NPORT-EX 1 c93673_nq.htm

Schedule of Investments (unaudited)

Lord Abbett Credit Opportunities Fund March 31, 2019

 

Investments  Interest
Rate		    Maturity
Date		    Principal
Amount
(000)		   Fair
Value		 
LONG-TERM INVESTMENTS 96.93%                    
                     
ASSET-BACKED SECURITIES 15.64%                    
                     
Automobiles 2.93%                    
                     
ACC Trust 2019-1 C†   6.41%   2/20/2024    $500   $506,441 
Exeter Automobile Receivables Trust 2018-3A E†   5.43%   8/15/2024     100    102,857 
Total                  609,298 
                     
Credit Cards 2.03%                    
                     
Continental Credit Card 2016-1A C†   11.33%   1/15/2025     400    422,615 
                     
Other 10.68%                    
                     
ARES XLVI CLO Ltd. 2017-46A E†   8.087%(3 Mo.
LIBOR + 5.30		%)#   1/15/2030     250    230,314 
Benefit Street Partners Clo XII Ltd. 2017-12A D†   9.197%(3 Mo.
LIBOR + 6.41		%)#   10/15/2030     250    243,442 
Carlyle US Clo Ltd. 2017-2A D†   8.911%(3 Mo.
LIBOR + 6.15		%)#   7/20/2031     300    292,463 
Cedar Funding Ltd. 2018-9A E†   8.111%(3 Mo.
LIBOR + 5.35		%)#   4/20/2031     275    249,042 
Fairstone Financial Issuance Trust I 2019-1A D†(a)   7.257%   3/21/2033    CAD150    112,730(b)
Gilbert Park CLO Ltd. 2017 1A E†   9.187%(3 Mo.
LIBOR + 6.40		%)#   10/15/2030    $250    248,092 
Newtek Small Business Loan Trust 2017-1 B†   5.486%(1 Mo.
LIBOR + 3.00		%)#   2/15/2043     87    86,331 
Octagon Investment Partners 30 Ltd. 2017-1A D†   8.961%(3 Mo.
LIBOR + 6.20		%)#   3/17/2030     300    290,632 
Sounds Point CLO IV-R Ltd. 2013-3RA E†   9.03%(3 Mo.
LIBOR + 6.25		%)#   4/18/2031     250    237,326 
Voya CLO Ltd. 2013-2A DR†   8.371%(3 Mo.
LIBOR + 5.60		%)#   4/25/2031     250    230,945 
Total                  2,221,317 
Total Asset-Backed Securities (cost $3,256,385)                  3,253,230 
                     
CONVERTIBLE BONDS 5.39%                    
                     
Building Materials 1.08%                    
                     
Patrick Industries, Inc.  1.00%   2/1/2023     250    224,375 

 

See Notes to Schedule of Investments.

1

Schedule of Investments (unaudited)(continued)

Lord Abbett Credit Opportunities Fund March 31, 2019

 

Investments  Interest
Rate		    Maturity
Date		    Principal
Amount
(000)		   Fair
Value		 
Electrical Equipment 0.99%                    
                     
NXP Semiconductors NV (Netherlands)(c)   1.00%   12/1/2019    $200   $205,308 
                     
Electrical: Household 0.83%                    
                     
SunPower Corp.  0.875%   6/1/2021     200    171,746 
                     
Lodging 0.80%                    
                     
Huazhu Group Ltd. (China)(c)   0.375%   11/1/2022     145    167,003 
                     
Technology 0.73%                    
                     
Ctrip.com International Ltd. (China)(c)   1.00%   7/1/2020     150    152,906 
                     
Transportation: Miscellaneous 0.96%                    
                     
Scorpio Tankers, Inc. (Monaco)(c)  3.00%   5/15/2022     225    199,418 
Total Convertible Bonds (cost $1,094,393)                  1,120,756 
                     
CORPORATE BONDS 50.31%                    
                     
Auto Parts: Original Equipment 1.29%                    
                     
Garrett LX I Sarl/Garrett Borrowing LLC†(a)  5.125%   10/15/2026    EUR 100    106,566 
Tenneco, Inc.  5.00%   7/15/2026    $200    161,000 
Total                  267,566 
                     
Automotive 3.34%                    
                     
Deck Chassis Acquisition, Inc.†  10.00%   6/15/2023     150    159,187 
General Motors Co.  6.75%   4/1/2046     200    208,836 
Mclaren Finance plc†(a)  5.00%   8/1/2022    GBP 100    124,490 
Navistar International Corp.†  6.625%   11/1/2025    $50    51,063 
Tesla, Inc.†  5.30%   8/15/2025     175    152,250 
Total                  695,826 
                     
Banks: Regional 3.56%                    
                     
KeyCorp  5.00%(3Mo.
LIBOR + 3.61		%)#   —(d)    125    122,379 
Macquarie Bank Ltd. (United Kingdom)†(c)  6.125%(5 Yr Swap
rate + 3.70		%)#   —(d)    200    184,847 
Turkiye Is Bankasi AS (Turkey)(c)  6.00%   10/24/2022     250    210,725 
Turkiye Vakiflar Bankasi TAO (Turkey)†(c)  5.75%   1/30/2023     250    221,942 
Total                  739,893 

 

See Notes to Schedule of Investments.

2

Schedule of Investments (unaudited)(continued)

Lord Abbett Credit Opportunities Fund March 31, 2019

 

Investments  Interest
Rate		    Maturity
Date		    Principal
Amount
(000)		   Fair
Value		 
Business Services 2.20%                    
                     
Ahern Rentals, Inc.†  7.375%   5/15/2023    $110   $101,887 
Jurassic Holdings III, Inc.†  6.875%   2/15/2021     165    156,750 
Verscend Escrow Corp.†  9.75%   8/15/2026     200    200,250 
Total                  458,887 
                     
Chemicals 1.21%                    
                     
Yingde Gases Investment Ltd. (Hong Kong)†(c)  6.25%   1/19/2023     250    252,768 
                     
Coal 1.41%                    
                     
Eterna Capital Pte Ltd. PIK 1.00% (Singapore)(c)  7.50%   12/11/2022     300    293,000 
                     
Computer Hardware 0.86%                    
                     
Banff Merger Sub, Inc.†(a)  8.375%   9/1/2026    EUR 100    111,418 
Diebold Nixdorf, Inc.  8.50%   4/15/2024    $75    67,125 
Total                  178,543 
                     
Construction/Homebuilding 2.14%                    
                     
PulteGroup, Inc.  7.875%   6/15/2032     200    226,000 
William Lyon Homes, Inc.  6.00%   9/1/2023     225    218,812 
Total                  444,812 
                     
Electric: Power 1.74%                    
                     
Eskom Holdings SOC Ltd. (South Africa)†(c)  8.45%   8/10/2028     250    263,221 
Pacific Gas & Electric Co.(e)  6.05%   3/1/2034     100    99,750 
Total                  362,971 
                     
Electronics 0.98%                    
                     
Trimble, Inc.  4.90%   6/15/2028     200    204,698 

 

See Notes to Schedule of Investments.

3

Schedule of Investments (unaudited)(continued)

Lord Abbett Credit Opportunities Fund March 31, 2019

 

Investments  Interest
Rate		    Maturity
Date		    Principal
Amount
(000)		   Fair
Value		 
Engineering & Contracting Services 1.10%                    
                     
Promontoria Holding 264 BV†(a)  6.75%   8/15/2023    EUR 200   $228,139 
                     
Entertainment 2.21%                    
                     
Buena Vista Gaming Authority†  13.00%   4/1/2023    $204    195,840 
Enterprise Development Authority (The)†  12.00%   7/15/2024     202    206,040 
Scientific Games International, Inc.  10.00%   12/1/2022     55    58,094 
Total                  459,974 
                     
Financial Services 1.91%                    
                     
GE Capital International Funding Co. Unlimited Co. (Ireland)(c)   4.418%   11/15/2035     200    185,628 
Travelport Corporate Finance plc (United Kingdom)†(c)   6.00%   3/15/2026     100    108,250 
VFH Parent LLC/Orchestra Co-Issuer, Inc.†  6.75%   6/15/2022     100    103,383 
Total                  397,261 
                     
Food 1.52%                    
                     
Fresh Market, Inc. (The)†  9.75%   5/1/2023     275    207,625 
Matterhorn Merger Sub LLC/Matterhorn Finance Sub, Inc.†   8.50%   6/1/2026     125    109,063 
Total                  316,688 
                     
Health Care Products 0.46%                    
                     
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA†   6.625%   5/15/2022     100    95,250 
                     
Health Care Services 3.78%                    
                     
CHS/Community Health Systems, Inc.  8.00%   11/15/2019     205    202,950 
HCA, Inc.  7.50%   11/6/2033     240    276,600 
Polaris Intermediate Corp. PIK 8.50%†  8.50%   12/1/2022     100    99,025 
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.†   9.75%   12/1/2026     200    208,000 
Total                  786,575 

 

See Notes to Schedule of Investments.

4

Schedule of Investments (unaudited)(continued)

Lord Abbett Credit Opportunities Fund March 31, 2019

 

Investments  Interest
Rate		    Maturity
Date		    Principal
Amount
(000)		   Fair
Value		 
Machinery: Agricultural 2.86%                    
                     
Kernel Holding SA (Ukraine)†(c)  8.75%   1/31/2022    $250   $256,459 
MHP Lux SA (Luxembourg)†(c)  6.95%   4/3/2026     250    236,040 
Pyxus International, Inc.  9.875%   7/15/2021     115    101,775 
Total                  594,274 
                     
Media 1.23%                    
                     
Altice Luxembourg SA†(a)  7.25%   5/15/2022    EUR 225    255,719 
                     
Metals & Minerals: Miscellaneous 1.43%                    
                     
New Gold, Inc. (Canada)†(c)  6.25%   11/15/2022    $100    88,500 
Vedanta Resources plc (India)†(c)  8.25%   6/7/2021     200    208,140 
Total                  296,640 
                     
Oil 4.25%                    
                     
California Resources Corp.†  8.00%   12/15/2022     125    98,475 
Citgo Holding, Inc.†  10.75%   2/15/2020     100    102,770 
Indigo Natural Resources LLC†  6.875%   2/15/2026     110    97,900 
MEG Energy Corp. (Canada)†(c)  6.50%   1/15/2025     200    197,750 
SRC Energy, Inc.  6.25%   12/1/2025     125    112,225 
Tapstone Energy LLC/Tapstone Energy Finance Corp.†  9.75%   6/1/2022     240    175,200 
YPF SA (Argentina)(c)  8.75%   4/4/2024     100    100,750 
Total                  885,070 
                     
Oil: Integrated Domestic 0.99%                    
                     
Transocean Proteus Ltd.†  6.25%   12/1/2024     200    206,250 
                     
Paper & Forest Products 1.01%                    
                     
Eldorado Intl. Finance GmbH (Austria)†(c)  8.625%   6/16/2021     200    209,302 

 

See Notes to Schedule of Investments.

5

Schedule of Investments (unaudited)(continued)

Lord Abbett Credit Opportunities Fund March 31, 2019

 

Investments  Interest
Rate		    Maturity
Date		    Principal
Amount
(000)		   Fair
Value		 
Real Estate 3.54%                    
                     
Agile Group Holdings Ltd.(China)(c)  10.215%(5 Yr. Treasury CMT + 7.46%)#   —(d)    $200   $203,500 
China Evergrande Group (China)(c)  8.25%   3/23/2022     250    245,935 
Geo Group, Inc. (The)  5.875%   1/15/2022     50    48,500 
Kaisa Group Holdings Ltd.  7.875%   6/30/2021     250    238,781 
Total                  736,716 
                     
Retail 1.42%                    
                     
Beacon Roofing Supply, Inc.†  4.875%   11/1/2025     100    95,375 
CEC Entertainment, Inc.  8.00%   2/15/2022     215    199,950 
Total                  295,325 
                     
Technology 1.01%                    
                     
Netflix, Inc.†(a)  4.625%   5/15/2029    EUR 175    209,786 
                     
Telecommunications 2.41%                    
                     
Frontier Communications Corp.  11.00%   9/15/2025    $150    99,588 
Intelsat Jackson Holdings SA (Luxembourg)(c)  5.50%   8/1/2023     125    111,562 
Sprint Capital Corp.  8.75%   3/15/2032     275    290,840 
Total                  501,990 
                     
Toys 0.45%                    
                     
Mattel, Inc.  5.45%   11/1/2041     125    93,125 
Total Corporate Bonds (cost $10,419,353)                  10,467,048 
                     
FLOATING RATE LOANS(f) 13.21%                    
                     
Advertising 0.71%                    
                     
ABG Intermediate Holdings 2 LLC 2nd Lien Initial Term Loan  —(g)   9/29/2025     150    148,500(h)

 

See Notes to Schedule of Investments.

6

Schedule of Investments (unaudited)(continued)

Lord Abbett Credit Opportunities Fund March 31, 2019

 

Investments  Interest
Rate		    Maturity
Date		    Principal
Amount
(000)		   Fair
Value		 
Aerospace/Defense 0.68%                    
                     
Jazz Acquisition, Inc. 2nd Lien Term Loan  9.351%(3 Mo.
LIBOR + 6.75		%)   6/19/2022    $150   $141,000 
                     
Business Services 0.72%                    
                     
KUEHG Corp. 2nd Lien Tranche B Term Loan  —(g)   8/18/2025     150    150,000 
                     
Computer Software 0.93%                    
                     
Nomad Buyer, Inc. Initial Term Loan  —(g)   8/1/2025     199    194,262 
                     
Electric: Power 1.03%                    
                     
Moxie Patriot LLC Construction Advances Term Loan B1  8.351%(3 Mo.
LIBOR + 5.75		%)   12/19/2020     224    214,677 
                     
Entertainment 1.56%                    
                     
Golden Entertainment, Inc. 2nd Lien Facility Term Loan B  —(g)   10/20/2025     175    172,156 
SMG US Midco 2, Inc. 2nd Lien Initial Term Loan  9.498%(1 Mo.
LIBOR + 7.00		%)   1/23/2026     150    152,063 
Total                  324,219 
                     
Health Care Services 1.63%                    
                     
CCS-CMGC Holdings, Inc. 1st Lien Initial Term Loan  7.998%(1 Mo.
LIBOR + 5.50		%)   9/20/2025     200    191,520(h)
CP VI Bella Midco, LLC 2nd Lien Initial Term Loan  9.248%(1 Mo.
LIBOR + 6.75		%)   12/28/2025     150    147,562 
Total                  339,082 
                     
Insurance 0.71%                    
                     
Vertafore, Inc. 2nd Lien Initial Term Loan  9.748%(1 Mo.
LIBOR + 7.25		%)   7/2/2026     150    148,500 
                     
Machinery: Oil Well Equipment & Services 0.72%                    
                     
Brookfield WEC Holdings Inc. 2nd Lien Initial Term Loan  —(g)   8/3/2026     150    150,713 

 

See Notes to Schedule of Investments.

7

Schedule of Investments (unaudited)(continued)

Lord Abbett Credit Opportunities Fund March 31, 2019

 

Investments  Interest
Rate		    Maturity
Date		    Principal
Amount
(000)		   Fair
Value		 
Media 2.36%                    
                     
Altice Financing SA March 2017 Refinancing Term Loan (Luxembourg)(c)   —(g)   7/15/2025    $200   $191,100 
MediArena Acquisition B.V. 1st Lien Dollar Term Loan B  (Netherlands)(c)   —(g)   8/13/2021     150    149,141 
MediArena Acquisition B.V. 2nd Lien Dollar Term Loan B  (Netherlands)(c)   11.807%(3 Mo.
LIBOR + 9.00		%)   8/13/2022     150    149,860 
Total                  490,101 
                     
Metal Fabricating 0.41%                    
                     
Doncasters US Finance LLC 2nd Lien Term Loan  10.851%(3 Mo.
LIBOR + 8.25		%)   10/9/2020     106    84,511 
                     
Oil: Integrated Domestic 0.20%                    
                     
Ulterra Drilling Technologies, LP Term Loan B  7.748%(1 Mo.
LIBOR + 5.25		%)   11/26/2025     46    42,673(h)
                     
Retail 0.96%                    
                     
Comfort Holding, LLC 2nd Lien Initial Term Loan  —(g)   2/3/2025     200    199,000 
                     
Transportation: Miscellaneous 0.59%                    
                     
Commercial Barge Line Co. Initial Term Loan  —(g)   11/12/2020     172    121,759 
Total Floating Rate Loans (cost $2,744,758)                  2,748,997 
                     
FOREIGN GOVERNMENT OBLIGATIONS 3.00%                    
                     
Angola 1.01%                    
                     
Republic of Angola†(c)  8.25%   5/9/2028     200    209,192 
                     
Argentina 1.46%                    
                     
Provincia de Cordoba†(c)  7.125%   6/10/2021     150    130,425 
Provincia of Neuquen Argentina†(c)  7.50%   4/27/2025     100    82,250 
Republic of Argentina(a)  3.375%   1/15/2023    EUR100    90,343 
Total                  303,018 

 

See Notes to Schedule of Investments.

8

Schedule of Investments (unaudited)(continued)

Lord Abbett Credit Opportunities Fund March 31, 2019

 

Investments  Interest
Rate		    Maturity
Date		    Principal
Amount
(000)		   Fair
Value		 
Egypt 0.53%                    
                     
Republic of Egypt†(a)  4.75%   4/16/2026    EUR 100   $110,847 
Total Foreign Government Obligations (cost $638,310)                  623,057 
                     
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 3.03%                    
                     
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY D†   3.805%#(i)   6/10/2027    $588    423,459 
Palisades Center Trust 2016-PLSD D†  4.737%   4/13/2033     225    207,214 
Total Non-Agency Commercial Mortgage-Backed Securities (cost $606,907)                  630,673 
                     
U.S. TREASURY OBLIGATIONS 6.35%                    
                     
U.S. Treasury Bill  Zero Coupon    5/30/2019     1,138    1,133,622 
U.S. Treasury Note  Zero Coupon    3/31/2024     80    79,602 
U.S. Treasury Note  2.50%   1/31/2024     107    108,310 
Total U.S. Treasury Obligations (cost $1,320,505)                  1,321,534 
Total Long-Term Investments (cost $20,080,611)                  20,165,295 
                     
SHORT-TERM INVESTMENTS 8.25%                    
                     
COMMERCIAL PAPER 2.40%                    
                     
Oil: Crude Producers                    
                     
ENABLE MIDSTREAM  3.042%   4/1/2019     250    250,000 
Energy Transfer Partners  3.093%   4/1/2019     250    250,000 
Total                  500,000 
Total Commercial Paper (cost $500,000)                  500,000 

 

See Notes to Schedule of Investments.

9

Schedule of Investments (unaudited)(continued)

Lord Abbett Credit Opportunities Fund March 31, 2019

 

Investments            Principal
Amount
(000)		   Fair
Value		 
REPURCHASE AGREEMENT                    
                     
Repurchase Agreement dated 3/29/2019, 1.45% due 4/1/2019 with Fixed Income Clearing Corp. collateralized by $1,225,000 of U.S. Treasury Note at 2.625% due 7/15/2021; value: $1,242,355; proceeds: $1,217,879
(cost $1,217,732)		    $1,218   $1,217,732 
Total Short-Term Investments (cost $1,717,732)          1,717,732 
Total Investments in Securities 105.18% (cost $21,798,343)          21,883,027 
Liabilities in Excess of Cash, Foreign Cash and Other Assets(j) (5.18%)          (1,078,410)
Net Assets 100.00%                 $20,804,617 

 

 
CAD Canadian dollar.
EUR euro.
GBP British pound.
LIBOR  London Interbank Offered Rate.
PIK Payment-in-kind.
   
† Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers.
# Variable rate security.  The interest rate represents the rate in effect at March 31, 2019.
(a) Investment in non-U.S. dollar denominated securities.
(b) Level 3 Investment as described in Note 2(b) 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.
(c) Foreign security traded in U.S. dollars.
(d) Security is perpetual in nature and has no stated maturity.
(e) Defaulted (non-income producing security).
(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 March 31, 2019.
(g) Interest rate to be determined.
(h) Level 3 Investment as described in Note 2(b) 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.
(i) Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool.
(j) Liabilities in Excess of Cash, Foreign Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows:

 

See Notes to Schedule of Investments.

10

Schedule of Investments (unaudited)(continued)

Lord Abbett Credit Opportunities Fund March 31, 2019

 

Credit Default Swaps on Indexes - Sell Protection at March 31, 2019(1):

 

Referenced
Index*		  Swap
Counterparty		  Fund
Receives
(Quarterly)		   Termination
Date		  Notional
Amount		   National
Value		   Payments
Upfront(2)		   Unrealized
Depreciation(3)		   Credit
Default
Swap
Agreements
Payable at
Fair Value(4)		 
Markit CMBX NA.BB10  Morgan Stanley   5.00%  11/17/2059   $1,470,000   $1,297,704   $(171,372)  $(924)  $(172,296)

 

 
* The Referenced Index is for Credit Default Swaps on Indexes, which is comprised of a basket of commercial mortgaged-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 $924.
(4) Includes upfront payments received.

 

Open Forward Foreign Currency Exchange Contracts at March 31, 2019:

 

Forward
Foreign Currency
Exchange Contracts		  Transaction
Type		  Counterparty  Expiration
Date		  Foreign
Currency		   U.S. $ Cost on
Origination
Date		   U.S. $
Current
Value		   Unrealized
Appreciation		 
British pound  Sell  Morgan Stanley  5/21/2019   96,000   $126,022   $125,340   $682 
Canadian dollar  Sell  Goldman Sachs  6/19/2019   150,000    112,828    112,464    364 
euro  Sell  Morgan Stanley  5/21/2019   195,000    222,567    219,644    2,923 
euro  Sell  Morgan Stanley  5/21/2019   285,000    325,690    321,018    4,672 
euro  Sell  Morgan Stanley  5/21/2019   222,000    254,061    250,056    4,005 
euro  Sell  Morgan Stanley  5/21/2019   189,000    215,880    212,886    2,994 
euro  Sell  Morgan Stanley  5/21/2019   107,000    122,518    120,523    1,995 
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts         $17,635 

 

Open Futures Contracts at March 31, 2019:

 

Type  Expiration  Contracts   Position  Notional
Amount		   Notional
Value		   Unrealized
Depreciation		 
U.S. 10-Year Ultra Treasury Bond  June 2019   2   Short  $(260,684)  $(265,562)  $(4,878)
U.S. Ultra Treasury Bond  June 2019   1   Short   (162,217)   (168,000)   (5,783)
Total Unrealized Depreciation on Open Futures Contracts     $(10,661)

 

See Notes to Schedule of Investments.

11

Schedule of Investments (unaudited)(continued)

Lord Abbett Credit Opportunities Fund March 31, 2019

 

The following is a summary of the inputs used as of March 31, 2019 in valuing the Fund’s investments carried at fair value(1):

 

Investment Type(2)(3)   Level 1   Level 2   Level 3   Total 
Long-Term Investments                    
Asset-Backed Securities                    
Other  $—   $2,108,587   $112,730   $2,221,317 
Remaining Industries   —    1,031,913    —    1,031,913 
Convertible Bonds   —    1,120,756    —    1,120,756 
Corporate Bonds   —    10,467,048    —    10,467,048 
Floating Rate Loans                    
Advertising   —    —    148,500    148,500 
Health Care Services   —    147,562    191,520    339,082 
Oil: Integrated Domestic   —    —    42,673    42,673 
Remaining Industries   —    2,218,742    —    2,218,742 
Foreign Government Obligations   —    623,057    —    623,057 
Non-Agency Commercial Mortgage-Backed Securities   —    630,673    —    630,673 
U.S. Treasury Obligations   —    1,321,534    —    1,321,534 
Short-Term Investments                    
Commercial Paper   —    500,000    —    500,000 
Repurchase Agreement   —    1,217,732    —    1,217,732 
Total  $—   $21,387,604   $495,423   $21,883,027 
Other Financial Instruments                    
Credit Default Swap Contracts                    
Assets  $—   $—   $—   $— 
Liabilities   —    (172,296)   —    (172,296)
Forward Foreign Currency Exchange Contracts                    
Assets   —    17,635    —    17,635 
Liabilities   —   —  —   —
Futures Contracts                    
Assets   —   —  —   —
Liabilities   (10,661)   —    —    (10,661)
Total  $(10,661)  $(154,661)  $—   $(165,322)

 

 
(1) Refer to Note 2(b) 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.
(3) There were no Level 1/Level 2 transfers during the period ended March 31, 2019.

 

See Notes to Schedule of Investments.

12

Schedule of Investments (unaudited)(concluded)

Lord Abbett Credit Opportunities Fund March 31, 2019

 

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

 

Investment Type  Asset-Backed Securities   Floating Rate Loans 
Balance as of  February 15, 2019  $—   $— 
Accrued Discounts (Premiums)   —    101 
Realized Gain (Loss)   —    27 
Change in Unrealized Appreciation (Depreciation)   375    (327)
Purchases   112,355    383,507 
Sales   —    (615)
Transfers into Level 3   —    — 
Transfers out of Level 3   —    — 
Balance as of March 31, 2019  $112,730   $382,693 
Change in unrealized appreciation/depreciation for period ended March 31, 2019, related to Level 3 investments held at March 31, 2019  $375   $(327)

 

See Notes to Schedule of Investments.

13

Notes to Schedule of Investments (unaudited)

 

1. ORGANIZATION

 

Lord Abbett Credit Opportunities Fund (the “Fund”) is a newly organized, non-diversified, closed-end management investment company that continuously offers its shares. The Fund was organized as a Delaware statutory trust on September 18, 2018.

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

(a)Investment Valuation-Under procedures approved by the Fund’s Board of Trustees (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. 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. 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. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available.

 

Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values, yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and may employ techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee.

 

Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value.

 

(b)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:
14

Notes to Schedule of Investments (unaudited)(concluded)

 

·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 March 31, 2019 and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the period then ended is included in the Fund’s Schedule of Investments.

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

3. FEDERAL TAX INFORMATION

 

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 generally three years after the filing of the tax return. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

15