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)
John T. Fitzgerald, Esq., Vice President & Assistant Secretary
90 Hudson Street, Jersey City, NJ 07302
(Name and address of agent for service)
Registrant’s telephone number, including area code:(888) 522-2388
Date of fiscal year end: 12/31
Date of reporting period: 6/30/2019
Item 1: | Report(s) to Shareholders. |
LORD ABBETT
SEMIANNUAL REPORT
Lord Abbett
Emerging Markets Bond Fund
Emerging Markets Corporate Debt Fund
Global Bond Fund
For the six-month period ended June 30, 2019
Important Information on Paperless Delivery
Beginning in February 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Fund’s shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer, investment advisor or bank. Instead, the reports will be made available on Lord Abbett’s website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. Shareholders who hold accounts directly with a Fund may elect to receive shareholder reports and other communications from the Fund electronically by signing into your Lord Abbett online account at lordabbett.com and selecting “Log In.” For further information, you may also contact the Funds at (800) 821-5129. Shareholders who hold accounts through a financial intermediary should contact them directly.
You may elect to receive all future reports in paper free of charge by contacting a Fund at (800) 821-5129. Your election to receive reports in paper will apply to all funds held with Lord Abbett. If your fund shares are held through a financial intermediary please contact them directly. Your election applies to all funds held with that intermediary.
Table of Contents
Lord Abbett Emerging Markets Bond Fund,
Lord Abbett Emerging Markets Corporate Debt Fund,
and Lord Abbett Global Bond Fund
Semiannual Report
For the six-month period ended June 30, 2019
From left to right: James L.L. Tullis, Independent Chairman of the Lord Abbett Funds and Douglas B. Sieg, Director, President, and Chief Executive Officer of the Lord Abbett Funds. | Dear Shareholders:We are pleased to provide you with this semiannual report for the Funds for the six-month period ended June 30, 2019. 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 inLord 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,
Douglas B. Sieg Director, President, and Chief Executive Officer |
1
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, 2019 through June 30, 2019).
Actual Expenses
For each class of each Fund, the first line of the table on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 1/1/19 – 6/30/19” 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 Bond Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | |||||||||||
1/1/19 | 6/30/19 | 1/1/19 - 6/30/19 | |||||||||||
Class A | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,120.40 | $5.05 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.03 | $4.81 | ||||||||
Class C | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,118.50 | $8.30 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,016.96 | $7.90 | ||||||||
Class F | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,121.20 | $4.00 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.03 | $3.81 | ||||||||
Class F3 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,121.60 | $3.89 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.12 | $3.71 | ||||||||
Class I | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,121.50 | $4.00 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.03 | $3.81 | ||||||||
Class R2 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,117.80 | $7.14 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.05 | $6.81 | ||||||||
Class R3 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,119.00 | $6.62 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.55 | $6.31 | ||||||||
Class R4 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,120.20 | $5.31 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.79 | $5.06 | ||||||||
Class R5 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,119.40 | $3.94 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.08 | $3.76 | ||||||||
Class R6 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,121.60 | $3.95 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.08 | $3.76 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.96% for Class A, 1.58% for Class C, 0.76% for Class F, 0.74% for Class F3, 0.76% for Class I, 1.36% for Class R2, 1.26% for Class R3, 1.01% for Class R4, 0.75% for Class R5 and 0.75% for Class R6) multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period). |
3
Portfolio Holdings Presented by Sector
June 30, 2019
Sector* | %** | |||
Banking | 4.08 | % | ||
Basic Industry | 3.36 | % | ||
Consumer Goods | 1.09 | % | ||
Energy | 14.48 | % | ||
Financial Services | 3.07 | % | ||
Foreign Government | 62.44 | % | ||
Real Estate | 0.62 | % | ||
Telecommunications | 0.51 | % | ||
Transportation | 3.23 | % | ||
U.S. Government | 2.79 | % | ||
Utility | 4.01 | % | ||
Repurchase Agreement | 0.32 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
4
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† | |||||||||||
1/1/19 - | |||||||||||||
1/1/19 | 6/30/19 | 6/30/19 | |||||||||||
Class A | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,092.00 | $5.45 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.59 | $5.26 | ||||||||
Class C | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,088.60 | $8.70 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,016.46 | $8.40 | ||||||||
Class F | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,092.50 | $4.93 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.08 | $4.76 | ||||||||
Class F3 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,093.90 | $3.67 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.12 | $3.56 | ||||||||
Class I | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,092.30 | $4.41 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.48 | $4.26 | ||||||||
Class R2 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,090.70 | $7.52 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,017.60 | $7.25 | ||||||||
Class R3 | �� | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,091.20 | $7.00 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.10 | $6.76 | ||||||||
Class R4 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,091.80 | $5.71 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.29 | $5.51 | ||||||||
Class R5 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,093.10 | $4.41 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.58 | $4.26 | ||||||||
Class R6 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,093.80 | $3.69 | ||||||||
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 (1.05% for Class A, 1.68% for Class C, 0.95% for Class F, 0.71% for Class F3, 0.85% for Class I, 1.45% for Class R2, 1.35% for Class R3, 1.10% for Class R4, 0.85% 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). |
5
Portfolio Holdings Presented by Sector
June 30, 2019
Sector* | %** | |||
Auto | 0.47 | % | ||
Basic Industry | 1.64 | % | ||
Consumer Cyclical | 1.59 | % | ||
Consumer Discretionary | 0.47 | % | ||
Consumer Services | 1.89 | % | ||
Consumer Staples | 1.36 | % | ||
Energy | 19.46 | % | ||
Financial Services | 26.59 | % | ||
Foreign Government | 3.56 | % |
Sector* | %** | |||
Health Care | 2.27 | % | ||
Materials & Processing | 17.09 | % | ||
Other | 0.95 | % | ||
Producer Durables | 1.96 | % | ||
Technology | 3.22 | % | ||
Telecommunications | 4.80 | % | ||
Transportation | 1.56 | % | ||
Utilities | 10.21 | % | ||
Repurchase Agreement | 0.91 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
6
Global 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† | |||||||||||
1/1/19 - | |||||||||||||
1/1/19 | 6/30/19 | 6/30/19 | |||||||||||
Class A | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,067.40 | $4.00 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.93 | $3.91 | ||||||||
Class C | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,063.20 | $8.08 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,016.96 | $7.90 | ||||||||
Class F | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,068.50 | $2.97 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.92 | $2.91 | ||||||||
Class F3 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,069.10 | $2.36 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.51 | $2.31 | ||||||||
Class I | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,068.50 | $2.97 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.92 | $2.91 | ||||||||
Class R3 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,065.90 | $5.53 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.44 | $5.41 | ||||||||
Class R4 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,067.20 | $4.25 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.68 | $4.16 | ||||||||
Class R5 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,068.50 | $2.97 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.92 | $2.91 | ||||||||
Class R6 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,069.10 | $2.36 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.51 | $2.31 | ||||||||
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.78% for Class A, 1.58% for Class C, 0.58% for Class F, 0.46% for Class F3, 0.58% for Class I, 1.08% for Class R3, 0.83% for Class R4, 0.58% for Class R5 and 0.46% for Class R6) multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period). |
7
Portfolio Holdings Presented by Sector
June 30, 2019
Sector* | %** | |||
Auto | 2.59 | % | ||
Basic Industry | 0.27 | % | ||
Consumer Cyclicals | 1.42 | % | ||
Consumer Discretionary | 1.80 | % | ||
Consumer Services | 2.05 | % | ||
Consumer Staples | 1.46 | % | ||
Energy | 5.97 | % | ||
Financial Services | 28.29 | % | ||
Foreign Government | 16.22 | % | ||
Health Care | 1.92 | % |
Sector* | %** | |||
Integrated Oils | 0.19 | % | ||
Materials & Processing | 2.68 | % | ||
Municipals | 0.58 | % | ||
Producer Durables | 1.55 | % | ||
Technology | 5.22 | % | ||
Telecommunications | 2.80 | % | ||
U.S. Government | 16.97 | % | ||
Utilities | 3.83 | % | ||
Repurchase Agreement | 4.19 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
8
Schedule of Investments (unaudited)
EMERGING MARKETS BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 96.84% | ||||||||||||
CORPORATE BONDS 34.62% | ||||||||||||
Banking 3.64% | ||||||||||||
Banco del Estado de Chile (Chile)†(a) | 3.875% | 2/8/2022 | $ | 455 | $ | 473,172 | ||||||
Banco do Brasil SA† | 4.625% | 1/15/2025 | 974 | 1,011,743 | ||||||||
Banco Internacional del Peru (Peru)†(a) | 3.375% | 1/18/2023 | 970 | 976,305 | ||||||||
Sberbank of Russia Via SB Capital SA (Luxembourg)†(a) | 6.125% | 2/7/2022 | 1,380 | 1,467,536 | ||||||||
State Bank of India (United Kingdom)†(a) | 4.00% | 1/24/2022 | 1,000 | 1,023,474 | ||||||||
Turkiye Garanti Bankasi AS (Turkey)†(a) | 6.25% | 4/20/2021 | 1,116 | 1,132,925 | ||||||||
Vnesheconombank via VEB Finance plc (Ireland)†(a) | 6.80% | 11/22/2025 | 580 | 639,719 | ||||||||
Total | 6,724,874 | |||||||||||
Building & Construction 0.65% | ||||||||||||
Dianjian Haiyu Ltd. (China)(a) | 3.50% (5 Yr Swap rate + 6.77% | )# | – | (b) | 1,221 | 1,207,932 | ||||||
Chemicals 1.23% | ||||||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(a) | 4.125% | 7/19/2027 | 1,130 | 1,163,081 | ||||||||
OCP SA (Morocco)†(a) | 6.875% | 4/25/2044 | 500 | 574,586 | ||||||||
Yingde Gases Investment Ltd. (Hong Kong)†(a) | 6.25% | 1/19/2023 | 525 | 534,298 | ||||||||
Total | 2,271,965 | |||||||||||
Consumer/Commercial/Lease Financing 0.55% | ||||||||||||
Shriram Transport Finance Co. Ltd. (India)†(a) | 5.95% | 10/24/2022 | 1,000 | 1,016,972 | ||||||||
Electric: Distribution/Transportation 1.71% | ||||||||||||
OmGrid Funding Ltd.† | 5.196% | 5/16/2027 | 1,180 | 1,076,848 | ||||||||
Perusahaan Listrik Negara PT (Indonesia)†(a) | 4.125% | 5/15/2027 | 930 | 950,923 | ||||||||
Perusahaan Listrik Negara PT (Indonesia)†(a) | 6.15% | 5/21/2048 | 950 | 1,130,878 | ||||||||
Total | 3,158,649 | |||||||||||
Electric: Generation 0.20% | ||||||||||||
Greenko Dutch BV (Netherlands)†(a) | 5.25% | 7/24/2024 | 377 | 371,420 | ||||||||
Electric: Integrated 2.01% | ||||||||||||
Enel Chile SA (Chile)(a) | 4.875% | 6/12/2028 | 910 | 996,450 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)†(a) | 5.75% | 1/26/2021 | 1,485 | 1,501,127 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)†(a) | 7.125% | 2/11/2025 | 1,150 | 1,208,384 | ||||||||
Total | 3,705,961 |
See Notes to Financial Statements. | 9 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Energy: Exploration & Production 3.43% | ||||||||||||
Hunt Oil Co. of Peru LLC Sucursal Del Peru (Peru)†(a) | 6.375% | 6/1/2028 | $ | 900 | $ | 1,005,300 | ||||||
KazMunayGas National Co. JSC (Kazakhstan)†(a) | 4.75% | 4/19/2027 | 1,100 | 1,181,349 | ||||||||
KazMunayGas National Co. JSC (Kazakhstan)†(a) | 6.375% | 10/24/2048 | 1,071 | 1,279,310 | ||||||||
KazTransGas JSC (Kazakhstan)†(a) | 4.375% | 9/26/2027 | 980 | 1,000,248 | ||||||||
PT Saka Energi Indonesia (Indonesia)†(a) | 4.45% | 5/5/2024 | 1,860 | 1,875,767 | ||||||||
Total | 6,341,974 | |||||||||||
Food: Wholesale 1.07% | ||||||||||||
Kernel Holding SA (Ukraine)†(a) | 8.75% | 1/31/2022 | 710 | 751,041 | ||||||||
MHP Lux SA (Luxembourg)†(a) | 6.95% | 4/3/2026 | 1,199 | 1,217,846 | ||||||||
Total | 1,968,887 | |||||||||||
Foreign Sovereign 1.31% | ||||||||||||
Petroleos de Venezuela SA (Venezuela)(a)(c) | 6.00% | 5/16/2024 | 4,280 | 684,800 | ||||||||
Petroleos Mexicanos(d) | 4.875% | 2/21/2028 | EUR | 750 | 836,153 | |||||||
Third Pakistan International Sukuk Co. Ltd. (The) (Pakistan)†(a) | 5.625% | 12/5/2022 | $ | 890 | 900,426 | |||||||
Total | 2,421,379 | |||||||||||
Forestry/Paper 0.34% | ||||||||||||
Celulosa Arauco y Constitucion SA (Chile)†(a) | 5.50% | 4/30/2049 | 600 | 633,750 | ||||||||
Gas Distribution 0.83% | ||||||||||||
Southern Gas Corridor CJSC (Azerbaijan)†(a) | 6.875% | 3/24/2026 | 955 | 1,109,649 | ||||||||
Transportadora de Gas Internacional SA ESP (Colombia)†(a) | 5.55% | 11/1/2028 | 375 | 422,250 | ||||||||
Total | 1,531,899 | |||||||||||
Integrated Energy 7.77% | ||||||||||||
Ecopetrol SA (Colombia)(a) | 7.375% | 9/18/2043 | 360 | 463,053 | ||||||||
Gazprom OAO via Gaz Capital SA (Luxembourg)†(a) | 4.95% | 2/6/2028 | 1,890 | 2,006,080 | ||||||||
Lukoil International Finance BV (Netherlands)†(a) | 4.75% | 11/2/2026 | 740 | 781,184 | ||||||||
Pertamina Persero PT (Indonesia)†(a) | 4.30% | 5/20/2023 | 730 | 763,539 | ||||||||
Pertamina Persero PT (Indonesia)†(a) | 5.625% | 5/20/2043 | 930 | 1,026,876 | ||||||||
Petroleos Mexicanos (Mexico)(a) | 4.625% | 9/21/2023 | 1,000 | 980,000 | ||||||||
Petroleos Mexicanos (Mexico)(a) | 5.35% | 2/12/2028 | 4,835 | 4,412,421 | ||||||||
Petroleos Mexicanos (Mexico)(a) | 5.50% | 6/27/2044 | 1,000 | 803,250 | ||||||||
Petroleos Mexicanos (Mexico)(a) | 6.75% | 9/21/2047 | 2,408 | 2,150,344 | ||||||||
Sinopec Group Overseas Development 2017 Ltd. (China)†(a) | 3.625% | 4/12/2027 | 930 | 962,012 | ||||||||
Total | 14,348,759 |
10 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Investments & Miscellaneous Financial Services 2.44% | ||||||||||||
AI Candelaria Spain SLU (Spain)†(a) | 7.50% | 12/15/2028 | $ | 1,250 | $ | 1,378,125 | ||||||
Charming Light Investments Ltd. | 4.375% | 12/21/2027 | 780 | 813,938 | ||||||||
China Cinda Finance 2017 I Ltd. | 4.75% | 2/8/2028 | 1,205 | 1,297,616 | ||||||||
Chinalco Capital Holdings Ltd. | 4.00% | 8/25/2021 | 1,030 | 1,026,595 | ||||||||
Total | 4,516,274 | |||||||||||
Metals/Mining (Excluding Steel) 1.06% | ||||||||||||
Corp. Nacional del Cobre de Chile (Chile)†(a) | 4.375% | 2/5/2049 | 500 | 531,805 | ||||||||
Eterna Capital Pte Ltd. PIK 1.00% (Singapore)(a) | 7.50% | 12/11/2022 | 766 | 753,911 | ||||||||
Indonesia Asahan Aluminium Persero PT (Indonesia)†(a) | 5.23% | 11/15/2021 | 410 | 432,379 | ||||||||
Indonesia Asahan Aluminium Persero PT (Indonesia)†(a) | 6.53% | 11/15/2028 | 200 | 236,561 | ||||||||
Total | 1,954,656 | |||||||||||
Oil Field Equipment & Services 0.60% | ||||||||||||
State Oil Co. of the Azerbaijan Republic (Azerbaijan)(a) | 4.75% | 3/13/2023 | 740 | 771,820 | ||||||||
State Oil Co. of the Azerbaijan Republic (Azerbaijan)(a) | 6.95% | 3/18/2030 | 290 | 344,036 | ||||||||
Total | 1,115,856 | |||||||||||
Oil Refining & Marketing 1.52% | ||||||||||||
Empresa Nacional del Petroleo (Chile)†(a) | 3.75% | 8/5/2026 | 1,536 | 1,576,283 | ||||||||
Empresa Nacional del Petroleo (Chile)†(a) | 4.50% | 9/14/2047 | 1,000 | 1,026,250 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(a) | 4.375% | 4/16/2049 | 200 | 202,903 | ||||||||
Total | 2,805,436 | |||||||||||
Rail 2.22% | ||||||||||||
China Railway Xunjie Co. Ltd. (China)(a) | 3.25% | 7/28/2026 | 1,038 | 1,035,749 | ||||||||
Kazakhstan Temir Zholy Finance BV (Netherlands)†(a) | 6.95% | 7/10/2042 | 600 | 747,314 | ||||||||
Kazakhstan Temir Zholy National Co. JSC (Kazakhstan)†(a) | 4.85% | 11/17/2027 | 760 | 811,688 | ||||||||
Rumo Luxembourg Sarl (Luxembourg)†(a) | 5.875% | 1/18/2025 | 1,415 | 1,504,711 | ||||||||
Total | 4,099,462 | |||||||||||
Real Estate Development & Management 0.60% | ||||||||||||
China Evergrande Group (China)(a) | 8.25% | 3/23/2022 | 1,150 | 1,111,568 | ||||||||
Telecommunications: Wireline Integrated & Services 0.50% | ||||||||||||
Oztel Holdings SPC Ltd. (United Arab Emirates)†(a) | 6.625% | 4/24/2028 | 930 | 914,781 |
See Notes to Financial Statements. | 11 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Transportation: Infrastructure/Services 0.94% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(a) | 4.00% | 7/30/2027 | $ | 580 | $ | 580,511 | ||||||
Aeropuerto Internacional de Tocumen SA (Panama)†(a) | 5.625% | 5/18/2036 | 816 | 922,080 | ||||||||
Transnet SOC Ltd. (South Africa)†(a) | 4.00% | 7/26/2022 | 235 | 235,643 | ||||||||
Total | 1,738,234 | |||||||||||
Total Corporate Bonds (cost $61,217,956) | 63,960,688 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 62.22% | ||||||||||||
Angola 1.89% | ||||||||||||
Angolan Government International Bond†(a) | 9.375% | 5/8/2048 | 530 | 585,663 | ||||||||
Republic of Angola†(a) | 8.25% | 5/9/2028 | 1,860 | 1,996,056 | ||||||||
Republic of Angola†(a) | 9.50% | 11/12/2025 | 790 | 908,014 | ||||||||
Total | 3,489,733 | |||||||||||
Argentina 3.88% | ||||||||||||
Province of Santa Fe†(a) | 6.90% | 11/1/2027 | 550 | 440,006 | ||||||||
Province of Santa Fe†(a) | 7.00% | 3/23/2023 | 985 | 854,487 | ||||||||
Provincia de Buenos Aires†(a) | 9.125% | 3/16/2024 | 700 | 588,007 | ||||||||
Provincia de Cordoba†(a) | 7.125% | 6/10/2021 | 950 | 831,250 | ||||||||
Provincia of Neuquen Argentina†(a) | 7.50% | 4/27/2025 | 1,040 | 878,800 | ||||||||
Republic of Argentina(d) | 3.375% | 1/15/2023 | EUR | 860 | 764,918 | |||||||
Republic of Argentina(a) | 6.875% | 4/22/2021 | $ | 365 | 321,383 | |||||||
Republic of Argentina(a) | 7.50% | 4/22/2026 | 834 | 703,904 | ||||||||
Republic of Argentina(a) | 8.28% | 12/31/2033 | 2,138 | 1,793,359 | ||||||||
Total | 7,176,114 | |||||||||||
Bahamas 0.68% | ||||||||||||
Commonwealth of Bahamas†(a) | 5.75% | 1/16/2024 | 1,173 | 1,255,110 | ||||||||
Bahrain 0.86% | ||||||||||||
Bahrain Government International Bond†(a) | 6.75% | 9/20/2029 | 979 | 1,037,592 | ||||||||
Bahrain Government International Bond†(a) | 7.50% | 9/20/2047 | 525 | 557,382 | ||||||||
Total | 1,594,974 | |||||||||||
Benin 0.32% | ||||||||||||
Benin Government International Bond†(d) | 5.75% | 3/26/2026 | EUR | 500 | 581,342 | |||||||
Bermuda 0.55% | ||||||||||||
Government of Bermuda† | 3.717% | 1/25/2027 | $ | 1,000 | 1,023,760 |
12 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Brazil 0.91% | ||||||||||||
Federal Republic of Brazil(a) | 4.625% | 1/13/2028 | $ | 562 | $ | 590,522 | ||||||
Federal Republic of Brazil(a) | 5.00% | 1/27/2045 | 1,100 | 1,088,323 | ||||||||
Total | 1,678,845 | |||||||||||
Chile 0.57% | ||||||||||||
Government of Chile(a) | 3.50% | 1/25/2050 | 1,028 | 1,049,588 | ||||||||
Colombia 2.83% | ||||||||||||
Republic of Colombia(a) | 3.875% | 4/25/2027 | 1,810 | 1,890,093 | ||||||||
Republic of Colombia(a) | 5.00% | 6/15/2045 | 3,010 | 3,329,060 | ||||||||
Total | 5,219,153 | |||||||||||
Costa Rica 1.26% | ||||||||||||
Costa Rica Government†(a) | 4.25% | 1/26/2023 | 818 | 808,806 | ||||||||
Costa Rica Government†(a) | 4.375% | 4/30/2025 | 485 | 466,211 | ||||||||
Costa Rica Government†(a) | 5.625% | 4/30/2043 | 1,220 | 1,059,887 | ||||||||
Total | 2,334,904 | |||||||||||
Dominican Republic 3.16% | ||||||||||||
Dominican Republic†(a) | 6.40% | 6/5/2049 | 1,000 | 1,048,760 | ||||||||
Dominican Republic†(a) | 5.95% | 1/25/2027 | 2,660 | 2,876,125 | ||||||||
Dominican Republic†(a) | 6.85% | 1/27/2045 | 1,740 | 1,908,362 | ||||||||
Total | 5,833,247 | |||||||||||
Ecuador 2.56% | ||||||||||||
Republic of Ecuador†(a) | 7.875% | 1/23/2028 | 2,000 | 1,985,020 | ||||||||
Republic of Ecuador†(a) | 8.75% | 6/2/2023 | 2,507 | 2,745,190 | ||||||||
Total | 4,730,210 | |||||||||||
Egypt 2.78% | ||||||||||||
Arab Republic of Egypt†(a) | 6.125% | 1/31/2022 | 1,860 | 1,921,650 | ||||||||
Arab Republic of Egypt†(a) | 6.588% | 2/21/2028 | 2,105 | 2,129,092 | ||||||||
Arab Republic of Egypt†(a) | 7.903% | 2/21/2048 | 1,070 | 1,087,172 | ||||||||
Total | 5,137,914 | |||||||||||
El Salvador 1.59% | ||||||||||||
Republic of EI Salvador†(a) | 6.375% | 1/18/2027 | 2,942 | 2,945,707 | ||||||||
Ghana 1.63% | ||||||||||||
Republic of Ghana†(a) | 7.875% | 8/7/2023 | 1,332 | 1,447,799 | ||||||||
Republic of Ghana(a) | 7.875% | 3/26/2027 | 850 | 896,750 | ||||||||
Republic of Ghana†(a) | 8.627% | 6/16/2049 | 650 | 657,166 | ||||||||
Total | 3,001,715 |
See Notes to Financial Statements. | 13 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Guatemala 1.12% | ||||||||||||
Republic of Guatemala†(a) | 4.90% | 6/1/2030 | $ | 500 | $ | 515,000 | ||||||
Republic of Guatemala†(a) | 6.125% | 6/1/2050 | 600 | 630,756 | ||||||||
Republic of Guatemala†(a) | 4.375% | 6/5/2027 | 925 | 926,156 | ||||||||
Total | 2,071,912 | |||||||||||
Honduras 0.39% | ||||||||||||
Honduras Government†(a) | 6.25% | 1/19/2027 | 675 | 728,163 | ||||||||
Indonesia 1.67% | ||||||||||||
Republic of Indonesia†(d) | 3.75% | 6/14/2028 | EUR | 744 | 1,012,256 | |||||||
Republic of Indonesia†(a) | 4.75% | 1/8/2026 | $ | 835 | 910,140 | |||||||
Republic of Indonesia(a) | 4.75% | 2/11/2029 | 500 | 555,900 | ||||||||
Republic of Indonesia(a) | 5.35% | 2/11/2049 | 500 | 599,426 | ||||||||
Total | 3,077,722 | |||||||||||
Ivory Coast 1.18% | ||||||||||||
Ivory Coast Bond†(a) | 6.375% | 3/3/2028 | 2,200 | 2,183,034 | ||||||||
Jamaica 1.01% | ||||||||||||
Government of Jamaica(a) | 7.875% | 7/28/2045 | 1,507 | 1,864,928 | ||||||||
Kazakhstan 0.81% | ||||||||||||
Republic of Kazakhstan†(a) | 3.875% | 10/14/2024 | 422 | 448,035 | ||||||||
Republic of Kazakhstan†(a) | 4.875% | 10/14/2044 | 915 | 1,055,894 | ||||||||
Total | 1,503,929 | |||||||||||
Kenya 1.42% | ||||||||||||
Republic of Kenya†(a) | 7.00% | 5/22/2027 | 700 | 732,375 | ||||||||
Republic of Kenya†(a) | 7.25% | 2/28/2028 | 936 | 972,487 | ||||||||
Republic of Kenya†(a) | 8.25% | 2/28/2048 | 874 | 912,115 | ||||||||
Total | 2,616,977 | |||||||||||
Lebanon 1.38% | ||||||||||||
Republic of Lebanon(a) | 6.65% | 2/26/2030 | 3,298 | 2,548,398 | ||||||||
Mexico 1.26% | ||||||||||||
United Mexican States(a) | 4.75% | 3/8/2044 | 2,220 | 2,323,230 | ||||||||
Mongolia 0.75% | ||||||||||||
Development Bank of Mongolia LLC†(a) | 7.25% | 10/23/2023 | 422 | 440,552 | ||||||||
Republic of Mongolia†(a) | 5.125% | 12/5/2022 | 930 | 939,939 | ||||||||
Total | 1,380,491 |
14 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Nigeria 2.41% | ||||||||||||
Republic of Nigeria†(a) | 6.375% | 7/12/2023 | $ | 926 | $ | 981,597 | ||||||
Republic of Nigeria†(a) | 6.50% | 11/28/2027 | 2,573 | 2,582,602 | ||||||||
Republic of Nigeria†(a) | 9.248% | 1/21/2049 | 774 | 878,160 | ||||||||
Total | 4,442,359 | |||||||||||
Oman 1.73% | ||||||||||||
Oman Government International Bond†(a) | 4.75% | 6/15/2026 | 2,109 | 1,955,340 | ||||||||
Oman Government International Bond†(a) | 6.75% | 1/17/2048 | 1,400 | 1,238,954 | ||||||||
Total | 3,194,294 | |||||||||||
Pakistan 1.57% | ||||||||||||
Pakistan Government International Bond†(a) | 6.875% | 12/5/2027 | 525 | 531,562 | ||||||||
Pakistan Government International Bond†(a) | 8.25% | 4/15/2024 | 2,161 | 2,368,305 | ||||||||
Total | 2,899,867 | |||||||||||
Paraguay 1.01% | ||||||||||||
Republic of Paraguay†(a) | 5.40% | 3/30/2050 | 1,000 | 1,113,135 | ||||||||
Republic of Paraguay†(a) | 4.70% | 3/27/2027 | 690 | 749,088 | ||||||||
Total | 1,862,223 | |||||||||||
Peru 0.27% | ||||||||||||
Republic of Peru(a) | 2.844% | 6/20/2030 | 500 | 503,000 | ||||||||
Qatar 2.51% | ||||||||||||
State of Qatar†(a) | 3.375% | 3/14/2024 | 1,000 | 1,034,625 | ||||||||
State of Qatar†(a) | 4.817% | 3/14/2049 | 584 | 670,780 | ||||||||
State of Qatar†(a) | 3.25% | 6/2/2026 | 2,376 | 2,448,121 | ||||||||
State of Qatar†(a) | 5.103% | 4/23/2048 | 411 | 490,631 | ||||||||
Total | 4,644,157 | |||||||||||
Russia 1.17% | ||||||||||||
Russian Federation†(a) | 4.25% | 6/23/2027 | 600 | 620,444 | ||||||||
Russian Federation†(a) | 5.25% | 6/23/2047 | 1,400 | 1,549,163 | ||||||||
Total | 2,169,607 | |||||||||||
Saudi Arabia 2.16% | ||||||||||||
Saudi International Bond†(a) | 3.25% | 10/26/2026 | 2,061 | 2,105,724 | ||||||||
Saudi International Bond†(a) | 5.00% | 4/17/2049 | 1,723 | 1,891,061 | ||||||||
Total | 3,996,785 | |||||||||||
Senegal 1.07% | ||||||||||||
Republic of Senegal†(a) | 6.25% | 5/23/2033 | 1,128 | 1,093,943 | ||||||||
Republic of Senegal†(a) | 6.25% | 7/30/2024 | 817 | 877,550 | ||||||||
Total | 1,971,493 |
See Notes to Financial Statements. | 15 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
South Africa 1.48% | ||||||||||||
Republic of South Africa(a) | 4.30% | 10/12/2028 | $ | 1,946 | $ | 1,915,302 | ||||||
Republic of South Africa(a) | 6.30% | 6/22/2048 | 750 | 826,466 | ||||||||
Total | 2,741,768 | |||||||||||
Sri Lanka 2.28% | ||||||||||||
Republic of Sri Lanka†(a) | 7.85% | 3/14/2029 | 650 | 671,829 | ||||||||
Republic of Sri Lanka†(a) | 5.75% | 4/18/2023 | 1,531 | 1,520,382 | ||||||||
Republic of Sri Lanka†(a) | 5.875% | 7/25/2022 | 570 | 572,757 | ||||||||
Republic of Sri Lanka†(a) | 6.25% | 10/4/2020 | 888 | 900,204 | ||||||||
Republic of Sri Lanka†(a) | 7.55% | 3/28/2030 | 550 | 551,463 | ||||||||
Total | 4,216,635 | |||||||||||
Turkey 4.06% | ||||||||||||
Export Credit Bank of Turkey†(a) | 4.25% | 9/18/2022 | 325 | 305,191 | ||||||||
Export Credit Bank of Turkey†(a) | 5.375% | 2/8/2021 | 200 | 197,709 | ||||||||
Export Credit Bank of Turkey†(a) | 8.25% | 1/24/2024 | 450 | 471,194 | ||||||||
Republic of Turkey(a) | 3.25% | 3/23/2023 | 1,625 | 1,483,518 | ||||||||
Republic of Turkey(a) | 4.25% | 4/14/2026 | 838 | 733,793 | ||||||||
Republic of Turkey(a) | 5.625% | 3/30/2021 | 1,451 | 1,474,188 | ||||||||
Republic of Turkey(a) | 5.75% | 5/11/2047 | 1,150 | 966,913 | ||||||||
Republic of Turkey(a) | 7.00% | 6/5/2020 | 1,000 | 1,023,940 | ||||||||
Republic of Turkey(a) | 7.25% | 12/23/2023 | 806 | 834,464 | ||||||||
Total | 7,490,910 | |||||||||||
Ukraine 2.25% | ||||||||||||
Ukraine Government†(d) | 6.75% | 6/20/2026 | EUR | 250 | 301,846 | |||||||
Ukraine Government†(a) | 7.375% | 9/25/2032 | $ | 1,759 | 1,734,005 | |||||||
Ukraine Government†(a) | 7.75% | 9/1/2021 | 550 | 576,020 | ||||||||
Ukraine Government†(a) | 8.994% | 2/1/2024 | 1,420 | 1,550,467 | ||||||||
Total | 4,162,338 | |||||||||||
Uruguay 0.56% | ||||||||||||
Republic of Uruguay(a) | 4.975% | 4/20/2055 | 930 | 1,028,822 | ||||||||
Uzbekistan 0.57% | ||||||||||||
Republic of Uzbekistan†(a) | 4.75% | 2/20/2024 | 1,000 | 1,047,414 | ||||||||
Venezuela 0.47% | ||||||||||||
Republic of Venezuela(a)(c) | 12.75% | 8/23/2022 | 2,985 | 865,650 |
16 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Vietnam 0.19% | ||||||||||||
Socialist Republic of Vietnam†(a) | 4.80% | 11/19/2024 | $ | 328 | $ | 349,637 | ||||||
Total Foreign Government Obligations (cost $109,558,346) | 114,938,059 | |||||||||||
Total Long-Term Investments (cost $170,776,302) | 178,898,747 | |||||||||||
SHORT-TERM INVESTMENTS 0.86% | ||||||||||||
FOREIGN GOVERNMENT OBLIGATION 0.55% | ||||||||||||
Egypt Treasury Bills(d) (cost $973,989) | Zero Coupon | 9/10/2019 | EGP | 17,500 | 1,017,549 | |||||||
REPURCHASE AGREEMENT 0.31% | ||||||||||||
Repurchase Agreement dated 6/28/2019, 1.45% due 7/1/2019 with Fixed Income Clearing Corp. collateralized by $575,000 of U.S. Treasury Note at 2.75% due 9/15/2021; value: $592,108; proceeds: $579,966 (cost $579,896) | $ | 580 | 579,896 | |||||||||
Total Short-Term Investments (cost $1,553,885) | 1,597,445 | |||||||||||
Total Investments in Securities 97.70% (cost $172,330,187) | 180,496,192 | |||||||||||
Cash, Foreign Cash and Other Assets in Excess of Liabilities(e)2.30% | 4,248,220 | |||||||||||
Net Assets 100.00% | $ | 184,744,412 |
EGP | Egyptian pound. | |
EUR | Euro. | |
PIK | Payment-in-kind. | |
† | 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, 2019. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Security is perpetual in nature and has no stated maturity. | |
(c) | Defaulted (non-income producing security). | |
(d) | Investment in non-U.S. dollar denominated securities. | |
(e) | Cash, Foreign Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
See Notes to Financial Statements. | 17 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS BOND FUNDJune 30, 2019
Centrally Cleared Credit Default Swaps on Indexes - Sell Protection June 30, 2019(1):
Referenced Index | Central Clearing party | Fund Receives (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Depreciation(3) | ||||||||||||||||
Markit CDX. NA.EM.31(4)(5) | Credit Suisse | 1.00% | 6/20/2024 | $ | 7,665,000 | $ | 7,423,166 | $ | (238,768 | ) | $ | (3,066 | ) |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. | |
(2) | Upfront payments received by Central Clearing Party are presented net of amortization (See Note 2(n)). | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $3,066. | |
(4) | Central Clearinghouse: Intercontinental Exchange (ICE). | |
(5) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of emerging markets sovereign issuers. |
Credit Default Swaps on Issuer - Sell Protection at June 30, 2019(1):
Referenced Issuer | Swap Counterparty | Fund Receives (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Depreciation(3) | Credit Default Swap Agreements Payable at Fair Value(4) | ||||||||||||||||||
Petroleos Mexicanos(5) | Citibank | 1.00% | 6/20/2020 | $ | 905,000 | $ | 897,517 | $ | (3,533 | ) | $ | (3,950 | ) | $ | (7,483 | ) |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. | |
(2) | Upfront payments received are presented net of amortization (See Note 2(n)). | |
(3) | Total unrealized appreciation on Credit Default Swaps on Issuers amounted to $0. Total unrealized depreciation on Credit Default Swaps on Issuers amounted to $3,950. | |
(4) | Includes upfront payments received. | |
(5) | Moody’s Credit Rating: Baa3. |
Open Forward Foreign Currency Exchange Contracts at June 30, 2019:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | ||||||||||||||||
euro | Sell | State Street Bank and Trust | 8/14/2019 | 2,750,000 | $ | 3,112,879 | $ | 3,137,877 | $ | (24,998 | ) | ||||||||||||
euro | Sell | Toronto Dominion Bank | 9/9/2019 | 257,000 | 290,010 | 293,822 | (3,812 | ) | |||||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (28,810 | ) |
18 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
EMERGING MARKETS BOND FUNDJune 30, 2019
Open Futures Contracts at June 30, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
Euro-Bobl | September 2019 | 2 | Long | EUR | 267,784 | EUR | 268,880 | $ | 1,247 | |||||||||
U.S. 2-Year Treasury Note | September 2019 | 43 | Long | $ | 9,199,728 | $ | 9,252,727 | 52,999 | ||||||||||
U.S. 5-Year Treasury Note | September 2019 | 24 | Long | 2,829,856 | 2,835,750 | 5,894 | ||||||||||||
U.S. Long Bond | September 2019 | 54 | Long | 8,231,721 | 8,402,063 | 170,342 | ||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 230,482 | ||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
Euro-Bund | September 2019 | 9 | Short | EUR | (1,538,534 | ) | EUR | (1,554,660 | ) | $ | (18,337 | ) | ||||||
U.S. 10-Year Ultra Treasury Bond | September 2019 | 16 | Short | $ | (2,185,570 | ) | $ | (2,210,000 | ) | (24,430 | ) | |||||||
Ultra Long U.S. Treasury | September 2019 | 12 | Short | (2,099,463 | ) | (2,130,750 | ) | (31,287 | ) | |||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (74,054 | ) |
The following is a summary of the inputs used as of June 30, 2019 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Corporate Bonds | $ | – | $ | 63,960,688 | $ | – | $ | 63,960,688 | ||||||||
Foreign Government Obligations | – | 114,938,059 | – | 114,938,059 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreement | – | 579,896 | – | 579,896 | ||||||||||||
Foreign Government Obligation | – | 1,017,549 | – | 1,017,549 | ||||||||||||
Total | $ | – | $ | 180,496,192 | $ | – | $ | 180,496,192 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (3,066 | ) | – | (3,066 | ) | ||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (7,483 | ) | – | (7,483 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (28,810 | ) | – | (28,810 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 230,482 | – | – | 230,482 | ||||||||||||
Liabilities | (74,054 | ) | – | – | (74,054 | ) | ||||||||||
Total | $ | 156,428 | $ | (39,359 | ) | $ | – | $ | 117,069 |
(1) | Refer to Note 2(q) 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. |
See Notes to Financial Statements. | 19 |
Schedule of Investments (unaudited)
EMERGING MARKETS CORPORATE DEBT FUNDJune 30, 2019
Investments | Shares (000) | Fair Value | ||||||||||
LONG-TERM INVESTMENTS 98.18% | ||||||||||||
COMMON STOCK 0.07% | ||||||||||||
Metals & Minerals: Miscellaneous | ||||||||||||
Vedanta Ltd. ADR (cost $57,262) | 3 | $ | 28,689 | |||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
CONVERTIBLE BOND 0.21% | ||||||||||||
Technology | ||||||||||||
Ctrip.com International Ltd. (China)(a) (cost $96,100) | 1.00% | 7/1/2020 | $ | 95 | 93,887 | |||||||
CORPORATE BONDS 93.89% | ||||||||||||
Aerospace/Defense 0.62% | ||||||||||||
Embraer Netherlands Finance BV (Netherlands)(a) | 5.05% | 6/15/2025 | 248 | 268,305 | ||||||||
Air Transportation 0.48% | ||||||||||||
Latam Finance Ltd.† | 7.00% | 3/1/2026 | 200 | 209,300 | ||||||||
Auto Parts: Original Equipment 0.47% | ||||||||||||
Nemak SAB de CV (Mexico)†(a) | 4.75% | 1/23/2025 | 200 | 203,500 | ||||||||
Banks: Regional 14.05% | ||||||||||||
ADCB Finance Cayman Ltd.† | 4.00% | 3/29/2023 | 200 | 208,703 | ||||||||
Alfa Bank AO Via Alfa Bond Issuance plc (Ireland)(a) | 6.95% | #(b) | – | (c) | 250 | 246,575 | ||||||
Alfa Bank AO Via Alfa Bond Issuance plc (Ireland)†(a) | 7.75% | 4/28/2021 | 200 | 214,243 | ||||||||
Banco BBVA Peru SA (Peru)(a) | 5.00% | 8/26/2022 | 200 | 212,252 | ||||||||
Banco de Bogota SA (Colombia)†(a) | 4.375% | 8/3/2027 | 200 | 206,252 | ||||||||
Banco de Credito e Inversiones SA (Chile)†(a) | 3.50% | 10/12/2027 | 200 | 202,127 | ||||||||
Banco do Brasil SA† | 4.625% | 1/15/2025 | 200 | 207,750 | ||||||||
Banco do Brasil SA† | 6.25% | #(b) | – | (c) | 200 | 190,850 | ||||||
Banco Mercantil del Norte SA† | 7.625% (10 Yr Treasury CMT + 5.35% | )# | – | (c) | 200 | 205,500 | ||||||
Bancolombia SA (Colombia)(a) | 5.95% | 6/3/2021 | 150 | 158,820 | ||||||||
Bangkok Bank plc (Hong Kong)†(a) | 5.00% | 10/3/2023 | 200 | 217,659 | ||||||||
Banistmo SA (Panama)†(a) | 3.65% | 9/19/2022 | 200 | 201,250 | ||||||||
Bank of China Hong Kong Ltd. (Hong Kong)†(a) | 5.90% | #(b) | – | (c) | 200 | 213,393 | ||||||
Bank of China Ltd. (China)†(a) | 5.00% | 11/13/2024 | 200 | 215,390 |
20 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
BBVA Bancomer SA† | 5.125% | #(b) | 1/18/2033 | $ | 250 | $ | 241,500 | |||||
National Savings Bank (Sri Lanka)†(a) | 5.15% | 9/10/2019 | 200 | 200,100 | ||||||||
NBK SPC Ltd. (United Arab Emirates)†(a) | 2.75% | 5/30/2022 | 200 | 200,027 | ||||||||
QNB Finansbank AS (Turkey)†(a) | 4.875% | 5/19/2022 | 200 | 196,220 | ||||||||
Sberbank of Russia Via SB Capital SA (Luxembourg)†(a) | 5.25% | 5/23/2023 | 250 | 260,008 | ||||||||
Sberbank of Russia Via SB Capital SA (Luxembourg)†(a) | 6.125% | 2/7/2022 | 200 | 212,686 | ||||||||
TBC Bank JSC (Germany)†(a) | 5.75% | 6/19/2024 | 200 | 199,250 | ||||||||
Turkiye Garanti Bankasi AS (Turkey)†(a) | 6.25% | 4/20/2021 | 400 | 406,066 | ||||||||
Turkiye Is Bankasi AS (Turkey)†(a) | 5.00% | 4/30/2020 | 400 | 399,413 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(a) | 6.875% | #(b) | 2/3/2025 | 300 | 269,172 | |||||||
Woori Bank (South Korea)†(a) | 4.75% | 4/30/2024 | 200 | 213,884 | ||||||||
Zenith Bank plc (Nigeria)†(a) | 7.375% | 5/30/2022 | 400 | 425,306 | ||||||||
Total | 6,124,396 | |||||||||||
Business Services 1.77% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(a)(d) | 4.375% | 7/3/2029 | 200 | 203,100 | ||||||||
Autopistas del Sol SA (Costa Rica)†(a) | 7.375% | 12/30/2030 | 190 | 192,286 | ||||||||
DP World plc (United Arab Emirates)†(a) | 6.85% | 7/2/2037 | 300 | 377,676 | ||||||||
Total | 773,062 | |||||||||||
Chemicals 5.69% | ||||||||||||
Braskem Netherlands Finance BV (Netherlands)†(a) | 4.50% | 1/10/2028 | 200 | 203,050 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(a) | 3.50% | 7/19/2022 | 400 | 402,769 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(a) | 4.125% | 7/19/2027 | 200 | 205,855 | ||||||||
Equate Petrochemical BV (Netherlands)†(a) | 3.00% | 3/3/2022 | 200 | 200,045 | ||||||||
GC Treasury Center Co., Ltd. (Thailand)†(a) | 4.25% | 9/19/2022 | 200 | 208,389 | ||||||||
Mexichem SAB de CV (Mexico)†(a) | 5.50% | 1/15/2048 | 200 | 199,000 | ||||||||
OCP SA (Morocco)†(a) | 6.875% | 4/25/2044 | 200 | 229,834 | ||||||||
Phosagro OAO Via Phosagro Bond Funding DAC (Ireland)†(a) | 3.949% | 4/24/2023 | 200 | 201,797 | ||||||||
SABIC Capital II BV (Netherlands)†(a) | 4.00% | 10/10/2023 | 200 | 208,250 | ||||||||
SASOL Financing USA LLC | 5.875% | 3/27/2024 | 200 | 216,776 | ||||||||
Yingde Gases Investment Ltd. (Hong Kong)†(a) | 6.25% | 1/19/2023 | 200 | 203,542 | ||||||||
Total | 2,479,307 |
See Notes to Financial Statements. | 21 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Coal 1.35% | ||||||||||||
Eterna Capital Pte Ltd. PIK 1.00% (Singapore)(a) | 7.50% | 12/11/2022 | $ | 122 | $ | 119,748 | ||||||
Eterna Capital Pte Ltd. PIK 8.00% (Singapore)(a) | 8.00% | 12/11/2022 | 331 | 270,765 | ||||||||
Indika Energy Capital III Pte Ltd. (Singapore)†(a) | 5.875% | 11/9/2024 | 200 | 196,294 | ||||||||
Total | 586,807 | |||||||||||
Computer Hardware 0.48% | ||||||||||||
HT Global IT Solutions Holdings Ltd. (Mauritius)†(a) | 7.00% | 7/14/2021 | 200 | 207,400 | ||||||||
Computer Software 0.47% | ||||||||||||
Marble II Pte Ltd. (Singapore)†(a) | 5.30% | 6/20/2022 | 200 | 203,109 | ||||||||
Containers 0.49% | ||||||||||||
Klabin Austria GmbH (Austria)†(a) | 7.00% | 4/3/2049 | 200 | 211,760 | ||||||||
Diversified 0.94% | ||||||||||||
CK Hutchison International 17 Ltd.† | 3.50% | 4/5/2027 | 200 | 206,792 | ||||||||
Grupo KUO SAB De CV (Mexico)†(a) | 5.75% | 7/7/2027 | 200 | 203,500 | ||||||||
Total | 410,292 | |||||||||||
Drugs 1.79% | ||||||||||||
Teva Pharmaceutical Finance Co. BV (Curacao)(a) | 3.65% | 11/10/2021 | 200 | 193,250 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(a) | 2.80% | 7/21/2023 | 250 | 217,500 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(a) | 3.15% | 10/1/2026 | 170 | 132,600 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(a) | 6.00% | 4/15/2024 | 250 | 236,719 | ||||||||
Total | 780,069 | |||||||||||
Electric: Power 10.12% | ||||||||||||
Abu Dhabi National Energy Co. PJSC (United Arab Emirates)†(a) | 4.875% | 4/23/2030 | 200 | 220,294 | ||||||||
Adani Transmission Ltd. (India)†(a) | 4.00% | 8/3/2026 | 200 | 200,839 | ||||||||
Celeo Redes Operacion Chile SA (Chile)†(a) | 5.20% | 6/22/2047 | 196 | 204,275 | ||||||||
Cemig Geracao e Transmissao SA (Brazil)†(a) | 9.25% | 12/5/2024 | 248 | 285,200 | ||||||||
Emirates Semb Corp., Water & Power Co. PJSC (United Arab Emirates)†(a) | 4.45% | 8/1/2035 | 200 | 210,118 | ||||||||
Energuate Trust (Guatemala)†(a) | 5.875% | 5/3/2027 | 200 | 205,250 | ||||||||
Engie Energia Chile SA (Chile)†(a) | 4.50% | 1/29/2025 | 200 | 210,883 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)†(a) | 5.75% | 1/26/2021 | 400 | 404,344 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)†(a) | 6.35% | 8/10/2028 | 200 | 216,904 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)†(a) | 7.125% | 2/11/2025 | 200 | 210,154 | ||||||||
Greenko Investment Co. (India)†(a) | 4.875% | 8/16/2023 | 200 | 194,992 |
22 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Infraestructura Energetica Nova SAB de CV (Mexico)†(a) | 4.875% | 1/14/2048 | $ | 200 | $ | 178,000 | ||||||
Israel Electric Corp. Ltd. (Israel)†(a) | 4.25% | 8/14/2028 | 250 | 261,060 | ||||||||
Minejesa Capital BV (Netherlands)†(a) | 4.625% | 8/10/2030 | 200 | 203,011 | ||||||||
Pampa Energia SA (Argentina)†(a) | 7.50% | 1/24/2027 | 200 | 186,000 | ||||||||
Perusahaan Listrik Negara PT (Indonesia)†(a) | 6.15% | 5/21/2048 | 200 | 238,080 | ||||||||
Saudi Electricity Global Sukuk Co. 3 (South Africa)†(a) | 5.50% | 4/8/2044 | 400 | 446,286 | ||||||||
Stoneway Capital Corp. (Argentina)†(a) | 10.00% | 3/1/2027 | 185 | 175,385 | ||||||||
Terraform Global Operating LLC† | 6.125% | 3/1/2026 | 157 | 158,178 | ||||||||
Total | 4,409,253 | |||||||||||
Energy Equipment & Services 0.26% | ||||||||||||
Rio Energy SA/UGEN SA/UENSA SA (Argentina)†(a) | 6.875% | 2/1/2025 | 150 | 114,451 | ||||||||
Engineering & Contracting Services 1.92% | ||||||||||||
Aeropuerto Internacional de Tocumen SA (Panama)†(a) | 6.00% | 11/18/2048 | 200 | 236,350 | ||||||||
China Railway Resources Huitung Ltd. (Hong Kong)(a) | 3.85% | 2/5/2023 | 200 | 207,208 | ||||||||
Delhi International Airport Ltd. (India)†(a) | 6.125% | 10/31/2026 | 200 | 210,710 | ||||||||
GMR Hyderabad International Airport Ltd. (India)†(a) | 4.25% | 10/27/2027 | 200 | 182,934 | ||||||||
Total | 837,202 | |||||||||||
Financial Services 2.89% | ||||||||||||
Banco BTG Pactual SA† | 7.75% | #(b) | 2/15/2029 | 200 | 209,250 | |||||||
China Cinda Finance 2017 I Ltd. | 4.10% | 3/9/2024 | 200 | 208,183 | ||||||||
Huarong Finance 2017 Co. Ltd. (Hong Kong)(a) | 4.50% | #(b) | – | (c) | 200 | 201,428 | ||||||
Power Finance Corp. Ltd. (India)†(a) | 6.15% | 12/6/2028 | 200 | 230,282 | ||||||||
Shriram Transport Finance Co. Ltd. (India)†(a) | 5.95% | 10/24/2022 | 200 | 203,394 | ||||||||
SURA Asset Management SA (Colombia)†(a) | 4.375% | 4/11/2027 | 200 | 207,802 | ||||||||
Total | 1,260,339 | |||||||||||
Food 1.35% | ||||||||||||
Arcor SAIC (Argentina)†(a) | 6.00% | 7/6/2023 | 185 | 184,093 | ||||||||
BRF GmbH (Austria)†(a) | 4.35% | 9/29/2026 | 200 | 194,000 | ||||||||
NBM US Holdings, Inc.† | 7.00% | 5/14/2026 | 200 | 211,050 | ||||||||
Total | 589,143 | |||||||||||
Health Care Services 0.46% | ||||||||||||
Rede D’or Finance Sarl (Luxembourg)†(a) | 4.95% | 1/17/2028 | 200 | 199,250 | ||||||||
Household Equipment/Products 0.46% | ||||||||||||
Turkiye Sise ve Cam Fabrikalari AS (Turkey)†(a) | 6.95% | 3/14/2026 | 200 | 201,672 |
See Notes to Financial Statements. | 23 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Investment Management Companies 0.98% | ||||||||||||
Grupo de Inversiones Suramericana SA (Colombia)†(a) | 5.50% | 4/29/2026 | $ | 200 | $ | 218,500 | ||||||
Huarong Finance II Co. Ltd. (Hong Kong)(a) | 4.625% | 6/3/2026 | 200 | 207,414 | ||||||||
Total | 425,914 | |||||||||||
Lodging 0.59% | ||||||||||||
MGM China Holdings Ltd. (Macao)†(a) | 5.875% | 5/15/2026 | 250 | 257,187 | ||||||||
Machinery: Agricultural 1.94% | ||||||||||||
JBS Investments II GmbH (Austria)†(a) | 7.00% | 1/15/2026 | 200 | 217,100 | ||||||||
Kernel Holding SA (Ukraine)†(a) | 8.75% | 1/31/2022 | 200 | 211,561 | ||||||||
MHP Lux SA (Luxembourg)†(a) | 6.95% | 4/3/2026 | 200 | 203,144 | ||||||||
MHP SE (Ukraine)†(a) | 7.75% | 5/10/2024 | 200 | 213,328 | ||||||||
Total | 845,133 | |||||||||||
Media 1.87% | ||||||||||||
Altice Luxembourg SA (Luxembourg)†(a) | 10.50% | 5/15/2027 | 200 | 206,000 | ||||||||
Grupo Televisa SAB (Mexico)(a) | 6.625% | 1/15/2040 | 132 | 158,691 | ||||||||
Prosus Nv (South Africa)†(a) | 4.85% | 7/6/2027 | 200 | 214,169 | ||||||||
Summer BidCo BV†(e) | 9.00% | 11/15/2025 | EUR | 200 | 238,297 | |||||||
Total | 817,157 | |||||||||||
Metals & Minerals: Miscellaneous 6.62% | ||||||||||||
AngloGold Ashanti Holdings plc (United Kingdom)(a) | 6.50% | 4/15/2040 | $ | 150 | 163,030 | |||||||
Barminco Finance Pty Ltd. (Australia)†(a) | 6.625% | 5/15/2022 | 66 | 68,186 | ||||||||
Chinalco Capital Holdings Ltd. | 4.00% | 8/25/2021 | 200 | 199,339 | ||||||||
First Quantum Minerals Ltd. (Canada)†(a) | 7.00% | 2/15/2021 | 62 | 63,356 | ||||||||
First Quantum Minerals Ltd. (Canada)†(a) | 7.25% | 5/15/2022 | 200 | 199,000 | ||||||||
First Quantum Minerals Ltd. (Canada)†(a) | 7.50% | 4/1/2025 | 200 | 191,250 | ||||||||
Fresnillo plc (Mexico)†(a) | 5.50% | 11/13/2023 | 200 | 218,650 | ||||||||
Indonesia Asahan Aluminium Persero PT (Indonesia)†(a) | 5.71% | 11/15/2023 | 200 | 219,622 | ||||||||
Indonesia Asahan Aluminium Persero PT (Indonesia)†(a) | 6.53% | 11/15/2028 | 200 | 236,561 | ||||||||
MMC Norilsk Nickel OJSC via MMC Finance DAC (Ireland)†(a) | 4.10% | 4/11/2023 | 200 | 201,992 | ||||||||
Nexa Resources SA (Brazil)†(a) | 5.375% | 5/4/2027 | 200 | 210,950 | ||||||||
Press Metal Labuan Ltd. (Malaysia)(a) | 4.80% | 10/30/2022 | 200 | 197,893 | ||||||||
Southern Copper Corp. (Peru)(a) | 5.875% | 4/23/2045 | 240 | 283,392 | ||||||||
Vedanta Resources Finance II plc (United Kingdom)†(a) | 9.25% | 4/23/2026 | 200 | 203,457 | ||||||||
Vedanta Resources Ltd. (India)†(a) | 6.125% | 8/9/2024 | 250 | 230,597 | ||||||||
Total | 2,887,275 |
24 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Natural Gas 1.35% | ||||||||||||
China Oil & Gas Group Ltd. (Hong Kong)(a) | 5.00% | 5/7/2020 | $ | 200 | $ | 201,250 | ||||||
Gas Natural de Lima y Callao SA (Peru)†(a) | 4.375% | 4/1/2023 | 200 | 206,752 | ||||||||
Nakilat, Inc. (Qatar)†(a) | 6.267% | 12/31/2033 | 158 | 181,751 | ||||||||
Total | 589,753 | |||||||||||
Oil 12.72% | ||||||||||||
CNOOC Finance 2015 USA LLC | 3.50% | 5/5/2025 | 200 | 206,369 | ||||||||
Dolphin Energy Ltd. LLC (United Arab Emirates)†(a) | 5.50% | 12/15/2021 | 200 | 212,386 | ||||||||
Ecopetrol SA (Colombia)(a) | 4.125% | 1/16/2025 | 425 | 440,938 | ||||||||
Ecopetrol SA (Colombia)(a) | 5.875% | 5/28/2045 | 303 | 336,224 | ||||||||
Gazprom OAO via Gaz Capital SA (Luxembourg)†(a) | 4.95% | 2/6/2028 | 400 | 424,567 | ||||||||
Hunt Oil Co. of Peru LLC Sucursal Del Peru (Peru)†(a) | 6.375% | 6/1/2028 | 200 | 223,400 | ||||||||
Lukoil International Finance BV (Netherlands)†(a) | 4.75% | 11/2/2026 | 200 | 211,131 | ||||||||
Medco Platinum Road Pte Ltd. (Singapore)†(a) | 6.75% | 1/30/2025 | 250 | 249,872 | ||||||||
Petrobras Global Finance BV (Netherlands)(a) | 5.999% | 1/27/2028 | 587 | 624,862 | ||||||||
Petrobras Global Finance BV (Netherlands)(a) | 6.90% | 3/19/2049 | 131 | 139,777 | ||||||||
Petrobras Global Finance BV (Netherlands)(a) | 7.25% | 3/17/2044 | 340 | 381,143 | ||||||||
Petroleos Mexicanos (Mexico)(a) | 4.625% | 9/21/2023 | 127 | 124,460 | ||||||||
Petroleos Mexicanos (Mexico)(a) | 5.50% | 6/27/2044 | 47 | 37,753 | ||||||||
PT Saka Energi Indonesia (Indonesia)†(a) | 4.45% | 5/5/2024 | 200 | 201,695 | ||||||||
Reliance Industries Ltd. (India)†(a) | 4.125% | 1/28/2025 | 250 | 261,368 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(a) | 4.375% | 4/16/2049 | 200 | 202,902 | ||||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(a) | 4.00% | 8/15/2026 | 200 | 203,999 | ||||||||
Tullow Oil plc (United Kingdom)†(a) | 7.00% | 3/1/2025 | 200 | 203,750 | ||||||||
Tupras Turkiye Petrol Rafinerileri AS (Turkey)†(a) | 4.50% | 10/18/2024 | 200 | 181,806 | ||||||||
YPF SA (Argentina)†(a) | 6.95% | 7/21/2027 | 740 | 674,103 | ||||||||
Total | 5,542,505 | |||||||||||
Oil: Crude Producers 3.12% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(a) | 4.60% | 11/2/2047 | 200 | 220,108 | ||||||||
AI Candelaria Spain SLU (Spain)†(a) | 7.50% | 12/15/2028 | 250 | 275,625 | ||||||||
GNL Quintero SA (Chile)†(a) | 4.634% | 7/31/2029 | 200 | 212,500 | ||||||||
Peru LNG Srl (Peru)†(a) | 5.375% | 3/22/2030 | 200 | 215,700 | ||||||||
Transportadora de Gas del Peru SA (Peru)†(a) | 4.25% | 4/30/2028 | 200 | 209,590 | ||||||||
Transportadora de Gas Internacional SA ESP (Colombia)†(a) | 5.55% | 11/1/2028 | 200 | 225,200 | ||||||||
Total | 1,358,723 |
See Notes to Financial Statements. | 25 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Paper & Forest Products 1.14% | ||||||||||||
Celulosa Arauco y Constitucion SA (Chile)†(a) | 5.50% | 4/30/2049 | $ | 200 | $ | 211,250 | ||||||
Suzano Austria GmbH (Brazil)†(a) | 7.00% | 3/16/2047 | 250 | 285,000 | ||||||||
Total | 496,250 | |||||||||||
Real Estate Investment Trusts 7.11% | ||||||||||||
China Evergrande Group (China)(a) | 6.25% | 6/28/2021 | 400 | 384,712 | ||||||||
China Evergrande Group (China)(a) | 10.00% | 4/11/2023 | 200 | 194,110 | ||||||||
China Overseas Finance Cayman V Ltd. | 3.95% | 11/15/2022 | 200 | 206,983 | ||||||||
China Overseas Finance Cayman V Ltd. | 5.35% | 11/15/2042 | 200 | 231,433 | ||||||||
Country Garden Holdings Co. Ltd. (China)(a) | 4.75% | 1/17/2023 | 400 | 392,248 | ||||||||
IRSA Propiedades Comerciales SA (Argentina)†(a) | 8.75% | 3/23/2023 | 100 | 96,501 | ||||||||
Kaisa Group Holdings Ltd. (China)(a) | 9.375% | 6/30/2024 | 400 | 364,617 | ||||||||
MAF Sukuk Ltd. | 4.50% | 11/3/2025 | 200 | 208,103 | ||||||||
Shimao Property Holdings Ltd. (Hong Kong)(a) | 4.75% | 7/3/2022 | 200 | 201,723 | ||||||||
Sunac China Holdings Ltd. (China)(a) | 8.625% | 7/27/2020 | 200 | 206,244 | ||||||||
Swire Properties MTN Financing Ltd. (Hong Kong)(a) | 3.625% | 1/13/2026 | 200 | 206,823 | ||||||||
Theta Capital Pte Ltd. (Singapore)(a) | 7.00% | 4/11/2022 | 200 | 200,918 | ||||||||
Trust F/1401 (Mexico)†(a) | 6.39% | 1/15/2050 | 200 | 205,500 | ||||||||
Total | 3,099,915 | |||||||||||
Retail 0.98% | ||||||||||||
Arcos Dorados Holdings, Inc. (Uruguay)†(a) | 5.875% | 4/4/2027 | 220 | 227,702 | ||||||||
SACI Falabella (Chile)†(a) | 3.75% | 10/30/2027 | 200 | 200,400 | ||||||||
Total | 428,102 | |||||||||||
Steel 2.16% | ||||||||||||
ABJA Investment Co. Pte Ltd. (Singapore)(a) | 5.95% | 7/31/2024 | 200 | 209,237 | ||||||||
CSN Resources SA (Brazil)†(a) | 7.625% | 2/13/2023 | 200 | 211,750 | ||||||||
CSN Resources SA (Brazil)†(a) | 7.625% | 4/17/2026 | 200 | 212,667 | ||||||||
Novolipetsk Steel via Steel Funding DAC (Ireland)†(a) | 4.00% | 9/21/2024 | 250 | 250,580 | ||||||||
Vale Overseas Ltd. (Brazil)(a) | 6.25% | 8/10/2026 | 50 | 57,048 | ||||||||
Total | 941,282 | |||||||||||
Technology 1.42% | ||||||||||||
Alibaba Group Holding Ltd. (China)(a) | 3.60% | 11/28/2024 | 200 | 208,663 | ||||||||
Tencent Holdings Ltd. (China)†(a) | 3.80% | 2/11/2025 | 200 | 208,350 | ||||||||
Weibo Corp. (China)(a)(d) | 3.50% | 7/5/2024 | 200 | 201,109 | ||||||||
Total | 618,122 |
26 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Telecommunications 4.76% | ||||||||||||
America Movil SAB de CV (Mexico)(a) | 4.375% | 4/22/2049 | $ | 200 | $ | 215,892 | ||||||
Bharti Airtel Ltd. (India)†(a) | 4.375% | 6/10/2025 | 200 | 202,357 | ||||||||
Emirates Telecommunications Group Co. PJSC (United Arab Emirates)(a) | 3.50% | 6/18/2024 | 200 | 205,028 | ||||||||
Millicom International Cellular SA (Luxembourg)†(a) | 6.625% | 10/15/2026 | 200 | 218,230 | ||||||||
Ooredoo International Finance Ltd.† | 3.25% | 2/21/2023 | 200 | 202,543 | ||||||||
Ooredoo International Finance Ltd.† | 3.875% | 1/31/2028 | 200 | 208,425 | ||||||||
Oztel Holdings SPC Ltd. (United Arab Emirates)†(a) | 6.625% | 4/24/2028 | 200 | 196,727 | ||||||||
SK Telecom Co. Ltd. (South Korea)†(a) | 3.75% | 4/16/2023 | 200 | 207,827 | ||||||||
Telefonica Celular del Paraguay SA (Paraguay)†(a) | 5.875% | 4/15/2027 | 200 | 209,000 | ||||||||
WTT Investment Ltd. (Hong Kong)†(a) | 5.50% | 11/21/2022 | 200 | 207,225 | ||||||||
Total | 2,073,254 | |||||||||||
Transportation: Miscellaneous 1.07% | ||||||||||||
Kazakhstan Temir Zholy Finance BV (Netherlands)†(a) | 6.95% | 7/10/2042 | 200 | 249,105 | ||||||||
Rumo Luxembourg Sarl (Luxembourg)†(a) | 7.375% | 2/9/2024 | 200 | 216,352 | ||||||||
Total | 465,457 | |||||||||||
Total Corporate Bonds (cost $39,698,786) | 40,914,646 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 4.01% | ||||||||||||
Angola 0.53% | ||||||||||||
Republic of Angola†(a) | 9.50% | 11/12/2025 | 200 | 229,877 | ||||||||
Egypt 0.57% | ||||||||||||
Arab Republic of Egypt†(a) | 6.125% | 1/31/2022 | 200 | 206,629 | ||||||||
Egypt Treasury Bills(e) | Zero Coupon | 9/10/2019 | EGP | 725 | 42,156 | |||||||
Total | 248,785 | |||||||||||
Indonesia 0.48% | ||||||||||||
Republic of Indonesia(a) | 4.125% | 1/15/2025 | $ | 200 | 210,607 | |||||||
Mongolia 0.48% | ||||||||||||
Development Bank of Mongolia LLC†(a) | 7.25% | 10/23/2023 | 200 | 208,792 | ||||||||
�� | ||||||||||||
Nigeria 0.46% | ||||||||||||
Republic of Nigeria†(a) | 6.50% | 11/28/2027 | 200 | 200,746 | ||||||||
Qatar 0.53% | ||||||||||||
State of Qatar†(a) | 4.817% | 3/14/2049 | 200 | 229,719 | ||||||||
South Korea 0.48% | ||||||||||||
Korea Gas Corp.†(a) | 3.875% | 2/12/2024 | 200 | 211,411 |
See Notes to Financial Statements. | 27 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Turkey 0.48% | ||||||||||||
Export Credit Bank of Turkey†(a) | 8.25% | 1/24/2024 | $ | 200 | $ | 209,419 | ||||||
Total Foreign Government Obligations (cost $1,682,810) | 1,749,356 | |||||||||||
Total Long-Term Investments (cost $41,534,958) | 42,786,578 | |||||||||||
SHORT-TERM INVESTMENT 0.91% | ||||||||||||
REPURCHASE AGREEMENT 0.91% | ||||||||||||
Repurchase Agreement dated 6/28/2019, 1.45% due 7/1/2019 with Fixed Income Clearing Corp. collateralized by $395,000 of U.S. Treasury Note at 2.75% due 9/15/2021; value: $406,752; proceeds: $395,223 (cost $395,175) | 395 | 395,175 | ||||||||||
Total Short-Term Investments (cost $395,175) | 395,175 | |||||||||||
Total Investments in Securities 99.09% (cost $41,930,133) | 43,181,753 | |||||||||||
Cash and Other Assets in Excess of Liabilities(f) 0.91% | 397,360 | |||||||||||
Net Assets 100.00% | $ | 43,579,113 |
EGP | Egyptian pound | |
EUR | Euro. | |
ADR | American Depositary Receipt. | |
CMT | Constant Maturity Rate. | |
PIK | Payment-in-kind. | |
† | 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, 2019. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(c) | Security is perpetual in nature and has no stated maturity. | |
(d) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(e) | Investment in non-U.S. dollar denominated securities. | |
(f) | 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: |
28 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CORPORATE DEBT FUNDJune 30, 2019
Credit Default Swaps on Issuer - Sell Protection at June 30, 2019(1):
Credit | ||||||||||||||||||||||||||
Default | ||||||||||||||||||||||||||
Swap | ||||||||||||||||||||||||||
Fund | Agreements | |||||||||||||||||||||||||
Referenced | Swap | Receives | Termination | Notional | Notional | Payments | Unrealized | Payable at | ||||||||||||||||||
Issuer | Counterparty | (Quarterly) | Date | Amount | Value | Upfront(2) | Depreciation(3) | Fair Value(4) | ||||||||||||||||||
Petroleos Mexicanos(5) | Citibank | 1.00% | 6/20/2020 | $45,000 | $44,628 | $(176 | ) | $(196 | ) | $(372 | ) |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. | |
(2) | Upfront payments received are presented net of amortization (See Note 2(n)). | |
(3) | Total unrealized appreciation on Credit Default Swaps on Issuers amounted to $0. Total unrealized depreciation on Credit Default Swaps on Issuers amounted to $196. | |
(4) | Includes upfront payments received. | |
(5) | Moody’s Credit Rating: Baa3. |
Open Forward Foreign Currency Exchange Contracts at June 30, 2019:
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 | 8/14/2019 | 199,000 | $225,635 | $227,068 | $(1,433 | ) |
Open Futures Contracts at June 30, 2019:
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Appreciation | ||||||||||||
U.S. 2-Year Treasury Note | September 2019 | 16 | Long | $ | 3,423,155 | $ | 3,442,875 | $ | 19,720 | |||||||||
U.S. 5-Year Treasury Note | September 2019 | 8 | Long | 933,389 | 945,249 | 11,860 | ||||||||||||
U.S. Long Bond | September 2019 | 9 | Long | 1,371,953 | 1,400,343 | 28,390 | ||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 59,970 | ||||||||||||||||
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Depreciation | ||||||||||||
U.S. 10-Year Treasury Note | September 2019 | 12 | Short | $ | (1,509,542 | ) | $ | (1,535,625 | ) | $ | (26,083 | ) | ||||||
U.S. 10-Year Ultra Treasury Bond | September 2019 | 13 | Short | (1,763,643 | ) | (1,795,625 | ) | (31,982 | ) | |||||||||
U.S. Ultra Treasury Bond | September 2019 | 12 | Short | (2,075,792 | ) | (2,130,750 | ) | (54,958 | ) | |||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (113,023 | ) |
See Notes to Financial Statements. | 29 |
Schedule of Investments (unaudited)(concluded)
EMERGING MARKETS CORPORATE DEBT FUNDJune 30, 2019
The following is a summary of the inputs used as of June 30, 2019 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Common Stock | $ | 28,689 | $ | – | $ | – | $ | 28,689 | ||||||||
Convertible Bond | – | 93,887 | – | 93,887 | ||||||||||||
Corporate Bonds | – | 40,914,646 | – | 40,914,646 | ||||||||||||
Foreign Government Obligations | – | 1,749,356 | – | 1,749,356 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Repurchase Agreement | – | 395,175 | – | 395,175 | ||||||||||||
Total | $ | 28,689 | $ | 43,153,064 | $ | – | $ | 43,181,753 | ||||||||
Other Financial Instruments | ||||||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (372 | ) | – | (372 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (1,433 | ) | – | (1,433 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 59,970 | – | – | 59,970 | ||||||||||||
Liabilities | (113,023 | ) | – | – | (113,023 | ) | ||||||||||
Total | $ | (53,053 | ) | $ | (1,805 | ) | $ | – | $ | (54,858 | ) |
(1) | Refer to Note 2(q) 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. |
30 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
GLOBAL BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 102.43% | ||||||||||||
ASSET-BACKED SECURITIES 10.08% | ||||||||||||
Automobiles 5.11% | ||||||||||||
AmeriCredit Automobile Receivables 2015-4 D | 3.72% | 12/8/2021 | $ | 15 | $ | 15,162 | ||||||
Capital Auto Receivables Asset Trust 2018-1 A3† | 2.79% | 1/20/2022 | 50 | 50,123 | ||||||||
Chesapeake Funding II LLC 2018-2A A2 | 2.859% (1 Mo. LIBOR + .37% | )# | 8/15/2030 | 89 | 88,675 | |||||||
CPS Auto Receivables Trust 2016-C D† | 5.92% | 6/15/2022 | 100 | 103,229 | ||||||||
Drive Auto Receivables Trust 2018-4 B | 3.36% | 10/17/2022 | 50 | 50,229 | ||||||||
Drive Auto Receivables Trust 2018-4 C | 3.66% | 11/15/2024 | 16 | 16,224 | ||||||||
Exeter Automobile Receivables Trust 2015-1A D† | 5.83% | 12/15/2021 | 100 | 100,550 | ||||||||
Ford Credit Auto Owner Trust 2014-2 A† | 2.31% | 4/15/2026 | 100 | 99,930 | ||||||||
Santander Drive Auto Receivables Trust 2018-3 D | 4.07% | 8/15/2024 | 21 | 21,675 | ||||||||
Total | 545,797 | |||||||||||
Credit Cards 4.12% | ||||||||||||
American Express Credit Account Master Trust 2018-1 A | 2.67% | 10/17/2022 | 100 | 100,325 | ||||||||
BA Credit Card Trust 2017-A1 | 1.95% | 8/15/2022 | 25 | 24,952 | ||||||||
Barclays Dryrock Issuance Trust 2016-1 A | 1.52% | 5/16/2022 | 100 | 99,959 | ||||||||
Chase Issuance Trust 2016-A5 | 1.27% | 7/15/2021 | 100 | 99,959 | ||||||||
Discover Card Execution Note Trust 2015-A2 A | 1.90% | 10/17/2022 | 100 | 99,768 | ||||||||
Synchrony Credit Card Master Note Trust 2018-2 A | 3.47% | 5/15/2026 | 15 | 15,727 | ||||||||
Total | 440,690 | |||||||||||
Other 0.85% | ||||||||||||
Ally Master Owner Trust 2018-4 A | 3.30% | 7/17/2023 | 89 | 90,757 | ||||||||
Total Asset-Backed Securities (cost $1,069,587) | 1,077,244 | |||||||||||
CONVERTIBLE BOND 0.06% | ||||||||||||
Oil 0.06% | ||||||||||||
Denbury Resources, Inc.† | 6.375% | 12/31/2024 | 10 | 6,438 | ||||||||
Total Convertible Bonds (cost $13,538) | 6,438 | |||||||||||
CORPORATE BONDS 51.99% | ||||||||||||
Aerospace/Defense 0.77% | ||||||||||||
Bombardier, Inc. (Canada)†(a) | 7.50% | 3/15/2025 | 20 | 20,131 | ||||||||
Embraer Netherlands Finance BV (Netherlands)(a) | 5.05% | 6/15/2025 | 20 | 21,637 | ||||||||
Kratos Defense & Security Solutions, Inc.† | 6.50% | 11/30/2025 | 5 | 5,388 | ||||||||
TransDigm, Inc.† | 6.25% | 3/15/2026 | 33 | 34,609 | ||||||||
Total | 81,765 |
See Notes to Financial Statements. | 31 |
Schedule of Investments (unaudited)(continued)
GLOBAL BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Apparel 0.22% | ||||||||||||
Under Armour, Inc. | 3.25% | 6/15/2026 | $ | 5 | $ | 4,721 | ||||||
William Carter Co. (The)† | 5.625% | 3/15/2027 | 18 | 18,922 | ||||||||
Total | 23,643 | |||||||||||
Auto Parts: Original Equipment 0.22% | ||||||||||||
American Axle & Manufacturing, Inc. | 6.50% | 4/1/2027 | 10 | 10,013 | ||||||||
Titan International, Inc. | 6.50% | 11/30/2023 | 15 | 13,087 | ||||||||
Total | 23,100 | |||||||||||
Automotive 2.58% | ||||||||||||
Aston Martin Capital Holdings Ltd. (Jersey)†(a) | 6.50% | 4/15/2022 | 20 | 20,150 | ||||||||
BMW US Capital LLC Co.(b) | 2.00% | 11/20/2019 | GBP | 40 | 51,005 | |||||||
General Motors Co. | 6.75% | 4/1/2046 | $ | 30 | 33,966 | |||||||
Hyundai Capital America† | 3.45% | 3/12/2021 | 24 | 24,269 | ||||||||
JB Poindexter & Co., Inc.† | 7.125% | 4/15/2026 | 5 | 5,125 | ||||||||
Mclaren Finance plc(b) | 5.00% | 8/1/2022 | GBP | 100 | 123,183 | |||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | $ | 20 | 17,625 | |||||||
Total | 275,323 | |||||||||||
Banks: Regional 6.21% | ||||||||||||
CIT Group, Inc. | 6.125% | 3/9/2028 | 18 | 20,520 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 15 | 19,656 | ||||||||
ING Groep NV(b) | 1.125% | 2/14/2025 | EUR | 100 | 117,730 | |||||||
KBC Group NV(b) | 1.125% | 1/25/2024 | EUR | 100 | 117,845 | |||||||
Lloyds Bank plc (United Kingdom)†(a) | 6.50% | 9/14/2020 | $ | 100 | 104,371 | |||||||
Macquarie Bank Ltd. (Australia)†(a) | 6.625% | 4/7/2021 | 50 | 53,393 | ||||||||
Macquarie Group Ltd. (Australia)†(a) | 3.763% | #(c) | 11/28/2028 | 50 | 50,956 | |||||||
Nordea Eiendomskreditt AS(b) | 4.25% | 6/16/2021 | NOK | 500 | 61,366 | |||||||
Popular, Inc. | 6.125% | 9/14/2023 | $ | 16 | 17,020 | |||||||
Royal Bank of Canada (Canada)(a) | 2.30% | 3/22/2021 | 50 | 50,248 | ||||||||
Santander UK Group Holdings plc (United Kingdom)(a) | 3.125% | 1/8/2021 | 50 | 50,331 | ||||||||
Total | 663,436 | |||||||||||
Building Materials 0.70% | ||||||||||||
Martin Marietta Materials, Inc. | 2.887% (3 Mo. LIBOR + .50% | )# | 12/20/2019 | 75 | 75,053 | |||||||
Business Services 1.70% | ||||||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 11 | 9,818 | ||||||||
Cardtronics, Inc./Cardtronics USA, Inc.† | 5.50% | 5/1/2025 | 10 | 10,000 | ||||||||
NESCO LLC/NESCO Finance Corp.† | 6.875% | 2/15/2021 | 5 | 4,925 |
32 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
GLOBAL BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Business Services (continued) | ||||||||||||
Techem Verwaltungsgesellschaft 674 mbH†(b) | 6.00% | 7/30/2026 | EUR | 100 | $ | 120,934 | ||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | $ | 10 | 10,225 | |||||||
United Rentals North America, Inc. | 5.50% | 5/15/2027 | 20 | 21,100 | ||||||||
Weight Watchers International, Inc.† | 8.625% | 12/1/2025 | 5 | 4,600 | ||||||||
Total | 181,602 | |||||||||||
Chemicals 0.45% | ||||||||||||
Ashland LLC | 6.875% | 5/15/2043 | 10 | 10,875 | ||||||||
CF Industries, Inc. | 5.15% | 3/15/2034 | 12 | 11,760 | ||||||||
OCI NV (Netherlands)†(a) | 6.625% | 4/15/2023 | 20 | 20,900 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 5 | 4,650 | ||||||||
Total | 48,185 | |||||||||||
Coal 0.09% | ||||||||||||
CONSOL Energy, Inc.† | 11.00% | 11/15/2025 | 5 | 5,425 | ||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 4 | 4,173 | ||||||||
Total | 9,598 | |||||||||||
Computer Hardware 0.48% | ||||||||||||
Banff Merger Sub, Inc.† | 9.75% | 9/1/2026 | 10 | 8,725 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 30 | 37,959 | ||||||||
Western Digital Corp. | 4.75% | 2/15/2026 | 5 | 4,918 | ||||||||
Total | 51,602 | |||||||||||
Computer Software 2.47% | ||||||||||||
Fidelity National Information Services, Inc.(b) | 1.50% | 5/21/2027 | EUR | 100 | 118,787 | |||||||
InterXion Holding NV†(b) | 4.75% | 6/15/2025 | EUR | 100 | 124,119 | |||||||
MSCI, Inc.† | 5.375% | 5/15/2027 | $ | 10 | 10,725 | |||||||
TIBCO Software, Inc.† | 11.375% | 12/1/2021 | 10 | 10,631 | ||||||||
Total | 264,262 | |||||||||||
Construction/Homebuilding 0.73% | ||||||||||||
Century Communities, Inc. | 5.875% | 7/15/2025 | 5 | 5,050 | ||||||||
Century Communities, Inc.† | 6.75% | 6/1/2027 | 15 | 15,244 | ||||||||
PulteGroup, Inc. | 5.50% | 3/1/2026 | 5 | 5,419 | ||||||||
Toll Brothers Finance Corp. | 4.875% | 3/15/2027 | 5 | 5,270 | ||||||||
TRI Pointe Group, Inc. | 5.25% | 6/1/2027 | 17 | 16,447 | ||||||||
William Lyon Homes, Inc. | 6.00% | 9/1/2023 | 10 | 10,200 | ||||||||
William Lyon Homes, Inc. | 7.00% | 8/15/2022 | 15 | 15,094 | ||||||||
Williams Scotsman International, Inc.† | 7.875% | 12/15/2022 | 5 | 5,262 | ||||||||
Total | 77,986 |
See Notes to Financial Statements. | 33 |
Schedule of Investments (unaudited)(continued)
GLOBAL BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Containers 0.05% | ||||||||||||
W/S Packaging Holdings, Inc.† | 9.00% | 4/15/2023 | $ | 5 | $ | 5,444 | ||||||
Drugs 1.19% | ||||||||||||
Bausch Health Cos, Inc.(b) | 4.50% | 5/15/2023 | EUR | 100 | 115,445 | |||||||
Elanco Animal Health, Inc. | 4.90% | 8/28/2028 | $ | 10 | 11,172 | |||||||
Total | 126,617 | |||||||||||
Electric: Power 4.13% | ||||||||||||
AES Corp. (The) | 5.125% | 9/1/2027 | 5 | 5,287 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(a) | 4.35% | 8/1/2028 | 30 | 31,909 | ||||||||
Calpine Corp. | 5.50% | 2/1/2024 | 20 | 19,875 | ||||||||
Clearway Energy Operating LLC† | 5.75% | 10/15/2025 | 5 | 5,094 | ||||||||
Engie SA(b) | 1.375% | 2/28/2029 | EUR | 100 | 123,738 | |||||||
ESB Finance DAC(b) | 6.50% | 3/5/2020 | GBP | 50 | 65,692 | |||||||
NRG Energy, Inc. | 5.75% | 1/15/2028 | $ | 10 | 10,762 | |||||||
Origin Energy Finance Ltd. (Australia)†(a) | 5.45% | 10/14/2021 | 33 | 34,902 | ||||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(a) | 5.375% | 5/1/2021 | 25 | 25,876 | ||||||||
Puget Energy, Inc. | 5.625% | 7/15/2022 | 26 | 27,894 | ||||||||
Southern Power Co.† | 2.937% (3 Mo. LIBOR + .55% | )# | 12/20/2020 | 51 | 51,018 | |||||||
Toronto Hydro Corp.(b) | 3.54% | 11/18/2021 | CAD | 50 | 39,630 | |||||||
Total | 441,677 | |||||||||||
Electrical: Household 0.05% | ||||||||||||
Energizer Holdings, Inc.† | 6.375% | 7/15/2026 | $ | 5 | 5,150 | |||||||
Electronics 0.39% | ||||||||||||
Itron, Inc.† | 5.00% | 1/15/2026 | 15 | 15,375 | ||||||||
Trimble, Inc. | 4.90% | 6/15/2028 | 25 | 26,796 | ||||||||
Total | 42,171 | |||||||||||
Engineering & Contracting Services 0.09% | ||||||||||||
Brand Industrial Services, Inc.† | 8.50% | 7/15/2025 | 10 | 9,113 | ||||||||
Entertainment 1.70% | ||||||||||||
Boyne USA, Inc.† | 7.25% | 5/1/2025 | 5 | 5,437 | ||||||||
Buena Vista Gaming Authority† | 13.00% | 4/1/2023 | 5 | 5,350 | ||||||||
CPUK Finance Ltd.(b) | 3.588% | 8/28/2025 | GBP | 100 | 135,958 | |||||||
Eldorado Resorts, Inc. | 6.00% | 4/1/2025 | $ | 3 | 3,169 | |||||||
Enterprise Development Authority (The)† | 12.00% | 7/15/2024 | 5 | 5,450 | ||||||||
Penn National Gaming, Inc.† | 5.625% | 1/15/2027 | 5 | 4,950 |
34 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
GLOBAL BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Entertainment (continued) | ||||||||||||
Stars Group Holdings BV/Stars Group USCo-Borrower LLC (Netherlands)†(a) | 7.00% | 7/15/2026 | $ | 20 | $ | 21,200 | ||||||
Total | 181,514 | |||||||||||
Financial Services 1.92% | ||||||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 10 | 13,267 | ||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.† | 5.25% | 10/1/2025 | 5 | 5,025 | ||||||||
Lincoln Financing SARL†(b) | 3.625% | 4/1/2024 | EUR | 100 | 118,000 | |||||||
Navient Corp. | 6.75% | 6/25/2025 | $ | 20 | 20,750 | |||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 50 | 47,893 | ||||||||
Total | 204,935 | |||||||||||
Food 1.57% | ||||||||||||
Albertsons Cos LLC/Safeway, Inc./Albertsons LP/Albertson’s LLC | 6.625% | 6/15/2024 | 10 | 10,412 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 11 | 10,340 | ||||||||
Fresh Market, Inc. (The)† | 9.75% | 5/1/2023 | 7 | 4,795 | ||||||||
Ingles Markets, Inc. | 5.75% | 6/15/2023 | 5 | 5,138 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 6.75% | 2/15/2028 | 5 | 5,450 | ||||||||
Kerry Group Financial Service Unitd Co.(b) | 2.375% | 9/10/2025 | EUR | 100 | 127,035 | |||||||
Matterhorn Merger Sub LLC/Matterhorn Finance Sub, Inc.† | 8.50% | 6/1/2026 | $ | 5 | 4,463 | |||||||
Total | 167,633 | |||||||||||
Government 1.95% | ||||||||||||
African Development Bank(b) | 3.35% | 8/8/2028 | AUD | 84 | 66,106 | |||||||
European Investment Bank(b) | 1.125% | 4/13/2033 | EUR | 22 | 27,845 | |||||||
International Finance Corp.(b) | 4.25% | 8/21/2023 | AUD | 60 | 47,000 | |||||||
OPB Finance Trust(b) | 2.98% | 1/25/2027 | CAD | 84 | 67,401 | |||||||
Total | 208,352 | |||||||||||
Health Care Services 0.88% | ||||||||||||
AHP Health Partners, Inc.† | 9.75% | 7/15/2026 | $ | 5 | 5,413 | |||||||
Centene Corp.† | 5.375% | 6/1/2026 | 15 | 15,806 | ||||||||
CHS/Community Health Systems, Inc. | 8.00% | 11/15/2019 | 10 | 9,856 | ||||||||
Hadrian Merger Sub, Inc.† | 8.50% | 5/1/2026 | 5 | 4,738 | ||||||||
Molina Healthcare, Inc.† | 4.875% | 6/15/2025 | 10 | 10,187 | ||||||||
Polaris Intermediate Corp. PIK 8.50%† | 8.50% | 12/1/2022 | 10 | 8,875 | ||||||||
Surgery Center Holdings, Inc.† | 6.75% | 7/1/2025 | 5 | 4,350 |
See Notes to Financial Statements. | 35 |
Schedule of Investments (unaudited)(continued)
GLOBAL BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Services (continued) | ||||||||||||
Tenet Healthcare Corp. | 7.00% | 8/1/2025 | $ | 20 | $ | 20,000 | ||||||
WellCare Health Plans, Inc. | 5.25% | 4/1/2025 | 10 | 10,462 | ||||||||
West Street Merger Sub, Inc.† | 6.375% | 9/1/2025 | 5 | 4,650 | ||||||||
Total | 94,337 | |||||||||||
Insurance 0.50% | ||||||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 5 | 5,403 | ||||||||
Genworth Holdings, Inc. | 4.90% | 8/15/2023 | 10 | 8,650 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 30 | 35,116 | ||||||||
York Risk Services Holding Corp.† | 8.50% | 10/1/2022 | 5 | 4,137 | ||||||||
Total | 53,306 | |||||||||||
Investment Management Companies 0.48% | ||||||||||||
BrightSphere Investment Group plc (United Kingdom)(a) | 4.80% | 7/27/2026 | 50 | 50,921 | ||||||||
Leisure 1.11% | ||||||||||||
Piaggio & C SpA(b) | 3.625% | 4/30/2025 | EUR | 100 | 118,776 | |||||||
Machinery: Agricultural 0.30% | ||||||||||||
BAT Capital Corp. | 3.398% (3 Mo. LIBOR + .88% | )# | 8/15/2022 | $ | 28 | 28,086 | ||||||
Pyxus International, Inc. | 9.875% | 7/15/2021 | 5 | 4,325 | ||||||||
Total | 32,411 | |||||||||||
Machinery: Industrial/Specialty 0.29% | ||||||||||||
Cloud Crane LLC† | 10.125% | 8/1/2024 | 5 | 5,387 | ||||||||
RBS Global, Inc./Rexnord LLC† | 4.875% | 12/15/2025 | 25 | 25,375 | ||||||||
Total | 30,762 | |||||||||||
Manufacturing 0.47% | ||||||||||||
General Electric Co. | 3.10% | 1/9/2023 | 2 | 2,018 | ||||||||
General Electric Co. | 3.15% | 9/7/2022 | 3 | 3,040 | ||||||||
General Electric Co. | 3.375% | 3/11/2024 | 2 | 2,051 | ||||||||
General Electric Co. | 3.397% (3 Mo. LIBOR + .80% | )# | 4/15/2020 | 25 | 25,078 | |||||||
General Electric Co. | 3.45% | 5/15/2024 | 1 | 1,024 | ||||||||
General Electric Co. | 6.15% | 8/7/2037 | 15 | 17,440 | ||||||||
Total | 50,651 | |||||||||||
Media 2.21% | ||||||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | 20 | 20,375 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.875% | 5/1/2027 | 25 | 26,437 |
36 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
GLOBAL BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media (continued) | ||||||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | $ | 35 | $ | 47,930 | ||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 16 | 15,720 | ||||||||
EW Scripps Co. (The)† | 5.125% | 5/15/2025 | 5 | 4,813 | ||||||||
Gray Television, Inc.† | 7.00% | 5/15/2027 | 17 | 18,488 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (d) | 100 | 102,435 | |||||||
Total | 236,198 | |||||||||||
Metals & Minerals: Miscellaneous 0.58% | ||||||||||||
Barminco Finance Pty Ltd. (Australia)†(a) | 6.625% | 5/15/2022 | 5 | 5,166 | ||||||||
Freeport-McMoRan, Inc. | 3.875% | 3/15/2023 | 10 | 10,025 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(a) | 5.55% | 10/25/2042 | 20 | 20,712 | ||||||||
Newmont Goldcorp Corp.† | 3.70% | 3/15/2023 | 25 | 25,939 | ||||||||
Total | 61,842 | |||||||||||
Oil 5.49% | ||||||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 10 | 9,750 | ||||||||
California Resources Corp.† | 8.00% | 12/15/2022 | 13 | 9,864 | ||||||||
Canadian Oil Sands Ltd. (Canada)†(a) | 4.50% | 4/1/2022 | 50 | 51,813 | ||||||||
Cenovus Energy, Inc. (Canada)(a) | 5.70% | 10/15/2019 | 19 | 19,381 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 50 | 50,444 | ||||||||
Denbury Resources, Inc. | 5.50% | 5/1/2022 | 7 | 4,095 | ||||||||
Denbury Resources, Inc.† | 7.75% | 2/15/2024 | 4 | 3,382 | ||||||||
Ecopetrol SA (Colombia)(a) | 5.875% | 5/28/2045 | 30 | 33,289 | ||||||||
ENI SPA(b) | 0.625% | 9/19/2024 | EUR | 100 | 116,695 | |||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.75% | 10/1/2025 | $ | 5 | 5,037 | |||||||
Indigo Natural Resources LLC† | 6.875% | 2/15/2026 | 10 | 9,025 | ||||||||
Marathon Petroleum Corp. | 5.375% | 10/1/2022 | 50 | 50,767 | ||||||||
MEG Energy Corp. (Canada)†(a) | 6.50% | 1/15/2025 | 6 | 6,052 | ||||||||
MEG Energy Corp. (Canada)†(a) | 7.00% | 3/31/2024 | 15 | 14,325 | ||||||||
Oasis Petroleum, Inc. | 6.875% | 3/15/2022 | 15 | 14,953 | ||||||||
Petroleos Mexicanos(b) | 5.50% | 2/24/2025 | EUR | 34 | 41,554 | |||||||
Petroleos Mexicanos (Mexico)(a) | 5.35% | 2/12/2028 | $ | 30 | 27,378 | |||||||
Petroleos Mexicanos (Mexico)(a) | 6.375% | 2/4/2021 | 20 | 20,570 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 10 | 9,425 | ||||||||
Tapstone Energy LLC/Tapstone Energy Finance Corp.† | 9.75% | 6/1/2022 | 10 | 6,950 | ||||||||
Transocean Poseidon Ltd.† | 6.875% | 2/1/2027 | 10 | 10,594 | ||||||||
Valero Energy Corp. | 10.50% | 3/15/2039 | 25 | 40,957 | ||||||||
YPF SA (Argentina)†(a) | 8.75% | 4/4/2024 | 30 | 30,441 | ||||||||
Total | 586,741 |
See Notes to Financial Statements. | 37 |
Schedule of Investments (unaudited)(continued)
GLOBAL BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers 0.52% | ||||||||||||
Cheniere Corpus Christi Holdings LLC | 5.125% | 6/30/2027 | $ | 10 | $ | 10,887 | ||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 5 | 5,313 | ||||||||
Plains All American Pipeline LP | 6.125% | #(c) | – | (d) | 5 | 4,770 | ||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | 30 | 34,294 | ||||||||
Total | 55,264 | |||||||||||
Oil: Integrated Domestic 0.21% | ||||||||||||
Bristow Group, Inc.†(e) | 8.75% | 3/1/2023 | 5 | 4,862 | ||||||||
National Oilwell Varco, Inc. | 3.95% | 12/1/2042 | 20 | 17,349 | ||||||||
Total | 22,211 | |||||||||||
Paper & Forest Products 0.24% | ||||||||||||
Fibria Overseas Finance Ltd. (Brazil)(a) | 5.25% | 5/12/2024 | 19 | 20,235 | ||||||||
Mercer International, Inc. (Canada)(a) | 5.50% | 1/15/2026 | 5 | 4,994 | ||||||||
Total | 25,229 | |||||||||||
Real Estate Investment Trusts 3.79% | ||||||||||||
Aroundtown SA(b) | 1.875% | 1/19/2026 | EUR | 100 | 119,594 | |||||||
Country Garden Holdings Co. Ltd. (China)(a) | 4.75% | 1/17/2023 | $ | 200 | 196,124 | |||||||
GEO Group, Inc. (The) | 6.00% | 4/15/2026 | 12 | 10,496 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.75% | 6/1/2028 | 5 | 5,529 | ||||||||
MPT Operating Partnership LP/MPT Finance Corp. | 5.00% | 10/15/2027 | 15 | 15,487 | ||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC | 8.25% | 10/15/2023 | 10 | 9,325 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 40 | 43,273 | ||||||||
WeWork Cos., Inc.† | 7.875% | 5/1/2025 | 5 | 4,958 | ||||||||
Total | 404,786 | |||||||||||
Retail 0.20% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada)†(a) | 2.95% (3 Mo. LIBOR + .50% | )# | 12/13/2019 | 5 | 5,001 | |||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | 5 | 4,988 | ||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC† | 4.75% | 6/1/2027 | 11 | 11,302 | ||||||||
Total | 21,291 | |||||||||||
Steel 0.34% | ||||||||||||
Baffinland Iron Mines Corp. (Canada)†(a) | 8.75% | 7/15/2026 | 13 | 13,292 | ||||||||
Cleveland-Cliffs, Inc. | 5.75% | 3/1/2025 | 3 | 2,993 | ||||||||
Vale Overseas Ltd. (Brazil)(a) | 6.25% | 8/10/2026 | 18 | 20,537 | ||||||||
Total | 36,822 |
38 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
GLOBAL BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Technology 1.51% | ||||||||||||
Match Group, Inc.† | 5.00% | 12/15/2027 | $ | 5 | $ | 5,262 | ||||||
Netflix, Inc.(b) | 3.625% | 5/15/2027 | EUR | 100 | 124,486 | |||||||
Netflix, Inc. | 5.875% | 2/15/2025 | $ | 29 | 32,045 | |||||||
Total | 161,793 | |||||||||||
Telecommunications 3.02% | ||||||||||||
Altice France SA (France)†(a) | 7.375% | 5/1/2026 | 25 | 25,688 | ||||||||
British Telecommunications plc(b) | 8.625% | 3/26/2020 | GBP | 30 | 40,153 | |||||||
Crystal Almond SARL†(b) | 10.00% | 11/1/2021 | EUR | 100 | 120,597 | |||||||
DKT Finance ApS (Denmark)†(a) | 9.375% | 6/17/2023 | $ | 20 | 21,720 | |||||||
Intelsat Jackson Holdings SA (Luxembourg)(a) | 5.50% | 8/1/2023 | 35 | 32,112 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 25 | 25,937 | ||||||||
T-Mobile USA, Inc. | 6.50% | 1/15/2026 | 18 | 19,504 | ||||||||
Telstra Corp. Ltd.(b) | 7.75% | 7/15/2020 | AUD | 50 | 37,327 | |||||||
Total | 323,038 | |||||||||||
Toys 0.19% | ||||||||||||
Mattel, Inc.† | 6.75% | 12/31/2025 | $ | 20 | 20,626 | |||||||
Total Corporate Bonds (cost $5,444,714) | 5,555,166 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 19.90% | ||||||||||||
Argentina 0.72% | ||||||||||||
Republic of Argentina(a) | 5.625% | 1/26/2022 | 91 | 76,896 | ||||||||
Bahamas 0.28% | ||||||||||||
Commonwealth of Bahamas†(a) | 6.95% | 11/20/2029 | 27 | 30,173 | ||||||||
Belgium 0.40% | ||||||||||||
Kingdom of Belgium Government Bond†(b) | 0.80% | 6/22/2028 | EUR | 22 | 26,899 | |||||||
Kingdom of Belgium Government Bond†(b) | 1.60% | 6/22/2047 | EUR | 4 | 5,294 | |||||||
Kingdom of Belgium Government Bond†(b) | 1.90% | 6/22/2038 | EUR | 8 | 11,119 | |||||||
Total | 43,312 | |||||||||||
Brazil 0.70% | ||||||||||||
Brazil Letras do Tesouro Nacional(b) | Zero Coupon | 7/1/2022 | BRL | 205 | 44,222 | |||||||
Brazil Notas do Tesouro Nacional Serie F(b) | 10.00% | 1/1/2029 | BRL | 100 | 30,408 | |||||||
Total | 74,630 | |||||||||||
Canada 1.43% | ||||||||||||
Municipal Finance Authority of British Columbia(b) | 1.75% | 10/15/2020 | CAD | 88 | 67,214 | |||||||
Province of Ontario Canada(b) | 2.90% | 6/2/2028 | CAD | 65 | 52,778 | |||||||
South Coast British Columbia TransportationAuthority(b) | 3.80% | 11/2/2020 | CAD | 42 | 32,942 | |||||||
Total | 152,934 |
See Notes to Financial Statements. | 39 |
Schedule of Investments (unaudited)(continued)
GLOBAL BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
China 0.82% | ||||||||||||
China Development Bank(b) | 3.68% | 2/26/2026 | $ | 600 | $ | 87,243 | ||||||
Egypt 0.15% | ||||||||||||
Egypt Government Bond(f)(b) | 15.70% | 11/7/2027 | EGP | 260 | 15,627 | |||||||
El Salvador 0.30% | ||||||||||||
Republic of EI Salvador†(a) | 6.375% | 1/18/2027 | $ | 32 | 32,040 | |||||||
France 2.14% | ||||||||||||
France Government Bond(b) | 0.75% | 11/25/2028 | EUR | 86 | 105,289 | |||||||
French Republic Government Bond OAT†(b) | 1.25% | 5/25/2036 | EUR | 67 | 85,674 | |||||||
French Republic Government Bond OAT†(b) | 2.00% | 5/25/2048 | EUR | 26 | 38,083 | |||||||
Total | 229,046 | |||||||||||
Germany 1.41% | ||||||||||||
Bundesrepublik Deutschland Bundesanleihe(b) | 1.25% | 8/15/2048 | EUR | 52 | 75,488 | |||||||
Bundesrepublik Deutschland Bundesanleihe(b) | 4.00% | 1/4/2037 | EUR | 10 | 19,411 | |||||||
State of North Rhine-Westphalia Germany(b) | 1.50% | 6/12/2040 | EUR | 43 | 56,083 | |||||||
Total | 150,982 | |||||||||||
Indonesia 0.48% | ||||||||||||
Indonesia Treasury Bond(b) | 8.375% | 3/15/2024 | IDR | 682,000 | 51,002 | |||||||
Ireland 0.32% | ||||||||||||
Ireland Government Bond(b) | 1.70% | 5/15/2037 | EUR | 26 | 34,272 | |||||||
Italy 1.73% | ||||||||||||
Cassa Depositi e Prestiti SpA(b) | 2.125% | 9/27/2023 | EUR | 100 | 117,323 | |||||||
Italy Buoni Poliennali Del Tesoro†(b) | 2.45% | 9/1/2033 | EUR | 40 | 46,034 | |||||||
Italy Buoni Poliennali Del Tesoro†(b) | 3.85% | 9/1/2049 | EUR | 16 | 21,050 | |||||||
Total | 184,407 | |||||||||||
Japan 1.12% | ||||||||||||
Development Bank of Japan, Inc.(b) | 0.875% | 10/10/2025 | EUR | 100 | 119,336 | |||||||
Mexico 0.21% | ||||||||||||
United Mexican States(a) | 4.75% | 3/8/2044 | $ | 22 | 23,023 | |||||||
New Zealand 0.24% | ||||||||||||
New Zealand Local Government Funding | ||||||||||||
Agency Bond(b) | 2.75% | 4/15/2025 | NZD | 37 | 26,007 | |||||||
Peru 0.10% | ||||||||||||
Peruvian International Bond†(b) | 6.35% | 8/12/2028 | PEN | 30 | 10,239 | |||||||
40 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
GLOBAL BOND FUNDJune 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Portugal 0.19% | ||||||||||||
Portugal Obrigacoes do Tesouro OT†(b) | 4.10% | 2/15/2045 | EUR | 11 | $ | 19,864 | ||||||
Russia 0.36% | ||||||||||||
Russian Federal Bond - OFZ(b) | 7.00% | 8/16/2023 | RUB | 2,466 | 38,708 | |||||||
South Africa 0.29% | ||||||||||||
Republic of South Africa Government Bond(b) | 8.75% | 2/28/2048 | ZAR | 486 | 31,116 | |||||||
Spain 1.93% | ||||||||||||
Spain Government Bond†(b) | 1.40% | 7/30/2028 | EUR | 44 | 54,882 | |||||||
Spain Government Bond†(b) | 1.45% | 4/30/2029 | EUR | 30 | 37,594 | |||||||
Spain Government Bond†(b) | 2.70% | 10/31/2048 | EUR | 11 | 16,467 | |||||||
Spain Government Bond†(b) | 4.20% | 1/31/2037 | EUR | 56 | 97,851 | |||||||
Total | 206,794 | |||||||||||
Sweden 0.94% | ||||||||||||
Kommuninvest I Sverige AB(b) | 1.00% | 5/12/2025 | SEK | 890 | 100,314 | |||||||
Turkey 0.29% | ||||||||||||
Republic of Turkey(a) | 7.375% | 2/5/2025 | $ | 30 | 31,050 | |||||||
United Kingdom 3.35% | ||||||||||||
United Kingdom Gilt(b) | 0.75% | 7/22/2023 | GBP | 32 | 40,871 | |||||||
United Kingdom Gilt(b) | 1.50% | 7/22/2047 | GBP | 72 | 92,001 | |||||||
United Kingdom Gilt(b) | 1.625% | 10/22/2028 | GBP | 85 | 115,568 | |||||||
United Kingdom Gilt(b) | 1.75% | 9/7/2037 | GBP | 26 | 35,155 | |||||||
United Kingdom Gilt(b) | 2.00% | 7/22/2020 | GBP | 22 | 28,326 | |||||||
United Kingdom Gilt(b) | 4.25% | 12/7/2027 | GBP | 28 | 45,798 | |||||||
Total | 357,719 | |||||||||||
Total Foreign Government Obligations (cost $2,031,108) | 2,126,734 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 11.13% | ||||||||||||
Federal National Mortgage Assoc.(g) | 3.50% | TBA | $ | 450 | 459,949 | |||||||
Federal National Mortgage Assoc.(g) | 4.00% | TBA | 150 | 155,007 | ||||||||
Federal National Mortgage Assoc.(g) | 4.50% | TBA | 550 | 574,761 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $1,188,535) | 1,189,717 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 2.10% | ||||||||||||
Caesars Palace Las Vegas Trust 2017-VICI D† | 4.499% | #(h) | 10/15/2034 | 26 | 27,179 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 D† | 2.85% | 2/10/2049 | 45 | 38,157 | ||||||||
Citigroup Commercial Mortgage Trust 2016-P3 D† | 2.804% | #(h) | 4/15/2049 | 30 | 26,057 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.588% | #(h) | 7/10/2050 | 25 | 25,972 | |||||||
See Notes to Financial Statements. | 41 |
Schedule of Investments (unaudited)(continued)
GLOBAL BOND FUNDJune 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 D | 4.588% | #(h) | 7/10/2050 | $ | 35 | $ | 32,562 | |||||
JPMorgan Chase Commercial Mortgage SecuritiesTrust 2018-LAQ A† | 3.394% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 49 | 49,206 | |||||||
JPMorgan Chase Commercial Mortgage SecuritiesTrust 2018-LAQ E† | 5.394% (1 Mo. LIBOR + 3.00% | )# | 6/15/2035 | 25 | 24,821 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $213,980) | 223,954 | |||||||||||
U.S. TREASURY OBLIGATIONS 7.17% | ||||||||||||
U.S. Treasury Bond | 2.75% | 11/15/2047 | 147 | 153,245 | ||||||||
U.S. Treasury Bond | 3.00% | 2/15/2049 | 99 | 108,594 | ||||||||
U.S. Treasury Note | 1.75% | 6/30/2024 | 346 | 345,730 | ||||||||
U.S. Treasury Note | 2.625% | 2/15/2029 | 150 | 158,112 | ||||||||
Total U.S. Treasury Obligations(cost $747,050) | 765,681 | |||||||||||
Total Long-Term Investments(cost $10,708,512) | 10,944,934 | |||||||||||
SHORT-TERM INVESTMENTS 5.40% | ||||||||||||
CORPORATE BONDS 0.89% | ||||||||||||
Machinery 0.61% | ||||||||||||
BAT International Finance plc(b) | 6.375% | 12/12/2019 | GBP | 50 | 64,913 | |||||||
Natural Gas 0.28% | ||||||||||||
WGL Holdings, Inc. | 2.925% (3 Mo. LIBOR + .40% | )# | 11/29/2019 | $ | 30 | 29,978 | ||||||
Total Corporate Bonds (cost $96,561) | 94,891 | |||||||||||
REPURCHASE AGREEMENT 4.51% | ||||||||||||
Repurchase Agreement dated 6/28/2019, 1.45% due 7/1/2019 with Fixed Income Clearing Corp. collateralized by $480,000 of U.S. Treasury Note at 2.75% due 9/15/2021; value: $494,281; proceeds: $482,197 (cost $482,139) | 482 | 482,139 | ||||||||||
Total Short-Term Investments (cost $578,700) | 577,030 | |||||||||||
Total Investments in Securities 107.83% (cost $11,287,212) | 11,521,964 | |||||||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(i)(7.83%) | (836,445 | ) | ||||||||||
Net Assets 100.00% | $ | 10,685,519 |
42 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
GLOBAL BOND FUNDJune 30, 2019
AUD | Australian dollar. | |
BRL | Brazilian real. | |
CAD | Canadian dollar. | |
EGP | Egyptian pound. | |
EUR | Euro. | |
GBP | British pound. | |
IDR | Indonesian rupiah. | |
NOK | Norwegian krone. | |
NZD | New Zealand Dollar. | |
PEN | Peruvian nuevo sol. | |
RUB | Russian ruble. | |
SEK | Swedish Krona. | |
ZAR | South African rand. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
† | 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, 2019. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Investment in non-U.S. dollar denominated securities. | |
(c) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(d) | Security is perpetual in nature and has no stated maturity. | |
(e) | Defaulted (non-income producing security). | |
(f) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(g) | To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. | |
(h) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(i) | Liabilities in Excess of Cash, Foreign Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
Centrally Cleared Credit Default Swaps on Indexes - Sell Protection at June 30, 2019(1):
Referenced Index | Central Clearing party | Fund Pays (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation(3) | ||||||||||||||||
Markit CDX. NA.EM.31(4)(5) | Credit Suisse | 1.00% | 6/20/2024 | $ | 1,381,000 | $ | 1,337,429 | $ | (43,763 | ) | $ 191 | ||||||||||||
Centrally Cleared Credit Default Swaps on Issuer - Buy Protection at June 30, 2019(1): | |||||||||||||||||||||||
Referenced Issuer | Central Clearing party | Fund Pays (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Depreciation(3) | ||||||||||||||||
Republic ofTurkey(4)(6) | Credit Suisse | 1.00% | 6/20/2024 | $ | 180,000 | $ | 157,191 | $ | 23,733 | $(924) |
(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 take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. | |
(2) | Upfront payments received by Central Clearing Party are presented net of amortization (See Note 2(n)). | |
See Notes to Financial Statements. | 43 |
Schedule of Investments (unaudited)(continued)
GLOBAL BOND FUNDJune 30, 2019
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes/Issuers amounted to $191. Total unrealized depreciation on Credit Default Swaps on Indexes/Issuers amounted to $924. | |
(4) | Central Clearinghouse: Intercontinental Exchange (ICE). | |
(5) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of Emerging Market sovereign issuers. | |
(6) | Moody’s Credit Rating: Ba3. |
Open Forward Foreign Currency Exchange Contracts at June 30, 2019:
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 | Bank of America | 7/31/2019 | 101,000 | $ | 69,461 | $ | 70,979 | $ | 1,518 | ||||||||||||
Brazilian real | Buy | Morgan Stanley | 8/14/2019 | 58,000 | 14,171 | 15,045 | 874 | |||||||||||||||
Colombian peso | Buy | Barclays Bank plc | 8/30/2019 | 142,540,000 | 41,978 | 44,197 | 2,219 | |||||||||||||||
Danish krone | Buy | J.P. Morgan | 7/31/2019 | 195,000 | 29,609 | 29,783 | 174 | |||||||||||||||
euro | Buy | Barclays Bank plc | 9/18/2019 | 25,000 | 28,221 | 28,601 | 380 | |||||||||||||||
Japanese yen | Buy | J.P. Morgan | 7/31/2019 | 1,571,000 | 14,518 | 14,604 | 86 | |||||||||||||||
Japanese yen | Buy | Morgan Stanley | 7/31/2019 | 177,215,000 | 1,597,691 | 1,647,391 | 49,700 | |||||||||||||||
Japanese yen | Buy | Toronto Dominion Bank | 7/31/2019 | 910,000 | 8,216 | 8,459 | 243 | |||||||||||||||
Malaysian ringgit | Buy | Morgan Stanley | 8/30/2019 | 224,000 | 53,194 | 54,191 | 997 | |||||||||||||||
Mexican peso | Buy | Barclays Bank plc | 9/19/2019 | 545,000 | 27,954 | 28,026 | 72 | |||||||||||||||
New Zealand dollar | Buy | Morgan Stanley | 9/10/2019 | 24,000 | 15,836 | 16,145 | 309 | |||||||||||||||
Philippine peso | Buy | J.P. Morgan | 9/3/2019 | 2,097,000 | 40,671 | 40,802 | 131 | |||||||||||||||
South African rand | Buy | Barclays Bank plc | 7/31/2019 | 503,000 | 34,760 | 35,584 | 824 | |||||||||||||||
South Korean won | Buy | Bank of America | 9/3/2019 | 168,600,000 | 142,269 | 145,917 | 3,648 | |||||||||||||||
Swedish krona | Buy | Barclays Bank plc | 9/11/2019 | 723,000 | 76,319 | 78,251 | 1,932 | |||||||||||||||
Swiss franc | Buy | Bank of America | 7/31/2019 | 30,000 | 30,037 | 30,816 | 779 | |||||||||||||||
Swiss franc | Buy | Bank of America | 7/31/2019 | 25,000 | 24,934 | 25,680 | 746 | |||||||||||||||
Australian dollar | Sell | Toronto Dominion Bank | 7/31/2019 | 90,000 | 63,557 | 63,249 | 308 | |||||||||||||||
British pound | Sell | Bank of America | 9/11/2019 | 277,000 | 354,323 | 352,898 | 1,425 | |||||||||||||||
euro | Sell | Morgan Stanley | 9/18/2019 | 37,000 | 42,332 | 42,330 | 2 | |||||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 66,367 |
44 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
GLOBAL BOND FUNDJune 30, 2019
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||||
Brazilian real | Buy | Morgan Stanley | 9/24/2019 | 82,000 | $ | 21,271 | $ | 21,184 | $ | (87 | ) | |||||||||||
Chinese yuan renminbi | Buy | Barclays Bank plc | 7/11/2019 | 345,000 | 51,342 | 50,293 | (1,049 | ) | ||||||||||||||
Australian dollar | Sell | Morgan Stanley | 7/31/2019 | 52,000 | 35,830 | 36,544 | (714 | ) | ||||||||||||||
Brazilian real | Sell | Morgan Stanley | 8/14/2019 | 58,000 | 14,496 | 15,045 | (549 | ) | ||||||||||||||
Brazilian real | Sell | Morgan Stanley | 9/24/2019 | 82,000 | 21,055 | 21,184 | (129 | ) | ||||||||||||||
British pound | Sell | Bank of America | 9/11/2019 | 21,000 | 26,487 | 26,754 | (267 | ) | ||||||||||||||
Chinese yuan renminbi | Sell | Bank of America | 7/11/2019 | 345,000 | 49,841 | 50,294 | (453 | ) | ||||||||||||||
Chinese yuan renminbi | Sell | Barclays Bank plc | 9/3/2019 | 400,000 | 57,687 | 58,261 | (574 | ) | ||||||||||||||
Colombian peso | Sell | Morgan Stanley | 8/30/2019 | 142,540,000 | 43,426 | 44,197 | (771 | ) | ||||||||||||||
Danish krone | Sell | Toronto Dominion Bank | 7/31/2019 | 195,000 | 29,419 | 29,783 | (364 | ) | ||||||||||||||
euro | Sell | Bank of America | 9/18/2019 | 149,000 | 168,265 | 170,464 | (2,199 | ) | ||||||||||||||
euro | Sell | Morgan Stanley | 9/18/2019 | 51,000 | 57,614 | 58,347 | (733 | ) | ||||||||||||||
Indonesian rupiah | Sell | Barclays Bank plc | 9/19/2019 | 347,613,000 | 23,855 | 24,364 | (509 | ) | ||||||||||||||
Japanese yen | Sell | Bank of America | 7/31/2019 | 2,008,000 | 18,448 | 18,666 | (218 | ) | ||||||||||||||
New Zealand dollar | Sell | Toronto Dominion Bank | 9/10/2019 | 24,000 | 15,927 | 16,145 | (218 | ) | ||||||||||||||
Philippine peso | Sell | Barclays Bank plc | 9/3/2019 | 2,097,000 | 39,925 | 40,802 | (877 | ) | ||||||||||||||
Russian ruble | Sell | Barclays Bank plc | 7/31/2019 | 1,614,000 | 24,607 | 25,433 | (826 | ) | ||||||||||||||
South African rand | Sell | Bank of America | 7/31/2019 | 503,000 | 33,806 | 35,584 | (1,778 | ) | ||||||||||||||
South African rand | Sell | Bank of America | 9/18/2019 | 456,000 | 31,833 | 32,063 | (230 | ) | ||||||||||||||
Swedish krona | Sell | Morgan Stanley | 9/11/2019 | 907,000 | 97,135 | 98,165 | (1,030 | ) | ||||||||||||||
Thai baht | Sell | Toronto Dominion Bank | 7/31/2019 | 636,000 | 19,911 | 20,752 | (841 | ) | ||||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (14,416 | ) |
Open Futures Contracts at June 30, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 5-Year Treasury Note | September 2019 | 5 | Long | $ | 584,962 | $ | 590,781 | $ | 5,819 | |||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
Euro- Bund | September 2019 | 1 | Short | EUR | (170,948 | ) | EUR | (172,740 | ) | $ | (2,037 | ) | ||||||
U.S. 10-Year Ultra Treasury Bond | September 2019 | 1 | Short | $ | (135,229 | ) | $ | (138,125 | ) | (2,896 | ) | |||||||
U.S. 2-Year Treasury Note | September 2019 | 2 | Short | (427,934 | ) | (430,359 | ) | (2,425 | ) | |||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (7,358 | ) |
See Notes to Financial Statements. | 45 |
Schedule of Investments (unaudited)(concluded)
GLOBAL BOND FUNDJune 30, 2019
The following is a summary of the inputs used as of June 30, 2019 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | – | $ | 1,077,244 | $ | – | $ | 1,077,244 | ||||||||
Convertible Bond | – | 6,438 | – | 6,438 | ||||||||||||
Corporate Bonds | – | 5,555,166 | – | 5,555,166 | ||||||||||||
Foreign Government Obligations | – | 2,126,734 | – | 2,126,734 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 1,189,717 | – | 1,189,717 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 223,954 | – | 223,954 | ||||||||||||
U.S. Treasury Obligations | – | 765,681 | – | 765,681 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Corporate Bonds | – | 94,891 | – | 94,891 | ||||||||||||
Repurchase Agreement | – | 482,139 | – | 482,139 | ||||||||||||
Total | $ | – | $ | 11,521,964 | $ | – | $ | 11,521,964 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 191 | $ | – | $ | 191 | ||||||||
Liabilities | – | (924 | ) | – | (924 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 66,367 | – | 66,367 | ||||||||||||
Liabilities | – | (14,416 | ) | – | (14,416 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 5,819 | – | – | 5,819 | ||||||||||||
Liabilities | (7,358 | ) | – | – | (7,358 | ) | ||||||||||
Total | $ | (1,539 | ) | $ | 51,218 | $ | – | $ | 49,679 |
(1) | Refer to Note 2(q) 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. | |
46 | See Notes to Financial Statements. |
Statements of Assets and Liabilities (unaudited)
June 30, 2019
Emerging Markets Bond Fund | Emerging Markets Corporate Debt Fund | |||||||
ASSETS: | ||||||||
Investments in securities, at cost | $ | 172,330,187 | $ | 41,930,133 | ||||
Investments in securities, at fair value | $ | 180,496,192 | $ | 43,181,753 | ||||
Cash | 2,461 | 230,969 | ||||||
Deposits with brokers for futures collateral | 895,441 | 47,584 | ||||||
Deposits with brokers for swaps collateral | 1,104,910 | – | ||||||
Foreign cash, at value (cost $31,667 and $0, respectively) | 31,725 | – | ||||||
Receivables: | ||||||||
Interest and dividends | 2,691,998 | 640,559 | ||||||
Investment securities sold | 294,190 | 597,868 | ||||||
Capital shares sold | 869,110 | 179,865 | ||||||
From advisor (See Note 3) | 402 | 26,573 | ||||||
Variation margin for futures contracts | – | 650 | ||||||
Prepaid expenses and other assets | 70,899 | 63,359 | ||||||
Total assets | 186,457,328 | 44,969,180 | ||||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Investment securities purchased | 291,133 | 1,046,332 | ||||||
Variation margin for futures contracts | 153,465 | – | ||||||
Management fee | 74,724 | 24,607 | ||||||
Capital shares reacquired | 28,839 | 68,906 | ||||||
Directors’ fees | 72,275 | 3,824 | ||||||
12b-1 distribution plan | 10,837 | 6,569 | ||||||
Fund administration | 5,978 | 1,406 | ||||||
Variation margin for centrally cleared credit default swap agreements | 96,841 | – | ||||||
Unrealized depreciation on forward foreign currency exchange contracts | 28,810 | 1,433 | ||||||
Credit default swap agreements payable, at fair value (including upfront payments of $3,533 and $176, respectively) | 7,483 | 372 | ||||||
Distributions payable | 798,688 | 162,294 | ||||||
Accrued expenses and other liabilities | 143,843 | 74,324 | ||||||
Total liabilities | 1,712,916 | 1,390,067 | ||||||
NET ASSETS | $ | 184,744,412 | $ | 43,579,113 | ||||
COMPOSITION OF NET ASSETS: | �� | |||||||
Paid-in capital | $ | 286,277,088 | $ | 44,234,981 | ||||
Total distributable earnings (loss) | (101,532,676 | ) | (655,868 | ) | ||||
Net Assets | $ | 184,744,412 | $ | 43,579,113 |
See Notes to Financial Statements. | 47 |
Statements of Assets and Liabilities (unaudited)(continued)
June 30, 2019
Emerging Markets Bond Fund | Emerging Markets Corporate Debt Fund | |||||||
Net assets by class: | ||||||||
Class A Shares | $ | 12,593,964 | $ | 10,808,989 | ||||
Class C Shares | $ | 1,578,816 | $ | 2,178,298 | ||||
Class F Shares | $ | 5,164,820 | $ | 26,408,091 | ||||
Class F3 Shares | $ | 558,829 | $ | 11,126 | ||||
Class I Shares | $ | 164,039,138 | $ | 3,521,608 | ||||
Class R2 Shares | $ | 84,262 | $ | 136,323 | ||||
Class R3 Shares | $ | 291,932 | $ | 138,372 | ||||
Class R4 Shares | $ | 59,233 | $ | 12,743 | ||||
Class R5 Shares | $ | 11,575 | $ | 251,580 | ||||
Class R6 Shares | $ | 361,843 | $ | 111,983 | ||||
Outstanding shares by class: | ||||||||
Class A Shares (534, 513 and 770 million shares of common stock authorized, $.001 par value) | 2,401,513 | 707,896 | ||||||
Class C Shares (100, 85 and 100 million shares of common stock authorized, $.001 par value) | 299,268 | 142,649 | ||||||
Class F Shares (200.25, 114 and 192.50 million shares of common stock authorized, $.001 par value) | 985,477 | 1,728,905 | ||||||
Class F3 Shares (66.75, 57 and 192.50 million shares of common stock authorized, $.001 par value) | 106,725 | 728.66 | ||||||
Class I Shares (300.37, 228 and 385 million shares of common stock authorized, $.001 par value) | 31,333,013 | 230,806 | ||||||
Class R2 Shares (26.72, 28.6 and 20 million shares of common stock authorized, $.001 par value) | 16,029 | 8,930 | ||||||
Class R3 Shares (26.72, 28.6 and 28.87 million shares of common stock authorized, $.001 par value) | 55,775 | 9,064 | ||||||
Class R4 Shares (26.72, 28.6 and 28.87 million shares of common stock authorized, $.001 par value) | 11,300 | 835 | ||||||
Class R5 Shares (26.72, 28.6 and 28.87 million shares of common stock authorized, $.001 par value) | 2,211 | 16,476 | ||||||
Class R6 Shares (26.72, 28.6 and 178.37 million shares of common stock authorized, $.001 par value) | 69,088 | 7,333 | ||||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||
Class A Shares-Net asset value | $5.24 | $15.27 | ||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $5.36 | $15.62 | ||||||
Class C Shares-Net asset value | $5.28 | $15.27 | ||||||
Class F Shares-Net asset value | $5.24 | $15.27 | ||||||
Class F3 Shares-Net asset value | $5.24 | $15.27 | ||||||
Class I Shares-Net asset value | $5.24 | $15.26 | ||||||
Class R2 Shares-Net asset value | $5.26 | $15.27 | ||||||
Class R3 Shares-Net asset value | $5.23 | $15.27 | ||||||
Class R4 Shares-Net asset value | $5.24 | $15.26 | ||||||
Class R5 Shares-Net asset value | $5.24 | $15.27 | ||||||
Class R6 Shares-Net asset value | $5.24 | $15.27 |
48 | See Notes to Financial Statements. |
Statements of Assets and Liabilities (unaudited)(continued)
June 30, 2019
Global Bond Fund | |||||
ASSETS: | |||||
Investments in securities, at cost | $ | 11,287,212 | |||
Investments in securities, at fair value | $ | 11,521,964 | |||
Cash | 9 | ||||
Deposits with brokers for futures collateral | 4,682 | ||||
Deposits with brokers for swaps collateral | 177,731 | ||||
Foreign cash, at value (cost $124,899) | 127,016 | ||||
Receivables: | |||||
Interest and dividends | 97,864 | ||||
Investment securities sold | 639,091 | ||||
Capital shares sold | 22,585 | ||||
From advisor (See Note 3) | 24,013 | ||||
Variation margin for centrally cleared credit default swap agreements | 209 | ||||
Unrealized appreciation on forward foreign currency exchange contracts | 66,367 | ||||
Prepaid expenses | 98,626 | ||||
Total assets | 12,780,157 | ||||
LIABILITIES: | |||||
Payables: | |||||
Investment securities purchased | 2,023,164 | ||||
Variation margin for futures contracts | 11 | ||||
Management fee | 3,725 | ||||
Capital shares reacquired | 22 | ||||
Directors’ fees | 311 | ||||
12b-1 distribution plan | 957 | ||||
Fund administration | 346 | ||||
Unrealized depreciation on forward foreign currency exchange contracts | 14,416 | ||||
Distributions payable | 22,563 | ||||
Accrued expenses | 29,123 | ||||
Total liabilities | 2,094,638 | ||||
NET ASSETS | $ | 10,685,519 | |||
COMPOSITION OF NET ASSETS: | |||||
Paid-in capital | $ | 10,470,142 | |||
Total distributable earnings (loss) | 215,377 | ||||
Net Assets | $ | 10,685,519 |
See Notes to Financial Statements. | 49 |
Statements of Assets and Liabilities (unaudited)(concluded)
June 30, 2019
Global Bond Fund | |||||
Net assets by class: | |||||
Class A Shares | $ | 2,115,144 | |||
Class C Shares | $ | 267,570 | |||
Class F Shares | $ | 2,105,891 | |||
Class F3 Shares | $ | 1,581,173 | |||
Class I Shares | $ | 2,105,891 | |||
Class R3 Shares | $ | 262,027 | |||
Class R4 Shares | $ | 262,633 | |||
Class R5 Shares | $ | 263,241 | |||
Class R6 Shares | $ | 1,721,949 | |||
Outstanding shares by class: | |||||
Class A Shares | 207,621 | ||||
Class C Shares | 26,262 | ||||
Class F Shares | 206,713 | ||||
Class F3 Shares | 155,207 | ||||
Class I Shares | 206,712 | ||||
Class R3 Shares | 25,720 | ||||
Class R4 Shares | 25,780 | ||||
Class R5 Shares | 25,839 | ||||
Class R6 Shares | 169,024 | ||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | |||||
Class A Shares-Net asset value | $10.19 | ||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $10.42 | ||||
Class C Shares-Net asset value | $10.19 | ||||
Class F Shares-Net asset value | $10.19 | ||||
Class F3 Shares-Net asset value | $10.19 | ||||
Class I Shares-Net asset value | $10.19 | ||||
Class R3 Shares-Net asset value | $10.19 | ||||
Class R4 Shares-Net asset value | $10.19 | ||||
Class R5 Shares-Net asset value | $10.19 | ||||
Class R6 Shares-Net asset value | $10.19 |
50 | See Notes to Financial Statements. |
Statements of Operations (unaudited)
For the Six Months Ended June 30, 2019
Emerging Markets Bond Fund | Emerging Markets Corporate Debt Fund | |||||||
Investment income: | ||||||||
Dividends | $ | – | $ | 248 | ||||
Interest and other (net of foreign withholding taxes of $7,698 and $805, respectively) | 5,424,558 | 1,128,780 | ||||||
Total investment income | 5,424,558 | 1,129,028 | ||||||
Expenses: | ||||||||
Management fee | 446,512 | 142,744 | ||||||
12b-1 distribution plan-Class A | 10,830 | 9,659 | ||||||
12b-1 distribution plan-Class C | 6,975 | 8,118 | ||||||
12b-1 distribution plan-Class F | 2,117 | 12,385 | ||||||
12b-1 distribution plan-Class R2 | 224 | 390 | ||||||
12b-1 distribution plan-Class R3 | 684 | 326 | ||||||
12b-1 distribution plan-Class R4 | 76 | 19 | ||||||
Registration | 72,838 | 58,730 | ||||||
Professional | 45,823 | 26,025 | ||||||
Shareholder servicing | 22,617 | 37,317 | ||||||
Fund administration | 35,721 | 8,157 | ||||||
Reports to shareholders | 24,761 | 9,157 | ||||||
Custody | 10,591 | 6,403 | ||||||
Directors’ fees | 2,410 | 581 | ||||||
Other | 18,549 | 9,445 | ||||||
Gross expenses | 700,728 | 329,456 | ||||||
Expense reductions (See Note 9) | (326 | ) | (745 | ) | ||||
Fees waived and expenses reimbursed (See Note 3) | (2,117 | ) | (124,562 | ) | ||||
Net expenses | 698,285 | 204,149 | ||||||
Net investment income | 4,726,273 | 924,879 | ||||||
Net realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on investments | 320,879 | (284,766 | ) | |||||
Net realized gain (loss) on futures contracts | 169,508 | (227,679 | ) | |||||
Net realized gain on foreign currency exchange contracts | 74,576 | — | ||||||
Net realized gain (loss) on swap contracts | 186,491 | 8,575 | ||||||
Net realized loss on foreign currency related transactions | (10,894 | ) | (596 | ) | ||||
Net change in unrealized appreciation/depreciation on investments | 14,990,671 | 3,252,040 | ||||||
Net change in unrealized appreciation/depreciation on futures contracts | 170,830 | 40,427 | ||||||
Net change in unrealized appreciation/depreciation on foreign currency exchange contracts | (9,787 | ) | (1,433 | ) | ||||
Net change in unrealized appreciation/depreciation on swap contracts | 18,514 | 2,569 | ||||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | 1,249 | 41 | ||||||
Net realized and unrealized gain | 15,912,037 | 2,789,178 | ||||||
Net Increase in Net Assets Resulting From Operations | $ | 20,638,310 | $ | 3,714,057 |
See Notes to Financial Statements. | 51 |
Statements of Operations (unaudited)(concluded)
For the Six Months Ended June 30, 2019
Global Bond Fund | |||||
Investment income: | |||||
Dividends | $ | – | |||
Interest and other (net of foreign withholding taxes of $1,160) | 180,048 | ||||
Total investment income | 180,048 | ||||
Expenses: | |||||
Management fee | 21,931 | ||||
12b-1 distribution plan-Class A | 2,015 | ||||
12b-1 distribution plan-Class C | 1,267 | ||||
12b-1 distribution plan-Class F | 1,006 | ||||
12b-1 distribution plan-Class R3 | 627 | ||||
12b-1 distribution plan-Class R4 | 314 | ||||
Registration | 20,622 | ||||
Professional | 23,408 | ||||
Shareholder servicing | 1,730 | ||||
Fund administration | 2,040 | ||||
Offering costs | 38,254 | ||||
Reports to shareholders | 1,704 | ||||
Custody | 3,676 | ||||
Directors’ fees | 132 | ||||
Other | 5,856 | ||||
Gross expenses | 124,582 | ||||
Expense reductions (See Note 9) | (130 | ) | |||
Fees waived and expenses reimbursed (See Note 3) | (92,540 | ) | |||
Net expenses | 31,912 | ||||
Net investment income | 148,136 | ||||
Net realized and unrealized gain: | |||||
Net realized gain on investments | 27,308 | ||||
Net realized gain on futures contracts | 1,714 | ||||
Net realized gain (loss) on foreign currency exchange contracts | (12,280 | ) | |||
Net realized gain on swap contracts | 26,074 | ||||
Net realized loss on foreign currency related transactions | (1,050 | ) | |||
Net change in unrealized appreciation/depreciation on investments | 470,332 | ||||
Net change in unrealized appreciation/depreciation on futures contracts | (2,796 | ) | |||
Net change in unrealized appreciation/depreciation on foreign currency exchange contracts | 19,209 | ||||
Net change in unrealized appreciation/depreciation on swap contracts | 2,455 | ||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | 3,315 | ||||
Net realized and unrealized gain | 534,281 | ||||
Net Increase in Net Assets Resulting From Operations | $ | 682,417 |
52 | See Notes to Financial Statements. |
Statements of Changes in Net Assets
Emerging Markets Bond Fund | ||||||||
INCREASE (DECREASE) IN NET ASSETS | For the Six Months Ended June 30, 2019 (unaudited) | For the Year Ended December 31, 2018 | ||||||
Operations: | ||||||||
Net investment income | $ | 4,726,273 | $ | 7,139,676 | ||||
Net realized gain (loss) on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | 740,560 | (9,999,041 | ) | |||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward currency exchange contracts, swaps and translation of assets and liabilities denominated in foreign currencies | 15,171,477 | (8,984,042 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 20,638,310 | (11,843,407 | ) | |||||
Distributions to shareholders: | ||||||||
Class A | (286,188 | ) | (610,286 | ) | ||||
Class B | – | (67 | ) | |||||
Class C | (39,926 | ) | (95,282 | ) | ||||
Class F | (115,140 | ) | (328,831 | ) | ||||
Class F3 | (13,609 | ) | (19,691 | ) | ||||
Class I | (4,408,452 | ) | (7,650,080 | ) | ||||
Class R2 | (1,829 | ) | (3,022 | ) | ||||
Class R3 | (6,834 | ) | (11,364 | ) | ||||
Class R4 | (1,597 | ) | (4,365 | ) | ||||
Class R5 | (338 | ) | (805 | ) | ||||
Class R6 | (9,457 | ) | (20,341 | ) | ||||
Return of capital | ||||||||
Class A | – | (119,463 | ) | |||||
Class B | – | (13 | ) | |||||
Class C | – | (18,652 | ) | |||||
Class F | – | (64,368 | ) | |||||
Class F3 | – | (3,855 | ) | |||||
Class I | – | (1,497,504 | ) | |||||
Class R2 | – | (592 | ) | |||||
Class R3 | – | (2,224 | ) | |||||
Class R4 | – | (855 | ) | |||||
Class R5 | – | (157 | ) | |||||
Class R6 | – | (3,982 | ) | |||||
Total distributions to shareholders | (4,883,370 | ) | (10,455,799 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||
Net proceeds from sales of shares | 4,656,774 | 44,806,767 | ||||||
Reinvestment of distributions | 4,844,468 | 10,226,356 | ||||||
Cost of shares reacquired | (21,868,042 | ) | (70,149,775 | ) | ||||
Net decrease in net assets resulting from capital share transactions | (12,366,800 | ) | (15,116,652 | ) | ||||
Net increase (decrease) in net assets | 3,388,140 | (37,415,858 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | $ | 181,356,272 | $ | 218,772,130 | ||||
End of period | $ | 184,744,412 | $ | 181,356,272 |
See Notes to Financial Statements. | 53 |
Statements of Changes in Net Assets (continued)
Emerging Markets Corporate Debt Fund | ||||||||
DECREASE IN NET ASSETS | For the Six Months Ended June 30, 2019 (unaudited) | For the Year Ended December 31, 2018 | ||||||
Operations: | ||||||||
Net investment income | $ | 924,879 | $ | 2,197,536 | ||||
Net realized loss on investments, futures contracts, swaps and foreign currency related transactions | (504,466 | ) | (977,186 | ) | ||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward currency exchange contracts, swaps and translation of assets and liabilities denominated in foreign currencies | 3,293,644 | (3,437,816 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 3,714,057 | (2,217,466 | ) | |||||
Distributions to shareholders: | ||||||||
Class A | (226,059 | ) | (525,395 | ) | ||||
Class C | (39,803 | ) | (87,597 | ) | ||||
Class F | (592,465 | ) | (1,336,146 | ) | ||||
Class F3 | (266 | ) | (504 | ) | ||||
Class I | (95,175 | ) | (441,684 | ) | ||||
Class R2 | (2,791 | ) | (6,030 | ) | ||||
Class R3 | (2,866 | ) | (6,069 | ) | ||||
Class R4 | (346 | ) | (907 | ) | ||||
Class R5 | (6,009 | ) | (5,238 | ) | ||||
Class R6 | (2,598 | ) | (1,003 | ) | ||||
Total distributions to shareholders | (968,378 | ) | (2,410,573 | ) | ||||
Capital share transactions (See Note 14): | ||||||||
Net proceeds from sales of shares | 8,861,078 | 28,135,455 | ||||||
Reinvestment of distributions | 958,031 | 2,376,352 | ||||||
Cost of shares reacquired | (13,256,437 | ) | (37,361,261 | ) | ||||
Net decrease in net assets resulting from capital share transactions | (3,437,328 | ) | (6,849,454 | ) | ||||
Net decrease in net assets | (691,649 | ) | (11,477,493 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | $ | 44,270,762 | $ | 55,748,255 | ||||
End of period | $ | 43,579,113 | $ | 44,270,762 |
54 | See Notes to Financial Statements. |
Statements of Changes in Net Assets (concluded)
Global Bond Fund | ||||||||
INCREASE IN NET ASSETS | For the Six Months Ended June 30, 2019 (unaudited) | For the Period Ended December 31, 2018* | ||||||
Operations: | ||||||||
Net investment income | $ | 148,136 | $ | 119,551 | ||||
Net realized gain (loss) on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | 41,766 | (61,325 | ) | |||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward currency exchange contracts, swaps and translation of assets and liabilities denominated in foreign currencies | 492,515 | (205,522 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 682,417 | (147,296 | ) | |||||
Distributions to shareholders: | ||||||||
Class A | (34,733 | ) | (27,918 | ) | ||||
Class C | (3,354 | ) | (2,632 | ) | ||||
Class F | (36,687 | ) | (29,639 | ) | ||||
Class F3 | (28,445 | ) | (23,001 | ) | ||||
Class I | (36,687 | ) | (29,638 | ) | ||||
Class R3 | (3,947 | ) | (3,168 | ) | ||||
Class R4 | (4,266 | ) | (3,437 | ) | ||||
Class R5 | (4,588 | ) | (3,706 | ) | ||||
Class R6 | (30,977 | ) | (23,254 | ) | ||||
Total distributions to shareholders | (183,684 | ) | (146,393 | ) | ||||
Capital share transactions (See Note 14): | ||||||||
Net proceeds from sales of shares | 21,743 | 10,131,452 | ||||||
Reinvestment of distributions | 181,151 | 146,129 | ||||||
Net increase in net assets resulting from capital share transactions | 202,894 | 10,277,581 | ||||||
Net increase in net assets | 701,627 | 9,983,892 | ||||||
NET ASSETS: | ||||||||
Beginning of period | $ | 9,983,892 | $ | – | ||||
End of period | $ | 10,685,519 | $ | 9,983,892 |
* | For the period July 26, 2018 (commencement of operations) to December 31, 2018. |
See Notes to Financial Statements. | 55 |
EMERGING MARKETS 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 | ||||||||||||||||||||||||||||
6/30/2019(c) | $ | 4.80 | $ | 0.13 | $ | 0.44 | $ | 0.57 | $ | (0.13 | ) | $ | – | $ | (0.13 | ) | ||||||||||||
12/31/2018 | 5.42 | 0.18 | (0.53 | ) | (0.35 | ) | (0.22 | ) | (0.05 | ) | (0.27 | ) | ||||||||||||||||
12/31/2017 | 5.11 | 0.10 | 0.44 | 0.54 | (0.23 | ) | – | (0.23 | ) | |||||||||||||||||||
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 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2019(c) | 4.83 | 0.11 | 0.46 | 0.57 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
12/31/2018 | 5.45 | 0.15 | (0.53 | ) | (0.38 | ) | (0.20 | ) | (0.04 | ) | (0.24 | ) | ||||||||||||||||
12/31/2017 | 5.14 | 0.07 | 0.44 | 0.51 | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||||
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 | ) | |||||||||||||||||
Class F | ||||||||||||||||||||||||||||
6/30/2019(c) | 4.80 | 0.13 | 0.45 | 0.58 | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||||
12/31/2018 | 5.42 | 0.17 | (0.51 | ) | (0.34 | ) | (0.24 | ) | (0.04 | ) | (0.28 | ) | ||||||||||||||||
12/31/2017 | 5.11 | 0.10 | 0.45 | 0.55 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
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 | ) | |||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
6/30/2019(c) | 4.80 | 0.13 | 0.45 | 0.58 | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||||
12/31/2018 | 5.41 | 0.20 | (0.53 | ) | (0.33 | ) | (0.23 | ) | (0.05 | ) | (0.28 | ) | ||||||||||||||||
4/4/2017 to 12/31/2017(f) | 5.31 | 0.08 | 0.21 | 0.29 | (0.19 | ) | – | (0.19 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
6/30/2019(c) | 4.80 | 0.13 | 0.45 | 0.58 | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||||
12/31/2018 | 5.41 | 0.20 | (0.53 | ) | (0.33 | ) | (0.23 | ) | (0.05 | ) | (0.28 | ) | ||||||||||||||||
12/31/2017 | 5.10 | 0.11 | 0.44 | 0.55 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
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 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
6/30/2019(c) | 4.82 | 0.12 | 0.44 | 0.56 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
12/31/2018 | 5.43 | 0.17 | (0.53 | ) | (0.36 | ) | (0.21 | ) | (0.04 | ) | (0.25 | ) | ||||||||||||||||
12/31/2017 | 5.12 | 0.08 | 0.44 | 0.52 | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||||
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 | ) |
56 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reim- bursements (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 5.24 | 12.04 | (d) | 0.96 | (e) | 0.96 | (e) | 5.10 | (e) | $ | 12,594 | 23 | (d) | |||||||||||||
4.80 | (6.55 | ) | 0.98 | 0.98 | 3.41 | 9,636 | 135 | |||||||||||||||||||
5.42 | 10.73 | 0.94 | 0.94 | 1.84 | 17,746 | 35 | ||||||||||||||||||||
5.11 | 5.68 | 0.99 | 0.99 | 1.51 | 18,357 | 90 | ||||||||||||||||||||
5.10 | (8.95 | ) | 0.98 | 0.98 | 1.10 | 20,466 | 52 | |||||||||||||||||||
5.76 | (5.49 | ) | 0.98 | 0.98 | 0.93 | 30,554 | 113 | |||||||||||||||||||
5.28 | 11.85 | (d) | 1.58 | (e) | 1.58 | (e) | 4.50 | (e) | 1,579 | 23 | (d) | |||||||||||||||
4.83 | (7.06 | ) | 1.59 | 1.59 | 2.84 | 1,769 | 135 | |||||||||||||||||||
5.45 | 10.03 | 1.55 | 1.55 | 1.22 | 3,158 | 35 | ||||||||||||||||||||
5.14 | 5.03 | 1.60 | 1.60 | 0.91 | 4,025 | 90 | ||||||||||||||||||||
5.13 | (9.44 | ) | 1.59 | 1.59 | 0.49 | 5,558 | 52 | |||||||||||||||||||
5.79 | (6.19 | ) | 1.61 | 1.61 | 0.31 | 9,675 | 113 | |||||||||||||||||||
5.24 | 12.12 | (d) | 0.76 | (e) | 0.86 | (e) | 5.25 | (e) | 5,165 | 23 | (d) | |||||||||||||||
4.80 | (6.44 | ) | 0.84 | 0.87 | 3.36 | 3,821 | 135 | |||||||||||||||||||
5.42 | 10.83 | 0.84 | 0.84 | 1.94 | 7,311 | 35 | ||||||||||||||||||||
5.11 | 5.79 | 0.89 | 0.89 | 1.61 | 7,366 | 90 | ||||||||||||||||||||
5.10 | (8.86 | ) | 0.88 | 0.88 | 1.19 | 9,439 | 52 | |||||||||||||||||||
5.76 | (5.40 | ) | 0.88 | 0.88 | 1.03 | 21,550 | 113 | |||||||||||||||||||
5.24 | 12.16 | (d) | 0.74 | (e) | 0.74 | (e) | 5.31 | (e) | 559 | 23 | (d) | |||||||||||||||
4.80 | (6.19 | ) | 0.76 | 0.76 | 3.84 | 429 | 135 | |||||||||||||||||||
5.41 | 5.45 | (d) | 0.75 | (e) | 0.75 | (e) | 2.06 | (e) | 457 | 35 | ||||||||||||||||
5.24 | 12.15 | (d) | 0.76 | (e) | 0.76 | (e) | 5.32 | (e) | 164,039 | 23 | (d) | |||||||||||||||
4.80 | (6.19 | ) | 0.78 | 0.78 | 3.81 | 164,990 | 135 | |||||||||||||||||||
5.41 | 10.96 | 0.74 | 0.74 | 2.03 | 189,184 | 35 | ||||||||||||||||||||
5.10 | 5.90 | 0.79 | 0.79 | 1.71 | 356,968 | 90 | ||||||||||||||||||||
5.09 | (8.79 | ) | 0.78 | 0.78 | 1.29 | 442,393 | 52 | |||||||||||||||||||
5.75 | (5.32 | ) | 0.78 | 0.78 | 1.12 | 317,393 | 113 | |||||||||||||||||||
5.26 | 11.78 | (d) | 1.36 | (e) | 1.36 | (e) | 4.71 | (e) | 84 | 23 | (d) | |||||||||||||||
4.82 | (6.71 | ) | 1.38 | 1.38 | 3.22 | 66 | 135 | |||||||||||||||||||
5.43 | 10.28 | 1.34 | 1.34 | 1.44 | 79 | 35 | ||||||||||||||||||||
5.12 | 5.26 | 1.39 | 1.39 | 1.11 | 96 | 90 | ||||||||||||||||||||
5.11 | (9.30 | ) | 1.38 | 1.38 | 0.70 | 101 | 52 | |||||||||||||||||||
5.77 | (5.85 | ) | 1.37 | 1.37 | 0.51 | 110 | 113 |
See Notes to Financial Statements. | 57 |
Financial Highlights (continued)
EMERGING MARKETS 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 R3 | ||||||||||||||||||||||||||||
6/30/2019(c) | $ | 4.80 | $ | 0.12 | $ | 0.43 | $ | 0.55 | $ | (0.12 | ) | $ | – | $ | (0.12 | ) | ||||||||||||
12/31/2018 | 5.41 | 0.17 | (0.52 | ) | (0.35 | ) | (0.22 | ) | (0.04 | ) | (0.26 | ) | ||||||||||||||||
12/31/2017 | 5.10 | 0.08 | 0.44 | 0.52 | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||||
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 | ) | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
6/30/2019(c) | 4.80 | 0.13 | 0.44 | 0.57 | (0.13 | ) | – | (0.13 | ) | |||||||||||||||||||
12/31/2018 | 5.42 | 0.18 | (0.53 | ) | (0.35 | ) | (0.22 | ) | (0.05 | ) | (0.27 | ) | ||||||||||||||||
12/31/2017 | 5.11 | 0.10 | 0.44 | 0.54 | (0.23 | ) | – | (0.23 | ) | |||||||||||||||||||
12/31/2016 | 5.10 | 0.08 | 0.21 | 0.29 | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||||
6/30/2015 to 12/31/2015(g) | 5.53 | 0.03 | (0.39 | ) | (0.36 | ) | (0.03 | ) | (0.04 | ) | (0.07 | ) | ||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
6/30/2019(c) | 4.80 | 0.13 | 0.45 | 0.58 | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||||
12/31/2018 | 5.41 | 0.20 | (0.52 | ) | (0.32 | ) | (0.24 | ) | (0.05 | ) | (0.29 | ) | ||||||||||||||||
12/31/2017 | 5.10 | 0.11 | 0.44 | 0.55 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
12/31/2016 | 5.09 | 0.09 | 0.21 | 0.30 | (0.29 | ) | – | (0.29 | ) | |||||||||||||||||||
6/30/2015 to 12/31/2015(g) | 5.52 | 0.04 | (0.39 | ) | (0.35 | ) | (0.04 | ) | (0.04 | ) | (0.08 | ) | ||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
6/30/2019(c) | 4.80 | 0.13 | 0.45 | 0.58 | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||||
12/31/2018 | 5.41 | 0.19 | (0.51 | ) | (0.32 | ) | (0.24 | ) | (0.05 | ) | (0.29 | ) | ||||||||||||||||
12/31/2017 | 5.10 | 0.11 | 0.44 | 0.55 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
12/31/2016 | 5.09 | 0.10 | 0.20 | 0.30 | (0.29 | ) | – | (0.29 | ) | |||||||||||||||||||
6/30/2015 to 12/31/2015(g) | 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 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) | Annualized. | |
(f) | Commenced on April 4, 2017. | |
(g) | Commenced on June 30, 2015. |
58 | 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 (%) | ||||||||||||||||||||
$ | 5.23 | 11.90 | (d) | 1.26 | (e) | 1.26 | (e) | 4.81 | (e) | $ | 292 | 23 | (d) | |||||||||||||
4.80 | (6.85 | ) | 1.28 | 1.28 | 3.39 | 255 | 135 | |||||||||||||||||||
5.41 | 10.42 | 1.23 | 1.23 | 1.55 | 264 | 35 | ||||||||||||||||||||
5.10 | 5.38 | 1.28 | 1.28 | 1.22 | 296 | 90 | ||||||||||||||||||||
5.09 | (9.24 | ) | 1.27 | 1.27 | 0.81 | 285 | 52 | |||||||||||||||||||
5.75 | (5.77 | ) | 1.27 | 1.27 | 0.65 | 524 | 113 | |||||||||||||||||||
5.24 | 12.02 | (d) | 1.01 | (e) | 1.01 | (e) | 5.06 | (e) | 59 | 23 | (d) | |||||||||||||||
4.80 | (6.60 | ) | 1.03 | 1.03 | 3.53 | 55 | 135 | |||||||||||||||||||
5.42 | 10.67 | 0.99 | 0.99 | 1.83 | 27 | 35 | ||||||||||||||||||||
5.11 | 5.67 | 1.01 | 1.01 | 1.50 | 10 | 90 | ||||||||||||||||||||
5.10 | (6.44 | )(d) | 1.01 | (e) | 1.01 | (e) | 1.13 | (e) | 9 | 52 | ||||||||||||||||
5.24 | 11.94 | (d) | 0.75 | (e) | 0.75 | (e) | 5.31 | (e) | 12 | 23 | (d) | |||||||||||||||
4.80 | (6.17 | ) | 0.76 | 0.76 | 4.03 | 18 | 135 | |||||||||||||||||||
5.41 | 10.97 | 0.73 | 0.73 | 2.06 | 11 | 35 | ||||||||||||||||||||
5.10 | 5.94 | 0.75 | 0.75 | 1.76 | 10 | 90 | ||||||||||||||||||||
5.09 | (6.34 | )(d) | 0.76 | (e) | 0.76 | (e) | 1.37 | (e) | 9 | 52 | ||||||||||||||||
5.24 | 12.16 | (d) | 0.75 | (e) | 0.75 | (e) | 5.32 | (e) | 362 | 23 | (d) | |||||||||||||||
4.80 | (6.17 | ) | 0.76 | 0.76 | 3.74 | 317 | 135 | |||||||||||||||||||
5.41 | 10.99 | 0.74 | 0.74 | 2.11 | 524 | 35 | ||||||||||||||||||||
5.10 | 6.04 | 0.66 | 0.66 | 1.85 | 10 | 90 | ||||||||||||||||||||
5.09 | (6.29 | )(d) | 0.67 | (e) | 0.67 | (e) | 1.47 | (e) | 9 | 52 |
See Notes to Financial Statements. | 59 |
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 A | ||||||||||||||||||||||||||||
6/30/2019(c) | $14.31 | $0.33 | $ | 0.98 | $ | 1.31 | $(0.35 | ) | $ | – | $ | (0.35 | ) | |||||||||||||||
12/31/2018 | 15.54 | 0.61 | (1.16 | ) | (0.55 | ) | (0.65 | ) | (0.03 | ) | (0.68 | ) | ||||||||||||||||
12/31/2017 | 15.08 | 0.59 | 0.67 | 1.26 | (0.64 | ) | (0.16 | ) | (0.80 | ) | ||||||||||||||||||
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 | ) | – | (f) | (0.67 | ) | |||||||||||||||||
12/31/2014 | 14.97 | 0.66 | 0.34 | 1.00 | (0.72 | ) | (0.40 | ) | (1.12 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2019(c) | 14.31 | 0.28 | 0.98 | 1.26 | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||||
12/31/2018 | 15.55 | 0.52 | (1.18 | ) | (0.66 | ) | (0.55 | ) | (0.03 | ) | (0.58 | ) | ||||||||||||||||
12/31/2017 | 15.07 | 0.48 | 0.69 | 1.17 | (0.53 | ) | (0.16 | ) | (0.69 | ) | ||||||||||||||||||
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 | ) | – | (f) | (0.56 | ) | |||||||||||||||||
12/31/2014 | 14.97 | 0.52 | 0.36 | 0.88 | (0.60 | ) | (0.40 | ) | (1.00 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
6/30/2019(c) | 14.31 | 0.34 | 0.97 | 1.31 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
12/31/2018 | 15.55 | 0.63 | (1.18 | ) | (0.55 | ) | (0.66 | ) | (0.03 | ) | (0.69 | ) | ||||||||||||||||
12/31/2017 | 15.08 | 0.61 | 0.68 | 1.29 | (0.66 | ) | (0.16 | ) | (0.82 | ) | ||||||||||||||||||
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 | ) | – | (f) | (0.68 | ) | |||||||||||||||||
12/31/2014 | 14.97 | 0.67 | 0.35 | 1.02 | (0.74 | ) | (0.40 | ) | (1.14 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
6/30/2019(c) | 14.31 | 0.35 | 0.98 | 1.33 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
12/31/2018 | 15.55 | 0.67 | (1.18 | ) | (0.51 | ) | (0.70 | ) | (0.03 | ) | (0.73 | ) | ||||||||||||||||
4/4/2017 to 12/31/2017(g) | 15.43 | 0.48 | 0.32 | 0.80 | (0.52 | ) | (0.16 | ) | (0.68 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
6/30/2019(c) | 14.31 | 0.36 | 0.95 | 1.31 | (0.36 | ) | – | (0.36 | ) | |||||||||||||||||||
12/31/2018 | 15.55 | 0.64 | (1.17 | ) | (0.53 | ) | (0.68 | ) | (0.03 | ) | (0.71 | ) | ||||||||||||||||
12/31/2017 | 15.08 | 0.63 | 0.68 | 1.31 | (0.68 | ) | (0.16 | ) | (0.84 | ) | ||||||||||||||||||
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 | ) | – | (f) | (0.70 | ) | |||||||||||||||||
12/31/2014 | 14.97 | 0.69 | 0.34 | 1.03 | (0.75 | ) | (0.40 | ) | (1.15 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
6/30/2019(c) | 14.30 | 0.30 | 0.99 | 1.29 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
12/31/2018 | 15.54 | 0.64 | (1.17 | ) | (0.53 | ) | (0.68 | ) | (0.03 | ) | (0.71 | ) | ||||||||||||||||
12/31/2017 | 15.07 | 0.63 | 0.68 | 1.31 | (0.68 | ) | (0.16 | ) | (0.84 | ) | ||||||||||||||||||
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 | ) | – | (f) | (0.70 | ) | |||||||||||||||||
12/31/2014 | 14.97 | 0.69 | 0.34 | 1.03 | (0.75 | ) | (0.40 | ) | (1.15 | ) |
60 | 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 (%) | ||||||||||||||||||||
$15.27 | 9.20 | (d) | 1.05 | (e) | 1.66 | (e) | 4.46 | (e) | $10,809 | 35 | (d) | |||||||||||||||
14.31 | (3.65 | ) | 1.05 | 1.54 | 4.14 | 8,729 | 56 | |||||||||||||||||||
15.54 | 8.54 | 1.05 | 1.55 | 3.80 | 13,809 | 81 | ||||||||||||||||||||
15.08 | 9.03 | 1.05 | 1.67 | 4.03 | 7,535 | 104 | ||||||||||||||||||||
14.45 | 1.77 | 1.05 | 1.71 | 4.03 | 13,843 | 148 | ||||||||||||||||||||
14.85 | 6.76 | 1.05 | 2.62 | 4.27 | 6,745 | 293 | ||||||||||||||||||||
15.27 | 8.86 | (d) | 1.68 | (e) | 2.29 | (e) | 3.84 | (e) | 2,178 | 35 | (d) | |||||||||||||||
14.31 | (4.28 | ) | 1.71 | 2.20 | 3.50 | 1,926 | 56 | |||||||||||||||||||
15.55 | 7.85 | 1.76 | 2.27 | 3.10 | 2,261 | 81 | ||||||||||||||||||||
15.07 | 8.23 | 1.70 | 2.34 | 3.27 | 1,212 | 104 | ||||||||||||||||||||
14.45 | 1.04 | 1.77 | 2.46 | 3.38 | 581 | 148 | ||||||||||||||||||||
14.85 | 5.90 | 1.81 | 3.27 | 3.34 | 473 | 293 | ||||||||||||||||||||
15.27 | 9.25 | (d) | 0.95 | (e) | 1.56 | (e) | 4.57 | (e) | 26,408 | 35 | (d) | |||||||||||||||
14.31 | (3.63 | ) | 0.95 | 1.44 | 4.22 | 24,115 | 56 | |||||||||||||||||||
15.55 | 8.71 | 0.95 | 1.45 | 3.89 | 27,640 | 81 | ||||||||||||||||||||
15.08 | 9.10 | 0.95 | 1.57 | 4.09 | 12,321 | 104 | ||||||||||||||||||||
14.45 | 1.83 | 0.95 | 1.50 | 3.82 | 12,604 | 148 | ||||||||||||||||||||
14.85 | 6.86 | 0.94 | 2.49 | 4.36 | 170 | 293 | ||||||||||||||||||||
15.27 | 9.39 | (d) | 0.71 | (e) | 1.32 | (e) | 4.78 | (e) | 11 | 35 | (d) | |||||||||||||||
14.31 | (3.32 | ) | 0.68 | 1.21 | 4.49 | 10 | 56 | |||||||||||||||||||
15.55 | 5.21 | (d) | 0.67 | (e) | 1.24 | (e) | 4.15 | (e) | 11 | 81 | ||||||||||||||||
15.26 | 9.23 | (d) | 0.85 | (e) | 1.53 | (e) | 4.92 | (e) | 3,522 | 35 | (d) | |||||||||||||||
14.31 | (3.46 | ) | 0.85 | 1.35 | 4.35 | 8,891 | 56 | |||||||||||||||||||
15.55 | 8.84 | 0.85 | 1.37 | 4.04 | 11,674 | 81 | ||||||||||||||||||||
15.08 | 9.18 | 0.85 | 1.47 | 4.26 | 8,636 | 104 | ||||||||||||||||||||
14.45 | 1.98 | 0.85 | 1.50 | 4.26 | 10,634 | 148 | ||||||||||||||||||||
14.85 | 6.97 | 0.85 | 2.43 | 4.47 | 5,134 | 293 | ||||||||||||||||||||
15.27 | 9.07 | (d) | 1.45 | (e) | 2.06 | (e) | 4.08 | (e) | 136 | 35 | (d) | |||||||||||||||
14.30 | (3.52 | ) | 0.85 | 1.95 | 4.36 | 125 | 56 | |||||||||||||||||||
15.54 | 8.84 | 0.85 | 1.97 | 4.05 | 130 | 81 | ||||||||||||||||||||
15.07 | 9.18 | 0.85 | 2.08 | 4.23 | 119 | 104 | ||||||||||||||||||||
14.45 | 1.98 | 0.85 | 2.14 | 4.31 | 109 | 148 | ||||||||||||||||||||
14.85 | 6.97 | 0.85 | 3.03 | 4.47 | 107 | 293 |
See Notes to Financial Statements. | 61 |
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 R3 | ||||||||||||||||||||||||||||
6/30/2019(c) | $14.31 | $0.31 | $ | 0.97 | $ | 1.28 | $(0.32 | ) | $ | – | $(0.32 | ) | ||||||||||||||||
12/31/2018 | 15.54 | 0.64 | (1.16 | ) | (0.52 | ) | (0.68 | ) | (0.03 | ) | (0.71 | ) | ||||||||||||||||
12/31/2017 | 15.07 | 0.63 | 0.68 | 1.31 | (0.68 | ) | (0.16 | ) | (0.84 | ) | ||||||||||||||||||
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 | ) | – | (f) | (0.70 | ) | |||||||||||||||||
12/31/2014 | 14.97 | 0.69 | 0.34 | 1.03 | (0.75 | ) | (0.40 | ) | (1.15 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
6/30/2019(c) | 14.30 | 0.33 | 0.97 | 1.30 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
12/31/2018 | 15.54 | 0.60 | (1.17 | ) | (0.57 | ) | (0.64 | ) | (0.03 | ) | (0.67 | ) | ||||||||||||||||
12/31/2017 | 15.07 | 0.59 | 0.68 | 1.27 | (0.64 | ) | (0.16 | ) | (0.80 | ) | ||||||||||||||||||
12/31/2016 | 14.45 | 0.60 | 0.68 | 1.28 | (0.66 | ) | – | (0.66 | ) | |||||||||||||||||||
6/30/2015 to 12/31/2015(h) | 14.97 | 0.29 | (0.49 | ) | (0.20 | ) | (0.32 | ) | – | (f) | (0.32 | ) | ||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
6/30/2019(c) | 14.31 | 0.34 | 0.98 | 1.32 | (0.36 | ) | – | (0.36 | ) | |||||||||||||||||||
12/31/2018 | 15.55 | 0.65 | (1.18 | ) | (0.53 | ) | (0.68 | ) | (0.03 | ) | (0.71 | ) | ||||||||||||||||
12/31/2017 | 15.07 | 0.63 | 0.69 | 1.32 | (0.68 | ) | (0.16 | ) | (0.84 | ) | ||||||||||||||||||
12/31/2016 | 14.45 | 0.64 | 0.67 | 1.31 | (0.69 | ) | – | (0.69 | ) | |||||||||||||||||||
6/30/2015 to 12/31/2015(h) | 14.97 | 0.31 | (0.49 | ) | (0.18 | ) | (0.34 | ) | – | (f) | (0.34 | ) | ||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
6/30/2019(c) | 14.31 | 0.36 | 0.97 | 1.33 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
12/31/2018 | 15.54 | 0.67 | (1.17 | ) | (0.50 | ) | (0.70 | ) | (0.03 | ) | (0.73 | ) | ||||||||||||||||
12/31/2017 | 15.07 | 0.65 | 0.68 | 1.33 | (0.70 | ) | (0.16 | ) | (0.86 | ) | ||||||||||||||||||
12/31/2016 | 14.45 | 0.65 | 0.67 | 1.32 | (0.70 | ) | – | (0.70 | ) | |||||||||||||||||||
6/30/2015 to 12/31/2015(h) | 14.97 | 0.31 | (0.48 | ) | (0.17 | ) | (0.35 | ) | – | (f) | (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) | Annualized. |
(f) | Amount less than $0.01. |
(g) | Commenced on April 4, 2017. |
(h) | Commenced on June 30, 2015. |
62 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) |
Total | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$15.27 | 9.12 | (d) | 1.35 | (e) | 1.96 | (e) | 4.18 | (e) | $138 | 35 | (d) | |||||||||||||||
14.31 | (3.53 | ) | 0.85 | 1.85 | 4.35 | 125 | 56 | |||||||||||||||||||
15.54 | 8.84 | 0.85 | 1.87 | 4.04 | 148 | 81 | ||||||||||||||||||||
15.07 | 9.18 | 0.85 | 1.98 | 4.23 | 119 | 104 | ||||||||||||||||||||
14.45 | 1.98 | (d) | 0.85 | 2.04 | 4.31 | 109 | 148 | |||||||||||||||||||
14.85 | 6.97 | 0.85 | 2.93 | 4.47 | 107 | 293 | ||||||||||||||||||||
15.26 | 9.18 | (d) | 1.10 | (e) | 1.72 | (e) | 4.42 | (e) | 13 | 35 | (d) | |||||||||||||||
14.30 | (3.77 | ) | 1.10 | 1.57 | 4.08 | 14 | 56 | |||||||||||||||||||
15.54 | 8.57 | 1.11 | 1.62 | 3.80 | 12 | 81 | ||||||||||||||||||||
15.07 | 8.92 | 1.10 | 1.71 | 4.00 | 11 | 104 | ||||||||||||||||||||
14.45 | (1.33 | )(d) | 1.10 | (e) | 1.71 | (e) | 3.91 | (e) | 10 | 148 | ||||||||||||||||
15.27 | 9.31 | (d) | 0.85 | (e) | 1.46 | (e) | 4.68 | (e) | 252 | 35 | (d) | |||||||||||||||
14.31 | (3.45 | ) | 0.85 | 1.39 | 4.43 | 240 | 56 | |||||||||||||||||||
15.55 | 8.84 | 0.85 | 1.37 | 4.04 | 54 | 81 | ||||||||||||||||||||
15.07 | 9.18 | 0.85 | 1.49 | 4.22 | 35 | 104 | ||||||||||||||||||||
14.45 | (1.21 | )(d) | 0.85 | (e) | 1.46 | (e) | 4.17 | (e) | 10 | 148 | ||||||||||||||||
15.27 | 9.38 | (d) | 0.71 | (e) | 1.29 | (e) | 4.82 | (e) | 112 | 35 | (d) | |||||||||||||||
14.31 | (3.31 | ) | 0.69 | 1.28 | 4.60 | 96 | 56 | |||||||||||||||||||
15.54 | 9.01 | 0.70 | 1.22 | 4.21 | 12 | 81 | ||||||||||||||||||||
15.07 | 9.26 | 0.77 | 1.27 | 4.31 | 11 | 104 | ||||||||||||||||||||
14.45 | (1.18 | )(d) | 0.79 | (e) | 1.37 | (e) | 4.23 | (e) | 10 | 148 |
See Notes to Financial Statements. | 63 |
Financial Highlights (concluded)
GLOBAL 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 | Total distri- butions | Net asset value, end of period | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2019(c) | $ | 9.71 | $0.14 | $ | 0.51 | $ | 0.65 | $(0.17 | ) | $(0.17 | ) | $10.19 | ||||||||||||||||
7/26/2018 to 12/31/2018(e)(f) | 10.00 | 0.11 | (0.26 | ) | (0.15 | ) | (0.14 | ) | (0.14 | ) | 9.71 | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2019(c) | 9.71 | 0.10 | 0.51 | 0.61 | (0.13 | ) | (0.13 | ) | 10.19 | |||||||||||||||||||
7/26/2018 to 12/31/2018(e)(f) | 10.00 | 0.08 | (0.27 | ) | (0.19 | ) | (0.10 | ) | (0.10 | ) | 9.71 | |||||||||||||||||
Class F | ||||||||||||||||||||||||||||
6/30/2019(c) | 9.71 | 0.15 | 0.51 | 0.66 | (0.18 | ) | (0.18 | ) | 10.19 | |||||||||||||||||||
7/26/2018 to 12/31/2018(e)(f) | 10.00 | 0.12 | (0.26 | ) | (0.14 | ) | (0.15 | ) | (0.15 | ) | 9.71 | |||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
6/30/2019(c) | 9.71 | 0.15 | 0.52 | 0.67 | (0.19 | ) | (0.19 | ) | 10.19 | |||||||||||||||||||
7/26/2018 to 12/31/2018(e)(f) | 10.00 | 0.13 | (0.27 | ) | (0.14 | ) | (0.15 | ) | (0.15 | ) | 9.71 | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
6/30/2019(c) | 9.71 | 0.15 | 0.51 | 0.66 | (0.18 | ) | (0.18 | ) | 10.19 | |||||||||||||||||||
7/26/2018 to 12/31/2018(e)(f) | 10.00 | 0.12 | (0.26 | ) | (0.14 | ) | (0.15 | ) | (0.15 | ) | 9.71 | |||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
6/30/2019(c) | 9.71 | 0.12 | 0.51 | 0.63 | (0.15 | ) | (0.15 | ) | 10.19 | |||||||||||||||||||
7/26/2018 to 12/31/2018(e)(f) | 10.00 | 0.10 | (0.26 | ) | (0.16 | ) | (0.13 | ) | (0.13 | ) | 9.71 | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
6/30/2019(c) | 9.71 | 0.13 | 0.52 | 0.65 | (0.17 | ) | (0.17 | ) | 10.19 | |||||||||||||||||||
7/26/2018 to 12/31/2018(e)(f) | 10.00 | 0.11 | (0.26 | ) | (0.15 | ) | (0.14 | ) | (0.14 | ) | 9.71 | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
6/30/2019(c) | 9.71 | 0.15 | 0.51 | 0.66 | (0.18 | ) | (0.18 | ) | 10.19 | |||||||||||||||||||
7/26/2018 to 12/31/2018(e)(f) | 10.00 | 0.12 | (0.26 | ) | (0.14 | ) | (0.15 | ) | (0.15 | ) | 9.71 | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
6/30/2019(c) | 9.71 | 0.15 | 0.52 | 0.67 | (0.19 | ) | (0.19 | ) | 10.19 | |||||||||||||||||||
7/26/2018 to 12/31/2018(e)(f) | 10.00 | 0.13 | (0.27 | ) | (0.14 | ) | (0.15 | ) | (0.15 | ) | 9.71 |
(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 07/26/2018, SEC effective date and date shares first became available to the public was 8/1/2018. |
(f) | Net investment income, net realized and unrealized gain amounted to less than $0.01 for the period 7/26/2018 through 8/1/2018. |
(g) | Total return for the period 7/26/2018 through 12/31/2018 was (1.51)% for Class A, (1.85)% for Class C, (1.43)% for Class F, (1.38)% for Class F3, (1.43)% for Class I, (1.64)% for Class R3, (1.53)% for Class R4, (1.43)% for Class R5, (1.38)% for Class R6. |
(h) | Annualized. |
64 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||
Total return(b) (%) | Total expenses after waivers and/or reim- bursements(h) (%) | Total expenses(h) (%) | Net invest- ment income(h) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
6.74 | (d) | 0.78 | 2.55 | 2.75 | $2,115 | 172 | (d) | |||||||||||||||
(1.42 | )(g) | 0.78 | 2.77 | 2.64 | 1,969 | 123 | ||||||||||||||||
6.32 | (d) | 1.58 | 3.35 | 1.95 | 268 | 172 | (d) | |||||||||||||||
(1.76 | )(g) | 1.58 | 3.57 | 1.84 | 245 | 123 | ||||||||||||||||
6.85 | (d) | 0.58 | 2.45 | 2.95 | 2,106 | 172 | (d) | |||||||||||||||
(1.33 | )(g) | 0.58 | 2.67 | 2.84 | 1,971 | 123 | ||||||||||||||||
6.91 | (d) | 0.46 | 2.32 | 3.07 | 1,581 | 172 | (d) | |||||||||||||||
(1.28 | )(g) | 0.46 | 2.55 | 2.96 | 1,479 | 123 | ||||||||||||||||
6.85 | (d) | 0.58 | 2.35 | 2.95 | 2,106 | 172 | (d) | |||||||||||||||
(1.33 | )(g) | 0.58 | 2.57 | 2.84 | 1,971 | 123 | ||||||||||||||||
6.59 | (d) | 1.08 | 2.85 | 2.45 | 262 | 172 | (d) | |||||||||||||||
(1.54 | )(g) | 1.08 | 3.07 | 2.34 | 246 | 123 | ||||||||||||||||
6.72 | (d) | 0.83 | 2.60 | 2.70 | 263 | 172 | (d) | |||||||||||||||
(1.44 | )(g) | 0.83 | 2.82 | 2.59 | 246 | 123 | ||||||||||||||||
6.85 | (d) | 0.58 | 2.35 | 2.95 | 263 | 172 | (d) | |||||||||||||||
(1.33 | )(g) | 0.58 | 2.57 | 2.84 | 246 | 123 | ||||||||||||||||
6.91 | (d) | 0.46 | 2.32 | 3.07 | 1,722 | 172 | (d) | |||||||||||||||
(1.28 | )(g) | 0.46 | 2.56 | 2.96 | 1,611 | 123 |
See Notes to Financial Statements. | 65 |
Notes to Financial Statements (unaudited)
1. | ORGANIZATION |
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 three funds (each, a “Fund” and collectively, the “Funds”) and their respective active share classes:
Funds | Classes | |
Lord Abbett Emerging Markets Bond Fund (“Emerging Markets Bond Fund”) | A, C, F, F3, I, R2, R3, R4, R5 and R6 | |
Lord Abbett Emerging Markets Corporate Debt Fund (“Emerging Markets Corporate Debt Fund”) | A, C, F, F3, I, R2, R3, R4, R5 and R6 | |
Lord Abbett Global Bond Fund (“Global Bond Fund”) | A, C, F, F3, I, R3, R4, R5 and R6 |
Emerging Markets Corporate Debt Fund and Global Bond Fund are each diversified as defined in the Act and Emerging Markets Bond Fund is non-diversified as defined in the Act.
Emerging Markets Bond Fund’s investment objective is to seek high total return. Emerging Markets Corporate Debt Fund and Global Bond Fund’s investment objective is total return.
Each class of shares has different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class C, F, 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 C shares redeemed before the first anniversary of purchase. Class C shares automatically convert to Class A shares on the 25th day of the month (or, if the 25th is not a business day, the next business day thereafter) following the tenth anniversary of the month 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 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 |
66
Notes to Financial Statements (unaudited)(continued)
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 quoted sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available. | |
Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values, yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and may employ techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. | |
Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. | |
(b) | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
(c) | Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income on the Statements of Operations. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. |
(d) | Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required. |
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s filed U.S. federal tax returns remains open for the fiscal years ended December 31, 2015 through December 31, 2018. The statutes of limitations on the Company’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. |
67
Notes to Financial Statements (unaudited)(continued)
(e) | Expenses–Expenses incurred by the Company that do not specifically relate to an individual fund are generally allocated to the funds within the Company on a pro rata basis by relative net assets. Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Class A, 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 the Funds 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), if applicable, is included in Net change in unrealized appreciation/depreciation on 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), if applicable, on 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 foreign currency exchange contracts 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 foreign currency exchange contracts in each Fund’s Statement of Operations. |
(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–Each 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 |
68
Notes to Financial Statements (unaudited)(continued)
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–Each 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. |
(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 swap contracts 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 swap contracts 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 centrally cleared swaps, there was minimal counterparty risk to the Funds, since such swaps entered into were traded through a central clearinghouse, which guarantees against default. |
69
Notes to Financial Statements (unaudited)(continued)
(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. | |
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. | |
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. For centrally cleared swaps there was minimal counterparty credit risk to the Funds, |
70
Notes to Financial Statements (unaudited)(continued)
since the credit default swap entered into was traded through a central clearinghouse, which guarantees against default. | |
(o) | Total Return Swaps–Each Fund may enter into total return swap agreements to obtain exposure to a security or market without owning such security or investing directly in that market. Each Fund may agree to make payments that are the equivalent of interest in exchange for the right to receive payments equivalent to any appreciation in the value of an underlying security, index or other asset, as well as receive payments equivalent to any distributions made on that asset, over the term of the swap. If the value of the asset underlying a total return swap declines over the term of the swap, each Fund also may be required to pay an amount equal to that decline in value to their counterparty. |
(p) | Floating Rate Loans–Each 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 Statements of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments presented on the Statements of Assets and Liabilities represents mark to market of the unfunded portion of each Fund’s floating rate notes. As of June 30, 2019, each Fund had no unfunded loan commitments. | |
(q) | 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 |
71
Notes to Financial Statements (unaudited)(continued)
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, 2019 and, if applicable, 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 Bond Fund | |
First $1 billion | .50% |
Over $1 billion | .45% |
Emerging Markets Corporate Debt Fund | |
First $2 billion | .70% |
Next $3 billion | .65% |
Over $5 billion | .60% |
Global Bond Fund | |
First $3 billion | .43% |
Over $3 billion | .40% |
72
Notes to Financial Statements (unaudited)(continued)
For the six months ended June 30, 2019, 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 Bond Fund | .50% |
Emerging Markets Corporate Debt Fund | .09% |
Global Bond Fund | .00% |
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 funds average daily net asset.
For the period ended June 30, 2019 and continuing through April 30, 2020, 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, | ||
Fund | R2, R3, R4 and R5 | F3 and R6 |
Emerging Markets Corporate Debt Fund | .85% | .71% |
Global Bond Fund | .58% | .46% |
* | If applicable. |
All contractual management fee waiver and expense reimbursement agreements between the Funds and Lord Abbett may be terminated only upon approval of the Funds’ Board.
12b-1 Distribution Plan
Each Fund has adopted a distribution plan with respect to Class A, C, F, P, R2, R3 and R4 shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. The following annual rates have been authorized by the Board pursuant to the plan:
Fees* | Class A | Class C(1) | Class F(2)(3) | Class P | Class R2** | Class R3** | Class R4 | |||||||
Service | .15% | .25% | – | .25% | .25% | .25% | .25% | |||||||
Distribution | .05% | .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) | 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. |
(2) | The Class F share Rule 12b-1 fee may be designated as a service fee in limited circumstances as described in the Funds’ prospectus. |
(3) | For the period ended June 30, 2019 and continuing through April 30, 2020, the Distributor has contractually agreed to waive Emerging Markets Bond Fund’s and Global Bond Fund’s 0.10% Rule 12b-1 fee for Class F. These agreements may be terminated only by the Fund’s Board of Trustees. |
Class F3, I, R5 and R6 shares do not have a distribution plan.
73
Notes to Financial Statements (unaudited)(continued)
Commissions
Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers, for the six months ended June 30, 2019:
Distributor Commissions | Dealers’ Concessions | |||||||
Emerging Markets Bond Fund | $804 | $5,154 | ||||||
Emerging Markets Corporate Debt Fund | 653 | 3,959 | ||||||
Global Bond Fund | – | – |
Distributor received the following amount of CDSCs for the six months ended June 30, 2019:
Class A | Class C | |||||||
Emerging Markets Bond Fund | $45 | $6 |
Other Related Parties
As of June 30, 2019, the percentages of Emerging Markets Bond Fund’s outstanding shares owned by Lord Abbett Multi-Asset Balanced Opportunity Fund and Lord Abbett Multi-Asset Income Fund, were 50.92% and 37.37%, respectively.
One Director and certain of the Company’s officers have an interest in Lord Abbett.
4. | DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS |
Dividends from net investment income, if any, are declared daily and paid monthly for the Funds. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions that exceed earnings and profits for tax purposes, are reported as a tax return of capital.
The tax character of distributions paid during the six months ended June 30, 2019 and fiscal year ended December 31, 2018 was as follows:
Emerging Markets Bond Fund | Emerging Markets Corporate Debt Fund | |||||||||||||||
Six Months Ended 6/30/2019 (unaudited) | Year Ended 12/31/2018 | Six Months Ended 6/30/2019 (unaudited) | Year Ended 12/31/2018 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 4,883,370 | $ | 8,744,134 | $ | 968,378 | $ | 2,410,573 | ||||||||
Return of capital | – | 1,711,665 | – | – | ||||||||||||
Total distributions paid | $ | 4,883,370 | $ | 10,455,799 | $ | 968,378 | $ | 2,410,573 |
74
Notes to Financial Statements (unaudited)(continued)
Global Bond Fund | ||||||||
Six Months Ended 6/30/2019 (unaudited) | Period Ended 12/31/2018 | |||||||
Distributions paid from: | ||||||||
Ordinary income | 183,684 | 146,393 | ||||||
Total distributions paid | $ | 183,684 | $ | 146,393 |
As of June 30, 2019, the aggregate unrealized security gains and losses on investments and other financial instruments based on cost for U.S. federal income tax purposes were as follows:
Emerging Markets Bond Fund | Emerging Markets Corporate Debt Fund | |||||||
Tax cost | $ | 172,467,344 | $ | 41,997,490 | ||||
Gross unrealized gain | 9,508,076 | 1,684,925 | ||||||
Gross unrealized loss | (1,358,626 | ) | (555,344 | ) | ||||
Net unrealized security gain | $ | 8,149,450 | $ | 1,129,581 | ||||
Global Bond Fund | ||||||||
Tax cost | $ | 11,345,807 | ||||||
Gross unrealized gain | 306,703 | |||||||
Gross unrealized loss | (80,868 | ) | ||||||
Net unrealized security gain | $ | 225,835 |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of other financial instruments, amortization of premium and wash sales.
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2019 were as follows:
U.S. Government Purchases | * | Non-U.S. Government Purchases | U.S. Government Sales | * | Non-U.S. Government Sales | |||||||||||
Emerging Markets Bond Fund | $ | – | $ | 39,831,743 | $ | – | $ | 52,353,867 | ||||||||
Emerging Markets Corporate Debt Fund | – | 13,807,227 | – | 17,391,304 | ||||||||||||
Global Bond Fund | 14,717,199 | 3,451,480 | 14,617,955 | 3,729,125 |
* | Includes U.S. Government sponsored enterprises securities. |
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 six months ended June 30, 2019, Emerging Markets Bond Fund engaged in cross-trade sales of $995,889 which resulted in a net realized gain of $7,203.
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
Each Fund entered into forward foreign currency exchange contracts for the six months ended June 30, 2019 (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
75
Notes to Financial Statements (unaudited)(continued)
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.
Each Fund entered into U.S. Treasury futures contracts for the six months ended June 30, 2019 (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. There is minimal counterparty credit risk to each 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.
Each Fund entered into credit default swaps for the six months ended June 30, 2019 (as described in note 2(n)) to hedge credit risk. Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of underlying securities within an index or the referenced obligation in the event of a defined credit event, such as payment default or bankruptcy. Under a credit default swap one party acts as a guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying security at par or the referenced obligation 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 contracts in the Statements of Operations. Each 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 each 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.
As of June 30, 2019, each Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Funds’ use of derivative instruments:
Emerging Markets Bond Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||
Futures Contracts(1) | $ | 230,482 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Centrally Cleared Credit Default Swap Contracts(2) | – | – | $ | 3,066 | ||||||||
Credit Default Swap Contracts(3) | – | – | $ | 7,483 | ||||||||
Futures Contracts(1) | $ | 74,054 | – | – | ||||||||
Forward Foreign Currency Exchange Contracts(4) | – | $ | 28,810 | – |
76
Notes to Financial Statements (unaudited)(continued)
Emerging Markets Corporate Debt Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign | Credit Contracts | |||||||||
Futures Contracts(1) | $ | 59,970 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Credit Default Swap Contracts(3) | – | – | $ | 372 | ||||||||
Futures Contracts(1) | $ | 113,023 | – | – | ||||||||
Forward Foreign Currency Exchange Contracts(4) | – | $ | 1,433 | – |
Global Bond Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit | |||||||||
Centrally Cleared Credit Default Swap Contracts(2) | – | – | $ | 191 | ||||||||
Forward Foreign Currency Exchange Contracts(5) | – | $ | 66,367 | – | ||||||||
Futures Contracts(1) | $ | 5,819 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Centrally Cleared Credit Default Swap Contracts(2) | – | – | $ | 924 | ||||||||
Futures Contracts(1) | $ | 7,358 | – | – | ||||||||
Forward Foreign Currency Exchange Contracts(4) | – | $ | 14,416 | – |
(1) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities. |
(2) | 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 Statement of Assets and Liabilities. |
(3) | Statements of Assets and Liabilities location: Credit default swap agreements payable, at fair value. |
(4) | Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
(5) | Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
Transactions in derivative instruments for the six months ended June 30, 2019, were as follows:
Emerging Markets Bond Fund | ||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swaps Contracts(1) | – | – | $ | 186,491 | ||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 74,576 | – | ||||||||
Futures Contracts(3) | $ | 169,508 | – | – | ||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swaps Contracts(4) | – | – | $ | 18,513 | ||||||||
Forward Foreign Currency Exchange Contracts(5) | – | $ | (9,787 | ) | – | |||||||
Futures Contracts(6) | $ | 170,830 | – | – | ||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swap Contracts(7) | – | – | $ | 7,807,907 | ||||||||
Forward Foreign Currency Exchange Contracts(7) | – | $ | 3,062,056 | – | ||||||||
Futures Contracts(8) | 208 | – | – |
77
Notes to Financial Statements (unaudited)(continued)
Emerging Markets Corporate Debt Fund | ||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swaps Contracts(1) | – | – | $ | 8,575 | ||||||||
Futures Contracts(3) | $ | (227,679 | ) | – | – | |||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swaps Contracts(4) | – | – | $ | 2,569 | ||||||||
Forward Foreign Currency Exchange Contracts(5) | – | $ | (1,433 | ) | – | |||||||
Futures Contracts(6) | $ | 40,427 | – | – | ||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swap Contracts(7) | – | – | $ | 650,904 | ||||||||
Forward Foreign Currency Exchange Contracts(7) | – | $ | 75,212 | – | ||||||||
Futures Contracts(8) | 85 | – | – | |||||||||
Global Bond Fund | ||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swaps Contracts(1) | – | – | $ | 26,074 | ||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (11,904 | ) | – | |||||||
Futures Contracts(3) | $ | 1,714 | – | – | ||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swaps Contracts(4) | – | – | $ | 2,455 | ||||||||
Forward Foreign Currency Exchange Contracts(5) | – | $ | 19,209 | – | ||||||||
Futures Contracts(6) | $ | (2,796 | ) | – | – | |||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swap Contracts(7) | – | – | $ | 1,309,785 | ||||||||
Forward Foreign Currency Exchange Contracts(7) | – | $ | 3,540,129 | – | ||||||||
Futures Contracts(8) | 9 | – | – |
* | Calculated based on the number of contracts or notional amounts for the six months ended June 30, 2019. |
(1) | Statements of Operations location: Net realized gain (loss) on swap contracts. |
(2) | Statements of Operations location: Net realized gain (loss) on foreign currency exchange contracts. |
(3) | Statements of Operations location: Net realized gain (loss) on futures contracts. |
(4) | Statements of Operations location: Net change in unrealized appreciation/depreciation on swap contracts. |
(5) | Statements of Operations location: Net change in unrealized appreciation/depreciation on foreign currency exchange contracts. |
(6) | Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts. |
(7) | Amount represents notional amounts in U.S. dollars. |
(8) | 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
78
Notes to Financial Statements (unaudited)(continued)
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:
Emerging Markets Bond Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of in the Statement of | |||||||||
Repurchase Agreement | $579,896 | $ | – | $579,896 | ||||||||
Total | $579,896 | $ | – | $579,896 |
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. | $579,896 | $ | – | $ | – | $ | (579,896 | ) | $ | – | ||||||||||
Total | $579,896 | $ | – | $ | – | $ | (579,896 | ) | $ | – |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | ||||||||||
Credit Default Swap Contracts | $ | 7,483 | $ | – | $ | 7,483 | |||||||
Forward Foreign Currency Exchange Contracts | 28,810 | – | 28,810 | ||||||||||
Total | $ | 36,293 | $ | – | $ | 36,293 |
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) | ||||||||||||||||
Citibank | $ | 7,483 | $ | – | $ | – | $ | – | $ | 7,483 | |||||||||||
State Street Bank and Trust | 24,998 | – | – | – | 24,998 | ||||||||||||||||
Toronto Dominion Bank | 3,812 | – | – | – | 3,812 | ||||||||||||||||
Total | $ | 36,293 | $ | – | $ | – | $ | – | $ | 36,293 |
79
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 | $395,175 | $ | – | $395,175 | ||||||||
Total | $395,175 | $ | – | $395,175 |
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. | $395,175 | $ | – | $ | – | $ | (395,175 | ) | $ | – | ||||||||||
Total | $395,175 | $ | – | $ | – | $ | (395,175 | ) | $ | – |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | |||||||||||
Credit Default Swap Contracts | $ | 372 | $ | – | $ | 372 | ||||||||
Forward Foreign Currency Exchange Contracts | 1,433 | – | 1,433 | |||||||||||
Total | $ | 1,805 | $ | – | $ | 1,805 |
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) | ||||||||||||||||
Credit Suisse | $ | 372 | $ | – | $ | – | $ | – | $ | 372 | |||||||||||
State Street Bank and Trust | 1,433 | – | – | – | 1,433 | ||||||||||||||||
Total | $ | 1,805 | $ | – | $ | – | $ | – | $ | 1,805 |
Global 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 | $ | 66,367 | $ | – | $ | 66,367 | ||||||||
Repurchase Agreement | 482,139 | – | 482,139 | |||||||||||
Total | $ | 548,506 | $ | – | $ | 548,506 |
80
Notes to Financial Statements (unaudited)(continued)
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 | $ | 8,116 | $ | (5,145 | ) | $ | – | $ | – | $ | 2,971 | ||||||||||
Barclays Bank plc | 5,427 | (3,835 | ) | – | – | 1,592 | |||||||||||||||
Fixed Income Clearing Corp. | 482,139 | – | – | (482,139 | ) | – | |||||||||||||||
J.P. Morgan | 391 | – | – | – | 391 | ||||||||||||||||
Morgan Stanley | 51,882 | (4,013 | ) | – | – | 47,869 | |||||||||||||||
Toronto Dominion Bank | 551 | (551 | ) | – | – | – | |||||||||||||||
Total | $ | 548,506 | $ | (13,544 | ) | $ | – | $ | (482,139 | ) | $ | 52,823 |
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 | $14,416 | $ | – | $14,416 | ||||||||
Total | $14,416 | $ | – | $14,416 |
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 | $ | 5,145 | $ | (5,145 | ) | $ | – | $ | – | $ | – | ||||||||||
Barclays Bank plc | 3,835 | (3,835 | ) | – | – | – | |||||||||||||||
Morgan Stanley | 4,013 | (4,013 | ) | – | – | – | |||||||||||||||
Toronto Dominion Bank | 1,423 | (551 | ) | – | – | 872 | |||||||||||||||
Total | $ | 14,416 | $ | (13,544 | ) | $ | – | $ | – | $ | 872 |
(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, 2019. |
(c) | Net amount represents the amount owed by the Fund to the counterparty as of June 30, 2019. |
8. | DIRECTORS’ REMUNERATION |
The Company’s officers and the one Director who are associated with Lord Abbett do not receive any compensation from the Company for serving in such capacities. Independent Directors’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Directors under which Independent Directors must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, Directors’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Directors’ fees on the Statements of Operations and in Directors’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
81
Notes to Financial Statements (unaudited)(continued)
9. | EXPENSE REDUCTIONS |
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.
10. | LINE OF CREDIT |
For the six months ended June 30, 2019, the Fund and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) participated in a syndicated line of credit facility with various lenders for $1.1 billion (the “Prior Syndicated Facility”), whereas State Street Bank and Trust Company (“SSB”) participated as a lender and as agent for the lenders. Under the Prior Syndicated Facility, the Participating Funds were subject to graduated borrowing limits of one-third of Fund assets (if Fund assets are less than $750 million), $250 million, $300 million, $350 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors.
For the six months ended June 30, 2019, the Participating Funds also participated in an additional line of credit facility with SSB for $250 million (the “Prior Bilateral Facility,” and together with the Prior Syndicated Facility, the “Prior Facilities”). Under the Prior Bilateral Facility, each Participating Fund could borrow up to the lesser of $250 million or one-third of Fund assets.
For the six months ended June 30, 2019, the Funds did not utilize the Prior Facilities.
Effective August 8, 2019, the Participating Funds entered into an amended Syndicated Facility with various lenders for $1.17 billion (the “Current Syndicated Facility”), whereas SSB participates as a lender and as agent for the lenders. Under the Current Syndicated Facility, the Participating Funds are subject to graduated borrowing limits of one-third of Fund assets (if assets are less than $750 million), $250 million, $300 million, $500 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors.
Effective August 8, 2019, the Participating Funds also entered into an amended Bilateral Facility with SSB for $330 million ($250 million committed and $80 million uncommitted) (the “Current Bilateral Facility,” and together with the Current Syndicated Facility, the “Current Facilities”). Under the Current Bilateral Facility, the Participating Funds are subject to graduated borrowing limits of one-third of Fund assets (if assets are less than $750 million), $250 million, $300 million, or $330 million, based on past borrowings and likelihood of future borrowings, among other factors. The Current Facilities are to be used for temporary or emergency purposes to satisfy redemption requests and manage liquidity.
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, 2019, the Funds did not participate as a borrower or lender in the Interfund Lending Program.
82
Notes to Financial Statements (unaudited)(continued)
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.
13. | INVESTMENT RISKS |
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, higher transaction costs and other costs, and delays in settlement to the extent they are traded on non-U.S. exchanges or markets. Foreign securities may also be subject to inadequate exchange control regulations and the imposition of economic sanctions or other government restrictions. These risks generally are greater for emerging markets securities. Foreign investments also may be affected by changes in currency rates or currency controls.
The risks associated with derivatives may be different from and greater than the risks associated with directly investing in securities. 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. Losses may also arise from the failure of a derivative counterparty to meet its contractual obligations. If a Fund incorrectly forecasts these and other factors, its performance could suffer. A Fund’s use of derivatives could result in a loss exceeding the amount of the Fund’s investment in these instruments.
Emerging Markets Bond Fund is non-diversified, which means that it may invest a greater portion of its assets in a single issuer than a diversified fund. Thus, the Fund 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 convertible securities, which have both equity and fixed income risk characteristics. Generally, convertible securities offer lower interest or dividend yields than non-convertible securities of similar quality and less potential for gains or capital appreciation in a rising equity securities market than equity securities. They tend to be more volatile than other fixed income securities and the market for convertible securities may be less liquid than markets for stocks or bonds. A significant portion of convertible securities have below investment grade credit ratings and are subject to increased credit and liquidity risks.
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.
83
Notes to Financial Statements (unaudited)(continued)
Each Fund may invest in senior loans, which are subject to increased credit and liquidity risks. Senior loans are business loans made to borrowers that may be U.S. or foreign corporations, partnerships, or other business entities. The senior loans in which a Fund invests may consist primarily of senior loans that are rated below investment grade or, if unrated, deemed by Lord Abbett to be equivalent to below investment grade securities. Below investment grade senior loans, as in the case of high-yield debt securities, or junk bonds, are usually more credit sensitive than interest rate sensitive, although the value of these instruments may be impacted by broader interest rate swings in the overall fixed income market. In addition, senior loans may be subject to structural subordination.
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 and to the changing prospects of individual companies and/or sectors in which the Fund invests, 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 (“lower-rated bonds” 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. A default, or concerns in the market about an increase in risk of default, may result in losses to a Fund. High-yield securities are subject to greater price fluctuations, as well as additional risks. The market for below investment grade securities may be less liquid, which may make such securities more difficult to sell at an acceptable price, especially during periods of financial distress, increased market volatility, or significant market decline.
Each Fund is subject to the risk of investing in securities issued or guaranteed by the U.S. Government or its agencies and instrumentalities (such as the Government National Mortgage Association (“Ginnie Mae’’), the Federal National Mortgage Association (“Fannie Mae”), or the Federal Home Loan Mortgage Corporation (“Freddie Mac”)). Unlike Ginnie Mae securities, securities issued or guaranteed by U.S. Government-related organizations such as Fannie Mae and Freddie Mac are not backed by the full faith and credit of the U.S. Government and no assurance can be given that the U.S. Government would provide financial support to its agencies and instrumentalities if not required to do so by law. Consequently, each Fund may be required to look principally to the agency issuing or guaranteeing the obligation.
The mortgage-related and asset-backed 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.
84
Notes to Financial Statements (unaudited)(continued)
The cost of a Fund’s potential use of forward foreign currency exchange contracts varies with factors such as the currencies involved, the length of the contract period, and the market conditions prevailing. Foreign currency exchange rates may fluctuate significantly over short periods of time. Emerging Markets Bond Fund, Emerging Markets Corporate Debt Fund and Global Bond Fund’s use of currency-related transactions involves the risk that Lord Abbett will not accurately predict currency movements, and each Fund’s returns could be reduced as a result. A decline in the value of foreign currencies relative to the U.S. dollar will reduce the value of securities held by Emerging Markets Bond Fund, Emerging Markets Corporate Debt Fund and Global Bond Fund that are denominated in those currencies.
The securities markets of developing or emerging countries tend to be more vulnerable to economic, political and social instability, less liquid, are especially subject to greater price volatility, have a smaller market capitalization, have less government regulation and may not be subject to as extensive and frequent accounting, financial, and other reporting requirements as securities issued in more developed countries.
Bonds issued or guaranteed by foreign governments and governmental entities (commonly referred to as “sovereign debt”) are subject to the risk that such governments or entities are unable or unwilling to make interest payments and/or repay the principal owed. Emerging Markets Corporate Debt Fund may have limited recourse in such instances.
Emerging Markets Bond Fund, Emerging Markets Corporate Debt Fund and Global 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.
These factors can affect each Fund’s performance.
14. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of capital stock were as follows:
Emerging Markets Bond Fund | Six Months Ended June 30, 2019 (unaudited | ) | Year Ended December 31, 2018 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 483,543 | $ | 2,446,150 | 587,443 | $ | 3,121,432 | ||||||||||
Converted from Class B* | – | – | 1,934 | 10,636 | ||||||||||||
Converted from Class C** | 44,976 | 229,616 | 96,257 | 487,578 | ||||||||||||
Reinvestment of distributions | 52,599 | 268,073 | 111,845 | 570,854 | ||||||||||||
Shares reacquired | (185,287 | ) | (932,290 | ) | (2,066,939 | ) | (10,578,964 | ) | ||||||||
Increase (decrease) | 395,831 | $ | 2,011,549 | (1,269,460 | ) | $ | (6,388,464 | ) | ||||||||
Class B Shares(a) | ||||||||||||||||
Shares sold | – | $ | – | 1 | $ | 5 | ||||||||||
Reinvestment of distributions | – | – | 14 | 75 | ||||||||||||
Shares reacquired | – | – | (35 | ) | (181 | ) | ||||||||||
Converted to Class A* | – | – | (1,924 | ) | (10,636 | ) | ||||||||||
(Decrease) | – | $ | – | (1,944 | ) | $ | (10,737 | ) |
85
Notes to Financial Statements (unaudited)(continued)
Emerging Markets Bond Fund | Six Months Ended June 30, 2019 (unaudited | ) | Year Ended December 31, 2018 | |||||||||||||
Class C Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 19,809 | $ | 97,837 | 65,318 | $ | 344,264 | ||||||||||
Reinvestment of distributions | 6,720 | 34,396 | 17,489 | 90,132 | ||||||||||||
Shares reacquired | (48,450 | ) | (246,200 | ) | (200,712 | ) | (1,046,194 | ) | ||||||||
Converted to Class A** | (44,701 | ) | (229,616 | ) | (95,690 | ) | (487,578 | ) | ||||||||
Decrease | (66,622 | ) | $ | (343,583 | ) | (213,595 | ) | $ | (1,099,376 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 309,663 | $ | 1,570,846 | 2,715,719 | $ | 13,681,480 | ||||||||||
Reinvestment of distributions | 21,636 | 110,266 | 74,082 | 377,534 | ||||||||||||
Shares reacquired | (141,616 | ) | (714,078 | ) | (3,344,033 | ) | (16,640,833 | ) | ||||||||
Increase (decrease) | 189,683 | $ | 967,034 | (554,232 | ) | $ | (2,581,819 | ) | ||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 19,305 | $ | 96,782 | 45,380 | $ | 226,706 | ||||||||||
Reinvestment of distributions | 2,678 | 13,624 | 4,627 | 23,559 | ||||||||||||
Shares reacquired | (4,609 | ) | (23,156 | ) | (45,083 | ) | (229,842 | ) | ||||||||
Increase | 17,374 | $ | 87,250 | 4,924 | $ | 20,423 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 73,359 | $ | 374,215 | 5,593,378 | $ | 27,129,289 | ||||||||||
Reinvestment of distributions | 866,944 | 4,408,003 | 1,793,001 | 9,141,187 | ||||||||||||
Shares reacquired | (4,006,721 | ) | (19,901,175 | ) | (7,965,710 | ) | (41,243,845 | ) | ||||||||
Decrease | (3,066,418 | ) | $ | (15,118,957 | ) | (579,331 | ) | $ | (4,973,369 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 3,404 | $ | 17,489 | 4,816 | $ | 24,585 | ||||||||||
Reinvestment of distributions | 142 | 726 | 238 | 1,204 | ||||||||||||
Shares reacquired | (1,322 | ) | (6,752 | ) | (5,885 | ) | (30,103 | ) | ||||||||
Increase (decrease) | 2,224 | $ | 11,463 | (831 | ) | $ | (4,314 | ) | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 4,753 | $ | 23,976 | 16,297 | $ | 84,812 | ||||||||||
Reinvestment of distributions | 1,338 | 6,799 | 2,650 | 13,446 | ||||||||||||
Shares reacquired | (3,598 | ) | (18,231 | ) | (14,427 | ) | (74,617 | ) | ||||||||
Increase | 2,493 | $ | 12,544 | 4,520 | $ | 23,641 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 1,851 | $ | 9,366 | 27,294 | $ | 147,216 | ||||||||||
Reinvestment of distributions | 303 | 1,542 | 999 | 5,130 | ||||||||||||
Shares reacquired | (2,318 | ) | (11,888 | ) | (21,892 | ) | (108,681 | ) | ||||||||
Increase (decrease) | (164 | ) | $ | (980 | ) | 6,401 | $ | 43,665 | ||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 3 | $ | 20 | 1,590 | $ | 8,686 | ||||||||||
Reinvestment of distributions | 67 | 337 | 191 | 961 | ||||||||||||
Shares reacquired | (1,712 | ) | (8,497 | ) | (4 | ) | (19 | ) | ||||||||
Increase (decrease) | (1,642 | ) | $ | (8,140 | ) | 1,777 | $ | 9,628 |
86
Notes to Financial Statements (unaudited)(continued)
Emerging Markets Bond Fund | Six Months Ended June 30, 2019 (unaudited | ) | Year Ended December 31, 2018 | |||||||||||||
Class R6 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,053 | $ | 20,093 | 7,702 | $ | 38,292 | ||||||||||
Reinvestment of distributions | 138 | 702 | 438 | 2,274 | ||||||||||||
Shares reacquired | (1,151 | ) | (5,775 | ) | (39,033 | ) | (196,496 | ) | ||||||||
Increase (decrease) | 3,040 | $ | 15,020 | (30,893 | ) | $ | (155,930 | ) | ||||||||
Emerging Markets Corporate Debt Fund | Six Months Ended June 30, 2019 (unaudited | ) | Year Ended December 31, 2018 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 152,707 | $ | 2,273,161 | 247,161 | $ | 3,741,694 | ||||||||||
Converted from Class C** | 2,004 | 29,875 | 482 | 7,141 | ||||||||||||
Reinvestment of distributions | 14,704 | 219,729 | 34,246 | 505,938 | ||||||||||||
Shares reacquired | (71,643 | ) | (1,065,959 | ) | (560,114 | ) | (8,325,293 | ) | ||||||||
Increase (decrease) | 97,772 | $ | 1,456,806 | (278,225 | ) | $ | (4,070,520 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 22,818 | $ | 340,213 | 29,714 | $ | 450,326 | ||||||||||
Reinvestment of distributions | 2,661 | 39,752 | 5,925 | 87,375 | ||||||||||||
Shares reacquired | (15,404 | ) | (226,665 | ) | (46,007 | ) | (677,233 | ) | ||||||||
Converted to Class A** | (2,004 | ) | (29,875 | ) | (482 | ) | (7,141 | ) | ||||||||
Increase (decrease) | 8,071 | $ | 123,425 | (10,850 | ) | $ | (146,673 | ) | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 290,963 | $ | 4,328,877 | 1,478,704 | $ | 22,076,798 | ||||||||||
Reinvestment of distributions | 39,690 | 593,035 | 90,629 | 1,338,200 | ||||||||||||
Shares reacquired | (286,705 | ) | (4,250,873 | ) | (1,661,790 | ) | (24,316,620 | ) | ||||||||
Increase (decrease) | 43,948 | $ | 671,039 | (92,457 | ) | $ | (901,622 | ) | ||||||||
Class F3 Shares | ||||||||||||||||
Reinvestment of distributions | 17.84 | 266 | 34.23 | 505 | ||||||||||||
Increase | 17.84 | $ | 266 | 34.23 | $ | 505 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 127,720 | $ | 1,905,607 | 102,570 | $ | 1,553,509 | ||||||||||
Reinvestment of distributions | 6,096 | 90,646 | 28,832 | 425,176 | ||||||||||||
Shares reacquired | (524,438 | ) | (7,695,466 | ) | (260,917 | ) | (3,986,582 | ) | ||||||||
Decrease | (390,622 | ) | $ | (5,699,213 | ) | (129,515 | ) | $ | (2,007,897 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Reinvestment of distributions | 187 | $ | 2,791 | 410 | $ | 6,030 | ||||||||||
Increase | 187 | $ | 2,791 | 410 | $ | 6,030 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 130 | $ | 1,941 | – | $ | – | ||||||||||
Reinvestment of distributions | 192 | 2,866 | 409 | 6,024 | ||||||||||||
Shares reacquired | – | – | (1,159 | ) | (18,026 | ) | ||||||||||
Increase (decrease) | 322 | $ | 4,807 | (750 | ) | $ | (12,002 | ) |
87
Notes to Financial Statements (unaudited)(continued)
Emerging Markets Corporate Debt Fund | Six Months Ended June 30, 2019 (unaudited | ) | Year Ended December 31, 2018 | |||||||||||||
Class R4 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 93.37 | $ | 1,387 | 1,767.98 | $ | 27,144 | ||||||||||
Reinvestment of distributions | 22.63 | 338 | 59.94 | 887 | ||||||||||||
Shares reacquired | (245 | ) | (3,715 | ) | (1,614 | ) | (23,854 | ) | ||||||||
Increase (decrease) | (129 | ) | $ | (1,990 | ) | 213.92 | $ | 4,177 | ||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 200 | $ | 2,964 | 13,800 | $ | 199,887 | ||||||||||
Reinvestment of distributions | 402 | 6,009 | 359 | 5,213 | ||||||||||||
Shares reacquired | (915 | ) | (13,618 | ) | (828 | ) | (11,879 | ) | ||||||||
Increase (decrease) | (313 | ) | $ | (4,645 | ) | 13,331 | $ | 193,221 | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 467 | $ | 6,928 | 5,999 | $ | 86,097 | ||||||||||
Reinvestment of distributions | 174 | 2,599 | 69.00 | 1,004 | ||||||||||||
Shares reacquired | (10 | ) | (141 | ) | (123 | ) | (1,774 | ) | ||||||||
Increase | 631 | $ | 9,386 | 5,945.00 | $ | 85,327 | ||||||||||
Global Bond Fund | Six Months Ended June 30, 2019 (unaudited | ) | Period Ended December 31, 2018(a) | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,275 | $ | 12,649 | 200,005 | $ | 2,000,049 | ||||||||||
Reinvestment of distributions | 3,486 | 34,733 | 2,855 | 27,917 | ||||||||||||
Increase | 4,761 | $ | 47,382 | 202,860 | $ | 2,027,966 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 656 | $ | 6,562 | 25,000 | $ | 250,000 | ||||||||||
Reinvestment of distributions | 337 | 3,354 | 269 | 2,632 | ||||||||||||
Shares reacquired | 2 | – | – | – | ||||||||||||
Increase | 995 | $ | 9,916 | 25,269 | $ | 252,632 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | – | $ | – | 200,000 | $ | 2,000,000 | ||||||||||
Reinvestment of distributions | 3,682 | 36,687 | 3,031 | 29,639 | ||||||||||||
Increase | 3,682 | $ | 36,687 | 203,031 | $ | 2,029,639 | ||||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | – | $ | – | 150,000 | $ | 1,500,000 | ||||||||||
Reinvestment of distributions | 2,855 | 28,445 | 2,352 | 23,001 | ||||||||||||
Increase | 2,855 | $ | 28,445 | 152,352 | $ | 1,523,001 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | – | $ | – | 200,000 | $ | 2,000,000 | ||||||||||
Reinvestment of distributions | 3,682 | 36,687 | 3,030 | 29,638 | ||||||||||||
Increase | 3,682 | $ | 36,687 | 203,030 | $ | 2,029,638 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | – | $ | – | 25,000 | $ | 250,000 | ||||||||||
Reinvestment of distributions | 396 | 3,947 | 324 | 3,168 | ||||||||||||
Increase | 396 | $ | 3,947 | 25,324 | $ | 253,168 |
88
Notes to Financial Statements (unaudited)(concluded)
Global Bond Fund | Six Months Ended June 30, 2019 (unaudited | ) | Period Ended December 31, 2018(a) | |||||||||||||
Class R4 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | – | $ | – | 25,000 | $ | 250,000 | ||||||||||
Reinvestment of distributions | 429 | 4,266 | 351 | 3,437 | ||||||||||||
Increase | 429 | $ | 4,266 | 25,351 | $ | 253,437 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | – | $ | – | 25,000 | $ | 250,000 | ||||||||||
Reinvestment of distributions | 460 | 4,588 | 379 | 3,706 | ||||||||||||
Increase | 460 | $ | 4,588 | 25,379 | $ | 253,706 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 254 | $ | 2,532 | 163,564 | $ | 1,631,403 | ||||||||||
Reinvestment of distributions | 2,855 | 28,445 | 2,351 | 22,991 | ||||||||||||
Increase | 3,109 | $ | 30,977 | 165,915 | $ | 1,654,394 |
* | Automatic conversion of Class B shares occurred on the 25th day of the month (or, if the 25th day was not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. Class B shares were closed on April 25, 2018. | |
** | Automatic conversion of Class C 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 tenth anniversary of the day on which the purchase order was accepted. | |
(a) | Closed on April 25, 2018. |
89
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 as an attachment to Form N-PORT. Previously, this information was filed 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.
90
This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus.
Lord Abbett mutual fund shares are distributed by | Lord Abbett Global Fund, Inc.
Lord Abbett Emerging Markets Bond Fund
Lord Abbett Emerging Markets Corporate Debt Fund
Lord Abbett Global Bond Fund | LAGF-3 (08/19) |
Item 2: | Code of Ethics. |
Not applicable. | |
Item 3: | Audit Committee Financial Expert. |
Not applicable. | |
Item 4: | Principal Accountant Fees and Services. |
Not applicable. | |
Item 5: | Audit Committee of Listed Registrants. |
Not applicable. | |
Item 6: | Investments. |
Not applicable. | |
Item 7: | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable. | |
Item 8: | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable. | |
Item 9: | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable. | |
Item 10: | Submission of Matters to a Vote of Security Holders. |
Not applicable. | |
Item 11: | Controls and Procedures. |
(a) | Based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days prior to the filing date of this report, the Chief Executive Officer and Chief Financial Officer of the Registrant have concluded that such disclosure controls and procedures are reasonably designed and effective to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to them by others within those entities. | |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12: | Exhibits. |
(a)(1) | Code of Ethics. Not applicable. | |
(a)(2) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2 under the Investment Company Act of 1940 is attached hereto as a part of EX-99.CERT. | |
(b) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Section 906 of the Sarbanes-Oxley Act of 2002 is provided as a part of EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
LORD ABBETT GLOBAL FUND, INC. | |||
By: | /s/ Douglas B. Sieg | ||
Douglas B. Sieg | |||
President and Chief Executive Officer | |||
Date: August 29, 2019 | |||
By: | /s/ Bernard J. Grzelak | ||
Bernard J. Grzelak | |||
Chief Financial Officer and Vice President | |||
Date: August 29, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Douglas B. Sieg | ||
Douglas B. Sieg | |||
President and Chief Executive Officer | |||
Date: August 29, 2019 | |||
By: | /s/ Bernard J. Grzelak | ||
Bernard J. Grzelak | |||
Chief Financial Officer and Vice President | |||
Date: August 29, 2019 |