Form NPORT-P Lord Abbett Special Situ For: Mar 31

  
    NPORT-P
    false
    
      
      
        
          0001855299
          XXXXXXXX
        
      
      
      
      
      
    
  
  
    
      Lord Abbett Special Situations Income Fund
      811-23655
      0001855299
      549300ZRH75YZ7Q4LI23
      90 HUDSON STREET
      JERSEY CITY
      
      07302
      201-827-2000
      Lord Abbett Special Situations Income Fund
      549300ZRH75YZ7Q4LI23
      2022-12-31
      2022-03-31
      N
    
    
      62341747.99
      2524627.98
      59817120.01
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      2073655.75000000
      0.00000000
      0.00000000
      0.00000000
      
        
          EUR
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        USIC Holdings, Inc.
        5493009ZYUWB7X699U62
        
        90290HAR3
        
          
        
        250000.00000000
        PA
        USD
        247812.50000000
        0.414283569584
        Long
        LON
        CORP
        US
        N
        
        2
        
          2029-05-14
          Floating
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Berry Petroleum Co LLC
        DQ2XTZKV7SILNNV77403
        
        08580BAA4
        
          
        
        1525000.00000000
        PA
        USD
        1507508.25000000
        2.520195304869
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Riverbed Technology, Inc.
        XWT9B0BASIY6FJ5R7M02
        
        000000000
        
          
        
        1206000.01000000
        PA
        USD
        1044697.51000000
        1.746485805109
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-12-08
          Floating
          7.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        AMC Entertainment Holdings, Inc.
        549300ZO77UNR6NRBR11
        
        00164DAQ6
        
          
        
        109156.01000000
        PA
        USD
        97699.00000000
        0.163329494940
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-04-22
          Floating
          3.35200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARTY CITY HOLDINGS INC
        5493005PYM1JS6EZN307
        
        702150AC7
        
          
        
        1286000.00000000
        PA
        USD
        1150924.99000000
        1.924072890516
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-15
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MRT MID PART/MRT MID FIN
        N/A
        
        573334AH2
        
          
        
        890000.00000000
        PA
        USD
        911965.20000000
        1.524588946855
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-28
          Fixed
          11.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Engineered Machinery Holdings, Inc.
        5493008AR0NPSLW8EW07
        
        26658NAN9
        
          
        
        2029999.97000000
        PA
        USD
        2021118.72000000
        3.378829872889
        Long
        LON
        CORP
        US
        N
        
        2
        
          2029-05-21
          Floating
          7.50600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altar Bidco, Inc.
        N/A
        
        000000000
        
          
        
        750000.00000000
        PA
        USD
        742500.00000000
        1.241283431692
        Long
        LON
        CORP
        US
        N
        
        2
        
          2030-02-01
          Floating
          6.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Think & Learn Private Limited
        254900EAJ040Y8AVVN71
        
        000000000
        
          
        
        927272.00000000
        PA
        USD
        919450.46000000
        1.537102521562
        Long
        LON
        CORP
        US
        
        N
        
        2
        
          2026-11-05
          Floating
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citgo Petroleum Corporation
        YX52P86PXMLYDOTUQ225
        
        17302UAM4
        
          
        
        1492327.37000000
        PA
        USD
        1491528.97000000
        2.493481748620
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-03-28
          Floating
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chassix Inc.
        2549001WCU4UIV6EH563
        
        16169TAD1
        
          
        
        2113989.64000000
        PA
        USD
        1895191.71000000
        3.168309857918
        Long
        LON
        CORP
        US
        N
        
        2
        
          2023-11-15
          Floating
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vue International Bidco p.l.c.
        2138002KEV3Y56IJTC64
        
        000000000
        
          
        
        1630000.00000000
        PA
        
        1568321.99000000
        2.621861416493
        Long
        LON
        CORP
        GB
        N
        
        2
        
          2026-07-03
          Floating
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asurion LLC
        549300KNQVXGIOXWK278
        
        04649VBA7
        
          
        
        1200000.00000000
        PA
        USD
        1174878.00000000
        1.964116627152
        Long
        LON
        CORP
        US
        N
        
        2
        
          2029-01-20
          Floating
          5.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP CPP Holdings, LLC
        549300HT8KGOLU7VM426
        
        92937JAP8
        
          
        
        1769799.79000000
        PA
        USD
        1732934.86000000
        2.897054989792
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-04-30
          Floating
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LBM ACQUISITION LLC
        549300FAEB3VWZL4NI86
        
        05552BAA4
        
          
        
        1200000.00000000
        PA
        USD
        1125486.00000000
        1.881544948690
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fixed Income Clearing Corp
        549300H47WTHXPU08X20
        
        000000000
        
          
        
        5728939.86000000
        PA
        USD
        5728939.86000000
        9.577425090078
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
          N
          0.00000000
          2022-04-01
          
            
              6238700.00000000
              USD
              5843535.04000000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        ECL Entertainment, LLC
        N/A
        
        000000000
        
          
        
        1228853.04000000
        PA
        USD
        1242677.64000000
        2.077461502312
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-03-31
          Floating
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KUEHG Corp.
        549300YNT566T1NYJX62
        
        50118YAB5
        
          
        
        300000.00000000
        PA
        USD
        299751.00000000
        0.501112390482
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-08-22
          Floating
          9.25600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
        
        -20.00000000
        NC
        USD
        51836.56000000
        0.086658401459
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 2 Year US Treasury Note Future
                TUM2 COMDTY
              
            
            2022-06-30
            -4290274.08000000
            USD
            51836.56000000
          
        
        
          N
          N
          N
        
      
      
        Tank Holding Corp.
        N/A
        
        000000000
        
          
        
        1400000.00000000
        PA
        USD
        1382500.00000000
        2.311211238135
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-03-31
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRANITE US HOLDINGS CORP
        N/A
        
        38748YAA0
        
          
        
        2250000.00000000
        PA
        USD
        2376438.75000000
        3.972840467081
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-01
          Fixed
          11.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alloy Finco Limited
        N/A
        
        25769EAC1
        
          
        
        2100000.00000000
        PA
        USD
        2094750.00000000
        3.501923863351
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-03-06
          Floating
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL CINEMEDIA LLC
        7LJEQIVQVLNGS4X6T547
        
        63530QAJ8
        
          
        
        1325000.00000000
        PA
        USD
        1159891.75000000
        1.939063180918
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FERROGLOBE / GLOBE SPEC
        N/A
        
        000000000
        
          
        
        1685000.00000000
        PA
        USD
        1716593.75000000
        2.869736539828
        Long
        DBT
        CORP
        GB
        
        Y
        
        3
        
          2025-12-31
          Fixed
          9.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AP Core Holdings II, LLC
        549300PND8ZZ4RWYRZ56
        
        000000000
        
          
        
        1462500.00000000
        PA
        USD
        1457929.69000000
        2.437311742451
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-09-01
          Floating
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NABORS INDUSTRIES INC
        549300VFQWRKICUFNU92
        
        62957HAH8
        
          
        
        1765000.00000000
        PA
        USD
        1840542.00000000
        3.076948538632
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAREDO PETROLEUM INC
        549300X0PTWU2QSLSL14
        
        516806AH9
        
          
        
        1225000.00000000
        PA
        USD
        1234065.00000000
        2.063063216339
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-31
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ulterra Drilling Technologies, LP
        54930015GKWCWUK75Q85
        
        05550UAB2
        
          
        
        1688457.58000000
        PA
        USD
        1642025.00000000
        2.745075322458
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-11-26
          Floating
          5.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Optiv Security, Inc.
        549300VZRXJMEDMZX746
        
        68404XAD8
        
          
        
        1000000.00000000
        PA
        USD
        991000.00000000
        1.656716337788
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-02-01
          Floating
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ECO MATERIAL TECH INC
        N/A
        
        27900QAA4
        
          
        
        1213000.00000000
        PA
        USD
        1208160.13000000
        2.019756433940
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-31
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN AIRLINES GROUP
        N/A
        
        02376RAE2
        
          
        
        1350000.00000000
        PA
        USD
        1233177.75000000
        2.061579945329
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOUNDATION BUILDING M
        549300ZVE6MONHB01I28
        
        350392AA4
        
          
        
        1225000.00000000
        PA
        USD
        1104876.50000000
        1.847090765679
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PEABODY ENERGY CORPORATION
        EJCO258LNNVSKAR2JX59
        
        69291DAB0
        
          
        
        1324855.70000000
        PA
        USD
        1340866.58000000
        2.241610060423
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-12-31
          Floating
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Miller's Ale House, Inc.
        N/A
        
        60063GAG7
        
          
        
        1878929.60000000
        PA
        USD
        1851919.99000000
        3.095969832199
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-05-30
          Floating
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magenta Buyer LLC
        N/A
        
        55910RAE3
        
          
        
        1825000.00000000
        PA
        USD
        1813593.75000000
        3.031897472992
        Long
        LON
        CORP
        US
        N
        
        2
        
          2029-07-27
          Floating
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        
        000000000
        
          
        
        1.00000000
        NC
        
        -17522.67000000
        -0.02929373730
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            1427000.00000000
            EUR
            1564962.36000000
            USD
            2022-06-10
            -17522.67000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
        
        -15.00000000
        NC
        USD
        40869.63000000
        0.068324302462
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-06-30
            -1761182.13000000
            USD
            40869.63000000
          
        
        
          N
          N
          N
        
      
      
        American Money Management Corporation
        N/A
        
        00177MAA6
        
          
        
        250000.00000000
        PA
        USD
        243358.07000000
        0.406836821898
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-01-20
          Floating
          6.80400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLIANCE RES OP/FINANCE
        N/A
        
        01879NAA3
        
          
        
        1200000.00000000
        PA
        USD
        1198500.00000000
        2.003606993783
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATURAL RESRCE PART LP
        N/A
        
        63902MAE8
        
          
        
        1465000.00000000
        PA
        USD
        1500511.60000000
        2.508498569889
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-30
          Fixed
          9.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Travel Leaders Group, LLC
        549300ELYRGQJOXAK024
        
        89416FAQ0
        
          
        
        1896001.15000000
        PA
        USD
        1795873.33000000
        3.002273144711
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-01-25
          Floating
          4.45700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLTEC INTERNATIONAL
        549300MW4UJ1X7Q4F350
        
        95039LAA6
        
          
        
        1787000.00000000
        PA
        USD
        1835892.27000000
        3.069175295790
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2026-10-15
          Fixed
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Invesco Senior Loan ETF
        549300SIHU6DQELRNG59
        
        46138G508
        
          
        
        41000.00000000
        NS
        USD
        892570.00000000
        1.492164784681
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        GLOBAL AIR LEASE CO LTD
        N/A
        
        37960JAA6
        
          
        
        1860000.00000000
        PA
        USD
        1692228.00000000
        2.829002800063
        Long
        DBT
        CORP
        KY
        N
        
        2
        
          2024-09-15
          Fixed
          6.50000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Drive Chassis HoldCo, LLC
        5493002KRH4K9TQNG877
        
        000000000
        
          
        
        2070000.00000000
        PA
        USD
        2068706.25000000
        3.458384906618
        Long
        LON
        CORP
        US
        N
        
        3
        
          2026-04-10
          Floating
          6.98800000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-04-27
      Lord Abbett Special Situations Income Fund
      Michael Hebert
      Michael Hebert
      Chief Financial Officer
    
  
  XXXX

Schedule of Investments (unaudited)

March 31, 2022

 

Investments		Interest Rate		Maturity Date		Principal Amount				Fair Value
LONG-TERM INVESTMENTS 91.66%
ASSET-BACKED SECURITIES 0.41%
Other
AMMC CLO Ltd. 2021 24A E† (cost $246,907)		6.805% (3 Mo. LIBOR + 6.57%)	#	1/20/2035		$	250,000			$	243,358
CORPORATE BONDS 38.10%
Advertising 1.94%
National CineMedia LLC†		5.875%		4/15/2028			1,325,000				1,159,892
Airlines 2.06%
American Airlines Group, Inc.†		3.75%		3/1/2025			1,350,000				1,233,178
Building Materials 2.02%
Eco Material Technologies, Inc.†		7.875%		1/31/2027			1,213,000				1,208,160
Coal 4.51%
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp.†		7.50%		5/1/2025			1,200,000				1,198,500
Natural Resource Partners LP/NRP Finance Corp.†		9.125%		6/30/2025			1,465,000				1,500,511
Total											2,699,011
Diversified Financial Services 2.82%
Global Aircraft Leasing Co. Ltd. PIK 7.25% (Cayman Islands)†(a)		6.50%		9/15/2024			1,860,000				1,686,855
Machinery-Diversified 3.97%
Granite US Holdings Corp.†		11.00%		10/1/2027			2,250,000				2,376,439
Mining 2.87%
Ferroglobe PLC/Globe Specialty Metals, Inc. (United Kingdom)(a)		9.375%		12/31/2025			1,685,000				1,716,594	(b)
Oil & Gas 7.66%
Berry Petroleum Co. LLC†		7.00%		2/15/2026			1,525,000				1,507,508
Laredo Petroleum, Inc.†		7.75%		7/31/2029			1,225,000				1,234,065
Nabors Industries, Inc.†		9.00%		2/1/2025			1,765,000				1,840,542
Total											4,582,115
Oil & Gas Services 3.07%
Welltec International ApS (Denmark)†(a)		8.25%		10/15/2026			1,787,000				1,835,892

See Notes to Schedule of Investments.

1

Schedule of Investments (unaudited)(continued)

March 31, 2022

 

Investments		Interest Rate		Maturity Date		Principal Amount				Fair Value
Pipelines 1.53%
Martin Midstream Partners LP/Martin Midstream Finance Corp.†		11.50%		2/28/2025		$	890,000			$	911,965
Retail 5.65%
Foundation Building Materials, Inc.†		6.00%		3/1/2029			1,225,000				1,104,876
LBM Acquisition LLC†		6.25%		1/15/2029			1,200,000				1,125,486
Party City Holdings, Inc.†		6.125%		8/15/2023			1,286,000				1,150,925
Total											3,381,287
Total Corporate Bonds (cost $23,195,594)											22,791,388
						Shares
EXCHANGE-TRADED FUND 1.49%
Exchange- Traded Funds
Invesco Senior Loan ETF (cost $908,622)							41,000				892,570
						Principal Amount
FLOATING RATE LOANS(c) 51.66%
Aerospace 6.40%
Alloy Finco Limited 2020 USD Term Loan B2 (Jersey)(a)		8.50% (3 Mo. LIBOR + 6.50%)		3/6/2024		$	2,100,000				2,094,750
WP CPP Holdings, LLC 2018 2nd Lien Term Loan		8.75% (3 Mo. LIBOR + 7.75%)		4/30/2026			1,769,800				1,732,935
Total											3,827,685
Energy 5.23%
Citgo Petroleum Corporation 2019 Term Loan B		7.25% (1 Mo. LIBOR + 6.25%)		3/28/2024			1,488,491				1,487,695
Ulterra Drilling Technologies, LP Term Loan B		5.707% (1 Mo. LIBOR + 5.25%)		11/26/2025			1,688,458				1,642,025
Total											3,129,720
Financial 1.96%
Asurion LLC 2021 Second Lien Term Loan B4		5.707% (1 Mo. LIBOR + 5.25%)		1/20/2029			1,200,000				1,174,878

2	See Notes to Schedule of Investments.

Schedule of Investments (unaudited)(continued)

March 31, 2022

 

Investments

Interest Rate

Maturity Date

Principal Amount

Fair Value

Food/Tobacco 3.10%

Miller’s Ale House, Inc. 2018 Term Loan

7.25% (Prime Rate + 3.75%)

5/30/2025

$

1,878,930

$

1,851,920

Gaming/Leisure 5.08%

ECL Entertainment, LLC Term Loan

8.25% (1 Mo. LIBOR + 7.50%)

3/31/2028

1,227,516

1,241,326

Travel Leaders Group, LLC 2018 Term Loan B

4.457% (1 Mo. LIBOR + 4.00%)

1/25/2024

1,896,001

1,795,873

Total

3,037,199

Information Technology 10.11%

Altar Bidco, Inc. 2021 2nd Lien Term Loan

6.10% (1 Mo. LIBOR + 5.60%)

2/1/2030

750,000

742,500

AP Core Holdings II, LLC Amortization Term Loan B1

6.25% (1 Mo. LIBOR + 5.50%)

9/1/2027

1,462,500

1,457,930

Magenta Buyer LLC 2021 USD 2nd Lien Term Loan

9.00% (3 Mo. LIBOR + 8.25%)

7/27/2029

1,825,000

1,813,594

Optiv Security, Inc. 2nd Lien Term Loan

8.25% (6 Mo. LIBOR + 7.25%)

2/1/2025

1,000,000

991,000

Riverbed Technology, Inc. 2021 PIK Exit Term Loan PIK 2.00%

7.00% (3 Mo. LIBOR + 6.00%)

12/8/2026

1,206,000

1,044,697

Total

6,049,721

Manufacturing 6.16%

AMC Entertainment Holdings, Inc. 2019 Term Loan B

3.352% (1 Mo. LIBOR + 3.00%)

4/22/2026

109,156

97,699

Engineered Machinery Holdings, Inc. 2021 USD 2nd Lien Incremental Term Loan

7.506% (3 Mo. LIBOR + 6.50%)

5/21/2029

2,030,000

2,021,119

Vue International Bidco p.l.c. 2019 EUR Term Loan B(d)

4.75% (6 Mo. EURIBOR + 4.75%)

7/3/2026

EUR

1,630,000

1,568,322

Total

3,687,140

	See Notes to Schedule of Investments.	3

Schedule of Investments (unaudited)(continued)

March 31, 2022

 

Investments

Interest Rate

Maturity Date

Principal Amount

Fair Value

Media/Telecommunications 6.62%

Chassix Inc. 2017 1st Lien Term Loan

6.50% (3 Mo. LIBOR + 5.50%) (6 Mo. LIBOR + 5.50%)

11/15/2023

$

2,108,484

$

1,890,256

Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan

6.988% (3 Mo. LIBOR + 6.75%)

4/10/2026

2,070,000

2,068,706

(e)

Total

3,958,962

Metals/Minerals 4.55%

Peabody Energy Corporation 2021 Term Loan

10.00% (3 Mo. LIBOR + 10.00%)

12/31/2024

1,324,856

1,340,867

Tank Holding Corp. 2022 Term Loan

–

(f)

3/31/2028

1,400,000

1,382,500

Total

2,723,367

Service 2.03%

KUEHG Corp. 2017 2nd Lien Term Loan

9.256% (3 Mo. LIBOR + 8.25%)

8/22/2025

300,000

299,751

Think & Learn Private Limited Term Loan B (India)(a)

6.25% (3 Mo. LIBOR + 5.50%)

11/5/2026

924,954

917,152

Total

1,216,903

Utility 0.42%

USIC Holdings, Inc. 2021 2nd Lien Term Loan

7.25% (1 Mo. LIBOR + 6.50%)

5/14/2029

250,000

247,812

Total Floating Rate Loans (cost $31,550,925)

30,905,307

Total Long-Term Investments (cost $55,902,048)

54,832,623

SHORT-TERM INVESTMENTS 9.58%

REPURCHASE AGREEMENTS 9.58%

Repurchase Agreement dated 3/31/2022, 0.00% due 4/1/2022 with Fixed Income Clearing Corp. collateralized by $6,238,700 of U.S. Treasury Note at 1.25% due 04/30/2028; value: $5,843,535; proceeds: $5,728,940 (cost $5,728,940)

5,728,940

5,728,940

Total Investments in Securities 101.24% (cost $61,630,988)

60,561,563

Other Assets and Liabilities – Net(g) (1.24)%

(740,537

)

Net Assets 100.00%

$

59,821,026

4	See Notes to Schedule of Investments.

Schedule of Investments (unaudited)(continued)

March 31, 2022

 

EUR		Euro.
ETF		Exchange Traded Fund.
EURIBOR		Euro Interbank Offered Rate.
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. At March 31, 2022, the total value of Rule 144A securities was $21,318,152, which represents 35.64% of net assets.
#		Variable rate security. The interest rate represents the rate in effect at March 31, 2022.
(a)		Foreign security traded in U.S. dollars.
(b)		Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. 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)		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, 2022.
(d)		Investment in non-U.S. dollar denominated securities.
(e)		Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. 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.
(f)		Interest rate to be determined.
(g)		Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts and futures contracts as follows:

 

Open Forward Foreign Currency Exchange Contracts at March 31, 2022:

 

Forward Foreign Currency Exchange Contracts

Transaction Type

Counterparty

Expiration Date

Foreign Currency

U.S. $ Cost on Origination Date

U.S. $ Current Value

Unrealized Depreciation

Euro

Sell

Morgan Stanley

6/10/2022

1,427,000

$1,564,962

$1,582,485

$(17,523)

 

Open Futures Contracts at March 31, 2022:

 

Type		Expiration		Contracts		Position		Notional Amount				Notional Value				Unrealized Appreciation
U.S. 2-Year Treasury Note		June 2022		20		Short			$(4,290,274	)			$(4,238,438	)			$	51,836
U.S. 5-Year Treasury Note		June 2022		15		Short			(1,761,183	)			(1,720,313	)				40,870
Total Unrealized Appreciation on Open Futures Contracts																	$	92,706

See Notes to Schedule of Investments.

5

Schedule of Investments (unaudited)(concluded)

March 31, 2022

 

The following is a summary of the inputs used as of March 31, 2022 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		$	–			$	243,358			$	–			$	243,358
Corporate Bonds
Mining			–				–				1,716,594				1,716,594
Remaining Industries			–				21,074,794				–				21,074,794
Exchange-Traded Fund			892,570				–				–				892,570
Floating Rate Loans
Media/Telecommunications			–				1,890,256				2,068,706				3,958,962
Remaining Industries			–				26,946,345				–				26,946,345
Short-Term Investments
Repurchase Agreements			–				5,728,940				–				5,728,940
Total		$	892,570			$	55,883,693			$	3,785,300			$	60,561,563
Other Financial Instruments
Forward Foreign Currency Exchange Contracts
Assets		$	–			$	(17,523	)		$	–			$	(17,523	)
Liabilities			–				–				–				–
Futures Contracts
Assets			92,706				–				–				92,706
Liabilities			–				–				–				–
Total		$	92,706			$	(17,523	)		$	–			$	75,183

	(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. When applicable each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized.

 

A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the period in relation to the Fund’s net assets.

 

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

 

Investment Type		Corporate Bonds				Floating Rate Loans
Balance as of January 1, 2022		$	1,739,763			$	–
Accrued Discounts (Premiums)			(2,048	)			(1,969	)
Realized Gain (Loss)			–				–
Change in Unrealized Appreciation (Depreciation)			(21,121	)			(12,262	)
Purchases			–				–
Sales			–				–
Transfers into Level 3			–				2,082,937
Transfers out of Level 3			–				–
Balance as of March 31, 2022		$	1,716,594			$	2,068,706
Change in unrealized appreciation/depreciation for the period ended March 31, 2022, related to Level 3 investments held at March 31, 2022		$	(21,121	)		$	(12,262	)

6	See Notes to Schedule of Investments.

Notes to Schedule of Investments (unaudited)

 

1.	ORGANIZATION

 

Lord Abbett Special Situations Income Fund (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a non-diversified, closed-end management investment company that continuously offers its common shares (the “Shares”) and is operated as an interval fund. The Fund was organized as a Delaware statutory trust on April 1, 2021. The Fund had a sale to Lord, Abbett and Co. LLC (“Lord Abbett”) of 10,000 shares of common stock for $100,000 ($10.00 per share). The Fund commenced operations on September 8, 2021.

 

2.	SIGNIFICANT ACCOUNTING POLICIES

(a)	Investment Valuation–Under procedures approved by the Fund’s Board of Directors (the “Board”), 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. When valuing foreign equity securities that meet certain criteria, the Board has approved the use of an independent fair valuation service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that correlate to the fair-valued 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.
	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.

 

7

Notes to Schedule of Investments (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)	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 March 31, 2022 and, if applicable, 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. 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 returns. The statutes of limitations on the Fund’s, state and local tax returns may remain open for an additional year depending upon the jurisdiction.

 

8

Notes to Schedule of Investments (unaudited)(concluded)

 

4.	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 its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or becomes insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan.

 

The initial collateral received by the Funds is required to have a value equal to at least 100% of the market value of the securities loaned. The collateral must be marked-to-market daily to cover increases in the market value of the securities loaned (or potentially a decline in the value of the collateral). In general, the risk of borrower default will be borne by Citibank, N.A.; the Fund will bear the risk of loss with respect to the investment of the cash collateral. The advantage of such loans is that the Fund continues to receive income on loaned securities while receiving a portion of any securities lending fees and earning returns on the cash amounts which may be reinvested for the purchase of investments in securities.

 

As of March 31, 2022 the fund did not loan any securities.

 

9

QPHR-LA-SSIF-1Q
(05/22)

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