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)
Brooke A. Fapohunda, 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: 6/30/2017
Item 1: | Report(s) to Shareholders. |
LORD ABBETT
SEMIANNUAL REPORT
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, 2017
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, 2017
From left to right: James L.L. Tullis, Independent Chairman of the Lord Abbett Funds and Daria L. Foster, Director, President, and Chief Executive Officer 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, 2017. 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, 2017 through June 30, 2017).
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 1/1/17 – 6/30/17” 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 | | Ending | | Expenses | |
| | Account | | Account | | Paid During | |
| | Value | | Value | | Period† | |
| | | | | | 1/1/17- | |
| | 1/1/17 | | 6/30/17 | | 6/30/17 | |
Class A | | | | | | | |
Actual | | $1,000.00 | | $1,051.00 | | $5.34 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.59 | | $5.26 | |
Class C | | | | | | | |
Actual | | $1,000.00 | | $1,048.00 | | $8.99 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.02 | | $8.85 | |
Class F | | | | | | | |
Actual | | $1,000.00 | | $1,051.50 | | $4.83 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.08 | | $4.76 | |
Class F3 | | | | | | | |
Actual | | $1,000.00 | | $1,016.70 | | $3.35 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,010.10 | | $3.34 | |
Class I | | | | | | | |
Actual | | $1,000.00 | | $1,052.80 | | $4.33 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.58 | | $4.26 | |
Class R2 | | | | | | | |
Actual | | $1,000.00 | | $1,052.10 | | $4.32 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.58 | | $4.26 | |
Class R3 | | | | | | | |
Actual | | $1,000.00 | | $1,052.10 | | $4.32 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.58 | | $4.26 | |
Class R4 | | | | | | | |
Actual | | $1,000.00 | | $1,051.50 | | $5.60 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.29 | | $5.51 | |
Class R5 | | | | | | | |
Actual | | $1,000.00 | | $1,052.80 | | $4.33 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.48 | | $4.26 | |
Class R6* | | | | | | | |
Actual | | $1,000.00 | | $1,053.50 | | $3.67 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.22 | | $3.61 | |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.05% for Class A, 1.77% for Class C, 0.95% for Class F, 0.67% for Class F3, 0.85% for Classes I, R2 and R3, 1.10% for Class R4, 0.85% for Class R5 and 0.72% for Class R6) multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period for Classes A, C, F, I, R2, R3, R4, R5, and R6) and multiplied by 87/365 (to reflect the period from April 4, 2017, commencement of operations, to June 30, 2017, for Class F3). |
* | The annualized expenses for class R6 have been updated to 0.67%. Had the updated expenses been in place throughout the most recent fiscal half-year, expenses paid during the period would have been: |
| | | | Hypothetical |
| | | | (5% Return |
| | | | Before |
| | Actual | | Expenses) |
Class R6 | | $3.41 | | $3.36 |
3
Portfolio Holdings Presented by Sector
June 30, 2017
Sector* | %** | |
Auto | 0.47 | % |
Basic Industry | 0.47 | % |
Consumer Cyclical | 2.38 | % |
Consumer Discretionary | 0.95 | % |
Consumer Services | 2.38 | % |
Consumer Staples | 3.81 | % |
Energy | 17.62 | % |
Financial Services | 30.48 | % |
Foreign Government | 5.71 | % |
Government | 0.48 | % |
Sector* | %** | |
Health Care | 12.86 | % |
Materials & Processing | 0.95 | % |
Other | 0.95 | % |
Producer Durables | 2.86 | % |
Technology | 6.67 | % |
Telecommunications | 2.86 | % |
Transportation | 1.43 | % |
Utilities | 6.19 | % |
Repurchase Agreement | 0.48 | % |
Total | 100.00 | % |
* | | A sector may comprise several industries. |
** | | Represents percent of total investments. |
4
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 | | Ending | | Expenses | |
| | Account | | Account | | Paid During | |
| | Value | | Value | | Period† | |
| | | | | | 1/1/17- | |
| | 1/1/17 | | 6/30/17 | | 6/30/17 | |
Class A | | | | | | | |
Actual | | $1,000.00 | | $1,068.90 | | $4.72 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.23 | | $4.61 | |
Class B | | | | | | | |
Actual | | $1,000.00 | | $1,066.50 | | $8.81 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.27 | | $8.60 | |
Class C | | | | | | | |
Actual | | $1,000.00 | | $1,065.40 | | $7.84 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,017.21 | | $7.65 | |
Class F | | | | | | | |
Actual | | $1,000.00 | | $1,069.40 | | $4.16 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.78 | | $4.06 | |
Class F3 | | | | | | | |
Actual | | $1,000.00 | | $1,017.00 | | $1.71 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,010.20 | | $1.70 | |
Class I | | | | | | | |
Actual | | $1,000.00 | | $1,070.00 | | $3.70 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.22 | | $3.61 | |
Class R2 | | | | | | | |
Actual | | $1,000.00 | | $1,066.70 | | $6.76 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.25 | | $6.61 | |
Class R3 | | | | | | | |
Actual | | $1,000.00 | | $1,067.50 | | $6.15 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.84 | | $6.01 | |
Class R4 | | | | | | | |
Actual | | $1,000.00 | | $1,068.60 | | $4.87 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.08 | | $4.76 | |
Class R5 | | | | | | | |
Actual | | $1,000.00 | | $1,070.10 | | $3.75 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.17 | | $3.66 | |
Class R6 | | | | | | | |
Actual | | $1,000.00 | | $1,070.20 | | $3.64 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.27 | | $3.56 | |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.92% for Class A, 1.72% for Class B, 1.53% for Class C, 0.81% for Class F, 0.71% for Class F3, 0.72% for Class I, 1.32% for Class R2, 1.20% for Class R3, 0.95% for Class R4, 0.73% for Class R5 and 0.71% for Class R6) multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period for Classes A, B, C, F, I, R2, R3, R4, R5 and R6) and multiplied by 87/365 (to reflect the period from April 4, 2017, commencement of operations, to June 30, 2017, for Class F3). |
5
Portfolio Holdings Presented by Sector
June 30, 2017
Sector* | %** | |
Asset Backed | 15.57 | % |
Automotive | 1.71 | % |
Banking | 5.33 | % |
Basic Industry | 2.99 | % |
Capital Goods | 1.49 | % |
Collateralized Mortgage Obligations | 36.46 | % |
Consumer Cyclical | 0.85 | % |
Consumer Discretionary | 7.25 | % |
Energy | 1.49 | % |
Financial Services | 1.07 | % |
Foreign Government | 2.13 | % |
Gaming/Leisure | 1.07 | % |
Government | 1.49 | % |
Healthcare | 1.71 | % |
Insurance | 0.21 | % |
Sector* | %** | |
Leisure | 2.77 | % |
Media | 1.07 | % |
Mortgage Backed | 0.85 | % |
Mortgage-Backed | 4.26 | % |
Municipal | 1.28 | % |
Producer Durables | 0.85 | % |
Real Estate | 4.90 | % |
Retail | 3.20 | % |
Services | 15.57 | % |
Technology | 1.71 | % |
Technology & Electronics | 5.33 | % |
Telecommunications | 2.99 | % |
Transportation | 1.49 | % |
Utility | 36.46 | % |
Total | 100.00 | % |
* | | A sector may comprise several industries. |
** | | Represents percent of total investments. |
6
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 | | Ending | | Expenses | |
| | Account | | Account | | Paid During | |
| | Value | | Value | | Period† | |
| | | | | | 1/1/17- | |
| | 1/1/17 | | 6/30/17 | | 6/30/17 | |
Class A | | | | | | | |
Actual | | $1,000.00 | | $1,101.40 | | $5.47 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.59 | | $5.26 | |
Class C | | | | | | | |
Actual | | $1,000.00 | | $1,098.00 | | $8.79 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.41 | | $8.45 | |
Class F | | | | | | | |
Actual | | $1,000.00 | | $1,100.90 | | $4.95 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.13 | | $4.76 | |
Class F3 | | | | | | | |
Actual | | $1,000.00 | | $1,029.60 | | $1.79 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,010.20 | | $1.77 | |
Class I | | | | | | | |
Actual | | $1,000.00 | | $1,101.50 | | $4.43 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.58 | | $4.26 | |
Class R2 | | | | | | | |
Actual | | $1,000.00 | | $1,101.40 | | $4.43 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.58 | | $4.26 | |
Class R3 | | | | | | | |
Actual | | $1,000.00 | | $1,101.40 | | $4.43 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.58 | | $4.26 | |
Class R4 | | | | | | | |
Actual | | $1,000.00 | | $1,101.70 | | $5.51 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.24 | | $5.51 | |
Class R5 | | | | | | | |
Actual | | $1,000.00 | | $1,102.00 | | $4.43 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.58 | | $4.26 | |
Class R6 | | | | | | | |
Actual | | $1,000.00 | | $1,102.40 | | $3.86 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.08 | | $3.71 | |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.05% for Class A, 1.69% for Class C, 0.95% for Class F, 0.74% for Class F3, 0.85% for Classes I, R2 and R3, 1.10% for Class R4, 0.85% for Class R5 and 0.74% for Class R6) multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period for Classes A, C, F, I, R2, R3, R4, R5 and R6) and multiplied by 87/365 (to reflect the period from April 4, 2017, commencement of operations, to June 30, 2017, for Class F3). |
7
Portfolio Holdings Presented by Sector
June 30, 2017
Sector* | %** | |
Consumer Services | 0.74 | % |
Energy | 1.46 | % |
Financial Services | 3.71 | % |
Foreign Government | 87.71 | % |
Telecommunications | 2.42 | % |
Transportation | 0.68 | % |
Utilities | 3.28 | % |
Total | 100.00 | % |
* | | A sector may comprise several industries. |
** | | Represents percent of total investments. |
8
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 | | Ending | | Expenses | |
| | Account | | Account | | Paid During | |
| | Value | | Value | | Period† | |
| | | | | | 1/1/17- | |
| | 1/1/17 | | 6/30/17 | | 6/30/17 | |
Class A | | | | | | | |
Actual | | $1,000.00 | | $1,059.90 | | $3.27 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.62 | | $3.21 | |
Class B | | | | | | | |
Actual | | $1,000.00 | | $1,055.80 | | $7.14 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,017.85 | | $7.00 | |
Class C | | | | | | | |
Actual | | $1,000.00 | | $1,055.40 | | $7.08 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,017.90 | | $6.95 | |
Class F | | | | | | | |
Actual | | $1,000.00 | | $1,059.70 | | $2.50 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,022.36 | | $2.46 | |
Class F3 | | | | | | | |
Actual | | $1,000.00 | | $1,022.30 | | $1.25 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,011.40 | | $1.25 | |
Class I | | | | | | | |
Actual | | $1,000.00 | | $1,060.80 | | $1.99 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,022.86 | | $1.96 | |
Class R2 | | | | | | | |
Actual | | $1,000.00 | | $1,057.80 | | $5.05 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.89 | | $4.96 | |
Class R3 | | | | | | | |
Actual | | $1,000.00 | | $1,058.20 | | $4.44 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.48 | | $4.36 | |
Class R4 | | | | | | | |
Actual | | $1,000.00 | | $1,059.80 | | $3.22 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.67 | | $3.16 | |
Class R5 | | | | | | | |
Actual | | $1,000.00 | | $1,060.70 | | $1.99 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,022.86 | | $1.96 | |
Class R6 | | | | | | | |
Actual | | $1,000.00 | | $1,061.00 | | $1.28 | |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,023.55 | | $1.25 | |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.64% for Class A, 1.40% for Class B, 1.39% for Class C, 0.49% for Class F, 0.25% for Class F3, 0.39% for Class I, 0.99% for Class R2, 0.87% for Class R3, 0.63% for Class R4, 0.39% for Class R5 and 0.25% for Class R6) multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period for Class A, B, C, F, I, R2, R3, R4, R5, and R6) and multiplied by 87/365 (to reflect the period from April 4, 2017, commencement of operations, to June 30, 2017 for Class F3). |
9
Portfolio Holdings Presented by Portfolio Allocation
June 30, 2017
Underlying Fund Name | %* | |
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund-Class I | 7.48 | % |
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I | 12.52 | % |
Lord Abbett Investment Trust-Convertible Fund-Class I | 4.95 | % |
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund-Class I | 10.10 | % |
Lord Abbett Investment Trust-High Yield Fund-Class I | 20.14 | % |
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 1.99 | % |
Lord Abbett Securities Trust-International Core Equity Fund-Class I | 3.48 | % |
Lord Abbett Securities Trust-International Dividend Income Fund-Class I | 28.43 | % |
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 10.04 | % |
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | 0.87 | % |
Total | 100.00 | % |
* | | Represents percent of total investments. |
10
Schedule of Investments (unaudited)
EMERGING MARKETS CORPORATE DEBT FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
LONG-TERM INVESTMENTS 96.29% | | | | | | | | | | | | |
| | | | | | | | | | | | |
CORPORATE BONDS 90.50% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Air Transportation 1.22% | | | | | | | | | | | | |
Emirates Airline (United Arab Emirates)†(a) | | 4.50% | | 2/6/2025 | | $ | 152 | | | $ | 154,522 | |
Gol LuxCo SA (Luxembourg)†(a) | | 8.875% | | 1/24/2022 | | | 200 | | | | 183,500 | |
Latam Finance Ltd.† | | 6.875% | | 4/11/2024 | | | 200 | | | | 203,930 | |
Total | | | | | | | | | | | 541,952 | |
| | | | | | | | | | | | |
Automotive 0.45% | | | | | | | | | | | | |
Hyundai Capital America† | | 2.60% | | 3/19/2020 | | | 200 | | | | 200,618 | |
| | | | | | | | | | | | |
Banks: Regional 22.74% | | | | | | | | | | | | |
ADCB Finance Cayman Ltd. | | 2.75% | | 9/16/2019 | | | 200 | | | | 201,782 | |
Akbank TAS (Turkey)†(a) | | 4.00% | | 1/24/2020 | | | 200 | | | | 199,919 | |
Alfa Bank AO Via Alfa Bond Issuance plc (Ireland)†(a) | | 7.75% | | 4/28/2021 | | | 200 | | | | 227,618 | |
Axis Bank Ltd. (United Arab Emirates)†(a) | | 3.25% | | 5/21/2020 | | | 200 | | | | 202,507 | |
Banco de Bogota SA (Colombia)†(a) | | 6.25% | | 5/12/2026 | | | 200 | | | | 213,524 | |
Banco de Credito del Peru (Peru)†(a) | | 4.25% | | 4/1/2023 | | | 200 | | | | 212,500 | |
Banco de Credito e Inversiones (Chile)†(a) | | 4.00% | | 2/11/2023 | | | 200 | | | | 208,404 | |
Banco do Brasil SA† | | 6.25% | # | – | (b) | | 200 | | | | 171,200 | |
Banco Inbursa SA Institucion de Banca Multiple (Mexico)†(a) | | 4.375% | | 4/11/2027 | | | 150 | | | | 150,405 | |
Banco Mercantil del Norte SA (Mexico)†(c) | | 7.625% | # | – | (b) | | 200 | | | | 207,460 | |
Banco Regional SAECA (Paraguay)†(a) | | 8.125% | | 1/24/2019 | | | 150 | | | | 159,975 | |
Bancolombia SA (Colombia)(a) | | 5.95% | | 6/3/2021 | | | 150 | | | | 165,615 | |
Bangkok Bank PCL (Hong Kong)†(a) | | 4.80% | | 10/18/2020 | | | 100 | | | | 106,803 | |
Bangkok Bank PCL (Hong Kong)†(a) | | 5.00% | | 10/3/2023 | | | 200 | | | | 222,685 | |
Bank of China Ltd. (China)†(a) | | 5.00% | | 11/13/2024 | | | 200 | | | | 214,759 | |
Bank of China Ltd. (Hong Kong)(a) | | 3.875% | | 6/30/2025 | | | 200 | | | | 206,212 | |
Bank of India (Jersey)(a) | | 3.125% | | 5/6/2020 | | | 200 | | | | 199,376 | |
BBVA Banco Continental SA (Peru)†(a) | | 5.00% | | 8/26/2022 | | | 200 | | | | 217,750 | |
EXIM Sukuk Malaysia Berhad (Malaysia)(a) | | 2.874% | | 2/19/2019 | | | 200 | | | | 201,558 | |
Finansbank AS (Turkey)†(a) | | 4.875% | | 5/19/2022 | | | 200 | | | | 198,483 | |
ICICI Bank Ltd. (Hong Kong)†(a) | | 5.75% | | 11/16/2020 | | | 200 | | | | 218,700 | |
Industrial & Commercial Bank of China Ltd. (United Arab Emirates)(a) | | 2.625% | | 5/26/2020 | | | 400 | | | | 398,578 | |
Industrial Bank of Korea (South Korea)†(a) | | 2.00% | | 4/23/2020 | | | 200 | | | | 197,230 | |
Itau Unibanco Holding SA† | | 5.50% | | 8/6/2022 | | | 200 | | | | 207,750 | |
KEB Hana Bank (South Korea)(a) | | 2.50% | | 6/12/2019 | | | 400 | | | | 401,511 | |
Korea Development Bank (The) (South Korea)(a) | | 2.50% | | 1/13/2021 | | | 200 | | | | 199,302 | |
| See Notes to Financial Statements. | 11 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
Banks: Regional (continued) | | | | | | | | | | | | |
National Savings Bank (Sri Lanka)†(a) | | 5.15% | | 9/10/2019 | | $ | 200 | | | $ | 203,240 | |
NBK SPC Ltd. (United Arab Emirates)†(a) | | 2.75% | | 5/30/2022 | | | 200 | | | | 198,221 | |
Oversea-Chinese Banking Corp., Ltd. (Singapore)†(a) | | 3.15% | # | 3/11/2023 | | | 200 | | | | 201,074 | |
Popular, Inc. | | 7.00% | | 7/1/2019 | | | 30 | | | | 31,650 | |
QNB Finance Ltd. | | 2.875% | | 4/29/2020 | | | 400 | | | | 397,420 | |
Sberbank of Russia via SB Capital SA (Luxembourg)†(a) | | 6.125% | | 2/7/2022 | | | 200 | | | | 218,172 | |
Shinhan Bank (South Korea)†(a) | | 2.25% | | 4/15/2020 | | | 200 | | | | 198,232 | |
Turkiye Garanti Bankasi AS (Turkey)†(a) | | 6.125% | # | 5/24/2027 | | | 200 | | | | 198,544 | |
Turkiye Garanti Bankasi AS (Turkey)†(a) | | 6.25% | | 4/20/2021 | | | 200 | | | | 212,415 | |
Turkiye Halk Bankasi AS (Turkey)†(a) | | 4.75% | | 6/4/2019 | | | 200 | | | | 201,169 | |
Turkiye Halk Bankasi AS (Turkey)†(a) | | 4.75% | | 2/11/2021 | | | 400 | | | | 395,173 | |
Turkiye Is Bankasi (Turkey)†(a) | | 3.75% | | 10/10/2018 | | | 400 | | | | 400,619 | |
Turkiye Is Bankasi (Turkey)†(a) | | 6.125% | | 4/25/2024 | | | 300 | | | | 304,477 | |
Turkiye Is Bankasi (Turkey)†(a) | | 7.00% | # | 6/29/2028 | | | 200 | | | | 200,234 | |
Turkiye Vakiflar Bankasi TAO (Turkey)†(a) | | 5.625% | | 5/30/2022 | | | 200 | | | | 199,942 | |
United Overseas Bank Ltd. (Singapore)(a) | | 3.50% | # | 9/16/2026 | | | 200 | | | | 204,130 | |
Vnesheconombank via VEB Finance plc (Ireland)†(a) | | 6.80% | | 11/22/2025 | | | 200 | | | | 222,222 | |
Woori Bank (South Korea)†(a) | | 4.75% | | 4/30/2024 | | | 200 | | | | 209,856 | |
Zenith Bank plc (Nigeria)†(a) | | 6.25% | | 4/22/2019 | | | 200 | | | | 201,264 | |
Zenith Bank plc (Nigeria)†(a) | | 7.375% | | 5/30/2022 | | | 200 | | | | 196,340 | |
Total | | | | | | | | | | | 10,106,000 | |
| | | | | | | | | | | | |
Beverages 0.98% | | | | | | | | | | | | |
Becle SAB de CV (Mexico)†(a) | | 3.75% | | 5/13/2025 | | | 150 | | | | 149,999 | |
Central American Bottling Corp. (Guatemala)†(a) | | 5.75% | | 1/31/2027 | | | 200 | | | | 211,780 | |
Corporacion Lindley SA (Peru)†(a) | | 4.625% | | 4/12/2023 | | | 70 | | | | 73,150 | |
Total | | | | | | | | | | | 434,929 | |
| | | | | | | | | | | | |
Building Materials 0.84% | | | | | | | | | | | | |
CIMPOR Financial Operations BV (Netherlands)†(a) | | 5.75% | | 7/17/2024 | | | 200 | | | | 170,410 | |
Grupo Cementos de Chihuahua SAB de CV (Mexico)†(a) | | 5.25% | | 6/23/2024 | | | 200 | | | | 204,400 | |
Total | | | | | | | | | | | 374,810 | |
| | | | | | | | | | | | |
Business Services 2.17% | | | | | | | | | | | | |
Acwa Power Management & Investments One Ltd. United Arab Emirates)†(a) | 5.95% | | 12/15/2039 | | | 200 | | | | 204,581 | |
Adani Ports & Special Economic Zone Ltd. (India)†(a) | | 4.00% | | 7/30/2027 | | | 200 | | | | 198,689 | |
Autopistas del Sol SA (Costa Rica)†(a) | | 7.375% | | 12/30/2030 | | | 200 | | | | 207,750 | |
12 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
Business Services (continued) | | | | | | | | | | | | |
DP World Ltd. (United Arab Emirates)†(a) | | 6.85% | | 7/2/2037 | | $ | 300 | | | $ | 353,338 | |
Total | | | | | | | | | | | 964,358 | |
| | | | | | | | | | | | |
Chemicals 1.91% | | | | | | | | | | | | |
Braskem Finance Ltd. | | 6.45% | | 2/3/2024 | | | 200 | | | | 214,000 | |
Equate Petrochemical BV (Netherlands)†(a) | | 3.00% | | 3/3/2022 | | | 200 | | | | 197,480 | |
OCP SA (Morocco)†(a) | | 6.875% | | 4/25/2044 | | | 200 | | | | 226,385 | |
PTT Global Chemical PCL (Thailand)†(a) | | 4.25% | | 9/19/2022 | | | 200 | | | | 212,726 | |
Total | | | | | | | | | | | 850,591 | |
| | | | | | | | | | | | |
Computer Software 0.86% | | | | | | | | | | | | |
GCX Ltd. (India)†(a) | | 7.00% | | 8/1/2019 | | | 200 | | | | 181,026 | |
Marble II Pte Ltd. (Singapore)†(a) | | 5.30% | | 6/20/2022 | | | 200 | | | | 201,480 | |
Total | | | | | | | | | | | 382,506 | |
| | | | | | | | | | | | |
Diversified 1.71% | | | | | | | | | | | | |
Grupo KUO SAB De CV (Mexico)†(a)(c) | | 5.75% | | 7/7/2027 | | | 200 | | | | 201,250 | |
Hutchison Whampoa International 03/33 Ltd. | | 7.45% | | 11/24/2033 | | | 100 | | | | 141,387 | |
KOC Holding AS (Turkey)†(a) | | 5.25% | | 3/15/2023 | | | 400 | | | | 418,862 | |
Total | | | | | | | | | | | 761,499 | |
| | | | | | | | | | | | |
Drugs 0.47% | | | | | | | | | | | | |
Teva Pharmaceutical Finance Co. BV (Curacao)(a) | | 3.65% | | 11/10/2021 | | | 200 | | | | 206,712 | |
| | | | | | | | | | | | |
Electric: Power 7.71% | | | | | | | | | | | | |
Abu Dhabi National Energy Co. PJSC (United Arab Emirates)†(a) | | 3.625% | | 1/12/2023 | | | 200 | | | | 201,504 | |
Abu Dhabi National Energy Co. PJSC (United Arab Emirates)†(a) | | 4.375% | | 6/22/2026 | | | 200 | | | | 206,129 | |
Capex SA (Argentina)†(a) | | 6.875% | | 5/15/2024 | | | 200 | | | | 202,750 | |
Celeo Redes Operacion Chile SA (Chile)†(a) | | 5.20% | | 6/22/2047 | | | 200 | | | | 203,000 | |
Dubai Electricity & Water Authority (United Arab Emirates)†(a) | | 7.375% | | 10/21/2020 | | | 100 | | | | 115,258 | |
Empresa de Energia de Bogota SA ESP (Colombia)†(a) | | 6.125% | | 11/10/2021 | | | 200 | | | | 206,700 | |
Energuate Trust (Guatemala)†(a) | | 5.875% | | 5/3/2027 | | | 200 | | | | 206,750 | |
Engie Energia Chile SA (Chile)†(a) | | 4.50% | | 1/29/2025 | | | 200 | | | | 209,385 | |
Eskom Holdings SOC Ltd. (South Africa)†(a) | | 5.75% | | 1/26/2021 | | | 200 | | | | 202,411 | |
Inkia Energy Ltd. (Peru)†(a) | | 8.375% | | 4/4/2021 | | | 200 | | | | 207,700 | |
Israel Electric Corp. Ltd. (Israel)†(a) | | 5.00% | | 11/12/2024 | | | 200 | | | | 215,400 | |
Listrindo Capital BV (Netherlands)†(a) | | 4.95% | | 9/14/2026 | | | 200 | | | | 203,500 | |
Orazul Energy Egenor S en C por A (Peru)†(a) | | 5.625% | | 4/28/2027 | | | 200 | | | | 196,000 | |
| See Notes to Financial Statements. | 13 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
Electric: Power (continued) | | | | | | | | | | | | |
Perusahaan Listrik Negara PT (Indonesia)†(a) | | 5.50% | | 11/22/2021 | | $ | 200 | | | $ | 218,500 | |
Saudi Electricity Global Sukuk Co. 3† | | 5.50% | | 4/8/2044 | | | 400 | | | | 431,640 | |
State Grid Overseas Investment 2016 Ltd.† | | 2.25% | | 5/4/2020 | | | 200 | | | | 199,521 | |
Total | | | | | | | | | | | 3,426,148 | |
| | | | | | | | | | | | |
Engineering & Contracting Services 1.90% | | | | | | | | | | | | |
Aeropuertos Dominicanos Siglo XXI SA (Dominican Republic)†(a) | | 6.75% | | 3/30/2029 | | | 200 | | | | 217,502 | |
China Railway Resources Huitung Ltd. (Hong Kong)(a) | | 3.85% | | 2/5/2023 | | | 200 | | | | 207,297 | |
Delhi International Airport Ltd. (India)†(a) | | 6.125% | | 10/31/2026 | | | 200 | | | | 214,798 | |
Mexico City Airport Trust (Mexico)†(a) | | 4.25% | | 10/31/2026 | | | 200 | | | | 205,554 | |
Total | | | | | | | | | | | 845,151 | |
| | | | | | | | | | | | |
Financial Services 1.37% | | | | | | | | | | | | |
Guanay Finance Ltd.† | | 6.00% | | 12/15/2020 | | | 146 | | | | 150,613 | |
SUAM Finance BV (Curacao)(a) | | 4.875% | | 4/17/2024 | | | 100 | | | | 106,365 | |
SURA Asset Management SA (Colombia)†(a) | | 4.375% | | 4/11/2027 | | | 150 | | | | 151,875 | |
Unifin Financiera SAB de CV SOFOM ENR (Mexico)†(a) | | 7.00% | | 1/15/2025 | | | 200 | | | | 198,500 | |
Total | | | | | | | | | | | 607,353 | |
| | | | | | | | | | | | |
Food 2.32% | | | | | | | | | | | | |
Arcor SAIC (Argentina)†(a) | | 6.00% | | 7/6/2023 | | | 185 | | | | 197,025 | |
Cencosud SA (Chile)†(a) | | 4.875% | | 1/20/2023 | | | 200 | | | | 215,239 | |
Gruma SAB de CV (Mexico)†(a) | | 4.875% | | 12/1/2024 | | | 200 | | | | 217,250 | |
Minerva Luxembourg SA (Luxembourg)†(a) | | 6.50% | | 9/20/2026 | | | 200 | | | | 195,500 | |
SMU SA (Chile)†(a) | | 7.75% | | 2/8/2020 | | | 200 | | | | 205,854 | |
Total | | | | | | | | | | | 1,030,868 | |
| | | | | | | | | | | | |
Household Equipment/Products 0.45% | | | | | | | | | | | | |
Turkiye Sise ve Cam Fabrikalari AS (Turkey)†(a) | | 4.25% | | 5/9/2020 | | | 200 | | | | 201,702 | |
| | | | | | | | | | | | |
Insurance 0.45% | | | | | | | | | | | | |
AIA Group Ltd. (Hong Kong)†(a) | | 2.25% | | 3/11/2019 | | | 200 | | | | 200,049 | |
| | | | | | | | | | | | |
Investment Management Companies 0.48% | | | | | | | | | | | | |
GrupoSura Finance SA† | | 5.50% | | 4/29/2026 | | | 200 | | | | 215,500 | |
| | | | | | | | | | | | |
Lodging 0.46% | | | | | | | | | | | | |
Wynn Macau Ltd. (Macau)†(a) | | 5.25% | | 10/15/2021 | | | 200 | | | | 205,500 | |
14 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
Machinery: Agricultural 0.94% | | | | | | | | | | | | |
Kernel Holding SA (Ukraine)†(a) | | 8.75% | | 1/31/2022 | | $ | 200 | | | $ | 215,120 | |
MHP SA (Ukraine)†(a) | | 7.75% | | 5/10/2024 | | | 200 | | | | 203,460 | |
Total | | | | | | | | | | | 418,580 | |
| | | | | | | | | | | | |
Media 2.61% | | | | | | | | | | | | |
Altice Financing SA (Luxembourg)†(a) | | 6.625% | | 2/15/2023 | | | 200 | | | | 212,688 | |
Altice Financing SA (Luxembourg)†(a) | | 7.50% | | 5/15/2026 | | | 200 | | | | 222,500 | |
Cablevision SA (Argentina)†(a) | | 6.50% | | 6/15/2021 | | | 150 | | | | 159,375 | |
Grupo Televisa SAB (Mexico)(a) | | 6.625% | | 1/15/2040 | | | 132 | | | | 153,634 | |
Myriad International Holdings BV (Netherlands)†(a)(c) | | 4.85% | | 7/6/2027 | | | 200 | | | | 201,500 | |
VTR Finance BV (Netherlands)†(a) | | 6.875% | | 1/15/2024 | | | 200 | | | | 212,500 | |
Total | | | | | | | | | | | 1,162,197 | |
| | | | | | | | | | | | |
Metal Fabricating 0.10% | | | | | | | | | | | | |
Grinding Media, Inc./MC Grinding Media Canada, Inc.† | | 7.375% | | 12/15/2023 | | | 39 | | | | 42,510 | |
| | | | | | | | | | | | |
Metals & Minerals: Miscellaneous 4.86% | | | | | | | | | | | | |
AngloGold Ashanti Holdings plc (Isle of Man)(a) | | 6.50% | | 4/15/2040 | | | 150 | | | | 153,240 | |
Barminco Finance Pty Ltd. (Australia)†(a) | | 6.625% | | 5/15/2022 | | | 66 | | | | 64,680 | |
Cia Minera Milpo SAA (Peru)†(a) | | 4.625% | | 3/28/2023 | | | 200 | | | | 203,200 | |
Fresnillo plc (Mexico)†(a) | | 5.50% | | 11/13/2023 | | | 200 | | | | 222,750 | |
Hudbay Minerals, Inc. (Canada)†(a) | | 7.625% | | 1/15/2025 | | | 48 | | | | 50,520 | |
MMC Norilsk Nickel OJSC via MMC Finance DAC (Ireland)†(a) | | 4.10% | | 4/11/2023 | | | 200 | | | | 199,475 | |
MMC Norilsk Nickel OJSC via MMC Finance DAC (Ireland)†(a) | | 6.625% | | 10/14/2022 | | | 200 | | | | 224,607 | |
Petra Diamonds US Treasury plc (United Kingdom)†(a) | | 7.25% | | 5/1/2022 | | | 200 | | | | 205,189 | |
Southern Copper Corp. (Peru)(a) | | 3.50% | | 11/8/2022 | | | 120 | | | | 122,278 | |
Southern Copper Corp. (Peru)(a) | | 5.875% | | 4/23/2045 | | | 240 | | | | 258,485 | |
Vedanta Resources plc (India)†(a) | | 7.125% | | 5/31/2023 | | | 200 | | | | 206,210 | |
VM Holding SA (Luxembourg)†(a) | | 5.375% | | 5/4/2027 | | | 200 | | | | 202,400 | |
Volcan Cia Minera SAA (Peru)†(a) | | 5.375% | | 2/2/2022 | | | 45 | | | | 46,237 | |
Total | | | | | | | | | | | 2,159,271 | |
| | | | | | | | | | | | |
Natural Gas 1.83% | | | | | | | | | | | | |
China Oil & Gas Group Ltd. (Hong Kong)(a) | | 5.00% | | 5/7/2020 | | | 200 | | | | 205,500 | |
Gas Natural de Lima y Callao SA (Peru)†(a) | | 4.375% | | 4/1/2023 | | | 200 | | | | 206,250 | |
Nakilat, Inc. (Qatar)†(a) | | 6.267% | | 12/31/2033 | | | 170 | | | | 193,472 | |
Transportadora de Gas del Peru SA (Peru)†(a) | | 4.25% | | 4/30/2028 | | | 200 | | | | 208,500 | |
Total | | | | | | | | | | | 813,722 | |
| See Notes to Financial Statements. | 15 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
Oil 14.02% | | | | | | | | | | | | |
CNOOC Finance 2012 Ltd. (Hong Kong)†(a) | | 3.875% | | 5/2/2022 | | $ | 400 | | | $ | 415,981 | |
CNOOC Finance 2015 USA LLC | | 3.50% | | 5/5/2025 | | | 200 | | | | 200,382 | |
CNPC General Capital Ltd.† | | 3.95% | | 4/19/2022 | | | 200 | | | | 209,886 | |
Cosan Luxembourg SA (Luxembourg)†(a) | | 7.00% | | 1/20/2027 | | | 200 | | | | 205,600 | |
Delek & Avner Tamar Bond Ltd. (Israel)†(a) | | 5.412% | | 12/30/2025 | | | 100 | | | | 103,875 | |
Dolphin Energy Ltd. (United Arab Emirates)†(a) | | 5.50% | | 12/15/2021 | | | 200 | | | | 219,000 | |
Ecopetrol SA (Colombia)(a) | | 4.125% | | 1/16/2025 | | | 305 | | | | 299,663 | |
Ecopetrol SA (Colombia)(a) | | 5.875% | | 5/28/2045 | | | 100 | | | | 92,300 | |
Gazprom OAO via Gaz Capital SA (Luxembourg)†(a) | | 4.95% | | 2/6/2028 | | | 400 | | | | 403,386 | |
Hilcorp Energy I LP/Hilcorp Finance Co.† | | 5.00% | | 12/1/2024 | | | 20 | | | | 18,500 | |
Kosmos Energy Ltd.† | | 7.875% | | 8/1/2021 | | | 200 | | | | 205,000 | |
Lukoil International Finance BV (Netherlands)†(a) | | 4.75% | | 11/2/2026 | | | 200 | | | | 205,116 | |
MEG Energy Corp. (Canada)†(a) | | 6.375% | | 1/30/2023 | | | 55 | | | | 42,797 | |
Petrobras Global Finance BV (Netherlands)(a) | | 7.25% | | 3/17/2044 | | | 450 | | | | 444,150 | |
Petrobras Global Finance BV (Netherlands)(a) | | 7.375% | | 1/17/2027 | | | 672 | | | | 712,656 | |
Petroleos del Peru SA (Peru)†(a) | | 5.625% | | 6/19/2047 | | | 200 | | | | 203,000 | |
Petroleos Mexicanos (Mexico)(a) | | 4.50% | | 1/23/2026 | | | 39 | | | | 38,007 | |
Petroleos Mexicanos (Mexico)†(a) | | 5.375% | | 3/13/2022 | | | 20 | | | | 21,080 | |
Petroleos Mexicanos (Mexico)(a) | | 5.50% | | 6/27/2044 | | | 272 | | | | 241,808 | |
Petronas Capital Ltd. (Malaysia)†(a) | | 5.25% | | 8/12/2019 | | | 100 | | | | 106,461 | |
PT Pertamina Persero (Indonesia)†(a) | | 5.625% | | 5/20/2043 | | | 200 | | | | 207,417 | |
PT Saka Energi Indonesia (Indonesia)†(a) | | 4.45% | | 5/5/2024 | | | 200 | | | | 201,284 | |
PTT PCL (Thailand)†(a) | | 3.375% | | 10/25/2022 | | | 200 | | | | 203,771 | |
Reliance Industries Ltd. (India)†(a) | | 4.125% | | 1/28/2025 | | | 250 | | | | 259,094 | |
Sinopec Group Overseas Development 2015 Ltd.† | | 4.10% | | 4/28/2045 | | | 200 | | | | 199,280 | |
SM Energy Co. | | 6.50% | | 1/1/2023 | | | 40 | | | | 38,300 | |
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(a) | | 4.00% | | 8/15/2026 | | | 200 | | | | 193,290 | |
YPF SA (Argentina)†(a) | | 8.50% | | 7/28/2025 | | | 477 | | | | 538,533 | |
Total | | | | | | | | | | | 6,229,617 | |
| | | | | | | | | | | | |
Oil: Crude Producers 0.91% | | | | | | | | | | | | |
GNL Quintero SA (Chile)†(a) | | 4.634% | | 7/31/2029 | | | 200 | | | | 208,000 | |
Ras Laffan Liquefied Natural Gas Co., Ltd. II (Qatar)†(a) | | 5.298% | | 9/30/2020 | | | 188 | | | | 195,856 | |
Total | | | | | | | | | | | 403,856 | |
| | | | | | | | | | | | |
Paper & Forest Products 0.45% | | | | | | | | | | | | |
Eldorado Intl. Finance GmbH (Austria)†(a) | | 8.625% | | 6/16/2021 | | | 200 | | | | 198,100 | |
16 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
Real Estate Investment Trusts 2.59% | | | | | | | | | | | | |
China Overseas Finance Cayman V Ltd. | | 3.95% | | 11/15/2022 | | $ | 200 | | | $ | 207,290 | |
IRSA Propiedades Comerciales SA (Argentina)†(a) | | 8.75% | | 3/23/2023 | | | 100 | | | | 113,000 | |
MAF Sukuk Ltd. | | 4.50% | | 11/3/2025 | | | 200 | | | | 209,250 | |
Shimao Property Holdings Ltd. (Hong Kong)(a) | | 8.375% | | 2/10/2022 | | | 200 | | | | 220,374 | |
Swire Properties MTN Financing Ltd. (Hong Kong)(a) | | 2.75% | | 3/7/2020 | | | 200 | | | | 201,698 | |
Theta Capital Pte Ltd. (Singapore)(a) | | 6.75% | | 10/31/2026 | | | 200 | | | | 200,295 | |
Total | | | | | | | | | | | 1,151,907 | |
| | | | | | | | | | | | |
Retail 1.79% | | | | | | | | | | | | |
Arcos Dorados Holdings, Inc. (Uruguay)†(a) | | 5.875% | | 4/4/2027 | | | 220 | | | | 221,140 | |
InRetail Consumer (Peru)†(a) | | 5.25% | | 10/10/2021 | | | 100 | | | | 103,750 | |
Pacific Emerald Pte Ltd. (Singapore)(a) | | 9.75% | | 7/25/2018 | | | 200 | | | | 205,500 | |
SACI Falabella (Chile)†(a) | | 4.375% | | 1/27/2025 | | | 200 | | | | 209,665 | |
Yum! Brands, Inc. | | 5.35% | | 11/1/2043 | | | 60 | | | | 54,450 | |
Total | | | | | | | | | | | 794,505 | |
| | | | | | | | | | | | |
Steel 1.84% | | | | | | | | | | | | |
ABJA Investment Co. Pte Ltd. (Singapore)(a) | | 5.95% | | 7/31/2024 | | | 200 | | | | 212,250 | |
GTL Trade Finance, Inc.† | | 5.893% | | 4/29/2024 | | | 200 | | | | 202,600 | |
Vale Overseas Ltd. (Brazil)(a) | | 4.375% | | 1/11/2022 | | | 180 | | | | 183,654 | |
Vale Overseas Ltd. (Brazil)(a) | | 6.25% | | 8/10/2026 | | | 50 | | | | 54,062 | |
Vale Overseas Ltd. (Brazil)(a) | | 6.875% | | 11/10/2039 | | | 152 | | | | 163,780 | |
Total | | | | | | | | | | | 816,346 | |
| | | | | | | | | | | | |
Technology 2.75% | | | | | | | | | | | | |
Alibaba Group Holding Ltd. (China)(a) | | 3.60% | | 11/28/2024 | | | 400 | | | | 412,656 | |
Baidu, Inc. (China)(a) | | 3.50% | | 11/28/2022 | | | 200 | | | | 205,632 | |
JD.com, Inc. (China)(a) | | 3.875% | | 4/29/2026 | | | 200 | | | | 198,120 | |
Tencent Holdings Ltd. (China)†(a) | | 2.875% | | 2/11/2020 | | | 400 | | | | 405,401 | |
Total | | | | | | | | | | | 1,221,809 | |
| | | | | | | | | | | | |
Telecommunications 6.38% | | | | | | | | | | | | |
Bharti Airtel International Netherlands BV (Netherlands)†(a) | | 5.125% | | 3/11/2023 | | | 200 | | | | 210,878 | |
Columbus Cable Barbados Ltd. (Barbados)†(a) | | 7.375% | | 3/30/2021 | | | 200 | | | | 212,750 | |
Digicel Group Ltd. (Jamaica)†(a) | | 7.125% | | 4/1/2022 | | | 200 | | | | 175,260 | |
Digicel Ltd. (Jamaica)†(a) | | 6.75% | | 3/1/2023 | | | 200 | | | | 188,816 | |
Emirates Telecommunications Group Co. PJSC (United Arab Emirates)(a) | | 3.50% | | 6/18/2024 | | | 200 | | | | 203,797 | |
HKT Capital No 2 Ltd. | | 3.625% | | 4/2/2025 | | | 200 | | | | 202,113 | |
IHS Netherlands Holdco BV (Netherlands)†(a) | | 9.50% | | 10/27/2021 | | | 200 | | | | 204,731 | |
| See Notes to Financial Statements. | 17 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
Telecommunications (continued) | | | | | | | | | | | | |
Mobile Telesystems OJSC via MTS International Funding Ltd. (Ireland)†(a) | | 5.00% | | 5/30/2023 | | $ | 200 | | | $ | 205,575 | |
Ooredoo International Finance Ltd.† | | 3.25% | | 2/21/2023 | | | 400 | | | | 395,130 | |
Ooredoo International Finance Ltd.† | | 3.875% | | 1/31/2028 | | | 200 | | | | 198,239 | |
SingTel Group Treasury Pte Ltd. (Singapore)(a) | | 4.50% | | 9/8/2021 | | | 200 | | | | 214,900 | |
Telefonica Celular del Paraguay SA (Paraguay)†(a) | | 6.75% | | 12/13/2022 | | | 200 | | | | 209,878 | |
VimpelCom Holdings BV (Netherlands)†(a) | | 5.95% | | 2/13/2023 | | | 200 | | | | 213,000 | |
Total | | | | | | | | | | | 2,835,067 | |
| | | | | | | | | | | | |
Transportation: Miscellaneous 0.94% | | | | | | | | | | | | |
Kazakhstan Temir Zholy Finance BV (Netherlands)†(a) | | 6.95% | | 7/10/2042 | | | 200 | | | | 213,224 | |
Rumo Luxembourg Sarl (Luxembourg)†(a) | | 7.375% | | 2/9/2024 | | | 200 | | | | 205,920 | |
Total | | | | | | | | | | | 419,144 | |
Total Corporate Bonds (cost $39,009,605) | | | | | | | | | | | 40,222,877 | |
| | | | | | | | | | | | |
FOREIGN GOVERNMENT OBLIGATIONS 5.79% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Argentina 2.10% | | | | | | | | | | | | |
Provincia de Buenos Aires†(a) | | 6.50% | | 2/15/2023 | | | 111 | | | | 113,609 | |
Provincia de Buenos Aires†(d) | | 24.08% | # | 5/31/2022 | | ARS | 1,600 | | | | 98,424 | |
Provincia of Neuquen†(a) | | 7.50% | | 4/27/2025 | | $ | 88 | | | | 90,420 | |
Provincia of Neuquen†(a) | | 8.625% | | 5/12/2028 | | | 150 | | | | 168,712 | |
Republic of Argentina(a) | | 6.875% | | 1/26/2027 | | | 196 | | | | 203,154 | |
Republic of Argentina(a) | | 8.28% | | 12/31/2033 | | | 234 | | | | 260,598 | |
Total | | | | | | | | | | | 934,917 | |
| | | | | | | | | | | | |
Cayman Islands 0.26% | | | | | | | | | | | | |
Ivory Coast†(d) | | 5.125% | | 6/15/2025 | | EUR | 100 | | | | 115,709 | |
| | | | | | | | | | | | |
Chile 0.45% | | | | | | | | | | | | |
Republic of Chile(a) | | 3.86% | | 6/21/2047 | | $ | 200 | | | | 200,875 | |
| | | | | | | | | | | | |
Costa Rica 0.47% | | | | | | | | | | | | |
Costa Rica Government†(a) | | 7.158% | | 3/12/2045 | | | 200 | | | | 210,750 | |
| | | | | | | | | | | | |
Guatemala 0.45% | | | | | | | | | | | | |
Republic of Guatemala†(a) | | 4.375% | | 6/5/2027 | | | 200 | | | | 198,900 | |
| | | | | | | | | | | | |
Panama 0.46% | | | | | | | | | | | | |
Republic of Panama(a) | | 4.50% | | 5/15/2047 | | | 200 | | | | 202,750 | |
18 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
Senegal 0.46% | | | | | | | | | | | | |
Republic of Senegal†(a) | | 6.25% | | 5/23/2033 | | $ | 200 | | | $ | 203,502 | |
| | | | | | | | | | | | |
South Africa 0.21% | | | | | | | | | | | | |
Republic of South Africa(d) | | 7.00% | | 2/28/2031 | | ZAR | 1,460 | | | | 91,477 | |
| | | | | | | | | | | | |
Sri Lanka 0.45% | | | | | | | | | | | | |
Republic of Sri Lanka†(a) | | 6.20% | | 5/11/2027 | | $ | 200 | | | | 200,182 | |
| | | | | | | | | | | | |
Zambia 0.48% | | | | | | | | | | | | |
Republic of Zambia†(a) | | 8.97% | | 7/30/2027 | | | 200 | | | | 213,540 | |
Total Foreign Government Obligations (cost $2,522,227) | | | | | | | | | | | 2,572,602 | |
Total Long-Term Investments (cost $41,531,832) | | | | | | | | | | | 42,795,479 | |
| | | | | | | | | | | | |
SHORT-TERM INVESTMENT 2.59% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Repurchase Agreement | | | | | | | | | | | | |
Repurchase Agreement dated 6/30/2017, 0.12% due 7/3/2017 with Fixed Income Clearing Corp. collateralized by $1,180,000 of U.S. Treasury Note at 1.375% due 8/31/2020; value: $1,177,961; proceeds: $1,151,163 (cost $1,151,152) | | | | | | | 1,151 | | | | 1,151,152 | |
Total Investments in Securities 98.88% (cost $42,682,984) | | | | | | | | | | | 43,946,631 | |
Cash and Other Assets in Excess of Liabilities(e) 1.12% | | | | | | | | | | | 496,676 | |
Net Assets 100.00% | | | | | | | | | | $ | 44,443,307 | |
EUR | | euro. |
ARS | | Argentine Peso |
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. |
# | | Variable rate security. The interest rate represents the rate in effect at June 30, 2017. |
(a) | | Foreign security traded in U.S. dollars. |
(b) | | Security is perpetual in nature and has no stated maturity. |
(c) | | Securities purchased on a when-issued basis (See Note 2(i)). |
(d) | | Investment in non-U.S. dollar denominated securities. |
(e) | | Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts and futures contracts as follows: |
| See Notes to Financial Statements. | 19 |
Schedule of Investments (unaudited)(concluded)
EMERGING MARKETS CORPORATE DEBT FUND June 30, 2017
Open Forward Foreign Currency Exchange Contracts at June 30, 2017:
Forward | | | | | | | | | | | | | | | | | |
Foreign | | | | | | | | | | U.S. $ | | | | | | | |
Currency | | | | | | | | | | Cost on | | | U.S. $ | | | | |
Exchange | | Transaction | | | | Expiration | | Foreign | | Origination | | | Current | | | Unrealized | |
Contracts | | Type | | Counterparty | | Date | | Currency | | Date | | | Value | | | Depreciation | |
euro | | Sell | | State Street | | | | | | | | | | | | | | | | |
| | | | Bank and Trust | | 8/16/2017 | | 100,000 | | | $112,230 | | | | $114,461 | | | | $(2,231 | ) |
Open Futures Contracts at June 30, 2017:
| | | | | | | | Notional | | | Unrealized | |
Type | | Expiration | | Contracts | | Position | | Value | | | Appreciation | |
U.S. 10-Year Treasury Note | | September 2017 | | 15 | | Short | | $ | (1,882,969 | ) | | | $ 7,754 | |
U.S. Long Bond | | September 2017 | | 11 | | Short | | | (1,690,562 | ) | | | 13,794 | |
Totals | | | | | | | | $ | (3,573,531 | ) | | | $21,548 | |
| | | | | | | | | | | | |
| | | | | | | | Notional | | | Unrealized | |
Type | | Expiration | | Contracts | | Position | | Value | | | Depreciation | |
U.S. 2-Year Treasury Note | | September 2017 | | 5 | | Long | | $ | 1,080,547 | | | | $(1,650 | ) |
U.S. 5-Year Treasury Note | | September 2017 | | 25 | | Long | | | 2,945,898 | | | | (5,903 | ) |
Totals | | | | | | | | $ | 4,026,445 | | | | $(7,553 | ) |
The following is a summary of the inputs used as of June 30, 2017 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Corporate Bonds | | $ | – | | | $ | 40,222,877 | | | $ | – | | | $ | 40,222,877 | |
Foreign Government Obligations | | | – | | | | 2,572,602 | | | | – | | | | 2,572,602 | |
Repurchase Agreement | | | – | | | | 1,151,152 | | | | – | | | | 1,151,152 | |
Total | | $ | – | | | $ | 43,946,631 | | | $ | – | | | $ | 43,946,631 | |
Other Financial Instruments | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
Assets | | $ | – | | | $ | – | | | $ | – | | | $ | – | |
Liabilities | | | – | | | | (2,231 | ) | | | – | | | | (2,231 | ) |
Futures Contracts | | | | | | | | | | | | | | | | |
Assets | | | 21,548 | | | | – | | | | – | | | | 21,548 | |
Liabilities | | | (7,553 | ) | | | – | | | | – | | | | (7,553 | ) |
Total | | $ | 13,995 | | | $ | (2,231 | ) | | $ | – | | | $ | 11,764 | |
(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 1/Level 2 transfers during the period ended June 30, 2017. |
20 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | Fair Value | |
LONG-TERM INVESTMENTS 83.90% | | | | | | | | | | | | |
| | | | | | | | | | | | |
ASSET-BACKED SECURITIES 16.67% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Automobiles 6.35% | | | | | | | | | | | | |
AmeriCredit Automobile Receivables Trust 2016-2 A2A | | 1.42% | | 10/8/2019 | | $ | 132 | | | $ | 131,583 | |
AmeriCredit Automobile Receivables Trust 2016-4 A2A | | 1.34% | | 4/8/2020 | | | 353 | | | | 352,294 | |
Avis Budget Rental Car Funding AESOP LLC 2013-2A A† | | 2.97% | | 2/20/2020 | | | 407 | | | | 411,289 | |
Avis Budget Rental Car Funding AESOP LLC 2014-1A A† | | 2.46% | | 7/20/2020 | | | 1,762 | | | | 1,767,464 | |
Avis Budget Rental Car Funding AESOP LLC 2015-2A A† | | 2.63% | | 12/20/2021 | | | 359 | | | | 357,250 | |
California Republic Auto Receivables Trust 2013-2 A2 | | 1.23% | | 3/15/2019 | | | 38 | | | | 37,640 | |
California Republic Auto Receivables Trust 2015-1 A3 | | 1.33% | | 4/15/2019 | | | 160 | | | | 159,524 | |
California Republic Auto Receivables Trust 2016-1 A3 | | 1.89% | | 5/15/2020 | | | 540 | | | | 540,975 | |
California Republic Auto Receivables Trust 2016-2 A4 | | 1.83% | | 12/15/2021 | | | 280 | | | | 279,721 | |
Capital Auto Receivables Asset Trust 2015-2 A2 | | 1.39% | | 9/20/2018 | | | 152 | | | | 151,860 | |
Capital Auto Receivables Asset Trust 2016-1 B | | 2.67% | | 12/21/2020 | | | 224 | | | | 226,118 | |
CarMax Auto Owner Trust 2014-2 A3 | | 0.98% | | 1/15/2019 | | | 171 | | | | 171,050 | |
CarMax Auto Owner Trust 2014-4 C | | 2.44% | | 11/16/2020 | | | 898 | | | | 903,065 | |
CarMax Auto Owner Trust 2016-4 A2 | | 1.21% | | 11/15/2019 | | | 326 | | | | 325,169 | |
CarMax Auto Owner Trust 2016-4 A4 | | 1.60% | | 6/15/2022 | | | 214 | | | | 211,355 | |
Chrysler Capital Auto Receivables Trust 2014-BA D† | | 3.44% | | 8/16/2021 | | | 362 | | | | 365,254 | |
Chrysler Capital Auto Receivables Trust 2016-AA A3† | | 1.77% | | 10/15/2020 | | | 874 | | | | 875,123 | |
Chrysler Capital Auto Receivables Trust 2016-AA B† | | 2.88% | | 2/15/2022 | | | 222 | | | | 224,379 | |
Chrysler Capital Auto Receivables Trust 2016-AA C† | | 3.25% | | 6/15/2022 | | | 132 | | | | 132,010 | |
CPS Auto Receivables Trust 2016-B D† | | 6.58% | | 3/15/2022 | | | 190 | | | | 203,794 | |
Drive Auto Receivables Trust 2016-CA B† | | 2.37% | | 11/16/2020 | | | 300 | | | | 300,349 | |
Drive Auto Receivables Trust 2016-CA C† | | 3.02% | | 11/15/2021 | | | 800 | | | | 803,838 | |
Fifth Third Auto Trust 2014-2 A3 | | 0.89% | | 11/15/2018 | | | 22 | | | | 22,085 | |
Fifth Third Auto Trust 2014-3 A3 | | 0.96% | | 3/15/2019 | | | 89 | | | | 88,962 | |
First Investors Auto Owner Trust 2016-2A A1† | | 1.53% | | 11/16/2020 | | | 357 | | | | 356,509 | |
Ford Credit Auto Owner Trust 2016-C A2A | | 1.04% | | 9/15/2019 | | | 648 | | | | 647,239 | |
| See Notes to Financial Statements. | 21 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | Fair Value | |
Automobiles (continued) | | | | | | | | | | | | |
Honda Auto Receivables Owner Trust 2016-4 A2 | | 1.04% | | 4/18/2019 | | $ | 641 | | | $ | 640,171 | |
Hyundai Auto Receivables Trust 2014-B A3 | | 0.90% | | 12/17/2018 | | | 86 | | | | 86,428 | |
Hyundai Floorplan Master Owner Trust 2016-1A A1† | | 2.059% | # | 3/15/2021 | | | 197 | | | | 198,890 | |
Hyundai Floorplan Master Owner Trust 2016-1A A2† | | 1.81% | | 3/15/2021 | | | 229 | | | | 228,876 | |
OSCAR US Funding Trust V 2016-2A A2A† | | 2.31% | | 11/15/2019 | | | 889 | | | | 888,786 | |
Santander Drive Auto Receivables Trust 2014-3 C | | 2.13% | | 8/17/2020 | | | 580 | | | | 581,430 | |
Santander Drive Auto Receivables Trust 2015-3 B | | 2.07% | | 4/15/2020 | | | 405 | | | | 405,848 | |
Santander Drive Auto Receivables Trust 2015-3 C | | 2.74% | | 1/15/2021 | | | 537 | | | | 542,489 | |
Santander Drive Auto Receivables Trust 2015-5 D | | 3.65% | | 12/15/2021 | | | 345 | | | | 352,810 | |
Santander Drive Auto Receivables Trust 2016-1 D | | 4.02% | | 4/15/2022 | | | 213 | | | | 217,739 | |
Santander Drive Auto Receivables Trust 2016-3 A2 | | 1.34% | | 11/15/2019 | | | 346 | | | | 345,806 | |
Santander Drive Auto Receivables Trust 2016-3 B | | 1.89% | | 6/15/2021 | | | 260 | | | | 259,685 | |
TCF Auto Receivables Owner Trust 2016-1A A2† | | 1.39% | | 11/15/2019 | | | 614 | | | | 613,220 | |
Westlake Automobile Receivables Trust 2016-3A B† | | 2.07% | | 12/15/2021 | | | 113 | | | | 112,794 | |
Total | | | | | | | | | | | 15,520,871 | |
| | | | | | | | | | | | |
Credit Cards 2.27% | | | | | | | | | | | | |
Capital One Multi-Asset Execution Trust 2015-A3 | | 1.559% | # | 3/15/2023 | | | 1,928 | | | | 1,941,223 | |
Chase Issuance Trust 2015-A5 | | 1.36% | | 4/15/2020 | | | 1,155 | | | | 1,154,122 | |
Discover Card Execution Note Trust 2016-A2 | | 1.699% | # | 9/15/2021 | | | 564 | | | | 567,935 | |
MBNA Credit Card Master Note Trust 2004-A3 | | 1.419% | | 8/16/2021 | | | 675 | | | | 676,499 | |
Synchrony Credit Card Master Note Trust 2014-1 A | | 1.61% | | 11/15/2020 | | | 1,200 | | | | 1,200,766 | |
Total | | | | | | | | | | | 5,540,545 | |
| | | | | | | | | | | | |
Other 8.05% | | | | | | | | | | | | |
Ally Master Owner Trust 2014-5 A2 | | 1.60% | | 10/15/2019 | | | 497 | | | | 497,128 | |
Ammc CLO 19 Ltd. 2016-19A A† | | 2.658% | # | 10/15/2028 | | | 750 | | | | 753,021 | |
Apidos CLO X 2012-10A A† | | 2.59% | # | 10/30/2022 | | | 799 | | | | 800,522 | |
Ascentium Equipment Receivables Trust 2016-2A A2† | | 1.46% | | 4/10/2019 | | | 257 | | | | 256,500 | |
Ascentium Equipment Receivables Trust 2016-2A A3† | | 1.65% | | 5/10/2022 | | | 271 | | | | 269,283 | |
Ascentium Equipment Receivables Trust 2016-2A B† | | 2.50% | | 9/12/2022 | | | 175 | | | | 175,446 | |
Birchwood Park CLO Ltd. 2014-1A AR† | | 2.338% | # | 7/15/2026 | | | 1,000 | | | | 1,001,884 | |
BlueMountain CLO Ltd. 2014-4A A1R† | | 2.55% | # | 11/30/2026 | | | 1,000 | | | | 1,002,206 | |
Cent CLO Ltd. 2013-17A A1† | | 2.47% | # | 1/30/2025 | | | 1,633 | | | | 1,633,397 | |
Cent CLO Ltd. 2013-19A A1A† | | 2.50% | # | 10/29/2025 | | | 900 | | | | 901,041 | |
22 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | Fair Value | |
Other (continued) | | | | | | | | | | | | |
CIFC Funding Ltd. 2014-5A A1R† | | 2.558% | # | 1/17/2027 | | $ | 1,000 | | | $ | 1,002,990 | |
CNH Equipment Trust 2014-C A3 | | 1.05% | | 11/15/2019 | | | 149 | | | | 148,722 | |
Dell Equipment Finance Trust 2015-2 A3† | | 1.72% | | 9/22/2020 | | | 305 | | | | 304,730 | |
Diamond Resorts Owner Trust 2015-2 A† | | 2.99% | | 5/22/2028 | | | 203 | | | | 200,293 | |
Diamond Resorts Owner Trust 2016-1 A† | | 3.08% | | 11/20/2028 | | | 163 | | | | 164,785 | |
DRB Prime Student Loan Trust 2015-D A2† | | 3.20% | | 1/25/2040 | | | 883 | | | | 891,674 | |
Engs Commercial Finance Trust 2016-1A A2† | | 2.63% | | 2/22/2022 | | | 481 | | | | 480,947 | |
Fortress Credit BSL Ltd. 2013-1A A† | | 2.338% | # | 1/19/2025 | | | 855 | | | | 855,973 | |
H/2 Asset Funding 2014-1 Ltd. | | 2.348% | | 3/19/2037 | | | 2,000 | | | | 1,999,977 | |
JFIN Revolver CLO Ltd. 2015-3A A1† | | 2.656% | # | 4/20/2023 | | | 53 | | | | 53,375 | |
Marathon CLO IV Ltd. 2012-4A A1† | | 2.562% | # | 5/20/2023 | | | 216 | | | | 215,861 | |
Mountain Hawk II CLO Ltd. 2013-2A A1† | | 2.316% | # | 7/22/2024 | | | 1,500 | | | | 1,497,764 | |
OneMain Financial Issuance Trust 2016-1A A† | | 3.66% | | 2/20/2029 | | | 305 | | | | 312,313 | |
SLM Private Education Loan Trust 2010-A 2A† | | 4.409% | # | 5/16/2044 | | | 769 | | | | 797,630 | |
SLM Private Education Loan Trust 2013-B A1† | | 1.809% | # | 7/15/2022 | | | 45 | | | | 45,441 | |
SLM Student Loan Trust 2011-1 A1 | | 1.736% | # | 3/25/2026 | | | 321 | | | | 322,111 | |
Venture XVIII CLO Ltd. 2014-18A A† | | 2.608% | # | 10/15/2026 | | | 500 | | | | 500,393 | |
Wells Fargo Dealer Floorplan Master Note Trust 2014-1 A | | 1.592% | # | 7/20/2019 | | | 2,409 | | | | 2,409,300 | |
Westgate Resorts LLC 2015-1A A† | | 2.75% | | 5/20/2027 | | | 95 | | | | 95,624 | |
Westgate Resorts LLC 2015-1A B† | | 3.50% | | 5/20/2027 | | | 95 | | | | 95,743 | |
Total | | | | | | | | | | | 19,686,074 | |
Total Asset-Backed Securities (cost $40,673,212) | | | | | | | | | | | 40,747,490 | |
| | | | | | | | | | | | |
CORPORATE BONDS 28.05% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Advertising 0.10% | | | | | | | | | | | | |
Interpublic Group of Cos., Inc. (The) | | 2.25% | | 11/15/2017 | | | 250 | | | | 250,359 | |
| | | | | | | | | | | | |
Aerospace/Defense 0.21% | | | | | | | | | | | | |
Harris Corp. | | 1.999% | | 4/27/2018 | | | 500 | | | | 500,787 | |
| | | | | | | | | | | | |
Auto Loans 1.13% | | | | | | | | | | | | |
Ford Motor Credit Co. LLC | | 1.724% | | 12/6/2017 | | | 1,000 | | | | 1,000,186 | |
Ford Motor Credit Co. LLC | | 6.625% | | 8/15/2017 | | | 250 | | | | 251,377 | |
Hyundai Capital America† | | 2.40% | | 10/30/2018 | | | 500 | | | | 501,220 | |
Volkswagen International Finance NV (Netherlands)†(a) | | 1.60% | | 11/20/2017 | | | 1,000 | | | | 999,581 | |
Total | | | | | | | | | | | 2,752,364 | |
| See Notes to Financial Statements. | 23 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | Fair Value | |
Automakers 0.82% | | | | | | | | | | | | |
Daimler Finance North America LLC† | | 1.421% | # | 11/5/2018 | | $ | 1,000 | | | $ | 999,970 | |
General Motors Co. | | 3.50% | | 10/2/2018 | | | 500 | | | | 508,946 | |
Volkswagen Group of America Finance LLC† | | 1.60% | | 11/20/2017 | | | 250 | | | | 249,843 | |
Volkswagen Group of America Finance LLC† | | 1.612% | # | 11/20/2017 | | | 250 | | | | 250,185 | |
Total | | | | | | | | | | | 2,008,944 | |
| | | | | | | | | | | | |
Banking 5.53% | | | | | | | | | | | | |
Associated Banc-Corp. | | 2.75% | | 11/15/2019 | | | 500 | | | | 504,006 | |
Capital One NA/Mclean VA | | 1.50% | | 9/5/2017 | | | 250 | | | | 250,028 | |
Citibank NA | | 1.41% | # | 11/9/2018 | | | 1,000 | | | | 1,000,669 | |
Citigroup, Inc. | | 2.05% | | 12/7/2018 | | | 500 | | | | 500,932 | |
Citigroup, Inc. | | 6.125% | | 11/21/2017 | | | 500 | | | | 508,382 | |
Compass Bank | | 2.75% | | 9/29/2019 | | | 90 | | | | 90,748 | |
Compass Bank | | 6.40% | | 10/1/2017 | | | 500 | | | | 505,155 | |
Credit Suisse AG | | 1.70% | | 4/27/2018 | | | 500 | | | | 500,030 | |
Fifth Third Bancorp | | 4.50% | | 6/1/2018 | | | 250 | | | | 256,578 | |
Intesa Sanpaolo SpA (Italy)(a) | | 3.875% | | 1/16/2018 | | | 250 | | | | 252,348 | |
JPMorgan Chase & Co. | | 1.625% | | 5/15/2018 | | | 500 | | | | 499,969 | |
Macquarie Bank Ltd. (Australia)†(a) | | 1.60% | | 10/27/2017 | | | 1,000 | | | | 1,000,139 | |
Macquarie Bank Ltd. (Australia)†(a) | | 1.797% | # | 10/27/2017 | | | 500 | | | | 500,864 | |
Morgan Stanley | | 7.30% | | 5/13/2019 | | | 500 | | | | 546,892 | |
National Australia Bank Ltd. (Australia)†(a) | | 1.682% | # | 5/22/2020 | | | 1,000 | | | | 1,002,180 | |
PNC Bank NA | | 1.538% | # | 5/19/2020 | | | 1,000 | | | | 1,002,899 | |
Regions Bank | | 2.25% | | 9/14/2018 | | | 655 | | | | 657,854 | |
Regions Bank | | 7.50% | | 5/15/2018 | | | 500 | | | | 523,555 | |
Santander Bank NA | | 8.75% | | 5/30/2018 | | | 250 | | | | 265,056 | |
Santander UK plc (United Kingdom)(a) | | 1.65% | | 9/29/2017 | | | 250 | | | | 250,187 | |
Santander UK plc (United Kingdom)(a) | | 1.705% | # | 9/29/2017 | | | 1,000 | | | | 1,000,514 | |
Santander UK plc (United Kingdom)(a) | | 2.00% | | 8/24/2018 | | | 250 | | | | 250,495 | |
Santander UK plc (United Kingdom)(a) | | 2.722% | # | 3/14/2019 | | | 623 | | | | 634,455 | |
UBS AG (United Kingdom)†(a) | | 1.539% | # | 12/7/2018 | | | 1,000 | | | | 1,000,629 | |
Total | | | | | | | | | | | 13,504,564 | |
| | | | | | | | | | | | |
Brokerage 0.22% | | | | | | | | | | | | |
E*TRADE Financial Corp. | | 5.375% | | 11/15/2022 | | | 500 | | | | 525,644 | |
| | | | | | | | | | | | |
Building Materials 0.45% | | | | | | | | | | | | |
Martin Marietta Materials, Inc. | | 1.822% | # | 5/22/2020 | | | 333 | | | | 334,068 | |
Martin Marietta Materials, Inc. | | 6.60% | | 4/15/2018 | | | 250 | | | | 258,968 | |
RPM International, Inc. | | 6.50% | | 2/15/2018 | | | 500 | | | | 514,578 | |
Total | | | | | | | | | | | 1,107,614 | |
24 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | Fair Value | |
Cable & Satellite Television 0.56% | | | | | | | | | | | | |
Cox Communications, Inc.† | | 6.25% | | 6/1/2018 | | $ | 250 | | | $ | 259,278 | |
Cox Communications, Inc.† | | 9.375% | | 1/15/2019 | | | 500 | | | | 550,934 | |
Sky plc (United Kingdom)†(a) | | 9.50% | | 11/15/2018 | | | 500 | | | | 549,726 | |
Total | | | | | | | | | | | 1,359,938 | |
| | | | | | | | | | | | |
Chemicals 0.93% | | | | | | | | | | | | |
Celanese US Holdings LLC | | 4.625% | | 11/15/2022 | | | 250 | | | | 269,579 | |
Cytec Industries, Inc. | | 8.95% | | 7/1/2017 | | | 419 | | | | 419,000 | |
Potash Corp. of Saskatchewan, Inc. (Canada)(a) | | 3.25% | | 12/1/2017 | | | 500 | | | | 503,132 | |
Westlake Chemical Corp. | | 4.875% | | 5/15/2023 | | | 500 | | | | 523,125 | |
Yara International ASA (Norway)†(a) | | 7.875% | | 6/11/2019 | | | 500 | | | | 549,866 | |
Total | | | | | | | | | | | 2,264,702 | |
| | | | | | | | | | | | |
Consumer/Commercial/Lease Financing 0.10% | | | | | | | | | | | | |
Discover Bank | | 2.60% | | 11/13/2018 | | | 250 | | | | 252,217 | |
| | | | | | | | | | | | |
Department Stores 0.10% | | | | | | | | | | | | |
Macy’s Retail Holdings, Inc. | | 7.45% | | 7/15/2017 | | | 250 | | | | 250,285 | |
| | | | | | | | | | | | |
Diversified Capital Goods 0.41% | | | | | | | | | | | | |
Crane Co. | | 2.75% | | 12/15/2018 | | | 250 | | | | 252,693 | |
Pentair Finance SA (Luxembourg)(a) | | 1.875% | | 9/15/2017 | | | 500 | | | | 500,221 | |
Pentair Finance SA (Luxembourg)(a) | | 2.90% | | 9/15/2018 | | | 246 | | | | 248,618 | |
Total | | | | | | | | | | | 1,001,532 | |
| | | | | | | | | | | | |
Electric: Distribution/Transportation 0.32% | | | | | | | | | | | | |
Oklahoma Gas & Electric Co. | | 8.25% | | 1/15/2019 | | | 250 | | | | 272,117 | |
Pennsylvania Electric Co. | | 6.05% | | 9/1/2017 | | | 500 | | | | 503,234 | |
Total | | | | | | | | | | | 775,351 | |
| | | | | | | | | | | | |
Electric: Integrated 1.84% | | | | | | | | | | | | |
American Electric Power Co., Inc. | | 1.65% | | 12/15/2017 | | | 500 | | | | 500,105 | |
Dominion Energy, Inc. | | 2.579% | | 7/1/2020 | | | 142 | | | | 142,825 | |
E. ON International Finance BV (Netherlands)†(a) | | 5.80% | | 4/30/2018 | | | 250 | | | | 257,681 | |
Exelon Generation Co. LLC | | 5.20% | | 10/1/2019 | | | 500 | | | | 531,384 | |
Kentucky Power Co.† | | 6.00% | | 9/15/2017 | | | 500 | | | | 504,111 | |
Origin Energy Finance Ltd. (Australia)†(a) | | 3.50% | | 10/9/2018 | | | 500 | | | | 505,910 | |
Public Service Co. of New Mexico | | 7.95% | | 5/15/2018 | | | 500 | | | | 526,249 | |
TECO Finance, Inc. | | 1.755% | # | 4/10/2018 | | | 500 | | | | 501,215 | |
TECO Finance, Inc. | | 6.572% | | 11/1/2017 | | | 1,000 | | | | 1,015,212 | |
Total | | | | | | | | | | | 4,484,692 | |
| See Notes to Financial Statements. | 25 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | Fair Value | |
Electronics 0.92% | | | | | | | | | | | | |
Arrow Electronics, Inc. | | 3.00% | | 3/1/2018 | | $ | 250 | | | $ | 251,830 | |
KLA-Tencor Corp. | | 2.375% | | 11/1/2017 | | | 500 | | | | 501,210 | |
QUALCOMM, Inc. | | 1.442% | # | 5/18/2018 | | | 500 | | | | 500,496 | |
QUALCOMM, Inc. | | 1.558% | # | 5/20/2019 | | | 1,000 | | | | 1,003,402 | |
Total | | | | | | | | | | | 2,256,938 | |
| | | | | | | | | | | | |
Energy: Exploration & Production 0.75% | | | | | | | | | | | | |
Marathon Oil Corp. | | 5.90% | | 3/15/2018 | | | 250 | | | | 256,449 | |
Noble Energy, Inc. | | 5.625% | | 5/1/2021 | | | 500 | | | | 514,771 | |
Pioneer Natural Resources Co. | | 6.875% | | 5/1/2018 | | | 500 | | | | 520,136 | |
Ras Laffan Liquefied Natural Gas Co., Ltd. III (Qatar)†(a) | | 6.75% | | 9/30/2019 | | | 500 | | | | 542,466 | |
Total | | | | | | | | | | | 1,833,822 | |
| | | | | | | | | | | | |
Forestry/Paper 0.11% | | | | | | | | | | | | |
WestRock RKT Co. | | 4.45% | | 3/1/2019 | | | 250 | | | | 259,401 | |
| | | | | | | | | | | | |
Gas Distribution 2.99% | | | | | | | | | | | | |
Buckeye Partners LP | | 2.65% | | 11/15/2018 | | | 500 | | | | 502,830 | |
Buckeye Partners LP | | 6.05% | | 1/15/2018 | | | 500 | | | | 510,892 | |
Columbia Pipeline Group, Inc. | | 2.45% | | 6/1/2018 | | | 250 | | | | 251,205 | |
Enbridge Energy Partners LP | | 6.50% | | 4/15/2018 | | | 500 | | | | 517,838 | |
Florida Gas Transmission Co. LLC† | | 7.90% | | 5/15/2019 | | | 500 | | | | 548,652 | |
Gulf South Pipeline Co. LP† | | 6.30% | | 8/15/2017 | | | 250 | | | | 251,175 | |
Kinder Morgan Energy Partners LP | | 6.85% | | 2/15/2020 | | | 500 | | | | 551,562 | |
Kinder Morgan, Inc. | | 7.25% | | 6/1/2018 | | | 250 | | | | 261,757 | |
MPLX LP | | 5.50% | | 2/15/2023 | | | 500 | | | | 514,635 | |
ONEOK Partners LP | | 2.00% | | 10/1/2017 | | | 1,000 | | | | 1,000,435 | |
Regency Energy Partners LP/Regency Energy Finance Corp. | | 6.50% | | 7/15/2021 | | | 1,000 | | | | 1,025,000 | |
Sempra Energy | | 6.15% | | 6/15/2018 | | | 500 | | | | 520,795 | |
Sempra Energy | | 9.80% | | 2/15/2019 | | | 300 | | | | 336,610 | |
Spectra Energy Capital LLC | | 6.20% | | 4/15/2018 | | | 500 | | | | 516,221 | |
Total | | | | | | | | | | | 7,309,607 | |
| | | | | | | | | | | | |
Health Facilities 0.10% | | | | | | | | | | | | |
Laboratory Corp. of America Holdings | | 2.20% | | 8/23/2017 | | | 250 | | | | 250,180 | |
| | | | | | | | | | | | |
Hotels 0.33% | | | | | | | | | | | | |
Hyatt Hotels Corp.† | | 6.875% | | 8/15/2019 | | | 500 | | | | 546,855 | |
Wyndham Worldwide Corp. | | 2.50% | | 3/1/2018 | | | 250 | | | | 251,133 | |
Total | | | | | | | | | | | 797,988 | |
26 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | Fair Value | |
Insurance Brokerage 0.03% | | | | | | | | | | | | |
Willis North America, Inc. | | 7.00% | | 9/29/2019 | | $ | 75 | | | $ | 82,496 | |
| | | | | | | | | | | | |
Integrated Energy 0.84% | | | | | | | | | | | | |
Eni SpA (Italy)†(a) | | 4.15% | | 10/1/2020 | | | 500 | | | | 526,059 | |
Petroleos Mexicanos (Mexico)(a) | | 5.50% | | 2/4/2019 | | | 500 | | | | 523,250 | |
Petroleos Mexicanos (Mexico)(a) | | 5.75% | | 3/1/2018 | | | 500 | | | | 512,087 | |
Sinopec Group Overseas Development 2013 Ltd.† | | 2.50% | | 10/17/2018 | | | 500 | | | | 502,411 | |
Total | | | | | | | | | | | 2,063,807 | |
| | | | | | | | | | | | |
Life Insurance 0.14% | | | | | | | | | | | | |
Lincoln National Corp. | | 7.00% | | 3/15/2018 | | | 250 | | | | 259,095 | |
Lincoln National Corp. | | 8.75% | | 7/1/2019 | | | 77 | | | | 86,614 | |
Total | | | | | | | | | | | 345,709 | |
| | | | | | | | | | | | |
Machinery 0.41% | | | | | | | | | | | | |
Caterpillar Financial Services Corp. | | 1.403%# | | 12/6/2018 | | | 1,000 | | | | 1,000,209 | |
| | | | | | | | | | | | |
Media: Content 0.43% | | | | | | | | | | | | |
Activision Blizzard, Inc.† | | 6.125% | | 9/15/2023 | | | 500 | | | | 539,706 | |
Sirius XM Radio, Inc.† | | 5.25% | | 8/15/2022 | | | 500 | | | | 515,255 | |
Total | | | | | | | | | | | 1,054,961 | |
| | | | | | | | | | | | |
Medical Products 0.21% | | | | | | | | | | | | |
Zimmer Biomet Holdings, Inc. | | 2.00% | | 4/1/2018 | | | 500 | | | | 501,001 | |
| | | | | | | | | | | | |
Metals/Mining (Excluding Steel) 0.20% | | | | | | | | | | | | |
Goldcorp, Inc. (Canada)(a) | | 2.125% | | 3/15/2018 | | | 500 | | | | 500,624 | |
| | | | | | | | | | | | |
Non-Electric Utilities 0.10% | | | | | | | | | | | | |
United Utilities plc (United Kingdom)(a) | | 4.55% | | 6/19/2018 | | | 250 | | | | 256,096 | |
| | | | | | | | | | | | |
Oil Field Equipment & Services 0.16% | | | | | | | | | | | | |
National Oilwell Varco, Inc. | | 1.35% | | 12/1/2017 | | | 390 | | | | 389,520 | |
| | | | | | | | | | | | |
Packaging 0.11% | | | | | | | | | | | | |
Packaging Corp. of America | | 6.50% | | 3/15/2018 | | | 250 | | | | 257,326 | |
| | | | | | | | | | | | |
Pharmaceuticals 1.13% | | | | | | | | | | | | |
Actavis Funding SCS (Luxembourg)(a) | | 2.483%# | | 3/12/2020 | | | 600 | | | | 613,602 | |
Allergan Funding SCS (Luxembourg)(a) | | 2.35% | | 3/12/2018 | | | 500 | | | | 502,180 | |
Baxalta, Inc. | | 2.067%# | | 6/22/2018 | | | 500 | | | | 502,545 | |
Forest Laboratories LLC† | | 4.375% | | 2/1/2019 | | | 133 | | | | 137,208 | |
Mylan, Inc. | | 2.60% | | 6/24/2018 | | | 500 | | | | 503,716 | |
Zoetis, Inc. | | 1.875% | | 2/1/2018 | | | 500 | | | | 500,380 | |
Total | | | | | | | | | | | 2,759,631 | |
| See Notes to Financial Statements. | 27 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | Fair Value | |
Printing & Publishing 0.10% | | | | | | | | | | | | |
Thomson Reuters Corp. (Canada)(a) | | 1.65% | | 9/29/2017 | | $ | 250 | | | $ | 250,073 | |
| | | | | | | | | | | | |
Property & Casualty 0.22% | | | | | | | | | | | | |
CNA Financial Corp. | | 5.875% | | 8/15/2020 | | | 250 | | | | 275,497 | |
CNA Financial Corp. | | 6.95% | | 1/15/2018 | | | 250 | | | | 256,569 | |
Total | | | | | | | | | | | 532,066 | |
| | | | | | | | | | | | |
Real Estate Investment Trusts 2.22% | | | | | | | | | | | | |
DDR Corp. | | 4.75% | | 4/15/2018 | | | 500 | | | | 509,865 | |
DDR Corp. | | 7.50% | | 7/15/2018 | | | 500 | | | | 525,921 | |
First Industrial LP | | 7.50% | | 12/1/2017 | | | 500 | | | | 511,352 | |
Hospitality Properties Trust | | 6.70% | | 1/15/2018 | | | 500 | | | | 502,109 | |
Kilroy Realty LP | | 4.80% | | 7/15/2018 | | | 500 | | | | 511,299 | |
Kilroy Realty LP | | 6.625% | | 6/1/2020 | | | 500 | | | | 555,047 | |
Kimco Realty Corp. | | 6.875% | | 10/1/2019 | | | 250 | | | | 275,434 | |
National Retail Properties, Inc. | | 6.875% | | 10/15/2017 | | | 250 | | | | 253,491 | |
Select Income REIT | | 2.85% | | 2/1/2018 | | | 250 | | | | 251,072 | |
SL Green Realty Corp. | | 5.00% | | 8/15/2018 | | | 500 | | | | 513,296 | |
Welltower, Inc. | | 2.25% | | 3/15/2018 | | | 500 | | | | 501,408 | |
Welltower, Inc. | | 4.125% | | 4/1/2019 | | | 500 | | | | 515,121 | |
Total | | | | | | | | | | | 5,425,415 | |
| | | | | | | | | | | | |
Software/Services 1.45% | | | | | | | | | | | | |
Baidu, Inc. (China)(a) | | 2.75% | | 6/9/2019 | | | 500 | | | | 506,172 | |
Dun & Bradstreet Corp. (The) | | 3.50% | | 12/1/2017 | | | 500 | | | | 502,666 | |
eBay, Inc. | | 1.65% | # | 8/1/2019 | | | 500 | | | | 501,431 | |
Fidelity National Information Services, Inc. | | 2.85% | | 10/15/2018 | | | 500 | | | | 506,070 | |
Hewlett Packard Enterprise Co. | | 3.039% | # | 10/5/2017 | | | 500 | | | | 501,619 | |
Hewlett Packard Enterprise Co. | | 3.229% | # | 10/5/2018 | | | 500 | | | | 509,616 | |
Tencent Holdings Ltd. (China)†(a) | | 3.375% | | 5/2/2019 | | | 500 | | | | 511,737 | |
Total | | | | | | | | | | | 3,539,311 | |
| | | | | | | | | | | | |
Specialty Retail 0.21% | | | | | | | | | | | | |
Best Buy Co., Inc. | | 5.00% | | 8/1/2018 | | | 250 | | | | 258,197 | |
Marks & Spencer plc (United Kingdom)†(a) | | 6.25% | | 12/1/2017 | | | 250 | | | | 254,051 | |
Total | | | | | | | | | | | 512,248 | |
| | | | | | | | | | | | |
Steel Producers/Products 0.21% | | | | | | | | | | | | |
Nucor Corp. | | 5.75% | | 12/1/2017 | | | 500 | | | | 508,120 | |
28 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | Fair Value | |
Support: Services 0.52% | | | | | | | | | | | | |
ERAC USA Finance LLC† | | 6.375% | | 10/15/2017 | | $ | 500 | | | $ | 506,508 | |
Expedia, Inc. | | 7.456% | | 8/15/2018 | | | 250 | | | | 264,374 | |
Western Union Co. (The) | | 3.35% | | 5/22/2019 | | | 250 | | | | 254,924 | |
Western Union Co. (The) | | 3.65% | | 8/22/2018 | | | 250 | | | | 254,309 | |
Total | | | | | | | | | | | 1,280,115 | |
| | | | | | | | | | | | |
Technology Hardware & Equipment 0.21% | | | | | | | | | | | | |
Dell International LLC/EMC Corp.† | | 3.48% | | 6/1/2019 | | | 500 | | | | 511,942 | |
| | | | | | | | | | | | |
Telecommunications: Wireline Integrated & Services 0.93% | | | | | | | | | |
BellSouth LLC† | | 4.285% | | 4/26/2021 | | | 1,000 | | | | 1,018,425 | |
British Telecommunications plc (United Kingdom)(a) | | 5.95% | | 1/15/2018 | | | 500 | | | | 511,278 | |
Telefonica Emisiones SAU (Spain)(a) | | 3.192% | | 4/27/2018 | | | 500 | | | | 505,395 | |
Telenor ASA (Norway)(a) | | 1.75% | | 5/22/2018 | | | 250 | | | | 249,256 | |
Total | | | | | | | | | | | 2,284,354 | |
| | | | | | | | | | | | |
Tobacco 0.20% | | | | | | | | | | | | |
Imperial Brands Finance plc (United Kingdom)†(a) | | 2.05% | | 2/11/2018 | | | 500 | | | | 500,729 | |
| | | | | | | | | | | | |
Transportation: Infrastructure/Services 0.10% | | | | | | | | | | | | |
HPHT Finance 15 Ltd.† | | 2.25% | | 3/17/2018 | | | 250 | | | | 249,943 | |
Total Corporate Bonds (cost $68,409,538) | | | | | | | | | | | 68,552,625 | |
| | | | | | | | | | | | |
FLOATING RATE LOANS(b) 3.04% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Aerospace/Defense 0.19% | | | | | | | | | | | | |
Harris Corp. 3 Year Tranche Term Loan | | 2.73% | | 3/16/2018 | | | 67 | | | | 66,667 | |
Harris Corp. 5 Year Tranche Term Loan | | 2.73% | | 3/16/2020 | | | 398 | | | | 396,146 | |
Total | | | | | | | | | | | 462,813 | |
| | | | | | | | | | | | |
Gaming 0.41% | | | | | | | | | | | | |
Las Vegas Sands LLC 2017 Refinancing Term Loan | | 3.23% | | 3/29/2024 | | | 997 | | | | 1,000,052 | |
| | | | | | | | | | | | |
Health Facilities 0.08% | | | | | | | | | | | | |
Laboratory Corp. of America Holdings Term Loan | | 2.476% | | 12/19/2019 | | | 198 | | | | 197,799 | |
| | | | | | | | | | | | |
Media: Content 0.70% | | | | | | | | | | | | |
Charter Communications Operating, LLC Term Loan E1 | | 3.23% | | 7/1/2020 | | | 1,689 | | | | 1,695,916 | |
| | | | | | | | | | | | |
Medical Products 0.41% | | | | | | | | | | | | |
Medtronic, Inc. Term Loan | | 2.101% | | 1/26/2018 | | | 1,000 | | | | 996,250 | |
| See Notes to Financial Statements. | 29 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | Fair Value | |
Packaging 0.39% | | | | | | | | | | | | |
Ball Corp. USD Term Loan A | | 2.976% | | 3/18/2021 | | $ | 963 | | | $ | 961,899 | |
| | | | | | | | | | | | |
Specialty Retail 0.36% | | | | | | | | | | | | |
PVH Corp. Tranche A Term Loan | | 2.709% | | 5/19/2021 | | | 881 | | | | 879,975 | |
| | | | | | | | | | | | |
Telecommunications: Wireless 0.20% | | | | | | | | | | | | |
American Tower Corporation Term Loan | | 2.48% | | 1/31/2022 | | | 500 | | | | 496,875 | |
| | | | | | | | | | | | |
Telecommunications: Wireline Integrated & Services 0.30% | | | | | | | | |
AT&T, Inc. Tranche A Advance Term Loan | | 2.21% | | 3/2/2018 | | | 727 | | | | 727,331 | |
Total Floating Rate Loans (cost $7,406,585) | | | | | | | | | | | 7,418,910 | |
| | | | | | | | | | | | |
FOREIGN GOVERNMENT OBLIGATIONS(c) 5.25% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Argentina 1.79% | | | | | | | | | | | | |
City of Buenos Aires | | 23.206% | # | 3/29/2024 | | ARS | 39,830 | | | | 2,343,282 | |
Provincia de Mendoza | | 24.625% | # | 6/9/2021 | | ARS | 33,750 | | | | 2,041,449 | |
Total | | | | | | | | | | | 4,384,731 | |
| | | | | | | | | | | | |
Brazil 3.46% | | | | | | | | | | | | |
Brazil Letras do Tesouro Nacional | | Zero Coupon | | 7/1/2017 | | BRL | 28,000 | | | | 8,448,547 | |
Total Foreign Government Obligations (cost $11,873,440) | | | | | | | | | | | 12,833,278 | |
| | | | | | | | | | | | |
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 3.26% | | | | | |
Federal Home Loan Mortgage Corp. 2011-K704 B† | | 4.69% | # | 10/25/2030 | | $ | 376 | | | | 384,940 | |
Federal Home Loan Mortgage Corp. 2012-K705 C† | | 4.301% | # | 9/25/2044 | | | 500 | | | | 509,034 | |
Federal Home Loan Mortgage Corp. 2012-K706 B† | | 4.169% | # | 11/25/2044 | | | 100 | | | | 102,138 | |
Federal Home Loan Mortgage Corp. 2012-K708 C† | | 3.883% | # | 2/25/2045 | | | 100 | | | | 101,555 | |
Federal Home Loan Mortgage Corp. 2012-K709 B† | | 3.872% | # | 4/25/2045 | | | 261 | | | | 267,542 | |
Federal Home Loan Mortgage Corp. 2012-K710 B† | | 3.944% | # | 6/25/2047 | | | 200 | | | | 205,652 | |
Federal Home Loan Mortgage Corp. 2012-K711 B† | | 3.684% | # | 8/25/2045 | | | 303 | | | | 310,547 | |
Federal Home Loan Mortgage Corp. 2012-K711 C† | | 3.684% | # | 8/25/2045 | | | 200 | | | | 202,415 | |
Federal Home Loan Mortgage Corp. 2013-K712 B† | | 3.481% | # | 5/25/2045 | | | 100 | | | | 102,388 | |
Federal Home Loan Mortgage Corp. 2013-K713 B† | | 3.274% | # | 4/25/2046 | | | 400 | | | | 407,713 | |
Federal Home Loan Mortgage Corp. 2014-K503 B† | | 3.072% | # | 10/25/2047 | | | 415 | | | | 420,396 | |
Government National Mortgage Assoc. 2013-171 IO | | 0.944% | # | 6/16/2054 | | | 14,318 | | | | 956,824 | |
Government National Mortgage Assoc. 2013-193 IO | | 0.949% | # | 1/16/2055 | | | 1,451 | | | | 96,798 | |
Government National Mortgage Assoc. 2014-15 IO | | 0.85% | # | 8/16/2054 | | | 14,201 | | | | 805,323 | |
Government National Mortgage Assoc. 2014-70 A | | 2.50% | | 3/16/2049 | | | 78 | | | | 76,570 | |
Government National Mortgage Assoc. 2014-78 A | | 2.20% | | 4/16/2047 | | | 85 | | | | 84,561 | |
Government National Mortgage Assoc. 2014-78 IO | | 0.611% | # | 3/16/2056 | | | 757 | | | | 37,866 | |
Government National Mortgage Assoc. 2015-33 AS | | 2.90% | # | 5/16/2054 | | | 375 | | | | 376,587 | |
30 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | Fair Value | |
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | | | | | | |
Government National Mortgage Assoc. 2015-41 AD | | 2.90% | # | 8/16/2055 | | $ | 245 | | | $ | 247,603 | |
Government National Mortgage Assoc. 2015-73 AC | | 2.90% | # | 2/16/2053 | | | 1,268 | | | | 1,276,742 | |
Government National Mortgage Assoc. 2017-92 AS | | 2.75% | | 6/16/2058 | | | 1,000 | | | | 1,003,033 | |
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $8,601,055) | | | | | | | 7,976,227 | |
| | | | | | | | | | | | |
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 4.02% | | | | | | | | | |
Federal Home Loan Mortgage Corp. | | 3.129% | # | 12/1/2035 | | | 432 | | | | 458,662 | |
Federal Home Loan Mortgage Corp. | | 3.134% | # | 12/1/2036 | | | 422 | | | | 445,432 | |
Federal Home Loan Mortgage Corp. | | 3.226% | # | 4/1/2037 | | | 308 | | | | 322,529 | |
Federal Home Loan Mortgage Corp. | | 3.334% | # | 2/1/2038 | | | 358 | | | | 378,880 | |
Federal Home Loan Mortgage Corp. | | 3.343% | # | 5/1/2036 | | | 234 | | | | 247,197 | |
Federal Home Loan Mortgage Corp. | | 5.00% | | 5/1/2021 | | | 36 | | | | 37,582 | |
Federal National Mortgage Assoc. | | 2.894% | # | 1/1/2038 | | | 190 | | | | 199,862 | |
Federal National Mortgage Assoc. | | 2.895% | # | 3/1/2038 | | | 149 | | | | 156,979 | |
Federal National Mortgage Assoc. | | 2.919% | # | 12/1/2035 | | | 383 | | | | 403,633 | |
Federal National Mortgage Assoc. | | 2.993% | # | 2/1/2036 | | | 225 | | | | 236,465 | |
Federal National Mortgage Assoc. | | 3.167% | # | 8/1/2038 | | | 152 | | | | 159,971 | |
Federal National Mortgage Assoc. | | 3.168% | # | 1/1/2038 | | | 253 | | | | 266,625 | |
Federal National Mortgage Assoc. | | 3.176% | # | 11/1/2036 | | | 776 | | | | 822,253 | |
Federal National Mortgage Assoc. | | 3.195% | # | 9/1/2038 | | | 187 | | | | 197,314 | |
Federal National Mortgage Assoc. | | 3.335% | # | 11/1/2038 | | | 331 | | | | 349,144 | |
Federal National Mortgage Assoc. | | 3.382% | # | 12/1/2040 | | | 590 | | | | 618,402 | |
Federal National Mortgage Assoc. | | 3.40% | # | 12/1/2040 | | | 551 | | | | 579,793 | |
Federal National Mortgage Assoc. | | 3.407% | # | 11/1/2040 | | | 2,035 | | | | 2,145,278 | |
Federal National Mortgage Assoc. | | 3.473% | # | 10/1/2040 | | | 630 | | | | 663,681 | |
Federal National Mortgage Assoc. | | 3.52% | # | 12/1/2038 | | | 120 | | | | 127,268 | |
Federal National Mortgage Assoc. | | 5.50% | | 11/1/2034 | | | 468 | | | | 525,005 | |
Federal National Mortgage Assoc. | | 5.50% | | 2/1/2034 | | | 438 | | | | 491,255 | |
Total Government Sponsored Enterprises Pass-Throughs (cost $9,803,253) | | | | | | | | | 9,833,210 | |
| | | | | | | | | | | | |
MUNICIPAL BONDS 0.70% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Nursing Home 0.31% | | | | | | | | | | | | |
New Jersey Econ Dev Auth | | 2.421% | | 6/15/2018 | | | 750 | | | | 747,780 | |
| | | | | | | | | | | | |
Transportation: Infrastructure/Services 0.39% | | | | | | | | | | | | |
New Jersey Transp Tr Fnd Auth | | 3.60% | | 12/15/2017 | | | 300 | | | | 301,731 | |
New Jersey Transp Tr Fnd Auth | | 4.00% | | 12/15/2017 | | | 650 | | | | 658,684 | |
Total | | | | | | | | | | | 960,415 | |
Total Municipal Bonds (cost $1,708,652) | | | | | | | | | | | 1,708,195 | |
| | | | | | | | | | | | |
| See Notes to Financial Statements. | 31 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | Fair Value | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 20.91% | | | | | | | | | | |
A10 Bridge Asset Financing LLC 2015-AA A1† | | Zero Coupon | | 5/15/2036 | | $ | 1,025 | | | $ | 1,023,859 | |
BAMLL Commercial Mortgage Securities Trust 2014-IP A† | | 2.808% | # | 6/15/2028 | | | 100 | | | | 100,338 | |
BAMLL Commercial Mortgage Securities Trust 2014-IP B† | | 2.808% | # | 6/15/2028 | | | 200 | | | | 199,779 | |
BAMLL Commercial Mortgage Securities Trust 2014-IP C† | | 2.808% | # | 6/15/2028 | | | 340 | | | | 340,765 | |
Bancorp Commercial Mortgage Trust 2016-CRE1 A† | | 2.589% | # | 11/15/2033 | | | 100 | | | | 100,238 | |
BBCMS Trust 2015-VFM A1† | | 2.466% | | 3/10/2036 | | | 264 | | | | 258,706 | |
BBCMS Trust 2015-VFM X IO† | | 0.589% | # | 3/12/2036 | | | 52,802 | | | | 1,310,808 | |
Bear Stearns Deutsche Bank Trust 2005-AFR1 A2† | | 5.008% | | 9/15/2027 | | | 74 | | | | 77,804 | |
CCRESG Commercial Mortgage Trust 2016-HEAT B† | | 4.114% | | 4/10/2029 | | | 619 | | | | 631,324 | |
CCRESG Commercial Mortgage Trust 2016-HEAT C† | | 4.919% | | 4/10/2029 | | | 619 | | | | 635,536 | |
CFCRE Commercial Mortgage Trust 2011-C2 AJ† | | 5.945% | # | 12/15/2047 | | | 133 | | | | 147,981 | |
CFCRE Commercial Mortgage Trust 2016-C6 XA IO | | 1.357% | # | 11/10/2049 | | | 2,070 | | | | 173,342 | |
CG-CCRE Commercial Mortgage Trust 2014-FL1 A† | | 2.109% | # | 6/15/2031 | | | 264 | | | | 263,660 | |
CGBAM Commercial Mortgage Trust 2015-SMRT B† | | 3.213% | | 4/10/2028 | | | 324 | | | | 328,261 | |
CGBAM Commercial Mortgage Trust 2015-SMRT C† | | 3.516% | | 4/10/2028 | | | 243 | | | | 246,728 | |
Citigroup Commercial Mortgage Trust 2013-SMP C† | | 2.738% | | 1/12/2030 | | | 250 | | | | 250,499 | |
Citigroup Commercial Mortgage Trust 2013-SMP D† | | 3.008% | # | 1/12/2030 | | | 750 | | | | 751,169 | |
Citigroup Commercial Mortgage Trust 2014-GC21 XA IO | | 1.419% | # | 5/10/2047 | | | 4,324 | | | | 280,617 | |
Citigroup Commercial Mortgage Trust 2014-GC23 XB IO | | 0.232% | # | 7/10/2047 | | | 3,784 | | | | 61,357 | |
Citigroup Commercial Mortgage Trust 2015-GC31 XA IO | | 0.458% | # | 6/10/2048 | | | 4,011 | | | | 109,567 | |
Citigroup Commercial Mortgage Trust 2016-SMPL A† | | 2.228% | | 9/10/2031 | | | 507 | | | | 501,618 | |
Citigroup Commercial Mortgage Trust 2016-SMPL B† | | 2.576% | | 9/10/2031 | | | 283 | | | | 279,356 | |
Citigroup Commercial Mortgage Trust 2016-SMPL C† | | 2.825% | | 9/10/2031 | | | 100 | | | | 98,534 | |
Citigroup Commercial Mortgage Trust 2016-SMPL XCP IO† | | 1.977% | # | 9/10/2031 | | | 47,247 | | | | 1,070,674 | |
Commercial Mortgage Pass-Through Certificates 2010-C1 C† | | 6.168% | # | 7/10/2046 | | | 100 | | | | 108,926 | |
32 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | Fair Value | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | |
Commercial Mortgage Pass-Through Certificates 2012-CR3 B† | | 3.922% | | 10/15/2045 | | $ | 383 | | | $ | 396,895 | |
Commercial Mortgage Pass-Through Certificates 2012-LTRT A1† | | 2.15% | | 10/5/2030 | | | 294 | | | | 288,486 | |
Commercial Mortgage Pass-Through Certificates 2013-SFS A1† | | 1.873% | | 4/12/2035 | | | 425 | | | | 418,479 | |
Commercial Mortgage Pass-Through Certificates 2013-THL B† | | 2.689% | # | 6/8/2030 | | | 225 | | | | 224,451 | |
Commercial Mortgage Pass-Through Certificates 2013-THL E† | | 4.839% | # | 6/8/2030 | | | 600 | | | | 600,764 | |
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | | 1.404% | # | 8/10/2047 | | | 1,673 | | | | 93,138 | |
Commercial Mortgage Pass-Through Certificates 2014-FL4 C† | | 2.595% | # | 7/13/2031 | | | 468 | | | | 471,051 | |
Commercial Mortgage Pass-Through Certificates 2014-LC17 XB IO† | | 0.124% | # | 10/10/2047 | | | 58,568 | | | | 293,086 | |
Commercial Mortgage Pass-Through Certificates 2014-UBS5 XA IO | | 1.20% | # | 9/10/2047 | | | 3,657 | | | | 168,058 | |
Commercial Mortgage Pass-Through Certificates 2015-CR23 CMC† | | 3.807% | # | 5/10/2048 | | | 1,000 | | | | 994,826 | |
Commercial Mortgage Pass-Through Certificates 2016-SAVA B† | | 3.459% | # | 10/15/2034 | | | 734 | | | | 738,487 | |
Commercial Mortgage Pass-Through Certificates 2016-SAVA XCP IO† | | 2.173% | # | 10/15/2034 | | | 6,243 | | | | 174,787 | |
Commercial Mortgage Trust 2006-GG7 AM | | 5.951% | # | 7/10/2038 | | | 407 | | | | 407,286 | |
Core Industrial Trust 2015-CALW C† | | 3.555% | | 2/10/2034 | | | 111 | | | | 113,535 | |
Core Industrial Trust 2015-WEST XA IO† | | 1.076% | # | 2/10/2037 | | | 2,882 | | | | 173,370 | |
Cosmopolitan Hotel Trust 2016-CSMO B† | | 3.259% | # | 11/15/2033 | | | 250 | | | | 252,181 | |
Credit Suisse First Boston Mortgage Securities Corp. 2006-OMA A† | | 5.384% | | 5/15/2023 | | | 19 | | | | 19,486 | |
Credit Suisse First Boston Mortgage Securities Corp. 2006-OMA B1† | | 5.466% | | 5/15/2023 | | | 333 | | | | 348,428 | |
Credit Suisse Mortgage Capital Certificates 2014-TIKI B† | | 2.509% | # | 9/15/2038 | | | 152 | | | | 151,073 | |
Credit Suisse Mortgage Capital Certificates 2014-TIKI C† | | 2.959% | # | 9/15/2038 | | | 465 | | | | 461,748 | |
Credit Suisse Mortgage Capital Certificates 2014-USA X1 IO† | | 0.697% | # | 9/15/2037 | | | 20,000 | | | | 753,700 | |
Credit Suisse Mortgage Capital Certificates 2015-DEAL A† | | 2.479% | # | 4/15/2029 | | | 478 | | | | 480,082 | |
Credit Suisse Mortgage Capital Certificates 2015-DEAL B† | | 3.009% | # | 4/15/2029 | | | 478 | | | | 479,825 | |
| See Notes to Financial Statements. | 33 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | Fair Value | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | |
Credit Suisse Mortgage Capital Certificates 2016-MFF B† | | 3.659% | # | 11/15/2033 | | $ | 419 | | | $ | 420,508 | |
Credit Suisse Mortgage Capital Certificates 2016-MFF C† | | 4.659% | # | 11/15/2033 | | | 476 | | | | 479,050 | |
Credit Suisse Mortgage Capital Certificates 2017-LSTK A† | | 2.761% | | 4/5/2033 | | | 1,200 | | | | 1,215,310 | |
DBUBS Mortgage Trust 2011-LC2A B† | | 4.998% | # | 7/10/2044 | | | 100 | | | | 108,123 | |
DBUBS Mortgage Trust 2011-LC2A D† | | 5.727% | # | 7/10/2044 | | | 300 | | | | 316,616 | |
DBUBS Mortgage Trust 2011-LC3A A3 | | 4.638% | | 8/10/2044 | | | 269 | | | | 270,245 | |
DBWF Mortgage Trust 2015-LCM A1† | | 2.998% | | 6/10/2034 | | | 324 | | | | 326,551 | |
DBWF Mortgage Trust 2015-LCM XA IO† | | 0.537% | # | 6/10/2034 | | | 845 | | | | 17,269 | |
GAHR Commercial Mortgage Trust 2015-NRF CFX† | | 3.495% | # | 12/15/2034 | | | 320 | | | | 325,998 | |
GRACE Mortgage Trust 2014-GRCE A† | | 3.369% | | 6/10/2028 | | | 300 | | | | 311,850 | |
Great Wolf Trust 2015-WOLF A† | | 2.44% | # | 5/15/2034 | | | 450 | | | | 451,991 | |
Great Wolf Trust 2015-WOLF C† | | 3.494% | # | 5/15/2034 | | | 151 | | | | 152,261 | |
Great Wolf Trust 2015-WOLF E† | | 5.444% | # | 5/15/2034 | | | 170 | | | | 172,767 | |
GS Mortgage Securities Corp. II 2013-KING A† | | 2.706% | | 12/10/2027 | | | 240 | | | | 242,697 | |
GS Mortgage Securities Corp. Trust 2012-SHOP B† | | 3.311% | | 6/5/2031 | | | 408 | | | | 408,651 | |
GS Mortgage Securities Corp. Trust 2012-SHOP D† | | 4.182% | | 6/5/2031 | | | 761 | | | | 765,141 | |
GS Mortgage Securities Corp. Trust 2013-NYC5 D† | | 3.479% | | 1/10/2030 | | | 200 | | | | 201,301 | |
GS Mortgage Securities Corp. Trust 2014-NEW B† | | 3.79% | | 1/10/2031 | | | 130 | | | | 131,146 | |
GS Mortgage Securities Trust 2012-GCJ7 B | | 4.74% | | 5/10/2045 | | | 95 | | | | 101,537 | |
GS Mortgage Securities Trust 2013-G1 A1† | | 2.059% | | 4/10/2031 | | | 740 | | | | 722,724 | |
GS Mortgage Securities Trust 2016-GS4 225A† | | 2.636% | | 11/10/2029 | | | 155 | | | | 154,336 | |
GS Mortgage Securities Trust 2016-GS4 225C† | | 3.778% | | 11/10/2029 | | | 270 | | | | 268,465 | |
GS Mortgage Securities Trust 2016-GS4 225D† | | 4.766% | | 11/10/2029 | | | 367 | | | | 368,913 | |
H/2 Asset Funding 2015-1A-AFL | | 2.174% | | 6/24/2049 | | | 392 | | | | 390,134 | |
H/2 Asset Funding 2015-1A-AFX | | 3.353% | | 6/24/2049 | | | 196 | | | | 194,134 | |
H/2 Asset Funding 2015-1A-BFX | | 3.993% | | 6/24/2049 | | | 369 | | | | 357,668 | |
HILT Mortgage Trust 2014-ORL B† | | 2.359% | # | 7/15/2029 | | | 200 | | | | 198,219 | |
HILT Mortgage Trust 2014-ORL C† | | 2.759% | # | 7/15/2029 | | | 750 | | | | 740,902 | |
Hudsons Bay Simon JV Trust 2015-HB7 D7† | | 5.331% | # | 8/5/2034 | | | 837 | | | | 799,859 | |
Irvine Core Office Trust 2013-IRV A1† | | 2.068% | | 5/15/2048 | | | 125 | | | | 124,594 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2010-C1 A2† | | 4.608% | | 6/15/2043 | | | 295 | | | | 307,199 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2010-C2 B† | | 5.075% | # | 11/15/2043 | | | 250 | | | | 267,152 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2012-WLDN A† | | 3.905% | | 5/5/2030 | | | 719 | | | | 750,971 | |
34 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | Fair Value | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-BXH A† | | 2.059% | # | 4/15/2027 | | $ | 368 | | | $ | 369,333 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-BXH B† | | 2.409% | # | 4/15/2027 | | | 250 | | | | 247,499 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 A2 | | 3.046% | | 4/15/2047 | | | 199 | | | | 202,913 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO | | 1.331% | # | 4/15/2047 | | | 1,895 | | | | 59,882 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO | | 0.427% | # | 4/15/2047 | | | 1,000 | | | | 19,788 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY B† | | 3.771% | | 6/10/2027 | | | 1,359 | | | | 1,363,081 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY C† | | 3.931% | # | 6/10/2027 | | | 866 | | | | 858,004 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XA IO† | | 0.503% | # | 6/10/2027 | | | 1,487 | | | | 11,829 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XB IO† | | 0.16% | # | 6/10/2027 | | | 661 | | | | 992 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-FL4 C† | | 3.359% | # | 12/15/2030 | | | 250 | | | | 248,182 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-FL4 D† | | 4.259% | # | 12/15/2030 | | | 500 | | | | 499,516 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2014-FL5 C† | | 3.259% | # | 7/15/2031 | | | 250 | | | | 247,190 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C28 A2 | | 2.773% | | 10/15/2048 | | | 34 | | | | 34,589 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C29 XA IO | | 1.078% | # | 5/15/2048 | | | 2,946 | | | | 109,338 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2015-UES XB IO† | | 0.206% | # | 9/5/2032 | | | 46,250 | | | | 201,187 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2016-ATRM A† | | 2.962% | | 10/5/2028 | | | 157 | | | | 157,457 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI A† | | 2.798% | | 10/5/2031 | | | 309 | | | | 313,778 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI B† | | 3.201% | | 10/5/2031 | | | 141 | | | | 143,764 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI C† | | 3.554% | | 10/5/2031 | | | 178 | | | | 181,936 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI XA IO† | | 1.345% | # | 10/5/2031 | | | 1,543 | | | | 69,299 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI XB IO† | | 0.791% | # | 10/5/2031 | | | 1,000 | | | | 25,419 | |
| See Notes to Financial Statements. | 35 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Investments | | Interest Rate | | Maturity Date | | Principal Amount (000) | | | Fair Value | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | | |
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WPT C† | | 4.009% | # | 10/15/2033 | | $ | 41 | | | $ | 41,345 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WPT D† | | 4.909% | # | 10/15/2033 | | | 292 | | | | 295,465 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WPT XCP IO† | | 1.198% | # | 10/15/2018 | | | 53,571 | | | | 845,618 | |
Ladder Capital Commercial Mortgage Securities LLC 2014-PKMD B† | | 2.952% | # | 11/14/2027 | | | 156 | | | | 154,645 | |
Ladder Capital Commercial Mortgage Securities LLC 2014-PKMD MRC† | | 2.952% | # | 11/14/2027 | | | 126 | | | | 125,356 | |
LMREC, Inc. 2015-CRE1 A† | | 2.966% | # | 2/22/2032 | | | 755 | | | | 749,600 | |
LMREC, Inc. 2015-CRE1 B† | | 4.716% | # | 2/22/2032 | | | 100 | | | | 97,885 | |
LSTAR Commercial Mortgage Trust 2014-2 XA IO† | | 1.033% | # | 1/20/2041 | | | 1,311 | | | | 17,575 | |
LSTAR Commercial Mortgage Trust 2015-3 A2† | | 2.729% | # | 4/20/2048 | | | 272 | | | | 273,124 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 A2 | | 3.001% | | 10/15/2046 | | | 40 | | | | 40,552 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 XA IO | | 0.879% | # | 7/15/2050 | | | 9,822 | | | | 362,383 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31 XA IO | | 1.608% | # | 11/15/2049 | | | 3,628 | | | | 347,860 | |
Morgan Stanley Capital Barclays Bank Trust 2016-MART B† | | 2.48% | | 9/13/2031 | | | 250 | | | | 246,545 | |
Morgan Stanley Capital Barclays Bank Trust 2016-MART C† | | 2.817% | | 9/13/2031 | | | 500 | | | | 495,440 | |
Morgan Stanley Capital Barclays Bank Trust 2016-MART XCP IO† | | 0.406% | # | 9/13/2031 | | | 124,205 | | | | 505,738 | |
Morgan Stanley Capital I Trust 2005-IQ9 B | | 4.86% | | 7/15/2056 | | | 450 | | | | 453,263 | |
Morgan Stanley Capital I Trust 2012-STAR A1† | | 2.084% | | 8/5/2034 | | | 566 | | | | 557,882 | |
Morgan Stanley Capital I Trust 2012-STAR B† | | 3.451% | | 8/5/2034 | | | 100 | | | | 100,428 | |
Morgan Stanley Capital I Trust 2014-CPT XA IO† | | 0.188% | # | 7/13/2029 | | | 100,000 | | | | 466,000 | |
Morgan Stanley Capital I Trust 2014-MP A† | | 3.469% | | 8/11/2033 | | | 100 | | | | 104,112 | |
Morgan Stanley Capital I Trust 2016-UB11 XA IO | | 1.814% | # | 8/15/2049 | | | 1,109 | | | | 114,922 | |
Morgan Stanley Capital I Trust 2016-UB11 XB IO | | 1.136% | # | 8/15/2049 | | | 1,538 | | | | 115,938 | |
Motel 6 Trust 2015-MTL6 B† | | 3.298% | | 2/5/2030 | | | 422 | | | | 421,667 | |
Motel 6 Trust 2015-MTL6 C† | | 3.644% | | 2/5/2030 | | | 322 | | | | 321,990 | |
Motel 6 Trust 2015-MTL6 D† | | 4.532% | | 2/5/2030 | | | 350 | | | | 350,456 | |
MSCG Trust 2015-ALDR A1† | | 2.612% | | 6/7/2035 | | | 175 | | | | 173,955 | |
MSCG Trust 2016-SNR A† | | 3.46% | # | 11/15/2034 | | | 687 | | | | 689,534 | |
MSCG Trust 2016-SNR B† | | 4.181% | | 11/15/2034 | | | 332 | | | | 333,862 | |
MSCG Trust 2016-SNR C† | | 5.205% | | 11/15/2034 | | | 213 | | | | 214,984 | |
36 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | | | | | | |
Prima Capital CRE Securization 2006-1 | | 2.55% | | 8/26/2049 | | $ | 1,526 | | | $ | 1,489,853 | |
ReadyCap Mortgage Trust 2016-3 A† | | 2.94% | | 11/20/2038 | | | 179 | | | | 179,973 | |
Resource Capital Corp. Ltd. 2014-CRE2 A† | | 2.222% | # | 4/15/2032 | | | 67 | | | | 67,130 | |
VNDO Mortgage Trust 2012-6AVE C† | | 3.448% | # | 11/15/2030 | | | 229 | | | | 233,212 | |
Vornado DP LLC Trust 2010-VNO A1† | | 2.97% | | 9/13/2028 | | | 370 | | | | 375,990 | |
Wells Fargo Commercial Mortgage Trust 2010-C1 C† | | 5.785% | # | 11/15/2043 | | | 250 | | | | 268,074 | |
Wells Fargo Commercial Mortgage Trust 2015-C29 XA IO | | 0.889% | # | 6/15/2048 | | | 2,455 | | | | 104,110 | |
Wells Fargo Commercial Mortgage Trust 2015-C29 XB IO | | 0.101% | # | 6/15/2048 | | | 40,645 | | | | 141,501 | |
Wells Fargo Commercial Mortgage Trust 2015-LC20 XB IO | | 0.621% | # | 4/15/2050 | | | 24,333 | | | | 816,224 | |
Wells Fargo Commercial Mortgage Trust 2015-SG1 XA IO | | 0.947% | # | 9/15/2048 | | | 2,577 | | | | 119,367 | |
Wells Fargo Commercial Mortgage Trust 2016-LC24 XB IO | | 1.161% | # | 10/15/2049 | | | 4,661 | | | | 370,693 | |
WF-RBS Commercial Mortgage Trust 2011-C4 A3† | | 4.394% | | 6/15/2044 | | | 16 | | | | 16,843 | |
WF-RBS Commercial Mortgage Trust 2012-C7 A1 | | 2.30% | | 6/15/2045 | | | 382 | | | | 383,979 | |
WF-RBS Commercial Mortgage Trust 2012-C8 A2 | | 1.881% | | 8/15/2045 | | | 48 | | | | 48,078 | |
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO | | 1.314% | # | 5/15/2047 | | | 3,790 | | | | 197,113 | |
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO | | 0.733% | # | 5/15/2047 | | | 765 | | | | 28,432 | |
WF-RBS Commercial Mortgage Trust 2014-C21 XB IO | | 0.758% | # | 8/15/2047 | | | 15,000 | | | | 611,509 | |
WF-RBS Commercial Mortgage Trust 2014-C22 XA IO | | 1.072% | # | 9/15/2057 | | | 12,697 | | | | 597,189 | |
WF-RBS Commercial Mortgage Trust 2014-C22 XB IO | | 0.496% | # | 9/15/2057 | | | 14,000 | | | | 389,683 | |
WF-RBS Commercial Mortgage Trust 2014-C23 XA IO | | 0.825% | # | 10/15/2057 | | | 7,777 | | | | 270,946 | |
WF-RBS Commercial Mortgage Trust 2014-C23 XB IO | | 0.307% | # | 10/15/2057 | | | 5,000 | | | | 88,988 | |
Total Non-Agency Commercial Mortgage-Backed Securities (cost $51,529,873) | | | | | | | | | 51,100,937 | |
| | | | | | | | | | | | |
U.S. TREASURY OBLIGATION 2.00% | | | | | | | | | | | | |
U.S. Treasury Note (cost $4,898,276) | | 0.875% | | 10/15/2017 | | | 4,900 | | | | 4,897,124 | |
Total Long-Term Investments (cost $204,903,884) | | | | | | | | | | | 205,067,996 | |
| See Notes to Financial Statements. | 37 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
SHORT-TERM INVESTMENTS 11.57% | | | | | | | | | | | | |
| | | | | | | | | | | | |
COMMERCIAL PAPER 7.25% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Beverages 0.41% | | | | | | | | | | | | |
Molson Coors Brewing Co. | | Zero Coupon | | 7/17/2017 | | $ | 1,000 | | | $ | 999,417 | |
| | | | | | | | | | | | |
Building Materials 0.10% | | | | | | | | | | | | |
CRH America Finance IN | | Zero Coupon | | 7/28/2017 | | | 250 | | | | 249,757 | |
| | | | | | | | | | | | |
Chemicals 0.81% | | | | | | | | | | | | |
Albemarle Corp. | | Zero Coupon | | 7/28/2017 | | | 1,000 | | | | 998,819 | |
EI du Point de Nemours & Co. | | Zero Coupon | | 8/7/2017 | | | 1,000 | | | | 998,717 | |
Total | | | | | | | | | | | 1,997,536 | |
| | | | | | | | | | | | |
Energy: Exploration & Production 1.63% | | | | | | | | | | | | |
Enbridge Energy Partners LP | | Zero Coupon | | 7/14/2017 | | | 1,000 | | | | 999,422 | |
Nabors Industries, Inc. | | Zero Coupon | | 7/10/2017 | | | 1,000 | | | | 999,640 | |
ONEOK Partners LP | | Zero Coupon | | 7/13/2017 | | | 1,000 | | | | 999,542 | |
ONEOK Partners LP | | Zero Coupon | | 7/10/2017 | | | 1,000 | | | | 999,664 | |
Total | | | | | | | | | | | 3,998,268 | |
| | | | | | | | | | | | |
Food: Wholesale 0.41% | | | | | | | | | | | | |
Kraft Foods Group, Inc. | | Zero Coupon | | 7/20/2017 | | | 1,000 | | | | 999,292 | |
| | | | | | | | | | | | |
Gas Distribution 0.41% | | | | | | | | | | | | |
Plains All American Pipeline LP | | Zero Coupon | | 8/14/2017 | | | 1,000 | | | | 997,538 | |
| | | | | | | | | | | | |
Hotels 0.82% | | | | | | | | | | | | |
Marriott International, Inc. | | Zero Coupon | | 7/12/2017 | | | 1,000 | | | | 999,660 | |
Wyndham Worldwide Corp. | | Zero Coupon | | 7/12/2017 | | | 1,000 | | | | 999,575 | |
Total | | | | | | | | | | | 1,999,235 | |
| | | | | | | | | | | | |
Investments & Miscellaneous Financial Services 0.61% | | | | | | | | | | | |
Syngenta Wilmington, Inc. | | Zero Coupon | | 11/1/2017 | | | 500 | | | | 496,986 | |
Syngenta Wilmington, Inc. | | Zero Coupon | | 12/8/2017 | | | 1,000 | | | | 991,879 | |
Total | | | | | | | | | | | 1,488,865 | |
| | | | | | | | | | | | |
Oil Field Equipment & Services 0.82% | | | | | | | | | | | | |
FMC Technologies, Inc. | | Zero Coupon | | 7/24/2017 | | | 1,000 | | | | 999,154 | |
Schlumberger Holdings Corp. | | Zero Coupon | | 7/31/2017 | | | 1,000 | | | | 998,950 | |
Total | | | | | | | | | | | 1,998,104 | |
| | | | | | | | | | | | |
Rail 0.41% | | | | | | | | | | | | |
Kansas City Southern | | Zero Coupon | | 7/18/2017 | | | 1,000 | | | | 999,375 | |
38 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
Technology Hardware & Equipment 0.82% | | | | | | | | | | | | |
Hewlett Packard Enterprise Co. | | Zero Coupon | | 7/27/2017 | | $ | 1,000 | | | $ | 999,080 | |
HP, Inc. | | Zero Coupon | | 7/28/2017 | | | 1,000 | | | | 998,993 | |
Total | | | | | | | | | | | 1,998,073 | |
Total Commercial Paper (cost $17,721,623) | | | | | | | | | | | 17,725,460 | |
| | | | | | | | | | | | |
CORPORATE BONDS 2.48% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Banking 0.21% | | | | | | | | | | | | |
Compass Bank | | 1.85% | | 9/29/2017 | | | 500 | | | | 500,141 | |
| | | | | | | | | | | | |
Consumer/Commercial/Lease Financing 0.30% | | | | | | | | | | | | |
Air Lease Corp. | | 2.125% | | 1/15/2018 | | | 230 | | | | 230,440 | |
Synchrony Financial | | 2.58% | # | 11/9/2017 | | | 500 | | | | 501,612 | |
Total | | | | | | | | | | | 732,052 | |
| | | | | | | | | | | | |
Electric: Distribution/Transportation 0.42% | | | | | | | | | | | | |
ITC Holdings Corp.† | | 6.05% | | 1/31/2018 | | | 500 | | | | 511,506 | |
New York State Electric & Gas Corp.† | | 6.15% | | 12/15/2017 | | | 500 | | | | 509,344 | |
Total | | | | | | | | | | | 1,020,850 | |
| | | | | | | | | | | | |
Electric: Integrated 0.11% | | | | | | | | | | | | |
National Fuel Gas Co. | | 6.50% | | 4/15/2018 | | | 250 | | | | 259,080 | |
| | | | | | | | | | | | |
Electronics 0.41% | | | | | | | | | | | | |
Tech Data Corp. | | 3.75% | | 9/21/2017 | | | 500 | | | | 501,546 | |
Tyco Electronics Group SA (Luxemburg)(a) | | 6.55% | | 10/1/2017 | | | 500 | | | | 505,954 | |
Total | | | | | | | | | | | 1,007,500 | |
| | | | | | | | | | | | |
Energy: Exploration & Production 0.21% | | | | | | | | | | | | |
EOG Resources, Inc. | | 5.875% | | 9/15/2017 | | | 500 | | | | 504,145 | |
| | | | | | | | | | | | |
Gas Distribution 0.32% | | | | | | | | | | | | |
Kinder Morgan Energy Partners LP | | 5.95% | | 2/15/2018 | | | 500 | | | | 512,433 | |
Kinder Morgan Finance Co. LLC† | | 6.00% | | 1/15/2018 | | | 250 | | | | 255,226 | |
Total | | | | | | | | | | | 767,659 | |
| | | | | | | | | | | | |
Oil Field Equipment & Services 0.10% | | | | | | | | | | | | |
TechnipFMC plc (United Kingdom)†(a) | | 2.00% | | 10/1/2017 | | | 250 | | | | 249,905 | |
| | | | | | | | | | | | |
Personal & Household Products 0.10% | | | | | | | | | | | | |
Hasbro, Inc. | | 6.30% | | 9/15/2017 | | | 250 | | | | 252,090 | |
| | | | | | | | | | | | |
Real Estate Investment Trusts 0.10% | | | | | | | | | | | | |
Mack-Cali Realty LP | | 2.50% | | 12/15/2017 | | | 250 | | | | 250,399 | |
| See Notes to Financial Statements. | 39 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
Specialty Retail 0.10% | | | | | | | | | | | | |
Staples, Inc. | | 2.75% | | 1/12/2018 | | $ | 250 | | | $ | 250,973 | |
| | | | | | | | | | | | |
Technology Hardware & Equipment 0.10% | | | | | | | | | | | | |
Ingram Micro, Inc. | | 5.25% | | 9/1/2017 | | | 250 | | | | 251,077 | |
Total Corporate Bonds (cost $6,048,535) | | | | | | | | | | | 6,045,871 | |
| | | | | | | | | | | | |
FOREIGN GOVERNMENT OBLIGATIONS 1.84% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Egypt 0.92% | | | | | | | | | | | | |
Egypt Treasury Bill | | Zero Coupon | | 11/28/2017 | | EGP | 44,000 | | | | 2,255,782 | |
| | | | | | | | | | | | |
Uruguay 0.92% | | | | | | | | | | | | |
Uruguay Treasury Bill | | Zero Coupon | | 10/6/2017 | | UYU | 65,000 | | | | 2,233,783 | |
Total Foreign Government Obligations (cost $4,509,011) | | | | | | | | | | | 4,489,564 | |
Total Short-Term Investments (cost $28,279,169) | | | | | | | | | | | 28,260,895 | |
Total Investments in Securities 95.47% (cost $233,183,054) | | | | | | | | | | | 233,328,892 | |
Foreign Cash and Other Assets in Excess of Liabilities(d) 4.53% | | | | | | | | | | | 11,081,659 | |
Net Assets 100.00% | | | | | | | | | | $ | 244,410,551 | |
IO | | Interest Only. |
REIT | | Real Estate Investment Trust |
ARS | | Argentine Peso |
BRL | | Brazilian real. |
EGP | | Egyptian pound |
UYU | | Uruguayan Peso |
† | | 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, 2017. |
(a) | | Foreign security traded in U.S. dollars. |
(b) | | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate shown is the rate in effect at June 30, 2017. |
(c) | | Investment in non-U.S. dollar denominated securities. |
(d) | | 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: |
40 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Open Forward Foreign Currency Exchange Contracts at June 30, 2017:
Forward Foreign Currency Exchange Contracts | | Transaction Type | | Counterparty | | Expiration Date | | Foreign Currency | | U.S. $ Cost on Origination Date | | | U.S. $ Current Value | | | Unrealized Appreciation | |
Australian dollar | | Buy | | J.P. Morgan | | 7/13/2017 | | 6,535,000 | | $ | 4,918,740 | | | $ | 5,022,278 | | | $ | 103,538 | |
Brazilian real | | Buy | | Barclays Bank plc | | 9/11/2017 | | 6,000,000 | | | 1,774,786 | | | | 1,786,017 | | | | 11,231 | |
British pound | | Buy | | J.P. Morgan | | 7/13/2017 | | 1,975,000 | | | 2,559,575 | | | | 2,573,011 | | | | 13,436 | |
Canadian dollar | | Buy | | J.P. Morgan | | 7/13/2017 | | 6,645,000 | | | 5,026,217 | | | | 5,125,030 | | | | 98,813 | |
Chilean peso | | Buy | | Barclays Bank plc | | 8/16/2017 | | 2,700,000,000 | | | 3,962,605 | | | | 4,062,762 | | | | 100,157 | |
Chilean peso | | Buy | | J.P. Morgan | | 9/11/2017 | | 308,720,000 | | | 463,732 | | | | 464,183 | | | | 451 | |
Chilean peso | | Buy | | UBS AG | | 9/11/2017 | | 1,150,000,000 | | | 1,712,915 | | | | 1,729,107 | | | | 16,192 | |
Chinese yuan renminbi | | Buy | | Bank of America | | 8/16/2017 | | 31,000,000 | | | 4,439,626 | | | | 4,561,715 | | | | 122,089 | |
Chinese yuan renminbi | | Buy | | Barclays Bank plc | | 7/13/2017 | | 42,975,000 | | | 6,176,788 | | | | 6,344,830 | | | | 168,042 | |
Chinese yuan renminbi | | Buy | | J.P. Morgan | | 9/11/2017 | | 55,350,000 | | | 8,089,740 | | | | 8,129,910 | | | | 40,170 | |
Colombian peso | | Buy | | Goldman Sachs | | 9/11/2017 | | 1,806,600,000 | | | 586,096 | | | | 587,587 | | | | 1,491 | |
Czech koruna | | Buy | | Bank of America | | 9/11/2017 | | 58,000,000 | | | 2,497,967 | | | | 2,546,825 | | | | 48,858 | |
Czech koruna | | Buy | | J.P. Morgan | | 8/16/2017 | | 118,800,000 | | | 4,859,094 | | | | 5,208,399 | | | | 349,305 | |
Czech koruna | | Buy | | State Street Bank and Trust | | 7/13/2017 | | 104,970,000 | | | 4,228,092 | | | | 4,592,143 | | | | 364,051 | |
euro | | Buy | | Barclays Bank plc | | 7/13/2017 | | 192,000 | | | 219,202 | | | | 219,383 | | | | 181 | |
euro | | Buy | | State Street Bank and Trust | | 7/13/2017 | | 240,000 | | | 268,739 | | | | 274,228 | | | | 5,489 | |
Hungarian forint | | Buy | | Bank of America | | 7/13/2017 | | 1,042,500,000 | | | 3,641,966 | | | | 3,856,520 | | | | 214,554 | |
Hungarian forint | | Buy | | Bank of America | | 8/16/2017 | | 707,000,000 | | | 2,483,222 | | | | 2,619,013 | | | | 135,791 | |
Hungarian forint | | Buy | | Standard Chartered Bank | | 7/13/2017 | | 906,100,000 | | | 3,091,832 | | | | 3,351,935 | | | | 260,103 | |
Hungarian forint | | Buy | | Standard Chartered Bank | | 8/15/2017 | | 935,200,000 | | | 3,289,488 | | | | 3,464,212 | | | | 174,724 | |
Hungarian forint | | Buy | | Standard Chartered Bank | | 8/16/2017 | | 250,000,000 | | | 917,050 | | | | 926,101 | | | | 9,051 | |
Indian rupee | | Buy | | Citibank | | 9/11/2017 | | 233,850,000 | | | 3,590,522 | | | | 3,591,228 | | | | 706 | |
Indian rupee | | Buy | | J.P. Morgan | | 8/16/2017 | | 271,700,000 | | | 4,156,722 | | | | 4,184,940 | | | | 28,218 | |
Indian rupee | | Buy | | J.P. Morgan | | 7/13/2017 | | 248,500,000 | | | 3,829,145 | | | | 3,841,306 | | | | 12,161 | |
Indonesian rupiah | | Buy | | J.P. Morgan | | 8/15/2017 | | 43,100,000,000 | | | 3,202,318 | | | | 3,219,442 | | | | 17,124 | |
Indonesian rupiah | | Buy | | J.P. Morgan | | 7/13/2017 | | 75,650,000,000 | | | 5,628,301 | | | | 5,667,891 | | | | 39,590 | |
Indonesian rupiah | | Buy | | Morgan Stanley | | 9/11/2017 | | 4,921,000,000 | | | 366,217 | | | | 366,468 | | | | 251 | |
Israeli new shekel | | Buy | | Barclays Bank plc | | 7/13/2017 | | 10,620,000 | | | 2,914,216 | | | | 3,045,225 | | | | 131,009 | |
Israeli new shekel | | Buy | | State Street Bank and Trust | | 9/11/2017 | | 3,660,000 | | | 1,051,381 | | | | 1,051,981 | | | | $600 | |
Malaysian ringgit | | Buy | | Barclays Bank plc | | 7/13/2017 | | 20,680,000 | | | 4,642,080 | | | | 4,803,545 | | | | 161,465 | |
Malaysian ringgit | | Buy | | State Street Bank and Trust | | 7/13/2017 | | 22,100,000 | | | 4,960,718 | | | | 5,133,382 | | | | 172,664 | |
Malaysian ringgit | | Buy | | State Street Bank and Trust | | 8/16/2017 | | 6,690,000 | | | 1,537,578 | | | | 1,551,950 | | | | 14,372 | |
| See Notes to Financial Statements. | 41 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Open Forward Foreign Currency Exchange Contracts at June 30, 2017: (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 | |
Mexican peso | | Buy | | Goldman Sachs | | 7/13/2017 | | 47,600,000 | | $ | 2,501,557 | | | $ | 2,619,431 | | | $ | 117,874 | |
Mexican peso | | Buy | | J.P. Morgan | | 7/13/2017 | | 78,960,000 | | | 4,163,245 | | | | 4,345,174 | | | | 181,929 | |
Mexican peso | | Buy | | J.P. Morgan | | 8/15/2017 | | 102,965,000 | | | 5,365,833 | | | | 5,636,731 | | | | 270,898 | |
Mexican peso | | Buy | | Standard Chartered Bank | | 7/13/2017 | | 2,820,000 | | | 147,286 | | | | 155,185 | | | | 7,899 | |
Mexican peso | | Buy | | State Street Bank and Trust | | 9/11/2017 | | 64,500,000 | | | 3,489,061 | | | | 3,516,236 | | | | 27,175 | |
Peruvian Nuevo sol | | Buy | | Barclays Bank plc | | 8/16/2017 | | 14,120,000 | | | 4,250,152 | | | | 4,331,815 | | | | 81,663 | |
Peruvian Nuevo sol | | Buy | | UBS AG | | 9/11/2017 | | 6,525,000 | | | 1,976,853 | | | | 1,996,329 | | | | 19,476 | |
Peruvian Nuevo sol | | Buy | | UBS AG | | 7/13/2017 | | 15,550,000 | | | 4,745,918 | | | | 4,789,206 | | | | 43,288 | |
Polish zloty | | Buy | | State Street Bank and Trust | | 7/13/2017 | | 8,250,000 | | | 2,062,350 | | | | 2,226,241 | | | | 163,891 | |
Polish zloty | | Buy | | State Street Bank and Trust | | 8/16/2017 | | 25,000,000 | | | 6,431,828 | | | | 6,745,052 | | | | 313,224 | |
Polish zloty | | Buy | | State Street Bank and Trust | | 9/11/2017 | | 7,790,000 | | | 2,091,194 | | | | 2,101,515 | | | | 10,321 | |
Romanian new leu | | Buy | | Bank of America | | 9/11/2017 | | 4,376,000 | | | 1,097,264 | | | | 1,098,330 | | | | 1,066 | |
Romanian new leu | | Buy | | Barclays Bank plc | | 8/16/2017 | | 12,025,000 | | | 2,879,670 | | | | 3,016,138 | | | | 136,468 | |
Romanian new leu | | Buy | | J.P. Morgan | | 7/13/2017 | | 12,860,000 | | | 3,033,598 | | | | 3,222,816 | | | | 189,218 | |
Romanian new leu | | Buy | | Standard Chartered Bank | | 9/11/2017 | | 11,750,000 | | | 2,902,886 | | | | 2,949,125 | | | | 46,239 | |
Singapore dollar | | Buy | | Morgan Stanley | | 9/11/2017 | | 2,230,000 | | | 1,617,459 | | | | 1,621,457 | | | | 3,998 | |
South African rand | | Buy | | Citibank | | 7/13/2017 | | 5,515,000 | | | 392,563 | | | | 420,978 | | | | 28,415 | |
South African rand | | Buy | | State Street Bank and Trust | | 7/13/2017 | | 1,980,000 | | | 146,529 | | | | 151,140 | | | | 4,611 | |
South African rand | | Buy | | State Street Bank and Trust | | 8/15/2017 | | 47,100,000 | | | 3,461,070 | | | | 3,575,289 | | | | 114,219 | |
Taiwan dollar | | Buy | | Standard Chartered Bank | | 7/13/2017 | | 128,950,000 | | | 4,217,222 | | | | 4,243,650 | | | | 26,428 | |
Taiwan dollar | | Buy | | Standard Chartered Bank | | 9/11/2017 | | 111,400,000 | | | 3,663,751 | �� | | | 3,664,594 | | | | 843 | |
Thai baht | | Buy | | Standard Chartered Bank | | 7/13/2017 | | 97,800,000 | | | 2,822,250 | | | | 2,879,011 | | | | 56,761 | |
Turkish lira | | Buy | | Bank of America | | 9/11/2017 | | 23,170,000 | | | 6,372,534 | | | | 6,457,307 | | | | 84,773 | |
Turkish lira | | Buy | | Citibank | | 7/13/2017 | | 17,360,000 | | | 4,601,904 | | | | 4,920,131 | | | | 318,227 | |
Turkish lira | | Buy | | Citibank | | 8/15/2017 | | 22,685,000 | | | 6,186,522 | | | | 6,369,891 | | | | 183,369 | |
Argentine peso | | Sell | | Citibank | | 7/25/2017 | | 1,630,000 | | | 97,313 | | | | 97,072 | | | | 241 | |
Colombian peso | | Sell | | Goldman Sachs | | 7/13/2017 | | 5,600,000,000 | | | 1,843,779 | | | | 1,835,662 | | | | 8,117 | |
Egyptian pound | | Sell | | Citibank | | 8/30/2017 | | 40,300,000 | | | 2,190,217 | | | | 2,187,911 | | | | 2,306 | |
42 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Open Forward Foreign Currency Exchange Contracts at June 30, 2017: (continued)
Forward | | | | | | | | | | | | | | | | | |
Foreign | | | | | | | | | | U.S. $ | | | | | | | |
Currency | | | | | | | | | | Cost on | | | U.S. $ | | | | |
Exchange | | Transaction | | | | Expiration | | Foreign | | Origination | | | Current | | Unrealized | |
Contracts | | Type | | Counterparty | | Date | | Currency | | Date | | | Value | | Appreciation | |
Indonesian rupiah | | Sell | | State Street Bank and Trust | | 7/13/2017 | | 2,266,950,000 | | $ | 170,104 | | | $ | 169,846 | | | $ | 258 | |
Japanese yen | | Sell | | J.P. Morgan | | 8/16/2017 | | 130,790,000 | | | 1,192,395 | | | | 1,164,878 | | | | 27,517 | |
Mexican peso | | Sell | | J.P. Morgan | | 7/13/2017 | | 3,085,000 | | | 170,438 | | | | 169,768 | | | | 670 | |
Philippine peso | | Sell | | State Street Bank and Trust | | 8/16/2017 | | 3,685,000 | | | 73,728 | | | | 72,744 | | | | 984 | |
Singapore dollar | | Sell | | J.P. Morgan | | 9/11/2017 | | 3,190,000 | | | 2,319,711 | | | | 2,319,484 | | | | 227 | |
Taiwan dollar | | Sell | | State Street Bank and Trust | | 7/13/2017 | | 102,770,000 | | | 3,396,592 | | | | 3,382,085 | | | | 14,507 | |
Thai baht | | Sell | | Goldman Sachs | | 7/13/2017 | | 39,800,000 | | | 1,172,554 | | | | 1,171,622 | | | | 932 | |
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | | | | | | | $ | 5,303,909 | |
Forward | | | | | | | | | | | | | | | | | |
Foreign | | | | | | | | | | U.S. $ | | | | | | | |
Currency | | | | | | | | | | Cost on | | | U.S. $ | | | | |
Exchange | | Transaction | | | | Expiration | | Foreign | | Origination | | | Current | | | Unrealized | |
Contracts | | Type | | Counterparty | | Date | | Currency | | Date | | | Value | | | Depreciation | |
Argentine peso | | Buy | | BNP Paribas S.A. | | 7/25/2017 | | 89,000,000 | | $ | 5,533,105 | | | $ | 5,300,239 | | | $ | (232,866 | ) |
Argentine peso | | Buy | | BNP Paribas S.A. | | 8/15/2017 | | 4,975,000 | | | 297,815 | | | | 293,100 | | | | (4,715 | ) |
Argentine peso | | Buy | | BNP Paribas S.A. | | 9/18/2017 | | 81,000,000 | | | 4,882,459 | | | | 4,686,590 | | | | (195,869 | ) |
Argentine peso | | Buy | | J.P. Morgan | | 8/15/2017 | | 96,400,000 | | | 5,969,040 | | | | 5,679,366 | | | | (289,674 | ) |
Brazilian real | | Buy | | Barclays Bank plc | | 9/11/2017 | | 11,250,000 | | | 3,350,288 | | | | 3,348,782 | | | | (1,506 | ) |
Brazilian real | | Buy | | Barclays Bank plc | | 9/11/2017 | | 1,470,000 | | | 438,240 | | | | 437,574 | | | | (666 | ) |
Brazilian real | | Buy | | Goldman Sachs | | 7/13/2017 | | 9,100,000 | | | 2,849,270 | | | | 2,741,890 | | | | (107,380 | ) |
Colombian peso | | Buy | | Bank of America | | 7/13/2017 | | 14,150,000,000 | | | 4,889,426 | | | | 4,638,325 | | | | (251,101 | ) |
Colombian peso | | Buy | | Goldman Sachs | | 7/13/2017 | | 437,670,000 | | | 146,802 | | | | 143,467 | | | | (3,335 | ) |
Colombian peso | | Buy | | State Street Bank and Trust | | 8/16/2017 | | 15,760,000,000 | | | 5,251,145 | | | | 5,142,008 | | | | (109,137 | ) |
Colombian peso | | Buy | | State Street Bank and Trust | | 9/11/2017 | | 15,150,000,000 | | | 5,156,569 | | | | 4,927,454 | | | | (229,115 | ) |
Indian rupee | | Buy | | Bank of America | | 9/11/2017 | | 477,300,000 | | | 7,343,642 | | | | 7,329,883 | | | | (13,759 | ) |
Indian rupee | | Buy | | J.P. Morgan | | 9/11/2017 | | 8,100,000 | | | 124,683 | | | | 124,391 | | | | (292 | ) |
Indian rupee | | Buy | | J.P. Morgan | | 9/11/2017 | | 161,250,000 | | | 2,481,227 | | | | 2,476,312 | | | | (4,915 | ) |
Indonesian rupiah | | Buy | | Standard Chartered Bank | | 9/11/2017 | | 1,334,000,000 | | | 99,423 | | | | 99,343 | | | | (80 | ) |
Indonesian rupiah | | Buy | | State Street Bank and Trust | | 9/11/2017 | | 80,500,000,000 | | | 6,014,195 | | | | 5,994,847 | | | | (19,348 | ) |
Malaysian ringgit | | Buy | | UBS AG | | 8/16/2017 | | 10,460,000 | | | 2,453,959 | | | | 2,426,516 | | | | (27,443 | ) |
Philippine peso | | Buy | | Barclays Bank plc | | 8/16/2017 | | 260,000,000 | | | 5,170,734 | | | | 5,132,534 | | | | (38,200 | ) |
Philippine peso | | Buy | | Barclays Bank plc | | 9/11/2017 | | 156,700,000 | | | 3,150,192 | | | | 3,086,833 | | | | (63,359 | ) |
Philippine peso | | Buy | | J.P. Morgan | | 7/13/2017 | | 246,900,000 | | | 4,956,139 | | | | 4,889,593 | | | | (66,546 | ) |
| See Notes to Financial Statements. | 43 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Open Forward Foreign Currency Exchange Contracts at June 30, 2017: (continued)
Forward | | | | | | | | | | | | | | | | | |
Foreign | | | | | | | | | | U.S. $ | | | | | | | |
Currency | | | | | | | | | | Cost on | | | U.S. $ | | | | |
Exchange | | Transaction | | | | Expiration | | Foreign | | Origination | | | Current | | | Unrealized | |
Contracts | | Type | | Counterparty | | Date | | Currency | | Date | | | Value | | | Depreciation | |
Philippine peso | | Buy | | J.P. Morgan | | 7/13/2017 | | 135,475,000 | | $ | 2,713,897 | | | $ | 2,682,939 | | | $ | (30,958 | ) |
Philippine peso | | Buy | | Morgan Stanley | | 9/11/2017 | | 36,000,000 | | | 709,290 | | | | 709,164 | | | | (126 | ) |
Russian ruble | | Buy | | Barclays Bank plc | | 8/16/2017 | | 334,000,000 | | | 5,684,042 | | | | 5,614,892 | | | | (69,150 | ) |
Russian ruble | | Buy | | Barclays Bank plc | | 9/11/2017 | | 339,000,000 | | | 5,861,938 | | | | 5,666,082 | | | | (195,856 | ) |
Russian ruble | | Buy | | Barclays Bank plc | | 7/13/2017 | | 300,000,000 | | | 5,147,095 | | | | 5,078,880 | | | | (68,215 | ) |
South African rand | | Buy | | Standard Chartered Bank | | 9/11/2017 | | 52,700,000 | | | 4,048,562 | | | | 3,982,540 | | | | (66,022 | ) |
South Korean won | | Buy | | Bank of America | | 9/11/2017 | | 607,830,000 | | | 543,851 | | | | 531,272 | | | | (12,579 | ) |
Turkish lira | | Buy | | Citibank | | 9/11/2017 | | 526,000 | | | 146,636 | | | | 146,592 | | | | (44 | ) |
Australian dollar | | Sell | | J.P. Morgan | | 7/13/2017 | | 6,535,000 | | | 4,888,200 | | | | 5,022,278 | | | | (134,078 | ) |
Brazilian real | | Sell | | J.P. Morgan | | 7/13/2017 | | 410,000 | | | 122,582 | | | | 123,536 | | | | (954 | ) |
British pound | | Sell | | J.P. Morgan | | 7/13/2017 | | 1,975,000 | | | 2,471,263 | | | | 2,573,011 | | | | (101,748 | ) |
Canadian dollar | | Sell | | J.P. Morgan | | 7/13/2017 | | 3,390,000 | | | 2,485,217 | | | | 2,614,575 | | | | (129,358 | ) |
Canadian dollar | | Sell | | State Street Bank and Trust | | 7/13/2017 | | 3,255,000 | | | 2,447,311 | | | | 2,510,455 | | | | (63,144 | ) |
Chinese yuan renminbi | | Sell | | Bank of America | | 7/13/2017 | | 24,200,000 | | | 3,569,806 | | | | 3,572,889 | | | | (3,083 | ) |
Chinese yuan renminbi | | Sell | | Standard Chartered Bank | | 7/13/2017 | | 1,160,000 | | | 169,720 | | | | 171,262 | | | | (1,542 | ) |
Chinese yuan renminbi | | Sell | | State Street Bank and Trust | | 8/16/2017 | | 674,000 | | | 98,423 | | | | 99,181 | | | | (758 | ) |
Czech koruna | | Sell | | Barclays Bank plc | | 7/13/2017 | | 2,860,000 | | | 121,439 | | | | 125,117 | | | | (3,678 | ) |
Czech koruna | | Sell | | Citibank | | 8/16/2017 | | 4,010,000 | | | 171,773 | | | | 175,805 | | | | (4,032 | ) |
Czech koruna | | Sell | | Citibank | | 7/13/2017 | | 5,600,000 | | | 224,106 | | | | 244,984 | | | | (20,878 | ) |
Czech koruna | | Sell | | J.P. Morgan | | 7/13/2017 | | 8,390,000 | | | 366,407 | | | | 367,039 | | | | (632 | ) |
euro | | Sell | | J.P. Morgan | | 8/16/2017 | | 4,476,077 | | | 4,859,094 | | | | 5,123,362 | | | | (264,268 | ) |
euro | | Sell | | State Street Bank and Trust | | 7/13/2017 | | 3,445,000 | | | 3,676,107 | | | | 3,936,319 | | | | (260,212 | ) |
Hungarian forint | | Sell | | Citibank | | 7/13/2017 | | 1,020,000,000 | | | 3,729,192 | | | | 3,773,286 | | | | (44,094 | ) |
Hungarian forint | | Sell | | Citibank | | 7/13/2017 | | 726,910,000 | | | 2,684,022 | | | | 2,689,058 | | | | (5,036 | ) |
Indian rupee | | Sell | | J.P. Morgan | | 7/13/2017 | | 161,670,000 | | | 2,487,078 | | | | 2,499,090 | | | | (12,012 | ) |
Indian rupee | | Sell | | Morgan Stanley | | 7/13/2017 | | 12,590,000 | | | 194,449 | | | | 194,616 | | | | (167 | ) |
Japanese yen | | Sell | | Goldman Sachs | | 8/16/2017 | | 276,560,000 | | | 2,435,380 | | | | 2,463,175 | | | | (27,795 | ) |
Mexican peso | | Sell | | State Street Bank and Trust | | 7/13/2017 | | 3,110,000 | | | 170,263 | | | | 171,143 | | | | (880 | ) |
Peruvian Nuevo sol | | Sell | | Citibank | | 7/13/2017 | | 240,000 | | | 73,162 | | | | 73,917 | | | | (755 | ) |
Peruvian Nuevo sol | | Sell | | State Street Bank and Trust | | 7/13/2017 | | 3,724,000 | | | 1,142,156 | | | | 1,146,946 | | | | (4,790 | ) |
Polish zloty | | Sell | | Citibank | | 7/13/2017 | | 2,620,000 | | | 706,511 | | | | 707,000 | | | | (489 | ) |
44 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
Open Forward Foreign Currency Exchange Contracts at June 30, 2017: (continued)
Forward | | | | | | | | | | | | | | | | | |
Foreign | | | | | | | | | | U.S. $ | | | | | | | |
Currency | | | | | | | | | | Cost on | | | U.S. $ | | | | |
Exchange | | Transaction | | | | Expiration | | Foreign | | Origination | | | Current | | Unrealized | |
Contracts | | Type | | Counterparty | | Date | | Currency | | Date | | | Value | | Depreciation | |
Polish zloty | | Sell | | State Street Bank and Trust | | 8/16/2017 | | 366,000 | | $ | 98,192 | | | $ | 98,748 | | | $ | (556 | ) |
Polish zloty | | Sell | | State Street Bank and Trust | | 7/13/2017 | | 370,000 | | | 96,903 | | | | 99,844 | | | | (2,941 | ) |
Romanian new leu | | Sell | | BNP Paribas S.A. | | 7/13/2017 | | 400,000 | | | 97,016 | | | | 100,243 | | | | (3,227 | ) |
Singapore dollar | | Sell | | J.P. Morgan | | 9/11/2017 | | 2,230,000 | | | 1,615,435 | | | | 1,621,457 | | | | (6,022 | ) |
South African rand | | Sell | | State Street Bank and Trust | | 7/13/2017 | | 1,910,000 | | | 145,576 | | | | 145,797 | | | | (221 | ) |
South African rand | | Sell | | State Street Bank and Trust | | 7/13/2017 | | 2,570,000 | | | 195,991 | | | | 196,176 | | | | (185 | ) |
Turkish lira | | Sell | | State Street Bank and Trust | | 8/15/2017 | | 354,000 | | | 98,223 | | | | 99,402 | | | | (1,179 | ) |
Turkish lira | | Sell | | State Street Bank and Trust | | 7/13/2017 | | 860,000 | | | 242,179 | | | | 243,739 | | | | (1,560 | ) |
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | | | | | | $ | (3,202,530 | ) |
Open Futures Contracts at June 30, 2017:
| | | | | | | | Notional | | | Unrealized | |
Type | | Expiration | | Contracts | | Position | | Value | | | Appreciation | |
U.S. 2-Year Treasury Note | | September 2017 | | 188 | | Short | | $ | (40,628,563 | ) | | $ | 55,472 | |
U.S. 5-Year Treasury Note | | September 2017 | | 28 | | Short | | | (3,299,406 | ) | | | 2,407 | |
Totals | | | | | | | | $ | (43,927,969 | ) | | $ | 57,879 | |
Centrally Cleared Interest Rate Swap Contracts at June 30, 2017:
| | Periodic | | Periodic | | | | | | | | |
| | Payments | | Payments | | | | | | | | |
Central | | to be Made | | to be Received | | Termination | | Notional | | Fair | | Unrealized |
Clearingparty* | | By The Fund | | By The Fund | | Date | | Amount | | Value | | Appreciation |
Credit Suisse | | 1.524% | | 3-Month LIBOR Index | | 1/13/2021 | | $38,000,000 | | $38,372,870 | | $372,870 |
* | Central Clearinghouse: Chicago Mercantile Exchange (CME) |
| See Notes to Financial Statements. | 45 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2017
The following is a summary of the inputs used as of June 30, 2017 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 | | | | | | | | | | | | | | | | |
Other | | $ | – | | | $ | 17,686,097 | | | $ | 1,999,977 | (4) | | $ | 19,686,074 | |
Remaining Industries | | | – | | | | 21,061,416 | | | | – | | | | 21,061,416 | |
Corporate Bonds | | | – | | | | 74,598,496 | | | | – | | | | 74,598,496 | |
Floating Rate Loans(5) | | | | | | | | | | | | | | | | |
Aerospace/Defense | | | – | | | | – | | | | 462,813 | | | | 462,813 | |
Gaming | | | – | | | | 1,000,052 | | | | – | | | | 1,000,052 | |
Health Facilities | | | – | | | | – | | | | 197,799 | | | | 197,799 | |
Media: Content | | | – | | | | 1,695,916 | | | | – | | | | 1,695,916 | |
Medical Products | | | – | | | | 996,250 | | | | – | | | | 996,250 | |
Packaging | | | – | | | | – | | | | 961,899 | | | | 961,899 | |
Specialty Retail | | | – | | | | 879,975 | | | | – | | | | 879,975 | |
Telecommunications: Wireless | | | – | | | | – | | | | 496,875 | | | | 496,875 | |
Telecommunications: Wireline Integrated & Services | | | – | | | | – | | | | 727,331 | | | | 727,331 | |
Foreign Government Obligations | | | – | | | | 17,322,842 | | | | – | | | | 17,322,842 | |
Government Sponsored Enterprises Collateralized Mortgage Obligations | | | – | | | | 7,976,227 | | | | – | | | | 7,976,227 | |
Government Sponsored Enterprises Pass-Throughs | | | – | | | | 9,833,210 | | | | – | | | | 9,833,210 | |
Municipal Bonds | | | – | | | | 1,708,195 | | | | – | | | | 1,708,195 | |
Non-Agency Commercial Mortgage-Backed Securities | | | – | | | | 49,190,646 | | | | 1,910,291 | (4)(6) | | | 51,100,937 | |
U.S. Treasury Obligation | | | – | | | | 4,897,124 | | | | – | | | | 4,897,124 | |
Commercial Paper | | | – | | | | 17,725,460 | | | | – | | | | 17,725,460 | |
Total | | $ | – | | | $ | 226,571,906 | | | $ | 6,756,985 | | | $ | 233,328,891 | |
Other Financial Instruments | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
Assets | | $ | – | | | $ | 5,303,909 | | | $ | – | | | $ | 5,303,909 | |
Liabilities | | | – | | | | (3,202,530 | ) | | | – | | | | (3,202,530 | ) |
Futures Contracts | | | | | | | | | | | | | | | | |
Assets | | | 57,879 | | | | – | | | | – | | | | 57,879 | |
Liabilities | | | – | | | | – | | | | – | | | | – | |
Centrally Cleared Interest Rate Swaps | | | | | | | | | | | | | | | | |
Assets | | | – | | | | 372,870 | | | | – | | | | 372,870 | |
Liabilities | | | – | | | | – | | | | – | | | | – | |
Total | | $ | 57,879 | | | $ | 2,474,249 | | | $ | – | | | $ | 2,532,128 | |
| (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. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. |
| (3) | There were no Level 1/Level 2 transfers during the period ended June 30, 2017. |
| (4) | Includes securities valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments: |
46 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(concluded)
EMERGING MARKETS CURRENCY FUND June 30, 2017
| Investment Type | | Security | | Fair Value |
| Asset-Backed Securities (Other) | | H/2 Asset Funding 2014-1 Ltd. | | $1,999,977 |
| | | | | |
| Non-Agency Commercial | | | | |
| Mortgage-Backed Securities | | GS Mortgage Securities Trust 2016-GS4 225A | | 154,336 |
| Non-Agency Commercial | | | | |
| Mortgage-Backed Securities | | GS Mortgage Securities Trust 2016-GS4 225C | | 268,465 |
| Non-Agency Commercial | | | | |
| Mortgage-Backed Securities | | GS Mortgage Securities Trust 2016-GS4 225D | | 368,913 |
| Non-Agency Commercial | | | | |
| Mortgage-Backed Securities | | JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI XA IO | | 69,299 |
| Non-Agency Commercial | | | | |
| Mortgage-Backed Securities | | JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI XB IO | | 25,419 |
| (5) | Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation. |
| (6) | Level 3 security fair valued by the Pricing Committee, as discussed in Note 2(a) in the Notes to Financial Statements: |
| | |
| Investment Type | | Security | | Fair Value |
| Non-Agency Commercial Mortgage-Backed Securities | | A10 Bridge Asset Financing LLC 2015-AA A1 | | $1,023,859 |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
| | | | | | | | Non-Agency | |
| | | | | | | | Commercial | |
| | | | | | | | Mortgage- | |
| | Asset-Backed | | | Floating | | | Backed | |
| | Securities | | | Rate Loans | | | Securities | |
Balance as of January 1, 2017 | | $ | 4,482,668 | | | $ | 4,578,505 | | | $ | 7,268,149 | |
Accrued Discounts (Premiums) | | | – | | | | 1,101 | | | | (8,888 | ) |
Realized Gain (Loss) | | | – | | | | 926 | | | | 17,470 | |
Change in Unrealized Appreciation (Depreciation) | | | 1,679 | | | | (2,875 | ) | | | 82,831 | |
Net Purchases | | | – | | | | 488,811 | | | | 1,024,901 | |
Net Sales | | | – | | | | (2,219,750 | ) | | | (2,899,183 | ) |
Net Transfers into Level 3 | | | – | | | | – | | | | – | |
Net Transfers out of Level 3 | | | (2,484,370 | ) | | | – | | | | (3,574,989 | ) |
Balance as of June 30, 2017 | | $ | 1,999,977 | | | $ | 2,846,717 | | | $ | 1,910,291 | |
Net change in unrealized appreciation/ depreciation for period ended June 30, 2017 related to Level 3 investments held at June 30, 2017 | | $ | 1,679 | | | $ | 5,100 | | | $ | 10,398 | |
| See Notes to Financial Statements. | 47 |
Schedule of Investments (unaudited)
EMERGING MARKETS LOCAL BOND FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
FOREIGN CORPORATE BONDS(a) 9.08% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Brazil 0.42% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Banks: Regional | | | | | | | | | | | | |
Banco do Brasil SA | | 9.75% | | 7/18/2017 | | BRL | 155 | | | $ | 46,268 | |
| | | | | | | | | | | | |
Colombia 0.88% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Electric: Power | | | | | | | | | | | | |
Empresas Publicas de Medellin ESP† | | 7.625% | | 9/10/2024 | | COP | 290,000 | | | | 96,483 | |
| | | | | | | | | | | | |
Mexico 4.35% | | | | | | | | | | | | |
Electric: Power 0.96% | | | | | | | | | | | | |
Comision Federal de Electricidad | | 7.96% | | 11/20/2020 | | MXN | 1,900 | | | | 105,423 | |
| | | | | | | | | | | | |
Media 0.68% | | | | | | | | | | | | |
Grupo Televisa SAB | | 8.49% | | 5/11/2037 | | MXN | 1,400 | | | | 74,702 | |
| | | | | | | | | | | | |
Oil 1.35% | | | | | | | | | | | | |
Petroleos Mexicanos† | | 7.65% | | 11/24/2021 | | MXN | 2,750 | | | | 148,116 | |
| | | | | | | | | | | | |
Telecommunications 1.36% | | | | | | | | | | | | |
America Movil SAB de CV | | 6.00% | | 6/9/2019 | | MXN | 2,780 | | | | 149,507 | |
Total | | | | | | | | | | | 477,748 | |
| | | | | | | | | | | | |
Niger 0.86% | | | | | | | | | | | | |
VimpelCom Holdings BV† | | 9.00% | | 2/13/2018 | | RUB | 5,600 | | | | 94,848 | |
| | | | | | | | | | | | |
South Africa 1.80% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Electric: Power 1.18% | | | | | | | | | | | | |
Eskom Holdings SOC Ltd. | | Zero Coupon | | 12/31/2018 | | ZAR | 800 | | | | 52,577 | |
Eskom Holdings SOC Ltd. | | 9.25% | | 4/20/2018 | | ZAR | 1,000 | | | | 77,064 | |
Total | | | | | | | | | | | 129,641 | |
| | | | | | | | | | | | |
Transportation: Miscellaneous 0.62% | | | | | | | | | | | | |
Transnet SOC Ltd. | | 8.90% | | 11/14/2027 | | ZAR | 1,000 | | | | 68,468 | |
Total | | | | | | | | | | | 198,109 | |
| | | | | | | | | | | | |
Turkey 0.77% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Banks: Regional | | | | | | | | | | | | |
Akbank TAS† | | 7.50% | | 2/5/2018 | | TRY | 305 | | | | 84,415 | |
Total Foreign Corporate Bonds (cost $1,278,557) | | | | | | | | | | | 997,871 | |
48 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS LOCAL BOND FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
FOREIGN GOVERNMENT OBLIGATIONS(a) 82.88% | | | | | | | | | | | | |
| | | | | | | | | | | | |
Argentina 4.67% | | | | | | | | | | | | |
City of Buenos Aires | | 23.206%# | | 3/29/2024 | | ARS | 2,000 | | | $ | 117,664 | |
Provincia de Buenos Aires† | | 24.08%# | | 5/31/2022 | | ARS | 4,080 | | | | 250,981 | |
Provincia de Mendoza | | 24.625%# | | 6/9/2021 | | ARS | 2,380 | | | | 143,960 | |
Total | | | | | | | | | | | 512,605 | |
| | | | | | | | | | | | |
Brazil 10.74% | | | | | | | | | | | | |
Brazil Letras do Tesouro Nacional | | Zero Coupon | | 4/1/2018 | | BRL | 1,100 | | | | 311,902 | |
Brazil Letras do Tesouro Nacional | | Zero Coupon | | 1/1/2019 | | BRL | 1,700 | | | | 451,693 | |
Brazil Notas do Tesouro Nacional Series F | | 10.00% | | 1/1/2023 | | BRL | 700 | | | | 209,199 | |
Brazil Notas do Tesouro Nacional Series F | | 10.00% | | 1/1/2025 | | BRL | 700 | | | | 206,649 | |
Total | | | | | | | | | | | 1,179,443 | |
| | | | | | | | | | | | |
Chile 2.06% | | | | | | | | | | | | |
Bonos Tesoreria Pesos | | 4.50% | | 3/1/2026 | | CLP | 115,000 | | | | 178,631 | |
Bonos Tesoreria Pesos | | 5.00% | | 3/1/2035 | | CLP | 30,000 | | | | 47,690 | |
Total | | | | | | | | | | | 226,321 | |
| | | | | | | | | | | | |
Colombia 5.66% | | | | | | | | | | | | |
Colombian TES Series B | | 6.00% | | 4/28/2028 | | COP | 960,000 | | | | 301,908 | |
Colombian TES Series B | | 7.00% | | 5/4/2022 | | COP | 555,000 | | | | 191,302 | |
Colombian TES Series B | | 10.00% | | 7/24/2024 | | COP | 320,000 | | | | 128,244 | |
Total | | | | | | | | | | | 621,454 | |
| | | | | | | | | | | | |
Egypt 1.87% | | | | | | | | | | | | |
Egypt Treasury Bill | | Zero Coupon | | 11/28/2017 | | EGP | 4,000 | | | | 205,071 | |
| | | | | | | | | | | | |
Hungary 1.56% | | | | | | | | | | | | |
Hungary Government Bond | | 5.50% | | 6/24/2025 | | HUF | 38,500 | | | | 171,200 | |
| | | | | | | | | | | | |
India 3.69% | | | | | | | | | | | | |
Export-Import Bank of India | | 8.15% | | 3/5/2025 | | INR | 15,000 | | | | 243,811 | |
India Government Bond | | 8.27% | | 6/9/2020 | | INR | 10,000 | | | | 161,934 | |
Total | | | | | | | | | | | 405,745 | |
| | | | | | | | | | | | |
Indonesia 10.58% | | | | | | | | | | | | |
Indonesia Treasury Bond | | 7.00% | | 5/15/2022 | | IDR | 2,260,000 | | | | 172,118 | |
Indonesia Treasury Bond | | 8.375% | | 3/15/2024 | | IDR | 3,430,000 | | | | 279,913 | |
Indonesia Treasury Bond | | 8.375% | | 3/15/2034 | | IDR | 4,060,000 | | | | 328,547 | |
Indonesia Treasury Bond | | 9.50% | | 7/15/2031 | | IDR | 2,359,000 | | | | 208,723 | |
Indonesia Treasury Bond | | 10.00% | | 2/15/2028 | | IDR | 1,900,000 | | | | 172,835 | |
Total | | | | | | | | | | | 1,162,136 | |
| See Notes to Financial Statements. | 49 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS LOCAL BOND FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
Malaysia 4.45% | | | | | | | | | | | | |
Malaysia Government Bond | | 3.62% | | 11/30/2021 | | MYR | 890 | | | $ | 206,735 | |
Malaysia Government Bond | | 3.844% | | 4/15/2033 | | MYR | 1,295 | | | | 282,230 | |
Total | | | | | | | | | | | 488,965 | |
| | | | | | | | | | | | |
Mexico 4.76% | | | | | | | | | | | | |
Mexican Bonos | | 7.75% | | 5/29/2031 | | MXN | 2,700 | | | | 159,442 | |
Mexican Bonos | | 7.75% | | 11/13/2042 | | MXN | 1,500 | | | | 87,477 | |
Mexican Bonos | | 8.50% | | 5/31/2029 | | MXN | 2,520 | | | | 157,785 | |
Mexican Bonos | | 10.00% | | 12/5/2024 | | MXN | 1,800 | | | | 118,264 | |
Total | | | | | | | | | | | 522,968 | |
| | | | | | | | | | | | |
Peru 3.52% | | | | | | | | | | | | |
Peru Government Bond | | 6.85% | | 2/12/2042 | | PEN | 132 | | | | 43,574 | |
Peru Government Bond | | 6.95% | | 8/12/2031 | | PEN | 410 | | | | 140,116 | |
Republic of Peru† | | 8.20% | | 8/12/2026 | | PEN | 550 | | | | 203,178 | |
Total | | | | | | | | | | | 386,868 | |
| | | | | | | | | | | | |
Poland 4.49% | | | | | | | | | | | | |
Poland Government Bond | | 3.25% | | 7/25/2025 | | PLN | 670 | | | | 182,452 | |
Poland Government Bond | | 5.75% | | 9/23/2022 | | PLN | 1,003 | | | | 310,591 | |
Total | | | | | | | | | | | 493,043 | |
| | | | | | | | | | | | |
Russia 8.07% | | | | | | | | | | | | |
Russian Federal Bond—OFZ | | 6.70% | | 5/15/2019 | | RUB | 5,700 | | | | 95,183 | |
Russian Federal Bond—OFZ | | 7.50% | | 3/15/2018 | | RUB | 20,730 | | | | 351,617 | |
Russian Federal Bond—OFZ | | 7.60% | | 4/14/2021 | | RUB | 17,785 | | | | 299,622 | |
Russian Federal Bond—OFZ | | 7.75% | | 9/16/2026 | | RUB | 8,250 | | | | 140,729 | |
Total | | | | | | | | | | | 887,151 | |
| | | | | | | | | | | | |
South Africa 8.43% | | | | | | | | | | | | |
Republic of South Africa | | 6.25% | | 3/31/2036 | | ZAR | 6,153 | | | | 332,840 | |
Republic of South Africa | | 7.00% | | 2/28/2031 | | ZAR | 3,610 | | | | 226,186 | |
Republic of South Africa | | 10.50% | | 12/21/2026 | | ZAR | 4,325 | | | | 367,026 | |
Total | | | | | | | | | | | 926,052 | |
| | | | | | | | | | | | |
Thailand 2.67% | | | | | | | | | | | | |
Thailand Government Bond | | 3.58% | | 12/17/2027 | | THB | 2,270 | | | | 72,299 | |
Thailand Government Bond | | 3.625% | | 6/16/2023 | | THB | 3,825 | | | | 121,402 | |
Thailand Government Bond | | 4.875% | | 6/22/2029 | | THB | 2,800 | | | | 99,740 | |
Total | | | | | | | | | | | 293,441 | |
50 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS LOCAL BOND FUND June 30, 2017
| | | | | | Principal | | | | |
| | Interest | | Maturity | | Amount | | | Fair | |
Investments | | Rate | | Date | | (000) | | | Value | |
Turkey 4.10% | | | | | | | | | | | | |
Turkey Government Bond | | 7.10% | | 3/8/2023 | | TRY | 1,835 | | | $ | 450,086 | |
| | | | | | | | | | | | |
Uruguay 1.56% | | | | | | | | | | | | |
Uruguay Treasury Bill | | Zero Coupon | | 10/6/2017 | | UYU | 5,000 | | | | 171,829 | |
Total Foreign Government Obligations (cost $9,499,072) | | | | | | | | | | | 9,104,378 | |
Total Investments in Securities 91.96% (cost $10,777,629) | | | | | | | | | | | 10,102,249 | |
Cash, Foreign Cash and Other Assets in Excess of Liabilities(b) 8.04% | | | | | | | | 883,258 | |
Net Assets 100.00% | | | | | | | | | | $ | 10,985,507 | |
ARS | | Argentine Peso |
BRL | | Brazilian real. |
CLP | | Chilean peso. |
COP | | Colombian peso. |
EGP | | Egyptian pound |
HUF | | Hungarian forint. |
IDR | | Indonesian rupiah. |
INR | | Indian rupee |
MXN | | Mexican peso. |
MYR | | Malaysian ringgit. |
PEN | | Peruvian nuevo sol. |
PLN | | Polish zloty. |
RUB | | Russian ruble. |
THB | | Thai baht. |
TRY | | Turkish lira. |
UYU | | Uruguayan Peso |
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. |
# | | Variable rate security. The interest rate represents the rate in effect at June 30, 2017. |
(a) | | Investment in non-U.S. dollar denominated securities. |
(b) | | Cash, Foreign Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts as follows: |
| See Notes to Financial Statements. | 51 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS LOCAL BOND FUND June 30, 2017
Open Forward Foreign Currency Exchange Contracts at June 30, 2017:
Forward | | | | | | | | | | | | | | | | | |
Foreign | | | | | | | | | | U.S. $ | | | | | | | |
Currency | | | | | | | | | | Cost on | | | U.S. $ | | | | |
Exchange | | Transaction | | | | Expiration | | Foreign | | Origination | | | Current | | | Unrealized | |
Contracts | | Type | | Counterparty | | Date | | Currency | | Date | | | Value | | | Appreciation | |
Brazilian real | | Buy | | Morgan Stanley | | 9/20/2017 | | 41,000 | | $ | 12,147 | | | $ | 12,184 | | | $ | 37 | |
Brazilian real | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 72,000 | | | 21,249 | | | | 21,397 | | | | 148 | |
Brazilian real | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 265,000 | | | 78,254 | | | | 78,753 | | | | 499 | |
Chilean peso | | Buy | | Bank of America | | 9/20/2017 | | 18,960,000 | | | 28,486 | | | | 28,499 | | | | 13 | |
Chinese yuan renminbi | | Buy | | Bank of America | | 9/20/2017 | | 1,490,000 | | | 217,509 | | | | 218,700 | | | | 1,191 | |
Czech koruna | | Buy | | Citibank | | 9/20/2017 | | 10,650,000 | | | 457,454 | | | | 467,913 | | | | 10,459 | |
Czech koruna | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 2,777,000 | | | 121,845 | | | | 122,009 | | | | 164 | |
Hungarian forint | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 2,960,000 | | | 10,742 | | | | 10,981 | | | | 239 | |
Hungarian forint | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 82,200,000 | | | 299,257 | | | | 304,959 | | | | 5,702 | |
Malaysian ringgit | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 40,000 | | | 9,264 | | | | 9,270 | | | | 6 | |
Mexican peso | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 510,000 | | | 27,741 | | | | 27,764 | | | | 23 | |
Polish zloty | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 49,000 | | | 13,109 | | | | 13,219 | | | | 110 | |
Polish zloty | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 2,033,000 | | | 538,548 | | | | 548,433 | | | | 9,885 | |
Romanian new leu | | Buy | | Bank of America | | 9/20/2017 | | 442,000 | | | 107,338 | | | | 110,965 | | | | 3,627 | |
Romanian new leu | | Buy | | Bank of America | | 9/20/2017 | | 825,450 | | | 201,181 | | | | 207,231 | | | | 6,050 | |
Russian ruble | | Buy | | Goldman Sachs | | 9/20/2017 | | 1,320,000 | | | 21,958 | | | | 22,026 | | | | 68 | |
Turkish lira | | Buy | | Bank of America | | 9/20/2017 | | 1,765,000 | | | 489,279 | | | | 490,678 | | | | 1,399 | |
Argentine peso | | Sell | | BNP Paribas S.A. | | 9/6/2017 | | 3,550,000 | | | 211,435 | | | | 206,740 | | | | 4,695 | |
Argentine peso | | Sell | | Citibank | | 9/6/2017 | | 93,000 | | | 5,445 | | | | 5,416 | | | | 29 | |
Brazilian real | | Sell | | Morgan Stanley | | 9/20/2017 | | 600,000 | | | 179,319 | | | | 178,309 | | | | 1,010 | |
Colombian peso | | Sell | | Goldman Sachs | | 9/20/2017 | | 316,700,000 | | | 103,360 | | | | 102,892 | | | | 468 | |
Egyptian pound | | Sell | | Citibank | | 8/30/2017 | | 3,660,000 | | | 198,913 | | | | 198,703 | | | | 210 | |
Indian rupee | | Sell | | State Street Bank and Trust | | 9/20/2017 | | 9,250,000 | | | 142,004 | | | | 141,915 | | | | 89 | |
Japanese yen | | Sell | | State Street Bank and Trust | | 9/20/2017 | | 610,000 | | | 5,445 | | | | 5,441 | | | | 4 | |
Japanese yen | | Sell | | State Street Bank and Trust | | 9/20/2017 | | 17,740,000 | | | 160,073 | | | | 158,249 | | | | 1,824 | |
Mexican peso | | Sell | | State Street Bank and Trust | | 9/20/2017 | | 1,360,000 | | | 74,330 | | | | 74,038 | | | | 292 | |
South African rand | | Sell | | State Street Bank and Trust | | 9/20/2017 | | 690,000 | | | 52,460 | | | | 52,067 | | | | 393 | |
South African rand | | Sell | | State Street Bank and Trust | | 9/20/2017 | | 4,800,000 | | | 365,796 | | | | 362,206 | | | | 3,590 | |
52 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS LOCAL BOND FUND June 30, 2017
Open Forward Foreign Currency Exchange Contracts at June 30, 2017: (continued)
Forward | | | | | | | | | | | | | | | | | |
Foreign | | | | | | | | | | U.S. $ | | | | | | | |
Currency | | | | | | | | | | Cost on | | | U.S. $ | | | | |
Exchange | | Transaction | | | | Expiration | | Foreign | | Origination | | | Current | | Unrealized | |
Contracts | | Type | | Counterparty | | Date | | Currency | | Date | | | Value | | Appreciation | |
South Korean won | | Sell | | BNP Paribas S.A. | | 9/20/2017 | | 243,500,000 | | $ | 215,683 | | | $ | 212,857 | | | $ | 2,826 | |
Taiwan dollar | | Sell | | State Street Bank and Trust | | 9/20/2017 | | 4,400,000 | | | 145,744 | | | | 144,756 | | | | 988 | |
Turkish lira | | Sell | | State Street Bank and Trust | | 9/20/2017 | | 35,000 | | | 9,732 | | | | 9,730 | | | | 2 | |
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | $ | 56,040 | |
Forward | | | | | | | | | | | | | | | | | |
Foreign | | | | | | | | | | U.S. $ | | | | | | | |
Currency | | | | | | | | | | Cost on | | | U.S. $ | | | | |
Exchange | | Transaction | | | | Expiration | | Foreign | | Origination | | | Current | | Unrealized | |
Contracts | | Type | | Counterparty | | Date | | Currency | | Date | | | Value | | Depreciation | |
Argentine peso | | Buy | | BNP Paribas S.A. | | 9/6/2017 | | 260,000 | | $ | 15,294 | | | $ | 15,142 | | | $ | (152 | ) |
Brazilian real | | Buy | | Morgan Stanley | | 9/20/2017 | | 73,000 | | | 21,761 | | | | 21,694 | | | | (67 | ) |
Colombian peso | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 33,500,000 | | | 10,950 | | | | 10,884 | | | | (66 | ) |
Colombian peso | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 482,000,000 | | | 163,290 | | | | 156,596 | | | | (6,694 | ) |
Indonesian rupiah | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 308,510,000 | | | 23,032 | | | | 22,954 | | | | (78 | ) |
Malaysian ringgit | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 37,000 | | | 8,579 | | | | 8,574 | | | | (5 | ) |
Malaysian ringgit | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 1,014,000 | | | 237,972 | | | | 234,981 | | | | (2,991 | ) |
Malaysian ringgit | | Buy | | UBS AG | | 9/20/2017 | | 458,000 | | | 107,386 | | | | 106,135 | | | | (1,251 | ) |
Mexican peso | | Buy | | Goldman Sachs | | 9/20/2017 | | 4,080,000 | | | 224,418 | | | | 222,114 | | | | (2,304 | ) |
Mexican peso | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 240,000 | | | 13,201 | | | | 13,066 | | | | (135 | ) |
Philippine peso | | Buy | | Bank of America | | 9/20/2017 | | 12,700,000 | | | 253,767 | | | | 250,000 | | | | (3,767 | ) |
Philippine peso | | Buy | | BNP Paribas S.A. | | 9/20/2017 | | 390,000 | | | 7,681 | | | | 7,677 | | | | (4 | ) |
South African rand | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 70,200 | | | 5,330 | | | | 5,297 | | | | (33 | ) |
Thai baht | | Buy | | Bank of America | | 9/20/2017 | | 1,080,000 | | | 31,836 | | | | 31,794 | | | | (42 | ) |
Thai baht | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 8,900,000 | | | 262,275 | | | | 262,006 | | | | (269 | ) |
Turkish lira | | Buy | | State Street Bank and Trust | | 9/20/2017 | | 51,000 | | | 14,200 | | | | 14,178 | | | | (22 | ) |
Chilean peso | | Sell | | BNP Paribas S.A. | | 9/20/2017 | | 107,300,000 | | | 160,790 | | | | 161,283 | | | | (493 | ) |
euro | | Sell | | Bank of America | | 9/20/2017 | | 95,950 | | | 107,338 | | | | 110,030 | | | | (2,692 | ) |
euro | | Sell | | State Street Bank and Trust | | 9/20/2017 | | 192,560 | | | 216,167 | | | | 220,818 | | | | (4,651 | ) |
Hungarian forint | | Sell | | State Street Bank and Trust | | 9/20/2017 | | 1,480,000 | | | 5,480 | | | | 5,491 | | | | (11 | ) |
Indonesian rupiah | | Sell | | Standard Chartered Bank | | 9/20/2017 | | 88,300,000 | | | 6,563 | | | | 6,570 | | | | (7 | ) |
| See Notes to Financial Statements. | 53 |
Schedule of Investments (unaudited)(concluded)
EMERGING MARKETS LOCAL BOND FUND June 30, 2017
Open Forward Foreign Currency Exchange Contracts at June 30, 2017: (continued)
Forward | | | | | | | | | | | | | | | | | |
Foreign | | | | | | | | | | U.S. $ | | | | | | | |
Currency | | | | | | | | | | Cost on | | | U.S. $ | | | | |
Exchange | | Transaction | | | | Expiration | | Foreign | | Origination | | | Current | | Unrealized | |
Contracts | | Type | | Counterparty | | Date | | Currency | | Date | | | Value | | Depreciation | |
Israeli new shekel | | Sell | | Citibank | | 9/20/2017 | | 665,000 | | $ | 189,123 | | | $ | 191,209 | | | $ | (2,086 | ) |
Malaysian ringgit | | Sell | | Morgan Stanley | | 9/20/2017 | | 123,000 | | | 28,421 | | | | 28,504 | | | | (83 | ) |
Peruvian Nuevo sol | | Sell | | BNP Paribas S.A. | | 9/20/2017 | | 838,000 | | | 253,364 | | | | 256,152 | | | | (2,788 | ) |
Polish zloty | | Sell | | State Street Bank and Trust | | 9/20/2017 | | 142,000 | | | 38,279 | | | | 38,307 | | | | (28 | ) |
Singapore dollar | | Sell | | State Street Bank and Trust | | 9/20/2017 | | 285,000 | | | 206,032 | | | | 207,257 | | | | (1,225 | ) |
Singapore dollar | | Sell | | State Street Bank and Trust | | 9/20/2017 | | 110,500 | | | 80,059 | | | | 80,357 | | | | (298 | ) |
South African rand | | Sell | | Bank of America | | 9/20/2017 | | 160,000 | | | 12,061 | | | | 12,074 | | | | (13 | ) |
South Korean won | | Sell | | State Street Bank and Trust | | 9/20/2017 | | 7,500,000 | | | 6,554 | | | | 6,556 | | | | (2 | ) |
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | | | | | $ | (32,257 | ) |
The following is a summary of the inputs used as of June 30, 2017 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 | | $ | – | | | $ | 997,871 | | | $ | – | | | $ | 997,871 | |
Foreign Government Obligations | | | – | | | | 9,104,378 | | | | – | | | | 9,104,378 | |
Total | | $ | – | | | $ | 10,102,249 | | | $ | – | | | $ | 10,102,249 | |
Other Financial Instruments | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
Assets | | $ | – | | | $ | 56,040 | | | $ | – | | | $ | 56,040 | |
Liabilities | | | – | | | | (32,257 | ) | | | – | | | | (32,257 | ) |
Total | | $ | – | | | $ | 23,783 | | | $ | – | | | $ | 23,783 | |
| (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 1/Level 2 transfers during the period ended June 30, 2017. |
54 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)
MULTI-ASSET GLOBAL OPPORTUNITY FUND June 30, 2017
| | | | | Fair | |
| | | | | Value | |
Investments | | Shares | | | (000) | |
LONG-TERM INVESTMENTS 99.94% | | | | | | | | |
| | | | | | | | |
INVESTMENTS IN UNDERLYING FUNDS(a) 99.94% | | | | | | | | |
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund-Class I(b) | | | 820,045 | | | $ | 17,278 | |
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I*(b) | | | 1,303,310 | | | | 28,894 | |
Lord Abbett Investment Trust-Convertible Fund-Class I(c) | | | 908,301 | | | | 11,417 | |
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund-Class I(d) | | | 4,363,935 | | | | 23,303 | |
Lord Abbett Investment Trust-High Yield Fund-Class I(e) | | | 6,053,747 | | | | 46,493 | |
Lord Abbett Investment Trust-Inflation Focused Fund-Class I(f) | | | 385,908 | | | | 4,585 | |
Lord Abbett Securities Trust-International Core Equity Fund-Class I(g) | | | 614,971 | | | | 8,038 | |
Lord Abbett Securities Trust-International Dividend Income Fund-Class I(h) | | | 8,989,063 | | | | 65,620 | |
Lord Abbett Mid Cap Stock Fund, Inc.-Class I(i) | | | 780,515 | | | | 23,166 | |
Lord Abbett Investment Trust-Short Duration Income Fund-Class I(j) | | | 467,513 | | | | 2,006 | |
Total Investments in Underlying Funds (cost $233,226,934) | | | | | | | 230,800 | |
Other Assets in Excess of Liabilities(k) 0.06% | | | | | | | 148 | |
Net Assets 100.00% | | | | | | $ | 230,948 | |
| * | Non-income producing security. |
| (a) | Affiliated issuers (See Note 13). |
| (b) | Fund investment objective is total return. |
| (c) | Fund investment objective is to seek current income and the opportunity for capital appreciation to produce a high 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 long-term capital appreciation. |
| (h) | Fund investment objective is to seek a high level of total return. |
| (i) | Fund investment objective is to seek capital appreciation through investments, primarily in equity securities, which are believed to be undervalued in the marketplace. |
| (j) | Fund investment objective is to seek a high level of income consistent with preservation of capital. |
| (k) | Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
| See Notes to Financial Statements. | 55 |
Schedule of Investments (unaudited)(continued)
MULTI-ASSET GLOBAL OPPORTUNITY FUND June 30, 2017
Centrally Cleared Credit Default Swaps on Indexes - Buy Protection at June 30, 2017(1):
Referenced | | Fund | | Termination | | Notional | | Fair | | Payments | | Unrealized |
Index* | | Pays | | Date | | Amount | | Value(2) | | Upfront(3) | | Appreciation(4) |
Markit CDX. NA.HY.28(5) | | 5.00% | | 6/20/2022 | | 10,800,000 | | 11,544,099 | | $786,666 | | $42,567 |
* | | The Referenced Index is for Credit Default Swaps on Indexes, which is comprised of a basket of high yield securities. (See Note 2(n)). |
(1) | | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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 by Central Clearinghouse are presented net of amortization (See Note 2(n)). |
(4) | | Total unrealized appreciation on Credit Default Swaps on indexes amounted to $42,567. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. |
(5) | | Central Clearinghouse: Chicago Mercantile Exchange (CME), Central Counterparty (CCP): Credit Suisse. |
Open Forward Foreign Currency Exchange Contracts at June 30, 2017:
Forward | | | | | | | | | | | | | | | | | |
Foreign | | | | | | | | | | U.S. $ | | | | | | | |
Currency | | | | | | | | | | Cost on | | | U.S. $ | | | | |
Exchange | | Transaction | | | | Expiration | | Foreign | | Origination | | | Current | | Unrealized | |
Contracts | | Type | | Counterparty | | Date | | Currency | | Date | | | Value | | Appreciation | |
Japanese yen | | Sell | | State Street Bank and Trust | | 8/31/2017 | | 295,600,000 | | $ | 2,674,647 | | | $ | 2,634,410 | | | $ | 40,237 | |
Forward | | | | | | | | | | | | | | | | | |
Foreign | | | | | | | | | | U.S. $ | | | | | | | |
Currency | | | | | | | | | | Cost on | | | U.S. $ | | | | |
Exchange | | Transaction | | | | Expiration | | Foreign | | Origination | | | Current | | Unrealized | |
Contracts | | Type | | Counterparty | | Date | | Currency | | | Date | | | | Value | | Depreciation | |
Australian dollar | | Sell | | Standard Chartered Bank | | 8/31/2017 | | 6,460,000 | | $ | 4,811,824 | | | $ | 4,961,632 | | | $ | (149,808 | ) |
euro | | Sell | | Standard Chartered Bank | | 8/31/2017 | | 8,360,000 | | | 9,401,317 | | | | 9,576,334 | | | | (175,017 | ) |
British pound | | Sell | | State Street Bank and Trust | | 8/31/2017 | | 2,080,000 | | | 2,687,386 | | | | 2,713,783 | | | | (26,397 | ) |
Norwegian krone | | Sell | | State Street Bank and Trust | | 8/31/2017 | | 20,400,000 | | | 2,421,485 | | | | 2,446,225 | | | | (24,740 | ) |
Swedish krona | | Sell | | State Street Bank and Trust | | 8/31/2017 | | 41,900,000 | | | 4,822,499 | | | | 4,989,207 | | | | (166,708 | ) |
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | | | | | | | | $ | (542,670 | ) |
Open Futures Contracts at June 30, 2017:
| | | | | | | | Notional | | | Unrealized | |
Type | | Expiration | | Contracts | | Position | | Value | | | Depreciation | |
E- Mini S&P 500 Index | | September 2017 | | 38 | | Short | | $ | (4,599,710 | ) | | $ | (11,404 | ) |
MSCI EAFE, e-mini | | September 2017 | | 139 | | Long | | | 7,007,685 | | | | (61,453 | ) |
Nikkei 225 | | September 2017 | | 48 | | Long | | | 4,825,200 | | | | (15,700 | ) |
Totals | | | | | | | | $ | 7,233,175 | | | $ | (88,557 | ) |
56 | See Notes to Financial Statements. | |
Schedule of Investments (unaudited)(concluded)
MULTI-ASSET GLOBAL OPPORTUNITY FUND June 30, 2017
The following is a summary of the inputs used as of June 30, 2017 in valuing the Fund’s investments carried at fair value(1):
| | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investment Type(2)(3) | | (000) | | | (000) | | | (000) | | | (000) | |
Investments in Underlying Funds | | $ | 230,800 | | | $ | – | | | $ | – | | | $ | 230,800 | |
Total | | $ | 230,800 | | | $ | – | | | $ | – | | | $ | 230,800 | |
Other Financial Instruments | | | | | | | | | | | | | | | | |
Centrally Cleared Credit Default Swaps | | | | | | | | | | | | | | | | |
Assets | | $ | – | | | $ | 43 | | | $ | – | | | $ | 43 | |
Liabilities | | | – | | | | – | | | | – | | | | – | |
Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
Assets | | | – | | | | 40 | | | | – | | | | 40 | |
Liabilities | | | – | | | | (543 | ) | | | – | | | | (543 | ) |
Futures Contracts | | | | | | | | | | | | | | | | |
Assets | | | – | | | | – | | | | – | | | | – | |
Liabilities | | | (89 | ) | | | – | | | | – | | | | (89 | ) |
Total | | $ | (89 | ) | | $ | (460 | ) | | $ | – | | | $ | (549 | ) |
(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 1/Level 2 transfers during the period ended June 30, 2017. |
| See Notes to Financial Statements. | 57 |
Statements of Assets and Liabilities (unaudited)
June 30, 2017
| | Emerging Markets Corporate Debt Fund | | | Emerging Markets Currency Fund | |
ASSETS: | | | | | | | | |
Investments in securities, at cost | | | $42,682,984 | | | | $233,183,054 | |
Investments in securities, at fair value | | | $43,946,631 | | | | $233,328,892 | |
Cash | | | 400,450 | | | | 5,889,328 | |
Deposits with brokers for derivatives collateral | | | 48,905 | | | | 1,478,542 | |
Foreign cash, at value (cost $0 and $7,987, respectively) | | | – | | | | 7,896 | |
Receivables: | | | | | | | | |
Interest and dividends | | | 537,329 | | | | 1,669,112 | |
Capital shares sold | | | 242,501 | | | | 1,082,221 | |
Investment securities sold | | | 422,001 | | | | 196,671 | |
Variation margin for futures contracts | | | 7,041 | | | | 22,044 | |
From advisor (See Note 3) | | | 21,453 | | | | – | |
Unrealized appreciation on forward foreign currency exchange contracts | | | – | | | | 5,303,909 | |
Prepaid expenses and other assets | | | 77,272 | | | | 85,826 | |
Total assets | | | 45,703,583 | | | | 249,064,441 | |
LIABILITIES: | | | | | | | | |
Payables: | | | | | | | | |
Investment securities purchased | | | 990,756 | | | | – | |
Management fee | | | 25,424 | | | | 101,019 | |
Capital shares reacquired | | | 31,704 | | | | 57,159 | |
Directors’ fees | | | 1,800 | | | | 73,495 | |
12b-1 distribution plan | | | 5,406 | | | | 14,182 | |
Fund administration | | | 1,453 | | | | 8,081 | |
Variation margin for centrally cleared credit default swap agreements | | | – | | | | 57,194 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 2,231 | | | | 3,202,530 | |
Distributions payable | | | 157,913 | | | | 1,028,899 | |
Accrued expenses | | | 43,589 | | | | 111,331 | |
Total liabilities | | | 1,260,276 | | | | 4,653,890 | |
NET ASSETS | | | $44,443,307 | | | | $244,410,551 | |
COMPOSITION OF NET ASSETS: | | | | | | | | |
Paid-in capital | | | $43,169,674 | | | | $343,672,101 | |
Distributions in excess of net investment income | | | (57,578 | ) | | | (5,171,979 | ) |
Accumulated net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions | | | 55,893 | | | | (96,756,797 | ) |
Net unrealized appreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | | | 1,275,318 | | | | 2,667,226 | |
Net Assets | | | $44,443,307 | | | | $244,410,551 | |
58 | See Notes to Financial Statements. |
Statements of Assets and Liabilities (unaudited)(continued)
June 30, 2017
| | Emerging Markets Corporate Debt Fund | | | Emerging Markets Currency Fund | |
Net assets by class: | | | | | | | | |
Class A Shares | | $ | 11,084,274 | | | $ | 18,235,301 | |
Class B Shares | | | – | | | $ | 38,803 | |
Class C Shares | | $ | 1,545,684 | | | $ | 3,680,049 | |
Class F Shares | | $ | 20,813,330 | | | $ | 8,234,845 | |
Class F3 Shares | | $ | 10,165 | | | $ | 10,193 | |
Class I Shares | | $ | 10,678,404 | | | $ | 213,237,447 | |
Class R2 Shares | | $ | 125,299 | | | $ | 90,183 | |
Class R3 Shares | | $ | 125,305.59 | | | $ | 294,488 | |
Class R4 Shares | | $ | 11,296 | | | $ | 25,707 | |
Class R5 Shares | | $ | 38,177 | | | $ | 10,870 | |
Class R6 Shares | | $ | 11,372 | | | $ | 552,665 | |
Outstanding shares by class: | | | | | | | | |
Class A Shares (350 and 415 million shares of common stock authorized, $.001 par value) | | | 714,291 | | | | 3,404,491 | |
Class B Shares (0 and 30 million shares of common stock authorized, $.001 par value) | | | – | | | | 7,214 | |
Class C Shares (85 and 100 million shares of common stock authorized, $.001 par value) | | | 99,613 | | | | 683,055 | |
Class F Shares (85 and 100 million shares of common stock authorized, $.001 par value) | | | 1,340,973 | | | | 1,538,169 | |
Class F3 Shares (15 and 20 million shares of common stock authorized, $.001 par value) | | | 655 | | | | 1,906 | |
Class I Shares (185 and 200 million shares of common stock authorized, $.001 par value) | | | 688,158 | | | | 39,883,815 | |
Class R2 Shares (15 and 20 million shares of common stock authorized, $.001 par value) | | | 8,076 | | | | 16,804 | |
Class R3 Shares (15 and 20 million shares of common stock authorized, $.001 par value) | | | 8,076.43 | | | | 55,098 | |
Class R4 Shares (15 and 20 million shares of common stock authorized, $.001 par value) | | | 728 | | | | 4,799 | |
Class R5 Shares (15 and 20 million shares of common stock authorized, $.001 par value) | | | 2,460 | | | | 2,033 | |
Class R6 Shares (15 and 20 million shares of common stock authorized, $.001 par value) | | | 732.92 | | | | 103,366 | |
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | | | | | | | | |
Class A Shares-Net asset value | | | $15.52 | | | | $5.36 | |
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | | | $15.88 | | | | $5.48 | |
Class B Shares-Net asset value | | | – | | | | $5.38 | |
Class C Shares-Net asset value | | | $15.52 | | | | $5.39 | |
Class F Shares-Net asset value | | | $15.52 | | | | $5.35 | |
Class F3 Shares-Net asset value | | | $15.52 | | | | $5.35 | |
Class I Shares-Net asset value | | | $15.52 | | | | $5.35 | |
Class R2 Shares-Net asset value | | | $15.51 | | | | $5.37 | |
Class R3 Shares-Net asset value | | | $15.51 | | | | $5.34 | |
Class R4 Shares-Net asset value | | | $15.52 | | | | $5.36 | |
Class R5 Shares-Net asset value | | | $15.52 | | | | $5.35 | |
Class R6 Shares-Net asset value | | | $15.52 | | | | $5.35 | |
| See Notes to Financial Statements. | 59 |
Statements of Assets and Liabilities (unaudited)(continued)
June 30, 2017
| | Emerging Markets Local Bond Fund | | | Multi-Asset Global Opportunity Fund | |
ASSETS: | | | | | | | | |
Investments in securities, at cost | | $ | 10,777,629 | | | $ | – | |
Investments in Underlying Funds, at cost | | | – | | | | 233,226,934 | |
Investments in securities, at fair value | | $ | 10,102,249 | | | $ | – | |
Investments in Underlying Funds, at value | | | – | | | | 230,799,992 | |
Cash | | | 590,912 | | | | – | |
Deposits with brokers for derivatives collateral | | | – | | | | 1,029,726 | |
Foreign cash, at value (cost $30,549 and $0, respectively) | | | 30,776 | | | | – | |
Receivables: | | | | | | | | |
Interest and dividends | | | 177,007 | | | | 1,205,826 | |
Capital shares sold | | | 63,783 | | | | 1,180,380 | |
Variation margin for futures contracts | | | – | | | | 62,902 | |
Investments in Underlying Funds sold | | | – | | | | 192,255 | |
From advisor (See Note 3) | | | 21,896 | | | | 5,577 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 56,040 | | | | 40,237 | |
Prepaid expenses and other assets | | | 97,383 | | | | 78,565 | |
Total assets | | | 11,140,046 | | | | 234,595,460 | |
LIABILITIES: | | | | | | | | |
Payables: | | | | | | | | |
Investment in Underlying Funds purchased | | | – | | | | 1,184,034 | |
Capital shares reacquired | | | 9,783 | | | | 520,066 | |
12b-1 distribution plan | | | 2,109 | | | | 59,939 | |
Directors’ fees | | | 818 | | | | 46,675 | |
To bank | | | – | | | | 33,194 | |
Management fee | | | 6,187 | | | | 19,127 | |
Fund administration | | | 354 | | | | 7,651 | |
Variation margin for centrally cleared credit default swap agreements | | | – | | | | 21,185 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 32,257 | | | | 542,670 | |
Distributions payable | | | 49,323 | | | | 1,109,294 | |
Accrued expenses | | | 53,708 | | | | 103,246 | |
Total liabilities | | | 154,539 | | | | 3,647,081 | |
NET ASSETS | | $ | 10,985,507 | | | $ | 230,948,379 | |
COMPOSITION OF NET ASSETS: | | | | | | | | |
Paid-in capital | | $ | 12,353,439 | | | $ | 250,555,198 | |
Undistributed (distributions in excess of) net investment income | | | (83,674 | ) | | | 30,066 | |
Accumulated net realized loss on investments, futures contracts, swaps and foreign currency related transactions | | | (631,611 | ) | | | (16,661,520 | ) |
Net unrealized depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | | | (652,647 | ) | | | (2,975,365 | ) |
Net Assets | | $ | 10,985,507 | | | $ | 230,948,379 | |
60 | See Notes to Financial Statements. |
Statements of Assets and Liabilities (unaudited)(concluded)
June 30, 2017
| | Emerging Markets Local Bond Fund | | | Multi-Asset Global Opportunity Fund | |
| | | | | | |
Net assets by class: | | | | | | | | |
Class A Shares | | $ | 7,355,858 | | | $ | 130,562,807 | |
Class B Shares | | | – | | | $ | 1,129,103 | |
Class C Shares | | $ | 674,676 | | | $ | 31,265,921 | |
Class F Shares | | $ | 606,544 | | | $ | 5,608,344 | |
Class F3 Shares | | $ | 10,308 | | | $ | 19,197 | |
Class I Shares | | $ | 2,122,357 | | | $ | 10,400,481 | |
Class R2 Shares | | $ | 91,992 | | | $ | 445,247 | |
Class R3 Shares | | $ | 92,117 | | | $ | 4,706,923 | |
Class R4 Shares | | $ | 10,512 | | | $ | 162,022 | |
Class R5 Shares | | $ | 10,565 | | | $ | 28,204 | |
Class R6 Shares | | $ | 10,578 | | | $ | 46,620,130 | |
Outstanding shares by class | | | | | | | | |
Class A Shares (350 and 430 million shares of common stock authorized, $.001 par value) | | | 688,770 | | | | 11,657,766 | |
Class B Shares (0 and 15 million shares of common stock authorized, $.001 par value) | | | – | | | | 111,835 | |
Class C Shares (85 and 20 million shares of common stock authorized, $.001 par value) | | | 63,179 | | | | 3,101,940 | |
Class F Shares (85 and 20 million shares of common stock authorized, $.001 par value) | | | 56,885 | | | | 500,574 | |
Class F3 Shares (15 and 20 million shares of common stock authorized, $.001 par value) | | | 966 | | | | 1,702 | |
Class I Shares (185 and 15 million shares of common stock authorized, $.001 par value) | | | 198,801 | | | | 922,198 | |
Class R2 Shares (15 and 20 million shares of common stock authorized, $.001 par value) | | | 8,618 | | | | 38,933 | |
Class R3 Shares (15 and 20 million shares of common stock authorized, $.001 par value) | | | 8,629.40 | | | | 417,560 | |
Class R4 Shares (15 and 20 million shares of common stock authorized, $.001 par value) | | | 985 | | | | 14,477 | |
Class R5 Shares (15 and 20 million shares of common stock authorized, $.001 par value) | | | 990 | | | | 2,499 | |
Class R6 Shares (15 and 20 million shares of common stock authorized, $.001 par value) | | | 991 | | | | 4,131,683 | |
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | | | | | | | | |
Class A Shares-Net asset value | | | $10.68 | | | | $11.20 | |
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | | | $10.93 | | | | $11.46 | |
Class B Shares-Net asset value | | | – | | | | $10.10 | |
Class C Shares-Net asset value | | | $10.68 | | | | $10.08 | |
Class F Shares-Net asset value | | | $10.66 | | | | $11.20 | |
Class F3 Shares-Net asset value | | | $10.67 | | | | $11.28 | |
Class I Shares-Net asset value | | | $10.68 | | | | $11.28 | |
Class R2 Shares-Net asset value | | | $10.67 | | | | $11.44 | |
Class R3 Shares-Net asset value | | | $10.67 | | | | $11.27 | |
Class R4 Shares-Net asset value | | | $10.67 | | | | $11.19 | |
Class R5 Shares-Net asset value | | | $10.67 | | | | $11.29 | |
Class R6 Shares-Net asset value | | | $10.67 | | | | $11.28 | |
| See Notes to Financial Statements. | 61 |
Statements of Operations (unaudited)
For the Six Months Ended June 30, 2017
| | Emerging Markets Corporate Debt Fund | | | Emerging Markets Currency Fund | |
Investment income: | | | | | | | | |
Interest and other (net of foreign withholding taxes of $773 and $183, respectively) | | $ | 930,383 | | | $ | 3,710,209 | |
Interest earned from Interfund Lending (See Note 11) | | | – | | | | 958 | |
Total investment income | | | 930,383 | | | | 3,711,167 | |
Expenses: | | | | | | | | |
Management fee | | | 130,459 | | | | 681,540 | |
12b-1 distribution plan-Class A | | | 9,364 | | | | 18,450 | |
12b-1 distribution plan-Class B | | | – | | | | 234 | |
12b-1 distribution plan-Class C | | | 6,143 | | | | 15,594 | |
12b-1 distribution plan-Class F | | | 8,312 | | | | 3,575 | |
12b-1 distribution plan-Class R2 | | | 365 | | | | 279 | |
12b-1 distribution plan-Class R3 | | | 305 | | | | 685 | |
12b-1 distribution plan-Class R4 | | | 14 | | | | 21 | |
Registration | | | 51,476 | | | | 58,594 | |
Professional | | | 26,191 | | | | 52,880 | |
Shareholder servicing | | | 29,986 | | | | 41,437 | |
Fund administration | | | 7,455 | | | | 54,523 | |
Custody | | | 3,520 | | | | 28,844 | |
Reports to shareholders | | | 5,748 | | | | 19,692 | |
Directors’ fees | | | 420 | | | | 4,276 | |
Other | | | 6,966 | | | | 31,407 | |
Gross expenses | | | 286,724 | | | | 1,012,031 | |
Expense reductions (See Note 9) | | | (150 | ) | | | (162 | ) |
Fees waived and expenses reimbursed (See Note 3) | | | (104,339 | ) | | | – | |
Net expenses | | | 182,235 | | | | 1,011,869 | |
Net investment income | | | 748,148 | | | | 2,699,298 | |
Net realized and unrealized gain (loss): | | | | | | | | |
Net realized gain on investments | | | 519,201 | | | | (605,879 | ) |
Net realized gain (loss) on futures contracts, swaps and foreign currency related transactions | | | (68,256 | ) | | | 7,356,041 | |
Net change in unrealized appreciation/depreciation on investments | | | 570,420 | | | | 734,684 | |
Net change in unrealized appreciation/depreciation on futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | | | 2,357 | | | | 9,574,567 | |
Net realized and unrealized gain | | | 1,023,722 | | | | 17,059,413 | |
Net Increase in Net Assets Resulting From Operations | | $ | 1,771,870 | | | $ | 19,758,711 | |
62 | See Notes to Financial Statements. |
Statements of Operations (unaudited)(concluded)
For the Six Months Ended June 30, 2017
| | Emerging Markets Local Bond Fund | | | Multi-Asset Global Opportunity Fund | |
Investment income: | | | | | | | | |
Dividends received from Underlying Funds | | $ | – | | | $ | 3,495,078 | |
Interest and other (net of foreign withholding taxes of $6,302 and $0, respectively) | | | 374,075 | | | | 3,812 | |
Total investment income | | | 374,075 | | | | 3,498,890 | |
Expenses: | | | | | | | | |
Management fee | | | 34,409 | | | | 291,150 | |
12b-1 distribution plan-Class A | | | 6,743 | | | | 165,451 | |
12b-1 distribution plan-Class B | | | – | | | | 6,834 | |
12b-1 distribution plan-Class C | | | 2,117 | | | | 161,392 | |
12b-1 distribution plan-Class F | | | 177 | | | | 2,508 | |
12b-1 distribution plan-Class R2 | | | 263 | | | | 1,278 | |
12b-1 distribution plan-Class R3 | | | 219 | | | | 12,659 | |
12b-1 distribution plan-Class R4 | | | 13 | | | | 86 | |
Shareholder servicing | | | 3,455 | | | | 147,171 | |
Registration | | | 52,772 | | | | 55,290 | |
Professional | | | 30,570 | | | | 21,821 | |
Fund administration | | | 1,966 | | | | 46,584 | |
Reports to shareholders | | | 2,597 | | | | 19,962 | |
Custody | | | 11,936 | | | | 8,896 | |
Directors’ fees | | | 121 | | | | 2,978 | |
Other | | | 4,386 | | | | 7,312 | |
Gross expenses | | | 151,744 | | | | 951,372 | |
Expense reductions (See Note 9) | | | (39 | ) | | | (730 | ) |
Fees waived and expenses reimbursed (See Note 3) | | | (100,879 | ) | | | (174,690 | ) |
Net expenses | | | 50,826 | | | | 775,952 | |
Net investment income | | | 323,249 | | | | 2,722,938 | |
Net realized and unrealized gain (loss): | | | | | | | | |
Net realized loss on investments in Underlying Funds | | | – | | | | (4,845,083 | ) |
Net realized loss on investments | | | (277,733 | ) | | | – | |
Net realized gain on futures contracts, swaps and foreign currency related transactions | | | 106,225 | | | | 427,175 | |
Net change in unrealized appreciation/depreciation on Investments in Underlying Funds | | | – | | | | 17,109,542 | |
Net change in unrealized appreciation/depreciation on investments | | | 759,428 | | | | – | |
Net change in unrealized appreciation/depreciation on futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | | | 25,978 | | | | (1,767,426 | ) |
Net realized and unrealized gain | | | 613,898 | | | | 10,924,208 | |
Net Increase in Net Assets Resulting From Operations | | $ | 937,147 | | | $ | 13,647,146 | |
| See Notes to Financial Statements. | 63 |
Statements of Changes in Net Assets
| | Emerging Markets Corporate Debt Fund |
INCREASE (DECREASE) IN NET ASSETS | | For the Six Months Ended June 30, 2017 (unaudited) | | | For the Year Ended December 31, 2016 | |
Operations: | | | | | | | | |
Net investment income | | $ | 748,148 | | | $ | 1,432,186 | |
Net realized gain on investments, futures contracts and foreign currency related transactions | | | 450,945 | | | | 385,162 | |
Net change in unrealized appreciation/depreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies | | | 572,777 | | | | 1,405,327 | |
Net increase in net assets resulting from operations | | | 1,771,870 | | | | 3,222,675 | |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | | | | | | |
Class A | | | (196,759 | ) | | | (547,574 | ) |
Class C | | | (23,661 | ) | | | (31,567 | ) |
Class F | | | (359,805 | ) | | | (490,236 | ) |
Class F3 | | | (109 | ) | | | – | |
Class I | | | (214,522 | ) | | | (473,697 | ) |
Class R2 | | | (2,718 | ) | | | (5,339 | ) |
Class R3 | | | (2,718 | ) | | | (5,339 | ) |
Class R4 | | | (231 | ) | | | (457 | ) |
Class R5 | | | (814 | ) | | | (1,387 | ) |
Class R6 | | | (254 | ) | | | (492 | ) |
Total distributions to shareholders | | | (801,591 | ) | | | (1,556,088 | ) |
Capital share transactions (See Note 15): | | | | | | | | |
Net proceeds from sales of shares | | | 18,467,374 | | | | 24,947,888 | |
Reinvestment of distributions | | | 776,747 | | | | 1,526,372 | |
Cost of shares reacquired | | | (5,771,379 | ) | | | (36,050,167 | ) |
Net increase (decrease) in net assets resulting from capital share transactions | | | 13,472,742 | | | | (9,575,907 | ) |
Net increase (decrease) in net assets | | | 14,443,021 | | | | (7,909,320 | ) |
NET ASSETS: | | | | | | | | |
Beginning of period | | $ | 30,000,286 | | | $ | 37,909,606 | |
End of period | | $ | 44,443,307 | | | $ | 30,000,286 | |
Distributions in excess of net investment income | | $ | (57,578 | ) | | $ | (4,135 | ) |
64 | See Notes to Financial Statements. |
Statements of Changes in Net Assets (continued)
| | Emerging Markets Currency Fund |
DECREASE IN NET ASSETS | | For the Six Months Ended June 30, 2017 (unaudited) | | | For the Year Ended December 31, 2016 | |
Operations: | | | | | | | | |
Net investment income | | $ | 2,699,298 | | | $ | 7,376,950 | |
Net realized gain on investments, futures contracts, swaps and foreign currency related transactions | | | 6,750,162 | | | | 12,514,361 | |
Net change in unrealized appreciation/depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | | | 10,309,251 | | | | 1,608,812 | |
Net increase in net assets resulting from operations | | | 19,758,711 | | | | 21,500,123 | |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | | | | | | |
Class A | | | (387,636 | ) | | | (1,035,581 | ) |
Class B | | | (786 | ) | | | (4,308 | ) |
Class C | | | (69,309 | ) | | | (212,359 | ) |
Class F | | | (153,324 | ) | | | (443,669 | ) |
Class F3 | | | (114 | ) | | | – | |
Class I | | | (5,278,689 | ) | | | (21,196,245 | ) |
Class P | | | – | | | | (4 | ) |
Class R2 | | | (1,759 | ) | | | (4,747 | ) |
Class R3 | | | (5,532 | ) | | | (17,175 | ) |
Class R4 | | | (361 | ) | | | (517 | ) |
Class R5 | | | (230 | ) | | | (546 | ) |
Class R6 | | | (6,829 | ) | | | (554 | ) |
Total distributions to shareholders | | | (5,904,569 | ) | | | (22,915,705 | ) |
Capital share transactions (Net of share conversions) (See Note 15): | | | | | | | | |
Net proceeds from sales of shares | | | 5,803,530 | | | | 124,310,329 | |
Reinvestment of distributions | | | 5,806,587 | | | | 22,707,050 | |
Cost of shares reacquired | | | (168,246,196 | ) | | | (236,856,843 | ) |
Net decrease in net assets resulting from capital share transactions | | | (156,636,079 | ) | | | (89,839,464 | ) |
Net decrease in net assets | | | (142,781,937 | ) | | | (91,255,046 | ) |
NET ASSETS: | | | | | | | | |
Beginning of period | | $ | 387,192,488 | | | $ | 478,447,534 | |
End of period | | $ | 244,410,551 | | | $ | 387,192,488 | |
Distributions in excess of net investment income | | $ | (5,171,979 | ) | | $ | (1,966,708 | ) |
| See Notes to Financial Statements. | 65 |
Statements of Changes in Net Assets (continued)
| | Emerging Markets Local Bond Fund |
INCREASE IN NET ASSETS | | For the Six Months Ended June 30, 2017 (unaudited) | | | For the Year Ended December 31, 2016 | |
Operations: | | | | | | | | |
Net investment income | | $ | 323,249 | | | $ | 516,671 | |
Net realized loss on investments, futures contracts and foreign currency related transactions | | | (171,508 | ) | | | (865,753 | ) |
Net change in unrealized appreciation/depreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies | | | 785,406 | | | | 858,677 | |
Net increase in net assets resulting from operations | | | 937,147 | | | | 509,595 | |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | | | | | | |
Class A | | | (231,742 | ) | | | – | |
Class C | | | (15,746 | ) | | | – | |
Class F | | | (12,317 | ) | | | – | |
Class F3 | | | (174 | ) | | | – | |
Class I | | | (71,440 | ) | | | – | |
Class R2 | | | (3,096 | ) | | | – | |
Class R3 | | | (3,098 | ) | | | – | |
Class R4 | | | (346 | ) | | | – | |
Class R5 | | | (360 | ) | | | – | |
Class R6 | | | (365 | ) | | | – | |
Return of capital | | | | | | | | |
Class A | | | – | | | | (378,524 | ) |
Class C | | | – | | | | (26,459 | ) |
Class F | | | – | | | | (12,354 | ) |
Class F3 | | | – | | | | – | |
Class I | | | – | | | | (126,604 | ) |
Class R2 | | | – | | | | (5,486 | ) |
Class R3 | | | – | | | | (5,489 | ) |
Class R4 | | | – | | | | (609 | ) |
Class R5 | | | – | | | | (635 | ) |
Class R6 | | | – | | | | (640 | ) |
Total distributions to shareholders | | | (338,684 | ) | | | (556,800 | ) |
Capital share transactions (See Note 15): | | | | | | | | |
Net proceeds from sales of shares | | | 1,315,083 | | | | 2,212,118 | |
Reinvestment of distributions | | | 330,823 | | | | 545,596 | |
Cost of shares reacquired | | | (453,491 | ) | | | (1,096,032 | ) |
Net increase in net assets resulting from capital share transactions | | | 1,192,415 | | | | 1,661,682 | |
Net increase in net assets | | | 1,790,878 | | | | 1,614,477 | |
NET ASSETS: | | | | | | | | |
Beginning of period | | $ | 9,194,629 | | | $ | 7,580,152 | |
End of period | | $ | 10,985,507 | | | $ | 9,194,629 | |
Distributions in excess of net investment income | | $ | (83,674 | ) | | $ | (68,239 | ) |
66 | See Notes to Financial Statements. |
Statements of Changes in Net Assets (concluded)
| | Multi-Asset Global Opportunity Fund |
DECREASE IN NET ASSETS | | For the Six Months Ended June 30, 2017 (unaudited) | | | For the Year Ended December 31, 2016 | |
Operations: | | | | | | | | |
Net investment income | | $ | 2,722,938 | | | $ | 8,824,184 | |
Net realized loss on investments in Underlying Funds | | | (4,845,083 | ) | | | (8,113,635 | ) |
Net realized gain on futures contracts, swaps and foreign currency related transactions | | | 427,175 | | | | 1,000,920 | |
Net change in unrealized appreciation/depreciation on investments in Underlying Funds | | | 17,109,542 | | | | 18,314,493 | |
Net change in unrealized appreciation/depreciation on futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | | | (1,767,426 | ) | | | 999,277 | |
Net increase in net assets resulting from operations | | | 13,647,146 | | | | 21,025,239 | |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | | | | | | |
Class A | | | (1,518,722 | ) | | | (5,072,090 | ) |
Class B | | | (10,544 | ) | | | (60,032 | ) |
Class C | | | (294,746 | ) | | | (1,132,296 | ) |
Class F | | | (63,495 | ) | | | (207,266 | ) |
Class F3 | | | (132 | ) | | | – | |
Class I | | | (132,094 | ) | | | (402,584 | ) |
Class R2 | | | (4,216 | ) | | | (11,684 | ) |
Class R3 | | | (51,952 | ) | | | (210,941 | ) |
Class R4 | | | (1,431 | ) | | | (332 | ) |
Class R5 | | | (255 | ) | | | (354 | ) |
Class R6 | | | (595,934 | ) | | | (1,462,429 | ) |
Net realized gain | | | | | | | | |
Class A | | | – | | | | (1,722,448 | ) |
Class B | | | – | | | | (25,814 | ) |
Class C | | | – | | | | (475,580 | ) |
Class F | | | – | | | | (68,421 | ) |
Class F3 | | | – | | | | – | |
Class I | | | – | | | | (124,264 | ) |
Class R2 | | | – | | | | (4,279 | ) |
Class R3 | | | – | | | | (77,126 | ) |
Class R4 | | | – | | | | (109 | ) |
Class R5 | | | – | | | | (109 | ) |
Class R6 | | | – | | | | (469,615 | ) |
Total distributions to shareholders | | | (2,673,521 | ) | | | (11,527,773 | ) |
Capital share transactions (Net of share conversions) (See Note 15): | | | | | | | | |
Net proceeds from sales of shares | | | 33,830,691 | | | | 31,175,121 | |
Reinvestment of distributions | | | 2,455,341 | | | | 10,713,404 | |
Cost of shares reacquired | | | (56,517,745 | ) | | | (77,249,082 | ) |
Net decrease in net assets resulting from capital share transactions | | | (20,231,713 | ) | | | (35,360,557 | ) |
Net decrease in net assets | | | (9,258,088 | ) | | | (25,863,091 | ) |
NET ASSETS: | | | | | | | | |
Beginning of period | | $ | 240,206,467 | | | $ | 266,069,558 | |
End of period | | $ | 230,948,379 | | | $ | 240,206,467 | |
Undistributed (distributions in excess of) net investment income | | $ | 30,066 | | | $ | (19,351 | ) |
| See Notes to Financial Statements. | 67 |
Financial Highlights
EMERGING MARKETS CORPORATE DEBT FUND
| | | | | Per Share Operating Performance: |
| | | | | Investment operations: | | Distributions to shareholders from: |
| | | | | | | | | | | | | | | | | | | | | |
| | Net asset value, beginning of period | | Net invest- ment income(a) | | Net realized and unrealized gain (loss) | | Total from invest- ment opera- tions | | Net investment income | | Net realized gain | | Total distri- butions |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | $15.08 | | | | $0.30 | | | $ | 0.46 | | | $ | 0.76 | | | $ | (0.32 | ) | | $ | – | | | $ | (0.32 | ) |
12/31/2016 | | | 14.45 | | | | 0.61 | | | | 0.68 | | | | 1.29 | | | | (0.66 | ) | | | – | | | | (0.66 | ) |
12/31/2015 | | | 14.85 | | | | 0.60 | | | | (0.33 | ) | | | 0.27 | | | | (0.67 | ) | | | – | (e) | | | (0.67 | ) |
12/31/2014 | | | 14.97 | | | | 0.66 | | | | 0.34 | | | | 1.00 | | | | (0.72 | ) | | | (0.40 | ) | | | (1.12 | ) |
12/6/2013 to 12/31/2013(f) | | | 15.00 | | | | 0.02 | | | | (0.02 | ) | | | – | | | | (0.03 | ) | | | – | | | | (0.03 | ) |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 15.07 | | | | 0.25 | | | | 0.47 | | | | 0.72 | | | | (0.27 | ) | | | – | | | | (0.27 | ) |
12/31/2016 | | | 14.45 | | | | 0.50 | | | | 0.68 | | | | 1.18 | | | | (0.56 | ) | | | – | | | | (0.56 | ) |
12/31/2015 | | | 14.85 | | | | 0.50 | | | | (0.34 | ) | | | 0.16 | | | | (0.56 | ) | | | – | (e) | | | (0.56 | ) |
12/31/2014 | | | 14.97 | | | | 0.52 | | | | 0.36 | | | | 0.88 | | | | (0.60 | ) | | | (0.40 | ) | | | (1.00 | ) |
12/6/2013 to 12/31/2013(f) | | | 15.00 | | | | 0.01 | | | | (0.02 | ) | | | (0.01 | ) | | | (0.02 | ) | | | – | | | | (0.02 | ) |
Class F | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 15.08 | | | | 0.31 | | | | 0.46 | | | | 0.77 | | | | (0.33 | ) | | | – | | | | (0.33 | ) |
12/31/2016 | | | 14.45 | | | | 0.62 | | | | 0.68 | | | | 1.30 | | | | (0.67 | ) | | | – | | | | (0.67 | ) |
12/31/2015 | | | 14.85 | | | | 0.56 | | | | (0.28 | ) | | | 0.28 | | | | (0.68 | ) | | | – | (e) | | | (0.68 | ) |
12/31/2014 | | | 14.97 | | | | 0.67 | | | | 0.35 | | | | 1.02 | | | | (0.74 | ) | | | (0.40 | ) | | | (1.14 | ) |
12/6/2013 to 12/31/2013(f) | | | 15.00 | | | | 0.02 | | | | (0.02 | ) | | | – | | | | (0.03 | ) | | | – | | | | (0.03 | ) |
Class F3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4/4/2017 to 6/30/2017(c)(h) | | | 15.43 | | | | 0.16 | | | | 0.10 | | | | 0.26 | | | | (0.17 | ) | | | – | | | | (0.17 | ) |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 15.08 | | | | 0.32 | | | | 0.46 | | | | 0.78 | | | | (0.34 | ) | | | – | | | | (0.34 | ) |
12/31/2016 | | | 14.45 | | | | 0.64 | | | | 0.68 | | | | 1.32 | | | | (0.69 | ) | | | – | | | | (0.69 | ) |
12/31/2015 | | | 14.85 | | | | 0.63 | | | | (0.33 | ) | | | 0.30 | | | | (0.70 | ) | | | – | (e) | | | (0.70 | ) |
12/31/2014 | | | 14.97 | | | | 0.69 | | | | 0.34 | | | | 1.03 | | | | (0.75 | ) | | | (0.40 | ) | | | (1.15 | ) |
12/6/2013 to 12/31/2013(f) | | | 15.00 | | | | 0.02 | | | | (0.02 | ) | | | – | | | | (0.03 | ) | | | – | | | | (0.03 | ) |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 15.07 | | | | 0.32 | | | | 0.46 | | | | 0.78 | | | | (0.34 | ) | | | – | | | | (0.34 | ) |
12/31/2016 | | | 14.45 | | | | 0.64 | | | | 0.67 | | | | 1.31 | | | | (0.69 | ) | | | – | | | | (0.69 | ) |
12/31/2015 | | | 14.85 | | | | 0.64 | | | | (0.34 | ) | | | 0.30 | | | | (0.70 | ) | | | – | (e) | | | (0.70 | ) |
12/31/2014 | | | 14.97 | | | | 0.69 | | | | 0.34 | | | | 1.03 | | | | (0.75 | ) | | | (0.40 | ) | | | (1.15 | ) |
12/6/2013 to 12/31/2013(f) | | | 15.00 | | | | 0.02 | | | | (0.02 | ) | | | – | | | | (0.03 | ) | | | – | | | | (0.03 | ) |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 15.07 | | | | 0.32 | | | | 0.46 | | | | 0.78 | | | | (0.34 | ) | | | – | | | | (0.34 | ) |
12/31/2016 | | | 14.45 | | | | 0.64 | | | | 0.67 | | | | 1.31 | | | | (0.69 | ) | | | – | | | | (0.69 | ) |
12/31/2015 | | | 14.85 | | | | 0.64 | | | | (0.34 | ) | | | 0.30 | | | | (0.70 | ) | | | – | (e) | | | (0.70 | ) |
12/31/2014 | | | 14.97 | | | | 0.69 | | | | 0.34 | | | | 1.03 | | | | (0.75 | ) | | | (0.40 | ) | | | (1.15 | ) |
12/6/2013 to 12/31/2013(f) | | | 15.00 | | | | 0.02 | | | | (0.02 | ) | | | – | | | | (0.03 | ) | | | – | | | | (0.03 | ) |
| |
68 | See Notes to Financial Statements. |
| | | | | | Ratios to Average Net Assets: | | Supplemental Data: |
| | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | Total return(b) (%) | | Total expenses after waivers and/or reim- bursements (%) | | Total expenses (%) | | Net invest- ment income (%) | | Net assets, end of period (000) | | Portfolio turnover rate (%) |
| $15.52 | | | | 5.10 | (d) | | | 0.52 | (d) | | | 0.79 | (d) | | | 1.94 | (d) | | | $11,084 | | | | 34.76 | (d) |
| 15.08 | | | | 9.03 | | | | 1.05 | | | | 1.67 | | | | 4.03 | | | | 7,535 | | | | 104.21 | |
| 14.45 | | | | 1.77 | | | | 1.05 | | | | 1.71 | | | | 4.03 | | | | 13,843 | | | | 147.85 | |
| 14.85 | | | | 6.76 | | | | 1.05 | | | | 2.62 | | | | 4.27 | | | | 6,745 | | | | 293.26 | |
| 14.97 | | | | (0.04 | )(d) | | | 1.05 | (g) | | | 5.26 | (g) | | | 1.84 | (g) | | | 4,835 | | | | 4.14 | (d) |
|
| 15.52 | | | | 4.80 | (d) | | | 0.88 | (d) | | | 1.15 | (d) | | | 1.61 | (d) | | | 1,546 | | | | 34.76 | (d) |
| 15.07 | | | | 8.23 | | | | 1.70 | | | | 2.34 | | | | 3.27 | | | | 1,212 | | | | 104.21 | |
| 14.45 | | | | 1.04 | | | | 1.77 | | | | 2.46 | | | | 3.38 | | | | 581 | | | | 147.85 | |
| 14.85 | | | | 5.90 | | | | 1.81 | | | | 3.27 | | | | 3.34 | | | | 473 | | | | 293.26 | |
| 14.97 | | | | (0.09 | )(d) | | | 1.86 | (g) | | | 6.07 | (g) | | | 1.03 | (g) | | | 100 | | | | 4.14 | (d) |
|
| 15.52 | | | | 5.15 | (d) | | | 0.47 | (d) | | | 0.74 | (d) | | | 2.00 | (d) | | | 20,813 | | | | 34.76 | (d) |
| 15.08 | | | | 9.10 | | | | 0.95 | | | | 1.57 | | | | 4.09 | | | | 12,321 | | | | 104.21 | |
| 14.45 | | | | 1.83 | | | | 0.95 | | | | 1.50 | | | | 3.82 | | | | 12,604 | | | | 147.85 | |
| 14.85 | | | | 6.86 | | | | 0.94 | | | | 2.49 | | | | 4.36 | | | | 170 | | | | 293.26 | |
| 14.97 | | | | (0.04 | )(d) | | | 0.95 | (g) | | | 5.15 | (g) | | | 1.94 | (g) | | | 100 | | | | 4.14 | (d) |
|
| 15.52 | | | | 1.67 | (d) | | | 0.18 | (d)(h) | | | 0.32 | (d)(h) | | | 1.00 | (d)(h) | | | 10 | | | | 34.76 | (d) |
|
| 15.52 | | | | 5.28 | (d) | | | 0.42 | (d) | | | 0.70 | (d) | | | 2.06 | (d) | | | 10,678 | | | | 34.76 | (d) |
| 15.08 | | | | 9.18 | | | | 0.85 | | | | 1.47 | | | | 4.26 | | | | 8,636 | | | | 104.21 | |
| 14.45 | | | | 1.98 | | | | 0.85 | | | | 1.50 | | | | 4.26 | | | | 10,634 | | | | 147.85 | |
| 14.85 | | | | 6.97 | | | | 0.85 | | | | 2.43 | | | | 4.47 | | | | 5,134 | | | | 293.26 | |
| 14.97 | | | | (0.03 | )(d) | | | 0.85 | (g) | | | 5.06 | (g) | | | 2.03 | (g) | | | 4,798 | | | | 4.14 | (d) |
|
| 15.51 | | | | 5.21 | (d) | | | 0.42 | (d) | | | 1.00 | (d) | | | 2.07 | (d) | | | 125 | | | | 34.76 | (d) |
| 15.07 | | | | 9.18 | | | | 0.85 | | | | 2.08 | | | | 4.23 | | | | 119 | | | | 104.21 | |
| 14.45 | | | | 1.98 | | | | 0.85 | | | | 2.14 | | | | 4.31 | | | | 109 | | | | 147.85 | |
| 14.85 | | | | 6.97 | | | | 0.85 | | | | 3.03 | | | | 4.47 | | | | 107 | | | | 293.26 | |
| 14.97 | | | | (0.03 | )(d) | | | 0.85 | (g) | | | 5.06 | (g) | | | 2.03 | (g) | | | 100 | | | | 4.14 | (d) |
|
| 15.51 | | | | 5.21 | (d) | | | 0.42 | (d) | | | 0.95 | | | | 2.07 | (d) | | | 125 | | | | 34.76 | (d) |
| 15.07 | | | | 9.18 | | | | 0.85 | | | | 1.98 | | | | 4.23 | | | | 119 | | | | 104.21 | |
| 14.45 | | | | 1.98 | (d) | | | 0.85 | | | | 2.04 | | | | 4.31 | | | | 109 | | | | 147.85 | |
| 14.85 | | | | 6.97 | | | | 0.85 | | | | 2.93 | | | | 4.47 | | | | 107 | | | | 293.26 | |
| 14.97 | | | | (0.03 | )(d) | | | 0.85 | | | | 5.07 | (g) | | | 2.05 | (g) | | | 100 | | | | 4.14 | (d) |
| | |
| See Notes to Financial Statements. | 69 |
Financial Highlights (continued)
EMERGING MARKETS CORPORATE DEBT FUND
| | | | | Per Share Operating Performance: |
| | | | | Investment operations: | | Distributions to shareholders from: |
| | | | | | | | | | | | | | | | | | | | | |
| | Net asset value, beginning of period | | Net invest- ment income(a) | | Net realized and unrealized gain (loss) | | Total from invest- ment opera- tions | | Net investment income | | Net realized gain | | Total distri- butions |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | $15.07 | | | | $0.30 | | | $ | 0.47 | | | $ | 0.77 | | | $ | (0.32 | ) | | $ | – | | | $ | (0.32 | ) |
12/31/2016 | | | 14.45 | | | | 0.60 | | | | 0.68 | | | | 1.28 | | | | (0.66 | ) | | | – | | | | (0.66 | ) |
6/30/2015 to 12/31/2015(i) | | | 14.97 | | | | 0.29 | | | | (0.49 | ) | | | (0.20 | ) | | | (0.32 | ) | | | – | (e) | | | (0.32 | ) |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 15.07 | | | | 0.32 | | | | 0.47 | | | | 0.79 | | | | (0.34 | ) | | | – | | | | (0.34 | ) |
12/31/2016 | | | 14.45 | | | | 0.64 | | | | 0.67 | | | | 1.31 | | | | (0.69 | ) | | | – | | | | (0.69 | ) |
6/30/2015 to 12/31/2015(i) | | | 14.97 | | | | 0.31 | | | | (0.49 | ) | | | (0.18 | ) | | | (0.34 | ) | | | – | (e) | | | (0.34 | ) |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 15.07 | | | | 0.33 | | | | 0.47 | | | | 0.80 | | | | (0.35 | ) | | | – | | | | (0.35 | ) |
12/31/2016 | | | 14.45 | | | | 0.65 | | | | 0.67 | | | | 1.32 | | | | (0.70 | ) | | | – | | | | (0.70 | ) |
6/30/2015 to 12/31/2015(i) | | | 14.97 | | | | 0.31 | | | | (0.48 | ) | | | (0.17 | ) | | | (0.35 | ) | | | – | (e) | | | (0.35 | ) |
| | |
| (a) | Calculated using average shares outstanding during the period. |
| (b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
| (c) | Unaudited. |
| (d) | Not annualized. |
| (e) | Amount less than $0.01. |
| (f) | Commenced on December 6, 2013. |
| (g) | Annualized. |
| (h) | Commenced on April 4, 2017. |
| (i) | Commenced on June 30, 2015. |
| |
70 | See Notes to Financial Statements. |
| | | | | | Ratios to Average Net Assets: | | Supplemental Data: |
| | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | Total return(b) (%) | | Total expenses after waivers and/or reim- bursements (%) | | Total expenses (%) | | Net invest- ment income (%) | | Net assets, end of period (000) | | Portfolio turnover rate (%) |
| $15.52 | | | | 5.15 | (d) | | | 0.55 | (d) | | | 0.83 | (d) | | | 1.94 | (d) | | | $11 | | | | 34.76 | (d) |
| 15.07 | | | | 8.92 | | | | 1.08 | | | | 1.70 | | | | 4.00 | | | | 11 | | | | 104.21 | |
| 14.45 | | | | (1.33 | )(d) | | | 1.10 | (g) | | | 1.71 | (g) | | | 3.91 | (g) | | | 10 | | | | 147.85 | |
|
| 15.52 | | | | 5.28 | (d) | | | 0.43 | (d) | | | 0.71 | (d) | | | 2.06 | (d) | | | 38 | | | | 34.76 | (d) |
| 15.07 | | | | 9.18 | | | | 0.85 | | | | 1.49 | | | | 4.22 | | | | 35 | | | | 104.21 | |
| 14.45 | | | | (1.21 | )(d) | | | 0.85 | (g) | | | 1.46 | (g) | | | 4.17 | (g) | | | 10 | | | | 147.85 | |
|
| 15.52 | | | | 5.35 | (d) | | | 0.36 | (d) | | | 0.63 | (d) | | | 2.13 | (d) | | | 11 | | | | 34.76 | (d) |
| 15.07 | | | | 9.26 | | | | 0.77 | | | | 1.27 | | | | 4.31 | | | | 11 | | | | 104.21 | |
| 14.45 | | | | (1.18 | )(d) | | | 0.79 | (g) | | | 1.37 | (g) | | | 4.23 | (g) | | | 10 | | | | 147.85 | |
| | |
| See Notes to Financial Statements. | 71 |
Financial Highlights (continued)
EMERGING MARKETS CURRENCY FUND
| | | | | Per Share Operating Performance: |
| | | | | Investment operations: | | Distributions to shareholders from: |
| | | | | | | | | | | | | | | | | | | | | |
| | Net asset value, beginning of period | | Net invest- ment income(a) | | Net realized and unrealized gain (loss) | | Total from invest- ment opera- tions | | Net investment income | | Return of capital | | Total distri- butions |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | $5.11 | | | | $0.05 | | | $ | 0.31 | | | $ | 0.36 | | | $ | (0.11 | ) | | $ | – | | | $ | (0.11 | ) |
12/31/2016 | | | 5.10 | | | | 0.08 | | | | 0.21 | | | | 0.29 | | | | (0.28 | ) | | | – | | | | (0.28 | ) |
12/31/2015 | | | 5.76 | | | | 0.06 | | | | (0.57 | ) | | | (0.51 | ) | | | (0.07 | ) | | | (0.08 | ) | | | (0.15 | ) |
12/31/2014 | | | 6.25 | | | | 0.06 | | | | (0.40 | ) | | | (0.34 | ) | | | (0.15 | ) | | | – | | | | (0.15 | ) |
12/31/2013 | | | 6.63 | | | | 0.06 | | | | (0.27 | ) | | | (0.21 | ) | | | (0.10 | ) | | | (0.07 | ) | | | (0.17 | ) |
12/31/2012 | | | 6.15 | | | | 0.07 | | | | 0.58 | | | | 0.65 | | | | (0.15 | ) | | | (0.02 | ) | | | (0.17 | ) |
Class B | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 5.13 | | | | 0.03 | | | | 0.31 | | | | 0.34 | | | | (0.09 | ) | | | – | | | | (0.09 | ) |
12/31/2016 | | | 5.12 | | | | 0.04 | | | | 0.21 | | | | 0.25 | | | | (0.24 | ) | | | – | | | | (0.24 | ) |
12/31/2015 | | | 5.79 | | | | 0.02 | | | | (0.58 | ) | | | (0.56 | ) | | | (0.05 | ) | | | (0.06 | ) | | | (0.11 | ) |
12/31/2014 | | | 6.28 | | | | 0.01 | | | | (0.39 | ) | | | (0.38 | ) | | | (0.11 | ) | | | – | | | | (0.11 | ) |
12/31/2013 | | | 6.66 | | | | 0.01 | | | | (0.27 | ) | | | (0.26 | ) | | | (0.07 | ) | | | (0.05 | ) | | | (0.12 | ) |
12/31/2012 | | | 6.18 | | | | 0.02 | | | | 0.58 | | | | 0.60 | | | | (0.10 | ) | | | (0.02 | ) | | | (0.12 | ) |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 5.14 | | | | 0.03 | | | | 0.31 | | | | 0.34 | | | | (0.09 | ) | | | – | | | | (0.09 | ) |
12/31/2016 | | | 5.13 | | | | 0.05 | | | | 0.21 | | | | 0.26 | | | | (0.25 | ) | | | – | | | | (0.25 | ) |
12/31/2015 | | | 5.79 | | | | 0.03 | | | | (0.57 | ) | | | (0.54 | ) | | | (0.06 | ) | | | (0.06 | ) | | | (0.12 | ) |
12/31/2014 | | | 6.29 | | | | 0.02 | | | | (0.40 | ) | | | (0.38 | ) | | | (0.12 | ) | | | – | | | | (0.12 | ) |
12/31/2013 | | | 6.67 | | | | 0.02 | | | | (0.27 | ) | | | (0.25 | ) | | | (0.07 | ) | | | (0.06 | ) | | | (0.13 | ) |
12/31/2012 | | | 6.19 | | | | 0.02 | | | | 0.59 | | | | 0.61 | | | | (0.11 | ) | | | (0.02 | ) | | | (0.13 | ) |
Class F | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 5.11 | | | | 0.05 | | | | 0.30 | | | | 0.35 | | | | (0.11 | ) | | | – | | | | (0.11 | ) |
12/31/2016 | | | 5.10 | | | | 0.08 | | | | 0.21 | | | | 0.29 | | | | (0.28 | ) | | | – | | | | (0.28 | ) |
12/31/2015 | | | 5.76 | | | | 0.07 | | | | (0.57 | ) | | | (0.50 | ) | | | (0.08 | ) | | | (0.08 | ) | | | (0.16 | ) |
12/31/2014 | | | 6.25 | | | | 0.06 | | | | (0.39 | ) | | | (0.33 | ) | | | (0.16 | ) | | | – | | | | (0.16 | ) |
12/31/2013 | | | 6.62 | | | | 0.07 | | | | (0.27 | ) | | | (0.20 | ) | | | (0.09 | ) | | | (0.08 | ) | | | (0.17 | ) |
12/31/2012 | | | 6.15 | | | | 0.07 | | | | 0.58 | | | | 0.65 | | | | (0.16 | ) | | | (0.02 | ) | | | (0.18 | ) |
Class F3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4/4/2017 to 6/30/2017(c)(e) | | | 5.31 | | | | 0.03 | | | | 0.07 | | | | 0.10 | | | | (0.06 | ) | | | – | | | | (0.06 | ) |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 5.10 | | | | 0.05 | | | | 0.32 | | | | 0.37 | | | | (0.12 | ) | | | – | | | | (0.12 | ) |
12/31/2016 | | | 5.09 | | | | 0.09 | | | | 0.21 | | | | 0.30 | | | | (0.29 | ) | | | – | | | | (0.29 | ) |
12/31/2015 | | | 5.75 | | | | 0.07 | | | | (0.57 | ) | | | (0.50 | ) | | | (0.08 | ) | | | (0.08 | ) | | | (0.16 | ) |
12/31/2014 | | | 6.24 | | | | 0.07 | | | | (0.39 | ) | | | (0.32 | ) | | | (0.17 | ) | | | – | | | | (0.17 | ) |
12/31/2013 | | | 6.61 | | | | 0.08 | | | | (0.27 | ) | | | (0.19 | ) | | | (0.10 | ) | | | (0.08 | ) | | | (0.18 | ) |
12/31/2012 | | | 6.14 | | | | 0.08 | | | | 0.57 | | | | 0.65 | | | | (0.16 | ) | | | (0.02 | ) | | | (0.18 | ) |
| |
72 | See Notes to Financial Statements. |
| | | | | | Ratios to Average Net Assets: | | Supplemental Data: |
Net asset value, end of period | | Total return(b) (%) | | Total expenses (%) | | Net invest- ment income (%) | | Net assets, end of period (000) | | Portfolio turnover rate (%) |
| $5.36 | | | | 6.89 | (d) | | | 0.45 | (d) | | | 0.91 | (d) | | | $18,235 | | | | 13.91 | (d) |
| 5.11 | | | | 5.68 | | | | 0.99 | | | | 1.51 | | | | 18,357 | | | | 89.73 | |
| 5.10 | | | | (8.95 | ) | | | 0.98 | | | | 1.10 | | | | 20,466 | | | | 51.75 | |
| 5.76 | | | | (5.49 | ) | | | 0.98 | | | | 0.93 | | | | 30,554 | | | | 113.20 | |
| 6.25 | | | | (3.21 | ) | | | 0.99 | | | | 0.97 | | | | 47,961 | | | | 105.11 | |
| 6.63 | | | | 10.69 | | | | 1.01 | | | | 1.02 | | | | 73,947 | | | | 141.92 | |
| | | | | | | | | | | | | | | | | | | | | | |
| 5.38 | | | | 6.65 | (d) | | | 0.86 | (d) | | | 0.49 | (d) | | | 39 | | | | 13.91 | (d) |
| 5.13 | | | | 4.83 | | | | 1.80 | | | | 0.71 | | | | 56 | | | | 89.73 | |
| 5.12 | | | | (9.79 | ) | | | 1.78 | | | | 0.30 | | | | 178 | | | | 51.75 | |
| 5.79 | | | | (6.20 | ) | | | 1.78 | | | | 0.13 | | | | 350 | | | | 113.20 | |
| 6.28 | | | | (3.95 | ) | | | 1.79 | | | | 0.18 | | | | 696 | | | | 105.11 | |
| 6.66 | | | | 9.79 | | | | 1.80 | | | | 0.24 | | | | 1,219 | | | | 141.92 | |
| | | | | | | | | | | | | | | | | | | | | | |
| 5.39 | | | | 6.54 | (d) | | | 0.76 | (d) | | | 0.60 | (d) | | | 3,680 | | | | 13.91 | (d) |
| 5.14 | | | | 5.03 | | | | 1.60 | | | | 0.91 | | | | 4,025 | | | | 89.73 | |
| 5.13 | | | | (9.44 | ) | | | 1.59 | | | | 0.49 | | | | 5,558 | | | | 51.75 | |
| 5.79 | | | | (6.19 | ) | | | 1.61 | | | | 0.31 | | | | 9,675 | | | | 113.20 | |
| 6.29 | | | | (3.78 | ) | | | 1.62 | | | | 0.34 | | | | 17,378 | | | | 105.11 | |
| 6.67 | | | | 9.91 | | | | 1.68 | | | | 0.37 | | | | 28,543 | | | | 141.92 | |
| | | | | | | | | | | | | | | | | | | | | | |
| 5.35 | | | | 6.94 | (d) | | | 0.40 | (d) | | | 0.97 | (d) | | | 8,235 | | | | 13.91 | (d) |
| 5.11 | | | | 5.79 | | | | 0.89 | | | | 1.61 | | | | 7,366 | | | | 89.73 | |
| 5.10 | | | | (8.86 | ) | | | 0.88 | | | | 1.19 | | | | 9,439 | | | | 51.75 | |
| 5.76 | | | | (5.40 | ) | | | 0.88 | | | | 1.03 | | | | 21,550 | | | | 113.20 | |
| 6.25 | | | | (2.97 | ) | | | 0.89 | | | | 1.06 | | | | 36,181 | | | | 105.11 | |
| 6.62 | | | | 10.63 | | | | 0.91 | | | | 1.12 | | | | 71,622 | | | | 141.92 | |
| | | | | | | | | | | | | | | | | | | | | | |
| 5.35 | | | | 1.70 | | | | 0.17 | (d)(e) | | | 0.50 | (d)(e) | | | 10 | | | | 13.91 | (d) |
| | | | | | | | | | | | | | | | | | | | | | |
| 5.35 | | | | 7.00 | (d) | | | 0.36 | (d) | | | 1.00 | (d) | | | 213,237 | | | | 13.91 | (d) |
| 5.10 | | | | 5.90 | | | | 0.79 | | | | 1.71 | | | | 356,968 | | | | 89.73 | |
| 5.09 | | | | (8.79 | ) | | | 0.78 | | | | 1.29 | | | | 442,393 | | | | 51.75 | |
| 5.75 | | | | (5.32 | ) | | | 0.78 | | | | 1.12 | | | | 317,393 | | | | 113.20 | |
| 6.24 | | | | (2.88 | ) | | | 0.80 | | | | 1.18 | | | | 295,136 | | | | 105.11 | |
| 6.61 | | | | 10.75 | | | | 0.80 | | | | 1.21 | | | | 271,710 | | | | 141.92 | |
| | |
| See Notes to Financial Statements. | 73 |
Financial Highlights (continued)
EMERGING MARKETS CURRENCY FUND
| | | | | Per Share Operating Performance: |
| | | | | Investment operations: | | Distributions to shareholders from: |
| | | | | | | | | | | | | | | | | | | | | |
| | Net asset value, beginning of period | | Net invest- ment income(a) | | Net realized and unrealized gain (loss) | | Total from invest- ment opera- tions | | Net investment income | | Return of capital | | Total distri- butions |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | $5.12 | | | | $0.04 | | | $ | 0.31 | | | $ | 0.35 | | | $ | (0.10 | ) | | $ | – | | | $ | (0.10 | ) |
12/31/2016 | | | 5.11 | | | | 0.06 | | | | 0.21 | | | | 0.27 | | | | (0.26 | ) | | | – | | | | (0.26 | ) |
12/31/2015 | | | 5.77 | | | | 0.04 | | | | (0.57 | ) | | | (0.53 | ) | | | (0.06 | ) | | | (0.07 | ) | | | (0.13 | ) |
12/31/2014 | | | 6.26 | | | | 0.03 | | | | (0.39 | ) | | | (0.36 | ) | | | (0.13 | ) | | | – | | | | (0.13 | ) |
12/31/2013 | | | 6.64 | | | | 0.04 | | | | (0.28 | ) | | | (0.24 | ) | | | (0.08 | ) | | | (0.06 | ) | | | (0.14 | ) |
12/31/2012 | | | 6.16 | | | | 0.04 | | | | 0.59 | | | | 0.63 | | | | (0.13 | ) | | | (0.02 | ) | | | (0.15 | ) |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 5.10 | | | | 0.04 | | | | 0.30 | | | | 0.34 | | | | (0.10 | ) | | | – | | | | (0.10 | ) |
12/31/2016 | | | 5.09 | | | | 0.06 | | | | 0.21 | | | | 0.27 | | | | (0.26 | ) | | | – | | | | (0.26 | ) |
12/31/2015 | | | 5.75 | | | | 0.04 | | | | (0.57 | ) | | | (0.53 | ) | | | (0.06 | ) | | | (0.07 | ) | | | (0.13 | ) |
12/31/2014 | | | 6.24 | | | | 0.04 | | | | (0.39 | ) | | | (0.35 | ) | | | (0.14 | ) | | | – | | | | (0.14 | ) |
12/31/2013 | | | 6.61 | | | | 0.04 | | | | (0.26 | ) | | | (0.22 | ) | | | (0.09 | ) | | | (0.06 | ) | | | (0.15 | ) |
12/31/2012 | | | 6.14 | | | | 0.05 | | | | 0.57 | | | | 0.62 | | | | (0.13 | ) | | | (0.02 | ) | | | (0.15 | ) |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 5.11 | | | | 0.05 | | | | 0.31 | | | | 0.36 | | | | (0.11 | ) | | | – | | | | (0.11 | ) |
12/31/2016 | | | 5.10 | | | | 0.08 | | | | 0.21 | | | | 0.29 | | | | (0.28 | ) | | | – | | | | (0.28 | ) |
6/30/2015 to 12/31/2015(f) | | | 5.53 | | | | 0.03 | | | | (0.39 | ) | | | (0.36 | ) | | | (0.03 | ) | | | (0.04 | ) | | | (0.07 | ) |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 5.10 | | | | 0.05 | | | | 0.32 | | | | 0.37 | | | | (0.12 | ) | | | – | | | | (0.12 | ) |
12/31/2016 | | | 5.09 | | | | 0.09 | | | | 0.21 | | | | 0.30 | | | | (0.29 | ) | | | – | | | | (0.29 | ) |
6/30/2015 to 12/31/2015(f) | | | 5.52 | | | | 0.04 | | | | (0.39 | ) | | | (0.35 | ) | | | (0.04 | ) | | | (0.04 | ) | | | (0.08 | ) |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 5.10 | | | | 0.06 | | | | 0.31 | | | | 0.37 | | | | (0.12 | ) | | | – | | | | (0.12 | ) |
12/31/2016 | | | 5.09 | | | | 0.10 | | | | 0.20 | | | | 0.30 | | | | (0.29 | ) | | | – | | | | (0.29 | ) |
6/30/2015 to 12/31/2015(f) | | | 5.52 | | | | 0.04 | | | | (0.39 | ) | | | (0.35 | ) | | | (0.04 | ) | | | (0.04 | ) | | | (0.08 | ) |
| | |
| (a) | Calculated using average shares outstanding during the period. |
| (b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
| (c) | Unaudited. |
| (d) | Not annualized. |
| (e) | Commenced on April 4, 2017. |
| (f) | Commenced on June 30, 2015. |
| (g) | Annualized. |
| |
74 | See Notes to Financial Statements. |
| | | | | | Ratios to Average Net Assets: | | Supplemental Data: |
Net asset value, end of period | | Total return(b) (%) | | Total expenses (%) | | Net invest- ment income (%) | | Net assets, end of period (000) | | Portfolio turnover rate (%) |
| $5.37 | | | | 6.67 | (d) | | | 0.65 | (d) | | | 0.71 | (d) | | | $ 90 | | | | 13.91 | (d) |
| 5.12 | | | | 5.26 | | | | 1.39 | | | | 1.11 | | | | 96 | | | | 89.73 | |
| 5.11 | | | | (9.30 | ) | | | 1.38 | | | | 0.70 | | | | 101 | | | | 51.75 | |
| 5.77 | | | | (5.85 | ) | | | 1.37 | | | | 0.51 | | | | 110 | | | | 113.20 | |
| 6.26 | | | | (3.59 | ) | | | 1.40 | | | | 0.58 | | | | 248 | | | | 105.11 | |
| 6.64 | | | | 10.24 | | | | 1.41 | | | | 0.63 | | | | 300 | | | | 141.92 | |
|
| 5.34 | | | | 6.75 | (d) | | | 0.60 | (d) | | | 0.77 | (d) | | | 294 | | | | 13.91 | (d) |
| 5.10 | | | | 5.38 | | | | 1.28 | | | | 1.22 | | | | 296 | | | | 89.73 | |
| 5.09 | | | | (9.24 | ) | | | 1.27 | | | | 0.81 | | | | 285 | | | | 51.75 | |
| 5.75 | | | | (5.77 | ) | | | 1.27 | | | | 0.65 | | | | 524 | | | | 113.20 | |
| 6.24 | | | | (3.35 | ) | | | 1.28 | | | | 0.70 | | | | 494 | | | | 105.11 | |
| 6.61 | | | | 10.23 | | | | 1.29 | | | | 0.74 | | | | 617 | | | | 141.92 | |
|
| 5.36 | | | | 6.86 | (d) | | | 0.47 | (d) | | | 0.96 | (d) | | | 26 | | | | 13.91 | (d) |
| 5.11 | | | | 5.67 | | | | 1.01 | | | | 1.50 | | | | 10 | | | | 89.73 | |
| 5.10 | | | | (6.44 | )(d) | | | 1.01 | (g) | | | 1.13 | (g) | | | 9 | | | | 51.75 | |
|
| 5.35 | | | | 7.01 | (d) | | | 0.36 | (d) | | | 1.01 | (d) | | | 11 | | | | 13.91 | (d) |
| 5.10 | | | | 5.94 | | | | 0.75 | | | | 1.76 | | | | 10 | | | | 89.73 | |
| 5.09 | | | | (6.34 | )(d) | | | 0.76 | (g) | | | 1.37 | (g) | | | 9 | | | | 51.75 | |
|
| 5.35 | | | | 7.02 | (d) | | | 0.35 | (d) | | | 1.09 | (d) | | | 553 | | | | 13.91 | (d) |
| 5.10 | | | | 6.04 | | | | 0.66 | | | | 1.85 | | | | 10 | | | | 89.73 | |
| 5.09 | | | | (6.29 | )(d) | | | 0.67 | (g) | | | 1.47 | (g) | | | 9 | | | | 51.75 | |
| | |
| See Notes to Financial Statements. | 75 |
Financial Highlights (continued)
EMERGING MARKETS LOCAL BOND FUND
| | | | | Per Share Operating Performance: |
| | | | | Investment operations: | | Distributions to shareholders from: |
| | | | | | | | | | | | | | | | | | | | | |
| | Net asset value, beginning of period | | Net invest- ment income(a) | | Net realized and unrealized gain (loss) | | Total from invest- ment opera- tions | | Net investment income | | Return of capital | | Total distri- butions |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | $10.03 | | | | $0.34 | | | $ | 0.67 | | | $ | 1.01 | | | $ | (0.36 | ) | | $ | – | | | $ | (0.36 | ) |
12/31/2016 | | | 9.93 | | | | 0.61 | | | | 0.15 | | | | 0.76 | | | | – | | | | (0.66 | ) | | | (0.66 | ) |
12/31/2015 | | | 12.60 | | | | 0.62 | | | | (2.62 | ) | | | (2.00 | ) | | | – | | | | (0.67 | ) | | | (0.67 | ) |
12/31/2014 | | | 14.39 | | | | 0.75 | | | | (1.70 | ) | | | (0.95 | ) | | | (0.84 | ) | | | – | | | | (0.84 | ) |
6/21/2013 to 12/31/2013(e) | | | 15.00 | | | | 0.37 | | | | (0.51 | ) | | | (0.14 | ) | | | (0.47 | ) | | | – | | | | (0.47 | ) |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 10.03 | | | | 0.31 | | | | 0.66 | | | | 0.97 | | | | (0.32 | ) | | | – | | | | (0.32 | ) |
12/31/2016 | | | 9.93 | | | | 0.55 | | | | 0.14 | | | | 0.69 | | | | – | | | | (0.59 | ) | | | (0.59 | ) |
12/31/2015 | | | 12.60 | | | | 0.53 | | | | (2.61 | ) | | | (2.08 | ) | | | – | | | | (0.59 | ) | | | (0.59 | ) |
12/31/2014 | | | 14.38 | | | | 0.64 | | | | (1.69 | ) | | | (1.05 | ) | | | (0.73 | ) | | | – | | | | (0.73 | ) |
6/21/2013 to 12/31/2013(e) | | | 15.00 | | | | 0.31 | | | | (0.52 | ) | | | (0.21 | ) | | | (0.41 | ) | | | – | | | | (0.41 | ) |
Class F | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 10.02 | | | | 0.34 | | | | 0.66 | | | | 1.00 | | | | (0.36 | ) | | | – | | | | (0.36 | ) |
12/31/2016 | | | 9.93 | | | | 0.62 | | | | 0.14 | | | | 0.76 | | | | – | | | | (0.67 | ) | | | (0.67 | ) |
12/31/2015 | | | 12.60 | | | | 0.63 | | | | (2.61 | ) | | | (1.98 | ) | | | – | | | | (0.69 | ) | | | (0.69 | ) |
12/31/2014 | | | 14.38 | | | | 0.76 | | | | (1.68 | ) | | | (0.92 | ) | | | (0.86 | ) | | | – | | | | (0.86 | ) |
6/21/2013 to 12/31/2013(e) | | | 15.00 | | | | 0.38 | | | | (0.52 | ) | | | (0.14 | ) | | | (0.48 | ) | | | – | | | | (0.48 | ) |
Class F3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4/4/2017 to 6/30/2017(c)(g) | | | 10.53 | | | | 0.19 | | | | 0.13 | | | | 0.32 | | | | (0.18 | ) | | | – | | | | (0.18 | ) |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 10.03 | | | | 0.35 | | | | 0.67 | | | | 1.02 | | | | (0.37 | ) | | | – | | | | (0.37 | ) |
12/31/2016 | | | 9.93 | | | | 0.64 | | | | 0.14 | | | | 0.78 | | | | – | | | | (0.68 | ) | | | (0.68 | ) |
12/31/2015 | | | 12.60 | | | | 0.64 | | | | (2.61 | ) | | | (1.97 | ) | | | – | | | | (0.70 | ) | | | (0.70 | ) |
12/31/2014 | | | 14.38 | | | | 0.79 | | | | (1.70 | ) | | | (0.91 | ) | | | (0.87 | ) | | | – | | | | (0.87 | ) |
6/21/2013 to 12/31/2013(e) | | | 15.00 | | | | 0.38 | | | | (0.52 | ) | | | (0.14 | ) | | | (0.48 | ) | | | – | | | | (0.48 | ) |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 10.03 | | | | 0.35 | | | | 0.66 | | | | 1.01 | | | | (0.37 | ) | | | – | | | | (0.37 | ) |
12/31/2016 | | | 9.93 | | | | 0.64 | | | | 0.14 | | | | 0.78 | | | | – | | | | (0.68 | ) | | | (0.68 | ) |
12/31/2015 | | | 12.60 | | | | 0.64 | | | | (2.61 | ) | | | (1.97 | ) | | | – | | | | (0.70 | ) | | | (0.70 | ) |
12/31/2014 | | | 14.38 | | | | 0.79 | | | | (1.70 | ) | | | (0.91 | ) | | | (0.87 | ) | | | – | | | | (0.87 | ) |
6/21/2013 to 12/31/2013(e) | | | 15.00 | | | | 0.34 | | | | (0.52 | ) | | | (0.18 | ) | | | (0.44 | ) | | | – | | | | (0.44 | ) |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 10.03 | | | | 0.35 | | | | 0.66 | | | | 1.01 | | | | (0.37 | ) | | | – | | | | (0.37 | ) |
12/31/2016 | | | 9.93 | | | | 0.64 | | | | 0.14 | | | | 0.78 | | | | – | | | | (0.68 | ) | | | (0.68 | ) |
12/31/2015 | | | 12.60 | | | | 0.64 | | | | (2.61 | ) | | | (1.97 | ) | | | – | | | | (0.70 | ) | | | (0.70 | ) |
12/31/2014 | | | 14.38 | | | | 0.79 | | | | (1.70 | ) | | | (0.91 | ) | | | (0.87 | ) | | | – | | | | (0.87 | ) |
6/21/2013 to 12/31/2013(e) | | | 15.00 | | | | 0.35 | | | | (0.52 | ) | | | (0.17 | ) | | | (0.45 | ) | | | – | | | | (0.45 | ) |
| |
76 | See Notes to Financial Statements. |
| | | | | | Ratios to Average Net Assets: | | Supplemental Data: |
| | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | Total return(b) (%) | | Total expenses after waivers and/or reim- bursements (%) | | Total expenses (%) | | Net invest- ment income (%) | | Net assets, end of period (000) | | Portfolio turnover rate (%) |
| $10.68 | | | | 10.14 | (d) | | | 0.52 | (d) | | | 1.53 | (d) | | | 3.25 | (d) | | | $7,356 | | | | 25.03 | (d) |
| 10.03 | | | | 7.60 | | | | 1.05 | | | | 3.50 | | | | 5.87 | | | | 6,393 | | | | 58.09 | |
| 9.93 | | | | (16.32 | ) | | | 1.05 | | | | 3.22 | | | | 5.44 | | | | 5,097 | | | | 61.85 | |
| 12.60 | | | | (7.05 | ) | | | 1.05 | | | | 3.01 | | | | 5.33 | | | | 8,345 | | | | 39.30 | |
| 14.39 | | | | (0.97 | )(d) | | | 1.02 | (f) | | | 5.09 | (f) | | | 4.79 | (f) | | | 4,950 | | | | 28.21 | (d) |
|
| 10.68 | | | | 9.80 | (d) | | | 0.84 | (d) | | | 1.85 | (d) | | | 2.93 | (d) | | | 675 | | | | 25.03 | (d) |
| 10.03 | | | | 6.90 | | | | 1.71 | | | | 4.17 | | | | 5.22 | | | | 444 | | | | 58.09 | |
| 9.93 | | | | (16.92 | ) | | | 1.77 | | | | 3.98 | | | | 4.73 | | | | 387 | | | | 61.85 | |
| 12.60 | | | | (7.71 | ) | | | 1.82 | | | | 3.80 | | | | 4.53 | | | | 396 | | | | 39.30 | |
| 14.38 | | | | (1.43 | )(d) | | | 1.77 | (f) | | | 5.63 | (f) | | | 3.97 | (f) | | | 226 | | | | 28.21 | (d) |
|
| 10.66 | | | | 10.09 | (d) | | | 0.47 | (d) | | | 1.46 | (d) | | | 3.27 | (d) | | | 607 | | | | 25.03 | (d) |
| 10.02 | | | | 7.59 | | | | 0.95 | | | | 3.32 | | | | 5.95 | | | | 236 | | | | 58.09 | |
| 9.93 | | | | (16.23 | ) | | | 0.95 | | | | 3.10 | | | | 5.54 | | | | 129 | | | | 61.85 | |
| 12.60 | | | | (6.88 | ) | | | 0.95 | | | | 2.96 | | | | 5.45 | | | | 179 | | | | 39.30 | |
| 14.38 | | | | (0.99 | )(d) | | | 0.92 | (f) | | | 5.16 | (f) | | | 4.84 | (f) | | | 116 | | | | 28.21 | (d) |
|
| 10.67 | | | | 2.96 | (d) | | | 0.18 | (d)(g) | | | 0.70 | (d)(g) | | | 1.81 | (d)(g) | | | 10 | | | | 25.03 | (d) |
|
| 10.68 | | | | 10.15 | (d) | | | 0.42 | (d) | | | 1.43 | (d) | | | 3.35 | (d) | | | 2,122 | | | | 25.03 | (d) |
| 10.03 | | | | 7.81 | | | | 0.85 | | | | 3.33 | | | | 6.09 | | | | 1,926 | | | | 58.09 | |
| 9.93 | | | | (16.15 | ) | | | 0.85 | | | | 3.02 | | | | 5.65 | | | | 1,786 | | | | 61.85 | |
| 12.60 | | | | (6.79 | ) | | | 0.85 | | | | 2.96 | | | | 5.58 | | | | 2,130 | | | | 39.30 | |
| 14.38 | | | | (0.94 | )(d) | | | 0.82 | (f) | | | 5.19 | (f) | | | 4.94 | (f) | | | 2,286 | | | | 28.21 | (d) |
|
| 10.67 | | | | 10.14 | (d) | | | 0.42 | (d) | | | 1.73 | (d) | | | 3.35 | (d) | | | 92 | | | | 25.03 | (d) |
| 10.03 | | | | 7.81 | | | | 0.85 | | | | 3.93 | | | | 6.09 | | | | 83 | | | | 58.09 | |
| 9.93 | | | | (16.15 | ) | | | 0.85 | | | | 3.62 | | | | 5.65 | | | | 77 | | | | 61.85 | |
| 12.60 | | | | (6.79 | ) | | | 0.85 | | | | 3.56 | | | | 5.57 | | | | 92 | | | | 39.30 | |
| 14.38 | | | | (1.23 | )(d) | | | 1.40 | (f) | | | 5.79 | (f) | | | 4.36 | (f) | | | 99 | | | | 28.21 | (d) |
|
| 10.67 | | | | 10.14 | (d) | | | 0.42 | (d) | | | 1.68 | (d) | | | 3.35 | (d) | | | 92 | | | | 25.03 | (d) |
| 10.03 | | | | 7.81 | | | | 0.85 | | | | 3.83 | | | | 6.09 | | | | 84 | | | | 58.09 | |
| 9.93 | | | | (16.15 | ) | | | 0.85 | | | | 3.52 | | | | 5.65 | | | | 77 | | | | 61.85 | |
| 12.60 | | | | (6.79 | ) | | | 0.85 | | | | 3.46 | | | | 5.57 | | | | 92 | | | | 39.30 | |
| 14.38 | | | | (1.18 | )(d) | | | 1.30 | (f) | | | 5.69 | (f) | | | 4.46 | (f) | | | 99 | | | | 28.21 | (d) |
| | |
| See Notes to Financial Statements. | 77 |
Financial Highlights (continued)
EMERGING MARKETS LOCAL BOND FUND
| | | | | Per Share Operating Performance: |
| | | | | Investment operations: | | Distributions to shareholders from: |
| | | | | | | | | | | | | | | | | | | | | |
| | Net asset value, beginning of period | | Net invest- ment income(a) | | Net realized and unrealized gain (loss) | | Total from invest- ment opera- tions | | Net investment income | | Return of capital | | Total distri- butions |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | $10.02 | | | | $0.34 | | | $ | 0.67 | | | $ | 1.01 | | | $ | (0.36 | ) | | $ | – | | | $ | (0.36 | ) |
12/31/2016 | | | 9.93 | | | | 0.61 | | | | 0.14 | | | | 0.75 | | | | – | | | | (0.66 | ) | | | (0.66 | ) |
6/30/2015 to 12/31/2015(h) | | | 11.53 | | | | 0.29 | | | | (1.58 | ) | | | (1.29 | ) | | | – | | | | (0.31 | ) | | | (0.31 | ) |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 10.03 | | | | 0.35 | | | | 0.66 | | | | 1.01 | | | | (0.37 | ) | | | – | | | | (0.37 | ) |
12/31/2016 | | | 9.93 | | | | 0.64 | | | | 0.15 | | | | 0.79 | | | | – | | | | (0.69 | ) | | | (0.69 | ) |
6/30/2015 to 12/31/2015(h) | | | 11.53 | | | | 0.30 | | | | (1.57 | ) | | | (1.27 | ) | | | – | | | | (0.33 | ) | | | (0.33 | ) |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 10.03 | | | | 0.36 | | | | 0.66 | | | | 1.02 | | | | (0.38 | ) | | | – | | | | (0.38 | ) |
12/31/2016 | | | 9.93 | | | | 0.64 | | | | 0.15 | | | | 0.79 | | | | – | | | | (0.69 | ) | | | (0.69 | ) |
6/30/2015 to 12/31/2015(h) | | | 11.53 | | | | 0.31 | | | | (1.58 | ) | | | (1.27 | ) | | | – | | | | (0.33 | ) | | | (0.33 | ) |
| | |
| (a) | Calculated using average shares outstanding during the period. |
| (b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
| (c) | Unaudited. |
| (d) | Not annualized. |
| (e) | Commenced on June 21, 2013. |
| (f) | Annualized. |
| (g) | Commenced on April 4, 2017. |
| (h) | Commenced on June 30, 2015. |
| |
78 | See Notes to Financial Statements. |
| | | | | | Ratios to Average Net Assets: | | Supplemental Data: |
| | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | Total return(b) (%) | | Total expenses after waivers and/or reim- bursements (%) | | Total expenses (%) | | Net invest- ment income (%) | | Net assets, end of period (000) | | Portfolio turnover rate (%) |
| $10.67 | | | | 10.17 | (d) | | | 0.55 | (d) | | | 1.55 | (d) | | | 3.28 | (d) | | | $11 | | | | 25.03 | (d) |
| 10.02 | | | | 7.49 | | | | 1.10 | | | | 3.55 | | | | 5.88 | | | | 10 | | | | 58.09 | |
| 9.93 | | | | (11.24 | )(d) | | | 1.10 | (f) | | | 3.60 | (f) | | | 5.50 | (f) | | | 9 | | | | 61.85 | (d) |
|
| 10.67 | | | | 10.20 | (d) | | | 0.42 | (d) | | | 1.42 | (d) | | | 3.38 | (d) | | | 11 | | | | 25.03 | (d) |
| 10.03 | | | | 7.87 | | | | 0.85 | | | | 3.32 | | | | 6.11 | | | | 10 | | | | 58.09 | |
| 9.93 | | | | (11.13 | )(d) | | | 0.85 | (f) | | | 3.35 | (f) | | | 5.74 | (f) | | | 9 | | | | 61.85 | (d) |
|
| 10.67 | | | | 10.24 | (d) | | | 0.37 | (d) | | | 1.39 | (d) | | | 3.44 | (d) | | | 11 | | | | 25.03 | (d) |
| 10.03 | | | | 7.93 | | | | 0.79 | | | | 3.21 | | | | 6.17 | | | | 10 | | | | 58.09 | |
| 9.93 | | | | (11.11 | )(d) | | | 0.80 | (f) | | | 3.31 | (f) | | | 5.79 | (f) | | | 9 | | | | 61.85 | (d) |
| | |
| See Notes to Financial Statements. | 79 |
Financial Highlights (continued)
MULTI-ASSET GLOBAL OPPORTUNITY FUND
| | | | | Per Share Operating Performance: |
| | | | | Investment operations: | | Distributions to shareholders from: |
| | | | | | | | | | | | | | | | | | | | | |
| | Net asset value, beginning of period | | Net invest- ment income(a) | | Net realized and unrealized gain (loss) | | Total from invest- ment opera- tions | | Net investment income | | Net realized gain | | Return of capital |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | $10.69 | | | | $0.13 | | | $ | 0.51 | | | $ | 0.64 | | | $ | (0.13 | ) | | $ | – | | | $ | – | |
12/31/2016 | | | 10.28 | | | | 0.37 | | | | 0.52 | | | | 0.89 | | | | (0.36 | ) | | | (0.12 | ) | | | – | |
12/31/2015 | | | 12.04 | | | | 0.33 | | | | (1.18 | ) | | | (0.85 | ) | | | (0.29 | ) | | | (0.62 | ) | | | – | |
12/31/2014 | | | 12.49 | | | | 0.40 | | | | (0.12 | ) | | | 0.28 | | | | (0.49 | ) | | | (0.24 | ) | | | – | |
12/31/2013 | | | 11.42 | | | | 0.39 | | | | 1.26 | | | | 1.65 | | | | (0.50 | ) | | | (0.08 | ) | | | – | |
12/31/2012 | | | 10.29 | | | | 0.36 | | | | 1.16 | | | | 1.52 | | | | (0.38 | ) | | | – | | | | (0.01 | ) |
Class B | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 9.65 | | | | 0.07 | | | | 0.47 | | | | 0.54 | | | | (0.09 | ) | | | – | | | | – | |
12/31/2016 | | | 9.32 | | | | 0.25 | | | | 0.49 | | | | 0.74 | | | | (0.29 | ) | | | (0.12 | ) | | | – | |
12/31/2015 | | | 11.00 | | | | 0.22 | | | | (1.07 | ) | | | (0.85 | ) | | | (0.21 | ) | | | (0.62 | ) | | | – | |
12/31/2014 | | | 11.46 | | | | 0.26 | | | | (0.08 | ) | | | 0.18 | | | | (0.40 | ) | | | (0.24 | ) | | | – | |
12/31/2013 | | | 10.53 | | | | 0.26 | | | | 1.16 | | | | 1.42 | | | | (0.41 | ) | | | (0.08 | ) | | | – | |
12/31/2012 | | | 9.51 | | | | 0.25 | | | | 1.09 | | | | 1.34 | | | | (0.31 | ) | | | – | | | | (0.01 | ) |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 9.64 | | | | 0.08 | | | | 0.45 | | | | 0.53 | | | | (0.09 | ) | | | – | | | | – | |
12/31/2016 | | | 9.31 | | | | 0.26 | | | | 0.48 | | | | 0.74 | | | | (0.29 | ) | | | (0.12 | ) | | | – | |
12/31/2015 | | | 11.00 | | | | 0.23 | | | | (1.09 | ) | | | (0.86 | ) | | | (0.21 | ) | | | (0.62 | ) | | | – | |
12/31/2014 | | | 11.47 | | | | 0.27 | | | | (0.09 | ) | | | 0.18 | | | | (0.41 | ) | | | (0.24 | ) | | | – | |
12/31/2013 | | | 10.54 | | | | 0.27 | | | | 1.16 | | | | 1.43 | | | | (0.42 | ) | | | (0.08 | ) | | | – | |
12/31/2012 | | | 9.53 | | | | 0.26 | | | | 1.07 | | | | 1.33 | | | | (0.31 | ) | | | – | | | | (0.01 | ) |
Class F | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 10.70 | | | | 0.14 | | | | 0.50 | | | | 0.64 | | | | (0.14 | ) | | | – | | | | – | |
12/31/2016 | | | 10.29 | | | | 0.37 | | | | 0.54 | | | | 0.91 | | | | (0.38 | ) | | | (0.12 | ) | | | – | |
12/31/2015 | | | 12.05 | | | | 0.35 | | | | (1.18 | ) | | | (0.83 | ) | | | (0.31 | ) | | | (0.62 | ) | | | – | |
12/31/2014 | | | 12.49 | | | | 0.42 | | | | (0.11 | ) | | | 0.31 | | | | (0.51 | ) | | | (0.24 | ) | | | – | |
12/31/2013 | | | 11.43 | | | | 0.44 | | | | 1.22 | | | | 1.66 | | | | (0.52 | ) | | | (0.08 | ) | | | – | |
12/31/2012 | | | 10.29 | | | | 0.36 | | | | 1.19 | | | | 1.55 | | | | (0.40 | ) | | | – | | | | (0.01 | ) |
Class F3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
4/4/2017 to 6/30/2017(c)(e) | | | 11.11 | | | | 0.12 | | | | 0.13 | | | | 0.25 | | | | (0.08 | ) | | | – | | | | – | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 10.77 | | | | 0.14 | | | | 0.51 | | | | 0.65 | | | | (0.14 | ) | | | – | | | | – | |
12/31/2016 | | | 10.35 | | | | 0.41 | | | | 0.52 | | | | 0.93 | | | | (0.39 | ) | | | (0.12 | ) | | | – | |
12/31/2015 | | | 12.12 | | | | 0.39 | | | | (1.22 | ) | | | (0.83 | ) | | | (0.32 | ) | | | (0.62 | ) | | | – | |
12/31/2014 | | | 12.56 | | | | 0.43 | | | | (0.11 | ) | | | 0.32 | | | | (0.52 | ) | | | (0.24 | ) | | | – | |
12/31/2013 | | | 11.49 | | | | 0.42 | | | | 1.26 | | | | 1.68 | | | | (0.53 | ) | | | (0.08 | ) | | | – | |
12/31/2012 | | | 10.34 | | | | 0.39 | | | | 1.18 | | | | 1.57 | | | | (0.41 | ) | | | – | | | | (0.01 | ) |
| |
80 | See Notes to Financial Statements. |
| | | | | | | | | | | | Ratios to Average Net Assets: | | Supplemental Data: |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | Total | | | |
Total distri- butions | | Net asset value, end of period | | Total return(b) (%) | | expenses after waivers and/or reim- bursements (%) | | Total expenses (%) | | Net invest- ment income (%) | | Net assets, end of period (000) | | Portfolio turnover rate (%) |
| $(0.13 | ) | | | $11.20 | | | | 5.99 | (d) | | | $0.32 | (d) | | | 0.39 | (d) | | | 1.17 | (d) | | | $130,563 | | | | 24.66 | (d) |
| (0.48 | ) | | | 10.69 | | | | 8.86 | | | | 0.38 | | | | 0.79 | | | | 3.56 | | | | 138,336 | | | | 23.80 | |
| (0.91 | ) | | | 10.28 | | | | (7.43 | ) | | | 0.35 | | | | 0.74 | | | | 2.90 | | | | 160,336 | | | | 21.63 | |
| (0.73 | ) | | | 12.04 | | | | 2.15 | | | | 0.34 | | | | 0.74 | | | | 3.12 | | | | 167,387 | | | | 40.53 | |
| (0.58 | ) | | | 12.49 | | | | 14.66 | | | | 0.31 | | | | 0.77 | | | | 3.20 | | | | 139,986 | | | | 23.32 | |
| (0.39 | ) | | | 11.42 | | | | 15.02 | | | | 0.30 | | | | 0.80 | | | | 3.31 | | | | 110,910 | | | | 36.34 | |
|
| (0.09 | ) | | | 10.10 | | | | 5.58 | (d) | | | 0.69 | (d) | | | 0.77 | (d) | | | 0.72 | (d) | | | 1,129 | | | | 24.66 | (d) |
| (0.41 | ) | | | 9.65 | | | | 8.07 | | | | 1.13 | | | | 1.54 | | | | 2.66 | | | | 1,626 | | | | 23.80 | |
| (0.83 | ) | | | 9.32 | | | | (8.13 | ) | | | 1.09 | | | | 1.48 | | | | 2.05 | | | | 2,800 | | | | 21.63 | |
| (0.64 | ) | | | 11.00 | | | | 1.49 | | | | 1.08 | | | | 1.48 | | | | 2.26 | | | | 4,533 | | | | 40.53 | |
| (0.49 | ) | | | 11.46 | | | | 13.70 | | | | 1.05 | | | | 1.51 | | | | 2.32 | | | | 6,020 | | | | 23.32 | |
| (0.32 | ) | | | 10.53 | | | | 14.24 | | | | 1.04 | | | | 1.54 | | | | 2.51 | | | | 6,939 | | | | 36.34 | |
|
| (0.09 | ) | | | 10.08 | | | | 5.54 | (d) | | | 0.69 | (d) | | | 0.76 | (d) | | | 0.79 | (d) | | | 31,266 | | | | 24.66 | (d) |
| (0.41 | ) | | | 9.64 | | | | 8.15 | | | | 1.12 | | | | 1.54 | | | | 2.79 | | | | 34,137 | | | | 23.80 | |
| (0.83 | ) | | | 9.31 | | | | (8.18 | ) | | | 1.10 | | | | 1.49 | | | | 2.14 | | | | 42,026 | | | | 21.63 | |
| (0.65 | ) | | | 11.00 | | | | 1.47 | | | | 1.08 | | | | 1.48 | | | | 2.36 | | | | 45,990 | | | | 40.53 | |
| (0.50 | ) | | | 11.47 | | | | 13.76 | | | | 1.05 | | | | 1.51 | | | | 2.45 | | | | 35,963 | | | | 23.32 | |
| (0.32 | ) | | | 10.54 | | | | 14.17 | | | | 1.04 | | | | 1.53 | | | | 2.62 | | | | 29,821 | | | | 36.34 | |
|
| (0.14 | ) | | | 11.20 | | | | 5.97 | (d) | | | 0.24 | (d) | | | 0.32 | (d) | | | 1.27 | (d) | | | 5,608 | | | | 24.66 | (d) |
| (0.50 | ) | | | 10.70 | | | | 9.01 | | | | 0.23 | | | | 0.64 | | | | 3.57 | | | | 4,867 | | | | 23.80 | |
| (0.93 | ) | | | 10.29 | | | | (7.28 | ) | | | 0.20 | | | | 0.59 | | | | 2.98 | | | | 8,747 | | | | 21.63 | |
| (0.75 | ) | | | 12.05 | | | | 2.39 | | | | 0.19 | | | | 0.59 | | | | 3.30 | | | | 12,885 | | | | 40.53 | |
| (0.60 | ) | | | 12.49 | | | | 14.73 | | | | 0.16 | | | | 0.62 | | | | 3.60 | | | | 6,472 | | | | 23.32 | |
| (0.41 | ) | | | 11.43 | | | | 15.28 | | | | 0.15 | | | | 0.65 | | | | 3.31 | | | | 2,423 | | | | 36.34 | |
|
| (0.08 | ) | | | 11.28 | | | | 2.23 | (d) | | | 0.06 | (d)(e) | | | 0.10 | (d)(e) | | | 1.03 | (d)(e) | | | 19 | | | | 24.66 | (d) |
|
| (0.14 | ) | | | 11.28 | | | | 6.08 | (d) | | | 0.20 | (d) | | | 0.27 | (d) | | | 1.28 | (d) | | | 10,400 | | | | 24.66 | (d) |
| (0.51 | ) | | | 10.77 | | | | 9.18 | | | | 0.13 | | | | 0.54 | | | | 3.89 | | | | 11,092 | | | | 23.80 | |
| (0.94 | ) | | | 10.35 | | | | (7.23 | ) | | | 0.10 | | | | 0.48 | | | | 3.21 | | | | 10,633 | | | | 21.63 | |
| (0.76 | ) | | | 12.12 | | | | 2.47 | | | | 0.09 | | | | 0.49 | | | | 3.34 | | | | 42,754 | | | | 40.53 | |
| (0.61 | ) | | | 12.56 | | | | 14.85 | | | | 0.06 | | | | 0.52 | | | | 3.44 | | | | 34,086 | | | | 23.32 | |
| (0.42 | ) | | | 11.49 | | | | 15.42 | | | | 0.05 | | | | 0.55 | | | | 3.57 | | | | 22,289 | | | | 36.34 | |
| | |
| See Notes to Financial Statements. | 81 |
Financial Highlights (concluded)
MULTI-ASSET GLOBAL OPPORTUNITY FUND
| | | | | Per Share Operating Performance: |
| | | | | Investment operations: | | Distributions to shareholders from: |
| | | | | | | | | | | | | | | | | | | | | |
| | Net asset value, beginning of period | | Net invest- ment income(a) | | Net realized and unrealized gain (loss) | | Total from invest- ment opera- tions | | Net investment income | | Net realized gain | | Return of capital |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | $10.92 | | | | $0.12 | | | $ | 0.51 | | | $ | 0.63 | | | $ | (0.11 | ) | | $ | – | | | $ | – | |
12/31/2016 | | | 10.49 | | | | 0.35 | | | | 0.53 | | | | 0.88 | | | | (0.33 | ) | | | (0.12 | ) | | | – | |
12/31/2015 | | | 12.27 | | | | 0.32 | | | | (1.23 | ) | | | (0.91 | ) | | | (0.25 | ) | | | (0.62 | ) | | | – | |
12/31/2014 | | | 12.72 | | | | 0.37 | | | | (0.13 | ) | | | 0.24 | | | | (0.45 | ) | | | (0.24 | ) | | | – | |
12/31/2013 | | | 11.62 | | | | 0.33 | | | | 1.30 | | | | 1.63 | | | | (0.45 | ) | | | (0.08 | ) | | | – | |
12/31/2012 | | | 10.46 | | | | 0.34 | | | | 1.18 | | | | 1.52 | | | | (0.35 | ) | | | – | | | | (0.01 | ) |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 10.76 | | | | 0.11 | | | | 0.52 | | | | 0.63 | | | | (0.12 | ) | | | – | | | | – | |
12/31/2016 | | | 10.34 | | | | 0.35 | | | | 0.53 | | | | 0.88 | | | | (0.34 | ) | | | (0.12 | ) | | | – | |
12/31/2015 | | | 12.11 | | | | 0.31 | | | | (1.20 | ) | | | (0.89 | ) | | | (0.26 | ) | | | (0.62 | ) | | | – | |
12/31/2014 | | | 12.55 | | | | 0.37 | | | | (0.11 | ) | | | 0.26 | | | | (0.46 | ) | | | (0.24 | ) | | | – | |
12/31/2013 | | | 11.48 | | | | 0.36 | | | | 1.26 | | | | 1.62 | | | | (0.47 | ) | | | (0.08 | ) | | | – | |
12/31/2012 | | | 10.34 | | | | 0.35 | | | | 1.16 | | | | 1.51 | | | | (0.36 | ) | | | – | | | | (0.01 | ) |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 10.69 | | | | 0.19 | | | | 0.45 | | | | 0.64 | | | | (0.14 | ) | | | – | | | | – | |
12/31/2016 | | | 10.28 | | | | 0.38 | | | | 0.51 | | | | 0.89 | | | | (0.36 | ) | | | (0.12 | ) | | | – | |
6/30/2015 to 12/31/2015(f) | | | 11.96 | | | | 0.15 | | | | (1.10 | ) | | | (0.95 | ) | | | (0.11 | ) | | | (0.62 | ) | | | – | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 10.78 | | | | 0.16 | | | | 0.49 | | | | 0.65 | | | | (0.14 | ) | | | – | | | | – | |
12/31/2016 | | | 10.36 | | | | 0.41 | | | | 0.52 | | | | 0.93 | | | | (0.39 | ) | | | (0.12 | ) | | | – | |
6/30/2015 to 12/31/2015(f) | | | 12.04 | | | | 0.17 | | | | (1.11 | ) | | | (0.94 | ) | | | (0.12 | ) | | | (0.62 | ) | | | – | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2017(c) | | | 10.77 | | | | 0.15 | | | | 0.51 | | | | 0.66 | | | | (0.15 | ) | | | – | | | | – | |
12/31/2016 | | | 10.35 | | | | 0.41 | | | | 0.53 | | | | 0.94 | | | | (0.40 | ) | | | (0.12 | ) | | | – | |
6/30/2015 to 12/31/2015(f) | | | 12.04 | | | | 0.17 | | | | (1.11 | ) | | | (0.94 | ) | | | (0.13 | ) | | | (0.62 | ) | | | – | |
| | |
| (a) | Calculated using average shares outstanding during the period. |
| (b) | Total return for classes A, B and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
| (c) | Unaudited. |
| (d) | Not annualized. |
| (e) | Commenced on April 4, 2017. |
| (f) | Commenced on June 30, 2015. |
| (g) | Annualized. |
| |
82 | See Notes to Financial Statements. |
| | | | | | | | | | | | Ratios to Average Net Assets: | | Supplemental Data: |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | Total | | | |
Total distri- butions | | Net asset value, end of period | | Total return(b) (%) | | expenses after waivers and/or reim- bursements (%) | | Total expenses (%) | | Net invest- ment income (%) | | Net assets, end of period (000) | | Portfolio turnover rate (%) |
| $(0.11 | ) | | | $11.44 | | | | 5.78 | (d) | | | 0.49 | (d) | | | 0.57 | (d) | | | 1.02 | (d) | | | $ 445 | | | | 24.66 | (d) |
| (0.45 | ) | | | 10.92 | | | | 8.52 | | | | 0.73 | | | | 1.14 | | | | 3.33 | | | | 408 | | | | 23.80 | |
| (0.87 | ) | | | 10.49 | | | | (7.75 | ) | | | 0.70 | | | | 1.09 | | | | 2.81 | | | | 364 | | | | 21.63 | |
| (0.69 | ) | | | 12.27 | | | | 1.86 | | | | 0.69 | | | | 1.09 | | | | 2.88 | | | | 116 | | | | 40.53 | |
| (0.53 | ) | | | 12.72 | | | | 14.13 | | | | 0.66 | | | | 1.12 | | | | 2.68 | | | | 89 | | | | 23.32 | |
| (0.36 | ) | | | 11.62 | | | | 14.71 | | | | 0.61 | | | | 1.11 | | | | 3.05 | | | | 107 | | | | 36.34 | |
|
| (0.12 | ) | | | 11.27 | | | | 5.82 | (d) | | | 0.43 | (d) | | | 0.50 | (d) | | | 1.02 | (d) | | | 4,707 | | | | 24.66 | (d) |
| (0.46 | ) | | | 10.76 | | | | 8.65 | | | | 0.63 | | | | 1.04 | | | | 3.34 | | | | 6,401 | | | | 23.80 | |
| (0.88 | ) | | | 10.34 | | | | (7.69 | ) | | | 0.58 | | | | 0.97 | | | | 2.66 | | | | 6,322 | | | | 21.63 | |
| (0.70 | ) | | | 12.11 | | | | 2.01 | | | | 0.55 | | | | 0.95 | | | | 2.91 | | | | 6,780 | | | | 40.53 | |
| (0.55 | ) | | | 12.55 | | | | 14.33 | | | | 0.53 | | | | 0.99 | | | | 2.95 | | | | 5,785 | | | | 23.32 | |
| (0.37 | ) | | | 11.48 | | | | 14.81 | | | | 0.52 | | | | 1.02 | | | | 3.17 | | | | 5,211 | | | | 36.34 | |
|
| (0.14 | ) | | | 11.19 | | | | 5.98 | (d) | | | 0.31 | (d) | | | 0.39 | (d) | | | 1.69 | (d) | | | 162 | | | | 24.66 | (d) |
| (0.48 | ) | | | 10.69 | | | | 8.88 | | | | 0.36 | | | | 0.78 | | | | 3.67 | | | | 10 | | | | 23.80 | |
| (0.73 | ) | | | 10.28 | | | | (8.18 | )(d) | | | 0.31 | (g) | | | 0.74 | (g) | | | 2.79 | (g) | | | 9 | | | | 21.63 | |
|
| (0.14 | ) | | | 11.29 | | | | 6.07 | (d) | | | 0.19 | (d) | | | 0.27 | (d) | | | 1.46 | (d) | | | 28 | | | | 24.66 | (d) |
| (0.51 | ) | | | 10.78 | | | | 9.28 | | | | 0.11 | | | | 0.52 | | | | 3.92 | | | | 10 | | | | 23.80 | |
| (0.74 | ) | | | 10.36 | | | | (8.10 | )(d) | | | 0.07 | (g) | | | 0.49 | (g) | | | 3.03 | (g) | | | 9 | | | | 21.63 | |
|
| (0.15 | ) | | | 11.28 | | | | 6.10 | (d) | | | 0.12 | | | | 0.20 | | | | 1.39 | | | | 46,620 | | | | 24.66 | (d) |
| (0.52 | ) | | | 10.77 | | | | 9.23 | | | | 0.13 | | | | 0.39 | | | | 3.92 | | | | 43,320 | | | | 23.80 | |
| (0.75 | ) | | | 10.35 | | | | (8.09 | )(d) | | | 0.09 | (g) | | | 0.37 | (g) | | | 3.02 | (g) | | | 34,823 | | | | 21.63 | |
| | |
| See Notes to Financial Statements. | 83 |
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 active share classes: Lord Abbett Emerging Markets Corporate Debt Fund (“Emerging Markets Corporate Debt Fund”), Class A, C, F, F3, I, R2, R3, R4, R5 and R6 shares; Lord Abbett Emerging Markets Currency Fund (“Emerging Markets Currency Fund”), Class A, B, C, F, F3, I, P, R2, R3, R4, R5 and R6 shares; Lord Abbett Emerging Markets Local Bond Fund (“Emerging Markets Local Bond Fund”), Class A, C, F, F3, I, R2, R3, R4, R5 and R6 shares and Lord Abbett Multi-Asset Global Opportunity Fund (“Multi-Asset Global Opportunity Fund”), Class A, B, C, F, F3, I, P, R2, R3, R4, R5 and R6 shares. The Funds no longer issue Class B shares for purchase. The Funds’ Class P shares are closed to substantially all investors, with certain exceptions as set forth in the Funds’ prospectus. Class F3 shares commenced on April 4, 2017. 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, F3, I, P, R2, R3, R4, R5 and R6 shares, although there may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in 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 preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. These Funds are considered investment companies under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
2. | SIGNIFICANT ACCOUNTING POLICIES |
(a) | Investment Valuation–Under procedures approved by the 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 |
84
Notes to Financial Statements (unaudited)(continued)
| independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. |
| |
| Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange (“NYSE”). Each Fund may utilize an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked prices. Fixed income securities are valued based on evaluated prices supplied by independent pricing services, which reflect broker/dealer supplied valuations and the independent pricing services’ own electronic data processing techniques. Floating rate loans are valued at the average of bid and ask quotations obtained from dealers in loans on the basis of prices supplied by independent pricing services. Exchange traded options and futures contracts are valued at the last sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available. Investments in the Underlying Funds are valued at their NAV each business day at the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time. Exchange Traded Funds (“ETF”) actively traded on any recognized 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. |
| |
| Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values, yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and 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 |
85
Notes to Financial Statements (unaudited)(continued)
| the relative proportion of net assets at the beginning of the day. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. |
| |
(d) | Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required. |
| |
| Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s filed U.S. federal tax returns remains open for the fiscal periods ended December 31, 2013 through December 31, 2016. 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, R3 and R4 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 futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies in 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 futures contracts, swaps and foreign currency related transactions in each Fund’s Statement of Operations. The Funds do 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–Each 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 solely for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies in 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 futures contracts, swaps and foreign currency related transactions in each Fund’s Statement of Operations. |
86
Notes to Financial Statements (unaudited)(continued)
(h) | Futures Contracts–Each Fund may purchase and sell futures contracts to enhance returns, to attempt to economically hedge some of its investment risk, or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by 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. |
| |
(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. |
87
Notes to Financial Statements (unaudited)(continued)
(m) | Interest Rate Swaps–Each 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 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 futures contracts, swaps and foreign currency related transactions on each Fund’s Statement of Operations. 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. For the centrally cleared swaps, there was minimal counterparty risk to the Fund, since such swaps entered into were traded through a central clearinghouse, which guarantees against default. |
| |
(n) | Credit Default Swaps–Each 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 indexes. These credit indexes 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 indexes, which are comprised of a basket of commercial mortgage-backed securities. Multi-Asset Global Opportunity Fund entered into a centrally cleared credit default swap based on a CDX high yield index, which is comprised of a basket of high yield 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. 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. For a credit default swap sold by a Fund, payment of the agreed-upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by a Fund, the agreed-upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund. |
88
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 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. There was minimal counterparty credit risk to the Funds, since the credit default swap entered into was traded through a central clearinghouse, which guarantees against default. |
| |
(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 a Fund invests may be subject to some restrictions on resale. For example, a Fund may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. A 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 a Fund and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, a 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 a Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statement of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded |
89
Notes to Financial Statements (unaudited)(continued)
| 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, 2017, 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 classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below: |
• | Level 1 – | unadjusted quoted prices in active markets for identical investments; |
| | |
• | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and |
| | |
• | Level 3 – | significant unobservable inputs (including 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, 2017 and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the six months then ended is included in each Fund’s Schedule of Investments. |
| |
| Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. |
3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
Management Fee
The Company has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio.
The management fee is based on each Fund’s average daily net assets at the following annual rates:
Emerging Markets Corporate Debt Fund and Emerging Markets Local Bond Fund
First $2 billion | .70% |
Next $3 billion | .65% |
Over $5 billion | .60% |
90
Notes to Financial Statements (unaudited)(continued)
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, 2017, the effective management fee, net of waivers, was at the following annualized rate of each Fund’s average daily net assets:
| Net Effective |
| Management Fee |
Emerging Markets Corporate Debt Fund | .14% |
Emerging Markets Currency Fund | .50% |
Emerging Markets Local Bond Fund | .00% |
Multi-Asset Global Opportunity Fund | .10% |
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 each Fund’s average daily net assets.
For the six months ended June 30, 2017 and continuing through April 30, 2018, Lord Abbett has contractually agreed to waive its fees and reimburse expenses to the extent necessary to limit the total net annual operating expenses, excluding 12b-1 fees, to the following annual rates:
| | Classes | |
| | A, C, F, I, | | | | |
| | R2, R3, R4 | | | | |
Fund | | and R5 | | F3 and R6 | |
Emerging Markets Corporate Debt Fund | | | .85 | % | | | .67 | % | (1) |
Emerging Markets Local Bond Fund | | | .85 | % | | | .74 | % | (1) |
(1) | Prior to April 1, 2017 Lord Abbett had contractually agreed to waive its fees and reimburse expenses for Emerging Markets Corporate Debt Fund and Emerging Markets Local Bond Fund to the extent necessary to limit total net annual operating expenses, excluding 12b-1 fees, to an annual rate of 0.77% and 0.79% respectively for Class R6. |
For the six months ended June 30, 2017 and continuing through April 30, 2018, Lord Abbett has contractually agreed to waive its management fee at the annual rate of .15% for Multi-Asset Global Opportunity Fund.
All contractual management fee waiver and expense reimbursement agreements between the Funds and Lord Abbett may be terminated only on approval of the Board.
12b-1 Distribution Plan
Each Fund has adopted a distribution plan with respect to Class A, B, C, F, P, R2, R3 and R4 shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. The following annual rates have been authorized by the Board pursuant to the plan:
Fees* | | Class A(1) | | Class B(2) | | Class C(3) | | Class F(4) | | Class P(2) | | Class R2** | | Class R3** | | Class R4 |
Service | | .15% | | .25% | | .25% | | – | | .25% | | .25% | | .25% | | .25% |
Distribution | | .05% | | .75% | | .75% | | .10% | | .20% | | .35% | | .25% | | – |
* | | The Funds 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. |
** | | Prior to the sale of shares to unaffiliated investors, service and distribution fees were fully waived. |
(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. |
91
Notes to Financial Statements (unaudited)(continued)
(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 the Fund will bear Rule 12b-1 fees at the same rate. |
(4) | | The Class F share Rule 12b-1 fee may be designated as a service fee in limited circumstances as described in the Funds’ prospectus. |
Class F3, I, R5 and R6 shares do not have a distribution plan.
Commissions
Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers, for the six months ended June 30, 2017:
| Distributor | | Dealers’ |
| Commissions | | Concessions |
Emerging Markets Corporate Debt Fund | $ 2,060 | | $ 10,171 |
Emerging Markets Currency Fund | 235 | | 1,821 |
Emerging Markets Local Bond Fund | 302 | | 1,787 |
Multi-Asset Global Opportunity Fund | 9,441 | | 59,045 |
Distributor received the following amount of CDSCs for the six months ended June 30, 2017:
| Class A | | Class C |
Emerging Markets Corporate Debt Fund | $ – | | $ 400 |
Emerging Markets Currency Fund | 25 | | 94 |
Emerging Markets Local Bond Fund | – | | 223 |
Multi-Asset Global Opportunity Fund | 7,426 | | 2,564 |
Other Related Parties
As of June 30, 2017, 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 38.32%, 9.55% and 34.92%, respectively.
Two Directors 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 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 that exceed earnings and profits for tax purposes, are reported as a tax return of capital.
92
Notes to Financial Statements (unaudited)(continued)
The tax character of distributions paid during the six months ended June 30, 2017 and fiscal year ended December 31, 2016, was as follows:
| | Emerging Markets | | | Emerging Markets | |
| | Corporate Debt Fund | | | Currency Fund | |
| | Six Months Ended | | | | | | Six Months Ended | | | | |
| | 6/30/2017 | | | Year Ended | | | 6/30/2017 | | | Year Ended | |
| | (unaudited) | | | 12/31/2016 | | | (unaudited) | | | 12/31/2016 | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Ordinary income | | | $801,591 | | | | $1,556,088 | | | | $5,904,569 | | | | $22,915,705 | |
Total distributions paid | | | $801,591 | | | | $1,556,088 | | | | $5,904,569 | | | | $22,915,705 | |
| | | | | | | | | | | | | | | | |
| | Emerging Markets | | | Multi-Asset Global | |
| | Local Bond Fund | | | Opportunity Fund | |
| | Six Months Ended | | | | | | Six Months Ended | | | | |
| | 6/30/2017 | | | Year Ended | | | 6/30/2017 | | | Year Ended | |
| | (unaudited) | | | 12/31/2016 | | | (unaudited) | | | 12/31/2016 | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax-exempt income | | | $ – | | | | $ – | | | | $ – | | | | $ 22,167 | |
Ordinary income | | | 338,684 | | | | – | | | | 2,673,521 | | | | 8,778,337 | |
Net long-term capital gains | | | – | | | | – | | | | – | | | | 2,727,269 | |
Return of capital | | | – | | | | 556,800 | | | | – | | | | – | |
Total distributions paid | | | $338,684 | | | | $556,800 | | | | $2,673,521 | | | | $11,527,773 | |
As of December 31, 2016, the capital loss carryforwards, which carry forward indefinitely, were as follows:
Emerging Markets Corporate Debt Fund | | $ | 178,938 | |
Emerging Markets Currency Fund | | | 99,238,764 | |
Emerging Markets Local Bond Fund | | | 408,316 | |
Multi-Asset Global Opportunity Fund | | | 2,728,487 | |
As of June 30, 2017, 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 | | | $42,889,784 | | | | $241,381,198 | |
Gross unrealized gain | | | 1,155,784 | | | | 1,827,699 | |
Gross unrealized loss | | | (98,937 | ) | | | (9,880,005 | ) |
Net unrealized security gain (loss) | | | $ 1,056,847 | | | | $ (8,052,306 | ) |
| | Emerging Markets | | | Multi-Asset Global | |
| | Local Bond Fund | | | Opportunity Fund | |
Tax cost | | | $10,822,523 | | | | $241,523,058 | |
Gross unrealized gain | | | 298,174 | | | | 5,775,025 | |
Gross unrealized loss | | | (1,018,448 | ) | | | (16,498,091 | ) |
Net unrealized security loss | | | $ (720,274 | ) | | | $ (10,723,066 | ) |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of certain distributions received, amortization of premium and wash sales.
93
Notes to Financial Statements (unaudited)(continued)
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2017 were as follows:
| | U.S. | | | | | | U.S. | | | | |
| | Government | | | | | | Government | | | | |
| | Purchases | | | Purchases | | | Sales | | | Sales | |
Emerging Markets Corporate Debt Fund | | $ | – | | | | $25,182,113 | | | $ | – | | | | $ 12,728,497 | |
Emerging Markets Currency Fund | | | 31,653,513 | | | | 2,518,307 | | | | 45,604,677 | | | | 119,439,316 | |
Emerging Markets Local Bond Fund | | | – | | | | 2,858,785 | | | | – | | | | 2,307,695 | |
Multi-Asset Global Opportunity Fund | | | – | | | | 57,673,349 | | | | – | | | | 78,023,109 | |
Each Fund is permitted to purchase and sell securities (“cross-trade”) from and to other Lord Abbett funds or client accounts pursuant to procedures approved by the Board in compliance with Rule 17a-7 under the Act (the “Rule”). Each cross-trade is executed at a fair market price in compliance with provisions of the Rule. For the period ended June 30, 2017, Emerging Markets Currency Fund engaged in cross-trades sales of $16,321,626, which resulted in net realized losses of $411,363.
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
Each Fund entered into forward foreign currency exchange contracts for the six months ended June 30, 2017 (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 with brokers as collateral.
Multi-Asset Global Opportunity Fund entered into E-Mini S&P 500 Index futures contracts for the six months ended June 30, 2017 (as described in note 2(h)) for investment purposes. The Fund bears the risk that the underlying index will move unexpectedly, in which case the Fund may realize a loss. There is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default.
Emerging Markets Corporate Debt Fund, Emerging Markets Currency Fund, and Multi-Asset Global Opportunity Fund entered into U.S. Treasury futures contracts for the six months ended June 30, 2017 (as described in note 2(h)) to economically 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 and Multi-Asset Global Opportunity Fund entered into credit default swaps on indexes for the six months ended June 30, 2017(as described in note 2(n)) to hedge credit risk. Credit default swaps on indexes involve the exchange of a fixed rate premium for protection against the loss in value of underlying securities within an index in the event of a
94
Notes to Financial Statements (unaudited)(continued)
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. Emerging Markets Currency 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. There is minimal counterparty credit risk to the Multi-Asset Global Opportunity Fund since centrally cleared credit default swaps are traded through a central clearinghouse. As the counterparty to all centrally cleared credit default swaps, the clearinghouse guarantees credit default swaps against default.
Emerging Markets Currency Fund entered into interest rate swaps for the six months ended June 30, 2017 (as described in note 2(m)) to economically 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 centrally cleared 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, 2017, each Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Funds’ use of derivative instruments:
Emerging Markets Corporate Debt Fund | |
| | | | | | |
| | Interest | | | Foreign | |
| | Rate | | | Currency | |
Asset Derivatives | | | Contracts | | | | Contracts | |
Futures Contracts(1) | | $ | 21,548 | | | $ | – | |
| | | | | | | | |
Liability Derivatives | | | | | | | | |
Futures Contracts(1) | | $ | 7,553 | | | $ | – | |
Forward Foreign Currency Exchange Contracts(2) | | $ | – | | | $ | 2,231 | |
| | | | | | | | |
Emerging Markets Currency Fund | |
| | | | | | | | |
| | | Interest | | | | Foreign | |
| | | Rate | | | | Currency | |
Asset Derivatives | | | Contracts | | | | Contracts | |
Centrally Cleared Interest Rate Swaps(3) | | $ | 372,870 | | | $ | – | |
Forward Foreign Currency Exchange Contracts(4) | | $ | – | | | $ | 5,303,909 | |
Futures Contracts(1) | | $ | 57,879 | | | $ | – | |
| | | | | | | | |
Liability Derivatives | | | | | | | | |
Forward Foreign Currency Exchange Contracts(2) | | $ | – | | | $ | 3,202,530 | |
| | | | | | | | |
Emerging Markets Local Bond Fund | |
| | | | | | | | |
| | | | | | | Foreign | |
| | | | | | | Currency | |
Asset Derivatives | | | | | | | Contracts | |
Forward Foreign Currency Exchange Contracts(4) | | | | | | $ | 56,040 | |
| | | | | | | | |
Liability Derivatives | | | | | | | | |
Forward Foreign Currency Exchange Contracts(2) | | | | | | $ | 32,257 | |
95
Notes to Financial Statements (unaudited)(continued)
| Multi-Asset Global Opportunity Fund | |
| | | | | Foreign | | | | |
| | Equity | | | Currency | | | Credit | |
Asset Derivatives | | Contracts | | | Contracts | | | Contracts | |
Centrally Cleared Credit Default Swaps(3) | | $ | – | | | $ | – | | | $ | 42,567 | |
Forward Foreign Currency Exchange Contracts(4) | | $ | – | | | $ | 40,237 | | | $ | – | |
| | | | | | | | | | | | |
Liability Derivatives | | | | | | | | | | | | |
Futures Contracts(1) | | $ | 88,557 | | | $ | – | | | $ | – | |
Forward Foreign Currency Exchange Contracts(2) | | $ | – | | | $ | 542,670 | | | $ | – | |
(1) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of futures as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
(2) | Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
(3) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of centrally cleared swap contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
(4) | Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
Transactions in derivative instruments for the six months ended June 30, 2017, were as follows:
Emerging Markets Corporate Debt Fund | |
| | | | | | |
| | | | | Foreign | |
| | Interest Rate | | | Currency | |
| | Contracts | | | Contracts | |
Net Realized Gain (Loss)(1) | | | | | | | | |
Futures Contracts | | $ | (67,904 | ) | | $ | – | |
Net Change in Unrealized Appreciation/Depreciation(2) | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | – | | | $ | (2,231 | ) |
Futures Contracts | | $ | 4,681 | | | $ | – | |
Average Number of Contracts/Notional Amounts* | | | | | | | | |
Forward Foreign Currency Exchange Contracts(3) | | $ | – | | | $ | 16,033 | |
Futures Contracts(4) | | | 59 | | | | – | |
96
Notes to Financial Statements (unaudited)(continued)
Emerging Markets Currency Fund | |
| | | | | | |
| | | | | Foreign | |
| | Interest Rate | | | Currency | |
| | Contracts | | | Contracts | |
Net Realized Gain (Loss)(1) | | | | | | | | |
Swaps Contracts | | $ | (80,891 | ) | | $ | – | |
Forward Foreign Currency Exchange Contracts | | $ | – | | | $ | 7,589,732 | |
Futures Contracts | | $ | (152,800 | ) | | $ | – | |
Net Change in Unrealized Appreciation/Depreciation(2) | | | | | | | | |
Swaps Contracts | | $ | 372,870 | | | $ | – | |
Forward Foreign Currency Exchange Contracts | | $ | – | | | $ | 9,269,239 | |
Futures Contracts | | $ | (56,960 | ) | | $ | – | |
Average Number of Contracts/Notional Amounts* | | | | | | | | |
Swaps Contracts(3) | | $ | – | | | $ | – | |
Credit Default Swaps(3) | | $ | 38,000,000 | | | $ | – | |
Forward Foreign Currency Exchange Contracts(3) | | $ | – | | | $ | 470,044,788 | |
Futures Contracts(4) | | | 345 | | | | – | |
| | | | | | | | |
Emerging Markets Local Bond Fund | |
| | | | | | | | |
| | | | | | | Foreign | |
| | | | | | | Currency | |
| | | | | | | Contracts | |
Net Realized Gain (Loss)(1) | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | | | | $ | 77,454 | |
Net Change in Unrealized Appreciation/Depreciation(2) | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | | | | $ | 23,928 | |
Average Number of Contracts/Notional Amounts* | | | | | | | | |
Forward Foreign Currency Exchange Contracts(3) | | | | | | $ | 6,897,774 | |
97
Notes to Financial Statements (unaudited)(continued)
| | | | Multi-Asset Global Opportunity Fund | |
| | Interest | | | Foreign | | | | | | | |
| | Rate | | | Currency | | | Equity | | | Credit | |
| | Contracts | | | Contracts | | | Contracts | | | Contracts | |
Net Realized Gain (Loss)(1) | | | | | | | | | | | | | | | | |
Swaps Contracts | | $ | – | | | $ | – | | | $ | – | | | $ | (51,895 | ) |
Forward Foreign Currency Exchange Contracts | | $ | – | | | $ | (381,489 | ) | | $ | – | | | $ | – | |
Futures Contracts | | $ | (77,725 | ) | | $ | – | | | $ | 884,914 | | | $ | – | |
Net Change in Unrealized Appreciation/Depreciation(2) | | | | | | | | | | | | | | | | |
Swaps Contracts | | $ | – | | | $ | – | | | $ | 42,567 | | | $ | – | |
Forward Foreign Currency Exchange Contracts | | $ | – | | | $ | (1,829,147 | ) | | $ | – | | | $ | – | |
Futures Contracts | | $ | (92,452 | ) | | $ | – | | | $ | 111,606 | | | $ | – | |
Average Number of Contracts/Notional Amounts* | | | | | | | | | | | | | | | | |
Swaps Contracts(3) | | $ | – | | | $ | – | | | $ | – | | | $ | 2,771,429 | |
Forward Foreign Currency Exchange Contracts(3) | | $ | – | | | $ | 42,270,090 | | | $ | – | | | $ | – | |
Futures Contracts(4) | | | 77 | | | | – | | | | 211 | | | | – | |
* | Calculated based on the number of contracts or notional amounts for the six months ended June 30, 2017. |
(1) | Statements of Operations location: Net realized gain (loss) on futures contracts, swaps and foreign currency related transactions. |
(2) | Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies. |
(3) | Amount represents notional amounts in U.S. dollars. |
(4) | Amount represents number of contracts. |
7. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board (“FASB”) requires disclosures intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. The following tables illustrate gross and net information about recognized assets and liabilities eligible for offset in the statements 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:
98
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 | | $ | 1,151,152 | | | $ | – | | | $ | 1,151,152 | |
Total | | $ | 1,151,152 | | | $ | – | | | $ | 1,151,152 | |
| | Net Amounts of Assets Presented in | | | Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | the Statement of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Received(a) | | | Securities Collateral Received(a) | | | Net Amount(b) | |
Fixed Income Clearing Corp. | | $ | 1,151,152 | | | $ | – | | | $ | – | | | $ | (1,151,152 | ) | | $ | – | |
Total | | $ | 1,151,152 | | | $ | – | | | $ | – | | | $ | (1,151,152 | ) | | $ | – | |
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 | | | $2,231 | | | $ | – | | | | $2,231 | |
Total | | | $2,231 | | | $ | – | | | | $2,231 | |
| | Net Amounts of Liabilities Presented in | | | Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | the Statement of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Pledged(a) | | | Securities Collateral Pledged(a) | | | Net Amount(c) | |
State Street Bank and Trust | | | $2,231 | | | $ | – | | | $ | – | | | $ | – | | | | $2,231 | |
Total | | | $2,231 | | | $ | – | | | $ | – | | | $ | – | | | | $2,231 | |
| | | | | 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 | | $ | 5,303,909 | | | $ | – | | | $ | 5,303,909 | |
Total | | $ | 5,303,909 | | | $ | – | | | $ | 5,303,909 | |
| | Net Amounts of Assets Presented in | | | Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | the Statement of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Received(a) | | | Securities Collateral Received(a) | | | Net Amount(b) | |
Bank of America | | $ | 607,131 | | | $ | (280,522 | ) | | $ | – | | | $ | – | | | $ | 326,609 | |
Barclays Bank plc | | | 790,216 | | | | (440,630 | ) | | | – | | | | – | | | | 349,586 | |
Citibank | | | 533,264 | | | | (75,328 | ) | | | (457,936 | ) | | | – | | | | – | |
Goldman Sachs | | | 128,414 | | | | (128,414 | ) | | | – | | | | – | | | | – | |
J.P. Morgan Chase | | | 1,373,265 | | | | (1,041,457 | ) | | | (331,808 | ) | | | – | | | | – | |
Morgan Stanley | | | 4,249 | | | | (293 | ) | | | (3,956 | ) | | | – | | | | – | |
Standard Chartered Bank | | | 582,048 | | | | (67,644 | ) | | | (420,000 | ) | | | – | | | | 94,404 | |
State Street Bank and Trust | | | 1,206,366 | | | | (694,026 | ) | | | (512,340 | ) | | | – | | | | – | |
UBS AG | | | 78,956 | | | | (27,443 | ) | | | – | | | | – | | | | 51,513 | |
Total | | $ | 5,303,909 | | | $ | (2,755,757 | ) | | $ | (1,726,040 | ) | | $ | – | | | $ | 822,112 | |
99
Notes to Financial Statements (unaudited)(continued)
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 | | $ | 3,202,530 | | | $ | – | | | $ | 3,202,530 | |
Total | | $ | 3,202,530 | | | $ | – | | | $ | 3,202,530 | |
| | Net Amounts of Liabilities Presented in | | | Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | the Statement of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Pledged(a) | | | Securities Collateral Pledged(a) | | | Net Amount(c) | |
Bank of America | | $ | 280,522 | | | $ | (280,522 | ) | | $ | – | | | $ | – | | | $ | – | |
Barclays Bank plc | | | 440,630 | | | | (440,630 | ) | | | – | | | | – | | | | – | |
BNP Paribas S.A. | | | 436,677 | | | | – | | | | (280,000 | ) | | | – | | | | 156,677 | |
Citibank | | | 75,328 | | | | (75,328 | ) | | | – | | | | – | | | | – | |
Goldman Sachs | | | 138,510 | | | | (128,414 | ) | | | – | | | | – | | | | 10,096 | |
J.P. Morgan Chase | | | 1,041,457 | | | | (1,041,457 | ) | | | – | | | | – | | | | – | |
Morgan Stanley | | | 293 | | | | (293 | ) | | | – | | | | – | | | | – | |
Standard Chartered Bank | | | 67,644 | | | | (67,644 | ) | | | – | | | | – | | | | – | |
State Street Bank and Trust | | | 694,026 | | | | (694,026 | ) | | | – | | | | – | | | | – | |
UBS AG | | | 27,443 | | | | (27,443 | ) | | | – | | | | – | | | | – | |
Total | | $ | 3,202,530 | | | $ | (2,755,757 | ) | | $ | (280,000 | ) | | $ | – | | | $ | 166,773 | |
| | | | | 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 | | $ | 56,040 | | | $ | – | | | $ | 56,040 | |
Total | | $ | 56,040 | | | $ | – | | | $ | 56,040 | |
| | Net Amounts of Assets Presented in | | | Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | the Statement of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Received(a) | | | Securities Collateral Received(a) | | | Net Amount(b) | |
Bank of America | | $ | 12,280 | | | $ | (6,514 | ) | | $ | – | | | $ | – | | | $ | 5,766 | |
BNP Paribas S.A. | | | 7,521 | | | | (3,437 | ) | | | – | | | | – | | | | 4,084 | |
Citibank | | | 10,698 | | | | (2,086 | ) | | | – | | | | – | | | | 8,612 | |
Goldman Sachs | | | 536 | | | | (536 | ) | | | – | | | | – | | | | – | |
Morgan Stanley | | | 1,047 | | | | (150 | ) | | | – | | | | – | | | | 897 | |
State Street Bank and Trust | | | 23,958 | | | | (16,508 | ) | | | – | | | | – | | | | 7,450 | |
Total | | $ | 56,040 | | | $ | (29,231 | ) | | $ | – | | | $ | – | | | $ | 26,809 | |
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 | | | $32,257 | | | $ | – | | | | $32,257 | |
Total | | | $32,257 | | | $ | – | | | | $32,257 | |
100
Notes to Financial Statements (unaudited)(continued)
| | Net Amounts of Liabilities Presented in | | | Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | the Statement of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Pledged(a) | | | Securities Collateral Pledged(a) | | | Net Amount(c) | |
Bank of America | | $ | 6,514 | | | $ | (6,514 | ) | | $ | – | | | $ | – | | | $ | – | |
BNP Paribas S.A. | | | 3,437 | | | | (3,437 | ) | | | – | | | | – | | | | – | |
Citibank | | | 2,086 | | | | (2,086 | ) | | | – | | | | – | | | | – | |
Goldman Sachs | | | 2,304 | | | | (536 | ) | | | – | | | | – | | | | 1,768 | |
Morgan Stanley | | | 150 | | | | (150 | ) | | | – | | | | – | | | | – | |
Standard Chartered Bank | | | 7 | | | | – | | | | – | | | | – | | | | 7 | |
State Street Bank and Trust | | | 16,508 | | | | (16,508 | ) | | | – | | | | – | | | | – | |
UBS AG | | | 1,251 | | | | – | | | | – | | | | – | | | | 1,251 | |
Total | | $ | 32,257 | | | $ | (29,231 | ) | | $ | – | | | $ | – | | | $ | 3,026 | |
| | | | | 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 | |
Forward Foreign Currency Exchange Contracts | | | $40,237 | | | $ | – | | | | $40,237 | |
Total | | | $40,237 | | | $ | – | | | | $40,237 | |
| | Net Amounts of Assets Presented in | | | Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | the Statement of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Received(a) | | | Securities Collateral Received(a) | | | Net Amount(b) | |
State Street Bank and Trust | | | $40,237 | | | | $(40,237 | ) | | $ | – | | | $ | – | | | $ | – | |
Total | | | $40,237 | | | | $(40,237 | ) | | $ | – | | | $ | – | | | $ | – | |
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 | | | $542,670 | | | $ | – | | | | $542,670 | |
Total | | | $542,670 | | | $ | – | | | | $542,670 | |
| | Net Amounts of Liabilities Presented in | | | Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
Counterparty | | the Statement of Assets and Liabilities | | | Financial Instruments | | | Cash Collateral Pledged(a) | | | Securities Collateral Pledged(a) | | | Net Amount(c) | |
Standard Chartered Bank | | $ | 324,825 | | | $ | – | | | $ | (270,000 | ) | | $ | – | | | $ | 54,825 | |
State Street Bank and Trust | | | 217,845 | | | | (40,237 | ) | | | – | | | | – | | | | 177,608 | |
Total | | $ | 542,670 | | | $ | (40,237 | ) | | $ | (270,000 | ) | | $ | – | | | $ | 232,433 | |
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets (liabilities) presented in the Statement of Assets and Liabilities, for each respective counterparty. |
(b) | Net amount represents the amount owed to the Fund by the counterparty as of June 30, 2017. |
(c) | Net amount represents the amount owed by the Fund to the counterparty as of June 30, 2017. |
101
Notes to Financial Statements (unaudited)(continued)
8. | DIRECTORS’ REMUNERATION |
The Company’s officers and the two Directors 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.
The Funds and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $550 million (the “Facility”), whereas State Street Bank and Trust Company (“SSB”) participates as a lender and as agent for the lenders. 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. The Facility will continue through August 28, 2017.
During the six months ended June 30, 2017, the Funds did not utilize the Facility.
11. | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the U.S. Securities and Exchange Commission (“SEC exemptive order”), certain registered open-end management investment companies managed by Lord Abbett, including the Fund, participate in a joint lending and borrowing program (the “Interfund Lending Program”). The SEC exemptive order allows the Funds to borrow money from and lend money to each other for temporary or emergency purposes subject to the limitations and conditions.
During the six months ended June 30, 2017, Emerging Markets Currency Fund participated as a lender in the Interfund Lending Program. The average amount loaned and average interest rate were $13,557,251 and 0.86%, respectively. The Fund earned interest of $958, which is included in the Statement of Operations.
There were no interfund loans outstanding as of June 30, 2017.
12. | 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.
102
Notes to Financial Statements (unaudited)(continued)
13. | 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, 2017:
Multi-Asset Global Opportunity Fund
Affiliated Issuer | | Balance of Shares Held at 12/31/2016 | | | Gross Additions | | | Gross Sales | | | Balance of Shares Held at 6/30/2017 | | | Fair Value at 6/30/2017 | | | Net Realized Gain/(Loss) 1/1/2017 to 6/30/2017 | | | Dividend Income 1/1/2017 to 6/30/2017 | |
Lord Abbett Equity Trust – Calibrated Large Cap Value Fund – Class I | | | – | | | | 837,962 | | | | (17,918 | ) | | | 820,045 | | | $ | 17,278,339 | | | $ | (5,496 | ) | | $ | – | |
Lord Abbett Equity Trust – Calibrated Mid Cap Value Fund – Class I | | | 1,566,048 | | | | 13,606 | | | | (276,344 | ) | | | 1,303,310 | | | | 28,894,380 | | | | 209,564 | | | | – | |
Lord Abbett Investment Trust – Convertible Fund – Class I | | | – | | | | 957,449 | | | | (49,148 | ) | | | 908,301 | | | | 11,417,349 | | | | 18,206 | | | | 111,523 | |
Lord Abbett Global Fund, Inc. – Emerging Markets Currency Fund – Class I | | | 6,694,865 | | | | 108,310 | | | | (2,439,240 | ) | | | 4,363,935 | | | | 23,303,415 | | | | (2,467,656 | ) | | | 573,914 | |
Lord Abbett Investment Trust – High Yield Fund – Class I | | | 4,772,486 | | | | 1,495,640 | | | | (214,379 | ) | | | 6,053,747 | | | | 46,492,779 | | | | (74,569 | ) | | | 1,301,082 | |
Lord Abbett Investment Trust – Inflation Focused Fund – Class I | | | – | | | | 385,908 | | | | – | | | | 385,908 | | | | 4,584,582 | | | | – | | | | 51,717 | |
Lord Abbett Securities Trust – International Core Equity Fund – Class I | | | 469,166 | | | | 185,540 | | | | (39,735 | ) | | | 614,971 | | | | 8,037,677 | | | | 58,784 | | | | – | |
Lord Abbett Securities Trust – International Dividend Income Fund – Class I | | | 13,672,118 | | | | 232,314 | | | | (4,915,369 | ) | | | 8,989,063 | | | | 65,620,158 | | | | (6,799,465 | ) | | | 1,402,656 | |
Lord Abbett Mid Cap Stock Fund, Inc. – Class I | | | 1,165,421 | | | | 3,608 | | | | (388,515 | ) | | | 780,515 | | | | 23,165,684 | | | | 4,213,489 | | | | – | |
Lord Abbett Investment Trust-Short Duration Income Fund – Class I | | | 1,159,263 | | | | 1,661,249 | | | | (2,352,999 | ) | | | 467,513 | | | | 2,005,629 | | | | (7,485 | ) | | | 54,186 | |
Total | | | | | | | | | | | | | | | | | | $ | 230,799,992 | | | $ | (4,854,628 | ) | | $ | 3,495,078 | |
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.
103
Notes to Financial Statements (unaudited)(continued)
Derivatives are subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, and credit risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with the value of the underlying asset, rate, or index. Whether a Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements, changes in foreign exchange and interest rates, and other factors. If a Fund incorrectly forecasts these and other factors, its performance could suffer. The Fund’s use of derivatives could result in a loss exceeding the amount of the Fund’s investment in these instruments.
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.
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
104
Notes to Financial Statements (unaudited)(continued)
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. Each of Emerging Markets Corporate Debt Fund and 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.
Each Fund is also subject to risks from redemptions by large shareholders, cyber security and other risks in connection with the operations of the Fund’s service providers, and risks from market disruptions and geopolitical events.
These factors can affect each Fund’s performance.
105
Notes to Financial Statements (unaudited)(continued)
15. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of capital stock were as follows:
Emerging Markets Corporate Debt Fund | | Six Months Ended June 30, 2017 (unaudited) | | | Year Ended December 31, 2016 | |
Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 485,451 | | | $ | 7,488,331 | | | | 626,280 | | | $ | 9,624,073 | |
Reinvestment of distributions | | | 12,012 | | | | 185,704 | | | | 34,340 | | | | 518,899 | |
Shares reacquired | | | (283,014 | ) | | | (4,374,294 | ) | | | (1,118,621 | ) | | | (17,046,361 | ) |
Increase (decrease) | | | 214,449 | | | $ | 3,299,741 | | | | (458,001 | ) | | $ | (6,903,389 | ) |
| | | | | | | | | | | | | | | | |
Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 21,637 | | | $ | 334,805 | | | | 64,638 | | | $ | 996,895 | |
Reinvestment of distributions | | | 1,514 | | | | 23,386 | | | | 2,087 | | | | 31,622 | |
Shares reacquired | | | (3,971 | ) | | | (61,240 | ) | | | (26,480 | ) | | | (402,036 | ) |
Increase | | | 19,180 | | | $ | 296,951 | | | | 40,245 | | | $ | 626,481 | |
| | | | | | | | | | | | | | | | |
Class F Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 578,729 | | | $ | 8,924,030 | | | | 969,753 | | | $ | 14,302,947 | |
Reinvestment of distributions | | | 22,789 | | | | 352,430 | | | | 32,444 | | | | 489,655 | |
Shares reacquired | | | (77,693 | ) | | | (1,195,410 | ) | | | (1,057,051 | ) | | | (15,569,272 | ) |
Increase (decrease) | | | 523,825 | | | $ | 8,081,050 | | | | (54,854 | ) | | $ | (776,670 | ) |
| | | | | | | | | | | | | | | | |
Class F3 Shares(a) | | | | | | | | | | | | | | | | |
Shares sold | | | 648 | | | $ | 10,000 | | | | – | | | $ | – | |
Reinvestment of distributions | | | 7 | | | | 109 | | | | – | | | | – | |
Increase | | | 655 | | | $ | 10,109 | | | | – | | | $ | – | |
| | | | | | | | | | | | | | | | |
Class I Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 110,854 | | | $ | 1,709,096 | | | | – | | | $ | – | |
Reinvestment of distributions | | | 13,487 | | | | 208,382 | | | | 31,367 | | | | 473,182 | |
Shares reacquired | | | (9,062 | ) | | | (140,371 | ) | | | (194,229 | ) | | | (3,031,426 | ) |
Increase (decrease) | | | 115,279 | | | $ | 1,777,107 | | | | (162,862 | ) | | $ | (2,558,244 | ) |
| | | | | | | | | | | | | | | | |
Class R2 Shares | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | 176 | | | $ | 2,718 | | | | 353 | | | $ | 5,339 | |
Increase | | | 176 | | | $ | 2,718 | | | | 353 | | | $ | 5,339 | |
| | | | | | | | | | | | | | | | |
Class R3 Shares | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | 176.43 | | | $ | 2,719 | | | | 353 | | | $ | 5,339 | |
Increase | | | 176.43 | | | $ | 2,719 | | | | 353 | | | $ | 5,339 | |
| | | | | | | | | | | | | | | | |
Class R4 Shares | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | 15 | | | $ | 231 | | | | 30 | | | $ | 457 | |
Increase | | | 15 | | | $ | 231 | | | | 30 | | | $ | 457 | |
106
Notes to Financial Statements (unaudited)(continued)
| | Six Months Ended | | | | | | | |
| | June 30, 2017 | | | Year Ended | |
Emerging Markets Corporate Debt Fund | | (unaudited) | | | December 31, 2016 | |
Class R5 Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 71 | | | $ | 1,112 | | | | 1,634 | | | $ | 23,973 | |
Reinvestment of distributions | | | 53 | | | | 814 | | | | 91 | | | | 1,387 | |
Shares reacquired | | | (4 | ) | | | (64 | ) | | | (69 | ) | | | (1,072 | ) |
Increase | | | 120 | | | $ | 1,862 | | | | 1,656 | | | $ | 24,288 | |
| | | | | | | | | | | | | | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | 16.43 | | | $ | 254 | | | | 32 | | | $ | 492 | |
Increase | | | 16.43 | | | $ | 254 | | | | 32 | | | $ | 492 | |
| | | | | | | | | |
| | Six Months Ended | | | | | | | |
| | June 30, 2017 | | | Year Ended | |
Emerging Markets Currency Fund | | (unaudited) | | | December 31, 2016 | |
Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 306,927 | | | $ | 1,620,483 | | | | 490,790 | | | $ | 2,559,080 | |
Converted from Class B * | | | 3,036 | | | | 16,109 | | | | 15,609 | | | | 81,471 | |
Reinvestment of distributions | | | 68,273 | | | | 362,586 | | | | 187,047 | | | | 966,424 | |
Shares reacquired | | | (564,345 | ) | | | (2,986,472 | ) | | | (1,117,043 | ) | | | (5,837,072 | ) |
Decrease | | | (186,109 | ) | | $ | (987,294 | ) | | | (423,597 | ) | | $ | (2,230,097 | ) |
| | | | | | | | | | | | | | | | |
Class B Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 840 | | | $ | 4,415 | | | | 75 | | | $ | 395 | |
Reinvestment of distributions | | | 145 | | | | 772 | | | | 789 | | | | 4,096 | |
Shares reacquired | | | (1,564 | ) | | | (8,229 | ) | | | (9,196 | ) | | | (48,819 | ) |
Converted to Class A * | | | (3,024 | ) | | | (16,109 | ) | | | (15,538 | ) | | | (81,471 | ) |
Decrease | | | (3,603 | ) | | $ | (19,151 | ) | | | (23,870 | ) | | $ | (125,799 | ) |
| | | | | | | | | | | | | | | | |
Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 68,460 | | | $ | 361,815 | | | | 46,051 | | | $ | 241,406 | |
Reinvestment of distributions | | | 8,901 | | | | 47,544 | | | | 27,145 | | | | 140,843 | |
Shares reacquired | | | (176,938 | ) | | | (938,214 | ) | | | (374,321 | ) | | | (1,954,356 | ) |
Decrease | | | (99,577 | ) | | $ | (528,855 | ) | | | (301,125 | ) | | $ | (1,572,107 | ) |
| | | | | | | | | | | | | | | | |
Class F Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 429,400 | | | $ | 2,300,279 | | | | 394,398 | | | $ | 2,051,518 | |
Reinvestment of distributions | | | 26,534 | | | | 140,801 | | | | 78,172 | | | | 403,921 | |
Shares reacquired | | | (359,409 | ) | | | (1,895,959 | ) | | | (883,313 | ) | | | (4,597,477 | ) |
Increase (decrease) | | | 96,525 | | | $ | 545,121 | | | | (410,743 | ) | | $ | (2,142,038 | ) |
| | | | | | | | | | | | | | | | |
Class F3 Shares(a) | | | | | | | | | | | | | | | | |
Shares sold | | | 1,886 | | | $ | 10,015 | | | | – | | | $ | – | |
Reinvestment of distributions | | | 21 | | | | 114 | | | | – | | | | – | |
Shares reacquired | | | (1 | ) | | | (5 | ) | | | – | | | | – | |
Increase | | | 1,906 | | | $ | 10,124 | | | | – | | | $ | – | |
107
Notes to Financial Statements (unaudited)(continued)
| | Six Months Ended | | | | | | | |
| | June 30, 2017 | | | Year Ended | |
Emerging Markets Currency Fund | | (unaudited) | | | December 31, 2016 | |
Class I Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 123,658 | | | $ | 657,715 | | | | 22,538,806 | | | $ | 119,250,459 | |
Reinvestment of distributions | | | 991,932 | | | | 5,247,980 | | | | 4,101,552 | | | | 21,172,370 | |
Shares reacquired | | | (31,183,772 | ) | | | (162,092,008 | ) | | | (43,629,353 | ) | | | (224,196,217 | ) |
Decrease | | | (30,068,182 | ) | | $ | (156,186,313 | ) | | | (16,988,995 | ) | | $ | (83,773,388 | ) |
| | | | | | | | | | | | | | | | |
Class R2 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,056 | | | $ | 10,911 | | | | 6,250 | | | $ | 32,694 | |
Reinvestment of distributions | | | 67 | | | | 354 | | | | 169 | | | | 873 | |
Shares reacquired | | | (3,985 | ) | | | (21,116 | ) | | | (7,595 | ) | | | (39,619 | ) |
Decrease | | | (1,862 | ) | | $ | (9,851 | ) | | | (1,176 | ) | | $ | (6,052 | ) |
| | | | | | | | | | | | | | | | |
Class R3 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 29,576 | | | $ | 155,019 | | | | 34,012 | | | $ | 174,691 | |
Reinvestment of distributions | | | 1,021 | | | | 5,412 | | | | 3,281 | | | | 16,906 | |
Shares reacquired | | | (33,592 | ) | | | (175,223 | ) | | | (35,204 | ) | | | (183,283 | ) |
Increase (decrease) | | | (2,995 | ) | | $ | (14,792 | ) | | | 2,089 | | | $ | 8,314 | |
| | | | | | | | | | | | | | | | |
Class R4 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,843 | | | $ | 15,153 | | | | – | | | $ | – | |
Reinvestment of distributions | | | 55 | | | | 295 | | | | 101 | | | | 517 | |
Shares reacquired | | | (34 | ) | | | (184 | ) | | | – | | | | – | |
Increase | | | 2,864 | | | $ | 15,264 | | | | 101 | | | $ | 517 | |
| | | | | | | | | | | | | | | | |
Class R5 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 29 | | | $ | 157 | | | | 16 | | | $ | 86 | |
Reinvestment of distributions | | | 43 | | | | 230 | | | | 106 | | | | 546 | |
Shares reacquired | | | (1 | ) | | | (10 | ) | | | �� | | | | – | |
Increase | | | 71 | | | $ | 377 | | | | 122 | | | $ | 632 | |
| | | | | | | | | | | | | | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 125,602 | | | $ | 667,568 | | | | – | | | $ | – | |
Reinvestment of distributions | | | 94 | | | | 499 | | | | 107 | | | | 554 | |
Shares reacquired | | | (24,278 | ) | | | (128,776 | ) | | | – | | | | – | |
Increase | | | 101,418 | | | $ | 539,291 | | | | 107 | | | $ | 554 | |
108
Notes to Financial Statements (unaudited)(continued)
| | Six Months Ended | | | | | | | |
| | June 30, 2017 | | | Year Ended | |
Emerging Markets Local Bond Fund | | (unaudited) | | | December 31, 2016 | |
Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 56,992 | | | $ | 601,761 | | | | 130,631 | | | $ | 1,385,183 | |
Reinvestment of distributions | | | 21,835 | | | | 229,766 | | | | 35,935 | | | | 375,695 | |
Shares reacquired | | | (27,334 | ) | | | (282,484 | ) | | | (42,532 | ) | | | (441,764 | ) |
Increase | | | 51,493 | | | $ | 549,043 | | | | 124,034 | | | $ | 1,319,114 | |
| | | | | | | | | | | | | | | | |
Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 27,982 | | | $ | 295,698 | | | | 19,543 | | | $ | 205,516 | |
Reinvestment of distributions | | | 984 | | | | 10,379 | | | | 1,728 | | | | 18,065 | |
Shares reacquired | | | (10,021 | ) | | | (103,405 | ) | | | (15,978 | ) | | | (166,023 | ) |
Increase | | | 18,945 | | | $ | 202,672 | | | | 5,293 | | | $ | 57,558 | |
| | | | | | | | | | | | | | | | |
Class F Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 38,541 | | | $ | 407,531 | | | | 58,329 | | | $ | 621,419 | |
Reinvestment of distributions | | | 1,120 | | | | 11,800 | | | | 1,197 | | | | 12,362 | |
Shares reacquired | | | (6,357 | ) | | | (67,597 | ) | | | (48,930 | ) | | | (488,245 | ) |
Increase | | | 33,304 | | | $ | 351,734 | | | | 10,596 | | | $ | 145,536 | |
| | | | | | | | | | | | | | | | |
Class F3 Shares(a) | | | | | | | | | | | | | | | | |
Shares sold | | | 950 | | | $ | 10,015 | | | | – | | | $ | – | |
Reinvestment of distributions | | | 16 | | | | 173 | | | | – | | | | – | |
Shares reacquired | | | – | | | | (5 | ) | | | – | | | | – | |
Increase | | | 966 | | | $ | 10,183 | | | | – | | | $ | – | |
| | | | | | | | | | | | | | | | |
Class I Shares | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | 6,793 | | | $ | 71,440 | | | | 12,122 | | | $ | 126,613 | |
Increase | | | 6,793 | | | $ | 71,440 | | | | 12,122 | | | $ | 126,613 | |
| | | | | | | | | | | | | | | | |
Class R2 Shares | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | 295 | | | $ | 3,096 | | | | 525 | | | $ | 5,487 | |
Increase | | | 295 | | | $ | 3,096 | | | | 525 | | | $ | 5,487 | |
| | | | | | | | | | | | | | | | |
Class R3 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 7 | | | $ | 78 | | | | – | | | $ | – | |
Reinvestment of distributions | | | 294.40 | | | | 3,098 | | | | 526 | | | | 5,489 | |
Increase | | | 301.40 | | | $ | 3,176 | | | | 526 | | | $ | 5,489 | |
| | | | | | | | | | | | | | | | |
Class R4 Shares | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | 33 | | | $ | 346 | | | | 58.13 | | | $ | 609 | |
Increase | | | 33 | | | $ | 346 | | | | 58.13 | | | $ | 609 | |
| | | | | | | | | | | | | | | | |
Class R5 Shares | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | 34 | | | $ | 360 | | | | 60.69 | | | $ | 635 | |
Increase | | | 34 | | | $ | 360 | | | | 60.69 | | | $ | 635 | |
| | | | | | | | | | | | | | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | 35 | | | $ | 365 | | | | 61 | | | $ | 641 | |
Increase | | | 35 | | | $ | 365 | | | | 61 | | | $ | 641 | |
109
Notes to Financial Statements (unaudited)(continued)
| | Six Months Ended | | | | | | | |
| | June 30, 2017 | | | Year Ended | |
Multi-Asset Global Opportunity Fund | | (unaudited) | | | December 31, 2016 | |
Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 1,770,304 | | | $ | 19,530,730 | | | | 1,848,399 | | | $ | 19,019,908 | |
Converted from Class B * | | | 29,560 | | | | 327,608 | | | | 50,505 | | | | 516,452 | |
Reinvestment of distributions | | | 131,314 | | | | 1,461,489 | | | | 626,033 | | | | 6,578,705 | |
Shares reacquired | | | (3,209,973 | ) | | | (35,375,295 | ) | | | (5,182,635 | ) | | | (53,956,237 | ) |
Decrease | | | (1,278,795 | ) | | $ | (14,055,468 | ) | | | (2,657,698 | ) | | $ | (27,841,172 | ) |
| | | | | | | | | | | | | | | | |
Class B Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 12,221 | | | $ | 120,082 | | | | 11,095 | | | $ | 101,963 | |
Reinvestment of distributions | | | 1,019 | | | | 10,223 | | | | 8,859 | | | | 84,046 | |
Shares reacquired | | | (37,155 | ) | | | (368,829 | ) | | | (95,974 | ) | | | (896,511 | ) |
Converted to Class A * | | | (32,795 | ) | | | (327,608 | ) | | | (55,877 | ) | | | (516,452 | ) |
Decrease | | | (56,710 | ) | | $ | (566,132 | ) | | | (131,897 | ) | | $ | (1,226,954 | ) |
| | | | | | | | | | | | | | | | |
Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 711,117 | | | $ | 7,007,215 | | | | 423,044 | | | $ | 3,928,011 | |
Reinvestment of distributions | | | 27,682 | | | | 277,355 | | | | 157,755 | | | | 1,497,694 | |
Shares reacquired | | | (1,179,058 | ) | | | (11,657,308 | ) | | | (1,550,694 | ) | | | (14,490,196 | ) |
Decrease | | | (440,259 | ) | | $ | (4,372,738 | ) | | | (969,895 | ) | | $ | (9,064,491 | ) |
| | | | | | | | | | | | | | | | |
Class F Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 178,788 | | | $ | 1,988,276 | | | | 140,441 | | | $ | 1,468,581 | |
Reinvestment of distributions | | | 4,675 | | | | 52,061 | | | | 20,204 | | | | 212,262 | |
Shares reacquired | | | (137,787 | ) | | | (1,530,334 | ) | | | (556,143 | ) | | | (5,700,647 | ) |
Increase (decrease) | | | 45,676 | | | $ | 510,003 | | | | (395,498 | ) | | $ | (4,019,804 | ) |
| | | | | | | | | | | | | | | | |
Class F3 Shares(a) | | | | | | | | | | | | | | | | |
Shares sold | | | 1,695 | | | $ | 19,025 | | | | – | | | $ | – | |
Reinvestment of distributions | | | 12 | | | | 132 | | | | – | | | | – | |
Shares reacquired | | | (5 | ) | | | (62 | ) | | | – | | | | – | |
Increase | | | 1,702 | | | $ | 19,095 | | | | – | | | $ | – | |
| | | | | | | | | | | | | | | | |
Class I Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 574 | | | $ | 6,315 | | | | 20,562 | | | $ | 210,307 | |
Reinvestment of distributions | | | 536 | | | | 5,997 | | | | 9,806 | | | | 103,921 | |
Shares reacquired | | | (109,022 | ) | | | (1,216,288 | ) | | | (27,553 | ) | | | (288,891 | ) |
Increase (decrease) | | | (107,912 | ) | | $ | (1,203,976 | ) | | | 2,815 | | | $ | 25,337 | |
| | | | | | | | | | | | | | | | |
Class R2 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,815 | | | $ | 20,531 | | | | 4,773 | | | $ | 50,246 | |
Reinvestment of distributions | | | 371 | | | | 4,216 | | | | 1,483 | | | | 15,931 | |
Shares reacquired | | | (611 | ) | | | (6,937 | ) | | | (3,611 | ) | | | (36,818 | ) |
Increase | | | 1,575 | | | $ | 17,810 | | | | 2,645 | | | $ | 29,359 | |
110
Notes to Financial Statements (unaudited)(concluded)
| | Six Months Ended | | | | | | | |
| | June 30, 2017 | | | Year Ended | |
Multi-Asset Global Opportunity Fund | | (unaudited) | | | December 31, 2016 | |
Class R3 Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 341,465 | | | $ | 3,747,623 | | | | 134,579 | | | $ | 1,396,105 | |
Reinvestment of distributions | | | 4,627 | | | | 51,811 | | | | 27,218 | | | | 287,896 | |
Shares reacquired | | | (523,415 | ) | | | (5,764,110 | ) | | | (178,118 | ) | | | (1,879,782 | ) |
Decrease | | | (177,323 | ) | | $ | (1,964,676 | ) | | | (16,321 | ) | | $ | (195,781 | ) |
| | | | | | | | | | | | | | | | |
Class R4 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 15,666 | | | $ | 174,374 | | | | – | | | $ | – | |
Reinvestment of distributions | | | 128 | | | | 1,431 | | | | 42 | | | | 442 | |
Shares reacquired | | | (2,252 | ) | | | (25,290 | ) | | | – | | | | ��� | |
Increase | | | 13,542 | | | $ | 150,515 | | | | 42 | | | $ | 442 | |
| | | | | | | | | | | | | | | | |
Class R5 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,548.45 | | | $ | 17,235 | | | | – | | | $ | – | |
Reinvestment of distributions | | | 22.67 | | | | 255 | | | | 44 | | | | 463 | |
Shares reacquired | | | (4 | ) | | | (46 | ) | | | – | | | | – | |
Increase | | | 1,567.12 | | | $ | 17,444 | | | | 44 | | | $ | 463 | |
| | | | | | | | | | | | | | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 107,336 | | | $ | 1,199,285 | | | | 478,011 | | | $ | 5,000,000 | |
Reinvestment of distributions | | | 52,665 | | | | 590,371 | | | | 182,208 | | | | 1,932,044 | |
Shares reacquired | | | (51,503 | ) | | | (573,246 | ) | | | – | | | | – | |
Increase | | | 108,498 | | | $ | 1,216,410 | | | | 660,219 | | | $ | 6,932,044 | |
* | Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. |
(a) | Shares commenced on April 4, 2017. |
16. | RECENT ACCOUNTING REGULATION |
In October 2016, the U.S. Securities and Exchange Commission (“the SEC”) adopted amendments to regulation S-X that, along with other regulatory changes are intended to modernize the reporting and disclosure of information by registered investment companies. In part, the amendments require standardized, enhanced disclosure about derivatives in investment company financial statements. The compliance date for the amendments is for periods ending after August 1, 2017. Although management continues to evaluate the potential impact of the amendments on the Funds, it expects such impact will be limited to additional financial statement disclosures with no effect on the Funds’ net assets or results of operations.
111
Investments in Underlying Funds (unaudited)
Multi-Asset Global Opportunity Fund invests in Underlying Funds managed by Lord Abbett. As of June 30, 2017, Multi-Asset Global Opportunity Fund’s investments in the Underlying Funds were allocated as follows:
Underlying Fund Name | % of Investments in Underlying Funds |
Lord Abbett Equity Trust - Calibrated Large Cap Value Fund - Class I | | | 7.48% |
Lord Abbett Equity Trust - Calibrated Mid Cap Value Fund - Class I | | | 12.52% |
Lord Abbett Investment Trust-Convertible Fund - Class I | | | 4.95% |
Lord Abbett Global Fund, Inc. - Emerging Markets Currency Fund - Class I | | | 10.10% |
Lord Abbett Investment Trust - High Yield Fund - Class I | | | 20.14% |
Lord Abbett Investment Trust - Inflation Focused Fund - Class I | | | 1.99% |
Lord Abbett Securities Trust - International Core Equity Fund - Class I | | | 3.48% |
Lord Abbett Securities Trust - International Dividend Income Fund - Class I | | | 28.43% |
Lord Abbett Mid Cap Stock Fund - Class I | | | 10.04% |
Lord Abbett Investment Trust - Short Duration Income Fund - Class I | | | 0.87% |
The Ten Largest Holdings and the Holdings by Sector, as of June 30, 2017, 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.
112
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Equity Trust—Calibrated Large Cap Value Fund
Ten Largest Holdings | | % of Investments |
JPMorgan Chase & Co. | | 3.95% |
Chevron Corp. | | 3.46% |
Pfizer, Inc. | | 2.94% |
Johnson & Johnson | | 2.79% |
Bank of America Corp. | | 2.50% |
Cisco Systems, Inc. | | 2.20% |
AT&T, Inc. | | 2.20% |
General Electric Co. | | 2.13% |
Allstate Corp. (The) | | 1.84% |
Prudential Financial, Inc. | | 1.82% |
Holdings by Sector* | | % of Investments |
Consumer Discretionary | | 6.92% |
Consumer Staples | | 8.89% |
Energy | | 10.51% |
Financials | | 25.97% |
Health Care | | 13.73% |
Industrials | | 8.70% |
Information Technology | | 8.48% |
Materials | | 2.68% |
Real Estate | | 4.47% |
Telecommunication Services | | 3.32% |
Utilities | | 5.79% |
Repurchase Agreement | | 0.54% |
Total | | 100.00% |
* | A sector may comprise several industries. |
113
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Equity Trust – Calibrated Mid Cap Value Fund
Ten Largest Holdings | | % of Investments |
XL Group Ltd. | | 2.05% |
Invesco Ltd. | | 2.05% |
M&T Bank Corp. | | 1.67% |
Citizens Financial Group, Inc. | | 1.63% |
KeyCorp | | 1.49% |
Ventas, Inc. | | 1.48% |
Sempra Energy | | 1.46% |
Newell Brands, Inc. | | 1.44% |
Hartford Financial Services Group, Inc. | | 1.41% |
Vornado Realty Trust | | 1.29% |
Holdings by Sector* | | % of Investments |
Consumer Discretionary | | 11.70% |
Consumer Staples | | 3.83% |
Energy | | 7.70% |
Financials | | 19.44% |
Health Care | | 6.75% |
Industrials | | 11.86% |
Information Technology | | 6.73% |
Materials | | 5.32% |
Real Estate | | 14.93% |
Telecommunication Services | | 0.66% |
Utilities | | 10.61% |
Repurchase Agreement | | 0.47% |
Total | | 100.00% |
* | A sector may comprise several industries. |
114
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust – Convertible Fund – Class I
Ten Largest Holdings | | % of Investments |
Wells Fargo & Co, 7.5% | | 4.48% |
VEREIT, Inc, 3%, 08/01/2018 | | 2.85% |
Microchip Technology, Inc, 1.625%, 02/15/2025 | | 2.82% |
DISH Network Corp, 3.375%, 08/15/2026 | | 2.46% |
Allergan plc, 5.5%, | | 2.28% |
NextEra Energy, Inc, 6.371% | | 2.13% |
Micron Technology, Inc, 2.125%, 02/15/2033 | | 2.11% |
Novellus Systems, Inc, 2.625%, 05/15/2041 | | 2.08% |
Anthem, Inc, 5.25% | | 2.06% |
Priceline Group, Inc. (The), 1%, 03/15/2018 | | 1.97% |
Holdings by Sector* | | % of Investments |
Automotive | | 2.80% |
Banking | | 6.01% |
Basic Industry | | 7.51% |
Capital Goods | | 1.42% |
Consumer Goods | | 3.49% |
Energy | | 3.61% |
Financial Services | | 2.38% |
Healthcare | | 16.84% |
Information Technology | | 0.69% |
Leisure | | 4.12% |
Media | | 3.19% |
Real Estate | | 5.04% |
Retail | | 3.72% |
Services | | 0.64% |
Technology & Electronics | | 29.19% |
Telecommunications | | 2.61% |
Transportation | | 1.07% |
Utility | | 4.04% |
Repurchase Agreement | | 1.63% |
Total | | 100.00% |
* | A sector may comprise several industries. |
115
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Global Fund, Inc. – Emerging Markets Currency Fund
Ten Largest Holdings | | % of Investments |
Brazil Letras do Tesouro Nacional, 0%, 07/01/2017 | | 3.62% |
U.S. Treasury Note, .875%, 10/15/2017 | | 2.10% |
Wells Fargo Dealer Floorplan Master Note Trust, 1.5922%, 07/20/2019 | | 1.03% |
City of Buenos Aires, 23.2062%, 03/29/2024 | | 1.00% |
Egypt Treasury Bill, 0%, 11/28/2017 | | 0.97% |
Uruguay Treasury Bill, 0%, 10/06/2017 | | 0.96% |
Federal National Mortgage Assoc, 3.407%, 11/01/2040 | | 0.92% |
Provincia de Mendoza, 24.625%, 06/09/2021 | | 0.87% |
H/2 Asset Funding 2014–1 Ltd, 2.348%, 03/19/2037 | | 0.86% |
Capital One Multi-Asset Execution Trust, 1.5589%, 03/15/2023 | | 0.83% |
Holdings by Sector* | | % of Investments |
Asset Backed | | 16.68% |
Automotive | | 2.04% |
Banking | | 6.00% |
Basic Industry | | 2.95% |
Capital Goods | | 1.60% |
Collateralized Mortgage Obligation | | 0.32% |
Commercial Mortgage Backed | | 25.36% |
Consumer Goods | | 1.18% |
Energy | | 8.62% |
Financial Services | | 1.50% |
Foreign Sovereign | | 7.42% |
GO—State | | 0.32% |
Government Guaranteed | | 3.82% |
Healthcare | | 2.02% |
Insurance | | 0.41% |
Leisure | | 1.71% |
Media | | 1.98% |
Mortgage Backed | | 2.50% |
Real Estate | | 2.43% |
Retail | | 0.81% |
Service | | 0.55% |
Technology & Electronics | | 4.43% |
Telecommunications | | 1.50% |
Transportation | | 0.94% |
Utility | | 2.91% |
Total | | 100.00% |
* | A sector may comprise several industries. |
116
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust – High Yield Fund
Ten Largest Holdings | | % of Investments |
CSC Holdings LLC, 10.875%, 10/15/2025 | | 1.33% |
DISH DBS Corp, 7.75%, 07/01/2026 | | 1.19% |
T-Mobile USA, Inc, 6.5%, 01/15/2026 | | 0.85% |
Navient Corp, 5.875, 03/25/2021 | | 0.85% |
Dell International LLC/EMC Corp, 7.125%, 06/15/2024 | | 0.82% |
Freeport-McMoRan, Inc, 3.875%, | | 0.77% |
HCA, Inc, 5.25%, 06/15/2026 | | 0.74% |
ArcelorMittal (Luxembourg), 6.125%, 06/01/2025 | | 0.61% |
MGM Resorts International, 6%, 03/15/2023 | | 0.57% |
CCO Holdings LLC/CCO Holdings Capital Corp, 5.875%, 04/01/2024 | | 0.54% |
Holdings by Sector* | | % of Investments |
Automotive | | 1.81% |
Banking | | 4.24% |
Basic Industry | | 16.56% |
Capital Goods | | 2.92% |
Commercial Mortgage Backed | | 0.03% |
Consumer Goods | | 3.21% |
Energy | | 12.26% |
Financial Services | | 3.39% |
Foreign Sovereign | | 1.06% |
Healthcare | | 8.18% |
Industrials | | 0.01% |
Insurance | | 0.76% |
Leisure | | 6.66% |
Materials | | 0.06% |
Media | | 10.40% |
Real Estate | | 0.47% |
Retail | | 5.31% |
Services | | 3.96% |
Technology & Electronics | | 5.09% |
Telecommunications | | 6.16% |
Transportation | | 3.25% |
Utility | | 2.07% |
Repurchase Agreement | | 2.14% |
Total | | 100.00% |
* | A sector may comprise several industries. |
117
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust – Inflation Focused Fund – Class I
Ten Largest Holdings | | % of Investments |
U.S. Treasury Note, 1.375%, 06/30/2018 | | 1.33% |
World Financial Network Credit Card Master Trust, 2.15%, 04/17/2023 | | 0.72% |
OneMain Financial Issuance Trust, 4.1%, 03/20/2028 | | 0.70% |
HBOS plc, 6.75%, 05/21/2018 | | 0.67% |
U.S. Treasury Note, 1.75%, 10/31/2020 | | 0.52% |
Wells Fargo Dealer Floorplan Master Note Trust, 1.6599%, 01/20/2022 | | 0.51% |
Bank of America Corp, 5.49%, 03/15/2019 | | 0.50% |
CarMax Auto Owner Trust, 1.39%, 05/17/2021 | | 0.50% |
Sabine Pass Liquefaction LLC, 5.625%, 02/01/2021 | | 0.49% |
MPLX LP, 5.5%, 02/15/2023 | | 0.47% |
Holdings by Sector* | | % of Investments |
Auto | | 2.68% |
Basic Industry | | 0.33% |
Capital Goods | | 0.92% |
Consumer Cyclicals | | 2.28% |
Consumer Discretionary | | 0.88% |
Consumer Services | | 1.70% |
Consumer Staples | | 0.75% |
Energy | | 9.59% |
Financial Services | | 59.14% |
Foreign Government | | 0.29% |
Government | | 4.06% |
Health Care | | 2.82% |
Industrials | | 0.30% |
Information Technology | | 0.03% |
Integrated Oils | | 0.52% |
Materials and Processing | | 3.10% |
Municipal | | 0.28% |
Producer Durables | | 1.06% |
Service | | 0.10% |
Technology | | 2.55% |
Telecommunications | | 1.21% |
Transportation | | 0.27% |
Utilities | | 2.75% |
Repurchase Agreement | | 2.39% |
Total | | 100.00% |
* | A sector may comprise several industries. |
118
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Securities Trust – International Core Equity Fund
Ten Largest Holdings | | % of Investments |
Roche Holding AG | | 3.29% |
Nestle SA Registered Shares | | 2.63% |
Allianz SE Registered Shares | | 2.37% |
Shire plc | | 2.23% |
Enel SpA | | 2.14% |
ING Groep NV | | 1.99% |
BNP Paribas SA | | 1.99% |
Mitsubishi UFJ Financial Group, Inc. | | 1.95% |
UniCredit SpA | | 1.85% |
Bayer AG Registered Shares | | 1.85% |
Holdings by Sector* | | % of Investments |
Consumer Discretionary | | 10.25% |
Consumer Staples | | 9.26% |
Energy | | 5.40% |
Financials | | 25.38% |
Health Care | | 10.29% |
Industrials | | 14.94% |
Information Technology | | 6.63% |
Materials | | 4.62% |
Real Estate | | 3.08% |
Telecommunication Services | | 4.72% |
Utilities | | 4.42% |
Repurchase Agrrement | | 1.01% |
Total | | 100.00% |
* | A sector may comprise several industries. |
119
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Securities Trust – International Dividend Income Fund
Ten Largest Holdings | | % of Investments |
Rio Tinto plc ADR | | 2.40% |
Allianz SE Registered Shares | | 2.16% |
Sands China Ltd. | | 1.86% |
Whitecap Resources, Inc. | | 1.86% |
HSBC Holdings plc | | 1.82% |
BAE Systems plc | | 1.81% |
Spark New Zealand Ltd. | | 1.79% |
BASF SE | | 1.73% |
Royal Dutch Shell plc Class A ADR | | 1.71% |
TransCanada Corp. | | 1.71% |
Holdings by Sector* | | % of Investments |
Consumer Discretionary | | 7.22% |
Consumer Staples | | 4.95% |
Energy | | 13.80% |
Financials | | 27.19% |
Health Care | | 5.87% |
Industrials | | 9.77% |
Information Technology | | 4.27% |
Materials | | 6.7% |
Real Estate | | 4.75% |
Telecommunication Services | | 7.59% |
Utilities | | 5.45% |
Repurchase Agreement | | 2.44% |
Total | | 100.00% |
* | A sector may comprise several industries. |
120
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Mid Cap Stock Fund, Inc.
Ten Largest Holdings | | % of Investments |
Citizens Financial Group, Inc. | | 2.39% |
XL Group Ltd. | | 2.25% |
Cimarex Energy Co. | | 2.12% |
Marathon Oil Corp. | | 1.91% |
E*TRADE Financial Corp. | | 1.88% |
East West Bancorp, Inc. | | 1.85% |
Portland General Electric Co. | | 1.83% |
CSRA, Inc. | | 1.80% |
Noble Energy, Inc. | | 1.80% |
Whirlpool Corp. | | 1.78% |
Holdings by Sector* | | % of Investments |
Consumer Discretionary | | 8.68% |
Consumer Staples | | 6.04% |
Energy | | 12.97% |
Financials | | 22.39% |
Health Care | | 5.48% |
Industrials | | 9.98% |
Information Technology | | 11.19% |
Materials | | 6.13% |
Real Estate | | 8.69% |
Utilities | | 2.46% |
Repurchase Agreement | | 5.99% |
Total | | 100.00% |
* | A sector may comprise several industries. |
121
Investments in Underlying Funds (unaudited)(concluded)
Lord Abbett Investment Trust Short Duration Fund, Inc.
Ten Largest Holdings | | % of Investments |
U.S. Treasury Note, 1.25%, 04/30/2019 | | 1.02% |
U.S. Treasury Note, 1.625%, 03/31/2019 | | 0.94% |
HBOS plc, 6.75%, 05/21/2018 | | 0.66% |
U.S. Treasury Note, 1.37%, 06/30/2018 | | 0.65% |
BAMLL Commercial Mortgage Securities Trust, 2.717%, 06/15/2028 | | 0.53% |
Sabine Pass Liquefaction LLC, 5.625%, 02/01/2021 | | 0.49% |
Chase Issuance Trust, 1.59%, 02/18/2020 | | 0.49% |
BellSouth LLC, 4.285%, 04/26/2018 | | 0.47% |
Ladder Capital Commercial Mortgage Securities LLC, 2.8568%, 11/14/2027 | | 0.47% |
MPLX LP, 5.5%, 02/15/2023 | | 0.46% |
Holdings by Sector* | | % of Investments |
Automotive | | 2.47% |
Basic Industry | | 0.26% |
Capital Goods | | 1.08% |
Consumer Cyclicals | | 1.73% |
Consumer Discretionary | | 0.92% |
Consumer Services | | 1.89% |
Consumer Staples | | 0.78% |
Energy | | 9.41% |
Financial Services | | 60.14% |
Foreign Government | | 0.32% |
Government | | 6.15% |
Health Care | | 2.74% |
Industrials | | 0.31% |
Integrated Oils | | 0.09% |
Materials and Processing | | 0.61% |
Municipal | | 3.38% |
Producer Durables | | 0.40% |
Technology | | 0.10% |
Telecommunications | | 1.51% |
Transportation | | 0.30% |
Utilities | | 2.36% |
Repurchase Agreement | | 0.62% |
Total | | 100.00% |
* | A sector may comprise several industries. |
122
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).
123
| | We Recycle | | |
| | This document is printed on recycled paper. | | |
| | | |
| | | |
| Go Paperless! | | |
| | Visit www.lordabbett.com to learn how to receive all your shareholder communications online. | |
This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus. | Lord Abbett Global Fund, Inc. | |
| | |
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC. | Lord Abbett Emerging Markets 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 (08/17) |
Item 3: | Audit Committee Financial Expert. |
Item 4: | Principal Accountant Fees and Services. |
Item 5: | Audit Committee of Listed Registrants. |
Item 7: | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Item 8: | Portfolio Managers of Closed-End Management Investment Companies. |
Item 9: | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Item 10: | Submission of Matters to a Vote of Security Holders. |
Item 11: | Controls and Procedures. |
| (a) | Based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days prior to the filing date of this report, the Chief Executive Officer and Chief Financial Officer of the Registrant have concluded that such disclosure controls and procedures are reasonably designed and effective to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to them by others within those entities. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
| (a)(1) | Code of Ethics. Not applicable. |
| (a)(2) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2 under the Investment Company Act of 1940 is attached hereto as a part of EX-99.CERT. |
| (b) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Section 906 of the Sarbanes-Oxley Act of 2002 is provided as a part of EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| LORD ABBETT GLOBAL FUND, INC. |
| | | |
| By: | /s/ Daria L. Foster | |
| | Daria L. Foster | |
| | President and Chief Executive Officer |
Date: August 25, 2017
| By: | /s/ Bernard J. Grzelak | |
| | Bernard J. Grzelak | |
| | Chief Financial Officer and Vice President |
Date: August 25, 2017
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 25, 2017
| By: | /s/ Bernard J. Grzelak | |
| | Bernard J. Grzelak | |
| | Chief Financial Officer and Vice President |
Date: August 25, 2017