.421% | # | 11/1/2038 | | | 907 | | | 965,280 | |
Federal Home Loan Mortgage Corp. | | 2.421% | # | 10/1/2038 | | | 376 | | | 399,786 | |
Federal Home Loan Mortgage Corp. | | 2.434% | # | 10/1/2039 | | | 582 | | | 618,072 | |
24 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | | | | | |
Federal Home Loan Mortgage Corp. | | 2.435% | # | 2/1/2035 | | $ | 1,657 | | $ | 1,762,507 | |
Federal Home Loan Mortgage Corp. | | 2.438% | # | 4/1/2037 | | | 243 | | | 258,024 | |
Federal Home Loan Mortgage Corp. | | 2.438% | # | 12/1/2036 | | | 815 | | | 867,654 | |
Federal Home Loan Mortgage Corp. | | 2.446% | # | 5/1/2035 | | | 412 | | | 438,432 | |
Federal Home Loan Mortgage Corp. | | 2.605% | # | 9/1/2036 | | | 748 | | | 800,887 | |
Federal Home Loan Mortgage Corp. | | 2.629% | # | 2/1/2037 | | | 867 | | | 931,167 | |
Federal Home Loan Mortgage Corp. | | 2.63% | # | 12/1/2035 | | | 711 | | | 763,598 | |
Federal Home Loan Mortgage Corp.(b) | | 5.00% | | 5/1/2021 | | | 115 | | | 124,300 | |
Federal National Mortgage Assoc. | | 1.923% | # | 7/1/2035 | | | 2,320 | | | 2,470,645 | |
Federal National Mortgage Assoc. | | 1.933% | # | 11/1/2034 | | | 1,264 | | | 1,327,122 | |
Federal National Mortgage Assoc. | | 1.935% | # | 1/1/2035 | | | 817 | | | 861,791 | |
Federal National Mortgage Assoc. | | 1.94% | # | 6/1/2038 | | | 916 | | | 975,848 | |
Federal National Mortgage Assoc. | | 2.105% | # | 12/1/2035 | | | 681 | | | 718,179 | |
Federal National Mortgage Assoc. | | 2.139% | # | 2/1/2036 | | | 446 | | | 473,171 | |
Federal National Mortgage Assoc. | | 2.159% | # | 3/1/2039 | | | 422 | | | 447,078 | |
Federal National Mortgage Assoc. | | 2.176% | # | 1/1/2036 | | | 1,406 | | | 1,489,673 | |
Federal National Mortgage Assoc. | | 2.224% | # | 11/1/2036 | | | 1,775 | | | 1,895,653 | |
Federal National Mortgage Assoc. | | 2.234% | # | 8/1/2037 | | | 501 | | | 533,044 | |
Federal National Mortgage Assoc. | | 2.30% | # | 9/1/2038 | | | 340 | | | 361,746 | |
Federal National Mortgage Assoc. | | 2.304% | # | 1/1/2038 | | | 478 | | | 511,231 | |
Federal National Mortgage Assoc. | | 2.321% | # | 11/1/2038 | | | 1,619 | | | 1,730,273 | |
Federal National Mortgage Assoc. | | 2.327% | # | 8/1/2038 | | | 264 | | | 280,478 | |
Federal National Mortgage Assoc. | | 2.332% | # | 1/1/2038 | | | 432 | | | 464,428 | |
Federal National Mortgage Assoc. | | 2.362% | # | 3/1/2038 | | | 286 | | | 308,368 | |
Federal National Mortgage Assoc. | | 2.367% | # | 9/1/2037 | | | 187 | | | 199,060 | |
Federal National Mortgage Assoc. | | 2.383% | # | 6/1/2038 | | | 189 | | | 201,748 | |
Federal National Mortgage Assoc. | | 2.44% | # | 11/1/2038 | | | 636 | | | 676,821 | |
Federal National Mortgage Assoc. | | 2.514% | # | 12/1/2038 | | | 224 | | | 238,886 | |
Federal National Mortgage Assoc. | | 2.95% | | 3/1/2015 | | | 1,000 | | | 1,006,103 | |
Federal National Mortgage Assoc. | | 5.50% | | 2/1/2034 | | | 919 | | | 1,033,100 | |
Federal National Mortgage Assoc. | | 5.50% | | 11/1/2034 | | | 1,012 | | | 1,138,673 | |
Federal National Mortgage Assoc. | | 5.50% | | 8/1/2037 | | | 1,751 | | | 1,965,859 | |
Total Government Sponsored Enterprises Pass-Throughs (cost $34,965,426) | | | | | | 35,203,023 | |
| | | | | | | | | | | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 23.58% | | | | | |
| | | | | | | | | | | |
Americold LLC Trust 2010-ARTA A1† | | 3.847% | | 1/14/2029 | | | 427 | | | 452,655 | |
BAMLL-DB Trust 2012-OSI A2FX† | | 3.352% | | 4/13/2029 | | | 100 | | | 103,607 | |
Banc of America Re-REMIC Trust 2011-STRP A3† | | 2.415% | | 11/17/2039 | | | 238 | | | 238,168 | |
| See Notes to Financial Statements. | 25 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | |
Banc of America Re-REMIC Trust 2011-STRP A4† | | 1.501% | | 5/17/2046 | | $ | 377 | | $ | 377,732 | |
Banc of America Re-REMIC Trust 2014-IP A†(a) | | 2.703% | | 6/15/2028 | | | 2,815 | | | 2,916,085 | |
Banc of America Re-REMIC Trust 2014-IP B†(a) | | 2.808% | # | 6/15/2028 | | | 100 | | | 102,678 | |
Banc of America Re-REMIC Trust 2014-IP C†(a) | | 2.808% | # | 6/15/2028 | | | 340 | | | 347,442 | |
Bear Stearns Commercial Mortgage Securities, Inc. 2007-PW16 AM | | 5.898% | # | 6/11/2040 | | | 1,000 | | | 1,111,051 | |
Bear Stearns Commercial Mortgage Securities, Inc. 2007-PW17 AM | | 5.915% | # | 6/11/2050 | | | 1,000 | | | 1,119,882 | |
Boca Hotel Portfolio Trust 2013-BOCA C† | | 2.302% | # | 8/15/2026 | | | 100 | | | 100,351 | |
Boca Hotel Portfolio Trust 2013-BOCA D† | | 3.202% | # | 8/15/2026 | | | 360 | | | 361,381 | |
CFCRE Commercial Mortgage Trust 2011-C2 A2 | | 3.061% | | 12/15/2047 | | | 400 | | | 413,947 | |
CG-CCRE Commercial Mortgage Trust 2014-FL1 A† | | 1.102% | # | 6/15/2031 | | | 250 | | | 250,000 | |
CG-CCRE Commercial Mortgage Trust 2014-FL1 XCP† | | 1.42% | # | 6/15/2031 | | | 4,500 | | | 94,917 | |
Citigroup Commercial Mortgage Trust 2007-C6 AM | | 5.899% | # | 12/10/2049 | | | 750 | | | 827,838 | |
Citigroup Commercial Mortgage Trust 2007-FL3A E† | | 0.452% | # | 4/15/2022 | | | 100 | | | 99,064 | |
Citigroup Commercial Mortgage Trust 2013-SMP C† | | 2.738% | | 1/12/2030 | | | 250 | | | 256,766 | |
Citigroup Commercial Mortgage Trust 2014-GC21 XA | | 1.503% | # | 5/10/2047 | | | 4,488 | | | 421,233 | |
Commercial Mortgage Pass-Through Certificates 2001-J2A F† | | 7.38% | # | 7/16/2034 | | | 839 | | | 948,673 | |
Commercial Mortgage Pass-Through Certificates 2001-J2A G† | | 7.38% | # | 7/16/2034 | | | 100 | | | 112,313 | |
Commercial Mortgage Pass-Through Certificates 2004-LB2A E | | 5.357% | | 3/10/2039 | | | 750 | | | 854,279 | |
Commercial Mortgage Pass-Through Certificates 2006-FL12 E† | | 0.442% | # | 12/15/2020 | | | 128 | | | 127,051 | |
Commercial Mortgage Pass-Through Certificates 2010-C1 A1† | | 3.156% | | 7/10/2046 | | | 1,607 | | | 1,641,662 | |
Commercial Mortgage Pass-Through Certificates 2010-C1 C† | | 5.944% | # | 7/10/2046 | | | 100 | | | 116,221 | |
Commercial Mortgage Pass-Through Certificates 2011-FL1 C† | | 4.814% | # | 7/17/2028 | | | 226 | | | 226,094 | |
Commercial Mortgage Pass-Through Certificates 2012-9W57 A† | | 2.365% | | 2/10/2029 | | | 2,135 | | | 2,196,984 | |
Commercial Mortgage Pass-Through Certificates 2012-9W57 X† | | 1.525% | # | 2/10/2029 | | | 8,000 | | | 270,820 | |
26 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | |
| | | | | | | | | | | |
Commercial Mortgage Pass-Through Certificates 2012-CR1 A1 | | 1.116% | | 5/15/2045 | | $ | 893 | | $ | 897,964 | |
Commercial Mortgage Pass-Through Certificates 2012-CR3 A2 | | 1.765% | | 10/15/2045 | | | 2,210 | | | 2,224,287 | |
Commercial Mortgage Pass-Through Certificates 2012-FL2 A† | | 2.282% | # | 9/17/2029 | | | 1,491 | | | 1,505,992 | |
Commercial Mortgage Pass-Through Certificates 2012-LTRT A1† | | 2.15% | | 10/5/2030 | | | 431 | | | 428,037 | |
Commercial Mortgage Pass-Through Certificates 2012-MVP B† | | 1.752% | # | 11/17/2026 | | | 130 | | | 130,276 | |
Commercial Mortgage Pass-Through Certificates 2013-CR6 A2 | | 2.122% | | 3/10/2046 | | | 2,300 | | | 2,336,561 | |
Commercial Mortgage Pass-Through Certificates 2013-LC6 A2 | | 1.906% | | 1/10/2046 | | | 2,000 | | | 2,016,147 | |
Commercial Mortgage Pass-Through Certificates 2013-SFS A1† | | 1.873% | | 4/12/2035 | | | 449 | | | 441,464 | |
Commercial Mortgage Pass-Through Certificates 2013-THL B† | | 1.751% | # | 6/8/2030 | | | 225 | | | 225,904 | |
Commercial Mortgage Pass-Through Certificates 2014-KYO A†(a) | | 1.054% | # | 6/11/2027 | | | 1,000 | | | 1,005,976 | |
Commercial Mortgage Pass-Through Certificates 2014-KYO B†(a) | | 1.454% | # | 6/11/2027 | | | 500 | | | 502,792 | |
Commercial Mortgage Pass-Through Certificates 2014-KYO C†(a) | | 1.804% | # | 6/11/2027 | | | 500 | | | 502,984 | |
Commercial Mortgage Pass-Through Certificates 2014-SAVA A†(a) | | 1.30% | # | 6/15/2034 | | | 344 | | | 344,000 | |
Commercial Mortgage Pass-Through Certificates 2014-SAVA B†(a) | | 1.90% | # | 6/15/2034 | | | 275 | | | 275,000 | |
Commercial Mortgage Pass-Through Certificates 2014-SAVA C†(a) | | 2.55% | # | 6/15/2034 | | | 275 | | | 275,000 | |
Commercial Mortgage Pass-Through Certificates 2014-SAVA XCP†(a) | 3.386% | # | 6/15/2034 | | | 6,033 | | | 391,928 | |
Credit Suisse First Boston Mortgage Securities Corp. 2006-OMA A† | | 5.384% | | 5/15/2023 | | | 50 | | | 55,002 | |
Credit Suisse Mortgage Capital Certificates 2006-TF2A E† | | 0.502% | # | 10/15/2021 | | | 200 | | | 196,030 | |
CW Capital Cobalt Ltd. 2007-C2 AMFX | | 5.526% | | 4/15/2047 | | | 925 | | | 1,019,057 | |
DBUBS Mortgage Trust 2011-LC1A A1† | | 3.742% | | 11/10/2046 | | | 2,153 | | | 2,244,470 | |
DBUBS Mortgage Trust 2011-LC2A A1† | | 3.527% | | 7/10/2044 | | | 1,038 | | | 1,094,740 | |
DBUBS Mortgage Trust 2011-LC2A A2† | | 3.386% | | 7/10/2044 | | | 910 | | | 949,974 | |
DBUBS Mortgage Trust 2011-LC3A A2 | | 3.642% | | 8/10/2044 | | | 1,850 | | | 1,943,561 | |
| See Notes to Financial Statements. | 27 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | |
| | | | | | | | | | | |
DDR Corp. 2009-DDR1 A† | | 3.807% | | 10/14/2022 | | $ | 2,077 | | $ | 2,092,799 | |
DDR Corp. 2009-DDR1 B† | | 5.73% | | 10/14/2022 | | | 500 | | | 504,473 | |
Del Coronado Trust 2013 HDC A† | | 0.952% | # | 3/15/2026 | | | 1,100 | | | 1,101,321 | |
Extended Stay America Trust 2013-ESH7 B7† | | 3.604% | | 12/5/2031 | | | 800 | | | 822,694 | |
Extended Stay America Trust 2013-ESH7 C7† | | 3.902% | | 12/5/2031 | | | 1,680 | | | 1,715,666 | |
Fosse Master Issuer plc 2012-1A 2B1 (United Kingdom)†(c) | | 2.178% | # | 10/18/2054 | | | 350 | | | 355,488 | |
Granite Master Issuer plc 2005-1 A4 (United Kingdom)(c) | | 0.353% | # | 12/20/2054 | | | 436 | | | 432,321 | |
Granite Master Issuer plc 2005-2 A6 (United Kingdom)(c) | | 0.413% | # | 12/20/2054 | | | 232 | | | 230,680 | |
Granite Master Issuer plc 2007-1 3A1 (United Kingdom)(c) | | 0.353% | # | 12/20/2054 | | | 82 | | | 81,258 | |
Granite Master Issuer plc 2007-2 3A1 (United Kingdom)(c) | | 0.334% | # | 12/17/2054 | | | 762 | | | 756,466 | |
Greenwich Capital Commercial Funding Corp. 2006-GG7 AM | | 6.015% | # | 7/10/2038 | | | 1,000 | | | 1,085,807 | |
Greenwich Capital Commercial Funding Corp. 2007-GG9 A2 | | 5.381% | | 3/10/2039 | | | 476 | | | 483,567 | |
GS Mortgage Securities Corp. II 2010-C1 A1† | | 3.679% | | 8/10/2043 | | | 856 | | | 902,007 | |
GS Mortgage Securities Corp. II 2010-C2 A1† | | 3.849% | | 12/10/2043 | | | 1,625 | | | 1,703,626 | |
GS Mortgage Securities Corp. II 2011-GC3 A2† | | 3.645% | | 3/10/2044 | | | 473 | | | 492,326 | |
GS Mortgage Securities Corp. II 2011-GC5 A2 | | 2.999% | | 8/10/2044 | | | 1,000 | | | 1,037,846 | |
GS Mortgage Securities Corp. II 2013-KING B† | | 3.241% | | 12/10/2027 | | | 100 | | | 102,423 | |
GS Mortgage Securities Corp. II 2013-KING C† | | 3.55% | # | 12/10/2027 | | | 1,750 | | | 1,788,118 | |
GS Mortgage Securities Corp. II 2013-KYO C† | | 1.901% | # | 11/8/2029 | | | 1,950 | | | 1,973,460 | |
GS Mortgage Securities Corp. Trust 2012-SHOP C† | | 3.633% | | 6/5/2031 | | | 1,000 | | | 1,037,846 | |
GS Mortgage Securities Trust 2012-GCJ7 A1 | | 1.144% | | 5/10/2045 | | | 844 | | | 847,880 | |
GS Mortgage Securities Trust 2013-G1 A1† | | 2.059% | | 4/10/2031 | | | 1,090 | | | 1,066,620 | |
H/2 Asset Funding 2014-1 Ltd. | | 2.101% | | 3/19/2037 | | | 2,000 | | | 1,998,306 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB18 AM | | 5.466% | | 6/12/2047 | | | 2,500 | | | 2,734,407 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2010-C1 A2† | | 4.608% | | 6/15/2043 | | | 500 | | | 542,990 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2010-C2 A1† | | 2.749% | | 11/15/2043 | | | 1,449 | | | 1,484,938 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2011-PLSD A2† | | 3.364% | | 11/13/2044 | | | 2,000 | | | 2,094,627 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2011-PLSD C† | | 5.143% | | 11/13/2044 | | | 100 | | | 107,754 | |
28 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
| | | | | | Principal | | | |
| | Interest | | Maturity | | Amount | | Fair | |
Investments | | Rate | | Date | | (000) | | Value | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | | |
| | | | | | | | | | | |
JPMorgan Chase Commercial Mortgage Securities Trust 2012-CBX A3 | | 3.139% | | 6/15/2045 | | $ | 753 | | $ | 784,245 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2012-LC9 A2 | | 1.677% | | 12/15/2047 | | | 1,100 | | | 1,106,169 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C12 A2 | | 2.424% | | 7/15/2045 | | | 2,100 | | | 2,150,203 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2013-FL3 C† | | 1.952% | # | 4/15/2028 | | | 1,000 | | | 1,005,485 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C18 A1 | | 1.254% | | 2/15/2047 | | | 474 | | | 474,854 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C18 A2 | | 2.879% | | 2/15/2047 | | | 188 | | | 194,950 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 A2 | | 3.046% | | 4/15/2047 | | | 1,670 | | | 1,742,381 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA | | 1.454% | # | 4/15/2047 | | | 1,993 | | | 128,463 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB | | 0.441% | # | 4/15/2047 | | | 1,000 | | | 28,465 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-FL4 C† | | 2.352% | # | 12/15/2030 | | | 250 | | | 251,660 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-FL4 D† | | 3.252% | # | 12/15/2030 | | | 500 | | | 496,567 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-INN A† | | 1.071% | # | 6/15/2029 | | | 750 | | | 750,000 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-INN C† | | 1.851% | # | 6/15/2029 | | | 150 | | | 150,000 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-INN XCP† | | 0.09% | # | 12/15/2015 | | | 25,000 | | | 32,350 | |
LB-UBS Commercial Mortgage Trust 2006-C6 AM | | 5.413% | | 9/15/2039 | | | 1,000 | | | 1,088,473 | |
LB-UBS Commercial Mortgage Trust 2006-C7 AM | | 5.378% | | 11/15/2038 | | | 1,100 | | | 1,193,538 | |
LB-UBS Commercial Mortgage Trust 2007-C1 AM | | 5.455% | | 2/15/2040 | | | 1,000 | | | 1,094,455 | |
LSTAR Commercial Mortgage Trust 2014-2 A1† | | 1.519% | | 1/20/2041 | | | 292 | | | 292,109 | |
LSTAR Commercial Mortgage Trust 2014-2 XA† | | 1.033% | # | 1/20/2041 | | | 1,961 | | | 76,233 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 AM | | 5.204% | | 12/12/2049 | | | 1,100 | | | 1,190,786 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 A2 | | 1.972% | | 8/15/2045 | | | 1,000 | | | 1,020,142 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 A2 | | 1.868% | | 11/15/2045 | | | 2,210 | | | 2,237,528 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A1† | | 2.117% | | 10/15/2030 | | | 378 | | | 373,286 | |
| See Notes to Financial Statements. | 29 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
| | | | | | Principal | | | |
| | Interest | | Maturity | | Amount | | Fair | |
Investments | | Rate | | Date | | (000) | | Value | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | | | |
| | | | | | | | | | | |
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 A2 | | 3.085% | | 8/15/2046 | | $ | 100 | | $ | 104,467 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 XA | | 1.87% | # | 2/15/2046 | | | 1,568 | | | 149,369 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 A2 | | 1.97% | | 5/15/2046 | | | 1,720 | | | 1,735,686 | |
Morgan Stanley Capital I 2005-IQ9 B | | 4.86% | | 7/15/2056 | | | 450 | | | 474,968 | |
Morgan Stanley Capital I 2012-C4 XA† | | 2.837% | # | 3/15/2045 | | | 26,091 | | | 2,983,153 | |
Morgan Stanley Capital I 2012-STAR A1† | | 2.084% | | 8/5/2034 | | | 845 | | | 841,706 | |
Nationslink Funding Corp. Commercial Loan Pass-Through Certificate 1999-LTL1 C† | | 7.399% | | 1/22/2026 | | | 320 | | | 350,507 | |
PFP III Ltd. 2014-1 AS† | | 1.802% | # | 6/14/2031 | | | 1,000 | | | 1,006,463 | |
PFP III Ltd. 2014-1 B† | | 2.502% | # | 6/14/2031 | | | 1,000 | | | 1,007,909 | |
PFP III Ltd. 2014-1 C† | | 3.052% | # | 6/14/2031 | | | 2,000 | | | 2,016,105 | |
RAIT Trust 2014-FL2 B† | | 2.302% | # | 5/13/2031 | | | 1,000 | | | 1,005,547 | |
RBSCF Trust 2010-MB1 A2† | | 3.686% | | 4/15/2024 | | | 904 | | | 916,708 | |
RBSCF Trust 2010-RR3 MS4C† | | 4.97% | | 4/16/2040 | | | 304 | | | 305,569 | |
RBSCF Trust 2010-RR3 WBTB† | | 6.14% | # | 2/16/2051 | | | 1,500 | | | 1,663,666 | |
Sequoia Mortgage Trust 2012-4 A3 | | 2.069% | | 9/25/2042 | | | 432 | | | 405,718 | |
Silverstone Master Issuer plc 2011-1A (United Kingdom)†(c) | | 1.778% | # | 1/21/2055 | | | 400 | | | 401,218 | |
UBS-Barclays Commercial Mortgage Trust 2012-C2 A2 | | 2.113% | | 5/10/2063 | | | 2,100 | | | 2,139,160 | |
UBS-Barclays Commercial Mortgage Trust 2012-C4 A2 | | 1.712% | | 12/10/2045 | | | 1,000 | | | 1,003,561 | |
UBS-Barclays Commercial Mortgage Trust 2013-C5 A2 | | 2.137% | | 3/10/2046 | | | 2,100 | | | 2,130,547 | |
Vornado DP LLC 2010-VNO A1† | | 2.97% | | 9/13/2028 | | | 671 | | | 696,328 | |
Wachovia Bank Commercial Mortgage Trust 2005-C18 APB | | 4.807% | | 4/15/2042 | | | 116 | | | 117,328 | |
Wachovia Bank Commercial Mortgage Trust 2005-C21 D | | 5.414% | # | 10/15/2044 | | | 3,500 | | | 3,574,214 | |
Wachovia Bank Commercial Mortgage Trust 2005-C22 AM | | 5.505% | # | 12/15/2044 | | | 1,000 | | | 1,055,440 | |
Wachovia Bank Commercial Mortgage Trust 2006-C27 AM | | 5.795% | | 7/15/2045 | | | 645 | | | 698,904 | |
Wachovia Bank Commercial Mortgage Trust 2007-C30 A3 | | 5.246% | | 12/15/2043 | | | 273 | | | 274,176 | |
Wachovia Bank Commercial Mortgage Trust 2007-C31 AM | | 5.591% | | 4/15/2047 | | | 2,500 | | | 2,742,130 | |
30 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
| | | | | | Principal | | | |
| | Interest | | Maturity | | Amount | | Fair | |
Investments | | Rate | | Date | | (000) | | Value | |
Wells Fargo Commercial Mortgage Trust 2012-LC5 A2 | | 1.844% | | 10/15/2045 | | $ | 540 | | $ | 546,625 | |
Wells Fargo Commercial Mortgage Trust 2014-TISH C† | | 2.002% | # | 2/15/2027 | | | 250 | | | 250,670 | |
WF-RBS Commercial Mortgage Trust 2011-C2 A2† | | 3.791% | | 2/15/2044 | | | 1,500 | | | 1,559,317 | |
WF-RBS Commercial Mortgage Trust 2011- C5 A3 | | 3.526% | | 11/15/2044 | | | 1,000 | | | 1,052,765 | |
WF-RBS Commercial Mortgage Trust 2012-C10 A2 | | 1.765% | | 12/15/2045 | | | 420 | | | 423,270 | |
WF-RBS Commercial Mortgage Trust 2012- C7 A1 | | 2.30% | | 6/15/2045 | | | 460 | | | 461,629 | |
WF-RBS Commercial Mortgage Trust 2012- C8 A2 | | 1.881% | | 8/15/2045 | | | 1,430 | | | 1,450,470 | |
WF-RBS Commercial Mortgage Trust 2013-C11 A2 | | 2.029% | | 3/15/2045 | | | 2,200 | | | 2,232,416 | |
WF-RBS Commercial Mortgage Trust 2014-C20 A2 | | 3.036% | | 5/15/2047 | | | 155 | | | 161,335 | |
WF-RBS Commercial Mortgage Trust 2014-C20 XA | | 1.417% | # | 5/15/2047 | | | 3,959 | | | 317,156 | |
WF-RBS Commercial Mortgage Trust 2014-C20 XB | | 0.735% | # | 5/15/2047 | | | 765 | | | 40,099 | |
Total Non-Agency Commercial Mortgage-Backed Securities (cost $123,218,256) | | | | | | 122,832,395 | |
Total Long-Term Investments (cost $457,911,327) | | | | | | | | | | 459,038,073 | |
| | | | | | | | | | | |
SHORT-TERM INVESTMENTS 8.54% | | | | | | | | | | | |
| | | | | | | | | | | |
COMMERCIAL PAPER 2.11% | | | | | | | | | | | |
| | | | | | | | | | | |
Electric: Integrated 0.62% | | | | | | | | | | | |
Entergy Corp. | | Zero Coupon | | 7/25/2014 | | | 1,500 | | | 1,499,330 | |
Entergy Corp. | | Zero Coupon | | 7/2/2014 | | | 1,000 | | | 999,976 | |
PPL Energy Supply LLC | | Zero Coupon | | 7/15/2014 | | | 750 | | | 749,781 | |
Total | | | | | | | | | | 3,249,087 | |
| | | | | | | | | | | |
Energy: Exploration & Production 0.77% | | | | | | | | | | | |
Talisman Energy, Inc. | | Zero Coupon | | 7/9/2014 | | | 2,000 | | | 1,999,689 | |
Talisman Energy, Inc. | | Zero Coupon | | 7/2/2014 | | | 2,000 | | | 1,999,961 | |
Total | | | | | | | | | | 3,999,650 | |
| | | | | | | | | | | |
Gas Distribution 0.43% | | | | | | | | | | | |
Nisource Finance Corp. | | Zero Coupon | | 7/14/2014 | | | 1,000 | | | 999,783 | |
Nisource Finance Corp. | | Zero Coupon | | 7/17/2014 | | | 750 | | | 749,800 | |
| See Notes to Financial Statements. | 31 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
| | | | | | Principal | | | |
| | Interest | | Maturity | | Amount | | Fair | |
Investments | | Rate | | Date | | (000) | | Value | |
Gas Distribution (continued) | | | | | | | | | | | |
Nisource Finance Corp. | | Zero Coupon | | 7/21/2014 | | $ | 500 | | $ | 499,833 | |
Total | | | | | | | | | | 2,249,416 | |
| | | | | | | | | | | |
Oil Field Equipment & Services 0.29% | | | | | | | | | | | |
Weatherford International Ltd. | | Zero Coupon | | 7/14/2014 | | | 750 | | | 749,770 | |
Weatherford International Ltd. | | Zero Coupon | | 7/1/2014 | | | 750 | | | 750,000 | |
Total | | | | | | | | | | 1,499,770 | |
Total Commercial Paper (cost $10,997,923) | | | | | | | | | | 10,997,923 | |
| | | | | | | | | | | |
CONVERTIBLE BONDS 0.94% | | | | | | | | | | | |
| | | | | | | | | | | |
Metals/Mining (Excluding Steel) 0.65% | | | | | | | | | | | |
Goldcorp, Inc. (Canada)(c) | | 2.00% | | 8/1/2014 | | | 1,893 | | | 1,900,099 | |
Newmont Mining Corp. | | 1.25% | | 7/15/2014 | | | 1,500 | | | 1,500,945 | |
Total | | | | | | | | | | 3,401,044 | |
| | | | | | | | | | | |
Telecommunications: Wireless 0.29% | | | | | | | | | | | |
Leap Wireless International, Inc. | | 4.50% | | 7/15/2014 | | | 1,500 | | | 1,503,750 | |
Total Convertible Bonds (cost $4,906,309) | | | | | | | | | | 4,904,794 | |
| | | | | | | | | | | |
CORPORATE BONDS 5.49% | | | | | | | | | | | |
| | | | | | | | | | | |
Banking 1.19% | | | | | | | | | | | |
Citigroup, Inc. | | 4.875% | | 5/7/2015 | | | 604 | | | 625,536 | |
Macquarie Group Ltd. (Australia)†(c) | | 7.30% | | 8/1/2014 | | | 2,000 | | | 2,010,462 | |
Royal Bank of Scotland Group plc (United Kingdom)(c) | | 5.00% | | 10/1/2014 | | | 1,000 | | | 1,009,451 | |
Royal Bank of Scotland Group plc (United Kingdom)(c) | | 5.05% | | 1/8/2015 | | | 500 | | | 509,296 | |
Zions Bancorporation | | 7.75% | | 9/23/2014 | | | 2,000 | | | 2,033,150 | |
Total | | | | | | | | | | 6,187,895 | |
| | | | | | | | | | | |
Electric: Generation 0.42% | | | | | | | | | | | |
TransAlta Corp. (Canada)(c) | | 4.75% | | 1/15/2015 | | | 2,129 | | | 2,176,387 | |
| | | | | | | | | | | |
Electric: Integrated 0.43% | | | | | | | | | | | |
Enel Finance International NV (Netherlands)†(c) | | 3.875% | | 10/7/2014 | | | 1,000 | | | 1,008,048 | |
Exelon Corp. | | 4.90% | | 6/15/2015 | | | 800 | | | 831,826 | |
PPL Energy Supply LLC | | 5.40% | | 8/15/2014 | | | 395 | | | 396,447 | |
Total | | | | | | | | | | 2,236,321 | |
32 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
| | | | | | Principal | | | |
| | Interest | | Maturity | | Amount | | Fair | |
Investments | | Rate | | Date | | (000) | | Value | |
Food: Wholesale 0.58% | | | | | | | | | | | |
Tate & Lyle International Finance plc (United Kingdom)†(c) | | 5.00% | | 11/15/2014 | | $ | 3,000 | | $ | 3,045,663 | |
| | | | | | | | | | | |
Gas Distribution 2.04% | | | | | | | | | | | |
Buckeye Partners LP | | 5.30% | | 10/15/2014 | | | 2,461 | | | 2,492,912 | |
Energy Transfer Partners LP | | 5.95% | | 2/1/2015 | | | 1,500 | | | 1,540,755 | |
Gulf South Pipeline Co. LP† | | 5.05% | | 2/1/2015 | | | 2,000 | | | 2,044,518 | |
Midcontinent Express Pipeline LLC† | | 5.45% | | 9/15/2014 | | | 3,500 | | | 3,521,339 | |
Williams Partners LP | | 3.80% | | 2/15/2015 | | | 1,000 | | | 1,019,392 | |
Total | | | | | | | | | | 10,618,916 | |
| | | | | | | | | | | |
Metals/Mining (Excluding Steel) 0.39% | | | | | | | | | | | |
Calcipar SA†(e) | | 1.51% | # | 7/1/2014 | | EUR | 1,125 | | | 1,540,463 | |
Xstrata Finance Canada Ltd. (Canada)†(c) | | 2.85% | | 11/10/2014 | | $ | 500 | | | 502,954 | |
Total | | | | | | | | | | 2,043,417 | |
| | | | | | | | | | | |
Real Estate Investment Trusts 0.25% | | | | | | | | | | | |
Liberty Property LP | | 5.125% | | 3/2/2015 | | | 295 | | | 303,591 | |
Reckson Operating Partnership LP | | 5.875% | | 8/15/2014 | | | 1,000 | | | 1,005,630 | |
Total | | | | | | | | | | 1,309,221 | |
| | | | | | | | | | | |
Support: Services 0.14% | | | | | | | | | | | |
Brambles USA, Inc.† | | 3.95% | | 4/1/2015 | | | 700 | | | 715,064 | |
| | | | | | | | | | | |
Supranational 0.05% | | | | | | | | | | | |
Central American Bank for Economic Integration (Honduras)†(c) | | 5.375% | | 9/24/2014 | | | 250 | | | 252,533 | |
Total Corporate Bonds (cost $28,590,140) | | | | | | | | | | 28,585,417 | |
Total Short-Term Investments (cost $44,494,372) | | | | | | | | | | 44,488,134 | |
Total Investments in Securities 96.66% (cost $502,405,699) | | | | | | | | | | 503,526,207 | |
Cash, Foreign Cash and Other Assets in Excess of Liabilities(f) 3.34% | | | | | | | | | | 17,381,230 | |
Net Assets 100.00% | | | | | | | | | $ | 520,907,437 | |
| See Notes to Financial Statements. | 33 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
EUR | | euro. |
† | | 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, 2014. |
(a) | | Security purchased on when-issued basis. (See note 2 (i)). |
(b) | | Security has been fully or partially segregated to cover margin requirements for open futures contracts and interest rate swaps as of June 30, 2014. |
(c) | | Foreign security traded in U.S. dollars. |
(d) | | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate shown is the rate in effect at June 30, 2014. |
(e) | | Investment in non-U.S. dollar denominated securities. |
(f) | | Cash, Foreign Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
Open Forward Foreign Currency Exchange Contracts at June 30, 2014:
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 | | 8/12/2014 | | | 101,550,000 | | | $ | 11,868,864 | | | $ | 11,990,277 | | | $ | 121,413 | |
Argentine peso | | Buy | | J.P. Morgan | | 9/10/2014 | | | 143,150,000 | | | | 16,257,808 | | | | 16,382,780 | | | | 124,972 | |
Argentine peso | | Buy | | J.P. Morgan | | 7/10/2014 | | | 23,500,000 | | | | 2,769,267 | | | | 2,867,597 | | | | 98,330 | |
Argentine peso | | Buy | | J.P. Morgan | | 8/12/2014 | | | 4,650,000 | | | | 544,178 | | | | 549,038 | | | | 4,860 | |
Brazilian real | | Buy | | Barclays Bank plc | | 7/10/2014 | | | 720,000 | | | | 315,887 | | | | 325,122 | | | | 9,235 | |
Brazilian real | | Buy | | J.P. Morgan | | 8/12/2014 | | | 24,350,000 | | | | 10,686,386 | | | | 10,893,048 | | | | 206,662 | |
Brazilian real | | Buy | | J.P. Morgan | | 8/12/2014 | | | 485,000 | | | | 214,535 | | | | 216,966 | | | | 2,431 | |
Brazilian real | | Buy | | J.P. Morgan | | 9/10/2014 | | | 11,150,000 | | | | 4,743,672 | | | | 4,947,486 | | | | 203,814 | |
Brazilian real | | Buy | | J.P. Morgan | | 8/12/2014 | | | 495,000 | | | | 216,394 | | | | 221,440 | | | | 5,046 | |
Brazilian real | | Buy | | J.P. Morgan | | 8/12/2014 | | | 1,135,000 | | | | 491,768 | | | | 507,746 | | | | 15,978 | |
Brazilian real | | Buy | | Morgan Stanley | | 7/10/2014 | | | 18,100,000 | | | | 7,878,814 | | | | 8,173,201 | | | | 294,387 | |
Brazilian real | | Buy | | Morgan Stanley | | 8/12/2014 | | | 490,000 | | | | 216,164 | | | | 219,203 | | | | 3,039 | |
Brazilian real | | Buy | | Morgan Stanley | | 8/12/2014 | | | 750,000 | | | | 328,314 | | | | 335,515 | | | | 7,201 | |
Brazilian real | | Buy | | Morgan Stanley | | 7/10/2014 | | | 480,000 | | | | 208,886 | | | | 216,748 | | | | 7,862 | |
Brazilian real | | Buy | | Morgan Stanley | | 9/10/2014 | | | 1,175,000 | | | | 509,739 | | | | 521,372 | | | | 11,633 | |
Brazilian real | | Buy | | Morgan Stanley | | 8/12/2014 | | | 48,300,000 | | | | 21,090,322 | | | | 21,607,155 | | | | 516,833 | |
Chilean peso | | Buy | | J.P. Morgan | | 8/12/2014 | | | 150,000,000 | | | | 267,633 | | | | 270,080 | | | | 2,447 | |
Chilean peso | | Buy | | UBS AG | | 9/10/2014 | | | 9,820,000,000 | | | | 17,590,685 | | | | 17,627,999 | | | | 37,314 | |
Chilean peso | | Buy | | UBS AG | | 8/12/2014 | | | 7,400,000,000 | | | | 12,912,232 | | | | 13,323,942 | | | | 411,710 | |
Colombian peso | | Buy | | Bank of America | | 8/12/2014 | | | 935,000,000 | | | | 483,844 | | | | 497,069 | | | | 13,225 | |
Colombian peso | | Buy | | J.P. Morgan | | 8/12/2014 | | | 731,000,000 | | | | 381,490 | | | | 388,617 | | | | 7,127 | |
Colombian peso | | Buy | | J.P. Morgan | | 8/12/2014 | | | 482,000,000 | | | | 255,347 | | | | 256,243 | | | | 896 | |
Colombian peso | | Buy | | UBS AG | | 8/12/2014 | | | 39,900,000,000 | | | | 20,596,206 | | | | 21,211,810 | | | | 615,604 | |
euro | | Buy | | J.P. Morgan | | 7/10/2014 | | | 1,225,000 | | | | 1,668,279 | | | | 1,677,443 | | | | 9,164 | |
Hungarian forint | | Buy | | Deutsche Bank | | 9/10/2014 | | | 58,100,000 | | | | 255,347 | | | | 256,209 | | | | 862 | |
Hungarian forint | | Buy | | Morgan Stanley | | 9/10/2014 | | | 81,000,000 | | | | 357,177 | | | | 357,193 | | | | 16 | |
Indian rupee | | Buy | | Barclays Bank plc | | 7/10/2014 | | | 19,500,000 | | | | 314,075 | | | | 323,916 | | | | 9,841 | |
34 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Open Forward Foreign Currency Exchange Contracts at June 30, 2014: (continued)
Forward Foreign Currency Exchange Contracts | | Transaction Type | | Counterparty | | Expiration Date | | Foreign Currency | | | U.S. $ Cost on Origination Date | | | U.S. $ Current Value | | | Unrealized Appreciation | |
Indian rupee | | Buy | | Barclays Bank plc | | 8/12/2014 | | | 1,594,000,000 | | | $ | 26,062,786 | | | $ | 26,367,922 | | | $ | 305,136 | |
Indian rupee | | Buy | | J.P. Morgan | | 9/10/2014 | | | 325,800,000 | | | | 5,352,302 | | | | 5,363,946 | | | | 11,644 | |
Indian rupee | | Buy | | J.P. Morgan | | 7/10/2014 | | | 563,000,000 | | | | 9,151,495 | | | | 9,352,042 | | | | 200,547 | |
Indian rupee | | Buy | | J.P. Morgan | | 8/12/2014 | | | 27,900,000 | | | | 459,903 | | | | 461,521 | | | | 1,618 | |
Indonesian rupiah | | Buy | | J.P. Morgan | | 8/19/2014 | | | 4,300,000,000 | | | | 357,469 | | | | 360,259 | | | | 2,790 | |
Indonesian rupiah | | Buy | | J.P. Morgan | | 8/12/2014 | | | 3,900,000,000 | | | | 326,852 | | | | 327,077 | | | | 225 | |
Indonesian rupiah | | Buy | | Morgan Stanley | | 8/19/2014 | | | 4,350,000,000 | | | | 361,149 | | | | 364,448 | | | | 3,299 | |
Malaysian ringgit | | Buy | | Barclays Bank plc | | 8/12/2014 | | | 31,300,000 | | | | 9,588,579 | | | | 9,738,842 | | | | 150,263 | |
Malaysian ringgit | | Buy | | Goldman Sachs | | 7/10/2014 | | | 19,975,000 | | | | 6,097,933 | | | | 6,220,099 | | | | 122,166 | |
Malaysian ringgit | | Buy | | J.P. Morgan | | 7/10/2014 | | | 690,000 | | | | 210,764 | | | | 214,862 | | | | 4,098 | |
Malaysian ringgit | | Buy | | J.P. Morgan | | 8/12/2014 | | | 700,000 | | | | 216,430 | | | | 217,802 | | | | 1,372 | |
Mexican peso | | Buy | | Bank of America | | 7/10/2014 | | | 2,800,000 | | | | 214,098 | | | | 215,704 | | | | 1,606 | |
Mexican peso | | Buy | | Bank of America | | 9/10/2014 | | | 3,375,000 | | | | 258,159 | | | | 258,912 | | | | 753 | |
Mexican peso | | Buy | | Deutsche Bank | | 9/10/2014 | | | 3,350,000 | | | | 254,463 | | | | 256,994 | | | | 2,531 | |
Mexican peso | | Buy | | Goldman Sachs | | 9/10/2014 | | | 3,350,000 | | | | 255,963 | | | | 256,994 | | | | 1,031 | |
Mexican peso | | Buy | | Goldman Sachs | | 8/12/2014 | | | 2,810,000 | | | | 215,819 | | | | 215,982 | | | | 163 | |
Mexican peso | | Buy | | J.P. Morgan | | 8/12/2014 | | | 190,200,000 | | | | 14,573,350 | | | | 14,619,124 | | | | 45,774 | |
Mexican peso | | Buy | | J.P. Morgan | | 7/10/2014 | | | 3,500,000 | | | | 265,779 | | | | 269,630 | | | | 3,851 | |
Mexican peso | | Buy | | J.P. Morgan | | 7/10/2014 | | | 123,950,000 | | | | 9,502,956 | | | | 9,548,738 | | | | 45,782 | |
Mexican peso | | Buy | | Morgan Stanley | | 7/10/2014 | | | 3,425,000 | | | | 260,751 | | | | 263,852 | | | | 3,101 | |
Peruvian Nuevo sol | | Buy | | UBS AG | | 7/10/2014 | | | 2,980,000 | | | | 1,055,241 | | | | 1,063,935 | | | | 8,694 | |
Peruvian Nuevo sol | | Buy | | UBS AG | | 7/10/2014 | | | 11,765,000 | | | | 4,139,690 | | | | 4,200,399 | | | | 60,709 | |
Philippine peso | | Buy | | Bank of America | | 8/12/2014 | | | 817,800,000 | | | | 18,457,997 | | | | 18,745,084 | | | | 287,087 | |
Philippine peso | | Buy | | Bank of America | | 7/10/2014 | | | 14,100,000 | | | | 316,669 | | | | 323,080 | | | | 6,411 | |
Philippine peso | | Buy | | Bank of America | | 9/10/2014 | | | 18,100,000 | | | | 412,489 | | | | 414,788 | | | | 2,299 | |
Philippine peso | | Buy | | Bank of America | | 8/12/2014 | | | 16,740,000 | | | | 381,843 | | | | 383,703 | | | | 1,860 | |
Philippine peso | | Buy | | Barclays Bank plc | | 7/10/2014 | | | 16,400,000 | | | | 365,916 | | | | 375,781 | | | | 9,865 | |
Philippine peso | | Buy | | Barclays Bank plc | | 8/12/2014 | | | 14,250,000 | | | | 324,372 | | | | 326,629 | | | | 2,257 | |
Philippine peso | | Buy | | J.P. Morgan | | 9/10/2014 | | | 15,700,000 | | | | 357,786 | | | | 359,788 | | | | 2,002 | |
Philippine peso | | Buy | | J.P. Morgan | | 9/10/2014 | | | 657,700,000 | | | | 15,038,299 | | | | 15,072,155 | | | | 33,856 | |
Philippine peso | | Buy | | J.P. Morgan | | 8/12/2014 | | | 11,800,000 | | | | 269,369 | | | | 270,472 | | | | 1,103 | |
Philippine peso | | Buy | | UBS AG | | 7/10/2014 | | | 338,800,000 | | | | 7,538,102 | | | | 7,763,084 | | | | 224,982 | |
Polish zloty | | Buy | | Barclays Bank plc | | 7/10/2014 | | | 46,150,000 | | | | 15,181,470 | | | | 15,188,537 | | | | 7,067 | |
Polish zloty | | Buy | | Barclays Bank plc | | 8/12/2014 | | | 1,875,000 | | | | 613,054 | | | | 615,786 | | | | 2,732 | |
Polish zloty | | Buy | | Deutsche Bank | | 8/12/2014 | | | 1,100,000 | | | | 358,677 | | | | 361,261 | | | | 2,584 | |
Polish zloty | | Buy | | Deutsche Bank | | 8/12/2014 | | | 1,000,000 | | | | 325,693 | | | | 328,419 | | | | 2,726 | |
Polish zloty | | Buy | | Deutsche Bank | | 8/12/2014 | | | 665,000 | | | | 216,385 | | | | 218,399 | | | | 2,014 | |
| See Notes to Financial Statements. | 35 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Open Forward Foreign Currency Exchange Contracts at June 30, 2014: (continued)
Forward Foreign Currency Exchange Contracts | | Transaction Type | | Counterparty | | Expiration Date | | Foreign Currency | | | U.S. $ Cost on Origination Date | | | U.S. $ Current Value | | | Unrealized Appreciation | |
Polish zloty | | Buy | | J.P. Morgan | | 7/10/2014 | | | 800,000 | | | $ | 263,027 | | | $ | 263,290 | | | $ | 263 | |
Polish zloty | | Buy | | J.P. Morgan | | 7/10/2014 | | | 955,000 | | | | 313,618 | | | | 314,302 | | | | 684 | |
Russian ruble | | Buy | | Barclays Bank plc | | 8/12/2014 | | | 11,500,000 | | | | 325,978 | | | | 335,594 | | | | 9,616 | |
Russian ruble | | Buy | | Barclays Bank plc | | 8/12/2014 | | | 9,425,000 | | | | 270,807 | | | | 275,041 | | | | 4,234 | |
Russian ruble | | Buy | | J.P. Morgan | | 9/10/2014 | | | 921,600,000 | | | | 25,949,964 | | | | 26,732,260 | | | | 782,296 | |
Russian ruble | | Buy | | Morgan Stanley | | 8/12/2014 | | | 245,000,000 | | | | 6,743,886 | | | | 7,149,603 | | | | 405,717 | |
Russian ruble | | Buy | | Morgan Stanley | | 9/10/2014 | | | 10,800,000 | | | | 310,479 | | | | 313,269 | | | | 2,790 | |
Russian ruble | | Buy | | Morgan Stanley | | 9/10/2014 | | | 16,250,000 | | | | 460,206 | | | | 471,353 | | | | 11,147 | |
South African rand | | Buy | | Bank of America | | 9/10/2014 | | | 5,550,000 | | | | 510,593 | | | | 515,859 | | | | 5,266 | |
South African rand | | Buy | | Goldman Sachs | | 7/10/2014 | | | 2,775,000 | | | | 259,684 | | | | 260,585 | | | | 901 | |
South African rand | | Buy | | Goldman Sachs | | 8/12/2014 | | | 5,300,000 | | | | 490,845 | | | | 494,985 | | | | 4,140 | |
South Korean won | | Buy | | Bank of America | | 9/11/2014 | | | 420,000,000 | | | | 409,908 | | | | 413,960 | | | | 4,052 | |
South Korean won | | Buy | | Bank of America | | 9/11/2014 | | | 8,515,000,000 | | | | 8,278,403 | | | | 8,392,552 | | | | 114,149 | |
South Korean won | | Buy | | Bank of America | | 9/11/2014 | | | 260,000,000 | | | | 254,730 | | | | 256,261 | | | | 1,531 | |
South Korean won | | Buy | | Barclays Bank plc | | 8/12/2014 | | | 17,750,000,000 | | | | 17,220,471 | | | | 17,517,739 | | | | 297,268 | |
South Korean won | | Buy | | Barclays Bank plc | | 7/10/2014 | | | 325,000,000 | | | | 313,190 | | | | 321,125 | | | | 7,935 | |
South Korean won | | Buy | | J.P. Morgan | | 7/10/2014 | | | 13,365,000,000 | | | | 12,656,250 | | | | 13,205,652 | | | | 549,402 | |
South Korean won | | Buy | | J.P. Morgan | | 8/12/2014 | | | 394,000,000 | | | | 383,403 | | | | 388,844 | | | | 5,441 | |
South Korean won | | Buy | | J.P. Morgan | | 8/12/2014 | | | 222,000,000 | | | | 216,322 | | | | 219,095 | | | | 2,773 | |
South Korean won | | Buy | | J.P. Morgan | | 8/12/2014 | | | 555,000,000 | | | | 537,426 | | | | 547,738 | | | | 10,312 | |
Thai baht | | Buy | | Bank of America | | 9/10/2014 | | | 13,300,000 | | | | 408,477 | | | | 408,512 | | | | 35 | |
Thai baht | | Buy | | J.P. Morgan | | 9/10/2014 | | | 621,400,000 | | | | 19,028,080 | | | | 19,086,437 | | | | 58,357 | |
Thai baht | | Buy | | J.P. Morgan | | 8/11/2014 | | | 12,525,000 | | | | 380,352 | | | | 385,227 | | | | 4,875 | |
Thai baht | | Buy | | J.P. Morgan | | 8/11/2014 | | | 103,500,000 | | | | 3,165,138 | | | | 3,183,316 | | | | 18,178 | |
Turkish lira | | Buy | | Bank of America | | 7/10/2014 | | | 36,850,000 | | | | 17,225,438 | | | | 17,360,850 | | | | 135,412 | |
Turkish lira | | Buy | | Deutsche Bank | | 8/12/2014 | | | 470,000 | | | | 218,534 | | | | 219,932 | | | | 1,398 | |
Turkish lira | | Buy | | Goldman Sachs | | 7/10/2014 | | | 16,030,000 | | | | 7,388,357 | | | | 7,552,087 | | | | 163,730 | |
Turkish lira | | Buy | | J.P. Morgan | | 8/12/2014 | | | 580,000 | | | | 271,303 | | | | 271,405 | | | | 102 | |
Turkish lira | | Buy | | Morgan Stanley | | 7/10/2014 | | | 795,000 | | | | 364,534 | | | | 374,542 | | | | 10,008 | |
euro | | Sell | | Barclays Bank plc | | 8/12/2014 | | | 965,000 | | | | 1,339,874 | | | | 1,321,579 | | | | 18,295 | |
euro | | Sell | | J.P. Morgan | | 7/10/2014 | | | 6,670,854 | | | | 9,304,991 | | | | 9,134,677 | | | | 170,314 | |
Indian rupee | | Sell | | Morgan Stanley | | 7/10/2014 | | | 60,200,000 | | | | 1,010,678 | | | | 999,987 | | | | 10,691 | |
Singapore dollar | | Sell | | Bank of America | | 8/12/2014 | | | 2,835,000 | | | | 2,273,757 | | | | 2,273,662 | | | | 95 | |
Turkish lira | | Sell | | Deutsche Bank | | 7/10/2014 | | | 2,490,000 | | | | 1,176,582 | | | | 1,173,094 | | | | 3,488 | |
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | | | $ | 7,122,795 | |
36 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Open Forward Foreign Currency Exchange Contracts at June 30, 2014: (continued)
Forward Foreign Currency Exchange Contracts | | Transaction Type | | Counterparty | | Expiration Date | | Foreign Currency | | | U.S. $ Cost on Origination Date | | | U.S. $ Current Value | | | Unrealized Depreciation | |
Argentine peso | | Buy | | J.P. Morgan | | 9/10/2014 | | | 5,425,000 | | | $ | 621,777 | | | $ | 620,863 | | | $ | (914 | ) |
Chilean peso | | Buy | | Bank of America | | 9/10/2014 | | | 200,000,000 | | | | 359,505 | | | | 359,022 | | | | (483 | ) |
Chilean peso | | Buy | | J.P. Morgan | | 9/10/2014 | | | 170,000,000 | | | | 305,338 | | | | 305,169 | | | | (169 | ) |
Chilean peso | | Buy | | Morgan Stanley | | 8/12/2014 | | | 210,000,000 | | | | 378,412 | | | | 378,112 | | | | (300 | ) |
Colombian peso | | Buy | | Bank of America | | 8/12/2014 | | | 588,000,000 | | | | 312,917 | | | | 312,595 | | | | (322 | ) |
Hungarian forint | | Buy | | Bank of America | | 8/12/2014 | | | 83,500,000 | | | | 375,169 | | | | 368,595 | | | | (6,574 | ) |
Hungarian forint | | Buy | | Barclays Bank plc | | 8/12/2014 | | | 48,100,000 | | | | 215,470 | | | | 212,329 | | | | (3,141 | ) |
Hungarian forint | | Buy | | Barclays Bank plc | | 8/12/2014 | | | 50,000,000 | | | | 222,391 | | | | 220,716 | | | | (1,675 | ) |
Hungarian forint | | Buy | | Barclays Bank plc | | 7/10/2014 | | | 4,527,000,000 | | | | 20,352,223 | | | | 20,008,972 | | | | (343,251 | ) |
Hungarian forint | | Buy | | Goldman Sachs | | 8/12/2014 | | | 4,450,000,000 | | | | 20,238,634 | | | | 19,643,710 | | | | (594,924 | ) |
Hungarian forint | | Buy | | Goldman Sachs | | 8/12/2014 | | | 60,900,000 | | | | 271,523 | | | | 268,832 | | | | (2,691 | ) |
Hungarian forint | | Buy | | Goldman Sachs | | 7/10/2014 | | | 59,000,000 | | | | 263,494 | | | | 260,775 | | | | (2,719 | ) |
Hungarian forint | | Buy | | Goldman Sachs | | 8/12/2014 | | | 72,900,000 | | | | 327,126 | | | | 321,804 | | | | (5,322 | ) |
Hungarian forint | | Buy | | Goldman Sachs | | 9/10/2014 | | | 428,600,000 | | | | 1,924,158 | | | | 1,890,035 | | | | (34,123 | ) |
Hungarian forint | | Buy | | J.P. Morgan | | 7/10/2014 | | | 70,900,000 | | | | 320,745 | | | | 313,372 | | | | (7,373 | ) |
Hungarian forint | | Buy | | Morgan Stanley | | 8/12/2014 | | | 60,400,000 | | | | 270,734 | | | | 266,625 | | | | (4,109 | ) |
Hungarian forint | | Buy | | Morgan Stanley | | 9/10/2014 | | | 118,000,000 | | | | 520,666 | | | | 520,355 | | | | (311 | ) |
Hungarian forint | | Buy | | Morgan Stanley | | 7/10/2014 | | | 58,100,000 | | | | 260,618 | | | | 256,797 | | | | (3,821 | ) |
Indian rupee | | Buy | | Barclays Bank plc | | 8/12/2014 | | | 22,400,000 | | | | 377,339 | | | | 370,540 | | | | (6,799 | ) |
Indian rupee | | Buy | | Barclays Bank plc | | 8/12/2014 | | | 16,180,000 | | | | 271,809 | | | | 267,649 | | | | (4,160 | ) |
Indian rupee | | Buy | | Barclays Bank plc | | 8/12/2014 | | | 32,700,000 | | | | 547,125 | | | | 540,923 | | | | (6,202 | ) |
Indonesian rupiah | | Buy | | Barclays Bank plc | | 7/10/2014 | | | 48,500,000,000 | | | | 4,256,253 | | | | 4,086,505 | | | | (169,748 | ) |
Indonesian rupiah | | Buy | | Barclays Bank plc | | 7/10/2014 | | | 3,635,000,000 | | | | 314,841 | | | | 306,277 | | | | (8,564 | ) |
Indonesian rupiah | | Buy | | J.P. Morgan | | 8/19/2014 | | | 184,500,000,000 | | | | 16,050,457 | | | | 15,457,618 | | | | (592,839 | ) |
Indonesian rupiah | | Buy | | J.P. Morgan | | 8/19/2014 | | | 5,000,000,000 | | | | 432,788 | | | | 418,906 | | | | (13,882 | ) |
Indonesian rupiah | | Buy | | J.P. Morgan | | 8/12/2014 | | | 4,470,000,000 | | | | 382,935 | | | | 374,881 | | | | (8,054 | ) |
Indonesian rupiah | | Buy | | J.P. Morgan | | 8/12/2014 | | | 3,800,000,000 | | | | 325,231 | | | | 318,691 | | | | (6,540 | ) |
Indonesian rupiah | | Buy | | J.P. Morgan | | 8/12/2014 | | | 189,400,000,000 | | | | 16,236,605 | | | | 15,884,207 | | | | (352,398 | ) |
Malaysian ringgit | | Buy | | Morgan Stanley | | 8/12/2014 | | | 1,000,000 | | | | 311,255 | | | | 311,145 | | | | (110 | ) |
Mexican peso | | Buy | | Bank of America | | 8/12/2014 | | | 2,810,000 | | | | 216,649 | | | | 215,982 | | | | (667 | ) |
Mexican peso | | Buy | | Deutsche Bank | | 8/12/2014 | | | 261,000,000 | | | | 20,131,975 | | | | 20,060,944 | | | | (71,031 | ) |
Mexican peso | | Buy | | J.P. Morgan | | 8/12/2014 | | | 3,550,000 | | | | 273,435 | | | | 272,860 | | | | (575 | ) |
Mexican peso | | Buy | | Morgan Stanley | | 8/12/2014 | | | 3,515,000 | | | | 271,340 | | | | 270,169 | | | | (1,171 | ) |
Mexican peso | | Buy | | Morgan Stanley | | 9/10/2014 | | | 6,840,000 | | | | 529,225 | | | | 524,728 | | | | (4,497 | ) |
Polish zloty | | Buy | | J.P. Morgan | | 8/12/2014 | | | 54,500,000 | | | | 17,951,855 | | | | 17,898,842 | | | | (53,013 | ) |
Polish zloty | | Buy | | J.P. Morgan | | 8/12/2014 | | | 33,700,000 | | | | 11,072,596 | | | | 11,067,725 | | | | (4,871 | ) |
Romanian new leu | | Buy | | J.P. Morgan | | 7/10/2014 | | | 29,635,000 | | | | 9,304,991 | | | | 9,251,292 | | | | (53,699 | ) |
| See Notes to Financial Statements. | 37 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Open Forward Foreign Currency Exchange Contracts at June 30, 2014: (concluded)
Forward Foreign Currency Exchange Contracts | | Transaction Type | | Counterparty | | Expiration Date | | Foreign Currency | | | U.S. $ Cost on Origination Date | | | U.S. $ Current Value | | | Unrealized Depreciation | |
South African rand | | Buy | | Bank of America | | 7/10/2014 | | | 3,925,000 | | | $ | 370,194 | | | $ | 368,575 | | | $ | (1,619 | ) |
South African rand | | Buy | | Deutsche Bank | | 7/10/2014 | | | 27,050,000 | | | | 2,554,775 | | | | 2,540,113 | | | | (14,662 | ) |
South African rand | | Buy | | Goldman Sachs | | 8/12/2014 | | | 114,650,000 | | | | 10,928,877 | | | | 10,707,552 | | | | (221,325 | ) |
South African rand | | Buy | | J.P. Morgan | | 8/12/2014 | | | 3,450,000 | | | | 325,549 | | | | 322,207 | | | | (3,342 | ) |
South African rand | | Buy | | Morgan Stanley | | 8/12/2014 | | | 3,450,000 | | | | 325,802 | | | | 322,207 | | | | (3,595 | ) |
South African rand | | Buy | | UBS AG | | 9/10/2014 | | | 138,500,000 | | | | 12,888,036 | | | | 12,873,247 | | | | (14,789 | ) |
Turkish lira | | Buy | | Bank of America | | 8/12/2014 | | | 545,000 | | | | 255,865 | | | | 255,027 | | | | (838 | ) |
Turkish lira | | Buy | | J.P. Morgan | | 8/12/2014 | | | 680,000 | | | | 321,615 | | | | 318,199 | | | | (3,416 | ) |
Colombian peso | | Sell | | Bank of America | | 8/12/2014 | | | 386,000,000 | | | | 202,112 | | | | 205,207 | | | | (3,095 | ) |
euro | | Sell | | J.P. Morgan | | 8/12/2014 | | | 225,000 | | | | 304,465 | | | | 308,140 | | | | (3,675 | ) |
euro | | Sell | | J.P. Morgan | | 8/12/2014 | | | 320,000 | | | | 435,840 | | | | 438,244 | | | | (2,404 | ) |
euro | | Sell | | J.P. Morgan | | 8/12/2014 | | | 8,104,116 | | | | 11,072,596 | | | | 11,098,681 | | | | (26,085 | ) |
euro | | Sell | | J.P. Morgan | | 8/12/2014 | | | 1,125,000 | | | | 1,529,331 | | | | 1,540,701 | | | | (11,370 | ) |
Indonesian rupiah | | Sell | | J.P. Morgan | | 8/12/2014 | | | 60,300,000,000 | | | | 4,928,887 | | | | 5,057,116 | | | | (128,229 | ) |
Indonesian rupiah | | Sell | | Morgan Stanley | | 7/10/2014 | | | 18,135,000,000 | | | | 1,517,459 | | | | 1,528,016 | | | | (10,557 | ) |
Malaysian ringgit | | Sell | | J.P. Morgan | | 7/10/2014 | | | 3,440,000 | | | | 1,059,831 | | | | 1,071,196 | | | | (11,365 | ) |
Polish zloty | | Sell | | J.P. Morgan | | 7/10/2014 | | | 9,380,000 | | | | 3,084,345 | | | | 3,087,074 | | | | (2,729 | ) |
Romanian new leu | | Sell | | J.P. Morgan | | 7/10/2014 | | | 29,635,000 | | | | 9,108,739 | | | | 9,251,292 | | | | (142,553 | ) |
Singapore dollar | | Sell | | Deutsche Bank | | 8/12/2014 | | | 475,000 | | | | 378,113 | | | | 380,949 | | | | (2,836 | ) |
Singapore dollar | | Sell | | Goldman Sachs | | 9/10/2014 | | | 15,500,000 | | | | 12,385,207 | | | | 12,431,108 | | | | (45,901 | ) |
Singapore dollar | | Sell | | Goldman Sachs | | 8/12/2014 | | | 265,000 | | | | 212,216 | | | | 212,529 | | | | (313 | ) |
South Korean won | | Sell | | J.P. Morgan | | 7/10/2014 | | | 2,955,000,000 | | | | 2,877,677 | | | | 2,919,768 | | | | (42,091 | ) |
Turkish lira | | Sell | | Goldman Sachs | | 7/10/2014 | | | 3,670,000 | | | | 1,716,086 | | | | 1,729,018 | | | $ | (12,932 | ) |
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | | $ | (3,080,763 | ) |
Open Futures Contracts at June 30, 2014:
Type | | Expiration | | Contracts | | Position | | Fair Value | | | Unrealized Appreciation | |
U.S. 2-Year Treasury Note | | September 2014 | | 432 | | Short | | $ | (94,864,500 | ) | | | $ | 9,539 | |
| | | | | | | | | | | | | |
Type | | Expiration | | Contracts | | Position | | Fair Value | | | Unrealized Depreciation | |
U.S. 5-Year Treasury Note | | September 2014 | | 542 | | Short | | $ | (64,747,828 | ) | | | $ | (167,346 | ) |
U.S. 10-Year Treasury Note | | September 2014 | | 65 | | Short | | | (8,136,172 | ) | | | | (56,245 | ) |
Totals | | | | | | | | $ | (72,884,000 | ) | | | $ | (223,591 | ) |
38 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2014
Credit Default Swaps on Indexes – Sell Protection at June 30, 2014(1):
Referenced Index | | Fund Receives | | Termination Date | | Original Notional Amount | | | Current Notional Amount | | | Fair Value(2) | | | Payments Upfront(3) | | | Unrealized Appreciation(4) | | | Credit Default Swap Agreements Payable at Fair Value(5) | |
Markit CMBX. NA.AAA.2(6) | | | .07 | % | | 3/15/2049 | | $ | 500,000 | | | $ | 476,483 | | | | 496,478 | | | $ | 11,990 | | | $ | 8,468 | | | $ | 3,522 | |
Markit CMBX. NA.AAA.3(6) | | | .08 | % | | 12/13/2049 | | | 1,000,000 | | | | 980,402 | | | | 990,455 | | | | 34,801 | | | | 25,256 | | | | 9,545 | |
Markit CMBX. NA.AAA.2(7) | | | .07 | % | | 3/15/2049 | | | 500,000 | | | | 476,483 | | | | 496,478 | | | | 13,783 | | | | 10,261 | | | | 3,522 | |
Markit CMBX. NA.AAA.2(8) | | | .07 | % | | 3/15/2049 | | | 1,300,000 | | | | 1,238,856 | | | | 1,290,842 | | | | 68,868 | | | | 59,710 | | | | 9,158 | |
| | | | | | | | | | | | | | | | | | | | $ | 129,442 | | | $ | 103,695 | | | $ | 25,747 | |
(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) | Upfront payments received are presented net of amortization (See Note 2(n)). |
(4) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $103,695. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. |
(5) | Includes upfront payments received. |
(6) | Swap Counterparty: Credit Suisse. |
(7) | Swap Counterparty: Morgan Stanley. |
(8) | Swap Counterparty: UBS AG. |
Open Interest Rate Swap Contracts at June 30, 2014:
Periodic Payments to be Made By The Fund | | Periodic Payments to be Received By The Fund | | Termination Date | | Notional Amount | | | Fair Value | | Unrealized Depreciation | |
0.535% | | 3-Month LIBOR Index | | 8/23/2015 | | $ | 23,000,000 | | | $ | 22,941,624 | | | $ | (58,376 | ) |
0.539% | | 3-Month LIBOR Index | | 1/10/2016 | | | 13,000,000 | | | | 12,975,613 | | | | (24,387 | ) |
| | | | | | | | | | | | | | $ | (82,763 | ) |
| See Notes to Financial Statements. | 39 |
Schedule of Investments (unaudited)(concluded)
EMERGING MARKETS CURRENCY FUND June 30, 2014
The following is a summary of the inputs used as of June 30, 2014 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 | | $ | — | | | $ | 82,916,819 | | | $ | — | | | $ | 82,916,819 | |
Corporate Bonds | | | — | | | | 208,989,279 | | | | — | | | | 208,989,279 | |
Floating Rate Loans | | | — | | | | 26,256,048 | | | | — | | | | 26,256,048 | |
Foreign Government Obligation | | | — | | | | 248,333 | | | | — | | | | 248,333 | |
Government Sponsored Enterprises Collateralized Mortgage Obligations | | | — | | | | 11,177,593 | | | | — | | | | 11,177,593 | |
Government Sponsored Enterprises Pass-Throughs | | | — | | | | 35,203,023 | | | | — | | | | 35,203,023 | |
Non-Agency Commercial Mortgage-Backed Securities | | | — | | | | 122,832,395 | | | | — | | | | 122,832,395 | |
Commercial Paper | | | — | | | | 10,997,923 | | | | — | | | | 10,997,923 | |
Convertible Bonds | | | — | | | | 4,904,794 | | | | — | | | | 4,904,794 | |
Total | | $ | — | | | $ | 503,526,207 | | | $ | — | | | $ | 503,526,207 | |
Other Financial Instruments | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
Assets | | $ | — | | | $ | 7,122,795 | | | $ | — | | | $ | 7,122,795 | |
Liabilities | | | — | | | | (3,080,763 | ) | | | — | | | | (3,080,763 | ) |
Futures Contracts | | | | | | | | | | | | | | | | |
Assets | | | 9,539 | | | | — | | | | — | | | | 9,539 | |
Liabilities | | | (223,591 | ) | | | — | | | | — | | | | (223,591 | ) |
Credit Default Swaps | | | | | | | | | | | | | | | | |
Assets | | | — | | | | — | | | | — | | | | — | |
Liabilities | | | — | | | | (25,747 | ) | | | — | | | | (25,747 | ) |
Interest Rate Swaps | | | | | | | | | | | | | | | | |
Assets | | | — | | | | — | | | | — | | | | — | |
Liabilities | | | — | | | | (82,763 | ) | | | — | | | | (82,763 | ) |
Total | | $ | (214,052 | ) | | $ | 3,933,522 | | | $ | — | | | $ | 3,719,470 | |
(1) | Refer to Note 2(p) for a description of fair value measurements and the three-tier hierarchy of inputs. |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
(3) | There were no level transfers during the period ended June 30, 2014. |
40 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
EMERGING MARKETS LOCAL BOND FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
LONG-TERM INVESTMENTS 91.96% | | | | | | | | | | | |
| | | | | | | | | | | |
FOREIGN CORPORATE BONDS(a) 13.89% | | | | | | | | | | | |
| | | | | | | | | | | |
Brazil 1.63% | | | | | | | | | | | |
| | | | | | | | | | | |
Banks: Regional | | | | | | | | | | | |
Banco do Brasil SA | | 9.75% | | 7/18/2017 | | BRL | 155 | | $ | 68,398 | |
Itau Unibanco Holding SA† | | 10.50% | | 11/23/2015 | | BRL | 160 | | | 71,871 | |
Total | | | | | | | | | | 140,269 | |
| | | | | | | | | | | |
Luxembourg 2.75% | | | | | | | | | | | |
| | | | | | | | | | | |
Banks: Regional | | | | | | | | | | | |
Russian Agricultural Bank OJSC Via RSHB Capital SA† | | 8.625% | | 2/17/2017 | | RUB | 3,300 | | | 94,119 | |
Sberbank of Russia Via SB Capital SA | | 7.00% | | 1/31/2016 | | RUB | 5,000 | | | 142,826 | |
Total | | | | | | | | | | 236,945 | |
| | | | | | | | | | | |
Mexico 5.19% | | | | | | | | | | | |
| | | | | | | | | | | |
Media 1.27% | | | | | | | | | | | |
Grupo Televisa SAB | | 8.49% | | 5/11/2037 | | MXN | 1,400 | | | 109,203 | |
| | | | | | | | | | | |
Oil: Integrated International 2.68% | | | | | | | | | | | |
Petroleos Mexicanos† | | 7.65% | | 11/24/2021 | | MXN | 2,750 | | | 230,644 | |
| | | | | | | | | | | |
Telecommunications 1.24% | | | | | | | | | | | |
America Movil SAB de CV | | 9.00% | | 1/15/2016 | | MXN | 1,300 | | | 107,295 | |
Total | | | | | | | | | | 447,142 | |
| | | | | | | | | | | |
South Africa 2.77% | | | | | | | | | | | |
| | | | | | | | | | | |
Electric: Power 1.73% | | | | | | | | | | | |
Eskom Holdings SOC Ltd. | | Zero Coupon | | 12/31/2018 | | ZAR | 800 | | | 50,688 | |
Eskom Holdings SOC Ltd. | | 9.25% | | 4/20/2018 | | ZAR | 1,000 | | | 98,855 | |
Total | | | | | | | | | | 149,543 | |
| | | | | | | | | | | |
Transportation: Miscellaneous 1.04% | | | | | | | | | | | |
Transnet SOC Ltd. | | 8.90% | | 11/14/2027 | | ZAR | 1,000 | | | 89,350 | |
Total | | | | | | | | | | 238,893 | |
| | | | | | | | | | | |
Turkey 1.55% | | | | | | | | | | | |
| | | | | | | | | | | |
Banks: Regional | | | | | | | | | | | |
Akbank TAS† | | 7.50% | | 2/5/2018 | | TRY | 305 | | | 134,231 | |
Total Foreign Corporate Bonds (cost $1,231,568) | | | | | | | | | | 1,197,480 | |
| See Notes to Financial Statements. | 41 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS LOCAL BOND FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
FOREIGN GOVERNMENT OBLIGATIONS(a) 78.07% | | | | | | | | | | | |
| | | | | | | | | | | |
Brazil 12.51% | | | | | | | | | | | |
Brazil Letras do Tesouro Nacional | | Zero Coupon | | 1/1/2016 | | BRL | 905 | | $ | 348,482 | |
Brazil Letras do Tesouro Nacional | | Zero Coupon | | 1/1/2018 | | BRL | 410 | | | 125,356 | |
Brazil Notas do Tesouro Nacional Series F | | 10.00% | | 1/1/2017 | | BRL | 750 | | | 328,922 | |
Brazil Notas do Tesouro Nacional Series F | | 10.00% | | 1/1/2021 | | BRL | 440 | | | 182,458 | |
Brazil Notas do Tesouro Nacional Series F | | 10.00% | | 1/1/2023 | | BRL | 230 | | | 93,421 | |
Total | | | | | | | | | | 1,078,639 | |
| | | | | | | | | | | |
Chile 1.17% | | | | | | | | | | | |
Bonos del Banco Central de Chile en Pesos | | 6.00% | | 1/1/2015 | | CLP | 55,000 | | | 100,598 | |
| | | | | | | | | | | |
Colombia 6.81% | | | | | | | | | | | |
Colombian TES Series B | | 6.00% | | 4/28/2028 | | COP | 183,000 | | | 88,980 | |
Colombian TES Series B | | 7.00% | | 5/4/2022 | | COP | 135,000 | | | 74,133 | |
Colombian TES Series B | | 10.00% | | 7/24/2024 | | COP | 68,700 | | | 45,648 | |
Colombian TES Series B | | 11.00% | | 7/24/2020 | | COP | 295,000 | | | 193,906 | |
Republic of Colombia | | 12.00% | | 10/22/2015 | | COP | 316,000 | | | 184,223 | |
Total | | | | | | | | | | 586,890 | |
| | | | | | | | | | | |
Hungary 2.44% | | | | | | | | | | | |
Hungary Government Bond | | 6.00% | | 11/24/2023 | | HUF | 11,000 | | | 55,264 | |
Hungary Government Bond | | 7.50% | | 11/12/2020 | | HUF | 11,200 | | | 60,014 | |
Hungary Government Bond | | 7.75% | | 8/24/2015 | | HUF | 20,220 | | | 94,986 | |
Total | | | | | | | | | | 210,264 | |
| | | | | | | | | | | |
Indonesia 8.13% | | | | | | | | | | | |
Indonesia Treasury Bond | | 7.00% | | 5/15/2022 | | IDR | 2,260,000 | | | 178,075 | |
Indonesia Treasury Bond | | 7.375% | | 9/15/2016 | | IDR | 2,850,000 | | | 240,164 | |
Indonesia Treasury Bond | | 9.50% | | 7/15/2031 | | IDR | 1,679,000 | | | 150,480 | |
Indonesia Treasury Bond | | 10.00% | | 2/15/2028 | | IDR | 1,410,000 | | | 132,128 | |
Total | | | | | | | | | | 700,847 | |
| | | | | | | | | | | |
Israel 1.44% | | | | | | | | | | | |
Israel Government Bond | | 3.75% | | 3/31/2024 | | ILS | 390 | | | 123,904 | |
| | | | | | | | | | | |
Malaysia 6.61% | | | | | | | | | | | |
Malaysia Government Bond | | 3.48% | | 3/15/2023 | | MYR | 370 | | | 110,919 | |
Malaysia Government Bond | | 3.835% | | 8/12/2015 | | MYR | 505 | | | 158,498 | |
Malaysia Government Bond | | 4.012% | | 9/15/2017 | | MYR | 312 | | | 98,494 | |
Malaysia Government Bond | | 4.16% | | 7/15/2021 | | MYR | 310 | | | 97,829 | |
Malaysia Government Bond | | 4.378% | | 11/29/2019 | | MYR | 325 | | | 104,198 | |
Total | | | | | | | | | | 569,938 | |
42 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS LOCAL BOND FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Mexico 4.04% | | | | | | | | | | | |
Mexican Bonos | | 7.75% | | 5/29/2031 | | MXN | 600 | | $ | 53,000 | |
Mexican Bonos | | 7.75% | | 11/13/2042 | | MXN | 200 | | | 17,500 | |
Mexican Bonos | | 8.00% | | 12/7/2023 | | MXN | 1,100 | | | 99,227 | |
Mexican Bonos | | 8.50% | | 5/31/2029 | | MXN | 420 | | | 39,629 | |
Mexican Bonos | | 8.50% | | 11/18/2038 | | MXN | 1,470 | | | 138,665 | |
Total | | | | | | | | | | 348,021 | |
| | | | | | | | | | | |
Nigeria 1.61% | | | | | | | | | | | |
Nigeria Government Bond | | 13.05% | | 8/16/2016 | | NGN | 21,900 | | | 139,034 | |
| | | | | | | | | | | |
Peru 0.56% | | | | | | | | | | | |
Peru Government Bond | | 6.85% | | 2/12/2042 | | PEN | 132 | | | 48,797 | |
| | | | | | | | | | | |
Philippines 1.42% | | | | | | | | | | | |
Republic of Philippines | | 4.95% | | 1/15/2021 | | PHP | 5,000 | | | 122,136 | |
| | | | | | | | | | | |
Poland 4.07% | | | | | | | | | | | |
Poland Government Bond | | 5.00% | | 4/25/2016 | | PLN | 380 | | | 130,739 | |
Poland Government Bond | | 5.25% | | 10/25/2020 | | PLN | 155 | | | 57,139 | |
Poland Government Bond | | 5.75% | | 9/23/2022 | | PLN | 423 | | | 162,989 | |
Total | | | | | | | | | | 350,867 | |
| | | | | | | | | | | |
Romania 4.17% | | | | | | | | | | | |
Romania Government Bond | | 5.60% | | 11/28/2018 | | RON | 840 | | | 289,770 | |
Romania Government Bond | | 5.85% | | 4/26/2023 | | RON | 200 | | | 69,453 | |
Total | | | | | | | | | | 359,223 | |
| | | | | | | | | | | |
Russia 8.61% | | | | | | | | | | | |
Russian Federal Bond - OFZ | | 6.90% | | 8/3/2016 | | RUB | 7,850 | | | 227,210 | |
Russian Federal Bond - OFZ | | 7.50% | | 3/15/2018 | | RUB | 7,700 | | | 223,578 | |
Russian Federal Bond - OFZ | | 7.60% | | 4/14/2021 | | RUB | 6,785 | | | 195,012 | |
Russian Federal Bond - OFZ | | 8.15% | | 2/3/2027 | | RUB | 3,320 | | | 96,380 | |
Total | | | | | | | | | | 742,180 | |
| | | | | | | | | | | |
South Africa 4.55% | | | | | | | | | | | |
Republic of South Africa | | 6.25% | | 3/31/2036 | | ZAR | 865 | | | 60,498 | |
Republic of South Africa | | 7.00% | | 2/28/2031 | | ZAR | 920 | | | 72,996 | |
Republic of South Africa | | 7.25% | | 1/15/2020 | | ZAR | 1,490 | | | 136,804 | |
Republic of South Africa | | 10.50% | | 12/21/2026 | | ZAR | 1,110 | | | 121,872 | |
Total | | | | | | | | | | 392,170 | |
| See Notes to Financial Statements. | 43 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS LOCAL BOND FUND June 30, 2014
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | Fair Value | |
Thailand 5.19% | | | | | | | | | | | |
Bank of Thailand | | 3.05% | | 7/23/2016 | | THB | 5,900 | | $ | 184,263 | |
Thailand Government Bond | | 3.58% | | 12/17/2027 | | THB | 1,720 | | | 51,213 | |
Thailand Government Bond | | 3.625% | | 6/16/2023 | | THB | 2,890 | | | 88,328 | |
Thailand Government Bond | | 3.65% | | 12/17/2021 | | THB | 2,025 | | | 62,730 | |
Thailand Government Bond | | 3.875% | | 6/13/2019 | | THB | 1,910 | | | 60,841 | |
Total | | | | | | | | | | 447,375 | |
| | | | | | | | | | | |
Turkey 4.74% | | | | | | | | | | | |
Turkey Government Bond | | 7.10% | | 3/8/2023 | | TRY | 485 | | | 208,092 | |
Turkey Government Bond | | 9.00% | | 1/27/2016 | | TRY | 285 | | | 136,541 | |
Turkey Government Bond | | 10.50% | | 1/15/2020 | | TRY | 124 | | | 63,797 | |
Total | | | | | | | | | | 408,430 | |
Total Foreign Government Obligations (cost $6,718,912) | | | | | | | | | | 6,729,313 | |
Total Long-Term Investments (cost $7,950,480) | | | | | | | | | | 7,926,793 | |
| | | | | | | | | | | |
SHORT-TERM INVESTMENTS 5.09% | | | | | | | | | | | |
| | | | | | | | | | | |
FOREIGN CORPORATE BOND(a) 1.62% | | | | | | | | | | | |
| | | | | | | | | | | |
Malaysia | | | | | | | | | | | |
| | | | | | | | | | | |
Banks: Regional | | | | | | | | | | | |
Bank Negara Malaysia Monetary Notes (cost $137,122) | | Zero Coupon | | 7/24/2014 | | MYR | 450 | | | 139,884 | |
| | | | | | | | | | | |
FOREIGN GOVERNMENT OBLIGATION(a) 0.92% | | | | | | | | | | | |
| | | | | | | | | | | |
Brazil | | | | | | | | | | | |
Brazil Letras do Tesouro Nacional | | Zero Coupon | | 10/1/2014 | | BRL | 180 | | | 79,265 | |
| | | | | | | | | | | |
REPURCHASE AGREEMENT 2.55% | | | | | | | | | | | |
Repurchase Agreement dated 6/30/2014, Zero Coupon due 7/1/2014 with Fixed Income Clearing Corp. collateralized by $225,000 of U.S. Treasury Note at 2.00% due 11/30/2020; value: $225,281; proceeds: $219,385 (cost $219,385) | | | | | | $ | 219 | | | 219,385 | |
Total Short-Term Investments (cost $430,659) | | | | | | | | | | 438,534 | |
Total Investments in Securities 97.05% (cost $8,381,139) | | | | | | | | | | 8,365,327 | |
Other Assets in Excess of Liabilities(b) 2.95% | | | | | | | 253,882 | | | | |
Net Assets 100.00% | | | | | | | | | $ | 8,619,209 | |
44 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS LOCAL BOND FUND June 30, 2014
BRL | | Brazilian real. |
CLP | | Chilean peso. |
COP | | Colombian peso. |
HUF | | Hungarian forint. |
IDR | | Indonesian rupiah. |
ILS | | Israeli new shekel. |
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) | | Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts as follows: |
Open Forward Foreign Currency Exchange Contracts at June 30, 2014:
Forward Foreign Currency Exchange Contracts | | Transaction Type | | Counterparty | | Expiration Date | | Foreign Currency | | U.S. $ Cost on Origination Date | | U.S. $ Current Value | | Unrealized Appreciation |
Malaysian ringgit | | Buy | | Morgan Stanley | | 7/7/2014 | | 603,000 | | $ 183,127 | | $ 187,779 | | | $ 4,652 |
Mexican peso | | Buy | | Bank of America | | 9/30/2014 | | 675,000 | | 51,496 | | 51,713 | | | 217 |
Peruvian nuevo sol | | Buy | | Credit Suisse | | 8/11/2014 | | 468,000 | | 165,166 | | 166,520 | | | 1,354 |
Philippine peso | | Buy | | Bank of America | | 9/10/2014 | | 3,505,000 | | 80,242 | | 80,322 | | | 80 |
Polish zloty | | Buy | | Citibank | | 8/18/2014 | | 279,000 | | 90,834 | | 91,595 | | | 761 |
Polish zloty | | Buy | | Morgan Stanley | | 8/18/2014 | | 977,000 | | 320,530 | | 320,748 | | | 218 |
Romanian new leu | | Buy | | Bank of America | | 7/22/2014 | | 522,000 | | 161,560 | | 162,861 | | | 1,301 |
Romanian new leu | | Buy | | Citibank | | 7/22/2014 | | 88,000 | | 27,145 | | 27,455 | | | 310 |
Romanian new leu | | Buy | | Deutsche Bank | | 7/22/2014 | | 87,000 | | 27,041 | | 27,143 | | | 102 |
Russian ruble | | Buy | | Morgan Stanley | | 9/5/2014 | | 630,000 | | 17,602 | | 18,301 | | | 699 |
South African rand | | Buy | | Citibank | | 8/13/2014 | | 59,000 | | 5,508 | | 5,509 | | | 1 |
South African rand | | Buy | | Deutsche Bank | | 8/13/2014 | | 55,000 | | 5,079 | | 5,136 | | | 57 |
South African rand | | Buy | | Morgan Stanley | | 8/13/2014 | | 461,000 | | 42,580 | | 43,047 | | | 467 |
Thai baht | | Buy | | Bank of America | | 8/6/2014 | | 1,160,000 | | 35,184 | | 35,686 | | | 502 |
Turkish lira | | Buy | | Bank of America | | 7/31/2014 | | 589,000 | | 269,473 | | 276,279 | | | 6,806 |
Turkish lira | | Buy | | Bank of America | | 7/31/2014 | | 90,000 | | 42,040 | | 42,216 | | | 176 |
Indonesian rupiah | | Sell | | Morgan Stanley | | 7/3/2014 | | 920,000,000 | | 80,253 | | 77,593 | | | 2,660 |
Turkish lira | | Sell | | Bank of America | | 7/31/2014 | | 315,000 | | 148,195 | | 147,755 | | | 440 |
Turkish lira | | Sell | | Citibank | | 7/31/2014 | | 202,000 | | 95,127 | | 94,750 | | | 377 |
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | $ 21,180 |
| See Notes to Financial Statements. | 45 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS LOCAL BOND FUND June 30, 2014
Forward Foreign Currency Exchange Contracts | | Transaction Type | | Counterparty | | Expiration Date | | Foreign Currency | | U.S. $ Cost on Origination Date | | U.S. $ Current Value | | Unrealized Depreciation |
Colombian peso | | Buy | | Bank of America | | 9/8/2014 | | 202,455,000 | | $ 107,429 | | $ 107,375 | | | $ (54) |
Hungarian forint | | Buy | | Citibank | | 8/13/2014 | | 35,770,000 | | 161,497 | | 157,894 | | | (3,603) |
Hungarian forint | | Buy | | Morgan Stanley | | 8/13/2014 | | 3,530,000 | | 15,850 | | 15,582 | | | (268) |
Hungarian forint | | Buy | | Morgan Stanley | | 8/13/2014 | | 20,000,000 | | 88,355 | | 88,283 | | | (72) |
Indonesian rupiah | | Buy | | Morgan Stanley | | 7/3/2014 | | 920,000,000 | | 80,582 | | 77,593 | | | (2,989) |
Malaysian ringgit | | Buy | | Bank of America | | 7/7/2014 | | 101,000 | | 31,511 | | 31,452 | | | (59) |
Mexican peso | | Buy | | Goldman Sachs | | 7/22/2014 | | 1,825,000 | | 141,366 | | 140,475 | | | (891) |
Mexican peso | | Buy | | Morgan Stanley | | 7/22/2014 | | 1,055,000 | | 81,582 | | 81,206 | | | (376) |
Polish zloty | | Buy | | Citibank | | 8/18/2014 | | 506,000 | | 166,253 | | 166,119 | | | (134) |
South African rand | | Buy | | Goldman Sachs | | 8/13/2014 | | 750,000 | | 71,308 | | 70,034 | | | (1,274) |
South African rand | | Buy | | Morgan Stanley | | 8/13/2014 | | 20,000 | | 1,881 | | 1,868 | | | (13) |
Turkish lira | | Buy | | Bank of America | | 7/31/2014 | | 79,000 | | 37,544 | | 37,056 | | | (488) |
Brazilian real | | Sell | | Credit Suisse | | 8/11/2014 | | 400,000 | | 175,077 | | 178,991 | | | (3,914) |
Colombian peso | | Sell | | Bank of America | | 9/8/2014 | | 580,000,000 | | 300,272 | | 307,611 | | | (7,339) |
Colombian peso | | Sell | | Bank of America | | 9/8/2014 | | 73,055,000 | | 38,135 | | 38,746 | | | (611) |
euro | | Sell | | Bank of America | | 8/18/2014 | | 10,500 | | 14,374 | | 14,380 | | | (6) |
euro | | Sell | | Bank of America | | 7/22/2014 | | 118,664 | | 161,560 | | 162,498 | | | (938) |
euro | | Sell | | Citibank | | 8/18/2014 | | 121,656 | | 166,253 | | 166,613 | | | (360) |
Indonesian rupiah | | Sell | | Morgan Stanley | | 9/30/2014 | | 1,000,000,000 | | 81,100 | | 83,255 | | | (2,155) |
Israeli new shekel | | Sell | | Goldman Sachs | | 9/12/2014 | | 420,000 | | 121,323 | | 122,344 | | | (1,021) |
Mexican peso | | Sell | | Bank of America | | 7/22/2014 | | 1,550,000 | | 117,943 | | 119,307 | | | (1,364) |
Mexican peso | | Sell | | Morgan Stanley | | 7/22/2014 | | 1,330,000 | | 102,328 | | 102,373 | | | (45) |
Romanian new leu | | Sell | | Citibank | | 7/22/2014 | | 357,000 | | 110,036 | | 111,382 | | | (1,346) |
Romanian new leu | | Sell | | Citibank | | 7/22/2014 | | 387,000 | | 119,088 | | 120,742 | | | (1,654) |
Russian ruble | | Sell | | Morgan Stanley | | 9/5/2014 | | 3,610,000 | | 102,946 | | 104,867 | | | (1,921) |
Russian ruble | | Sell | | Morgan Stanley | | 9/5/2014 | | 1,955,000 | | 56,553 | | 56,791 | | | (238) |
Thai baht | | Sell | | Morgan Stanley | | 8/6/2014 | | 2,600,000 | | 79,926 | | 79,985 | | | (59) |
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | | | $(33,192) |
46 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(concluded)
EMERGING MARKETS LOCAL BOND FUND June 30, 2014
The following is a summary of the inputs used as of June 30, 2014 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Foreign Corporate Bonds | | $ | — | | | $ | 1,337,364 | | | $ | — | | | $ | 1,337,364 | |
Foreign Government Obligations | | | — | | | | 6,808,578 | | | | — | | | | 6,808,578 | |
Repurchase Agreement | | | — | | | | 219,385 | | | | — | | | | 219,385 | |
Total | | $ | — | | | $ | 8,365,327 | | | $ | — | | | $ | 8,365,327 | |
Other Financial Instruments | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
Assets | | $ | — | | | $ | 21,180 | | | $ | — | | | $ | 21,180 | |
Liabilities | | | — | | | | (33,192 | ) | | | — | | | | (33,192 | ) |
Total | | $ | — | | | $ | (12,012 | ) | | $ | — | | | $ | (12,012 | ) |
(1) | Refer to Note 2(p) for a description of fair value measurements and the three-tier hierarchy of inputs. |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
(3) | There were no level transfers during the period ended June 30, 2014. |
| See Notes to Financial Statements. | 47 |
Schedule of Investments (unaudited)
MULTI-ASSET GLOBAL OPPORTUNITY FUND June 30, 2014
Investments | | Shares | | | Fair Value (000) | |
INVESTMENTS IN UNDERLYING FUNDS(a) 99.35% | | | | | | | | |
| | | | | | | | |
Lord Abbett Affiliated Fund, Inc. - Class I(b) | | | 166,370 | | | $ | 2,735 | |
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund - Class I(c) | | | 55,084 | | | | 1,252 | |
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund - Class I(c) | | | 1,458,083 | | | | 32,967 | |
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund - Class I(d) | | | 7,949,400 | | | | 50,717 | |
Lord Abbett Investment Trust-High Yield Fund - Class I(e) | | | 3,570,906 | | | | 28,925 | |
Lord Abbett Investment Trust-Inflation Focused Fund - Class I(f) | | | 93,904 | | | | 1,335 | |
Lord Abbett Securities Trust-International Dividend Income Fund - Class I(g) | | | 11,969,665 | | | | 114,310 | |
Lord Abbett Mid Cap Stock Fund, Inc. - Class I(h) | | | 1,362,780 | | | | 34,206 | |
Lord Abbett Investment Trust-Short Duration Income Fund - Class I(i) | | | 701,604 | | | | 3,192 | |
Total Investments in Underlying Funds (cost $238,158,790) | | | | | | | 269,639 | |
| | | | | | |
| | Principal Amount | | | | |
SHORT-TERM INVESTMENT 0.06% | | | | | | |
| | | | | | |
REPURCHASE AGREEMENT | | | | | | |
| | | | | | |
Repurchase Agreement dated 6/30/2014, Zero Coupon due 7/1/2014 with Fixed Income Clearing Corp. collateralized by $160,000 of U.S. Treasury Note at 2.00% due 9/30/2020; value: $161,000; proceeds: $153,251 (cost $153,251) | | $ | 153 | | | | 153 | |
Total Investments in Securities 99.41% (cost $238,312,041) | | | | | | | 269,792 | |
Other Assets in Excess of Liabilities(j) 0.59% | | | | | | | 1,604 | |
Net Assets 100.00% | | | | | | $ | 271,396 | |
(a) | Affiliated issuers (See Note 12). |
(b) | Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value. |
(c) | Fund investment objective is total return. |
(d) | Fund investment objective is to seek high total return. |
(e) | Fund investment objective is to seek a high current income and the opportunity for capital appreciation to produce a high total return. |
(f) | Fund investment objective is to provide investment returns that exceed the rate of inflation in the U.S. economy over a full economic cycle and to seek current income. |
(g) | Fund investment objective is to seek a high level of total return. |
(h) | Fund investment objective is to seek capital appreciation through investments, primarily in equity securities, which are believed to be undervalued in the marketplace. |
(i) | Fund investment objective is to seek a high level of income consistent with preservation of capital. |
(j) | Other Assets in Excess of Liabilities include net unrealized depreciation on futures contracts as follows: |
Open Futures Contracts at June 30, 2014:
Type | | Expiration | | Contracts | | Position | | Fair Value | | | Unrealized Depreciation | |
U.S. 10-Year Treasury Note | | September 2014 | | 33 | | Short | | | $(4,130,672 | ) | | | $(28,565 | ) |
48 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(concluded)
MULTI-ASSET GLOBAL OPPORTUNITY FUND June 30, 2014
The following is a summary of the inputs used as of June 30, 2014 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 | | $ | 269,639 | | | $ | — | | | $ | — | | | $ | 269,639 | |
Repurchase Agreement | | | — | | | | 153 | | | | — | | | | 153 | |
Total | | $ | 269,639 | | | $ | 153 | | | $ | — | | | $ | 269,792 | |
Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
Assets | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Liabilities | | | (29 | ) | | | — | | | | — | | | | (29 | ) |
Total | | $ | (29 | ) | | $ | — | | | $ | — | | | $ | (29 | ) |
(1) | Refer to Note 2(p) for a description of fair value measurements and the three-tier hierarchy of inputs. |
(2) | See Schedule of Investments for fair values in each investment strategy of the Underlying Funds. |
(3) | There were no level transfers during the period ended June 30, 2014. |
| See Notes to Financial Statements. | 49 |
Statements of Assets and Liabilities (unaudited)
June 30, 2014
| | Emerging Markets Corporate Debt Fund | | | Emerging Markets Currency Fund | |
ASSETS: | | | | | | | | |
Investments in securities, at cost | | | $ | 11,168,046 | | | | $ | 502,405,699 | |
Investments in securities, at fair value | | | $ | 11,591,122 | | | | $ | 503,526,207 | |
Cash | | | | 202,999 | | | | | 28,778,953 | |
Foreign cash, at value (cost $0 and $19,111, respectively) | | | | — | | | | | 19,131 | |
Deposits with brokers for derivatives collateral | | | | — | | | | | 1,029,342 | |
Receivables: | | | | | | | | | | |
Interest and dividends | | | | 175,028 | | | | | 3,542,464 | |
Investment securities sold | | | | 430,198 | | | | | 764,477 | |
Capital shares sold | | | | 50,472 | | | | | 1,312,187 | |
From advisor (See Note 3) | | | | 14,911 | | | | | — | |
Unrealized appreciation on forward foreign currency exchange contracts | | | | — | | | | | 7,122,795 | |
Prepaid expenses | | | | 53,492 | | | | | 49,824 | |
Total assets | | | | 12,518,222 | | | | | 546,145,380 | |
LIABILITIES: | | | | | | | | | | |
Payables: | | | | | | | | | | |
Investment securities purchased | | | | 603,530 | | | | | 20,048,268 | |
Capital shares reacquired | | | | 19 | | | | | 413,539 | |
Management fee | | | | 6,745 | | | | | 212,820 | |
12b-1 distribution fees | | | | 1,734 | | | | | 30,006 | |
Directors’ fees | | | | 134 | | | | | 59,108 | |
Fund administration | | | | 385 | | | | | 17,026 | |
To affiliates (See Note 3) | | | | — | | | | | 46,228 | |
Variation margin for interest rate swaps | | | | — | | | | | 2,288 | |
Variation margin for futures contracts | | | | — | | | | | 56,770 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | | 6,921 | | | | | 3,080,763 | |
Credit default swap agreements payable, at fair value (including upfront payments received of $0 and $129,442) | | | | — | | | | | 25,747 | |
Distributions payable | | | | 50,689 | | | | | 1,106,341 | |
Accrued expenses | | | | 16,011 | | | | | 139,039 | |
Total liabilities | | | | 686,168 | | | | | 25,237,943 | |
NET ASSETS | | | $ | 11,832,054 | | | | $ | 520,907,437 | |
COMPOSITION OF NET ASSETS: | | | | | | | | | | |
Paid-in capital | | | $ | 11,289,914 | | | | $ | 532,311,059 | |
Distributions in excess of net investment income | | | | (27,230 | ) | | | | (5,367,656 | ) |
Accumulated net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions | | | | 153,182 | | | | | (11,004,102 | ) |
Net unrealized appreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | | | | 416,188 | | | | | 4,968,136 | |
Net Assets | | | $ | 11,832,054 | | | | $ | 520,907,437 | |
50 | See Notes to Financial Statements. | |
Statements of Assets and Liabilities (unaudited)(continued)
June 30, 2014
| | Emerging Markets Corporate Debt Fund | | | Emerging Markets Currency Fund | |
Net assets by class: | | | | | | | | | | |
Class A Shares | | | $ | 6,183,912 | | | | $ | 43,468,700 | |
Class B Shares | | | | — | | | | $ | 516,711 | |
Class C Shares | | | $ | 134,696 | | | | $ | 13,738,017 | |
Class F Shares | | | $ | 127,767 | | | | $ | 31,477,061 | |
Class I Shares | | | $ | 5,170,253 | | | | $ | 430,932,440 | |
Class P Shares | | | | — | | | | $ | 7,518 | |
Class R2 Shares | | | $ | 107,713 | | | | $ | 248,528 | |
Class R3 Shares | | | $ | 107,713 | | | | $ | 518,462 | |
Outstanding shares by class: | | | | | | | | | | |
Class A Shares (350 and 415 million shares of common stock authorized, $.001 par value) | | | | 392,866 | | | | | 6,803,456 | |
Class B Shares (0 and 30 million shares of common stock authorized, $.001 par value) | | | | — | | | | | 80,499 | |
Class C Shares (85 and 100 million shares of common stock authorized, $.001 par value) | | | | 8,558 | | | | | 2,137,673 | |
Class F Shares (85 and 100 million shares of common stock authorized, $.001 par value) | | | | 8,117 | | | | | 4,929,929 | |
Class I Shares (85 and 100 million shares of common stock authorized, $.001 par value) | | | | 328,467 | | | | | 67,580,955 | |
Class P Shares (0 and 20 million shares of common stock authorized, $.001 par value) | | | | — | | | | | 1,178 | |
Class R2 Shares (15 and 20 million shares of common stock authorized, $.001 par value) | | | | 6,843 | | | | | 38,835 | |
Class R3 Shares (15 and 20 million shares of common stock authorized, $.001 par value) | | | | 6,843 | | | | | 81,342 | |
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | | | | | | | | | | |
Class A Shares-Net asset value | | | | $15.74 | | | | | $6.39 | |
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | | | | $16.10 | | | | | $6.54 | |
Class B Shares-Net asset value | | | | — | | | | | $6.42 | |
Class C Shares-Net asset value | | | | $15.74 | | | | | $6.43 | |
Class F Shares-Net asset value | | | | $15.74 | | | | | $6.38 | |
Class I Shares-Net asset value | | | | $15.74 | | | | | $6.38 | |
Class P Shares-Net asset value | | | | — | | | | | $6.38 | |
Class R2 Shares-Net asset value | | | | $15.74 | | | | | $6.40 | |
Class R3 Shares-Net asset value | | | | $15.74 | | | | | $6.37 | |
| See Notes to Financial Statements. | 51 |
Statements of Assets and Liabilities (unaudited)(continued)
June 30, 2014
| | Emerging Markets Local Bond Fund | | | Multi-Asset Global Opportunity Fund | |
ASSETS: | | | | | | | | |
Investments in securities, at cost | | | $ | 8,381,139 | | | | $ | 238,312,041 | |
Investments in securities, at fair value | | | $ | 8,365,327 | | | | $ | 269,792,337 | |
Deposits with brokers for futures collateral | | | | — | | | | | 42,900 | |
Receivables: | | | | | | | | | | |
Interest and dividends | | | | 195,045 | | | | | 253,061 | |
Investment securities sold | | | | 42,120 | | | | | — | |
Capital shares sold | | | | 43,047 | | | | | 2,038,266 | |
From advisor (See Note 3) | | | | 21,244 | | | | | — | |
From affiliate (See Note 3) | | | | — | | | | | 41,565 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | | 21,180 | | | | | — | |
Prepaid and other expenses | | | | 53,155 | | | | | 55,778 | |
Total assets | | | | 8,741,118 | | | | | 272,223,907 | |
LIABILITIES: | | | | | | | | | | |
Payables: | | | | | | | | | | |
Investment securities purchased | | | | — | | | | | 528,694 | |
Capital shares reacquired | | | | 9,612 | | | | | 69,313 | |
Management fee | | | | 4,843 | | | | | 21,756 | |
12b-1 distribution fees | | | | 1,570 | | | | | 84,226 | |
Directors’ fees | | | | 265 | | | | | 38,746 | |
Fund administration | | | | 277 | | | | | — | |
Variation margin | | | | — | | | | | 2,578 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | | 33,192 | | | | | — | |
Distributions payable | | | | 18,341 | | | | | 474 | |
Accrued expenses | | | | 53,809 | | | | | 82,317 | |
Total liabilities | | | | 121,909 | | | | | 828,104 | |
NET ASSETS | | | $ | 8,619,209 | | | | $ | 271,395,803 | |
COMPOSITION OF NET ASSETS: | | | | | | | | | | |
Paid-in capital | | | $ | 8,705,068 | | | | $ | 240,710,457 | |
Distributions in excess of net investment income | | | | (26,544 | ) | | | | (10,468 | ) |
Accumulated net realized loss on investments, futures contracts and foreign currency related transactions | | | | (35,033 | ) | | | | (755,838 | ) |
Net unrealized appreciation (depreciation) on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies | | | | (24,282 | ) | | | | 31,451,652 | |
Net Assets | | | $ | 8,619,209 | | | | $ | 271,395,803 | |
52 | See Notes to Financial Statements. | |
Statements of Assets and Liabilities (unaudited)(concluded)
June 30, 2014
| | Emerging Markets Local Bond Fund | | | Multi-Asset Global Opportunity Fund | |
Net assets by class: | | | | | | | | | | |
Class A Shares | | | $ | 5,578,568 | | | | $ | 167,017,402 | |
Class B Shares | | | | — | | | | $ | 5,410,679 | |
Class C Shares | | | $ | 292,188 | | | | $ | 44,504,836 | |
Class F Shares | | | $ | 122,506 | | | | $ | 8,908,355 | |
Class I Shares | | | $ | 2,416,415 | | | | $ | 39,222,989 | |
Class R2 Shares | | | $ | 104,739 | | | | $ | 108,733 | |
Class R3 Shares | | | $ | 104,793 | | | | $ | 6,222,809 | |
Outstanding shares by class: | | | | | | | | | | |
Class A Shares (350 and 430 million shares of common stock authorized, $.001 par value) | | | | 378,308 | | | | | 12,683,960 | |
Class B Shares (0 and 15 million shares of common stock authorized, $.001 par value) | | | | — | | | | | 448,258 | |
Class C Shares (85 and 20 million shares of common stock authorized, $.001 par value) | | | | 19,818 | | | | | 3,685,850 | |
Class F Shares (85 and 20 million shares of common stock authorized, $.001 par value) | | | | 8,310 | | | | | 676,353 | |
Class I Shares (85 and 15 million shares of common stock authorized, $.001 par value) | | | | 163,889 | | | | | 2,960,956 | |
Class R2 Shares (15 and 20 million shares of common stock authorized, $.001 par value) | | | | 7,104 | | | | | 8,109 | |
Class R3 Shares (15 and 20 million shares of common stock authorized, $.001 par value) | | | | 7,108 | | | | | 470,109 | |
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | | | | | | | | | | |
Class A Shares-Net asset value | | | | $14.75 | | | | | $13.17 | |
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | | | | $15.09 | | | | | $13.47 | |
Class B Shares-Net asset value | | | | — | | | | | $12.07 | |
Class C Shares-Net asset value | | | | $14.74 | | | | | $12.07 | |
Class F Shares-Net asset value | | | | $14.74 | | | | | $13.17 | |
Class I Shares-Net asset value | | | | $14.74 | | | | | $13.25 | |
Class R2 Shares-Net asset value | | | | $14.74 | | | | | $13.41 | |
Class R3 Shares-Net asset value | | | | $14.74 | | | | | $13.24 | |
| See Notes to Financial Statements. | 53 |
Statements of Operations (unaudited)
For the Six Months Ended June 30, 2014
| | Emerging Markets Corporate Debt Fund | | | Emerging Markets Currency Fund | |
Investment income: | | | | | | | | |
Interest and other | | | $ | 293,838 | | | | $ | 4,378,250 | |
Total investment income | | | | 293,838 | | | | | 4,378,250 | |
Expenses: | | | | | | | | | | |
Management fee | | | | 38,514 | | | | | 1,194,871 | |
12b-1 distribution plan-Class A | | | | 5,686 | | | | | 44,935 | |
12b-1 distribution plan-Class B | | | | — | | | | | 2,929 | |
12b-1 distribution plan-Class C | | | | 536 | | | | | 61,209 | |
12b-1 distribution plan-Class F | | | | 52 | | | | | 16,223 | |
12b-1 distribution plan-Class P | | | | — | | | | | 17 | |
12b-1 distribution plan-Class R2 | | | | 307 | | | | | 712 | |
12b-1 distribution plan-Class R3 | | | | 255 | | | | | 1,186 | |
Shareholder servicing | | | | 5,292 | | | | | 117,850 | |
Professional | | | | 30,649 | | | | | 41,339 | |
Reports to shareholders | | | | 4,840 | | | | | 31,712 | |
Fund administration | | | | 2,201 | | | | | 95,590 | |
Custody | | | | 10,739 | | | | | 38,522 | |
Offering costs | | | | 11,307 | | | | | — | |
Directors’ fees | | | | 185 | | | | | 9,586 | |
Registration | | | | 36,156 | | | | | 43,908 | |
Subsidy (See Note 3) | | | | — | | | | | 248,114 | |
Other | | | | 2,882 | | | | | 7,289 | |
Gross expenses | | | | 149,601 | | | | | 1,955,992 | |
Expense reductions (See Note 8) | | | | (5 | ) | | | | (42 | ) |
Management fee waived and expenses reimbursed (See Note 3) | | | | (96,554 | ) | | | | — | |
Net expenses | | | | 53,042 | | | | | 1,955,950 | |
Net investment income | | | | 240,796 | | | | | 2,422,300 | |
Net realized and unrealized gain: | | | | | | | | | | |
Net realized gain on investments, futures contracts, swaps and foreign currency related transactions | | | | 153,854 | | | | | 10,367,249 | |
Net change in unrealized appreciation/depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | | | | 435,940 | | | | | 6,791,888 | |
Net realized and unrealized loss | | | | 589,794 | | | | | 17,159,137 | |
Net Increase in Net Assets Resulting From Operations | | | $ | 830,590 | | | | $ | 19,581,437 | |
54 | See Notes to Financial Statements. | |
Statements of Operations (unaudited)(concluded)
For the Six Months Ended June 30, 2014
| | Emerging Markets Local Bond Fund | | | Multi-Asset Global Opportunity Fund | |
Investment income: | | | | | | | | |
Dividends received from Underlying Funds | | | $ | — | | | | $ | 4,532,375 | |
Interest and other (net of foreign withholding taxes of $4,604 and $0, respectively) | | | | 251,874 | | | | | — | |
Total investment income | | | | 251,874 | | | | | 4,532,375 | |
Expenses: | | | | | | | | | | |
Management fee | | | | 27,296 | | | | | 301,291 | |
12b-1 distribution plan-Class A | | | | 4,937 | | | | | 184,633 | |
12b-1 distribution plan-Class B | | | | — | | | | | 27,450 | |
12b-1 distribution plan-Class C | | | | 1,302 | | | | | 193,689 | |
12b-1 distribution plan-Class F | | | | 58 | | | | | 3,570 | |
12b-1 distribution plan-Class R2 | | | | 297 | | | | | 278 | |
12b-1 distribution plan-Class R3 | | | | 248 | | | | | 13,478 | |
Shareholder servicing | | | | 2,246 | | | | | 180,039 | |
Professional | | | | 26,000 | | | | | 18,038 | |
Reports to shareholders | | | | 5,712 | | | | | 20,546 | |
Fund administration | | | | 1,560 | | | | | — | |
Custody | | | | 5,993 | | | | | 4,458 | |
Directors’ fees | | | | 166 | | | | | 4,972 | |
Registration | | | | 56,543 | | | | | 41,927 | |
Offering costs | | | | 12,341 | | | | | — | |
Other | | | | 4,217 | | | | | 4,812 | |
Gross expenses | | | | 148,916 | | | | | 999,181 | |
Expense reductions (See Note 9) | | | | (3 | ) | | | | (92 | ) |
Expenses assumed by Underlying Funds (See Note 3) | | | | — | | | | | (274,701 | ) |
Management fee waived and expenses reimbursed (See Note 3) | | | | (109,471 | ) | | | | (203,981 | ) |
Net expenses | | | | 39,442 | | | | | 520,407 | |
Net investment income | | | | 212,432 | | | | | 4,011,968 | |
Net realized and unrealized gain (loss): | | | | | | | | | | |
Net realized loss on investments, futures contracts and foreign currency related transactions | | | | (7,378 | ) | | | | 2,361,948 | * |
Net change in unrealized appreciation/depreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies | | | | 231,355 | | | | | 10,711,007 | |
Net realized and unrealized gain | | | | 223,977 | | | | | 13,072,955 | |
Net Increase in Net Assets Resulting From Operations | | | $ | 436,409 | | | | $ | 17,084,923 | |
* | Includes net realized gain from affiliated issuers of $2,358,249 (See Note 12). |
| See Notes to Financial Statements. | 55 |
Statements of Changes in Net Assets
| | Emerging Markets Corporate Debt Fund | |
INCREASE IN NET ASSETS | | For the Six Months Ended June 30, 2014 (unaudited) | | | For the Period Ended December 31, 2013* | |
Operations: | | | | | | | | | | |
Net investment income | | | $ | 240,796 | | | | $ | 12,151 | |
Net realized gain on investments | | | | 153,854 | | | | | 2,174 | |
Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies | | | | 435,940 | | | | | (19,752 | ) |
Net increase (decrease) in net assets resulting from operations | | | | 830,590 | | | | | (5,427 | ) |
Distributions to shareholders from: | | | | | | | | | | |
Net investment income | | | | | | | | | | |
Class A | | | | (136,559 | ) | | | | (7,032 | ) |
Class C | | | | (2,147 | ) | | | | (102 | ) |
Class F | | | | (2,549 | ) | | | | (152 | ) |
Class I | | | | (122,208 | ) | | | | (7,544 | ) |
Class R2 | | | | (2,545 | ) | | | | (157 | ) |
Class R3 | | | | (2,545 | ) | | | | (157 | ) |
Total distributions to shareholders | | | | (268,553 | ) | | | | (15,144 | ) |
Capital share transactions (See Note 14): | | | | | | | | | | |
Net proceeds from sales of shares | | | | 970,493 | | | | | 10,037,000 | |
Reinvestment of distributions | | | | 266,989 | | | | | 16,177 | |
Cost of shares reacquired | | | | (71 | ) | | | | — | |
Net increase in net assets resulting from capital share transactions | | | | 1,237,411 | | | | | 10,053,177 | |
Net increase in net assets | | | | 1,799,448 | | | | | 10,032,606 | |
NET ASSETS: | | | | | | | | | | |
Beginning of period | | | $ | 10,032,606 | | | | $ | — | |
End of period | | | $ | 11,832,054 | | | | $ | 10,032,606 | |
Undistributed (distributions in excess of) net investment income | | | $ | (27,230 | ) | | | $ | 527 | |
* | For the period December 6, 2013 (commencement of operations) to December 31, 2013. |
56 | See Notes to Financial Statements. | |
Statements of Changes in Net Assets (continued)
| | Emerging Markets Currency Fund | |
INCREASE (DECREASE) IN NET ASSETS | | For the Six Months Ended June 30, 2014 (unaudited) | | | For the Year Ended December 31, 2013 | |
Operations: | | | | | | | | | | |
Net investment income | | | $ | 2,422,300 | | | | $ | 4,724,151 | |
Net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions | | | | 10,367,249 | | | | | (8,000,393 | ) |
Net change in unrealized appreciation/depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | | | | 6,791,888 | | | | | (10,389,791 | ) |
Net increase (decrease) in net assets resulting from operations | | | | 19,581,437 | | | | | (13,666,033 | ) |
Distributions to shareholders from: | | | | | | | | | | |
Net investment income | | | | | | | | | | |
Class A | | | | (523,881 | ) | | | | (982,726 | ) |
Class B | | | | (4,513 | ) | | | | (9,892 | ) |
Class C | | | | (126,749 | ) | | | | (279,565 | ) |
Class F | | | | (393,979 | ) | | | | (896,679 | ) |
Class I | | | | (4,830,012 | ) | | | | (4,607,470 | ) |
Class P | | | | (78 | ) | | | | (133 | ) |
Class R2 | | | | (2,294 | ) | | | | (3,132 | ) |
Class R3 | | | | (5,052 | ) | | | | (6,596 | ) |
Return of capital | | | | | | | | | | |
Class A | | | | — | | | | | (745,764 | ) |
Class B | | | | — | | | | | (7,506 | ) |
Class C | | | | — | | | | | (212,155 | ) |
Class F | | | | — | | | | | (680,466 | ) |
Class I | | | | — | | | | | (3,496,485 | ) |
Class P | | | | — | | | | | (101 | ) |
Class R2 | | | | — | | | | | (2,377 | ) |
Class R3 | | | | — | | | | | (5,005 | ) |
Total distributions to shareholders | | | | (5,886,558 | ) | | | | (11,936,052 | ) |
Capital share transactions (Net of share conversions) (See Note 14): | | | | | | |
Net proceeds from sales of shares | | | | 180,047,394 | | | | | 177,016,961 | |
Reinvestment of distributions | | | | 5,694,452 | | | | | 11,012,003 | |
Cost of shares reacquired | | | | (76,630,710 | ) | | | | (212,293,195 | ) |
Net increase (decrease) in net assets resulting from capital share transactions | | | | 109,111,136 | | | | | (24,264,231 | ) |
Net increase (decrease) in net assets | | | | 122,806,015 | | | | | (49,866,316 | ) |
NET ASSETS: | | | | | | | | | | |
Beginning of period | | | $ | 398,101,422 | | | | $ | 447,967,738 | |
End of period | | | $ | 520,907,437 | | | | $ | 398,101,422 | |
Distributions in excess of net investment income | | | $ | (5,367,656 | ) | | | $ | (1,903,398 | ) |
| See Notes to Financial Statements. | 57 |
Statements of Changes in Net Assets (continued)
| | Emerging Markets Local Bond Fund | |
INCREASE IN NET ASSETS | | For the Six Months Ended June 30, 2014 (unaudited) | | | For the Period Ended December 31, 2013* | |
Operations: | | | | | | | | | | |
Net investment income | | | $ | 212,432 | | | | $ | 179,567 | |
Net realized gain (loss) on investments and foreign currency related transactions | | | | (7,378 | ) | | | | 14,479 | |
Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies | | | | 231,355 | | | | | (255,637 | ) |
Net increase (decrease) in net assets resulting from operations | | | | 436,409 | | | | | (61,591 | ) |
Distributions to shareholders from: | | | | | | | | | | |
Net investment income | | | | | | | | | | |
Class A | | | | (148,136 | ) | | | | (140,478 | ) |
Class C | | | | (6,771 | ) | | | | (4,401 | ) |
Class F | | | | (3,553 | ) | | | | (3,577 | ) |
Class I | | | | (70,970 | ) | | | | (75,123 | ) |
Class R2 | | | | (3,076 | ) | | | | (2,966 | ) |
Class R3 | | | | (3,077 | ) | | | | (3,018 | ) |
Total distributions to shareholders | | | | (235,583 | ) | | | | (229,563 | ) |
Capital share transactions (See Note 14): | | | | | | | | | | |
Net proceeds from sales of shares | | | | 586,696 | | | | | 8,747,781 | |
Reinvestment of distributions | | | | 233,563 | | | | | 254,775 | |
Cost of shares reacquired | | | | (179,072 | ) | | | | (934,206 | ) |
Net increase in net assets resulting from capital share transactions | | | | 641,187 | | | | | 8,068,350 | |
Net increase in net assets | | | | 842,013 | | | | | 7,777,196 | |
NET ASSETS: | | | | | | | | | | |
Beginning of period | | | $ | 7,777,196 | | | | $ | — | |
End of period | | | $ | 8,619,209 | | | | $ | 7,777,196 | |
Distributions in excess of net investment income | | | $ | (26,544 | ) | | | $ | (3,393 | ) |
* | For the period June 21, 2013 (commencement of operations) to December 31, 2013. |
58 | See Notes to Financial Statements. | |
Statements of Changes in Net Assets (concluded)
| | Multi-Asset Global Opportunity Fund | |
INCREASE IN NET ASSETS | | For the Six Months Ended June 30, 2014 (unaudited) | | | For the Year Ended December 31, 2013 | |
Operations: | | | | | | | | | | |
Net investment income | | | $ | 4,011,968 | | | | $ | 6,168,458 | |
Capital gains distributions received from Underlying Funds | | | | — | | | | | 2,994,619 | |
Net realized gain on investments and futures contracts | | | | 2,361,948 | | | | | 2,134,648 | |
Net change in unrealized appreciation/depreciation on investments and futures contracts | | | | 10,711,007 | | | | | 15,703,811 | |
Net increase in net assets resulting from operations | | | | 17,084,923 | | | | | 27,001,536 | |
Distributions to shareholders from: | | | | | | | | | | |
Net investment income | | | | | | | | | | |
Class A | | | | (2,485,575 | ) | | | | (5,241,605 | ) |
Class B | | | | (72,812 | ) | | | | (225,706 | ) |
Class C | | | | (581,986 | ) | | | | (1,223,675 | ) |
Class F | | | | (129,283 | ) | | | | (202,158 | ) |
Class I | | | | (622,423 | ) | | | | (1,260,162 | ) |
Class R2 | | | | (1,402 | ) | | | | (3,446 | ) |
Class R3 | | | | (90,116 | ) | | | | (213,687 | ) |
Net realized gain | | | | | | | | | | |
Class A | | | | — | | | | | (879,308 | ) |
Class B | | | | — | | | | | (42,177 | ) |
Class C | | | | — | | | | | (246,618 | ) |
Class F | | | | — | | | | | (40,896 | ) |
Class I | | | | — | | | | | (216,061 | ) |
Class R2 | | | | — | | | | | (554 | ) |
Class R3 | | | | — | | | | | (36,602 | ) |
Total distributions to shareholders | | | | (3,983,597 | ) | | | | (9,832,655 | ) |
Capital share transactions (Net of share conversions) (See Note 14): | | | | | | | | | | |
Net proceeds from sales of shares | | | | 45,715,465 | | | | | 63,790,915 | |
Reinvestment of distributions | | | | 3,687,401 | | | | | 9,222,247 | |
Cost of shares reacquired | | | | (19,509,045 | ) | | | | (39,479,184 | ) |
Net increase in net assets resulting from capital share transactions | | | | 29,893,821 | | | | | 33,533,978 | |
Net increase in net assets | | | | 42,995,147 | | | | | 50,702,859 | |
NET ASSETS: | | | | | | | | | | |
Beginning of period | | | $ | 228,400,656 | | | | $ | 177,697,797 | |
End of period | | | $ | 271,395,803 | | | | $ | 228,400,656 | |
Distributions in excess of net investment income | | | $ | (10,468 | ) | | | $ | (38,839 | ) |
| See Notes to Financial Statements. | 59 |
Financial Highlights
EMERGING MARKETS CORPORATE DEBT FUND
| | Class A Shares |
| | Six Months Ended 6/30/2014 (unaudited) | | | 12/6/2013 to 12/31/2013(a) | |
Per Share Operating Performance | | | | | | | | |
Net asset value, beginning of period | | | $14.97 | | | | $15.00 | |
Investment operations: | | | | | | | | |
Net investment income(b) | | | .32 | | | | .02 | |
Net realized and unrealized gain (loss) | | | .81 | | | | (.02 | ) |
Total from investment operations | | | 1.13 | | | | — | |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | (.36 | ) | | | (.03 | ) |
Net asset value, end of period | | | $15.74 | | | | $14.97 | |
Total Return(c) | | | 7.64 | %(d) | | | (.04 | )%(d) |
Ratios to Average Net Assets: | | | | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .52 | %(d) | | | 1.05 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .52 | %(d) | | | 1.05 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.38 | %(d) | | | 5.26 | %(e) |
Net investment income | | | 2.13 | %(d) | | | 1.84 | %(e) |
| | | | | | | | |
Supplemental Data: | | | | | | | | |
Net assets, end of period (000) | | | $6,184 | | | | $4,835 | |
Portfolio turnover rate | | | 177.36 | %(d) | | | 4.14 | %(d) |
(a) | Commencement of operations was 12/6/2013, SEC effective date was 10/28/2013 and date shares first became available to the public was 1/2/2014. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Annualized. |
60 | See Notes to Financial Statements. |
Financial Highlights (continued)
EMERGING MARKETS CORPORATE DEBT FUND
| | Class C Shares |
| | Six Months Ended 6/30/2014 (unaudited) | | | 12/6/2013 to 12/31/2013(a) | |
Per Share Operating Performance | | | | | | | | |
Net asset value, beginning of period | | | $14.97 | | | | $15.00 | |
Investment operations: | | | | | | | | |
Net investment income(b) | | | .27 | | | | .01 | |
Net realized and unrealized gain (loss) | | | .80 | | | | (.02 | ) |
Total from investment operations | | | 1.07 | | | | (.01 | ) |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | (.30 | ) | | | (.02 | ) |
Net asset value, end of period | | | $15.74 | | | | $14.97 | |
Total Return(c) | | | 7.22 | %(d) | | | (.09 | )%(d) |
Ratios to Average Net Assets: | | | | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .92 | %(d) | | | 1.86 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .92 | %(d) | | | 1.86 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.78 | %(d) | | | 6.07 | %(e) |
Net investment income | | | 1.74 | %(d) | | | 1.03 | %(e) |
| | | | | | | | |
Supplemental Data: | | | | | | | | |
Net assets, end of period (000) | | | $135 | | | | $100 | |
Portfolio turnover rate | | | 177.36 | %(d) | | | 4.14 | %(d) |
(a) | Commencement of operations was 12/6/2013, SEC effective date was 10/28/2013 and date shares first became available to the public was 1/2/2014. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Annualized. |
| See Notes to Financial Statements. | 61 |
Financial Highlights (continued)
EMERGING MARKETS CORPORATE DEBT FUND
| | Class F Shares |
| | Six Months Ended 6/30/2014 (unaudited) | | | 12/6/2013 to 12/31/2013(a) | |
Per Share Operating Performance | | | | | | | | |
Net asset value, beginning of period | | | $14.97 | | | | $15.00 | |
Investment operations: | | | | | | | | |
Net investment income(b) | | | .33 | | | | .02 | |
Net realized and unrealized gain (loss) | | | .81 | | | | (.02 | ) |
Total from investment operations | | | 1.14 | | | | — | |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | (.37 | ) | | | (.03 | ) |
Net asset value, end of period | | | $15.74 | | | | $14.97 | |
Total Return(c) | | | 7.69 | %(d) | | | (.04 | )%(d) |
Ratios to Average Net Assets: | | | | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .47 | %(d) | | | .95 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .47 | %(d) | | | .95 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.33 | %(d) | | | 5.15 | %(e) |
Net investment income | | | 2.18 | %(d) | | | 1.94 | %(e) |
| | | | | | | | |
Supplemental Data: | | | | | | | | |
Net assets, end of period (000) | | | $128 | | | | $100 | |
Portfolio turnover rate | | | 177.36 | %(d) | | | 4.14 | %(d) |
(a) | Commencement of operations was 12/6/2013, SEC effective date was 10/28/2013 and date shares first became available to the public was 1/2/2014. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Annualized. |
62 | See Notes to Financial Statements. |
Financial Highlights (continued)
EMERGING MARKETS CORPORATE DEBT FUND
| | Class I Shares |
| | Six Months Ended 6/30/2014 (unaudited) | | | 12/6/2013 to 12/31/2013(a) | |
Per Share Operating Performance | | | | | | | | |
Net asset value, beginning of period | | | $14.97 | | | | $15.00 | |
Investment operations: | | | | | | | | |
Net investment income(b) | | | .34 | | | | .02 | |
Net realized and unrealized gain (loss) | | | .81 | | | | (.02 | ) |
Total from investment operations | | | 1.15 | | | | — | |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | (.38 | ) | | | (.03 | ) |
Net asset value, end of period | | | $15.74 | | | | $14.97 | |
Total Return(c) | | | 7.75 | %(d) | | | (.03 | )%(d) |
Ratios to Average Net Assets: | | | | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .42 | %(d) | | | .85 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .42 | %(d) | | | .85 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.29 | %(d) | | | 5.06 | %(e) |
Net investment income | | | 2.22 | %(d) | | | 2.03 | %(e) |
| | | | | | | | |
Supplemental Data: | | | | | | | | |
Net assets, end of period (000) | | | $5,170 | | | | $4,798 | |
Portfolio turnover rate | | | 177.36 | %(d) | | | 4.14 | %(d) |
(a) | Commencement of operations was 12/6/2013, SEC effective date was 10/28/2013 and date shares first became available to the public was 1/2/2014. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Annualized. |
| See Notes to Financial Statements. | 63 |
Financial Highlights (continued)
EMERGING MARKETS CORPORATE DEBT FUND
| | Class R2 Shares |
| | Six Months Ended 6/30/2014 (unaudited) | | | 12/6/2013 to 12/31/2013(a) | |
Per Share Operating Performance | | | | | | | | |
Net asset value, beginning of period | | | $14.97 | | | | $15.00 | |
Investment operations: | | | | | | | | |
Net investment income(b) | | | .34 | | | | .02 | |
Net realized and unrealized gain (loss) | | | .81 | | | | (.02 | ) |
Total from investment operations | | | 1.15 | | | | — | |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | (.38 | ) | | | (.03 | ) |
Net asset value, end of period | | | $15.74 | | | | $14.97 | |
Total Return(c) | | | 7.74 | %(d) | | | (.03 | )%(d) |
Ratios to Average Net Assets: | | | | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .42 | %(d) | | | .85 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .42 | %(d) | | | .85 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.58 | %(d) | | | 5.06 | %(e) |
Net investment income | | | 2.22 | %(d) | | | 2.03 | %(e) |
| | | | | | | | |
Supplemental Data: | | | | | | | | |
Net assets, end of period (000) | | | $108 | | | | $100 | |
Portfolio turnover rate | | | 177.36 | %(d) | | | 4.14 | %(d) |
(a) | Commencement of operations was 12/6/2013, SEC effective date was 10/28/2013 and date shares first became available to the public was 1/2/2014. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Annualized. |
64 | See Notes to Financial Statements. |
Financial Highlights (concluded)
EMERGING MARKETS CORPORATE DEBT FUND
| | Class R3 Shares |
| | Six Months Ended 6/30/2014 (unaudited) | | | 12/6/2013 to 12/31/2013(a) | |
Per Share Operating Performance | | | | | | | | |
Net asset value, beginning of period | | | $14.97 | | | | $15.00 | |
Investment operations: | | | | | | | | |
Net investment income(b) | | | .34 | | | | .02 | |
Net realized and unrealized gain (loss) | | | .81 | | | | (.02 | ) |
Total from investment operations | | | 1.15 | | | | — | |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | (.38 | ) | | | (.03 | ) |
Net asset value, end of period | | | $15.74 | | | | $14.97 | |
Total Return(c) | | | 7.74 | %(d) | | | (.03 | )%(d) |
Ratios to Average Net Assets: | | | | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .42 | %(d) | | | .85 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .42 | %(d) | | | .85 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.53 | %(d) | | | 5.07 | %(e) |
Net investment income | | | 2.22 | %(d) | | | 2.05 | %(e) |
| | | | | | | | |
Supplemental Data: | | | | | | | | |
Net assets, end of period (000) | | | $108 | | | | $100 | |
Portfolio turnover rate | | | 177.36 | %(d) | | | 4.14 | %(d) |
(a) | Commencement of operations was 12/6/2013, SEC effective date was 10/28/2013 and date shares first became available to the public was 1/2/2014. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Annualized. |
| See Notes to Financial Statements. | 65 |
Financial Highlights
EMERGING MARKETS CURRENCY FUND
| | Class A Shares |
| | | Six Months | | | | | | | | | | | | | | | | | | | | | |
| | | Ended | | | | | | | | | | | | | | | | | | | | | |
| | | 6/30/2014 | | | Year Ended 12/31 |
| | | (unaudited) | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $6.25 | | | | $6.63 | | | | $6.15 | | | | $6.74 | | | | $6.70 | | | | $5.72 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .03 | | | | .06 | | | | .07 | | | | .08 | | | | .11 | | | | .17 | |
Net realized and unrealized gain (loss) | | | .18 | | | | (.27 | ) | | | .58 | | | | (.46 | ) | | | .27 | | | | .99 | |
Total from investment operations | | | .21 | | | | (.21 | ) | | | .65 | | | | (.38 | ) | | | .38 | | | | 1.16 | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.07 | ) | | | (.10 | ) | | | (.15 | ) | | | (.18 | ) | | | (.20 | ) | | | (.18 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | (.03 | ) | | | (.14 | ) | | | — | |
Return of capital | | | — | | | | (.07 | ) | | | (.02 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.07 | ) | | | (.17 | ) | | | (.17 | ) | | | (.21 | ) | | | (.34 | ) | | | (.18 | ) |
Net asset value, end of period | | | $6.39 | | | | $6.25 | | | | $6.63 | | | | $6.15 | | | | $6.74 | | | | $6.70 | |
Total Return(b) | | | 3.43 | %(c) | | | (3.21 | )% | | | 10.69 | % | | | (5.87 | )% | | | 5.79 | % | | | 20.53 | % |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses reimbursed | | | .48 | %(c) | | | .99 | % | | | 1.01 | % | | | 1.02 | % | | | 1.17 | % | | | 1.27 | % |
Expenses, including expense reductions and expenses reimbursed | | | .48 | %(c) | | | .99 | % | | | 1.01 | % | | | 1.02 | % | | | 1.17 | % | | | 1.27 | % |
Expenses, excluding expense reductions and expenses reimbursed | | | .48 | %(c) | | | .99 | % | | | 1.01 | % | | | 1.02 | % | | | 1.17 | % | | | 1.27 | % |
Net investment income | | | .44 | %(c) | | | .97 | % | | | 1.02 | % | | | 1.18 | % | | | 1.68 | % | | | 2.69 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $43,469 | | | | $47,961 | | | | $73,947 | | | | $80,034 | | | | $98,279 | | | | $109,152 | |
Portfolio turnover rate | | | 48.03 | %(c) | | | 105.11 | % | | | 141.92 | % | | | 130.30 | % | | | 113.50 | % | | | 90.72 | % |
(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. |
66 | See Notes to Financial Statements. | |
Financial Highlights (continued)
EMERGING MARKETS CURRENCY FUND
| | | Class B Shares |
| | | Six Months | | | | | | | | | | | | | | | | | | | | | |
| | | Ended | | | | | | | | | | | | | | | | | | | | | |
| | | 6/30/2014 | | | Year Ended 12/31 |
| | | (unaudited) | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $6.28 | | | | $6.66 | | | | $6.18 | | | | $6.77 | | | | $6.73 | | | | $5.74 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | — | (b) | | | .01 | | | | .02 | | | | .03 | | | | .07 | | | | .13 | |
Net realized and unrealized gain (loss) | | | .19 | | | | (.27 | ) | | | .58 | | | | (.46 | ) | | | .26 | | | | .99 | |
Total from investment operations | | | .19 | | | | (.26 | ) | | | .60 | | | | (.43 | ) | | | .33 | | | | 1.12 | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.05 | ) | | | (.07 | ) | | | (.10 | ) | | | (.13 | ) | | | (.15 | ) | | | (.13 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | (.03 | ) | | | (.14 | ) | | | — | |
Return of capital | | | — | | | | (.05 | ) | | | (.02 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.05 | ) | | | (.12 | ) | | | (.12 | ) | | | (.16 | ) | | | (.29 | ) | | | (.13 | ) |
Net asset value, end of period | | | $6.42 | | | | $6.28 | | | | $6.66 | | | | $6.18 | | | | $6.77 | | | | $6.73 | |
Total Return(c) | | | 3.01 | %(d) | | | (3.95 | )% | | | 9.79 | % | | | (6.55 | )% | | | 5.10 | % | | | 19.68 | % |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses reimbursed | | | .88 | %(d) | | | 1.79 | % | | | 1.80 | % | | | 1.80 | % | | | 1.83 | % | | | 1.93 | % |
Expenses, including expense reductions and expenses reimbursed | | | .88 | %(d) | | | 1.79 | % | | | 1.80 | % | | | 1.80 | % | | | 1.83 | % | | | 1.93 | % |
Expenses, excluding expense reductions and expenses reimbursed | | | .88 | %(d) | | | 1.79 | % | | | 1.80 | % | | | 1.80 | % | | | 1.83 | % | | | 1.93 | % |
Net investment income | | | .05 | %(d) | | | .18 | % | | | .24 | % | | | .44 | % | | | 1.05 | % | | | 2.11 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $517 | | | | $696 | | | | $1,219 | | | | $1,674 | | | | $2,693 | | | | $3,884 | |
Portfolio turnover rate | | | 48.03 | %(d) | | | 105.11 | % | | | 141.92 | % | | | 130.30 | % | | | 113.50 | % | | | 90.72 | % |
(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. |
| See Notes to Financial Statements. | 67 |
Financial Highlights (continued)
EMERGING MARKETS CURRENCY FUND
| | Class C Shares |
| | | Six Months | | | | | | | | | | | | | | | | | | | | | |
| | | Ended | | | | | | | | | | | | | | | | | | | | | |
| | | 6/30/2014 | | | Year Ended 12/31 |
| | | (unaudited) | | | | 2013 | | | | 2012 | | | | 2011 | | | | 2010 | | | | 2009 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $6.29 | | | | $6.67 | | | | $6.19 | | | | $6.78 | | | | $6.74 | | | | $5.74 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .01 | | | | .02 | | | | .02 | | | | .03 | | | | .07 | | | | .13 | |
Net realized and unrealized gain (loss) | | | .18 | | | | (.27 | ) | | | .59 | | | | (.46 | ) | | | .26 | | | | 1.00 | |
Total from investment operations | | | .19 | | | | (.25 | ) | | | .61 | | | | (.43 | ) | | | .33 | | | | 1.13 | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.05 | ) | | | (.07 | ) | | | (.11 | ) | | | (.13 | ) | | | (.15 | ) | | | (.13 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | (.03 | ) | | | (.14 | ) | | | — | |
Return of capital | | | — | | | | (.06 | ) | | | (.02 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.05 | ) | | | (.13 | ) | | | (.13 | ) | | | (.16 | ) | | | (.29 | ) | | | (.13 | ) |
Net asset value, end of period | | | $6.43 | | | | $6.29 | | | | $6.67 | | | | $6.19 | | | | $6.78 | | | | $6.74 | |
Total Return(b) | | | 3.09 | %(c) | | | (3.78 | )% | | | 9.91 | % | | | (6.44 | )% | | | 5.09 | % | | | 19.85 | % |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses reimbursed | | | .79 | %(c) | | | 1.62 | % | | | 1.68 | % | | | 1.69 | % | | | 1.82 | % | | | 1.91 | % |
Expenses, including expense reductions and expenses reimbursed | | | .79 | %(c) | | | 1.62 | % | | | 1.68 | % | | | 1.69 | % | | | 1.82 | % | | | 1.91 | % |
Expenses, excluding expense reductions and expenses reimbursed | | | .79 | %(c) | | | 1.62 | % | | | 1.68 | % | | | 1.69 | % | | | 1.82 | % | | | 1.91 | % |
Net investment income | | | .13 | %(c) | | | .34 | % | | | .37 | % | | | .51 | % | | | 1.02 | % | | | 2.03 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $13,738 | | | | $17,378 | | | | $28,543 | | | | $36,551 | | | | $34,232 | | | | $27,512 | |
Portfolio turnover rate | | | 48.03 | %(c) | | | 105.11 | % | | | 141.92 | % | | | 130.30 | % | | | 113.50 | % | | | 90.72 | % |
(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. |
68 | See Notes to Financial Statements. | |
Financial Highlights (continued)
EMERGING MARKETS CURRENCY FUND
| | Class F Shares |
| | Six Months | | | | | | | | | | | | | | | | |
| | Ended | | | | | | | | | | | | | | | | |
| | | 6/30/2014 | | | Year Ended 12/31 |
| | | (unaudited) | | | | 2013 | | | | 2012 | | | | 2011 | | | | 2010 | | | | 2009 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $6.25 | | | | $6.62 | | | | $6.15 | | | | $6.74 | | | | $6.69 | | | | $5.71 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .03 | | | | .07 | | | | .07 | | | | .09 | | | | .13 | | | | .18 | |
Net realized and unrealized gain (loss) | | | .18 | | | | (.27 | ) | | | .58 | | | | (.47 | ) | | | .27 | | | | .99 | |
Total from investment operations | | | .21 | | | | (.20 | ) | | | .65 | | | | (.38 | ) | | | .40 | | | | 1.17 | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.08 | ) | | | (.09 | ) | | | (.16 | ) | | | (.18 | ) | | | (.21 | ) | | | (.19 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | (.03 | ) | | | (.14 | ) | | | — | |
Return of capital | | | — | | | | (.08 | ) | | | (.02 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.08 | ) | | | (.17 | ) | | | (.18 | ) | | | (.21 | ) | | | (.35 | ) | | | (.19 | ) |
Net asset value, end of period | | | $6.38 | | | | $6.25 | | | | $6.62 | | | | $6.15 | | | | $6.74 | | | | $6.69 | |
Total Return(b) | | | 3.32 | %(c) | | | (2.97 | )% | | | 10.63 | % | | | (5.77 | )% | | | 6.20 | % | | | 20.82 | % |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses reimbursed | | | .43 | %(c) | | | .89 | % | | | .91 | % | | | .91 | % | | | .92 | % | | | .98 | % |
Expenses, including expense reductions and expenses reimbursed | | | .43 | %(c) | | | .89 | % | | | .91 | % | | | .91 | % | | | .92 | % | | | .98 | % |
Expenses, excluding expense reductions and expenses reimbursed | | | .43 | %(c) | | | .89 | % | | | .91 | % | | | .91 | % | | | .92 | % | | | .98 | % |
Net investment income | | | .49 | %(c) | | | 1.06 | % | | | 1.12 | % | | | 1.27 | % | | | 1.88 | % | | | 2.72 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $31,477 | | | | $36,181 | | | | $71,622 | | | | $76,795 | | | | $61,059 | | | | $24,463 | |
Portfolio turnover rate | | | 48.03 | %(c) | | | 105.11 | % | | | 141.92 | % | | | 130.30 | % | | | 113.50 | % | | | 90.72 | % |
(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. | 69 |
Financial Highlights (continued)
EMERGING MARKETS CURRENCY FUND
| | Class I Shares |
| | | Six Months | | | | | | | | | | | | | | | | | | | | | |
| | | Ended | | | | | | | | | | | | | | | | | | | | | |
| | | 6/30/2014 | | | Year Ended 12/31 |
| | | (unaudited) | | | | 2013 | | | | 2012 | | | | 2011 | | | | 2010 | | | | 2009 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $6.24 | | | | $6.61 | | | | $6.14 | | | | $6.73 | | | | $6.69 | | | | $5.72 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .03 | | | | .08 | | | | .08 | | | | .09 | | | | .13 | | | | .19 | |
Net realized and unrealized gain (loss) | | | .19 | | | | (.27 | ) | | | .57 | | | | (.46 | ) | | | .27 | | | | .98 | |
Total from investment operations | | | .22 | | | | (.19 | ) | | | .65 | | | | (.37 | ) | | | .40 | | | | 1.17 | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.08 | ) | | | (.10 | ) | | | (.16 | ) | | | (.19 | ) | | | (.22 | ) | | | (.20 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | (.03 | ) | | | (.14 | ) | | | — | |
Return of capital | | | — | | | | (.08 | ) | | | (.02 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.08 | ) | | | (.18 | ) | | | (.18 | ) | | | (.22 | ) | | | (.36 | ) | | | (.20 | ) |
Net asset value, end of period | | | $6.38 | | | | $6.24 | | | | $6.61 | | | | $6.14 | | | | $6.73 | | | | $6.69 | |
Total Return(b) | | | 3.53 | %(c) | | | (2.88 | )% | | | 10.75 | % | | | (5.68 | )% | | | 6.17 | % | | | 20.89 | % |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses reimbursed | | | .38 | %(c) | | | .80 | % | | | .80 | % | | | .81 | % | | | .83 | % | | | .92 | % |
Expenses, including expense reductions and expenses reimbursed | | | .38 | %(c) | | | .80 | % | | | .80 | % | | | .81 | % | | | .83 | % | | | .92 | % |
Expenses, excluding expense reductions and expenses reimbursed | | | .38 | %(c) | | | .80 | % | | | .80 | % | | | .81 | % | | | .83 | % | | | .92 | % |
Net investment income | | | .53 | %(c) | | | 1.18 | % | | | 1.21 | % | | | 1.40 | % | | | 2.00 | % | | | 3.06 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $430,932 | | | | $295,136 | | | | $271,710 | | | | $119,329 | | | | $79,092 | | | | $27,176 | |
Portfolio turnover rate | | | 48.03 | %(c) | | | 105.11 | % | | | 141.92 | % | | | 130.30 | % | | | 113.50 | % | | | 90.72 | % |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
70 | See Notes to Financial Statements. | |
Financial Highlights (continued)
EMERGING MARKETS CURRENCY FUND
| | Class P Shares |
| | Six Months | | | | | | | | | | | | | | | | |
| | Ended | | | | | | | | | | | | | | | | |
| | 6/30/2014 | | | Year Ended 12/31 |
| | (unaudited) | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
Per Share Operating Performance | | | | | | | | | | |
Net asset value, beginning of period | | | $6.25 | | | | $6.62 | | | | $6.14 | | | | $6.74 | | | | $6.69 | | | | $5.71 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .02 | | | | .05 | | | | .05 | | | | .07 | | | | .11 | | | | .16 | |
Net realized and unrealized gain (loss) | | | .18 | | | | (.26 | ) | | | .59 | | | | (.48 | ) | | | .27 | | | | .99 | |
Total from investment operations | | | .20 | | | | (.21 | ) | | | .64 | | | | (.41 | ) | | | .38 | | | | 1.15 | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.07 | ) | | | (.09 | ) | | | (.14 | ) | | | (.16 | ) | | | (.19 | ) | | | (.17 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | (.03 | ) | | | (.14 | ) | | | — | |
Return of capital | | | — | | | | (.07 | ) | | | (.02 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.07 | ) | | | (.16 | ) | | | (.16 | ) | | | (.19 | ) | | | (.33 | ) | | | (.17 | ) |
Net asset value, end of period | | | $6.38 | | | | $6.25 | | | | $6.62 | | | | $6.14 | | | | $6.74 | | | | $6.69 | |
Total Return(b) | | | 3.15 | %(c) | | | (3.26 | )% | | | 10.27 | % | | | (6.07 | )% | | | 5.87 | % | | | 20.43 | % |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses reimbursed | | | .59 | %(c) | | | 1.22 | % | | | 1.24 | % | | | 1.25 | % | | | 1.27 | % | | | 1.32 | % |
Expenses, including expense reductions | | | .59 | %(c) | | | 1.22 | % | | | 1.24 | % | | | 1.25 | % | | | 1.27 | % | | | 1.32 | % |
Expenses, excluding expense reductions | | | .59 | %(c) | | | 1.22 | % | | | 1.24 | % | | | 1.25 | % | | | 1.27 | % | | | 1.32 | % |
Net investment income | | | .33 | %(c) | | | .78 | % | | | .80 | % | | | .98 | % | | | 1.61 | % | | | 2.50 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $8 | | | | $8 | | | | $10 | | | | $9 | | | | $32 | | | | $16 | |
Portfolio turnover rate | | | 48.03 | %(c) | | | 105.11 | % | | | 141.92 | % | | | 130.30 | % | | | 113.50 | % | | | 90.72 | % |
(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. | 71 |
Financial Highlights (continued)
EMERGING MARKETS CURRENCY FUND
| | Class R2 Shares |
| | Six Months | | | | | | | | | | | | | | | | |
| | Ended | | | | | | | | | | | | | | | | |
| | 6/30/2014 | | | Year Ended 12/31 |
| | (unaudited) | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
Per Share Operating Performance | | | | | | | | | | | | |
Net asset value, beginning of period | | | $6.26 | | | | $6.64 | | | | $6.16 | | | | $6.75 | | | | $6.71 | | | | $5.72 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .02 | | | | .04 | | | | .04 | | | | .05 | | | | .09 | | | | .15 | |
Net realized and unrealized gain (loss) | | | .18 | | | | (.28 | ) | | | .59 | | | | (.46 | ) | | | .27 | | | | 1.00 | |
Total from investment operations | | | .20 | | | | (.24 | ) | | | .63 | | | | (.41 | ) | | | .36 | | | | 1.15 | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.06 | ) | | | (.08 | ) | | | (.13 | ) | | | (.15 | ) | | | (.18 | ) | | | (.16 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | (.03 | ) | | | (.14 | ) | | | — | |
Return of capital | | | — | | | | (.06 | ) | | | (.02 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.06 | ) | | | (.14 | ) | | | (.15 | ) | | | (.18 | ) | | | (.32 | ) | | | (.16 | ) |
Net asset value, end of period | | | $6.40 | | | | $6.26 | | | | $6.64 | | | | $6.16 | | | | $6.75 | | | | $6.71 | |
Total Return(b) | | | 3.22 | %(c) | | | (3.59 | )% | | | 10.24 | % | | | (6.22 | )% | | | 5.54 | % | | | 20.12 | % |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses reimbursed | | | .68 | %(c) | | | 1.40 | % | | | 1.41 | % | | | 1.41 | % | | | 1.42 | % | | | 1.50 | % |
Expenses, including expense reductions and expenses reimbursed | | | .68 | %(c) | | | 1.40 | % | | | 1.41 | % | | | 1.41 | % | | | 1.42 | % | | | 1.50 | % |
Expenses, excluding expense reductions and expenses reimbursed | | | .68 | %(c) | | | 1.40 | % | | | 1.41 | % | | | 1.41 | % | | | 1.42 | % | | | 1.50 | % |
Net investment income | | | .24 | %(c) | | | .58 | % | | | .63 | % | | | .76 | % | | | 1.39 | % | | | 2.44 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $249 | | | | $248 | | | | $300 | | | | $218 | | | | $70 | | | | $23 | |
Portfolio turnover rate | | | 48.03 | %(c) | | | 105.11 | % | | | 141.92 | % | | | 130.30 | % | | | 113.50 | % | | | 90.72 | % |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
72 | See Notes to Financial Statements. | |
Financial Highlights (concluded)
EMERGING MARKETS CURRENCY FUND
| | Class R3 Shares |
| | Six Months | | | | | | | | | | | | | | | | |
| | Ended | | | | | | | | | | | | | | | | |
| | 6/30/2014 | | | Year Ended 12/31 |
| | (unaudited) | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
Per Share Operating Performance | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $6.24 | | | | $6.61 | | | | $6.14 | | | | $6.73 | | | | $6.70 | | | | $5.72 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .02 | | | | .04 | | | | .05 | | | | .06 | | | | .10 | | | | .16 | |
Net realized and unrealized gain (loss) | | | .17 | | | | (.26 | ) | | | .57 | | | | (.46 | ) | | | .26 | | | | .99 | |
Total from investment operations | | | .19 | | | | (.22 | ) | | | .62 | | | | (.40 | ) | | | .36 | | | | 1.15 | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.06 | ) | | | (.09 | ) | | | (.13 | ) | | | (.16 | ) | | | (.19 | ) | | | (.17 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | (.03 | ) | | | (.14 | ) | | | — | |
Return of capital | | | — | | | | (.06 | ) | | | (.02 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.06 | ) | | | (.15 | ) | | | (.15 | ) | | | (.19 | ) | | | (.33 | ) | | | (.17 | ) |
Net asset value, end of period | | | $6.37 | | | | $6.24 | | | | $6.61 | | | | $6.14 | | | | $6.73 | | | | $6.70 | |
Total Return(b) | | | 3.13 | %(c) | | | (3.35 | )% | | | 10.23 | % | | | (6.14 | )% | | | 5.49 | % | | | 20.33 | % |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses reimbursed | | | .62 | %(c) | | | 1.28 | % | | | 1.29 | % | | | 1.31 | % | | | 1.33 | % | | | 1.41 | % |
Expenses, including expense reductions and expenses reimbursed | | | .62 | %(c) | | | 1.28 | % | | | 1.29 | % | | | 1.31 | % | | | 1.33 | % | | | 1.41 | % |
Expenses, excluding expense reductions and expenses reimbursed | | | .62 | %(c) | | | 1.28 | % | | | 1.29 | % | | | 1.31 | % | | | 1.33 | % | | | 1.41 | % |
Net investment income | | | .30 | %(c) | | | .70 | % | | | .74 | % | | | .92 | % | | | 1.48 | % | | | 2.52 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $518 | | | | $494 | | | | $617 | | | | $411 | | | | $326 | | | | $103 | |
Portfolio turnover rate | | | 48.03 | %(c) | | | 105.11 | % | | | 141.92 | % | | | 130.30 | % | | | 113.50 | % | | | 90.72 | % |
(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. | 73 |
Financial Highlights
EMERGING MARKETS LOCAL BOND FUND
| | Class A Shares |
| | Six Months | | | | |
| | Ended | | | 6/21/2013 | |
| | 6/30/2014 | | | to | |
| | (unaudited) | | | 12/31/2013(a) | |
Per Share Operating Performance | | | | | | |
Net asset value, beginning of period | | | $14.39 | | | | $15.00 | |
Investment operations: | | | | | | | | |
Net investment income(b) | | | .38 | | | | .37 | |
Net realized and unrealized gain (loss) | | | .41 | | | | (.51 | ) |
Total from investment operations | | | .79 | | | | (.14 | ) |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | (.43 | ) | | | (.47 | ) |
Net asset value, end of period | | | $14.75 | | | | $14.39 | |
Total Return(c) | | | 5.59 | %(d) | | | (.97 | )%(d) |
Ratios to Average Net Assets: | | | | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .52 | %(d) | | | 1.02 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .52 | %(d) | | | 1.02 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.90 | %(d) | | | 5.09 | %(e) |
Net investment income | | | 2.68 | %(d) | | | 4.79 | %(e) |
| | | | | | | | |
Supplemental Data: | | | | | | | | |
Net assets, end of period (000) | | | $5,579 | | | | $4,950 | |
Portfolio turnover rate | | | 23.24 | %(d) | | | 28.21 | %(d) |
(a) | Commencement of 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) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Annualized. |
74 | See Notes to Financial Statements. | |
Financial Highlights (continued)
EMERGING MARKETS LOCAL BOND FUND
| | Class C Shares |
| | Six Months | | | | |
| | Ended | | | 6/21/2013 | |
| | 6/30/2014 | | | to | |
| | (unaudited) | | | 12/31/2013(a) | |
Per Share Operating Performance | | | | | | |
Net asset value, beginning of period | | | $14.38 | | | | $15.00 | |
Investment operations: | | | | | | | | |
Net investment income(b) | | | .33 | | | | .31 | |
Net realized and unrealized gain (loss) | | | .40 | | | | (.52 | ) |
Total from investment operations | | | .73 | | | | (.21 | ) |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | (.37 | ) | | | (.41 | ) |
Net asset value, end of period | | | $14.74 | | | | $14.38 | |
Total Return(c) | | | 5.18 | %(d) | | | (1.43 | )%(d) |
Ratios to Average Net Assets: | | | | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .92 | %(d) | | | 1.77 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .92 | %(d) | | | 1.77 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 2.30 | %(d) | | | 5.63 | %(e) |
Net investment income | | | 2.28 | %(d) | | | 3.97 | %(e) |
| | | | | | | | |
Supplemental Data: | | | | | | | | |
Net assets, end of period (000) | | | $292 | | | | $226 | |
Portfolio turnover rate | | | 23.24 | %(d) | | | 28.21 | %(d) |
(a) | Commencement of 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) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Annualized. |
| See Notes to Financial Statements. | 75 |
Financial Highlights (continued)
EMERGING MARKETS LOCAL BOND FUND
| | Class F Shares |
| | Six Months Ended 6/30/2014 (unaudited) | | | 6/21/2013 to 12/31/2013(a) | |
Per Share Operating Performance | | | | | | | | |
Net asset value, beginning of period | | | $14.38 | | | | $15.00 | |
Investment operations: | | | | | | | | |
Net investment income(b) | | | .39 | | | | .38 | |
Net realized and unrealized gain (loss) | | | .40 | | | | (.52 | ) |
Total from investment operations | | | .79 | | | | (.14 | ) |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | (.43 | ) | | | (.48 | ) |
Net asset value, end of period | | | $14.74 | | | | $14.38 | |
Total Return(c) | | | 5.65 | %(d) | | | (.99 ) | %(d) |
Ratios to Average Net Assets: | | | | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .47 | %(d) | | | .92 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .47 | %(d) | | | .92 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.86 | %(d) | | | 5.16 | %(e) |
Net investment income | | | 2.74 | %(d) | | | 4.84 | %(e) |
| | | | | | | | |
Supplemental Data: | | | | | | | | |
Net assets, end of period (000) | | | $123 | | | | $116 | |
Portfolio turnover rate | | | 23.24 | %(d) | | | 28.21 | %(d) |
(a) | Commencement of 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) | Total return assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Annualized. |
76 | See Notes to Financial Statements. | |
Financial Highlights (continued)
EMERGING MARKETS LOCAL BOND FUND
| | Class I Shares |
| | Six Months Ended 6/30/2014 (unaudited) | | | 6/21/2013 to 12/31/2013(a) | |
Per Share Operating Performance | | | | | | | | |
Net asset value, beginning of period | | | $14.38 | | | | $15.00 | |
Investment operations: | | | | | | | | |
Net investment income(b) | | | .40 | | | | .38 | |
Net realized and unrealized gain (loss) | | | .40 | | | | (.52 | ) |
Total from investment operations | | | .80 | | | | (.14 | ) |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | (.44 | ) | | | (.48 | ) |
Net asset value, end of period | | | $14.74 | | | | $14.38 | |
Total Return(c) | | | 5.70 | %(d) | | | (.94) | %(d) |
Ratios to Average Net Assets: | | | | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .42 | %(d) | | | .82 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .42 | %(d) | | | .82 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.81 | %(d) | | | 5.19 | %(e) |
Net investment income | | | 2.78 | %(d) | | | 4.94 | %(e) |
| | | | | | | | |
Supplemental Data: | | | | | | | | |
Net assets, end of period (000) | | | $2,416 | | | | $2,286 | |
Portfolio turnover rate | | | 23.24 | %(d) | | | 28.21 | %(d) |
(a) | Commencement of 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) | Total return assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Annualized. |
| See Notes to Financial Statements. | 77 |
Financial Highlights (continued)
EMERGING MARKETS LOCAL BOND FUND
| | Class R2 Shares |
| | Six Months Ended 6/30/2014 (unaudited) | | | 6/21/2013 to 12/31/2013(a) | |
Per Share Operating Performance | | | | | | | | |
Net asset value, beginning of period | | | $14.38 | | | | $15.00 | |
Investment operations: | | | | | | | | |
Net investment income(b) | | | .40 | | | | .34 | |
Net realized and unrealized gain (loss) | | | .40 | | | | (.52 | ) |
Total from investment operations | | | .80 | | | | (.18 | ) |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | (.44 | ) | | | (.44 | ) |
Net asset value, end of period | | | $14.74 | | | | $14.38 | |
Total Return(c) | | | 5.70 | %(d) | | | (1.23) | %(d) |
Ratios to Average Net Assets: | | | | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .42 | %(d) | | | 1.40 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .42 | %(d) | | | 1.40 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 2.10 | %(d) | | | 5.79 | %(e) |
Net investment income | | | 2.78 | %(d) | | | 4.36 | %(e) |
| | | | | | | | |
Supplemental Data: | | | | | | | | |
Net assets, end of period (000) | | | $105 | | | | $99 | |
Portfolio turnover rate | | | 23.24 | %(d) | | | 28.21 | %(d) |
(a) | Commencement of 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) | Total return assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Annualized. |
78 | See Notes to Financial Statements. | |
Financial Highlights (concluded)
EMERGING MARKETS LOCAL BOND FUND
| | Class R3 Shares |
| | Six Months Ended 6/30/2014 (unaudited) | | | 6/21/2013 to 12/31/2013(a) | |
Per Share Operating Performance | | | | | | | | |
Net asset value, beginning of period | | | $14.38 | | | | $15.00 | |
Investment operations: | | | | | | | | |
Net investment income(b) | | | .40 | | | | .35 | |
Net realized and unrealized gain (loss) | | | .40 | | | | (.52 | ) |
Total from investment operations | | | .80 | | | | (.17 | ) |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | (.44 | ) | | | (.45 | ) |
Net asset value, end of period | | | $14.74 | | | | $14.38 | |
Total Return(c) | | | 5.70 | %(d) | | | (1.18) | %(d) |
Ratios to Average Net Assets: | | | | | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .42 | %(d) | | | 1.30 | %(e) |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .42 | %(d) | | | 1.30 | %(e) |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 2.05 | %(d) | | | 5.69 | %(e) |
Net investment income | | | 2.78 | %(d) | | | 4.46 | %(e) |
| | | | | | | | |
Supplemental Data: | | | | | | | | |
Net assets, end of period (000) | | | $105 | | | | $99 | |
Portfolio turnover rate | | | 23.24 | %(d) | | | 28.21 | %(d) |
(a) | Commencement of 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) | Total return assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Annualized. |
| See Notes to Financial Statements. | 79 |
Financial Highlights
MULTI-ASSET GLOBAL OPPORTUNITY FUND
| | Class A Shares |
| | Six Months Ended 6/30/2014 | | | Year Ended 12/31 |
| | (unaudited) | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $12.49 | | | | $11.42 | | | | $10.29 | | | | $11.41 | | | | $10.56 | | | | $7.95 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .22 | | | | .39 | | | | .36 | | | | .35 | | | | .33 | | | | .28 | |
Net realized and unrealized gain (loss) | | | .66 | | | | 1.26 | | | | 1.16 | | | | (1.12 | ) | | | .84 | | | | 2.66 | |
Total from investment operations | | | .88 | | | | 1.65 | | | | 1.52 | | | | (.77 | ) | | | 1.17 | | | | 2.94 | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.20 | ) | | | (.50 | ) | | | (.38 | ) | | | (.35 | ) | | | (.32 | ) | | | (.33 | ) |
Net realized gain | | | — | | | | (.08 | ) | | | — | | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.20 | ) | | | (.58 | ) | | | (.39 | ) | | | (.35 | ) | | | (.32 | ) | | | (.33 | ) |
Net asset value, end of period | | | $13.17 | | | | $12.49 | | | | $11.42 | | | | $10.29 | | | | $11.41 | | | | $10.56 | |
Total Return(b) | | | 7.11 | %(c) | | | 14.66 | % | | | 15.02 | % | | | (6.89 | )% | | | 11.36 | % | | | 37.83 | % |
Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .16 | %(c) | | | .31 | % | | | .30 | % | | | .28 | % | | | .35 | % | | | .35 | % |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .16 | %(c) | | | .31 | % | | | .30 | % | | | .28 | % | | | .35 | % | | | .35 | % |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .36 | %(c) | | | .77 | % | | | .80 | % | | | .84 | % | | | .94 | % | | | 1.17 | % |
Net investment income | | | 1.70 | %(c) | | | 3.20 | % | | | 3.31 | % | | | 3.11 | % | | | 3.07 | % | | | 3.15 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $167,017 | | | | $139,986 | | | | $110,910 | | | | $108,217 | | | | $107,234 | | | | $83,625 | |
Portfolio turnover rate | | | 13.29 | %(c) | | | 23.32 | % | | | 36.34 | % | | | 27.66 | % | | | 9.48 | % | | | 6.81 | % |
* | Does not include expenses of the Underlying Funds in which the Fund invests. |
(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. |
80 | See Notes to Financial Statements. | |
Financial Highlights (continued)
MULTI-ASSET GLOBAL OPPORTUNITY FUND
| | Class B Shares |
| | Six Months | | | | | | | | | | | | | | | | |
| | Ended | | | | | | | | | | | | | | | | |
| | 6/30/2014 | | | Year Ended 12/31 |
| | (unaudited) | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $11.46 | | | | $10.53 | | | | $9.51 | | | | $10.57 | | | | $9.81 | | | | $7.38 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .14 | | | | .26 | | | | .25 | | | | .24 | | | | .23 | | | | .21 | |
Net realized and unrealized gain (loss) | | | .63 | | | | 1.16 | | | | 1.09 | | | | (1.03 | ) | | | .79 | | | | 2.48 | |
Total from investment operations | | | .77 | | | | 1.42 | | | | 1.34 | | | | (.79 | ) | | | 1.02 | | | | 2.69 | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.16 | ) | | | (.41 | ) | | | (.31 | ) | | | (.27 | ) | | | (.26 | ) | | | (.26 | ) |
Net realized gain | | | — | | | | (.08 | ) | | | — | | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.16 | ) | | | (.49 | ) | | | (.32 | ) | | | (.27 | ) | | | (.26 | ) | | | (.26 | ) |
Net asset value, end of period | | | $12.07 | | | | $11.46 | | | | $10.53 | | | | $9.51 | | | | $10.57 | | | | $9.81 | |
Total Return(b) | | | 6.75 | %(c) | | | 13.70 | % | | | 14.24 | % | | | (7.56 | )% | | | 10.60 | % | | | 37.10 | % |
Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .53 | %(c) | | | 1.05 | % | | | 1.04 | % | | | .99 | % | | | 1.00 | % | | | 1.00 | % |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .53 | %(c) | | | 1.05 | % | | | 1.04 | % | | | .99 | % | | | 1.00 | % | | | 1.00 | % |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .73 | %(c) | | | 1.51 | % | | | 1.54 | % | | | 1.55 | % | | | 1.59 | % | | | 1.82 | % |
Net investment income | | | 1.23 | %(c) | | | 2.32 | % | | | 2.51 | % | | | 2.29 | % | | | 2.35 | % | | | 2.49 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $5,411 | | | | $6,020 | | | | $6,939 | | | | $8,276 | | | | $11,389 | | | | $10,668 | |
Portfolio turnover rate | | | 13.29 | %(c) | | | 23.32 | % | | | 36.34 | % | | | 27.66 | % | | | 9.48 | % | | | 6.81 | % |
* | Does not include expenses of the Underlying Funds in which the Fund invests. |
(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. | 81 |
Financial Highlights (continued)
MULTI-ASSET GLOBAL OPPORTUNITY FUND
| | Class C Shares |
| | Six Months | | | | | | | | | | | | | | | | |
| | Ended | | | | | | | | | | | | | | | | |
| | 6/30/2014 | | | Year Ended 12/31 |
| | (unaudited) | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $11.47 | | | | $10.54 | | | | $9.53 | | | | $10.59 | | | | $9.83 | | | | $7.40 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .16 | | | | .27 | | | | .26 | | | | .25 | | | | .24 | | | | .22 | |
Net realized and unrealized gain (loss) | | | .60 | | | | 1.16 | | | | 1.07 | | | | (1.03 | ) | | | .78 | | | | 2.47 | |
Total from investment operations | | | .76 | | | | 1.43 | | | | 1.33 | | | | (.78 | ) | | | 1.02 | | | | 2.69 | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.16 | ) | | | (.42 | ) | | | (.31 | ) | | | (.28 | ) | | | (.26 | ) | | | (.26 | ) |
Net realized gain | | | — | | | | (.08 | ) | | | — | | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.16 | ) | | | (.50 | ) | | | (.32 | ) | | | (.28 | ) | | | (.26 | ) | | | (.26 | ) |
Net asset value, end of period | | | $12.07 | | | | $11.47 | | | | $10.54 | | | | $9.53 | | | | $10.59 | | | | $9.83 | |
Total Return(b) | | | 6.70 | %(c) | | | 13.76 | % | | | 14.17 | % | | | (7.48 | )% | | | 10.58 | % | | | 37.00 | % |
Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .53 | %(c) | | | 1.05 | % | | | 1.04 | % | | | .97 | % | | | 1.00 | % | | | 1.00 | % |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .53 | %(c) | | | 1.05 | % | | | 1.04 | % | | | .97 | % | | | 1.00 | % | | | 1.00 | % |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .73 | %(c) | | | 1.51 | % | | | 1.53 | % | | | 1.53 | % | | | 1.59 | % | | | 1.80 | % |
Net investment income | | | 1.34 | %(c) | | | 2.45 | % | | | 2.62 | % | | | 2.42 | % | | | 2.46 | % | | | 2.55 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $44,505 | | | | $35,963 | | | | $29,821 | | | | $26,322 | | | | $25,893 | | | | $17,741 | |
Portfolio turnover rate | | | 13.29 | %(c) | | | 23.32 | % | | | 36.34 | % | | | 27.66 | % | | | 9.48 | % | | | 6.81 | % |
* | Does not include expenses of the Underlying Funds in which the Fund invests. |
(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. |
| |
82 | See Notes to Financial Statements. | |
Financial Highlights (continued)
MULTI-ASSET GLOBAL OPPORTUNITY FUND
| | Class F Shares |
| | Six Months | | | | | | | | | | | | | | | | |
| | Ended | | | | | | | | | | | | | | | | |
| | 6/30/2014 | | | Year Ended 12/31 |
| | (unaudited) | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $12.49 | | | | $11.43 | | | | $10.29 | | | | $11.41 | | | | $10.56 | | | | $7.95 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .23 | | | | .44 | | | | .36 | | | | .37 | | | | .39 | | | | .35 | |
Net realized and unrealized gain (loss) | | | .66 | | | | 1.22 | | | | 1.19 | | | | (1.12 | ) | | | .80 | | | | 2.61 | |
Total from investment operations | | | .89 | | | | 1.66 | | | | 1.55 | | | | (.75 | ) | | | 1.19 | | | | 2.96 | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.21 | ) | | | (.52 | ) | | | (.40 | ) | | | (.37 | ) | | | (.34 | ) | | | (.35 | ) |
Net realized gain | | | — | | | | (.08 | ) | | | — | | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.21 | ) | | | (.60 | ) | | | (.41 | ) | | | (.37 | ) | | | (.34 | ) | | | (.35 | ) |
Net asset value, end of period | | | $13.17 | | | | $12.49 | | | | $11.43 | | | | $10.29 | | | | $11.41 | | | | $10.56 | |
Total Return(b) | | | 7.19 | %(c) | | | 14.73 | % | | | 15.28 | % | | | (6.72 | )% | | | 11.57 | % | | | 38.16 | % |
Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .09 | %(c) | | | .16 | % | | | .15 | % | | | .10 | % | | | .10 | % | | | .10 | % |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .09 | %(c) | | | .16 | % | | | .15 | % | | | .10 | % | | | .10 | % | | | .10 | % |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .29 | %(c) | | | .62 | % | | | .65 | % | | | .66 | % | | | .69 | % | | | .83 | % |
Net investment income | | | 1.82 | %(c) | | | 3.60 | % | | | 3.31 | % | | | 3.36 | % | | | 3.63 | % | | | 3.66 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $8,908 | | | | $6,472 | | | | $2,423 | | | | $3,156 | | | | $2,256 | | | | $641 | |
Portfolio turnover rate | | | 13.29 | %(c) | | | 23.32 | % | | | 36.34 | % | | | 27.66 | % | | | 9.48 | % | | | 6.81 | % |
* | Does not include expenses of the Underlying Funds in which the Fund invests. |
(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. | 83 |
Financial Highlights (continued)
MULTI-ASSET GLOBAL OPPORTUNITY FUND
| | Class I Shares |
| | Six Months | | | | | | | | | | | | | | | | |
| | Ended | | | | | | | | | | | | | | | | |
| | 6/30/2014 | | | Year Ended 12/31 |
| | (unaudited) | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $12.56 | | | | $11.49 | | | | $10.34 | | | | $11.47 | | | | $10.61 | | | | $7.98 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .23 | | | | .42 | | | | .39 | | | | .38 | | | | .37 | | | | .32 | |
Net realized and unrealized gain (loss) | | | .68 | | | | 1.26 | | | | 1.18 | | | | (1.13 | ) | | | .84 | | | | 2.67 | |
Total from investment operations | | | .91 | | | | 1.68 | | | | 1.57 | | | | (.75 | ) | | | 1.21 | | | | 2.99 | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.22 | ) | | | (.53 | ) | | | (.41 | ) | | | (.38 | ) | | | (.35 | ) | | | (.36 | ) |
Net realized gain | | | — | | | | (.08 | ) | | | — | | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.22 | ) | | | (.61 | ) | | | (.42 | ) | | | (.38 | ) | | | (.35 | ) | | | (.36 | ) |
Net asset value, end of period | | | $13.25 | | | | $12.56 | | | | $11.49 | | | | $10.34 | | | | $11.47 | | | | $10.61 | |
Total Return(b) | | | 7.28 | %(c) | | | 14.85 | % | | | 15.42 | % | | | (6.69 | )% | | | 11.69 | % | | | 38.39 | % |
Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .04 | %(c) | | | .06 | % | | | .05 | % | | | .00 | % | | | .00 | % | | | .00 | % |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .04 | %(c) | | | .06 | % | | | .05 | % | | | .00 | % | | | .00 | % | | | .00 | % |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .24 | %(c) | | | .52 | % | | | .55 | % | | | .57 | % | | | .60 | % | | | .80 | % |
Net investment income | | | 1.82 | %(c) | | | 3.44 | % | | | 3.57 | % | | | 3.38 | % | | | 3.40 | % | | | 3.55 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $39,223 | | | | $34,086 | | | | $22,289 | | | | $14,086 | | | | $8,460 | | | | $1,055 | |
Portfolio turnover rate | | | 13.29 | %(c) | | | 23.32 | % | | | 36.34 | % | | | 27.66 | % | | | 9.48 | % | | | 6.81 | % |
* | Does not include expenses of the Underlying Funds in which the Fund invests. |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
| |
84 | See Notes to Financial Statements. | |
Financial Highlights (continued)
MULTI-ASSET GLOBAL OPPORTUNITY FUND
| | Class R2 Shares |
| | Six Months | | | | | | | | | | | | | | | | |
| | Ended | | | | | | | | | | | | | | | | |
| | 6/30/2014 | | | Year Ended 12/31 |
| | (unaudited) | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $12.72 | | | | $11.62 | | | | $10.46 | | | | $11.55 | | | | $10.64 | | | | $7.96 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .20 | | | | .33 | | | | .34 | | | | .49 | | | | .36 | | | | .31 | |
Net realized and unrealized gain (loss) | | | .67 | | | | 1.30 | | | | 1.18 | | | | (1.26 | ) | | | .85 | | | | 2.68 | |
Total from investment operations | | | .87 | | | | 1.63 | | | | 1.52 | | | | (.77 | ) | | | 1.21 | | | | 2.99 | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.18 | ) | | | (.45 | ) | | | (.35 | ) | | | (.32 | ) | | | (.30 | ) | | | (.31 | ) |
Net realized gain | | | — | | | | (.08 | ) | | | — | | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.18 | ) | | | (.53 | ) | | | (.36 | ) | | | (.32 | ) | | | (.30 | ) | | | (.31 | ) |
Net asset value, end of period | | | $13.41 | | | | $12.72 | | | | $11.62 | | | | $10.46 | | | | $11.55 | | | | $10.64 | |
Total Return(b) | | | 6.98 | %(c) | | | 14.13 | % | | | 14.71 | % | | | (6.77 | )% | | | 11.63 | % | | | 38.36 | % |
Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .34 | %(c) | | | .66 | % | | | .61 | % | | | .34 | % | | | .05 | % | | | .00 | % |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .34 | %(c) | | | .66 | % | | | .61 | % | | | .34 | % | | | .05 | % | | | .00 | % |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .53 | %(c) | | | 1.12 | % | | | 1.11 | % | | | .93 | % | | | .65 | % | | | .81 | % |
Net investment income | | | 1.56 | %(c) | | | 2.68 | % | | | 3.05 | % | | | 4.44 | % | | | 3.38 | % | | | 3.46 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $109 | | | | $89 | | | | $107 | | | | $88 | | | | $11 | | | | $10 | |
Portfolio turnover rate | | | 13.29 | %(c) | | | 23.32 | % | | | 36.34 | % | | | 27.66 | % | | | 9.48 | % | | | 6.81 | % |
* | Does not include expenses of the Underlying Funds in which the Fund invests. |
(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. | 85 |
Financial Highlights (concluded)
MULTI-ASSET GLOBAL OPPORTUNITY FUND
| | Class R3 Shares |
| | Six Months | | | | | | | | | | | | | | | | |
| | Ended | | | | | | | | | | | | | | | | |
| | 6/30/2014 | | | Year Ended 12/31 |
| | (unaudited) | | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $12.55 | | | | $11.48 | | | | $10.34 | | | | $11.47 | | | | $10.62 | | | | $7.95 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | .20 | | | | .36 | | | | .35 | | | | .34 | | | | .34 | | | | .37 | |
Net realized and unrealized gain (loss) | | | .68 | | | | 1.26 | | | | 1.16 | | | | (1.14 | ) | | | .82 | | | | 2.62 | |
Total from investment operations | | | .88 | | | | 1.62 | | | | 1.51 | | | | (.80 | ) | | | 1.16 | | | | 2.99 | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (.19 | ) | | | (.47 | ) | | | (.36 | ) | | | (.33 | ) | | | (.31 | ) | | | (.32 | ) |
Net realized gain | | | — | | | | (.08 | ) | | | — | | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | | | | — | |
Total distributions | | | (.19 | ) | | | (.55 | ) | | | (.37 | ) | | | (.33 | ) | | | (.31 | ) | | | (.32 | ) |
Net asset value, end of period | | | $13.24 | | | | $12.55 | | | | $11.48 | | | | $10.34 | | | | $11.47 | | | | $10.62 | |
Total Return(b) | | | 7.05 | %(c) | | | 14.33 | % | | | 14.81 | % | | | (7.10 | )% | | | 11.17 | % | | | 38.40 | % |
Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .27 | %(c) | | | .53 | % | | | .52 | % | | | .47 | % | | | .50 | % | | | .26 | % |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .27 | %(c) | | | .53 | % | | | .52 | % | | | .47 | % | | | .50 | % | | | .26 | % |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .46 | %(c) | | | .99 | % | | | 1.02 | % | | | 1.04 | % | | | 1.10 | % | | | .92 | % |
Net investment income | | | 1.57 | %(c) | | | 2.95 | % | | | 3.17 | % | | | 3.03 | % | | | 3.20 | % | | | 3.79 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $6,223 | | | | $5,785 | | | | $5,211 | | | | $3,285 | | | | $2,179 | | | | $51 | |
Portfolio turnover rate | | | 13.29 | %(c) | | | 23.32 | % | | | 36.34 | % | | | 27.66 | % | | | 9.48 | % | | | 6.81 | % |
* | Does not include expenses of the Underlying Funds in which the Fund invests. |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
| |
86 | See Notes to Financial Statements. | |
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 consists of the following four funds (each, a “Fund” and collectively, the “Funds”) and their respective classes: Lord Abbett Emerging Markets Corporate Debt Fund (“Emerging Markets Corporate Debt Fund”), Class A, C, F, I, R2 and R3 shares; Lord Abbett Emerging Markets Currency Fund (“Emerging Markets Currency Fund”), Class A, B, C, F, I, P, R2 and R3 shares; Lord Abbett Emerging Markets Local Bond Fund (“Emerging Markets Local Bond Fund”), Class A, C, F, I, R2 and R3 shares and Lord Abbett Multi-Asset Global Opportunity Fund (“Multi-Asset Global Opportunity Fund”), Class A, B, C, F, I, P, R2 and R3 shares. Emerging Markets Corporate Debt Fund and Multi-Asset Global Opportunity Fund are each diversified as defined in the Act and Emerging Markets Currency Fund and Emerging Markets Local Bond Fund are each non-diversified as defined in the Act.
Emerging Markets Currency Fund’s investment objective is to seek high total return. Emerging Markets Corporate Debt Fund, Emerging Markets Local Bond Fund and Multi-Asset Global Opportunity Fund’s investment objective is total return. Multi-Asset Global Opportunity 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, Multi-Asset Global Opportunity 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. |
87
Notes to Financial Statements (unaudited)(continued)
| 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. Each 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. Floating rate loans are valued at the average of bid and ask quotations obtained from dealers in loans on the basis of prices supplied by independent pricing services. Exchange traded options and futures contracts are valued at the last 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, 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 related or comparable assets or liabilities, recent transactions, market multiples, book values, yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine 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. |
88
Notes to Financial Statements (unaudited)(continued)
(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 each Fund’s filed U.S. federal tax returns remains open for the fiscal periods ended December 31, 2010 through December 31, 2013. The statutes of limitations on the Company’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. |
| |
(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 Corporate Debt Fund, Emerging Markets Currency Fund and Emerging Markets Local Bond Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in each 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 each 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 each Fund’s Statement of Operations. Each 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 Funds use 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 Corporate Debt Fund, Emerging Markets Currency Fund and Emerging Markets Local Bond 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, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies on each 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 each Fund’s Statement of Operations. As of June 30, 2014, Emerging Markets Corporate Debt Fund, Emerging Markets Currency Fund and Emerging Markets Local Bond Fund had open forward foreign currency exchange contracts. |
89
Notes to Financial Statements (unaudited)(continued)
(h) | Futures Contracts–Each Fund may purchase and sell futures contracts to enhance returns, to attempt to hedge some of its investment risk, or as a substitute position for holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by a Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. Each 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, 2014, Emerging Markets Currency Fund and Multi-Asset Global Opportunity Fund had open futures contracts. |
| |
(i) | When-Issued, Forward Transactions or To-Be-Announced (“TBA”) Transactions–Emerging Markets Corporate Debt Fund, Emerging Markets Currency Fund and Emerging Markets Local Bond 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 each 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. Each 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 Corporate Debt Fund, Emerging Markets Currency Fund and Emerging Markets Local Bond 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, each 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. |
90
Notes to Financial Statements (unaudited)(continued)
(m) | Interest Rate Swaps–Emerging Markets Corporate Debt Fund, Emerging Markets Currency Fund and Emerging Markets Local Bond 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 each 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 each Fund’s Statement of Operations. As of June 30, 2014, only Emerging Markets Currency Fund had open interest rate swaps. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities. |
| |
(n) | Credit Default Swaps–Emerging Markets Corporate Debt Fund, Emerging Markets Currency Fund and Emerging Markets Local Bond Fund may enter into credit default swap contracts. As a seller of a credit default swap contract (“seller of protection”), a 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, a 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”), a 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, a 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 a Fund, payment of the agreed-upon amount made by a 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 a Fund, the agreed-upon amount received by a 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 a Fund. |
91
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 a 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 a 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. |
| |
(o) | Floating Rate Loans–Emerging Markets Corporate Debt Fund, Emerging Markets Currency Fund and Emerging Markets Local Bond Fund may invest in floating rate loans, which usually take the form of loan participations and assignments. Loan participations and assignments are agreements to make money available to U.S. or foreign corporations, partnerships or other business entities (the “Borrower”) in a specified amount, at a specified rate and within a specified time. A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent typically administers and enforces the loan on behalf of the other Loan Investors in the syndicate and may hold any collateral on behalf of the Loan Investors. Such loan participations and assignments are typically senior, secured and collateralized in nature. A Fund records an investment when the Borrower withdraws money and records interest as earned. These loans pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or London InterBank Offered Rate (“LIBOR”). |
| |
| The loans in which each Fund invests may be subject to some restrictions on resale. For example, each Fund may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. Each Fund generally has no right to enforce compliance with the terms of the loan agreement with the Borrower. As a result, each Fund assumes the credit risk of the Borrower, the selling participant and any other persons interpositioned between each Fund and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, each Fund may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest. |
| |
| Unfunded commitments represent the remaining obligation of each Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded |
92
Notes to Financial Statements (unaudited)(continued)
| portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statement of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments presented on the Statement of Assets and Liabilities represents mark to market of the unfunded portion of the Fund’s floating rate notes. As of June 30, 2014, each Fund had no unfunded loan commitments. |
| |
(p) | 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 and other financial instruments as of June 30, 2014 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:
93
Notes to Financial Statements (unaudited)(continued)
Emerging Markets Corporate Debt Fund and Emerging Markets Local Bond Fund
First $2 billion | | .70 | % |
Next $3 billion | | .65 | % |
Over $5 billion | | .60 | % |
| | | |
Emerging Markets Currency Fund |
| | | |
First $1 billion | | .50 | % |
Over $1 billion | | .45 | % |
Multi-Asset Global Opportunity Fund’s management fee is .25% of the Fund’s average daily net assets.
For the six months ended June 30, 2014, the effective management fee, net of waivers, was at the following annualized rate of each Fund’s average daily net assets:
| | Effective Management Fee |
Emerging Markets Corporate Debt Fund | | | .00% |
Emerging Markets Currency Fund | | | .50% |
Emerging Markets Local Bond Fund | | | .00% |
Multi-Asset Global Opportunity Fund | | | .08% |
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 Corporate Debt Fund, Emerging Markets Currency Fund and Emerging Markets Local Bond Fund’s average daily net assets. Multi-Asset Global Opportunity Fund does not pay such fee.
For the six months ended June 30, 2014 and continuing through April 30, 2015, Lord Abbett has contractually agreed to waive all or a portion of its management fee for Emerging Markets Corporate Debt Fund and Emerging Markets Local Bond Fund and, if necessary, waive all or a portion of its administrative fee and reimburse each 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 upon the approval of the Board.
Effective May 1, 2014 and continuing through April 30, 2015, Lord Abbett has contractually agreed to waive .15% of its annual management fee for Multi-Asset Global Opportunity Fund. This agreement may be terminated only upon approval of the Board. For the twelve month period through April 30, 2014, Lord Abbett had contractually agreed to waive .18% of its annual management fee for the Fund.
Multi-Asset Global Opportunity Fund has entered into a Servicing Arrangement with the Underlying Funds in which it invests (Lord Abbett Affiliated Fund, Inc.; 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, Lord Abbett Inflation Focused Fund and Lord Abbett Short Duration Income Fund; Lord Abbett Securities Trust—Lord Abbett International Dividend Income Fund and Lord Abbett Mid Cap Stock Fund, Inc.), pursuant to which each Underlying Fund will pay a portion of the expenses (excluding management fees and distribution and service fees) of Multi-Asset Global Opportunity Fund in proportion to the average daily value of total Underlying Fund shares owned by Multi-Asset Global Opportunity Fund. The expenses assumed by the Underlying Funds are reflected in Expenses assumed by Underlying Funds in Multi-Asset Global Opportunity Fund’s Statement of Operations and Receivables from affiliates on Multi-Asset Global Opportunity
94
Notes to Financial Statements (unaudited)(continued)
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, 2014, the percentages of Emerging Markets Currency Fund’s outstanding shares owned by Lord Abbett Multi-Asset Balanced Opportunity Fund, Lord Abbett Multi-Asset Global Opportunity Fund and Lord Abbett Multi-Asset Income Fund were 34.86%, 9.74% and 36.63%, 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:
Fees* | | Class A(1) | | Class B(2) | | Class C(3) | | Class F | | Class P(2) | | Class R2 | | Class R3 |
Service | | | .15% | | | .25% | | | .25% | | | — | | | .25% | | | .25% | | | .25% |
Distribution | | | .05% | | | .75% | | | .75% | | | .10% | | | .20% | | | .35% | | | .25% |
* | Each 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 A 12b-1 fee for Multi-Asset Global Opportunity Fund is .25% (.25% service, .00% distribution) of the Fund’s average daily net assets. |
(2) | Emerging Markets Currency Fund and Multi-Asset Global Opportunity Fund only. |
(3) | Except for Multi-Asset Global Opportunity Fund, each Fund’s 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 a Fund will bear Rule 12b-1 fees at the same rate. |
Class I shares do not have a distribution plan.
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, 2014:
| | Distributor Commissions | | Dealers’ Concessions |
Emerging Markets Corporate Debt Fund | | $ | 15 | | $ | 99 |
Emerging Markets Currency Fund | | | 1,029 | | | 5,964 |
Emerging Markets Local Bond Fund | | | 232 | | | 1,578 |
Multi-Asset Global Opportunity Fund | | | 25,597 | | | 167,080 |
Distributor received the following amount of CDSCs for the six months ended June 30, 2014:
| | Class A | | Class C |
Emerging Markets Corporate Debt Fund | | $ | – | | $ | – |
Emerging Markets Currency Fund | | | 644 | | | 1,769 |
Emerging Markets Local Bond Fund | | | — | | | — |
Multi-Asset Global Opportunity Fund | | | 2,121 | | | 3,432 |
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 Corporate Debt Fund, Emerging Markets Currency Fund and Emerging Markets Local Bond Fund and declared and paid quarterly for Multi-Asset Global Opportunity Fund. Taxable net realized
95
Notes to Financial Statements (unaudited)(continued)
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, 2014 and the fiscal year ended December 31, 2013 was as follows:
| | Emerging Markets Corporate Debt Fund | | Emerging Markets Currency Fund |
| Six Months Ended 6/30/2014 (unaudited) | | Period Ended 12/31/2013* | Six Months Ended 6/30/2014 (unaudited) | | Year Ended 12/31/2013 |
Distributions paid from: | | | | | | | | | | | | |
Ordinary income | | $ | 268,553 | | $ | 15,144 | | $ | 5,886,558 | | $ | 6,786,193 |
Return of capital | | | — | | | — | | | — | | | 5,149,859 |
Total distributions paid | | $ | 268,553 | | $ | 15,144 | | $ | 5,886,558 | | $ | 11,936,052 |
* | For the period December 6, 2013 (commencement of operations) to December 31, 2013. |
| | Emerging Markets Local Bond Fund | | Multi-Asset Global Opportunity Fund |
| Six Months Ended 6/30/2014 (unaudited) | | Period Ended 12/31/2013** | Six Months Ended 6/30/2014 (unaudited) | | Year Ended 12/31/2013 |
Distributions paid from: | | | | | | | | | | | | |
Tax-exempt income | | $ | — | | $ | — | | $ | — | | $ | 38,049 |
Ordinary income | | | 235,583 | | | 229,563 | | | 3,983,597 | | | 7,855,560 |
Net long-term capital gains | | | — | | | — | | | — | | | 1,939,046 |
Total distributions paid | | $ | 235,583 | | $ | 229,563 | | $ | 3,983,597 | | $ | 9,832,655 |
** | For the period June 21, 2013 (commencement of operations) to December 31, 2013. |
As of December 31, 2013, the capital loss carryforwards, along with the related expiration dates, were as follows:
| | Indefinite | | | Total |
Emerging Markets Currency Fund | | $ | 15,857,309 | | | $ | 15,857,309 |
Emerging Markets Local Bond Fund | | | 6,934 | | | | 6,934 |
In accordance with the Regulated Investment Company Modernization Act of 2010, each Fund 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.
96
Notes to Financial Statements (unaudited)(continued)
As of June 30, 2014, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | Emerging Markets | | Emerging Markets | |
| | Corporate Debt Fund | | Currency Fund | |
Tax cost | | $ | 11,170,892 | | $ | 505,479,069 | |
Gross unrealized gain | | | 428,442 | | | 2,278,469 | |
Gross unrealized loss | | | (8,212 | ) | | (4,231,331 | ) |
Net unrealized security gain (loss) | | $ | 420,230 | | $ | (1,952,862 | ) |
| | | | | | | |
| | Emerging Markets | | Multi-Asset Global | |
| | Local Bond Fund | | Opportunity Fund | |
Tax cost | | $ | 8,404,365 | | $ | 241,981,097 | |
Gross unrealized gain | | | 204,482 | | | 28,166,645 | |
Gross unrealized loss | | | (243,520 | ) | | (355,405 | ) |
Net unrealized security gain (loss) | | $ | (39,038 | ) | $ | 27,811,240 | |
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, 2014 were as follows:
| | U.S. Government Purchases* | | Non-U.S. Government Purchases | | U.S. Government Sales* | | Non-U.S. Government Sales |
Emerging Markets Corporate Debt Fund | | $ | — | | $ | 19,969,649 | | $ | — | | $ | 18,736,473 |
Emerging Markets Currency Fund | | | 11,730,940 | | | 334,862,166 | | | 15,366,611 | | | 181,125,768 |
Emerging Markets Local Bond Fund | | | — | | | 2,472,783 | | | — | | | 1,667,643 |
Multi-Asset Global Opportunity Fund | | | — | | | 61,278,428 | | | — | | | 32,467,259 |
* | Includes U.S. Government sponsored enterprises securities. |
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
Emerging Markets Corporate Debt Fund, Emerging Markets Currency Fund and Emerging Markets Local Bond Fund entered into forward foreign currency exchange contracts for the six months ended June 30, 2014 (as described in note 2(g)). A forward foreign currency exchange contract reduces each 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. Each Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and each 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. Each Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on foreign currency exchange contracts and deposits as collateral.
Emerging Markets Currency Fund and Multi-Asset Global Opportunity Fund entered into U.S. Treasury futures contracts for the six months ended June 30, 2014 (as described in note 2(h)) to
97
Notes to Financial Statements (unaudited)(continued)
hedge against changes in interest rates. The Funds bear the risk of interest rates moving unexpectedly, in which case the Funds may not achieve the anticipated benefits of the futures contracts and realize a loss. There is minimal counterparty credit risk to the Funds 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, 2014 (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, 2014 (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. There is minimal counterparty credit risk to the Fund since interest rate swaps are traded through a central clearinghouse. As the counterparty to all centrally cleared interest rate swaps, the clearinghouse guarantees interest rate swaps against default.
As of June 30, 2014, each Fund had the following derivatives, grouped into appropriate risk categories that illustrate how and why the Funds use derivative instruments:
Emerging Markets Corporate Debt Fund |
| | | | | |
Liability Derivatives | | Forward Foreign Currency Exchange Contracts | | | Fair Value |
Forward Foreign Currency Exchange Contracts(4) | | $ | 6,921 | | | $ | 6,921 |
Total | | $ | 6,921 | | | $ | 6,921 |
98
Notes to Financial Statements (unaudited)(continued)
Emerging Markets Currency Fund |
Asset Derivatives | | Interest Rate Contracts | | | Forward Foreign Currency Exchange Contracts | | | Credit Contracts | | | Fair Value | |
Forward Foreign Currency Exchange Contracts(1) | | $ | — | | | $ | 7,122,795 | | | $ | — | | | $ | 7,122,795 | |
Futures Contracts(2) | | | 9,539 | | | | — | | | | — | | | | 9,539 | |
Total | | $ | 9,539 | | | $ | 7,122,795 | | | $ | — | | | $ | 7,132,334 | |
| | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | | | | | | | | | | | | |
Credit Default Swaps(3) | | $ | — | | | $ | — | | | $ | 25,747 | | | $ | 25,747 | |
Forward Foreign Currency Exchange Contracts(4) | | | — | | | | 3,080,763 | | | | — | | | | 3,080,763 | |
Futures Contracts(2) | | | 223,591 | | | | — | | | | — | | | | 223,591 | |
Interest Rate Swaps(5) | | | 82,763 | | | | — | | | | — | | | | 82,763 | |
Total | | $ | 306,354 | | | $ | 3,080,763 | | | $ | 25,747 | | | $ | 3,412,864 | |
| | | | | | | | | | | | | | | | |
Emerging Markets Local Bond Fund | | | | | | | | | |
Asset Derivatives | | Forward Foreign Currency Exchange Contracts | | | Fair Value | | | | | | | | | |
Forward Foreign Currency Exchange Contracts(2) | | $ | 21,180 | | | $ | 21,180 | | | | | | | | | |
Total | | $ | 21,180 | | | $ | 21,180 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Liability Derivatives | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts(2) | | $ | 33,192 | | | $ | 33,192 | | | | | | | | | |
Total | | $ | 33,192 | | | $ | 33,192 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Multi-Asset Global Opportunity Fund | | | | | | | | | |
| | Interest Rate Contracts | | | Fair Value | | | | | | | | | |
Liability Derivatives | | | | | | | | | | | | | | | | |
Futures Contracts(3) | | $ | 28,565 | | | $ | 28,565 | | | | | | | | | |
Total | | $ | 28,565 | | | $ | 28,565 | | | | | | | | | |
(1) | Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
(2) | Statements of Assets and Liabilities location: Includes 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. |
(3) | Statements of Assets and Liabilities location: Credit default swap agreements payable, at fair value. |
(4) | Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
(5) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of interest rate swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
99
Notes to Financial Statements (unaudited)(continued)
Transactions in derivative instruments for the six months ended June 30, 2014, were as follows:
Emerging Markets Corporate Debt Fund | | | | | |
| | | Forward Foreign Currency Exchange Contracts | | | Total | | | | | |
Net Realized Gain (Loss)(1) | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | $ | (954 | ) | | $ | (954 | ) | | | | |
Net Change in Unrealized Appreciation/Depreciation(2) | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | $ | 6,921 | | | $ | 6,921 | | | | | |
Average Number of Contracts/Notional Amounts* | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts(3) | | | $ | 139,158 | | | $ | 139,158 | | | | | |
| | | | | | | | | | | | | | | | |
Emerging Markets Currency Fund | |
| | Interest Rate Contracts | | | Forward Foreign Currency Exchange Contracts | | | Credit Contracts | | | Total | |
Net Realized Gain (Loss)(1) | | | | | | | | | | | | | | | | |
Credit Default Swaps | | $ | — | | | $ | — | | | $ | 3,556 | | | $ | 3,556 | |
Forward Foreign Currency Exchange Contracts | | | — | | | | 11,236,827 | | | | — | | | | 11,236,827 | |
Futures Contracts | | | (421,590 | ) | | | — | | | | — | | | | (421,590 | ) |
Interest Rate Swaps | | | (53,561 | ) | | | — | | | | — | | | | (53,561 | ) |
Net Change in Unrealized Appreciation/Depreciation(2) | | | | | | | | | | | | | | | | |
Credit Default Swaps | | $ | — | | | $ | — | | | $ | 10,895 | | | $ | 10,895 | |
Forward Foreign Currency Exchange Contracts | | | — | | | | 5,279,936 | | | | — | | | | 5,279,936 | |
Futures Contracts | | | (1,071,263 | ) | | | — | | | | — | | | | (1,071,263 | ) |
Interest Rate Swaps | | | (32,989 | ) | | | — | | | | — | | | | (32,989 | ) |
Average Number of Contracts/Notional Amounts* | | | | | | | | | | | | | | | | |
Credit Default Swaps(3) | | $ | — | | | $ | — | | | $ | 3,300,000 | | | $ | 3,300,000 | |
Forward Foreign Currency Exchange Contracts(3) | | | — | | | | 608,292,102 | | | | — | | | | 608,292,102 | |
Futures Contracts(4) | | | 968 | | | | — | | | | — | | | | 968 | |
Interest Rate Swaps(3) | | $ | 4,142,857 | | | | — | | | | — | | | $ | 4,142,857 | |
100
Notes to Financial Statements (unaudited)(continued)
Emerging Markets Local Bond Fund | |
| | Forward Foreign Currency Exchange Contracts | | | Total | |
Net Realized Gain (Loss)(1) | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | 18,058 | | | $ | 18,058 | |
Net Change in Unrealized Appreciation/Depreciation(2) | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | 12,197 | | | $ | 12,197 | |
Average Number of Contracts/Notional Amounts* | | | | | | | | |
Forward Foreign Currency Exchange Contracts(3) | | $ | 3,725,408 | | | $ | 3,725,408 | |
Multi-Asset Global Opportunity Fund | |
| | Interest Rate Contracts | | | Total | |
Net Realized Gain (Loss)(1) | | | | | | | | |
Futures Contracts | | $ | (2,427 | ) | | $ | (2,427 | ) |
Net Change in Unrealized Appreciation/Depreciation(2) | | | | | | | | |
Futures Contracts | | $ | (28,565 | ) | | $ | (28,565 | ) |
Average Number of Contracts/Notional Amounts* | | | | | | | | |
Futures Contracts(4) | | | 21 | | | | 21 | |
* | Calculated based on the number of contracts or notional amounts for the six months ended June 30, 2014. |
(1) | Statements of Operations location: Net realized gain 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 gross and net information about recognized assets 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 a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Funds’ accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the statement of assets and liabilities across transactions between the Funds and the applicable counterparty:
101
Notes to Financial Statements (unaudited)(continued)
Emerging Markets Corporate Debt Fund | |
Description | | Gross Amounts of Recognized Assets | | | Gross Amounts Offset in the Statement of Assets and Liabilities | | | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |
Repurchase Agreement | | $ | 241,729 | | | $ | — | | | $ | 241,729 | |
Total | | $ | 241,729 | | | $ | — | | | $ | 241,729 | |
| | | | | Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Received(a) | | | Securities Collateral Received(a) | | | Net Amount(b) | |
Fixed Income Clearing Corp. | | $ | 241,729 | | | $ | — | | | $ | — | | | $ | (241,729 | ) | | $ | — | |
Total | | $ | 241,729 | | | $ | — | | | $ | — | | | $ | (241,729 | ) | | $ | — | |
Description | | Gross Amounts of Recognized Liabilities | | | Gross Amounts Offset in the Statement of Assets and Liabilities | | | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | |
Forward Foreign Currency Exchange Contracts | | $ | 6,921 | | | $ | — | | | $ | 6,921 | |
Total | | $ | 6,921 | | | $ | — | | | $ | 6,921 | |
| | | | | Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Pledged(a) | | | Securities Collateral Pledged(a) | | | Net Amount(c) | |
Bank of America | | $ | 798 | | | $ | — | | | $ | — | | | $ | — | | | $ | 798 | |
Credit Suisse | | | 4,190 | | | | — | | | | — | | | | — | | | | 4,190 | |
Goldman Sachs | | | 1,933 | | | | — | | | | — | | | | — | | | | 1,933 | |
Total | | $ | 6,921 | | | $ | — | | | $ | — | | | $ | — | | | $ | 6,921 | |
102
Notes to Financial Statements (unaudited)(continued)
Emerging Markets Currency Fund | |
Description | | Gross Amounts of Recognized Assets | | | Gross Amounts Offset in the Statement of Assets and Liabilities | | | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |
Forward Foreign Currency Exchange Contracts | | $ | 7,122,795 | | | $ | — | | | $ | 7,122,795 | |
Total | | $ | 7,122,795 | | | $ | — | | | $ | 7,122,795 | |
| | | | | Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Received(a) | | | Securities Collateral Received(a) | | | Net Amount(b) | |
Bank of America | | $ | 573,781 | | | $ | (13,598 | ) | | $ | (320,000 | ) | | $ | — | | | $ | 240,183 | |
Barclays Bank plc | | | 833,744 | | | | (543,540 | ) | | | — | | | | — | | | | 290,204 | |
Deutsche Bank | | | 15,603 | | | | (15,603 | ) | | | — | | | | — | | | | — | |
Goldman Sachs | | | 292,131 | | | | (292,131 | ) | | | — | | | | — | | | | — | |
J.P. Morgan Chase | | | 2,760,799 | | | | (1,471,586 | ) | | | (370,000 | ) | | | — | | | | 919,213 | |
Morgan Stanley | | | 1,287,724 | | | | (31,993 | ) | | | — | | | | (1,255,731 | ) | | | — | |
UBS AG | | | 1,359,013 | | | | (23,947 | ) | | | (1,000,000 | ) | | | — | | | | 335,066 | |
Total | | $ | 7,122,795 | | | $ | (2,392,398 | ) | | $ | (1,690,000 | ) | | $ | (1,255,731 | ) | | $ | 1,784,666 | |
Description | | Gross Amounts of Recognized Liabilities | | | Gross Amounts Offset in the Statement of Assets and Liabilities | | | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | |
Credit Default Swaps | | $ | 25,747 | | | $ | — | | | $ | 25,747 | |
Forward Foreign Currency Exchange Contracts | | | 3,080,763 | | | | — | | | | 3,080,763 | |
Total | | $ | 3,106,510 | | | $ | — | | | $ | 3,106,510 | |
| | | | | Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Pledged(a) | | | Securities Collateral Pledged(a) | | | Net Amount(c) | |
Bank of America | | $ | 13,598 | | | $ | (13,598 | ) | | $ | — | | | $ | — | | | $ | — | |
Barclays Bank plc | | | 543,540 | | | | (543,540 | ) | | | — | | | | — | | | | — | |
Credit Suisse | | | 13,067 | | | | — | | | | — | | | | — | | | | 13,067 | |
Deutsche Bank | | | 88,529 | | | | (15,603 | ) | | | (72,926 | ) | | | — | | | | — | |
Goldman Sachs | | | 920,250 | | | | (292,131 | ) | | | (628,119 | ) | | | — | | | | — | |
J.P. Morgan Chase | | | 1,471,586 | | | | (1,471,586 | ) | | | — | | | | — | | | | — | |
Morgan Stanley | | | 31,993 | | | | (31,993 | ) | | | — | | | | — | | | | — | |
UBS AG | | | 23,947 | | | | (23,947 | ) | | | — | | | | — | | | | — | |
Total | | $ | 3,106,510 | | | $ | (2,392,398 | ) | | $ | (701,045 | ) | | $ | — | | | $ | 13,067 | |
103
Notes to Financial Statements (unaudited)(continued)
Emerging Markets Local Bond Fund | |
Description | | Gross Amounts of Recognized Assets | | | Gross Amounts Offset in the Statement of Assets and Liabilities | | | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |
Forward Foreign Currency Exchange Contracts | | $ | 21,180 | | | $ | — | | | $ | 21,180 | |
Repurchase Agreement | | | 219,385 | | | | — | | | | 219,385 | |
Total | | $ | 240,565 | | | $ | — | | | $ | 240,565 | |
| | | | | Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Received(a) | | | Securities Collateral Received(a) | | | Net Amount(b) | |
Bank of America | | $ | 9,522 | | | $ | (9,522 | ) | | $ | — | | | $ | — | | | $ | — | |
Citibank | | | 1,449 | | | | (1,449 | ) | | | — | | | | — | | | | — | |
Credit Suisse | | | 1,354 | | | | (1,354 | ) | | | — | | | | — | | | | — | |
Deutsche Bank | | | 159 | | | | — | | | | — | | | | — | | | | 159 | |
Fixed Income Clearing Corp. | | | 219,385 | | | | — | | | | — | | | | (219,385 | ) | | | — | |
Morgan Stanley | | | 8,696 | | | | (8,136 | ) | | | — | | | | — | | | | 560 | |
Total | | $ | 240,565 | | | $ | (20,461 | ) | | $ | — | | | $ | (219,385 | ) | | $ | 719 | |
Description | | Gross Amounts of Recognized Liabilities | | | Gross Amounts Offset in the Statement of Assets and Liabilities | | | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | |
Forward Foreign Currency Exchange Contracts | | $ | 33,192 | | | $ | — | | | $ | 33,192 | |
Total | | $ | 33,192 | | | $ | — | | | $ | 33,192 | |
| | | | | Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Pledged(a) | | | Securities Collateral Pledged(a) | | | Net Amount(c) | |
Bank of America | | $ | 10,859 | | | $ | (9,522 | ) | | $ | — | | | $ | — | | | $ | 1,337 | |
Citibank | | | 7,097 | | | | (1,449 | ) | | | — | | | | — | | | | 5,648 | |
Credit Suisse | | | 3,914 | | | | (1,354 | ) | | | — | | | | — | | | | 2,560 | |
Goldman Sachs | | | 3,186 | | | | — | | | | — | | | | — | | | | 3,186 | |
Morgan Stanley | | | 8,136 | | | | (8,136 | ) | | | — | | | | — | | | | — | |
Total | | $ | 33,192 | | | $ | (20,461 | ) | | $ | — | | | $ | — | | | $ | 12,731 | |
104
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Global Opportunity Fund | |
Description | | Gross Amounts of Recognized Assets | | | Gross Amounts Offset in the Statement of Assets and Liabilities | | | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |
Repurchase Agreement | | $ | 153,251 | | | $ | — | | | $ | 153,251 | |
Total | | $ | 153,251 | | | $ | — | | | $ | 153,251 | |
| | | | | Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Received(a) | | | Securities Collateral Received(a) | | | Net Amount(b) | |
Fixed Income Clearing Corp. | | $ | 153,251 | | | $ | — | | | $ | — | | | $ | (153,251 | ) | | $ | — | |
Total | | $ | 153,251 | | | $ | — | | | $ | — | | | $ | (153,251 | ) | | $ | — | |
| |
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net amount represents the amount owed to the Fund by each counterparty as of June 30, 2014. |
(c) | Net amount represents the amount owed by the Fund to each counterparty as of June 30, 2014. |
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.
Effective June 30, 2014, the Funds and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) participate in a $500 million unsecured revolving credit facility (the “Facility”) with State Street Bank and Trust Company (“SSB”). The Facility is to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions. The Participating Funds are subject to graduated borrowing limits of one-third of Fund assets (if Fund assets are less than $750 million), $250 million, $300 million, or $350 million based on past borrowings and likelihood of future borrowings. Each Participating Fund bears its ratable share of the $525,000 annual Facility fee based on the maximum amount the Fund can borrow under the Facility. This amount is included in Other expenses on each Participating Fund’s Statement of Operations. Any borrowings under the Facility will incur interest at current market rates as set forth in the credit agreement.
105
Notes to Financial Statements (unaudited)(continued)
Prior to June 30, 2014, the Funds and certain other funds managed by Lord Abbett participated in a Facility with SSB. The amounts that were available under the Facility were (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.
As of June 30, 2014, there were no loans outstanding under the 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. Multi-Asset Global Opportunity Fund had the following transactions with affiliated issuers (i.e. the Underlying Funds) for the six months ended June 30, 2014:
Affiliated Issuer | | Balance of Shares Held at 12/31/2013 | | Gross Additions | | Gross Sales | | | Balance of Shares Held at 6/30/2014 | | | Fair Value at 6/30/2014 | | | Net Realized Gain (Loss) 1/1/2014 to 6/30/2014 | | | Dividend Income 1/1/2014 to 6/30/2014 | |
Lord Abbett Affiliated Fund, Inc. – Class I | | | 270,769 | | | 260,158 | | | (364,557 | ) | | | 166,370 | | | $ | 2,735,123 | | | $ | 234,086 | | | $ | 30,743 | |
Lord Abbett Equity Trust – Calibrated Large Cap Value Fund – Class I | | | 55,084 | | | — | | | — | | | | 55,084 | | | | 1,251,498 | | | | — | | | | — | |
Lord Abbett Equity Trust – Calibrated Mid Cap Value Fund – Class I | | | 1,232,655 | | | 225,428 | | | — | | | | 1,458,083 | | | | 32,967,265 | | | | — | | | | — | |
Lord Abbett Global Fund, Inc. – Emerging Markets Currency Fund – Class I | | | 6,035,185 | | | 2,362,547 | | | (448,332 | ) | | | 7,949,400 | | | | 50,717,170 | | | | (189,076 | ) | | | 564,580 | |
Lord Abbett Investment Trust – High Yield Fund – Class I | | | 2,923,676 | | | 652,760 | | | (5,530 | ) | | | 3,570,906 | | | | 28,924,336 | | | | 1,915 | | | | 752,748 | |
Lord Abbett Municipal Income Fund – High Yield Municipal Bond Fund – Class I | | | 452,119 | | | 42,701 | | | (494,820 | ) | | | — | | | | — | | | | 104,438 | | | | 56,944 | |
Lord Abbett Investment Trust – Inflation Focused Fund – Class I | | | — | | | 93,904 | | | — | | | | 93,904 | | | | 1,335,311 | | | | — | | | | 878 | |
Lord Abbett Securities Trust – International Dividend Income Fund – Class I | | | 9,884,120 | | | 2,113,370 | | | (27,825 | ) | | | 11,969,665 | | | | 114,310,297 | | | | 62,865 | | | | 3,024,070 | |
Lord Abbett Mid Cap Stock Fund, Inc. – Class I | | | 1,430,354 | | | 143,684 | | | (211,258 | ) | | | 1,362,780 | | | | 34,205,788 | | | | 2,162,583 | | | | — | |
Lord Abbett Investment Trust – Short Duration Income Fund – Class I | | | 1,887,580 | | | 1,631,403 | | | (2,817,379 | ) | | | 701,604 | | | | 3,192,297 | | | | (18,562 | ) | | | 102,412 | |
Total | | | | | | | | | | | | | | | | $ | 269,639,085 | | | $ | 2,358,249 | | | $ | 4,532,375 | |
106
Notes to Financial Statements (unaudited)(continued)
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 and Emerging Markets Local Bond Fund are non-diversified, which means that they each may invest a greater portion of their assets in a single issuer than a diversified fund. Thus, they may be exposed to greater risk.
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 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 it may be unable to sell these securities at its desired time or price. To the extent illiquid securities can be sold, a Fund may have to do so at disadvantageous prices in order to meet requests for the redemption of Fund shares.
Leverage, including borrowing, may increase volatility in a Fund by magnifying the effect of changes in the value of each 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.
107
Notes to Financial Statements (unaudited)(continued)
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 Corporate Debt Fund, Emerging Markets Currency Fund and Emerging Markets Local Bond Fund’s use of currency-related transactions involves the risk that Lord Abbett will not accurately predict currency movements, and each 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 Corporate Debt Fund, Emerging Markets Currency Fund and Emerging Markets Local Bond 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. Emerging Markets Local Bond Fund may have limited recourse in such instances.
Emerging Markets Corporate Debt Fund, Emerging Markets Currency Fund and Emerging Markets Local Bond Fund believe that their 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 each Fund’s foreign currency gains as nonqualifying income.
The value of Multi-Asset Global Opportunity 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.
108
Notes to Financial Statements (unaudited)(continued)
14. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of capital stock were as follows:
Emerging Markets Corporate Debt Fund | | Six Months Ended June 30, 2014 (unaudited) | | | Period Ended December 31, 2013† | |
Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 61,072 | | | $ | 923,335 | | | | 322,470 | | | $ | 4,837,000 | |
Reinvestment of distributions | | | 8,825 | | | | 135,511 | | | | 503 | | | | 7,530 | |
Shares reacquired | | | (4 | ) | | | (71 | ) | | | — | | | | — | |
Increase | | | 69,893 | | | $ | 1,058,775 | | | | 322,973 | | | $ | 4,844,530 | |
| | | | | | | | | | | | | | | | |
Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,745 | | | $ | 27,158 | | | | 6,667 | | | $ | 100,000 | |
Reinvestment of distributions | | | 139 | | | | 2,138 | | | | 7 | | | | 113 | |
Increase | | | 1,884 | | | $ | 29,296 | | | | 6,674 | | | $ | 100,113 | |
| | | | | | | | | | | | | | | | |
Class F Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,274 | | | $ | 20,000 | | | | 6,666 | | | $ | 100,000 | |
Reinvestment of distributions | | | 166 | | | | 2,542 | | | | 11 | | | | 162 | |
Increase | | | 1,440 | | | $ | 22,542 | | | | 6,677 | | | $ | 100,162 | |
| | | | | | | | | | | | | | | | |
Class I Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | $ | — | | | | 320,000 | | | $ | 4,800,000 | |
Reinvestment of distributions | | | 7,930 | | | | 121,728 | | | | 537 | | | | 8,038 | |
Increase | | | 7,930 | | | $ | 121,728 | | | | 320,537 | | | $ | 4,808,038 | |
| | | | | | | | | | | | | | | | |
Class R2 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | $ | — | | | | 6,667 | | | $ | 100,000 | |
Reinvestment of distributions | | | 165 | | | | 2,535 | | | | 11 | | | | 167 | |
Increase | | | 165 | | | $ | 2,535 | | | | 6,678 | | | $ | 100,167 | |
| | | | | | | | | | | | | | | | |
Class R3 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | $ | — | | | | 6,667 | | | $ | 100,000 | |
Reinvestment of distributions | | | 165 | | | | 2,535 | | | | 11 | | | | 167 | |
Increase | | | 165 | | | $ | 2,535 | | | | 6,678 | | | $ | 100,167 | |
† | For the period December 6, 2013 (commencement of operations) to December 31, 2013. |
109
Notes to Financial Statements (unaudited)(continued)
Emerging Markets Currency Fund | | Six Months Ended June 30, 2014 (unaudited) | | | Year Ended December 31, 2013 | |
Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 884,454 | | | $ | 5,455,258 | | | | 2,857,721 | | | $ | 18,815,750 | |
Converted from Class B* | | | 4,725 | | | | 29,347 | | | | 26,630 | | | | 171,944 | |
Reinvestment of distributions | | | 76,909 | | | | 479,730 | | | | 245,120 | | | | 1,571,783 | |
Shares reacquired | | | (1,834,056 | ) | | | (11,393,625 | ) | | | (6,616,666 | ) | | | (42,303,099 | ) |
Decrease | | | (867,968 | ) | | $ | (5,429,290 | ) | | | (3,487,195 | ) | | $ | (21,743,622 | ) |
| | | | | | | | | | | | | | | | |
Class B Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 72 | | | $ | 452 | | | | 2,681 | | | $ | 17,521 | |
Reinvestment of distributions | | | 653 | | | | 4,083 | | | | 2,434 | | | | 15,693 | |
Shares reacquired | | | (26,273 | ) | | | (164,155 | ) | | | (50,905 | ) | | | (328,294 | ) |
Converted to Class A* | | | (4,703 | ) | | | (29,347 | ) | | | (26,509 | ) | | | (171,944 | ) |
Decrease | | | (30,251 | ) | | $ | (188,967 | ) | | | (72,299 | ) | | $ | (467,024 | ) |
| | | | | | | | | | | | | | | | |
Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 51,435 | | | $ | 321,073 | | | | 509,614 | | | $ | 3,377,528 | |
Reinvestment of distributions | | | 13,476 | | | | 84,470 | | | | 47,887 | | | | 308,679 | |
Shares reacquired | | | (690,782 | ) | | | (4,305,368 | ) | | | (2,076,141 | ) | | | (13,335,387 | ) |
Decrease | | | (625,871 | ) | | $ | (3,899,825 | ) | | | (1,518,640 | ) | | $ | (9,649,180 | ) |
| | | | | | | | | | | | | | | | |
Class F Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 891,730 | | | $ | 5,547,019 | | | | 4,509,167 | | | $ | 29,402,823 | |
Reinvestment of distributions | | | 46,513 | | | | 289,937 | | | | 161,291 | | | | 1,033,696 | |
Shares reacquired | | | (1,800,018 | ) | | | (11,162,995 | ) | | | (9,694,342 | ) | | | (62,037,420 | ) |
Decrease | | | (861,775 | ) | | $ | (5,326,039 | ) | | | (5,023,884 | ) | | $ | (31,600,901 | ) |
| | | | | | | | | | | | | | | | |
Class I Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 27,385,271 | | | $ | 168,582,292 | | | | 19,633,853 | | | $ | 124,986,620 | |
Reinvestment of distributions | | | 772,998 | | | | 4,831,016 | | | | 1,266,389 | | | | 8,070,289 | |
Shares reacquired | | | (7,882,615 | ) | | | (49,467,078 | ) | | | (14,683,234 | ) | | | (93,725,175 | ) |
Increase | | | 20,275,654 | | | $ | 123,946,230 | | | | 6,217,008 | | | $ | 39,331,734 | |
| | | | | | | | | | | | | | | | |
Class P Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 4 | | | $ | 20 | | | | 1 | | | $ | 5 | |
Reinvestment of distributions | | | 13 | | | | 77 | | | | 36 | | | | 233 | |
Shares reacquired | | | (99 | ) | | | (591 | ) | | | (293 | ) | | | (1,842 | ) |
Decrease | | | (82 | ) | | $ | (494 | ) | | | (256 | ) | | $ | (1,604 | ) |
| | | | | | | | | | | | | | | | |
Class R2 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 4,878 | | | $ | 30,233 | | | | 13,429 | | | $ | 86,850 | |
Reinvestment of distributions | | | 28 | | | | 177 | | | | 37 | | | | 232 | |
Shares reacquired | | | (5,656 | ) | | | (34,424 | ) | | | (19,051 | ) | | | (125,707 | ) |
Decrease | | | (750 | ) | | $ | (4,014 | ) | | | (5,585 | ) | | $ | (38,625 | ) |
| | | | | | | | | | | | | | | | |
Class R3 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 17,826 | | | $ | 111,047 | | | | 51,060 | | | $ | 329,864 | |
Reinvestment of distributions | | | 797 | | | | 4,962 | | | | 1,785 | | | | 11,398 | |
Shares reacquired | | | (16,535 | ) | | | (102,474 | ) | | | (66,849 | ) | | | (436,271 | ) |
Increase (decrease) | | | 2,088 | | | $ | 13,535 | | | | (14,004 | ) | | $ | (95,009 | ) |
110
Notes to Financial Statements (unaudited)(continued)
Emerging Markets Local Bond Fund | | Six Months Ended June 30, 2014 (unaudited) | | | Period Ended December 31, 2013† | |
Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 36,355 | | | $ | 532,227 | | | | 395,448 | | | $ | 5,899,956 | |
Reinvestment of distributions | | | 10,308 | | | | 147,821 | | | | 10,700 | | | | 157,097 | |
Shares reacquired | | | (12,441 | ) | | | (177,447 | ) | | | (62,062 | ) | | | (933,005 | ) |
Increase | | | 34,222 | | | $ | 502,601 | | | | 344,086 | | | $ | 5,124,048 | |
| | | | | | | | | | | | | | | | |
Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 3,854 | | | $ | 54,469 | | | | 15,415 | | | $ | 229,822 | |
Reinvestment of distributions | | | 377 | | | | 5,410 | | | | 350 | | | | 5,128 | |
Shares reacquired | | | (102 | ) | | | (1,466 | ) | | | (76 | ) | | | (1,109 | ) |
Increase | | | 4,129 | | | $ | 58,413 | | | | 15,689 | | | $ | 233,841 | |
| | | | | | | | | | | | | | | | |
Class F Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | $ | — | | | | 7,857 | | | $ | 118,003 | |
Reinvestment of distributions | | | 223 | | | | 3,196 | | | | 247 | | | | 3,626 | |
Shares reacquired | | | (11 | ) | | | (159 | ) | | | (6 | ) | | | (92 | ) |
Increase | | | 212 | | | $ | 3,037 | | | | 8,098 | | | $ | 121,537 | |
| | | | | | | | | | | | | | | | |
Class I Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | $ | — | | | | 153,333 | | | $ | 2,300,000 | |
Reinvestment of distributions | | | 4,952 | | | | 70,982 | | | | 5,604 | | | | 82,316 | |
Increase | | | 4,952 | | | $ | 70,982 | | | | 158,937 | | | $ | 2,382,316 | |
| | | | | | | | | | | | | | | | |
Class R2 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | $ | — | | | | 6,667 | | | $ | 100,000 | |
Reinvestment of distributions | | | 214 | | | | 3,076 | | | | 223 | | | | 3,278 | |
Increase | | | 214 | | | $ | 3,076 | | | | 6,890 | | | $ | 103,278 | |
| | | | | | | | | | | | | | | | |
Class R3 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | $ | — | | | | 6,667 | | | $ | 100,000 | |
Reinvestment of distributions | | | 214 | | | | 3,078 | | | | 227 | | | | 3,330 | |
Increase | | | 214 | | | $ | 3,078 | | | | 6,894 | | | $ | 103,330 | |
† | For the period June 21, 2013 (commencement of operations) to December 31, 2013. |
Multi-Asset Global Opportunity Fund | | Six Months Ended June 30, 2014 (unaudited) | | | Year Ended December 31, 2013 | |
Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 2,246,217 | | | $ | 28,638,986 | | | | 2,921,816 | | | $ | 35,619,771 | |
Converted from Class B* | | | 18,595 | | | | 235,170 | | | | 77,166 | | | | 935,861 | |
Reinvestment of distributions | | | 187,854 | | | | 2,429,766 | | | | 490,264 | | | | 5,977,474 | |
Shares reacquired | | | (978,235 | ) | | | (12,384,936 | ) | | | (1,988,433 | ) | | | (24,180,375 | ) |
Increase | | | 1,474,431 | | | $ | 18,918,986 | | | | 1,500,813 | | | $ | 18,352,731 | |
| | | | | | | | | | | | | | | | |
Class B Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 19,574 | | | $ | 224,601 | | | | 52,408 | | | $ | 578,867 | |
Reinvestment of distributions | | | 5,961 | | | | 70,687 | | | | 23,246 | | | | 260,011 | |
Shares reacquired | | | (82,124 | ) | | | (949,807 | ) | | | (125,720 | ) | | | (1,398,897 | ) |
Converted to Class A* | | | (20,283 | ) | | | (235,170 | ) | | | (83,880 | ) | | | (935,861 | ) |
Decrease | | | (76,872 | ) | | $ | (889,689 | ) | | | (133,946 | ) | | $ | (1,495,880 | ) |
111
Notes to Financial Statements (unaudited)(concluded)
Multi-Asset Global Opportunity Fund | | Six Months Ended June 30, 2014 (unaudited) | | | Year Ended December 31, 2013 | |
Class C Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 799,503 | | | $ | 9,328,856 | | | | 1,128,867 | | | $ | 12,695,675 | |
Reinvestment of distributions | | | 42,318 | | | | 502,371 | | | | 117,122 | | | | 1,314,200 | |
Shares reacquired | | | (290,694 | ) | | | (3,389,004 | ) | | | (940,152 | ) | | | (10,435,849 | ) |
Increase | | | 551,127 | | | $ | 6,442,223 | | | | 305,837 | | | $ | 3,574,026 | |
| | | | | | | | | | | | | | | | |
Class F Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 307,632 | | | $ | 3,952,348 | | | | 396,353 | | | $ | 4,857,237 | |
Reinvestment of distributions | | | 7,043 | | | | 91,201 | | | | 14,236 | | | | 174,793 | |
Shares reacquired | | | (156,503 | ) | | | (1,985,940 | ) | | | (104,449 | ) | | | (1,261,563 | ) |
Increase | | | 158,172 | | | $ | 2,057,609 | | | | 306,140 | | | $ | 3,770,467 | |
| | | | | | | | | | | | | | | | |
Class I Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 210,948 | | | $ | 2,756,124 | | | | 699,309 | | | $ | 8,359,983 | |
Reinvestment of distributions | | | 38,573 | | | | 501,858 | | | | 101,147 | | | | 1,242,475 | |
Shares reacquired | | | (2,271 | ) | | | (28,469 | ) | | | (27,188 | ) | | | (331,641 | ) |
Increase | | | 247,250 | | | $ | 3,229,513 | | | | 773,268 | | | $ | 9,270,817 | |
| | | | | | | | | | | | | | | | |
Class R2 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,287 | | | $ | 16,785 | | | | 1,409 | | | $ | 17,074 | |
Reinvestment of distributions | | | 106 | | | | 1,402 | | | | 324 | | | | 4,000 | |
Shares reacquired | | | (269 | ) | | | (3,389 | ) | | | (3,927 | ) | | | (48,452 | ) |
Increase (decrease) | | | 1,124 | | | $ | 14,798 | | | | (2,194 | ) | | $ | (27,378 | ) |
| | | | | | | | | | | | | | | | |
Class R3 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 62,882 | | | $ | 797,765 | | | | 136,898 | | | $ | 1,662,308 | |
Reinvestment of distributions | | | 6,936 | | | | 90,116 | | | | 20,370 | | | | 249,294 | |
Shares reacquired | | | (60,537 | ) | | | (767,500 | ) | | | (150,355 | ) | | | (1,822,407 | ) |
Increase | | | 9,281 | | | $ | 120,381 | | | | 6,913 | | | $ | 89,195 | |
* | 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. |
112
Investments in Underlying Funds (unaudited)
Multi-Asset Global Opportunity Fund invests in Underlying Funds managed by Lord Abbett. As of June 30, 2014, Multi-Asset Global Opportunity Fund’s long-term investments were allocated among the Underlying Funds as follows:
Underlying Fund Name | | % of Investments |
Lord Abbett Affiliated Fund, Inc. – Class I | | 1.01% |
Lord Abbett Equity Trust – Calibrated Large Cap Value Fund – Class I | | 0.46% |
Lord Abbett Equity Trust – Calibrated Mid Cap Value Fund – Class I | | 12.23% |
Lord Abbett Global Fund, Inc. – Emerging Markets Currency Fund – Class I | | 18.81% |
Lord Abbett Investment Trust – High Yield Fund – Class I | | 10.73% |
Lord Abbett Investment Trust – Inflation Focused Fund – Class I | | 0.50% |
Lord Abbett Securities Trust – International Dividend Income Fund – Class I | | 42.39% |
Lord Abbett Mid Cap Stock Fund, Inc. – Class I | | 12.69% |
Lord Abbett Investment Trust – Short Duration Income Fund – Class I | | 1.18% |
The Ten Largest Holdings and the Holdings by Sector, as of June 30, 2014, 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 Affiliated Fund, Inc.
Ten Largest Holdings | | % of Investments |
JPMorgan Chase & Co. | | 3.77% |
Pfizer, Inc. | | 3.63% |
Chevron Corp. | | 3.49% |
Cisco Systems, Inc. | | 3.45% |
Wal-Mart Stores, Inc. | | 2.74% |
Intel Corp. | | 2.43% |
McDonald’s Corp. | | 2.36% |
Altria Group, Inc. | | 2.11% |
AT&T, Inc. | | 2.11% |
Apple, Inc. | | 2.08% |
113
Investments in Underlying Funds (unaudited)(continued)
Holdings by Sector* | | % of Investments |
Consumer Discretionary | | 6.52% |
Consumer Staples | | 10.19% |
Energy | | 11.00% |
Financials | | 20.67% |
Health Care | | 11.46% |
Industrials | | 11.26% |
Information Technology | | 13.90% |
Materials | | 5.06% |
Telecommunication Services | | 4.04% |
Utilities | | 5.52% |
Repurchase Agreement | | 0.38% |
Total | | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Equity Trust—Calibrated Large Cap Value Fund
Ten Largest Holdings | | % of Investments |
JPMorgan Chase & Co. | | 4.19% |
Chevron Corp. | | 4.11% |
Pfizer, Inc. | | 3.96% |
Exxon Mobil Corp. | | 3.25% |
Citigroup, Inc. | | 2.87% |
Aetna, Inc. | | 2.47% |
AT&T, Inc. | | 2.38% |
Express Scripts Holding Co. | | 1.92% |
Capital One Financial Corp. | | 1.92% |
Allstate Corp. (The) | | 1.86% |
Holdings by Sector* | | % of Investments |
Consumer Discretionary | | 6.74% |
Consumer Staples | | 6.38% |
Energy | | 14.37% |
Financials | | 29.08% |
Health Care | | 12.67% |
Industrials | | 9.91% |
Information Technology | | 8.40% |
Materials | | 3.38% |
Telecommunication Services | | 2.77% |
Utilities | | 5.80% |
Repurchase Agreement | | 0.50% |
Total | | 100.00% |
* | A sector may comprise several industries. |
114
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Equity Trust—Calibrated Mid Cap Value Fund
Ten Largest Holdings | | % of Investments |
Whirlpool Corp. | | 2.31% |
XL Group plc | | 2.28% |
St. Jude Medical, Inc. | | 2.28% |
Rock-Tenn Co. Class A | | 2.09% |
CF Industries Holdings, Inc. | | 2.07% |
Rowan Cos., plc Class A | | 2.02% |
Great Plains Energy, Inc. | | 1.97% |
Invesco Ltd. | | 1.97% |
Avnet, Inc. | | 1.93% |
Everest Re Group Ltd. | | 1.92% |
Holdings by Sector* | | % of Investments |
Consumer Discretionary | | 9.78% |
Consumer Staples | | 2.96% |
Energy | | 6.08% |
Financials | | 32.47% |
Health Care | | 8.31% |
Industrials | | 10.41% |
Information Technology | | 10.84% |
Materials | | 6.70% |
Utilities | | 0.85% |
Repurchase Agreement | | 11.60% |
Total | | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Global Fund, Inc.—Emerging Markets Currency Fund
Ten Largest Holdings | | % of Investments |
US Bank NA, 3.778%, 4/29/2020 | | 1.02% |
Western Union Co. (The), 1.227%, 8/21/2015 | | 1.00% |
Citigroup, Inc., 0.501%, 6/9/2016 | | 0.87% |
QVC, Inc., 7.375%, 10/15/2020 | | 0.85% |
Plains Exploration & Production Co., 7.625%, 4/1/2020 | | 0.82% |
Host Hotels & Resorts LP, 6.00%, 11/1/2020 | | 0.76% |
Fidelity National Information Services, Inc., 7.875%, 7/15/2020 | | 0.74% |
Crosstex Energy LP/Crosstex Energy Finance Corp., 7.125%, 6/1/2022 | | 0.73% |
Wachovia Bank Commercial Mortgage Trust 2005-C21 D, 5.414%, 10/15/2044 | | 0.71% |
Midcontinent Express Pipeline LLC, 5.45%, 9/15/2014 | | 0.70% |
115
Investments in Underlying Funds (unaudited)(continued)
Holdings by Sector* | | % of Investments |
Asset Backed | | 16.79% |
Automotive | | 1.38% |
Banking | | 7.36% |
Basic Industry | | 3.24% |
Capital Goods | | 1.39% |
Consumer Cyclical | | 1.86% |
Consumer Non-Cyclical | | 1.50% |
Energy | | 11.10% |
Financial Services | | 2.10% |
Foreign Government | | 0.05% |
Health Care | | 2.95% |
Insurance | | 0.37% |
Media | | 1.18% |
Mortgage Backed | | 32.29% |
Real Estate | | 3.84% |
Services | | 4.79% |
Supranational | | 0.05% |
Technology & Electronics | | 2.20% |
Telecommunications | | 1.52% |
Utility | | 4.04% |
Total | | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Investment Trust—High Yield Fund
Ten Largest Holdings | | % of Investments |
Sprint Corp., 7.875%, 9/15/2023 | | 1.57% |
First Data Corp., 12.625%, 1/15/2021 | | 0.77% |
Albertson’s LLC Bridge Term Loan, 1.00%, 6/6/2022 | | 0.69% |
Seven Generations Energy Ltd. (Canada), 8.25%, 5/15/2020 | | 0.69% |
DISH DBS Corp., 5.875%, 7/15/2022 | | 0.61% |
Intelsat Luxembourg SA (Luxembourg), 7.75%, 6/1/2021 | | 0.60% |
Alliance Data Systems Corp., 6.375%, 4/1/2020 | | 0.59% |
Sabine Pass Liquefaction LLC, 6.25%, 3/15/2022 | | 0.59% |
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.75%, 3/1/2022 | | 0.54% |
Hema Bondco I BV, 6.25%, 6/15/2019 | | 0.54% |
116
Investments in Underlying Funds (unaudited)(continued)
Holdings by Sector* | | % of Investments |
Airlines | | 0.28% |
Asset Backed | | 0.15% |
Automotive | | 1.53% |
Banking | | 2.75% |
Basic Industry | | 10.38% |
Capital Goods | | 4.28% |
Consumer Cyclical | | 6.19% |
Consumer Non-Cyclical | | 5.61% |
Energy | | 14.97% |
Financial Services | | 3.36% |
Foreign Government | | 0.16% |
Health Care | | 7.77% |
Insurance | �� | 1.24% |
Media | | 8.57% |
Municipal | | 0.12% |
Real Estate | | 0.36% |
Services | | 13.17% |
Technology & Electronics | | 6.82% |
Telecommunications | | 7.17% |
Utilities | | 3.45% |
Repurchase Agreement | | 1.67% |
Total | | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Investment Trust—Inflation Focused Fund
Ten Largest Holdings | | % of Investments |
U.S. Treasury Note, 0.375%, 3/15/2015 | | 2.41% |
LB-UBS Commercial Mortgage Trust 2006-C7 AM, 5.378%, 11/15/2038 | | 0.88% |
DDR Corp. 2009-DDR1 A, 3.807%, 10/14/2022 | | 0.77% |
Fidelity National Information Services, Inc., 7.875%, 7/15/2020 | | 0.65% |
U.S Treasury Note, 0.25%, 4/15/2016 | | 0.63% |
GS Mortgage Securities Trust 2012-GC6 XA, 2.144%, 1/10/2045 | | 0.62% |
QVC, Inc., 7.50%, 10/1/2019 | | 0.62% |
Air Lease Corp., 5.625%, 4/1/2017 | | 0.59% |
Government National Mortgage Assoc. 2014-64 A, 2.20%, 2/16/2045 | | 0.58% |
Government National Mortgage Assoc. 2014-64 IO, 1.31%, 12/16/2054 | | 0.57% |
Holdings by Sector* | | % of Investments |
Auto | | 0.63% |
Basic Industry | | 0.66% |
Capital Goods | | 0.06% |
Consumer Cyclicals | | 4.02% |
Consumer Discretionary | | 1.49% |
Consumer Non-Cyclical | | 0.04% |
Consumer Services | | 1.39% |
Consumer Staples | | 1.03% |
Energy | | 7.02% |
Financial Services | | 51.49% |
Foreign Government | | 0.31% |
Health Care | | 3.98% |
117
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust—Inflation Focused Fund (continued)
Holdings by Sector* | | % of Investments |
Integrated Oils | | 1.95% |
Materials and Processing | | 2.94% |
Municipal | | 0.01% |
Producer Durables | | 0.60% |
Technology | | 1.82% |
Telecommunications | | 1.43% |
Transportation | | 0.83% |
U.S. Government | | 10.54% |
Utilities | | 1.25% |
Repurchase Agreement | | 6.51% |
Total | | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Securities Trust—International Dividend Income Fund
Ten Largest Holdings | | % of Investments |
TDC A/S | | 2.11% |
National Australia Bank Ltd. | | 2.07% |
Total SA ADR | | 2.06% |
BP plc | | 1.82% |
Royal Dutch Shell plc ADR | | 1.81% |
Eni SpA ADR | | 1.77% |
EDP—Energias de Portugal SA | | 1.75% |
Mirvac Group | | 1.61% |
Imperial Tobacco Group plc | | 1.61% |
Roche Holding AG | | 1.60% |
Holdings by Sector* | | % of Investments |
Consumer Discretionary | | 7.86% |
Consumer Staples | | 5.07% |
Energy | | 11.81% |
Financials | | 25.89% |
Health Care | | 5.75% |
Industrials | | 11.02% |
Information Technology | | 3.06% |
Materials | | 3.03% |
Telecommunication Services | | 10.79% |
Utilities | | 12.95% |
Repurchase Agreement | | 2.77% |
Total | | 100.00% |
* | A sector may comprise several industries. |
118
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Mid Cap Stock Fund, Inc.
Ten Largest Holdings | | % of Investments |
Hartford Financial Services Group, Inc. (The) | | 2.29% |
SunTrust Banks, Inc. | | 2.06% |
Cimarex Energy Co. | | 1.85% |
XL Group plc | | 1.79% |
M&T Bank Corp. | | 1.72% |
Jones Lang LaSalle, Inc. | | 1.72% |
Invesco Ltd. | | 1.70% |
Fidelity National Information Services, Inc. | | 1.69% |
Ryder System, Inc. | | 1.58% |
Lincoln National Corp. | | 1.57% |
Holdings by Sector* | | % of Investments |
Consumer Discretionary | | 8.14% |
Consumer Staples | | 1.58% |
Energy | | 8.87% |
Financials | | 30.08% |
Health Care | | 11.37% |
Industrials | | 14.90% |
Information Technology | | 8.98% |
Materials | | 7.24% |
Utilities | | 7.73% |
Repurchase Agreement | | 1.11% |
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%, 3/15/15 | | 2.54% |
Air Lease Corp., 5.625%, 4/1/2017 | | 0.74% |
QVC, Inc., 7.50%, 10/1/2019 | | 0.62% |
Host Hotels & Resorts LP, 6.00%, 11/1/2020 | | 0.57% |
Banc of America Re-Remic Trust, 2.808%, 6/5/2028 | | 0.56% |
Wachovia Bank Commercial Mortgage Trust 2007-C31 AM, 5.591%, 4/15/2047 | | 0.54% |
Fidelity National Information Services, Inc., 7.875%, 7/15/2020 | | 0.51% |
U.S. Treasury Note, 2.125%, 12/31/2015 | | 0.49% |
Host Hotels & Resorts LP, 5.875%, 6/15/2019 | | 0.49% |
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-5 AM, 5.149%, 8/12/2048 | | 0.48% |
119
Investments in Underlying Funds (unaudited)(concluded)
Holdings by Sector* | | % of Investments |
Auto | | 0.89% |
Basic Industry | | 0.68% |
Capital Goods | | 0.06% |
Consumer Cyclicals | | 4.29% |
Consumer Discretionary | | 1.47% |
Consumer Non-Cyclical | | 0.04% |
Consumer Services | | 1.60% |
Consumer Staples | | 1.03% |
Energy | | 7.69% |
Financial Services | | 53.31% |
Foreign Government | | 0.57% |
Health Care | | 4.46% |
Integrated Oils | | 2.64% |
Materials and Processing | | 2.97% |
Municipal | | 0.05% |
Producer Durables | | 0.75% |
Technology | | 2.03% |
Telecommunications | | 1.42% |
Transportation | | 0.93% |
U.S. Government | | 8.94% |
Utilities | | 2.18% |
Repurchase Agreement | | 2.00% |
Total | | 100.00% |
* | A sector may comprise several industries. |
120
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).
121
| | Lord Abbett Global Fund, Inc. | | |
| | | | |
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 Corporate Debt Fund Lord Abbett Emerging Markets Currency Fund Lord Abbett Emerging Markets Local Bond Fund Lord Abbett Multi-Asset Global Opportunity Fund | | LAGF-3-0614 (08/14) |
Item 2: | Code of Ethics. |
| Not applicable. |
| |
Item 3: | Audit Committee Financial Expert. |
| Not applicable. |
| |
Item 4: | Principal Accountant Fees and Services. |
| Not applicable. |
| |
Item 5: | Audit Committee of Listed Registrants. |
| Not applicable. |
| |
Item 6: | Investments. |
| Not applicable. |
| |
Item 7: | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
| Not applicable. |
| |
Item 8: | Portfolio Managers of Closed-End Management Investment Companies. |
| Not applicable. |
| |
Item 9: | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
| Not applicable. |
| |
Item 10: | Submission of Matters to a Vote of Security Holders. |
| Not applicable. |
| |
Item 11: | Controls and Procedures. |
| |
(a) | Based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days prior to the filing date of this report, the Chief Executive Officer and Chief Financial Officer of the Registrant have concluded that such disclosure controls and procedures are reasonably designed and effective to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to them by others within those entities. |
| |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12: Exhibits.
| | |
| (a)(1) | Code of Ethics. Not applicable. |
| | |
| (a)(2) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2 under the Investment Company Act of 1940 is attached hereto as a part of EX-99.CERT. |
| | |
| (b) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Section 906 of the Sarbanes-Oxley Act of 2002 is provided as a part of EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
LORD ABBETT GLOBAL FUND, INC.
By: /s/ Daria L. Foster
Daria L. Foster
President and Chief Executive Officer
Date: August 18, 2014
By: /s/ Joan A. Binstock
Joan A. Binstock
Chief Financial Officer and Vice President
Date: August 18, 2014
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 18, 2014
By: /s/ Joan A. Binstock
Joan A. Binstock
Chief Financial Officer and Vice President
Date: August 18, 2014