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

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-05876

LORD ABBETT SERIES 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: 6/30/2020

Item 1: Report(s) to Shareholders.

LORD ABBETT
SEMIANNUAL REPORT

Lord Abbett
Series Fund — Bond Debenture Portfolio

For the six-month period ended June 30, 2020

Table of Contents

1	A Letter to Shareholders
2	Information About Your Fund’s Expenses and Holdings Presented by Sector
4	Schedule of Investments
40	Statement of Assets and Liabilities
41	Statement of Operations
42	Statements of Changes in Net Assets
44	Financial Highlights
46	Notes to Financial Statements
60	Supplemental Information to Shareholders

Lord Abbett Series Fund – Bond Debenture Portfolio
Semiannual Report

For the six-month period ended June 30, 2020

  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 Lord Abbett Series Fund – Bond Debenture Portfolio for the six-month period ended June 30, 2020. For additional information about the Fund, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Fund’s portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website. Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.   Best regards,       Douglas B. Sieg Director, President, and Chief Executive Officer

1

Expense Example

As a shareholder of the Fund, you incur ongoing costs, including management fees; expenses related to the Fund’s services arrangements with certain insurance companies; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2020 through June 30, 2020).

The Example reflects only expenses that are deducted from the assets of the Fund. Fees and expenses, including sales charges applicable to the various insurance products that invest in the Fund, are not reflected in this Example. If such fees and expenses were reflected in the Example, the total expenses shown would be higher. Fees and expenses regarding such variable insurance products are separately described in the prospectus related to those products.

Actual Expenses

The first line of the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 1/1/20 – 6/30/20” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

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

2

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges. 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†
			1/1/20 -
	1/1/20	6/30/20	6/30/20
Class VC
Actual	$1,000.00	$   966.90	$4.45
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.34	$4.57

^† Net expenses are equal to the Fund’s annualized expense ratio of 0.91%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

June 30, 2020

Sector*	%**
Asset Backed	2.39	%
Automotive	4.14	%
Banking	5.10	%
Basic Industry	5.95	%
Capital Goods	3.79	%
Consumer Goods	6.98	%
Energy	10.46	%
Financial Services	4.64	%
Foreign Government	1.86	%
Health Care	8.01	%
Insurance	2.30	%
Leisure	4.82	%

Sector*	%**
Media	4.27	%
Mortgage Backed	2.20	%
Municipal	2.95	%
Real Estate	1.35	%
Retail	6.46	%
Technology & Electronics	8.24	%
Telecommunications	3.59	%
Transportation	3.93	%
Utilities	6.54	%
Money Market Funds(a)	0.03	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.
(a)	Securities were purchased with the cash collateral from loaned securities.

3

Schedule of Investments (unaudited)

June 30, 2020

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
LONG-TERM INVESTMENTS 98.27%
ASSET-BACKED SECURITIES 3.39%
Automobiles 0.15%
ACC Trust 2018-1 B†	4.82%		5/20/2021	$	170	$	170,479
ACC Trust 2018-1 C†	6.81%		2/21/2023		500		498,693
TCF Auto Receivables Owner Trust 2016-1A B†	2.32%		6/15/2022		979		981,912
Total							1,651,084
Credit Cards 0.11%
Perimeter Master Note Business Trust 2019-2A A†	4.23%		5/15/2024		1,235		1,246,016	(a)
Other 3.13%
AMMC CLO XII Ltd. 2013-12A DR†	3.148% (3 Mo. LIBOR + 2.70%	)#	11/10/2030		391		337,813
Apex Credit CLO LLC 2017-2A B†	2.156% (3 Mo. LIBOR + 1.85%	)#	9/20/2029		522		493,094
Battalion CLO XV Ltd. 2019-16A B†	3.903% (3 Mo. LIBOR + 2.00%	)#	12/19/2032		1,714		1,680,870
Benefit Street Partners CLO XIX Ltd. 2019-19A B†	3.878% (3 Mo. LIBOR + 2.00%	)#	1/15/2033		578		565,773
Carlyle US CLO Ltd. 2019-4A B†	4.259% (3 Mo. LIBOR + 2.70%	)#	1/15/2033		1,141		1,125,213
Cedar Funding VI CLO Ltd. 2016-6A DR†	4.135% (3 Mo. LIBOR + 3.00%	)#	10/20/2028		657		606,879
Conn’s Receivables Funding LLC 2017-B C†	5.95%		11/15/2022		616		616,110
Greywolf CLO III Ltd. 2020-3RA A1R†	2.388% (3 Mo. LIBOR + 1.29%	)#	4/15/2033		1,399		1,361,518
Halcyon Loan Advisors Funding Ltd. 2015-2A CR†	3.141% (3 Mo. LIBOR + 2.15%	)#	7/25/2027		465		447,745	(a)
Halcyon Loan Advisors Funding Ltd. 2017-2A A2†	2.835% (3 Mo. LIBOR + 1.70%	)#	1/17/2030		680		660,947
Hardee’s Funding LLC 2018-1A A23†	5.71%		6/20/2048		198		199,198
Hardee’s Funding LLC 2018-1A A2II†	4.959%		6/20/2048		1,317		1,304,951
Jamestown CLO VII Ltd. 2015-7A BR†	2.641% (3 Mo. LIBOR + 1.65%	)#	7/25/2027		1,202		1,136,873
Kayne CLO 7 Ltd. 2020-7A A1†	2.607% (3 Mo. LIBOR + 1.20%	)#	4/17/2033		3,316		3,208,392
KKR CLO 9 Ltd. 9 B1R†	2.969% (3 Mo. LIBOR + 1.75%	)#	7/15/2030		500		482,854
KVK CLO Ltd. 2013-A BR†	2.761% (3 Mo. LIBOR + 1.45%	)#	1/14/2028		268		255,782
Marble Point CLO XVII Ltd. 2020-1A A†	2.196% (3 Mo. LIBOR + 1.30%	)#	4/20/2033		2,050		2,000,770

4 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
Other (continued)
Marble Point CLO XVII Ltd. 2020-1A B†	2.666% (3 Mo. LIBOR + 1.77%	)#	4/20/2033	$	652	$	628,496
Mariner CLO Ltd. 2017-4A D†	4.041% (3 Mo. LIBOR + 3.05%	)#	10/26/2029		694		650,338
Mountain View CLO 2017-1A BR†	2.926% (3 Mo. LIBOR + 1.75%	)#	10/16/2029		762		741,396
Mountain View CLO X Ltd. 2015-10A BR†	2.661% (3 Mo. LIBOR + 1.35%	)#	10/13/2027		1,336		1,275,161
Northwoods Capital 20 Ltd. 2019-20A C†	4.701% (3 Mo. LIBOR + 2.80%	)#	1/25/2030		1,099		1,092,154
Octagon Investment Partners 29 Ltd. 2016-1A AR†	2.20% (3 Mo. LIBOR + 1.18%	)#	1/24/2033		1,250		1,208,279
OZLM Funding III Ltd. 2013-3A A2AR†	3.048% (3 Mo. LIBOR + 1.95%	)#	1/22/2029		1,200		1,175,245
Palmer Square Loan Funding Ltd. 2018-1A A2†	2.269% (3 Mo. LIBOR + 1.05%	)#	4/15/2026		884		860,807
Palmer Square Loan Funding Ltd. 2018-1A B†	2.619% (3 Mo. LIBOR + 1.40%	)#	4/15/2026		670		639,347
Planet Fitness Master Issuer LLC 2018-1A A2I†	4.262%		9/5/2048		1,528		1,542,233
Planet Fitness Master Issuer LLC 2018-1A A2II†	4.666%		9/5/2048		1,910		1,858,463
Planet Fitness Master Issuer LLC 2019-1A A2†	3.858%		12/5/2049		1,118		968,239
Regatta VI Funding Ltd. 2016-1A DR†	3.835% (3 Mo. LIBOR + 2.70%	)#	7/20/2028		250		235,693
Regatta XVI Funding Ltd. 2019-2A B†	3.953% (3 Mo. LIBOR + 2.05%	)#	1/15/2033		2,300		2,276,441
West CLO Ltd. 2014-2A BR†	2.926% (3 Mo. LIBOR + 1.75%	)#	1/16/2027		459		445,440
Wingstop Funding LLC 2018-1 A2†	4.97%		12/5/2048		1,661		1,733,732
Total							33,816,246
Total Asset-Backed Securities (cost $37,656,127)							36,713,346
				Shares
				(000)
COMMON STOCKS 8.13%
Aerospace/Defense 0.01%
Pacific Gas And Electric Co.					45		44,651	(b)
Auto Parts & Equipment 0.04%
Chassix Holdings, Inc.					59		446,062

See Notes to Financial Statements. 5

Schedule of Investments (unaudited)(continued)

June 30, 2020

	Shares		Fair
Investments	(000)		Value
Beverages 0.11%
Boston Beer Co., Inc. (The) Class A*		2	$	1,180,630
Building & Construction 0.10%
DR Horton, Inc.		20		1,098,908
Building Materials 0.15%
Trex Co., Inc.*		13		1,649,548
Chemicals 0.16%
Scotts Miracle-Gro Co. (The)		13		1,720,678
Discount Stores 0.16%
Amazon.com, Inc.*		1		1,666,327
Diversified Capital Goods 0.38%
Enphase Energy, Inc.*		29		1,374,107
Rockwell Automation, Inc.		13		2,776,881
Total				4,150,988
Electronics 0.20%
IPG Photonics Corp.*		7		1,117,918
Zebra Technologies Corp. Class A*		4		1,067,312
Total				2,185,230
Energy: Exploration & Production 0.14%
MEG Energy Corp.*(c)	CAD	555		1,541,376
Templar Energy LLC Class A Units		46		3,698	(a)
Total				1,545,074
Food: Wholesale 0.56%
Beyond Meat, Inc.*		29		3,825,531
McCormick & Co., Inc.		13		2,269,536
Total				6,095,067
Gaming 0.25%
DraftKings, Inc. Class A*(d)		32		1,073,433
Penn National Gaming, Inc.*		53		1,625,156
Total				2,698,589
Health Services 0.10%
Illumina, Inc.*		3		1,109,198
Investments & Miscellaneous Financial Services 0.11%
MarketAxess Holdings, Inc.		2		1,227,254

6 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

	Shares		Fair
Investments	(000)		Value
Machinery 0.26%
Generac Holdings, Inc.*		10	$	1,186,257
Roper Technologies, Inc.		4		1,634,575
Total				2,820,832
Metals/Mining (Excluding Steel) 0.16%
Pan American Silver Corp. (Canada)(e)		55		1,672,696
Personal & Household Products 0.49%
Clorox Co. (The)		13		2,819,782
Gibson Brands, Inc.		9		1,110,257	(a)
Pool Corp.		5		1,334,338
Remington Outdoor Co., Inc.		16		8,129
Total				5,272,506
Pharmaceuticals 0.38%
AstraZeneca plc ADR		21		1,108,997
NextCure, Inc.*		85		1,823,086
Regeneron Pharmaceuticals, Inc.*		2		1,145,645
Revlon, Inc.		149		49,999
Total				4,127,727
Real Estate Development & Management 0.10%
CoStar Group, Inc.*		2		1,106,513
Restaurants 0.86%
Chipotle Mexican Grill, Inc.*		2		2,192,066
Domino’s Pizza, Inc.		3		1,083,198
Shake Shack, Inc. Class A*		113		5,988,223
Total				9,263,487
Software/Services 2.02%
Adyen NV†*(c)	EUR	1		1,171,672
DocuSign, Inc.*		30		5,165,956
Fair Isaac Corp.*		4		1,670,070
Spotify Technology SA (Sweden)*(e)		15		3,977,675
Square, Inc. Class A*		26		2,745,755
Trade Desk, Inc. (The) Class A*		4		1,778,031
Twilio, Inc. Class A*		11		2,377,416
Tyler Technologies, Inc.*		5		1,675,777
Veeva Systems, Inc. Class A*		5		1,235,159
Total				21,797,511

See Notes to Financial Statements. 7

Schedule of Investments (unaudited)(continued)

June 30, 2020

				Shares		Fair
Investments				(000)		Value
Specialty Retail 0.75%
Chewy, Inc. Class A*					34	$	1,502,567
Claires Holdings LLC					1		369,083
Lululemon Athletica, Inc. (Canada)*(e)					6		1,725,103
NIKE, Inc. Class B					12		1,217,781
SiteOne Landscape Supply, Inc.*					15		1,722,315
Wayfair, Inc. Class A*					8		1,565,862
Total							8,102,711
Support: Services 0.10%
Booz Allen Hamilton Holding Corp.					14		1,050,943
Technology Hardware & Equipment 0.21%
Analog Devices, Inc.					9		1,136,505
NVIDIA Corp.					3		1,161,765
Total							2,298,270
Theaters & Entertainment 0.15%
Activision Blizzard, Inc.					22		1,642,172
Transportation: Infrastructure/Services 0.08%
ACBL Holdings Corp.					4		111,994	(b)
ACBL Holdings Corp.					14		342,725	(b)
ACBL Holdings Corp.					17		422,600	(b)
Total							877,319
Trucking & Delivery 0.10%
Old Dominion Freight Line, Inc.					7		1,114,885
Total Common Stocks (cost $85,077,971)							87,965,776
				Principal
	Interest		Maturity	Amount
	Rate		Date	(000)
CONVERTIBLE BOND 0.61%
Automakers
Tesla, Inc. (cost $4,427,934)	2.00%		5/15/2024	$	1,881		6,604,503
FLOATING RATE LOANS(f) 6.45%
Aerospace/Defense 0.08%
Alloy Finco Limited 2020 USD Term Loan B2 (Jersey)(e)	8.50% (3 Mo. LIBOR + 6.50%	)	3/6/2024		656		567,637

8 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Aerospace/Defense (continued)
Alloy Finco Limited USD Holdco PIK Term Loan (Jersey)(e)	0.50% (3 Mo. LIBOR +13.50%	)	3/6/2025	$	676	$	299,021
Total							866,658
Air Transportation 0.30%
American Airlines, Inc. 2018 Term Loan B	1.934% (1 Mo. LIBOR + 1.75%	)	6/27/2025		3,437		2,460,947
JetBlue Airways Corporation Term Loan	6.25% (3 Mo. LIBOR + 5.25%	)	6/12/2024		747		733,197
Total							3,194,144
Auto Parts & Equipment 0.13%
American Axle and Manufacturing, Inc. Term Loan B	3.00% (1 Mo. LIBOR + 2.25%	)	4/6/2024		1,430		1,361,661
Building Materials 0.28%
Forterra Finance, LLC 2017 Term Loan B	4.00% (1 Mo. LIBOR + 3.00%	)	10/25/2023		1,809		1,763,329
Yak Access, LLC 2018 1st Lien Term Loan B	5.308% (3 Mo. LIBOR + 5.00%	)	7/11/2025		1,512		1,224,651	(g)
Total							2,987,980
Cable & Satellite Television 0.10%
Charter Communications Operating, LLC 2019 Term Loan B2	1.93% (1 Mo. LIBOR + 1.75%	)	2/1/2027		1,174		1,132,979
Chemicals 0.25%
Illuminate Buyer, LLC Term Loan	–	(h)	6/16/2027		1,127		1,111,703
Starfruit Finco B.V 2018 USD Term Loan B (Netherlands)(e)	3.188% (1 Mo. LIBOR + 3.00%	)	10/1/2025		1,712		1,613,780
Total							2,725,483
Diversified Capital Goods 0.17%
Granite Holdings US Acquisition Co. Term Loan B	6.322% (3 Mo. LIBOR + 5.25%	)	9/30/2026		1,729		1,521,195	(g)
UTEX Industries Inc. 1st Lien Term loan 2014	–	(h)	5/22/2021		962		268,536
Total							1,789,731
Electric: Generation 0.18%
Astoria Energy LLC Term Loan B	5.00% (1 Mo. LIBOR + 4.00%	)	12/24/2021		1,134		1,122,576
Frontera Generation Holdings LLC 2018 Term Loan B	5.385% (1 Mo. LIBOR + 4.25%	)	5/2/2025		1,390		862,904
Total							1,985,480

See Notes to Financial Statements. 9

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Electric: Integrated 0.38%
Pacific Gas & Electric Company Revolver	5.497% (3 Mo. LIBOR + 0.50%	)	4/27/2022	$	3,754	$	4,089,025
Food: Wholesale 0.37%
Froneri International Ltd. 2020 USD Term Loan (United Kingdom)(e)	2.428% (1 Mo. LIBOR + 2.25%	)	1/29/2027		1,072		1,011,408
JBS USA Lux S.A. 2019 Term Loan B (Luxembourg)(e)	3.072% (2 Mo. LIBOR + 2.00%	)	5/1/2026		874		839,471
United Natural Foods, Inc. Term Loan B	4.428% (1 Mo. LIBOR + 4.25%	)	10/22/2025		2,204		2,112,996
Total							3,963,875
Gaming 0.31%
Penn National Gaming, Inc. 2018 1st Lien Term Loan B	3.00% (3 Mo. LIBOR + 2.25%	)	10/15/2025		1,062		996,289
Playtika Holding Corp Term Loan B	7.072% (3 Mo. LIBOR + 6.00%	)	12/10/2024		2,301		2,304,287
Total							3,300,576
Gas Distribution 0.10%
Buckeye Partners, L.P. 2019 Term Loan B	2.923% (1 Mo. LIBOR + 2.75%	)	11/1/2026		1,156		1,111,003
Health Facilities 0.11%
WP CityMD Bidco LLC 2019 Term Loan B	4.806% (6 Mo. LIBOR + 4.50%	)	8/13/2026		1,147		1,133,147
Health Services 0.75%
Da Vinci Purchaser Corp. 2019 Term Loan	5.238% (6 Mo. LIBOR + 4.00%	)	1/8/2027		1,186		1,158,023
Global Medical Response, Inc. 2018 Term Loan B1	4.25% (3 Mo. LIBOR + 3.25%	)	4/28/2022		1,303		1,257,914
National Mentor Holdings, Inc. 2019 Term Loan B	4.43% (1 Mo. LIBOR + 4.25%	)	3/9/2026		669		648,451
National Mentor Holdings, Inc. 2019 Term Loan C	4.43% (3 Mo. LIBOR + 4.25%	)	3/9/2026		30		29,525
Parexel International Corporation Term Loan B	2.928% (1 Mo. LIBOR + 2.75%	)	9/27/2024		1,200		1,141,480
RegionalCare Hospital Partners Holdings, Inc. 2018 Term Loan B	3.928% (1 Mo. LIBOR + 3.75%	)	11/17/2025		2,022		1,901,838
U.S. Renal Care, Inc. 2019 Term Loan B	5.178% (1 Mo. LIBOR + 5.00%	)	6/26/2026		2,089		2,015,797
Total							8,153,028

10 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Insurance Brokerage 0.10%
Hub International Limited 2018 Term Loan B	4.02% (3 Mo. LIBOR + 3.00%	)	4/25/2025	$	1,170	$	1,115,695
Machinery 0.13%
Vertical US Newco Inc. Term Loan B	–	(h)	7/1/2027		1,437		1,419,047
Media: Content 0.09%
Univision Communications Inc. 2020 Term Loan B	4.75% (1 Mo. LIBOR + 2.75%	)	3/13/2026		534		500,683
Univision Communications Inc. Term Loan C5	2.928% (1 Mo. LIBOR + 2.75%	)	3/15/2024		558		518,451
Total							1,019,134
Personal & Household Products 0.40%
FGI Operating Company, LLC Exit Term Loan	12.00% (3 Mo. LIBOR + 10.00%	)	5/16/2022		105		84,207	(g)
Revlon Consumer Products Corporation 2020 PIK Term Loan B1	12.00% (6 Mo. LIBOR + 2.00%	)	6/30/2025		1,894		1,877,154
Revlon Consumer Products Corporation 2020 Term Loan B2	4.25% (3 Mo. LIBOR + 3.50%	)	6/30/2025		2,110		1,297,594
TGP Holdings III, LLC 2018 1st Lien Term Loan	5.25% (3 Mo. LIBOR + 4.25%	)	9/25/2024		1,206		1,119,153
Total							4,378,108
Rail 0.16%
Genesee & Wyoming Inc. (New) Term Loan	2.308% (3 Mo. LIBOR + 2.00%	)	12/30/2026		1,736		1,675,954
Recreation & Travel 0.30%
Alterra Mountain Company Term Loan B1	2.928% (1 Mo. LIBOR + 2.75%	)	7/31/2024		1,132		1,071,847
Delta 2 (LUX) S.a.r.l. 2018 USD Term Loan (Luxembourg)(e)	3.50% (1 Mo. LIBOR + 2.50%	)	2/1/2024		1,198		1,144,475
Life Time Fitness Inc 2017 Term Loan B	3.75% (3 Mo. LIBOR + 2.75%	)	6/10/2022		1,199		1,072,335
Total							3,288,657
Restaurants 0.30%
IRB Holding Corp 2020 Term Loan B	3.75% (1 Mo. LIBOR + 2.75%	)	2/5/2025		1,776		1,646,451
Panera Bread Company Term Loan A	2.438% (1 Mo. LIBOR + 2.25%	)	7/18/2022		1,688		1,586,532
Total							3,232,983

See Notes to Financial Statements. 11

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Software/Services 0.45%
Cornerstone OnDemand, Inc. Term Loan B	5.348% (2 Mo. LIBOR + 4.25%	)	4/22/2027	$	1,037	$	1,022,366
Ellie Mae, Inc. Term Loan	4.058% (3 Mo. LIBOR + 3.75%	)	4/17/2026		1,649		1,605,320
Tibco Software Inc. 2020 Term Loan B	3.93% (1 Mo. LIBOR + 3.75%	)	6/30/2026		1,145		1,085,120
Ultimate Software Group Inc. (The) Term Loan B	3.928% (1 Mo. LIBOR + 3.75%	)	5/4/2026		1,210		1,175,280
Total							4,888,086
Specialty Retail 0.30%
BJ’s Wholesale Club, Inc. 2017 1st Lien Term Loan	2.435% (1 Mo. LIBOR + 2.25%	)	2/3/2024		1,697		1,646,327
Claire’s Stores, Inc. 2019 Term Loan B	6.808% (3 Mo. LIBOR + 6.50%	)	12/18/2026		684		549,031
PetSmart, Inc. Consenting Term Loan	5.00% (3 Mo. LIBOR + 4.00%	)	3/11/2022		1,008		997,349
Total							3,192,707
Support: Services 0.56%
DG Investment Intermediate Holdings 2, Inc. 2018 1st Lien Term Loan	3.75% (1 Mo. LIBOR + 3.00%	)	2/3/2025		1,188		1,134,279
Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan	9.561% (3 Mo. LIBOR + 8.25%	)	4/10/2026		1,300		1,148,875
NEP/NCP Holdco, Inc. 2018 1st Lien Term Loan	3.428% (3 Mo. LIBOR + 3.25%	)	10/20/2025		1,959		1,625,232
Pike Corporation 2019 Term Loan B	4.25% (1 Mo. LIBOR + 3.25%	)	7/24/2026		1,150		1,120,546
Trans Union, LLC 2019 Term Loan B5	1.928% (1 Mo. LIBOR + 1.75%	)	11/16/2026		1,104		1,059,264
Total							6,088,196
Telecommunications: Wireless 0.15%
Xplornet Communications, Inc. 2020 Term Loan B (Canada)(e)	4.928% (1 Mo. LIBOR + 4.75%	)	5/29/2027		1,696		1,625,275
Total Floating Rate Loans (cost $72,275,567)							69,718,612
FOREIGN GOVERNMENT OBLIGATIONS 2.03%
Argentina 0.38%
Ciudad Autonoma De Buenos Aires†(e)	7.50%		6/1/2027		2,108		1,626,322
Province of Santa Fe†(e)	6.90%		11/1/2027		2,051		1,207,526
Provincia de Mendoza†(e)	8.375%		5/19/2024		1,987		1,053,130
Provincia of Neuquen†(e)	7.50%		4/27/2025		388		192,064
Total							4,079,042

12 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Egypt 0.25%
Arab Republic of Egypt†(e)	5.577%	2/21/2023	$	2,626	$	2,691,650
Honduras 0.10%
Honduras Government†(e)	5.625%	6/24/2030		1,087		1,108,197
Ivory Coast 0.11%
Ivory Coast Government International Bond†(c)	5.875%	10/17/2031	EUR	1,090		1,153,691
Kenya 0.35%
Republic of Kenya†(e)	7.25%	2/28/2028	$	1,918		1,901,774
Republic of Kenya†(e)	8.25%	2/28/2048		1,924		1,902,692
Total						3,804,466
Mongolia 0.20%
Development Bank of Mongolia LLC†(e)	7.25%	10/23/2023		2,254		2,194,401
Peru 0.06%
Republic of Peru(e)	2.392%	1/23/2026		630		655,515
Ukraine 0.32%
Ukraine Government†(e)	7.375%	9/25/2032		3,394		3,420,259
United Arab Emirates 0.26%
Abu Dhabi Government International†(e)	3.125%	5/3/2026		2,607		2,835,021
Total Foreign Government Obligations (cost $23,445,280)						21,942,242
HIGH YIELD CORPORATE BONDS 72.31%
Aerospace/Defense 1.47%
Boeing Co. (The)	4.508%	5/1/2023		2,643		2,792,577
Boeing Co. (The)	5.805%	5/1/2050		1,762		2,083,740
Carrier Global Corp.†	2.70%	2/15/2031		763		759,942
Huntington Ingalls Industries, Inc.†	3.844%	5/1/2025		714		776,125
Leidos, Inc.†	3.625%	5/15/2025		1,212		1,326,079
Raytheon Technologies Corp.	4.125%	11/16/2028		1,625		1,916,348
Signature Aviation US Holdings, Inc.†	4.00%	3/1/2028		3,272		2,962,600
Signature Aviation US Holdings, Inc.†	5.375%	5/1/2026		27		27,097
TransDigm, Inc.†	6.25%	3/15/2026		1,048		1,049,153
TransDigm, Inc.	6.375%	6/15/2026		1,282		1,174,004
Triumph Group, Inc.	5.25%	6/1/2022		1,045		897,148
Total						15,764,813

See Notes to Financial Statements. 13

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Air Transportation 1.19%
Alaska Airlines 2020-1 Class A Pass Through Trust†(i)	4.80%	2/15/2029	$	1,151	$	1,171,143
Azul Investments LLP†	5.875%	10/26/2024		2,821		1,326,279
British Airways 2018-1 Class A Pass Through Trust (United Kingdom)†(e)	4.125%	3/20/2033		708		582,672
British Airways 2019-1 Class A Pass Through Trust (United Kingdom)†(e)	3.35%	12/15/2030		1,191		987,150
British Airways 2019-1 Class AA Pass Through Trust (United Kingdom)†(e)	3.30%	6/15/2034		1,933		1,751,060
Delta Air Lines 2019-1 Class AA Pass Through Trust	3.204%	10/25/2025		1,949		1,953,497
Delta Air Lines, Inc.†	7.00%	5/1/2025		2,118		2,188,569
JetBlue 2019-1 Class A Pass Through Trust	2.95%	11/15/2029		1,000		880,956
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.†(i)	6.50%	6/20/2027		1,989		1,998,945
Total						12,840,271
Auto Loans 0.50%
General Motors Financial Co., Inc.	2.75%	6/20/2025		2,413		2,380,670
General Motors Financial Co., Inc.	5.10%	1/17/2024		402		429,969
General Motors Financial Co., Inc.	5.25%	3/1/2026		1,632		1,779,873
Mclaren Finance plc(c)	5.00%	8/1/2022	GBP	900		783,948
Total						5,374,460
Auto Parts & Equipment 0.55%
Adient US LLC†	7.00%	5/15/2026	$	994		1,030,415
Clarios Global LP/Clarios U.S. Finance Co.†	8.50%	5/15/2027		1,643		1,655,281
Lear Corp.	3.50%	5/30/2030		290		290,380
Lear Corp.	3.80%	9/15/2027		938		952,508
Lear Corp.	4.25%	5/15/2029		1,100		1,130,431
Magna International, Inc. (Canada)(e)	2.45%	6/15/2030		875		896,679
Total						5,955,694
Automakers 2.29%
Aston Martin Capital Holdings Ltd.(c)	5.75%	4/15/2022	GBP	1,074		1,202,705
Aston Martin Capital Holdings Ltd. (Jersey)†(e)	6.50%	4/15/2022	$	1,281		1,158,024
BMW US Capital LLC†	4.15%	4/9/2030		2,241		2,586,951
Ford Motor Co.	9.00%	4/22/2025		5,024		5,441,620
Ford Motor Co.	9.625%	4/22/2030		1,510		1,791,124
General Motors Co.	6.125%	10/1/2025		2,493		2,804,779
Mclaren Finance plc. (United Kingdom)†(e)	5.75%	8/1/2022		657		464,828
Tesla, Inc.†	5.30%	8/15/2025		6,185		6,185,650

14 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments		Interest Rate		Maturity Date		Principal Amount (000)			Fair Value
Automakers (continued)
Volkswagen Group of America Finance LLC†		3.35%		5/13/2025		$	1,693	��	$	1,819,826
Volkswagen Group of America Finance LLC†		3.75%		5/13/2030			1,177			1,304,324
Total										24,759,831
Banking 4.81%
ABN AMRO Bank NV (Netherlands)†(e)		4.75%		7/28/2025			1,705			1,885,386
AIB Group plc (Ireland)†(e)		4.263% (3 Mo. LIBOR + 1.87%	)#	4/10/2025			1,203			1,282,983
AIB Group plc (Ireland)†(e)		4.75%		10/12/2023			1,197			1,291,933
Australia & New Zealand Banking Group Ltd. (United Kingdom)†(e)		6.75% (USD Swap + 5.17%	)#	–	(j)		1,026			1,139,081
Bank Leumi Le-Israel BM (Israel)†(e)	3.275% (5 Yr Treasury CMT + 1.63%		)#	1/29/2031			1,243			1,211,751
Bank of America Corp.		4.45%		3/3/2026			1,137			1,306,504
Bank of Ireland Group plc (Ireland)†(e)		4.50%		11/25/2023			2,192			2,356,008
BankUnited, Inc.		4.875%		11/17/2025			1,178			1,288,326
BBVA USA		3.875%		4/10/2025			1,353			1,430,238
BNP Paribas SA (France)†(e)	4.50% (5 Yr Treasury CMT + 2.94%		)#	–	(j)		2,491			2,184,296
CIT Group, Inc.		5.25%		3/7/2025			527			547,366
CIT Group, Inc.		6.125%		3/9/2028			3,668			3,974,498
Citigroup, Inc.		4.45%		9/29/2027			1,164			1,327,322
Credit Suisse Group AG (Switzerland)†(e)	5.10% (5 Yr Treasury CMT + 3.29%		)#	–	(j)		1,964			1,863,345
Fifth Third Bancorp		8.25%		3/1/2038			377			612,056
Global Bank Corp. (Panama)†(e)		5.25% (3 Mo. LIBOR + 3.30%	)#	4/16/2029			1,746			1,794,015
Goldman Sachs Group, Inc. (The)		3.50%		11/16/2026			1,520			1,672,871
Goldman Sachs Group, Inc. (The)		4.25%		10/21/2025			1,100			1,240,570
Home BancShares, Inc.		5.625% (3 Mo. LIBOR + 3.58%	)#	4/15/2027			1,656			1,676,416
Huntington Bancshares, Inc.		5.70% (3 Mo. LIBOR + 2.88%	)#	–	(j)		1,217			1,031,923
ING Groep NV (Netherlands)(e)	5.75% (5 Yr Treasury CMT + 4.34%		)#	–	(j)		2,544			2,527,044
Intesa Sanpaolo SpA (Italy)†(e)		5.71%		1/15/2026			4,060			4,305,882
JPMorgan Chase & Co.		3.54% (3 Mo. LIBOR + 1.38%	)#	5/1/2028			1,306			1,459,142
JPMorgan Chase & Co.		4.60% (SOFR + 3.13%	)#	–	(j)		1,375			1,227,669
JPMorgan Chase & Co.		6.10% (3 Mo. LIBOR + 3.33%	)#	–	(j)		1,088			1,115,654
Kookmin Bank (South Korea)†(e)		1.75%		5/4/2025			1,560			1,595,919
Macquarie Bank Ltd. (United Kingdom)†(e)	6.125% (5 Yr. Swap rate + 3.70%		)#	–	(j)		2,136			2,116,424
Morgan Stanley		3.125%		7/27/2026			1,144			1,263,151

See Notes to Financial Statements. 15

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments		Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Banking (continued)
Popular, Inc.		6.125%		9/14/2023		$	1,370	$	1,388,694
SVB Financial Group		3.125%		6/5/2030			978		1,049,506
US Bancorp		3.00%		7/30/2029			1,090		1,184,437
Washington Mutual Bank(k)		6.875%		6/15/2011			1,250		125	(b)
Webster Financial Corp.		4.10%		3/25/2029			1,622		1,724,440
Total									52,074,975
Beverages 1.00%
Bacardi Ltd.†		2.75%		7/15/2026			1,749		1,783,124
Bacardi Ltd.†		4.70%		5/15/2028			1,843		2,086,870
Becle SAB de CV (Mexico)†(e)		3.75%		5/13/2025			1,438		1,527,022
Brown-Forman Corp.		3.50%		4/15/2025			797		894,025
Brown-Forman Corp.		4.50%		7/15/2045			1,192		1,437,440
PepsiCo, Inc.		3.60%		3/1/2024			978		1,076,902
Suntory Holdings Ltd. (Japan)†(e)		2.25%		10/16/2024			1,913		1,993,643
Total									10,799,026
Brokerage 0.16%
Charles Schwab Corp. (The)	5.375% (5 Yr Treasury CMT + 4.97%		)#	–	(j)		1,591		1,703,675
Building & Construction 1.38%
Beazer Homes USA, Inc.		7.25%		10/15/2029			1,164		1,129,842
Century Communities, Inc.		5.875%		7/15/2025			214		213,710
Century Communities, Inc.		6.75%		6/1/2027			856		862,767
D.R. Horton, Inc.		2.60%		10/15/2025			697		733,511
ITR Concession Co. LLC†		5.183%		7/15/2035			785		905,634
Lennar Corp.		4.75%		11/15/2022			1,304		1,357,757
Lennar Corp.		4.75%		5/30/2025			645		690,218
Lennar Corp.		4.75%		11/29/2027			661		718,639
NVR, Inc.		3.00%		5/15/2030			1,952		2,042,253
PulteGroup, Inc.		6.375%		5/15/2033			2,250		2,641,556
Shea Homes LP/Shea Homes Funding Corp.†		6.125%		4/1/2025			1,208		1,218,443
Toll Brothers Finance Corp.		4.875%		3/15/2027			1,084		1,168,482
Toll Brothers Finance Corp.		5.625%		1/15/2024			1,208		1,296,963
Total									14,979,775
Building Materials 0.82%
Allegion plc (Ireland)(e)		3.50%		10/1/2029			918		966,031
Ferguson Finance PLC (United Kindom)†(e)		3.25%		6/2/2030			1,509		1,548,803
Hillman Group, Inc. (The)†		6.375%		7/15/2022			1,311		1,214,622

16 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Building Materials (continued)
Masonite International Corp.†	5.375%	2/1/2028	$	823	$	842,908
Owens Corning, Inc.	4.30%	7/15/2047		1,670		1,701,443
Owens Corning, Inc.	4.40%	1/30/2048		1,255		1,310,001
Vulcan Materials Co.	4.50%	6/15/2047		1,186		1,327,612
Total						8,911,420
Cable & Satellite Television 2.23%
CCO Holdings LLC/CCO Holdings Capital Corp.†	5.125%	5/1/2027		2,783		2,883,327
CCO Holdings LLC/CCO Holdings Capital Corp.†	5.75%	2/15/2026		3,946		4,090,207
CSC Holdings LLC†	5.50%	4/15/2027		2,372		2,470,438
CSC Holdings LLC†	5.75%	1/15/2030		1,274		1,332,470
CSC Holdings LLC†	6.50%	2/1/2029		1,046		1,144,716
DISH DBS Corp.	7.75%	7/1/2026		8,672		9,209,491
LCPR Senior Secured Financing DAC (Ireland)†(e)	6.75%	10/15/2027		1,133		1,157,575
VTR Finance NV (Chile)†(e)(i)	6.375%	7/15/2028		287		295,974
Ziggo BV (Netherlands)†(e)	5.50%	1/15/2027		1,491		1,518,039
Total						24,102,237
Chemicals 0.72%
CF Industries, Inc.†	4.50%	12/1/2026		1,047		1,154,573
CNAC HK Finbridge Co. Ltd. (Hong Kong)(e)	4.125%	7/19/2027		2,259		2,463,584
FMC Corp.	3.45%	10/1/2029		1,050		1,142,731
OCI NV (Netherlands)†(e)	6.625%	4/15/2023		678		684,780
Yingde Gases Investment Ltd. (Hong Kong)†(e)	6.25%	1/19/2023		2,233		2,293,707
Total						7,739,375
Consumer/Commercial/Lease Financing 0.70%
American Tower Corp.	2.95%	1/15/2025		1,132		1,231,463
Navient Corp.	6.125%	3/25/2024		1,728		1,646,983
Navient Corp.	6.75%	6/25/2025		1,448		1,389,175
Navient Corp.	6.75%	6/15/2026		1,633		1,522,470
Quicken Loans LLC†	5.25%	1/15/2028		1,111		1,158,667
USAA Capital Corp.†	2.125%	5/1/2030		609		627,821
Total						7,576,579
Department Stores 0.10%
Macy’s, Inc.†	8.375%	6/15/2025		1,118		1,114,506
Discount Stores 1.10%
Amazon.com, Inc.	4.25%	8/22/2057		1,325		1,779,902
Amazon.com, Inc.	4.80%	12/5/2034		2,179		2,969,823

See Notes to Financial Statements. 17

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Discount Stores (continued)
Amazon.com, Inc.	5.20%	12/3/2025	$	3,295	$	4,047,498
Costco Wholesale Corp.	1.75%	4/20/2032		1,511		1,539,549
Dollar General Corp.	3.50%	4/3/2030		1,350		1,515,281
Total						11,852,053
Diversified Capital Goods 0.66%
BCD Acquisition, Inc.†	9.625%	9/15/2023		1,128		1,080,754
Dover Corp.	2.95%	11/4/2029		1,320		1,417,595
Leggett & Platt, Inc.	4.40%	3/15/2029		974		1,048,518
Siemens Financieringsmaatschappij NV (Netherlands)†(e)	3.25%	5/27/2025		1,235		1,371,751
Westinghouse Air Brake Technologies Corp.	3.45%	11/15/2026		1,338		1,379,206
Westinghouse Air Brake Technologies Corp.	4.95%	9/15/2028		794		884,632
Total						7,182,456
Electric: Distribution/Transportation 0.94%
Adani Transmission Ltd. (India)†(e)	4.25%	5/21/2036		995		961,009
Atlantic City Electric Co.	4.00%	10/15/2028		1,149		1,338,844
Empresa de Transmision Electrica SA (Panama)†(e)	5.125%	5/2/2049		1,205		1,415,025
Empresas Publicas de Medellin ESP (Colombia)†(e)	4.25%	7/18/2029		1,689		1,698,180
Monongahela Power Co.†	3.55%	5/15/2027		1,188		1,318,258
Oklahoma Gas & Electric Co.	4.15%	4/1/2047		1,087		1,264,261
State Grid Overseas Investment 2016 Ltd.†	3.50%	5/4/2027		1,951		2,160,518
Total						10,156,095
Electric: Generation 2.05%
Adani Renewable Energy RJ Ltd./Kodangal Solar Parks Pvt Ltd/Wardha Solar Maharash (India)†(e)	4.625%	10/15/2039		1,449		1,391,064
Calpine Corp.†	5.125%	3/15/2028		328		321,317
Clearway Energy Operating LLC†	4.75%	3/15/2028		656		669,697
Clearway Energy Operating LLC	5.75%	10/15/2025		844		878,608
Dayton Power & Light Co. (The)	3.95%	6/15/2049		898		960,721
DPL, Inc.	4.35%	4/15/2029		1,537		1,558,655
Exelon Generation Co. LLC	3.25%	6/1/2025		1,168		1,260,472
Greenko Solar Mauritius Ltd. (Mauritius)†(e)	5.95%	7/29/2026		909		899,702
NextEra Energy Operating Partners LP†	3.875%	10/15/2026		2,442		2,444,186
NextEra Energy Operating Partners LP†	4.50%	9/15/2027		1,709		1,791,434
NRG Energy, Inc.†	3.75%	6/15/2024		1,802		1,905,832
NRG Energy, Inc.†	4.45%	6/15/2029		518		546,206
NRG Energy, Inc.†	5.25%	6/15/2029		632		666,510

18 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Electric: Generation (continued)
NRG Energy, Inc.	5.75%	1/15/2028	$	3,273	$	3,460,592
NSG Holdings LLC/NSG Holdings, Inc.†	7.75%	12/15/2025		1,346		1,364,029
TerraForm Power Operating LLC†	4.75%	1/15/2030		1,484		1,509,688
TerraForm Power Operating LLC†	5.00%	1/31/2028		561		587,544
Total						22,216,257
Electric: Integrated 2.72%
AES Corp. (The)	5.125%	9/1/2027		553		575,112
Arizona Public Service Co.	2.95%	9/15/2027		1,333		1,446,544
Ausgrid Finance Pty Ltd. (Australia)†(e)	4.35%	8/1/2028		1,217		1,354,917
Avangrid, Inc.	3.80%	6/1/2029		486		565,180
Black Hills Corp.	4.35%	5/1/2033		1,155		1,315,861
El Paso Electric Co.	5.00%	12/1/2044		1,203		1,428,626
Electricite de France SA (France)†(e)	3.625%	10/13/2025		1,044		1,173,124
Enel Finance International NV (Netherlands)†(e)	2.65%	9/10/2024		1,493		1,561,394
Enel Finance International NV (Netherlands)†(e)	3.50%	4/6/2028		1,829		1,969,703
Entergy Arkansas LLC	4.00%	6/1/2028		1,589		1,836,700
Entergy Arkansas LLC	4.95%	12/15/2044		1,109		1,217,255
Eskom Holdings SOC Ltd. (South Africa)†(e)	7.125%	2/11/2025		1,507		1,401,887
Exelon Corp.	4.05%	4/15/2030		772		893,017
Florida Power & Light Co.	2.85%	4/1/2025		1,098		1,203,002
HAT Holdings I LLC/HAT Holdings II LLC†	6.00%	4/15/2025		808		847,895
Indianapolis Power & Light Co.†	4.05%	5/1/2046		1,608		1,911,429
Louisville Gas & Electric Co.	4.375%	10/1/2045		1,017		1,228,200
Ohio Power Co.	4.00%	6/1/2049		1,172		1,424,086
Ohio Power Co.	4.15%	4/1/2048		1,223		1,509,529
Puget Energy, Inc.†	4.10%	6/15/2030		1,733		1,916,705
Puget Sound Energy, Inc.	4.223%	6/15/2048		1,174		1,479,225
Rochester Gas & Electric Corp.†	3.10%	6/1/2027		1,113		1,212,111
Total						29,471,502
Electronics 1.35%
Amphenol Corp.	2.05%	3/1/2025		936		978,024
Amphenol Corp.	2.80%	2/15/2030		1,875		1,997,309
KLA Corp.	4.10%	3/15/2029		776		916,262
Lam Research Corp.	4.875%	3/15/2049		1,558		2,163,264
Micron Technology, Inc.	5.327%	2/6/2029		1,763		2,111,659
NVIDIA Corp.	3.20%	9/16/2026		1,872		2,123,359
NXP BV/NXP Funding LLC/NXP USA, Inc. (Netherlands)†(e)	3.40%	5/1/2030		1,117		1,204,418

See Notes to Financial Statements. 19

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Electronics (continued)
Trimble, Inc.	4.75%	12/1/2024	$	1,455	$	1,584,712
Xilinx, Inc.	2.95%	6/1/2024		1,445		1,551,716
Total						14,630,723
Energy: Exploration & Production 3.93%
Apache Corp.	4.25%	1/15/2030		1,920		1,662,541
Apache Corp.	4.375%	10/15/2028		1,174		1,037,211
Apache Corp.	4.75%	4/15/2043		698		562,852
Apache Corp.	5.10%	9/1/2040		1,118		919,842
Berry Petroleum Co. LLC†	7.00%	2/15/2026		1,270		1,033,221
Callon Petroleum Co.	6.125%	10/1/2024		1,232		422,730
Centennial Resource Production LLC†	5.375%	1/15/2026		2,211		1,179,701
Centennial Resource Production LLC†	6.875%	4/1/2027		2,838		1,512,384
Continental Resources, Inc.	4.375%	1/15/2028		2,148		1,894,558
Continental Resources, Inc.	4.50%	4/15/2023		1,168		1,117,834
Diamondback Energy, Inc.	3.50%	12/1/2029		1,267		1,226,434
Diamondback Energy, Inc.	4.75%	5/31/2025		515		551,366
Endeavor Energy Resources LP/EER Finance, Inc.†	5.50%	1/30/2026		1,131		1,086,218
Endeavor Energy Resources LP/EER Finance, Inc.†	5.75%	1/30/2028		1,114		1,072,019
EQT Corp.	6.125%	2/1/2025		1,604		1,601,209
HighPoint Operating Corp.	7.00%	10/15/2022		1,144		278,581
Hilcorp Energy I LP/Hilcorp Finance Co.†	5.00%	12/1/2024		1,270		1,096,829
Hilcorp Energy I LP/Hilcorp Finance Co.†	6.25%	11/1/2028		1,114		897,951
Indigo Natural Resources LLC†	6.875%	2/15/2026		2,372		2,213,444
Jagged Peak Energy LLC	5.875%	5/1/2026		753		732,643
Laredo Petroleum, Inc.	10.125%	1/15/2028		2,341		1,621,143
MEG Energy Corp. (Canada)†(e)	7.00%	3/31/2024		1,504		1,293,598
MEG Energy Corp. (Canada)†(e)	7.125%	2/1/2027		3,299		2,750,541
Murphy Oil Corp.	5.75%	8/15/2025		1,165		1,055,053
Murphy Oil Corp.	5.875%	12/1/2027		1,115		982,248
Murphy Oil Corp.	6.875%	8/15/2024		988		926,354
Oasis Petroleum, Inc.†	6.25%	5/1/2026		345		58,014
Oasis Petroleum, Inc.	6.875%	3/15/2022		1,562		262,611
Parsley Energy LLC/Parsley Finance Corp.†	5.375%	1/15/2025		1,212		1,181,324
Parsley Energy LLC/Parsley Finance Corp.†	5.625%	10/15/2027		1,673		1,651,778
PDC Energy, Inc.	5.75%	5/15/2026		2,368		2,162,351
Seven Generations Energy Ltd. (Canada)†(e)	5.375%	9/30/2025		1,272		1,123,322
SM Energy Co.	6.625%	1/15/2027		1,053		519,029
SM Energy Co.	6.75%	9/15/2026		1,303		659,891

20 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Energy: Exploration & Production (continued)
Southwestern Energy Co.	6.20%	1/23/2025	$	723	$	621,317
Southwestern Energy Co.	7.50%	4/1/2026		376		330,299
Southwestern Energy Co.	7.75%	10/1/2027		1,120		977,934
Texaco Capital, Inc.	8.625%	11/15/2031		722		1,160,387
WPX Energy, Inc.	5.25%	10/15/2027		1,110		1,038,824
Total						42,475,586
Environmental 0.10%
Waste Pro USA, Inc.†	5.50%	2/15/2026		1,143		1,094,302
Food & Drug Retailers 0.36%
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC†	4.625%	1/15/2027		712		712,751
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC†	4.875%	2/15/2030		1,224		1,253,535
Rite Aid Corp.†	6.125%	4/1/2023		1,937		1,886,880
Total						3,853,166
Food: Wholesale 2.39%
Arcor SAIC (Argentina)†(e)	6.00%	7/6/2023		1,939		1,748,125
BRF SA (Brazil)†(e)	4.875%	1/24/2030		1,386		1,308,038
Campbell Soup Co.	3.125%	4/24/2050		2,821		2,898,883
Chobani LLC/Chobani Finance Corp., Inc.†	7.50%	4/15/2025		1,312		1,270,167
FAGE International SA/FAGE USA Dairy Industry, Inc. (Luxembourg)†(e)	5.625%	8/15/2026		1,241		1,170,958
General Mills, Inc.	2.875%	4/15/2030		505		550,176
JBS USA LUX SA/JBS USA Finance, Inc.†	6.75%	2/15/2028		3,253		3,443,528
Kraft Heinz Foods Co.†	3.75%	4/1/2030		730		754,203
Kraft Heinz Foods Co.	4.375%	6/1/2046		1,277		1,256,874
Kraft Heinz Foods Co.	4.625%	1/30/2029		376		405,529
Kraft Heinz Foods Co.	5.00%	7/15/2035		869		956,863
Kraft Heinz Foods Co.	5.00%	6/4/2042		1,219		1,285,737
Lamb Weston Holdings, Inc.†	4.625%	11/1/2024		989		1,028,664
McCormick & Co., Inc.	2.50%	4/15/2030		1,046		1,093,202
McCormick & Co., Inc.	4.20%	8/15/2047		1,393		1,661,981
MHP Lux SA (Luxembourg)†(e)	6.95%	4/3/2026		1,387		1,413,716
Smithfield Foods, Inc.†	5.20%	4/1/2029		2,168		2,347,078
Sysco Corp.	2.40%	2/15/2030		1,250		1,237,966
Total						25,831,688

See Notes to Financial Statements. 21

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Forestry/Paper 0.10%
Norbord, Inc. (Canada)†(e)	6.25%		4/15/2023		$	1,060	$	1,122,164
Gaming 2.01%
Boyd Gaming Corp.†	4.75%		12/1/2027			798		686,551
Boyd Gaming Corp.	6.00%		8/15/2026			1,197		1,117,471
Caesars Resort Collection LLC/CRC Finco, Inc.†	5.25%		10/15/2025			1,593		1,388,315
Colt Merger Sub, Inc.†(i)	5.75%		7/1/2025			619		623,643
Colt Merger Sub, Inc.†(i)	8.125%		7/1/2027			1,023		997,425
GLP Capital LP/GLP Financing II, Inc.	4.00%		1/15/2031			1,278		1,265,974
GLP Capital LP/GLP Financing II, Inc.	5.75%		6/1/2028			1,666		1,840,272
Las Vegas Sands Corp.	3.50%		8/18/2026			1,000		997,986
Las Vegas Sands Corp.	3.90%		8/8/2029			1,226		1,209,432
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.†	4.625%		6/15/2025			889		874,625
Mohegan Gaming & Entertainment†	7.875%		10/15/2024			1,181		984,535
Penn National Gaming, Inc.†	5.625%		1/15/2027			2,251		2,107,926
Scientific Games International, Inc.†	7.00%		5/15/2028			1,136		910,720
Scientific Games International, Inc.†	7.25%		11/15/2029			1,145		917,935
Scientific Games International, Inc.†	8.25%		3/15/2026			767		682,020
Stars Group Holdings BV/Stars Group US Co-Borrower LLC (Netherlands)†(e)	7.00%		7/15/2026			1,147		1,211,731
Wynn Macau Ltd. (Macau)†(e)	5.125%		12/15/2029			1,194		1,161,165
Wynn Macau Ltd. (Macau)†(e)	5.50%		10/1/2027			2,772		2,752,333
Total								21,730,059
Gas Distribution 2.60%
AI Candelaria Spain SLU (Spain)†(e)	7.50%		12/15/2028			1,300		1,317,628
Buckeye Partners LP	6.375% (3 Mo. LIBOR + 4.02%	)#	1/22/2078			3,170		2,327,715
Colonial Enterprises, Inc.†	3.25%		5/15/2030			748		811,828
Dominion Energy Gas Holdings LLC	3.60%		12/15/2024			1,175		1,290,991
Florida Gas Transmission Co. LLC†	4.35%		7/15/2025			1,145		1,286,480
Midwest Connector Capital Co. LLC†	4.625%		4/1/2029			2,222		2,398,082
National Fuel Gas Co.	5.50%		1/15/2026			3,268		3,480,334
NGPL PipeCo LLC†	4.875%		8/15/2027			2,012		2,211,926
Northern Natural Gas Co.†	4.30%		1/15/2049			1,811		2,169,676
ONE Gas, Inc.	4.50%		11/1/2048			1,149		1,458,110
Plains All American Pipeline LP	6.125% (3 Mo. LIBOR + 4.11%	)#	–	(j)		1,880		1,343,788
Sabal Trail Transmission LLC†	4.246%		5/1/2028			1,125		1,257,554
Sabine Pass Liquefaction LLC†	4.50%		5/15/2030			909		1,005,637

22 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Gas Distribution (continued)
Southern Star Central Corp.†	5.125%	7/15/2022	$	1,145	$	1,145,194
Transportadora de Gas Internacional SA ESP (Colombia)†(e)	5.55%	11/1/2028		2,056		2,248,976
Western Midstream Operating LP	3.10%	2/1/2025		240		227,947
Western Midstream Operating LP	3.95%	6/1/2025		249		234,488
Western Midstream Operating LP	4.05%	2/1/2030		2,002		1,934,382
Total						28,150,736
Health Facilities 3.14%
AHP Health Partners, Inc.†	9.75%	7/15/2026		1,193		1,230,055
Ascension Health	3.945%	11/15/2046		1,017		1,275,259
CHS/Community Health Systems, Inc.†	8.125%	6/30/2024		1,349		908,032
Dignity Health	3.812%	11/1/2024		675		709,999
HCA, Inc.	5.50%	6/15/2047		3,383		4,127,638
HCA, Inc.	7.05%	12/1/2027		390		437,410
HCA, Inc.	7.58%	9/15/2025		552		637,560
HCA, Inc.	7.69%	6/15/2025		1,240		1,418,120
HCA, Inc.	8.36%	4/15/2024		261		301,455
LifePoint Health, Inc.†	4.375%	2/15/2027		1,635		1,549,163
MEDNAX, Inc.†	6.25%	1/15/2027		1,857		1,863,416
Memorial Sloan-Kettering Cancer Center	4.20%	7/1/2055		1,478		1,944,035
Mount Sinai Hospitals Group, Inc.	3.737%	7/1/2049		1,566		1,677,859
MPT Operating Partnership LP/MPT Finance Corp.	5.00%	10/15/2027		1,192		1,228,541
New York & Presbyterian Hospital (The)	4.063%	8/1/2056		1,770		2,210,451
NYU Langone Hospitals	4.368%	7/1/2047		1,191		1,349,592
Providence St. Joseph Health Obligated Group	2.532%	10/1/2029		1,160		1,210,728
Quest Diagnostics, Inc.	2.80%	6/30/2031		896		941,243
Rede D’or Finance Sarl (Luxembourg)†(e)	4.95%	1/17/2028		1,512		1,431,584
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.†	9.75%	12/1/2026		1,663		1,701,507
Surgery Center Holdings, Inc.†	10.00%	4/15/2027		1,129		1,133,019
Tenet Healthcare Corp.†	4.875%	1/1/2026		835		819,118
Tenet Healthcare Corp.†	6.25%	2/1/2027		2,370		2,359,619
Tenet Healthcare Corp.	6.75%	6/15/2023		1,513		1,503,166
Total						33,968,569
Health Services 0.69%
CVS Health Corp.	3.625%	4/1/2027		1,079		1,213,839
DaVita, Inc.	5.00%	5/1/2025		1,415		1,448,253
Hadrian Merger Sub, Inc.†	8.50%	5/1/2026		1,379		1,253,428

See Notes to Financial Statements. 23

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Health Services (continued)
Montefiore Obligated Group	5.246%		11/1/2048	$	1,553	$	1,737,648
Verscend Escrow Corp.†	9.75%		8/15/2026		1,692		1,827,910
Total							7,481,078
Hotels 0.59%
ESH Hospitality, Inc.†	4.625%		10/1/2027		712		670,483
Hilton Domestic Operating Co., Inc.	4.875%		1/15/2030		1,332		1,315,057
Hilton Domestic Operating Co., Inc.	5.125%		5/1/2026		3,304		3,301,324
Marriott International, Inc.	5.75%		5/1/2025		1,046		1,141,142
Total							6,428,006
Insurance Brokerage 0.22%
Farmers Insurance Exchange†	4.747% (3 Mo. LIBOR + 3.23%	)#	11/1/2057		1,230		1,245,635
HUB International Ltd.†	7.00%		5/1/2026		1,133		1,134,139
Total							2,379,774
Integrated Energy 2.55%
Cenovus Energy, Inc. (Canada)(e)	5.40%		6/15/2047		5,951		5,113,889
Exxon Mobil Corp.	3.043%		3/1/2026		1,101		1,210,869
Hess Corp.	5.60%		2/15/2041		1,922		2,018,702
Hess Corp.	5.80%		4/1/2047		2,018		2,192,567
Lukoil Securities BV (Netherlands)†(e)	3.875%		5/6/2030		2,750		2,870,313
Occidental Petroleum Corp.	2.70%		8/15/2022		3,329		3,105,275
Occidental Petroleum Corp.	2.70%		2/15/2023		433		396,736
Occidental Petroleum Corp.	3.125%		2/15/2022		999		961,737
Petrobras Global Finance BV (Netherlands)(e)	5.60%		1/3/2031		1,538		1,546,267
Petroleos Mexicanos (Mexico)(e)	6.875%		8/4/2026		2,923		2,768,534
Saudi Arabian Oil Co. (Saudi Arabia)†(e)	4.375%		4/16/2049		2,191		2,481,458
Shell International Finance BV (Netherlands)(e)	6.375%		12/15/2038		1,973		2,962,785
Total							27,629,132
Investments & Miscellaneous Financial Services 0.28%
AG Issuer LLC†	6.25%		3/1/2028		527		491,428
Global Aircraft Leasing Co. Ltd. PIK 7.25%†	6.50%		9/15/2024		1,657		1,114,332
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.†	4.875%		4/15/2045		1,377		1,456,524
Total							3,062,284

24 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Life Insurance 0.63%
AIA Group Ltd. (Hong Kong)†(e)	3.375%	4/7/2030	$	1,304	$	1,426,236
Northwestern Mutual Life Insurance Co. (The)†	3.85%	9/30/2047		2,206		2,530,203
Teachers Insurance & Annuity Association of America†	4.27%	5/15/2047		889		1,058,271
Teachers Insurance & Annuity Association of America†	4.90%	9/15/2044		1,424		1,834,577
Total						6,849,287
Machinery 0.48%
IDEX Corp.	3.00%	5/1/2030		1,082		1,130,216
Itron, Inc.†	5.00%	1/15/2026		1,123		1,122,787
Roper Technologies, Inc.	4.20%	9/15/2028		925		1,085,264
Vertical Holdco GmbH(c)(i)	6.625%	7/15/2028	EUR	667		749,374
Xylem, Inc.	3.25%	11/1/2026	$	1,004		1,109,782
Total						5,197,423
Managed Care 1.25%
Anthem, Inc.	2.25%	5/15/2030		1,799		1,853,211
Centene Corp.	3.375%	2/15/2030		2,131		2,155,027
Centene Corp.	4.25%	12/15/2027		1,513		1,564,783
Centene Corp.	4.625%	12/15/2029		2,201		2,335,855
Centene Corp.†	5.375%	6/1/2026		1,131		1,177,060
Kaiser Foundation Hospitals	4.15%	5/1/2047		1,648		2,157,389
Molina Healthcare, Inc.†	4.875%	6/15/2025		1,088		1,097,406
MPH Acquisition Holdings LLC†	7.125%	6/1/2024		1,276		1,191,446
Total						13,532,177
Media: Content 1.45%
AMC Networks, Inc.	4.75%	8/1/2025		1,317		1,296,066
Diamond Sports Group LLC/Diamond Sports Finance Co.†	5.375%	8/15/2026		2,019		1,473,709
Gray Television, Inc.†	5.875%	7/15/2026		1,163		1,161,331
Netflix, Inc.(c)	3.625%	5/15/2027	EUR	3,466		4,065,427
Netflix, Inc.†(c)	3.625%	6/15/2030	EUR	1,020		1,181,667
Netflix, Inc.†(c)	3.875%	11/15/2029	EUR	765		905,188
Netflix, Inc.	4.875%	4/15/2028	$	2,136		2,287,442
Nexstar Broadcasting, Inc.†	5.625%	7/15/2027		1,682		1,686,255
Univision Communications, Inc.†	5.125%	2/15/2025		1,697		1,603,674
Total						15,660,759

See Notes to Financial Statements. 25

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Media: Diversified 0.33%
Cable Onda SA (Panama)†(e)	4.50%	1/30/2030	$	1,365	$	1,385,727
Prosus NV (Netherlands)†(e)	3.68%	1/21/2030		2,056		2,157,448
Total						3,543,175
Medical Products 0.60%
Alcon Finance Corp.†	2.60%	5/27/2030		1,552		1,597,138
Baxter International, Inc.†	3.75%	10/1/2025		940		1,071,735
Boston Scientific Corp.	7.00%	11/15/2035		1,473		2,093,773
Edwards Lifesciences Corp.	4.30%	6/15/2028		1,411		1,684,134
Total						6,446,780
Metals/Mining (Excluding Steel) 1.22%
Anglo American Capital PLC (United Kingdom)†(e)	5.625%	4/1/2030		1,100		1,330,951
Baffinland Iron Mines Corp./Baffinland Iron Mines LP (Canada)†(e)	8.75%	7/15/2026		1,143		1,122,786
Corp. Nacional del Cobre de Chile (Chile)†(e)	3.75%	1/15/2031		373		407,808
Freeport-McMoRan, Inc.	3.875%	3/15/2023		1,600		1,605,280
Freeport-McMoRan, Inc.	4.125%	3/1/2028		1,375		1,336,961
Freeport-McMoRan, Inc.	4.25%	3/1/2030		1,107		1,074,831
Hecla Mining Co.	7.25%	2/15/2028		1,233		1,254,577
Mirabela Nickel Ltd. (Australia)(e)	1.00%	9/10/2044		15		2	(b)
Newmont Corp.	2.25%	10/1/2030		2,118		2,150,759
Rain CII Carbon LLC/CII Carbon Corp.†	7.25%	4/1/2025		1,175		1,131,660
Teck Resources Ltd. (Canada)†(e)	3.90%	7/15/2030		691		693,377
Warrior Met Coal, Inc.†	8.00%	11/1/2024		1,107		1,080,188
Total						13,189,180
Monoline Insurance 0.18%
Fidelity National Financial, Inc.	4.50%	8/15/2028		1,693		1,907,936
Multi-Line Insurance 0.11%
Assurant, Inc.	3.70%	2/22/2030		1,158		1,168,449
Non-Electric Utilities 0.14%
Brooklyn Union Gas Co. (The)†	3.407%	3/10/2026		1,368		1,505,858
Oil Field Equipment & Services 0.51%
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(e)	4.60%	11/2/2047		1,779		2,110,561
Oceaneering International, Inc.	4.65%	11/15/2024		903		684,587
Oceaneering International, Inc.	6.00%	2/1/2028		2,094		1,473,254
Transocean Pontus Ltd.†	6.125%	8/1/2025		748		658,381

26 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Oil Field Equipment & Services (continued)
Transocean Proteus Ltd.†	6.25%	12/1/2024	$	649	$	600,649
Total						5,527,432
Oil Refining & Marketing 0.44%
Citgo Holding, Inc.†	9.25%	8/1/2024		1,769		1,764,577
CITGO Petroleum Corp.†	7.00%	6/15/2025		888		891,330
PBF Holding Co. LLC/PBF Finance Corp.†	6.00%	2/15/2028		1,419		1,181,318
PBF Holding Co. LLC/PBF Finance Corp.†	9.25%	5/15/2025		876		936,773
Total						4,773,998
Packaging 0.31%
Crown Cork & Seal Co., Inc.	7.375%	12/15/2026		1,295		1,519,760
Sealed Air Corp.†	6.875%	7/15/2033		1,060		1,257,224
Trivium Packaging Finance BV (Netherlands)†(e)	5.50%	8/15/2026		534		541,342
Total						3,318,326
Personal & Household Products 1.46%
Clorox Co. (The)	1.80%	5/15/2030		898		907,724
Coty, Inc.†	6.50%	4/15/2026		1,476		1,259,257
Hasbro, Inc.	3.90%	11/19/2029		2,327		2,427,338
Hasbro, Inc.	5.10%	5/15/2044		1,761		1,805,318
Mattel, Inc.†	6.75%	12/31/2025		1,676		1,741,758
Newell Brands, Inc.	4.70%	4/1/2026		4,710		4,947,196
Newell Brands, Inc.	5.875%	4/1/2036		1,082		1,159,092
Revlon Consumer Products Corp.	5.75%	2/15/2021		147		90,084
SC Johnson & Son, Inc.†	4.75%	10/15/2046		1,177		1,510,979
Total						15,848,746
Pharmaceuticals 0.86%
AbbVie, Inc.†	3.20%	11/21/2029		1,998		2,230,872
Bausch Health Americas, Inc.†	8.50%	1/31/2027		1,621		1,723,488
Bausch Health Cos, Inc.†	5.00%	1/30/2028		610		575,071
Bausch Health Cos, Inc.†	5.25%	1/30/2030		750		712,402
Pfizer, Inc.	2.625%	4/1/2030		935		1,029,908
Teva Pharmaceutical Finance Co. BV (Curacao)(e)	2.95%	12/18/2022		1,684		1,628,807
Zoetis, Inc.	3.90%	8/20/2028		1,159		1,366,615
Total						9,267,163
Property & Casualty 0.43%
Allstate Corp. (The)	3.28%	12/15/2026		1,244		1,421,744
Arch Capital Finance LLC	4.011%	12/15/2026		1,172		1,329,968

See Notes to Financial Statements. 27

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Property & Casualty (continued)
Selective Insurance Group, Inc.	5.375%	3/1/2049	$	1,669	$	1,928,468
Total						4,680,180
Rail 0.48%
Central Japan Railway Co. (Japan)†(e)	4.25%	11/24/2045		1,524		1,937,817
China Railway Xunjie Co. Ltd. (China)(e)	3.25%	7/28/2026		1,200		1,301,656
Rumo Luxembourg Sarl (Luxembourg)†(e)(i)	5.875%	1/18/2025		1,799		1,902,631
Total						5,142,104
Real Estate Development & Management 0.41%
CoStar Group, Inc.†(i)	2.80%	7/15/2030		1,100		1,127,832
Kaisa Group Holdings Ltd. (China)(e)	9.375%	6/30/2024		1,200		1,102,370
Ontario Teachers’ Cadillac Fairview Properties Trust (Canada)†(e)	3.875%	3/20/2027		2,039		2,189,921
Total						4,420,123
Real Estate Investment Trusts 0.82%
Alexandria Real Estate Equities, Inc.	3.80%	4/15/2026		543		610,058
Alexandria Real Estate Equities, Inc.	3.95%	1/15/2028		1,194		1,363,592
American Homes 4 Rent LP	4.25%	2/15/2028		203		217,334
American Homes 4 Rent LP	4.90%	2/15/2029		467		521,451
Goodman US Finance Four LLC†	4.50%	10/15/2037		1,137		1,302,203
Goodman US Finance Three LLC†	3.70%	3/15/2028		769		832,543
Hudson Pacific Properties LP	3.95%	11/1/2027		1,644		1,706,156
Prologis LP	3.875%	9/15/2028		781		926,436
Prologis LP	4.375%	2/1/2029		1,106		1,346,065
Total						8,825,838
Recreation & Travel 0.81%
Carnival Corp.†	11.50%	4/1/2023		2,462		2,664,963
Royal Caribbean Cruises Ltd.†	9.125%	6/15/2023		796		790,135
Royal Caribbean Cruises Ltd.†	11.50%	6/1/2025		1,570		1,637,879
Silversea Cruise Finance Ltd.†	7.25%	2/1/2025		1,587		1,501,532
Viking Cruises Ltd.†	5.875%	9/15/2027		1,819		1,087,189
Viking Cruises Ltd.†	13.00%	5/15/2025		1,024		1,084,800
Total						8,766,498
Reinsurance 0.59%
AXIS Specialty Finance plc (United Kingdom)(e)	5.15%	4/1/2045		1,595		1,933,565
Berkshire Hathaway, Inc.	3.125%	3/15/2026		907		1,016,851
PartnerRe Finance B LLC	3.70%	7/2/2029		1,237		1,360,676

28 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date	(000)		Value
Reinsurance (continued)
Transatlantic Holdings, Inc.	8.00%	11/30/2039	$	1,334	$	2,058,316
Total						6,369,408
Restaurants 0.56%
Darden Restaurants, Inc.	4.55%	2/15/2048		416		396,367
IRB Holding Corp.†	6.75%	2/15/2026		1,177		1,128,225
IRB Holding Corp.†	7.00%	6/15/2025		843		868,817
KFC Holding Co./Pizza Hut Holdings LLC/ Taco Bell of America LLC†	4.75%	6/1/2027		2,083		2,141,126
Starbucks Corp.	4.45%	8/15/2049		1,287		1,557,292
Total						6,091,827
Software/Services 2.81%
Autodesk, Inc.	3.50%	6/15/2027		1,446		1,631,962
Banff Merger Sub, Inc.†	9.75%	9/1/2026		1,101		1,110,424
Global Payments, Inc.	2.90%	5/15/2030		2,747		2,876,603
Global Payments, Inc.	4.15%	8/15/2049		1,042		1,195,163
Go Daddy Operating Co. LLC/GD Finance Co., Inc.†	5.25%	12/1/2027		937		955,567
GrubHub Holdings, Inc.†	5.50%	7/1/2027		1,218		1,248,152
Intuit, Inc.	0.95%	7/15/2025		575		576,189
Intuit, Inc.	1.65%	7/15/2030		1,150		1,148,333
Match Group, Inc.†	5.00%	12/15/2027		1,647		1,719,649
Microsoft Corp.	3.125%	11/3/2025		2,842		3,190,502
PayPal Holdings, Inc.	3.25%	6/1/2050		3,136		3,431,371
PTC, Inc.†	3.625%	2/15/2025		570		567,150
PTC, Inc.†	4.00%	2/15/2028		1,077		1,071,680
salesforce.com, Inc.	3.70%	4/11/2028		1,580		1,844,496
Tencent Holdings Ltd. (China)†(e)	3.595%	1/19/2028		766		836,578
Tencent Holdings Ltd. (China)†(e)	3.925%	1/19/2038		1,995		2,245,033
VeriSign, Inc.	4.75%	7/15/2027		1,117		1,175,983
VeriSign, Inc.	5.25%	4/1/2025		843		935,818
Veritas US, Inc./Veritas Bermuda Ltd.†	10.50%	2/1/2024		1,372		1,232,941
Visa, Inc.	3.15%	12/14/2025		1,289		1,439,100
Total						30,432,694
Specialty Retail 1.76%
AutoNation, Inc.	4.75%	6/1/2030		684		742,486
Best Buy Co., Inc.	4.45%	10/1/2028		1,332		1,546,195
eG Global Finance plc (United Kingdom)†(e)	8.50%	10/30/2025		1,604		1,647,276
Gap, Inc. (The)†	8.625%	5/15/2025		1,186		1,260,866

See Notes to Financial Statements. 29

Schedule of Investments (unaudited)(continued)

June 30, 2020

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date	(000)		Value
Specialty Retail (continued)
Gap, Inc. (The)†	8.875%	5/15/2027	$	534	$	575,051
JD.com, Inc. (China)(e)	3.375%	1/14/2030		1,197		1,285,452
JD.com, Inc. (China)(e)	4.125%	1/14/2050		2,118		2,259,933
Murphy Oil USA, Inc.	4.75%	9/15/2029		1,180		1,209,282
NIKE, Inc.	2.40%	3/27/2025		668		718,877
Penske Automotive Group, Inc.	5.50%	5/15/2026		267		266,951
PetSmart, Inc.†	5.875%	6/1/2025		1,195		1,201,698
PetSmart, Inc.†	7.125%	3/15/2023		1,269		1,253,823
Seven & i Holdings Co. Ltd. (Japan)†(e)	3.35%	9/17/2021		1,576		1,618,996
Tiffany & Co.	4.90%	10/1/2044		1,816		2,171,855
WW International, Inc.†	8.625%	12/1/2025		1,220		1,260,412
Total						19,019,153
Steel Producers/Products 0.31%
CSN Islands XI Corp. (Brazil)†(e)	6.75%	1/28/2028		1,901		1,630,108
CSN Resources SA (Brazil)†(e)	7.625%	4/17/2026		1,100		952,875
Joseph T Ryerson & Son, Inc.†	11.00%	5/15/2022		723		740,630
Total						3,323,613
Support: Services 2.04%
Ahern Rentals, Inc.†	7.375%	5/15/2023		1,440		696,449
Brand Industrial Service, Inc.†	8.50%	7/15/2025		1,226		1,107,219
Brink’s Co. (The)†	4.625%	10/15/2027		1,628		1,567,609
Cleveland Clinic Foundation (The)	4.858%	1/1/2114		1,100		1,564,500
Georgetown University (The)	2.943%	4/1/2050		1,246		1,222,363
IHS Markit Ltd. (United Kingdom)†(e)	4.00%	3/1/2026		1,627		1,803,245
IHS Markit Ltd. (United Kingdom)(e)	4.75%	8/1/2028		800		941,068
Johns Hopkins University	2.813%	1/1/2060		692		732,115
Marble II Pte Ltd. (Singapore)†(e)	5.30%	6/20/2022		449		444,494
Maxim Crane Works Holdings Capital LLC†	10.125%	8/1/2024		1,080		1,064,940
Metropolitan Museum of Art (The)	3.40%	7/1/2045		1,975		2,454,584
Presidio Holdings, Inc.†	4.875%	2/1/2027		1,121		1,097,706
Ritchie Bros Auctioneers, Inc. (Canada)†(e)	5.375%	1/15/2025		1,130		1,165,431
Uber Technologies, Inc.†	8.00%	11/1/2026		1,265		1,289,035
United Rentals North America, Inc.	4.875%	1/15/2028		1,039		1,066,601
United Rentals North America, Inc.	5.875%	9/15/2026		755		792,082
Verisk Analytics, Inc.	3.625%	5/15/2050		997		1,132,593
WeWork Cos., Inc.†	7.875%	5/1/2025		3,916		1,911,458
Total						22,053,492

30 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date	(000)		Value
Technology Hardware & Equipment 0.93%
Apple, Inc.	1.80%	9/11/2024	$	1,053	$	1,103,356
Apple, Inc.	3.00%	6/20/2027		2,081		2,325,727
CDW LLC/CDW Finance Corp.	4.125%	5/1/2025		483		485,717
CDW LLC/CDW Finance Corp.	5.50%	12/1/2024		1,425		1,553,100
Motorola Solutions, Inc.	4.60%	5/23/2029		1,513		1,747,647
Western Digital Corp.	4.75%	2/15/2026		2,745		2,845,302
Total						10,060,849
Telecommunications Equipment 0.12%
Xiaomi Best Time International Ltd. (Hong Kong)†(e)	3.375%	4/29/2030		1,322		1,305,739
Telecommunications: Satellite 0.30%
Connect Finco SARL/Connect US Finco LLC (Luxembourg)†(e)	6.75%	10/1/2026		2,264		2,143,782
Hughes Satellite Systems Corp.	5.25%	8/1/2026		1,111		1,152,951
Total						3,296,733
Telecommunications: Wireless 1.16%
Crown Castle International Corp.	4.15%	7/1/2050		762		879,778
SBA Communications Corp.†	3.875%	2/15/2027		2,561		2,553,842
Sprint Capital Corp.	6.875%	11/15/2028		5,062		6,182,980
T-Mobile USA, Inc.†	3.50%	4/15/2025		732		799,267
T-Mobile USA, Inc.†	3.875%	4/15/2030		1,099		1,226,973
T-Mobile USA, Inc.†	4.50%	4/15/2050		759		895,962
Total						12,538,802
Telecommunications: Wireline Integrated & Services 1.80%
Altice France Holding SA (Luxembourg)†(e)	6.00%	2/15/2028		934		888,472
Altice France Holding SA (Luxembourg)†(e)	10.50%	5/15/2027		1,507		1,666,629
Altice France SA (France)†(e)	8.125%	2/1/2027		3,262		3,575,625
CyrusOne LP/CyrusOne Finance Corp.	2.90%	11/15/2024		645		678,435
DKT Finance ApS (Denmark)†(e)	9.375%	6/17/2023		1,008		1,016,820
Equinix, Inc.(c)	2.875%	2/1/2026	EUR	3,120		3,572,551
GCI LLC	6.875%	4/15/2025	$	1,230		1,271,383
Motorola Solutions, Inc.	4.60%	2/23/2028		1,066		1,212,936
Verizon Communications, Inc.	2.625%	8/15/2026		3,135		3,413,942
VTR Comunicaciones SpA (Chile)†(e)(i)	5.125%	1/15/2028		410		420,455
Zayo Group Holdings, Inc.†	4.00%	3/1/2027		1,163		1,105,757
Zayo Group Holdings, Inc.†	6.125%	3/1/2028		691		673,186
Total						19,496,191

See Notes to Financial Statements. 31

Schedule of Investments (unaudited)(continued)

June 30, 2020

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date	(000)		Value
Tobacco 0.08%
BAT Capital Corp.	4.70%	4/2/2027	$	713	$	815,952
Transportation: Infrastructure/Services 1.06%
Adani Ports & Special Economic Zone Ltd. (India)†(e)	4.375%	7/3/2029		1,680		1,648,576
Aeropuerto Internacional de Tocumen SA (Panama)†(e)	6.00%	11/18/2048		1,926		2,116,770
Autopistas del Sol SA (Costa Rica)†(e)	7.375%	12/30/2030		1,282		1,111,321
Autoridad del Canal de Panama (Panama)†(e)	4.95%	7/29/2035		1,000		1,144,305
CH Robinson Worldwide, Inc.	4.20%	4/15/2028		1,736		1,980,046
Mersin Uluslararasi Liman Isletmeciligi AS (Turkey)†(e)	5.375%	11/15/2024		1,675		1,704,260
Rumo Luxembourg Sarl (Luxembourg)(e)	5.25%	1/10/2028		504		504,000
Stena AB (Sweden)†(e)	7.00%	2/1/2024		1,332		1,256,935
Total						11,466,213
Transportation: Miscellaneous 0.17%
XPO Logistics, Inc.†	6.25%	5/1/2025		1,788		1,876,283
Total High Yield Corporate Bonds (cost $754,568,810)						782,130,648
MUNICIPAL BONDS 3.19%
Air Transportation 0.18%
Miami Dade Cnty, FL	3.982%	10/1/2041		970		955,402
Miami-Dade Cnty, FL	4.28%	10/1/2041		950		1,016,680
Total						1,972,082
Education 0.84%
California State University	3.899%	11/1/2047		1,975		2,440,942
Ohio Univ	5.59%	12/1/2114		1,000		1,494,060
Permanent University Fund- Texas A&M University System	3.66%	7/1/2047		3,070		3,333,437
Univ of California Bd of Regents	6.548%	5/15/2048		600		961,344
University of California Bond of Regents	3.006%	5/15/2050		885		899,611
Total						9,129,394
General Obligation 0.74%
California	7.55%	4/1/2039		885		1,579,804
Chicago Transit Auth, IL	6.899%	12/1/2040		500		689,875
City of Portland	7.701%	6/1/2022		1,035		1,125,521
District of Columbia	5.591%	12/1/2034		795		1,057,207
Los Angeles Unif Sch Dist, CA	5.75%	7/1/2034		1,000		1,385,320
Pennsylvania	5.45%	2/15/2030		836		1,068,433
The Bd of Governors of the Univ of North Carolina	3.847%	12/1/2034		855		1,053,822
Total						7,959,982

32 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
Lease Obligation 0.08%
Wisconsin	3.294%		5/1/2037	$	790	$	861,463
Miscellaneous 0.63%
Dallas Convention Center Hotel Dev Corp., TX	7.088%		1/1/2042		1,210		1,526,814
New York City Indl Dev Agy†	11.00%		3/1/2029		2,220		3,032,698
Pasadena Public Fing Auth	7.148%		3/1/2043		1,445		2,238,464
Total							6,797,976
Tax Revenue 0.28%
Massachusetts Sch Bldg Auth	5.715%		8/15/2039		1,220		1,693,982
Memphis-Shelby County Industrial Development Board, TN	7.00%		7/1/2045		1,225		1,339,525	(a)
Total							3,033,507
Transportation 0.07%
Foothill-Eastern Transportation Corridor Agency	4.094%		1/15/2049		787		809,367
Transportation: Infrastructure/Services 0.24%
Chicago Transit Auth, IL	6.20%		12/1/2040		1,030		1,400,831
Port of Seattle, WA	3.755%		5/1/2036		1,105		1,154,316
Total							2,555,147
Utilities 0.13%
San Antonio, TX	5.718%		2/1/2041		980		1,427,782
Total Municipal Bonds (cost $31,009,132)							34,546,700
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 2.16%
Angel Oak Mortgage Trust 2020-1 A1†	2.466%	#(l)	12/25/2059		641		646,563
BBCMS Mortgage Trust 2018-C2 C	5.135%	#(l)	12/15/2051		1,011		1,025,109
BBCMS Mortgage Trust 2019-BWAY A†	1.141% (1 Mo. LIBOR + .96%	)#	11/25/2034		1,750		1,694,393
Benchmark Mortgage Trust 2019-B12 WMA†	4.388%	#(l)	8/15/2052		2,892		2,808,855	(a)
CF Trust 2019-BOSS A1†	3.435% (1 Mo. LIBOR + 3.25%	)#	12/15/2021		1,340		1,231,622	(a)
Citigroup Commercial Mortgage Trust 2016-P3 D†	2.804%	#(l)	4/15/2049		828		469,747
COMM Mortgage Trust 2014-UBS5 AM	4.193%	#(l)	9/10/2047		1,161		1,241,402
Credit Suisse Mortgage Capital Certificates 2019-ICE4 D†	1.785% (1 Mo. LIBOR + 1.60%	)#	5/15/2036		924		898,270
Credit Suisse Mortgage Capital Certificates 2020-AFC1 A1†	2.24%	#(l)	2/25/2050		1,427		1,453,862
Deephaven Residential Mortgage Trust 2020-1 A1†	2.339%	#(l)	1/25/2060		893		904,963
GCAT Trust 2020-NQM1 A1†	2.247%		1/25/2060		694		701,548

See Notes to Financial Statements. 33

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments		Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Great Wolf Trust 2019-WOLF A†		1.219% (1 Mo. LIBOR + 1.03%		)#	12/15/2036	$	3,317	$	3,196,635
JPMCC Commercial Mortgage Securities Trust 2017-JP5		4.032%		#(l)	3/15/2050		571		517,964
New Residential Mortgage Loan Trust 2020-NQM1 A1†		2.464%		#(l)	1/26/2060		583		594,554
PFP Ltd. 2019-6 A†	1.245% (1 Mo. LIBOR + 1.05%			)#	4/14/2037		1,750		1,696,450
PFP Ltd. 2019-6 C†	2.295% (1 Mo. LIBOR + 2.10%			)#	4/14/2037		1,995		1,875,300
Residential Mortgage Loan Trust 2020-1 A1†		2.376%		#(l)	2/25/2024		407		412,834
Starwood Mortgage Residential Trust 2020-1 A1†		2.275%		#(l)	2/25/2050		902		910,707
Verus Securitization Trust 2020-1 A1†		2.417%		#(l)	1/25/2060		1,064		1,079,735
Total Non-Agency Commercial Mortgage-Backed Securities (cost $23,883,549)									23,360,513
			Dividend Rate			Shares (000)
PREFERRED STOCK 0.00%
Energy: Exploration & Production
Templar Energy LLC (cost $428,695)		Zero Coupon					49		–	(a)
			Exercise Price		Expiration Date
WARRANT 0.00%
Personal & Household Products
Remington Outdoor Co., Inc. (cost $86,340)		$35.05			5/14/2022		16		164	(a)
Total Long-Term Investments (cost $1,032,859,405)									1,062,982,504
SHORT-TERM INVESTMENTS 0.03%
Money Market Funds 0.03%
CitiBank N.A.(m)							32		32,085
Fidelity Government Portfolio(m)							289		288,765
Total Money Market Funds (cost $320,850)									320,850
Total Investments in Securities 98.30% (cost $1,033,180,255)									1,063,303,354
Less Unfunded Loan Commitments (0.01)% (cost $40,360)									(45,671	)
Net Investments 98.29% (cost $1,033,139,895)									1,063,257,683
Foreign Cash, Securities Lending and Other Assets in Excess Liabilities(n) 1.71%									18,450,408
Net Assets 100.00%								$	1,081,708,091

34 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

CAD	Canadian dollar.
EUR	Euro.
GBP	British pound.
ADR	American Depositary Receipt.
CMT	Constant Maturity Rate.
LIBOR	London Interbank Offered Rate.
PIK	Payment-in-kind.
SOFR	Secured Over Night Financing Rate.
Units	More than one class of securities traded together.

†	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. At June 30, 2020, the total value of Rule 144A securities was $449,256,829, which represents 41.53% of net assets.
#	Variable rate security. The interest rate represents the rate in effect at June 30, 2020.
*	Non-income producing security.
(a)	Level 3 Investment as described in Note 2(o) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.
(b)	Level 3 Investment as described in Note 2(o) in the Notes to Financials. Security fair valued by the Pricing Committee.
(c)	Investment in non-U.S. dollar denominated securities.
(d)	All or a portion of this security was on loan to brokers at June 30, 2020.
(e)	Foreign security traded in U.S. dollars.
(f)	Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at June 30, 2020.
(g)	Level 3 Investment as described in Note 2(o) in the Notes to Financials. Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation.
(h)	Interest rate to be determined.
(i)	Securities purchased on a when-issued basis (See Note 2(i)).
(j)	Security is perpetual in nature and has no stated maturity.
(k)	Defaulted (non-income producing security).
(l)	Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool.
(m)	Security was purchased with the cash collateral from loaned securities.
(n)	Foreign Cash and Other Assets in Excess Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows:

Centrally Cleared Credit Default Swaps on Indexes - Buy Protection at June 30, 2020⁽¹⁾:

Referenced Index	Central Clearing Party	Fund Pays (Quarterly)	Termination Date	Notional Amount	Notional Value	Payments Upfront(2)		Unrealized Depreciation(3)
Markit CDX. NA.IG.34(4)(5)	Credit Suisse	1.00%	6/20/2025	$26,570,000	$26,883,683	$(125,056	)	$(188,627	)

(1)	If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) 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 paid/received by Central Clearing Party are presented net of amortization.
(3)	Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $188,627.
(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 investment grade securities.

See Notes to Financial Statements. 35

Schedule of Investments (unaudited)(continued)

June 30, 2020

Credit Default Swaps on Indexes - Sell Protection at June 30, 2020⁽¹⁾:

Referenced Index	Swap Counterparty	Fund Receives (Quarterly)	Termination Date	Notional Amount		Notional Value		Payments Upfront(2)				Unrealized Appreciation/ Depreciation(3)				Credit Default Swap Agreements Payable at Fair Value(4)
Markit CMBX NA.BBB.9*	Credit Suisse	3.00%	9/17/2058	$	54,000	$	43,502		$	(2,482	)		$	(8,016	)		$	(10,498	)
Markit CMBX NA.BBB.9*	Deutsche Bank	3.00%	9/17/2058		2,785,000		2,243,578			(128,011	)			(413,411	)			(541,422	)
Markit CMBX NA.BBB.9*	Goldman Sachs	3.00%	9/17/2058		1,153,000		928,850			(52,997	)			(171,153	)			(224,150	)
Markit CMBX NA.BBB.11*	Deutsche Bank	3.00%	11/18/2054		383,000		304,723			(13,956	)			(64,321	)			(78,277	)
Markit CMBX NA.BBB.11*	JPMorgan Chase	3.00%	11/18/2054		393,000		312,680			(14,320	)			(66,000	)			(80,320	)
									$	(211,766	)		$	(722,901	)		$	(934,667	)

*	The Referenced Index is for the Credit Default Swaps on Indexes, which is comprised of a basket of commercial mortgage backed securities.
(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 are presented net of amortization.
(3)	Total unrealized appreciation on Credit Default Swaps in Indexes amounted to $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $722,901.
(4)	Includes upfront payments received.

36 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Open Forward Foreign Currency Exchange Contracts at June 30, 2020:

Forward
Foreign					U.S. $
Currency					Cost on		U.S. $
Exchange	Transaction		Expiration	Foreign	Origination		Current		Unrealized
Contracts	Type	Counterparty	Date	Currency	Date		Value		Appreciation
British pound	Sell	Morgan Stanley	9/8/2020	1,471,000	$	1,853,506	$	1,823,441		$	30,065
Euro	Sell	Bank of America	9/4/2020	11,413,000		12,904,348		12,840,434			63,914
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts										$	93,979

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

Buy

State Street

Bank and Trust

9/4/2020

589,000

$668,035

$662,667

$

(5,368

)

Open Futures Contracts at June 30, 2020:

				Notional		Notional		Unrealized
Type	Expiration	Contracts	Position	Amount		Value		Appreciation
U.S. 2-Year Treasury Note	September 2020	1,590	Long	$	350,987,046	$	351,116,720		$	129,674
U.S. 5-Year Treasury Note	September 2020	646	Long		81,029,117		81,229,453			200,336
Total Unrealized Appreciation on Open Futures Contracts									$	330,010

				Notional			Notional			Unrealized
Type	Expiration	Contracts	Position	Amount			Value			Depreciation
Euro-Bobl	September 2020	6	Short	EUR (804,350		)	EUR (809,880		)		$	(6,213	)
U.S. 10-Year Treasury Note	September 2020	46	Short	$	(6,387,451	)	$	(6,401,906	)			(14,455	)
U.S. 10-Year Ultra Treasury Bond	September 2020	285	Short		(44,674,329	)		(44,883,047	)			(208,718	)
U.S. Long Bond	September 2020	93	Short		(16,470,259	)		(16,606,313	)			(136,054	)
U.S . Ultra Treasury Bond	September 2020	331	Short		(71,310,712	)		(72,209,718	)			(899,006	)
Total Unrealized Depreciation on Open Futures Contracts											$	(1,264,446	)

See Notes to Financial Statements. 37

Schedule of Investments (unaudited)(continued)

June 30, 2020

The following is a summary of the inputs used as of June 30, 2020 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
Credit Cards	$	–	$	–		$	1,246,016	$	1,246,016
Other		–		33,368,501			447,745		33,816,246
Remaining Industries		–		1,651,084			–		1,651,084
Common Stocks
Aerospace/Defense		–		–			44,651		44,651
Auto Parts & Equipment		–		446,062			–		446,062
Energy: Exploration & Production		1,541,376		–			3,698		1,545,074
Personal & Household Products		4,154,120		8,129			1,110,257		5,272,506
Pharmaceuticals		4,077,728		49,999			–		4,127,727
Specialty Retail		7,733,628		369,083			–		8,102,711
Transportation: Infrastructure/Services		–		–			877,319		877,319
Remaining Industries		67,549,726		–			–		67,549,726
Convertible Bond		–		6,604,503			–		6,604,503
Floating Rate Loans
Building Materials		–		1,763,329			1,224,651		2,987,980
Diversified Capital Goods		–		268,536			1,521,195		1,789,731
Personal & Household Products		–		4,293,901			84,207		4,378,108
Less Unfunded Commitments		–		(45,671	)		–		(45,671	)
Remaining Industries		–		60,562,793			–		60,562,793
Foreign Government Obligations		–		21,942,242			–		21,942,242
High Yield Corporate Bonds
Banking		–		52,074,850			125		52,074,975
Metals/Mining (Excluding Steel)		–		13,189,178			2		13,189,180
Remaining Industries		–		716,866,493			–		716,866,493
Municipal Bonds
Tax Revenue		–		4,726,680			1,339,525		6,066,205
Remaining Industries		–		28,480,495			–		28,480,495
Non-Agency Commercial
Mortgage-Backed Securities		–		19,320,036			4,040,477		23,360,513
Preferred Stock		–		–			–		–
Warrant		–		–			164		164
Short-Term Investments
Money Market Funds		320,850		–			–		320,850
Total	$	85,377,428	$	965,940,223		$	11,940,032	$	1,063,257,683

38 See Notes to Financial Statements.

Schedule of Investments (unaudited)(concluded)

June 30, 2020

Other Financial Instruments	Level 1			Level 2			Level 3		Total
Centrally Cleared Credit Default Swap Contracts
Assets	$	–		$	–		$	–	$	–
Liabilities		–			(188,627	)		–		(188,627	)
Credit Default Swap Contracts
Assets		–			–			–		–
Liabilities		–			(934,667	)		–		(934,667	)
Forward Foreign Currency Exchange Contracts
Assets		–			93,979			–		93,979
Liabilities		–			(5,368	)		–		(5,368	)
Futures Contracts
Assets		330,010			–			–		330,010
Liabilities		(1,264,446	)		–			–		(1,264,446	)
Total	$	(934,436	)	$	(1,034,683	)	$	–	$	(1,969,119	)

(1)

Refer to Note 2(o) for a description of fair value measurements and the three-tier hierarchy of inputs.

(2)

See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more Levels within the three-tier fair value hierarchy. Each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized.

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

Investment Type	Asset-Backed Securities				Common Stocks			Floating Rate Loans				High Yield Corporate Bonds			Municipal Bonds				Non-Agency Commercial Mortgage- Backed Securities				Preferred Stocks			Warrants
Balance as of January 1, 2020		$	857,698			$	1,113,955		$	7,800,218			$	127		$	–			$	4,239,796			$	–		$	164
Accrued Discounts (Premiums)			20				–			11,715				–			(3,508	)			375				–			–
Realized Gain (Loss)			(38,749	)			–			(40,111	)			–			–				–				–			–
Change in Unrealized Appreciation (Depreciation)			(9,343	)			–			(450,218	)			–			18,796				(199,694	)			–			–
Purchases			–				921,970			203,512				–			–				–				–			–
Sales			(465,465	)			–			(1,436,293	)			–			–				–				–			–
Transfers into Level 3			1,703,084				–			1,272,162				–			1,324,237				–				–			–
Transfers out of Level 3			(353,484	)			–			(4,530,932	)			–			–				–				–			–
Balance as of June 30, 2020		$	1,693,761			$	2,035,925		$	2,830,053			$	127		$	1,339,525			$	4,040,477			$	–		$	164
Change in unrealized appreciation/depreciation for the period ended June 30, 2020, related to Level 3 investments held at June 30, 2020		$	(9,343	)		$	–		$	(444,201	)		$	–		$	18,796			$	(199,694	)		$	–		$	–

See Notes to Financial Statements. 39

Statement of Assets and Liabilities (unaudited)

June 30, 2020

ASSETS:
Investments in securities, at fair value including $309,318 of securities loaned (cost $1,033,139,895)	$	1,063,257,683
Deposits with brokers for futures collateral		4,578,075
Deposits with brokers for swaps collateral		2,417,807
Foreign cash, at value (cost $5,081)		5,306
Receivables:
Investment securities sold		22,259,454
Interest and dividends		12,152,750
Variation margin for futures contracts		730,801
Capital shares sold		372,639
Variation margin for centrally cleared credit default swap agreements		1,183,868
Unrealized appreciation on forward foreign currency exchange contracts		93,979
Unrealized appreciation on unfunded commitments		5,311
Prepaid expenses and other assets		3,902
Total assets		1,107,061,575
LIABILITIES:
Payables:
Investment securities purchased		18,163,396
To bank		3,168,770
To broker		304,072
Capital shares reacquired		579,700
Management fee		422,012
Directors’ fees		124,914
Fund administration		35,691
Unrealized depreciation on forward foreign currency exchange contracts		5,368
Credit default swap agreements payable, at fair value (including upfront payments of $211,766)		934,667
Payable for collateral due to broker for securities lending		320,850
Accrued expenses and other liabilities		1,294,044
Total liabilities		25,353,484
Commitments and contingent liabilities
NET ASSETS	$	1,081,708,091
COMPOSITION OF NET ASSETS:
Paid-in capital	$	1,090,098,614
Total distributable earnings (loss)		(8,390,523	)
Net Assets	$	1,081,708,091
Outstanding shares (200 million shares of common stock authorized, $.001 par value)		92,648,693
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares)	$	11.68

40 See Notes to Financial Statements.

Statement of Operations (unaudited)

For the Six Months Ended June 30, 2020

Investment income:
Dividends (net of foreign withholding taxes of $709)	$	162,172
Interest and other		26,296,457
Total investment income		26,458,629
Expenses:
Management fee		2,603,003
Non 12b-1 service fees		1,361,648
Shareholder servicing		594,814
Fund administration		220,328
Professional		49,002
Reports to shareholders		48,091
Directors’ fees		12,890
Custody		9,322
Other		64,561
Gross expenses		4,963,659
Expense reductions (See Note 9)		(8,593	)
Net expenses		4,955,066
Net investment income		21,503,563
Net realized and unrealized gain (loss):
Net realized gain (loss) on investments		(22,548,336	)
Net realized gain (loss) on futures contracts		(16,766,346	)
Net realized gain (loss) on forward foreign currency exchange contracts		187,039
Net realized gain (loss) on swap contracts		3,033,319
Net realized gain (loss) on foreign currency related transactions		407,822
Net change in unrealized appreciation/depreciation on investments		(22,313,416	)
Net change in unrealized appreciation/depreciation on futures contracts		(6,167,031	)
Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts		(183,832	)
Net change in unrealized appreciation/depreciation on swap contracts		(1,068,802	)
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies		387
Net change in unrealized appreciation/depreciation on unfunded commitments		6,537
Net realized and unrealized gain (loss)		(65,412,659	)
Net Decrease in Net Assets Resulting From Operations	$	(43,909,096	)

See Notes to Financial Statements. 41

Statements of Changes in Net Assets

	For the Six Months
	Ended June 30, 2020			For the Year Ended
INCREASE (DECREASE) IN NET ASSETS	(unaudited)			December 31, 2019
Operations:
Net investment income	$	21,503,563		$	44,132,660
Net realized gain (loss) on investments, futures contracts, forward foreign currency exchange contracts, swaps and foreign currency related transactions		(35,686,502	)		(8,201,453	)
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward foreign currency exchange contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies		(29,726,157	)		105,409,736
Net increase (decrease) in net assets resulting from operations		(43,909,096	)		141,340,943
Distributions to shareholders:		–			(45,228,305	)
Capital share transactions (See Note 15):
Proceeds from sales of shares		48,657,597			122,181,693
Reinvestment of distributions		883			45,228,305
Cost of shares reacquired		(110,484,703	)		(153,383,836	)
Net increase (decrease) in net assets resulting from capital share transactions		(61,826,223	)		14,026,162
Net increase (decrease) in net assets		(105,735,319	)		110,138,800
NET ASSETS:
Beginning of period	$	1,187,443,410		$	1,077,304,610
End of period	$	1,081,708,091		$	1,187,443,410

42 See Notes to Financial Statements.

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43

Financial Highlights

			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 operations			Net invest- ment income			Net realized gain			Total distri- butions
6/30/2020(c)	$	12.08	$	0.20	$	(0.60	)	$	(0.40	)	$	–		$	–		$	–
12/31/2019		11.08		0.46		1.02			1.48			(0.48	)		–			(0.48	)
12/31/2018		12.38		0.49		(0.99	)		(0.50	)		(0.53	)		(0.27	)		(0.80	)
12/31/2017		11.94		0.52		0.58			1.10			(0.53	)		(0.13	)		(0.66	)
12/31/2016		11.14		0.52		0.83			1.35			(0.55	)		–			(0.55	)
12/31/2015		11.89		0.47		(0.65	)		(0.18	)		(0.49	)		(0.08	)		(0.57	)

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales charges or other expenses imposed by an insurance company and assumes the reinvestment of all distributions.
(c)	Unaudited.
(d)	Not annualized.
(e)	Annualized.

44 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 reimburse- ments (%)			Total expenses (%)			Net investment income (%)			Net assets, end of period (000)		Portfolio turnover rate (%)
$	11.68		(3.31	)(d)		0.91	(e)		0.91	(e)		3.95	(e)	$	1,081,708		59	(d)
	12.08		13.35			0.92			0.92			3.84			1,187,443		232
	11.08		(4.02	)		0.92			0.93			4.04			1,077,305		153
	12.38		9.21			0.90			0.92			4.13			1,173,221		121
	11.94		12.13			0.90			0.93			4.41			1,066,633		120
	11.14		(1.53	)		0.90			0.94			3.91			978,129		116

See Notes to Financial Statements. 45

Notes to Financial Statements (unaudited)

1. ORGANIZATION  

Lord Abbett Series Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was incorporated under Maryland law in 1989. The Company consists of nine separate portfolios as of June 30, 2020. This report covers Bond-Debenture Portfolio (the “Fund”).

The Fund’s investment objective is to seek high current income and the opportunity for capital appreciation to produce a high total return. The Fund has Variable Contract class shares (“Class VC Shares”), which are currently issued and redeemed only in connection with investments in, and payments under, variable annuity contracts and variable life insurance policies issued by life insurance and insurance-related companies.

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. The Fund is considered an investment company 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 Fund’s Board of Directors (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
	Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. The 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. 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. 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. 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

46

Notes to Financial Statements (unaudited)(continued)

	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.
(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 on the Statement of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates.
(d)	Income Taxes–It is the policy of the Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.
	The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s filed U.S. federal tax returns remains open for the fiscal years ended December 31, 2016 through December 31, 2019. The statutes of limitations on the Company’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
(e)	Expenses–Expenses incurred by the Company that do not specifically relate to an individual fund are generally allocated to the funds within the Company on a pro rata basis by relative net assets.
(f)	Foreign Transactions–The books and records of the Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in the Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss), if applicable, is included in Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions are included in Net realized gain (loss), if applicable, on foreign currency related transactions on the Fund’s Statement of Operations. The Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities.
	The Fund uses foreign currency exchange contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

47

Notes to Financial Statements (unaudited)(continued)

(g)	Forward Foreign Currency Exchange Contracts–The Fund may enter into forward foreign currency exchange contracts in order to reduce exposure to changes in foreign currency exchange rates on 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, if applicable, in Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts on the Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included, if applicable, in Net realized gain (loss) on forward foreign currency exchange contracts on the Fund’s Statement of Operations.
(h)	Futures Contracts–The 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 the Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. The Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract.
(i)	When-Issued, Forward Transactions or To-Be-Announced (“TBA”) Transactions–The Fund may purchase portfolio securities on a when-issued or forward basis. When-issued, forward transactions or TBA transactions involve a commitment by a fund to purchase securities, with payment and delivery (“settlement”) to take place in the future, in order to secure what is considered to be an advantageous price or yield at the time of entering into the transaction. During the period between purchase and settlement, the fair value of the securities will fluctuate and assets consisting of cash and/or marketable securities (normally short-term U.S. Government or U.S. Government sponsored enterprise securities) marked to market daily in an amount sufficient to make payment at settlement will be segregated at the Fund’s custodian in order to pay for the commitment. At the time the Fund makes the commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the liability for the purchase and fair value of the security in determining its net asset value (“NAV”). The Fund, generally, has the ability to close out a purchase obligation on or before the settlement date rather than take delivery of the security. Under no circumstances will settlement for such securities take place more than 120 days after the purchase date.
(j)	TBA Sale Commitments–The Fund may enter into TBA sale commitments to hedge its positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction. Unsettled TBA sale commitments are valued at the current market value of the underlying securities, according to the procedures described under “Investment Valuation” above. The contract is adjusted to market value daily and the change in market value is recorded by the Fund as unrealized appreciation (depreciation). If the TBA sale (purchase) commitment is closed through the acquisition of an offsetting purchase (sale)

48

Notes to Financial Statements (unaudited)(continued)

	commitment, the Fund realizes a gain or loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
(k)	Mortgage Dollar Rolls–The Fund may enter into mortgage dollar rolls in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. During the roll period, the Fund loses the right to receive principal (including prepayments of principal) and interest paid on the securities sold.
(l)	Repurchase Agreements–The Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. The Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, the Fund may incur a loss upon disposition of the securities.
(m)	Credit Default Swaps–The Fund may enter into credit default swap contracts in order to hedge credit risk or for speculation purposes. As a seller of a credit default swap contract (“seller of protection”), the Fund is required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty in the event of a default by or other credit event involving the referenced issuer, obligation or index. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract.
	As a purchaser of a credit default swap contract (“buyer of protection”), the Fund would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty in the event of default by or other credit event involving the referenced issuer, obligation or index. In return, the Fund would make periodic payments to the counterparty over the term of the contracts, provided no event of default has occurred.
	These credit default swaps may have as a reference obligation corporate or sovereign issuers or credit 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. For a credit default swap sold by the Fund, payment of the agreed-upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by the Fund, the agreed-upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund.
	Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and

49

Notes to Financial Statements (unaudited)(continued)

	credit rating of each credit default swap where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that the Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities.
	Entering into credit default swaps involves credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, and that Lord Abbett does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based. For the centrally cleared credit default swaps, there was minimal counterparty risk to the Fund, since such credit default swaps entered into were traded through a central clearinghouse, which guarantees against default.
(n)	Floating Rate Loans–The Fund may invest in floating rate loans, which usually take the form of loan participations and assignments. Loan participations and assignments are agreements to make money available to U.S. or foreign corporations, partnerships or other business entities (the “Borrower”) in a specified amount, at a specified rate and within a specified time. A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent typically administers and enforces the loan on behalf of the other Loan Investors in the syndicate and may hold any collateral on behalf of the Loan Investors. Such loan participations and assignments are typically senior, secured and collateralized in nature. The 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 the Fund invests may be subject to some restrictions on resale. For example, the Fund may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the Borrower. As a result, the Fund assumes the credit risk of the Borrower, the selling participant and any other persons interpositioned between the Fund and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, the Fund may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest.
	Unfunded commitments represent the remaining obligation of the Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statement of Assets and Liabilities. Unrealized

50

Notes to Financial Statements (unaudited)(continued)

appreciation/depreciation on unfunded commitments presented on the Statement of Assets and Liabilities represents mark to market of the unfunded portion of the Fund’s floating rate notes. As of June 30, 2020, the Fund had the following unfunded loan commitments:

Pacific Gas & Electric Company Revolver $41,932

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

A summary of inputs used in valuing the Fund’s investments and other financial instruments as of June 30, 2020 and, if applicable, Level 3 rollforwards for the six months then ended is included in the 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. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES  

Management Fee

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

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

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

For the six months ended June 30, 2020, the effective management fee, net of waivers, was at an annualized rate of .48% of the Fund’s average daily net assets.

51

Notes to Financial Statements (unaudited)(continued)

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

The Company, on behalf of the Fund, has entered into services arrangements with certain insurance companies. Under these arrangements, certain insurance companies will be compensated up to .25% of the average daily NAV of the Fund’s Class VC Shares held in the insurance company’s separate account to service and maintain the Variable Contract owners’ accounts. This amount is included in Non 12b-1 service fees on the Statement of Operations. The Fund may also compensate certain insurance companies, third-party administrators and other entities for providing recordkeeping, sub-transfer agency and other administrative services to the Fund. This amount is included in Shareholder servicing on the Statement of Operations.

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 and paid at least semi-annually. 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, 2020 and fiscal year ended December 31, 2019 was as follows:

	Six Months Ended 6/30/2020 (unaudited)		Year Ended 12/31/2019
Distributions paid from:
Ordinary income	$	–	$	44,694,373
Tax Return of Capital		–		533,932
Total distributions paid	$	–	$	45,228,305

As of December 31, 2019, the Fund had a capital loss carryforward of $13,949,114, which will carryforward indefinitely.

As of June 30, 2020, 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:

Tax cost	$	1,041,562,620
Gross unrealized gain		61,210,773
Gross unrealized loss		(41,273,063	)
Net unrealized security gain	$	19,937,710

52

Notes to Financial Statements (unaudited)(continued)

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

5. PORTFOLIO SECURITIES TRANSACTIONS  

Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2020 were as follows:

U.S. Government Purchases		*	Non-U.S. Government Purchases		U.S. Government Sales		*	Non-U.S. Government Sales
$	131,490,434		$	528,124,153	$	302,771,089		$	559,959,170

* Includes U.S. Government sponsored enterprises securities.

The 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, 2020, the Fund engaged in cross-trades sales of $11,176,390 which resulted in net realized gains of $366,034.

6. DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES  

The Fund entered into forward foreign currency exchange contracts for the six months ended June 30, 2020 (as described in note 2(g)). A forward foreign currency exchange contract reduces the Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. The Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and the Fund’s returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. The Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts and deposits with brokers as collateral.

The Fund entered into U.S. Treasury futures contracts for the six months ended June 30, 2020 (as described in note 2(h)) to economically hedge against changes in interest rates. The Fund bears the risk of interest rates moving unexpectedly, in which case the Fund may not achieve the anticipated benefits of the futures contracts and realize a loss. There is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default.

The Fund entered into credit default swaps for the six months ended June 30, 2020 (as described in note 2(m)) to economically hedge credit risk. Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying security within the index in the event of a defined credit event, such as payment default or bankruptcy. Under a credit default swap one party acts as a guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying security at par if the defined credit event occurs. The Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. For the centrally cleared credit default swaps, there is minimal counterparty credit risk to the Fund since these credit default swaps are traded

53

Notes to Financial Statements (unaudited)(continued)

through a central clearinghouse. As a counterparty to all centrally cleared credit default swaps, the clearinghouse guarantees credit default swaps against default.

As of June 30, 2020, the Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Fund’s use of derivative instruments:

Asset Derivatives	Interest Rate Contracts		Foreign Currency Contracts		Credit Contracts
Forward Foreign Currency Exchange Contracts(1)		–	$	93,979		–
Futures Contracts(2)	$	330,010		–		–
Liability Derivatives
Centrally Cleared Credit Default Swap Contracts(3)		–		–	$	188,627
Credit Default Swap Contracts(4)		–		–	$	934,667
Forward Foreign Currency Exchange Contracts(5)			$	5,368
Futures Contracts(2)	$	1,264,446		–		–

(1)	Statement of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts.
(2)	Statement of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation on futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
(3)	Statement 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.
(4)	Statement of Assets and Liabilities location: Credit default swap agreements payable, at fair value.
(5)	Statement of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts.

Transactions in derivative instruments for the six months ended June 30, 2020, were as follows:

	Interest Rate Contracts			Foreign Currency Contracts			Credit Contracts
Net Realized Gain (Loss)
Credit Default Swaps Contracts(1)		–			–		$	3,033,319
Forward Foreign Currency
Exchange Contracts(2)		–		$	187,039			–
Futures Contracts(3)	$	(16,766,346	)		–			–
Net Change in Unrealized Appreciation/Depreciation
Credit Default Swaps Contracts(4)		–			–		$	(1,068,802	)
Forward Foreign Currency Exchange Contracts(5)		–		$	(183,832	)		–
Futures Contracts(6)	$	(6,167,031	)		–			–
Average Number of Contracts/Notional Amounts*
Credit Default Swaps Contracts(7)		–			–		$	154,951,062
Forward Foreign Currency Exchange Contracts(7)		–		$	22,932,387			–
Futures Contracts(8)	$	3,227			–			–

*	Calculated based on the number of contracts or notional amounts for the six months ended June 30, 2020.
(1)	Statements of Operations location: Net realized gain(loss) on swap contracts.
(2)	Statements of Operations location: Net realized gain(loss) on forward 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 forward foreign currency exchange contracts.
(6)	Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts.
(7)	Amounts represents notional amounts in U.S. dollars.
(8)	Amounts represents number of contracts.

54

Notes to Financial Statements (unaudited)(continued)

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 Statement of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Fund’s accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty:

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	$	93,979	$	–	$	93,979
Total	$	93,979	$	–	$	93,979

	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	$	63,914	$	–	$	–	$	–	$	63,914
Morgan Stanley		30,065		–		–		–		30,065
Total	$	93,979	$	–	$	–	$	–	$	93,979

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	$	934,667	$	–	$	934,667
Forward Foreign Currency Exchange Contracts		5,368		–		5,368
Total	$	940,035	$	–	$	940,035

55

Notes to Financial Statements (unaudited)(continued)

	Net Amounts
	of Liabilities		Amounts Not Offset in the
	Presented in		Statement of Assets and Liabilities
	the Statement				Cash			Securities
	of Assets and		Financial		Collateral			Collateral		Net
Counterparty	Liabilities		Instruments		Pledged(a)			Pledged(a)		Amount(c)
Credit Suisse	$	10,498	$	–	$	(10,498	)	$	–	$	–
Deutsche Bank		619,699		–		(619,699	)		–		–
Goldman Sachs		224,150		–		(224,150	)		–		–
JPMorgan Chase		80,320		–		–			–		80,320
State Street Bank and Trust		5,368		–		–			–		5,368
Total	$	940,035	$	–	$	(854,347	)	$	–	$	85,688

(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, 2020.
(c)	Net amount represents the amount owed by the Fund to the counterparty as of June 30, 2020.

8. DIRECTORS’ REMUNERATION  

The Company’s officers and 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 Statement of Operations and in Directors’ fees payable on the Statement of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.

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 the Fund’s expenses.

10. LINE OF CREDIT  

For the period ended June 30, 2020, the Fund and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $1.17 billion (the “Syndicated Facility”) whereas State Street Bank and Trust Company (“SSB”) participated as a lender and as agent for the lenders. The Participating Funds were subject to graduated borrowing limits of one third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $350 million, $500 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors. Effective August 6, 2020, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $600 million, or $900 million, based on past borrowings and likelihood of future borrowings, among other factors.

For the period ended June 30, 2020, the Participating Funds were party to an additional line of credit facility with SSB for $330 million (the “Bilateral Facility”), $250 million committed and $80 million uncommitted. Under the Bilateral Facility, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if net assets are less than $750 million), $250

56

Notes to Financial Statements (unaudited)(continued)

million, $300 million, or $330 million, based on past borrowings and likelihood of future borrowings, among other factors.

The Syndicated Facility and the Bilateral Facility are to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions.

For the six months ended June 30, 2020, the Fund did not utilize the Facilities.

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.

For the six months ended June 30, 2020, the Fund did not participate as a borrower or lender in the Interfund Lending Program.

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 the Fund’s NAV.

13. SECURITIES LENDING AGREEMENT  

The Fund has established a securities lending agreement with Citibank, N.A. for the lending of securities to qualified brokers in exchange for securities or cash collateral equal to at least the market value of securities loaned, plus interest, if applicable. Cash collateral is invested in an approved money market fund. In accordance with the Fund’s securities lending agreement, the market value of securities on loan is determined each day at the close of business and any additional collateral required to cover the value of securities on loan is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Such income earned from securities lending is included in Securities Lending Income on the Statement of Operations.

As of June 30, 2020, the market value of securities loaned and collateral received for the Fund was as follows:

Market Value of Securities Loaned		Collateral Received
	$309,318		$320,850

14. INVESTMENT RISKS  

The 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. The value of an investment will change as interest rates fluctuate and in response to market movements. When interest rates rise, the prices of debt securities are likely to decline; when rates fall, such prices tend to rise. Longer-term debt securities are usually more sensitive to interest rate changes. There is also the risk that an issuer of a debt security will fail to make timely

57

Notes to Financial Statements (unaudited)(continued)

payments of principal or interest to the Fund, a risk that is greater with high-yield securities (sometimes called “lower-rated bonds” or “junk bonds”) in which the Fund may substantially invest. Some issuers, particularly of high-yield securities, may default as to principal and/or interest payments after the Fund purchases its securities. A default, or concerns in the market about an increase in risk of default, may result in losses to the Fund. High-yield 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.

The 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, the Fund may be required to look principally to the agency issuing or guaranteeing the obligation.

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

The Fund may invest up to 20% of its net assets in equity securities, the value of which fluctuates in response to movements in the equity securities market in general, changing prospects of individual companies in which the Fund invests, or an individual company’s financial condition.

The Fund may invest in convertible securities, which have both equity and fixed income risk characteristics, including market, credit, liquidity, and interest rate risks. 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 the 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.

Due to the Fund’s investment exposure to foreign companies and American Depositary Receipts, the Fund may experience increased market, industry and sector, liquidity, currency, political, information and other risks. The securities of foreign companies also may be subject to inadequate exchange control regulations, the imposition of economic sanctions or other government restrictions, higher transaction and other costs, and delays in settlement to the extent they are traded on non-U.S. exchanges or markets.

58

Notes to Financial Statements (unaudited)(concluded)

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

The Fund may invest up to 15% of its net assets in floating rate or adjustable rate senior loans, including bridge loans, novations, assignments, and participations, which are subject to increased credit and liquidity risks. Senior loans are business loans made to borrowers that may be U.S. or foreign corporations, partnerships or other business entities. The senior loans in which the 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. Below investment grade senior loans may be affected by interest rate swings in the overall fixed income market. In addition, senior loans may be subject to structural subordination.

Geopolitical and other events (e.g., wars, terrorism, natural disasters, epidemics or pandemics such as the COVID-19 outbreak which began in late 2019) may disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Fund’s investments. Market disruptions can also prevent the Fund from implementing its investment strategies and achieving its investment objective.

These factors can affect the Fund’s performance.

15. SUMMARY OF CAPITAL TRANSACTIONS  

Transactions in shares of capital stock were as follows:

	Six Months Ended June 30, 2020 (unaudited		)	Year Ended December 31, 2019
Shares sold		4,107,861			10,115,665
Reinvestment of distributions		73			3,750,032
Shares reacquired		(9,742,540	)		(12,772,407	)
Increase (decrease)		(5,634,606	)		1,093,290

59

Liquidity Risk Management Program

Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a Liquidity Risk Management Program and Policy (“Program”). The Program is designed to assess, manage and periodically review the Fund’s liquidity risk. Liquidity risk is defined under Rule 22e-4 as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.

The Board has appointed Lord Abbett as the administrator for the Fund’s Program. At the May 28-29, 2020 meeting, Lord Abbett provided the Board with a report addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018 through February 28, 2020. Lord Abbett reported that the Program operated effectively during the period. In particular, Lord Abbett reported that: the Fund did not breach its 15% limit on illiquid investments at any point during the period and all regulatory reporting related to Rule 22e-4 was completed on time and without issue during the period.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

Householding

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

Proxy Voting Policies, Procedures and Records

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

Shareholder Reports and Quarterly Portfolio Disclosure

The Fund is required to file its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters as an attachment to Form N-PORT. 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.

60

This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus.
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC.	Lord Abbett Series Fund, Inc.
	Bond-Debenture Portfolio	LASFBD-3 (08/20)

LORD ABBETT
SEMIANNUAL REPORT

Lord Abbett

Series Fund — Developing Growth Portfolio

For the six-month period ended June 30, 2020

Table of Contents

1	A Letter to Shareholders
2	Information About Your Fund’s Expenses and Holdings Presented by Sector
4	Schedule of Investments
8	Statement of Assets and Liabilities
9	Statement of Operations
10	Statements of Changes in Net Assets
12	Financial Highlights
14	Notes to Financial Statements
22	Supplemental Information to Shareholders

Lord Abbett Series Fund – Developing Growth Portfolio Semiannual Report

For the six-month period ended June 30, 2020

  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 Lord Abbett Series Fund – Developing Growth Portfolio for the six-month period ended June 30, 2020. For additional information about the Fund, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Fund’s portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website. Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.   Best regards,       Douglas B. Sieg Director, President, and Chief Executive Officer

1

Expense Example

As a shareholder of the Fund, you incur ongoing costs, including management fees; expenses related to the Fund’s services arrangements with certain insurance companies; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2020 through June 30, 2020).

The Example reflects only expenses that are deducted from the assets of the Fund. Fees and expenses, including sales charges applicable to the various insurance products that invest in the Fund, are not reflected in this Example. If such fees and expenses were reflected in the Example, the total expenses shown would be higher. Fees and expenses regarding such variable insurance products are separately described in the prospectus related to those products.

Actual Expenses

The first line of the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 1/1/20 – 6/30/20” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

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

2

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges. 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†
	1/1/20	6/30/20	1/1/20 - 6/30/20
Class VC
Actual	$1,000.00	$1,166.30	$5.60
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.69	$5.22

^† Net expenses are equal to the Fund’s annualized expense ratio of 1.04%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

June 30, 2020

Sector*	%**
Consumer Discretionary	20.16	%
Consumer Staples	2.58	%
Financials	2.68	%
Health Care	27.50	%
Industrials	11.67	%
Information Technology	28.07	%
Real Estate	2.36	%
Repurchase Agreement	3.23	%
Money Market Funds(a)	1.75	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.
(a)	Securities were purchased with the cash collateral from loaned securities.

3

Schedule of Investments (unaudited)

June 30, 2020

Investments	Shares		Fair Value (000)
COMMON STOCKS 96.86%
Aerospace & Defense 1.81%
Axon Enterprise, Inc.*		15,814	$	1,552
Air Freight & Logistics 0.74%
XPO Logistics, Inc.*		8,170		631
Automobiles 1.08%
Winnebago Industries, Inc.		13,939		929
Banks 0.43%
Western Alliance Bancorp		9,705		368
Beverages 1.04%
Boston Beer Co., Inc. (The) Class A*		1,658		890
Biotechnology 16.87%
Acceleron Pharma, Inc.*		7,188		685
Arena Pharmaceuticals, Inc.*		17,730		1,116
Argenx SE ADR*		4,070		917
Blueprint Medicines Corp.*		8,326		649
Bridgebio Pharma, Inc.*		27,264		889
ChemoCentryx, Inc.*		13,232		761
Coherus Biosciences, Inc.*		19,656		351
Constellation Pharmaceuticals, Inc.*		21,463		645
CRISPR Therapeutics AG (Switzerland)*(a)		8,333		612
Deciphera Pharmaceuticals, Inc.*		9,051		541
Immunomedics, Inc.*		30,557		1,083
Iovance Biotherapeutics, Inc.*		20,238		556
Karuna Therapeutics, Inc.*		5,525		616
Mirati Therapeutics, Inc.*		9,963		1,137
Myovant Sciences Ltd. (United Kingdom)*(a)		22,879		472
Natera, Inc.*		19,988		997
NextCure, Inc.*		7,414		159
PTC Therapeutics, Inc.*		7,019		356
Rocket Pharmaceuticals, Inc.*		24,290		508
TG Therapeutics, Inc.*		20,986		409
Turning Point Therapeutics, Inc.*		9,980		645

Investments	Shares		Fair Value (000)
Biotechnology (continued)
Zymeworks, Inc. (Canada)*(a)		9,662	$	348
Total				14,452
Building Products 2.11%
AZEK Co., Inc. (The)*		23,370		745
Trex Co., Inc.*		8,203		1,067
Total				1,812
Capital Markets 0.88%
Assetmark Financial Holdings, Inc.*		27,629		754
Commercial Services & Supplies 0.62%
MSA Safety, Inc.		4,668		534
Communications Equipment 1.20%
Lumentum Holdings, Inc.*		12,643		1,030
Construction & Engineering 0.52%
MasTec, Inc.*		9,842		442
Diversified Consumer Services 3.22%
Chegg, Inc.*		18,142		1,220
frontdoor, Inc.*		14,996		665
Strategic Education, Inc.		5,709		877
Total				2,762
Electrical Equipment 2.11%
Generac Holdings, Inc.*		14,831		1,808
Food & Staples Retailing 0.73%
Grocery Outlet Holding Corp.*		15,360		627
Food Products 0.86%
Freshpet, Inc.*		8,849		740
Health Care Equipment & Supplies 5.31%
Axonics Modulation
Technologies, Inc.*(b)		19,269		677
iRhythm Technologies, Inc.*		6,492		752
Nevro Corp.*		9,284		1,109
Penumbra, Inc.*		4,652		832
Tandem Diabetes Care, Inc.*		11,911		1,178
Total				4,548

4 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Shares		Fair Value (000)
Health Care Providers & Services 0.63%
Guardant Health, Inc.*		6,650	$	539
Health Care Technology 2.23%
Inspire Medical Systems, Inc.*		15,286		1,330
Schrodinger, Inc.*		6,313		578
Total				1,908
Hotels, Restaurants & Leisure 2.28%
Dunkin’ Brands Group, Inc.		5,110		333
Planet Fitness, Inc. Class A*		3,564		216
Wingstop, Inc.		10,107		1,405
Total				1,954
Household Durables 3.17%
Helen of Troy Ltd.*		7,077		1,334
LGI Homes, Inc.*		15,730		1,385
Total				2,719
Information Technology Services 2.24%
Endava plc ADR*		14,479		699
Limelight Networks, Inc.*		110,643		814
Shift4 Payments, Inc.*		11,396		405
Total				1,918
Insurance 1.42%
eHealth, Inc.*		2,806		276
Goosehead Insurance, Inc.
Class A*		12,561		944
Total				1,220
Internet & Direct Marketing Retail 2.68%
Fiverr International Ltd. (Israel)*(a)		17,406		1,285
RealReal, Inc. (The)*		30,782		393
Stamps.com, Inc.*		3,380		621
Total				2,299
Internet Software & Services 0.52%
Cardlytics, Inc.*		6,312		442

Investments	Shares		Fair Value (000)
Leisure Products 3.81%
Malibu Boats, Inc. Class A*		20,811	$	1,081
Peloton Interactive, Inc. Class A*		8,105		468
YETI Holdings, Inc.*		40,110		1,714
Total				3,263
Life Sciences Tools & Services 1.86%
10X Genomics, Inc. Class A*		4,841		432
Repligen Corp.*		9,388		1,161
Total				1,593
Machinery 2.81%
Chart Industries, Inc.*		5,561		270
Evoqua Water Technologies Corp.*		64,336		1,196
Federal Signal Corp.		31,817		946
Total				2,412
Pharmaceuticals 1.15%
GW Pharmaceuticals plc ADR*		3,461		425
MyoKardia, Inc.*		5,790		559
Total				984
Professional Services 0.79%
FTI Consulting, Inc.*		5,890		675
Real Estate Management & Development 2.40%
Redfin Corp.*		49,089		2,057
Road & Rail 0.38%
Lyft, Inc. Class A*		9,944		328
Semiconductors & Semiconductor Equipment 9.56%
CEVA, Inc.*		7,329		274
Cirrus Logic, Inc.*		9,212		569
Enphase Energy, Inc.*		14,235		677
Inphi Corp.*		18,845		2,214
MKS Instruments, Inc.		10,434		1,182
Monolithic Power Systems, Inc.		5,289		1,254
Semtech Corp.*		16,913		883
Silicon Laboratories, Inc.*		3,828		384

See Notes to Financial Statements. 5

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Shares		Fair Value (000)
Semiconductors & Semiconductor Equipment (continued)
SolarEdge Technologies, Inc. (Israel)*(a)		5,442	$	755
Total				8,192
Software 15.10%
Alteryx, Inc. Class A*		4,081		670
Appian Corp.*(b)		18,885		968
Avalara, Inc.*		10,284		1,369
Blackline, Inc.*		12,082		1,002
Everbridge, Inc.*		10,207		1,412
Five9, Inc.*		16,941		1,875
Globant SA (Argentina)*(a)		7,476		1,120
Paylocity Holding Corp.*		8,226		1,200
Q2 Holdings, Inc.*		10,418		894
Qualys, Inc.*		2,902		302
Sprout Social, Inc.*(b)		15,137		409
SVMK, Inc.*		72,832		1,714
Total				12,935
Specialty Retail 3.19%
National Vision Holdings, Inc.*		38,359		1,171
RH*		3,353		834
Vroom, Inc.*		13,993		730
Total				2,735
Textiles, Apparel & Luxury Goods 1.11%
Deckers Outdoor Corp.*		4,821		947
Total Common Stocks (cost $66,412,131)				82,999

Investments	Principal Amount (000)		Fair Value (000)
SHORT-TERM INVESTMENTS 5.08%
Repurchase Agreement 3.29%
Repurchase Agreement dated 6/30/2020, 0.00% due 7/1/2020 with Fixed Income Clearing Corp. collateralized by $2,684,300 of U.S. Treasury Note at 2.625% due 6/30/2023; value: $2,880,904; proceeds: $2,824,359 (cost $2,824,359)	$	2,824	$	2,824
	Shares
Money Market Funds 1.79%
CitiBank N.A.(c)		153,226		153
Fidelity Government Portfolio(c)		1,379,028		1,379
Total Money Market Funds (cost $1,532,254)				1,532
Total Short-Term Investments (cost $4,356,613)				4,356
Total Investments in Securities 101.94% (cost $70,768,744)				87,355
Liabilities in Excess of Securities Lending and Other Assets (1.94)%				(1,664	)
Net Assets 100.00%			$	85,691

ADR	American Depositary Receipt.
*	Non-income producing security.
(a)	Foreign security traded in U.S. dollars.
(b)	All or a portion of this security was on loan to brokers at June 30, 2020.
(c)	Security was purchased with the cash collateral from loaned securities.

6 See Notes to Financial Statements.

Schedule of Investments (unaudited)(concluded)

June 30, 2020

The following is a summary of the inputs used as of June 30, 2020 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)	Level 1 (000)		Level 2 (000)		Level 3 (000)		Total (000)
Common Stocks	$	82,999	$	—	$	—	$	82,999
Short-Term Investments
Repurchase Agreement		—		2,824		—		2,824
Money Market Funds		1,532		—		—		1,532
Total	$	84,531	$	2,824	$	—	$	87,355

(1)	Refer to Note 2(h) 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. 7

Statement of Assets and Liabilities (unaudited)

June 30, 2020

ASSETS:
Investments in securities, at fair value including $1,526,647 of securities loaned (cost $70,768,744)	$	87,355,329
Receivables:
Capital shares sold		387,706
From advisor (See Note 3)		13,087
Dividends		4,178
Securities lending income receivable		1,985
Total assets		87,762,285
LIABILITIES:
Payables:
Investment securities purchased		388,444
Management fee		49,897
Capital shares reacquired		14,679
Directors’ fees		3,790
Fund administration		2,661
Payable for collateral due to broker for securities lending		1,532,254
Accrued expenses		79,985
Total liabilities		2,071,710
Commitments and contingent liabilities
NET ASSETS	$	85,690,575
COMPOSITION OF NET ASSETS:
Paid-in capital	$	65,138,371
Total distributable earnings (loss)		20,552,204
Net Assets	$	85,690,575
Outstanding shares (50 million shares of common stock authorized, $.001 par value)		2,458,972
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares)		$34.85

8 See Notes to Financial Statements.

Statement of Operations (unaudited)

For the Six Months Ended June 30, 2020

Investment income:
Dividends	$	41,045
Securities lending net income		4,297
Interest		1,829
Total investment income		47,171
Expenses:
Management fee		270,449
Non 12b-1 service fees		89,146
Shareholder servicing		38,982
Professional		18,507
Fund administration		14,424
Reports to shareholders		11,182
Custody		1,302
Directors’ fees		855
Other		7,524
Gross expenses		452,371
Expense reductions (See Note 8)		(539	)
Fees waived and expenses reimbursed (See Note 3)		(76,809	)
Net expenses		375,023
Net investment loss		(327,852	)
Net realized and unrealized gain (loss):
Net realized gain (loss) on investments		4,657,935
Net change in unrealized appreciation/depreciation on investments		7,619,007
Net realized and unrealized gain (loss)		12,276,942
Net Increase in Net Assets Resulting From Operations	$	11,949,090

See Notes to Financial Statements. 9

Statements of Changes in Net Assets

INCREASE IN NET ASSETS	For the Six Months Ended June 30, 2020 (unaudited)				For the Year Ended December 31, 2019
Operations:
Net investment loss		$	(327,852	)		$	(617,189	)
Net realized gain (loss) on investments			4,657,935				7,587,224
Net change in unrealized appreciation/depreciation on investments			7,619,007				10,126,655
Net increase in net assets resulting from operations			11,949,090				17,096,690
Distributions to shareholders:			–				(7,311,730	)
Capital share transactions (See Note 14):
Proceeds from sales of shares			13,982,241				25,502,884
Reinvestment of distributions			–				7,311,730
Cost of shares reacquired			(19,615,115	)			(17,973,808	)
Net increase (decrease) in net assets resulting from capital share transactions			(5,632,874	)			14,840,806
Net increase in net assets			6,316,216				24,625,766
NET ASSETS:
Beginning of period		$	79,374,359			$	54,748,593
End of period		$	85,690,575			$	79,374,359

10 See Notes to Financial Statements.

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11

Financial Highlights

			Per Share Operating Performance:
			Investment Operations:									Distributions to shareholders from:
	Net asset value, beginning of period		Net investment income (loss)(a)			Net realized and unrealized gain (loss)			Total from investment operations			Net realized gain			Net asset value, end of period
6/30/2020(c)	$	29.88	$	(0.10	)	$	5.07		$	4.97		$	–		$	34.85
12/31/2019		24.97		(0.27	)		8.23			7.96			(3.05	)		29.88
12/31/2018		28.18		(0.21	)		1.41			1.20			(4.41	)		24.97
12/31/2017		21.69		(0.13	)		6.62			6.49			–			28.18
12/31/2016		22.28		(0.07	)		(0.52	)		(0.59	)		–			21.69
12/31/2015		24.46		(0.14	)		(1.86	)		(2.00	)		(0.18	)		22.28

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales charges or other expenses imposed by an insurance company and assumes the reinvestment of all distributions.
(c)	Unaudited.
(d)	Not annualized.
(e)	Annualized.

12 See Notes to Financial Statements.

			Ratios to Average Net Assets:									Supplemental Data:
Total return(b) (%)			Total expenses after waivers and/or reimburse- ments (%)			Total expenses (%)			Net investment income (loss) (%)			Net assets, end of period (000)		Portfolio turnover rate (%)
	16.63	(d)		1.04	(e)		1.27	(e)		(0.92	)(e)	$	85,691		59	(d)
	31.77			1.01			1.27			(0.86	)		79,374		106
	4.88			0.94			1.31			(0.63	)		54,749		112
	29.92			0.90			1.38			(0.52	)		39,658		103
	(2.60	)		0.90			1.51			(0.34	)		28,605		222
	(8.21	)		0.90			1.56			(0.56	)		28,882		197

See Notes to Financial Statements. 13

Notes to Financial Statements (unaudited)

1. ORGANIZATION  

Lord Abbett Series Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was incorporated under Maryland law in 1989. The Company consists of nine separate portfolios as of June 30, 2020. This report covers Developing Growth Portfolio (the “Fund”).

The Fund’s investment objective is long-term growth of capital. The Fund has Variable Contract class shares (“Class VC Shares”), which are currently issued and redeemed only in connection with investments in, and payments under, variable annuity contracts and variable life insurance policies issued by life insurance and insurance-related companies.

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. The Fund is considered an investment company 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 Fund’s Board of Directors (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
	Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. The 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.
	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 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.

14

Notes to Financial Statements (unaudited)(continued)

(b)	Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method.
(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 on the Statement of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates.
(d)	Income Taxes–It is the policy of the Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.
	The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s filed U.S. federal tax returns remains open for the fiscal years ended December 31, 2016 through December 31, 2019. The statutes of limitations on the Company’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
(e)	Expenses–Expenses incurred by the Company that do not specifically relate to an individual fund are generally allocated to the funds within the Company on a pro rata basis by relative net assets.
(f)	Foreign Transactions–The books and records of each Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in each Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss), 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, if applicable, are included in Net realized gain (loss) on foreign currency related transactions in each Fund’s Statement of Operations. The Fund 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 Fund uses foreign currency exchange contracts to facilitate transactions in foreign denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
(g)	Repurchase Agreements–The Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. The Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, the Fund may incur a loss upon disposition of the securities.

15

Notes to Financial Statements (unaudited)(continued)

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

A summary of inputs used in valuing the Fund’s investments as of June 30, 2020 and, if applicable, Level 3 rollforwards for the six months then ended is included in the 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. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES  

Management Fee

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

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

First $100 million	.75%
Over $100 million	.50%

For the six months ended June 30, 2020, the effective management fee, net of waivers, was at an annualized rate of 0.53% of the Fund’s average daily net assets.

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

16

Notes to Financial Statements (unaudited)(continued)

For the six months ended June 30, 2020 and continuing through April 30, 2021, Lord Abbett has contractually agreed to waive its fees and reimburse expenses to the extent necessary to limit total net annual operating expenses to an annual rate of 1.04%. This agreement may be terminated only upon the approval of the Board.

The Company, on behalf of the Fund, has entered into services arrangements with certain insurance companies. Under these arrangements, certain insurance companies will be compensated up to .25% of the average daily net asset value (“NAV”) of the Fund’s Class VC Shares held in the insurance company’s separate account to service and maintain the Variable Contract owners’ accounts. This amount is included in Non 12b-1 service fees on the Statement of Operations. The Fund may also compensate certain insurance companies, third-party administrators and other entities for providing recordkeeping, sub-transfer agency and other administrative services to the Fund. This amount is included in Shareholder servicing on the Statement of Operations.

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 and paid at least semi-annually. 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, 2020 and fiscal year ended December 31, 2019, was as follows:

	Six Months Ended 6/30/2020 (unaudited)		Year Ended 12/31/2019
Distributions paid from:
Net long-term capital gains	$	–	$	7,311,730
Total distributions paid	$	–	$	7,311,730

As of June 30, 2020, 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:

Tax cost	$	71,130,639
Gross unrealized gain		17,916,984
Gross unrealized loss		(1,692,294	)
Net unrealized security gain	$	16,224,690

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

17

Notes to Financial Statements (unaudited)(continued)

5. PORTFOLIO SECURITIES TRANSACTIONS  

Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2020 were as follows:

Purchases		Sales
	$42,669,472		$49,995,974

There were no purchases or sales of U.S. Government securities for the six months ended June 30, 2020.

The 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, 2020, the Fund engaged in cross-trades purchases of $369,558, and sales of $544,170, which resulted in net realized gains of $346,910.

6. 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 Statement of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Fund’s accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty:

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	$	2,824,359	$	–	$	2,824,359
Total	$	2,824,359	$	–	$	2,824,359

	Net Amounts
	of Assets		Amounts Not Offset in the
	Presented in		Statement of Assets and Liabilities
	the Statement				Cash			Securities
	of Assets and		Financial		Collateral			Collateral			Net
Counterparty	Liabilities		Instruments		Received(a		)	Received(a		)	Amount(b		)
Fixed Income Clearing Corp.	$	2,824,359	$	–	$	–		$	(2,824,359	)	$	–
Total	$	2,824,359	$	–	$	–		$	(2,824,359	)	$	–

(a)	Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets 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, 2020.

18

Notes to Financial Statements (unaudited)(continued)

7. DIRECTORS’ REMUNERATION  

The Company’s officers and 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 Statement of Operations and in Directors’ fees payable on the Statement of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.

8. 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 the Fund’s expenses.

9. LINE OF CREDIT  

For the period ended June 30, 2020, the Fund and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $1.17 billion (the “Syndicated Facility”) whereas State Street Bank and Trust Company (“SSB”) participated as a lender and as agent for the lenders. The Participating Funds were subject to graduated borrowing limits of one third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $350 million, $500 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors. Effective August 6, 2020, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $600 million, or $900 million, based on past borrowings and likelihood of future borrowings, among other factors.

For the period ended June 30, 2020, the Participating Funds were party to an additional line of credit facility with SSB for $330 million (the “Bilateral Facility”), $250 million committed and $80 million uncommitted. Under the Bilateral Facility, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if net 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 Syndicated Facility and the Bilateral Facility are to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions.

For the six months ended June 30, 2020, the Fund did not utilize the Facilities.

10. 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.

For the six months ended June 30, 2020, the Fund did not participate as a borrower or lender in the Interfund Lending Program.

19

Notes to Financial Statements (unaudited)(continued)

11. CUSTODIAN AND ACCOUNTING AGENT  

SSB is the Company’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating the Fund’s NAV.

12. SECURITIES LENDING AGREEMENT  

The Fund has established a securities lending agreement with Citibank, N.A. for the lending of securities to qualified brokers in exchange for securities or cash collateral equal to at least the market value of securities loaned, plus interest, if applicable. Cash collateral is invested in an approved money market fund. In accordance with the Fund’s securities lending agreement, the market value of securities on loan is determined each day at the close of business and any additional collateral required to cover the value of securities on loan is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Such income earned from securities lending is included in Securities Lending Income on the Statement of Operations.

As of June 30, 2020, the market value of securities loaned and collateral received for the Fund was as follows:

Market Value of Securities Loaned		Collateral Received
	$1,526,647		$1,532,254

13. INVESTMENT RISKS  

The Fund is subject to the general risks and considerations associated with equity investing. The value of an investment will fluctuate in response to movements in the equity securities markets in general and to the changing prospects of individual companies in which the Fund invests.

The Fund has particular risks associated with growth stocks. Different types of stocks shift in and out of favor over time depending on market and economic conditions. Growth stocks tend to be more volatile than other stocks. Growth stocks are often more sensitive to marker fluctuations than other securities because their market prices are highly sensitive to future earnings expectations. In addition, if the Fund’s assessment of a company’s potential for growth or market conditions is wrong, it could suffer losses or produce poor performance relative to other funds, even in a favorable market. The Fund invests primarily in small-cap growth company stocks, which tend to be more volatile and can be less liquid than other types of stocks. The shares of small and mid-sized companies tend to trade less frequently than those of larger, more established companies, which can adversely affect the pricing of these securities and the ability to sell these securities in the future. Small-cap companies may also have more limited product lines, markets or financial resources, and typically experience a higher risk of failure than large-cap companies. Because the Fund may invest a portion of its assets in foreign securities and American Depositary Receipts, it may experience increased market, industry and sector, liquidity, currency, political, information and other risks. The securities of foreign companies also may be subject to inadequate exchange control regulations, the imposition of economic sanctions or other government restrictions, higher transaction and other costs, and delays in settlement to the extent they are traded on non-U.S. exchanges or markets.

20

Notes to Financial Statements (unaudited)(concluded)

Geopolitical and other events (e.g., wars, terrorism, natural disasters, epidemics or pandemics such as the COVID-19 outbreak which began in late 2019) may disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Fund’s investments. Market disruptions can also prevent the Fund from implementing its investment strategies and achieving its investment objective.

These factors can affect the Fund’s performance.

14. SUMMARY OF CAPITAL TRANSACTIONS  

Transactions in shares of capital stock were as follows:

	Six Months Ended June 30, 2020 (unaudited)			Year Ended December 31, 2019
Shares sold		489,338			798,540
Reinvestment of distributions		–			242,753
Shares reacquired		(686,704	)		(577,185	)
Increase (decrease)		(197,366	)		464,108

21

Liquidity Risk Management Program

Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a Liquidity Risk Management Program and Policy (“Program”). The Program is designed to assess, manage and periodically review the Fund’s liquidity risk. Liquidity risk is defined under Rule 22e-4 as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.

The Board has appointed Lord Abbett as the administrator for the Fund’s Program. At the May 28-29, 2020 meeting, Lord Abbett provided the Board with a report addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018 through February 28, 2020. Lord Abbett reported that the Program operated effectively during the period. In particular, Lord Abbett reported that: the Fund did not breach its 15% limit on illiquid investments at any point during the period and all regulatory reporting related to Rule 22e-4 was completed on time and without issue during the period.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

Householding

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

Proxy Voting Policies, Procedures and Records

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

Shareholder Reports and Quarterly Portfolio Disclosure

The Fund is required to file its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters as an attachment to Form N-PORT. 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.

22

 

This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus.
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC.	Lord Abbett Series Fund, Inc.	SFDG-PORT-3
	Developing Growth Portfolio	(08/20)

LORD ABBETT
SEMIANNUAL REPORT

Lord Abbett

Series Fund—Dividend Growth Portfolio*

*formerly Calibrated Dividend Growth Portfolio

For the six-month period ended June 30, 2020

Table of Contents

1	A Letter to Shareholders
2	Information About Your Fund’s Expenses and Holdings Presented by Sector
4	Schedule of Investments
7	Statement of Assets and Liabilities
8	Statement of Operations
9	Statements of Changes in Net Assets
10	Financial Highlights
12	Notes to Financial Statements
20	Supplemental Information to Shareholders

Lord Abbett Series Fund — Dividend Growth Portfolio Semiannual Report

For the six-month period ended June 30, 2020

  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 Lord Abbett Series Fund – Dividend Growth Portfolio for the six-month period ended June 30, 2020. For additional information about the Fund, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Fund’s portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website. Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.   Best regards,     Douglas B. Sieg
Director, President, and Chief Executive Officer

1

Expense Example

As a shareholder of the Fund, you incur ongoing costs, including management fees; expenses related to the Fund’s services arrangements with certain insurance companies; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2020 through June 30, 2020).

The Example reflects only expenses that are deducted from the assets of the Fund. Fees and expenses, including sales charges applicable to the various insurance products that invest in the Fund, are not reflected in this Example. If such fees and expenses were reflected in the Example, the total expenses shown would be higher. Fees and expenses regarding such variable insurance products are separately described in the prospectus related to those products.

Actual Expenses

The first line of the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 1/1/20 – 6/30/20” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

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

2

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges. 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†
				1/1/20 -
	1/1/20	6/30/20		6/30/20
Class VC
Actual	$1,000.00	$	954.90	$4.81
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,019.94	$4.97

^† Net expenses are equal to the Fund’s annualized expense ratio of 0.99%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

June 30, 2020

Sector*	%**
Communication Services	5.61	%
Consumer Discretionary	11.27	%
Consumer Staples	6.22	%
Energy	2.91	%
Financials	13.55	%
Health Care	17.35	%
Industrials	13.09	%
Information Technology	21.99	%
Materials	2.46	%
Utilities	4.74	%
Repurchase Agreement	0.81	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.

3

Schedule of Investments (unaudited)

June 30, 2020

Investments	Shares		Fair Value (000)
COMMON STOCKS 99.05%
Aerospace & Defense 2.71%
L3Harris Technologies, Inc.		7,500	$	1,273
Northrop Grumman Corp.		5,000		1,537
Raytheon Technologies Corp.		23,416		1,443
Total				4,253
Banks 1.94%
JPMorgan Chase & Co.		32,400		3,048
Beverages 1.56%
Coca-Cola Co. (The)		54,568		2,438
Biotechnology 2.08%
AbbVie, Inc.		33,199		3,259
Building Products 1.01%
Masco Corp.		31,500		1,582
Capital Markets 9.16%
Ameriprise Financial, Inc.		18,500		2,776
BlackRock, Inc.		8,000		4,353
MarketAxess Holdings, Inc.		2,200		1,102
Moody’s Corp.		9,300		2,555
S&P Global, Inc.		10,900		3,591
Total				14,377
Chemicals 2.45%
Air Products and Chemicals, Inc.		9,000		2,173
Linde plc (United Kingdom)(a)		7,900		1,676
Total				3,849
Commercial Services & Supplies 1.33%
Waste Management, Inc.		19,700		2,086
Distributors 1.09%
Pool Corp.		6,300		1,713
Diversified Telecommunication Services 1.64%
Verizon Communications, Inc.		46,600		2,569

Investments	Shares		Fair Value (000)
Electric: Utilities 1.82%
NextEra Energy, Inc.		11,900	$	2,858
Electrical Equipment 0.87%
Hubbell, Inc.		10,900		1,366
Entertainment 1.49%
Walt Disney Co. (The)		20,900		2,331
Food & Staples Retailing 2.63%
Sysco Corp.		27,200		1,487
Walmart, Inc.		22,080		2,644
Total				4,131
Health Care Equipment & Supplies 8.23%
Abbott Laboratories		44,500		4,069
Danaher Corp.		22,200		3,926
Medtronic plc (Ireland)(a)		22,391		2,053
West Pharmaceutical Services, Inc.		12,600		2,862
Total				12,910
Health Care Providers & Services 2.68%
AmerisourceBergen Corp.		17,200		1,733
UnitedHealth Group, Inc.		8,400		2,478
Total				4,211
Hotels, Restaurants & Leisure 2.77%
McDonald’s Corp.		23,574		4,349
Household Products 0.66%
Procter & Gamble Co. (The)		8,700		1,040
Information Technology Services 6.22%
Accenture plc Class A (Ireland)(a)		18,300		3,929
Jack Henry & Associates, Inc.		8,900		1,638
Visa, Inc. Class A		21,700		4,192
Total				9,759

4 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Shares		Fair Value (000)
Insurance 2.42%
Chubb Ltd. (Switzerland)(a)		18,100	$	2,292
RenaissanceRe Holdings Ltd.		8,800		1,505
Total				3,797
Machinery 3.37%
Dover Corp.		16,100		1,554
Illinois Tool Works, Inc.		10,700		1,871
Stanley Black & Decker, Inc.		13,400		1,868
Total				5,293
Media 2.48%
Comcast Corp. Class A		99,900		3,894
Multi-Line Retail 0.90%
Dollar General Corp.		7,400		1,410
Multi-Utilities 2.91%
CMS Energy Corp.		41,700		2,436
WEC Energy Group, Inc.		24,300		2,130
Total				4,566
Oil, Gas & Consumable Fuels 2.91%
Chevron Corp.		29,449		2,628
ONEOK, Inc.		25,321		841
Total SA ADR		28,500		1,096
Total				4,565
Personal Products 1.36%
Estee Lauder Cos., Inc. (The) Class A		11,300		2,132
Pharmaceuticals 4.34%
Johnson & Johnson		27,419		3,856
Merck & Co., Inc.		18,800		1,454
Zoetis, Inc.		10,900		1,493
Total				6,803

Investments	Shares		Fair Value (000)
Road & Rail 3.78%
J.B. Hunt Transport Services, Inc.		17,500	$	2,106
Union Pacific Corp.		22,600		3,821
Total				5,927
Semiconductors & Semiconductor Equipment 7.95%
Analog Devices, Inc.		23,100		2,833
Microchip Technology, Inc.		25,066		2,640
QUALCOMM, Inc.		32,557		2,969
Texas Instruments, Inc.		31,700		4,025
Total				12,467
Software 5.49%
Microsoft Corp.		42,300		8,608
Specialty Retail 4.38%
Home Depot, Inc. (The)		2,900		727
Lowe’s Cos., Inc.		25,225		3,408
TJX Cos., Inc. (The)		54,000		2,730
Total				6,865
Technology Hardware, Storage & Peripherals 2.30%
Apple, Inc.		9,900		3,612
Textiles, Apparel & Luxury Goods 2.12%
NIKE, Inc. Class B		33,900		3,324
Total Common Stocks (cost $141,626,049)				155,392

See Notes to Financial Statements. 5

Schedule of Investments (unaudited)(concluded)

June 30, 2020

Investments	Principal Amount (000)		Fair Value (000)
SHORT-TERM INVESTMENT 0.81%
Repurchase Agreement
Repurchase Agreement dated 6/30/2020, 0.00% due 7/1/2020 with Fixed Income Clearing Corp. collateralized by $1,287,400 of U.S. Treasury Note at 0.25% due 6/15/2023; value: $1,290,399; proceeds: $1,265,024 (cost $1,265,024)	$	1,265	$	1,265
Total Investments in Securities 99.86% (cost $142,891,073)				156,657
Other Assets in Excess of Liabilities(b) 0.14%				227
Net Assets 100.00%			$	156,884

ADR	American Depositary Receipt.
(a)	Foreign security traded in U.S. dollars.
(b)	Other Assets in Excess of Liabilities include net unrealized appreciation on futures contracts as follows:

Open Futures Contracts at June 30, 2020:

Type	Expiration	Contracts	Position	Notional Amount		Notional Value		Unrealized Appreciation
E- Mini S&P 500 Index	September 2020	7	Long	$	1,078,660	$	1,081,570		$	2,910

The following is a summary of the inputs used as of June 30, 2020 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)	Level 1 (000)		Level 2 (000)		Level 3 (000)		Total (000)
Common Stocks	$	155,392	$	–	$	–	$	155,392
Short-Term Investment
Repurchase Agreement		–		1,265		–		1,265
Total	$	155,392	$	1,265	$	–	$	156,657
Other Financial Instruments
Futures Contracts
Assets	$	3	$	–	$	–	$	3
Liabilities		–		–		–		–
Total	$	3	$	–	$	–	$	3

(1)	Refer to Note 2(i) 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.

6 See Notes to Financial Statements.

Statement of Assets and Liabilities (unaudited)

June 30, 2020

ASSETS:
Investments in securities, at fair value (cost $142,891,073)	$	156,657,065
Deposits with brokers for futures collateral		84,000
Receivables:
Investment securities sold		382,267
Capital shares sold		212,701
Dividends		141,445
Variation margin for futures contracts		14,866
From advisor (See Note 3)		2,102
Total assets		157,494,446
LIABILITIES:
Payables:
Capital shares reacquired		241,296
Investment securities purchased		88,222
Management fee		68,353
Directors’ fees		19,166
Fund administration		4,971
Accrued expenses		188,603
Total liabilities		610,611
Commitments and contingent liabilities
NET ASSETS	$	156,883,835
COMPOSITION OF NET ASSETS:
Paid-in capital	$	141,602,929
Total distributable earnings (loss)		15,280,906
Net Assets	$	156,883,835
Outstanding shares (50 million shares of common stock authorized, $.001 par value)		10,295,867
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares)		$15.24

See Notes to Financial Statements. 7

Statement of Operations (unaudited)

For the Six Months Ended June 30, 2020

Investment income:
Dividends (net of foreign withholding taxes of $3,665)	$	1,737,273
Interest		2,332
Total investment income		1,739,605
Expenses:
Management fee		418,642
Non 12b-1 service fees		187,723
Shareholder servicing		82,789
Fund administration		30,447
Professional		24,232
Reports to shareholders		11,593
Custody		2,679
Directors’ fees		1,947
Other		14,891
Gross expenses		774,943
Expense reductions (See Note 9)		(1,178	)
Fees waived and expenses reimbursed (See Note 3)		(20,209	)
Net expenses		753,556
Net investment income		986,049
Net realized and unrealized gain (loss):
Net realized gain (loss) on investments		882,429
Net realized gain (loss) on futures contracts		(361,682	)
Net change in unrealized appreciation/depreciation on investments		(13,504,003	)
Net change in unrealized appreciation/depreciation on futures contracts		(14,112	)
Net realized and unrealized gain (loss)		(12,997,368	)
Net Decrease in Net Assets Resulting From Operations	$	(12,011,319	)

8 See Notes to Financial Statements.

Statements of Changes in Net Assets

INCREASE (DECREASE) IN NET ASSETS	For the Six Months Ended June 30, 2020 (unaudited)				For the Year Ended December 31, 2019
Operations:
Net investment income		$	986,049			$	2,706,706
Net realized gain (loss) on investments and foreign currency related transactions			520,747				9,104,353
Net change in unrealized appreciation/depreciation on investments and futures contracts			(13,518,115	)			26,738,855
Net increase (decrease) in net assets resulting from operations			(12,011,319	)			38,549,914
Distributions to shareholders:			–				(11,725,920	)
Capital share transactions (See Note 15):
Proceeds from sales of shares			16,080,249				39,221,778
Reinvestment of distributions			–				11,725,920
Cost of shares reacquired			(29,913,164	)			(35,682,954	)
Net increase (decrease) in net assets resulting from capital share transactions			(13,832,915	)			15,264,744
Net increase (decrease) in net assets			(25,844,234	)			42,088,738
NET ASSETS:
Beginning of period		$	182,728,069			$	140,639,331
End of period		$	156,883,835			$	182,728,069

See Notes to Financial Statements. 9

Financial Highlights

			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
6/30/2020(c)	$	15.96	$	0.08	$	(0.80	)	$	(0.72	)	$	–		$	–		$	–
12/31/2019		13.48		0.24		3.31			3.55			(0.25	)		(0.82	)		(1.07	)
12/31/2018		16.02		0.27		(1.03	)		(0.76	)		(0.30	)		(1.48	)		(1.78	)
12/31/2017		14.47		0.26		2.49			2.75			(0.27	)		(0.93	)		(1.20	)
12/31/2016		13.60		0.28		1.78			2.06			(0.25	)		(0.94	)		(1.19	)
12/31/2015		15.55		0.27		(0.60	)		(0.33	)		(0.27	)		(1.35	)		(1.62	)

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Unaudited.
(d)	Not annualized.
(e)	Annualized.

10 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 investment income (%)			Net assets, end of period (000)		Portfolio turnover rate (%)
$	15.24		(4.51	)(d)		0.99	(e)		1.03	(e)		1.31	(e)	$	156,884		50	(d)
	15.96		26.45			0.96			1.10			1.58			182,728		61
	13.48		(4.67	)		0.88			1.22			1.68			140,639		58
	16.02		19.12			0.85			1.21			1.71			192,222		58
	14.47		15.10			0.85			1.25			1.89			171,330		75
	13.60		(2.13	)		0.85			1.28			1.76			105,016		70

See Notes to Financial Statements. 11

Notes to Financial Statements (unaudited)

1. ORGANIZATION  

Lord Abbett Series Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was incorporated under Maryland law in 1989. The Company consists of nine separate portfolios as of June 30, 2020. This report covers Dividend Growth Portfolio (formerly, Calibrated Dividend Growth Portfolio) (the “Fund”).

The Fund’s investment objective is to seek current income and capital appreciation. The Fund has Variable Contract class shares (“Class VC Shares”), which are currently issued and redeemed only in connection with investments in, and payments under, variable annuity contracts and variable life insurance policies issued by life insurance and insurance-related companies.

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. The Fund is considered an investment company 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 Fund’s Board of Directors (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
	Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. The 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. Exchange traded options and futures contracts are valued at the last sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used.
	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 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.

12

Notes to Financial Statements (unaudited)(continued)

	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.
(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 on the Statement of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates.
(d)	Income Taxes–It is the policy of the Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.
	The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s filed U.S. federal tax returns remains open for the fiscal years ended December 31, 2016 through December 31, 2019. The statutes of limitations on the Company’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
(e)	Expenses–Expenses incurred by the Company that do not specifically relate to an individual fund are generally allocated to the funds within the Company on a pro rata basis by relative net assets.
(f)	Foreign Transactions–The books and records of each Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in each Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies in each Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions are included in Net realized gain (loss) on foreign currency related transactions in each Fund’s Statement of Operations. The Fund 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 Fund uses foreign currency exchange contracts to facilitate transactions in foreign denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
(g)	Futures Contracts–The Fund may purchase and sell index futures contracts to manage cash, 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 the Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. The Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract.

13

Notes to Financial Statements (unaudited)(continued)

(h)

Repurchase Agreements–The Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. The Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, the Fund may incur a loss upon disposition of the securities.

(i)

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

A summary of inputs used in valuing the Fund’s investments and other financial instruments as of June 30, 2020 and, if applicable, Level 3 rollforwards for the six months then ended is included in the 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. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES  

Management Fee

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

14

Notes to Financial Statements (unaudited)(continued)

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

First $2 billion	.55%
Over $2 billion	.49%

For the six months ended June 30, 2020, the effective management fee, net of waivers, was at an annualized rate of .52% of the Fund’s average daily net assets.

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

For the six months ended June 30, 2020 and continuing through April 30, 2021, Lord, Abbett & Co. LLC (“Lord Abbett”) has contractually agreed to waive its fees and reimburse expenses to the extent necessary to limit total net annual operating expenses to an annual rate of 0.99%. This agreement may be terminated only upon the approval of the Board.

The Company, on behalf of the Fund, has entered into services arrangements with certain insurance companies. Under these arrangements, certain insurance companies will be compensated up to .25% of the average daily net asset value (“NAV”) of the Fund’s Class VC Shares held in the insurance company’s separate account to service and maintain the Variable Contract owners’ accounts. This amount is included in Non 12b-1 service fees on the Statement of Operations. The Fund may also compensate certain insurance companies, third-party administrators and other entities for providing recordkeeping, sub-transfer agency and other administrative services to the Fund. This amount is included in Shareholder servicing on the Statement of Operations.

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 and paid at least semi-annually. 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, 2020 and fiscal year ended December 31, 2019 was as follows:

	Six Months Ended 6/30/2020 (unaudited)		Year Ended 12/31/2019
Distributions paid from:
Ordinary income	$	–	$	2,751,116
Net long-term capital gains		–		8,974,804
Total distributions paid	$	–	$	11,725,920

15

Notes to Financial Statements (unaudited)(continued)

As of June 30, 2020, 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:

Tax cost	$	144,025,484
Gross unrealized gain		16,768,512
Gross unrealized loss		(4,134,021	)
Net unrealized security gain	$	12,634,491

The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of other financial instruments and wash sales.

5. PORTFOLIO SECURITIES TRANSACTIONS  

Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2020 were as follows:

Purchases		Sales
	$75,660,803		$88,558,596

There were no purchases or sales of U.S. Government securities for the six months ended June 30, 2020.

The 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, 2020, the Fund engaged in cross-trades sales of $670,080, which resulted in net realized gains of $104,963.

6. DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES  

The Fund entered into E-Mini S&P 500 Index futures contracts for the six months ended June 30, 2020 (as described in note 2(g)) to manage cash. The Fund bears the risk that the underlying index will move unexpectedly, in which case the Fund may realize a loss. There is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default.

As of June 30, 2020, the Fund had futures contracts with unrealized appreciation of $2,910, which is included in the Schedule of Investments. Only current day’s variation margin is reported within the Fund’s Statement of Assets and Liabilities. Amounts of $(361,862) and $(14,112) are included in the Statement of Operations related to futures contracts under the captions Net realized gain (loss) on futures contracts and Net change in unrealized appreciation/depreciation on futures contracts, respectively. The average number of futures contracts throughout the period was 7.

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 Statement of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Fund’s accounting policy with respect to balance sheet

16

Notes to Financial Statements (unaudited)(continued)

offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty:

Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Repurchase Agreement	$	1,265,024	$	–	$	1,265,024
Total	$	1,265,024	$	–	$	1,265,024

	Net Amounts
	of Assets		Amounts Not Offset in the
	Presented in		Statement of Assets and Liabilities
	the Statement				Cash			Securities
	of Assets and		Financial		Collateral			Collateral			Net
Counterparty	Liabilities		Instruments		Received(a		)	Received(a		)	Amount(b)
Fixed Income Clearing Corp.	$	1,265,024	$	–	$	–		$	(1,265,024	)	$	–
Total	$	1,265,024	$	–	$	–		$	(1,265,024	)	$	–

(a)	Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets 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, 2020.

8. DIRECTORS’ REMUNERATION  

The Company’s officers and 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 Statement of Operations and in Directors’ fees payable on the Statement of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.

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 the Fund’s expenses.

10. LINE OF CREDIT  

For the period ended June 30, 2020, the Fund and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $1.17 billion (the “Syndicated Facility”) whereas State Street Bank and Trust Company (“SSB”) participated as a lender and as agent for the lenders. The Participating Funds were subject to graduated borrowing limits of one third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $350 million, $500 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors. Effective August 6, 2020, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if

17

Notes to Financial Statements (unaudited)(continued)

Fund net assets are less than $750 million), $250 million, $300 million, $600 million, or $900 million, based on past borrowings and likelihood of future borrowings, among other factors.

For the period ended June 30, 2020, the Participating Funds were party to an additional line of credit facility with SSB for $330 million (the “Bilateral Facility”), $250 million committed and $80 million uncommitted. Under the Bilateral Facility, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if net 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 Syndicated Facility and the Bilateral Facility are to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions.

For the six months ended June 30, 2020, the Fund did not utilize the Facilities.

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.

For the six months ended June 30, 2020, the Fund did not participate as a borrower or lender in the Interfund Lending Program.

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 the Fund’s NAV.

13. SECURITIES LENDING AGREEMENT  

The Fund has established a securities lending agreement with Citibank, N.A. for the lending of securities to qualified brokers in exchange for securities or cash collateral equal to at least the market value of securities loaned, plus interest, if applicable. Cash collateral is invested in an approved money market fund. In accordance with the Fund’s securities lending agreement, the market value of securities on loan is determined each day at the close of business and any additional collateral required to cover the value of securities on loan is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Such income earned from securities lending is included in Securities Lending Income on the Statement of Operations.

As of June 30, 2020, the Fund did not loan any securities.

14. INVESTMENT RISKS  

The Fund is subject to the general risks and considerations associated with equity investing. The Fund invests primarily in equity securities of large and mid-sized company stocks that have a history of growing their dividends, but there is no guarantee that a company will pay a dividend. At times, the performance of dividend paying companies may lag the performance of other

18

Notes to Financial Statements (unaudited)(concluded)

companies or the broader market as a whole. The value of the Fund’s investments in equity securities will fluctuate in response to general economic conditions and to the changes in the prospects of particular companies and/or sectors in the economy. If the Fund’s fundamental research and quantitative analysis fail to produce the intended result, the Fund may suffer losses or underperform its benchmark or other funds with the same investment objective or similar strategies, even in a favorable market.

Large and mid-sized company stocks each may perform differently than the market as a whole and other types of stocks. This is because different types of stocks tend to shift in and out of favor over time depending on market and economic conditions. Mid-sized company stocks may be less able to weather economic shifts or other adverse developments than those of larger, more established companies. Although investing in mid-sized companies offers the potential for above average returns, these companies may not succeed and the value of their stock could decline significantly. Mid-sized companies also may fall out of favor relative to larger companies in certain market cycles, causing the Fund to incur losses or under perform.

The Fund’s exposure to foreign companies and markets presents increased market, industry and sector, liquidity, currency, political and other risks. The securities of foreign companies also may be subject to inadequate exchange control regulations, the imposition of economic sanctions or other government restrictions, higher transaction and other costs, and delays in settlement to the extent they are traded on non-U.S. exchanges or markets.

Geopolitical and other events (e.g., wars, terrorism, natural disasters, epidemics or pandemics, such as the COVID-19 outbreak which began in late 2019) may disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Fund’s investments. Market disruptions can also prevent the Fund from implementing its investment strategies and achieving its investment objective.

These factors can affect the Fund’s performance.

15. SUMMARY OF CAPITAL TRANSACTIONS  

Transactions in shares of capital stock were as follows:

	Six Months Ended June 30, 2020 (unaudited)			Year Ended December 31, 2019
Shares sold		1,054,015			2,675,880
Reinvestment of distributions		–			737,009
Shares reacquired		(2,206,269	)		(2,399,283	)
Increase (decrease)		(1,152,254	)		1,013,606

19

Liquidity Risk Management Program

Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a Liquidity Risk Management Program and Policy (“Program”). The Program is designed to assess, manage and periodically review the Fund’s liquidity risk. Liquidity risk is defined under Rule 22e-4 as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.

The Board has appointed Lord Abbett as the administrator for the Fund’s Program. At the May 28-29, 2020 meeting, Lord Abbett provided the Board with a report addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018 through February 28, 2020. Lord Abbett reported that the Program operated effectively during the period. In particular, Lord Abbett reported that: the Fund did not breach its 15% limit on illiquid investments at any point during the period and all regulatory reporting related to Rule 22e-4 was completed on time and without issue during the period.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

Householding

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

Proxy Voting Policies, Procedures and Records

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

Shareholder Reports and Quarterly Portfolio Disclosure

The Fund is required to file its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters as an attachment to Form N-PORT. 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.

20

 

This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus.
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC.	Lord Abbett Series Fund, Inc.
	Dividend Growth Portfolio	SFCS-PORT-3 (08/20)

LORD ABBETT
SEMIANNUAL REPORT

Lord Abbett

Series Fund—Fundamental Equity Portfolio

For the six-month period ended June 30, 2020

Table of Contents

1	A Letter to Shareholders
2	Information About Your Fund’s Expenses and Holdings Presented by Sector
4	Schedule of Investments
7	Statement of Assets and Liabilities
8	Statement of Operations
9	Statements of Changes in Net Assets
10	Financial Highlights
12	Notes to Financial Statements
20	Supplemental Information to Shareholders

Lord Abbett Series Fund — Fundamental Equity Portfolio
Semiannual Report

For the six-month period ended June 30, 2020

  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 Lord Abbett Series Fund — Fundamental Equity Portfolio for the six-month period ended June 30, 2020. For additional information about the Fund, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Fund’s portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website. Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.   Best regards,     Douglas B. Sieg
Director, President, and Chief Executive Officer

1

Expense Example

As a shareholder of the Fund, you incur ongoing costs, including management fees; expenses related to the Fund’s services arrangements with certain insurance companies; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2020 through June 30, 2020).

The Example reflects only expenses that are deducted from the assets of the Fund. Fees and expenses, including sales charges applicable to the various insurance products that invest in the Fund, are not reflected in this Example. If such fees and expenses were reflected in the Example, the total expenses shown would be higher. Fees and expenses regarding such variable insurance products are separately described in the prospectus related to those products.

Actual Expenses

The first line of the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 1/1/20 – 6/30/20” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

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

2

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges. 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†
				1/1/20 -
	1/1/20	6/30/20		6/30/20
Class VC
Actual	$1,000.00	$	838.60	$4.94
Hypothetical (5% Return Before Expenses)	$1,000.00	$	1,019.49	$5.42

^† Net expenses are equal to the Fund’s annualized expense ratio of 1.08%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

June 30, 2020

Sector*	%**
Communication Services	8.68	%
Consumer Discretionary	7.22	%
Consumer Staples	7.83	%
Energy	5.28	%
Financials	19.70	%
Health Care	13.58	%
Industrials	11.76	%
Information Technology	10.65	%
Materials	4.27	%
Real Estate	3.37	%
Transportation	1.24	%
Utilities	6.04	%
Repurchase Agreement	0.38	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.

3

Schedule of Investments (unaudited)

June 30, 2020

Investments	Shares		Fair Value (000)
COMMON STOCKS 99.59%
Aerospace & Defense 2.91%
General Dynamics Corp.		17,511	$	2,617
Raytheon Technologies Corp.		46,121		2,842
Total				5,459
Auto Components 3.00%
Dorman Products, Inc.*		24,904		1,670
LCI Industries		17,280		1,987
Lear Corp.		18,174		1,981
Total				5,638
Banks 8.39%
BankUnited, Inc.		84,112		1,703
Citigroup, Inc.		79,599		4,068
East West Bancorp, Inc.		71,245		2,582
JPMorgan Chase & Co.		55,221		5,194
U.S. Bancorp		59,751		2,200
Total				15,747
Beverages 1.51%
PepsiCo, Inc.		21,400		2,830
Building Products 2.05%
A.O. Smith Corp.		30,592		1,441
Masco Corp.		48,033		2,412
Total				3,853
Capital Markets 4.02%
Ameriprise Financial, Inc.		12,392		1,859
BlackRock, Inc.		5,049		2,747
E*TRADE Financial Corp.		59,200		2,944
Total				7,550
Chemicals 3.76%
Corteva, Inc.*		103,466		2,772
Dow, Inc.*		35,276		1,438
PPG Industries, Inc.		26,816		2,844
Total				7,054

Investments	Shares		Fair Value (000)
Consumer Finance 1.82%
American Express Co.		35,815	$	3,410
Diversified Telecommunication Services 2.21%
Verizon Communications, Inc.		75,400		4,157
Electric: Utilities 4.79%
Duke Energy Corp.		35,445		2,832
Edison International		51,296		2,786
NextEra Energy, Inc.		13,752		3,303
Pacific Gas And Electric Co.		77,000		77
Total				8,998
Electrical Equipment 2.63%
Hubbell, Inc.		20,298		2,545
Rockwell Automation, Inc.		11,260		2,398
Total				4,943
Energy Equipment & Services 0.49%
National Oilwell Varco, Inc.		75,704		927
Equity Real Estate Investment Trusts 3.37%
Alexandria Real Estate
Equities, Inc.		11,306		1,834
Highwoods Properties, Inc.		23,511		878
Prologis, Inc.		19,340		1,805
UDR, Inc.		48,339		1,807
Total				6,324
Health Care Equipment & Supplies 3.34%
Alcon, Inc. (Switzerland)*(a)		41,832		2,398
Medtronic plc (Ireland)(a)		42,169		3,867
Total				6,265
Health Care Providers & Services 4.35%
Anthem, Inc.		9,395		2,471
CVS Health Corp.		58,613		3,808
McKesson Corp.		12,372		1,898
Total				8,177

4 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Shares		Fair Value (000)
Household Products 3.67%
Colgate-Palmolive Co.		51,500	$	3,773
Procter & Gamble Co. (The)		7,900		944
Spectrum Brands Holdings, Inc.		47,379		2,175
Total				6,892
Industrial Conglomerates 1.78%
Honeywell International, Inc.		23,056		3,334
Information Technology Services 3.43%
Euronet Worldwide, Inc.*		25,440		2,438
Mastercard, Inc. Class A		6,294		1,861
MAXIMUS, Inc.		30,500		2,149
Total				6,448
Insurance 5.47%
American International
Group, Inc.		81,800		2,551
Axis Capital Holdings Ltd.		34,418		1,396
Everest Re Group Ltd.		11,572		2,386
Globe Life, Inc.		24,040		1,785
Hartford Financial Services Group, Inc. (The)		55,963		2,157
Total				10,275
Interactive Media & Services 3.38%
Alphabet, Inc. Class A*		2,930		4,155
Facebook, Inc. Class A*		9,687		2,200
Total				6,355
Internet & Direct Marketing Retail 0.98%
Booking Holdings, Inc.*		1,157		1,842
Machinery 2.35%
Cummins, Inc.		11,000		1,906
Westinghouse Air Brake Technologies Corp.		43,593		2,509
Total				4,415

Investments	Shares		Fair Value (000)
Media 3.08%
Comcast Corp. Class A		60,862	$	2,372
Fox Corp. Class A		87,100		2,336
Nexstar Media Group, Inc. Class A		12,760		1,068
Total				5,776
Metals & Mining 0.51%
Nucor Corp.		23,362		967
Multi-Utilities1.29%
CMS Energy Corp.		41,336		2,415
Oil, Gas & Consumable Fuels 4.78%
Chevron Corp.		20,500		1,829
Marathon Petroleum Corp.		63,887		2,388
Noble Energy, Inc.		190,588		1,708
ONEOK, Inc.		38,410		1,276
Total SA ADR		46,292		1,780
Total				8,981
Personal Products 1.21%
Unilever PLC ADR		41,500		2,278
Pharmaceuticals 5.89%
Bristol-Myers Squibb Co.		64,532		3,794
Johnson & Johnson		16,047		2,257
Merck & Co., Inc.		28,932		2,237
Sanofi(b)	EUR	27,120		2,766
Total				11,054
Road & Rail 1.24%
Saia, Inc.*		20,931		2,327
Semiconductors & Semiconductor Equipment 3.06%
Intel Corp.		56,142		3,359
Texas Instruments, Inc.		18,791		2,386
Total				5,745

See Notes to Financial Statements. 5

Schedule of Investments (unaudited)(concluded)

June 30, 2020

Investments	Shares		Fair Value (000)
Software 2.65%
Microsoft Corp.		14,064	$	2,862
Oracle Corp.		38,425		2,124
Total				4,986
Specialty Retail 3.24%
Lowe’s Cos., Inc.		24,882		3,362
TJX Cos., Inc. (The)		53,779		2,719
Total				6,081
Technology Hardware, Storage & Peripherals 1.50%
Apple, Inc.		7,700		2,809
Tobacco 1.44%
Philip Morris International, Inc.		38,520		2,699
Total Common Stocks (cost $197,523,633)				187,011

Investments	Principal Amount (000)		Fair Value (000)
SHORT-TERM INVESTMENT 0.39%
Repurchase Agreement
Repurchase Agreement dated 6/30/2020, 0.00% due 7/1/2020 with Fixed Income Clearing Corp. collateralized by $679,700 of U.S. Treasury Note at 2.625% due 12/31/2023; value: $737,342; proceeds: $722,856 (cost $722,856)	$	723	$	723
Total Investments in Securities 99.98% (cost $198,246,489)				187,734
Other Assets in Excess of Liabilities 0.02%				38
Net Assets 100.00%			$	187,772

EUR	Euro.
ADR	American Depositary Receipt.
*	Non-income producing security.
(a)	Foreign security traded in U.S. dollars.
(b)	Investment in non-U.S. dollar denominated securities.

The following is a summary of the inputs used as of June 30, 2020 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)	Level 1 (000)		Level 2 (000)		Level 3 (000)		Total (000)
Common Stocks
Pharmaceuticals	$	8,288	$	2,766	$	—	$	11,054
Remaining Industries		175,957		—		—		175,957
Short-Term Investment
Repurchase Agreement		—		723		—		723
Total	$	184,245	$	3,489	$	—	$	187,734

(1)	Refer to Note 2(h) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy.

6 See Notes to Financial Statements.

Statement of Assets and Liabilities (unaudited)

June 30, 2020

ASSETS:
Investments in securities, at fair value (cost $198,246,489)	$	187,734,137
Receivables:
Dividends		282,626
Investment securities sold		232,294
From advisor (See Note 3)		21,952
Capital shares sold		1,513
Securities lending income receivable		3,576
Total assets		188,276,098
LIABILITIES:
Payables:
Management fee		117,364
Capital shares reacquired		42,627
Directors’ fees		41,727
Fund administration		6,260
Foreign currency overdraft		5
Accrued expenses		296,005
Total liabilities		503,988
Commitments and contingent liabilities
NET ASSETS	$	187,772,110
COMPOSITION OF NET ASSETS:
Paid-in capital	$	226,789,743
Total distributable earnings (loss)		(39,017,633	)
Net Assets	$	187,772,110
Outstanding shares (110 million shares of common stock authorized, $.001 par value)		13,536,737
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares)		$13.87

See Notes to Financial Statements. 7

Statement of Operations (unaudited)

For the Six Months Ended June 30, 2020

Investment income:
Dividends (net of foreign withholding taxes of $58,887)	$	3,067,744
Securities lending net income		4,246
Interest		1,089
Total investment income		3,073,079
Expenses:
Management fee		825,902
Non 12b-1 service fees		277,184
Shareholder servicing		124,877
Fund administration		45,200
Professional		21,730
Reports to shareholders		21,584
Custody		4,561
Directors’ fees		3,404
Other		25,322
Gross expenses		1,349,764
Expense reductions (See Note 8)		(1,892	)
Fees waived and expenses reimbursed (See Note 3)		(127,480	)
Net expenses		1,220,392
Net investment income		1,852,687
Net realized and unrealized gain (loss):
Net realized gain (loss) on investments		(24,183,733	)
Net realized gain (loss) on foreign currency related transactions		(284	)
Net change in unrealized appreciation/depreciation on investments		(35,967,107	)
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies		(8	)
Net realized and unrealized gain (loss)		(60,151,132	)
Net Decrease in Net Assets Resulting From Operations	$	(58,298,445	)

8 See Notes to Financial Statements.

Statements of Changes in Net Assets

INCREASE (DECREASE) IN NET ASSETS	For the Six Months Ended June 30, 2020 (unaudited)			For the Year Ended December 31, 2019
Operations:
Net investment income	$	1,852,687		$	4,017,075
Net realized gain (loss) on investments and foreign currency related transactions		(24,184,017	)		3,898,285
Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies		(35,967,115	)		39,613,736
Net increase (decrease) in net assets resulting from operations		(58,298,445	)		47,529,096
Distributions to shareholders:		–			(12,066,296	)
Capital share transactions (See Note 14):
Proceeds from sales of shares		20,806,028			275,997,853
Reinvestment of distributions		–			12,066,296
Cost of shares reacquired		(102,734,099	)		(203,255,827	)
Net increase (decrease) in net assets resulting from capital share transactions		(81,928,071	)		84,808,322
Net increase (decrease) in net assets		(140,226,516	)		120,271,122
NET ASSETS:
Beginning of period	$	327,998,626		$	207,727,504
End of period	$	187,772,110		$	327,998,626

See Notes to Financial Statements. 9

Financial Highlights

			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
6/30/2020(e)	$	16.55	$	0.10	$	(2.78	)	$	(2.68	)	$	–		$	–		$	–
12/31/2019		14.13		0.21		2.84			3.05			(0.21	)		(0.42	)		(0.63	)
12/31/2018		18.86		0.20		(1.78	)		(1.58	)		(0.28	)		(2.87	)		(3.15	)
12/31/2017		18.30		0.19		2.10			2.29			(0.21	)		(1.52	)		(1.73	)
12/31/2016		16.28		0.23		2.34			2.57			(0.21	)		(0.34	)		(0.55	)
12/31/2015		18.61		0.16		(0.79	)		(0.63	)		(0.21	)		(1.49	)		(1.70	)

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales charges or other expenses imposed by an insurance company and assumes the reinvestment of all distributions.
(c)	Unaudited.
(d)	Not annualized.
(e)	Annualized.

10 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 investment income (%)			Net assets, end of period (000)		Portfolio turnover rate (%)
$	13.87		(16.14	)(d)		1.08	(e)		1.22	(e)		1.67	(e)	$	187,772		43	(d)
	16.55		21.51			1.11			1.19			1.35			327,999		124
	14.13		(8.16	)		1.18			1.19			1.09			207,728		117
	18.86		12.57			1.15			1.19			1.01			388,799		106
	18.30		15.74			1.15			1.20			1.36			387,518		132
	16.28		(3.44	)		1.15			1.21			0.90			261,006		135

See Notes to Financial Statements. 11

Notes to Financial Statements (unaudited)

1. ORGANIZATION  

Lord Abbett Series Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was incorporated under Maryland law in 1989. The Company consists of nine separate portfolios as of June 30, 2020. This report covers Fundamental Equity Portfolio (the “Fund”).

The Fund’s investment objective is long-term growth of capital and income without excessive fluctuations in market value. The Fund has Variable Contract class shares (“Class VC Shares”), which are currently issued and redeemed only in connection with investments in, and payments under, variable annuity contracts and variable life insurance policies issued by life insurance and insurance-related companies.

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. The Fund is considered an investment company 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 Fund’s Board of Directors (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
	Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. The 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.
	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 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.

12

Notes to Financial Statements (unaudited)(continued)

(b)	Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method.
(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 on the Statement of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates.
(d)	Income Taxes–It is the policy of the Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.
	The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s filed U.S. federal tax returns remains open for the fiscal years ended December 31, 2016 through December 31, 2019. The statutes of limitations on the Company’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
(e)	Expenses–Expenses incurred by the Company that do not specifically relate to an individual fund are generally allocated to the funds within the Company on a pro rata basis by relative net assets.
(f)	Foreign Transactions–The books and records of the Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in the Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss), if applicable, is included in Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions, if applicable, are included in Net realized gain (loss) on foreign currency related transactions on the Fund’s Statement of Operations. The Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities.
	The Fund uses foreign currency exchange contracts to facilitate transactions in foreign denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
(g)	Repurchase Agreements–The Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. The Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, the Fund may incur a loss upon disposition of the securities.

13

Notes to Financial Statements (unaudited)(continued)

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

A summary of inputs used in valuing the Fund’s investments as of June 30, 2020 and, if applicable, Level 3 rollforwards for the six months then ended is included in the 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. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES  

Management Fee

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

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

First $200 million	.75%
Next $300 million	.65%
Over $500 million	.50%

For the six months ended June 30, 2020, the effective management fee, net of waivers, was at an annualized rate of .63% of the Fund’s average daily net assets.

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

14

Notes to Financial Statements (unaudited)(continued)

For the six months ended June 30, 2020 and continuing through April 30, 2021, Lord, Abbett & Co. LLC (“Lord Abbett”) has contractually agreed to waive its fees and reimburse expenses to the extent necessary to limit total net annual operating expenses to an annual rate of 1.08%. This agreement may be terminated only by the Board.

The Company, on behalf of the Fund, has entered into services arrangements with certain insurance companies. Under these arrangements, certain insurance companies will be compensated up to .25% of the average daily net asset value (NAV) of the Fund’s Class VC Shares held in the insurance company’s separate account to service and maintain the Variable Contract owners’ accounts. This amount is included in Non 12b-1 service fees on the Statement of Operations. The Fund may also compensate certain insurance companies, third-party administrators and other entities for providing recordkeeping, sub-transfer agency and other administrative services to the Fund. This amount is included in Shareholder servicing on the Statement of Operations.

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 and paid at least semi-annually. 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, 2020 and fiscal year ended December 31, 2019 was as follows:

	Six Months Ended 6/30/2020 (unaudited)		Year Ended 12/31/2019
Distributions paid from:
Ordinary income	$	–	$	6,488,812
Net long-term capital gains		–		5,577,484
Total distributions paid	$	–	$	12,066,296

As of June 30, 2020, 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:

Tax cost	$	204,694,012
Gross unrealized gain		9,793,296
Gross unrealized loss		(26,753,171	)
Net unrealized security loss	$	(16,959,875	)

The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of wash sales and certain distributions received.

15

Notes to Financial Statements (unaudited)(continued)

5. PORTFOLIO SECURITIES TRANSACTIONS  

Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2020 were as follows:

Purchases		Sales
	$97,511,916		$177,302,489

There were no purchases or sales of U.S. Government securities for the six months ended June 30, 2020.

The 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, 2020, the Fund engaged in cross-trades purchases of $38,369, and sales of $1,505,759, which resulted in net realized losses of $31,048.

6. 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 Statement of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Fund’s accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty:

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		$722,856	$	–		$722,856
Total		$722,856	$	–		$722,856

Net Amounts

of Assets

Amounts Not Offset in the

Presented in

Statement of Assets and Liabilities

the Statement

Cash

Securities

of Assets and

Financial

Collateral

Collateral

Net

Counterparty

Liabilities

Instruments

Received(a

)

Received(a

)

Amount(b

)

Fixed Income Clearing Corp.

$722,856

$

–

$

–

$

(722,856

)

$

–

Total

$722,856

$

–

$

–

$

(722,856

)

$

–

(a)	Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets 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, 2020.

16

Notes to Financial Statements (unaudited)(continued)

7. DIRECTORS’ REMUNERATION  

The Company’s officers and 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 Statement of Operations and in Directors’ fees payable on the Statement of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.

8. 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 the Fund’s expenses.

9. LINE OF CREDIT  

For the period ended June 30, 2020, the Fund and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $1.17 billion (the “Syndicated Facility”) whereas State Street Bank and Trust Company (“SSB”) participated as a lender and as agent for the lenders. The Participating Funds were subject to graduated borrowing limits of one third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $350 million, $500 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors. Effective August 6, 2020, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $600 million, or $900 million, based on past borrowings and likelihood of future borrowings, among other factors.

For the period ended June 30, 2020, the Participating Funds were party to an additional line of credit facility with SSB for $330 million (the “Bilateral Facility”), $250 million committed and $80 million uncommitted. Under the Bilateral Facility, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if net 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 Syndicated Facility and the Bilateral Facility are to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions.

For the six months ended June 30, 2020, the Fund did not utilize the Facilities.

10. 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.

For the six months ended June 30, 2020, the Fund did not participate as a borrower or lender in the Interfund Lending Program.

17

Notes to Financial Statements (unaudited)(continued)

11. CUSTODIAN AND ACCOUNTING AGENT  

SSB is the Company’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating the Fund’s NAV.

12. SECURITIES LENDING AGREEMENT  

The Fund has established a securities lending agreement with Citibank, N.A. for the lending of securities to qualified brokers in exchange for securities or cash collateral equal to at least the market value of securities loaned, plus interest, if applicable. Cash collateral is invested in an approved money market fund. In accordance with the Fund’s securities lending agreement, the market value of securities on loan is determined each day at the close of business and any additional collateral required to cover the value of securities on loan is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Such income earned from securities lending is included in Securities Lending Income on the Statement of Operations.

As of June 30, 2020, the Fund did not loan any securities.

13. INVESTMENT RISKS  

The Fund is subject to the general risks and considerations associated with investing in equity securities as well as the particular risks associated with value stocks. The value of an investment will fluctuate in response to movements in the equity securities market in general and to the changing prospects of individual companies in which the Fund invests. Value investing also is subject to the risk that a company judged to be undervalued may actually be appropriately priced or even overpriced. Large value stocks, in which the Fund invests a significant portion of its assets, may perform differently than the market as a whole and other types of stocks, such as mid-sized or small-company stocks and growth stocks. This is because different types of stocks tend to shift in and out of favor over time depending on market and economic conditions as well as investor sentiment. In addition, large companies may have smaller rates of growth as compared to successful but well-established smaller companies. Mid-cap and small-cap company stocks in which the Fund may invest may be more volatile and less liquid than large-cap stocks, especially over the short term. The market may fail to recognize the intrinsic value of a particular value stock for a long time. In addition, if the Fund’s assessment of a company’s value or prospects for exceeding earnings expectations or market conditions is wrong, the Fund could suffer losses or produce poor performance relative to other funds, even in a favorable market.

Due to the Fund’s investment exposure to foreign companies and American Depositary Receipts, the Fund may experience increased market, industry and sector, liquidity, currency, political, information, and other risks. The securities of foreign companies also may be subject to inadequate exchange control regulations, the imposition of economic sanctions or other government restrictions, higher transaction and other costs, and delays in settlement to the extent they are traded on non-U.S. exchanges or markets.

The Fund is subject to the risks associated with derivatives, which may be different and greater than the risks associated with investing directly in securities and other investments. Derivatives may be subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, and credit risk. Illiquid securities may lower the Fund’s returns since the Fund may be unable to sell

18

Notes to Financial Statements (unaudited)(concluded)

these securities at their desired time or price. Derivatives also may involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with the value of the underlying asset, rate or index. Whether the Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements, changes in foreign exchange and interest rates, and other factors. If the Fund incorrectly forecasts these and other factors, its performance could suffer. The Fund’s use of derivatives could result in a loss exceeding the amount of the Fund’s investment in these instruments.

Geopolitical and other events (e.g., wars, terrorism, natural disasters, epidemics or pandemics, such as the COVID-19 outbreak which began in late 2019) may disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Fund’s investments. Market disruptions can also prevent the Fund from implementing its investment strategies and achieving its investment objective.

These factors can affect the Fund’s performance.

14. SUMMARY OF CAPITAL TRANSACTIONS  

Transactions in shares of capital stock were as follows:

	Six Months Ended June 30, 2020 (unaudited)			Year Ended December 31, 2019
Shares sold		1,582,694			17,712,782
Reinvestment of distributions		–			730,892
Shares reacquired		(7,870,078	)		(13,323,396	)
Increase (decrease)		(6,287,384	)		5,120,278

19

Liquidity Risk Management Program

Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a Liquidity Risk Management Program and Policy (“Program”). The Program is designed to assess, manage and periodically review the Fund’s liquidity risk. Liquidity risk is defined under Rule 22e-4 as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.

The Board has appointed Lord Abbett as the administrator for the Fund’s Program. At the May 28-29, 2020 meeting, Lord Abbett provided the Board with a report addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018 through February 28, 2020. Lord Abbett reported that the Program operated effectively during the period. In particular, Lord Abbett reported that: the Fund did not breach its 15% limit on illiquid investments at any point during the period and all regulatory reporting related to Rule 22e-4 was completed on time and without issue during the period.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

Householding

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

Proxy Voting Policies, Procedures and Records

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

Shareholder Reports and Quarterly Portfolio Disclosure

The Fund is required to file its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters as an attachment to Form N-PORT. 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.

20

 

This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus.
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC.	Lord Abbett Series Fund, Inc. Fundamental Equity Portfolio	SFFE-PORT-3 (08/20)

LORD ABBETT
SEMIANNUAL REPORT

Lord Abbett

Series Fund—Growth and Income Portfolio

For the six-month period ended June 30, 2020

Table of Contents

1	A Letter to Shareholders
2	Information About Your Fund’s Expenses and Holdings Presented by Sector
4	Schedule of Investments
7	Statement of Assets and Liabilities
8	Statement of Operations
9	Statements of Changes in Net Assets
10	Financial Highlights
12	Notes to Financial Statements
19	Supplemental Information to Shareholders

Lord Abbett Series Fund — Growth and Income Portfolio

Semiannual Report

For the six-month period ended June 30, 2020

  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 Lord Abbett Series Fund — Growth and Income Portfolio for the six-month period ended June 30, 2020. For additional information about the Fund, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Fund’s portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website. Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.   Best regards,     Douglas B. Sieg Director, President, and Chief Executive Officer

1

Expense Example

As a shareholder of the Fund, you incur ongoing costs, including management fees; expenses related to the Fund’s services arrangements with certain insurance companies; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2020 through June 30, 2020).

The Example reflects only expenses that are deducted from the assets of the Fund. Fees and expenses, including sales charges applicable to the various insurance products that invest in the Fund, are not reflected in this Example. If such fees and expenses were reflected in the Example, the total expenses shown would be higher. Fees and expenses regarding such variable insurance products are separately described in the prospectus related to those products.

Actual Expenses

The first line of the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 1/1/20 – 6/30/20” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

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

2

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges. 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†
	1/1/20	6/30/20	1/1/20 - 6/30/20
Class VC
Actual	$1,000.00	$   852.20	$4.37
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.14	$4.77

^† Net expenses are equal to the Fund’s annualized expense ratio of 0.95%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

June 30, 2020

Sector*	%**
Communication Services	9.02	%
Consumer Discretionary	7.11	%
Consumer Staples	8.24	%
Energy	5.27	%
Financials	19.77	%
Health Care	13.78	%
Industrials	12.29	%
Information Technology	10.55	%
Materials	4.36	%
Real Estate	3.08	%
Utilities	6.04	%
Repurchase Agreement	0.49	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.

3

Schedule of Investments (unaudited)

June 30, 2020

Investments	Shares		Fair Value (000)
COMMON STOCKS 99.43%
Aerospace & Defense 3.52%
General Dynamics Corp.		57,949	$	8,661
Raytheon Technologies Corp.		137,763		8,489
Total				17,150
Auto Components 0.98%
Lear Corp.		43,800		4,775
Automobiles 0.75%
General Motors Co.		144,600		3,658
Banks 7.98%
Citigroup, Inc.		206,995		10,577
East West Bancorp, Inc.		186,941		6,775
JPMorgan Chase & Co.		157,265		14,792
U.S. Bancorp		181,196		6,672
Total				38,816
Beverages 1.55%
PepsiCo, Inc.		56,961		7,534
Building Products 1.73%
Masco Corp.		167,295		8,400
Capital Markets 4.71%
Ameriprise Financial, Inc.		57,978		8,699
BlackRock, Inc.		12,193		6,634
E*TRADE Financial Corp.		152,942		7,606
Total				22,939
Chemicals 3.83%
Corteva, Inc.*		226,710		6,073
Dow, Inc.*		124,972		5,094
PPG Industries, Inc.		70,541		7,482
Total				18,649
Consumer Finance 1.77%
American Express Co.		90,270		8,594
Diversified Telecommunication Services 2.44%
Verizon Communications, Inc.		215,020		11,854

Investments	Shares		Fair Value (000)
Electric: Utilities 4.78%
Duke Energy Corp.		91,799	$	7,334
Edison International		132,893		7,217
NextEra Energy, Inc.		35,621		8,555
Pacific Gas And Electric Co.		137,753		138
Total				23,244
Electrical Equipment 1.48%
Hubbell, Inc.		57,623		7,224
Electronic Equipment, Instruments & Components 0.98%
Avnet, Inc.		171,771		4,790
Energy Equipment & Services 0.58%
National Oilwell Varco, Inc.		231,672		2,838
Equity Real Estate Investment Trusts 3.07%
Alexandria Real Estate Equities, Inc.		40,232		6,528
Highwoods Properties, Inc.		60,525		2,259
Prologis, Inc.		66,183		6,177
Total				14,964
Food Products 0.73%
Danone SA(a)	EUR	51,300		3,561
Health Care Equipment & Supplies 3.60%
Alcon, Inc. (Switzerland)*(b)		130,781		7,496
Medtronic plc (Ireland)(b)		109,452		10,037
Total				17,533
Health Care Providers & Services 4.14%
Anthem, Inc.		20,947		5,508
CVS Health Corp.		151,974		9,874
McKesson Corp.		31,122		4,775
Total				20,157
Household Products 3.28%
Colgate-Palmolive Co.		133,900		9,810
Procter & Gamble Co. (The)		51,587		6,168
Total				15,978

4 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Shares		Fair Value (000)
Industrial Conglomerates 2.28%
Honeywell International, Inc.		76,808	$	11,106
Information Technology Services 1.24%
Mastercard, Inc. Class A		20,400		6,032
Insurance 5.30%
American International Group, Inc.		177,885		5,546
Axis Capital Holdings Ltd.		114,229		4,633
Everest Re Group Ltd.		25,687		5,297
Globe Life, Inc.		61,771		4,585
Hartford Financial Services Group, Inc. (The)		149,147		5,750
Total				25,811
Interactive Media & Services 3.44%
Alphabet, Inc. Class A*		7,586		10,757
Facebook, Inc. Class A*		26,296		5,971
Total				16,728
Internet & Catalog Retail 0.98%
Booking Holdings, Inc.*		3,005		4,785
Internet & Direct Marketing Retail 1.35%
eBay, Inc.		125,340		6,574
Machinery 3.24%
Cummins, Inc.		49,200		8,524
Westinghouse Air Brake Technologies Corp.		125,594		7,231
Total				15,755
Media 3.14%
Comcast Corp. Class A		157,678		6,146
Fox Corp. Class A		225,820		6,057
Nexstar Media Group, Inc. Class A		36,682		3,070
Total				15,273
Metals & Mining 0.52%
Nucor Corp.		61,172		2,533
Multi-Utilities 1.29%
CMS Energy Corp.		107,100		6,257

Investments	Shares		Fair Value (000)
Oil, Gas & Consumable Fuels 4.68%
Chevron Corp.		79,001	$	7,049
Marathon Petroleum Corp.		132,561		4,955
Noble Energy, Inc.		420,168		3,765
ONEOK, Inc.		73,614		2,445
Total SA ADR		119,203		4,585
Total				22,799
Personal Products 1.25%
Unilever plc(a)	GBP	112,758		6,082
Pharmaceuticals 6.03%
Bristol-Myers Squibb Co.		167,182		9,830
Johnson & Johnson		43,491		6,116
Merck & Co., Inc.		80,107		6,195
Sanofi(a)	EUR	70,763		7,217
Total				29,358
Semiconductors & Semiconductor Equipment 3.57%
Intel Corp.		145,514		8,706
Texas Instruments, Inc.		68,117		8,649
Total				17,355
Software 3.00%
Microsoft Corp.		37,693		7,671
Oracle Corp.		125,138		6,916
Total				14,587
Specialty Retail 3.04%
Lowe’s Cos., Inc.		57,500		7,769
TJX Cos., Inc. (The)		138,580		7,007
Total				14,776
Technology Hardware, Storage & Peripherals 1.75%
Apple, Inc.		23,400		8,536
Tobacco 1.43%
Philip Morris International, Inc.		99,029		6,938
Total Common Stocks
(cost $481,461,162)				483,943

See Notes to Financial Statements. 5

Schedule of Investments (unaudited)(concluded)

June 30, 2020

Investments	Principal Amount (000)		Fair Value (000)
SHORT-TERM INVESTMENT 0.49%
Repurchase Agreement
Repurchase Agreement dated 6/30/2020, 0.00% due 7/1/2020 with Fixed Income Clearing Corp. collateralized by $2,229,300 of U.S. Treasury Note at 2.625% due 12/31/2023; value: $2,418,356; proceeds: $2,370,869 (cost $2,370,869)	$	2,371	$	2,371
Total Investments in Securities 99.92% (cost $483,832,031)				486,314
Other Assets in Excess of Liabilities 0.08%				409
Net Assets 100.00%			$	486,723

GBP	British Pound.
EUR	Euro.
ADR	American Depositary Receipt.
*	Non-income producing security.
(a)	Investment in non-U.S. dollar denominated securities.
(b)	Foreign security traded in U.S. dollars.

The following is a summary of the inputs used as of June 30, 2020 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)	Level 1 (000)		Level 2 (000)		Level 3 (000)		Total (000)
Common Stocks
Food Products	$	–	$	3,561	$	–	$	3,561
Personal Products		–		6,082		–		6,082
Pharmaceuticals		22,141		7,217		–		29,358
Remaining Industries		444,942		–		–		444,942
Short-Term Investment
Repurchase Agreement		–		2,371		–		2,371
Total	$	467,083	$	19,231	$	–	$	486,314

(1)	Refer to Note 2(h) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy.

6 See Notes to Financial Statements.

Statement of Assets and Liabilities (unaudited)

June 30, 2020

ASSETS:
Investments in securities, at fair value (cost $483,832,031)	$	486,313,731
Receivables:
Dividends		757,765
Investment securities sold		450,308
Capital shares sold		143,589
Prepaid expenses		786
Total assets		487,666,179
LIABILITIES:
Payables:
Management fee		204,224
Directors’ fees		139,486
Capital shares reacquired		22,391
Fund administration		16,338
Accrued expenses		560,612
Total liabilities		943,051
Commitments and contingent liabilities
NET ASSETS	$	486,723,128
COMPOSITION OF NET ASSETS:
Paid-in capital	$	504,462,976
Total distributable earnings (loss)		(17,739,848	)
Net Assets	$	486,723,128
Outstanding shares (200 million shares of common stock authorized, $.001 par value)		16,523,326
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares)	$	29.46

See Notes to Financial Statements. 7

Statement of Operations (unaudited)

For the Six Months Ended June 30, 2020

Investment income:
Dividends (net of foreign withholding taxes of $152,203)	$	6,998,861
Interest		2,253
Total investment income		7,001,114
Expenses:
Management fee		1,237,857
Non 12b-1 service fees		610,682
Shareholder servicing		268,983
Fund administration		99,029
Professional		32,204
Reports to shareholders		23,923
Directors’ fees		6,236
Custody		2,129
Other		47,942
Gross expenses		2,328,985
Expense reductions (See Note 8)		(3,752	)
Net expenses		2,325,233
Net investment income		4,675,881
Net realized and unrealized gain(loss):
Net realized gain(loss) on investments		(22,360,221	)
Net realized gain(loss) on foreign currency related transactions		6,664
Net change in unrealized appreciation/depreciation on investments		(64,607,553	)
Net realized and unrealized gain (loss)		(86,961,110	)
Net Decrease in Net Assets Resulting From Operations	$	(82,285,229	)

8 See Notes to Financial Statements.

Statements of Changes in Net Assets

	For the Six Months
	Ended June 30, 2020			For the Year Ended
INCREASE (DECREASE) IN NET ASSETS	(unaudited)			December 31, 2019
Operations:
Net investment income	$	4,675,881		$	9,166,694
Net realized gain (loss) on investments and foreign currency related transactions		(22,353,557	)		33,083,132
Net change in unrealized appreciation/depreciation on investments		(64,607,553	)		73,643,845
Net increase (decrease) in net assets resulting from operations		(82,285,229	)		115,893,671
Distributions to shareholders:		–			(46,631,283	)
Capital share transactions (See Note 14):
Proceeds from sales of shares		20,052,755			9,794,053
Reinvestment of distributions		–			46,631,006
Cost of shares reacquired		(32,895,041	)		(91,503,941	)
Net decrease in net assets resulting from capital share transactions		(12,842,286	)		(35,078,882	)
Net increase (decrease) in net assets		(95,127,515	)		34,183,506
NET ASSETS:
Beginning of period	$	581,850,643		$	547,667,137
End of period	$	486,723,128		$	581,850,643

See Notes to Financial Statements. 9

Financial Highlights

			Per Share Operating Performance:
			Investment Operations:								Distributions to shareholders from:
								Total
					Net			from
	Net asset		Net		realized			invest-
	value,		invest-		and			ment			Net			Net			Total
	beginning		ment		unrealized			opera-			investment			realized			distri-
	of period		income(a)		gain (loss)			tions			income			gain			butions
6/30/2020(c)	$	34.57	$	0.21	$	(5.32	)	$	(5.11	)	$	–		$	–		$	–
12/31/2019		30.65		0.55		6.31			6.86			(0.58	)		(2.36	)		(2.94	)
12/31/2018		37.15		0.50		(3.53	)		(3.03	)		(0.52	)		(2.95	)		(3.47	)
12/31/2017		36.72		0.48		4.39			4.87			(0.53	)		(3.91	)		(4.44	)
12/31/2016		32.21		0.52		4.99			5.51			(0.52	)		(0.48	)		(1.00	)
12/31/2015		35.54		0.40		(1.43	)		(1.03	)		(0.44	)		(1.86	)		(2.30	)

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Unaudited.
(d)	Not annualized.
(e)	Annualized.

10 See Notes to Financial Statements.

					Ratios to
					Average Net Assets:						Supplemental Data:
Net											Net
asset								Net			assets,		Portfolio
value,		Total			Total			investment			end of		turnover
end of		return(b)			expenses			income			period		rate
period		(%)			(%)			(%)			(000)		(%)
$	29.46		(14.78	)(d)		0.95	(e)		1.91	(e)	$	486,723		42	(d)
	34.57		22.49			0.94			1.59			581,851		76
	30.65		(8.14	)		0.93			1.35			547,667		89
	37.15		13.38			0.93			1.26			696,564		97
	36.72		17.11			0.94			1.54			718,550		98
	32.21		(2.86	)		0.94			1.15			724,298		105

See Notes to Financial Statements. 11

Notes to Financial Statements (unaudited)

1. ORGANIZATION  

Lord Abbett Series Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was incorporated under Maryland law in 1989. The Company consists of nine separate portfolios as of June 30, 2020. This report covers Growth and Income Portfolio (the “Fund”).

The Fund’s investment objective is long-term growth of capital and income without excessive fluctuations in market value. The Fund’s Variable Contract class shares (“Class VC Shares”), are currently issued and redeemed only in connection with investments in, and payments under, variable annuity contracts and variable life insurance policies issued by life insurance and insurance-related companies.

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. The Fund is considered an investment company 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 Fund’s Board of Directors (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
	Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. The 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.
	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 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.

12

Notes to Financial Statements (unaudited)(continued)

(b)	Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method.
(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 on the Statement of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates.
(d)	Income Taxes–It is the policy of the Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.
	The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s filed U.S. federal tax returns remains open for the fiscal years ended December 31, 2016 through December 31, 2019. The statutes of limitations on the Company’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
(e)	Expenses–Expenses incurred by the Company that do not specifically relate to an individual fund are generally allocated to the funds within the Company on a pro rata basis by relative net assets.
(f)	Foreign Transactions–The books and records of each Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in each Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies in each Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions are included in Net realized gain (loss) on foreign currency related transactions in each Fund’s Statement of Operations. The Fund 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 Fund uses foreign currency exchange contracts to facilitate transactions in foreign denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
(g)	Repurchase Agreements–The Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. The Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, the Fund may incur a loss upon disposition of the securities.
(h)	Fair Value Measurements–Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy

13

Notes to Financial Statements (unaudited)(continued)

is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk—for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below:

•	Level 1 –	unadjusted quoted prices in active markets for identical investments;
•	Level 2 –	other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and
•	Level 3 –	significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

A summary of inputs used in valuing the Fund’s investments as of June 30, 2020 and, if applicable, Level 3 rollforwards for the six months then ended is included in the 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. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES  

Management Fee

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

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

First $1 billion	.50%
Over $1 billion	.45%

For the six months ended June 30, 2020, the effective management fee paid to Lord Abbett was at an annualized rate of .50% of the Fund’s average daily net assets.

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

The Company, on behalf of the Fund, has entered into services arrangements with certain insurance companies. Under these arrangements, certain insurance companies will be compensated up to .25% of the average daily net asset value ("NAV") of the Fund’s Class VC Shares held in the insurance company’s separate account to service and maintain the Variable Contract

14

Notes to Financial Statements (unaudited)(continued)

owners’ accounts. This amount is included in Non 12b-1 service fees on the Statement of Operations. The Fund may also compensate certain insurance companies, third-party administrators and other entities for providing recordkeeping, sub-transfer agency and other administrative services to the Fund. This amount is included in Shareholder servicing on the Statement of Operations.

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 and paid at least semi-annually. 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, 2020 and fiscal year ended December 31, 2019 were as follows:

	Six Months Ended  6/30/2020  (unaudited)		Year Ended  12/31/2019
Distributions paid from:
Ordinary income	$	–	$	9,183,499
Net long-term capital gains		–		37,447,784
Total distributions paid	$	–	$	46,631,283

As of June 30, 2020, 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:

Tax cost	$	485,746,398
Gross unrealized gain		39,666,474
Gross unrealized loss		(39,099,141	)
Net unrealized security gain	$	567,333

The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of wash sales and certain distributions received.

5. PORTFOLIO SECURITIES TRANSACTIONS  

Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2020 were as follows:

Purchases	Sales
$206,621,097	$215,467,024

There were no purchases or sales of U.S. Government securities for the six months ended June 30, 2020.

15

Notes to Financial Statements (unaudited)(continued)

The 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, 2020, the Fund engaged in cross-trades purchases of $353,815, and sales of $2,587,683 which resulted in realized net losses of $486,820.

6. 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 Statement of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Fund’s accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty:

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		$2,370,869	$	–	$	2,370,869
Total		$2,370,869	$	–	$	2,370,869

	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.	$	2,370,869	$	–	$	–		$	(2,370,869	)	$	–
Total	$	2,370,869	$	–	$	–		$	(2,370,869	)	$	–

(a)	Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets 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, 2020.

7. DIRECTORS’ REMUNERATION  

The Company’s officers and 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 Statement of Operations and in Directors’ fees payable on the Statement of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.

16

Notes to Financial Statements (unaudited)(continued)

8. 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 the Fund’s expenses.

9. LINE OF CREDIT  

For the period ended June 30, 2020, the Fund and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $1.17 billion (the “Syndicated Facility”) whereas State Street Bank and Trust Company (“SSB”) participated as a lender and as agent for the lenders. The Participating Funds were subject to graduated borrowing limits of one third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $350 million, $500 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors. Effective August 6, 2020, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $600 million, or $900 million, based on past borrowings and likelihood of future borrowings, among other factors.

For the period ended June 30, 2020, the Participating Funds were party to an additional line of credit facility with SSB for $330 million (the “Bilateral Facility”), $250 million committed and $80 million uncommitted. Under the Bilateral Facility, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if net 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 Syndicated Facility and the Bilateral Facility are to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions.

For the six months ended June 30, 2020, the Fund did not utilize the Facilities.

10. INTERFUND LENDING PROGRAM  

Pursuant to an exemptive order issued by the U.S. Securities and Exchange Commission (“SEC exemptive order”) certain registered open-ended 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.

For the six months ended June 30, 2020, the Fund did not participate as a borrower or lender in the Interfund Lending Program.

11. CUSTODIAN AND ACCOUNTING AGENT  

SSB is the Company’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating the Fund’s NAV.

12. SECURITIES LENDING AGREEMENT  

The Fund has established a securities lending agreement with Citibank, N.A. for the lending of securities to qualified brokers in exchange for securities or cash collateral equal to at least the market value of securities loaned, plus interest, if applicable. Cash collateral is invested in an approved money market fund. In accordance with the Fund’s securities lending agreement, the market value of securities on loan is determined each day at the close of business and any additional collateral required to cover the value of securities on loan is delivered to the Fund on

17

Notes to Financial Statements (unaudited)(concluded)

the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Such income earned from securities lending is included in Securities Lending Income on the Statement of Operations.

As of June 30, 2020, the Fund did not loan any securities.

13. INVESTMENT RISKS  

The Fund is subject to the general risks and considerations associated with equity investing, as well as the particular risks associated with value stocks. The value of an investment will fluctuate in response to movements in the equity securities market in general and to the changing prospects of individual companies in which the Fund invests. Value investing also is subject to the risk that the company judged to be undervalued may actually be appropriately priced or even overpriced. Large-cap value stocks may perform differently than the market as a whole and other types of stocks, such as small company stocks and growth stocks. This is because different types of stocks tend to shift in and out of favor over time depending on market and economic conditions as well as investor sentiment. In addition, large companies may have smaller rates of growth as compared to successful but well established smaller companies. The market may fail to recognize the intrinsic value of particular value stocks for a long time. In addition, if the Fund’s assessment of a company’s value or prospects for exceeding earnings expectations or market conditions is wrong, the Fund could suffer losses or produce poor performance relative to other funds, even in a favorable market.

Due to its investments in multinational companies, foreign companies and American Depositary Receipts, the Fund may experience increased market, industry and sector, liquidity, currency, political, information and other risks. The securities of foreign companies also may be subject to inadequate exchange control regulations, the imposition of economic sanctions or other government restrictions, higher transaction and other costs, and delays in settlement to the extent they are traded on non-U.S. exchanges or markets.

Geopolitical and other events (e.g., wars, terrorism, natural disasters, epidemics or pandemics such as the COVID-19 outbreak which began in late 2019) may disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Fund’s investments. Market disruptions can also prevent the Fund from implementing its investment strategies and achieving its investment objective.

These factors can affect the Fund’s performance.

14. SUMMARY OF CAPITAL TRANSACTIONS  

Transactions in shares of capital stock were as follows:

	Six Months Ended June 30, 2020 (unaudited)		Year Ended December 31, 2019
Shares sold		780,239		287,670
Reinvestment of distributions		–		1,350,380
Shares reacquired		(1,089,045)		(2,675,516	)
Decrease		(308,806)		(1,037,466	)

18

Liquidity Risk Management Program

Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a Liquidity Risk Management Program and Policy (“Program”). The Program is designed to assess, manage and periodically review the Fund’s liquidity risk. Liquidity risk is defined under Rule 22e-4 as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.

The Board has appointed Lord Abbett as the administrator for the Fund’s Program. At the May 28-29, 2020 meeting, Lord Abbett provided the Board with a report addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018 through February 28, 2020. Lord Abbett reported that the Program operated effectively during the period. In particular, Lord Abbett reported that: the Fund did not breach its 15% limit on illiquid investments at any point during the period and all regulatory reporting related to Rule 22e-4 was completed on time and without issue during the period.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

Householding

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

Proxy Voting Policies, Procedures and Records

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

Shareholder Reports and Quarterly Portfolio Disclosure

The Fund is required to file its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters as an attachment to Form N-PORT. 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.

19

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 Series Fund, Inc.
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC.	Growth and Income Portfolio	LASFGI-3 (08/20)

LORD ABBETT

SEMIANNUAL REPORT

Lord Abbett

Series Fund—Growth Opportunities Portfolio

For the six-month period ended June 30, 2020

Table of Contents

1	A Letter to Shareholders
2	Information About Your Fund’s Expenses and Holdings Presented by Sector
4	Schedule of Investments
8	Statement of Assets and Liabilities
9	Statement of Operations
10	Statements of Changes in Net Assets
12	Financial Highlights
14	Notes to Financial Statements
22	Supplemental Information to Shareholders

Lord Abbett Series Fund — Growth Opportunities Portfolio Semiannual Report

For the six-month period ended June 30, 2020

  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 Lord Abbett Series Fund — Growth Opportunities Portfolio for the six-month period ended June 30, 2020. For additional information about the Fund, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Fund’s portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website. Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.   Best regards,     Douglas B. Sieg Director, President, and Chief Executive Officer

1

Expense Example

As a shareholder of the Fund, you incur ongoing costs, including management fees; expenses related to the Fund’s services arrangements with certain insurance companies; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2020 through June 30, 2020).

The Example reflects only expenses that are deducted from the assets of the Fund. Fees and expenses, including sales charges applicable to the various insurance products that invest in the Fund, are not reflected in this Example. If such fees and expenses were reflected in the Example, the total expenses shown would be higher. Fees and expenses regarding such variable insurance products are separately described in the prospectus related to those products.

Actual Expenses

The first line of the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 1/1/20 – 6/30/20” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

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

2

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges. 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†
	1/1/20	6/30/20	1/1/20 - 6/30/20	��
Class VC
Actual	$1,000.00	$1,056.10	$6.49
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,018.55	$6.37

^† Net expenses are equal to the Fund’s annualized expense ratio of 1.27%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

June 30, 2020

Sector*	%**
Communication Services	3.27	%
Consumer Discretionary	12.65	%
Consumer Staples	3.31	%
Energy	0.61	%
Financials	6.21	%
Health Care	22.80	%
Industrials	12.35	%
Information Technology	31.90	%
Materials	3.57	%
Real Estate	1.68	%
Repurchase Agreement	1.00	%
Money Market Funds(a)	0.65	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.
(a)	Securities were purchased with the cash collateral from loaned securities.

3

Schedule of Investments (unaudited)

June 30, 2020

Investments	Shares		Fair Value (000)
COMMON STOCKS 99.28%
Aerospace & Defense 1.06%
CAE, Inc. (Canada)(a)		72,291	$	1,170
Banks 0.79%
First Republic Bank		8,222		871
Beverages 1.13%
Brown-Forman Corp. Class B		19,552		1,245
Biotechnology 6.92%
Acceleron Pharma, Inc.*		5,178		493
Argenx SE ADR*		2,323		523
BioMarin Pharmaceutical, Inc.*		10,267		1,266
Blueprint Medicines Corp.*		4,444		347
Immunomedics, Inc.*		18,779		666
Iovance Biotherapeutics, Inc.*		18,717		514
Natera, Inc.*		21,948		1,094
Sarepta Therapeutics, Inc.*		5,783		927
Seattle Genetics, Inc.*		7,402		1,258
Twist Bioscience Corp.*		12,139		550
Total				7,638
Building Products 0.67%
Allegion plc (Ireland)(a)		7,218		738
Capital Markets 3.14%
MarketAxess Holdings, Inc.		3,437		1,722
Moody’s Corp.		2,216		609
MSCI, Inc.		3,392		1,132
Total				3,463
Chemicals 0.46%
FMC Corp.		5,155		514
Commercial Services & Supplies 0.50%
Healthcare Services Group, Inc.		22,444		549
Construction Materials 1.12%
Vulcan Materials Co.		10,721		1,242

Investments	Shares		Fair Value (000)
Containers & Packaging 2.02%
Avery Dennison Corp.		6,726	$	767
Ball Corp.		21,005		1,460
Total				2,227
Diversified Consumer Services 1.40%
Bright Horizons Family Solutions, Inc.*		5,244		615
Service Corp. International		23,860		928
Total				1,543
Electrical Equipment 1.93%
AMETEK, Inc.		12,365		1,105
Hubbell, Inc.		8,158		1,023
Total				2,128
Electronic Equipment, Instruments & Components 1.67%
Keysight Technologies, Inc.*		10,133		1,021
Trimble, Inc.*		19,130		826
Total				1,847
Entertainment 0.32%
Warner Music Group Corp. Class A*		11,839		349
Equity Real Estate Investment Trusts 1.69%
SBA Communications Corp.		6,271		1,868
Health Care Equipment & Supplies 7.25%
Align Technology, Inc.*		7,282		1,998
DexCom, Inc.*		1,381		560
IDEXX Laboratories, Inc.*		2,350		776
Insulet Corp.*		5,684		1,104
Penumbra, Inc.*		3,806		681
Silk Road Medical, Inc.*		10,483		439
Teleflex, Inc.		3,363		1,224
West Pharmaceutical Services, Inc.		5,366		1,219
Total				8,001

4 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Shares		Fair Value (000)
Health Care Providers & Services 1.81%
Centene Corp.*		19,783	$	1,257
Guardant Health, Inc.*		9,161		743
Total				2,000
Health Care Technology 1.48%
Veeva Systems, Inc. Class A*		6,964		1,633
Hotels, Restaurants & Leisure 1.71%
Chipotle Mexican Grill, Inc.*		1,792		1,886
Household Products 1.55%
Church & Dwight Co., Inc.		22,114		1,709
Industrial Conglomerates 1.12%
Roper Technologies, Inc.		3,180		1,235
Information Technology Services 9.59%
Euronet Worldwide, Inc.*		3,671		352
FleetCor Technologies, Inc.*		6,918		1,740
Genpact Ltd.		36,269		1,325
Global Payments, Inc.		9,843		1,670
Jack Henry & Associates, Inc.		7,930		1,459
Twilio, Inc. Class A*		10,306		2,261
Wix.com Ltd. (Israel)*(a)		6,940		1,778
Total				10,585
Insurance 2.34%
Goosehead Insurance, Inc. Class A*		20,308		1,527
RenaissanceRe Holdings Ltd.		6,188		1,058
Total				2,585
Interactive Media & Services 2.99%
IAC/InterActiveCorp.*		7,266		2,350
Snap, Inc. Class A*		40,275		946
Total				3,296
Leisure Products 0.69%
Peloton Interactive, Inc. Class A*		13,146		759

Investments	Shares		Fair Value (000)
Life Sciences Tools & Services 3.49%
10X Genomics, Inc. Class A*		7,449	$	665
Bio-Rad Laboratories, Inc. Class A*		1,985		896
Charles River Laboratories International, Inc.*		7,063		1,232
Repligen Corp.*		8,577		1,060
Total				3,853
Machinery 1.91%
Fortive Corp.		12,335		835
Stanley Black & Decker, Inc.		9,134		1,273
Total				2,108
Multi-Line Retail 2.21%
Dollar General Corp.		5,767		1,099
Dollar Tree, Inc.*		14,464		1,340
Total				2,439
Oil, Gas & Consumable Fuels 0.61%
Parsley Energy, Inc. Class A		63,593		679
Personal Products 0.66%
Shiseido Co., Ltd.(b)	JPY	11,495		732
Pharmaceuticals 2.06%
Catalent, Inc.*		11,252		825
Zoetis, Inc.		10,564		1,447
Total				2,272
Professional Services 1.89%
CoStar Group, Inc.*		2,931		2,083
Road & Rail 3.40%
J.B. Hunt Transport Services, Inc.		9,659		1,162
Kansas City Southern		3,922		586
Old Dominion Freight Line, Inc.		8,027		1,361
Saia, Inc.*		5,781		643
Total				3,752

See Notes to Financial Statements. 5

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Shares		Fair Value (000)
Semiconductors & Semiconductor Equipment 5.69%
Analog Devices, Inc.		12,668	$	1,554
Lam Research Corp.		3,869		1,252
Microchip Technology, Inc.		10,782		1,135
NXP Semiconductors NV (Netherlands)(a)		7,759		885
Xilinx, Inc.		14,841		1,460
Total				6,286
Software 15.24%
Anaplan, Inc.*		20,032		908
Coupa Software, Inc.*		5,172		1,433
DocuSign, Inc.*		9,794		1,687
Everbridge, Inc.*		6,393		884
New Relic, Inc.*		5,039		347
Palo Alto Networks, Inc.*		6,542		1,502
RingCentral, Inc. Class A*		11,340		3,232
ServiceNow, Inc.*		2,628		1,064
Slack Technologies, Inc. Class A*(c)		35,176		1,094
Splunk, Inc.*		15,435		3,067
Zendesk, Inc.*		18,161		1,608
Total				16,826
Specialty Retail 5.57%
Burlington Stores, Inc.*		9,905		1,951
O’Reilly Automotive, Inc.*		5,476		2,309
Tractor Supply Co.		12,775		1,684
Vroom, Inc.*		3,955		206
Total				6,150
Textiles, Apparel & Luxury Goods 1.20%
Canada Goose Holdings, Inc. (Canada)*(a)		11,890		276
Lululemon Athletica, Inc. (Canada)*(a)		3,353		1,046
Total				1,322
Total Common Stocks (cost $95,797,246)				109,583

Investments	Principal Amount (000)		Fair Value (000)
SHORT-TERM INVESTMENTS 1.67%
Repurchase Agreement 1.01%
Repurchase Agreement dated 6/30/2020, 0.00% due 7/1/2020 with Fixed Income Clearing Corp. collateralized by $1,134,900 of U.S. Treasury Note at 0.25% due 6/15/2023; value: $1,137,544; proceeds: $1,115,201 (cost $1,115,201)	$	1,115	$	1,115
	Shares
Money Market Funds 0.66%
CitiBank N.A.(d)		72,610		73
Fidelity Government Portfolio(d)		653,490		653
Total Money Market Funds (Cost $726,100)				726
Total Short-Term Investments (cost $1,841,301)				1,841
Total Investments in Securities 100.95% (cost $97,638,547)				111,424
Liabilities in Excess of Securities Lending and Other Assets (0.95)%				(1,051	)
Net Assets 100.00%			$	110,373

JPY	Japanese Yen.
ADR	American Depositary Receipt.
*	Non-income producing security.
(a)	Foreign security traded in U.S. dollars.
(b)	Investment in non-U.S. dollar denominated securities.
(c)	All or a portion of this security was on loan to brokers at June 30, 2020.
(d)	Security was purchased with the cash collateral from loaned securities.

6 See Notes to Financial Statements.

Schedule of Investments (unaudited)(concluded)

June 30, 2020

The following is a summary of the inputs used as of June 30, 2020 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)	Level 1 (000)		Level 2 (000)		Level 3 (000)		Total (000)
Common Stocks
Personal Products	$	—	$	732	$	—	$	732
Remaining Industries		108,851		—		—		108,851
Short-Term Investments
Repurchase Agreement		—		1,115		—		1,115
Money Market Funds		726		—		—		726
Total	$	109,577	$	1,847	$	—	$	111,424

(1)	Refer to Note 2(h) 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. 7

Statement of Assets and Liabilities (unaudited)

June 30, 2020

ASSETS:
Investments in securities, at fair value including $715,070 of securities loaned (cost $97,638,547)	$	111,423,933
Cash		402,416
Receivables:
Investment securities sold		160,400
Dividends		21,501
Capital shares sold		1,355
Securities lending income receivable		897
Total assets		112,010,502
LIABILITIES:
Payables:
Investment securities purchased		511,282
Capital shares reacquired		129,647
Management fee		66,774
Directors’ fees		15,116
Fund administration		3,561
Payable for collateral due to broker for securities lending		726,100
Accrued expenses		184,997
Total liabilities		1,637,477
Commitments and contingent liabilities
NET ASSETS	$	110,373,025
COMPOSITION OF NET ASSETS:
Paid-in capital	$	90,803,245
Total distributable earnings (loss)		19,569,780
Net Assets	$	110,373,025
Outstanding shares (110 million shares of common stock authorized, $.001 par value)		8,025,371
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares)		$13.75

8 See Notes to Financial Statements.

Statement of Operations (unaudited)

For the Six Months Ended June 30, 2020

Investment income:
Dividends (net of foreign withholding taxes of $1,197)	$	297,748
Securities lending net income		1,021
Interest		1,132
Total investment income		299,901
Expenses:
Management fee		362,508
Non 12b-1 service fees		119,117
Shareholder servicing		52,639
Professional		21,351
Fund administration		19,334
Reports to shareholders		14,628
Directors’ fees		1,317
Custody		1,254
Other		12,108
Gross expenses		604,256
Expense reductions (See Note 8)		(773	)
Net expenses		603,483
Net investment loss		(303,582	)
Net realized and unrealized gain (loss):
Net realized gain (loss) on investments		6,716,922
Net realized gain (loss) on foreign currency related transactions		12
Net change in unrealized appreciation/depreciation on investments		(10,974,691	)
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies		(27	)
Net realized and unrealized gain (loss)		(4,257,784	)
Net Decrease in Net Assets Resulting From Operations	$	(4,561,366	)

See Notes to Financial Statements. 9

Statements of Changes in Net Assets

INCREASE (DECREASE) IN NET ASSETS	For the Six Months Ended June 30, 2020 (unaudited)				For the Year Ended December 31, 2019
Operations:
Net investment loss		$	(303,582	)		$	(311,871	)
Net realized gain (loss) on investments and foreign currency related transactions			6,716,934				9,405,162
Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies			(10,974,718	)			21,821,780
Net increase (decrease) in net assets resulting from operations			(4,561,366	)			30,915,071
Distributions to shareholders:			–				(11,365,461	)
Capital share transactions (See Note 14):
Proceeds from sales of shares			42,135,045				68,968,670
Reinvestment of distributions			–				11,365,461
Cost of shares reacquired			(52,145,485	)			(41,430,866	)
Net increase (decrease) in net assets resulting from capital share transactions			(10,010,440	)			38,903,265
Net increase (decrease) in net assets			(14,571,806	)			58,452,875
NET ASSETS:
Beginning of period		$	124,944,831			$	66,491,956
End of period		$	110,373,025			$	124,944,831

10 See Notes to Financial Statements.

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11

Financial Highlights

			Per Share Operating Performance:
			Investment Operations:									Distributions to shareholders from:
	Net asset value, beginning of period		Net investment income (loss)(a)			Net realized and unrealized gain (loss)			Total from investment operations			Net realized gain			Net asset value, end of period
6/30/2020(c)		$13.02		$(0.03	)	$	0.76		$	0.73		$	–			$13.75
12/31/2019		10.48		(0.03	)		3.82			3.79			(1.25	)		13.02
12/31/2018		14.20		(0.07	)		(0.42	)		(0.49	)		(3.23	)		10.48
12/31/2017		11.96		(0.04	)		2.77			2.73			(0.49	)		14.20
12/31/2016		11.88		(0.03	)		0.18			0.15			(0.07	)		11.96
12/31/2015		12.91		(0.06	)		0.41			0.35			(1.38	)		11.88

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales charges or other expenses imposed by an insurance company and assumes the reinvestment of all distributions.
(c)	Unaudited.
(d)	Not annualized.
(e)	Annualized.

12 See Notes to Financial Statements.

			Ratios to Average Net Assets:									Supplemental Data:
Total return(b) (%)			Total expenses after waivers and/or reimburse- ments (%)			Total expenses (%)			Net investment income (loss) (%)			Net assets, end of period (000)		Portfolio turnover rate (%)
	5.61	(d)		1.27	(e)		1.27	(e)		(0.64	)(e)	$	110,373		71	(d)
	36.37			1.22			1.27			(0.27	)		124,945		45
	(2.89	)		1.13			1.29			(0.45	)		66,492		39
	22.91			1.10			1.27			(0.29	)		134,201		69
	1.23			1.13			1.33			(0.25	)		123,735		155
	2.72			1.20			1.31			(0.42	)		91,977		125

See Notes to Financial Statements. 13

Notes to Financial Statements (unaudited)

1. ORGANIZATION  

Lord Abbett Series Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (“the Act”), as a diversified, open-end management investment company and was incorporated under Maryland law in 1989. The Company consists of nine separate portfolios as of June 30, 2020. This report covers Growth Opportunities Portfolio (the “Fund”).

The Fund’s investment objective is capital appreciation. The Fund has Variable Contract class shares (“Class VC Shares”), which are currently issued and redeemed only in connection with investments in, and payments under, variable annuity contracts and variable life insurance policies issued by life insurance and insurance-related companies.

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. The Fund is considered an investment company 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 Fund’s Board of Directors (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
	Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. The 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.
	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 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.

14

Notes to Financial Statements (unaudited)(continued)

(b)	Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method.
(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 on the Statement of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates.
(d)	Income Taxes–It is the policy of the Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.
	The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s filed U.S. federal tax returns remains open for the fiscal years ended December 31, 2016 through December 31, 2019. The statutes of limitations on the Company’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
(e)	Expenses–Expenses incurred by the Company that do not specifically relate to an individual fund are generally allocated to the funds within the Company on a pro rata basis by relative net assets.
(f)	Foreign Transactions–The books and records of the Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in the Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss), if applicable, is included in Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions, if applicable, are included in Net realized gain (loss) on foreign currency related transactions on the Fund’s Statement of Operations. The Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities.
	The Fund uses foreign currency exchange contracts to facilitate transactions in foreign denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
(g)	Repurchase Agreements–The Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. The Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, the Fund may incur a loss upon disposition of the securities.

15

Notes to Financial Statements (unaudited)(continued)

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

A summary of inputs used in valuing the Fund’s investments as of June 30, 2020 and, if applicable, Level 3 rollforwards for the six months then ended is included in the 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. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES  

Management Fee

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

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

First $1 billion	.75%
Next $1 billion	.65%
Next $1 billion	.60%
Over $3 billion	.58%

For the six months ended June 30, 2020, the effective management fee, net of waivers, was at an annualized rate of .75% of the Fund’s average daily net assets.

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

16

Notes to Financial Statements (unaudited)(continued)

The Company, on behalf of the Fund, has entered into services arrangements with certain insurance companies. Under these arrangements, certain insurance companies will be compensated up to .25% of the average daily net asset value (NAV) of the Fund’s Class VC Shares held in the insurance company’s separate account to service and maintain the Variable Contract owners’ accounts. This amount is included in Non 12b-1 service fees on the Statement of Operations. The Fund may also compensate certain insurance companies, third-party administrators and other entities for providing recordkeeping, sub-transfer agency and other administrative services to the Fund. This amount is included in Shareholder servicing on the Statement of Operations.

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 and paid at least semi-annually. 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, 2020 and fiscal year ended December 31, 2019, was as follows:

	Six Months Ended 6/30/2020 (unaudited)		Year Ended 12/31/2019
Distributions paid from:
Ordinary income	$	–	$	97,816
Net long-term capital gains		–		11,267,645
Total distributions paid	$	–	$	11,365,461

As of June 30, 2020, 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:

Tax cost	$	98,736,755
Gross unrealized gain		13,928,829
Gross unrealized loss		(1,241,651	)
Net unrealized security gain	$	12,687,178

The difference between book-basis and tax-basis unrealized gains (losses) is attributable to wash sales.

5. PORTFOLIO SECURITIES TRANSACTIONS  

Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2020 were as follows:

Purchases		Sales
	$70,356,520		$80,017,493

17

Notes to Financial Statements (unaudited)(continued)

There were no purchases or sales of U.S. Government securities for the six months ended June 30, 2020.

The 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 period ended June 30, 2020, the Fund engaged in cross-trades purchases of $3,481,355, and sales of $282,810 which resulted in net realized losses of $49,073.

6. 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 Statement of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Fund’s accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty:

Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Repurchase Agreement	$	1,115,201	$	–	$	1,115,201
Total	$	1,115,201	$	–	$	1,115,201

	Net Amounts
	of Assets		Amounts Not Offset in the
	Presented in		Statement of Assets and Liabilities
	the Statement				Cash			Securities
	of Assets and		Financial		Collateral			Collateral			Net
Counterparty	Liabilities		Instruments		Received(a		)	Received(a		)	Amount(b		)
Fixed Income Clearing Corp.	$	1,115,201	$	–	$	–		$	(1,115,201	)	$	–
Total	$	1,115,201	$	–	$	–		$	(1,115,201	)	$	–

(a)	Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets 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, 2020.

7. DIRECTORS’ REMUNERATION  

The Company’s officers and 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 Statement of Operations and in Directors’ fees payable on the Statement of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.

18

Notes to Financial Statements (unaudited)(continued)

8. 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 the Fund’s expenses.

9. LINE OF CREDIT  

For the period ended June 30, 2020, the Fund and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $1.17 billion (the “Syndicated Facility”) whereas State Street Bank and Trust Company (“SSB”) participated as a lender and as agent for the lenders. The Participating Funds were subject to graduated borrowing limits of one third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $350 million, $500 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors. Effective August 6, 2020, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $600 million, or $900 million, based on past borrowings and likelihood of future borrowings, among other factors.

For the period ended June 30, 2020, the Participating Funds were party to an additional line of credit facility with SSB for $330 million (the “Bilateral Facility”), $250 million committed and $80 million uncommitted. Under the Bilateral Facility, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if net 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 Syndicated Facility and the Bilateral Facility are to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions.

For the six months ended June 30, 2020, the Fund did not utilize the Facilities.

10. 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.

For the six months ended June 30, 2020, the Fund did not participate as a borrower or lender in the Interfund Lending Program.

11. CUSTODIAN AND ACCOUNTING AGENT  

SSB is the Company’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating the Fund’s NAV.

12. SECURITIES LENDING AGREEMENT  

The Fund has established a securities lending agreement with Citibank, N.A. for the lending of securities to qualified brokers in exchange for securities or cash collateral equal to at least the market value of securities loaned, plus interest, if applicable. Cash collateral is invested in an approved money market fund. In accordance with the Fund’s securities lending agreement, the

19

Notes to Financial Statements (unaudited)(continued)

market value of securities on loan is determined each day at the close of business and any additional collateral required to cover the value of securities on loan is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Such income earned from securities lending is included in Securities Lending Income on the Statement of Operations.

As of June 30, 2020, the market value of securities loaned and collateral received for the Fund was as follows:

Market Value of Securities Loaned	Collateral Received
$715,070	$726,100

13. INVESTMENT RISKS  

The Fund is subject to the general risks and considerations associated with equity investing, as well as the particular risks associated with value and mid-sized company stocks. The value of an investment will fluctuate in response to movements in the equity securities market in general and to the changing prospects of individual companies in which the Fund invests. The market may fail to recognize for a long time the intrinsic value of particular value stocks the Fund may hold. Value investing also is subject to the risk that the company judged to be undervalued may actually be appropriately priced or even overpriced. The mid-sized company stocks in which the Fund invests may be less able to weather economic shifts or other adverse developments than those of larger, more established companies. Although investing in mid-sized companies offers the potential for above average returns, these companies may not succeed and the value of their stock could decline significantly. Mid-sized companies also may fall out of favor relative to larger companies in certain market cycles, causing the Fund to incur losses or under perform. In addition, if the Fund’s assessment of a company’s value or prospects for exceeding earnings expectations or market conditions is wrong, the Fund could suffer losses or produce poor performance relative to other funds, even in a rising market.

Due to the Fund’s investment exposure to foreign companies and American Depositary Receipts, the Fund may experience increased market, industry and sector liquidity, currency, political, information, and other risks. The securities of foreign companies also may be subject to inadequate exchange control regulations, the imposition of economic sanctions or other government restrictions, higher transaction and other costs, and delays in settlement to the extent they are traded on non-U.S. exchanges or markets.

Geopolitical and other events (e.g., wars, terrorism, natural disasters, epidemics or pandemics such as the COVID-19 outbreak which began in late 2019) may disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Fund’s investments. Market disruptions can also prevent the Fund from implementing its investment strategies and achieving its investment objective.

These factors can affect the Fund’s performance.

20

Notes to Financial Statements (unaudited)(concluded)

14. SUMMARY OF CAPITAL TRANSACTIONS  

Transactions in shares of capital stock were as follows:

	Six Months Ended June 30, 2020 (unaudited)			Year Ended December 31, 2019
Shares sold		3,275,966			5,842,901
Reinvestment of distributions		–			868,963
Shares reacquired		(4,844,548	)		(3,463,128	)
Increase (decrease)		(1,568,582	)		3,248,736

21

Liquidity Risk Management Program

Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a Liquidity Risk Management Program and Policy (“Program”). The Program is designed to assess, manage and periodically review the Fund’s liquidity risk. Liquidity risk is defined under Rule 22e-4 as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.

The Board has appointed Lord Abbett as the administrator for the Fund’s Program. At the May 28-29, 2020 meeting, Lord Abbett provided the Board with a report addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018 through February 28, 2020. Lord Abbett reported that the Program operated effectively during the period. In particular, Lord Abbett reported that: the Fund did not breach its 15% limit on illiquid investments at any point during the period and all regulatory reporting related to Rule 22e-4 was completed on time and without issue during the period.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

Householding

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

Proxy Voting Policies, Procedures and Records

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

Shareholder Reports and Quarterly Portfolio Disclosure

The Fund is required to file its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters as an attachment to Form N-PORT. Previously, this information was filed on Form N-Port. 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.

22

This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus.
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC.	Lord Abbett Series Fund, Inc.
	Growth Opportunities Portfolio	LASFGO-3 (08/20)

LORD ABBETT
SEMIANNUAL REPORT

Lord Abbett

Series Fund—Mid Cap Stock Portfolio

For the six-month period ended June 30, 2020

Table of Contents

1	A Letter to Shareholders
2	Information About Your Fund’s Expenses and Holdings Presented by Sector
4	Schedule of Investments
7	Statement of Assets and Liabilities
8	Statement of Operations
9	Statements of Changes in Net Assets
10	Financial Highlights
12	Notes to Financial Statements
20	Supplemental Information to Shareholders

Lord Abbett Series Fund — Mid Cap Stock Portfolio Semiannual Report

For the six-month period ended June 30, 2020

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 Lord Abbett Series Fund — Mid Cap Stock Portfolio for the six-month period ended June 30, 2020. For additional information about the Fund, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Fund’s portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website.

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

Best regards,

Douglas B. Sieg

Director, President, and Chief Executive Officer

1

Expense Example

As a shareholder of the Fund, you incur ongoing costs, including management fees; expenses related to the Fund’s services arrangements with certain insurance companies; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2020 through June 30, 2020).

The Example reflects only expenses that are deducted from the assets of the Fund. Fees and expenses, including sales charges applicable to the various insurance products that invest in the Fund, are not reflected in this Example. If such fees and expenses were reflected in the Example, the total expenses shown would be higher. Fees and expenses regarding such variable insurance products are separately described in the prospectus related to those products.

Actual Expenses

The first line of the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 1/1/20 – 6/30/20” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

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

2

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges. 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†
	1/1/20	6/30/20	1/1/20 - 6/30/20
Class VC
Actual	$1,000.00	$   835.30	$5.48
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,018.90	$6.02

^† Net expenses are equal to the Fund’s annualized expense ratio of 1.20% multiplied by the average account value over the period, multiplied by 182/366 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

June 30, 2020

Sector*	%**
Communication Services	3.25	%
Consumer Discretionary	8.74	%
Consumer Staples	4.57	%
Energy	4.33	%
Financials	17.02	%
Health Care	8.15	%
Industrials	16.67	%
Information Technology	10.42	%
Materials	6.90	%
Real Estate	10.36	%
Utilities	9.01	%
Repurchase Agreement	0.48	%
Money Market Funds(a)	0.10	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.
(a)	Securities were purchased with the cash collateral from loaned securities.

3

Schedule of Investments (unaudited)

June 30, 2020

			Fair
			Value
Investments	Shares		(000)
COMMON STOCKS 99.63%
Aerospace & Defense 1.29%
Hexcel Corp.		60,877	$	2,753
Auto Components 1.62%
Lear Corp.		31,800		3,467
Banks 5.26%
CIT Group, Inc.		79,154		1,641
Citizens Financial Group, Inc.		104,400		2,635
East West Bancorp, Inc.		87,100		3,157
Sterling Bancorp		138,162		1,619
SVB Financial Group*		10,115		2,180
Total				11,232
Beverages 1.29%
Carlsberg A/S Class B(a)	DKK	20,800		2,758
Building Products 3.30%
A.O. Smith Corp.		74,328		3,502
Masco Corp.		70,524		3,541
Total				7,043
Capital Markets 4.25%
Ameriprise Financial, Inc.		24,079		3,613
Apollo Global
Management, Inc.		53,698		2,680
Ares Capital Corp.(b)		192,300		2,779
Total				9,072
Chemicals 3.12%
Axalta Coating Systems Ltd.*		155,052		3,496
Corteva, Inc.*		117,841		3,157
Total				6,653
Communications Equipment 1.25%
F5 Networks, Inc.*		19,117		2,667
Construction & Engineering 1.56%
EMCOR Group, Inc.		50,282		3,326
Consumer Finance 1.57%
Discover Financial Services		66,900		3,351

			Fair
			Value
Investments	Shares		(000)
Containers & Packaging 1.54%
Avery Dennison Corp.		28,900	$	3,297
Electric: Utilities 7.52%
Edison International		67,300		3,655
Entergy Corp.		34,052		3,195
Evergy, Inc.		53,644		3,181
FirstEnergy Corp.		84,355		3,271
Pacific Gas And Electric Co.		64,285		64
Pinnacle West Capital Corp.		36,620		2,684
Total				16,050
Electrical Equipment 4.73%
Acuity Brands, Inc.		32,635		3,125
Hubbell, Inc.		26,375		3,306
Rockwell Automation, Inc.		17,258		3,676
Total				10,107
Electronic Equipment, Instruments & Components 1.30%
Avnet, Inc.		99,917		2,786
Energy Equipment & Services 0.66%
National Oilwell Varco, Inc.		114,400		1,401
Equity Real Estate Investment Trusts 10.39%
Alexandria Real Estate Equities, Inc.		22,206		3,603
Camden Property Trust		29,400		2,682
Duke Realty Corp.		90,301		3,196
Healthcare Trust of America, Inc. Class A		113,540		3,011
Highwoods Properties, Inc.		80,214		2,994
Host Hotels & Resorts, Inc.		95,136		1,027
UDR, Inc.		83,614		3,125
Weingarten Realty Investors		134,157		2,540
Total				22,178
Food Products 2.32%
General Mills, Inc.		43,771		2,699
J.M. Smucker Co. (The)		21,237		2,247
Total				4,946

4 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

			Fair
			Value
Investments	Shares		(000)
Health Care Equipment & Supplies 3.07%
Alcon, Inc. (Switzerland)*(c)		56,226	$	3,223
NuVasive, Inc.*		59,812		3,329
Total				6,552
Health Care Providers & Services 5.10%
AmerisourceBergen Corp.		31,703		3,194
Centene Corp.*		50,476		3,208
Quest Diagnostics, Inc.		29,921		3,410
Universal Health Services, Inc. Class B		11,660		1,083
Total				10,895
Household Products 0.97%
Spectrum Brands Holdings, Inc.		45,000		2,066
Information Technology Services 2.61%
Amdocs Ltd.		35,829		2,181
Euronet Worldwide, Inc.*		35,500		3,402
Total				5,583
Insurance 5.98%
Axis Capital Holdings Ltd.		57,421		2,329
Everest Re Group Ltd.		15,226		3,139
Globe Life, Inc.		27,750		2,060
Hanover Insurance Group, Inc. (The)		23,348		2,366
Hartford Financial Services Group, Inc. (The)		74,311		2,865
Total				12,759
Internet & Direct Marketing Retail 2.04%
eBay, Inc.		82,999		4,353
Leisure Products 1.97%
Brunswick Corp.		65,555		4,196
Machinery 4.31%
Crane Co.		47,200		2,806
Cummins, Inc.		18,700		3,240
Westinghouse Air Brake Technologies Corp.		54,921		3,162
Total				9,208

				Fair
				Value
Investments	Shares			(000)
Media 3.26%
Fox Corp. Class A		98,000	$		2,628
Interpublic Group of Cos., Inc. (The)		59,823			1,027
Nexstar Media Group, Inc. Class A		17,640			1,476
Omnicom Group, Inc.		33,500			1,829
Total					6,960
Metals & Mining 2.25%
Lundin Mining Corp.(a)	CAD	621,739			3,334
Nucor Corp.		35,600			1,474
Total					4,808
Multi-Utilities 1.51%
CMS Energy Corp.		55,225			3,226
Oil, Gas & Consumable Fuels 3.68%
Marathon Petroleum Corp.		57,494			2,149
Noble Energy, Inc.		213,920			1,917
ONEOK, Inc.		53,046			1,762
Parsley Energy, Inc. Class A		189,953			2,029
Total					7,857
Road & Rail 1.51%
Landstar System, Inc.		28,800			3,235
Semiconductors & Semiconductor Equipment 3.63%
Marvell Technology Group Ltd.		93,448			3,276
Teradyne, Inc.		52,983			4,478
Total					7,754
Software 1.64%
Synopsys, Inc.*		17,989			3,508
Specialty Retail 1.61%
Ross Stores, Inc.		40,311			3,436
Textiles, Apparel & Luxury Goods 1.52%
Columbia Sportswear Co.		40,300			3,247
Total Common Stocks (cost $223,949,763)					212,730

See Notes to Financial Statements. 5

Schedule of Investments (unaudited)(concluded)

June 30, 2020

	Principal		Fair
	Amount		Value
Investments	(000)		(000)
SHORT-TERM INVESTMENTS 0.58%
Repurchase Agreement 0.48%
Repurchase Agreement dated 6/30/2020, 0.00% due 7/1/2020 with Fixed Income Clearing Corp. collateralized by $968,500 of U.S. Treasury Note at 2.625% due 12/31/2023; value: $1,050,634; proceeds: $1,030,026 (cost $1,030,026)	$	1,030	$	1,030

			Fair
			Value
Investments	Shares		(000)
Money Market Funds 0.10%
CitiBank N.A.(d)		21,750	$	22
Fidelity Government Portfolio(d)		195,750		195
Total Money Market Funds (cost $217,500)				217
Total Short-Term Investments (cost $1,247,526)				1,247
Total Investments in Securities 100.21% (cost $225,197,289)				213,977
Liabilities in Excess of Securities Lending and Other Assets (0.21)%				(448	)
Net Assets 100.00%			$	213,529

CAD	Canadian dollar.
DKK	Danish Krone.
*	Non-income producing security.
(a)	Investment in non-U.S. dollar denominated securities.
(b)	All or a portion of this security was on loan to brokers at June 30, 2020.
(c)	Foreign security traded in U.S. dollars.
(d)	Security was purchased with the cash collateral from loaned securities.

The following is a summary of the inputs used as of June 30, 2020 in valuing the Fund’s investments carried at fair value⁽¹⁾:

	Level 1		Level 2		Level 3		Total
Investment Type(2)	(000)		(000)		(000)		(000)
Common Stocks
Beverages	$	–	$	2,758	$	–	$	2,758
Electric: Utilities		15,986		64		–		16,050
Remaining Industries		193,922		–		–		193,922
Short-Term Investments
Repurchase Agreement		–		1,030		–		1,030
Money Market Funds		217		–		–		217
Total	$	210,125	$	3,852	$	–	$	213,977

(1)	Refer to Note 2(i) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy.

6 See Notes to Financial Statements.

Statement of Assets and Liabilities (unaudited)

June 30, 2020

ASSETS:
Investments in securities, at fair value including $209,619 of securities loaned (cost $225,197,289)	$	213,977,251
Receivables:
Investment securities sold		451,436
Dividends		167,212
Capital shares sold		22,041
Securities lending income receivable		10
Prepaid expenses		359
Total assets		214,618,309
LIABILITIES:
Payables:
Management fee		132,471
Directors’ fees		69,606
Capital shares reacquired		45,647
Fund administration		7,143
Payable for collateral due to broker for securities lending		217,500
Accrued expenses		616,504
Total liabilities		1,088,871
Commitments and contingent liabilities
NET ASSETS	$	213,529,438
COMPOSITION OF NET ASSETS:
Paid-in capital	$	232,367,735
Total distributable earnings (loss)		(18,838,297	)
Net Assets	$	213,529,438
Outstanding shares (200 million shares of common stock authorized, $.001 par value)		10,770,187
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares)		$19.83

See Notes to Financial Statements. 7

Statement of Operations (unaudited)

For the Six Months Ended June 30, 2020

Investment income:
Dividends (net of foreign withholding taxes of $15,728)	$	2,766,025
Securities lending net income		10
Interest		1,382
Total investment income		2,767,417
Expenses:
Management fee		815,606
Non 12b-1 service fees		272,493
Shareholder servicing		87,291
Fund administration		44,225
Reports to shareholders		31,468
Professional		27,793
Directors’ fees		2,874
Custody		2,178
Other		22,448
Gross expenses		1,306,376
Expense reductions (See Note 8)		(1,714	)
Net expenses		1,304,662
Net investment income		1,462,755
Net realized and unrealized gain (loss):
Net realized gain (loss) on investments		(8,040,261	)
Net realized gain (loss) on foreign currency related transactions		456
Net change in unrealized appreciation/depreciation on investments		(37,656,643	)
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies		224
Net realized and unrealized gain (loss)		(45,696,224	)
Net Decrease in Net Assets Resulting From Operations	$	(44,233,469	)

8 See Notes to Financial Statements.

Statements of Changes in Net Assets

INCREASE (DECREASE) IN NET ASSETS	For the Six Months Ended June 30, 2020 (unaudited)			For the Year Ended December 31, 2019
Operations:
Net investment income	$	1,462,755		$	2,413,673
Net realized gain (loss) on investments and foreign currency related transactions		(8,039,805	)		7,087,354
Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies		(37,656,419	)		42,550,934
Net increase (decrease) in net assets resulting from operations		(44,233,469	)		52,051,961
Distributions to shareholders:		–			(6,874,851	)
Capital share transactions (See Note 14):
Proceeds from sales of shares		7,572,163			33,801,297
Reinvestment of distributions		–			6,874,851
Cost of shares reacquired		(20,929,208	)		(55,704,547	)
Net decrease in net assets resulting from capital share transactions		(13,357,045	)		(15,028,399	)
Net increase (decrease) in net assets		(57,590,514	)		30,148,711
NET ASSETS:
Beginning of period	$	271,119,952		$	240,971,241
End of period	$	213,529,438		$	271,119,952

See Notes to Financial Statements. 9

Financial Highlights

			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
6/30/2020(c)	$	23.74	$	0.11	$	(4.02	)	$	(3.91	)	$	–		$	–		$	–
12/31/2019		19.87		0.21		4.27			4.48			(0.21	)		(0.40	)		(0.61	)
12/31/2018		24.51		0.15		(3.83	)		(3.68	)		(0.17	)		(0.79	)		(0.96	)
12/31/2017		25.52		0.14		1.58			1.72			(0.16	)		(2.57	)		(2.73	)
12/31/2016		23.28		0.13		3.69			3.82			(0.13	)		(1.45	)		(1.58	)
12/31/2015		26.02		0.15		(1.16	)		(1.01	)		(0.15	)		(1.58	)		(1.73	)

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales charges or other expenses imposed by an insurance company and assumes the reinvestment of all distributions.
(c)	Unaudited.
(d)	Not annualized.
(e)	Annualized.

10 See Notes to Financial Statements.

					Ratios to Average Net Assets:						Supplemental Data:
Net asset value, end of period		Total return(b) (%)			Total expenses (%)			Net investment income (%)			Net assets, end of period (000)		Portfolio turnover rate (%)
$	19.83		(16.47	)(d)		1.20	(e)		1.34	(e)	$	213,529		34	(d)
	23.74		22.64			1.17			0.91			271,120		79
	19.87		(15.04	)		1.17			0.64			240,971		50
	24.51		6.83			1.16			0.55			331,388		70
	25.52		16.39			1.17			0.52			356,563		67
	23.28		(3.79	)		1.18			0.56			347,526		61

See Notes to Financial Statements. 11

Notes to Financial Statements (unaudited)

1. ORGANIZATION  

Lord Abbett Series Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (“the Act”), as a diversified, open-end management investment company and was incorporated under Maryland law in 1989. The Company consists of nine separate portfolios as of June 30, 2020. This report covers Mid Cap Stock Portfolio (the “Fund”).

The Fund’s investment objective is to seek capital appreciation through investments, primarily in equity securities, which are believed to be undervalued in the marketplace. The Fund has Variable Contract class shares (“Class VC Shares”), which are currently issued and redeemed only in connection with investments in, and payments under, variable annuity contracts and variable life insurance policies issued by life insurance and insurance-related companies.

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. The Fund is considered an investment company 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 Fund’s Board of Directors (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
	Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. The 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.
	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 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.

12

Notes to Financial Statements (unaudited)(continued)

(b)	Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method.
(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 on the Statement of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates.
(d)	Income Taxes–It is the policy of the Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.
	The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s filed U.S. federal tax returns remains open for the fiscal years ended December 31, 2016 through December 31, 2019. The statutes of limitations on the Company’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
(e)	Expenses–Expenses incurred by the Company that do not specifically relate to an individual fund are generally allocated to the funds within the Company on a pro rata basis by relative net assets.
(f)	Foreign Transactions–The books and records of each Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in each Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies in each Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions are included in Net realized gain (loss) on foreign currency related transactions in each Fund’s Statement of Operations. The Fund 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 Fund uses foreign currency exchange contracts to facilitate transactions in foreign denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
(g)	Forward Foreign Currency Exchange Contracts–The Fund may enter into forward foreign currency exchange contracts in order to reduce exposure to changes in foreign currency exchange rates on 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), if applicable, is included in Net change in unrealized appreciation/depreciation on foreign currency exchange contracts in the Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included, if applicable, in Net realized gain on foreign currency exchange contracts in the Fund’s Statement of Operations.

13

Notes to Financial Statements (unaudited)(continued)

(h)

Repurchase Agreements–The Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. The Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, the Fund may incur a loss upon disposition of the securities.

(i)

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

A summary of inputs used in valuing the Fund’s investments as of June 30, 2020 and, if applicable, Level 3 rollforwards for the six months then ended is included in the 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. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES  

Management Fee

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

14

Notes to Financial Statements (unaudited)(continued)

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

First $200 million	.75%
Next $300 million	.65%
Over $500 million	.50%

For the six months ended June 30, 2020, the effective management fee was at an annualized rate of .74% of the Fund’s average daily net assets.

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

The Company, on behalf of the Fund, has entered into services arrangements with certain insurance companies. Under these arrangements, certain insurance companies will be compensated up to .25% of the average daily net asset value (“NAV”) of the Fund’s Class VC Shares held in the insurance company’s separate account to service and maintain the Variable Contract owners’ accounts. This amount is included in Non 12b-1 service fees on the Statement of Operations. The Fund may also compensate certain insurance companies, third-party administrators and other entities for providing recordkeeping, sub-transfer agency and other administrative services to the Fund. This amount is included in Shareholder servicing on the Statement of Operations.

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 and paid at least semi-annually. 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, 2020 and fiscal year ended December 31, 2019 was as follows:

	Six Months Ended 6/30/2020 (unaudited)			Year Ended 12/31/2019
Distributions paid from:
Ordinary income		$	–		$	2,394,211
Net long-term capital gains			–			4,480,640
Total distributions paid		$	–		$	6,874,851

15

Notes to Financial Statements (unaudited)(continued)

As of June 30, 2020, 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:

Tax cost	$	226,104,602
Gross unrealized gain		16,124,083
Gross unrealized loss		(28,251,434	)
Net unrealized security loss	$	(12,127,351	)

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

5. PORTFOLIO SECURITIES TRANSACTIONS  

Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2020 were as follows:

Purchases	Sales
$76,560,845	$88,279,898

There were no purchases or sales of U.S. Government securities for the six months ended June 30, 2020.

The 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, 2020, the Fund engaged in cross-trades purchases of $668,364, and sales of $748,845 which resulted in net realized losses of $89,256.

6. 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 Statement of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Fund’s accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty:

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 Agreements	$	1,030,026	$	–	$	1,030,026
Total	$	1,030,026	$	–	$	1,030,026

16

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)
Fixed Income Clearing Corp.	$	1,030,026	$	–	$	–	$	(1,030,026	)	$	–
Total	$	1,030,026	$	–	$	–	$	(1,030,026	)	$	–

(a)	Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets 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, 2020.

7. DIRECTORS’ REMUNERATION  

The Company’s officers and 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 Statement of Operations and in Directors’ fees payable on the Statement of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.

8. 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 the Fund’s expenses.

9. LINE OF CREDIT  

For the period ended June 30, 2020, the Fund and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $1.17 billion (the “Syndicated Facility”) whereas State Street Bank and Trust Company (“SSB”) participated as a lender and as agent for the lenders. The Participating Funds were subject to graduated borrowing limits of one third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $350 million, $500 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors. Effective August 6, 2020, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $600 million, or $900 million, based on past borrowings and likelihood of future borrowings, among other factors.

For the period ended June 30, 2020, the Participating Funds were party to an additional line of credit facility with SSB for $330 million (the “Bilateral Facility”), $250 million committed and $80 million uncommitted. Under the Bilateral Facility, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if net 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.

17

Notes to Financial Statements (unaudited)(continued)

The Syndicated Facility and the Bilateral Facility are to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions.

For the six months ended June 30, 2020, the Fund did not utilize the Facilities.

10. 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.

For the six months ended June 30, 2020, the Fund did not participate as a borrower or lender in the Interfund Lending Program.

11. CUSTODIAN AND ACCOUNTING AGENT  

SSB is the Company’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating the Fund’s NAV.

12. SECURITIES LENDING AGREEMENT  

The Fund has established a securities lending agreement with Citibank, N.A. for the lending of securities to qualified brokers in exchange for securities or cash collateral equal to at least the market value of securities loaned, plus interest, if applicable. Cash collateral is invested in an approved money market fund. In accordance with the Fund’s securities lending agreement, the market value of securities on loan is determined each day at the close of business and any additional collateral required to cover the value of securities on loan is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Such income earned from securities lending is included in Securities Lending Income on the Statement of Operations.

As of June 30, 2020, the market value of securities loaned and collateral received for the Fund was as follows:

Market Value of Securities Loaned	Collateral Received
$209,619	$217,500

13. INVESTMENT RISKS   

The Fund is subject to the general risks and considerations associated with equity investing, as well as the particular risks associated with value and mid-sized company stocks. The value of an investment will fluctuate in response to movements in the equity securities market in general and to the changing prospects of individual companies in which the Fund invests. The market may fail to recognize for a long time the intrinsic value of particular value stocks the Fund may hold. Value investing also is subject to the risk that the company judged to be undervalued may actually be appropriately priced or even overpriced. The mid-sized company stocks in which the Fund invests may be less able to weather economic shifts or other adverse developments than those of larger, more established companies. Although investing in mid-sized companies offers the potential for above average returns, these companies may not succeed and the value of their stock could decline

18

Notes to Financial Statements (unaudited)(concluded)

significantly. Mid-sized companies also may fall out of favor relative to larger companies in certain market cycles, causing the Fund to incur losses or under perform. In addition, if the Fund’s assessment of a company’s value or prospects for exceeding earnings expectations or market conditions is wrong, the Fund could suffer losses or produce poor performance relative to other funds, even in a rising market.

Due to the Fund’s investment exposure to foreign companies and American Depositary Receipts, the Fund may experience increased market, industry and sector liquidity, currency, political, information, and other risks. The securities of foreign companies also may be subject to inadequate exchange control regulations, the imposition of economic sanctions or other government restrictions, higher transaction and other costs, and delays in settlement to the extent they are traded on non-U.S. exchanges or markets.

Geopolitical and other events (e.g., wars, terrorism, natural disasters, epidemics or pandemics such as the COVID-19 outbreak which began in late 2019) may disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Fund’s investments. Market disruptions can also prevent the Fund from implementing its investment strategies and achieving its investment objective.

These factors can affect the Fund’s performance

14. SUMMARY OF CAPITAL TRANSACTIONS  

Transactions in shares of capital stock were as follows:

	Six Months Ended June 30, 2020 (unaudited)			Year Ended December 31, 2019
Shares sold		416,779			1,487,614
Reinvestment of distributions		–			289,623
Shares reacquired		(1,066,252	)		(2,487,867	)
Decrease		(649,473	)		(710,630	)

19

Liquidity Risk Management Program

Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a Liquidity Risk Management Program and Policy (“Program”). The Program is designed to assess, manage and periodically review the Fund’s liquidity risk. Liquidity risk is defined under Rule 22e-4 as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.

The Board has appointed Lord Abbett as the administrator for the Fund’s Program. At the May 28-29, 2020 meeting, Lord Abbett provided the Board with a report addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018 through February 28, 2020. Lord Abbett reported that the Program operated effectively during the period. In particular, Lord Abbett reported that: the Fund did not breach its 15% limit on illiquid investments at any point during the period and all regulatory reporting related to Rule 22e-4 was completed on time and without issue during the period.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

Householding

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

Proxy Voting Policies, Procedures and Records

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

Shareholder Reports and Quarterly Portfolio Disclosure

The Fund is required to file its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters as an attachment to Form N-PORT. 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.

20

This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus.
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC.	Lord Abbett Series Fund, Inc. Mid Cap Stock Portfolio	LASFMCV-3 (08/20)

LORD ABBETT
SEMIANNUAL REPORT

Lord Abbett

Series Fund—Short Duration Income Portfolio

For the six-month period ended June 30, 2020

Table of Contents

1	A Letter to Shareholders
2	Information About Your Fund’s Expenses and Holdings Presented by Sector
4	Schedule of Investments
45	Statement of Assets and Liabilities
46	Statement of Operations
47	Statements of Changes in Net Assets
48	Financial Highlights
50	Notes to Financial Statements
63	Supplemental Information to Shareholders

Lord Abbett Series Fund — Short Duration Income Portfolio
Semiannual Report

For the six-month period ended June 30, 2020

  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 Lord Abbett Series Fund — Short Duration Income Portfolio for the six-month period ended June 30, 2020. For additional information about the Fund, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Fund’s portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website. Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.   Best regards,     Douglas B. Sieg Director, President, and Chief Executive Officer

1

Expense Example

As a shareholder of the Fund, you incur ongoing costs, including management fees; expenses related to the Fund’s services arrangements with certain insurance companies; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2020, through June 30, 2020).

The Example reflects only expenses that are deducted from the assets of the Fund. Fees and expenses, including sales charges applicable to the various insurance products that invest in the Fund, are not reflected in this Example. If such fees and expenses were reflected in the Example, the total expenses shown would be higher. Fees and expenses regarding such variable insurance products are separately described in the prospectus related to those products.

Actual Expenses

The first line of the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 1/1/20 – 6/30/20” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

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

2

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges. 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†
			1/1/20 -
	1/1/20	6/30/20	6/30/20
Class VC
Actual	$1,000.00	$1,002.80	$4.28
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.59	$4.32

^† Net expenses are equal to the Fund’s annualized expense ratio of 0.86%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

June 30, 2020

Sector*	%**
Auto	4.80	%
Basic Industry	0.19	%
Capital Goods	1.03	%
Consumer Cyclicals	1.35	%
Consumer Discretionary	1.46	%
Consumer Services	0.65	%
Consumer Staples	1.22	%
Energy	9.23	%
Financial Services	54.98	%
Foreign Government	0.47	%
Health Care	5.17	%
Integrated Oils	0.37	%
Materials and Processing	3.89	%
Municipal	0.13	%
Producer Durables	1.88	%
Technology	4.18	%
Telecommunications	1.00	%
Transportation	1.41	%
U.S. Government	2.40	%
Utilities	3.36	%
Repurchase Agreement	0.83	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.

3

Schedule of Investments (unaudited)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
LONG-TERM INVESTMENTS 97.40%
ASSET-BACKED SECURITIES 19.27%
Automobiles 6.14%
AmeriCredit Automobile Receivables Trust 2016-1 D	3.59%	2/8/2022	$	55		$	54,662
AmeriCredit Automobile Receivables Trust 2017-2 B	2.40%	5/18/2022		30			30,610
AmeriCredit Automobile Receivables Trust 2017-2 C	2.97%	3/20/2023		64			65,149
AmeriCredit Automobile Receivables Trust 2017-3 B	2.24%	6/19/2023		29			29,160
AmeriCredit Automobile Receivables Trust 2017-4 A3	2.04%	7/18/2022		22			22,209
AmeriCredit Automobile Receivables Trust 2017-4 B	2.36%	12/19/2022		42			42,458
AmeriCredit Automobile Receivables Trust 2020-1 B	1.48%	1/21/2025		64			64,102
ARI Fleet Lease Trust 2020-A A2†	1.77%	8/15/2028		100			100,805
Bank of The West Auto Trust 2017-1 A3†	2.11%	1/15/2023		47			47,424
Bank of The West Auto Trust 2017-1 A4†	2.33%	9/15/2023		100			101,948
California Republic Auto Receivables Trust 2016-1 A4	2.24%	10/15/2021		1			871
California Republic Auto Receivables Trust 2016-2 A4	1.83%	12/15/2021		1			1,092
California Republic Auto Receivables Trust 2018-1 A3	3.14%	8/15/2022		47			47,286
Capital Auto Receivables Asset Trust 2017-1 A4†	2.22%	3/21/2022		15			14,779
Capital Auto Receivables Asset Trust 2018-2 A3†	3.27%	6/20/2023		62			62,152
CarMax Auto Owner Trust 2016-3 A4	1.60%	1/18/2022		10			9,802
CarMax Auto Owner Trust 2016-4 A3	1.40%	8/15/2021		–	(a)		213
CarMax Auto Owner Trust 2016-4 A4	1.60%	6/15/2022		21			21,091
CarMax Auto Owner Trust 2017-3 A4	2.22%	11/15/2022		33			33,532
CarMax Auto Owner Trust 2019-3 A2A	2.21%	12/15/2022		166			166,950
CarMax Auto Owner Trust 2020-2 A3	1.70%	11/15/2024		29			29,705
Carvana Auto Receivables Trust 2019-2A C†	3.00%	6/17/2024		43			44,023
Chesapeake Funding II LLC 2017-2A A1†	1.99%	5/15/2029		18			17,889
Chesapeake Funding II LLC 2017-3A A1†	1.91%	8/15/2029		46			46,285
Chesapeake Funding II LLC 2017-4A A1†	2.12%	11/15/2029		75			75,112
CPS Auto Receivables Trust 2018-B B†	3.23%	7/15/2022		36			35,607
CPS Auto Receivables Trust 2018-B C†	3.58%	3/15/2023		100			101,007

4 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Automobiles (continued)
CPS Auto Receivables Trust 2019-A C†	3.89%	12/16/2024	$	100		$	102,391
CPS Auto Receivables Trust 2019-C†	2.84%	6/16/2025		100			101,058
CPS Auto Receivables Trust 2019-C D†	3.17%	6/16/2025		200			200,942
CPS Auto Receivables Trust 2019-D B†	2.35%	11/15/2023		100			100,920
CPS Auto Receivables Trust 2019-D C†	2.54%	8/15/2024		100			100,984
Drive Auto Receivables Trust 2016-BA D†	4.53%	8/15/2023		19			19,284
Drive Auto Receivables Trust 2016-CA D†	4.18%	3/15/2024		18			18,496
Drive Auto Receivables Trust 2017-2 D	3.49%	9/15/2023		126			127,439
Drive Auto Receivables Trust 2017-BA D†	3.72%	10/17/2022		49			49,812
Drive Auto Receivables Trust 2018-3 C	3.72%	9/16/2024		79			79,583
Drive Auto Receivables Trust 2018-4 C	3.66%	11/15/2024		96			96,661
Drive Auto Receivables Trust 2018-4 D	4.09%	1/15/2026		34			34,831
Drive Auto Receivables Trust 2018-5 C	3.99%	1/15/2025		84			85,767
Drive Auto Receivables Trust 2019-2 B	3.17%	11/15/2023		39			39,438
Drive Auto Receivables Trust 2019-2 C	3.42%	6/16/2025		76			77,332
Drive Auto Receivables Trust 2019-2 D	3.69%	8/17/2026		44			44,748
Drive Auto Receivables Trust 2019-3 A2A	2.63%	9/15/2022		25			25,178
Drive Auto Receivables Trust 2019-4 C	2.51%	11/17/2025		107			108,460
Drive Auto Receivables Trust 2019-4 D	2.70%	2/16/2027		82			82,268
Exeter Automobile Receivables Trust 2017-3A B†	2.81%	9/15/2022		22			22,046
Exeter Automobile Receivables Trust 2019-4A B†	2.30%	12/15/2023		75			75,786
Fifth Third Auto Trust 2019-1 A2A	2.66%	5/16/2022		81			81,649
Fifth Third Auto Trust 2019-1 A4	2.69%	11/16/2026		50			52,388
First Investors Auto Owner Trust 2018-1A B†	3.51%	5/15/2023		100			101,213
First Investors Auto Owner Trust 2018-2A C†	4.03%	1/15/2025		16			16,455
First Investors Auto Owner Trust 2018-2A D†	4.28%	1/15/2025		10			10,316
Flagship Credit Auto Trust 2017-3 B†	2.59%	7/15/2022		17			16,607
Flagship Credit Auto Trust 2017-4 A†	2.07%	4/15/2022		–	(a)		439
Flagship Credit Auto Trust 2018-3 A†	3.07%	2/15/2023		79			80,076
Flagship Credit Auto Trust 2019-1 A†	3.11%	8/15/2023		45			45,406
Ford Credit Auto Owner Trust 2016-2 A†	2.03%	12/15/2027		300			303,577
Ford Credit Auto Owner Trust 2017-2 A†	2.36%	3/15/2029		100			102,980
Ford Credit Auto Owner Trust 2018-2 A†	3.47%	1/15/2030		200			211,907
Ford Credit Auto Owner Trust 2019-REV1 A†	3.52%	7/15/2030		100			107,110
Ford Credit Auto Owner Trust REV1 2016-1 A†	2.31%	8/15/2027		100			100,954
Foursight Capital Automobile Receivables Trust 2020-1 A3†	2.05%	10/15/2024		100			102,552
GM Financial Automobile Leasing Trust 2019-2 A2A	2.67%	6/21/2021		65			64,997

See Notes to Financial Statements. 5

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Automobiles (continued)
GM Financial Automobile Leasing Trust 2019-2 A3	2.67%	3/21/2022	$	81	$	82,075
GM Financial Automobile Leasing Trust 2020-2 A3	0.80%	7/20/2023		73		73,178
GM Financial Consumer Automobile Receivables Trust 2019-1 B	3.37%	8/16/2024		26		27,386
Honda Auto Receivables Owner Trust 2020-2 A3	0.82%	7/15/2024		75		75,559
Hyundai Auto Receivables Trust 2016-B C	2.19%	11/15/2022		72		72,740
Hyundai Auto Receivables Trust 2019-B A2	1.93%	7/15/2022		74		74,644
Mercedes-Benz Auto Lease Trust 2018-B A3	3.21%	9/15/2021		25		25,205
Prestige Auto Receivables Trust 2019-1A D†	3.01%	8/15/2025		18		18,149
Santander Drive Auto Receivables Trust 2016-1 D	4.02%	4/15/2022		147		147,695
Santander Drive Auto Receivables Trust 2017-1 D	3.17%	4/17/2023		14		14,177
Santander Drive Auto Receivables Trust 2017-2 D	3.49%	7/17/2023		88		89,519
Santander Drive Auto Receivables Trust 2017-3 C	2.76%	12/15/2022		10		10,416
Santander Drive Auto Receivables Trust 2018-3 B	3.29%	10/17/2022		17		17,325
Santander Drive Auto Receivables Trust 2018-4 C	3.56%	7/15/2024		54		54,980
Santander Drive Auto Receivables Trust 2018-5 B	3.52%	12/15/2022		42		42,247
Santander Drive Auto Receivables Trust 2018-5 C	3.81%	12/16/2024		78		79,354
Santander Drive Auto Receivables Trust 2019-3 C	2.49%	10/15/2025		121		122,358
Santander Retail Auto Lease Trust 2019-B D†	3.31%	6/20/2024		75		75,494
TCF Auto Receivables Owner Trust 2015-2A C†	3.75%	12/15/2021		1		1,456
TCF Auto Receivables Owner Trust 2016-1A A4†	2.03%	2/15/2022		7		6,792
TCF Auto Receivables Owner Trust 2016-1A B†	2.32%	6/15/2022		33		33,098
TCF Auto Receivables Owner Trust 2016-PT1A A†	1.93%	6/15/2022		6		6,096
Volkswagen Auto Loan Enhanced Trust 2020-1 A3	0.98%	11/20/2024		141		142,493
Westlake Automobile Receivables Trust 2018-3A A2A†	2.98%	1/18/2022		8		8,469
Westlake Automobile Receivables Trust 2019-2A A2A†	2.57%	2/15/2023		126		126,641
Westlake Automobile Receivables Trust 2019-2A D†	3.20%	11/15/2024		86		87,296
Westlake Automobile Receivables Trust 2019-3A B†	2.41%	10/15/2024		97		98,380
Westlake Automobile Receivables Trust 2019-3A C†	2.49%	10/15/2024		94		94,994
World Omni Select Auto Trust 2018-1A B†	3.68%	7/15/2023		17		17,297
World Omni Select Auto Trust 2018-1A D†	4.13%	1/15/2025		60		61,402
World Omni Select Auto Trust 2019-A C	2.38%	12/15/2025		24		24,241
World Omni Select Auto Trust 2019-A D	2.59%	12/15/2025		53		53,221
Total						6,122,350

6 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Credit Cards 2.30%
Barclays Dryrock Issuance Trust 2018-1 A	0.515% (1 Mo. LIBOR + .33%	)#	7/15/2024	$	100	$	99,872
Capital One Multi-Asset Execution Trust 2017-A4	1.99%		7/17/2023		211		211,702
Capital One Multi-Asset Execution Trust 2019-A2	1.72%		8/15/2024		41		42,170
Discover Card Execution Note Trust 2015-A4	2.19%		4/17/2023		100		100,653
First National Master Note Trust 2017-2 A	0.625% (1 Mo. LIBOR + .44%	)#	10/16/2023		172		171,996
Golden Credit Card Trust 2018-1A A†	2.62%		1/15/2023		268		271,175
Master Credit Card Trust 2019-1A B†	3.57%		7/21/2022		100		99,950
Master Credit Card Trust II Series 2018-1A A†	0.68% (1 Mo. LIBOR + .49%	)#	7/21/2024		100		99,378
Synchrony Credit Card Master Note Trust 2016-2 A	2.21%		5/15/2024		179		181,078
Synchrony Credit Card Master Note Trust 2016-2 B	2.55%		5/15/2024		100		100,625
Synchrony Credit Card Master Note Trust 2017-2 B	2.82%		10/15/2025		100		103,583
Trillium Credit Card Trust II 2018-2A A†	0.53% (1 Mo. LIBOR + .35%	)#	9/26/2023		100		99,995
World Financial Network Credit Card Master Trust 2015-B A	2.55%		6/17/2024		49		49,110
World Financial Network Credit Card Master Trust 2016-A	2.03%		4/15/2025		134		135,291
World Financial Network Credit Card Master Trust 2017-C A	2.31%		8/15/2024		56		56,236
World Financial Network Credit Card Master Trust 2018-C A	3.55%		8/15/2025		173		178,793
World Financial Network Credit Card Master Trust 2018-C M	3.95%		8/15/2025		36		36,553
World Financial Network Credit Card Master Trust 2019-A	3.14%		12/15/2025		97		100,188
World Financial Network Credit Card Master Trust 2019-B A	2.49%		4/15/2026		8		8,187
World Financial Network Credit Card Master Trust 2019-C A	2.21%		7/15/2026		140		142,919
Total							2,289,454
Other 10.83%
ACAM Ltd. 2019-FL1 A†	1.595% (1 Mo. LIBOR + 1.40%	)#	11/17/2034		168		165,628
Ally Master Owner Trust 2018-3 A	0.505% (1 Mo. LIBOR + .32%	)#	7/15/2022		66		66,022

See Notes to Financial Statements. 7

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments		Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Other (continued)
Ammc Clo Ltd. 2016-19A BR†		3.019% (3 Mo. LIBOR + 1.80%	)#	10/16/2028	$	250	$	245,785
Amur Equipment Finance Receivables VI LLC 2018-2A A2†		3.89%		7/20/2022		68		69,041
Amur Equipment Finance Receivables VII LLC 2019-1A A2†		2.63%		6/20/2024		97		98,333
Apidos CLO XXII 2015-22A A1R†		2.195% (3 Mo. LIBOR + 1.06%	)#	4/20/2031		250		243,245
Arbor Realty Collateralized Loan Obligation Ltd. 2017-FL3 A†	1.175% (1 Mo. LIBOR + .99%		)#	12/15/2027		100		98,220
Arbor Realty Commercial Real Estate Notes Ltd. 2018-FL1 A†	1.335% (1 Mo. LIBOR + 1.15%		)#	6/15/2028		100		98,264
Arbor Realty Commercial Real Estate Notes Ltd. 2019-FL1 A†	1.335% (1 Mo. LIBOR + 1.15%		)#	5/15/2037		136		132,722
Ares XLI Clo Ltd. 2016-41A AR†		2.419% (3 Mo. LIBOR + 1.20%	)#	1/15/2029		250		245,812
Ascentium Equipment Receivables Trust 2017-1A A3†		2.29%		6/10/2021		5		4,517
Avery Point V CLO Ltd. 2014-5A AR†		2.115% (3 Mo. LIBOR + .98%	)#	7/17/2026		99		98,806
BDS Ltd. 2019-FL3 A†	1.594% (1 Mo. LIBOR + 1.40%		)#	12/15/2035		100		98,266
Benefit Street Partners CLO IV Ltd. 2014-IVA A1RR†		2.385% (3 Mo. LIBOR + 1.25%	)#	1/20/2029		250		246,596
BlueMountain CLO Ltd. 2012-2A AR2†		1.427% (3 Mo. LIBOR + 1.05%	)#	11/20/2028		250		245,221
BSPRT Issuer, Ltd. 2019 FL5 A†		1.335% (1 Mo. LIBOR + 1.15%	)#	5/15/2029		100		97,791
Colony American Finance Ltd. 2018-1 A†		3.804%		6/15/2051		78		80,861
Conn’s Receivables Funding LLC 2018-A†		3.25%		1/15/2023		7		7,042
Conn’s Receivables Funding LLC 2019-B A†		2.66%		6/17/2024		54		53,075
Diamond Resorts Owner Trust 2016-1 A†		3.08%		11/20/2028		15		14,869
Diamond Resorts Owner Trust 2018-1 A†		3.70%		1/21/2031		53		53,805
Diamond Resorts Owner Trust 2018-1 B†		4.19%		1/21/2031		43		41,964
DLL LLC 2018-1 A3†		3.10%		4/18/2022		89		89,754
DLL LLC 2018-1 A4†		3.27%		4/17/2026		109		112,025
DLL Securitization Trust 2017-A A3†		2.14%		12/15/2021		31		31,450
DLL Securitization Trust 2017-A A4†		2.43%		11/17/2025		100		101,231
Dryden XXV Senior Loan Fund 2012-25A BRR†		2.569% (3 Mo. LIBOR + 1.35%	)#	10/15/2027		290		279,857
Elm CLO Ltd. 2014-1A BRR†		2.885% (3 Mo. LIBOR + 1.75%	)#	1/17/2029		200		196,014

8 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments		Interest Rate		Maturity Date	Principal Amount (000)			Fair Value
Other (continued)
Engs Commercial Finance Trust 2016-1A A2†		2.63%		2/22/2022	$	–	(a)	$	333
Fairstone Financial Issuance Trust I 2019-1A A†(b)		3.948%		3/21/2033	CAD	150			108,568
Ford Credit Floorplan Master Owner Trust 2017-2 A1		2.16%		9/15/2022	$	248			248,668
Ford Credit Floorplan Master Owner Trust 2019-1 A		2.84%		3/15/2024		239			245,805
Ford Credit Floorplan Master Owner Trust 2019-2 A		3.06%		4/15/2026		314			329,274
FREED ABS TRUST 2018-2 A†		3.99%		10/20/2025		27			26,813
Grand Avenue CRE 2019-FL1 A†		1.305% (1 Mo. LIBOR + 1.12%	)#	6/15/2037		216			213,338
Grand Avenue CRE 2019-FL1 AS†		1.685% (1 Mo. LIBOR + 1.50%	)#	6/15/2037		100			97,764
Greystone Commercial Real Estate Notes Ltd. 2018-HC1 A†		1.735% (1 Mo. LIBOR + 1.55%	)#	9/15/2028		124			122,026
Greystone Commercial Real Estate Notes Ltd. 2018-HC1 AS†		2.335% (1 Mo. LIBOR + 2.15%	)#	9/15/2028		38			36,578
Halcyon Loan Advisors Funding Ltd. 2015-2A AR†		2.071% (3 Mo. LIBOR + 1.08%	)#	7/25/2027		154			152,107
HPEFS Equipment Trust 2020-1A A2†		1.73%		2/20/2030		100			101,047
HPEFS Equipment Trust 2020-1A B†		1.89%		2/20/2030		100			100,282
HPS Loan Management 10-2016 Ltd. A2R†		2.885% (3 Mo. LIBOR + 1.75%	)#	1/20/2028		250			243,543
Hyundai Floorplan Master Owner Trust 2019-1 A†		2.68%		4/15/2024		180			182,383
JFIN CLO Ltd. 2013-1A A1NR†		3.209% (3 Mo. LIBOR + 1.39%	)#	1/20/2030		129			126,134
KKR CLO Ltd.†	2.387% (3 Mo. LIBOR + 1.14%		)#	3/15/2031		250			243,602
LCM XXIV Ltd. 24A A†	2.445% (3 Mo. LIBOR + 1.31%		)#	3/20/2030		250			245,016
LMREC, Inc. 2019-CRE3 A†	1.585% (1 Mo. LIBOR + 1.40%		)#	12/22/2035		183			178,382
LoanCore Issuer Ltd. 2019-CRE2 A†		1.315% (1 Mo. LIBOR + 1.13%	)#	5/15/2036		201			199,065
M360 LLC 2019-CRE2 A†	1.585% (1 Mo. LIBOR + 1.40%		)#	9/15/2034		155			153,258
Mercedes-Benz Master Owner Trust 2019-BA A†		2.61%		5/15/2024		147			149,618
Mountain Hawk III CLO Ltd. 2014-3A AR†		2.335% (3 Mo. LIBOR + 1.20%	)#	4/18/2025		54			53,683
Mountain View CLO LLC 2017-1A AR†		2.266% (3 Mo. LIBOR + 1.09%	)#	10/16/2029		250			244,511
Mountain View CLO XIV Ltd. 2019-1A A1†		2.709% (3 Mo. LIBOR + 1.49%	)#	4/15/2029		250			247,373
MVW Owner Trust 2017-1A A†		2.42%		12/20/2034		37			36,729
NextGear Floorplan Master Owner Trust 2018-2A A2†		3.69%		10/15/2023		374			379,564

See Notes to Financial Statements. 9

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments		Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Other (continued)
NextGear Floorplan Master Owner Trust 2018-2A B†		4.01%		10/15/2023	$	100	$	99,427
Northwoods Capital Ltd. 2019-20A A1†		3.221% (3 Mo. LIBOR + 1.32%	)#	1/25/2030		250		245,749
OneMain Financial Issuance Trust 2018-2A A†		3.57%		3/14/2033		100		103,782
OneMain Financial Issuance Trust 2019-1A A†		3.48%		2/14/2031		151		153,682
OneMain Financial Issuance Trust 2019-1A B†		3.79%		2/14/2031		100		100,749
Orange Lake Timeshare Trust 2019-A†		3.06%		4/9/2038		34		34,298
Orec Ltd. 2018-CRE1 A†	1.365% (1 Mo. LIBOR + 1.18%		)#	6/15/2036		136		131,048
OZLM Funding III Ltd. 2013-3A A1RR†		2.278% (3 Mo. LIBOR + 1.18%	)#	1/22/2029		248		242,892
OZLM VIII Ltd. 2014-8A A1RR†		2.305% (3 Mo. LIBOR + 1.17%	)#	10/17/2029		249		243,178
PFS Financing Corp. 2018-B A†		2.89%		2/15/2023		122		123,461
Planet Fitness Master Issuer LLC 2018-1A A2II†		4.666%		9/5/2048		98		95,600
Prima Capital CRE Securitization 2015-5A C†		4.50%		12/24/2050		71		69,672
Ready Capital Mortgage Financing LLC 2018-FL2 A†		1.035% (1 Mo. LIBOR + .85%	)#	6/25/2035		4		3,520
Salem Fields CLO Ltd. 2016-2A A1R†		2.141% (3 Mo. LIBOR + 1.15%	)#	10/25/2028		250		245,838
SCF Equipment Leasing LLC 2017-2A A†		3.41%		12/20/2023		37		37,041
SCF Equipment Leasing LLC 2018-1A A2†		3.63%		10/20/2024		60		60,734
SCF Equipment Leasing LLC 2019-1A A1†		3.04%		3/20/2023		50		49,752
SCF Equipment Leasing LLC 2019-1A A2†		3.23%		10/20/2024		121		120,331
SCF Equipment Leasing LLC 2019-2A A1†		2.22%		6/20/2024		86		86,580
SCF Equipment Leasing LLC 2019-2A A2†		2.47%		4/20/2026		177		178,072
SLC Student Loan Trust 2008-1 A4A		1.913% (3 Mo. LIBOR + 1.60%	)#	12/15/2032		49		48,603
SoFi Professional Loan Program LLC 2017-E A2A†		1.86%		11/26/2040		3		3,482
TICP CLO VI Ltd. 2016 6A AR†		2.419% (3 Mo. LIBOR + 1.20%	)#	1/15/2029		250		247,058
Towd Point Asset Trust 2018-SL1 A†		0.768% (1 Mo. LIBOR + .60%	)#	1/25/2046		80		78,262
TPG Real Estate Finance Issuer Ltd. 2018-FL2 A†		1.324% (1 Mo. LIBOR + 1.13%	)#	11/15/2037		138		136,128
West CLO Ltd. 2014-2A A1AR†		2.046% (3 Mo. LIBOR + .87%	)#	1/16/2027		83		82,495
Total								10,803,114
Total Asset-Backed Securities (cost $19,205,125)								19,214,918

10 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Shares (000)			Fair Value
COMMON STOCK 0.00%
Oil
Templar Energy LLC Class A Units (cost $728)				–	(c)	$	6	(d)
			Principal Amount (000)
CONVERTIBLE BONDS 0.10%
Energy Equipment  & Services 0.02%
SunPower Corp.	0.875%	6/1/2021	$	16			14,800
Technology 0.08%
Trip.com Group Ltd. (China)(e)	1.00%	7/1/2020		9			8,989
Weibo Corp. (China)(e)	1.25%	11/15/2022		78			72,925
Total							81,914
Total Convertible Bonds (cost $99,157)							96,714
CORPORATE BONDS 54.19%
Aerospace/Defense 1.17%
Boeing Co. (The)	2.30%	8/1/2021		48			48,444
Boeing Co. (The)	2.80%	3/1/2023		316			322,019
Boeing Co. (The)	4.508%	5/1/2023		251			265,205
Boeing Co. (The)	4.875%	5/1/2025		305			332,454
Bombardier, Inc. (Canada)†(e)	8.75%	12/1/2021		30			24,519
Howmet Aerospace, Inc.	5.125%	10/1/2024		58			59,998
Spirit AeroSystems, Inc.	3.95%	6/15/2023		109			92,650
Triumph Group, Inc.	5.25%	6/1/2022		22			18,887
Total							1,164,176
Air Transportation 0.35%
Air Canada 2015-1 Class B Pass-Through Trust (Canada)†(e)	3.875%	9/15/2024		13			11,208
Air Canada 2015-2 Class B Pass-Through Trust (Canada)†(e)	5.00%	6/15/2025		7			5,775
American Airlines 2013-2 Class B Pass-Through Trust†	5.60%	1/15/2022		71			71,757
American Airlines 2014-1 Class B Pass-Through Trust	4.375%	4/1/2024		50			36,329
American Airlines Group, Inc.†	3.75%	3/1/2025		92			42,928
Delta Air Lines, Inc.	2.60%	12/4/2020		60			59,339

See Notes to Financial Statements. 11

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments		Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Air Transportation (continued)
United Airlines 2014-1 Class B Pass-Through Trust		4.75%		10/11/2023	$	8	$	7,269
United Airlines Holdings, Inc.		6.00%		12/1/2020		82		81,682
US Airways 2012-2 Class B Pass-Through Trust		6.75%		12/3/2022		9		7,362
US Airways 2013-1 Class B Pass-Through Trust		5.375%		5/15/2023		31		24,915
Total								348,564
Auto Parts: Original Equipment 0.65%
Nexteer Automotive Group Ltd.†		5.875%		11/15/2021		200		200,951
ZF North America Capital, Inc.†		4.75%		4/29/2025		450		451,633
Total								652,584
Automotive 3.75%
Aston Martin Capital Holdings Ltd. (Jersey)†(e)		6.50%		4/15/2022		200		180,800
BMW US Capital LLC†		3.80%		4/6/2023		212		227,833
BMW US Capital LLC†		3.90%		4/9/2025		193		214,696
Daimler Finance North America LLC†		1.211% (3 Mo. LIBOR + .67%	)#	11/5/2021		150		148,427
Daimler Finance North America LLC†		1.292% (3 Mo. LIBOR + .90%	)#	2/15/2022		150		148,255
Daimler Finance North America LLC†		1.75%		3/10/2023		150		151,145
Daimler Finance North America LLC†		3.70%		5/4/2023		150		158,848
Ford Motor Credit Co. LLC	1.227% (3 Mo. LIBOR + .93%		)#	9/24/2020		57		56,545
Ford Motor Credit Co. LLC		2.979%		8/3/2022		300		288,660
Ford Motor Credit Co. LLC		3.087%		1/9/2023		200		190,562
Ford Motor Credit Co. LLC		3.81%		1/9/2024		200		192,810
General Motors Co.		5.40%		10/2/2023		25		27,102
General Motors Co.		6.125%		10/1/2025		24		27,002
General Motors Financial Co., Inc.		2.363% (3 Mo. LIBOR + .99%	)#	1/5/2023		64		61,712
General Motors Financial Co., Inc.		2.75%		6/20/2025		134		132,205
General Motors Financial Co., Inc.		2.90%		2/26/2025		54		53,843
General Motors Financial Co., Inc.		3.15%		6/30/2022		79		80,405
General Motors Financial Co., Inc.		3.70%		5/9/2023		139		143,238
General Motors Financial Co., Inc.		3.95%		4/13/2024		47		48,646
General Motors Financial Co., Inc.		4.25%		5/15/2023		23		24,036
General Motors Financial Co., Inc.		5.10%		1/17/2024		132		141,184
General Motors Financial Co., Inc.		5.20%		3/20/2023		50		53,531
Hyundai Capital America†		3.25%		9/20/2022		31		31,867
Nissan Motor Acceptance Corp.†		0.996% (3 Mo. LIBOR + .69%	)#	9/28/2022		50		46,241

12 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments		Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Automotive (continued)
Toyota Motor Credit Corp.		1.35%		8/25/2023	$	136	$	138,804
Toyota Motor Credit Corp.		2.90%		3/30/2023		66		70,008
Volkswagen Group of America Finance LLC†		1.375% (3 Mo. LIBOR + .94%	)#	11/12/2021		700		697,998
Total								3,736,403
Banks: Regional 8.54%
ABN AMRO Bank NV (Netherlands)(e)		6.25%		4/27/2022		400		433,588
AIB Group plc (Ireland)†(e)	4.263% (3 Mo. LIBOR + 1.87%		)#	4/10/2025		200		213,297
Associated Bank NA		3.50%		8/13/2021		47		48,074
Banco de Credito del Peru (Peru)†(e)		2.70%		1/11/2025		31		31,111
Bancolombia SA (Colombia)(e)		3.00%		1/29/2025		200		196,208
Bank of America Corp.	2.015% (3 Mo. LIBOR + .64%		)#	2/13/2026		32		33,113
Bank of America Corp.	2.456% (3 Mo. LIBOR + .87%		)#	10/22/2025		77		81,056
Bank of America Corp.	3.366% (3 Mo. LIBOR + .81%		)#	1/23/2026		29		31,694
Bank of America Corp.		3.95%		4/21/2025		63		69,756
Bank of America Corp.		4.00%		1/22/2025		248		273,879
Bank of America Corp.		4.20%		8/26/2024		175		194,300
BankUnited, Inc.		4.875%		11/17/2025		126		137,801
Barclays Bank plc (United Kingdom)(e)		1.70%		5/12/2022		200		203,576
Barclays Bank plc (United Kingdom)†(e)		10.179%		6/12/2021		160		173,053
BBVA Bancomer SA†		6.75%		9/30/2022		150		160,097
Canadian Imperial Bank of Commerce (Canada)(e)		0.95%		6/23/2023		122		122,559
CIT Group, Inc.	3.929% (SOFR + 3.83%		)#	6/19/2024		41		40,133
CIT Group, Inc.		4.125%		3/9/2021		28		28,112
CIT Group, Inc.		4.75%		2/16/2024		49		49,776
CIT Group, Inc.		5.00%		8/15/2022		5		5,122
Citigroup, Inc.	1.678% (SOFR + 1.67%		)#	5/15/2024		95		96,917
Citigroup, Inc.	1.681% (3 Mo. LIBOR + .69%		)#	10/27/2022		178		177,547
Citigroup, Inc.	3.352% (3 Mo. LIBOR + .90%		)#	4/24/2025		73		78,916
Citigroup, Inc.		4.05%		7/30/2022		55		58,485
Citigroup, Inc.		4.40%		6/10/2025		194		217,399
Citigroup, Inc.		5.50%		9/13/2025		34		40,331
Credit Suisse Group AG (Switzerland)†(e)		2.193% (SOFR + 2.04%	)#	6/5/2026		250		253,419
Danske Bank A/S (Denmark)†(e)		3.001% (3 Mo. LIBOR + 1.25%	)#	9/20/2022		200		203,212
Danske Bank A/S (Denmark)†(e)		5.00%		1/12/2022		200		210,420
Danske Bank A/S (Denmark)†(e)		5.375%		1/12/2024		200		222,817
FNB Corp.		2.20%		2/24/2023		53		52,758

See Notes to Financial Statements. 13

Schedule of Investments (unaudited)(continued)

June 30, 2020

					Principal
		Interest		Maturity	Amount		Fair
Investments		Rate		Date	(000)		Value
Banks: Regional (continued)
Goldman Sachs Group, Inc. (The)		1.11% (3 Mo. LIBOR + .75%	)#	2/23/2023	$	240	$	238,966
Goldman Sachs Group, Inc. (The)		1.54% (3 Mo. LIBOR + .78%	)#	10/31/2022		52		51,995
Goldman Sachs Group, Inc. (The)		2.02% (3 Mo. LIBOR + 1.00%	)#	7/24/2023		109		109,252
Goldman Sachs Group, Inc. (The)		2.101% (3 Mo. LIBOR + 1.11%	)#	4/26/2022		102		102,485
Goldman Sachs Group, Inc. (The)		3.50%		4/1/2025		176		193,194
Goldman Sachs Group, Inc. (The)		4.25%		10/21/2025		109		122,929
JPMorgan Chase & Co.	2.25% (3 Mo. LIBOR + 1.23%		)#	10/24/2023		225		227,563
Lloyds Bank plc (United Kingdom)†(e)		6.50%		9/14/2020		100		100,988
Lloyds Banking Group PLC (United Kingdom)(e)	1.326% (1 Yr Treasury Constant Maturity Rate + 1.10%		)#	6/15/2023		200		201,249
Macquarie Bank Ltd. (Australia)†(e)		6.625%		4/7/2021		95		99,005
Macquarie Group Ltd. (Australia)†(e)		3.189% (3 Mo. LIBOR + 1.02%	)#	11/28/2023		12		12,485
Macquarie Group Ltd. (Australia)†(e)		4.15% (3 Mo. LIBOR + 1.33%	)#	3/27/2024		75		80,586
Morgan Stanley	2.315% (3 Mo. LIBOR + 1.18%		)#	1/20/2022		59		59,246
Morgan Stanley		2.72% (SOFR + 1.15%	)#	7/22/2025		48		50,997
Morgan Stanley		5.00%		11/24/2025		81		94,722
National Securities Clearing Corp.†		1.20%		4/23/2023		250		253,962
National Securities Clearing Corp.†		1.50%		4/23/2025		250		255,866
Nordea Bank Abp (Finland)†(e)		4.875%		5/13/2021		200		206,773
Popular, Inc.		6.125%		9/14/2023		23		23,314
Royal Bank of Scotland Group plc (United Kingdom)(e)		6.125%		12/15/2022		91		99,372
Swedbank AB (Sweden)†(e)		1.30%		6/2/2023		200		202,548
Synovus Financial Corp.		3.125%		11/1/2022		44		44,648
Truist Bank		2.15%		12/6/2024		263		276,682
Truist Financial Corp.		4.00%		5/1/2025		60		68,383
UBS AG		7.625%		8/17/2022		250		278,925
UBS AG (Switzerland)(e)		5.125%		5/15/2024		200		217,677
UBS AG (United Kingdom)†(e)		1.75%		4/21/2022		200		203,828
Wells Fargo & Co.	2.016% (3 Mo. LIBOR + 1.03%		)#	7/26/2021		225		226,846
Wells Fargo & Co.	2.164% (3 Mo. LIBOR + .75%		)#	2/11/2026		76		78,490
Wells Fargo & Co.	2.406% (3 Mo. LIBOR + .83%		)#	10/30/2025		140		145,830
Wells Fargo & Co.		3.75%		1/24/2024		49		53,575
Total								8,520,907

14 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

					Principal
		Interest		Maturity	Amount		Fair
Investments		Rate		Date	(000)		Value
Beverages 0.55%
Anheuser-Busch InBev Finance, Inc.		3.70%		2/1/2024	$	112	$	123,145
Constellation Brands, Inc.		1.092% (3 Mo. LIBOR + .70%	)#	11/15/2021		425		425,065
Total								548,210
Building Materials 0.75%
Boral Finance Pty Ltd. (Australia)†(e)		3.00%		11/1/2022		22		22,191
Carrier Global Corp.†		2.242%		2/15/2025		122		125,219
Norbord, Inc. (Canada)†(e)		6.25%		4/15/2023		80		84,692
Owens Corning		4.20%		12/1/2024		105		115,692
Vulcan Materials Co.		1.00% (3 Mo. LIBOR + .65%	)#	3/1/2021		400		397,884
Total								745,678
Business Services 0.75%
Capitol Investment Merger Sub 2 LLC†		10.00%		8/1/2024		15		15,012
Equifax, Inc.	1.262% (3 Mo. LIBOR + .87%		)#	8/15/2021		450		449,444
IHS Markit Ltd. (United Kingdom)(e)		4.125%		8/1/2023		90		98,520
Laureate Education, Inc.†		8.25%		5/1/2025		15		15,609
PayPal Holdings, Inc.		1.35%		6/1/2023		58		59,249
PayPal Holdings, Inc.		1.65%		6/1/2025		58		60,105
PayPal Holdings, Inc.		2.40%		10/1/2024		50		53,132
Total								751,071
Chemicals 1.12%
Albemarle Corp.†	1.442% (3 Mo. LIBOR + 1.05%		)#	11/15/2022		200		192,270
Blue Cube Spinco LLC		9.75%		10/15/2023		30		30,993
Blue Cube Spinco LLC		10.00%		10/15/2025		18		18,763
Celanese US Holdings LLC		4.625%		11/15/2022		160		169,954
Celanese US Holdings LLC		5.875%		6/15/2021		86		89,758
CNAC HK Finbridge Co. Ltd. (Hong Kong)(e)		4.125%		3/14/2021		200		202,878
DuPont de Nemours, Inc.		4.205%		11/15/2023		93		102,126
NOVA Chemicals Corp. (Canada)†(e)		5.25%		8/1/2023		36		34,852
Nutrien Ltd. (Canada)(e)		3.375%		3/15/2025		65		70,942
Syngenta Finance NV (Netherlands)†(e)		3.933%		4/23/2021		200		201,979
Total								1,114,515
Computer Hardware 1.16%
Booz Allen Hamilton, Inc.†		5.125%		5/1/2025		14		14,261
Dell International LLC/EMC Corp.†		5.45%		6/15/2023		463		506,633
Dell International LLC/EMC Corp.†		5.85%		7/15/2025		23		26,458
Dell International LLC/EMC Corp.†		5.875%		6/15/2021		20		20,037

See Notes to Financial Statements. 15

Schedule of Investments (unaudited)(continued)

June 30, 2020

					Principal
		Interest		Maturity	Amount		Fair
Investments		Rate		Date	(000)		Value
Computer Hardware (continued)
Hewlett Packard Enterprise Co.		0.998% (3 Mo. LIBOR + .68%	)#	3/12/2021	$	106	$	105,949
Hewlett Packard Enterprise Co.		2.093% (3 Mo. LIBOR + .72%	)#	10/5/2021		350		349,401
Leidos, Inc.†		2.95%		5/15/2023		98		102,515
Leidos, Inc.†		3.625%		5/15/2025		30		32,824
Total								1,158,078
Computer Software 0.59%
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho†		10.00%		11/30/2024		125		130,325
Intuit, Inc.		0.95%		7/15/2025		16		16,033
Oracle Corp.		2.50%		4/1/2025		151		162,587
RP Crown Parent LLC†		7.375%		10/15/2024		29		29,033
Solera LLC/Solera Finance, Inc.†		10.50%		3/1/2024		135		137,975
Sophia LP/Sophia Finance, Inc.†		9.00%		9/30/2023		108		109,474
Total								585,427
Construction/Homebuilding 0.10%
D.R. Horton, Inc.		2.60%		10/15/2025		38		39,991
D.R. Horton, Inc.		4.75%		2/15/2023		7		7,565
D.R. Horton, Inc.		5.75%		8/15/2023		35		39,597
M/I Homes, Inc.		5.625%		8/1/2025		16		16,218
Total								103,371
Containers 0.03%
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer†		7.00%		7/15/2024		14		14,072
Containers (continued)
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA†		5.125%		7/15/2023		17		17,225
Total								31,297
Drugs 3.11%
AbbVie, Inc.†		2.60%		11/21/2024		225		239,745
Bausch Health Cos., Inc.†		5.50%		3/1/2023		8		7,981
Bausch Health Cos., Inc.†		6.125%		4/15/2025		70		71,098
Bausch Health Cos., Inc.†		7.00%		3/15/2024		211		219,349
Bayer US Finance II LLC†	1.323% (3 Mo. LIBOR + 1.01%		)#	12/15/2023		425		424,904
Bayer US Finance II LLC†		2.75%		7/15/2021		32		32,559
Bayer US Finance II LLC†		3.375%		7/15/2024		250		271,120

16 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

					Principal
		Interest		Maturity	Amount		Fair
Investments		Rate		Date	(000)		Value
Drugs (continued)
Bayer US Finance II LLC†		3.875%		12/15/2023	$	200	$	219,550
Becton Dickinson & Co.	1.181% (3 Mo. LIBOR + .88%		)#	12/29/2020		147		147,012
Becton Dickinson & Co.	1.348% (3 Mo. LIBOR + 1.03%		)#	6/6/2022		291		291,812
Cardinal Health, Inc.	1.083% (3 Mo. LIBOR + .77%		)#	6/15/2022		145		144,785
Cardinal Health, Inc.		3.079%		6/15/2024		145		154,532
Cardinal Health, Inc.		3.50%		11/15/2024		129		140,425
Cigna Corp.		0.949% (3 Mo. LIBOR + .65%	)#	9/17/2021		175		175,008
Cigna Corp.		2.109% (3 Mo. LIBOR + .89%	)#	7/15/2023		50		50,275
Cigna Corp.		4.125%		11/15/2025		23		26,452
CVS Health Corp.		1.033% (3 Mo. LIBOR + .72%	)#	3/9/2021		13		13,051
CVS Health Corp.		3.875%		7/20/2025		113		126,983
Express Scripts Holding Co.		1.113% (3 Mo. LIBOR + .75%	)#	11/30/2020		225		225,018
Upjohn, Inc.†		1.125%		6/22/2022		24		24,141
Upjohn, Inc.†		1.65%		6/22/2025		98		100,024
Total								3,105,824
Electric: Power 3.34%
Ausgrid Finance Pty Ltd. (Australia)†(e)		3.85%		5/1/2023		225		236,762
Avangrid, Inc.		3.20%		4/15/2025		51		55,793
Calpine Corp.		5.75%		1/15/2025		47		47,607
CenterPoint Energy, Inc.		2.50%		9/1/2024		99		104,652
Comision Federal de Electricidad (Mexico)†(e)		4.875%		1/15/2024		200		211,229
Dominion Energy, Inc.†		0.75% (3 Mo. LIBOR + .40%	)#	12/1/2020		83		82,895
Dominion Energy, Inc.		3.071%		8/15/2024		195		209,599
Dominion Energy, Inc.		4.104%		4/1/2021		78		79,769
DTE Energy Co.		2.529%		10/1/2024		143		149,815
Duquesne Light Holdings, Inc.†		5.90%		12/1/2021		119		125,585
Enel Finance International NV (Netherlands)†(e)		2.875%		5/25/2022		200		206,973
Evergy, Inc.		2.45%		9/15/2024		31		32,790
Exelon Generation Co. LLC		3.25%		6/1/2025		95		102,521
Jersey Central Power & Light Co.†		4.70%		4/1/2024		68		76,344
NextEra Energy Capital Holdings, Inc.		1.08% (3 Mo. LIBOR + .72%	)#	2/25/2022		475		477,710
NRG Energy, Inc.†		3.75%		6/15/2024		197		208,351
Origin Energy Finance Ltd. (Australia)†(e)		5.45%		10/14/2021		110		115,330
PPL Capital Funding, Inc.		3.50%		12/1/2022		29		30,711
PPL Capital Funding, Inc.		3.95%		3/15/2024		15		16,271
PPL WEM Ltd./Western Power Distribution Ltd.(United Kingdom)†(e)		5.375%		5/1/2021		96		98,344

See Notes to Financial Statements. 17

Schedule of Investments (unaudited)(continued)

June 30, 2020

					Principal
		Interest		Maturity	Amount		Fair
Investments		Rate		Date	(000)		Value
Electric: Power (continued)
San Diego Gas & Electric Co.		1.914%		2/1/2022	$	9	$	8,612
Sempra Energy	1.719% (3 Mo. LIBOR + .50%		)#	1/15/2021		146		146,027
Southern Power Co.†	0.856% (3 Mo. LIBOR + .55%		)#	12/20/2020		210		210,014
TransAlta Corp. (Canada)(e)		4.50%		11/15/2022		32		32,425
Vistra Operations Co. LLC†		3.55%		7/15/2024		261		269,543
Total								3,335,672
Electrical Equipment 0.97%
Broadcom, Inc.†		3.15%		11/15/2025		75		79,725
Broadcom, Inc.†		3.625%		10/15/2024		300		326,200
Microchip Technology, Inc.†		2.67%		9/1/2023		112		115,342
Microchip Technology, Inc.		3.922%		6/1/2021		62		63,222
Micron Technology, Inc.		2.497%		4/24/2023		56		58,202
NXP BV/NXP Funding LLC (Netherlands)†(e)		2.70%		5/1/2025		85		89,428
NXP BV/NXP Funding LLC (Netherlands)†(e)		3.875%		9/1/2022		225		237,960
Total								970,079
Electronics 0.16%
Flex Ltd.		3.75%		2/1/2026		83		88,066
Trimble, Inc.		4.15%		6/15/2023		53		56,539
Trimble, Inc.		4.75%		12/1/2024		16		17,426
Total								162,031
Entertainment 0.39%
Colt Merger Sub, Inc.†(f)		5.75%		7/1/2025		21		21,158
Colt Merger Sub, Inc.†(f)		6.25%		7/1/2025		75		74,602
CPUK Finance Ltd.(b)		4.25%		2/28/2047	GBP	100		118,780
Eldorado Resorts, Inc.		6.00%		4/1/2025	$	71		74,099
Eldorado Resorts, Inc.		7.00%		8/1/2023		11		11,345
Enterprise Development Authority (The)†		12.00%		7/15/2024		38		38,329
Scientific Games International, Inc.		6.625%		5/15/2021		49		49,236
Total								387,549
Environmental Services 0.10%
Covanta Holding Corp.		5.875%		7/1/2025		100		101,615
Financial Services 3.77%
Air Lease Corp.		4.25%		2/1/2024		33		33,815
Aircastle Ltd.		4.40%		9/25/2023		184		178,602
Aircastle Ltd.		5.00%		4/1/2023		107		104,332
Aircastle Ltd.		5.50%		2/15/2022		133		134,306

18 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Financial Services (continued)
Ally Financial, Inc.	3.875%	5/21/2024	$	266	$	275,280
Ally Financial, Inc.	4.25%	4/15/2021		20		20,364
Ally Financial, Inc.	5.125%	9/30/2024		295		318,887
Avolon Holdings Funding Ltd. (Ireland)†(e)	5.125%	10/1/2023		68		62,982
Avolon Holdings Funding Ltd. (Ireland)†(e)	5.25%	5/15/2024		152		138,900
Capital One Financial Corp.	2.60%	5/11/2023		101		105,541
Discover Financial Services	5.20%	4/27/2022		144		153,784
GE Capital Funding LLC†	3.45%	5/15/2025		332		348,065
Global Aircraft Leasing Co. Ltd. PIK 7.25%†	6.50%	9/15/2024		67		45,057
International Lease Finance Corp.	8.25%	12/15/2020		303		310,191
International Lease Finance Corp.	8.625%	1/15/2022		83		89,207
Invesco Finance plc (United Kingdom)(e)	3.125%	11/30/2022		30		31,679
Jefferies Financial Group, Inc.	5.50%	10/18/2023		195		211,328
Jefferies Group LLC	5.125%	1/20/2023		58		62,988
Jefferies Group LLC	6.875%	4/15/2021		32		33,389
Muthoot Finance Ltd. (India)†(e)	4.40%	9/2/2023		200		191,950
Muthoot Finance Ltd. (India)†(e)	6.125%	10/31/2022		200		202,950
Nationstar Mortgage Holdings, Inc.†	8.125%	7/15/2023		112		115,226
Navient Corp.	5.00%	10/26/2020		112		111,699
Navient Corp.	5.50%	1/25/2023		18		17,314
Navient Corp.	5.875%	10/25/2024		38		35,815
Navient Corp.	6.125%	3/25/2024		53		50,515
Park Aerospace Holdings Ltd. (Ireland)†(e)	3.625%	3/15/2021		22		21,717
Park Aerospace Holdings Ltd. (Ireland)†(e)	4.50%	3/15/2023		145		132,367
Park Aerospace Holdings Ltd. (Ireland)†(e)	5.25%	8/15/2022		16		15,027
Park Aerospace Holdings Ltd. (Ireland)†(e)	5.50%	2/15/2024		228		208,749
Total						3,762,026
Food 0.66%
Albertsons Cos Inc/Safeway Inc/New Albertsons LP/Albertsons LLC	5.75%	3/15/2025		47		48,200
Ingles Markets, Inc.	5.75%	6/15/2023		26		26,211
JBS USA LLC/JBS USA Finance, Inc.†	5.75%	6/15/2025		18		18,270
JBS USA LUX SA/JBS USA Finance, Inc.†	5.875%	7/15/2024		34		34,521
MARB BondCo plc (United Kingdom)†(e)	7.00%	3/15/2024		200		201,028
Simmons Foods, Inc.†	7.75%	1/15/2024		44		46,061
Smithfield Foods, Inc.†	2.65%	10/3/2021		94		92,990
Smithfield Foods, Inc.†	3.35%	2/1/2022		96		95,316
Sysco Corp.	5.65%	4/1/2025		82		96,028
Total						658,625

See Notes to Financial Statements. 19

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Health Care Products 0.41%
Baxter International, Inc.†	3.75%		10/1/2025	$	94	$	107,173
Boston Scientific Corp.	1.90%		6/1/2025		41		42,489
Stryker Corp.	1.15%		6/15/2025		75		75,549
Zimmer Biomet Holdings, Inc.	1.066% (3 Mo. LIBOR + .75%	)#	3/19/2021		155		154,986
Zimmer Biomet Holdings, Inc.	3.55%		4/1/2025		24		26,121
Total							406,318
Health Care Services 1.52%
Acadia Healthcare Co., Inc.	5.125%		7/1/2022		127		127,102
Acadia Healthcare Co., Inc.	5.625%		2/15/2023		8		8,024
Acadia Healthcare Co., Inc.	6.125%		3/15/2021		168		168,168
Anthem, Inc.	2.375%		1/15/2025		20		21,209
Centene Corp.†	5.375%		6/1/2026		23		23,937
CommonSpirit Health	2.76%		10/1/2024		51		52,634
Fresenius Medical Care US Finance II, Inc.†	4.125%		10/15/2020		7		7,009
Fresenius Medical Care US Finance II, Inc.†	4.75%		10/15/2024		24		26,011
Fresenius Medical Care US Finance II, Inc.†	5.875%		1/31/2022		194		206,007
Fresenius Medical Care US Finance, Inc.†	5.75%		2/15/2021		66		67,878
HCA, Inc.	5.00%		3/15/2024		224		249,231
HCA, Inc.	5.25%		4/15/2025		109		125,348
Health Care Service Corp. A Mutual Legal Reserve Co.†	1.50%		6/1/2025		50		50,967
Select Medical Corp.†	6.25%		8/15/2026		36		36,474
Universal Health Services, Inc.†	4.75%		8/1/2022		342		343,065
Total							1,513,064
Household Equipment/Products 0.62%
Newell Brands, Inc.	4.35%		4/1/2023		333		344,588
Newell Brands, Inc.	4.70%		8/15/2020		8		8,040
Newell Brands, Inc.	4.875%		6/1/2025		20		20,983
Reckitt Benckiser Treasury Services plc (United Kingdom)†(e)	0.857% (3 Mo. LIBOR + .56%	)#	6/24/2022		250		249,682
Total							623,293
Insurance 1.01%
Assurant, Inc.	4.20%		9/27/2023		45		47,757
CNO Financial Group, Inc.	5.25%		5/30/2025		205		227,047
Equitable Financial Life Global Funding†(f)	1.40%		7/7/2025		56		56,317
Equitable Holdings, Inc.	3.90%		4/20/2023		23		24,629

20 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Insurance (continued)
Jackson National Life Global Funding†	0.631% (3 Mo. LIBOR + .31%	)#	3/16/2021	$	247	$	247,110
Kemper Corp.	4.35%		2/15/2025		44		47,511
Metropolitan Life Global Funding I†	0.90%		6/8/2023		150		150,963
MGIC Investment Corp.	5.75%		8/15/2023		19		19,687
Pacific Life Global Funding II†	1.20%		6/24/2025		32		32,190
Protective Life Global Funding†	1.082%		6/9/2023		150		151,270
Total							1,004,481
Leasing 0.33%
Aviation Capital Group LLC†	2.875%		1/20/2022		16		15,295
Aviation Capital Group LLC†	3.875%		5/1/2023		92		87,597
DAE Funding LLC (United Arab Emirates)†(e)	4.00%		8/1/2020		18		17,930
GATX Corp.	4.35%		2/15/2024		36		39,269
Penske Truck Leasing Co., LP/PTL Finance Corp.†	2.70%		11/1/2024		57		58,713
Penske Truck Leasing Co., LP/PTL Finance Corp.†	3.45%		7/1/2024		93		98,493
Penske Truck Leasing Co., LP/PTL Finance Corp.†	3.90%		2/1/2024		9		9,607
Total							326,904
Leisure 0.26%
Carnival Corp.	3.95%		10/15/2020		122		120,610
LTF Merger Sub, Inc.†	8.50%		6/15/2023		164		136,308
Total							256,918
Lodging 0.34%
Las Vegas Sands Corp.	2.90%		6/25/2025		132		128,256
Las Vegas Sands Corp.	3.20%		8/8/2024		191		190,289
Wyndham Destinations, Inc.	5.625%		3/1/2021		20		19,873
Total							338,418
Machinery: Agricultural 0.67%
BAT Capital Corp.	2.789%		9/6/2024		54		56,969
BAT Capital Corp.	3.222%		8/15/2024		206		220,861
Cargill, Inc.†	1.375%		7/23/2023		34		34,601
Imperial Brands Finance plc (United Kingdom)†(e)	3.125%		7/26/2024		200		207,981
Reynolds American, Inc.	4.85%		9/15/2023		46		51,270
Viterra, Inc. (Canada)†(e)	5.95%		8/1/2020		92		92,389
Total							664,071

See Notes to Financial Statements. 21

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date		Principal Amount (000)		Fair Value
Machinery: Industrial/Specialty 1.00%
CNH Industrial Capital LLC	4.20%		1/15/2024		$	83	$	88,510
CNH Industrial Capital LLC	4.375%		11/6/2020			57		57,534
CNH Industrial Capital LLC	4.375%		4/5/2022			79		82,644
CNH Industrial Capital LLC	4.875%		4/1/2021			78		80,042
CNH Industrial NV (United Kingdom)(e)	4.50%		8/15/2023			150		162,107
Flowserve Corp.	4.00%		11/15/2023			191		196,679
Nvent Finance Sarl (Luxembourg)(e)	3.95%		4/15/2023			169		176,752
Welbilt, Inc.	9.50%		2/15/2024			29		27,840
Westinghouse Air Brake Technologies Corp.	1.613% (3 Mo. LIBOR + 1.30%	)#	9/15/2021			22		22,000
Westinghouse Air Brake Technologies Corp.	3.20%		6/15/2025			9		9,198
Westinghouse Air Brake Technologies Corp.	4.40%		3/15/2024			92		97,648
Total								1,000,954
Manufacturing 0.20%
General Electric Co.	1.313% (3 Mo. LIBOR + 1.00%	)#	3/15/2023			204		199,265
Media 0.35%
Cox Communications, Inc.†	2.95%		6/30/2023			69		72,729
Cox Communications, Inc.†	3.15%		8/15/2024			15		16,158
iHeartCommunications, Inc.	6.375%		5/1/2026			45		45,141
NBCUniversal Enterprise, Inc.†	5.25%		–	(g)		200		200,527
Univision Communications, Inc.†	5.125%		5/15/2023			11		11,134
Total								345,689
Metals & Minerals: Miscellaneous 1.62%
Anglo American Capital plc (United Kingdom)†(e)	3.625%		9/11/2024			200		210,101
Anglo American Capital plc (United Kingdom)†(e)	4.125%		9/27/2022			200		208,708
Freeport-McMoRan, Inc.	3.875%		3/15/2023			21		21,069
Freeport-McMoRan, Inc.	4.55%		11/14/2024			54		55,018
Glencore Finance Canada Ltd. (Canada)†(e)	4.25%		10/25/2022			142		150,182
Glencore Funding LLC†	3.00%		10/27/2022			11		11,363
Glencore Funding LLC†	4.125%		5/30/2023			211		225,752
Glencore Funding LLC†	4.125%		3/12/2024			102		109,448
Glencore Funding LLC†	4.625%		4/29/2024			28		30,929
Gold Fields Orogen Holding BVI Ltd. (Isle of Man)†(e)	4.875%		10/7/2020			200		200,688
Joseph T Ryerson & Son, Inc.†	11.00%		5/15/2022			44		45,073
Kinross Gold Corp. (Canada)(e)	5.125%		9/1/2021			17		17,479
Kinross Gold Corp. (Canada)(e)	5.95%		3/15/2024			57		64,123

22 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Metals &Minerals: Miscellaneous (continued)
MMC Norilsk Nickel OJSC via MMC Finance DAC (Ireland)†(e)	4.10%		4/11/2023	$	200	$	209,103
New Gold, Inc. (Canada)†(e)	6.25%		11/15/2022		51		51,566
Total							1,610,602
Natural Gas 0.45%
National Fuel Gas Co.	3.75%		3/1/2023		25		25,498
National Fuel Gas Co.	4.90%		12/1/2021		90		93,111
National Fuel Gas Co.	5.50%		1/15/2026		198		210,865
National Fuel Gas Co.	7.395%		3/30/2023		25		27,079
Southern Star Central Corp.†	5.125%		7/15/2022		97		97,016
Total							453,569
Oil 5.05%
American Energy- Permian Basin LLC†(h)	12.00%		10/1/2024		11		715
BP Capital Markets America, Inc.	0.966% (3 Mo. LIBOR + .65%	)#	9/19/2022		225		226,181
BP Capital Markets America, Inc.	2.937%		4/6/2023		77		81,573
BP Capital Markets America, Inc.	3.194%		4/6/2025		62		67,486
Callon Petroleum Co.	6.125%		10/1/2024		100		34,313
Callon Petroleum Co.	6.25%		4/15/2023		146		55,755
Chevron Corp.	1.141%		5/11/2023		66		67,165
Chevron Corp.	1.554%		5/11/2025		84		86,346
Cimarex Energy Co.	4.375%		6/1/2024		112		118,286
Concho Resources, Inc.	4.375%		1/15/2025		96		99,096
Continental Resources, Inc.	3.80%		6/1/2024		75		70,956
Continental Resources, Inc.	4.50%		4/15/2023		128		122,502
Continental Resources, Inc.	5.00%		9/15/2022		400		394,226
Diamondback Energy, Inc.	2.875%		12/1/2024		103		103,275
Diamondback Energy, Inc.	4.75%		5/31/2025		47		50,319
Diamondback Energy, Inc.	5.375%		5/31/2025		329		338,891
Eni SpA (Italy)†(e)	4.15%		10/1/2020		100		100,416
Equinor ASA (Norway)(e)	1.75%		1/22/2026		28		28,703
Exxon Mobil Corp.	1.571%		4/15/2023		54		55,412
Exxon Mobil Corp.	2.992%		3/19/2025		33		35,938
Gazprom PJSC Via Gaz Capital SA (Luxembourg)†(e)	6.51%		3/7/2022		100		107,473
Helmerich & Payne, Inc.	4.65%		3/15/2025		101		107,770
Hess Corp.	3.50%		7/15/2024		93		93,793
HighPoint Operating Corp.	7.00%		10/15/2022		59		14,367
Hilcorp Energy I LP/Hilcorp Finance Co.†	5.00%		12/1/2024		110		95,001

See Notes to Financial Statements. 23

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Oil (continued)
Husky Energy, Inc. (Canada)(e)	4.00%		4/15/2024	$	60	$	61,612
Laredo Petroleum, Inc.	9.50%		1/15/2025		69		47,761
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp.†	6.00%		8/1/2026		103		97,850
Marathon Petroleum Corp.	5.375%		10/1/2022		143		143,883
Matador Resources Co.	5.875%		9/15/2026		160		118,779
MEG Energy Corp. (Canada)†(e)	6.50%		1/15/2025		161		150,258
Montage Resources Corp.	8.875%		7/15/2023		31		24,587
Murphy Oil Corp.	6.875%		8/15/2024		17		15,939
Occidental Petroleum Corp.	1.842% (3 Mo. LIBOR + 1.45%	)#	8/15/2022		236		217,210
Occidental Petroleum Corp.	2.60%		4/15/2022		2		1,916
Occidental Petroleum Corp.	2.70%		8/15/2022		46		42,909
Occidental Petroleum Corp.	2.90%		8/15/2024		85		72,844
Occidental Petroleum Corp.	3.125%		2/15/2022		150		144,405
Occidental Petroleum Corp.	6.95%		7/1/2024		149		146,765
Parsley Energy LLC/Parsley Finance Corp.†	5.25%		8/15/2025		51		49,164
Parsley Energy LLC/Parsley Finance Corp.†	5.375%		1/15/2025		38		37,038
Petroleos Mexicanos (Mexico)(e)	4.25%		1/15/2025		76		69,741
Petroleos Mexicanos (Mexico)(e)	5.375%		3/13/2022		51		51,052
Petroleos Mexicanos (Mexico)(e)	5.50%		1/21/2021		39		39,000
Phillips 66	0.96% (3 Mo. LIBOR + .60%	)#	2/26/2021		97		96,864
Range Resources Corp.	5.00%		8/15/2022		109		99,531
Range Resources Corp.	5.875%		7/1/2022		8		7,388
Seven Generations Energy Ltd. (Canada)†(e)	6.75%		5/1/2023		106		102,146
Seven Generations Energy Ltd. (Canada)†(e)	6.875%		6/30/2023		108		104,884
SM Energy Co.	6.125%		11/15/2022		60		44,011
Suncor Energy Ventures Corp. (Canada)†(e)	4.50%		4/1/2022		35		35,565
Suncor Energy Ventures Corp. (Canada)†(e)	9.40%		9/1/2021		63		67,349
Suncor Energy, Inc. (Canada)(e)	9.25%		10/15/2021		72		78,718
Transocean Sentry Ltd.†	5.375%		5/15/2023		28		24,080
Valero Energy Corp.	2.70%		4/15/2023		68		70,599
Valero Energy Corp.	2.85%		4/15/2025		52		54,907
Valero Energy Corp.	3.65%		3/15/2025		27		29,456
Viper Energy Partners LP†	5.375%		11/1/2027		98		96,296
WPX Energy, Inc.	5.25%		9/15/2024		11		10,869
WPX Energy, Inc.	5.25%		10/15/2027		15		14,038
WPX Energy, Inc.	5.75%		6/1/2026		13		12,648
Total							5,038,020

24 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Oil: Crude Producers 3.35%
Cheniere Corpus Christi Holdings LLC	5.875%		3/31/2025	$	152	$	170,748
Cheniere Corpus Christi Holdings LLC	7.00%		6/30/2024		325		370,136
Colonial Pipeline Co.†	3.50%		10/15/2020		40		40,055
Energy Transfer Operating LP	4.25%		3/15/2023		99		104,626
Energy Transfer Operating LP	5.875%		1/15/2024		424		474,566
Energy Transfer Partners LP/Regency Energy Finance Corp.	4.50%		11/1/2023		14		15,047
Kinder Morgan Inc/	2.499% (3 Mo. LIBOR + 1.28%	)#	1/15/2023		110		110,017
Midwest Connector Capital Co. LLC†	3.625%		4/1/2022		77		78,924
Midwest Connector Capital Co. LLC†	3.90%		4/1/2024		92		96,782
MPLX LP	1.413% (3 Mo. LIBOR + 1.10%	)#	9/9/2022		320		314,820
MPLX LP	5.25%		1/15/2025		171		177,834
MPLX LP	6.25%		10/15/2022		28		28,344
MPLX LP	6.375%		5/1/2024		149		153,877
NGPL PipeCo LLC†	4.375%		8/15/2022		156		161,017
ONEOK, Inc.	7.50%		9/1/2023		62		70,998
Sabine Pass Liquefaction LLC	5.625%		4/15/2023		500		547,226
Sabine Pass Liquefaction LLC	5.75%		5/15/2024		250		281,677
Spectra Energy Partners LP	4.60%		6/15/2021		5		5,149
Sunoco Logistics Partners Operations LP	4.25%		4/1/2024		14		14,992
Texas Eastern Transmission LP†	2.80%		10/15/2022		14		14,259
Texas Eastern Transmission LP†	4.125%		12/1/2020		5		5,022
Texas Gas Transmission LLC†	4.50%		2/1/2021		25		25,217
Western Midstream Operating LP	2.161% (3 Mo. LIBOR + .85%	)#	1/13/2023		51		46,823
Williams Cos, Inc. (The)	4.50%		11/15/2023		19		20,830
Williams Cos, Inc. (The)	7.875%		9/1/2021		9		9,679
Total							3,338,665
Oil: Integrated Domestic 0.37%
Halliburton Co.	3.80%		11/15/2025		14		15,174
National Oilwell Varco, Inc.	2.60%		12/1/2022		71		71,509
Oceaneering International, Inc.	4.65%		11/15/2024		38		28,809
Schlumberger Holdings Corp.†	3.75%		5/1/2024		209		225,261
TechnipFMC plc (United Kingdom)(e)	3.45%		10/1/2022		26		26,463
Total							367,216
Paper & Forest Products 0.06%
Georgia-Pacific LLC†	1.75%		9/30/2025		58		59,879

See Notes to Financial Statements. 25

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Real Estate Investment Trusts 1.55%
Brixmor Operating Partnership LP	3.65%		6/15/2024	$	113	$	117,194
China Overseas Finance Cayman V Ltd.	3.95%		11/15/2022		200		210,226
Crown Castle International Corp.	4.45%		2/15/2026		7		8,030
Equinix, Inc.	5.375%		5/15/2027		317		346,581
Equinix, Inc.	5.875%		1/15/2026		148		156,097
Kennedy-Wilson, Inc.	5.875%		4/1/2024		8		7,985
Realogy Group LLC / Realogy Co-Issuer Corp.†	5.25%		12/1/2021		24		24,336
SITE Centers Corp.	3.625%		2/1/2025		6		6,053
SL Green Operating Partnership LP	3.25%		10/15/2022		99		98,629
SL Green Realty Corp.	4.50%		12/1/2022		195		199,182
Vereit Operating Partnership LP	4.60%		2/6/2024		246		261,960
VEREIT Operating Partnership LP	4.625%		11/1/2025		100		108,298
Total							1,544,571
Retail 0.37%
Dollar Tree, Inc.	4.00%		5/15/2025		23		25,915
McDonald’s Corp.	3.30%		7/1/2025		32		35,591
Walgreen Co.	3.10%		9/15/2022		37		38,791
Walgreens Boots Alliance, Inc.	3.80%		11/18/2024		242		266,722
Total							367,019
Savings & Loan 0.11%
People’s United Financial, Inc.	3.65%		12/6/2022		102		106,054
Steel 0.28%
Steel Dynamics, Inc.	4.125%		9/15/2025		186		190,241
Steel Dynamics, Inc.	5.50%		10/1/2024		91		93,559
Total							283,800
Technology 0.65%
Baidu, Inc. (China)(e)	3.875%		9/29/2023		200		213,320
Baidu, Inc. (China)(e)	4.375%		5/14/2024		200		218,189
E*TRADE Financial Corp.	2.95%		8/24/2022		36		37,532
eBay, Inc.	1.90%		3/11/2025		92		95,107
Uber Technologies, Inc.†	7.50%		11/1/2023		79		80,036
VeriSign, Inc.	4.625%		5/1/2023		8		8,071
Total							652,255
Telecommunications 0.82%
AT&T, Inc.	1.498% (3 Mo. LIBOR +1.18%	)#	6/12/2024		653		654,543
CommScope, Inc.†	5.50%		3/1/2024		21		21,263

26 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Telecommunications (continued)
Sprint Communications, Inc.	7.00%		8/15/2020	$	64	$	64,367
T-Mobile USA, Inc.†	1.50%		2/15/2026		73		73,177
T-Mobile USA, Inc.	6.375%		3/1/2025		8		8,228
Total							821,578
Toys 0.06%
Hasbro, Inc.	3.00%		11/19/2024		56		58,711
Transportation: Miscellaneous 0.63%
Canadian Pacific Railway Co. (Canada)(e)	9.45%		8/1/2021		91		99,115
Huntington Ingalls Industries, Inc.†	3.844%		5/1/2025		36		39,132
Huntington Ingalls Industries, Inc.†	5.00%		11/15/2025		325		336,551
Ryder System, Inc.	3.35%		9/1/2025		51		54,376
XPO Logistics, Inc.†	6.50%		6/15/2022		97		97,337
Total							626,511
Wholesale 0.10%
H&E Equipment Services, Inc.	5.625%		9/1/2025		95		96,178
Total Corporate Bonds (cost $53,604,388)							54,047,705
FLOATING RATE LOANS(i) 1.44%
Air Transportation 0.10%
American Airlines, Inc. 2017 Incremental Term Loan	2.185% (1 Mo. LIBOR + 2.00%	)	12/14/2023		19		15,016
American Airlines, Inc. Repriced TL B due 2023	2.184% (1 Mo. LIBOR + 2.00%	)	4/28/2023		102		82,223
Total							97,239
Business Services 0.10%
Refinitiv US Holdings Inc. 2018 USD Term Loan	3.428% (1 Mo. LIBOR + 3.25%	)	10/1/2025		99		96,783
Electric: Power 0.06%
Pacific Gas & Electric Company DIP Term Loan	2.44% (1 Mo. LIBOR + 2.25%	)	12/31/2020		59		58,877
Electrical Equipment 0.06%
Marvell Technology Group Ltd 2018 Term Loan A	1.555% (1 Mo. LIBOR + 1.38%	)	6/4/2021		58		57,746	(j)
Entertainment 0.25%
Caesars Entertainment Operating Company Exit Term Loan	2.178% (1 Mo. LIBOR + 2.00%	)	10/7/2024		98		97,883

See Notes to Financial Statements. 27

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Entertainment (continued)
GLP Financing, LLC Incremental Term Loan A	1.679% (1 Mo. LIBOR + 1.50%	)	4/28/2021	$	21	$	21,197	(j)
Scientific Games International, Inc. 2018 Term Loan B5	2.928% (1 Mo. LIBOR + 2.75%	)	8/14/2024		43		38,422
Stars Group Holdings B.V. (The) 2018 USD Incremental Term Loan (Netherlands)(e)	3.808%  (3 Mo. LIBOR + 3.50%	)	7/10/2025		91		90,502
Total							248,004
Financial Services 0.02%
Delos Finance Sarl 2018 Term Loan B (Luxembourg)(e)	2.058% (3 Mo. LIBOR + 1.75%	)	10/6/2023		26		24,618
Government 0.03%
Seminole Tribe of Florida 2018 Term Loan B	1.934% (1 Mo. LIBOR + 1.75%	)	7/8/2024		37		35,446
Health Care 0.04%
MPH Acquisition Holdings LLC 2016 Term Loan B	3.75%  (3 Mo. LIBOR + 2.75%	)	6/7/2023		45		42,558
Media 0.33%
AP NMT Acquisition BV USD 1st Lien Term Loan (Netherlands)(e)	7.201% (3 Mo. LIBOR + 5.75%	)	8/13/2021		99		97,580
AP NMT Acquisition BV USD 2nd Lien Term Loan (Netherlands)(e)	10.437% (3 Mo. LIBOR + 9.00%	)	8/13/2022		64		63,787
Charter Communications Operating, LLC 2017 Term Loan A2	1.68% (1 Mo. LIBOR + 1.50%	)	3/31/2023		140		138,284	(j)
Nielsen Finance LLC USD Term Loan B4	2.18% (1 Mo. LIBOR + 2.00%	)	10/4/2023		26		25,569
Total							325,220
Metal Fabricating 0.00%
Alloy Finco Limited USD Holdco PIK Term Loan (Jersey)	0.50% (3 Mo. LIBOR + .50%	)	3/6/2025		2		770
Miscellaneous 0.00%
UTEX Industries Inc. 2nd Lien Term Loan 2014	–	(k)	5/22/2022		6		1
Real Estate Investment Trusts 0.14%
Invitation Homes Operating Partnership LP Term Loan A	1.884% (1 Mo. LIBOR + 1.70%	)	2/6/2022		141		136,542
Retail 0.12%
Panera Bread Company Term Loan A	2.438% (1 Mo. LIBOR + 2.25%	)	7/18/2022		132		124,106

28 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)			Fair Value
Telecommunications 0.15%
CenturyLink, Inc. 2020 Term Loan A	2.178% (1 Mo. LIBOR + 2.00%	)	1/31/2025	$	153		$	146,767
Wholesale 0.04%
Core & Main LP 2017 Term Loan B	3.75% (3 Mo. LIBOR + 2.75%	)	8/1/2024		40			37,943
Total Floating Rate Loans (cost $1,491,833)								1,432,620
FOREIGN GOVERNMENT OBLIGATIONS 0.46%
Bermuda 0.22%
Government of Bermuda†	4.854%		2/6/2024		200			219,229
Nigeria 0.20%
Nigeria Government International Bond†(e)	6.75%		1/28/2021		200			203,188
Romania 0.04%
Republic of Romania†(e)	4.875%		1/22/2024		36			39,256
Total Foreign Government Obligations (cost $456,384)								461,673
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.74%
Government National Mortgage Assoc. 2014-112 A	3.00%	#(l)	1/16/2048		5			5,262
Government National Mortgage Assoc. 2014-64 IO	1.05%	#(l)	12/16/2054		163			6,787
Government National Mortgage Assoc. 2014-78 A	2.20%		4/16/2047		–	(a)		25
Government National Mortgage Assoc. 2014-78 IO	0.22%	#(l)	3/16/2056		34			585
Government National Mortgage Assoc. 2015-48 AS	2.90%	#(l)	2/16/2049		23			23,957
Government National Mortgage Assoc. 2015-73 AC	2.90%	#(l)	2/16/2053		27			28,720
Government National Mortgage Assoc. 2017 20 AS	2.50%		2/16/2057		51			52,870
Government National Mortgage Assoc. 2017 23 AB	2.60%		12/16/2057		32			33,201
Government National Mortgage Assoc. 2017-100 AS	2.75%		2/16/2058		45			46,974
Government National Mortgage Assoc. 2017-28 AB	2.50%		10/16/2051		56			58,361
Government National Mortgage Assoc. 2017-44 AD	2.65%		11/17/2048		49			51,546
Government National Mortgage Assoc. 2017-51 AS	2.75%		4/16/2058		81			84,654
Government National Mortgage Assoc. 2017-53 B	2.75%		3/16/2050		76			80,358
Government National Mortgage Assoc. 2017-54 AD	2.75%		1/16/2057		70			73,482
Government National Mortgage Assoc. 2017-61 A	2.60%		8/16/2058		54			56,324
Government National Mortgage Assoc. 2017-74 AS	2.60%		10/16/2057		24			25,168
Government National Mortgage Assoc. 2017-76 AS	2.65%		11/16/2050		53			55,678
Government National Mortgage Assoc. 2017-92 AS	2.75%		6/16/2058		52			54,257
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $709,108)								738,209

See Notes to Financial Statements. 29

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)			Fair Value
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 0.13%
Federal Home Loan Mortgage Corp.	3.57% (12 Mo. LIBOR + 1.84%	)#	6/1/2042	$	3		$	3,630
Federal Home Loan Mortgage Corp.	3.954% (12 Mo. LIBOR + 1.89%	)#	12/1/2040		7			7,876
Federal Home Loan Mortgage Corp.	3.974% (12 Mo. LIBOR + 1.80%	)#	6/1/2041		7			6,896
Federal National Mortgage Assoc.	2.657% (12 Mo. LIBOR + 1.60%	)#	12/1/2045		5			5,614
Federal National Mortgage Assoc.	2.702% (12 Mo. LIBOR + 1.60%	)#	12/1/2045		20			21,134
Federal National Mortgage Assoc.	2.823% (12 Mo. LIBOR + 1.60%	)#	10/1/2045		6			6,039
Federal National Mortgage Assoc.	2.92% (12 Mo. LIBOR + 1.72%	)#	6/1/2042		12			12,897
Federal National Mortgage Assoc.	3.689% (12 Mo. LIBOR + 1.82%	)#	1/1/2042		19			19,802
Federal National Mortgage Assoc.	3.822% (12 Mo. LIBOR + 1.81%	)#	4/1/2040		12			13,128
Federal National Mortgage Assoc.	3.863% (12 Mo. LIBOR + 1.79%	)#	3/1/2042		6			6,030
Federal National Mortgage Assoc.	3.869% (12 Mo. LIBOR + 1.78%	)#	10/1/2036		19			20,310
Federal National Mortgage Assoc.	3.957% (12 Mo. LIBOR + 1.81%	)#	12/1/2040		1			1,469
Federal National Mortgage Assoc.	3.961% (12 Mo. LIBOR + 1.81%	)#	12/1/2040		1			843
Federal National Mortgage Assoc.	4.066% (12 Mo. LIBOR + 1.80%	)#	10/1/2040		–	(a)		379
Total Government Sponsored Enterprises Pass-Throughs (cost $125,908)								126,047
MUNICIPAL BONDS 0.12%
Miscellaneous
State of Illinois	4.95%		6/1/2023		58			58,759
State of Illinois	6.125%		7/1/2021		65			65,571
Total Municipal Bonds (cost $126,234)								124,330
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 18.73%
Angel Oak Mortgage Trust 2020-1 A1†	2.466%	#(l)	12/25/2059		53			53,889
AOA Mortgage Trust 2015-1177 A†	2.957%		12/13/2029		100			100,750
AREIT Trust 2018-CRE2 A†	1.175% (1 Mo. LIBOR + .98%	)#	11/14/2035		97			95,629

30 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Atrium Hotel Portfolio Trust 2017-ATRM A†	1.115% (1 Mo. LIBOR + .93%	)#	12/15/2036	$	100	$	93,376
Atrium Hotel Portfolio Trust 2018-ATRM B†	1.615% (1 Mo. LIBOR + 1.43%	)#	6/15/2035		100		92,527
Atrium Hotel Portfolio Trust 2018-ATRM C†	1.835% (1 Mo. LIBOR + 1.65%	)#	6/15/2035		100		89,625
BAMLL Trust 2011-FSHN A†	4.42%		7/11/2033		100		100,405
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A†	1.035% (1 Mo. LIBOR + .85%	)#	1/15/2033		5		4,741
Bancorp Commercial Mortgage Trust 2019-CRE5 A†	1.185% (1 Mo. LIBOR + 1.00%	)#	3/15/2036		79		76,811
BB-UBS Trust 2012-TFT A†	2.892%		6/5/2030		200		183,636
BB-UBS Trust 2012-TFT B†	3.584%	#(l)	6/5/2030		100		86,532	(d)
BB-UBS Trust 2012-TFT C†	3.584%	#(l)	6/5/2030		100		81,480
BBCMS Mortgage Trust 2018-TALL A†	0.907% (1 Mo. LIBOR + .72%	)#	3/15/2037		200		190,839
BBCMS Mortgage Trust 2018-TALL E†	2.622% (1 Mo. LIBOR + 2.44%	)#	3/15/2037		132		113,732
BBCMS Trust 2015-STP A†	3.323%		9/10/2028		55		54,830
BBCMS Trust 2018-BXH A†	1.185% (1 Mo. LIBOR +1.00%	)#	10/15/2037		68		62,726
BDS 2018-FL2 A†	1.144% (1 Mo. LIBOR + .95%	)#	8/15/2035		59		58,581
Benchmark Mortgage Trust 2019-B12 TCA†	3.555%	#(l)	8/15/2052		203		185,361	(d)
Benchmark Mortgage Trust 2019-B12 TCB†	3.555%	#(l)	8/15/2052		225		213,518
BX Commercial Mortgage Trust 2018-BIOA A†	0.856% (1 Mo. LIBOR + .67%	)#	3/15/2037		120		118,553
BX Commercial Mortgage Trust 2019-XL A†	1.105% (1 Mo. LIBOR + .92%	)#	10/15/2036		478		476,116
BX Commercial Mortgage Trust 2019-XL B†	1.265% (1 Mo. LIBOR + 1.08%	)#	10/15/2036		96		94,145
BX Commercial Mortgage Trust 2019-XL C†	1.435% (1 Mo. LIBOR + 1.25%	)#	10/15/2036		96		93,686
BX Commercial Mortgage Trust 2019-XL D†	1.635% (1 Mo. LIBOR + 1.45%	)#	10/15/2036		96		93,467
BX Commercial Mortgage Trust 2019-XL E†	1.985% (1 Mo. LIBOR + 1.80%	)#	10/15/2036		96		92,806
BX Trust 2017-SLCT D†	2.235% (1 Mo. LIBOR + 2.05%	)#	7/15/2034		43		40,977
BX Trust 2017-SLCT E†	3.335% (1 Mo. LIBOR + 3.15%	)#	7/15/2034		51		47,680
BX Trust 2018-BILT A†	0.985% (1 Mo. LIBOR + .80%	)#	5/15/2030		46		43,642
BX Trust 2018-BILT D†	1.955% (1 Mo. LIBOR + 1.77%	)#	5/15/2030		19		16,751
BXP Trust 2017-CQHP A†	1.035% (1 Mo. LIBOR + .85%	)#	11/15/2034		43		41,824

See Notes to Financial Statements. 31

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Cantor Commercial Real Estate Lending 2019 CF1 65B†	4.14%	#(l)	5/15/2052	$	102	$	97,789
Cantor Commercial Real Estate Lending 2019-CF1 65C†	4.123%	#(l)	5/15/2052		176		163,890
CCRESG Commercial Mortgage Trust 2016-HEAT B†	4.114%		4/10/2029		29		28,483
CCRESG Commercial Mortgage Trust 2016-HEAT C†	4.919%		4/10/2029		29		28,093
CFCRE Commercial Mortgage Trust 2016-C6 XA IO	1.275%	#(l)	11/10/2049		187		10,487
CFCRE Commercial Mortgage Trust 2016-C7 XA IO	0.873%	#(l)	12/10/2054		186		7,112
CFCRE Commercial Mortgage Trust 2018-TAN A†	4.236%		2/15/2033		134		139,505
CHT Mortgage Trust 2017-CSMO A†	1.115% (1 Mo. LIBOR + .93%	)#	11/15/2036		660		633,727
CHT Mortgage Trust 2017-CSMO B†	1.585% (1 Mo. LIBOR + 1.40%	)#	11/15/2036		100		95,477
CHT Mortgage Trust 2017-CSMO D†	2.435% (1 Mo. LIBOR + 2.25%	)#	11/15/2036		100		94,137
Citigroup Commercial Mortgage Trust 2012-GC8 A4	3.024%		9/10/2045		220		224,148
Citigroup Commercial Mortgage Trust 2013-375P A IO	0.49%	#(l)	6/10/2048		942		14,970
Citigroup Commercial Mortgage Trust 2015-GC27 AAB	2.944%		2/10/2048		9		9,455
Commercial Mortgage Pass-Through Certificates 2012-CR3 B†	3.922%		10/15/2045		200		201,305
Commercial Mortgage Pass-Through Certificates 2012-LTRT A2†	3.40%		10/5/2030		100		97,302
Commercial Mortgage Pass-Through Certificates 2013-CR12 A3	3.765%		10/10/2046		45		47,761
Commercial Mortgage Pass-Through Certificates 2013-CR6 A4	3.101%		3/10/2046		10		10,277
Commercial Mortgage Pass-Through Certificates 2013-SFS A1†	1.873%		4/12/2035		63		62,511
Commercial Mortgage Pass-Through Certificates 2014-CR18 A5	3.828%		7/15/2047		170		185,375
Commercial Mortgage Pass-Through Certificates 2014-CR19 A4	3.532%		8/10/2047		30		32,642
Commercial Mortgage Pass-Through Certificates 2014-CR19 A4 IO†	0.251%	#(l)	9/10/2047		2,000		12,219
Commercial Mortgage Pass-Through Certificates 2014-LC15 A3	3.727%		4/10/2047		100		107,059
Commercial Mortgage Pass-Through Certificates 2014-LC15 A3 IO†	0.794%	#(l)	7/10/2050		90		1,992

32 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Commercial Mortgage Pass-Through Certificates 2014-UBS3 A4	3.819%		6/10/2047	$	13	$	14,060
Commercial Mortgage Pass-Through Certificates 2016-GCT C†	3.577%	#(l)	8/10/2029		319		319,766
Commercial Mortgage Pass-Through Certificates 2016-GCT C IO	1.532%	#(l)	8/10/2049		55		3,323
Commercial Mortgage Pass-Through Certificates 2016-GCT D†	3.577%	#(l)	8/10/2029		100		99,203
Commercial Mortgage Pass-Through Certificates 2016-GCT XA IO†	0.784%		8/10/2029		4,000		23,700
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ A†	1.435% (1 Mo. LIBOR + 1.25%	)#	1/15/2034		50		47,433
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ A IO†	0.695%	#(l)	9/15/2037		992		23,353
Credit Suisse Mortgage Capital Certificates 2017-LSTK A†	2.761%		4/5/2033		364		362,970
Credit Suisse Mortgage Capital Certificates 2017-LSTK B†	3.03%		4/5/2033		50		49,184
Credit Suisse Mortgage Capital Certificates 2017-LSTK C†	3.229%		4/5/2033		50		48,550
Credit Suisse Mortgage Capital Certificates 2017-LSTK D†	3.442%	#(l)	4/5/2033		50		47,558
Credit Suisse Mortgage Capital Certificates 2017-MOON A†	3.197%		7/10/2034		60		61,336
Credit Suisse Mortgage Capital Certificates 2017-MOON B†	3.303%	#(l)	7/10/2034		50		49,546
Credit Suisse Mortgage Capital Certificates 2017-MOON B IO†	0.09%	#(l)	7/10/2034		28,675		18,891
Credit Suisse Mortgage Capital Certificates 2017-MOON C†	3.303%	#(l)	7/10/2034		109		105,597
Credit Suisse Mortgage Capital Certificates 2017-MOON D†	3.303%	#(l)	7/10/2034		50		48,166
Credit Suisse Mortgage Capital Certificates 2019-ICE4 A†	1.165% (1 Mo. LIBOR + .98%	)#	5/15/2036		434		430,981
Credit Suisse Mortgage Capital Certificates 2019-ICE4 C IO	2.061%	#(l)	1/15/2049		752		56,011
Credit Suisse Mortgage Capital Certificates 2020-AFC1 A1†	2.24%	#(l)	2/25/2050		120		122,567
Credit Suisse Mortgage Capital Certificates Trust 2017-PFHP A†	1.135% (1 Mo. LIBOR + .95%	)#	12/15/2030		50		47,414
CSAIL Commercial Mortgage Trust 2015-C4 A2	3.157%		11/15/2048		9		8,703
CSAIL Commercial Mortgage Trust 2015-C4 A2 IO	1.619%	#(l)	8/10/2049		193		13,518

See Notes to Financial Statements. 33

Schedule of Investments (unaudited)(continued)

June 30, 2020

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
DBGS Mortgage Trust 2018-BIOD A†	0.988% (1 Mo. LIBOR + .80%	)#	5/15/2035	$	93	$	91,025
DBUBS Mortgage Trust 2011-LC2A A4†	4.537%		7/10/2044		100		101,517
DBWF Mortgage Trust 2015-LCM A1†	2.998%		6/10/2034		15		14,599
DBWF Mortgage Trust 2016-85T XA IO†	0.116%	#(l)	12/10/2036		3,140		9,922
DBWF Mortgage Trust 2018-AMXP A†	3.873%	#(l)	5/5/2035		325		326,804
DBWF Mortgage Trust 2018-AMXP B†	4.122%	#(l)	5/5/2035		100		97,589
DBWF Mortgage Trust 2018-AMXP C†	3.956%	#(l)	5/5/2035		100		100,655
DBWF Mortgage Trust 2018-GLKS B†	1.544% (1 Mo. LIBOR + 1.35%	)#	12/19/2030		100		92,559
DBWF Mortgage Trust 2018-GLKS C†	1.944% (1 Mo. LIBOR + 1.75%	)#	12/19/2030		100		90,177
DBWF Mortgage Trust 2018-GLKS D†	2.594% (1 Mo. LIBOR + 2.40%	)#	12/19/2030		100		88,794
Deephaven Residential Mortgage Trust 2020-1 A1†	2.339%	#(l)	1/25/2060		90		91,058
Fontainebleau Miami Beach Trust 2019-FBLU A†	3.144%		12/10/2036		100		100,846
Fontainebleau Miami Beach Trust 2019-FBLU B†	3.447%		12/10/2036		100		97,389
GCAT Trust 2020-NQM1 A1†	2.247%		1/25/2060		94		95,181
GRACE Mortgage Trust 2014-GRCE A†	3.369%		6/10/2028		100		100,298
Great Wolf Trust 2019-WOLF B†	1.519% (1 Mo. LIBOR + 1.33%	)#	12/15/2036		39		36,729
Great Wolf Trust 2019-WOLF C†	1.818% (1 Mo. LIBOR + 1.63%	)#	12/15/2036		56		52,075
Great Wolf Trust 2019-WOLF D†	2.118% (1 Mo. LIBOR + 1.93%	)#	12/15/2036		56		51,545
Great Wolf Trust 2019-WOLF E†	2.917% (1 Mo. LIBOR + 2.73%	)#	12/15/2036		42		38,098
GS Mortgage Securities Corp. II 2012-BWTR A†	2.954%		11/5/2034		214		213,251
GS Mortgage Securities Corp. II 2012-TMSQ A†	3.007%		12/10/2030		100		100,576
GS Mortgage Securities Corp. Trust 2016-RENT C†	4.202%	#(l)	2/10/2029		100		99,216
GS Mortgage Securities Corp. Trust 2017-485L XB IO†	0.244%	#(l)	2/10/2037		1,590		15,185
GS Mortgage Securities Corp. Trust 2017-GPTX A†	2.856%		5/10/2034		100		98,709
GS Mortgage Securities Corp. Trust 2017-STAY A†	1.035% (1 Mo. LIBOR + .85%	)#	7/15/2032		100		94,311
GS Mortgage Securities Corp. Trust 2018-RIVR A†	1.135% (1 Mo. LIBOR + .95%	)#	7/15/2035		100		96,549
GS Mortgage Securities Corp. Trust 2019-70P A†	1.185% (1 Mo. LIBOR + 1.00%	)#	10/15/2036		253		246,389
GS Mortgage Securities Corp. Trust 2019-70P B†	1.505% (1 Mo. LIBOR + 1.32%	)#	10/15/2036		56		53,377

34 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

				Principal
	Interest		Maturity	Amount			Fair
Investments	Rate		Date	(000)			Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
GS Mortgage Securities Corp. Trust 2019-BOCA B†	1.685% (1 Mo. LIBOR + 1.50%	)#	6/15/2038	$	100		$	93,593
GS Mortgage Securities Corp. Trust 2019-SMP B†	1.685% (1 Mo. LIBOR + 1.50%	)#	8/15/2032		500			477,056
GS Mortgage Securities Trust 2011-GC5 B†	5.555%	#(l)	8/10/2044		107			104,797
GS Mortgage Securities Trust 2012-GC6 XA IO†	2.116%	#(l)	1/10/2045		280			5,173
GS Mortgage Securities Trust 2012-GCJ7 B	4.74%		5/10/2045		20			20,376
GS Mortgage Securities Trust 2013-G1 A2†	3.557%	#(l)	4/10/2031		100			98,743
GS Mortgage Securities Trust 2013-G1 A2 IO	0.329%	#(l)	11/10/2048		1,082			12,378
GS Mortgage Securities Trust 2013-GC14 A5	4.243%		8/10/2046		100			108,221
GS Mortgage Securities Trust 2014-GC18 A4	4.074%		1/10/2047		151			163,528
Hawaii Hotel Trust 2019-MAUI B†	1.635% (1 Mo. LIBOR + 1.45%	)#	5/15/2038		100			92,603
Hilton Orlando Trust 2018-ORL D†	1.885% (1 Mo. LIBOR + 1.70%	)#	12/15/2034		34			30,460
HMH Trust 2017-NSS A†	3.062%		7/5/2031		100			96,371
HMH Trust 2017-NSS B†	3.343%		7/5/2031		100			98,472	(d)
HMH Trust 2017-NSS C†	3.787%		7/5/2031		100			97,801	(d)
HMH Trust 2017-NSS D†	4.723%		7/5/2031		100			98,196	(d)
Hudsons Bay Simon JV Trust 2015-HB7 A7†	3.914%		8/5/2034		100			90,410
Hudsons Bay Simon JV Trust 2015-HB7 B7†	4.666%		8/5/2034		179			161,675
Hudsons Bay Simon JV Trust 2015-HB7 XA7 IO†	1.417%	#(l)	8/5/2034		1,000			24,400
Irvine Core Office Trust 2013-IRV A1†	2.068%		5/15/2048		16			16,055
Irvine Core Office Trust 2013-IRV A2†	3.279%	#(l)	5/15/2048		27			28,021
JPMorgan Chase Commercial Mortgage Securities Trust 2020-ACE A†	3.287%		1/10/2037		240			222,498
JPMorgan Chase Commercial Mortgage Securities Trust 2020-ACE B†	3.64%		1/10/2037		50			44,774
JPMorgan Chase Commercial Mortgage Securities Trust 2020-ACE XA IO†	0.467%	#(l)	1/10/2037		9,369			153,129
JPMorgan Chase Commercial Mortgage Securities Trust 2012-C6 B	4.819%	#(l)	5/15/2045		11			11,295
JPMorgan Chase Commercial Mortgage Securities Trust 2012-WLDN A†	3.905%		5/5/2030		178			139,690
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C14 A4 IO	1.109%	#(l)	1/15/2048		731			25,217
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 A2	3.046%		4/15/2047		–	(a)		227
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 A4	3.997%		4/15/2047		76			82,512

See Notes to Financial Statements. 35

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000		)	Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY A†	3.429%		6/10/2027	$	200		$	188,992
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C28 A2 IO	0.822%	#(l)	12/15/2049		899			25,448
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 XA IO	0.655%	#(l)	7/15/2048		845			18,039
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI A†	2.798%		10/5/2031		225			224,505
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI B†	3.201%		10/5/2031		25			24,756
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI C†	3.554%		10/5/2031		20			19,218
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI C IO†	0.791%	#(l)	10/5/2031		1,000			5,390
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI D†	4.143%	#(l)	10/5/2031		35			31,810
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI D IO	1.211%	#(l)	9/15/2050		982			51,376
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI E†	4.143%	#(l)	10/5/2031		12			10,321
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK A†	3.392%		6/5/2032		67			65,541
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK B†	3.795%		6/5/2032		27			26,042
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK C†	4.171%	#(l)	6/5/2032		20			18,741
JPMorgan Chase Commercial Mortgage Securities Trust 2018-BCON A†	3.735%		1/5/2031		243			254,228
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A†	1.185% (1 Mo. LIBOR + 1.00%	)#	6/15/2032		14			13,295
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B†	1.485% (1 Mo. LIBOR + 1.30%	)#	6/15/2032		56			52,105
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B IO†	Zero Coupon	#(l)	6/15/2032		20,156			202
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ C†	1.785% (1 Mo. LIBOR + 1.60%	)#	6/15/2032		43			39,230
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ E†	3.35% (1 Mo. LIBOR + 3.00%	)#	6/15/2035		8			7,136
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC A†	1.385% (1 Mo. LIBOR + 1.20%	)#	4/15/2031		90			87,476
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC B†	2.085% (1 Mo. LIBOR + 1.90%	)#	4/15/2031		24			23,378

36 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC C†	2.485% (1 Mo. LIBOR + 2.30%	)#	4/15/2031	$	18	$	17,546
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC D†	3.305% (1 Mo. LIBOR + 3.12%	)#	4/15/2031		10		9,691
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL†	1.124% (1 Mo. LIBOR + .95%	)#	7/5/2033		45		43,156
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFL†	1.824% (1 Mo. LIBOR + 1.65%	)#	7/5/2033		16		15,064
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT DFL†	2.424% (1 Mo. LIBOR + 2.25%	)#	7/5/2033		16		14,981
JPMorgan Chase Commercial Mortgage Securities Trust 2019-ICON C IO†	1.51%	#(l)	1/5/2034		3,332		137,029
LoanCore Issuer Ltd. 2019-CRE3 A†	1.235% (1 Mo. LIBOR + 1.05%	)#	4/15/2034		210		206,197
LoanCore Issuer Ltd. 2019-CRE3 AS†	1.555% (1 Mo. LIBOR + 1.37%	)#	4/15/2034		44		42,422
LSTAR Commercial Mortgage Trust 2016-4 XA IO†	1.991%	#(l)	3/10/2049		860		42,382
LSTAR Commercial Mortgage Trust 2017-5 A2†	2.776%		3/10/2050		97		99,017
LSTAR Commercial Mortgage Trust 2017-5 A3†	4.50%		3/10/2050		100		107,469
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A1†	2.117%		10/15/2030		26		26,078
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A2†	3.277%		10/15/2030		100		102,200
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A2 IO	0.72%	#(l)	7/15/2050		392		8,984
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 A4	4.298%	#(l)	8/15/2046		139		149,669
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 A4	2.918%		2/15/2046		10		10,299
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 A4 IO	1.54%	#(l)	11/15/2049		952		57,947
Morgan Stanley Capital Barclays Bank Trust 2016-MART B†	2.48%		9/13/2031		50		49,411
Morgan Stanley Capital Barclays Bank Trust 2016-MART C†	2.817%		9/13/2031		100		97,722
Morgan Stanley Capital Barclays Bank Trust 2016-MART XCP IO†	Zero Coupon	#(l)	9/13/2031		9,863		99
Morgan Stanley Capital I Trust 2014-CPT A IO	1.131%	#(l)	8/15/2049		1,000		51,232
Morgan Stanley Capital I Trust 2015-UBS8 ASB	3.626%		12/15/2048		12		12,713
Motel 6 Trust 2017-MTL6 E†	3.435% (1 Mo. LIBOR + 3.25%	)#	8/15/2034		173		159,165

See Notes to Financial Statements. 37

Schedule of Investments (unaudited)(continued)

June 30, 2020

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Motel 6 Trust 2017-MTL6 F†	4.435% (1 Mo. LIBOR + 4.25%	)#	8/15/2034	$	53	$	46,525
MSCG Trust 2015-ALDR A1†	2.612%		6/7/2035		14		13,346
MSCG Trust 2016-SNR B†	4.181%		11/15/2034		1		608
MSCG Trust 2016-SNR C†	5.205%		11/15/2034		21		20,871
New Orleans Hotel Trust 2019-HNLA A†	1.174% (1 Mo. LIBOR + .99%	)#	4/15/2032		150		142,601
New Orleans Hotel Trust 2019-HNLA D†	2.224% (1 Mo. LIBOR + 2.04%	)#	4/15/2032		100		88,653
New Residential Mortgage Loan Trust 2020-NQM1 A1†	2.464%	#(l)	1/26/2060		94		96,066
Palisades Center Trust 2016-PLSD A†	2.713%		4/13/2033		10		9,777	(d)
Palisades Center Trust 2016-PLSD D†	4.737%		4/13/2033		77		49,583	(d)
PFP Ltd. 2019-6 A†	1.245% (1 Mo. LIBOR + 1.05%	)#	4/14/2037		114		110,512
RBS Commercial Funding, Inc. Trust 2013-SMV A†	3.26%		3/11/2031		100		98,298
Ready Capital Mortgage Financing LLC 2019-FL3 A†	1.185% (1 Mo. LIBOR + 1.00%	)#	3/25/2034		124		121,297
ReadyCap Commercial Mortgage Trust 2015-2 A†	3.804%		6/25/2055		2		2,135
ReadyCap Commercial Mortgage Trust 2018-4 A†	3.39%		2/27/2051		52		53,503
ReadyCap Commercial Mortgage Trust 2019-6 A†	2.833%		10/25/2052		87		85,986
ReadyCap Mortgage Trust 2016-3 A IO†	0.456%	#(l)	2/15/2041		4,149		109,110
Residential Mortgage Loan Trust 2020-1 A1†	2.376%	#(l)	2/25/2024		95		96,891
RETL 2019-RVP A†	1.335% (1 Mo. LIBOR + 1.15%	)#	3/15/2036		20		18,634
RETL 2019-RVP C†	2.285% (1 Mo. LIBOR + 2.10%	)#	3/15/2036		50		44,315
Shelter Growth CRE Issuer Ltd. 2019-FL2 A†	1.285% (1 Mo. LIBOR + 1.10%	)#	5/15/2036		130		127,307
Shelter Growth CRE Issuer Ltd. 2019-FL2 AS†	1.635% (1 Mo. LIBOR + 1.45%	)#	5/15/2036		41		39,329
Shops at Crystals Trust 2016-CSTL XB IO†	0.328%	#(l)	7/5/2036		1,000		12,990
SLIDE 2018-FUN A†	1.085% (1 Mo. LIBOR + .90%	)#	6/15/2031		67		63,886
SLIDE 2018-FUN B†	1.435% (1 Mo. LIBOR + 1.25%	)#	6/15/2031		14		13,485
SLIDE 2018-FUN C†	1.735% (1 Mo. LIBOR + 1.55%	)#	6/15/2031		12		11,448
SLIDE 2018-FUN D†	2.035% (1 Mo. LIBOR + 1.85%	)#	6/15/2031		19		17,085
SLIDE 2018-FUN XCP IO†	0.976%	#(l)	12/15/2020		1,581		7,083
Starwood Mortgage Residential Trust 2020-1 A1†	2.275%	#(l)	2/25/2050		90		90,902
UBS-BAMLL Trust 2012-WRM D†	4.379%	#(l)	6/10/2030		100		86,004
UBS-Barclays Commercial Mortgage Trust 2012-C3 A4	3.091%		8/10/2049		30		30,494
UBS-Barclays Commercial Mortgage Trust 2012-C3 A4 IO†	1.082%	#(l)	3/10/2046		750		14,675

38 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
UBS-Barclays Commercial Mortgage Trust 2012-C4 A5	2.85%		12/10/2045	$	200	$	206,084
UBS-Barclays Commercial Mortgage Trust 2013-C5 A4	3.185%		3/10/2046		77		79,864
UBS-Citigroup Commercial Mortgage Trust 2011-C1 A3	3.595%		1/10/2045		82		83,160
Verus Securitization Trust 2020-1 A1†	2.417%	#(l)	1/25/2060		93		94,608
VNDO Mortgage Trust 2012-6AVE A†	2.996%		11/15/2030		300		309,053
Waikiki Beach Hotel Trust 2019-WBM A†	1.235% (1 Mo. LIBOR + 1.05%	)#	12/15/2033		48		45,104
Wells Fargo Commercial Mortgage Trust 2010-C1 C†	5.87%	#(l)	11/15/2043		100		99,797
Wells Fargo Commercial Mortgage Trust 2010-C1 C IO	0.095%	#(l)	6/15/2048		2,000		4,358
Wells Fargo Commercial Mortgage Trust 2015-NXS4 A2A IO	1.894%	#(l)	8/15/2049		957		75,774
Wells Fargo Commercial Mortgage Trust 2015-SG1 XA IO	0.829%	#(l)	9/15/2048		908		25,606
Wells Fargo Commercial Mortgage Trust 2018-C44 A2	4.178%		5/15/2051		35		37,693
West Town Mall Trust 2017-KNOX A†	3.823%		7/5/2030		73		73,908
West Town Mall Trust 2017-KNOX B†	4.322%		7/5/2030		31		31,036
West Town Mall Trust 2017-KNOX B IO†	0.52%	#(l)	7/5/2030		1,591		10,137
West Town Mall Trust 2017-KNOX C†	4.491%	#(l)	7/5/2030		25		24,421
West Town Mall Trust 2017-KNOX D†	4.491%	#(l)	7/5/2030		25		24,091
WF-RBS Commercial Mortgage Trust 2011-C2 A4†	4.869%	#(l)	2/15/2044		21		21,432
WF-RBS Commercial Mortgage Trust 2011-C2 A4 IO†	1.48%	#(l)	6/15/2045		71		1,251
WF-RBS Commercial Mortgage Trust 2012-C7 A2	3.431%		6/15/2045		50		51,249
WF-RBS Commercial Mortgage Trust 2012-C7 A2 IO†	1.964%	#(l)	8/15/2045		321		8,698
WF-RBS Commercial Mortgage Trust 2012-C7 B	4.901%	#(l)	6/15/2045		25		18,769	(d)
WF-RBS Commercial Mortgage Trust 2012-C9 A3	2.87%		11/15/2045		273		280,437
Total Non-Agency Commercial Mortgage-Backed Securities (cost $19,276,073)							18,675,906
					Shares
					(000)
PREFERRED STOCK 0.00%
Oil
Templar Energy LLC (cost $11,819)					1		–	(d)

See Notes to Financial Statements. 39

Schedule of Investments (unaudited)(continued)

June 30, 2020

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date	(000)		Value
U.S. TREASURY OBLIGATIONS 2.22%
U.S. Treasury Bill	Zero Coupon	11/12/2020	$	1,007	$	1,006,466
U.S. Treasury Note	0.125%	6/30/2022		967		966,509
U.S. Treasury Note	0.25%	6/30/2025		243		242,549
Total U.S. Treasury Obligations (cost $2,214,292)						2,215,524
Total Long-Term Investments (cost $97,321,049)						97,133,652
SHORT-TERM INVESTMENTS 2.04%
COMMERCIAL PAPER 1.22%
Aerospace/Defense 0.25%
Boeing Co.	2.333%	10/29/2020		250		248,406
Automotive 0.37%
American Honda Finance Corp.	2.088%	7/20/2020		113		112,878
General Motors Financial Co., Inc.	0.659%	7/1/2020		257		257,000
Total						369,878
Health Care Services 0.10%
Catholic Hlth Ints	2.334%	7/14/2020		100		99,917
Leisure 0.25%
Carnival Corp.	2.152%	9/4/2020		250		247,972
Oil: Crude Producers 0.25%
Energy Transfer Partners	0.71%	7/1/2020		250		250,000
Total Commercial Paper (cost $1,216,972)						1,216,173
REPURCHASE AGREEMENT 0.82%
Repurchase Agreement dated 6/30/2020, 0.00% due 7/1/2020 with Fixed Income Clearing Corp. collateralized by $837,600 of U.S. Treasury Note at 0.250% due 6/15/2023; value: $839,551; proceeds: $823,062 (cost $823,062)				823		823,062
Total Short-Term Investments (cost $2,040,034)						2,039,235
Total Investments in Securities 99.44% (cost $99,361,083)						99,172,887
Foreign Cash and Other Assets in Excess Liabilities(m) 0.56%						554,183
Net Assets 100.00%					$	99,727,070

40 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

CAD	Canadian dollar.
GBP	British pound.
IO	Interest Only.
LIBOR	London Interbank Offered Rate.
PIK	Payment-in-kind.
SOFR	Secured Over Night Financing Rate.
Units	More than one class of securities traded together.
†	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. At June 30, 2020, the total value of Rule 144A securities was $51,147,567, which represents 51.29% of net assets.
#	Variable rate security. The interest rate represents the rate in effect at June 30, 2020.
(a)	Amount is less than $1,000.
(b)	Investment in non-U.S. dollar denominated securities.
(c)	Amount represents less than 1,000 shares.
(d)	Level 3 Investment as described in Note 2(l) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.
(e)	Foreign security traded in U.S. dollars.
(f)	Securities purchased on a when-issued basis (See Note 2(i)).
(g)	Security is perpetual in nature and has no stated maturity.
(h)	Defaulted (non-income producing security).
(i)	Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at June 30, 2020.
(j)	Level 3 Investment as described in Note 2(l) in the Notes to Financials. Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation.
(k)	Interest rate to be determined.
(l)	Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool.
(m)	Foreign Cash and Other Assets in Excess Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts and futures contracts as follows:

See Notes to Financial Statements. 41

Schedule of Investments (unaudited)(continued)

June 30, 2020

Open Forward Foreign Currency Exchange Contracts at June 30, 2020:

Forward
Foreign					U.S. $
Currency					Cost on	U.S. $
Exchange	Transaction		Expiration	Foreign	Origination	Current	Unrealized
Contracts	Type	Counterparty	Date	Currency	Date	Value	Appreciation
British pound	Sell	Morgan Stanley	9/8/2020	95,000	$120,799	$117,761	$3,038
Forward
Foreign					U.S. $
Currency					Cost on	U.S. $
Exchange	Transaction		Expiration	Foreign	Origination	Current	Unrealized
Contracts	Type	Counterparty	Date	Currency	Date	Value	Depreciation
Canadian dollar	Sell	Toronto Dominion Bank	9/15/2020	149,000	$109,576	$109,769	$(193)

Open Futures Contracts at June 30, 2020:

				Notional	Notional	Unrealized
Type	Expiration	Contracts	Position	Amount	Value	Appreciation
U.S. 2-Year Treasury Note	September 2020	137	Long	$30,242,686	$30,253,453	$10,767
				Notional	Notional	Unrealized
Type	Expiration	Contracts	Position	Amount	Value	Depreciation
U.S. 5-Year Treasury Note	September 2020	39	Short	$(4,891,420)	$(4,903,945)	$(12,525)

42 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

The following is a summary of the inputs used as of June 30, 2020 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	$	–		$	19,214,918		$	–	$	19,214,918
Common Stock		–			–			6		6
Convertible Bonds		–			96,714			–		96,714
Corporate Bonds		–			54,047,705			–		54,047,705
Floating Rate Loans
Electrical Equipment		–			–			57,746		57,746
Entertainment		–			226,807			21,197		248,004
Media		–			186,936			138,284		325,220
Remaining Industries		–			801,650			–		801,650
Foreign Government Obligations		–			461,673			–		461,673
Government Sponsored Enterprises Collateralized Mortgage Obligations		–			738,209			–		738,209
Government Sponsored Enterprises Pass–Throughs		–			126,047			–		126,047
Municipal Bonds		–			124,330			–		124,330
Non-Agency Commercial Mortgage-Backed Securities		–			18,031,415			644,491		18,675,906
Preferred Stock		–			–			–		–
U.S. Treasury Obligations		–			2,215,524			–		2,215,524
Short-Term Investments
Commercial Paper		–			1,216,173			–		1,216,173
Repurchase Agreement		–			823,062			–		823,062
Total	$	–		$	98,311,163		$	861,724	$	99,172,887
Other Financial Instruments
Forward Foreign Currency Exchange Contracts
Assets	$	–		$	3,038		$	–	$	3,038
Liabilities		–			(193	)		–		(193	)
Futures Contracts
Assets		10,767			–			–		10,767
Liabilities		(12,525	)		–			–		(12,525	)
Total	$	(1,758	)	$	2,845		$	–	$	1,087

(1)

Refer to Note 2(l) for a description of fair value measurements and the three-tier hierarchy of inputs.

(2)

See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more Levels within the three-tier fair value hierarchy. Each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized.

See Notes to Financial Statements. 43

Schedule of Investments (unaudited)(concluded)

June 30, 2020

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

									Non-Agency
									Commercial
	Asset-Backed			Common		Floating			Mortgage-Backed			Preferred
Investment Type	Securities			Stock		Rate Loans			Securities			Stock
Balance as of January 1, 2020	$	297,452		$	6	$	332,623		$	525,008		$	–
Accrued Discounts (Premiums)		–			–		182			(24	)		–
Realized Gain (Loss)		–			–		15,072			1,814			–
Change in Unrealized Appreciation (Depreciation)		–			–		(2,702	)		(80,341	)		–
Purchases		–			–		–			–			–
Sales		–			–		(230,123	)		(76,867	)		–
Transfers into Level 3		–			–		146,395			514,498			–
Transfers out of Level 3		(297,452	)		–		(44,220	)		(239,597	)		–
Balance as of June 30, 2020	$	–		$	6	$	217,227		$	644,491		$	–
Change in unrealized appreciation/depreciation for the period ended June 30, 2020, related to Level 3 investments held at June 30, 2020	$	–		$	–	$	(2,630	)	$	(77,040	)	$	–

44 See Notes to Financial Statements.

Statement of Assets and Liabilities (unaudited)

June 30, 2020

ASSETS:
Investments in securities, at fair value (cost $99,361,083)	$	99,172,887
Deposits with brokers for futures collateral		52,187
Foreign cash, at value (cost $365)		364
Receivables:
Interest and dividends		656,440
Investment securities sold		617,705
Variation margin for futures contracts		14,912
Unrealized appreciation on forward foreign currency exchange contracts		3,038
Prepaid expenses		2
Total assets		100,517,535
LIABILITIES:
Payables:
Investment securities purchased		384,534
Capital shares reacquired		234,905
Management fee		28,713
Directors’ fees		4,128
Fund administration		3,281
Unrealized depreciation on forward foreign currency exchange contracts		193
Accrued expenses		134,711
Total liabilities		790,465
Commitments and contingent liabilities
NET ASSETS	$	99,727,070
COMPOSITION OF NET ASSETS:
Paid-in capital	$	102,672,946
Total distributable earnings (loss)		(2,945,876	)
Net Assets	$	99,727,070
Outstanding shares (200 million shares of common stock authorized, $.001 par value)		6,968,569
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares)	$	14.31

See Notes to Financial Statements. 45

Statement of Operations (unaudited)

For the Six Months Ended June 30, 2020

Investment income:
Interest	$	1,619,184
Total investment income		1,619,184
Expenses:
Management fee		173,557
Non 12b-1 service fees		122,721
Shareholder servicing		58,446
Professional		24,655
Fund administration		19,835
Reports to shareholders		12,263
Custody		3,685
Directors’ fees		1,083
Other		8,408
Gross expenses		424,653
Expense reductions (See Note 9)		(761	)
Net expenses		423,892
Net investment income		1,195,292
Net realized and unrealized gain (loss):
Net realized gain (loss) on investments		(525,521	)
Net realized gain (loss) on futures contracts		325,298
Net realized gain (loss) on forward foreign currency exchange contracts		8,981
Net realized gain (loss) on foreign currency related transactions		(477	)
Net change in unrealized appreciation/depreciation on investments		(1,039,676	)
Net change in unrealized appreciation/depreciation on futures contracts		3,163
Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts		4,634
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies		(12	)
Net change in unrealized appreciation/depreciation on unfunded commitments		(75	)
Net realized and unrealized gain (loss)		(1,223,685	)
Net Decrease in Net Assets Resulting From Operations	$	(28,393	)

46 See Notes to Financial Statements.

Statements of Changes in Net Assets

INCREASE (DECREASE) IN NET ASSETS	For the Six Months Ended June 30, 2020 (unaudited)			For the Year Ended December 31, 2019
Operations:
Net investment income	$	1,195,292		$	2,337,794
Net realized gain (loss) on investments and foreign currency related transactions		(191,719	)		297,805
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward currency exchange contracts, unfunded commitments and translation of assets and liabilities denominated in foreign currencies		(1,031,966	)		1,586,329
Net increase (decrease) in net assets resulting from operations		(28,393	)		4,221,928
Distributions to shareholders:		–			(3,238,432	)
Capital share transactions (See Note 15):
Proceeds from sales of shares		24,276,132			39,716,107
Reinvestment of distributions		–			3,238,432
Cost of shares reacquired		(24,627,685	)		(23,028,334	)
Net increase (decrease) in net assets resulting from capital share transactions		(351,553	)		19,926,205
Net increase (decrease) in net assets		(379,946	)		20,909,701
NET ASSETS:
Beginning of period	$	100,107,016		$	79,197,315
End of period	$	99,727,070		$	100,107,016

See Notes to Financial Statements. 47

Financial Highlights

							Per Share Operating Performance:
				Investment operations:										Distributions to shareholders from:
	Net asset value, beginning of period			Net investment income(a)			Net realized and unrealized gain (loss)				Total from investment operations			Net investment income				Return of capital
6/30/2020(c)		$	14.27		$	0.15		$	(0.11	)		$	0.04		$	–			$	–
12/31/2019			14.05			0.38			0.33				0.71			(0.49	)			–
12/31/2018			14.38			0.36			(0.20	)			0.16			(0.49	)			–
12/31/2017			14.57			0.30			0.02				0.32			(0.51	)			–
12/31/2016			14.43			0.33			0.19				0.52			(0.38	)			–
12/31/2015			14.72			0.27			(0.21	)			0.06			(0.34	)			(0.01	)

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales charges or other expenses imposed by an insurance company and assumes the reinvestment of all distributions.
(c)	Unaudited.
(d)	Not annualized.
(e)	Annualized.

48 See Notes to Financial Statements.

											Ratios to Average Net Assets:									Supplemental Data:
Total distri- butions				Net asset value, end of period			Total return (%)(b)			Total expenses after waivers and/or reimbursements (%)				Total expenses (%)			Net investment income (%)			Net assets, end of period (000)			Portfolio turnover rate (%)
	$	–			$	14.31		0.28	(d)			0.86	(e)		0.86	(e)		2.44	(e)		$	99,727		46	(d)
		(0.49	)			14.27		5.06				0.88			0.90			2.66				100,107		56
		(0.49	)			14.05		1.15				0.83			0.92			2.48				79,197		65
		(0.51	)			14.38		2.19				0.80			0.94			2.05				59,888		75
		(0.38	)			14.57		3.47				0.80			1.04			2.21				47,219		69
		(0.35	)			14.43		0.58				0.80			1.45			1.79				21,803		61

See Notes to Financial Statements. 49

Notes to Financial Statements (unaudited)

1. ORGANIZATION  

Lord Abbett Series Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was incorporated under Maryland law in 1989. The Company consists of nine separate portfolios as of June 30, 2020. This report covers Short Duration Income Portfolio (the “Fund”).

The Fund’s investment objective is to seek a high level of income consistent with preservation of capital. The Fund has Variable Contract class shares (“Class VC Shares”), which are currently issued and redeemed only in connection with investments in, and payments under, variable annuity contracts and variable life insurance policies issued by life insurance and insurance-related companies.

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. The Fund is considered an investment company 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 Fund’s Board of Directors (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. The 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. 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. 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. Forward foreign currency exchange contracts are valued using daily forward exchange rates.

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

50

Notes to Financial Statements (unaudited)(continued)

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.

(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 on the Statement of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates.

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

The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s filed U.S. federal tax returns remain open for the fiscal years ended December 31, 2016 through December 31, 2019. The statutes of limitations on the Company’s state and local tax returns may remain open for an additional year depending on jurisdiction.

(e) Expenses–Expenses incurred by the Company that do not specifically relate to an individual fund are generally allocated to the funds within the Company on a pro rata basis by relative net assets.

(f) Foreign Transactions–The books and records of the Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in the Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss) if applicable, is included in Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions, if applicable, are included in Net realized gain (loss) on foreign currency related transactions on the Fund’s Statement of Operations. The Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities

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

(g) Forward Foreign Currency Exchange Contracts–The Fund may enter into forward foreign currency exchange contracts in order to reduce exposure to changes in foreign currency

51

Notes to Financial Statements (unaudited)(continued)

exchange rates on 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, if applicable, in Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts on the Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included, if applicable, in Net realized gain (loss) on forward foreign currency exchange contracts on the Fund’s Statement of Operations.

(h) Futures Contracts–The 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 the Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. The Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract.

(i) When-Issued, Forward Transactions or To-Be-Announced (“TBA”) Transactions–The Fund may purchase portfolio securities on a when-issued or forward basis. When-issued, forward transactions or TBA transactions involve a commitment by a fund to purchase securities, with payment and delivery (“settlement”) to take place in the future, in order to secure what is considered to be an advantageous price or yield at the time of entering into the transaction. During the period between purchase and settlement, the fair value of the securities will fluctuate and assets consisting of cash and/or marketable securities (normally short-term U.S. Government or U.S. Government sponsored enterprise securities) marked to market daily in an amount sufficient to make payment at settlement will be segregated at the Fund’s custodian in order to pay for the commitment. At the time the Fund makes the commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the liability for the purchase and fair value of the security in determining its net asset value (“NAV”). The Fund, generally, has the ability to close out a purchase obligation on or before the settlement date rather than take delivery of the security. Under no circumstances will settlement for such securities take place more than 120 days after the purchase date.

(j) Repurchase Agreements–The Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. The Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, the Fund may incur a loss upon disposition of the securities.

52

Notes to Financial Statements (unaudited)(continued)

(k) Floating Rate Loans–The Fund may invest in floating rate loans, which usually take the form of loan participations and assignments. Loan participations and assignments are agreements to make money available to U.S. or foreign corporations, partnerships or other business entities (the “Borrower”) in a specified amount, at a specified rate and within a specified time. A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent typically administers and enforces the loan on behalf of the other Loan Investors in the syndicate and may hold any collateral on behalf of the Loan Investors. Such loan participations and assignments are typically senior, secured and collateralized in nature. The 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 the Fund invests may be subject to some restrictions on resale. For example, the Fund may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the Borrower. As a result, the Fund assumes the credit risk of the Borrower, the selling participant and any other persons interpositioned between the Fund and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, the Fund may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest.

Unfunded commitments represent the remaining obligation of the Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statement of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments presented on the Statement of Assets and Liabilities represents mark to market of the unfunded portion of the Fund’s floating rate notes. As of June 30, 2020, the Fund had no unfunded loan commitments.

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

53

Notes to Financial Statements (unaudited)(continued)

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

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

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

A summary of inputs used in valuing the Fund’s investments as of June 30, 2020 and, if applicable, Level 3 rollforwards for the six months then ended is included in the 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. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES  

Management Fee

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

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

First $1 billion	.35	%
Next $1 billion	.30	%
Over $2 billion	.25	%

For the six months ended June 30, 2020, the effective management fee, net of waivers, was at an annualized rate of .35% of the Fund’s average daily net assets.

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

The Company, on behalf of the Fund, has entered into services arrangements with certain insurance companies. Under these arrangements, certain insurance companies will be compensated up to ..25% of the average daily NAV of the Fund’s Class VC Shares held in the insurance company’s separate account to service and maintain the Variable Contract owners’ accounts. This amount is included in Non 12b-1 service fees on the Statement of Operations. The Fund may also compensate certain insurance companies, third-party administrators and other entities for providing recordkeeping, sub-transfer agency and other administrative services to the Fund. This amount is included in Shareholder servicing on the Statement of Operations.

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 and paid at least semi-annually. 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

54

Notes to Financial Statements (unaudited)(continued)

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, 2020 and fiscal year ended December 31, 2019 was as follows:

	Six Months Ended 6/30/2020 (unaudited)		Year Ended 12/31/2019
Distributions paid from:
Ordinary income	$	–	$	3,238,432
Total distributions paid	$	–	$	3,238,432

As of December 31, 2019, the Fund had a capital loss carryforward of $2,064,811, which will carryforward indefinitely.

As of June 30, 2020, 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:

Tax cost	$	101,054,748
Gross unrealized gain		1,633,966
Gross unrealized loss		(3,514,740	)
Net unrealized security loss	$	(1,880,774	)

The difference between book-basis unrealized gains (losses) is primarily attributable to the tax treatment of other financial instruments, and 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, 2020 were as follows:

U.S. Government Purchases*		Non-U.S. Government Purchases		U.S. Government Sales*		Non-U.S. Government Sales
	$16,663,281		$31,001,544		$18,428,679		$25,217,381

* Includes U.S. Government sponsored enterprises securities.

The 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, 2020, the Fund engaged in cross-trades purchases of $443,572 and sales of $148,255 which resulted in net realized gains of $3,193.

55

Notes to Financial Statements (unaudited)(continued)

6. DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES  

The Fund entered into forward foreign currency exchange contracts for the six months ended June 30, 2020 (as described in note 2(g)). A forward foreign currency exchange contract reduces the Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. The Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and the Fund’s returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. The Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts and deposits with brokers as collateral.

The Fund entered into U.S. Treasury futures contracts for the six months ended June 30, 2020 (as described in note 2(h)) to hedge against changes in interest rates. The Fund bears the risk of interest rates moving unexpectedly, in which case the Fund may not achieve the anticipated benefits of the futures contracts and realize a loss. There is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default.

As of June 30, 2020, the Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Fund’s use of derivative instruments:

Asset Derivatives	Interest Rate Contracts		Foreign Currency Contracts
Forward Foreign Currency Exchange Contracts(1)		–	$	3,038
Futures Contracts(2)	$	10,767		–
Liability Derivatives
Forward Foreign Currency Exchange Contracts(3)		–	$	193
Futures Contracts(2)	$	12,525		–

(1)	Statement of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts.
(2)	Statement of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation on futures contracts as reported in the Schedule of Investments. Only current day’s variation margin reported is within the Statement of Assets and Liabilities.
(3)	Statement of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts.

56

Notes to Financial Statements (unaudited)(continued)

Transactions in derivative instruments for the six months ended June 30, 2020, were as follows:

	Interest Rate Contracts		Forward Currency Contracts
Net Realized Gain (Loss)
Forward Foreign Currency Exchange Contracts(1)		–	$	8,981
Futures Contracts(2)	$	325,298		–
Net Change in Unrealized Appreciation/Depreciation
Forward Foreign Currency Exchange Contracts(3)		–	$	4,634
Futures Contracts(4)	$	3,163		–
Average Number of Contracts/Notional Amounts*
Forward Foreign Currency Exchange Contracts(5)		–	$	198,419
Futures Contracts(6)	$	157		–

*	Calculated based on the number of contracts or notional amounts for the six months ended June 30, 2020.
(1)	Statement of Operations location: Net realized loss on forward foreign currency exchange contracts.
(2)	Statement of Operations location: Net realized gain on futures contracts.
(3)	Statement of Operations location: Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts.
(4)	Statement of Operations location: Net change in unrealized appreciation/depreciation on futures contracts.
(5)	Amount represents notional amounts in U.S. dollars.
(6)	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 Statement of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Fund’s accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty:

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		$3,038	$	–		$3,038
Repurchase Agreement		823,062		–		823,062
Total		$826,100	$	–		$826,100

57

Notes to Financial Statements (unaudited)(continued)

	Net Amounts
	of Assets		Amounts Not Offset in the
	Presented in		Statement of Assets and Liabilities
	the Statement				Cash		Securities
	of Assets and		Financial		Collateral		Collateral			Net
Counterparty	Liabilities		Instruments		Received(a)		Received(a)			Amount(b)
Fixed Income Clearing Corp.	$	823,062	$	–	$	–	$	(823,062	)	$	–
Morgan Stanley		3,038		–		–		–			3,038
Total	$	826,100	$	–	$	–	$	(823,062	)	$	3,038

			Gross Amounts		Net Amounts of
			Offset in the		Liabilities Presented
	Gross Amounts of		Statement of Assets		in the Statement of
Description	Recognized Liabilities		and Liabilities		Assets and Liabilities
Forward Foreign Currency Exchange Contracts		$193	$	–		$193
Total		$193	$	–		$193

	Net Amounts
	of Liabilities		Amounts Not Offset in the
	Presented in		Statement of Assets and Liabilities
	the Statement				Cash		Securities
	of Assets and		Financial		Collateral		Collateral		Net
Counterparty	Liabilities		Instruments		Pledged(a)		Pledged(a)		Amount(c)
Toronto Dominion Bank		$193	$	–	$	–	$	–		$193
Total		$193	$	–	$	–	$	–		$193

(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, 2020.
(c)	Net amount represents the amount owed by the Fund by the counterparty as of June 30, 2020.

8. DIRECTORS’ REMUNERATION  

The Company’s officers and 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 Statement of Operations and in Directors’ fees payable on the Statement of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.

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 the Fund’s expenses.

10. LINE OF CREDIT  

For the period ended June 30, 2020, the Fund and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $1.17 billion (the “Syndicated Facility”) whereas State Street Bank and Trust Company

58

Notes to Financial Statements (unaudited)(continued)

(“SSB”) participated as a lender and as agent for the lenders. The Participating Funds were subject to graduated borrowing limits of one third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $350 million, $500 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors. Effective August 6, 2020, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $600 million, or $900 million, based on past borrowings and likelihood of future borrowings, among other factors.

For the period ended June 30, 2020, the Participating Funds were party to an additional line of credit facility with SSB for $330 million (the “Bilateral Facility”), $250 million committed and $80 million uncommitted. Under the Bilateral Facility, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if net 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 Syndicated Facility and the Bilateral Facility are to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions.

For the six months ended June 30, 2020, the Fund did not utilize the Facilities.

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.

For the six months ended June 30, 2020, the Fund did not participate as a borrower or lender in the Interfund Lending Program.

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 the Fund’s NAV.

13. SECURITIES LENDING AGREEMENT  

The Fund has established a securities lending agreement with Citibank, N.A. for the lending of securities to qualified brokers in exchange for securities or cash collateral equal to at least the market value of securities loaned, plus interest, if applicable. Cash collateral is invested in an approved money market fund. In accordance with the Fund’s securities lending agreement, the market value of securities on loan is determined each day at the close of business and any additional collateral required to cover the value of securities on loan is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Such income earned from securities lending is included in Securities Lending Income on the Statement of Operations.

As of June 30, 2020, the Fund did not loan any securities.

59

Notes to Financial Statements (unaudited)(continued)

14. INVESTMENT RISKS  

The Fund is subject to the general risks and considerations associated with investing in fixed income securities, including the risk that issuers will fail to make timely payments of principal or interest or default altogether. The value of an investment will change as interest rates fluctuate and in response to market movements. When interest rates rise, the prices of fixed income securities are likely to decline; when interest rates fall, such prices tend to rise. Longer-term securities are usually more sensitive to interest rate changes. There is also the risk that an issuer of a fixed income security will fail to make timely payments of principal and/or interest to the Fund, a risk that is greater with high-yield bonds (sometimes called “junk bonds”) in which the Fund may substantially invest. Some issuers, particularly of high-yield bonds, may default as to principal and/or interest payments after the Fund purchases its securities. A default, or concerns in the market about an increase in risk of default, may result in losses to the Fund. High-yield bonds are subject to greater price fluctuations, as well as additional risks. The 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.

The Fund is subject to the general risks and considerations associated with investing in convertible securities, which have both equity and fixed income risk characteristics, including market, credit, liquidity, and interest rate risks. 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 markets 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.

The Fund’s investment exposure to foreign (which may include emerging market) companies presents increased market, liquidity, currency, political, information and other risks. As compared with companies organized and operated in the U.S., these companies may be more vulnerable to economic, political and social instability and subject to less government supervision, lack of transparency, inadequate regulatory and accounting standards, and foreign taxes. The securities of foreign companies also may be subject to inadequate exchange control regulations, the imposition of economic sanctions or other government restrictions, higher transaction and other costs, and delays in settlement to the extent they are traded on non-U.S. exchanges or markets. The cost of the 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.

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

60

Notes to Financial Statements (unaudited)(continued)

The Fund may invest in swap contracts. Swap contracts are bi-lateral agreements between a fund and its counterparty. Each party is exposed to the risk of default by the other. In addition, they may involve a small investment of cash compared to the risk assumed with the result that small changes may produce disproportionate and substantial gains or losses to the Fund.

The Fund may invest in credit default swap contracts. The risks associated with the Fund’s investment in credit default swaps are greater than if the Fund invested directly in the reference obligation because they are subject to illiquidity risk, counterparty risk, and credit risk at both the counterparty and underlying issuer levels.

The Fund may invest in floating rate or adjustable rate 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 the Fund may invest 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.

The Fund is subject to the risk of investing a significant portion of its assets 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, the Fund may be required to look principally to the agency issuing or guaranteeing the obligation. In addition, the Fund may invest in non-agency backed and mortgage related securities, which are issued by the private institutions, not by the government-sponsored enterprises. Such securities may be particularly sensitive to changes in economic conditions, including delinquencies and/or defaults, and changes in prevailing interest rates. These changes can affect the value, income and/or liquidity of such positions. When interest rates are declining, the value of these securities with prepayment features may not increase as much as other fixed income securities. Early principal repayment may deprive the Fund of income payments above current markets rates. The prepayment rate also will affect the price and volatility of a mortgage-related security. In addition, securities of government sponsored enterprises are guaranteed with respect to the timely payment of interest and principal by the particular enterprise involved, not by the U.S. Government.

Geopolitical and other events (e.g., wars, terrorism, natural disasters, epidemics or pandemics such as the COVID-19 outbreak which began in late 2019) may disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Fund’s investments. Market disruptions can also prevent the Fund from implementing its investment strategies and achieving its investment objective.

These factors can affect the Fund’s performance.

61

Notes to Financial Statements (unaudited)(concluded)

15. SUMMARY OF CAPITAL TRANSACTIONS  

Transactions in shares of capital stock were as follows:

	Six Months Ended June 30, 2020 (unaudited		)	Year Ended December 31, 2019
Shares sold		1,721,012			2,752,920
Reinvestment of distributions		–			227,258
Shares reacquired		(1,766,370	)		(1,603,166	)
Increase (decrease)		(45,358	)		1,377,012

62

Liquidity Risk Management Program

Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a Liquidity Risk Management Program and Policy (“Program”). The Program is designed to assess, manage and periodically review the Fund’s liquidity risk. Liquidity risk is defined under Rule 22e-4 as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.

The Board has appointed Lord Abbett as the administrator for the Fund’s Program. At the May 28-29, 2020 meeting, Lord Abbett provided the Board with a report addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018 through February 28, 2020. Lord Abbett reported that the Program operated effectively during the period. In particular, Lord Abbett reported that: the Fund did not breach its 15% limit on illiquid investments at any point during the period and all regulatory reporting related to Rule 22e-4 was completed on time and without issue during the period.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

Householding

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

Proxy Voting Policies, Procedures and Records

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

Shareholder Reports and Quarterly Portfolio Disclosure

The Fund is required to file its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters as an attachment to Form N-PORT. 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.

63

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 Series Fund, Inc.
Lord Abbett mutual fund shares are distributed by		SFSDI-PORT-3
LORD ABBETT DISTRIBUTOR LLC.	Short Duration Income Portfolio	(08/20)

LORD ABBETT
SEMIANNUAL REPORT

Lord Abbett

Series Fund—Total Return Portfolio

For the six-month period ended June 30, 2020

Table of Contents

1	A Letter to Shareholders
2	Information About Your Fund’s Expenses and Holdings Presented by Sector
4	Schedule of Investments
29	Statement of Assets and Liabilities
30	Statement of Operations
31	Statements of Changes in Net Assets
32	Financial Highlights
34	Notes to Financial Statements
45	Supplemental Information to Shareholders

Lord Abbett Series Fund — Total Return Portfolio
Semiannual Report

For the six-month period ended June 30, 2020

  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 Lord Abbett Series Fund – Total Return Portfolio for the six-month period ended June 30, 2020. For additional information about the Fund, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Fund’s portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website. Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.   Best regards,       Douglas B. Sieg Director, President, and Chief Executive Officer

1

Expense Example

As a shareholder of the Fund, you incur ongoing costs, including management fees; expenses related to the Fund’s services arrangements with certain insurance companies; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2020 through June 30, 2020).

The Example reflects only expenses that are deducted from the assets of the Fund. Fees and expenses, including sales charges applicable to the various insurance products that invest in the Fund, are not reflected in this Example. If such fees and expenses were reflected in the Example, the total expenses shown would be higher. Fees and expenses regarding such variable insurance products are separately described in the prospectus related to those products.

Actual Expenses

The first line of the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 1/1/20 – 6/30/20” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

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

2

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges. 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†
			1/1/20 -
	1/1/20	6/30/20	6/30/20
Class VC
Actual	$1,000.00	$1,036.80	$3.65
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.28	$3.62

^† Net expenses are equal to the Fund’s annualized expense ratio of 0.72% multiplied by the average account value over the period, multiplied by 182/366 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

June 30, 2020

Sector*	%**
Auto	1.00	%
Basic Industry	0.08	%
Capital Goods	0.47	%
Consumer Cyclical	1.50	%
Consumer Discretionary	0.64	%
Consumer Services	1.41	%
Consumer Staples	1.07	%
Energy	3.73	%
Financial Services	28.78	%
Foreign Government	2.25	%
Health Care	4.96	%
Integrated Oils	0.59	%
Materials & Processing	2.75	%
Municipal	0.68	%
Producer Durables	1.70	%
Technology	3.28	%
Telecommunications	0.63	%
Transportation	0.43	%
U.S. Government	40.29	%
Utilities	3.20	%
Repurchase Agreement	0.56	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.

3

Schedule of Investments (unaudited)

June 30, 2020

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
LONG-TERM INVESTMENTS 119.87%
ASSET-BACKED SECURITIES 17.28%
Automobiles 5.81%
ACC Trust 2018-1 B†	4.82%		5/20/2021	$	85	$	84,653
ACC Trust 2019-1 B†	4.47%		10/20/2022		469		452,237	(a)
Ally Auto Receivables Trust 2019-4 A2	1.93%		10/17/2022		1,526		1,533,861
American Credit Acceptance Receivables Trust 2019-2 B†	3.05%		5/12/2023		1,089		1,097,250
AmeriCredit Automobile Receivables Trust 2016-2 C	2.87%		11/8/2021		332		331,867
AmeriCredit Automobile Receivables Trust 2018-3 A2A	3.11%		1/18/2022		5		5,238
AmeriCredit Automobile Receivables Trust 2018-3 A2B	0.444% (1 Mo. LIBOR + .25%	)#	1/18/2022		5		5,231
AmeriCredit Automobile Receivables Trust 2019-1 A2A	2.93%		6/20/2022		251		251,847
AmeriCredit Automobile Receivables Trust 2019-1 A2B	0.454% (1 Mo. LIBOR + .26%	)#	6/20/2022		277		277,407
Avid Automobile Receivables Trust 2019-1 A†	2.62%		2/15/2024		666		672,901
Avid Automobile Receivables Trust 2019-1 B†	2.82%		7/15/2026		500		507,990
Avid Automobile Receivables Trust 2019-1 C†	3.14%		7/15/2026		500		505,607
BMW Vehicle Lease Trust 2019-1 A2	2.79%		3/22/2021		273		273,551
BMW Vehicle Owner Trust 2019-A A2	2.05%		5/25/2022		1,460		1,469,542
Capital Auto Receivables Asset Trust 2018-1 A3†	2.79%		1/20/2022		490		492,229
CarMax Auto Owner Trust 2019-3 A2A	2.21%		12/15/2022		446		449,878
Carmax Auto Owner Trust 2019-4 2019-4 A2A	2.01%		3/15/2023		1,604		1,618,520
Chesapeake Funding II LLC 2017-2A A1†	1.99%		5/15/2029		144		144,189
Chesapeake Funding II LLC 2017-3A A1†	1.91%		8/15/2029		371		372,741
CPS Auto Receivables Trust 2018-A B†	2.77%		4/18/2022		5		5,473
CPS Auto Receivables Trust 2018-A C†	3.05%		12/15/2023		260		261,627
CPS Auto Receivables Trust 2018-B D†	4.26%		3/15/2024		417		425,400
CPS Auto Receivables Trust 2019-B E†	5.00%		3/17/2025		575		574,352
CPS Auto Trust 2018-C B†	3.43%		7/15/2022		166		166,477
Drive Auto Receivables Trust 2016-BA D†	4.53%		8/15/2023		325		327,821
Drive Auto Receivables Trust 2016-CA D†	4.18%		3/15/2024		169		171,262
Drive Auto Receivables Trust 2017-AA D†	4.16%		5/15/2024		341		345,771
Drive Auto Receivables Trust 2017-BA E†	5.30%		7/15/2024		2,100		2,156,161
Drive Auto Receivables Trust 2018-2 C	3.63%		8/15/2024		126		126,753
Drive Auto Receivables Trust 2019-3 A2A	2.63%		9/15/2022		169		169,559

4 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date	(000)		Value
Automobiles (continued)
Enterprise Fleet Financing LLC 2018-1 A2†	2.87%	10/20/2023	$	161	$	162,086
Exeter Automobile Receivables Trust 2020-2 2020-2A A†	1.13%	8/15/2023		790		791,237
First Investors Auto Owner Trust 2017-3A A2†	2.41%	12/15/2022		146		146,492
First Investors Auto Owner Trust 2018-2A A1†	3.23%	12/15/2022		110		110,366
Flagship Credit Auto Trust 2017-3 B†	2.59%	7/15/2022		165		166,070
Flagship Credit Auto Trust 2017-4 A†	2.07%	4/15/2022		4		4,023
Flagship Credit Auto Trust 2018-1 A†	2.59%	6/15/2022		67		66,969
Flagship Credit Auto Trust 2018-3 A†	3.07%	2/15/2023		645		650,015
Flagship Credit Auto Trust 2018-3 B†	3.59%	12/16/2024		725		742,128
Flagship Credit Auto Trust 2020-2 A†	1.49%	7/15/2024		440		442,306
Ford Credit Auto Owner Trust 2017-B A3	1.69%	11/15/2021		455		456,043
Ford Credit Auto Owner Trust 2019-C A2A	1.88%	7/15/2022		2,522		2,538,871
Ford Credit Auto Owner Trust 2020-A A2	1.03%	10/15/2022		317		318,449
Ford Credit Auto Owner Trust 2020-B 2020-B A2	0.50%	2/15/2023		2,710		2,711,635
Foursight Capital Automobile Receivables Trust 2018-1 A3†	3.24%	9/15/2022		276		276,797
Foursight Capital Automobile Receivables Trust 2018-1 B†	3.53%	4/17/2023		412		419,371
Foursight Capital Automobile Receivables Trust 2018-1 C†	3.68%	8/15/2023		194		199,823
Honda Auto Receivables Owner Trust 2019-1 A2	2.75%	9/20/2021		875		879,352
Honda Auto Receivables Owner Trust 2020-2 A2	0.74%	11/15/2022		954		957,052
Hyundai Auto Receivables Trust 2019-B A2	1.93%	7/15/2022		492		495,781
Mercedes-Benz Auto Lease Trust 2018-B A3	3.21%	9/15/2021		174		175,623
Mercedes-Benz Auto Lease Trust 2019-A A3	3.10%	11/15/2021		463		467,545
Nissan Auto Receivables Owner Trust 2016-A A4	1.59%	7/15/2022		282		281,834
Santander Drive Auto Receivables Trust 2017-3 C	2.76%	12/15/2022		100		99,994
Santander Retail Auto Lease Trust 2019-B A2A†	2.29%	4/20/2022		283		285,505
TCF Auto Receivables Owner Trust 2016-PT1A B†	2.92%	10/17/2022		598		603,525
Toyota Auto Receivables 2017-A Owner Trust 2017-A A4	2.10%	9/15/2022		940		945,464
Westlake Automobile Receivables Trust 2020-1A C†	2.52%	4/15/2025		1,394		1,414,120
Westlake Automobile Receivables Trust 2020-2 2020-2A A2A†	0.93%	2/15/2024		3,627		3,629,643
Wheels SPV 2 LLC 2018-1A A2†	3.06%	4/20/2027		171		172,111
World Omni Auto Receivables Trust 2018-D A2A	3.01%	4/15/2022		307		308,521
Total						36,196,146

See Notes to Financial Statements. 5

Schedule of Investments (unaudited)(continued)

June 30, 2020

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
Credit Cards 3.90%
American Express Credit Account Master Trust 2018-6 A	3.06%		2/15/2024	$	5,294	$	5,441,021
American Express Credit Account Master Trust 2019-3 B	2.20%		4/15/2025		3,068		3,177,289
Capital One Multi-Asset Execution Trust 2019-A3 A3	2.06%		8/15/2028		1,069		1,142,372
Citibank Credit Card Issuance Trust 2017-A8	1.86%		8/8/2022		5,304		5,311,599
Citibank Credit Card Issuance Trust 2018-A1	2.49%		1/20/2023		1,044		1,056,538
Trillium Credit Card Trust II 2018-2A A†	0.53% (1 Mo. LIBOR + .35%	)#	9/26/2023		591		590,974
World Financial Network Credit Card Master Trust 2017-C M	2.66%		8/15/2024		946		949,447
World Financial Network Credit Card Master Trust 2019-B A	2.49%		4/15/2026		3,261		3,337,228
World Financial Network Credit Card Master Trust 2019-C A	2.21%		7/15/2026		3,261		3,328,988
Total							24,335,456
Home Equity 0.00%
Meritage Mortgage Loan Trust 2004-2 M3	1.16% (1 Mo. LIBOR + .98%	)#	1/25/2035		2		1,877
New Century Home Equity Loan Trust 2005-A A6	4.676%		8/25/2035		11		11,017
Total							12,894
Other 7.57%
Ally Master Owner Trust 2018-3 A	0.505% (1 Mo. LIBOR + .32%	)#	7/15/2022		417		417,141
ALM VII Ltd. 2012-7A A2R2†	3.069% (3 Mo. LIBOR +1.85%	)#	7/15/2029		1,468		1,440,374
ALM VII Ltd. 2012-7A CR2†	4.769% (3 Mo. LIBOR+ 3.55%	)#	7/15/2029		373		352,533
Ares XLI Clo Ltd. 2016-41A AR†	2.419% (3 Mo. LIBOR + 1.20%	)#	1/15/2029		2,400		2,359,797
Ares XLI CLO Ltd. 2016-41A B†	3.019% (3 Mo. LIBOR + 1.80%	)#	1/15/2029		600		587,347
Ascentium Equipment Receivables Trust 2017-1A A3†	2.29%		6/10/2021		41		41,328
Avery Point IV CLO Ltd. 2014-1A BR†	2.591% (3 Mo. LIBOR + 1.60%	)#	4/25/2026		322		320,114
Avery Point VII CLO Ltd. 2015-7A CR†	3.669% (3 Mo. LIBOR + 2.45%	)#	1/15/2028		400		394,482

6 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
Other (continued)
BSPRT Issuer Ltd. 2018-FL4 A†	1.235% (1 Mo. LIBOR + 1.05%	)#	9/15/2035	$	930	$	912,072
Cedar Funding VI CLO Ltd. 2016-6A BR†	2.735% (3 Mo. LIBOR + 1.60%	)#	10/20/2028		650		625,956
Cent CLO Ltd. 2013-19A A1A†	2.171% (3 Mo. LIBOR + 1.33%	)#	10/29/2025		308		307,222
Conn’s Receivables Funding LLC 2017-B C†	5.95%		11/15/2022		291		291,078
Diamond Resorts Owner Trust 2016-1 A†	3.08%		11/20/2028		34		33,753
Diamond Resorts Owner Trust 2017-1A B†	4.11%		10/22/2029		239		234,794
DRB Prime Student Loan Trust 2015-D A2†	3.20%		1/25/2040		373		378,674
Fairstone Financial Issuance Trust I 2019-1A B†(b)	5.084%		3/21/2033	CAD	500		365,362	(a)
Ford Credit Floorplan Master Owner Trust 2015-5 A1	2.42%		8/15/2022	$	1,261		1,263,417
Halcyon Loan Advisors Funding Ltd. 2015-2A CR†	3.141% (3 Mo. LIBOR + 2.15%	)#	7/25/2027		250		240,723	(a)
Hardee’s Funding LLC 2018-1A A23†	5.71%		6/20/2048		872		877,181
Hardee’s Funding LLC 2018-1A A2II†	4.959%		6/20/2048		1,150		1,139,398
Jamestown CLO IX Ltd. 2016-9A BR†	3.785% (3 Mo. LIBOR + 2.65%	)#	10/20/2028		750		736,060
Jamestown CLO VII Ltd. 2015-7A CR†	3.591% (3 Mo. LIBOR + 2.60%	)#	7/25/2027		611		561,353	(a)
Kayne CLO 7 Ltd. 2020-7A A1†	2.607% (3 Mo. LIBOR + 1.20%	)#	4/17/2033		1,822		1,763,086
KKR CLO Ltd.18 B†	2.835% (3 Mo. LIBOR + 1.70%	)#	7/18/2030		920		883,696
KVK CLO Ltd. 2016-1A B†	3.469% (3 Mo. LIBOR + 2.25%	)#	1/15/2029		2,756		2,704,547
LCM XXIV Ltd. 24A A†	2.445% (3 Mo. LIBOR + 1.31%	)#	3/20/2030		679		665,463
Longtrain Leasing III LLC 2015-1A A2†	4.06%		1/15/2045		738		748,949
Marble Point CLO XVII Ltd. 2020-1A A†	2.196% (3 Mo. LIBOR + 1.30%	)#	4/20/2033		1,135		1,107,115
Massachusetts Educational Financing Authority 2008-1 A1	1.941% (3 Mo. LIBOR + .95%	)#	4/25/2038		422		411,767
ME Funding LLC 2019-1 A2†	6.448%		7/30/2049		2,002		1,659,544
Mountain Hawk III CLO Ltd. 2014-3A AR†	2.335% (3 Mo. LIBOR + 1.20%	)#	4/18/2025		507		504,622
Mountain View CLO LLC 2017-1A AR†	2.266% (3 Mo. LIBOR + 1.09%	)#	10/16/2029		1,047		1,023,982
Mountain View CLO X Ltd. 2015-10A BR†	2.661% (3 Mo. LIBOR + 1.35%	)#	10/13/2027		623		594,630
Mountain View CLO XIV Ltd. 2019-1A A1†	2.709% (3 Mo. LIBOR + 1.49%	)#	4/15/2029		1,422		1,406,609
Navient Private Education Refi Loan Trust 2018-DA A2A†	4.00%		12/15/2059		570		600,777

See Notes to Financial Statements. 7

Schedule of Investments (unaudited)(continued)

June 30, 2020

				Principal
	Interest		Maturity	Amount			Fair
Investments	Rate		Date	(000)			Value
Other (continued)
Northwoods Capital 20 Ltd. 2019-20A C†	4.701% (3 Mo. LIBOR + 2.80%	)#	1/25/2030	$	603		$	599,299
Northwoods Capital 20 Ltd. 2019-20A D†	6.151% (3 Mo. LIBOR + 4.25%	)#	1/25/2030		698			677,710	(a)
Octagon Investment Partners 29 Ltd. 2016-1A AR†	2.20% (3 Mo. LIBOR + 1.18%	)#	1/24/2033		1,028			993,355
Orec Ltd. 2018-CRE1 A†	1.365% (1 Mo. LIBOR + 1.18%	)#	6/15/2036		1,030			992,499
Palmer Square Loan Funding Ltd. 2018-1A A1†	1.819% (3 Mo. LIBOR + .60%	)#	4/15/2026		541			536,665
Palmer Square Loan Funding Ltd. 2018-1A A2†	2.269% (3 Mo. LIBOR + 1.05%	)#	4/15/2026		414			403,138
Palmer Square Loan Funding Ltd. 2018-1A B†	2.619% (3 Mo. LIBOR + 1.40%	)#	4/15/2026		314			299,634
Palmer Square Loan Funding Ltd. 2018-5A A2†	2.535% (3 Mo. LIBOR + 1.40%	)#	1/20/2027		255			248,856
Pennsylvania Higher Education Assistance Agency 2006-1 B	1.261% (3 Mo. LIBOR + .27%	)#	4/25/2038		236			218,794
PFS Financing Corp. 2018-B†	3.08%		2/15/2023		469			467,538
Planet Fitness Master Issuer LLC 2019-1A A2†	3.858%		12/5/2049		613			530,636
Salem Fields CLO Ltd. 2016-2A A1R†	2.141% (3 Mo. LIBOR + 1.15%	)#	10/25/2028		1,153			1,133,600
SCF Equipment Leasing LLC 2017-2A A†	3.41%		12/20/2023		171			171,870
SCF Equipment Leasing LLC 2018-1A A2†	3.63%		10/20/2024		497			500,961
SCF Equipment Leasing LLC 2019-1A C†	3.92%		11/20/2026		2,132			2,023,563
SCF Equipment Leasing LLC 2019-2A B†	2.76%		8/20/2026		1,442			1,398,225
SCF Equipment Leasing LLC 2019-2A C†	3.11%		6/21/2027		1,046			932,101
Shackleton CLO Ltd. 2016-9A B†	3.035% (3 Mo. LIBOR + 1.90%	)#	10/20/2028		499			482,138
Shackleton CLO Ltd. 2019-14A A2†	3.035% (3 Mo. LIBOR + 1.90%	)#	7/20/2030		1,687			1,638,291
SLC Student Loan Trust 2008-1 A4A	1.913% (3 Mo. LIBOR + 1.60%	)#	12/15/2032		1,044			1,032,809
SLM Student Loan Trust 2011-1 A1	0.705% (1 Mo. LIBOR + .52%	)#	3/25/2026		–	(c)		137
Sound Point CLO XI Ltd. 2016-1A AR†	2.235% (3 Mo. LIBOR + 1.10%	)#	7/20/2028		591			583,100
Sound Point CLO XV Ltd. 2017-1A C†	3.543% (3 Mo. LIBOR + 2.50%	)#	1/23/2029		570			548,134
Towd Point Asset Trust 2018-SL1 A†	0.768% (1 Mo. LIBOR + .60%	)#	1/25/2046		647			631,913

8 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
Other (continued)
TPG Real Estate Finance Issuer Ltd. 2018-FL2 A†		1.324% (1 Mo. LIBOR + 1.13%	)#	11/15/2037	$	1,050	$	1,035,758
Westgate Resorts LLC 2018-1A A†		3.38%		12/20/2031		244		245,477
Wingstop Funding LLC 2018-1 A2†		4.97%		12/5/2048		842		878,231
Total								47,159,378
Total Asset-Backed Securities (cost $108,620,091)								107,703,874
CORPORATE BONDS 44.60%
Aerospace/Defense 1.32%
BAE Systems plc (United Kingdom)†(d)		3.40%		4/15/2030		1,273		1,391,159
Boeing Co. (The)		4.875%		5/1/2025		1,637		1,784,350
Boeing Co. (The)		5.04%		5/1/2027		1,402		1,548,092
Kratos Defense & Security Solutions, Inc.†		6.50%		11/30/2025		156		162,419
Raytheon Technologies Corp.		2.25%		7/1/2030		1,724		1,802,427
Signature Aviation US Holdings, Inc.†		4.00%		3/1/2028		963		871,939
TransDigm, Inc.		6.375%		6/15/2026		702		642,864
Total								8,203,250
Air Transportation 0.21%
Delta Air Lines, Inc.†		7.00%		5/1/2025		1,287		1,329,881
Apparel 0.20%
PVH Corp.		7.75%		11/15/2023		561		612,128
William Carter Co. (The)†		5.50%		5/15/2025		611		631,239
Total								1,243,367
Auto Parts & Equipment 0.17%
American Axle & Manufacturing, Inc.		6.50%		4/1/2027		705		685,609
Clarios Global LP/Clarios U.S. Finance Co.†		8.50%		5/15/2027		352		354,631
Total								1,040,240
Auto Parts: Original Equipment 0.15%
BorgWarner, Inc.		2.65%		7/1/2027		428		438,921
ZF North America Capital, Inc.†		4.75%		4/29/2025		517		518,877
Total								957,798
Automotive 0.89%
Aston Martin Capital Holdings Ltd. (Jersey)†(d)		6.50%		4/15/2022		400		361,600
Ford Motor Co.		7.45%		7/16/2031		1,072		1,132,380
General Motors Financial Co., Inc.		3.60%		6/21/2030		2,135		2,077,194

See Notes to Financial Statements. 9

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
Automotive (continued)
Navistar International Corp.†		9.50%		5/1/2025	$	548	$	589,443
Tesla, Inc.†		5.30%		8/15/2025		656		656,069
Volkswagen Group of America Finance LLC†		3.125%		5/12/2023		681		716,725
Total								5,533,411
Banks: Regional 5.87%
Akbank T.A.S. (Turkey)†(d)		5.00%		10/24/2022		385		382,931
Banco de Credito e Inversiones SA (Chile)†(d)		3.50%		10/12/2027		535		563,624
Banco do Brasil SA†		4.625%		1/15/2025		630		653,625
Bank of America Corp.		3.593% (3 Mo. LIBOR + 1.37%	)#	7/21/2028		1,990		2,236,906
Bank of America Corp.		3.95%		4/21/2025		250		276,810
Bank of America Corp.		3.97% (3 Mo. LIBOR+ 1.07%	)#	3/5/2029		864		991,001
Bank of America Corp.		4.00%		1/22/2025		728		803,966
Bank of America Corp.		4.45%		3/3/2026		315		361,960
Citigroup, Inc.		2.666% (SOFR + 1.15%	)#	1/29/2031		816		847,884
Citigroup, Inc.		3.887% (3 Mo. LIBOR + 1.56%	)#	1/10/2028		959		1,081,436
Citigroup, Inc.		3.98% (3 Mo. LIBOR + 1.34%	)#	3/20/2030		1,294		1,484,390
Citigroup, Inc.		4.45%		9/29/2027		552		629,452
Goldman Sachs Group, Inc. (The)		1.11% (3 Mo. LIBOR + .75%	)#	2/23/2023		786		782,613
Goldman Sachs Group, Inc. (The)		1.54% (3 Mo. LIBOR + .78%	)#	10/31/2022		860		859,923
JPMorgan Chase & Co.		3.54% (3 Mo. LIBOR + 1.38%	)#	5/1/2028		553		617,845
JPMorgan Chase & Co.		3.782% (3 Mo. LIBOR + 1.34%	)#	2/1/2028		4,159		4,715,042
Kookmin Bank (South Korea)†(d)		1.75%		5/4/2025		760		777,499
Macquarie Group Ltd. (Australia)†(d)		4.654% (3 Mo. LIBOR + 1.73%	)#	3/27/2029		1,431		1,618,510
Morgan Stanley		3.625%		1/20/2027		1,405		1,587,437
Morgan Stanley		3.875%		1/27/2026		1,525		1,726,398
Morgan Stanley		7.25%		4/1/2032		84		126,674
National Securities Clearing Corp.†		1.50%		4/23/2025		924		945,682
Popular, Inc.		6.125%		9/14/2023		107		108,460
Santander UK plc (United Kingdom)(d)		7.95%		10/26/2029		902		1,211,308
Toronto-Dominion Bank (The) (Canada)(d)		3.625% (5 Yr. Swap rate + 2.21%	)#	9/15/2031		1,378		1,540,149
Truist Bank		2.25%		3/11/2030		637		644,144
Turkiye Garanti Bankasi AS (Turkey)†(d)		5.875%		3/16/2023		700		702,282
UBS AG (Switzerland)(d)		5.125%		5/15/2024		1,399		1,522,653
Wachovia Corp.		7.574%		8/1/2026		660		843,052
Wells Fargo & Co.		2.393% (SOFRRATE + 2.10%	)#	6/2/2028		5,749		5,944,549
Total								36,588,205

10 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Beverages 0.37%
Anheuser-Busch InBev Worldwide, Inc.		3.50%	6/1/2030	$	1,009	$	1,136,637
Becle SAB de CV (Mexico)†(d)		3.75%	5/13/2025		350		371,667
Constellation Brands, Inc.		2.875%	5/1/2030		432		458,778
Fomento Economico Mexicano SAB de CV (Mexico)(d)		4.375%	5/10/2043		300		363,679
Total							2,330,761
Biotechnology Research & Production 0.50%
Biogen, Inc.		2.25%	5/1/2030		3,106		3,141,148
Building Materials 0.30%
Carrier Global Corp.†		2.493%	2/15/2027		724		738,506
Cemex SAB de CV (Mexico)†(d)		5.45%	11/19/2029		620		573,277
Griffon Corp.		5.75%	3/1/2028		587		581,130
Total							1,892,913
Business Services 0.97%
Adani Ports & Special Economic Zone Ltd. (India)†(d)		4.00%	7/30/2027		275		265,147
Ahern Rentals, Inc.†		7.375%	5/15/2023		609		294,540
CoStar Group, Inc.†(e)		2.80%	7/15/2030		381		390,640
Garda World Security Corp. (Canada)†(d)		9.50%	11/1/2027		612		648,224
Global Payments, Inc.		3.20%	8/15/2029		501		537,611
MPH Acquisition Holdings LLC†		7.125%	6/1/2024		677		632,139
PayPal Holdings, Inc.		2.85%	10/1/2029		1,767		1,937,438
PayPal Holdings, Inc.		3.25%	6/1/2050		387		423,450
Pepperdine University		3.301%	12/1/2059		294		303,784
United Rentals North America, Inc.		4.875%	1/15/2028		592		607,727
Total							6,040,700
Chemicals 0.77%
Ashland LLC		6.875%	5/15/2043		272		313,968
CF Industries, Inc.		4.95%	6/1/2043		619		669,170
CNAC HK Finbridge Co. Ltd. (Hong Kong)(d)		3.50%	7/19/2022		580		595,210
CNAC HK Finbridge Co. Ltd. (Hong Kong)(d)		4.125%	7/19/2027		1,300		1,417,733
Orbia Advance Corp. SAB de CV (Mexico)†(d)		4.875%	9/19/2022		205		214,946
Phosagro OAO Via Phosagro Bond Funding DAC (Ireland)†(d)		3.949%	4/24/2023		960		998,546
Tronox, Inc.†		6.50%	4/15/2026		634		594,312
Total							4,803,885
Coal 0.09%
Warrior Met Coal, Inc.†		8.00%	11/1/2024		586		571,807

See Notes to Financial Statements. 11

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
Computer Hardware 0.51%
Dell International LLC/EMC Corp.†		5.45%		6/15/2023	$	251	$	274,654
Dell International LLC/EMC Corp.†		6.02%		6/15/2026		158		181,276
Dell International LLC/EMC Corp.†		8.35%		7/15/2046		1,189		1,546,216
Hewlett Packard Enterprise Co.		0.998% (3 Mo. LIBOR + .68%	)#	3/12/2021		543		542,736
Western Digital Corp.		4.75%		2/15/2026		600		621,924
Total								3,166,806
Computer Software 0.46%
Intuit, Inc.		1.35%		7/15/2027		821		825,976
Oracle Corp.		2.95%		4/1/2030		1,809		2,019,519
Total								2,845,495
Construction/Homebuilding 0.54%
Century Communities, Inc.		6.75%		6/1/2027		576		580,553
NVR, Inc.		3.00%		5/15/2030		1,179		1,233,513
PulteGroup, Inc.		5.50%		3/1/2026		576		629,859
Toll Brothers Finance Corp.		4.35%		2/15/2028		588		612,143
TRI Pointe Group, Inc.		5.25%		6/1/2027		310		309,554
Total								3,365,622
Drugs 1.90%
AbbVie, Inc.†		3.20%		11/21/2029		867		968,051
Bausch Health Americas, Inc.†		8.50%		1/31/2027		537		570,952
Bausch Health Americas, Inc.†		9.25%		4/1/2026		526		571,341
Bausch Health Cos, Inc.†		5.00%		1/30/2028		324		305,448
Bayer Corp.†		6.65%		2/15/2028		271		353,573
Bayer US Finance II LLC†		3.875%		12/15/2023		881		967,119
Cigna Corp.		0.949% (3 Mo. LIBOR + .65%	)#	9/17/2021		551		551,027
CVS Health Corp.		3.625%		4/1/2027		1,445		1,625,576
CVS Health Corp.		4.30%		3/25/2028		3,013		3,524,767
Upjohn, Inc.†		2.30%		6/22/2027		2,334		2,413,343
Total								11,851,197
Electric: Integrated 0.05%
Empresas Publicas de Medellin ESP (Colombia)†(d)		4.25%		7/18/2029		280		281,522
Electric: Power 3.65%
Ameren Corp.		3.50%		1/15/2031		1,916		2,146,474
Ausgrid Finance Pty Ltd. (Australia)†(d)		4.35%		8/1/2028		1,118		1,244,698
Calpine Corp.†		4.50%		2/15/2028		588		577,228

12 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Electric: Power (continued)
Calpine Corp.†		5.125%	3/15/2028	$	609	$	596,592
Clearway Energy Operating LLC		5.75%	10/15/2025		274		285,235
Cleco Corporate Holdings LLC†		3.375%	9/15/2029		480		501,452
Dominion Energy South Carolina, Inc.		6.625%	2/1/2032		246		354,339
Dominion Energy, Inc.		3.375%	4/1/2030		1,307		1,448,810
DTE Electric Co.		2.625%	3/1/2031		2,185		2,370,669
Emera US Finance LP		3.55%	6/15/2026		3,642		4,090,191
Emirates Semb Corp., Water & Power Co. PJSC (United Arab Emirates)†(d)		4.45%	8/1/2035		275		300,350
Exelon Corp.		4.05%	4/15/2030		557		644,314
Exelon Generation Co. LLC		3.25%	6/1/2025		1,439		1,552,927
Exelon Generation Co. LLC		5.60%	6/15/2042		462		519,972
Exelon Generation Co. LLC		5.75%	10/1/2041		591		661,164
FirstEnergy Corp.		2.65%	3/1/2030		973		1,017,466
ITC Holdings Corp.		3.35%	11/15/2027		530		587,210
Listrindo Capital BV (Netherlands)†(d)		4.95%	9/14/2026		985		994,850
Massachusetts Electric Co.†		4.004%	8/15/2046		501		572,599
Minejesa Capital BV (Netherlands)†(d)		4.625%	8/10/2030		250		254,640
NRG Energy, Inc.		5.75%	1/15/2028		155		163,884
Oglethorpe Power Corp.		5.95%	11/1/2039		413		546,494
Pennsylvania Electric Co.†		3.60%	6/1/2029		597		672,798
PSEG Power LLC		8.625%	4/15/2031		447		631,880
Total							22,736,236
Electrical Equipment 0.56%
Broadcom Corp./Broadcom Cayman Finance Ltd.		3.875%	1/15/2027		1,767		1,911,842
Micron Technology, Inc.		2.497%	4/24/2023		361		375,193
NXP BV/NXP Funding LLC (Netherlands)†(d)		3.15%	5/1/2027		1,134		1,205,621
Total							3,492,656
Electronics 0.11%
Roper Technologies, Inc.		3.65%	9/15/2023		597		649,397
Trimble, Inc.		4.90%	6/15/2028		11		12,640
Total							662,037
Energy Equipment & Services 0.29%
Enviva Partners LP/Enviva Partners Finance Corp.†		6.50%	1/15/2026		585		609,497
Greenko Solar Mauritius Ltd. (Mauritius)†(d)		5.95%	7/29/2026		620		613,658
TerraForm Power Operating LLC†		4.75%	1/15/2030		562		571,728
Total							1,794,883

See Notes to Financial Statements. 13

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Engineering & Contracting Services 0.23%
Brand Industrial Service, Inc.†	8.50%	7/15/2025	$	541	$	488,585
China Railway Resources Huitung Ltd. (Hong Kong)(d)	3.85%	2/5/2023		900		949,275
Total						1,437,860
Entertainment 0.40%
Churchill Downs, Inc.†	4.75%	1/15/2028		57		55,137
Live Nation Entertainment, Inc.†	4.875%	11/1/2024		624		563,544
Penn National Gaming, Inc.†	5.625%	1/15/2027		608		569,356
Scientific Games International, Inc.†	7.25%	11/15/2029		622		498,651
Stars Group Holdings BV/Stars Group US Co-Borrower LLC (Netherlands)†(d)	7.00%	7/15/2026		287		303,197
Vail Resorts, Inc.†	6.25%	5/15/2025		474		497,996
Total						2,487,881
Financial Services 2.02%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d)	3.50%	1/15/2025		1,388		1,303,563
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d)	3.875%	1/23/2028		916		827,470
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d)	4.875%	1/16/2024		523		519,881
Affiliated Managers Group, Inc.	3.50%	8/1/2025		125		135,241
Ally Financial, Inc.	8.00%	11/1/2031		467		603,643
Ameriprise Financial, Inc.	3.00%	4/2/2025		999		1,086,219
Brightsphere Investment Group, Inc.	4.80%	7/27/2026		489		482,265
Global Aircraft Leasing Co. Ltd. PIK 7.25%†	6.50%	9/15/2024		926		622,735
International Lease Finance Corp.	5.875%	8/15/2022		156		164,190
Navient Corp.	5.00%	3/15/2027		1,091		918,835
Navient Corp.	6.75%	6/25/2025		1,150		1,103,281
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.†	4.50%	3/15/2027		541		586,271
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.†	4.875%	4/15/2045		677		716,098
Quicken Loans LLC†	5.75%	5/1/2025		618		633,385
Springleaf Finance Corp.	5.375%	11/15/2029		1,093		1,034,197
SURA Asset Management SA (Colombia)†(d)	4.375%	4/11/2027		700		731,374
Visa, Inc.	1.90%	4/15/2027		1,097		1,148,315
Total						12,616,963

14 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Food 0.91%
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC†	4.875%	2/15/2030	$	933	$	955,513
Arcor SAIC (Argentina)†(d)	6.00%	7/6/2023		297		267,763
Chobani LLC/Chobani Finance Corp., Inc.†	7.50%	4/15/2025		638		617,657
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.†	6.50%	4/15/2029		1,093		1,162,471
Kraft Heinz Foods Co.	4.375%	6/1/2046		1,613		1,587,579
Minerva Luxembourg SA (Luxembourg)†(d)	5.875%	1/19/2028		503		490,928
Sysco Corp.	2.40%	2/15/2030	��	609		603,137
Total						5,685,048
Health Care Products 1.09%
Alcon Finance Corp.†	2.60%	5/27/2030		2,190		2,253,693
Baxter International, Inc.†	3.75%	10/1/2025		608		693,207
Boston Scientific Corp.	2.65%	6/1/2030		1,705		1,773,198
Stryker Corp.	1.95%	6/15/2030		1,122		1,128,216
Zimmer Biomet Holdings, Inc.	5.75%	11/30/2039		715		914,041
Total						6,762,355
Health Care Services 2.48%
Adventist Health System	2.952%	3/1/2029		360		372,297
Advocate Health & Hospitals Corp.	3.387%	10/15/2049		632		708,641
Anthem, Inc.	2.25%	5/15/2030		1,174		1,209,377
Centene Corp.	3.375%	2/15/2030		887		897,001
CommonSpirit Health	3.347%	10/1/2029		1,975		2,034,882
Encompass Health Corp.	4.50%	2/1/2028		101		97,042
HCA, Inc.	4.125%	6/15/2029		2,089		2,306,412
HCA, Inc.	5.25%	6/15/2026		886		1,021,022
HCA, Inc.	5.50%	6/15/2047		558		680,822
LifePoint Health, Inc.†	6.75%	4/15/2025		1,149		1,189,215
MEDNAX, Inc.†	6.25%	1/15/2027		1,246		1,250,305
New York and Presbyterian Hospital (The)	3.954%	12/31/2099		189		202,515
Quest Diagnostics, Inc.	2.80%	6/30/2031		801		841,446
Radiology Partners, Inc.†	9.25%	2/1/2028		657		620,865
Select Medical Corp.†	6.25%	8/15/2026		571		578,526
Surgery Center Holdings, Inc.†	10.00%	4/15/2027		588		590,093
Tenet Healthcare Corp.†	6.25%	2/1/2027		885		881,124
Total						15,481,585

See Notes to Financial Statements. 15

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Household Equipment/Products 0.22%
Kimberly-Clark de Mexico SAB de CV (Mexico)†(d)	3.80%		4/8/2024	$	100	$	103,313
Newell Brands, Inc.	5.875%		4/1/2036		1,206		1,291,927
Total							1,395,240
Insurance 0.26%
Teachers Insurance & Annuity Association of America†	4.90%		9/15/2044		1,250		1,610,408
Leisure 0.25%
Carnival Corp.†	11.50%		4/1/2023		1,106		1,197,177
Royal Caribbean Cruises Ltd.†	11.50%		6/1/2025		363		378,694
Total							1,575,871
Lodging 0.15%
Boyd Gaming Corp.†	4.75%		12/1/2027		406		349,298
Boyd Gaming Corp.	6.00%		8/15/2026		654		610,548
Total							959,846
Machinery: Agricultural 0.86%
BAT Capital Corp.	4.39%		8/15/2037		1,861		2,032,404
BAT Capital Corp.	4.70%		4/2/2027		487		557,319
Cargill, Inc.†	2.125%		4/23/2030		1,162		1,219,369
MHP Lux SA (Luxembourg)†(d)	6.25%		9/19/2029		1,240		1,185,837
MHP Lux SA (Luxembourg)†(d)	6.95%		4/3/2026		370		377,127
Total							5,372,056
Machinery: Industrial/Specialty 0.81%
IDEX Corp.	3.00%		5/1/2030		387		404,246
Kennametal, Inc.	4.625%		6/15/2028		553		593,274
nVent Finance Sarl (Luxembourg)(d)	4.55%		4/15/2028		2,038		2,183,213
Vertical US Newco, Inc.†	5.25%		7/15/2027		702		702,000
Xylem, Inc.	1.95%		1/30/2028		1,122		1,133,736
Total							5,016,469
Manufacturing 0.39%
Carlisle Cos., Inc.	2.75%		3/1/2030		877		904,325
General Electric Co.	0.921% (3 Mo. LIBOR + .38%	)#	5/5/2026		286		248,242
General Electric Co.	1.313% (3 Mo. LIBOR + 1.00%	)#	3/15/2023		959		936,739
General Electric Co.	6.15%		8/7/2037		287		333,066
Total							2,422,372

16 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Media 1.70%
AMC Networks, Inc.	4.75%	8/1/2025	$	289	$	284,406
AMC Networks, Inc.	5.00%	4/1/2024		636		631,628
CCO Holdings LLC/CCO Holdings Capital Corp.†	4.75%	3/1/2030		645		660,944
CCO Holdings LLC/CCO Holdings Capital Corp.†	5.00%	2/1/2028		596		615,966
Clear Channel Worldwide Holdings, Inc.	9.25%	2/15/2024		321		298,605
Cox Communications, Inc.†	8.375%	3/1/2039		1,444		2,362,372
CSC Holdings LLC†	5.50%	4/15/2027		563		586,365
DISH DBS Corp.	7.75%	7/1/2026		1,231		1,307,297
Globo Comunicacao e Participacoes SA (Brazil)†(d)	4.875%	1/22/2030		950		860,700
Gray Television, Inc.†	7.00%	5/15/2027		280		287,742
Nexstar Broadcasting, Inc.†	5.625%	7/15/2027		616		617,558
Scripps Escrow, Inc.†	5.875%	7/15/2027		603		572,362
Time Warner Cable LLC	7.30%	7/1/2038		211		292,814
Time Warner Entertainment Co. LP	8.375%	7/15/2033		502		756,902
VTR Finance BV (Chile)†(d)	6.875%	1/15/2024		455		465,429
Total						10,601,090
Metals & Minerals: Miscellaneous 1.37%
Anglo American Capital plc (United Kingdom)†(d)	4.00%	9/11/2027		1,457		1,558,407
Anglo American Capital plc (United Kingdom)†(d)	4.75%	4/10/2027		1,530		1,705,115
Chinalco Capital Holdings Ltd.	4.00%	8/25/2021		640		646,400
Freeport-McMoRan, Inc.	4.125%	3/1/2028		1,282		1,246,534
Glencore Finance Canada Ltd. (Canada)†(d)	5.55%	10/25/2042		1,097		1,208,363
Hecla Mining Co.	7.25%	2/15/2028		1,387		1,411,273
Kinross Gold Corp. (Canada)(d)	5.95%	3/15/2024		281		316,117
MMC Norilsk Nickel OJSC via MMC Finance DAC (Ireland)†(d)	4.10%	4/11/2023		430		449,572
Total						8,541,781
Natural Gas 0.90%
Dominion Energy Gas Holdings LLC	4.60%	12/15/2044		1,104		1,263,164
National Fuel Gas Co.	5.50%	1/15/2026		1,255		1,336,542
NiSource, Inc.	3.49%	5/15/2027		2,631		2,979,262
Total						5,578,968
Oil 2.61%
Afren plc (United Kingdom)†(d)(f)	6.625%	12/9/2020		244		1,195
Apache Corp.	4.375%	10/15/2028		763		674,099
Citgo Holding, Inc.†	9.25%	8/1/2024		603		601,492
Continental Resources, Inc.	3.80%	6/1/2024		1,225		1,158,948

See Notes to Financial Statements. 17

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Oil (continued)
Diamondback Energy, Inc.	3.50%		12/1/2029	$	756	$	731,795
Diamondback Energy, Inc.	4.75%		5/31/2025		297		317,972
Empresa Nacional del Petroleo (Chile)†(d)	3.75%		8/5/2026		750		776,956
Equinor ASA (Norway)(d)	1.75%		1/22/2026		360		369,034
Equinor ASA (Norway)(d)	7.15%		11/15/2025		605		771,772
Gazprom PJSC Via Gaz Capital SA (Luxembourg)†(d)	4.95%		2/6/2028		200		225,256
Laredo Petroleum, Inc.	9.50%		1/15/2025		1,156		800,172
MEG Energy Corp. (Canada)†(d)	7.00%		3/31/2024		596		512,623
MEG Energy Corp. (Canada)†(d)	7.125%		2/1/2027		557		464,399
Occidental Petroleum Corp.	7.875%		9/15/2031		772		734,369
Parsley Energy LLC/Parsley Finance Corp.†	5.625%		10/15/2027		799		788,865
PDC Energy, Inc.	5.75%		5/15/2026		779		711,348
Pertamina Persero PT (Indonesia)†(d)	4.15%		2/25/2060		200		199,968
Pertamina Persero PT (Indonesia)†(d)	4.70%		7/30/2049		400		435,065
Petroleos Mexicanos (Mexico)(d)	4.50%		1/23/2026		956		835,888
Petroleos Mexicanos (Mexico)(d)	5.35%		2/12/2028		1,320		1,111,631
Saudi Arabian Oil Co. (Saudi Arabia)†(d)	2.875%		4/16/2024		1,050		1,092,680
Sinopec Group Overseas Development Ltd.†	4.375%		10/17/2023		364		398,765
SM Energy Co.	6.75%		9/15/2026		376		190,421
Valero Energy Corp.	10.50%		3/15/2039		668		1,095,581
WPX Energy, Inc.	5.25%		9/15/2024		963		951,555
WPX Energy, Inc.	8.25%		8/1/2023		113		125,842
YPF SA (Argentina)†(d)	8.50%		7/28/2025		281		209,726
Total							16,287,417
Oil Field Equipment & Services 0.09%
Transocean Phoenix 2 Ltd.†	7.75%		10/15/2024		612		580,154
Oil: Crude Producers 0.61%
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(d)	4.60%		11/2/2047		320		379,640
AI Candelaria Spain SLU (Spain)†(d)	7.50%		12/15/2028		250		253,390
Buckeye Partners LP	6.375% (3 Mo. LIBOR + 4.02%	)#	1/22/2078		825		605,793
Cheniere Corpus Christi Holdings LLC†	3.70%		11/15/2029		384		393,939
Northern Natural Gas Co.†	4.30%		1/15/2049		371		444,478
Sabine Pass Liquefaction LLC	5.875%		6/30/2026		882		1,037,094
Western Midstream Operating LP	4.05%		2/1/2030		701		677,324
Total							3,791,658

18 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Oil: Integrated Domestic 0.62%
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc.	3.337%	12/15/2027	$	963	$	1,026,517
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc.	4.08%	12/15/2047		318		331,174
National Oilwell Varco, Inc.	3.60%	12/1/2029		2,533		2,487,861
Total						3,845,552
Paper & Forest Products 0.09%
Fibria Overseas Finance Ltd. (Brazil)(d)	4.00%	1/14/2025		552		570,026
Real Estate 2.32%
Country Garden Holdings Co. Ltd. (China)(d)	4.75%	1/17/2023		226		230,237
Country Garden Holdings Co. Ltd. (China)(d)	4.75%	9/28/2023		993		1,007,851
EPR Properties	4.95%	4/15/2028		1,069		1,021,846
Equinix, Inc.	2.625%	11/18/2024		942		1,004,737
ESH Hospitality, Inc.†	4.625%	10/1/2027		866		815,503
HAT Holdings I LLC/HAT Holdings II LLC†	5.25%	7/15/2024		1,196		1,222,288
Healthcare Realty Trust, Inc.	2.40%	3/15/2030		450		429,134
Healthcare Trust of America Holdings LP	3.10%	2/15/2030		895		904,245
Kaisa Group Holdings Ltd. (China)†(d)	11.95%	10/22/2022		390		405,980
Longfor Group Holdings Ltd. (China)(d)	4.50%	1/16/2028		1,080		1,163,640
MPT Operating Partnership LP/MPT Finance Corp.	5.00%	10/15/2027		629		648,282
Sunac China Holdings Ltd. (China)(d)	7.875%	2/15/2022		920		947,007
VEREIT Operating Partnership LP	4.875%	6/1/2026		2,378		2,638,468
WEA Finance LLC†	2.875%	1/15/2027		1,246		1,221,143
Yuzhou Properties Co. Ltd. (China)(d)	6.00%	10/25/2023		270		260,864
Zhenro Properties Group Ltd. (China)(d)	8.65%	1/21/2023		500		503,411
Total						14,424,636
Real Estate Investment Trusts 0.05%
Kaisa Group Holdings Ltd. (China)(d)	9.375%	6/30/2024		330		303,152
Retail 1.07%
AutoNation, Inc.	4.75%	6/1/2030		115		124,833
Gap, Inc. (The)†	8.625%	5/15/2025		568		603,855
IRB Holding Corp.†	7.00%	6/15/2025		576		593,640
Lithia Motors, Inc.†	4.625%	12/15/2027		1,317		1,307,122
Murphy Oil USA, Inc.	4.75%	9/15/2029		357		365,859
PetSmart, Inc.†	5.875%	6/1/2025		908		913,089
Rite Aid Corp.†	6.125%	4/1/2023		1,238		1,205,967
Sally Holdings LLC/Sally Capital, Inc.	5.625%	12/1/2025		611		595,310

See Notes to Financial Statements. 19

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Retail (continued)
Walgreens Boots Alliance, Inc.	3.20%	4/15/2030	$	681	$	706,174
Yum! Brands, Inc.†	7.75%	4/1/2025		229		247,463
Total						6,663,312
Retail: Specialty 0.13%
Coty, Inc.†	6.50%	4/15/2026		980		836,092
Steel 0.10%
GUSAP III LP†	4.25%	1/21/2030		635		623,697
Technology 1.56%
Alibaba Group Holding Ltd.(China)(d)	3.40%	12/6/2027		856		951,415
Baidu, Inc. (China)(d)	3.50%	11/28/2022		433		451,318
JD.com, Inc. (China)(d)	3.375%	1/14/2030		1,585		1,702,123
Match Group, Inc.†	5.00%	12/15/2027		627		654,657
Match Group, Inc.†	5.625%	2/15/2029		287		303,557
Netflix, Inc.†	3.625%	6/15/2025		269		272,194
Netflix, Inc.	6.375%	5/15/2029		1,643		1,916,871
Prosus NV (Netherlands)†(d)	3.68%	1/21/2030		230		241,349
Prosus NV (Netherlands)†(d)	5.50%	7/21/2025		770		873,180
Tencent Holdings Ltd. (China)†(d)	3.595%	1/19/2028		2,160		2,359,019
Total						9,725,683
Telecommunications 0.76%
AT&T, Inc.	4.30%	2/15/2030		503		588,122
AT&T, Inc.	6.25%	3/29/2041		794		1,087,122
Consolidated Communications, Inc.	6.50%	10/1/2022		679		627,651
Ooredoo International Finance Ltd.†	3.75%	6/22/2026		300		327,187
Sprint Capital Corp.	6.875%	11/15/2028		534		652,254
ViaSat, Inc.†	5.625%	4/15/2027		579		594,092
Zayo Group Holdings, Inc.†	4.00%	3/1/2027		602		572,370
Zayo Group Holdings, Inc.†	6.125%	3/1/2028		272		264,988
Total						4,713,786
Toys 0.15%
Mattel, Inc.†	6.75%	12/31/2025		911		946,743
Transportation: Miscellaneous 0.31%
Autoridad del Canal de Panama (Panama)†(d)	4.95%	7/29/2035		200		228,861
Huntington Ingalls Industries, Inc.†	3.844%	5/1/2025		456		495,676
Pelabuhan Indonesia III Persero PT (Indonesia)†(d)	4.50%	5/2/2023		220		229,970
XPO Logistics, Inc.†	6.25%	5/1/2025		910		954,931
Total						1,909,438

20 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Utilities 0.21%
Aegea Finance Sarl (Luxembourg)†(d)	5.75%	10/10/2024	$	574	$	583,388
Essential Utilities, Inc.	3.566%	5/1/2029		666		740,372
Total						1,323,760
Total Corporate Bonds (cost $269,669,197)						277,964,719
FOREIGN GOVERNMENT OBLIGATIONS(d) 2.67%
Colombia 0.16%
Republic of Colombia	3.00%	1/30/2030		1,000		989,375
Egypt 0.19%
Republic of Egypt†	4.55%	11/20/2023		200		198,542
Republic of Egypt†	6.125%	1/31/2022		220		226,095
Republic of Egypt†	6.588%	2/21/2028		575		569,211
Republic of Egypt†	7.903%	2/21/2048		200		185,621
Total						1,179,469
Indonesia 0.56%
Indonesia Government International Bond	4.75%	1/8/2026		1,660		1,873,038
Republic of Indonesia	3.40%	9/18/2029		1,500		1,599,651
Total						3,472,689
Latvia 0.04%
Republic of Latvia†	5.25%	6/16/2021		258		268,453
Nigeria 0.14%
Republic of Nigeria†	6.375%	7/12/2023		600		612,870
Republic of Nigeria†	7.143%	2/23/2030		275		257,799
Total						870,669
Peru 0.23%
Republic of Peru	2.392%	1/23/2026		1,366		1,421,323
Qatar 0.55%
State of Qatar†	3.25%	6/2/2026		2,755		2,995,478
State of Qatar†	5.103%	4/23/2048		310		422,478
Total						3,417,956
Romania 0.01%
Republic of Romania†	6.125%	1/22/2044		49		64,555
Saudi Arabia 0.24%
Saudi Government International Bond†	3.25%	10/22/2030		1,400		1,505,434

See Notes to Financial Statements. 21

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Turkey 0.33%
Republic of Turkey	4.25%		4/14/2026	$	820	$	749,905
Republic of Turkey	5.25%		3/13/2030		445		400,277
Republic of Turkey	5.75%		3/22/2024		510		507,614
Turkiye Ihracat Kredi Bankasi AS†	8.25%		1/24/2024		400		418,264
Total							2,076,060
United Arab Emirates 0.22%
Abu Dhabi Government International Bond†	2.50%		9/30/2029		1,300		1,366,001
Total Foreign Government Obligations (cost $16,475,636)							16,631,984
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.20%
Federal Home Loan Mortgage Corp. Q001 XA IO	2.206%	#(g)	2/25/2032		2,726		333,331
Government National Mortgage Assoc. 2014-78 A	2.20%		4/16/2047		1		1,096
Government National Mortgage Assoc. 2015-48 AS	2.90%	#(g)	2/16/2049		683		718,696
Government National Mortgage Assoc. 2015-73 AC	2.90%	#(g)	2/16/2053		199		208,873
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $1,244,002)							1,261,996
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 24.45%
Federal Home Loan Mortgage Corp.	4.00%		10/1/2049		1,466		1,657,150
Federal National Mortgage Assoc.(h)	2.50%		TBA		9,356		9,750,341
Federal National Mortgage Assoc.(h)	3.00%		TBA		20,500		21,585,859
Federal National Mortgage Assoc.	3.50%		9/1/2047- 3/1/2050		12,523		13,466,329
Federal National Mortgage Assoc.(h)	3.50%		TBA		25,349		26,660,019
Federal National Mortgage Assoc.	3.863% (12 Mo. LIBOR + 1.79%	)#	3/1/2042		259		271,344
Federal National Mortgage Assoc.	4.00%		1/1/2048		1,797		2,030,952
Federal National Mortgage Assoc.(h)	4.00%		TBA		72,589		76,918,820
Total Government Sponsored Enterprises Pass-Throughs (cost $151,703,879)							152,340,814
MUNICIPAL BONDS 0.82%
Miscellaneous
California	7.30%		10/1/2039		235		393,773
California	7.625%		3/1/2040		350		619,297
California Health Facilities Financing Authority	3.034%		6/1/2034		350		362,625
Foothill-Eastern Transportation Corridor Agency	4.094%		1/15/2049		646		664,359
Massachusetts School Building Authority	3.395%		10/15/2040		895		914,305
Michigan Finance Authority	3.084%		12/1/2034		940		1,015,266
Permanent University Fund - Texas A&M University System	3.66%		7/1/2047		680		738,351

22 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Miscellaneous (continued)
University of California Bond of Regents	3.006%		5/15/2050	$	375	$	381,191
Total Municipal Bonds (cost $4,847,406)							5,089,167
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 5.87%
Angel Oak Mortgage Trust 2020-1 A1†	2.466%	#(g)	12/25/2059		352		355,412
Angel Oak Mortgage Trust I LLC 2019-4 A1†	2.993%	#(g)	7/26/2049		967		977,911
Atrium Hotel Portfolio Trust 2018-ATRM A†	1.135% (1 Mo. LIBOR + .95%	)#	6/15/2035		537		505,689
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A†	1.035% (1 Mo. LIBOR + .85%	)#	1/15/2033		43		40,818
BBCMS Mortgage Trust 2019-BWAY A†	1.141% (1 Mo. LIBOR + .96%	)#	11/25/2034		655		634,187
BBCMS Mortgage Trust 2019-BWAY B†	1.495% (1 Mo. LIBOR + 1.31%	)#	11/25/2034		288		275,943
BX Trust 2018-GW A†	0.985% (1 Mo. LIBOR + .80%	)#	5/15/2035		1,467		1,396,374
BX Trust 2019-OC11 A†	3.202%		12/9/2041		1,251		1,313,095
Citigroup Commercial Mortgage Trust 2016-GC36 D†	2.85%		2/10/2049		1,250		793,533
COMM 2015-LC19 Mortgage Trust 2015-LC19 A4	3.183%		2/10/2048		417		448,406
Commercial Mortgage Pass-Through Certificates 2014-CR17 A5	3.977%		5/10/2047		1,000		1,093,740
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO	1.163%	#(g)	8/10/2047		528		16,389
Commercial Mortgage Pass-Through Certificates 2015-PC1 AM	4.29%	#(g)	7/10/2050		510		552,615
Commercial Mortgage Pass-Through Certificates 2015-PC1 B	4.577%	#(g)	7/10/2050		178		184,322
Commercial Mortgage Pass-Through Certificates 2015-PC1 C	4.577%	#(g)	7/10/2050		410		379,282
Commercial Mortgage Pass-Through Certificates 2015-PC1 D	4.577%	#(g)	7/10/2050		574		333,663	(a)
Commercial Mortgage Pass-Through Certificates 2016-COR1 AM	3.494%		10/10/2049		299		314,779
Credit Suisse Mortgage Capital Certificates 2020-AFC1 A1†	2.24%	#(g)	2/25/2050		790		804,583
CSAIL Commercial Mortgage Trust 2015-C2 C	4.33%	#(g)	6/15/2057		700		416,027
CSAIL Commercial Mortgage Trust 2019-C18 AS	3.321%		12/15/2052		709		768,539
CSMC Series 2019-UVIL A†	3.16%		12/15/2041		2,183		2,112,757
DBWF Mortgage Trust 2018-GLKS A†	1.224% (1 Mo. LIBOR + 1.03%	)#	12/19/2030		1,008		961,931

See Notes to Financial Statements. 23

Schedule of Investments (unaudited)(continued)

June 30, 2020

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Deephaven Residential Mortgage Trust 2019-3A A1†	2.964%	#(g)	7/25/2059	$	1,027	$	1,046,241
Deephaven Residential Mortgage Trust 2019-4A A1†	2.791%	#(g)	10/25/2059		667		675,434
Deephaven Residential Mortgage Trust 2020-1 A1†	2.339%	#(g)	1/25/2060		491		497,296
GCAT Trust 2020-NQM1 A1†	2.247%		1/25/2060		381		385,064
Great Wolf Trust 2019-WOLF A†	1.219% (1 Mo. LIBOR + 1.03%	)#	12/15/2036		3,216		3,099,300
GS Mortgage Securities Corp. Trust 2018-RIVR A†	1.135% (1 Mo. LIBOR + .95%	)#	7/15/2035		682		659,430
GS Mortgage Securities Trust 2015-GC32 C	4.574%	#(g)	7/10/2048		195		180,035
Hudsons Bay Simon JV Trust 2015-HB7 B7†	4.666%		8/5/2034		668		603,348
Hudsons Bay Simon JV Trust 2015-HB7 D7†	5.331%	#(g)	8/5/2034		629		387,097
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 C(g)	4.411%	#	7/15/2048		374		361,685
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A†	1.185% (1 Mo. LIBOR + 1.00%	)#	6/15/2032		1,325		1,251,291
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B†	1.485% (1 Mo. LIBOR + 1.30%	)#	6/15/2032		1,030		953,206
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN†	2.02% (1 Mo. LIBOR + 1.02%	)#	11/15/2035		542		507,253
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL†	1.124% (1 Mo. LIBOR + .95%	)#	7/5/2033		377		361,552
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFL†	1.424% (1 Mo. LIBOR + 1.25%	)#	7/5/2033		1,130		1,071,816
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFX†	4.549%		7/5/2033		340		352,060
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFX†	4.95%		7/5/2033		453		449,396
Merrill Lynch Mortgage Investors Trust 2006-AF2 AF1	6.25%		10/25/2036		11		7,953
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A2 IO	0.72%	#(g)	7/15/2050		15,699		359,359
New Residential Mortgage Loan Trust 2019-NQM3 A1†	2.802%	#(g)	7/25/2049		847		860,570
New Residential Mortgage Loan Trust 2020-NQM1 A1†	2.464%	#(g)	1/26/2060		320		326,552
PFP Ltd. 2019-6 A†	1.245% (1 Mo. LIBOR + 1.05%	)#	4/14/2037		749		725,596
ReadyCap Commercial Mortgage Trust 2019-6 A†	2.833%		10/25/2052		569		564,870
Residential Mortgage Loan Trust 2020-1 A1†	2.376%	#(g)	2/25/2024		225		228,737

24 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
SFAVE Commercial Mortgage Securities Trust 2015-5AVE A2B†	4.144%	#(g)	1/5/2043	$	250	$	229,747
Starwood Mortgage Residential Trust 2020-1 A1†	2.275%	#(g)	2/25/2050		499		503,934
Structured Asset Securities Corp. 2006-3H 1A2	5.75%		12/25/2035		6		6,088	(a)
UBS-BAMLL Trust 2012-WRM E†	4.379%	#(g)	6/10/2030		595		501,399	(a)
UBS-Barclays Commercial Mortgage Trust 2012-C3 B†	4.365%	#(g)	8/10/2049		200		205,379
Verus Securitization Trust 2020-1 A1†	2.417%	#(g)	1/25/2060		1,159		1,175,984
Wells Fargo Commercial Mortgage Trust 2013-LC12 D†	4.411%	#(g)	7/15/2046		364		104,108	(a)
Wells Fargo Commercial Mortgage Trust 2015-C28 D	4.24%	#(g)	5/15/2048		1,489		1,001,755
Wells Fargo Commercial Mortgage Trust 2016-C35 C	4.176%	#(g)	7/15/2048		213		190,173
Wells Fargo Commercial Mortgage Trust 2016-NXS5 E†	5.136%	#(g)	1/15/2059		434		300,569
Wells Fargo Commercial Mortgage Trust 2017-C41 AS	3.785%	#(g)	11/15/2050		1,630		1,752,892
Total Non-Agency Commercial Mortgage-Backed Securities (cost $38,201,361)							36,567,164
U.S. TREASURY OBLIGATIONS 23.98%
U.S. Treasury Bill	Zero Coupon		7/30/2020		32,544		32,540,920
U.S. Treasury Bill	Zero Coupon		11/12/2020		6,216		6,212,703
U.S. Treasury Bond	1.25%		5/15/2050		11,723		11,257,744
U.S. Treasury Bond	2.375%		11/15/2049		1,271		1,569,486
U.S. Treasury Bond	2.75%		11/15/2047		9,807		12,828,590
U.S. Treasury Bond	3.625%		8/15/2043		9,223		13,474,767
U.S. Treasury Inflation Indexed Note(i)	0.125%		4/15/2025		6,685		7,011,020
U.S. Treasury Note	0.125%		6/30/2022		23,790		23,777,919
U.S. Treasury Note	0.25%		4/15/2023		10,101		10,124,477
U.S. Treasury Note	2.50%		1/31/2021		30,208		30,620,410
Total U.S. Treasury Obligations (cost $143,730,510)							149,418,036
Total Long-Term Investments (cost $734,492,082)							746,977,754

See Notes to Financial Statements. 25

Schedule of Investments (unaudited)(continued)

June 30, 2020

	Principal
	Amount		Fair
Investments	(000)		Value
SHORT-TERM INVESTMENT 0.67%
REPURCHASE AGREEMENT
Repurchase Agreement dated 6/30/2020, 0.00% due 7/1/2020 with Fixed Income Clearing Corp. collateralized by $4,260,900 of U.S. Treasury Note at 0.25% due 6/15/2023; value: $4,270,826; proceeds: $4,187,024 (cost $4,187,024)	$	4,187	$	4,187,024
Total Investments in Securities 120.54% (cost $738,679,106)				751,164,778
Liabilities in Excess of Foreign Cash and Other Assets(j) (20.54%)				(127,975,313)
Net Assets 100.00%			$	623,189,465

CAD	Canadian dollar.
IO	Interest Only.
LIBOR	London Interbank Offered Rate.
PIK	Payment-in-kind.
SOFR	Secured Over Night Financing Rate.
†	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. At June 30, 2020, the total value of Rule 144A securities was $201,962,769, which represents 32.41% of net assets.
#	Variable rate security. The interest rate represents the rate in effect at June 30, 2020.
(a)	Level 3 Investment as described in Note 2(l) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.
(b)	Investment in non-U.S. dollar denominated securities.
(c)	Amount is less than $1,000.
(d)	Foreign security traded in U.S. dollars.
(e)	Securities purchased on a when-issued basis (See Note 2(j)).
(f)	Defaulted (non-income producing security).
(g)	Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool.
(h)	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.
(i)	Treasury Inflation Protected Security. A U.S. Treasury Note or Bond that offers protection from inflation by paying a fixed rate of interest on principal amount that is adjusted for inflation based on the Consumer Price Index.
(j)	Liabilities in Excess of Foreign Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts and futures contracts as follows:

Open Forward Foreign Currency Exchange Contracts at June 30, 2020:

Forward

Foreign

U.S. $

Currency

Cost on

U.S. $

Exchange

Transaction

Expiration

Foreign

Origination

Current

Unrealized

Contracts

Type

Counterparty

Date

Currency

Date

Value

Depreciation

Canadian dollar

Sell

Toronto Dominion Bank

9/15/2020

500,000

$367,706

$368,353

$(647

)

26 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

June 30, 2020

Open Futures Contracts at June 30, 2020:

					Notional		Notional		Unrealized
Type	Expiration	Contracts		Position	Amount		Value		Appreciation
U.S. 5-Year Treasury Note	September 2020		15	Long		$1,881,481		$1,886,133		$	4,652
U.S. Long Bond	September 2020		218	Long		38,689,456		38,926,625			237,169
U.S. Ultra Treasury Bond	September 2020		48	Long		10,293,193		10,471,500			178,307
Total Unrealized Appreciation on Open Futures Contracts										$	420,128
					Notional		Notional		Unrealized
Type	Expiration	Contracts		Position	Amount		Value		Depreciation
U.S. 10-Year Ultra Treasury Bond	September 2020		293	Short	$	(45,784,155)	$	(46,142,922)		$	(358,767)

The following is a summary of the inputs used as of June 30, 2020 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
Automobiles	$	–		$	35,743,909		$	452,237	$	36,196,146
Other		–			45,314,230			1,845,148		47,159,378
Remaining Industries		–			24,348,350			–		24,348,350
Corporate Bonds		–			277,964,719			–		277,964,719
Foreign Government Obligations		–			16,631,984			–		16,631,984
Government Sponsored Enterprises
Collateralized Mortgage Obligations		–			1,261,996			–		1,261,996
Government Sponsored Enterprises
Pass-Throughs		–			152,340,814			–		152,340,814
Municipal Bonds		–			5,089,167			–		5,089,167
Non-Agency Commercial
Mortgage-Backed Securities		–			35,621,906			945,258		36,567,164
U.S. Treasury Obligations		–			149,418,036			–		149,418,036
Short-Term Investment
Repurchase Agreement		–			4,187,024			–		4,187,024
Total	$	–		$	747,922,135		$	3,242,643	$	751,164,778
Other Financial Instruments
Forward Foreign Currency Exchange Contract
Assets	$	–		$	–		$	–	$	–
Liabilities		–			(647	)		–		(647	)
Futures Contracts
Assets		420,128			–			–		420,128
Liabilities		(358,767	)		–			–		(358,767	)
Total	$	61,361		$	(647	)	$	–	$	60,714

(1)

Refer to Note 2(m) for a description of fair value measurements and the three-tier hierarchy of inputs.

(2)

See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. Each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized.

See Notes to Financial Statements. 27

Schedule of Investments (unaudited)(concluded)

June 30, 2020

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

					Non-Agency
	Asset-Backed				Commercial Mortgage-
Investment Type	Securities				Backed Securities
Balance as of January 1, 2020		$	386,770			$	–
Accrued Discounts (Premiums)			2				3,498
Realized Gain (Loss)			–				6
Change in Unrealized Appreciation (Depreciation)			(119,804	)			(507,090	)
Purchases			–				–
Sales			–				(501	)
Transfers into Level 3			2,030,417				1,449,345
Transfers out of Level 3			–				–
Balance as of June 30, 2020		$	2,297,385			$	945,258
Change in unrealized appreciation/depreciation for the period ended June 30, 2020, related to Level 3 investments held at June 30, 2020		$	(119,804	)		$	(507,090	)

28 See Notes to Financial Statements.

Statement of Assets and Liabilities (unaudited)

June 30, 2020

ASSETS:
Investments in securities, at fair value (cost $738,679,106)	$	751,164,778
Deposits with brokers for futures collateral		1,011,580
Foreign cash, at value (cost $1,565)		1,560
Receivables:
Investment securities sold		30,842,571
Interest and dividends		4,420,693
Capital shares sold		1,727,218
Total assets		789,168,400
LIABILITIES:
Payables:
Investment securities purchased		165,131,141
Management fee		141,037
Capital shares reacquired		121,977
Variation margin on futures contracts		78,752
Directors’ fees		41,677
Fund administration		20,148
Unrealized depreciation on forward foreign currency exchange contracts		647
Distributions payable		4,974
Accrued expenses		438,582
Total liabilities		165,978,935
Commitments and contingent liabilities
NET ASSETS	$	623,189,465
COMPOSITION OF NET ASSETS:
Paid-in capital	$	598,988,796
Total distributable earnings (loss)		24,200,669
Net Assets	$	623,189,465
Outstanding shares (130 million shares of common stock authorized, $.001 par value)		35,680,952
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares)		$17.47

See Notes to Financial Statements. 29

Statement of Operations (unaudited)

For the Six Months Ended June 30, 2020

Investment income:
Interest	$	9,321,047
Total investment income		9,321,047
Expenses:
Management fee		891,641
Non 12b-1 service fees		787,844
Shareholder servicing		343,888
Fund administration		127,377
Professional		25,824
Reports to shareholders		23,525
Directors’ fees		7,112
Custody		3,152
Other		50,341
Gross expenses		2,260,704
Expense reductions (See Note 9)		(4,951	)
Net expenses		2,255,753
Net investment income		7,065,294
Net realized and unrealized gain (loss):
Net realized gain (loss) on investments		9,680,407
Net realized gain (loss) on futures contracts		4,642,770
Net realized gain (loss) on forward foreign currency exchange contracts		208,894
Net realized gain (loss) on swap contracts		432,173
Net realized gain (loss) on foreign currency related transactions		84,858
Net change in unrealized appreciation/depreciation on investments		(89,260	)
Net change in unrealized appreciation/depreciation on futures contracts		776,285
Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts		(445,869	)
Net change in unrealized appreciation/depreciation on swap contracts		(352,292	)
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies		(63	)
Net realized and unrealized gain (loss)		14,937,903
Net Increase in Net Assets Resulting From Operations	$	22,003,197

30 See Notes to Financial Statements.

Statements of Changes in Net Assets

	For the Six Months
	Ended June 30, 2020			For the Year Ended
INCREASE (DECREASE) IN NET ASSETS	(unaudited)			December 31, 2019
Operations:
Net investment income	$	7,065,294		$	15,047,257
Net realized gain (loss) on investments, futures contracts, forward foreign currency exchange contracts, swaps and foreign currency related transactions		15,049,102			14,799,552
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		(111,199	)		17,166,668
Net increase in net assets resulting from operations		22,003,197			47,013,477
Distributions to shareholders:		–			(16,860,320	)
Capital share transactions (See Note 15):
Proceeds from sales of shares		72,330,016			115,632,038
Reinvestment of distributions		–			16,860,320
Cost of shares reacquired		(122,613,073	)		(72,786,463	)
Net increase (decrease) in net assets resulting from capital share transactions		(50,283,057	)		59,705,895
Net increase (decrease) in net assets		(28,279,860	)		89,859,052
NET ASSETS:
Beginning of period	$	651,469,325		$	561,610,273
End of period	$	623,189,465		$	651,469,325

See Notes to Financial Statements. 31

Financial Highlights

				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
6/30/2020(e)		16.85		$	0.16		$	0.46			$	0.62			$	–			$	–			$	–
12/31/2019		15.96			0.42			0.92				1.34				(0.45	)			–				(0.45	)
12/31/2018		16.65			0.44			(0.60	)			(0.16	)			(0.53	)			–				(0.53	)
12/31/2017		16.42			0.36			0.27				0.63				(0.40	)			–				(0.40	)
12/31/2016		16.25			0.36			0.31				0.67				(0.44	)			(0.06	)			(0.50	)
12/31/2015		16.85			0.36			(0.47	)			(0.11	)			(0.47	)			(0.02	)			(0.49	)

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales charges or other expenses imposed by an insurance company and assumes the reinvestment of all distributions.
(c)	Not annualized.
(d)	Annualized.
(e)	Unaudited.

32 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 investment income (%)			Net assets, end of period (000)			Portfolio turnover rate (%)
	17.47		3.68	(c)		0.72	(d)		0.72	(d)		2.24	(d)		$	623,189		302	(c)
	16.85		8.41			0.71			0.78			2.50				651,469		715
	15.96		(1.03	)		0.67			0.89			2.70				561,610		611
	16.65		3.86			0.64			0.88			2.16				554,378		452
	16.42		4.26			0.64			0.89			2.16				447,115		443
	16.25		(0.66	)		0.64			0.89			2.11				390,155		432

See Notes to Financial Statements. 33

Notes to Financial Statements (unaudited)

1. ORGANIZATION  

Lord Abbett Series Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “Act”) as a diversified, open-end management investment company and was incorporated under Maryland law in 1989. The Company consists of nine separate portfolios as of June 30, 2020. This report covers Total Return Portfolio (the “Fund”).

The Fund’s investment objective is to seek income and capital appreciation to produce a high total return. The Fund has Variable Contract class shares (“Class VC Shares”), which are currently issued and redeemed only in connection with investments in, and payments under, variable annuity contracts and variable life insurance policies issued by life insurance and insurance-related companies.

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. The Fund is considered an investment company 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 Fund’s Board of Directors (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
	Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. The 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. 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.
	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

34

Notes to Financial Statements (unaudited)(continued)

	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.
(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 on the Statement of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates.
(d)	Income Taxes–It is the policy of the Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.
	The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s filed U.S. federal tax returns remains open for the fiscal years ended December 31, 2016 through December 31, 2019. The statutes of limitations on the Company’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
(e)	Expenses–Expenses incurred by the Company that do not specifically relate to an individual fund are generally allocated to the funds within the Company on a pro rata basis by relative net assets.
(f)	Foreign Transactions–The books and records of the Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in the Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss), if applicable, is included in Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies in the Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions, if applicable are included in Net realized gain (loss) on foreign currency related transactions in the Fund’s Statement of Operations. The Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities.
	The Fund uses foreign currency exchange contracts to facilitate transactions in foreign denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
(g)	Forward Foreign Currency Exchange Contracts–The Fund may enter into forward foreign currency exchange contracts in order to reduce exposure to changes in foreign currency exchange rates on foreign portfolio holdings, or gain or reduce exposure to foreign currency solely for investment purposes. A forward foreign currency exchange contract is a

35

Notes to Financial Statements (unaudited)(continued)

	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), if applicable, is included in Net change in unrealized appreciation/depreciation on foreign currency exchange contracts in the Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included, if applicable, in Net realized gain on foreign currency exchange contracts in the Fund’s Statement of Operations.
(h)	Futures Contracts–The 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 the Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. The Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract.
(i)	Repurchase Agreements–The Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. The Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, the Fund may incur a loss upon disposition of the securities.
(j)	When-Issued, Forward Transactions or To-Be-Announced (“TBA”) Transactions–The Fund may purchase portfolio securities on a when-issued or forward basis. When-issued, forward transactions or TBA transactions involve a commitment by a fund to purchase securities, with payment and delivery (“settlement”) to take place in the future, in order to secure what is considered to be an advantageous price or yield at the time of entering into the transaction. During the period between purchase and settlement, the fair value of the securities will fluctuate and assets consisting of cash and/or marketable securities (normally short-term U.S. Government or U.S. Government sponsored enterprise securities) marked to market daily in an amount sufficient to make payment at settlement will be segregated at the Fund’s custodian in order to pay for the commitment. At the time the Fund makes the commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the liability for the purchase and fair value of the security in determining its net asset value (“NAV”). The Fund, generally, has the ability to close out a purchase obligation on or before the settlement date rather than take delivery of the security. Under no circumstances will settlement for such securities take place more than 120 days after the purchase date.
(k)	Mortgage Dollar Rolls–The Fund may enter into mortgage dollar rolls in which a fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not

36

Notes to Financial Statements (unaudited)(continued)

	identical securities on a specified future date. During the roll period, the Fund loses the right to receive principal (including prepayments of principal) and interest paid on the securities sold.
(l)	Interest Rate Swaps–The Fund may enter into interest rate swap agreements. Pursuant to interest rate swap agreements, the Fund either makes floating-rate payments to the counterparty (or Central counterparty clearing house (“CCP”) in the case of centrally cleared swaps) based on a benchmark interest rate in exchange for fixed-rate payments or the Fund makes fixed-rate payments to the counterparty (or CCP in the case of a centrally cleared swap) in exchange for payments on a floating benchmark interest rate. Payments received or made, including amortization of upfront payments/receipts, are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of the swap is determined by changes in the relationship between two rates of interest. The Fund is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates.
(m)	Fair Value Measurements–Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk- for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy 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 the Fund’s own assumptions in determining the fair value of investments).

A summary of inputs used in valuing the Fund’s investments as of June 30, 2020 and, if applicable, Level 3 rollforwards for the six months then ended is included in the 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. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

37

Notes to Financial Statements (unaudited)(continued)

3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES  

Management Fee

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

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

First $4 billion	.28%
Next $11 billion	.26%
Over $15 billion	.25%

For the six months ended June 30, 2020, the effective management fee, net of waivers, was at an annualized rate of .28% of the Fund’s average daily net assets.

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

The Company, on behalf of the Fund, has entered into services arrangements with certain insurance companies. Under these arrangements, certain insurance companies will be compensated up to ..25% of the average daily net asset value (“NAV”) of the Fund’s Class VC Shares held in the insurance company’s separate account to service and maintain the Variable Contract owners’ accounts. This amount is included in Non 12b-1 service fees on the Statement of Operations. The Fund may also compensate certain insurance companies, third-party administrators and other entities for providing recordkeeping, sub-transfer agency and other administrative services to the Fund. This amount is included in Shareholder servicing on the Statement of Operations.

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 and paid at least semi-annually. 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, 2020 and fiscal year ended December 31, 2019, was as follows:

	Six Months Ended
	6/30/2020			Year Ended
	(unaudited		)	12/31/2019
Distributions paid from:
Ordinary income	$	–		$	16,860,320
Total distributions paid	$	–		$	16,860,320

38

Notes to Financial Statements (unaudited)(continued)

As of December 31, 2019, the Fund had a capital loss carryforward of $6,278,809, which will carry forward indefinitely.

As of June 30, 2020, the aggregate unrealized security gains (losses) on investments and other financial instruments based on cost for U.S. federal income tax purposes were as follows:

Tax cost	$	742,820,063
Gross unrealized gain		17,587,416
Gross unrealized loss		(9,181,987	)
Net unrealized security gain	$	8,405,429

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

5. PORTFOLIO SECURITIES TRANSACTIONS  

Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2020 were as follows:

U.S.		Non-U.S.	U.S.		Non-U.S.
Government		Government	Government		Government
Purchases	*	Purchases	Sales	*	Sales
$481,515,873		$264,671,254	$491,898,262		$171,886,171

* Includes U.S. Government sponsored enterprises securities.

The 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, 2020, the Fund engaged in cross-trades purchase of $4,653,997, and sales of $700,651, which resulted in net realized gains of $11,951.

6. DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES  

The Fund entered into forward foreign currency exchange contracts for the six months ended June 30, 2020 (as described in note 2(g)). A forward foreign currency exchange contract reduces the Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. The Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and the Fund’s returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. The Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts and deposits with brokers as collateral.

The Fund entered into U.S. Treasury futures contracts for the six months ended June 30, 2020 (as described in note 2(h)) to economically hedge against changes in interest rates. The Fund bears the risk of interest rates moving unexpectedly, in which case the Fund may not achieve the anticipated benefits of the futures contracts and realize a loss. There is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default.

39

Notes to Financial Statements (unaudited)(continued)

As of June 30, 2020, the Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Fund’s use of derivative instruments:

	Interest		Foreign
	Rate		Currency
Asset Derivatives	Contracts		Contracts
Futures Contracts(1)	$	420,128		–
Liability Derivatives
Forward Foreign Currency Exchange Contracts(2)		–	$	647
Futures Contracts(1)	$	358,767		–

(1)	Statement of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation on futures contracts as reported in the Schedule of Investments. Only current day’s variation margin reported is within the Statement of Assets and Liabilities.
(2)	Statement of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts.

Transactions in derivatives instruments for the six months ended June 30, 2020, were as follows:

	Interest			Foreign
	Rate			Currency
	Contracts			Contracts
Net Realized Gain (Loss)
Interest Rate Swap Contracts(1)	$	432,173			–
Forward Foreign Currency Exchange Contracts(2)		–		$	208,894
Futures Contracts(3)	$	4,642,770			–
Net Change in Unrealized Appreciation/Depreciation
Interest Rate Swap Contracts(4)	$	(352,292	)
Forward Foreign Currency Exchange Contracts(5)		–		$	(445,869	)
Futures Contracts(6)	$	776,285			–
Average Number of Contracts/Notional Amounts
Interest Rate Swap Contract(7)	$	15,231,136			–
Forward Foreign Currency Exchange Contracts(7)		–		$	23,675,928
Futures Contracts(8)		769			–

*	Calculated based on the number of contracts or notional amounts for the six months ended June 30, 2020.
(1)	Statements of Operations location: Net realized gain (loss) on swap contracts.
(2)	Statements of Operations location: Net realized gain (loss) on forward 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 forward foreign currency exchange contracts.
(6)	Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts.
(7)	Amounts represents notional amounts in U.S. dollars.
(8)	Amounts 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 Statement of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or

40

Notes to Financial Statements (unaudited)(continued)

termination of any one contract. The Fund’s accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty:

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		$4,187,024	$	–	$	4,187,024
Total		$4,187,024	$	–	$	4,187,024

	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.	$	4,187,024	$	–	$	–		$	(4,187,024	)	$	–
Total	$	4,187,024	$	–	$	–		$	(4,187,024	)	$	–

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		$647	$	–		$647
Total		$647	$	–		$647

	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		)
Toronto Dominion Bank		$647	$	–	$	–		$	–			$647
Total		$647	$	–	$	–		$	–			$647

(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, 2020.
(c)	Net amount represents the amount owed by the Fund to the counterparty as of June 30, 2020.

8. DIRECTORS’ REMUNERATION  

The Company’s officers and 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 fund. Such amounts and earnings accrued thereon are included in Directors’ fees on the Statement of Operations and in Directors’ fees payable on the Statement of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.

41

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 the Fund’s expenses.

10. LINE OF CREDIT  

For the period ended June 30, 2020, the Fund and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $1.17 billion (the “Syndicated Facility”) whereas State Street Bank and Trust Company (“SSB”) participated as a lender and as agent for the lenders. The Participating Funds were subject to graduated borrowing limits of one third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $350 million, $500 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors. Effective August 6, 2020, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $600 million, or $900 million, based on past borrowings and likelihood of future borrowings, among other factors.

For the period ended June 30, 2020, the Participating Funds were party to an additional line of credit facility with SSB for $330 million (the “Bilateral Facility”), $250 million committed and $80 million uncommitted. Under the Bilateral Facility, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if net 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 Syndicated Facility and the Bilateral Facility are to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions.

For the six months ended June 30, 2020, the Fund did not utilize the Facilities.

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.

For the six months ended June 30, 2020, the Fund did not participate as a borrower or lender in the Interfund Lending Program.

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 the Fund’s NAV.

13. SECURITIES LENDING AGREEMENT  

The Fund has established a securities lending agreement with Citibank, N.A. for the lending of securities to qualified brokers in exchange for securities or cash collateral equal to at least the market value of securities loaned, plus interest, if applicable. Cash collateral is invested in an

42

Notes to Financial Statements (unaudited)(continued)

approved money market fund. In accordance with the Fund’s securities lending agreement, the market value of securities on loan is determined each day at the close of business and any additional collateral required to cover the value of securities on loan is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Such income earned from securities lending is included in Securities Lending Income on the Statement of Operations.

As of June 30, 2020, the Fund did not loan any securities.

14. INVESTMENT RISKS  

The Fund is subject to the general risks and considerations associated with investing in fixed income securities, including the risk that issuers will fail to make timely payments of principal or interest or default altogether. The value of an investment will change as interest rates fluctuate in response to market movements. When interest rates rise, the prices of fixed income securities are likely to decline; when interest rates fall, such prices tend to rise.

The Fund is subject to the risk of investing a significant portion of its assets 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, the Fund may be required to look principally to the agency issuing or guaranteeing the obligation. In addition, the Fund may invest in non-agency asset backed and mortgage related securities, which are issued by private institutions, not by government-sponsored enterprises. Such securities may be particularly sensitive to changes in economic conditions, including delinquencies and/or defaults, and changes in prevailing interest rates. These changes can affect the value, income and/or liquidity of such positions. When interest rates are declining, the value of these securities with prepayment features may not increase as much as other fixed income securities. Early principal repayment may deprive the Fund of income payments above current market rates. The prepayment rate also will affect the price and volatility of these securities. In addition, securities of government sponsored enterprises are guaranteed with respect to the timely payment of interest and principal by the particular enterprises involved, not by the U.S. Government.

The lower-rated or high-yield bonds (also known as “junk” bonds) in which the Fund may invest 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.

The Fund is subject to the risks associated with derivatives, which may be different from and greater than the risks associated with directly investing in securities. Derivatives may be subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, and credit risk. Illiquid securities may lower the Fund’s returns since the Fund may be unable to sell these securities at their desired time or price. Derivatives also may involve the risk of mispricing or improper valuation

43

Notes to Financial Statements (unaudited)(concluded)

and the risk that changes in the value of the derivative may not correlate perfectly with the value of the underlying asset, rate or index. Whether the Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements, 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 the Fund incorrectly forecasts these and other factors, its performance could suffer.

The Fund’s investment exposure to foreign (which may include emerging market) companies presents increased market, industry and sector, liquidity, currency, political, information and other risks. As compared with companies organized and operated in the U.S., these companies may be more vulnerable to economic, political and social instability and subject to less government supervision, lack of transparency, inadequate regulatory and accounting standards, and foreign taxes. The securities of foreign companies also may be subject to inadequate exchange control regulations, the imposition of economic sanctions or other government restrictions, higher transaction and other costs, and delays in settlement to the extent they are traded on non-U.S. exchanges or markets. The cost of the Fund’s 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. The Fund’s exposure to inflation-linked investments, such as Treasury Inflation Protected Securities, may be vulnerable to changes in expectations of inflation or interest rates.

The Fund may invest in floating rate or adjustable rate 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 the 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.

Geopolitical and other events (e.g., wars, terrorism, natural disasters, epidemics or pandemics such as the COVID-19 outbreak which began in late 2019) may disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Fund’s investments. Market disruptions can also prevent the Fund from implementing its investment strategies and achieving its investment objective.

These factors can affect the Fund’s performance

15. SUMMARY OF CAPITAL TRANSACTIONS  

Transactions in shares of capital stock were as follows:

	Six Months Ended June 30, 2020 (unaudited)			Year Ended December 31, 2019
Shares sold		4,231,725			6,856,024
Reinvestment of distributions		–			1,001,194
Shares reacquired		(7,224,555	)		(4,363,893	)
Increase (decrease)		(2,992,830	)		3,493,325

44

Liquidity Risk Management Program

Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a Liquidity Risk Management Program and Policy (“Program”). The Program is designed to assess, manage and periodically review the Fund’s liquidity risk. Liquidity risk is defined under Rule 22e-4 as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.

The Board has appointed Lord Abbett as the administrator for the Fund’s Program. At the May 28-29, 2020 meeting, Lord Abbett provided the Board with a report addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018 through February 28, 2020. Lord Abbett reported that the Program operated effectively during the period. In particular, Lord Abbett reported that: the Fund did not breach its 15% limit on illiquid investments at any point during the period and all regulatory reporting related to Rule 22e-4 was completed on time and without issue during the period.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

Householding

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

Proxy Voting Policies, Procedures and Records

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

Shareholder Reports and Quarterly Portfolio Disclosure

The Fund is required to file its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters as an attachment to Form N-PORT. 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.

45

 

 

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 Series Fund, Inc.
Lord Abbett mutual fund shares are distributed by		SFTR-PORT-3
LORD ABBETT DISTRIBUTOR LLC.	Total Return Portfolio	(08/20)

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) The principal executive officer and principal financial & accounting officer have concluded as of a date within 90 days of the filing date of this report, 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), that the design of such procedures is effective to provide reasonable assurance that material information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(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: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13: 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 SERIES FUND, INC.
By:	/s/ Douglas B. Sieg
	Douglas B. Sieg
	President and Chief Executive Officer

Date: August 18, 2020

By:	/s/ Vito A. Fronda
	Vito A. Fronda
	Chief Financial Officer and Treasurer

Date: August 18, 2020

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 18, 2020

By:	/s/ Vito A. Fronda
	Vito A. Fronda
	Chief Financial Officer and Treasurer

Date: August 18, 2020