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 811-21779
JOHN HANCOCK FUNDS II
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(Exact name of registrant as specified in charter)
200 BERKELEY STREET, BOSTON, MA 02116
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(Address of principal executive offices) (Zip code)
SALVATORE SCHIAVONE, 200 Berkeley Street, BOSTON, MA 02116
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(Name and address of agent for service)
Registrant's telephone number, including area code: (617) 543-9634
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Date of fiscal year end: August 31
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Date of reporting period: August 31, 2022
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ITEM 1. REPORTS TO STOCKHOLDERS.
The Registrant prepared the following annual reports to shareholders, including twelve funds, for the period ended August 31, 2022:
•Strategic Income Opportunities Fund
•Floating Rate Income Fund
•Opportunistic Fixed Income Fund
•John Hancock Funds II - Underlying Funds Capital Appreciation Fund
Capital Appreciation Value Fund Core Bond Fund
Health Sciences Fund High Yield Fund
International Strategic Equity Allocation Fund Mid Value Fund
Science & Technology Fund U.S. Sector Rotation Fund
Manulife Investment Management
John Hancock Investment Management
Head of Wealth and Asset Management,
United States and Europe
ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 1 |
2 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 3 |
4 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT |
NET CURRENCY EXPOSURE AS OF 8/31/2022 (% of net assets) | |
United States Dollar | 90.9 |
Indonesian Rupiah | 2.1 |
New Zealand Dollar | 1.6 |
Other Currencies | 1.5 |
Canadian Dollar | 1.3 |
Chinese Yuan Renminbi | 1.3 |
Korean Won | 1.3 |
Malaysian Ringgit | 1.2 |
Singapore Dollar | (1.2) |
TOTAL | 100.0 |
Net currency exposure, after taking into account the effects of forward foreign currency exchange contracts. |
COUNTRY COMPOSITION AS OF 8/31/2022 (% of net assets) | |
United States | 59.6 |
Canada | 6.7 |
Indonesia | 3.7 |
Luxembourg | 2.8 |
Mexico | 2.3 |
Norway | 2.1 |
United Kingdom | 1.9 |
South Korea | 1.7 |
Supranational | 1.6 |
New Zealand | 1.4 |
Other countries | 16.2 |
TOTAL | 100.0 |
ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 5 |
6 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT |
Average annual total returns (%) with maximum sales charge | Cumulative total returns (%) with maximum sales charge | SEC 30-day yield (%) subsidized | SEC 30-day yield (%) unsubsidized† | |||||
1-year | 5-year | 10-year | 5-year | 10-year | as of 8-31-22 | as of 8-31-22 | ||
Class A | -14.20 | -0.24 | 1.92 | -1.18 | 20.96 | 3.60 | 3.55 | |
Class C | -12.06 | -0.09 | 1.64 | -0.46 | 17.65 | 3.03 | 2.98 | |
Class I1 | -10.30 | 0.91 | 2.67 | 4.62 | 30.16 | 4.05 | 4.00 | |
Class R21 | -10.71 | 0.51 | 2.28 | 2.57 | 25.26 | 3.68 | 3.63 | |
Class R61 | -10.28 | 1.00 | 2.76 | 5.09 | 31.26 | 4.17 | 4.12 | |
Class NAV1 | -10.28 | 1.03 | 2.78 | 5.24 | 31.59 | 4.18 | 4.13 | |
Index†† | -11.52 | 0.52 | 1.35 | 2.62 | 14.36 | — | — |
Class A | Class C | Class I | Class R2 | Class R6 | Class NAV | |
Gross (%) | 1.10 | 1.80 | 0.80 | 1.20 | 0.70 | 0.69 |
Net (%) | 1.05 | 1.75 | 0.75 | 1.15 | 0.65 | 0.64 |
ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 7 |
Start date | With maximum sales charge ($) | Without sales charge ($) | Index ($) | |
Class C2 | 8-31-12 | 11,765 | 11,765 | 11,436 |
Class I1 | 8-31-12 | 13,016 | 13,016 | 11,436 |
Class R21 | 8-31-12 | 12,526 | 12,526 | 11,436 |
Class R61 | 8-31-12 | 13,126 | 13,126 | 11,436 |
Class NAV1 | 8-31-12 | 13,159 | 13,159 | 11,436 |
1 | For certain types of investors, as described in the fund’s prospectuses. |
2 | The contingent deferred sales charge is not applicable. |
8 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 9 |
Account value on 3-1-2022 | Ending value on 8-31-2022 | Expenses paid during period ended 8-31-20221 | Annualized expense ratio | ||
Class A | Actual expenses/actual returns | $1,000.00 | $934.30 | $5.27 | 1.08% |
Hypothetical example | 1,000.00 | 1,019.80 | 5.50 | 1.08% | |
Class C | Actual expenses/actual returns | 1,000.00 | 931.90 | 8.67 | 1.78% |
Hypothetical example | 1,000.00 | 1,016.20 | 9.05 | 1.78% | |
Class I | Actual expenses/actual returns | 1,000.00 | 936.60 | 3.81 | 0.78% |
Hypothetical example | 1,000.00 | 1,021.30 | 3.97 | 0.78% | |
Class R2 | Actual expenses/actual returns | 1,000.00 | 934.00 | 5.65 | 1.16% |
Hypothetical example | 1,000.00 | 1,019.40 | 5.90 | 1.16% | |
Class R6 | Actual expenses/actual returns | 1,000.00 | 936.30 | 3.27 | 0.67% |
Hypothetical example | 1,000.00 | 1,021.80 | 3.41 | 0.67% | |
Class NAV | Actual expenses/actual returns | 1,000.00 | 936.20 | 3.22 | 0.66% |
Hypothetical example | 1,000.00 | 1,021.90 | 3.36 | 0.66% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
10 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT |
Rate (%) | Maturity date | Par value^ | Value | ||
U.S. Government and Agency obligations 7.3% | $286,188,549 | ||||
(Cost $306,739,270) | |||||
U.S. Government 7.2% | 282,246,079 | ||||
U.S. Treasury | |||||
Bond | 2.000 | 02-15-50 | 18,000,000 | 13,615,313 | |
Bond | 2.375 | 02-15-42 | 46,170,000 | 38,270,602 | |
Bond | 2.750 | 11-15-42 | 10,200,000 | 8,942,133 | |
Bond | 3.000 | 02-15-49 | 62,535,000 | 58,138,009 | |
Note | 0.375 | 11-30-25 | 8,500,000 | 7,689,844 | |
Note | 0.500 | 02-28-26 | 12,130,000 | 10,944,482 | |
Note | 1.500 | 01-31-27 | 48,055,000 | 44,342,001 | |
Note | 1.875 | 02-15-32 | 24,533,000 | 21,934,035 | |
Note | 2.000 | 11-15-26 | 17,495,000 | 16,517,740 | |
Note | 2.250 | 03-31-24 | 23,895,000 | 23,436,701 | |
Note | 2.375 | 03-31-29 | 7,995,000 | 7,538,723 | |
Note | 2.625 | 05-31-27 | 10,525,000 | 10,193,627 | |
Note | 2.875 | 05-15-32 | 21,220,000 | 20,682,869 | |
U.S. Government Agency 0.1% | 3,942,470 | ||||
Federal National Mortgage Association 30 Yr Pass Thru (A) | 4.000 | TBA | 4,040,000 | 3,942,470 | |
Foreign government obligations 21.9% | $861,434,989 | ||||
(Cost $1,009,233,157) | |||||
Australia 1.1% | 43,183,617 | ||||
Commonwealth of Australia | 0.250 | 11-21-24 | AUD | 21,245,000 | 13,644,766 |
Commonwealth of Australia | 0.500 | 09-21-26 | AUD | 8,025,000 | 4,906,361 |
New South Wales Treasury Corp. | 1.000 | 02-08-24 | AUD | 13,355,000 | 8,834,766 |
New South Wales Treasury Corp. | 1.250 | 03-20-25 | AUD | 15,505,000 | 10,016,139 |
Queensland Treasury Corp. (B) | 4.250 | 07-21-23 | AUD | 8,355,000 | 5,781,585 |
Austria 0.2% | 6,499,902 | ||||
Republic of Austria (B) | 0.500 | 02-20-29 | EUR | 7,075,000 | 6,499,902 |
Brazil 0.6% | 24,075,435 | ||||
Federative Republic of Brazil | 10.000 | 01-01-23 | BRL | 24,040,000 | 4,643,273 |
Federative Republic of Brazil | 10.000 | 01-01-25 | BRL | 103,530,000 | 19,432,162 |
Canada 2.8% | 108,784,716 | ||||
Canada Housing Trust No. 1 (B) | 1.250 | 06-15-26 | CAD | 16,100,000 | 11,228,504 |
Canada Housing Trust No. 1 (B) | 1.950 | 12-15-25 | CAD | 17,175,000 | 12,374,605 |
CPPIB Capital, Inc. (B) | 2.250 | 12-01-31 | CAD | 6,685,000 | 4,439,021 |
Government of Canada | 1.500 | 09-01-24 | CAD | 2,863,000 | 2,092,202 |
Government of Canada | 2.250 | 12-01-29 | CAD | 19,660,000 | 14,121,639 |
Province of Ontario | 1.350 | 12-02-30 | CAD | 50,485,000 | 31,651,771 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 11 |
Rate (%) | Maturity date | Par value^ | Value | ||
Canada (continued) | |||||
Province of Ontario | 2.900 | 06-02-28 | CAD | 13,400,000 | $9,764,395 |
Province of Ontario | 3.450 | 06-02-45 | CAD | 11,995,000 | 8,261,832 |
Province of Quebec | 0.200 | 04-07-25 | EUR | 3,150,000 | 3,009,182 |
Province of Quebec | 1.500 | 12-15-23 | GBP | 5,130,000 | 5,802,048 |
Province of Quebec | 3.000 | 09-01-23 | CAD | 8,000,000 | 6,039,517 |
China 1.1% | 45,021,233 | ||||
People’s Republic of China | 1.990 | 04-09-25 | CNY | 128,240,000 | 18,497,432 |
People’s Republic of China | 2.690 | 08-12-26 | CNY | 44,520,000 | 6,534,809 |
People’s Republic of China | 2.880 | 11-05-23 | CNY | 136,230,000 | 19,988,992 |
Colombia 0.9% | 37,701,259 | ||||
Republic of Colombia | 3.250 | 04-22-32 | 9,615,000 | 7,093,668 | |
Republic of Colombia | 4.500 | 03-15-29 | 2,450,000 | 2,138,604 | |
Republic of Colombia | 5.625 | 02-26-44 | 2,450,000 | 1,781,372 | |
Republic of Colombia | 6.250 | 11-26-25 | COP | 39,010,000,000 | 7,616,077 |
Republic of Colombia | 7.500 | 08-26-26 | COP | 40,050,000,000 | 7,884,450 |
Republic of Colombia | 10.000 | 07-24-24 | COP | 50,477,000,000 | 11,187,088 |
Greece 0.6% | 24,118,889 | ||||
Republic of Greece (B) | 1.500 | 06-18-30 | EUR | 10,675,000 | 8,976,585 |
Republic of Greece (B) | 2.000 | 04-22-27 | EUR | 8,435,000 | 8,003,589 |
Republic of Greece | 4.200 | 01-30-42 | EUR | 7,100,000 | 7,138,715 |
India 0.4% | 16,736,641 | ||||
Export-Import Bank of India (B) | 3.875 | 02-01-28 | 6,380,000 | 6,059,613 | |
Republic of India | 6.100 | 07-12-31 | INR | 358,560,000 | 4,183,358 |
Republic of India | 6.450 | 10-07-29 | INR | 373,000,000 | 4,509,217 |
Republic of India | 7.270 | 04-08-26 | INR | 156,200,000 | 1,984,453 |
Indonesia 3.0% | 117,157,288 | ||||
Perusahaan Penerbit SBSN Indonesia III (B) | 4.150 | 03-29-27 | 10,060,000 | 10,077,102 | |
Republic of Indonesia | 1.100 | 03-12-33 | EUR | 2,709,000 | 2,009,968 |
Republic of Indonesia (B) | 2.150 | 07-18-24 | EUR | 6,000,000 | 5,997,862 |
Republic of Indonesia (B) | 2.625 | 06-14-23 | EUR | 9,110,000 | 9,201,338 |
Republic of Indonesia | 3.050 | 03-12-51 | 5,655,000 | 4,328,987 | |
Republic of Indonesia | 3.850 | 10-15-30 | 4,480,000 | 4,381,388 | |
Republic of Indonesia | 6.375 | 04-15-32 | IDR | 317,682,000,000 | 20,289,784 |
Republic of Indonesia | 6.500 | 06-15-25 | IDR | 272,476,000,000 | 18,494,114 |
Republic of Indonesia | 6.625 | 05-15-33 | IDR | 93,981,000,000 | 6,102,766 |
Republic of Indonesia | 7.000 | 05-15-27 | IDR | 72,700,000,000 | 4,946,605 |
Republic of Indonesia | 7.500 | 06-15-35 | IDR | 61,272,000,000 | 4,251,990 |
Republic of Indonesia | 7.500 | 05-15-38 | IDR | 62,856,000,000 | 4,314,944 |
Republic of Indonesia | 8.125 | 05-15-24 | IDR | 45,206,000,000 | 3,162,973 |
Republic of Indonesia | 8.375 | 09-15-26 | IDR | 81,815,000,000 | 5,864,472 |
Republic of Indonesia | 8.750 | 05-15-31 | IDR | 111,458,000,000 | 8,281,459 |
12 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Indonesia (continued) | |||||
Republic of Indonesia | 9.000 | 03-15-29 | IDR | 73,235,000,000 | $5,451,536 |
Ireland 0.1% | 2,638,856 | ||||
Republic of Ireland | 1.100 | 05-15-29 | EUR | 2,760,000 | 2,638,856 |
Italy 0.5% | 19,917,170 | ||||
Republic of Italy | 1.250 | 02-17-26 | 7,595,000 | 6,633,519 | |
Republic of Italy (B) | 1.850 | 07-01-25 | EUR | 13,495,000 | 13,283,651 |
Japan 1.0% | 39,873,723 | ||||
Government of Japan | 0.005 | 03-20-27 | JPY | 1,128,000,000 | 8,125,447 |
Government of Japan | 0.100 | 06-20-25 | JPY | 4,387,750,000 | 31,748,276 |
Malaysia 1.2% | 47,866,259 | ||||
Government of Malaysia | 3.733 | 06-15-28 | MYR | 24,975,000 | 5,550,966 |
Government of Malaysia | 3.828 | 07-05-34 | MYR | 22,120,000 | 4,770,069 |
Government of Malaysia | 3.844 | 04-15-33 | MYR | 48,536,000 | 10,586,361 |
Government of Malaysia | 3.882 | 03-14-25 | MYR | 36,535,000 | 8,267,199 |
Government of Malaysia | 3.899 | 11-16-27 | MYR | 43,417,000 | 9,763,779 |
Government of Malaysia | 3.900 | 11-30-26 | MYR | 18,960,000 | 4,274,946 |
Government of Malaysia | 4.059 | 09-30-24 | MYR | 20,510,000 | 4,652,939 |
Mexico 1.4% | 56,888,945 | ||||
Government of Mexico | 5.000 | 03-06-25 | MXN | 239,090,000 | 10,663,052 |
Government of Mexico | 5.750 | 03-05-26 | MXN | 253,970,000 | 11,291,195 |
Government of Mexico | 7.500 | 06-03-27 | MXN | 452,090,000 | 21,018,246 |
Government of Mexico | 7.750 | 05-29-31 | MXN | 304,940,000 | 13,916,452 |
New Zealand 1.4% | 56,650,563 | ||||
Government of New Zealand | 0.500 | 05-15-24 | NZD | 40,290,000 | 23,304,413 |
Government of New Zealand | 0.500 | 05-15-26 | NZD | 32,455,000 | 17,557,305 |
Government of New Zealand | 1.500 | 04-15-26 | NZD | 6,980,000 | 3,844,695 |
Government of New Zealand | 4.500 | 04-15-27 | NZD | 3,200,000 | 2,009,608 |
Government of New Zealand | 4.500 | 04-15-27 | NZD | 12,470,000 | 7,628,541 |
Government of New Zealand | 5.500 | 04-15-23 | NZD | 3,730,000 | 2,306,001 |
Norway 1.4% | 54,066,608 | ||||
Kingdom of Norway (B) | 1.500 | 02-19-26 | NOK | 81,525,000 | 7,667,063 |
Kingdom of Norway (B) | 1.750 | 03-13-25 | NOK | 127,825,000 | 12,321,734 |
Kingdom of Norway (B) | 1.750 | 02-17-27 | NOK | 92,990,000 | 8,691,581 |
Kingdom of Norway (B) | 2.000 | 05-24-23 | NOK | 117,280,000 | 11,714,945 |
Kommunalbanken AS | 4.250 | 07-16-25 | AUD | 11,774,000 | 8,122,493 |
Kommunalbanken AS | 5.250 | 07-15-24 | AUD | 7,910,000 | 5,548,792 |
Philippines 0.6% | 22,196,577 | ||||
Republic of the Philippines | 0.875 | 05-17-27 | EUR | 17,540,000 | 15,820,989 |
Republic of the Philippines | 6.250 | 01-14-36 | PHP | 373,000,000 | 6,375,588 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 13 |
Rate (%) | Maturity date | Par value^ | Value | ||
Portugal 0.5% | $19,212,880 | ||||
Republic of Portugal (B) | 0.475 | 10-18-30 | EUR | 17,270,000 | 14,947,419 |
Republic of Portugal (B) | 0.700 | 10-15-27 | EUR | 4,525,000 | 4,265,461 |
Qatar 0.3% | 11,337,171 | ||||
State of Qatar (B) | 4.000 | 03-14-29 | 3,455,000 | 3,520,680 | |
State of Qatar (B) | 4.817 | 03-14-49 | 7,575,000 | 7,816,491 | |
Singapore 0.3% | 10,470,583 | ||||
Republic of Singapore | 1.250 | 11-01-26 | SGD | 15,610,000 | 10,470,583 |
South Korea 1.0% | 37,849,955 | ||||
Republic of Korea | 2.125 | 06-10-27 | KRW | 13,298,800,000 | 9,213,069 |
Republic of Korea | 2.375 | 03-10-27 | KRW | 40,688,880,000 | 28,636,886 |
Spain 0.5% | 21,307,198 | ||||
Kingdom of Spain (B) | 0.250 | 07-30-24 | EUR | 9,125,000 | 8,953,956 |
Kingdom of Spain (B) | 0.800 | 07-30-27 | EUR | 13,040,000 | 12,353,242 |
Sweden 0.2% | 7,716,102 | ||||
Kingdom of Sweden (B) | 0.125 | 04-24-23 | EUR | 7,740,000 | 7,716,102 |
United Arab Emirates 0.4% | 15,717,620 | ||||
Government of Abu Dhabi (B) | 1.700 | 03-02-31 | 4,890,000 | 4,185,292 | |
Government of Abu Dhabi (B) | 3.125 | 04-16-30 | 7,880,000 | 7,621,410 | |
Government of Abu Dhabi (B) | 3.875 | 04-16-50 | 4,315,000 | 3,910,918 | |
United Kingdom 0.4% | 14,445,799 | ||||
Government of United Kingdom | 0.125 | 01-31-24 | GBP | 9,415,000 | 10,484,605 |
Government of United Kingdom | 0.250 | 01-31-25 | GBP | 3,650,000 | 3,961,194 |
Corporate bonds 46.0% | $1,806,308,089 | ||||
(Cost $2,096,412,941) | |||||
Communication services 5.7% | 225,583,028 | ||||
Diversified telecommunication services 0.7% | |||||
AT&T, Inc. | 0.900 | 03-25-24 | 3,227,000 | 3,081,406 | |
Cellnex Telecom SA | 1.875 | 06-26-29 | EUR | 5,400,000 | 4,357,490 |
CT Trust (B) | 5.125 | 02-03-32 | 3,790,000 | 3,270,838 | |
IHS Holding, Ltd. (B) | 6.250 | 11-29-28 | 3,600,000 | 3,046,608 | |
Kenbourne Invest SA (B) | 4.700 | 01-22-28 | 4,775,000 | 3,841,673 | |
Total Play Telecomunicaciones SA de CV (B) | 7.500 | 11-12-25 | 8,945,000 | 8,050,500 | |
Verizon Communications, Inc. | 0.750 | 03-22-24 | 2,421,000 | 2,309,316 | |
Entertainment 0.6% | |||||
Netflix, Inc. | 4.875 | 04-15-28 | 2,890,000 | 2,810,525 | |
Netflix, Inc. (B) | 5.375 | 11-15-29 | 9,335,000 | 9,194,975 | |
WMG Acquisition Corp. (B) | 3.000 | 02-15-31 | 15,595,000 | 12,378,531 |
14 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Communication services (continued) | |||||
Interactive media and services 0.2% | |||||
Match Group Holdings II LLC (B) | 4.125 | 08-01-30 | 7,915,000 | $6,549,210 | |
Media 3.1% | |||||
Altice Financing SA (B) | 5.000 | 01-15-28 | 515,000 | 415,548 | |
CCO Holdings LLC (B) | 4.250 | 02-01-31 | 1,700,000 | 1,387,107 | |
CCO Holdings LLC (B) | 4.500 | 08-15-30 | 8,205,000 | 6,900,200 | |
CCO Holdings LLC (B) | 4.500 | 06-01-33 | 5,745,000 | 4,509,825 | |
CCO Holdings LLC (B) | 4.750 | 03-01-30 | 11,565,000 | 9,940,522 | |
CCO Holdings LLC (B) | 5.125 | 05-01-27 | 13,050,000 | 12,386,995 | |
Charter Communications Operating LLC | 2.800 | 04-01-31 | 2,350,000 | 1,903,813 | |
Charter Communications Operating LLC | 5.125 | 07-01-49 | 15,905,000 | 12,904,594 | |
Charter Communications Operating LLC | 5.750 | 04-01-48 | 7,045,000 | 6,268,611 | |
Globo Comunicacao e Participacoes SA (B) | 5.500 | 01-14-32 | 5,840,000 | 4,771,795 | |
LCPR Senior Secured Financing DAC (B) | 5.125 | 07-15-29 | 8,000,000 | 6,880,000 | |
News Corp. (B) | 3.875 | 05-15-29 | 17,435,000 | 15,168,450 | |
Sirius XM Radio, Inc. (B) | 4.125 | 07-01-30 | 12,225,000 | 10,357,876 | |
Virgin Media Finance PLC (B) | 5.000 | 07-15-30 | 7,640,000 | 6,035,218 | |
Virgin Media Secured Finance PLC (B) | 4.500 | 08-15-30 | 5,145,000 | 4,284,242 | |
Virgin Media Secured Finance PLC (B) | 5.500 | 05-15-29 | 11,030,000 | 9,811,957 | |
VTR Comunicaciones SpA (B) | 4.375 | 04-15-29 | 4,495,000 | 2,814,994 | |
VTR Comunicaciones SpA (B) | 5.125 | 01-15-28 | 3,333,000 | 2,233,276 | |
VTR Finance NV (B) | 6.375 | 07-15-28 | 5,360,000 | 2,366,166 | |
Wireless telecommunication services 1.1% | |||||
Millicom International Cellular SA (B) | 4.500 | 04-27-31 | 5,685,000 | 4,661,700 | |
T-Mobile USA, Inc. | 2.625 | 04-15-26 | 2,415,000 | 2,234,781 | |
T-Mobile USA, Inc. | 2.625 | 02-15-29 | 4,405,000 | 3,798,113 | |
T-Mobile USA, Inc. | 2.875 | 02-15-31 | 4,070,000 | 3,439,964 | |
T-Mobile USA, Inc. | 3.375 | 04-15-29 | 4,865,000 | 4,382,392 | |
T-Mobile USA, Inc. | 3.500 | 04-15-31 | 8,110,000 | 7,181,344 | |
T-Mobile USA, Inc. | 4.750 | 02-01-28 | 1,665,000 | 1,628,537 | |
Vmed O2 UK Financing I PLC (B) | 3.250 | 01-31-31 | EUR | 7,750,000 | 6,527,006 |
Vmed O2 UK Financing I PLC (B) | 4.250 | 01-31-31 | 14,225,000 | 11,496,930 | |
Consumer discretionary 5.4% | 211,504,732 | ||||
Automobiles 1.6% | |||||
BMW Finance NV | 1.000 | 11-14-24 | EUR | 4,785,000 | 4,691,554 |
Ford Motor Company | 3.250 | 02-12-32 | 11,425,000 | 8,923,953 | |
Ford Motor Credit Company LLC | 2.748 | 06-14-24 | GBP | 3,354,000 | 3,645,462 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 15 |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer discretionary (continued) | |||||
Automobiles (continued) | |||||
Ford Motor Credit Company LLC | 2.900 | 02-16-28 | 3,620,000 | $3,027,225 | |
Ford Motor Credit Company LLC | 3.625 | 06-17-31 | 12,890,000 | 10,437,420 | |
Ford Motor Credit Company LLC | 4.000 | 11-13-30 | 2,575,000 | 2,151,104 | |
Ford Motor Credit Company LLC | 4.125 | 08-17-27 | 1,665,000 | 1,499,715 | |
Ford Motor Credit Company LLC | 4.542 | 08-01-26 | 4,455,000 | 4,147,918 | |
Ford Motor Credit Company LLC | 4.950 | 05-28-27 | 11,500,000 | 10,796,488 | |
General Motors Financial Company, Inc. | 1.200 | 10-15-24 | 11,195,000 | 10,466,565 | |
General Motors Financial Company, Inc. | 3.500 | 11-07-24 | 4,365,000 | 4,276,373 | |
Hotels, restaurants and leisure 3.6% | |||||
Carnival Corp. (B) | 5.750 | 03-01-27 | 11,850,000 | 9,213,375 | |
Hilton Domestic Operating Company, Inc. (B) | 3.625 | 02-15-32 | 4,920,000 | 3,971,990 | |
Hilton Domestic Operating Company, Inc. | 4.875 | 01-15-30 | 7,450,000 | 6,807,810 | |
Hyatt Hotels Corp. | 6.000 | 04-23-30 | 11,696,000 | 11,946,383 | |
MGM Resorts International | 4.750 | 10-15-28 | 1,060,000 | 931,737 | |
New Red Finance, Inc. (B) | 3.500 | 02-15-29 | 10,802,000 | 9,275,731 | |
New Red Finance, Inc. (B) | 3.875 | 01-15-28 | 8,793,000 | 7,816,186 | |
New Red Finance, Inc. (B) | 4.000 | 10-15-30 | 22,370,000 | 18,154,709 | |
Royal Caribbean Cruises, Ltd. (B) | 4.250 | 07-01-26 | 7,280,000 | 5,595,394 | |
Royal Caribbean Cruises, Ltd. (B) | 5.500 | 04-01-28 | 12,760,000 | 9,633,800 | |
Royal Caribbean Cruises, Ltd. (B) | 11.625 | 08-15-27 | 2,691,000 | 2,637,611 | |
Travel + Leisure Company (B) | 4.500 | 12-01-29 | 9,282,000 | 7,546,059 | |
Travel + Leisure Company (B) | 6.625 | 07-31-26 | 3,876,000 | 3,756,115 | |
Wyndham Hotels & Resorts, Inc. (B) | 4.375 | 08-15-28 | 6,920,000 | 6,188,996 | |
Yum! Brands, Inc. | 3.625 | 03-15-31 | 18,845,000 | 15,871,243 | |
Yum! Brands, Inc. | 4.625 | 01-31-32 | 9,070,000 | 8,013,073 | |
Yum! Brands, Inc. (B) | 4.750 | 01-15-30 | 13,325,000 | 12,142,406 | |
Internet and direct marketing retail 0.2% | |||||
MercadoLibre, Inc. | 2.375 | 01-14-26 | 5,950,000 | 5,313,765 | |
MercadoLibre, Inc. | 3.125 | 01-14-31 | 3,340,000 | 2,624,572 | |
Consumer staples 3.0% | 117,617,530 | ||||
Beverages 0.2% | |||||
Becle SAB de CV (B) | 2.500 | 10-14-31 | 8,250,000 | 6,773,250 | |
Food products 2.6% | |||||
Darling Ingredients, Inc. (B) | 6.000 | 06-15-30 | 7,525,000 | 7,534,482 | |
JBS USA LUX SA (B) | 3.625 | 01-15-32 | 10,670,000 | 9,229,657 | |
JBS USA LUX SA (B) | 5.750 | 04-01-33 | 7,695,000 | 7,665,528 | |
Kraft Heinz Foods Company | 3.000 | 06-01-26 | 7,061,000 | 6,684,499 | |
Kraft Heinz Foods Company | 3.875 | 05-15-27 | 3,905,000 | 3,773,769 |
16 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer staples (continued) | |||||
Food products (continued) | |||||
Kraft Heinz Foods Company | 4.250 | 03-01-31 | 10,895,000 | $10,352,095 | |
Kraft Heinz Foods Company | 4.375 | 06-01-46 | 2,935,000 | 2,493,222 | |
Kraft Heinz Foods Company | 4.625 | 10-01-39 | 11,120,000 | 9,908,827 | |
Kraft Heinz Foods Company | 6.875 | 01-26-39 | 6,560,000 | 7,195,835 | |
Kraft Heinz Foods Company (B) | 7.125 | 08-01-39 | 1,675,000 | 1,864,694 | |
MARB BondCo PLC (B) | 3.950 | 01-29-31 | 12,546,000 | 9,895,658 | |
NBM US Holdings, Inc. (B) | 7.000 | 05-14-26 | 2,929,000 | 2,927,921 | |
Post Holdings, Inc. (B) | 4.500 | 09-15-31 | 7,390,000 | 6,283,495 | |
Post Holdings, Inc. (B) | 5.500 | 12-15-29 | 3,230,000 | 2,959,988 | |
Post Holdings, Inc. (B) | 5.625 | 01-15-28 | 12,510,000 | 11,884,500 | |
Personal products 0.2% | |||||
Natura & Company Luxembourg Holdings Sarl (B)(C) | 6.000 | 04-19-29 | 4,015,000 | 3,553,074 | |
Natura Cosmeticos SA (B) | 4.125 | 05-03-28 | 8,030,000 | 6,637,036 | |
Energy 6.2% | 243,244,962 | ||||
Oil, gas and consumable fuels 6.2% | |||||
Aker BP ASA (B) | 3.750 | 01-15-30 | 8,430,000 | 7,576,800 | |
Cenovus Energy, Inc. | 3.500 | 02-07-28 | CAD | 5,175,000 | 3,683,358 |
Cenovus Energy, Inc. | 5.250 | 06-15-37 | 2,074,000 | 1,990,316 | |
Cenovus Energy, Inc. | 5.400 | 06-15-47 | 8,203,000 | 7,948,941 | |
Cenovus Energy, Inc. | 6.750 | 11-15-39 | 18,593,000 | 20,324,954 | |
Cheniere Energy Partners LP | 4.000 | 03-01-31 | 13,025,000 | 11,413,156 | |
Cheniere Energy Partners LP | 4.500 | 10-01-29 | 4,045,000 | 3,724,737 | |
Continental Resources, Inc. (B) | 2.875 | 04-01-32 | 12,374,000 | 9,650,291 | |
Continental Resources, Inc. (B) | 5.750 | 01-15-31 | 15,241,000 | 14,588,127 | |
Ecopetrol SA | 4.625 | 11-02-31 | 4,570,000 | 3,566,270 | |
Ecopetrol SA | 5.375 | 06-26-26 | 2,445,000 | 2,296,002 | |
Ecopetrol SA | 5.875 | 05-28-45 | 2,485,000 | 1,714,973 | |
Ecopetrol SA | 6.875 | 04-29-30 | 4,970,000 | 4,619,565 | |
Enbridge, Inc. | 3.125 | 11-15-29 | 10,080,000 | 9,109,897 | |
EQT Corp. (B) | 3.125 | 05-15-26 | 1,990,000 | 1,872,676 | |
EQT Corp. (B) | 3.625 | 05-15-31 | 23,315,000 | 20,581,433 | |
EQT Corp. | 3.900 | 10-01-27 | 3,283,000 | 3,107,753 | |
Inversiones Latin America Power, Ltda. (B) | 5.125 | 06-15-33 | 6,111,770 | 3,361,752 | |
Kinder Morgan, Inc. | 5.300 | 12-01-34 | 2,405,000 | 2,353,763 | |
MC Brazil Downstream Trading SARL (B) | 7.250 | 06-30-31 | 10,290,000 | 8,605,013 | |
Medco Oak Tree Pte, Ltd. (B) | 7.375 | 05-14-26 | 12,545,000 | 11,917,750 | |
Occidental Petroleum Corp. | 3.200 | 08-15-26 | 1,560,000 | 1,474,200 | |
Occidental Petroleum Corp. | 3.400 | 04-15-26 | 2,417,000 | 2,320,290 | |
Occidental Petroleum Corp. | 6.125 | 01-01-31 | 7,895,000 | 8,204,950 | |
Occidental Petroleum Corp. | 6.625 | 09-01-30 | 11,815,000 | 12,621,965 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 17 |
Rate (%) | Maturity date | Par value^ | Value | ||
Energy (continued) | |||||
Oil, gas and consumable fuels (continued) | |||||
Occidental Petroleum Corp. | 7.500 | 05-01-31 | 3,470,000 | $3,908,591 | |
Ovintiv, Inc. | 6.500 | 08-15-34 | 8,760,000 | 9,038,183 | |
Ovintiv, Inc. | 6.500 | 02-01-38 | 5,700,000 | 5,839,798 | |
Pertamina Persero PT (B) | 3.100 | 01-21-30 | 2,700,000 | 2,413,241 | |
Pertamina Persero PT (B)(C) | 3.650 | 07-30-29 | 3,440,000 | 3,241,749 | |
Petrorio Luxembourg Trading Sarl (B) | 6.125 | 06-09-26 | 5,350,000 | 5,000,836 | |
Qatar Energy (B) | 2.250 | 07-12-31 | 3,925,000 | 3,422,090 | |
Qatar Energy (B) | 3.300 | 07-12-51 | 3,105,000 | 2,472,356 | |
Southwestern Energy Company | 5.700 | 01-23-25 | 166,000 | 166,002 | |
The Williams Companies, Inc. | 3.500 | 11-15-30 | 865,000 | 778,117 | |
TransCanada PipeLines, Ltd. | 1.000 | 10-12-24 | 6,470,000 | 6,031,274 | |
TransCanada PipeLines, Ltd. | 4.100 | 04-15-30 | 13,295,000 | 12,636,562 | |
Transcontinental Gas Pipe Line Company LLC | 3.250 | 05-15-30 | 875,000 | 782,118 | |
Western Midstream Operating LP | 4.300 | 02-01-30 | 9,845,000 | 8,885,113 | |
Financials 8.1% | 319,929,395 | ||||
Banks 4.7% | |||||
Asian Development Bank | 3.000 | 10-14-26 | AUD | 5,880,000 | 3,869,290 |
Banco Actinver SA (B) | 4.800 | 12-18-32 | 2,360,000 | 1,416,000 | |
Banco Actinver SA (B) | 9.500 | 12-18-32 | MXN | 138,600,000 | 3,957,494 |
Banco Santander SA (4.750% to 11-12-26, then 5 Year CMT + 3.753%) (D) | 4.750 | 11-12-26 | 4,200,000 | 3,347,400 | |
Barclays PLC (4.375% to 3-15-28, then 5 Year CMT + 3.410%) (D) | 4.375 | 03-15-28 | 4,037,000 | 3,028,734 | |
BNG Bank NV | 0.250 | 06-07-24 | EUR | 3,800,000 | 3,708,263 |
Citigroup, Inc. (3 month EURIBOR + 0.500%) (E) | 0.331 | 03-21-23 | EUR | 4,120,000 | 4,144,039 |
European Investment Bank (SONIA + 0.350%) (E) | 1.706 | 06-29-23 | GBP | 6,180,000 | 7,195,104 |
ING Groep NV (5.750% to 11-16-26, then 5 Year CMT + 4.342%) (D) | 5.750 | 11-16-26 | 8,266,000 | 7,626,790 | |
Inter-American Development Bank | 2.700 | 01-29-26 | AUD | 5,932,000 | 3,897,223 |
Inter-American Development Bank | 2.750 | 10-30-25 | AUD | 5,140,000 | 3,401,758 |
International Bank for Reconstruction & Development | 1.800 | 01-19-27 | CAD | 6,585,000 | 4,629,731 |
International Bank for Reconstruction & Development | 1.900 | 01-16-25 | CAD | 15,730,000 | 11,451,335 |
18 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Financials (continued) | |||||
Banks (continued) | |||||
International Bank for Reconstruction & Development | 2.875 | 11-30-26 | NZD | 7,530,000 | $4,327,519 |
International Finance Corp. | 0.375 | 09-10-25 | NZD | 12,980,000 | 7,030,026 |
International Finance Corp. | 2.550 | 09-18-23 | CNY | 32,140,000 | 4,655,947 |
International Finance Corp. | 3.600 | 02-24-26 | AUD | 14,185,000 | 9,611,822 |
Intesa Sanpaolo SpA (4.198% to 6-1-31, then 1 Year CMT + 2.600%) (B) | 4.198 | 06-01-32 | 7,674,000 | 5,583,786 | |
Lloyds Banking Group PLC (7.500% to 9-27-25, then 5 Year U.S. Swap Rate + 4.496%) (D) | 7.500 | 09-27-25 | 3,359,000 | 3,256,349 | |
NatWest Group PLC (4.600% to 6-28-31, then 5 Year CMT + 3.100%) (D) | 4.600 | 06-28-31 | 3,486,000 | 2,613,550 | |
Nordea Eiendomskreditt AS (3 month NIBOR + 0.300%) (E) | 1.720 | 06-21-23 | NOK | 88,000,000 | 8,866,723 |
Nordea Eiendomskreditt AS (3 month NIBOR + 0.340%) (E) | 1.780 | 06-19-24 | NOK | 110,000,000 | 11,097,350 |
Nordic Investment Bank | 1.875 | 04-10-24 | NOK | 46,090,000 | 4,504,834 |
Popular, Inc. (C) | 6.125 | 09-14-23 | 17,095,000 | 17,313,987 | |
QNB Finance, Ltd. | 3.500 | 03-28-24 | 4,285,000 | 4,235,345 | |
Royal Bank of Canada (4.200% to 2-24-27, then 5 Year Canada Government Bond Yield + 2.710%) (D) | 4.200 | 02-24-27 | CAD | 6,420,000 | 4,172,426 |
Shinhan Financial Group Company, Ltd. (2.875% to 5-12-26, then 5 Year CMT + 2.064%) (B)(D) | 2.875 | 05-12-26 | 9,105,000 | 8,033,159 | |
Societe Generale SA (6.750% to 4-6-28, then 5 Year U.S. Swap Rate + 3.929%) (B)(D) | 6.750 | 04-06-28 | 1,550,000 | 1,393,085 | |
U.S. Bancorp | 0.850 | 06-07-24 | EUR | 18,550,000 | 18,096,089 |
U.S. Bancorp (3.700% to 1-15-27, then 5 Year CMT + 2.541%) (D) | 3.700 | 01-15-27 | 10,827,000 | 9,059,936 | |
Capital markets 1.3% | |||||
Deutsche Bank AG (6.000% to 10-30-25, then 5 Year CMT + 4.524%) (D) | 6.000 | 10-30-25 | 2,400,000 | 1,954,800 | |
MSCI, Inc. (B) | 3.250 | 08-15-33 | 4,130,000 | 3,277,960 | |
MSCI, Inc. (B) | 3.625 | 09-01-30 | 15,070,000 | 12,783,644 | |
MSCI, Inc. (B) | 3.625 | 11-01-31 | 8,740,000 | 7,281,313 | |
MSCI, Inc. (B) | 3.875 | 02-15-31 | 7,940,000 | 6,804,122 | |
The Goldman Sachs Group, Inc. | 1.375 | 05-15-24 | EUR | 7,713,000 | 7,687,718 |
The Goldman Sachs Group, Inc. | 2.000 | 11-01-28 | EUR | 2,510,000 | 2,290,374 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 19 |
Rate (%) | Maturity date | Par value^ | Value | ||
Financials (continued) | |||||
Capital markets (continued) | |||||
The Goldman Sachs Group, Inc. | 3.375 | 03-27-25 | EUR | 1,960,000 | $1,991,810 |
UBS Group AG (3.875% to 6-2-26, then 5 Year CMT + 3.098%) (B)(D) | 3.875 | 06-02-26 | 4,967,000 | 4,131,526 | |
UBS Group AG (4.375% to 2-10-31, then 5 Year CMT + 3.313%) (B)(D) | 4.375 | 02-10-31 | 3,587,000 | 2,700,904 | |
Consumer finance 0.0% | |||||
Capital One Financial Corp. | 0.800 | 06-12-24 | EUR | 1,100,000 | 1,058,519 |
Diversified financial services 0.9% | |||||
Berkshire Hathaway Finance Corp. | 2.375 | 06-19-39 | GBP | 7,150,000 | 6,365,736 |
Berkshire Hathaway, Inc., Zero Coupon | 0.000 | 03-12-25 | EUR | 10,945,000 | 10,367,697 |
Mexico Remittances Funding Fiduciary Estate Management Sarl (B) | 4.875 | 01-15-28 | 6,450,000 | 5,440,709 | |
Swiss Insured Brazil Power Finance Sarl (B) | 9.850 | 07-16-32 | BRL | 88,151,060 | 15,249,876 |
Insurance 1.1% | |||||
American International Group, Inc. (8.175% to 5-15-38, then 3 month LIBOR + 4.195%) | 8.175 | 05-15-58 | 15,170,000 | 17,862,675 | |
Chubb INA Holdings, Inc. | 0.300 | 12-15-24 | EUR | 9,990,000 | 9,541,954 |
DB Insurance Company, Ltd. | 3.512 | 05-25-24 | KRW | 10,000,000,000 | 7,328,101 |
DB Insurance Company, Ltd. | 3.865 | 05-25-27 | KRW | 10,000,000,000 | 7,152,063 |
Mortgage real estate investment trusts 0.1% | |||||
Starwood Property Trust, Inc. (B) | 4.375 | 01-15-27 | 3,520,000 | 3,132,800 | |
Health care 4.1% | 161,202,702 | ||||
Health care equipment and supplies 0.9% | |||||
Becton Dickinson Euro Finance Sarl | 1.208 | 06-04-26 | EUR | 8,910,000 | 8,377,787 |
DH Europe Finance II Sarl | 0.450 | 03-18-28 | EUR | 14,445,000 | 12,671,976 |
Stryker Corp. | 0.600 | 12-01-23 | 2,055,000 | 1,973,540 | |
Stryker Corp. | 1.150 | 06-15-25 | 6,455,000 | 5,960,037 | |
Zimmer Biomet Holdings, Inc. | 1.450 | 11-22-24 | 6,455,000 | 6,066,920 | |
Health care providers and services 2.6% | |||||
Centene Corp. | 2.500 | 03-01-31 | 9,265,000 | 7,392,729 | |
Centene Corp. | 3.000 | 10-15-30 | 15,295,000 | 12,783,561 | |
Centene Corp. | 3.375 | 02-15-30 | 16,980,000 | 14,560,350 | |
Centene Corp. | 4.625 | 12-15-29 | 2,625,000 | 2,472,855 | |
HCA, Inc. | 3.500 | 09-01-30 | 33,881,000 | 29,566,007 | |
HCA, Inc. | 4.125 | 06-15-29 | 13,845,000 | 12,744,822 | |
HCA, Inc. | 5.375 | 02-01-25 | 11,065,000 | 11,170,118 |
20 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Health care (continued) | |||||
Health care providers and services (continued) | |||||
Rede D’or Finance Sarl (B) | 4.500 | 01-22-30 | 4,134,000 | $3,658,590 | |
Rede D’or Finance Sarl (B)(C) | 4.950 | 01-17-28 | 4,356,000 | 4,078,305 | |
UnitedHealth Group, Inc. | 0.550 | 05-15-24 | 4,035,000 | 3,837,499 | |
Life sciences tools and services 0.3% | |||||
Thermo Fisher Scientific, Inc. | 0.500 | 03-01-28 | EUR | 6,585,000 | 5,859,505 |
Thermo Fisher Scientific, Inc. | 0.750 | 09-12-24 | EUR | 3,288,000 | 3,216,807 |
Thermo Fisher Scientific, Inc. | 1.400 | 01-23-26 | EUR | 4,947,000 | 4,781,091 |
Pharmaceuticals 0.3% | |||||
Allergan Funding SCS | 1.250 | 06-01-24 | EUR | 6,760,000 | 6,504,053 |
Allergan Funding SCS | 2.625 | 11-15-28 | EUR | 3,795,000 | 3,526,150 |
Industrials 4.1% | 160,871,279 | ||||
Aerospace and defense 1.1% | |||||
Airbus SE | 1.625 | 06-09-30 | EUR | 2,740,000 | 2,495,663 |
DAE Funding LLC (B) | 3.375 | 03-20-28 | 6,635,000 | 5,905,031 | |
The Boeing Company | 5.040 | 05-01-27 | 11,170,000 | 11,136,404 | |
The Boeing Company | 5.150 | 05-01-30 | 24,935,000 | 24,541,287 | |
Air freight and logistics 0.3% | |||||
Hidrovias International Finance SARL (B)(C) | 4.950 | 02-08-31 | 3,515,000 | 2,776,850 | |
Simpar Europe SA (B) | 5.200 | 01-26-31 | 3,245,000 | 2,633,350 | |
Simpar Finance Sarl (B) | 10.750 | 02-12-28 | BRL | 30,765,000 | 4,690,929 |
Airlines 1.6% | |||||
American Airlines, Inc. (B) | 5.500 | 04-20-26 | 9,940,000 | 9,455,723 | |
American Airlines, Inc. (B) | 5.750 | 04-20-29 | 8,095,000 | 7,307,680 | |
Delta Air Lines 2020-1 Class A Pass Through Trust | 2.500 | 06-10-28 | 4,948,464 | 4,250,792 | |
Delta Air Lines, Inc. | 2.900 | 10-28-24 | 5,260,000 | 4,929,488 | |
Delta Air Lines, Inc. (B) | 4.500 | 10-20-25 | 2,110,000 | 2,066,740 | |
Delta Air Lines, Inc. (B) | 4.750 | 10-20-28 | 32,713,000 | 31,251,895 | |
Delta Air Lines, Inc. (C) | 7.375 | 01-15-26 | 1,655,000 | 1,688,100 | |
Singapore Airlines, Ltd. | 3.375 | 01-19-29 | 3,216,000 | 2,945,394 | |
Building products 0.1% | |||||
Johnson Controls International PLC | 0.375 | 09-15-27 | EUR | 2,590,000 | 2,258,705 |
Construction and engineering 0.2% | |||||
AECOM | 5.125 | 03-15-27 | 8,062,000 | 7,820,140 | |
Road and rail 0.3% | |||||
Canadian Pacific Railway Company | 1.350 | 12-02-24 | 3,210,000 | 3,014,972 | |
Indian Railway Finance Corp., Ltd. (B) | 3.249 | 02-13-30 | 7,580,000 | 6,629,801 | |
Movida Europe SA (B) | 5.250 | 02-08-31 | 2,480,000 | 2,018,086 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 21 |
Rate (%) | Maturity date | Par value^ | Value | ||
Industrials (continued) | |||||
Trading companies and distributors 0.5% | |||||
United Rentals North America, Inc. | 3.875 | 02-15-31 | 11,355,000 | $9,818,101 | |
United Rentals North America, Inc. | 4.000 | 07-15-30 | 7,265,000 | 6,310,753 | |
United Rentals North America, Inc. | 4.875 | 01-15-28 | 5,270,000 | 4,925,395 | |
Information technology 1.2% | 44,930,056 | ||||
IT services 0.6% | |||||
Fidelity National Information Services, Inc. | 1.000 | 12-03-28 | EUR | 4,800,000 | 4,100,462 |
Fidelity National Information Services, Inc. | 1.500 | 05-21-27 | EUR | 9,625,000 | 8,880,314 |
Fiserv, Inc. | 1.125 | 07-01-27 | EUR | 3,495,000 | 3,173,680 |
Gartner, Inc. (B) | 3.750 | 10-01-30 | 5,220,000 | 4,476,150 | |
Semiconductors and semiconductor equipment 0.1% | |||||
SK Hynix, Inc. (B) | 1.500 | 01-19-26 | 4,935,000 | 4,377,179 | |
Technology hardware, storage and peripherals 0.5% | |||||
Apple, Inc. | 0.875 | 05-24-25 | EUR | 9,831,000 | 9,584,280 |
Atento Luxco 1 SA (B) | 8.000 | 02-10-26 | 4,968,000 | 2,334,960 | |
CDW LLC | 4.250 | 04-01-28 | 1,655,000 | 1,532,017 | |
Dell International LLC | 8.350 | 07-15-46 | 5,348,000 | 6,471,014 | |
Materials 4.2% | 163,616,409 | ||||
Chemicals 0.8% | |||||
Braskem Idesa SAPI (B) | 6.990 | 02-20-32 | 5,090,000 | 3,944,750 | |
Braskem Netherlands Finance BV (B) | 4.500 | 01-31-30 | 5,509,000 | 4,889,238 | |
Braskem Netherlands Finance BV (B)(C) | 5.875 | 01-31-50 | 6,055,000 | 4,934,825 | |
Ecolab, Inc. | 1.000 | 01-15-24 | EUR | 4,270,000 | 4,246,151 |
FS Luxembourg Sarl (B) | 10.000 | 12-15-25 | 8,820,000 | 9,089,468 | |
Westlake Corp. | 0.875 | 08-15-24 | 4,840,000 | 4,572,342 | |
Construction materials 0.5% | |||||
Cemex SAB de CV (B) | 3.875 | 07-11-31 | 12,495,000 | 10,521,602 | |
St. Mary’s Cement, Inc. (B) | 5.750 | 01-28-27 | 7,505,000 | 7,569,244 | |
Containers and packaging 1.2% | |||||
Ardagh Metal Packaging Finance USA LLC (B) | 3.250 | 09-01-28 | 9,710,000 | 8,374,875 | |
Ball Corp. | 2.875 | 08-15-30 | 10,485,000 | 8,504,069 | |
Ball Corp. | 4.875 | 03-15-26 | 8,590,000 | 8,312,328 | |
Ball Corp. | 5.250 | 07-01-25 | 10,520,000 | 10,493,805 | |
Berry Global, Inc. (B) | 5.625 | 07-15-27 | 6,805,000 | 6,645,083 | |
Sealed Air Corp. (B)(C) | 5.000 | 04-15-29 | 4,410,000 | 4,189,500 |
22 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Materials (continued) | |||||
Metals and mining 1.7% | |||||
Cleveland-Cliffs, Inc. (B)(C) | 4.625 | 03-01-29 | 14,925,000 | $13,249,296 | |
Cleveland-Cliffs, Inc. (B)(C) | 4.875 | 03-01-31 | 8,180,000 | 7,141,263 | |
FMG Resources August 2006 Proprietary, Ltd. (B) | 4.375 | 04-01-31 | 8,915,000 | 7,271,787 | |
Freeport-McMoRan, Inc. | 4.125 | 03-01-28 | 1,430,000 | 1,339,181 | |
Freeport-McMoRan, Inc. (C) | 4.625 | 08-01-30 | 10,030,000 | 9,285,095 | |
Freeport-McMoRan, Inc. | 5.450 | 03-15-43 | 19,505,000 | 17,558,869 | |
Indonesia Asahan Aluminium Persero PT (B) | 4.750 | 05-15-25 | 11,455,000 | 11,483,638 | |
Real estate 1.7% | 66,151,063 | ||||
Equity real estate investment trusts 1.7% | |||||
American Tower Corp. | 0.500 | 01-15-28 | EUR | 2,845,000 | 2,410,195 |
American Tower Corp. | 1.950 | 05-22-26 | EUR | 3,650,000 | 3,510,294 |
Crown Castle, Inc. | 1.350 | 07-15-25 | 1,606,000 | 1,471,653 | |
Crown Castle, Inc. | 2.250 | 01-15-31 | 2,550,000 | 2,070,931 | |
Host Hotels & Resorts LP | 3.375 | 12-15-29 | 7,065,000 | 6,045,978 | |
Host Hotels & Resorts LP | 3.500 | 09-15-30 | 2,575,000 | 2,182,119 | |
SBA Communications Corp. | 3.125 | 02-01-29 | 9,770,000 | 8,049,747 | |
SBA Communications Corp. | 3.875 | 02-15-27 | 22,055,000 | 20,076,159 | |
VICI Properties LP (B) | 4.125 | 08-15-30 | 9,945,000 | 8,744,181 | |
VICI Properties LP (B) | 4.625 | 12-01-29 | 4,345,000 | 4,013,694 | |
VICI Properties LP | 5.125 | 05-15-32 | 7,950,000 | 7,576,112 | |
Utilities 2.3% | 91,656,933 | ||||
Electric utilities 1.2% | |||||
Chile Electricity PEC SpA (B)(F) | 6.436 | 01-25-28 | 2,925,000 | 2,078,107 | |
EDP Finance BV | 0.375 | 09-16-26 | EUR | 1,315,000 | 1,197,367 |
FirstEnergy Corp. | 4.400 | 07-15-27 | 9,045,000 | 8,570,138 | |
FirstEnergy Corp. | 7.375 | 11-15-31 | 12,300,000 | 14,435,096 | |
Israel Electric Corp., Ltd. (B) | 3.750 | 02-22-32 | 5,380,000 | 4,975,220 | |
Israel Electric Corp., Ltd. (B) | 6.875 | 06-21-23 | 4,565,000 | 4,655,916 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara (B) | 4.125 | 05-15-27 | 12,660,000 | 12,255,513 | |
Independent power and renewable electricity producers 0.8% | |||||
DPL, Inc. | 4.125 | 07-01-25 | 13,920,000 | 13,134,494 | |
Greenko Dutch BV (B)(C) | 3.850 | 03-29-26 | 5,892,750 | 4,979,374 | |
Greenko Solar Mauritius, Ltd. (B) | 5.550 | 01-29-25 | 5,260,000 | 4,760,300 | |
Greenko Wind Projects Mauritius, Ltd. (B) | 5.500 | 04-06-25 | 7,965,000 | 7,168,500 | |
The AES Corp. (B) | 3.950 | 07-15-30 | 1,650,000 | 1,507,275 | |
Multi-utilities 0.3% | |||||
DTE Energy Company | 1.050 | 06-01-25 | 3,400,000 | 3,111,377 | |
E.ON SE | 0.375 | 09-29-27 | EUR | 3,200,000 | 2,819,635 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 23 |
Rate (%) | Maturity date | Par value^ | Value | ||
Utilities (continued) | |||||
Multi-utilities (continued) | |||||
Engie SA | 0.375 | 06-21-27 | EUR | 3,300,000 | $2,942,534 |
WEC Energy Group, Inc. | 0.800 | 03-15-24 | 3,220,000 | 3,066,087 | |
Convertible bonds 1.9% | $74,418,871 | ||||
(Cost $83,659,651) | |||||
Communication services 0.6% | 25,895,997 | ||||
Media 0.6% | |||||
Liberty Broadband Corp. (B) | 1.250 | 09-30-50 | 12,375,000 | 11,725,313 | |
Liberty Broadband Corp. (B) | 2.750 | 09-30-50 | 8,550,000 | 8,280,370 | |
Liberty Media Corp. (B) | 0.500 | 12-01-50 | 5,085,000 | 5,890,314 | |
Consumer discretionary 0.2% | 6,595,731 | ||||
Specialty retail 0.2% | |||||
Burlington Stores, Inc. | 2.250 | 04-15-25 | 6,365,000 | 6,595,731 | |
Industrials 1.1% | 41,927,143 | ||||
Airlines 0.9% | |||||
Air Canada | 4.000 | 07-01-25 | 5,160,000 | 5,750,820 | |
American Airlines Group, Inc. (C) | 6.500 | 07-01-25 | 14,450,000 | 15,634,900 | |
Southwest Airlines Company | 1.250 | 05-01-25 | 9,450,000 | 11,807,775 | |
Road and rail 0.2% | |||||
Uber Technologies, Inc. (F) | 4.727 | 12-15-25 | 10,190,000 | 8,733,648 | |
Capital preferred securities 0.1% | $5,330,641 | ||||
(Cost $6,281,380) | |||||
Financials 0.1% | 5,330,641 | ||||
Banks 0.1% | |||||
USB Capital IX (Greater of 3 month LIBOR + 1.020% or 3.500%) (D)(E) | 3.532 | 10-03-22 | 7,014,000 | 5,330,641 | |
Term loans (G) 9.1% | $358,503,244 | ||||
(Cost $370,169,052) | |||||
Communication services 1.0% | 39,760,612 | ||||
Entertainment 0.2% | |||||
WMG Acquisition Corp., 2021 Term Loan G (1 month LIBOR + 2.125%) | 4.649 | 01-20-28 | 9,805,000 | 9,531,244 | |
Media 0.5% | |||||
AP Core Holdings II LLC, Amortization Term Loan B1 (1 month LIBOR + 5.500%) | 8.024 | 09-01-27 | 7,252,438 | 6,846,301 | |
AP Core Holdings II LLC, High-Yield Term Loan B2 (1 month LIBOR + 5.500%) | 8.024 | 09-01-27 | 5,215,000 | 4,932,503 |
24 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Communication services (continued) | |||||
Media (continued) | |||||
Univision Communications, Inc., 2021 First Lien Term Loan B (1 month LIBOR + 3.250%) | 5.274 | 03-15-26 | 7,198,821 | $7,021,442 | |
Univision Communications, Inc., 2022 First Lien Term Loan B (3 month SOFR + 4.250%) | 6.254 | 06-08-29 | 845,000 | 828,100 | |
Wireless telecommunication services 0.3% | |||||
SBA Senior Finance II LLC, 2018 Term Loan B (1 month LIBOR + 1.750%) | 4.280 | 04-11-25 | 10,865,154 | 10,601,022 | |
Consumer discretionary 3.3% | 130,386,862 | ||||
Diversified consumer services 0.3% | |||||
APX Group, Inc., 2021 Term Loan B (Prime rate + 2.250% and 1 month LIBOR + 3.250%) | 5.628 | 07-10-28 | 3,816,163 | 3,710,607 | |
Whatabrands LLC, 2021 Term Loan B (1 month LIBOR + 3.250%) | 5.774 | 08-03-28 | 8,341,085 | 7,895,337 | |
Hotels, restaurants and leisure 2.1% | |||||
Aramark Services, Inc., 2018 Term Loan B3 (1 month LIBOR + 1.750%) | 4.274 | 03-11-25 | 16,612,000 | 16,362,820 | |
Bally’s Corp., 2021 Term Loan B (1 month LIBOR + 3.250%) | 5.623 | 10-02-28 | 5,298,375 | 5,041,404 | |
Carnival Corp., 2021 Incremental Term Loan B (6 month LIBOR + 3.250%) | 6.127 | 10-18-28 | 4,994,900 | 4,645,257 | |
Carnival Corp., USD Term Loan B (6 month LIBOR + 3.000%) | 5.877 | 06-30-25 | 11,316,300 | 10,757,614 | |
Hilton Grand Vacations Borrower LLC, 2021 Term Loan B (1 month LIBOR + 3.000%) | 5.524 | 08-02-28 | 1,424,942 | 1,391,698 | |
Hilton Worldwide Finance LLC, 2019 Term Loan B2 (1 month LIBOR + 1.750%) | 4.194 | 06-22-26 | 7,725,000 | 7,547,325 | |
KFC Holding Company, 2021 Term Loan B (1 month LIBOR + 1.750%) | 4.127 | 03-15-28 | 16,102,708 | 15,973,887 | |
Marriott Ownership Resorts, Inc., 2019 Term Loan B (1 month LIBOR + 1.750%) | 4.274 | 08-29-25 | 8,170,000 | 7,949,410 | |
New Red Finance, Inc., Term Loan B4 (1 month LIBOR + 1.750%) | 4.274 | 11-19-26 | 15,785,850 | 15,308,960 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 25 |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer discretionary (continued) | |||||
Household durables 0.1% | |||||
Hunter Douglas, Inc., USD Term Loan B1 (3 month SOFR + 3.500%) | 6.340 | 02-26-29 | 6,047,000 | $4,855,127 | |
Specialty retail 0.5% | |||||
Burlington Coat Factory Warehouse Corp., 2021 Term Loan B6 (1 month LIBOR + 2.000%) | 4.530 | 06-24-28 | 9,682,200 | 9,480,520 | |
RH, Term Loan B (1 month LIBOR + 2.500%) | 5.024 | 10-20-28 | 9,576,692 | 8,800,980 | |
Textiles, apparel and luxury goods 0.3% | |||||
Patagonia Holdco LLC, Term Loan B (3 month SOFR + 5.750%) | 8.386 | 08-01-29 | 6,305,000 | 5,332,958 | |
Patagonia Holdco LLC, Term Loan B1 (3 month SOFR + 5.750%) | 8.386 | 08-01-29 | 6,305,000 | 5,332,958 | |
Energy 0.4% | 14,039,507 | ||||
Oil, gas and consumable fuels 0.4% | |||||
Pilot Travel Centers LLC, 2021 Term Loan B (1 month SOFR + 2.000%) | 4.555 | 08-04-28 | 14,339,050 | 14,039,507 | |
Financials 0.3% | 10,290,065 | ||||
Insurance 0.3% | |||||
Asurion LLC, 2021 Second Lien Term Loan B4 (1 month LIBOR + 5.250%) | 7.774 | 01-20-29 | 6,760,000 | 5,737,550 | |
Asurion LLC, 2021 Term Loan B9 (1 month LIBOR + 3.250%) | 5.774 | 07-31-27 | 4,984,524 | 4,552,515 | |
Health care 1.5% | 59,242,957 | ||||
Biotechnology 0.2% | |||||
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B (1 month LIBOR + 2.000%) | 4.524 | 11-15-27 | 7,930,000 | 7,656,891 | |
Health care equipment and supplies 0.3% | |||||
Medline Borrower LP, USD Term Loan B (1 month LIBOR + 3.250%) | 5.774 | 10-23-28 | 12,782,963 | 12,173,471 | |
Health care technology 0.1% | |||||
athenahealth, Inc., 2022 Term Loan B (1 month SOFR + 3.500%) | 5.800 | 02-15-29 | 2,806,000 | 2,679,730 | |
Life sciences tools and services 0.2% | |||||
ICON Luxembourg Sarl, LUX Term Loan (3 month LIBOR + 2.250%) | 4.563 | 07-03-28 | 6,760,269 | 6,647,034 |
26 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Health care (continued) | |||||
Life sciences tools and services (continued) | |||||
ICON Luxembourg Sarl, US Term Loan (3 month LIBOR + 2.250%) | 4.563 | 07-03-28 | 1,669,187 | $1,641,228 | |
Pharmaceuticals 0.7% | |||||
Jazz Financing Lux Sarl, USD Term Loan (1 month LIBOR + 3.500%) | 6.024 | 05-05-28 | 8,540,850 | 8,366,958 | |
Organon & Company, USD Term Loan (3 month LIBOR + 3.000%) | 4.625 | 06-02-28 | 12,827,385 | 12,667,043 | |
Padagis LLC, Term Loan B (3 month LIBOR + 4.750%) | 7.043 | 07-06-28 | 7,193,412 | 6,581,972 | |
Perrigo Investments LLC, Term Loan B (H) | TBD | 04-20-29 | 837,000 | 828,630 | |
Industrials 2.1% | 84,580,775 | ||||
Airlines 1.2% | |||||
AAdvantage Loyalty IP, Ltd., 2021 Term Loan (3 month LIBOR + 4.750%) | 7.460 | 04-20-28 | 14,920,000 | 14,665,166 | |
Air Canada, 2021 Term Loan B (3 month LIBOR + 3.500%) | 6.421 | 08-11-28 | 9,450,000 | 9,120,951 | |
Mileage Plus Holdings LLC, 2020 Term Loan B (3 month LIBOR + 5.250%) | 7.313 | 06-21-27 | 8,835,000 | 8,960,634 | |
United Airlines, Inc., 2021 Term Loan B (1 month LIBOR + 3.750%) | 6.533 | 04-21-28 | 14,772,577 | 14,337,672 | |
Building products 0.1% | |||||
JELD-WEN, Inc., 2021 Term Loan B (1 month LIBOR + 2.250%) | 4.743 | 07-28-28 | 3,494,700 | 3,266,077 | |
Commercial services and supplies 0.1% | |||||
Clean Harbors, Inc., 2021 Incremental Term Loan B (1 month LIBOR + 2.000%) | 4.524 | 10-08-28 | 1,779,850 | 1,767,622 | |
MillerKnoll, Inc., Term Loan B (1 month LIBOR + 2.000%) | 4.524 | 07-19-28 | 4,391,825 | 4,249,091 | |
Machinery 0.1% | |||||
Brown Group Holding LLC, Term Loan B (1 month LIBOR + 2.500%) | 5.024 | 06-07-28 | 5,426,893 | 5,327,418 | |
Professional services 0.1% | |||||
Trans Union LLC, 2021 Term Loan B6 (1 month LIBOR + 2.250%) | 4.774 | 12-01-28 | 2,286,058 | 2,240,748 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 27 |
Rate (%) | Maturity date | Par value^ | Value | ||
Industrials (continued) | |||||
Road and rail 0.5% | |||||
Avis Budget Car Rental LLC, 2022 Term Loan C (1 month SOFR + 3.500%) | 6.059 | 03-16-29 | 4,837,875 | $4,732,071 | |
The Hertz Corp., 2021 Term Loan B (1 month LIBOR + 3.250%) | 5.780 | 06-30-28 | 12,729,970 | 12,409,684 | |
The Hertz Corp., 2021 Term Loan C (1 month LIBOR + 3.250%) | 5.780 | 06-30-28 | 2,423,420 | 2,362,447 | |
Trading companies and distributors 0.0% | |||||
Setanta Aircraft Leasing DAC, Term Loan B (3 month LIBOR + 2.000%) | 4.250 | 11-05-28 | 1,163,000 | 1,141,194 | |
Information technology 0.2% | 9,667,002 | ||||
Software 0.2% | |||||
Central Parent, Inc., 2022 USD Term Loan B (3 month SOFR + 4.500%) | 6.610 | 07-06-29 | 2,505,000 | 2,438,542 | |
Quest Software, Inc., 2022 Term Loan (3 month SOFR + 4.250%) | 5.780 | 02-01-29 | 7,975,000 | 7,228,460 | |
Materials 0.3% | 10,535,464 | ||||
Containers and packaging 0.3% | |||||
Berry Global, Inc., 2021 Term Loan Z (3 month LIBOR + 1.750%) | 4.178 | 07-01-26 | 10,790,000 | 10,535,464 | |
Collateralized mortgage obligations 4.2% | $165,586,080 | ||||
(Cost $167,308,927) | |||||
Commercial and residential 2.7% | 107,289,704 | ||||
Arroyo Mortgage Trust | |||||
Series 2019-1, Class A1 (B)(I) | 3.805 | 01-25-49 | 4,231,553 | 4,059,793 | |
BOCA Commercial Mortgage Trust | |||||
Series 2022-BOCA, Class B (1 month CME Term SOFR + 2.319%) (B)(E) | 4.627 | 05-15-39 | 3,145,000 | 3,081,363 | |
BX Commercial Mortgage Trust | |||||
Series 2019-XL, Class A (1 month LIBOR + 0.920%) (B)(E) | 3.311 | 10-15-36 | 16,993,307 | 16,791,075 | |
Series 2021-CIP, Class A (1 month LIBOR + 0.921%) (B)(E) | 3.312 | 12-15-38 | 4,955,000 | 4,806,352 | |
Series 2021-VOLT, Class A (1 month LIBOR + 0.700%) (B)(E) | 3.091 | 09-15-36 | 5,650,000 | 5,457,973 | |
CAMB Commercial Mortgage Trust | |||||
Series 2019-LIFE, Class A (1 month LIBOR + 1.070%) (B)(E) | 3.461 | 12-15-37 | 3,840,900 | 3,792,881 |
28 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Commercial and residential (continued) | |||||
COLT Mortgage Loan Trust | |||||
Series 2022-5, Class A1 (B)(I) | 4.550 | 04-25-67 | 3,871,666 | $3,784,902 | |
Credit Suisse Mortgage Capital Certificates | |||||
Series 2019-ICE4, Class A (1 month LIBOR + 0.980%) (B)(E) | 3.371 | 05-15-36 | 10,930,000 | 10,805,564 | |
Series 2019-NQM1, Class A1 (2.656% to 11-1-23, then 3.656% thereafter) (B) | 2.656 | 10-25-59 | 1,168,521 | 1,123,092 | |
GCAT Trust | |||||
Series 2022-NQM4, Class A1 (B)(I) | 5.269 | 09-25-67 | 4,205,000 | 4,197,634 | |
HarborView Mortgage Loan Trust | |||||
Series 2007-3, Class ES IO (B) | 0.350 | 05-19-47 | 3,455,147 | 35,869 | |
Series 2007-4, Class ES IO | 0.350 | 07-19-47 | 3,638,973 | 47,693 | |
Series 2007-6, Class ES IO (B) | 0.343 | 08-19-37 | 3,731,640 | 47,088 | |
InTown Mortgage Trust | |||||
Series 2022-STAY, Class B (1 month CME Term SOFR + 3.286%) (B)(E) | 5.536 | 08-15-37 | 6,535,000 | 6,494,492 | |
Life Mortgage Trust | |||||
Series 2022-BMR2, Class A1 (1 month CME Term SOFR + 1.295%) (B)(E) | 3.603 | 05-15-39 | 12,924,000 | 12,681,030 | |
Series 2022-BMR2, Class B (1 month CME Term SOFR + 1.794%) (B)(E) | 4.101 | 05-15-39 | 11,605,000 | 11,354,814 | |
Series 2022-BMR2, Class D (1 month CME Term SOFR + 2.542%) (B)(E) | 4.849 | 05-15-39 | 9,305,000 | 8,956,080 | |
Morgan Stanley Mortgage Loan Trust | |||||
Series 2004-9, Class 1A (I) | 5.322 | 11-25-34 | 854,732 | 860,063 | |
Verus Securitization Trust | |||||
Series 2022-4, Class A2 (B)(I) | 4.740 | 04-25-67 | 5,347,629 | 5,222,192 | |
Series 2022-INV1, Class A1 (B)(I) | 5.041 | 08-25-67 | 3,705,000 | 3,689,754 | |
U.S. Government Agency 1.5% | 58,296,376 | ||||
Federal Home Loan Mortgage Corp. | |||||
Series 2022-DNA3, Class M1A (1 month SOFR + 2.000%) (B)(E) | 4.183 | 04-25-42 | 7,560,504 | 7,599,318 | |
Series 2022-DNA4, Class M1A (1 month SOFR + 2.200%) (B)(E) | 4.383 | 05-25-42 | 8,142,882 | 8,168,055 | |
Series 2022-DNA4, Class M1B (1 month SOFR + 3.350%) (B)(E) | 5.533 | 05-25-42 | 12,260,000 | 12,260,001 | |
Series 2022-HQA1, Class M1B (1 month SOFR + 3.500%) (B)(E) | 5.683 | 03-25-42 | 3,825,000 | 3,791,223 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 29 |
Rate (%) | Maturity date | Par value^ | Value | ||
U.S. Government Agency (continued) | |||||
Series 2022-HQA3, Class M1B (1 month SOFR + 3.550%) (B)(E) | 5.358 | 08-25-42 | 5,665,000 | $5,608,225 | |
Federal National Mortgage Association | |||||
Series 2022-R01, Class 1M1 (1 month SOFR + 1.000%) (B)(E) | 3.183 | 12-25-41 | 2,300,258 | 2,272,112 | |
Series 2022-R03, Class 1M1 (1 month SOFR + 2.100%) (B)(E) | 4.283 | 03-25-42 | 1,136,235 | 1,135,701 | |
Series 2022-R04, Class 1M1 (1 month SOFR + 2.000%) (B)(E) | 4.183 | 03-25-42 | 2,330,751 | 2,328,210 | |
Series 2022-R05, Class 2M2 (1 month SOFR + 3.000%) (B)(E) | 5.183 | 04-25-42 | 10,960,000 | 10,795,501 | |
Series 2022-R06, Class 1M1 (1 month SOFR + 2.750%) (B)(E) | 4.933 | 05-25-42 | 4,268,002 | 4,338,030 | |
Asset backed securities 1.1% | $40,323,624 | ||||
(Cost $41,993,546) | |||||
Asset backed securities 1.1% | 40,323,624 | ||||
DB Master Finance LLC | |||||
Series 2019-1A, Class A2II (B) | 4.021 | 05-20-49 | 5,679,350 | 5,412,239 | |
Domino’s Pizza Master Issuer LLC | |||||
Series 2015-1A, Class A2II (B) | 4.474 | 10-25-45 | 5,720,975 | 5,546,903 | |
FirstKey Homes Trust | |||||
Series 2020-SFR2, Class A (B) | 1.266 | 10-19-37 | 3,656,718 | 3,358,120 | |
Home Partners of America Trust | |||||
Series 2019-1, Class B (B) | 3.157 | 09-17-39 | 4,088,856 | 3,756,318 | |
Jack in the Box Funding LLC | |||||
Series 2019-1A, Class A2II (B) | 4.476 | 08-25-49 | 6,909,775 | 6,500,143 | |
MVW Owner Trust | |||||
Series 2018-1A, Class A (B) | 3.450 | 01-21-36 | 1,986,480 | 1,946,803 | |
Taco Bell Funding LLC | |||||
Series 2016-1A, Class A23 (B) | 4.970 | 05-25-46 | 13,951,938 | 13,803,098 | |
Shares | Value | ||||
Common stocks 1.0% | $37,614,855 | ||||
(Cost $56,070,165) | |||||
Communication services 0.0% | 0 | ||||
Media 0.0% | |||||
Vertis Holdings, Inc. (J)(K) | 110,794 | 0 | |||
Consumer discretionary 0.1% | 4,401,066 | ||||
Automobiles 0.1% | |||||
General Motors Company | 115,181 | 4,401,066 |
30 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Shares | Value | ||||
Financials 0.2% | $5,751,558 | ||||
Banks 0.2% | |||||
U.S. Bancorp | 126,103 | 5,751,558 | |||
Industrials 0.3% | 11,971,926 | ||||
Aerospace and defense 0.2% | |||||
The Boeing Company (K) | 51,044 | 8,179,801 | |||
Airlines 0.1% | |||||
Delta Air Lines, Inc. (K) | 122,051 | 3,792,125 | |||
Real estate 0.1% | 3,701,124 | ||||
Equity real estate investment trusts 0.1% | |||||
Americold Realty Trust, Inc. | 125,803 | 3,701,124 | |||
Utilities 0.3% | 11,789,181 | ||||
Multi-utilities 0.3% | |||||
Algonquin Power & Utilities Corp. | 264,450 | 11,789,181 | |||
Preferred securities 3.4% | $135,028,950 | ||||
(Cost $141,827,843) | |||||
Communication services 0.5% | 18,709,833 | ||||
Media 0.5% | |||||
2020 Cash Mandatory Exchangeable Trust, 5.250% (B) | 12,455 | 14,841,129 | |||
Paramount Global, 5.750% | 100,800 | 3,868,704 | |||
Financials 0.8% | 30,527,580 | ||||
Banks 0.6% | |||||
U.S. Bancorp, 3.532% (Greater of 3 month LIBOR + 1.020% or 3.500%) (E) | 12,425 | 9,251,779 | |||
Valley National Bancorp, 5.500% (5.500% to 9-30-22, then 3 month LIBOR + 3.578%) | 272,325 | 6,443,210 | |||
Wells Fargo & Company, 5.850% (5.850% to 9-15-23, then 3 month LIBOR + 3.090%) | 228,245 | 5,480,162 | |||
Capital markets 0.2% | |||||
KKR & Company, Inc., 6.000% | 50,000 | 3,112,000 | |||
Stifel Financial Corp., 4.500% | 347,850 | 6,240,429 | |||
Health care 0.4% | 18,006,292 | ||||
Health care equipment and supplies 0.1% | |||||
Becton, Dickinson and Company, 6.000% | 113,050 | 5,709,025 | |||
Life sciences tools and services 0.3% | |||||
Danaher Corp., 5.000% (C) | 8,740 | 12,297,267 | |||
Information technology 0.0% | 2,360,464 | ||||
IT services 0.0% | |||||
Sabre Corp., 6.500% | 24,800 | 2,360,464 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 31 |
Shares | Value | ||||
Utilities 1.7% | $65,424,781 | ||||
Electric utilities 1.3% | |||||
American Electric Power Company, Inc., 6.125% (C) | 247,150 | 13,620,437 | |||
NextEra Energy, Inc., 5.279% | 554,400 | 28,850,976 | |||
NextEra Energy, Inc., 6.219% | 183,350 | 9,602,040 | |||
Independent power and renewable electricityproducers 0.4% | |||||
The AES Corp., 6.875% | 137,600 | 13,351,328 | |||
Contracts/ Notional amount | Value | ||||
Purchased options 0.0% | $431,305 | ||||
(Cost $1,696,426) | |||||
Puts 0.0% | 431,305 | ||||
Over the Counter Option on USD vs. CAD (Expiration Date: 12-12-22; Strike Price: $1.24; Counterparty: Goldman Sachs International) (K)(L) | 63,582,000 | 54,045 | |||
Over the Counter Option on USD vs. JPY (Expiration Date: 4-5-23; Strike Price: $120.50; Counterparty: Goldman Sachs International) (K)(L) | 94,670,000 | 377,260 | |||
Yield (%) | Shares | Value | |||
Short-term investments 3.4% | $135,402,725 | ||||
(Cost $135,498,655) | |||||
Short-term funds 3.4% | 135,402,725 | ||||
John Hancock Collateral Trust (M) | 2.3160(N) | 13,549,215 | 135,402,725 |
Total investments (Cost $4,416,891,013) 99.4% | $3,906,571,922 | ||||
Other assets and liabilities, net 0.6% | 23,695,591 | ||||
Total net assets 100.0% | $3,930,267,513 |
The percentage shown for each investment category is the total value of the category as a percentage of the net assets of the fund. | |
^All par values are denominated in U.S. dollars unless otherwise indicated. | |
Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CNY | Chinese Yuan Renminbi |
COP | Colombian Peso |
EUR | Euro |
GBP | Pound Sterling |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
32 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
KRW | Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PHP | Philippine Peso |
SGD | Singapore Dollar |
Security Abbreviations and Legend | |
CME | Chicago Mercantile Exchange |
CMT | Constant Maturity Treasury |
EURIBOR | Euro Interbank Offered Rate |
IO | Interest-Only Security - (Interest Tranche of Stripped Mortgage Pool). Rate shown is the annualized yield at the end of the period. |
LIBOR | London Interbank Offered Rate |
NIBOR | Norwegian Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Interbank Average Rate |
TBA | To Be Announced. A forward mortgage-backed securities trade issued by a U.S. Government Agency, to be delivered at an agreed-upon future settlement date. |
(A) | Security purchased or sold on a when-issued or delayed delivery basis. |
(B) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $1,229,766,932 or 31.3% of the fund’s net assets as of 8-31-22. |
(C) | All or a portion of this security is on loan as of 8-31-22. |
(D) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(E) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(F) | Zero coupon bonds are issued at a discount from their principal amount in lieu of paying interest periodically. Rate shown is the effective yield at period end. |
(G) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(H) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which is disclosed as TBD (To Be Determined). |
(I) | Variable or floating rate security, the interest rate of which adjusts periodically based on a weighted average of interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of period end. |
(J) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(K) | Non-income producing security. |
(L) | For this type of option, notional amounts are equivalent to number of contracts. |
(M) | Investment is an affiliate of the fund, the advisor and/or subadvisor. A portion of this security represents the investment of cash collateral received for securities lending. Cash collateral received for securities lending amounted to $59,464,242. |
(N) | The rate shown is the annualized seven-day yield as of 8-31-22. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 33 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Euro-BTP Italian Government Bond Futures | 78 | Long | Sep 2022 | $9,785,792 | $9,367,926 | $(417,866) |
10-Year U.S. Treasury Note Futures | 203 | Short | Dec 2022 | (23,923,559) | (23,731,969) | 191,590 |
German Euro BUND Futures | 108 | Short | Sep 2022 | (16,490,659) | (16,059,709) | 430,950 |
U.S. Treasury Long Bond Futures | 638 | Short | Dec 2022 | (87,564,499) | (86,668,313) | 896,186 |
$1,100,860 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
AUD | 17,169,211 | USD | 11,892,769 | CIBC | 9/21/2022 | — | $(141,329) |
AUD | 30,115,067 | USD | 20,861,243 | CITI | 9/21/2022 | — | (249,031) |
AUD | 25,519,140 | USD | 17,496,602 | GSI | 9/21/2022 | — | (30,066) |
AUD | 20,303,392 | USD | 14,097,249 | JPM | 9/21/2022 | — | (200,623) |
AUD | 73,460,874 | USD | 50,494,974 | MSCS | 9/21/2022 | — | (214,790) |
AUD | 91,201,740 | USD | 63,741,319 | SSB | 9/21/2022 | — | (1,318,425) |
AUD | 60,750,053 | USD | 42,068,122 | UBS | 9/21/2022 | — | (487,840) |
BRL | 89,572,277 | USD | 16,639,505 | CITI | 9/21/2022 | $499,578 | — |
BRL | 90,191,415 | USD | 16,640,829 | SSB | 9/21/2022 | 616,722 | — |
CAD | 51,729,092 | USD | 40,724,697 | CIBC | 9/21/2022 | — | (1,343,021) |
CAD | 38,728,231 | USD | 29,916,250 | CITI | 9/21/2022 | — | (432,209) |
CAD | 42,842,248 | USD | 33,514,351 | JPM | 9/21/2022 | — | (898,284) |
CAD | 38,806,708 | USD | 30,122,500 | MSCS | 9/21/2022 | — | (578,714) |
CAD | 19,423,946 | USD | 15,003,125 | RBC | 9/21/2022 | — | (215,555) |
CAD | 50,740,329 | USD | 39,485,613 | SSB | 9/21/2022 | — | (856,688) |
CAD | 38,515,532 | USD | 30,122,500 | UBS | 9/21/2022 | — | (800,388) |
COP | 42,173,460,294 | USD | 10,041,300 | CITI | 9/21/2022 | — | (546,467) |
EUR | 9,746,063 | NOK | 95,422,729 | GSI | 9/21/2022 | 201,257 | — |
EUR | 23,390,551 | NOK | 229,342,474 | JPM | 9/21/2022 | 450,008 | — |
EUR | 6,251,443 | USD | 6,623,169 | BMO | 9/21/2022 | — | (332,956) |
EUR | 47,178,227 | USD | 49,628,424 | CIBC | 9/21/2022 | — | (2,157,609) |
EUR | 43,069,698 | USD | 45,612,701 | CITI | 9/21/2022 | — | (2,275,895) |
EUR | 53,728,139 | USD | 56,848,410 | GSI | 9/21/2022 | — | (2,787,061) |
EUR | 85,906,962 | USD | 90,356,577 | HUS | 9/21/2022 | — | (3,916,839) |
EUR | 42,678,664 | USD | 44,255,543 | JPM | 9/21/2022 | — | (1,312,196) |
EUR | 115,202,033 | USD | 120,336,733 | MSCS | 9/21/2022 | — | (4,420,245) |
EUR | 34,441,115 | USD | 35,105,712 | RBC | 9/21/2022 | — | (451,001) |
EUR | 158,918,269 | USD | 166,340,712 | SSB | 9/21/2022 | — | (6,436,869) |
EUR | 83,791,965 | USD | 88,088,194 | UBS | 9/21/2022 | — | (3,776,573) |
34 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
GBP | 24,191,551 | USD | 28,549,410 | CITI | 9/21/2022 | — | $(436,056) |
GBP | 16,988,354 | USD | 20,069,026 | HUS | 9/21/2022 | — | (326,612) |
GBP | 14,958,750 | USD | 17,613,928 | MSCS | 9/21/2022 | — | (230,147) |
GBP | 9,232,801 | USD | 10,893,598 | RBC | 9/21/2022 | — | (164,025) |
GBP | 2,616,094 | USD | 3,184,204 | SSB | 9/21/2022 | — | (144,003) |
GBP | 31,576,042 | USD | 37,231,870 | UBS | 9/21/2022 | — | (536,892) |
JPY | 1,409,519,038 | USD | 10,466,078 | GSI | 9/21/2022 | — | (305,313) |
JPY | 8,210,433,513 | USD | 61,469,012 | JPM | 9/21/2022 | — | (2,282,665) |
JPY | 1,975,372,874 | USD | 15,002,500 | MSCS | 9/21/2022 | — | (762,679) |
JPY | 2,001,870,590 | USD | 15,002,500 | SCB | 9/21/2022 | — | (571,666) |
JPY | 1,381,256,782 | USD | 10,264,889 | SSB | 9/21/2022 | — | (307,858) |
JPY | 1,394,553,030 | USD | 10,468,124 | UBS | 9/21/2022 | — | (415,245) |
MXN | 115,373,163 | USD | 5,475,478 | UBS | 9/21/2022 | $230,740 | — |
NOK | 15,064,250 | SEK | 15,409,191 | MSCS | 9/21/2022 | 69,528 | — |
NZD | 16,711,588 | AUD | 15,100,600 | CIBC | 9/21/2022 | — | (111,127) |
NZD | 16,704,284 | AUD | 15,100,600 | CITI | 9/21/2022 | — | (115,596) |
NZD | 16,737,535 | AUD | 15,100,600 | MSCS | 9/21/2022 | — | (95,252) |
NZD | 38,608,898 | USD | 24,289,263 | BARC | 9/21/2022 | — | (667,632) |
NZD | 19,304,449 | USD | 12,096,656 | CIBC | 9/21/2022 | — | (285,841) |
NZD | 34,720,132 | USD | 21,878,525 | CITI | 9/21/2022 | — | (636,113) |
NZD | 38,608,898 | USD | 24,524,797 | MSCS | 9/21/2022 | — | (903,166) |
SEK | 15,521,158 | NOK | 15,064,250 | JPM | 9/21/2022 | — | (59,014) |
SGD | 2,754,584 | USD | 1,982,000 | BNY | 9/21/2022 | — | (10,707) |
SGD | 1,728,747 | USD | 1,230,718 | CIBC | 9/21/2022 | 6,444 | — |
SGD | 98,630,881 | USD | 70,492,557 | CITI | 9/21/2022 | 91,755 | — |
SGD | 42,293,102 | USD | 30,231,005 | HUS | 9/21/2022 | 35,677 | — |
SGD | 109,452,554 | USD | 78,147,665 | JPM | 9/21/2022 | 181,079 | — |
SGD | 15,649,146 | USD | 11,178,186 | MSCS | 9/21/2022 | 20,986 | — |
SGD | 28,355,884 | USD | 20,242,002 | UBS | 9/21/2022 | 50,634 | — |
USD | 50,917,635 | AUD | 72,948,651 | ANZ | 9/21/2022 | 988,042 | — |
USD | 14,056,671 | AUD | 19,534,874 | CIBC | 9/21/2022 | 686,055 | — |
USD | 44,828,131 | AUD | 65,216,077 | CITI | 9/21/2022 | 191,087 | — |
USD | 17,466,857 | AUD | 24,753,144 | GSI | 9/21/2022 | 524,605 | — |
USD | 19,252,794 | AUD | 28,204,230 | HUS | 9/21/2022 | — | (51,549) |
USD | 12,432,532 | AUD | 18,408,586 | JPM | 9/21/2022 | — | (167,197) |
USD | 31,909,892 | AUD | 46,584,608 | MSCS | 9/21/2022 | 25,127 | — |
USD | 78,787,847 | AUD | 110,247,541 | SSB | 9/21/2022 | 3,329,084 | — |
USD | 56,968,549 | BRL | 285,360,582 | CITI | 9/21/2022 | 2,366,624 | — |
USD | 12,759,684 | BRL | 66,319,415 | SSB | 9/21/2022 | 69,888 | — |
USD | 9,086,899 | CAD | 11,830,370 | CIBC | 9/21/2022 | 80,365 | — |
USD | 14,808,960 | CAD | 18,637,300 | CITI | 9/21/2022 | 620,269 | — |
USD | 9,086,899 | CAD | 11,892,942 | GSI | 9/21/2022 | 32,729 | — |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 35 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 52,083,650 | CAD | 65,866,567 | HUS | 9/21/2022 | $1,939,027 | — |
USD | 15,061,250 | CAD | 19,317,101 | JPM | 9/21/2022 | 355,022 | — |
USD | 39,003,149 | CAD | 50,382,569 | MSCS | 9/21/2022 | 646,589 | — |
USD | 82,015,224 | CAD | 105,305,015 | RBC | 9/21/2022 | 1,845,868 | — |
USD | 30,122,500 | CAD | 38,879,081 | SCB | 9/21/2022 | 523,617 | — |
USD | 14,958,125 | CAD | 19,103,395 | SSB | 9/21/2022 | 414,592 | — |
USD | 27,260,697 | CAD | 35,551,456 | UBS | 9/21/2022 | 195,154 | — |
USD | 5,250,669 | COP | 20,390,972,496 | CITI | 9/21/2022 | 659,894 | — |
USD | 25,958,974 | COP | 100,362,364,920 | SSB | 9/21/2022 | 3,363,628 | — |
USD | 67,458,551 | EUR | 64,226,476 | BARC | 9/21/2022 | 2,833,757 | — |
USD | 91,242,448 | EUR | 85,776,219 | CIBC | 9/21/2022 | 4,934,265 | — |
USD | 90,053,864 | EUR | 85,557,435 | CITI | 9/21/2022 | 3,965,822 | — |
USD | 38,095,258 | EUR | 37,329,753 | GSI | 9/21/2022 | 533,995 | — |
USD | 117,073,588 | EUR | 110,869,286 | HUS | 9/21/2022 | 5,516,719 | — |
USD | 104,374,376 | EUR | 99,938,473 | JPM | 9/21/2022 | 3,816,110 | — |
USD | 125,167,709 | EUR | 119,646,240 | MSCS | 9/21/2022 | 4,779,451 | — |
USD | 22,635,201 | EUR | 21,420,124 | RBC | 9/21/2022 | 1,082,235 | — |
USD | 339,555,047 | EUR | 318,907,310 | SSB | 9/21/2022 | 18,669,949 | — |
USD | 58,625,934 | EUR | 56,397,515 | UBS | 9/21/2022 | 1,878,655 | — |
USD | 11,135,959 | GBP | 9,219,878 | CITI | 9/21/2022 | 421,404 | — |
USD | 62,632,757 | GBP | 50,630,356 | JPM | 9/21/2022 | 3,794,484 | — |
USD | 36,041,624 | GBP | 30,079,350 | MSCS | 9/21/2022 | 1,085,974 | — |
USD | 33,417,080 | GBP | 27,659,634 | RBC | 9/21/2022 | 1,273,416 | — |
USD | 17,740,330 | GBP | 14,958,750 | UBS | 9/21/2022 | 356,549 | — |
USD | 10,520,268 | JPY | 1,419,885,267 | BMO | 9/21/2022 | 284,778 | — |
USD | 10,468,124 | JPY | 1,381,479,390 | CITI | 9/21/2022 | 509,488 | — |
USD | 20,937,971 | JPY | 2,791,103,156 | GSI | 9/21/2022 | 817,815 | — |
USD | 45,939,488 | JPY | 6,085,695,222 | JPM | 9/21/2022 | 2,069,689 | — |
USD | 35,582,952 | JPY | 4,688,051,062 | MSCS | 9/21/2022 | 1,788,315 | — |
USD | 14,950,875 | JPY | 1,946,801,277 | SCB | 9/21/2022 | 917,017 | — |
USD | 25,471,143 | JPY | 3,366,084,300 | SSB | 9/21/2022 | 1,206,135 | — |
USD | 2,849,160 | MXN | 59,790,248 | JPM | 9/21/2022 | — | $(107,994) |
USD | 46,996,973 | MXN | 940,009,953 | UBS | 9/21/2022 | 505,211 | — |
USD | 12,263,454 | NZD | 19,250,379 | ANZ | 9/21/2022 | 485,719 | — |
USD | 9,464,173 | NZD | 15,100,512 | CIBC | 9/21/2022 | 225,404 | — |
USD | 12,425,996 | NZD | 19,860,193 | CITI | 9/21/2022 | 275,167 | — |
USD | 14,522,641 | NZD | 22,543,922 | MSCS | 9/21/2022 | 729,856 | — |
USD | 6,045,174 | NZD | 9,393,301 | SSB | 9/21/2022 | 298,181 | — |
USD | 62,063,417 | NZD | 96,603,626 | UBS | 9/21/2022 | 2,959,549 | — |
USD | 40,826,180 | SGD | 56,782,842 | ANZ | 9/21/2022 | 190,045 | — |
USD | 10,153,900 | SGD | 14,154,456 | BARC | 9/21/2022 | 24,390 | — |
USD | 10,291,199 | SGD | 14,306,166 | CIBC | 9/21/2022 | 53,119 | — |
36 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 47,637,597 | SGD | 66,150,363 | CITI | 9/21/2022 | $297,679 | — |
USD | 20,518,380 | SGD | 28,480,947 | HUS | 9/21/2022 | 136,244 | — |
USD | 61,124,415 | SGD | 84,928,000 | JPM | 9/21/2022 | 346,448 | — |
USD | 29,994,064 | SGD | 41,666,341 | MSCS | 9/21/2022 | 175,918 | — |
USD | 10,153,900 | SGD | 14,088,638 | SSB | 9/21/2022 | 71,492 | — |
USD | 40,826,180 | SGD | 56,776,376 | UBS | 9/21/2022 | 194,673 | — |
$90,816,791 | $(45,875,023) |
Foreign currency options | |||||||
Description | Counterparty (OTC) | Currency | Exercise price | Expiration date | Notional amount* | Premium | Value |
Puts | |||||||
Euro vs. U.S. Dollar | CITI | EUR | 1.04 | Sep 2022 | 68,900,000 | $724,168 | $(2,071,970) |
U.S. Dollar vs. Japanese Yen | GSI | USD | 112.75 | Apr 2023 | 94,670,000 | 564,233 | (111,521) |
$1,288,401 | $(2,183,491) | ||||||
* For this type of option, notional amounts are equivalent to number of contracts. |
Derivatives Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
COP | Colombian Peso |
EUR | Euro |
GBP | Pound Sterling |
JPY | Japanese Yen |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | U.S. Dollar |
Derivatives Abbreviations | |
ANZ | Australia and New Zealand Banking Group Limited |
BARC | Barclays Bank PLC |
BMO | Bank of Montreal |
BNY | The Bank of New York Mellon |
CIBC | Canadian Imperial Bank of Commerce |
CITI | Citibank, N.A. |
GSI | Goldman Sachs International |
HUS | HSBC Bank USA, N.A. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 37 |
JPM | JPMorgan Chase Bank, N.A. |
MSCS | Morgan Stanley Capital Services LLC |
OTC | Over-the-counter |
RBC | Royal Bank of Canada |
SCB | Standard Chartered Bank |
SSB | State Street Bank and Trust Company |
UBS | UBS AG |
38 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Assets | |
Unaffiliated investments, at value (Cost $4,281,392,358) including $58,174,683 of securities loaned | $3,771,169,197 |
Affiliated investments, at value (Cost $135,498,655) | 135,402,725 |
Total investments, at value (Cost $4,416,891,013) | 3,906,571,922 |
Unrealized appreciation on forward foreign currency contracts | 90,816,791 |
Receivable for futures variation margin | 316,552 |
Cash | 605,762 |
Foreign currency, at value (Cost $1,399,759) | 1,376,386 |
Collateral held at broker for futures contracts | 3,501,412 |
Collateral segregated at custodian for OTC derivative contracts | 1,290,000 |
Dividends and interest receivable | 34,260,495 |
Receivable for fund shares sold | 4,237,123 |
Receivable for investments sold | 80,585,875 |
Receivable for securities lending income | 91,947 |
Other assets | 215,934 |
Total assets | 4,123,870,199 |
Liabilities | |
Unrealized depreciation on forward foreign currency contracts | 45,875,023 |
Written options, at value (Premiums received $1,288,401) | 2,183,491 |
Distributions payable | 182,450 |
Payable for investments purchased | 68,024,702 |
Payable for delayed delivery securities purchased | 4,032,898 |
Payable for fund shares repurchased | 12,465,745 |
Payable upon return of securities loaned | 59,535,774 |
Payable to affiliates | |
Accounting and legal services fees | 142,628 |
Transfer agent fees | 234,744 |
Distribution and service fees | 994 |
Trustees’ fees | 3,659 |
Other liabilities and accrued expenses | 920,578 |
Total liabilities | 193,602,686 |
Net assets | $3,930,267,513 |
Net assets consist of | |
Paid-in capital | $4,516,863,015 |
Total distributable earnings (loss) | (586,595,502) |
Net assets | $3,930,267,513 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 39 |
Net asset value per share | |
Based on net asset value and shares outstanding - the fund has an unlimited number of shares authorized with no par value | |
Class A ($326,029,220 ÷ 33,120,664 shares)1 | $9.84 |
Class C ($42,568,176 ÷ 4,323,571 shares)1 | $9.85 |
Class I ($1,745,820,943 ÷ 177,337,709 shares) | $9.84 |
Class R2 ($4,910,192 ÷ 498,421 shares) | $9.85 |
Class R6 ($172,947,560 ÷ 17,555,304 shares) | $9.85 |
Class NAV ($1,637,991,422 ÷ 166,459,991 shares) | $9.84 |
Maximum offering price per share | |
Class A (net asset value per share ÷ 96%)2 | $10.25 |
1 | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
2 | On single retail sales of less than $100,000. On sales of $100,000 or more and on group sales the offering price is reduced. |
40 | JOHN HANCOCK Strategic Income Opportunities Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Investment income | |
Interest | $143,053,079 |
Dividends | 11,787,769 |
Dividends from affiliated investments | 249,704 |
Securities lending | 347,882 |
Less foreign taxes withheld | (1,141,831) |
Total investment income | 154,296,603 |
Expenses | |
Investment management fees | 28,410,792 |
Distribution and service fees | 1,714,615 |
Accounting and legal services fees | 644,543 |
Transfer agent fees | 2,673,271 |
Trustees’ fees | 73,197 |
Custodian fees | 872,757 |
State registration fees | 219,400 |
Printing and postage | 96,947 |
Professional fees | 217,919 |
Other | 228,708 |
Total expenses | 35,152,149 |
Less expense reductions | (2,158,462) |
Net expenses | 32,993,687 |
Net investment income | 121,302,916 |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on | |
Unaffiliated investments and foreign currency transactions | (85,673,512) |
Affiliated investments | (36,978) |
Capital gain distributions received from affiliated investments | 13,759 |
Futures contracts | 63,120,117 |
Forward foreign currency contracts | 29,395,732 |
Written options | 1,801,813 |
8,620,931 | |
Change in net unrealized appreciation (depreciation) of | |
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (657,674,945) |
Affiliated investments | (88,168) |
Futures contracts | 3,434,960 |
Forward foreign currency contracts | 39,497,545 |
Written options | (2,651,857) |
(617,482,465) | |
Net realized and unrealized loss | (608,861,534) |
Decrease in net assets from operations | $(487,558,618) |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 41 |
Year ended 8-31-22 | Year ended 8-31-21 | |
Increase (decrease) in net assets | ||
From operations | ||
Net investment income | $121,302,916 | $116,059,841 |
Net realized gain | 8,620,931 | 200,808,204 |
Change in net unrealized appreciation (depreciation) | (617,482,465) | (38,646,753) |
Increase (decrease) in net assets resulting from operations | (487,558,618) | 278,221,292 |
Distributions to shareholders | ||
From earnings | ||
Class A | (11,520,057) | (8,739,583) |
Class C | (1,448,519) | (1,586,626) |
Class I | (64,579,947) | (50,118,857) |
Class R2 | (166,849) | (128,293) |
Class R6 | (7,091,941) | (6,064,777) |
Class NAV | (69,165,745) | (57,117,467) |
Total distributions | (153,973,058) | (123,755,603) |
From fund share transactions | (301,851,930) | 58,533,080 |
Total increase (decrease) | (943,383,606) | 212,998,769 |
Net assets | ||
Beginning of year | 4,873,651,119 | 4,660,652,350 |
End of year | $3,930,267,513 | $4,873,651,119 |
42 | JOHN HANCOCK Strategic Income Opportunities Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS A SHARES Period ended | 8-31-22 | 8-31-21 | 8-31-20 | 8-31-19 | 8-31-18 |
Per share operating performance | |||||
Net asset value, beginning of period | $11.37 | $10.99 | $10.67 | $10.36 | $10.93 |
Net investment income1 | 0.26 | 0.24 | 0.25 | 0.32 | 0.32 |
Net realized and unrealized gain (loss) on investments | (1.45) | 0.40 | 0.28 | 0.30 | (0.55) |
Total from investment operations | (1.19) | 0.64 | 0.53 | 0.62 | (0.23) |
Less distributions | |||||
From net investment income | (0.34) | (0.26) | (0.21) | (0.31) | (0.34) |
Net asset value, end of period | $9.84 | $11.37 | $10.99 | $10.67 | $10.36 |
Total return (%)2,3 | (10.66) | 5.88 | 5.01 | 6.10 | (2.28) |
Ratios and supplemental data | |||||
Net assets, end of period (in millions) | $326 | $396 | $332 | $331 | $429 |
Ratios (as a percentage of average net assets): | |||||
Expenses before reductions | 1.11 | 1.10 | 1.12 | 1.11 | 1.09 |
Expenses including reductions | 1.06 | 1.07 | 1.09 | 1.08 | 1.06 |
Net investment income | 2.43 | 2.16 | 2.40 | 3.09 | 2.99 |
Portfolio turnover (%) | 36 | 71 | 73 | 84 | 63 |
1 | Based on average daily shares outstanding. |
2 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
3 | Does not reflect the effect of sales charges, if any. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 43 |
CLASS C SHARES Period ended | 8-31-22 | 8-31-21 | 8-31-20 | 8-31-19 | 8-31-18 |
Per share operating performance | |||||
Net asset value, beginning of period | $11.37 | $10.99 | $10.67 | $10.36 | $10.93 |
Net investment income1 | 0.18 | 0.16 | 0.18 | 0.25 | 0.25 |
Net realized and unrealized gain (loss) on investments | (1.44) | 0.40 | 0.27 | 0.29 | (0.56) |
Total from investment operations | (1.26) | 0.56 | 0.45 | 0.54 | (0.31) |
Less distributions | |||||
From net investment income | (0.26) | (0.18) | (0.13) | (0.23) | (0.26) |
Net asset value, end of period | $9.85 | $11.37 | $10.99 | $10.67 | $10.36 |
Total return (%)2,3 | (11.19) | 5.04 | 4.38 | 5.36 | (2.97) |
Ratios and supplemental data | |||||
Net assets, end of period (in millions) | $43 | $78 | $147 | $202 | $284 |
Ratios (as a percentage of average net assets): | |||||
Expenses before reductions | 1.81 | 1.80 | 1.82 | 1.81 | 1.79 |
Expenses including reductions | 1.76 | 1.77 | 1.79 | 1.78 | 1.76 |
Net investment income | 1.69 | 1.42 | 1.71 | 2.40 | 2.29 |
Portfolio turnover (%) | 36 | 71 | 73 | 84 | 63 |
1 | Based on average daily shares outstanding. |
2 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
3 | Does not reflect the effect of sales charges, if any. |
44 | JOHN HANCOCK Strategic Income Opportunities Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS I SHARES Period ended | 8-31-22 | 8-31-21 | 8-31-20 | 8-31-19 | 8-31-18 |
Per share operating performance | |||||
Net asset value, beginning of period | $11.37 | $10.99 | $10.67 | $10.36 | $10.93 |
Net investment income1 | 0.29 | 0.28 | 0.29 | 0.35 | 0.35 |
Net realized and unrealized gain (loss) on investments | (1.45) | 0.40 | 0.27 | 0.30 | (0.55) |
Total from investment operations | (1.16) | 0.68 | 0.56 | 0.65 | (0.20) |
Less distributions | |||||
From net investment income | (0.37) | (0.30) | (0.24) | (0.34) | (0.37) |
Net asset value, end of period | $9.84 | $11.37 | $10.99 | $10.67 | $10.36 |
Total return (%)2 | (10.30) | 6.10 | 5.42 | 6.41 | (2.00) |
Ratios and supplemental data | |||||
Net assets, end of period (in millions) | $1,746 | $2,009 | $1,961 | $2,315 | $3,441 |
Ratios (as a percentage of average net assets): | |||||
Expenses before reductions | 0.81 | 0.80 | 0.82 | 0.82 | 0.79 |
Expenses including reductions | 0.76 | 0.77 | 0.79 | 0.79 | 0.76 |
Net investment income | 2.73 | 2.45 | 2.70 | 3.38 | 3.28 |
Portfolio turnover (%) | 36 | 71 | 73 | 84 | 63 |
1 | Based on average daily shares outstanding. |
2 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 45 |
CLASS R2 SHARES Period ended | 8-31-22 | 8-31-21 | 8-31-20 | 8-31-19 | 8-31-18 |
Per share operating performance | |||||
Net asset value, beginning of period | $11.38 | $11.00 | $10.68 | $10.37 | $10.94 |
Net investment income1 | 0.25 | 0.23 | 0.25 | 0.31 | 0.31 |
Net realized and unrealized gain (loss) on investments | (1.45) | 0.40 | 0.27 | 0.30 | (0.55) |
Total from investment operations | (1.20) | 0.63 | 0.52 | 0.61 | (0.24) |
Less distributions | |||||
From net investment income | (0.33) | (0.25) | (0.20) | (0.30) | (0.33) |
Net asset value, end of period | $9.85 | $11.38 | $11.00 | $10.68 | $10.37 |
Total return (%)2 | (10.71) | 5.79 | 4.92 | 6.01 | (2.36) |
Ratios and supplemental data | |||||
Net assets, end of period (in millions) | $5 | $6 | $6 | $12 | $16 |
Ratios (as a percentage of average net assets): | |||||
Expenses before reductions | 1.18 | 1.19 | 1.19 | 1.19 | 1.19 |
Expenses including reductions | 1.13 | 1.16 | 1.17 | 1.17 | 1.16 |
Net investment income | 2.36 | 2.07 | 2.34 | 3.01 | 2.89 |
Portfolio turnover (%) | 36 | 71 | 73 | 84 | 63 |
1 | Based on average daily shares outstanding. |
2 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
46 | JOHN HANCOCK Strategic Income Opportunities Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS R6 SHARES Period ended | 8-31-22 | 8-31-21 | 8-31-20 | 8-31-19 | 8-31-18 |
Per share operating performance | |||||
Net asset value, beginning of period | $11.38 | $11.00 | $10.67 | $10.37 | $10.94 |
Net investment income1 | 0.30 | 0.29 | 0.30 | 0.37 | 0.36 |
Net realized and unrealized gain (loss) on investments | (1.45) | 0.40 | 0.28 | 0.28 | (0.55) |
Total from investment operations | (1.15) | 0.69 | 0.58 | 0.65 | (0.19) |
Less distributions | |||||
From net investment income | (0.38) | (0.31) | (0.25) | (0.35) | (0.38) |
Net asset value, end of period | $9.85 | $11.38 | $11.00 | $10.67 | $10.37 |
Total return (%)2 | (10.28) | 6.30 | 5.54 | 6.42 | (1.89) |
Ratios and supplemental data | |||||
Net assets, end of period (in millions) | $173 | $226 | $232 | $543 | $1,464 |
Ratios (as a percentage of average net assets): | |||||
Expenses before reductions | 0.70 | 0.70 | 0.70 | 0.70 | 0.69 |
Expenses including reductions | 0.65 | 0.67 | 0.68 | 0.68 | 0.66 |
Net investment income | 2.83 | 2.55 | 2.82 | 3.55 | 3.42 |
Portfolio turnover (%) | 36 | 71 | 73 | 84 | 63 |
1 | Based on average daily shares outstanding. |
2 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 47 |
CLASS NAV SHARES Period ended | 8-31-22 | 8-31-21 | 8-31-20 | 8-31-19 | 8-31-18 |
Per share operating performance | |||||
Net asset value, beginning of period | $11.37 | $10.99 | $10.66 | $10.36 | $10.93 |
Net investment income1 | 0.30 | 0.29 | 0.30 | 0.36 | 0.36 |
Net realized and unrealized gain (loss) on investments | (1.45) | 0.40 | 0.28 | 0.29 | (0.55) |
Total from investment operations | (1.15) | 0.69 | 0.58 | 0.65 | (0.19) |
Less distributions | |||||
From net investment income | (0.38) | (0.31) | (0.25) | (0.35) | (0.38) |
Net asset value, end of period | $9.84 | $11.37 | $10.99 | $10.66 | $10.36 |
Total return (%)2 | (10.28) | 6.31 | 5.56 | 6.54 | (1.89) |
Ratios and supplemental data | |||||
Net assets, end of period (in millions) | $1,638 | $2,159 | $1,982 | $2,067 | $1,720 |
Ratios (as a percentage of average net assets): | |||||
Expenses before reductions | 0.69 | 0.69 | 0.69 | 0.69 | 0.68 |
Expenses including reductions | 0.65 | 0.66 | 0.66 | 0.66 | 0.65 |
Net investment income | 2.84 | 2.57 | 2.83 | 3.45 | 3.41 |
Portfolio turnover (%) | 36 | 71 | 73 | 84 | 63 |
1 | Based on average daily shares outstanding. |
2 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
48 | JOHN HANCOCK Strategic Income Opportunities Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
ANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 49 |
Total value at 8-31-22 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $286,188,549 | — | $286,188,549 | — |
Foreign government obligations | 861,434,989 | — | 861,434,989 | — |
Corporate bonds | 1,806,308,089 | — | 1,806,308,089 | — |
Convertible bonds | 74,418,871 | — | 74,418,871 | — |
Capital preferred securities | 5,330,641 | — | 5,330,641 | — |
Term loans | 358,503,244 | — | 358,503,244 | — |
Collateralized mortgage obligations | 165,586,080 | — | 165,586,080 | — |
Asset backed securities | 40,323,624 | — | 40,323,624 | — |
Common stocks | 37,614,855 | $37,614,855 | — | — |
Preferred securities | 135,028,950 | 106,836,493 | 28,192,457 | — |
Purchased options | 431,305 | — | 431,305 | — |
Short-term investments | 135,402,725 | 135,402,725 | — | — |
Total investments in securities | $3,906,571,922 | $279,854,073 | $3,626,717,849 | — |
Derivatives: | ||||
Assets |
50 | JOHN HANCOCK Strategic Income Opportunities Fund | ANNUAL REPORT |
Total value at 8-31-22 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Futures | $1,518,726 | $1,518,726 | — | — |
Forward foreign currency contracts | 90,816,791 | — | $90,816,791 | — |
Liabilities | ||||
Futures | (417,866) | (417,866) | — | — |
Forward foreign currency contracts | (45,875,023) | — | (45,875,023) | — |
Written options | (2,183,491) | — | (2,183,491) | — |
Level 3 includes securities valued at $0. Refer to Fund’s investments. |
ANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 51 |
52 | JOHN HANCOCK Strategic Income Opportunities Fund | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 53 |
August 31, 2022 | August 31, 2021 | |
Ordinary income | $153,973,058 | $123,755,603 |
54 | JOHN HANCOCK Strategic Income Opportunities Fund | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 55 |
Risk | Statement of assets and liabilities location | Financial instruments location | Assets derivatives fair value | Liabilities derivatives fair value |
Interest rate | Receivable/payable for futures variation margin1 | Futures | $1,518,726 | $(417,866) |
Currency | Unrealized appreciation (depreciation) on forward foreign currency contracts | Forward foreign currency contracts | 90,816,791 | (45,875,023) |
Currency | Unaffiliated investments, at value2 | Purchased options | 431,305 | — |
Currency | Written options, at value | Written options | — | (2,183,491) |
56 | JOHN HANCOCK Strategic Income Opportunities Fund | ANNUAL REPORT |
Risk | Statement of assets and liabilities location | Financial instruments location | Assets derivatives fair value | Liabilities derivatives fair value |
$92,766,822 | $(48,476,380) |
1 | Reflects cumulative appreciation/depreciation on open futures as disclosed in the Derivatives section of Fund’s investments. Only the year end variation margin receivable/payable is separately reported on the Statement of assets and liabilities. |
2 | Purchased options are included in Fund’s investments. |
OTC Financial Instruments | Asset | Liability |
Forward foreign currency contracts | $90,816,791 | $(45,875,023) |
Purchased options | 431,305 | — |
Written options | — | (2,183,491) |
Totals | $91,248,096 | $(48,058,514) |
Counterparty | Assets | Liabilities | Total Market Value of OTC Derivatives | Collateral Posted by Counterparty1 | Collateral Posted by Fund1 | Net Exposure |
Australia and New Zealand Banking Group Limited | $1,663,806 | $ — | $1,663,806 | $1,306,190 | $ — | $357,616 |
Barclays Bank PLC | 2,858,147 | (667,632) | 2,190,515 | 2,190,515 | — | — |
Bank of Montreal | 284,778 | (332,956) | (48,178) | — | 48,178 | — |
The Bank of New York Mellon | (10,707) | (10,707) | — | — | (10,707) | |
Canadian Imperial Bank of Commerce | 5,985,652 | (4,038,927) | 1,946,725 | 1,946,725 | — | — |
Citibank, N.A. | 9,898,767 | (6,763,337) | 3,135,430 | 2,040,000 | — | 1,095,430 |
Goldman Sachs International | 2,541,706 | (3,233,961) | (692,255) | — | 692,255 | — |
HSBC Bank USA, N.A. | 7,627,667 | (4,295,000) | 3,332,667 | 3,300,000 | — | 32,667 |
JPMorgan Chase Bank, N.A. | 11,012,840 | (5,027,973) | 5,984,867 | 5,984,867 | — | — |
Morgan Stanley Capital Services LLC | 9,321,744 | (7,204,993) | 2,116,751 | 2,080,000 | — | 36,751 |
Royal Bank of Canada | 4,201,519 | (830,581) | 3,370,938 | 3,070,000 | — | 300,938 |
Standard Chartered Bank | 1,440,634 | (571,666) | 868,968 | 680,000 | — | 188,968 |
State Street Bank and Trust Company | 28,039,671 | (9,063,843) | 18,975,828 | 18,975,828 | — | — |
UBS AG | 6,371,165 | (6,016,938) | 354,227 | 246,876 | — | 107,351 |
ANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 57 |
Counterparty | Assets | Liabilities | Total Market Value of OTC Derivatives | Collateral Posted by Counterparty1 | Collateral Posted by Fund1 | Net Exposure |
Total | $91,248,096 | ($48,058,514) | $43,189,582 | $41,821,001 | $740,433 | $2,109,014 |
1 Reflects collateral posted by the counterparty or posted by the fund, excluding any excess collateral amounts. |
Statement of operations location - Net realized gain (loss) on: | |||||
Risk | Unaffiliated investments and foreign currency transactions1 | Futures contracts | Forward foreign currency contracts | Written options | Total |
Interest rate | — | $63,120,117 | — | — | $63,120,117 |
Currency | $(2,733,757) | — | $29,395,732 | $1,801,813 | 28,463,788 |
Total | $(2,733,757) | $63,120,117 | $29,395,732 | $1,801,813 | $91,583,905 |
1 | Realized gain (loss) associated with purchased options is included in this caption on the Statement of operations. |
Statement of operations location - Change in net unrealized appreciation (depreciation) of: | |||||
Risk | Unaffiliated investments and translation of assets and liabilities in foreign currencies1 | Futures contracts | Forward foreign currency contracts | Written options | Total |
Interest rate | — | $3,434,960 | — | — | $3,434,960 |
Currency | $(163,132) | — | $39,497,545 | $(2,651,857) | 36,682,556 |
Total | $(163,132) | $3,434,960 | $39,497,545 | $(2,651,857) | $40,117,516 |
1 | Change in unrealized appreciation (depreciation) associated with purchased options is included in this caption on the Statement of operations. |
58 | JOHN HANCOCK Strategic Income Opportunities Fund | ANNUAL REPORT |
Class | Expense reduction |
Class A | $177,707 |
Class C | 28,983 |
Class I | 908,293 |
Class R2 | 2,627 |
Class | Expense reduction |
Class R6 | $97,051 |
Class NAV | 943,801 |
Total | $2,158,462 |
ANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 59 |
Class | Rule 12b-1 Fee | Service fee |
Class A | 0.30% | — |
Class C | 1.00% | — |
Class R2 | 0.25% | 0.25% |
Class | Distribution and service fees | Transfer agent fees |
Class A | $1,094,041 | $422,275 |
Class C | 594,917 | 68,638 |
Class I | — | 2,163,850 |
Class R2 | 25,657 | 489 |
Class R6 | — | 18,019 |
Total | $1,714,615 | $2,673,271 |
60 | JOHN HANCOCK Strategic Income Opportunities Fund | ANNUAL REPORT |
Borrower or Lender | Weighted Average Loan Balance | Days Outstanding | Weighted Average Interest Rate | Interest Income (Expense) |
Lender | $14,800,000 | 2 | 0.8% | $658 |
Year Ended 8-31-22 | Year Ended 8-31-21 | |||
Shares | Amount | Shares | Amount | |
Class A shares | ||||
Sold | 5,455,974 | $58,249,102 | 10,390,012 | $117,213,057 |
Distributions reinvested | 1,056,296 | 11,140,808 | 743,907 | 8,413,617 |
Repurchased | (8,190,724) | (86,578,150) | (6,579,606) | (74,328,915) |
Net increase (decrease) | (1,678,454) | $(17,188,240) | 4,554,313 | $51,297,759 |
Class C shares | ||||
Sold | 209,073 | $2,243,713 | 629,905 | $7,115,323 |
Distributions reinvested | 131,541 | 1,394,405 | 135,385 | 1,528,761 |
Repurchased | (2,855,634) | (30,346,366) | (7,336,553) | (82,617,698) |
Net decrease | (2,515,020) | $(26,708,248) | (6,571,263) | $(73,973,614) |
Class I shares | ||||
Sold | 61,066,568 | $642,932,832 | 47,372,958 | $535,296,737 |
Distributions reinvested | 5,927,420 | 62,449,060 | 4,277,578 | 48,337,200 |
Repurchased | (66,348,708) | (700,227,515) | (53,337,366) | (597,731,824) |
Net increase (decrease) | 645,280 | $5,154,377 | (1,686,830) | $(14,097,887) |
Class R2 shares | ||||
Sold | 98,009 | $1,056,712 | 94,092 | $1,061,591 |
Distributions reinvested | 15,496 | 163,356 | 11,082 | 125,328 |
Repurchased | (99,333) | (1,035,004) | (164,275) | (1,838,769) |
Net increase (decrease) | 14,172 | $185,064 | (59,101) | $(651,850) |
Class R6 shares | ||||
Sold | 4,743,666 | $50,603,752 | 5,191,452 | $58,694,573 |
Distributions reinvested | 668,556 | 7,064,924 | 534,096 | 6,038,269 |
Repurchased | (7,716,693) | (82,389,216) | (6,974,882) | (78,799,326) |
Net decrease | (2,304,471) | $(24,720,540) | (1,249,334) | $(14,066,484) |
ANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 61 |
Year Ended 8-31-22 | Year Ended 8-31-21 | |||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 4,356,965 | $46,472,779 | 14,252,748 | $161,275,955 |
Distributions reinvested | 6,552,363 | 69,165,745 | 5,055,706 | 57,117,467 |
Repurchased | (34,425,871) | (354,212,867) | (9,686,548) | (108,368,266) |
Net increase (decrease) | (23,516,543) | $(238,574,343) | 9,621,906 | $110,025,156 |
Total net increase (decrease) | (29,355,036) | $(301,851,930) | 4,609,691 | $58,533,080 |
Fund | Affiliated Concentration |
John Hancock Funds II Multimanager Lifestyle Balanced Portfolio | 14.8% |
John Hancock Funds II Multimanager Lifestyle Growth Portfolio | 6.7% |
John Hancock Funds II Multimanager Lifestyle Moderate Portfolio | 5.2% |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
John Hancock Collateral Trust* | 13,549,215 | $29,012,253 | $556,492,787 | $(449,977,169) | $(36,978) | $(88,168) | $597,586 | $13,759 | $135,402,725 |
* | Refer to the Securities lending note within Note 2 for details regarding this investment. |
62 | JOHN HANCOCK Strategic Income Opportunities Fund | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 63 |
64 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 65 |
66 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT |
(a) | the skills and competency with which the Advisor has in the past managed the Trust’s affairs and its subadvisory relationship, the Advisor’s oversight and monitoring of the Subadvisor’s investment performance and compliance programs, such as the Subadvisor’s compliance with fund policies and objectives, review of brokerage matters, including with respect to trade allocation and best execution and the Advisor’s timeliness in responding to performance issues; |
(b) | the background, qualifications and skills of the Advisor’s personnel; |
ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 67 |
(c) | the Advisor’s compliance policies and procedures and its responsiveness to regulatory changes and fund industry developments; |
(d) | the Advisor’s administrative capabilities, including its ability to supervise the other service providers for the fund, as well as the Advisor’s oversight of any securities lending activity, its monitoring of class action litigation and collection of class action settlements on behalf of the fund, and bringing loss recovery actions on behalf of the fund; |
(e) | the financial condition of the Advisor and whether it has the financial wherewithal to provide a high level and quality of services to the fund; |
(f) | the Advisor’s initiatives intended to improve various aspects of the Trust’s operations and investor experience with the fund; and |
(g) | the Advisor’s reputation and experience in serving as an investment advisor to the Trust and the benefit to shareholders of investing in funds that are part of a family of funds offering a variety of investments. |
(a) | reviewed information prepared by management regarding the fund’s performance; |
(b) | considered the comparative performance of an applicable benchmark index; |
(c) | considered the performance of comparable funds, if any, as included in the report prepared by an independent third-party provider of fund data; and |
(d) | took into account the Advisor’s analysis of the fund’s performance and its plans and recommendations regarding the Trust’s subadvisory arrangements generally. |
68 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT |
(a) | reviewed financial information of the Advisor; |
(b) | reviewed and considered information presented by the Advisor regarding the net profitability to the Advisor and its affiliates with respect to the fund; |
(c) | received and reviewed profitability information with respect to the John Hancock Fund Complex as a whole and with respect to the fund; |
(d) | received information with respect to the Advisor’s allocation methodologies used in preparing the profitability data and considered that the Advisor hired an independent third-party consultant to provide an analysis of the Advisor’s allocation methodologies; |
(e) | considered that the John Hancock insurance companies that are affiliates of the Advisor, as shareholders of the Trust directly or through their separate accounts, receive certain tax credits or deductions relating to foreign taxes paid and dividends received by certain funds of the Trust and noted that these tax benefits, which are not available to participants in qualified retirement plans under applicable income tax law, are reflected in the profitability information reviewed by the Board; |
(f) | considered that the Advisor also provides administrative services to the fund on a cost basis pursuant to an administrative services agreement; |
(g) | noted that affiliates of the Advisor provide transfer agency services and distribution services to the fund, and that the fund’s distributor also receives Rule 12b-1 payments to support distribution of the fund; |
(h) | noted that the fund’s Subadvisor is an affiliate of the Advisor; |
(i) | noted that the Advisor also derives reputational and other indirect benefits from providing advisory services to the fund; |
(j) | noted that the subadvisory fee for the fund is paid by the Advisor; |
ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 69 |
(k) | considered the Advisor’s ongoing costs and expenditures necessary to improve services, meet new regulatory and compliance requirements, and adapt to other challenges impacting the fund industry; and |
(l) | considered that the Advisor should be entitled to earn a reasonable level of profits in exchange for the level of services it provides to the fund and the risks that it assumes as Advisor, including entrepreneurial, operational, reputational, litigation and regulatory risk. |
(a) | considered that the Advisor has contractually agreed to waive a portion of its management fee for certain funds of the John Hancock Fund Complex, including the fund (the participating portfolios) or otherwise reimburse the expenses of the participating portfolios (the reimbursement). This waiver is based upon aggregate net assets of all the participating portfolios. The amount of the reimbursement is calculated daily and allocated among all the participating portfolios in proportion to the daily net assets of each fund; |
(b) | reviewed the fund’s advisory fee structure and concluded that: (i) the fund’s fee structure contains breakpoints at the subadvisory fee level and that such breakpoints are reflected as breakpoints in the advisory fees for the fund; and (ii) although economies of scale cannot be measured with precision, these arrangements permit shareholders of the fund to benefit from economies of scale if the fund grows. The Board also took into account management’s discussion of the fund’s advisory fee structure; and |
(c) | the Board also considered the effect of the fund’s growth in size on its performance and fees. The Board also noted that if the fund’s assets increase over time, the fund may realize other economies of scale. |
(1) | information relating to the Subadvisor’s business, including current subadvisory services to the Trust (and other funds in the John Hancock Fund Complex); |
(2) | the historical and current performance of the fund and comparative performance information relating to an applicable benchmark index and comparable funds; and |
(3) | the subadvisory fee for the fund, including any breakpoints, and to the extent available, comparable fee information prepared by an independent third party provider of fund data; |
70 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT |
(1) | the Subadvisor has extensive experience and demonstrated skills as a manager; |
(2) | the performance of the fund is being monitored and reasonably addressed, where appropriate; |
(3) | the subadvisory fee is reasonable in relation to the level and quality of services being provided under the Subadvisory Agreement; and |
(4) | noted that the subadvisory fees are paid by the Advisor not the fund and that the subadvisory fee breakpoints are reflected as breakpoints in the advisory fees for the fund in order to permit shareholders to benefit from economies of scale if the fund grows. |
ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 71 |
72 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT |
• | The Fund’s investment strategy remained appropriate for an open-end fund structure; |
• | The Fund was able to meet requests for redemption without significant dilution of remaining shareholders’ interests in the Fund; |
• | The Fund did not report any breaches of the 15% limit on illiquid investments that would require reporting to the Securities and Exchange Commission; |
ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 73 |
• | The Fund continued to qualify as a Primarily Highly Liquid Fund under the Liquidity Rule and therefore is not required to establish a HLIM; and |
• | The Chief Compliance Officer’s office, as a part of their annual Rule 38a-1 assessment of the Fund’s policies and procedures, reviewed the LRMP’s control environment and deemed it to be operating effectively and in compliance with the Board approved procedures. |
74 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT |
Independent Trustees | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Hassell H. McClellan, Born: 1945 | 2005 | 192 |
Trustee and Chairperson of the Board | ||
Director/Trustee, Virtus Funds (2008-2020); Director, The Barnes Group (2010-2021); Associate Professor, The Wallace E. Carroll School of Management, Boston College (retired 2013). Trustee (since 2005) and Chairperson of the Board (since 2017) of various trusts within the John Hancock Fund Complex. | ||
James R. Boyle, Born: 1959 | 2015 | 192 |
Trustee | ||
Foresters Financial, Chief Executive Officer (2018–2022) and board member (2017–2022). Manulife Financial and John Hancock, more than 20 years, retiring in 2012 as Chief Executive Officer, John Hancock and Senior Executive Vice President, Manulife Financial. Trustee of various trusts within the John Hancock Fund Complex (2005–2014 and since 2015). | ||
Peter S. Burgess,2 Born: 1942 | 2005 | 192 |
Trustee | ||
Consultant (financial, accounting, and auditing matters) (since 1999); Certified Public Accountant; Partner, Arthur Andersen (independent public accounting firm) (prior to 1999); Director, Lincoln Educational Services Corporation (2004-2021); Director, Symetra Financial Corporation (2010–2016); Director, PMA Capital Corporation (2004–2010). Trustee of various trusts within the John Hancock Fund Complex (since 2005). | ||
William H. Cunningham,2 Born: 1944 | 2012 | 192 |
Trustee | ||
Professor, University of Texas, Austin, Texas (since 1971); former Chancellor, University of Texas System and former President of the University of Texas, Austin, Texas; Director (since 2006), Lincoln National Corporation (insurance); Director, Southwest Airlines (since 2000). Trustee of various trusts within the John Hancock Fund Complex (since 1986). | ||
Noni L. Ellison,* Born: 1971 | 2022 | 192 |
Trustee | ||
Senior Vice President, General Counsel & Corporate Secretary, Tractor Supply Company (rural lifestyle retailer) (since 2021); General Counsel, Chief Compliance Officer & Corporate Secretary, Carestream Dental, L.L.C.(2017–2021); Associate General Counsel & Assistant Corporate Secretary, W.W. Grainger, Inc. (global industrial supplier) (2015–2017); Board Member, Goodwill of North Georgia, 2018 (FY2019)–2020 (FY2021); Board Member, Howard University School of Law Board of Visitors (since 2021); Board Member, University of Chicago Law School Board of Visitors (since 2016); Board member, Children’s Healthcare of Atlanta Foundation Board (2021–present). | ||
Grace K. Fey, Born: 1946 | 2008 | 192 |
Trustee | ||
Chief Executive Officer, Grace Fey Advisors (since 2007); Director and Executive Vice President, Frontier Capital Management Company (1988–2007); Director, Fiduciary Trust (since 2009). Trustee of various trusts within the John Hancock Fund Complex (since 2008). |
ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 75 |
Independent Trustees (continued) | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Dean C. Garfield,* Born: 1968 | 2022 | 192 |
Trustee | ||
Vice President, Netflix, Inc. (since 2019); President & Chief Executive Officer, Information Technology Industry Council (2009–2019); NYU School of Law Board of Trustees (since 2021); Member, U.S. Department of Transportation, Advisory Committee on Automation (since 2021); President of the United States Trade Advisory Council (2010–2018); Board Member, College for Every Student (2017–2021); Board Member, The Seed School of Washington, D.C. (2012–2017). | ||
Deborah C. Jackson, Born: 1952 | 2012 | 192 |
Trustee | ||
President, Cambridge College, Cambridge, Massachusetts (since 2011); Board of Directors, Amwell Corporation (since 2020); Board of Directors, Massachusetts Women’s Forum (2018-2020); Board of Directors, National Association of Corporate Directors/New England (2015-2020); Chief Executive Officer, American Red Cross of Massachusetts Bay (2002–2011); Board of Directors of Eastern Bank Corporation (since 2001); Board of Directors of Eastern Bank Charitable Foundation (since 2001); Board of Directors of Boston Stock Exchange (2002–2008); Board of Directors of Harvard Pilgrim Healthcare (health benefits company) (2007–2011). Trustee of various trusts within the John Hancock Fund Complex (since 2008). | ||
Patricia Lizarraga,2,* Born: 1966 | 2022 | 192 |
Trustee | ||
Founder, Chief Executive Officer, Hypatia Capital Group (advisory and asset management company) (since 2007); Independent Director, Audit Committee Chair, and Risk Committee Member, Credicorp, Ltd. (since 2017); Independent Director, Audit Committee Chair, Banco De Credito Del Peru (since 2017); Trustee, Museum of Art of Lima (since 2009). | ||
Steven R. Pruchansky, Born: 1944 | 2012 | 192 |
Trustee and Vice Chairperson of the Board | ||
Managing Director, Pru Realty (since 2017); Chairman and Chief Executive Officer, Greenscapes of Southwest Florida, Inc. (2014-2020); Director and President, Greenscapes of Southwest Florida, Inc. (until 2000); Member, Board of Advisors, First American Bank (until 2010); Managing Director, Jon James, LLC (real estate) (since 2000); Partner, Right Funding, LLC (2014-2017); Director, First Signature Bank & Trust Company (until 1991); Director, Mast Realty Trust (until 1994); President, Maxwell Building Corp. (until 1991). Trustee (since 1992), Chairperson of the Board (2011–2012), and Vice Chairperson of the Board (since 2012) of various trusts within the John Hancock Fund Complex. | ||
Frances G. Rathke,2 Born: 1960 | 2020 | 192 |
Trustee | ||
Director, Audit Committee Chair, Oatly Group AB (plant-based drink company) (since 2021); Director, Audit Committee Chair and Compensation Committee Member, Green Mountain Power Corporation (since 2016); Director, Treasurer and Finance & Audit Committee Chair, Flynn Center for Performing Arts (since 2016); Director and Audit Committee Chair, Planet Fitness (since 2016); Chief Financial Officer and Treasurer, Keurig Green Mountain, Inc. (2003-retired 2015). Trustee of various trusts within the John Hancock Fund Complex (since 2020). |
76 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT |
Independent Trustees (continued) | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Gregory A. Russo, Born: 1949 | 2012 | 192 |
Trustee | ||
Director and Audit Committee Chairman (2012-2020), and Member, Audit Committee and Finance Committee (2011-2020), NCH Healthcare System, Inc. (holding company for multi-entity healthcare system); Director and Member (2012-2018), and Finance Committee Chairman (2014-2018), The Moorings, Inc. (nonprofit continuing care community); Global Vice Chairman, Risk & Regulatory Matters, KPMG LLP (KPMG) (2002–2006); Vice Chairman, Industrial Markets, KPMG (1998–2002). Trustee of various trusts within the John Hancock Fund Complex (since 2008). |
Non-Independent Trustees3 | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Andrew G. Arnott, Born: 1971 | 2017 | 192 |
President and Non-Independent Trustee | ||
Head of Wealth and Asset Management, United States and Europe, for John Hancock and Manulife (since 2018); Director and Executive Vice President, John Hancock Investment Management LLC (since 2005, including prior positions); Director and Executive Vice President, John Hancock Variable Trust Advisers LLC (since 2006, including prior positions); President, John Hancock Investment Management Distributors LLC (since 2004, including prior positions); President of various trusts within the John Hancock Fund Complex (since 2007, including prior positions). Trustee of various trusts within the John Hancock Fund Complex (since 2017). | ||
Marianne Harrison, Born: 1963 | 2018 | 192 |
Non-Independent Trustee | ||
President and CEO, John Hancock (since 2017); President and CEO, Manulife Canadian Division (2013–2017); Member, Board of Directors, Boston Medical Center (since 2021); Member, Board of Directors, CAE Inc. (since 2019); Member, Board of Directors, MA Competitive Partnership Board (since 2018); Member, Board of Directors, American Council of Life Insurers (ACLI) (since 2018); Member, Board of Directors, Communitech, an industry-led innovation center that fosters technology companies in Canada (2017-2019); Member, Board of Directors, Manulife Assurance Canada (2015-2017); Board Member, St. Mary’s General Hospital Foundation (2014-2017); Member, Board of Directors, Manulife Bank of Canada (2013- 2017); Member, Standing Committee of the Canadian Life & Health Assurance Association (2013-2017); Member, Board of Directors, John Hancock USA, John Hancock Life & Health, John Hancock New York (2012–2013). Trustee of various trusts within the John Hancock Fund Complex (since 2018). | ||
Paul Lorentz,† Born: 1968 | 2022 | 192 |
Non-Independent Trustee | ||
Global Head, Manulife Wealth and Asset Management (since 2017); General Manager, Manulife, Individual Wealth Management and Insurance (2013–2017); President, Manulife Investments (2010–2016). |
ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 77 |
Principal officers who are not Trustees | |
Name, year of birth Position(s) held with Trust Principal occupation(s) during past 5 years | Current Position(s) with the Trust since |
Charles A. Rizzo, Born: 1957 | 2007 |
Chief Financial Officer | |
Vice President, John Hancock Financial Services (since 2008); Senior Vice President, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2008); Chief Financial Officer of various trusts within the John Hancock Fund Complex (since 2007). | |
Salvatore Schiavone, Born: 1965 | 2009 |
Treasurer | |
Assistant Vice President, John Hancock Financial Services (since 2007); Vice President, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2007); Treasurer of various trusts within the John Hancock Fund Complex (since 2007, including prior positions). | |
Christopher (Kit) Sechler, Born: 1973 | 2018 |
Secretary and Chief Legal Officer | |
Vice President and Deputy Chief Counsel, John Hancock Investment Management (since 2015); Assistant Vice President and Senior Counsel (2009–2015), John Hancock Investment Management; Assistant Secretary of John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2009); Chief Legal Officer and Secretary of various trusts within the John Hancock Fund Complex (since 2009, including prior positions). | |
Trevor Swanberg, Born: 1979 | 2020 |
Chief Compliance Officer | |
Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2020); Deputy Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (2019–2020); Assistant Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (2016–2019); Vice President, State Street Global Advisors (2015–2016); Chief Compliance Officer of various trusts within the John Hancock Fund Complex (since 2016, including prior positions). |
1 | Each Trustee holds office until his or her successor is elected and qualified, or until the Trustee’s death, retirement, resignation, or removal. Mr. Boyle has served as Trustee at various times prior to the date listed in the table. |
2 | Member of the Audit Committee. |
3 | The Trustee is a Non-Independent Trustee due to current or former positions with the Advisor and certain affiliates. |
* | Elected to serve as Independent Trustee effective as of September 9, 2022. |
† | Elected to serve as Non-Independent Trustee effective as of September 9, 2022. |
78 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | ANNUAL REPORT |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
James R. Boyle
Peter S. Burgess*
William H. Cunningham*
Grace K. Fey
Noni L. Ellison^
Dean C. Garfield^
Marianne Harrison†
Deborah C. Jackson
Patricia Lizarraga*,^
Paul Lorentz‡
Frances G. Rathke*
Gregory A. Russo
President
Chief Financial Officer
Treasurer
Secretary and Chief Legal Officer
Chief Compliance Officer
Thomas C. Goggins
Daniel S. Janis III1
Bradley L. Lutz, CFA
Kisoo Park
You can also contact us: | ||
800-225-5291 | Regular mail: | Express mail: |
jhinvestments.com | John Hancock Signature Services, Inc. P.O. Box 219909 Kansas City, MO 64121-9909 | John Hancock Signature Services, Inc. 430 W 7th Street Suite 219909 Kansas City, MO 64105-1407 |
ANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 79 |
GOVERNANCE FUNDS
with a heritage of financial stewardship dating back to 1862. Helping
our shareholders pursue their financial goals is at the core of everything
we do. It’s why we support the role of professional financial advice
and operate with the highest standards of conduct and integrity.
We search the world to find proven portfolio teams with specialized
expertise for every strategy we offer, then we apply robust investment
oversight to ensure they continue to meet our uncompromising
standards and serve the best interests of our shareholders.
a diverse set of investments backed by some of the world’s best
managers, along with strong risk-adjusted returns across asset classes.
200 Berkeley Street, Boston, MA 02116-5010, 800-225-5291, jhinvestments.com
MF2406997 | 356A 8/22 |
Manulife Investment Management
John Hancock Investment Management
Head of Wealth and Asset Management,
United States and Europe
ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 1 |
2 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 3 |
4 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT |
COUNTRY COMPOSITION AS OF 8/31/2022 (% of net assets) | |
United States | 83.9 |
Luxembourg | 3.9 |
United Kingdom | 2.8 |
France | 1.6 |
Cayman Islands | 1.6 |
Netherlands | 1.6 |
Canada | 1.2 |
Other countries | 3.4 |
TOTAL | 100.0 |
ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 5 |
6 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT |
Average annual total returns (%) with maximum sales charge | Cumulative total returns (%) with maximum sales charge | SEC 30-day yield (%) subsidized | SEC 30-day yield (%) unsubsidized† | |||||
1-year | 5-year | 10-year | 5-year | 10-year | as of 8-31-22 | as of 8-31-22 | ||
Class A | -4.47 | 2.11 | 2.44 | 11.00 | 27.25 | 5.78 | 5.63 | |
Class C | -3.69 | 1.85 | 1.96 | 9.60 | 21.37 | 5.17 | 5.02 | |
Class I1 | -1.83 | 2.85 | 2.99 | 15.07 | 34.20 | 6.16 | 6.03 | |
Class R61 | -1.71 | 2.98 | 3.08 | 15.83 | 35.43 | 6.28 | 6.15 | |
Class 11 | -1.76 | 2.94 | 3.06 | 15.62 | 35.14 | 6.23 | 6.10 | |
Class NAV1 | -1.72 | 2.99 | 3.11 | 15.87 | 35.80 | 6.28 | 6.16 | |
Index†† | 0.37 | 3.53 | 3.89 | 18.96 | 46.42 | — | — |
Class A | Class C | Class I | Class R6 | Class 1 | Class NAV | |
Gross (%) | 1.14 | 1.89 | 0.89 | 0.79 | 0.83 | 0.78 |
Net (%) | 1.02 | 1.77 | 0.79 | 0.68 | 0.72 | 0.68 |
ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 7 |
Start date | With maximum sales charge ($) | Without sales charge ($) | Index ($) | |
Class C2 | 8-31-12 | 12,137 | 12,137 | 14,642 |
Class I1 | 8-31-12 | 13,420 | 13,420 | 14,642 |
Class R61 | 8-31-12 | 13,543 | 13,543 | 14,642 |
Class 11 | 8-31-12 | 13,514 | 13,514 | 14,642 |
Class NAV1 | 8-31-12 | 13,580 | 13,580 | 14,642 |
1 | For certain types of investors, as described in the fund’s prospectuses. |
2 | The contingent deferred sales charge is not applicable. |
8 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 9 |
Account value on 3-1-2022 | Ending value on 8-31-2022 | Expenses paid during period ended 8-31-20221 | Annualized expense ratio | ||
Class A | Actual expenses/actual returns | $1,000.00 | $975.80 | $5.03 | 1.01% |
Hypothetical example | 1,000.00 | 1,020.10 | 5.14 | 1.01% | |
Class C | Actual expenses/actual returns | 1,000.00 | 972.30 | 8.75 | 1.76% |
Hypothetical example | 1,000.00 | 1,016.30 | 8.94 | 1.76% | |
Class I | Actual expenses/actual returns | 1,000.00 | 976.90 | 3.89 | 0.78% |
Hypothetical example | 1,000.00 | 1,021.30 | 3.97 | 0.78% | |
Class R6 | Actual expenses/actual returns | 1,000.00 | 977.50 | 3.34 | 0.67% |
Hypothetical example | 1,000.00 | 1,021.80 | 3.41 | 0.67% | |
Class 1 | Actual expenses/actual returns | 1,000.00 | 977.20 | 3.54 | 0.71% |
Hypothetical example | 1,000.00 | 1,021.60 | 3.62 | 0.71% | |
Class NAV | Actual expenses/actual returns | 1,000.00 | 977.50 | 3.34 | 0.67% |
Hypothetical example | 1,000.00 | 1,021.80 | 3.41 | 0.67% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
10 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT |
Rate (%) | Maturity date | Par value^ | Value | ||
Term loans (A) 88.9% | $1,681,242,345 | ||||
(Cost $1,777,171,886) | |||||
Communication services 10.4% | 196,080,308 | ||||
Diversified telecommunication services 3.3% | |||||
Cablevision Lightpath LLC, Term Loan B (1 month LIBOR + 3.250%) | 5.641 | 11-30-27 | 4,576,058 | 4,494,055 | |
Cincinnati Bell, Inc., 2021 Term Loan B2 (1 month SOFR + 3.250%) | 5.705 | 11-22-28 | 4,096,378 | 4,005,070 | |
Connect Finco SARL, 2021 Term Loan B (1 month LIBOR + 3.500%) | 6.030 | 12-11-26 | 3,478,199 | 3,369,505 | |
Cyxtera DC Holdings, Inc., Incremental Term Loan (3 month LIBOR + 4.000%) | 6.790 | 05-01-24 | 1,111,155 | 1,068,098 | |
Cyxtera DC Holdings, Inc., Term Loan B (3 month LIBOR + 3.000%) | 5.790 | 05-01-24 | 12,427,253 | 12,003,360 | |
Frontier Communications Holdings LLC, 2021 DIP Term Loan B (3 month LIBOR + 3.750%) | 6.063 | 05-01-28 | 5,893,098 | 5,697,153 | |
Gridiron Fiber Corp., Term Loan (3 month LIBOR + 4.500%) | 6.750 | 10-04-28 | 4,365,046 | 4,060,846 | |
Intelsat Jackson Holdings SA, 2017 Term Loan B5 | 8.625 | 01-02-24 | 16,071 | 15,589 | |
Level 3 Financing, Inc., 2019 Term Loan B (1 month LIBOR + 1.750%) | 4.274 | 03-01-27 | 2,710,847 | 2,584,494 | |
Metronet Systems Holdings LLC, 2021 1st Lien Term Loan (1 month SOFR + 3.865%) | 6.184 | 06-02-28 | 4,351,096 | 4,203,159 | |
Venga Finance Sarl, 2021 USD Term Loan B (3 month LIBOR + 4.750%) | 7.027 | 12-04-28 | 4,873,859 | 4,575,335 | |
Voyage Digital, USD Term Loan B (3 month SOFR + 4.500%) | 7.263 | 05-11-29 | 5,751,261 | 5,607,480 | |
Zacapa SARL, 2022 Term Loan (3 month SOFR + 4.250%) | 6.304 | 03-22-29 | 2,924,712 | 2,822,347 | |
Zayo Group Holdings, Inc., 2022 USD Incremental Term Loan B (1 month SOFR + 4.250%) | 6.705 | 03-09-27 | 2,162,355 | 2,027,597 | |
Zayo Group Holdings, Inc., USD Term Loan (1 month LIBOR + 3.000%) | 5.524 | 03-09-27 | 5,824,571 | 5,296,749 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 11 |
Rate (%) | Maturity date | Par value^ | Value | ||
Communication services (continued) | |||||
Entertainment 0.6% | |||||
Octave Music Group, Inc., 2022 Term Loan (3 month SOFR + 5.250%) | 7.304 | 04-02-29 | 1,838,631 | $1,785,770 | |
Playtika Holding Corp., 2021 Term Loan (1 month LIBOR + 2.750%) | 5.274 | 03-13-28 | 4,529,492 | 4,424,770 | |
Technicolor Creative Studios SA, EUR Term Loan (B) | TBD | 07-27-29 | EUR | 2,662,366 | 2,488,257 |
Technicolor SA, 2020 EUR Delayed Draw Term Loan B2 (6 month EURIBOR + 6.000% or 6.000% PIK) | 6.000 | 06-30-24 | EUR | 381,148 | 395,165 |
Technicolor SA, 2020 EUR Super Senior Term Loan (3 month EURIBOR + 6.000% or 0.000% PIK) | 6.145 | 06-30-24 | EUR | 317,233 | 328,900 |
Technicolor SA, 2020 EUR Term Loan B1 (6 month EURIBOR + 3.000% or 3.000% PIK) | 3.000 | 12-31-24 | EUR | 258,274 | 259,553 |
Technicolor SA, 2020 USD Term Loan B2 (3 month LIBOR + 2.750% or 3.000% PIK) | 4.038 | 12-31-24 | 1,859,174 | 1,859,174 | |
Technicolor USA, Inc., 2020 PIK USD New Money Term Loan (1 month LIBOR + 6.000% or 6.000% PIK) | 8.387 | 06-30-24 | 96,252 | 96,252 | |
Interactive media and services 1.9% | |||||
Arches Buyer, Inc., 2021 Term Loan B (1 month LIBOR + 3.250%) | 5.774 | 12-06-27 | 8,089,494 | 7,626,047 | |
Endurance International Group Holdings, Inc., Term Loan (1 month LIBOR + 3.500%) | 5.873 | 02-10-28 | 3,162,961 | 2,959,361 | |
Knot Worldwide, Inc., 2022 Term Loan (1 month SOFR + 4.500%) | 7.055 | 12-19-25 | 10,361,102 | 10,238,116 | |
MH Sub I LLC, 2017 1st Lien Term Loan (1 month LIBOR + 3.750%) | 6.274 | 09-13-24 | 7,700,741 | 7,499,443 | |
MH Sub I LLC, 2020 Incremental Term Loan (1 month LIBOR + 3.750%) | 6.274 | 09-13-24 | 4,743,747 | 4,621,216 | |
ZoomInfo LLC, 2021 Term Loan B (1 month LIBOR + 3.000%) | 5.524 | 02-02-26 | 3,197,016 | 3,167,060 | |
Media 4.4% | |||||
CMI Marketing, Inc., 2021 First Lien Term Loan B (1 month LIBOR + 4.250%) | 6.743 | 03-23-28 | 4,552,307 | 4,210,884 | |
Digital Media Solutions LLC, Term Loan B (3 month LIBOR + 4.750%) | 7.250 | 05-25-26 | 2,518,191 | 2,184,531 |
12 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Communication services (continued) | |||||
Media (continued) | |||||
Hunter US Bidco, Inc., USD Term Loan B (3 month LIBOR + 4.250%) | 6.500 | 08-19-28 | 5,171,334 | $5,054,979 | |
Lorca Finco PLC, EUR Term Loan B1 (6 month EURIBOR + 4.250%) | 4.499 | 09-17-27 | EUR | 5,502,167 | 5,356,003 |
Magnite, Inc., Term Loan (1 and 6 month LIBOR + 5.000%) | 6.197 | 04-28-28 | 999,119 | 959,154 | |
National CineMedia LLC, 2018 Term Loan B (1 month LIBOR + 4.000%) | 6.563 | 06-20-25 | 378,372 | 314,726 | |
National CineMedia LLC , 2021 Incremental Term Loan (1 month LIBOR + 8.000%) | 10.563 | 12-20-24 | 157,117 | 137,084 | |
National CineMedia LLC , 2022 Revolver (1 month SOFR + 8.115%) | 10.426 | 06-20-23 | 1,579,857 | 1,421,871 | |
Oceankey US II Corp., 2021 Term Loan (1 month LIBOR + 3.500%) | 6.024 | 12-15-28 | 5,496,086 | 5,314,055 | |
Radiate Holdco LLC, 2021 Term Loan B (1 month LIBOR + 3.250%) | 5.774 | 09-25-26 | 4,517,235 | 4,302,124 | |
Recorded Books, Inc., 2021 Term Loan (1 month SOFR + 4.000%) | 6.003 | 08-29-25 | 9,291,207 | 9,136,323 | |
Research Now Group LLC, 2017 1st Lien Term Loan (6 month LIBOR + 5.500%) | 8.841 | 12-20-24 | 13,186,432 | 12,178,198 | |
Research Now Group LLC , 2017 2nd Lien Term Loan (6 month LIBOR + 9.500%) | 12.841 | 12-20-25 | 629,484 | 557,616 | |
Telenet Financing USD LLC, 2020 USD Term Loan AR (1 month LIBOR + 2.000%) | 4.391 | 04-30-28 | 6,882,883 | 6,650,586 | |
Titan US Finco LLC, 2021 USD Term Loan (3 month LIBOR + 4.000%) | 6.250 | 10-18-28 | 3,562,708 | 3,366,759 | |
United Talent Agency LLC, Term Loan B (3 month LIBOR + 4.000%) | 6.196 | 07-07-28 | 5,029,829 | 4,878,934 | |
UPC Broadband Holding BV, 2020 EUR Term Loan AU (6 month EURIBOR + 2.500%) | 2.863 | 04-30-29 | EUR | 663,626 | 631,805 |
UPC Financing Partnership, 2020 USD Term Loan AT (1 month LIBOR + 2.250%) | 4.641 | 04-30-28 | 1,153,790 | 1,119,176 | |
UPC Financing Partnership, 2021 USD Term Loan AX (1 month LIBOR + 3.000%) | 5.391 | 01-31-29 | 2,104,677 | 2,044,168 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 13 |
Rate (%) | Maturity date | Par value^ | Value | ||
Communication services (continued) | |||||
Media (continued) | |||||
Virgin Media Bristol LLC, 2020 USD Term Loan Q (1 month LIBOR + 3.250%) | 5.641 | 01-31-29 | 8,046,999 | $7,936,352 | |
Virgin Media Ireland, Ltd., EUR Term Loan (6 month EURIBOR + 3.500%) | 3.863 | 07-15-29 | EUR | 2,249,204 | 2,160,138 |
WideOpenWest Finance LLC, 2021 Term Loan B (1 month SOFR + 3.000%) | 5.300 | 12-20-28 | 2,519,948 | 2,466,853 | |
Wireless telecommunication services 0.2% | |||||
Crown Subsea Communications Holding, Inc., 2021 Term Loan (1 month LIBOR + 4.750%) | 7.123 | 04-27-27 | 2,845,046 | 2,769,169 | |
Eagle Broadband Investments LLC, Term Loan (3 month LIBOR + 3.000%) | 5.313 | 11-12-27 | 1,382,309 | 1,348,899 | |
Consumer discretionary 14.8% | 280,219,548 | ||||
Auto components 0.2% | |||||
IXS Holdings, Inc., 2020 Term Loan B (3 month LIBOR + 4.250%) | 7.816 | 03-05-27 | 3,973,227 | 2,872,643 | |
Automobiles 0.9% | |||||
Constellation Automotive, Ltd., GBP 2nd Lien Term Loan B (SONIA + 7.500%) | 9.191 | 07-30-29 | GBP | 842,559 | 853,192 |
Drive Chassis Holdco LLC, 2019 2nd Lien Term Loan (1 month LIBOR + 6.750%) | 9.178 | 04-10-26 | 5,167,447 | 5,148,069 | |
OEConnection LLC, 2019 Term Loan B (1 month LIBOR + 4.000%) | 6.470 | 09-25-26 | 4,713,606 | 4,503,520 | |
RVR Dealership Holdings LLC, Term Loan B (1 month SOFR + 3.750%) | 6.147 | 02-08-28 | 4,814,951 | 4,465,867 | |
Thor Industries, Inc., 2021 USD Term Loan (1 month LIBOR + 3.000%) | 5.500 | 02-01-26 | 378,137 | 374,356 | |
Wheel Pros, Inc., 2021 Term Loan (1 month LIBOR + 4.500%) | 6.868 | 05-11-28 | 2,950,182 | 2,460,776 | |
Distributors 0.2% | |||||
Northwest Fiber LLC, 2021 Term Loan (1 month LIBOR + 3.750%) | 6.127 | 04-30-27 | 4,307,296 | 4,052,433 | |
Diversified consumer services 1.5% | |||||
Foundational Education Group, Inc., 1st Lien Term Loan (3 month SOFR + 3.750%) | 6.066 | 08-31-28 | 3,956,508 | 3,808,139 |
14 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer discretionary (continued) | |||||
Diversified consumer services (continued) | |||||
Midas Intermediate Holdco II LLC, 2020 Term Loan B (3 month LIBOR + 6.750%) | 7.500 | 06-30-27 | 9,073,218 | $8,300,089 | |
PCI Gaming Authority, Term Loan (1 month LIBOR + 2.500%) | 5.024 | 05-29-26 | 2,894,228 | 2,827,487 | |
Safe Fleet Holdings LLC, 2022 Term Loan (1 month SOFR + 3.850%) | 6.150 | 02-23-29 | 4,228,237 | 4,121,221 | |
Verisure Holding AB, 2020 EUR Term Loan B (6 month EURIBOR + 3.250%) | 3.753 | 07-20-26 | EUR | 1,706,977 | 1,632,572 |
Verisure Holding AB, 2021 EUR Term Loan (6 month EURIBOR + 3.250%) | 3.473 | 03-27-28 | EUR | 1,819,895 | 1,724,694 |
Whatabrands LLC, 2021 Term Loan B (1 month LIBOR + 3.250%) | 5.774 | 08-03-28 | 5,931,000 | 5,614,047 | |
Hotels, restaurants and leisure 5.8% | |||||
Aimbridge Acquisition Company, Inc., 2019 Term Loan B (1 month LIBOR + 3.750%) | 6.274 | 02-02-26 | 12,713,112 | 11,696,063 | |
Aimbridge Acquisition Company, Inc., 2020 Incremental Term Loan B (1 month LIBOR + 4.750%) | 7.127 | 02-02-26 | 113,116 | 105,198 | |
Awaze, Ltd., 2018 EUR Term Loan B (3 and 6 month EURIBOR + 4.000%) | 4.035 | 05-09-25 | EUR | 4,000,000 | 3,905,921 |
Awaze, Ltd., EUR Incremental Term Loan B1 (6 month EURIBOR + 4.000%) | 4.000 | 05-09-25 | EUR | 698,925 | 682,486 |
Bally’s Corp., 2021 Term Loan B (1 month LIBOR + 3.250%) | 5.623 | 10-02-28 | 3,750,385 | 3,568,491 | |
Caesars Resort Collection LLC, 2017 1st Lien Term Loan B (1 month LIBOR + 2.750%) | 5.274 | 12-23-24 | 3,530,060 | 3,480,321 | |
Caesars Resort Collection LLC, 2020 Term Loan B1 (1 month LIBOR + 3.500%) | 6.024 | 07-21-25 | 933,456 | 924,588 | |
Carrols Restaurant Group, Inc., Term Loan B (1 month LIBOR + 3.250%) | 5.710 | 04-30-26 | 2,371,266 | 2,063,002 | |
Compass III, Ltd., EUR Term Loan B2 (3 month EURIBOR + 4.000%) | 4.063 | 05-09-25 | EUR | 1,518,650 | 1,482,932 |
Global Business Travel Holdings, Ltd., 2018 Term Loan B (1 month LIBOR + 2.500%) | 5.024 | 08-13-25 | 4,806,250 | 4,475,820 | |
Great Canadian Gaming Corp., 2021 Term Loan (3 month LIBOR + 4.000%) | 6.096 | 11-01-26 | 5,195,371 | 5,083,671 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 15 |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer discretionary (continued) | |||||
Hotels, restaurants and leisure (continued) | |||||
HNVR Holdco, Ltd., EUR Term Loan B (6 month EURIBOR + 4.250%) | 4.284 | 09-12-25 | EUR | 2,720,997 | $2,366,873 |
HNVR Holdco, Ltd., EUR Term Loan C (6 month EURIBOR + 4.500%) | 4.534 | 09-12-27 | EUR | 2,352,406 | 2,036,039 |
Hurtigruten Group AS, 2020 EUR Term Loan C (6 month EURIBOR + 8.000%) | 8.273 | 06-11-23 | EUR | 7,451,375 | 6,895,417 |
Hurtigruten Group AS, EUR Term Loan B (6 month EURIBOR + 4.000%) | 4.908 | 02-24-25 | EUR | 2,124,041 | 1,788,032 |
IRB Holding Corp., 2020 Term Loan B (1 month LIBOR + 2.750%) | 5.274 | 02-05-25 | 7,577,466 | 7,410,156 | |
IRB Holding Corp., 2022 Term Loan B (1 month SOFR + 3.150%) | 5.437 | 12-15-27 | 2,889,589 | 2,791,458 | |
Lakeland Holdings LLC, 2020 HoldCo Term Loan (0.000% Cash or 13.250% PIK) | 0.000 | 09-25-27 | 462,668 | 296,880 | |
Lakeland Tours LLC, 2020 Third Out Term Loan (3 month LIBOR + 1.500% or 6.000% PIK) | 4.306 | 09-25-25 | 412,854 | 341,294 | |
New Red Finance, Inc., Term Loan B4 (1 month LIBOR + 1.750%) | 4.274 | 11-19-26 | 3,260,291 | 3,161,798 | |
Penn Entertainment, Inc., 2022 Term Loan B (1 month SOFR + 2.750%) | 5.305 | 05-03-29 | 1,928,822 | 1,888,567 | |
Playa Resorts Holding BV, 2017 Term Loan B (1 month LIBOR + 2.750%) | 5.270 | 04-29-24 | 17,520,163 | 17,135,420 | |
Scientific Games International, Inc., 2022 USD Term Loan (1 month SOFR + 3.000%) | 5.407 | 04-14-29 | 3,506,360 | 3,444,999 | |
Stars Group Holdings BV, 2018 EUR Incremental Term Loan (3 month EURIBOR + 2.500%) | 2.500 | 07-21-26 | EUR | 1,620,943 | 1,571,953 |
Travel Leaders Group LLC, 2018 Term Loan B (1 month LIBOR + 4.000%) | 6.524 | 01-25-24 | 16,917,049 | 15,690,563 | |
Vue International Bidco PLC, 2019 EUR Term Loan B (6 month EURIBOR + 4.750%) | 4.750 | 07-03-26 | EUR | 6,389,732 | 4,801,960 |
Household durables 0.5% | |||||
ACProducts Holdings, Inc., 2021 Term Loan B (3 and 6 month LIBOR + 4.250%) | 6.970 | 05-17-28 | 3,164,055 | 2,583,451 | |
Keter Group BV, EUR Term Loan B (3 month EURIBOR + 4.250%) | 5.250 | 10-31-23 | EUR | 4,063,197 | 3,601,318 |
16 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer discretionary (continued) | |||||
Household durables (continued) | |||||
Keter Group BV, EUR Term Loan B3A (3 month EURIBOR + 4.250%) | 5.250 | 10-31-23 | EUR | 94,996 | $84,198 |
Sharp Midco LLC, 2021 Term Loan B (3 month LIBOR + 4.000%) | 6.250 | 12-31-28 | 4,294,838 | 4,155,256 | |
Leisure products 1.9% | |||||
19th Holdings Golf LLC, 2022 Term Loan B (1 month SOFR + 3.250%) | 5.637 | 02-07-29 | 849,114 | 789,676 | |
Abe Investment Holdings, Inc., 2019 EUR Term Loan B (3 month EURIBOR + 5.000%) | 5.563 | 02-19-26 | EUR | 1,854,055 | 1,835,285 |
Abe Investment Holdings, Inc., 2019 USD Term Loan B (1 and 3 month LIBOR + 4.500%) | 7.623 | 02-19-26 | 4,979,894 | 4,924,916 | |
ABG Intermediate Holdings 2 LLC, 2021 Delayed Draw Term Loan B (B) | TBD | 12-08-28 | 5,924,208 | 5,776,103 | |
ABG Intermediate Holdings 2 LLC, 2021 Delayed Draw Term Loan B3 (B) | TBD | 12-08-28 | 434,315 | 423,457 | |
ABG Intermediate Holdings 2 LLC, 2021 Term Loan B (1 month LIBOR + 3.250%) | 5.774 | 09-27-24 | 4,212,101 | 4,156,291 | |
ABG Intermediate Holdings 2 LLC, 2021 Term Loan B1 (1 month SOFR + 3.600%) | 6.055 | 12-21-28 | 6,837,632 | 6,666,691 | |
Hayward Industries, Inc., 2021 Term Loan (1 month LIBOR + 2.500%) | 5.024 | 05-30-28 | 931,979 | 899,826 | |
J&J Ventures Gaming LLC, Term Loan (3 month LIBOR + 4.000%) | 6.250 | 04-26-28 | 3,020,890 | 2,877,397 | |
PlayPower, Inc., 2019 Term Loan (3 month LIBOR + 5.500%) | 7.750 | 05-08-26 | 3,510,840 | 3,133,425 | |
Recess Holdings, Inc., 2017 1st Lien Term Loan (3 and 6 month LIBOR + 3.750%) | 5.280 | 09-30-24 | 3,811,761 | 3,710,101 | |
Specialty retail 3.3% | |||||
Ascena Retail Group, Inc., 2015 Term Loan B (C) | 0.000 | 08-21-22 | 16,333 | 34 | |
CWGS Group LLC, 2021 Term Loan B (1 month LIBOR + 2.500%) | 4.899 | 06-03-28 | 5,396,072 | 5,035,237 | |
Eyemart Express LLC, 2021 Term Loan (3 month LIBOR + 3.000%) | 5.125 | 08-31-27 | 6,274,964 | 6,008,278 | |
Harbor Freight Tools USA, Inc., 2021 Term Loan B (1 month LIBOR + 2.750%) | 5.274 | 10-19-27 | 4,044,945 | 3,855,763 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 17 |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer discretionary (continued) | |||||
Specialty retail (continued) | |||||
Mattress Firm, Inc., 2021 Term Loan B (3 month LIBOR + 4.250%) | 5.640 | 09-25-28 | 1,386,716 | $1,187,722 | |
Mavis Tire Express Services Topco Corp., 2021 Term Loan B (1 month SOFR + 4.000%) | 6.375 | 05-04-28 | 7,524,797 | 7,323,735 | |
Patagonia Bidco, Ltd., 2021 GBP Term Loan B (SONIA + 5.250%) | 6.940 | 03-05-29 | GBP | 2,020,634 | 2,045,147 |
Patagonia Bidco, Ltd., 2021 GBP Term Loan B2 (SONIA + 5.250%) | 6.940 | 03-05-29 | GBP | 367,388 | 371,845 |
Petco Health & Wellness Company, Inc., 2021 Term Loan B (3 month LIBOR + 3.250%) | 5.500 | 03-03-28 | 8,030,175 | 7,774,253 | |
Runner Buyer, Inc., 2021 Term Loan B (3 month LIBOR + 5.500%) | 8.570 | 10-20-28 | 4,035,382 | 2,898,736 | |
Specialty Building Products Holdings LLC, 2021 Term Loan B (1 month LIBOR + 3.750%) | 6.118 | 10-15-28 | 5,961,087 | 5,661,364 | |
SRS Distribution, Inc., 2021 Incremental Term Loan (B) | TBD | 06-02-28 | 631,317 | 606,064 | |
SRS Distribution, Inc., 2021 Term Loan B (3 month LIBOR + 3.500%) | 6.306 | 06-02-28 | 7,605,591 | 7,339,396 | |
SRS Distribution, Inc., 2022 Incremental Term Loan (3 month SOFR + 3.500%) | 6.177 | 06-02-28 | 628,160 | 603,034 | |
Staples, Inc., 7 Year Term Loan (3 month LIBOR + 5.000%) | 7.782 | 04-16-26 | 4,303,433 | 3,780,092 | |
The Michaels Companies, Inc., 2021 Term Loan B (3 month LIBOR + 4.250%) | 6.500 | 04-15-28 | 6,551,576 | 5,411,208 | |
Winterfell Financing Sarl, EUR Term Loan B (3 month EURIBOR + 2.925%) | 3.185 | 05-04-28 | EUR | 2,973,402 | 2,761,532 |
Textiles, apparel and luxury goods 0.5% | |||||
Calceus Acquisition, Inc., Term Loan B (1 month LIBOR + 5.500%) | 8.024 | 02-12-25 | 2,446,371 | 2,177,271 | |
New Trojan Parent, Inc., 1st Lien Term Loan (1 month LIBOR + 3.250%) | 5.663 | 01-06-28 | 5,709,591 | 5,171,918 | |
Tory Burch LLC, Term Loan B (1 month LIBOR + 3.000%) | 5.524 | 04-16-28 | 2,920,637 | 2,740,521 | |
Consumer staples 2.2% | 42,256,237 | ||||
Food and staples retailing 0.9% | |||||
8th Avenue Food & Provisions, Inc., Term Loan (B) | TBD | 10-01-25 | 3,710,000 | 3,255,525 |
18 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer staples (continued) | |||||
Food and staples retailing (continued) | |||||
H-Food Holdings LLC, 2018 Term Loan B (1 month LIBOR + 3.688%) | 6.211 | 05-23-25 | 6,357,912 | $5,895,628 | |
L1R HB Finance, Ltd., GBP Term Loan B (SONIA + 5.250%) | 6.217 | 09-02-24 | GBP | 11,000,000 | 7,691,248 |
Food products 0.5% | |||||
Biscuit Holding SASU, EUR Term Loan (6 month EURIBOR + 4.000%) | 4.000 | 02-15-27 | EUR | 3,987,283 | 2,995,248 |
Upfield BV, 2018 EUR Term Loan B1 (6 month EURIBOR + 3.500%) | 3.738 | 07-02-25 | EUR | 1,986,347 | 1,737,136 |
Upfield BV, 2018 GBP Term Loan B4 (6 month GBP LIBOR + 4.000%) | 5.228 | 07-02-25 | GBP | 3,000,000 | 2,944,911 |
Upfield USA Corp., 2018 USD Term Loan B2 (6 month LIBOR + 3.000%) | 5.899 | 07-02-25 | 2,044,675 | 1,791,647 | |
Household products 0.1% | |||||
Kronos Acquisition Holdings, Inc., 2021 Term Loan B (3 month LIBOR + 3.750%) | 6.820 | 12-22-26 | 3,354,365 | 3,227,738 | |
Personal products 0.7% | |||||
Coty, Inc., 2018 USD Term Loan B (1 month LIBOR + 2.250%) | 4.623 | 04-07-25 | 1,423,461 | 1,376,900 | |
Groupe Nocibe SASU, 2021 EUR Term Loan B4 (6 month EURIBOR + 5.500%) | 5.725 | 04-08-26 | EUR | 1,198,946 | 1,005,473 |
Kirk Beauty Netherlands BV, 2021 EUR Term Loan B2 (6 month EURIBOR + 5.500%) | 5.725 | 04-08-26 | EUR | 363,343 | 304,711 |
Kirk Beauty One GmbH, 2021 EUR Term Loan B1 (6 month EURIBOR + 5.500%) | 5.725 | 04-08-26 | EUR | 689,829 | 578,512 |
Nocibe France SAS, 2021 EUR Term Loan B5 (3 month EURIBOR + 5.500%) | 5.725 | 04-08-26 | EUR | 271,291 | 227,513 |
Parfuemerie Douglas International GmbH, 2021 EUR Term Loan B3 (6 month EURIBOR + 5.500%) | 5.725 | 04-08-26 | EUR | 393,336 | 329,864 |
Rainbow UK Bidco, Ltd., GBP Term Loan B (6 month SONIA + 5.000%) | 6.691 | 02-24-29 | GBP | 4,489,878 | 4,746,464 |
Sunshine Luxembourg VII Sarl, 2021 Term Loan B3 (3 month LIBOR + 3.750%) | 6.000 | 10-01-26 | 4,312,096 | 4,147,719 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 19 |
Rate (%) | Maturity date | Par value^ | Value | ||
Energy 0.5% | $9,095,452 | ||||
Oil, gas and consumable fuels 0.5% | |||||
Delek US Holdings, Inc., 2018 Term Loan B (1 month LIBOR + 2.250%) | 4.774 | 03-31-25 | 1,529,723 | 1,490,393 | |
M6 ETX Holdings II Midco LLC, Term Loan B (B) | TBD | 08-10-29 | 1,630,755 | 1,605,283 | |
Northriver Midstream Finance LP, 2018 Term Loan B (3 month LIBOR + 3.250%) | 5.527 | 10-01-25 | 2,849,696 | 2,806,950 | |
Oryx Midstream Services Permian Basin LLC, Term Loan B (3 month LIBOR + 3.250%) | 6.211 | 10-05-28 | 3,253,836 | 3,192,826 | |
Quicksilver Resources, Inc., New 2nd Lien Term Loan (C)(D) | 0.000 | 06-21-22 | 19,606,608 | 0 | |
Financials 6.9% | 131,689,383 | ||||
Capital markets 1.5% | |||||
Aretec Group, Inc., 2018 Term Loan (1 month SOFR + 4.250%) | 6.805 | 10-01-25 | 3,095,847 | 3,022,321 | |
Chromalloy Holdings LLC, 2020 Extended Term Loan (3 month LIBOR + 6.750%) | 9.760 | 11-28-23 | 1,351,554 | 1,339,161 | |
Hightower Holding LLC, 2021 Term Loan B (3 month LIBOR + 4.000%) | 6.732 | 04-21-28 | 7,363,211 | 7,133,111 | |
Jane Street Group LLC, 2021 Term Loan (1 month LIBOR + 2.750%) | 5.274 | 01-26-28 | 8,221,377 | 8,039,849 | |
Jump Financial LLC, Term Loan B (3 month SOFR + 4.500%) | 6.816 | 08-07-28 | 9,535,147 | 9,201,417 | |
Consumer finance 0.1% | |||||
Tegra118 Wealth Solutions, Inc., 2020 Term Loan B (3 month LIBOR + 4.000%) | 6.961 | 02-18-27 | 1,662,454 | 1,600,112 | |
Diversified financial services 2.9% | |||||
Advisor Group Holdings, Inc., 2021 Term Loan (1 month LIBOR + 4.500%) | 7.024 | 07-31-26 | 4,735,470 | 4,609,696 | |
Ascensus Holdings, Inc., Term Loan (3 month LIBOR + 3.500%) | 5.813 | 08-02-28 | 13,152,270 | 12,675,501 | |
Citadel Securities LP, 2021 Term Loan B (1 month SOFR + 2.500%) | 4.876 | 02-02-28 | 3,975,792 | 3,883,872 | |
Citadel Securities LP, 2022 Incremental Term Loan B (B) | TBD | 02-02-28 | 805,224 | 789,788 | |
CPC Acquisition Corp., Second Lien Term Loan (3 month LIBOR + 7.750%) | 10.000 | 12-29-28 | 1,623,176 | 1,343,178 |
20 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Financials (continued) | |||||
Diversified financial services (continued) | |||||
Cross Financial Corp., 2021 Term Loan B (1 month LIBOR + 4.000%) | 6.563 | 09-15-27 | 3,225,736 | $3,161,221 | |
Crown Finance US, Inc., 2018 USD Term Loan (C) | 0.000 | 02-28-25 | 5,596,993 | 3,583,027 | |
Crown Finance US, Inc., 2020 Term Loan B1 (C) | 0.000 | 05-23-24 | 367,807 | 422,805 | |
Crown Finance US, Inc. , 2021 Incremental Term Loan B1 (6 month LIBOR + 8.250%) | 10.076 | 02-28-25 | 386,814 | 409,539 | |
CTC Holdings LP, Term Loan B (3 month SOFR + 5.000%) | 8.356 | 02-20-29 | 3,878,201 | 3,742,464 | |
DRW Holdings LLC, 2021 Term Loan (1 month LIBOR + 3.750%) | 6.274 | 03-01-28 | 3,945,785 | 3,794,109 | |
Hudson River Trading LLC, 2021 Term Loan (1 month SOFR + 3.000%) | 6.164 | 03-20-28 | 5,212,019 | 4,795,057 | |
Kestra Advisor Services Holdings A, Inc., 2019 Term Loan (3 month LIBOR + 4.250%) | 6.510 | 06-03-26 | 4,148,513 | 3,992,944 | |
Marnix SAS, 2021 USD Term Loan (3 month SOFR + 3.750%) | 5.290 | 08-04-28 | 2,403,031 | 2,318,925 | |
Nexus Buyer LLC, Term Loan B (1 month LIBOR + 3.750%) | 6.274 | 11-09-26 | 5,467,465 | 5,301,145 | |
Insurance 1.5% | |||||
Acrisure LLC, 2020 Term Loan B (B) | TBD | 02-15-27 | 1,017,594 | 972,861 | |
Acrisure LLC, 2021 First Lien Term Loan B (1 month LIBOR + 4.250%) | 6.774 | 02-15-27 | 3,697,148 | 3,583,164 | |
Alliant Holdings Intermediate LLC, 2018 Term Loan B (1 month LIBOR + 3.250%) | 5.774 | 05-09-25 | 8,813,835 | 8,629,274 | |
Alliant Holdings Intermediate LLC, 2021 Term Loan B4 (1 month LIBOR + 3.500%) | 5.877 | 11-06-27 | 1,993,558 | 1,937,738 | |
Alliant Holdings Intermediate LLC, Term Loan B (1 month LIBOR + 3.250%) | 5.774 | 05-09-25 | 1,003,805 | 981,641 | |
Asurion LLC, 2018 Term Loan B6 (1 month LIBOR + 3.125%) | 5.649 | 11-03-23 | 1,982,486 | 1,847,023 | |
Asurion LLC, 2021 Term Loan B9 (1 month LIBOR + 3.250%) | 5.774 | 07-31-27 | 582,440 | 531,960 | |
Asurion LLC, 2022 Term Loan B10 (3 month SOFR + 4.000%) | 6.301 | 08-19-28 | 2,049,924 | 1,909,853 | |
Baldwin Risk Partners LLC, 2021 Term Loan B (1 month LIBOR + 3.500%) | 5.880 | 10-14-27 | 6,486,607 | 6,316,333 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 21 |
Rate (%) | Maturity date | Par value^ | Value | ||
Financials (continued) | |||||
Insurance (continued) | |||||
IMA Financial Group, Inc., Term Loan (1 month LIBOR + 3.750%) | 6.274 | 11-01-28 | 2,182,617 | $2,110,329 | |
Mortgage real estate investment trusts 0.9% | |||||
Apollo Commercial Real Estate Finance, Inc., 2021 Incremental Term Loan B1 (1 month LIBOR + 3.500%) | 5.944 | 03-11-28 | 4,202,742 | 4,034,632 | |
Apollo Commercial Real Estate Finance, Inc., Term Loan B (1 month LIBOR + 2.750%) | 5.274 | 05-15-26 | 521,034 | 500,192 | |
Claros Mortgage Trust, Inc., 2021 Term Loan B (1 month SOFR + 4.500%) | 6.893 | 08-09-26 | 7,320,584 | 7,119,268 | |
KREF Holdings X LLC, 2021 Term Loan (1 month LIBOR + 3.500%) | 5.938 | 09-01-27 | 4,568,345 | 4,454,136 | |
Starwood Property Mortgage LLC, 2021 Term Loan B2 (1 month LIBOR + 3.250%) | 5.774 | 07-26-26 | 1,642,807 | 1,601,737 | |
Health care 12.2% | 230,536,812 | ||||
Biotechnology 0.2% | |||||
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B (1 month LIBOR + 2.000%) | 4.524 | 11-15-27 | 3,646,023 | 3,520,454 | |
Health care equipment and supplies 1.5% | |||||
Auris Luxembourg III Sarl, 2019 USD Term Loan B2 (6 month LIBOR + 3.750%) | 5.576 | 02-27-26 | 8,604,165 | 8,044,894 | |
Bayou Intermediate II LLC, Term Loan B (3 month LIBOR + 4.500%) | 7.302 | 08-02-28 | 1,692,048 | 1,641,286 | |
Embecta Corp., Term Loan B (B) | TBD | 03-30-29 | 1,139,426 | 1,111,886 | |
Gloves Buyer, Inc., 2021 Term Loan (1 month LIBOR + 4.000%) | 6.524 | 12-29-27 | 2,500,991 | 2,354,058 | |
Golden State Buyer, Inc., Term Loan (1 month LIBOR + 4.750%) | 7.274 | 06-21-26 | 1,515,728 | 1,439,942 | |
ICU Medical, Inc., Term Loan B (2 month SOFR + 2.250%) | 4.604 | 01-08-29 | 1,857,939 | 1,813,349 | |
Medline Borrower LP, USD Term Loan B (1 month LIBOR + 3.250%) | 5.774 | 10-23-28 | 9,391,552 | 8,943,763 | |
TecoStar Holdings, Inc., 2017 Repriced Term Loan (3 month LIBOR + 3.500%) | 5.793 | 05-01-24 | 4,183,165 | 3,827,596 |
22 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Health care (continued) | |||||
Health care providers and services 5.8% | |||||
AHP Health Partners, Inc., 2021 Term Loan B (1 month LIBOR + 3.500%) | 6.024 | 08-24-28 | 3,027,468 | $2,907,308 | |
Confluent Health LLC, 2021 Delayed Draw Term Loan (1 month LIBOR + 4.000%) | 6.524 | 11-30-28 | 226,724 | 217,655 | |
Confluent Health LLC, 2021 Term Loan B (1 month LIBOR + 4.000%) | 6.524 | 11-30-28 | 4,780,131 | 4,588,926 | |
Confluent Medical Technologies, Inc., Term Loan (2 month SOFR + 3.750%) | 5.804 | 02-09-29 | 2,015,534 | 1,914,757 | |
Dermatology Intermediate Holdings III, Inc., 2022 Delayed Draw Term Loan (1 month SOFR + 4.250%) | 6.537 | 04-02-29 | 47,656 | 46,465 | |
Dermatology Intermediate Holdings III, Inc., 2022 Term Loan B (1 month SOFR + 4.250%) | 6.537 | 04-02-29 | 1,613,683 | 1,573,341 | |
ENC Parent Corp., 2021 Term Loan (Prime rate + 3.250% and 3 month LIBOR + 4.250%) | 6.506 | 08-04-28 | 2,656,702 | 2,517,225 | |
Ensemble RCM LLC, Term Loan (3 month LIBOR + 3.750%) | 6.556 | 08-03-26 | 4,790,376 | 4,671,622 | |
eResearchTechnology, Inc., 2020 1st Lien Term Loan (1 month LIBOR + 4.500%) | 7.024 | 02-04-27 | 7,947,364 | 7,557,069 | |
Genesiscare USA Holdings, Inc., 2020 EUR Term Loan B4 (3 month EURIBOR + 4.750%) | 4.750 | 05-14-27 | EUR | 1,782,202 | 820,289 |
Genesiscare USA Holdings, Inc., 2020 USD Term Loan B5 (3 month LIBOR + 5.000%) | 7.997 | 05-14-27 | 3,429,570 | 1,714,785 | |
Mamba Purchaser, Inc., 2021 Term Loan (1 month LIBOR + 3.500%) | 5.868 | 10-16-28 | 3,019,962 | 2,944,463 | |
MED ParentCo LP, 1st Lien Term Loan (1 month LIBOR + 4.250%) | 6.774 | 08-31-26 | 9,035,250 | 7,990,595 | |
National Mentor Holdings, Inc., 2021 2nd Lien Term Loan (3 month LIBOR + 7.250%) | 9.510 | 03-02-29 | 2,136,611 | 1,810,778 | |
National Mentor Holdings, Inc., 2021 Term Loan (1 and 3 month LIBOR + 3.750%) | 6.099 | 03-02-28 | 8,554,967 | 7,228,947 | |
National Mentor Holdings, Inc., 2021 Term Loan C (3 month LIBOR + 3.750%) | 6.010 | 03-02-28 | 243,180 | 205,487 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 23 |
Rate (%) | Maturity date | Par value^ | Value | ||
Health care (continued) | |||||
Health care providers and services (continued) | |||||
Option Care Health, Inc., 2021 Term Loan B (1 month LIBOR + 2.750%) | 5.274 | 10-27-28 | 4,954,978 | $4,896,163 | |
Pathway Vet Alliance LLC, 2021 Term Loan (3 month LIBOR + 3.750%) | 6.000 | 03-31-27 | 4,588,229 | 4,319,818 | |
Pediatric Associates Holding Company LLC, 2021 Term Loan B (3 month LIBOR + 3.250%) | 5.076 | 12-29-28 | 2,688,247 | 2,621,041 | |
Pediatric Associates Holding Company LLC, 2022 Delayed Draw Term Loan (1 and 6 month LIBOR + 3.250%) | 5.262 | 12-29-28 | 203,655 | 198,564 | |
PetVet Care Centers LLC, 2018 1st Lien Term Loan (1 month LIBOR + 2.750%) | 5.274 | 02-14-25 | 3,186,981 | 3,055,518 | |
PetVet Care Centers LLC, 2018 Incremental Term Loan (1 month LIBOR + 3.250%) | 5.774 | 02-14-25 | 990,619 | 952,648 | |
PetVet Care Centers LLC, 2021 Term Loan B3 (1 month LIBOR + 3.500%) | 6.024 | 02-14-25 | 6,860,703 | 6,632,036 | |
Phoenix Newco, Inc., 2021 1st Lien Term Loan (1 month LIBOR + 3.250%) | 5.774 | 11-15-28 | 6,184,496 | 6,014,422 | |
Precision Medicine Group LLC, 2021 Delayed Draw Term Loan (2 and 3 month LIBOR + 3.000%) | 4.878 | 11-18-27 | 231,894 | 222,618 | |
Precision Medicine Group LLC, 2021 Term Loan (3 month LIBOR + 3.000%) | 4.688 | 11-18-27 | 3,871,381 | 3,716,526 | |
Radnet Management, Inc., 2021 Term Loan (3 month LIBOR + 3.000%) | 5.493 | 04-21-28 | 4,552,169 | 4,413,692 | |
Select Medical Corp., 2017 Term Loan B (1 month LIBOR + 2.500%) | 5.030 | 03-06-25 | 4,311,885 | 4,210,814 | |
Team Health Holdings, Inc., 2022 Term Loan B (1 month SOFR + 5.250%) | 7.705 | 03-02-27 | 5,935,636 | 5,262,950 | |
Upstream Newco, Inc., 2021 Term Loan (1 month SOFR + 4.250%) | 6.820 | 11-20-26 | 4,919,322 | 4,669,273 | |
US Radiology Specialists, Inc., 2020 Term Loan (3 month LIBOR + 5.250%) | 7.563 | 12-15-27 | 7,218,892 | 6,888,050 | |
WCG Purchaser Corp., 2019 Term Loan (1 and 3 month LIBOR + 4.000%) | 6.353 | 01-08-27 | 2,637,320 | 2,571,387 |
24 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Health care (continued) | |||||
Health care technology 0.7% | |||||
CAB SELAS, 2021 EUR Term Loan B (3 month EURIBOR + 2.750%) | 3.027 | 02-09-28 | EUR | 3,855,312 | $3,611,248 |
Change Healthcare Holdings LLC, 2017 Term Loan B (1 month LIBOR + 2.500%) | 5.024 | 03-01-24 | 2,659,854 | 2,641,022 | |
GHX Ultimate Parent Corp., 2017 1st Lien Term Loan (6 month LIBOR + 3.250%) | 6.127 | 06-28-24 | 4,495,293 | 4,427,863 | |
Imprivata, Inc., Term Loan (1 month LIBOR + 3.750%) | 6.274 | 12-01-27 | 3,530,120 | 3,433,607 | |
Life sciences tools and services 0.6% | |||||
ICON Luxembourg Sarl, LUX Term Loan (3 month LIBOR + 2.250%) | 4.563 | 07-03-28 | 2,612,377 | 2,568,620 | |
ICON Luxembourg Sarl, US Term Loan (3 month LIBOR + 2.250%) | 4.563 | 07-03-28 | 650,875 | 639,973 | |
Maravai Intermediate Holdings LLC, 2022 Term Loan B (3 month SOFR + 3.000%) | 5.553 | 10-19-27 | 2,794,428 | 2,750,779 | |
Packaging Coordinators Midco, Inc., 2020 1st Lien Term Loan (3 month LIBOR + 3.750%) | 6.000 | 11-30-27 | 5,006,519 | 4,867,287 | |
Pharmaceuticals 3.4% | |||||
AI Sirona Luxembourg Acquisition Sarl, 2021 EUR Term Loan B1 (1 month EURIBOR + 3.250%) | 3.370 | 09-29-25 | EUR | 1,777,648 | 1,711,328 |
Amneal Pharmaceuticals LLC, 2018 Term Loan B (1 and 3 month LIBOR + 3.500%) | 5.939 | 05-04-25 | 12,223,267 | 11,668,087 | |
Bausch Health Companies, Inc., 2022 Term Loan B (1 month SOFR + 5.250%) | 7.662 | 02-01-27 | 7,078,845 | 5,627,682 | |
Curium Bidco Sarl, 2020 USD Term Loan (3 month LIBOR + 4.000%) | 6.250 | 12-02-27 | 4,147,793 | 4,023,359 | |
Curium Bidco Sarl, USD Term Loan B (3 month LIBOR + 4.000%) | 6.000 | 07-09-26 | 4,222,608 | 4,127,599 | |
Discovery Purchaser Corp., Term Loan (B) | TBD | 08-04-29 | 5,105,786 | 4,780,292 | |
Endo Luxembourg Finance Company I Sarl, 2021 Term Loan (C) | 0.000 | 03-27-28 | 13,945,136 | 12,149,700 | |
Horizon Therapeutics USA, Inc., 2021 Term Loan B2 (1 month LIBOR + 1.750%) | 4.313 | 03-15-28 | 1,546,201 | 1,504,778 | |
Jazz Financing Lux Sarl, USD Term Loan (1 month LIBOR + 3.500%) | 6.024 | 05-05-28 | 2,877,795 | 2,819,203 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 25 |
Rate (%) | Maturity date | Par value^ | Value | ||
Health care (continued) | |||||
Pharmaceuticals (continued) | |||||
LSCS Holdings, Inc., 2021 1st Lien Term Loan (3 month LIBOR + 4.500%) | 6.750 | 12-16-28 | 5,216,092 | $5,007,448 | |
Organon & Company, USD Term Loan (3 month LIBOR + 3.000%) | 4.625 | 06-02-28 | 4,580,642 | 4,523,384 | |
Padagis LLC, Term Loan B (3 month LIBOR + 4.750%) | 7.043 | 07-06-28 | 3,280,852 | 3,001,979 | |
Perrigo Investments LLC, Term Loan B (1 month SOFR + 2.500%) | 4.907 | 04-20-29 | 2,625,368 | 2,599,114 | |
Industrials 14.6% | 276,017,989 | ||||
Aerospace and defense 3.2% | |||||
AI Convoy Luxembourg Sarl, 2021 Term Loan B1 (3 month LIBOR + 3.500%) | 6.238 | 01-18-27 | 2,820,457 | 2,759,506 | |
AI Convoy Luxembourg Sarl, USD Term Loan B (3 month LIBOR + 3.500%) | 4.544 | 01-18-27 | 1,263,878 | 1,236,565 | |
Bleriot US Bidco, Inc., 2021 Term Loan B (3 month LIBOR + 4.000%) | 6.250 | 10-31-26 | 2,118,390 | 2,079,200 | |
Cobham Ultra US Co-Borrower LLC, USD Term Loan B (6 month LIBOR + 3.750%) | 7.063 | 12-24-28 | 5,486,974 | 5,291,528 | |
Jazz Acquisition, Inc., 2019 1st Lien Term Loan (1 month LIBOR + 4.250%) | 6.770 | 06-19-26 | 5,525,935 | 5,311,805 | |
Maxar Technologies, Inc., 2022 Term Loan B (1 month SOFR + 4.350%) | 6.805 | 06-14-29 | 4,776,055 | 4,577,849 | |
MB Aerospace Holdings II Corp., 2017 Term Loan (3 month LIBOR + 3.500%) | 5.750 | 01-22-25 | 5,206,533 | 4,490,635 | |
Novaria Holdings LLC, 2022 Incremental Term Loan (1 month SOFR + 7.000%) | 9.455 | 01-27-27 | 2,333,852 | 2,158,813 | |
Novaria Holdings LLC, Term Loan B (1 month SOFR + 5.500%) | 8.055 | 01-27-27 | 647,772 | 599,189 | |
Spirit AeroSystems, Inc., 2021 Term Loan B (1 month LIBOR + 3.750%) | 6.274 | 01-15-25 | 1,109,544 | 1,099,836 | |
Standard Aero, Ltd., 2020 CAD Term Loan B2 (1 month LIBOR + 3.500%) | 6.024 | 04-06-26 | 3,828,808 | 3,684,271 | |
The NORDAM Group, Inc., Term Loan B (1 month LIBOR + 5.500%) | 8.063 | 04-09-26 | 2,006,999 | 1,664,806 |
26 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Industrials (continued) | |||||
Aerospace and defense (continued) | |||||
TransDigm, Inc., 2020 Term Loan E (1 month LIBOR + 2.250%) | 4.774 | 05-30-25 | 931,245 | $908,057 | |
TransDigm, Inc., 2020 Term Loan F (1 month LIBOR + 2.250%) | 4.774 | 12-09-25 | 502,026 | 488,285 | |
TransDigm, Inc., 2020 Term Loan G (1 month LIBOR + 2.250%) | 4.774 | 08-22-24 | 5,136,900 | 5,035,909 | |
Vertex Aerospace Services Corp., 2021 First Lien Term Loan (1 month LIBOR + 3.750%) | 6.274 | 12-06-28 | 2,587,719 | 2,549,990 | |
WP CPP Holdings LLC, 2018 Term Loan (1 and 3 month LIBOR + 3.750%) | 6.559 | 04-30-25 | 18,119,985 | 15,930,537 | |
Air freight and logistics 0.5% | |||||
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan (3 month LIBOR + 4.750%) | 7.043 | 04-06-28 | 2,512,870 | 2,368,380 | |
First Student Bidco, Inc., Term Loan B (3 month LIBOR + 3.000%) | 5.232 | 07-21-28 | 3,022,673 | 2,901,766 | |
First Student Bidco, Inc., Term Loan C (3 month LIBOR + 3.000%) | 5.232 | 07-21-28 | 1,121,359 | 1,076,504 | |
Worldwide Express, Inc., 2021 1st Lien Term Loan (3 month LIBOR + 4.000%) | 6.250 | 07-26-28 | 3,326,881 | 3,167,823 | |
Airlines 0.1% | |||||
United Airlines, Inc., 2021 Term Loan B (1 month LIBOR + 3.750%) | 6.533 | 04-21-28 | 2,513,920 | 2,439,911 | |
Building products 1.4% | |||||
Cornerstone Building Brands, Inc., 2021 Term Loan B (1 month LIBOR + 3.250%) | 5.641 | 04-12-28 | 2,911,545 | 2,600,010 | |
CPG International LLC, Term Loan (B) | TBD | 05-05-24 | 1,000,000 | 945,830 | |
East West Manufacturing LLC, Term Loan B (1 month SOFR + 5.750%) | 8.205 | 12-22-28 | 1,958,268 | 1,845,668 | |
Icebox Holdco III, Inc., 2021 1st Lien Term Loan (3 month LIBOR + 3.750%) | 6.000 | 12-22-28 | 5,287,446 | 5,056,120 | |
Lakeshore Intermediate LLC, Term Loan (1 month LIBOR + 3.500%) | 5.876 | 09-29-28 | 4,348,777 | 4,191,133 | |
LSF11 Skyscraper Holdco Sarl, 2021 USD Term Loan B (3 month LIBOR + 3.500%) | 5.750 | 09-29-27 | 1,305,210 | 1,270,139 | |
Resideo Funding, Inc., 2021 Term Loan (1, 2 and 3 month LIBOR + 2.250%) | 5.068 | 02-11-28 | 1,464,591 | 1,445,376 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 27 |
Rate (%) | Maturity date | Par value^ | Value | ||
Industrials (continued) | |||||
Building products (continued) | |||||
Wilsonart LLC, 2021 Term Loan E (3 month LIBOR + 3.250%) | 5.510 | 12-31-26 | 9,734,581 | $9,275,206 | |
Commercial services and supplies 3.2% | |||||
AEA International Holdings Luxembourg Sarl, Term Loan B (3 month LIBOR + 3.750%) | 6.063 | 09-07-28 | 1,456,185 | 1,419,781 | |
Anticimex Global AB, 2021 USD Incremental Term Loan (3 month LIBOR + 4.000%) | 7.070 | 11-16-28 | 4,381,672 | 4,257,539 | |
AVSC Holding Corp., 2020 Term Loan B1 (3 month LIBOR + 3.250% or 0.250% PIK) | 5.111 | 03-03-25 | 1,891 | 1,740 | |
AVSC Holding Corp., 2020 Term Loan B2 (3 month LIBOR + 4.500% or 1.000% PIK) | 6.111 | 10-15-26 | 3,517,764 | 3,272,153 | |
AVSC Holding Corp., 2020 Term Loan B3 (3 month LIBOR + 5.000% or 10.000% PIK) | 5.000 | 10-15-26 | 2,147,356 | 2,210,703 | |
Cimpress USA, Inc., USD Term Loan B (1 month LIBOR + 3.500%) | 6.024 | 05-17-28 | 4,294,651 | 4,090,655 | |
Comet Bidco, Ltd., 2018 USD Term Loan B (6 month LIBOR + 5.000%) | 7.076 | 09-30-24 | 10,032,947 | 7,926,028 | |
Element Materials Technology Group US Holdings, Inc., 2022 USD Term Loan (3 month SOFR + 4.250%) | 6.360 | 07-06-29 | 4,809,955 | 4,719,769 | |
Holding Socotec SAS, 2021 USD Term Loan (3 month LIBOR + 4.000%) | 6.250 | 06-30-28 | 3,341,797 | 3,107,871 | |
MHI Holdings LLC, Term Loan B (1 month LIBOR + 5.000%) | 7.524 | 09-21-26 | 4,993,013 | 4,955,566 | |
Nielsen Finance LLC, USD Term Loan B4 (1 month LIBOR + 2.000%) | 4.369 | 10-04-23 | 1,124,399 | 1,121,937 | |
PECF USS Intermediate Holding III Corp., Term Loan B (1 month LIBOR + 4.250%) | 6.774 | 12-15-28 | 1,540,701 | 1,431,697 | |
Sterling Infosystems, Inc., 1st Lien Term Loan (3 month LIBOR + 3.500%) | 6.570 | 06-19-24 | 6,853,570 | 6,740,075 | |
Tempo Acquisition LLC, 2022 Term Loan B (1 month SOFR + 3.000%) | 5.455 | 08-31-28 | 5,766,025 | 5,668,003 | |
Viad Corp., Initial Term Loan (1 month LIBOR + 5.000%) | 7.524 | 07-30-28 | 4,726,844 | 4,470,790 | |
Wand NewCo 3, Inc., 2020 Term Loan (1 month LIBOR + 3.000%) | 5.524 | 02-05-26 | 4,946,409 | 4,738,660 |
28 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Industrials (continued) | |||||
Commercial services and supplies (continued) | |||||
Win Waste Innovations Holdings, Inc., 2021 Term Loan B (3 month LIBOR + 2.750%) | 5.000 | 03-24-28 | 1,130,094 | $1,105,017 | |
Construction and engineering 1.3% | |||||
Aegion Corp., Term Loan (1 month LIBOR + 4.750%) | 7.127 | 05-17-28 | 3,198,442 | 2,974,551 | |
Amentum Government Services Holdings LLC, 2022 Term Loan (3 month SOFR + 4.000%) | 5.163 | 02-15-29 | 2,376,658 | 2,309,826 | |
Amentum Government Services Holdings LLC, Term Loan B (1 month LIBOR + 4.000%) | 6.524 | 01-29-27 | 3,235,546 | 3,138,480 | |
DG Investment Intermediate Holdings 2, Inc., 2021 Term Loan (1 month LIBOR + 3.750%) | 6.274 | 03-31-28 | 5,802,908 | 5,670,254 | |
Energize Holdco LLC, 2021 1st Lien Term Loan (3 month LIBOR + 3.750%) | 6.000 | 12-08-28 | 3,329,941 | 3,141,233 | |
Osmose Utilities Services, Inc., Term Loan (1 month LIBOR + 3.250%) | 5.774 | 06-23-28 | 2,552,338 | 2,426,533 | |
Refficiency Holdings LLC, 2020 Delayed Draw Term Loan (1 and 3 month LIBOR + 3.750%) | 5.400 | 12-16-27 | 43,049 | 42,080 | |
Tiger Acquisition LLC, 2021 Term Loan (1 month LIBOR + 3.250%) | 5.774 | 06-01-28 | 1,151,476 | 1,097,138 | |
USIC Holdings, Inc., 2021 Term Loan (1 month LIBOR + 3.500%) | 6.024 | 05-12-28 | 3,878,369 | 3,746,504 | |
Electrical equipment 1.1% | |||||
AZZ, Inc., Term Loan B (1 month SOFR + 4.250% and 4.350%) | 6.911 | 05-13-29 | 2,861,023 | 2,827,635 | |
Brookfield WEC Holdings, Inc., 2021 Term Loan (1 month LIBOR + 2.750%) | 5.274 | 08-01-25 | 9,053,072 | 8,825,659 | |
Creation Technologies, Inc., 2021 Term Loan (3 month LIBOR + 5.500%) | 7.785 | 10-05-28 | 6,931,498 | 6,203,691 | |
Infinite Bidco LLC, 1st Lien Term Loan (3 month LIBOR + 3.250%) | 5.500 | 03-02-28 | 2,114,343 | 2,053,556 | |
Infinity Bidco 1, Ltd., 2021 EUR Term Loan (3 month EURIBOR + 3.150%) | 3.150 | 07-06-28 | EUR | 1,338,977 | 1,250,296 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 29 |
Rate (%) | Maturity date | Par value^ | Value | ||
Industrials (continued) | |||||
Machinery 2.4% | |||||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan (6 month LIBOR + 4.750%) | 7.627 | 06-23-28 | 6,164,167 | $5,917,601 | |
Brown Group Holding LLC, 2022 Term Loan B2 (1 month SOFR + 3.750%) | 6.205 | 07-02-29 | 932,753 | 918,594 | |
Brown Group Holding LLC, Term Loan B (1 month LIBOR + 2.500%) | 5.024 | 06-07-28 | 6,717,570 | 6,594,437 | |
Crosby US Acquisition Corp., Term Loan B (1 month LIBOR + 4.750%) | 7.194 | 06-26-26 | 6,070,688 | 5,767,153 | |
Engineered Components & Systems LLC, Term Loan (1 month LIBOR + 6.000%) | 8.380 | 08-02-28 | 4,034,604 | 3,812,701 | |
Granite US Holdings Corp., 2021 Term Loan B (3 month LIBOR + 4.000%) | 6.313 | 09-30-26 | 5,961,238 | 5,797,304 | |
Pro Mach Group, Inc., 2021 Delayed Draw Term Loan (3 month LIBOR + 4.000%) | 5.518 | 08-31-28 | 312,526 | 305,235 | |
Pro Mach Group, Inc., 2021 Term Loan B (1 month LIBOR + 4.000%) | 5.000 | 08-31-28 | 4,540,628 | 4,434,695 | |
Shape Technologies Group, Inc., Term Loan (1 month LIBOR + 3.000%) | 5.524 | 04-21-25 | 7,081,638 | 6,547,966 | |
Star US Bidco LLC, Term Loan B (1 month LIBOR + 4.250%) | 6.774 | 03-17-27 | 3,648,458 | 3,475,156 | |
Stonepeak Taurus Lower Holdings LLC, 2022 2nd Lien Term Loan (3 month SOFR + 7.000%) | 9.154 | 01-28-30 | 1,879,906 | 1,748,312 | |
Professional services 0.7% | |||||
Indy US Bidco LLC, 2021 USD Term Loan (1 month LIBOR + 3.750%) | 6.274 | 03-05-28 | 1,149,518 | 1,096,835 | |
Stiphout Finance LLC, 2020 USD Term Loan B (1 month LIBOR + 3.750%) | 6.274 | 10-27-25 | 7,504,724 | 7,288,963 | |
Trans Union LLC, 2021 Term Loan B6 (1 month LIBOR + 2.250%) | 4.774 | 12-01-28 | 3,802,973 | 3,727,598 | |
Road and rail 0.3% | |||||
Uber Technologies, Inc., 2021 1st Lien Term Loan B (3 month LIBOR + 3.500%) | 6.570 | 04-04-25 | 6,389,083 | 6,336,628 |
30 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Industrials (continued) | |||||
Transportation infrastructure 0.4% | |||||
Dynasty Acquisition Company, Inc., 2020 Term Loan B1 (1 month LIBOR + 3.500%) | 6.024 | 04-06-26 | 7,121,584 | $6,852,744 | |
Information technology 19.0% | 359,035,691 | ||||
Electronic equipment, instruments and components 0.7% | |||||
C&D Technologies, Inc., Term Loan B (1 and 6 month LIBOR + 5.750%) | 8.378 | 12-20-25 | 6,700,011 | 6,119,321 | |
Robertshaw US Holding Corp., 2018 1st Lien Term Loan (1 month LIBOR + 3.500%) | 6.063 | 02-28-25 | 8,061,645 | 6,512,277 | |
IT services 3.1% | |||||
EP Purchaser LLC, 2021 Term Loan B (3 month LIBOR + 3.500%) | 5.750 | 11-06-28 | 5,686,814 | 5,573,078 | |
Gainwell Acquisition Corp., Term Loan B (3 month LIBOR + 4.000%) | 6.250 | 10-01-27 | 10,244,393 | 9,994,737 | |
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan (1 month LIBOR + 3.750%) | 6.274 | 07-11-25 | 7,737,734 | 7,604,258 | |
Go Daddy Operating Company LLC, 2017 Repriced Term Loan (1 month LIBOR + 1.750%) | 4.274 | 02-15-24 | 4,113,865 | 4,069,806 | |
GTT Communications BV, 2018 EUR Term Loan (C) | 0.000 | 05-31-25 | EUR | 3,807,767 | 3,080,427 |
GTT Communications, Inc., 2018 USD Term Loan B (C) | 0.000 | 05-31-25 | 9,191,274 | 7,102,832 | |
Sabre GLBL, Inc., 2021 Term Loan B1 (1 month LIBOR + 3.500%) | 6.024 | 12-17-27 | 2,624,242 | 2,453,666 | |
Sabre GLBL, Inc., 2021 Term Loan B2 (1 month LIBOR + 3.500%) | 6.024 | 12-17-27 | 4,183,198 | 3,911,290 | |
TGG TS Acquisition Company, 2018 Term Loan B (1 month LIBOR + 6.500%) | 9.024 | 12-14-25 | 1,139,193 | 1,106,919 | |
Travelport Finance Luxembourg Sarl, 2020 Super Priority Term Loan (3 month LIBOR + 1.500% or 7.250% PIK) | 3.750 | 02-28-25 | 121,067 | 118,305 | |
Travelport Finance Luxembourg Sarl, 2021 Consented Term Loan (3 month LIBOR + 5.000% or 1.750% PIK) | 7.250 | 05-29-26 | 242,891 | 179,538 | |
Verscend Holding Corp., 2021 Term Loan B (1 month LIBOR + 4.000%) | 6.524 | 08-27-25 | 8,278,126 | 8,207,430 | |
WEX, Inc., 2021 Term Loan (1 month LIBOR + 2.250%) | 4.774 | 03-31-28 | 5,135,131 | 5,019,590 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 31 |
Rate (%) | Maturity date | Par value^ | Value | ||
Information technology (continued) | |||||
Semiconductors and semiconductor equipment 0.5% | |||||
MKS Instruments, Inc., 2021 USD Tem Loan (B) | TBD | 10-21-28 | 5,382,276 | $5,314,998 | |
MKS Instruments, Inc., 2022 USD Term Loan B (3 month SOFR + 2.750%) | 5.146 | 04-08-29 | 3,828,216 | 3,780,363 | |
Software 14.3% | |||||
Acuris Finance US, Inc., 2021 USD Term Loan B (3 month SOFR + 4.000%) | 6.204 | 02-16-28 | 1,675,749 | 1,640,843 | |
AppLovin Corp., 2018 Term Loan B (3 month LIBOR + 3.250%) | 5.500 | 08-15-25 | 8,670,621 | 8,494,087 | |
AppLovin Corp., 2021 Term Loan B (3 month LIBOR + 3.000%) | 5.250 | 10-25-28 | 2,033,986 | 1,974,248 | |
AQA Acquisition Holding, Inc., 2021 1st Lien Term Loan (1 and 3 month LIBOR + 4.250%) | 7.318 | 03-03-28 | 2,104,969 | 2,029,990 | |
Avaya Holdings Corp. , 2022 Term Loan (3 month SOFR + 10.000%) | 12.307 | 12-15-27 | 798,310 | 489,963 | |
Azalea TopCo, Inc., 2022 Incremental Term Loan (1 month SOFR + 3.750%) | 6.205 | 07-24-26 | 1,391,136 | 1,338,968 | |
Azalea TopCo, Inc., Term Loan (1 month LIBOR + 3.500%) | 6.024 | 07-24-26 | 5,475,198 | 5,237,027 | |
Barracuda Networks, Inc., 2022 Term Loan (3 month SOFR + 4.500%) | 7.237 | 08-15-29 | 4,269,148 | 4,109,055 | |
Boxer Parent Company, Inc., 2021 USD Term Loan (1 month LIBOR + 3.750%) | 6.274 | 10-02-25 | 6,698,416 | 6,451,714 | |
Castle US Holding Corp., USD Term Loan B (1 month LIBOR + 3.750%) | 6.274 | 01-29-27 | 9,618,039 | 8,055,108 | |
Central Parent, Inc., 2022 USD Term Loan B (3 month SOFR + 4.500%) | 6.610 | 07-06-29 | 5,234,598 | 5,095,725 | |
Cloudera, Inc., 2021 Term Loan (1 month LIBOR + 3.750%) | 6.274 | 10-08-28 | 4,252,688 | 4,056,002 | |
Constant Contact, Inc., Term Loan (3 month LIBOR + 4.000%) | 6.423 | 02-10-28 | 8,239,141 | 7,842,673 | |
Cornerstone OnDemand, Inc., 2021 Term Loan (1 month LIBOR + 3.750%) | 6.274 | 10-16-28 | 6,101,256 | 5,724,991 | |
Dcert Buyer, Inc., 2019 Term Loan B (3 month LIBOR + 4.000%) | 6.903 | 10-16-26 | 4,170,383 | 4,051,068 | |
Dcert Buyer, Inc., 2021 2nd Lien Term Loan (3 month LIBOR + 7.000%) | 9.903 | 02-19-29 | 4,266,996 | 4,045,112 |
32 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Information technology (continued) | |||||
Software (continued) | |||||
Dodge Data & Analytics LLC, 2022 Term Loan (3 month SOFR + 4.750%) | 7.578 | 02-23-29 | 5,348,094 | $4,973,728 | |
Epicor Software Corp., 2020 Term Loan (1 month LIBOR + 3.250%) | 5.774 | 07-30-27 | 7,702,529 | 7,463,443 | |
FinThrive Software Intermediate Holdings, Inc., 2021 2nd Lien Term Loan (1 month LIBOR + 6.750%) | 9.274 | 12-17-29 | 1,759,796 | 1,551,261 | |
FinThrive Software Intermediate Holdings, Inc., 2021 Term Loan (1 month LIBOR + 4.000%) | 6.493 | 12-18-28 | 6,322,401 | 6,077,408 | |
Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4 (1 month LIBOR + 4.000%) | 6.524 | 12-01-27 | 8,273,687 | 8,120,044 | |
Grab Holdings, Inc., Term Loan B (1 month LIBOR + 4.500%) | 7.030 | 01-29-26 | 6,906,102 | 6,465,838 | |
Helios Software Holdings, Inc., 2021 USD Term Loan B (3 month SOFR + 3.750%) | 5.954 | 03-11-28 | 1,664,729 | 1,600,920 | |
Instructure Holdings, Inc., 2021 Term Loan B (3 month LIBOR + 2.750%) | 6.121 | 10-30-28 | 4,587,196 | 4,495,453 | |
ION Trading Finance, Ltd., 2021 USD Term Loan (3 month LIBOR + 4.750%) | 7.000 | 04-03-28 | 4,848,318 | 4,706,892 | |
Ivanti Software, Inc., 2021 Add On Term Loan B (1 month LIBOR + 4.000%) | 5.611 | 12-01-27 | 3,719,711 | 3,164,842 | |
Ivanti Software, Inc., 2021 Term Loan B (3 month LIBOR + 4.250%) | 5.848 | 12-01-27 | 3,192,422 | 2,721,540 | |
MA FinanceCo LLC, 2020 USD Term Loan B4 (3 month LIBOR + 4.250%) | 5.915 | 06-05-25 | 2,173,896 | 2,142,657 | |
Magenta Buyer LLC, 2021 USD 1st Lien Term Loan (1 month LIBOR + 4.750%) | 7.250 | 07-27-28 | 6,161,922 | 5,865,903 | |
Marcel Bidco LLC, USD Term Loan B1 (1 month SOFR + 3.250%) | 5.520 | 03-15-26 | 4,551,186 | 4,445,962 | |
Mavenir Systems, Inc., 2021 Term Loan B (3 month LIBOR + 4.750%) | 7.711 | 08-18-28 | 2,750,021 | 2,488,769 | |
McAfee Corp., 2022 USD Term Loan B (1 month SOFR + 3.750%) | 6.157 | 03-01-29 | 6,826,539 | 6,459,612 | |
Mitchell International, Inc., 2021 Term Loan B (1 month LIBOR + 3.750%) | 6.734 | 10-15-28 | 5,738,894 | 5,468,076 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 33 |
Rate (%) | Maturity date | Par value^ | Value | ||
Information technology (continued) | |||||
Software (continued) | |||||
Monotype Imaging Holdings, Inc., 2021 Term Loan B (3 month LIBOR + 5.000%) | 7.250 | 10-09-26 | 4,743,014 | $4,565,151 | |
Monotype Imaging Holdings, Inc., Term Loan (3 month LIBOR + 5.500%) | 7.250 | 10-09-26 | 2,139,456 | 2,059,227 | |
Motus Group LLC, 2021 Term Loan (1 month LIBOR + 4.000%) | 6.524 | 12-11-28 | 1,690,892 | 1,585,211 | |
NortonLifeLock, Inc., 2022 Term Loan B (B) | TBD | 01-28-29 | 4,421,357 | 4,283,189 | |
Orchid Finco LLC, Term Loan (3 month LIBOR + 4.750%) | 7.578 | 07-27-27 | 3,999,430 | 3,786,140 | |
Peraton Corp., Term Loan B (1 month LIBOR + 3.750%) | 6.274 | 02-01-28 | 11,522,713 | 11,177,031 | |
Precise Bidco BV, 2020 EUR Term Loan B (3 month EURIBOR + 4.000%) | 4.000 | 05-13-26 | EUR | 2,161,573 | 2,128,524 |
Project Boost Purchaser LLC, 2019 Term Loan B (1 month LIBOR + 3.500%) | 6.024 | 06-01-26 | 7,305,938 | 7,074,559 | |
Project Leopard Holdings, Inc., 2022 USD Term Loan B (3 month SOFR + 5.250%) | 7.827 | 07-20-29 | 5,458,985 | 5,090,504 | |
Project Ruby Ultimate Parent Corp., 2021 Term Loan (1 month LIBOR + 3.250%) | 5.774 | 03-03-28 | 4,788,117 | 4,637,722 | |
Proofpoint, Inc., 1st Lien Term Loan (3 month LIBOR + 3.250%) | 6.320 | 08-31-28 | 5,278,003 | 5,070,841 | |
Quest Software, Inc., 2022 Term Loan (3 month SOFR + 4.250%) | 5.780 | 02-01-29 | 4,334,842 | 3,929,057 | |
Red Planet Borrower LLC, Term Loan B (1 month LIBOR + 3.750%) | 6.274 | 10-02-28 | 5,263,596 | 4,319,465 | |
Renaissance Holdings Corp., 2022 Incremental Term Loan (1 month SOFR + 4.500%) | 6.787 | 03-30-29 | 214,791 | 209,314 | |
Seattle SpinCo, Inc., 2022 USD Term Loan B5 (1 month SOFR + 4.000%) | 6.400 | 02-26-27 | 5,419,970 | 5,338,670 | |
Seattle SpinCo, Inc., USD Term Loan B3 (1 month LIBOR + 2.750%) | 5.274 | 06-21-24 | 234,082 | 230,571 | |
Skillsoft Finance II, Inc., 2021 Term Loan (1 month SOFR + 5.250%) | 7.652 | 07-14-28 | 4,919,499 | 4,725,179 | |
SolarWinds Holdings, Inc., 2018 Term Loan B (1 month LIBOR + 2.750%) | 5.274 | 02-05-24 | 7,728,974 | 7,593,717 | |
Sophia LP, 2021 Term Loan B (3 month LIBOR + 3.500%) | 5.750 | 10-07-27 | 7,218,191 | 6,961,079 |
34 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Information technology (continued) | |||||
Software (continued) | |||||
SS&C Technologies, Inc., 2018 Term Loan B3 (1 month LIBOR + 1.750%) | 4.274 | 04-16-25 | 885,101 | $864,496 | |
SS&C Technologies, Inc., 2018 Term Loan B4 (1 month LIBOR + 1.750%) | 4.274 | 04-16-25 | 718,514 | 701,787 | |
SS&C Technologies, Inc., 2018 Term Loan B5 (1 month LIBOR + 1.750%) | 4.274 | 04-16-25 | 3,095,702 | 3,020,043 | |
SS&C Technologies, Inc., 2022 Term Loan B6 (1 month SOFR + 2.250%) | 4.805 | 03-22-29 | 273,829 | 266,882 | |
SS&C Technologies, Inc., 2022 Term Loan B7 (1 month SOFR + 2.250%) | 4.805 | 03-22-29 | 387,974 | 378,131 | |
Symplr Software, Inc., 2020 Term Loan (3 month SOFR + 4.500%) | 6.654 | 12-22-27 | 4,168,708 | 4,028,014 | |
ThoughtWorks, Inc., 2021 Term Loan B (1 month LIBOR + 2.750%) | 5.274 | 03-23-28 | 1,712,581 | 1,696,535 | |
UKG, Inc., 2021 Term Loan (3 month LIBOR + 3.250%) | 5.535 | 05-04-26 | 5,078,952 | 4,912,972 | |
UKG, Inc., Term Loan B (1 month LIBOR + 3.750%) | 6.274 | 05-04-26 | 3,637,426 | 3,537,870 | |
Upland Software, Inc., 2019 Term Loan (1 month LIBOR + 3.750%) | 6.274 | 08-06-26 | 3,155,998 | 3,034,366 | |
Veritas US, Inc., 2021 Term Loan B (B) | TBD | 09-01-25 | 883,924 | 701,986 | |
Vision Solutions, Inc., 2021 Incremental Term Loan (3 month LIBOR + 4.000%) | 6.783 | 04-24-28 | 6,220,093 | 5,898,701 | |
Voyage Australia Pty, Ltd., USD Term Loan B (3 month LIBOR + 3.500%) | 6.210 | 07-20-28 | 2,090,450 | 2,004,219 | |
VS Buyer LLC, Term Loan B (1 month LIBOR + 3.000%) | 5.524 | 02-28-27 | 2,166,450 | 2,120,413 | |
Weld North Education LLC, 2021 Term Loan B (1 month LIBOR + 3.750%) | 6.274 | 12-21-27 | 3,627,783 | 3,529,144 | |
Technology hardware, storage and peripherals 0.4% | |||||
Electronics For Imaging, Inc., Term Loan (1 month LIBOR + 5.000%) | 7.524 | 07-23-26 | 9,706,805 | 8,577,224 | |
Materials 8.2% | 154,446,541 | ||||
Chemicals 3.2% | |||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B (3 month LIBOR + 4.750%) | 7.000 | 08-27-26 | 2,144,396 | 2,134,210 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 35 |
Rate (%) | Maturity date | Par value^ | Value | ||
Materials (continued) | |||||
Chemicals (continued) | |||||
ASP Unifrax Holdings, Inc., EUR Term Loan B (3 month EURIBOR + 3.750%) | 3.750 | 12-12-25 | EUR | 4,607,702 | $4,163,617 |
ASP Unifrax Holdings, Inc., Term Loan B (3 month LIBOR + 3.750%) | 6.000 | 12-12-25 | 3,223,284 | 2,970,611 | |
Hyperion Materials & Technologies, Inc., 2021 Term Loan B (3 month LIBOR + 4.500%) | 7.570 | 08-30-28 | 3,993,610 | 3,835,543 | |
INEOS US Finance LLC, 2021 USD Term Loan B (2 month LIBOR + 2.500%) | 5.093 | 11-08-28 | 3,614,107 | 3,541,066 | |
INEOS US Finance LLC, Term Loan (B) | TBD | 04-01-24 | 176,209 | 173,957 | |
INEOS US Petrochem LLC, 2021 USD Term Loan B (1 month LIBOR + 2.750%) | 5.274 | 01-29-26 | 3,100,227 | 3,020,148 | |
Innophos Holdings, Inc., 2020 Term Loan B (1 month LIBOR + 3.250%) | 5.774 | 02-05-27 | 5,294,499 | 5,181,991 | |
Jadex, Inc., Term Loan (1 month LIBOR + 4.750%) | 7.274 | 02-18-28 | 8,109,716 | 7,501,488 | |
Kraton Corp., 2022 USD Term Loan (3 month SOFR + 3.250%) | 5.109 | 03-15-29 | 2,039,852 | 2,007,990 | |
Meridian Adhesives Group, Inc., Term Loan B (1 month LIBOR + 4.000%) | 6.368 | 07-24-28 | 4,592,983 | 4,547,053 | |
Nouryon USA LLC, 2018 USD Term Loan B (3 month LIBOR + 2.750%) | 5.000 | 10-01-25 | 6,431,186 | 6,259,152 | |
Olympus Water US Holding Corp., 2021 USD Term Loan B (3 month LIBOR + 3.750%) | 6.063 | 11-09-28 | 5,029,959 | 4,831,125 | |
Olympus Water US Holding Corp., 2022 Incremental Term Loan (3 month SOFR + 4.500%) | 6.654 | 11-09-28 | 912,984 | 889,019 | |
Plaskolite PPC Intermediate II LLC, 2021 Term Loan (1 month LIBOR + 4.000%) | 6.524 | 12-15-25 | 263 | 248 | |
Secure Acquisition, Inc., 2021 Term Loan (3 month LIBOR + 5.000%) | 7.250 | 12-16-28 | 3,568,764 | 3,381,404 | |
Sparta US HoldCo LLC, 2021 Term Loan (1 month LIBOR + 3.250%) | 5.612 | 08-02-28 | 1,798,541 | 1,743,685 | |
Technimark Holdings LLC, 2021 Term Loan (1 month LIBOR + 3.750%) | 6.127 | 07-09-29 | 1,213,064 | 1,143,313 | |
Trinseo Materials Operating SCA, Term Loan B (B) | TBD | 09-06-24 | 543,389 | 527,087 |
36 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Materials (continued) | |||||
Chemicals (continued) | |||||
Univar Solutions USA, Inc., 2019 USD Term Loan B5 (1 month LIBOR + 2.000%) | 4.524 | 07-01-26 | 812,752 | $805,234 | |
Venator Finance Sarl, Term Loan B (1 month LIBOR + 3.000%) | 5.524 | 08-08-24 | 658,272 | 606,710 | |
Construction materials 0.4% | |||||
GYP Holdings III Corp., 2021 Term Loan B (1 month LIBOR + 2.500%) | 5.024 | 06-01-25 | 2,052,158 | 2,016,246 | |
Potters Borrower LP, Term Loan B (3 month LIBOR + 4.000%) | 6.250 | 12-14-27 | 784,079 | 754,676 | |
Quikrete Holdings, Inc., 2016 1st Lien Term Loan (1 month LIBOR + 2.625%) | 5.149 | 02-01-27 | 2,824,034 | 2,715,054 | |
Quikrete Holdings, Inc., 2021 Term Loan B1 (1 month LIBOR + 3.000%) | 5.524 | 06-11-28 | 2,647,475 | 2,556,879 | |
Containers and packaging 4.4% | |||||
Anchor Packaging LLC, Term Loan B (1 month LIBOR + 4.000%) | 6.524 | 07-18-26 | 307,149 | 299,854 | |
Charter Next Generation, Inc., 2021 Term Loan (3 month LIBOR + 3.750%) | 6.556 | 12-01-27 | 2,204,496 | 2,137,567 | |
Clydesdale Acquisition Holdings, Inc., Term Loan B (1 month SOFR + 4.175%) | 6.730 | 04-13-29 | 7,834,617 | 7,549,280 | |
Graham Packaging Company, Inc., 2021 Term Loan (1 month LIBOR + 3.000%) | 5.524 | 08-04-27 | 5,741,268 | 5,597,736 | |
Iris Holding, Inc., Term Loan (3 month SOFR + 4.750%) | 7.414 | 06-28-28 | 2,998,387 | 2,837,854 | |
LABL, Inc., 2021 USD 1st Lien Term Loan (1 month LIBOR + 5.000%) | 7.524 | 10-29-28 | 4,441,135 | 4,278,056 | |
LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan (1 month LIBOR + 3.250%) | 5.774 | 09-06-25 | 7,124,236 | 6,737,462 | |
LTI Holdings, Inc., 2019 Term Loan (1 month LIBOR + 4.500%) | 7.024 | 07-24-26 | 5,381,507 | 5,107,965 | |
LTI Holdings, Inc., 2021 First Lien Delayed Draw Term loan (1 month LIBOR + 4.500%) | 7.024 | 07-24-26 | 1,422,134 | 1,349,250 | |
LTI Holdings, Inc., 2021 First Lien Term Loan (1 month LIBOR + 4.500%) | 7.024 | 07-24-26 | 1,415,024 | 1,342,504 | |
MAR Bidco Sarl, USD Term Loan (3 month LIBOR + 4.050%) | 6.300 | 07-06-28 | 1,545,155 | 1,452,446 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 37 |
Rate (%) | Maturity date | Par value^ | Value | ||
Materials (continued) | |||||
Containers and packaging (continued) | |||||
Mauser Packaging Solutions Holding Company, 2017 Term Loan B (1 month LIBOR + 3.250%) | 5.623 | 04-03-24 | 13,286,073 | $12,984,745 | |
Plaze, Inc., 2019 Term Loan B (1 month LIBOR + 3.500%) | 6.024 | 08-03-26 | 6,694,749 | 6,368,380 | |
Proampac PG Borrower LLC, 2020 Term Loan (1, 2 and 3 month LIBOR + 3.750%) | 6.018 | 11-03-25 | 8,907,399 | 8,647,570 | |
TricorBraun Holdings, Inc., 2021 Delayed Draw Term Loan (1 month LIBOR + 3.250%) | 5.052 | 03-03-28 | 83,508 | 80,784 | |
TricorBraun Holdings, Inc., 2021 Term Loan (1 month LIBOR + 3.250%) | 5.774 | 03-03-28 | 3,986,883 | 3,856,831 | |
Trident TPI Holdings, Inc., 2017 USD Term Loan B1 (3 month LIBOR + 3.250%) | 5.500 | 10-17-24 | 6,192,985 | 6,106,531 | |
Valcour Packaging LLC, 2021 1st Lien Term Loan (6 month LIBOR + 3.750%) | 5.220 | 10-04-28 | 3,973,834 | 3,785,077 | |
Valcour Packaging LLC, 2021 2nd Lien Term Loan (3 month LIBOR + 7.000%) | 8.470 | 10-04-29 | 2,708,988 | 2,302,640 | |
Metals and mining 0.2% | |||||
Vibrantz Technologies, Inc., 2022 Term Loan B (3 month SOFR + 4.250%) | 6.977 | 04-23-29 | 4,833,386 | 4,316,503 | |
Utilities 0.1% | 1,864,384 | ||||
Independent power and renewable electricity producers 0.1% | |||||
Esdec Solar Group BV, Term Loan B (3 month LIBOR + 4.750%) | 6.250 | 08-30-28 | 1,962,509 | 1,864,384 | |
Corporate bonds 7.3% | $137,252,178 | ||||
(Cost $174,614,564) | |||||
Communication services 1.4% | 27,047,410 | ||||
Diversified telecommunication services 0.5% | |||||
Connect Finco SARL (E) | 6.750 | 10-01-26 | 4,409,000 | 4,042,965 | |
Iliad Holding SASU (E) | 6.500 | 10-15-26 | 3,749,000 | 3,425,761 | |
Iliad Holding SASU (E) | 7.000 | 10-15-28 | 2,689,000 | 2,433,088 | |
Media 0.8% | |||||
Altice France SA (E) | 5.500 | 10-15-29 | 4,192,000 | 3,310,422 | |
CCO Holdings LLC (E) | 6.375 | 09-01-29 | 2,732,000 | 2,653,455 | |
National CineMedia LLC (E)(F) | 5.875 | 04-15-28 | 4,637,000 | 3,240,801 | |
Sirius XM Radio, Inc. (E) | 4.125 | 07-01-30 | 2,000,000 | 1,694,540 | |
Tele Columbus AG | 3.875 | 05-02-25 | EUR | 1,906,000 | 1,628,120 |
38 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Communication services (continued) | |||||
Media (continued) | |||||
United Group BV (E) | 3.625 | 02-15-28 | EUR | 834,000 | $659,210 |
United Group BV (Greater of 3 month EURIBOR + 4.875% or 4.875%) (E)(G) | 5.142 | 02-01-29 | EUR | 2,938,000 | 2,619,793 |
Wireless telecommunication services 0.1% | |||||
Lorca Telecom Bondco SA | 4.000 | 09-18-27 | EUR | 1,500,000 | 1,339,255 |
Consumer discretionary 1.9% | 35,497,607 | ||||
Automobiles 0.2% | |||||
Constellation Automotive Financing PLC (E) | 4.875 | 07-15-27 | GBP | 2,813,000 | 2,552,364 |
Distributors 0.1% | |||||
Northwest Fiber LLC (E)(F) | 6.000 | 02-15-28 | 3,136,000 | 2,446,563 | |
Diversified consumer services 0.1% | |||||
WW International, Inc. (E) | 4.500 | 04-15-29 | 2,758,000 | 1,722,412 | |
Hotels, restaurants and leisure 0.6% | |||||
Caesars Entertainment, Inc. (E) | 4.625 | 10-15-29 | 461,000 | 370,803 | |
Deuce Finco PLC (E) | 5.500 | 06-15-27 | GBP | 2,979,000 | 2,837,931 |
Deuce Finco PLC | 5.500 | 06-15-27 | GBP | 957,000 | 911,682 |
Punch Finance PLC (E) | 6.125 | 06-30-26 | GBP | 1,598,000 | 1,615,096 |
Stonegate Pub Company Financing 2019 PLC | 8.000 | 07-13-25 | GBP | 667,000 | 705,157 |
Stonegate Pub Company Financing 2019 PLC | 8.000 | 07-13-25 | GBP | 4,077,000 | 4,310,230 |
Stonegate Pub Company Financing 2019 PLC (E) | 8.250 | 07-31-25 | GBP | 611,000 | 645,982 |
Leisure products 0.1% | |||||
Mattel, Inc. (E) | 3.750 | 04-01-29 | 2,000,000 | 1,782,000 | |
Specialty retail 0.8% | |||||
F-Brasile SpA (E) | 7.375 | 08-15-26 | 12,653,000 | 10,375,460 | |
Maxeda DIY Holding BV (E) | 5.875 | 10-01-26 | EUR | 162,000 | 116,554 |
Maxeda DIY Holding BV | 5.875 | 10-01-26 | EUR | 2,640,000 | 1,899,215 |
Staples, Inc. (E) | 7.500 | 04-15-26 | 3,794,000 | 3,206,158 | |
Consumer staples 0.4% | 7,112,705 | ||||
Household products 0.2% | |||||
Kronos Acquisition Holdings, Inc. (E) | 5.000 | 12-31-26 | 1,966,000 | 1,780,901 | |
Kronos Acquisition Holdings, Inc. (E) | 7.000 | 12-31-27 | 1,430,000 | 1,179,750 | |
Personal products 0.2% | |||||
Coty, Inc. (E) | 4.750 | 01-15-29 | 2,000,000 | 1,769,680 | |
Douglas GmbH (E) | 6.000 | 04-08-26 | EUR | 1,299,000 | 1,067,507 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 39 |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer staples (continued) | |||||
Personal products (continued) | |||||
Douglas GmbH | 6.000 | 04-08-26 | EUR | 1,600,000 | $1,314,867 |
Financials 0.9% | 17,131,159 | ||||
Capital markets 0.7% | |||||
AG Issuer LLC (E) | 6.250 | 03-01-28 | 8,446,000 | 7,741,047 | |
AG TTMT Escrow Issuer LLC (E) | 8.625 | 09-30-27 | 140,000 | 140,056 | |
Aretec Escrow Issuer, Inc. (E) | 7.500 | 04-01-29 | 2,758,000 | 2,375,630 | |
Hightower Holding LLC (E) | 6.750 | 04-15-29 | 3,046,000 | 2,560,033 | |
Consumer finance 0.1% | |||||
Encore Capital Group, Inc. (E) | 4.250 | 06-01-28 | GBP | 2,070,000 | 1,951,258 |
Insurance 0.1% | |||||
NFP Corp. (E) | 7.500 | 10-01-30 | 2,399,000 | 2,363,135 | |
Health care 0.3% | 6,327,275 | ||||
Health care providers and services 0.3% | |||||
US Acute Care Solutions LLC (E) | 6.375 | 03-01-26 | 7,084,000 | 6,327,275 | |
Industrials 0.9% | 16,642,441 | ||||
Aerospace and defense 0.2% | |||||
BWX Technologies, Inc. (E) | 4.125 | 06-30-28 | 1,500,000 | 1,380,000 | |
Spirit AeroSystems, Inc. (E) | 7.500 | 04-15-25 | 3,237,000 | 3,165,495 | |
Building products 0.3% | |||||
JELD-WEN, Inc. (E) | 4.625 | 12-15-25 | 1,377,000 | 1,184,220 | |
Victors Merger Corp. (E) | 6.375 | 05-15-29 | 5,855,000 | 3,922,850 | |
Construction and engineering 0.2% | |||||
Cheever Escrow Issuer LLC (E) | 7.125 | 10-01-27 | 1,132,000 | 1,103,700 | |
New Enterprise Stone & Lime Company, Inc. (E) | 5.250 | 07-15-28 | 2,375,000 | 2,110,625 | |
Novafives SAS (Greater of 3 month EURIBOR + 4.500% or 4.500%) (G) | 4.500 | 06-15-25 | EUR | 1,332,000 | 896,135 |
Marine 0.1% | |||||
Anarafe SLU (3 month EURIBOR + 1.000% Cash or 3 month EURIBOR + 11.750% PIK) (E) | 12.332 | 03-31-26 | EUR | 1,152,407 | 1,204,436 |
Trading companies and distributors 0.1% | |||||
Beacon Roofing Supply, Inc. (E) | 4.125 | 05-15-29 | 2,000,000 | 1,674,980 | |
Information technology 0.7% | 12,774,727 | ||||
IT services 0.1% | |||||
Paysafe Finance PLC (E) | 4.000 | 06-15-29 | 2,584,000 | 1,931,540 | |
Software 0.6% | |||||
Avaya, Inc. (E) | 6.125 | 09-15-28 | 5,815,000 | 3,179,526 | |
Castle US Holding Corp. (E) | 9.500 | 02-15-28 | 1,874,000 | 1,461,689 |
40 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Information technology (continued) | |||||
Software (continued) | |||||
Helios Software Holdings, Inc. (E) | 4.625 | 05-01-28 | 5,103,000 | $4,073,673 | |
ION Trading Technologies Sarl (E) | 5.750 | 05-15-28 | 2,172,000 | 1,851,869 | |
Veritas US, Inc. (E) | 7.500 | 09-01-25 | 359,000 | 276,430 | |
Materials 0.8% | 14,718,854 | ||||
Chemicals 0.5% | |||||
ASP Unifrax Holdings, Inc. (E) | 5.250 | 09-30-28 | 2,701,000 | 2,166,808 | |
ASP Unifrax Holdings, Inc. (E)(F) | 7.500 | 09-30-29 | 3,362,000 | 2,459,247 | |
Olympus Water US Holding Corp. (E) | 6.250 | 10-01-29 | 2,174,000 | 1,641,370 | |
Trinseo Materials Operating SCA (E) | 5.375 | 09-01-25 | 1,534,000 | 1,322,124 | |
Venator Finance Sarl (E) | 5.750 | 07-15-25 | 1,558,000 | 1,145,130 | |
Containers and packaging 0.1% | |||||
Kleopatra Holdings 2 SCA | 6.500 | 09-01-26 | EUR | 2,424,000 | 1,674,750 |
Metals and mining 0.2% | |||||
Midwest Vanadium Proprietary, Ltd. (C)(E) | 13.250 | 02-15-18 | 5,663,972 | 11,328 | |
Vibrantz Technologies, Inc. (E) | 9.000 | 02-15-30 | 5,900,000 | 4,298,097 | |
Asset backed securities 1.6% | $30,427,504 | ||||
(Cost $32,947,040) | |||||
Asset backed securities 1.6% | 30,427,504 | ||||
Atlas Senior Loan Fund X, Ltd. Series 2018-10A, Class D (3 month LIBOR + 2.750%) (E)(G) | 5.262 | 01-15-31 | 4,900,000 | 4,103,662 | |
Cedar Funding VIII CLO, Ltd. Series 2017-8A, Class DR (3 month LIBOR + 3.500%) (E)(G) | 6.240 | 10-17-34 | 850,000 | 784,921 | |
Hayfin US XIV, Ltd. Series 2021-14A, Class D (3 month LIBOR + 3.650%) (E)(G) | 6.360 | 07-20-34 | 3,000,000 | 2,805,381 | |
Jamestown CLO IX, Ltd. Series 2016-9A, Class CRR (3 month LIBOR + 3.900%) (E)(G) | 6.683 | 07-25-34 | 3,450,000 | 3,264,387 | |
Jamestown CLO XVI, Ltd. Series 2021-16A, Class D (3 month LIBOR + 3.650%) (E)(G) | 6.433 | 07-25-34 | 3,100,000 | 2,894,820 | |
Marble Point CLO XI, Ltd. Series 2017-2A, Class D (3 month LIBOR + 2.800%) (E)(G) | 5.540 | 12-18-30 | 2,500,000 | 2,123,563 | |
Northwoods Capital XVII, Ltd. Series 2018-17A, Class D (3 month LIBOR + 2.850%) (E)(G) | 5.609 | 04-22-31 | 1,350,000 | 1,160,260 | |
Parallel, Ltd. Series 2020-1A, Class CR (3 month LIBOR + 3.400%) (E)(G) | 6.110 | 07-20-34 | 1,350,000 | 1,224,501 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 41 |
Rate (%) | Maturity date | Par value^ | Value | ||
Asset backed securities (continued) | |||||
Sculptor CLO XXVII, Ltd. Series 27A, Class D (3 month LIBOR + 3.700%) (E)(G) | 6.410 | 07-20-34 | 3,550,000 | $3,326,765 | |
Shackleton XIV CLO, Ltd. Series 2019-14A, Class DR (3 month LIBOR + 3.700%) (E)(G) | 6.410 | 07-20-34 | 2,950,000 | 2,770,920 | |
TCW CLO, Ltd. Series 2020-1A, Class DRR (3 month LIBOR + 3.400%) (E)(G) | 6.110 | 04-20-34 | 1,300,000 | 1,214,460 | |
Wellfleet CLO, Ltd. | |||||
Series 2020-2A, Class DR (3 month LIBOR + 3.800%) (E)(G) | 6.312 | 07-15-34 | 2,900,000 | 2,703,244 | |
Series 2021-2A, Class D (3 month LIBOR + 3.600%) (E)(G) | 6.112 | 07-15-34 | 2,200,000 | 2,050,620 | |
Shares | Value | ||||
Common stocks 0.4% | $7,068,949 | ||||
(Cost $2,672,664) | |||||
Communication services 0.1% | 1,835,683 | ||||
Entertainment 0.1% | |||||
Cineworld Group PLC (H) | 105,512 | 12,257 | |||
Technicolor SA (H) | 586,571 | 1,823,426 | |||
Consumer discretionary 0.0% | 24,458 | ||||
Hotels, restaurants and leisure 0.0% | |||||
NPC International, Inc. (D)(H) | 149,959 | 24,458 | |||
Energy 0.3% | 5,196,510 | ||||
Oil, gas and consumable fuels 0.3% | |||||
Ultra Petroleum Corp. (H) | 37,155 | 1,368,530 | |||
Ultra Resources, Inc. (H) | 103,928 | 3,827,980 | |||
Industrials 0.0% | 12,298 | ||||
Marine 0.0% | |||||
Naviera Armas SA, Class A2 (D)(H) | 2,453 | 0 | |||
Naviera Armas SA, Class A3 (H) | 430 | 5,402 | |||
Naviera Armas SA, Class B2 (D)(H) | 3,126 | 0 | |||
Naviera Armas SA, Class B3 (H) | 549 | 6,896 | |||
Par value^ | Value | ||||
Escrow certificates 0.0% | $0 | ||||
(Cost $0) | |||||
Magellan Health, Inc. (D)(H) | 3,400,000 | 0 | |||
42 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Yield (%) | Shares | Value | |||
Short-term investments 0.3% | $6,838,815 | ||||
(Cost $6,842,625) | |||||
Short-term funds 0.3% | 6,838,815 | ||||
John Hancock Collateral Trust (I) | 2.3160(J) | 684,333 | 6,838,815 | ||
Total investments (Cost $1,994,248,779) 98.5% | $1,862,829,791 | ||||
Other assets and liabilities, net 1.5% | 28,201,978 | ||||
Total net assets 100.0% | $1,891,031,769 |
The percentage shown for each investment category is the total value of the category as a percentage of the net assets of the fund. | |
^All par values are denominated in U.S. dollars unless otherwise indicated. | |
Currency Abbreviations | |
EUR | Euro |
GBP | Pound Sterling |
Security Abbreviations and Legend | |
EURIBOR | Euro Interbank Offered Rate |
LIBOR | London Interbank Offered Rate |
PIK | Pay-in-Kind Security - Represents a payment-in-kind which may pay interest in additional par and/or cash. Rates shown are the current rate and most recent payment rate. |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Interbank Average Rate |
(A) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(B) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which is disclosed as TBD (To Be Determined). |
(C) | Non-income producing - Issuer is in default. |
(D) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(E) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. |
(F) | All or a portion of this security is on loan as of 8-31-22. |
(G) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(H) | Non-income producing security. |
(I) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
(J) | The rate shown is the annualized seven-day yield as of 8-31-22. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 43 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 110,562,754 | EUR | 106,090,000 | CITI | 1/9/2023 | $2,994,522 | — |
USD | 45,930,005 | GBP | 37,400,000 | CITI | 7/6/2023 | 2,368,111 | — |
$5,362,633 | — |
Derivatives Currency Abbreviations | |
EUR | Euro |
GBP | Pound Sterling |
USD | U.S. Dollar |
Derivatives Abbreviations | |
CITI | Citibank, N.A. |
OTC | Over-the-counter |
44 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Assets | |
Unaffiliated investments, at value (Cost $1,987,406,154) including $6,668,671 of securities loaned | $1,855,990,976 |
Affiliated investments, at value (Cost $6,842,625) | 6,838,815 |
Total investments, at value (Cost $1,994,248,779) | 1,862,829,791 |
Unrealized appreciation on forward foreign currency contracts | 5,362,633 |
Cash | 21,701,175 |
Foreign currency, at value (Cost $25,638,240) | 24,856,869 |
Collateral segregated at custodian for OTC derivative contracts | 22,347,630 |
Interest receivable | 13,438,442 |
Receivable for fund shares sold | 1,185,103 |
Receivable for investments sold | 38,672,585 |
Receivable for securities lending income | 22,919 |
Other assets | 125,873 |
Total assets | 1,990,543,020 |
Liabilities | |
Distributions payable | 58,864 |
Payable for investments purchased | 82,760,376 |
Payable for fund shares repurchased | 9,376,489 |
Payable upon return of securities loaned | 6,846,958 |
Payable to affiliates | |
Investment management fees | 428 |
Accounting and legal services fees | 69,770 |
Transfer agent fees | 72,940 |
Trustees’ fees | 1,771 |
Other liabilities and accrued expenses | 323,655 |
Total liabilities | 99,511,251 |
Net assets | $1,891,031,769 |
Net assets consist of | |
Paid-in capital | $2,392,767,202 |
Total distributable earnings (loss) | (501,735,433) |
Net assets | $1,891,031,769 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 45 |
Net asset value per share | |
Based on net asset value and shares outstanding - the fund has an unlimited number of shares authorized with no par value | |
Class A ($147,723,467 ÷ 19,070,294 shares)1 | $7.75 |
Class C ($18,868,864 ÷ 2,426,103 shares)1 | $7.78 |
Class I ($454,183,093 ÷ 58,688,526 shares) | $7.74 |
Class R6 ($505,389,745 ÷ 65,220,491 shares) | $7.75 |
Class 1 ($16,219,438 ÷ 2,096,490 shares) | $7.74 |
Class NAV ($748,647,162 ÷ 96,624,538 shares) | $7.75 |
Maximum offering price per share | |
Class A (net asset value per share ÷ 97.5%)2 | $7.95 |
1 | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
2 | On single retail sales of less than $100,000. On sales of $100,000 or more and on group sales the offering price is reduced. |
46 | JOHN HANCOCK Floating Rate Income Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Investment income | |
Interest | $99,920,644 |
Dividends | 1,173,350 |
Securities lending | 111,820 |
Other income | 808 |
Total investment income | 101,206,622 |
Expenses | |
Investment management fees | 12,928,686 |
Distribution and service fees | 557,597 |
Line of credit fees | 447,313 |
Accounting and legal services fees | 289,297 |
Transfer agent fees | 737,242 |
Trustees’ fees | 31,602 |
Custodian fees | 241,142 |
State registration fees | 148,683 |
Printing and postage | 38,029 |
Professional fees | 129,415 |
Other | 174,805 |
Total expenses | 15,723,811 |
Less expense reductions | (1,462,186) |
Net expenses | 14,261,625 |
Net investment income | 86,944,997 |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on | |
Unaffiliated investments and foreign currency transactions | (44,702,401) |
Affiliated investments | (8,561) |
Capital gain distributions received from affiliated investments | 4,459 |
Forward foreign currency contracts | 26,707,494 |
(17,999,009) | |
Change in net unrealized appreciation (depreciation) of | |
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (122,891,487) |
Affiliated investments | (7,202) |
Forward foreign currency contracts | 4,495,692 |
(118,402,997) | |
Net realized and unrealized loss | (136,402,006) |
Decrease in net assets from operations | $(49,457,009) |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 47 |
Year ended 8-31-22 | Year ended 8-31-21 | |
Increase (decrease) in net assets | ||
From operations | ||
Net investment income | $86,944,997 | $45,956,776 |
Net realized loss | (17,999,009) | (4,627,660) |
Change in net unrealized appreciation (depreciation) | (118,402,997) | 39,453,342 |
Increase (decrease) in net assets resulting from operations | (49,457,009) | 80,782,458 |
Distributions to shareholders | ||
From earnings | ||
Class A | (6,741,097) | (3,042,478) |
Class B | — | (6,414)1 |
Class C | (794,453) | (643,345) |
Class I | (22,133,222) | (3,210,075) |
Class R6 | (22,072,207) | (3,506,958) |
Class 1 | (800,303) | (511,178) |
Class NAV | (46,730,483) | (24,702,509) |
Total distributions | (99,271,765) | (35,622,957) |
From fund share transactions | 289,452,146 | 925,360,279 |
Total increase | 140,723,372 | 970,519,780 |
Net assets | ||
Beginning of year | 1,750,308,397 | 779,788,617 |
End of year | $1,891,031,769 | $1,750,308,397 |
1 | Share class was redesignated during the year. Refer to Note 6 for further details. |
48 | JOHN HANCOCK Floating Rate Income Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS A SHARES Period ended | 8-31-22 | 8-31-21 | 8-31-20 | 8-31-19 | 8-31-18 |
Per share operating performance | |||||
Net asset value, beginning of period | $8.30 | $7.89 | $8.28 | $8.43 | $8.45 |
Net investment income1 | 0.34 | 0.30 | 0.36 | 0.40 | 0.34 |
Net realized and unrealized gain (loss) on investments | (0.51) | 0.36 | (0.36) | (0.16) | —2 |
Total from investment operations | (0.17) | 0.66 | — | 0.24 | 0.34 |
Less distributions | |||||
From net investment income | (0.38) | (0.25) | (0.39) | (0.39) | (0.36) |
Net asset value, end of period | $7.75 | $8.30 | $7.89 | $8.28 | $8.43 |
Total return (%)3,4 | (2.05) | 8.41 | 0.11 | 2.96 | 4.05 |
Ratios and supplemental data | |||||
Net assets, end of period (in millions) | $148 | $118 | $89 | $109 | $117 |
Ratios (as a percentage of average net assets): | |||||
Expenses before reductions | 1.10 | 1.12 | 1.175 | 1.16 | 1.13 |
Expenses including reductions | 1.01 | 1.00 | 0.995 | 1.06 | 1.13 |
Net investment income | 4.18 | 3.71 | 4.49 | 4.77 | 4.03 |
Portfolio turnover (%) | 52 | 59 | 81 | 120 | 71 |
1 | Based on average daily shares outstanding. |
2 | Less than $0.005 per share. |
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
4 | Does not reflect the effect of sales charges, if any. |
5 | Includes reimbursement of legal fees of 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 49 |
CLASS C SHARES Period ended | 8-31-22 | 8-31-21 | 8-31-20 | 8-31-19 | 8-31-18 |
Per share operating performance | |||||
Net asset value, beginning of period | $8.33 | $7.92 | $8.32 | $8.47 | $8.49 |
Net investment income1 | 0.27 | 0.25 | 0.30 | 0.33 | 0.28 |
Net realized and unrealized gain (loss) on investments | (0.50) | 0.34 | (0.37) | (0.15) | (0.01) |
Total from investment operations | (0.23) | 0.59 | (0.07) | 0.18 | 0.27 |
Less distributions | |||||
From net investment income | (0.32) | (0.18) | (0.33) | (0.33) | (0.29) |
Net asset value, end of period | $7.78 | $8.33 | $7.92 | $8.32 | $8.47 |
Total return (%)2,3 | (2.76) | 7.58 | (0.74) | 2.20 | 3.28 |
Ratios and supplemental data | |||||
Net assets, end of period (in millions) | $19 | $22 | $39 | $71 | $102 |
Ratios (as a percentage of average net assets): | |||||
Expenses before reductions | 1.85 | 1.87 | 1.924 | 1.91 | 1.88 |
Expenses including reductions | 1.76 | 1.75 | 1.744 | 1.81 | 1.88 |
Net investment income | 3.37 | 3.00 | 3.77 | 3.99 | 3.29 |
Portfolio turnover (%) | 52 | 59 | 81 | 120 | 71 |
1 | Based on average daily shares outstanding. |
2 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
3 | Does not reflect the effect of sales charges, if any. |
4 | Includes reimbursement of legal fees of 0.01%. |
50 | JOHN HANCOCK Floating Rate Income Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS I SHARES Period ended | 8-31-22 | 8-31-21 | 8-31-20 | 8-31-19 | 8-31-18 |
Per share operating performance | |||||
Net asset value, beginning of period | $8.29 | $7.89 | $8.28 | $8.43 | $8.45 |
Net investment income1 | 0.35 | 0.31 | 0.38 | 0.41 | 0.36 |
Net realized and unrealized gain (loss) on investments | (0.50) | 0.35 | (0.36) | (0.15) | —2 |
Total from investment operations | (0.15) | 0.66 | 0.02 | 0.26 | 0.36 |
Less distributions | |||||
From net investment income | (0.40) | (0.26) | (0.41) | (0.41) | (0.38) |
Net asset value, end of period | $7.74 | $8.29 | $7.89 | $8.28 | $8.43 |
Total return (%)3 | (1.83) | 8.52 | 0.34 | 3.19 | 4.31 |
Ratios and supplemental data | |||||
Net assets, end of period (in millions) | $454 | $252 | $49 | $66 | $152 |
Ratios (as a percentage of average net assets): | |||||
Expenses before reductions | 0.85 | 0.87 | 0.924 | 0.92 | 0.89 |
Expenses including reductions | 0.78 | 0.77 | 0.764 | 0.83 | 0.88 |
Net investment income | 4.42 | 3.84 | 4.72 | 4.94 | 4.29 |
Portfolio turnover (%) | 52 | 59 | 81 | 120 | 71 |
1 | Based on average daily shares outstanding. |
2 | Less than $0.005 per share. |
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
4 | Includes reimbursement of legal fees of 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 51 |
CLASS R6 SHARES Period ended | 8-31-22 | 8-31-21 | 8-31-20 | 8-31-19 | 8-31-18 |
Per share operating performance | |||||
Net asset value, beginning of period | $8.30 | $7.89 | $8.29 | $8.43 | $8.45 |
Net investment income1 | 0.37 | 0.32 | 0.39 | 0.42 | 0.37 |
Net realized and unrealized gain (loss) on investments | (0.51) | 0.36 | (0.37) | (0.14) | —2 |
Total from investment operations | (0.14) | 0.68 | 0.02 | 0.28 | 0.37 |
Less distributions | |||||
From net investment income | (0.41) | (0.27) | (0.42) | (0.42) | (0.39) |
Net asset value, end of period | $7.75 | $8.30 | $7.89 | $8.29 | $8.43 |
Total return (%)3 | (1.71) | 8.77 | 0.33 | 3.44 | 4.41 |
Ratios and supplemental data | |||||
Net assets, end of period (in millions) | $505 | $342 | $2 | $3 | $6 |
Ratios (as a percentage of average net assets): | |||||
Expenses before reductions | 0.74 | 0.77 | 0.814 | 0.81 | 0.79 |
Expenses including reductions | 0.66 | 0.66 | 0.654 | 0.71 | 0.78 |
Net investment income | 4.57 | 3.93 | 4.88 | 5.06 | 4.45 |
Portfolio turnover (%) | 52 | 59 | 81 | 120 | 71 |
1 | Based on average daily shares outstanding. |
2 | Less than $0.005 per share. |
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
4 | Includes reimbursement of legal fees of 0.01%. |
52 | JOHN HANCOCK Floating Rate Income Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS 1 SHARES Period ended | 8-31-22 | 8-31-21 | 8-31-20 | 8-31-19 | 8-31-18 |
Per share operating performance | |||||
Net asset value, beginning of period | $8.29 | $7.88 | $8.28 | $8.42 | $8.44 |
Net investment income1 | 0.36 | 0.33 | 0.38 | 0.42 | 0.37 |
Net realized and unrealized gain (loss) on investments | (0.50) | 0.35 | (0.36) | (0.14) | (0.01) |
Total from investment operations | (0.14) | 0.68 | 0.02 | 0.28 | 0.36 |
Less distributions | |||||
From net investment income | (0.41) | (0.27) | (0.42) | (0.42) | (0.38) |
Net asset value, end of period | $7.74 | $8.29 | $7.88 | $8.28 | $8.42 |
Total return (%)2 | (1.76) | 8.74 | 0.29 | 3.39 | 4.37 |
Ratios and supplemental data | |||||
Net assets, end of period (in millions) | $16 | $15 | $16 | $27 | $30 |
Ratios (as a percentage of average net assets): | |||||
Expenses before reductions | 0.78 | 0.81 | 0.853 | 0.84 | 0.83 |
Expenses including reductions | 0.70 | 0.70 | 0.693 | 0.75 | 0.82 |
Net investment income | 4.46 | 4.04 | 4.82 | 5.07 | 4.36 |
Portfolio turnover (%) | 52 | 59 | 81 | 120 | 71 |
1 | Based on average daily shares outstanding. |
2 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
3 | Includes reimbursement of legal fees of 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 53 |
CLASS NAV SHARES Period ended | 8-31-22 | 8-31-21 | 8-31-20 | 8-31-19 | 8-31-18 |
Per share operating performance | |||||
Net asset value, beginning of period | $8.30 | $7.89 | $8.29 | $8.44 | $8.45 |
Net investment income1 | 0.36 | 0.33 | 0.38 | 0.42 | 0.37 |
Net realized and unrealized gain (loss) on investments | (0.50) | 0.35 | (0.36) | (0.15) | 0.01 |
Total from investment operations | (0.14) | 0.68 | 0.02 | 0.27 | 0.38 |
Less distributions | |||||
From net investment income | (0.41) | (0.27) | (0.42) | (0.42) | (0.39) |
Net asset value, end of period | $7.75 | $8.30 | $7.89 | $8.29 | $8.44 |
Total return (%)2 | (1.72) | 8.78 | 0.34 | 3.32 | 4.55 |
Ratios and supplemental data | |||||
Net assets, end of period (in millions) | $749 | $1,001 | $583 | $648 | $865 |
Ratios (as a percentage of average net assets): | |||||
Expenses before reductions | 0.73 | 0.76 | 0.803 | 0.79 | 0.78 |
Expenses including reductions | 0.67 | 0.66 | 0.653 | 0.71 | 0.77 |
Net investment income | 4.42 | 4.03 | 4.80 | 5.08 | 4.41 |
Portfolio turnover (%) | 52 | 59 | 81 | 120 | 71 |
1 | Based on average daily shares outstanding. |
2 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
3 | Includes reimbursement of legal fees of 0.01%. |
54 | JOHN HANCOCK Floating Rate Income Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
ANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 55 |
Total value at 8-31-22 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Investments in securities: | ||||
Assets | ||||
Term loans | $1,681,242,345 | — | $1,681,242,345 | — |
Corporate bonds | 137,252,178 | — | 137,252,178 | — |
Asset backed securities | 30,427,504 | — | 30,427,504 | — |
Common stocks | 7,068,949 | — | 7,044,491 | $24,458 |
Short-term investments | 6,838,815 | $6,838,815 | — | — |
Total investments in securities | $1,862,829,791 | $6,838,815 | $1,855,966,518 | $24,458 |
Derivatives: | ||||
Assets | ||||
Forward foreign currency contracts | $5,362,633 | — | $5,362,633 | — |
Level 3 includes securities valued at $0. Refer to Fund’s investments. |
56 | JOHN HANCOCK Floating Rate Income Fund | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 57 |
58 | JOHN HANCOCK Floating Rate Income Fund | ANNUAL REPORT |
August 31, 2022 | August 31, 2021 | |
Ordinary income | $99,271,765 | $35,622,957 |
ANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 59 |
Risk | Statement of assets and liabilities location | Financial instruments location | Assets derivatives fair value | Liabilities derivatives fair value |
Currency | Unrealized appreciation (depreciation) on forward foreign currency contracts | Forward foreign currency contracts | $5,362,633 | — |
Statement of operations location - Net realized gain (loss) on: | |
Risk | Forward foreign currency contracts |
Currency | $26,707,494 |
Statement of operations location - Change in net unrealized appreciation (depreciation) of: | |
Risk | Forward foreign currency contracts |
Currency | $4,495,692 |
60 | JOHN HANCOCK Floating Rate Income Fund | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 61 |
Class | Expense reduction |
Class A | $133,905 |
Class C | 18,739 |
Class I | 328,771 |
Class R6 | 343,212 |
Class | Expense reduction |
Class 1 | $12,709 |
Class NAV | 624,850 |
Total | $1,462,186 |
Class | Rule 12b-1 Fee |
Class A | 0.25% |
Class C | 1.00% |
Class 1 | 0.05% |
62 | JOHN HANCOCK Floating Rate Income Fund | ANNUAL REPORT |
Class | Distribution and service fees | Transfer agent fees |
Class A | $350,203 | $162,942 |
Class C | 199,483 | 23,131 |
Class I | — | 511,985 |
Class R6 | — | 39,184 |
Class 1 | 7,911 | — |
Total | $557,597 | $737,242 |
Borrower or Lender | Weighted Average Loan Balance | Days Outstanding | Weighted Average Interest Rate | Interest Income (Expense) |
Borrower | $14,200,000 | 2 | 1.410% | $(1,112) |
Year Ended 8-31-22 | Year Ended 8-31-21 | |||
Shares | Amount | Shares | Amount | |
Class A shares | ||||
Sold | 10,434,447 | $84,749,925 | 6,859,380 | $56,094,739 |
Distributions reinvested | 806,177 | 6,433,481 | 343,695 | 2,804,607 |
Repurchased | (6,377,777) | (50,892,346) | (4,218,044) | (34,506,914) |
Net increase | 4,862,847 | $40,291,060 | 2,985,031 | $24,392,432 |
Class B shares | ||||
Sold | — | — | 45 | $354 |
Distributions reinvested | — | — | 503 | 3,982 |
Repurchased | — | — | (239,238) | (1,903,818) |
Net decrease | — | — | (238,690) | $(1,899,482) |
ANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 63 |
Year Ended 8-31-22 | Year Ended 8-31-21 | |||
Shares | Amount | Shares | Amount | |
Class C shares | ||||
Sold | 980,306 | $7,931,110 | 370,023 | $3,065,141 |
Distributions reinvested | 97,294 | 781,387 | 77,706 | 633,059 |
Repurchased | (1,254,225) | (10,141,370) | (2,810,979) | (22,872,097) |
Net decrease | (176,625) | $(1,428,873) | (2,363,250) | $(19,173,897) |
Class I shares | ||||
Sold | 62,172,144 | $505,445,207 | 28,912,821 | $238,039,224 |
Distributions reinvested | 2,720,474 | 21,648,456 | 380,816 | 3,126,902 |
Repurchased | (36,607,154) | (287,313,849) | (5,081,504) | (41,389,729) |
Net increase | 28,285,464 | $239,779,814 | 24,212,133 | $199,776,397 |
Class R6 shares | ||||
Sold | 30,172,801 | $244,461,199 | 42,926,197 | $353,304,450 |
Distributions reinvested | 2,770,898 | 22,067,012 | 418,380 | 3,464,169 |
Repurchased | (8,915,038) | (70,409,551) | (2,348,101) | (19,008,996) |
Net increase | 24,028,661 | $196,118,660 | 40,996,476 | $337,759,623 |
Class 1 shares | ||||
Sold | 1,106,159 | $8,911,905 | 961,072 | $7,863,511 |
Distributions reinvested | 100,198 | 800,303 | 62,794 | 511,178 |
Repurchased | (979,229) | (7,911,628) | (1,224,731) | (9,968,715) |
Net increase (decrease) | 227,128 | $1,800,580 | (200,865) | $(1,594,026) |
Class NAV shares | ||||
Sold | 3,557,207 | $29,092,698 | 46,644,623 | $384,523,749 |
Distributions reinvested | 5,822,481 | 46,730,483 | 3,020,730 | 24,702,509 |
Repurchased | (33,440,597) | (262,932,276) | (2,882,076) | (23,127,026) |
Net increase (decrease) | (24,060,909) | $(187,109,095) | 46,783,277 | $386,099,232 |
Total net increase | 33,166,566 | $289,452,146 | 112,174,112 | $925,360,279 |
Redesignation | Effective date | Amount | |||||
Class B shares as Class A shares | October 14, 2020 | $1,780,295 |
64 | JOHN HANCOCK Floating Rate Income Fund | ANNUAL REPORT |
Fund | Affiliated Concentration |
John Hancock Funds II Multimanager Lifestyle Balanced Portfolio | 14.7% |
John Hancock Funds II Multimanager Lifestyle Growth Portfolio | 8.6% |
John Hancock Funds II Multimanager Lifestyle Conservative Portfolio | 6.7% |
John Hancock Funds II Multimanager Lifestyle Moderate Portfolio | 6.3% |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
John Hancock Collateral Trust* | 684,333 | $19,438,612 | $72,615,862 | $(85,199,896) | $(8,561) | $(7,202) | $111,820 | $4,459 | $6,838,815 |
* | Refer to the Securities lending note within Note 2 for details regarding this investment. |
ANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 65 |
66 | JOHN HANCOCK Floating Rate Income Fund | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 67 |
68 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 69 |
(a) | the skills and competency with which the Advisor has in the past managed the Trust’s affairs and its subadvisory relationship, the Advisor’s oversight and monitoring of the Subadvisor’s investment performance and compliance programs, such as the Subadvisor’s compliance with fund policies and objectives, review of brokerage matters, including with respect to trade allocation and best execution and the Advisor’s timeliness in responding to performance issues; |
(b) | the background, qualifications and skills of the Advisor’s personnel; |
(c) | the Advisor’s compliance policies and procedures and its responsiveness to regulatory changes and fund industry developments; |
70 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT |
(d) | the Advisor’s administrative capabilities, including its ability to supervise the other service providers for the fund, as well as the Advisor’s oversight of any securities lending activity, its monitoring of class action litigation and collection of class action settlements on behalf of the fund, and bringing loss recovery actions on behalf of the fund; |
(e) | the financial condition of the Advisor and whether it has the financial wherewithal to provide a high level and quality of services to the fund; |
(f) | the Advisor’s initiatives intended to improve various aspects of the Trust’s operations and investor experience with the fund; and |
(g) | the Advisor’s reputation and experience in serving as an investment advisor to the Trust and the benefit to shareholders of investing in funds that are part of a family of funds offering a variety of investments. |
(a) | reviewed information prepared by management regarding the fund’s performance; |
(b) | considered the comparative performance of an applicable benchmark index; |
(c) | considered the performance of comparable funds, if any, as included in the report prepared by an independent third-party provider of fund data; and |
(d) | took into account the Advisor’s analysis of the fund’s performance and its plans and recommendations regarding the Trust’s subadvisory arrangements generally. |
ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 71 |
(a) | reviewed financial information of the Advisor; |
(b) | reviewed and considered information presented by the Advisor regarding the net profitability to the Advisor and its affiliates with respect to the fund; |
(c) | received and reviewed profitability information with respect to the John Hancock Fund Complex as a whole and with respect to the fund; |
(d) | received information with respect to the Advisor’s allocation methodologies used in preparing the profitability data and considered that the Advisor hired an independent third-party consultant to provide an analysis of the Advisor’s allocation methodologies; |
(e) | considered that the John Hancock insurance companies that are affiliates of the Advisor, as shareholders of the Trust directly or through their separate accounts, receive certain tax credits or deductions relating to foreign taxes paid and dividends received by certain funds of the Trust and noted that these tax benefits, which are not available to participants in qualified retirement plans under applicable income tax law, are reflected in the profitability information reviewed by the Board; |
(f) | considered that the Advisor also provides administrative services to the fund on a cost basis pursuant to an administrative services agreement; |
(g) | noted that affiliates of the Advisor provide transfer agency services and distribution services to the fund, and that the fund’s distributor also receives Rule 12b-1 payments to support distribution of the fund; |
(h) | noted that the fund’s Subadvisor is an affiliate of the Advisor; |
(i) | noted that the Advisor also derives reputational and other indirect benefits from providing advisory services to the fund; |
(j) | noted that the subadvisory fee for the fund is paid by the Advisor; |
72 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT |
(k) | considered the Advisor’s ongoing costs and expenditures necessary to improve services, meet new regulatory and compliance requirements, and adapt to other challenges impacting the fund industry; and |
(l) | considered that the Advisor should be entitled to earn a reasonable level of profits in exchange for the level of services it provides to the fund and the risks that it assumes as Advisor, including entrepreneurial, operational, reputational, litigation and regulatory risk. |
(a) | considered that the Advisor has contractually agreed to waive a portion of its management fee for certain funds of the John Hancock Fund Complex, including the fund (the participating portfolios) or otherwise reimburse the expenses of the participating portfolios (the reimbursement). This waiver is based upon aggregate net assets of all the participating portfolios. The amount of the reimbursement is calculated daily and allocated among all the participating portfolios in proportion to the daily net assets of each fund; |
(b) | reviewed the fund’s advisory fee structure and concluded that: (i) the fund’s fee structure contains breakpoints at the subadvisory fee level and that such breakpoints are reflected as breakpoints in the advisory fees for the fund; and (ii) although economies of scale cannot be measured with precision, these arrangements permit shareholders of the fund to benefit from economies of scale if the fund grows. The Board also took into account management’s discussion of the fund’s advisory fee structure; and |
(c) | the Board also considered the effect of the fund’s growth in size on its performance and fees. The Board also noted that if the fund’s assets increase over time, the fund may realize other economies of scale. |
(1) | information relating to the Subadvisor’s business, including current subadvisory services to the Trust (and other funds in the John Hancock Fund Complex); |
(2) | the historical and current performance of the fund and comparative performance information relating to an applicable benchmark index and comparable funds; |
(3) | the subadvisory fee for the fund, including any breakpoints, and to the extent available, comparable fee information prepared by an independent third party provider of fund data; and |
(4) | information relating to the nature and scope of any material relationships and their significance to the Trust’s Advisor and Subadvisor. |
ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 73 |
74 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT |
(1) | the Subadvisor has extensive experience and demonstrated skills as a manager; |
(2) | the performance of the fund has generally been in line with or outperformed the historical performance of comparable funds; |
(3) | the subadvisory fee is reasonable in relation to the level and quality of services being provided under the Subadvisory Agreement; and |
(4) | noted that the subadvisory fees are paid by the Advisor not the fund and that the subadvisory fee breakpoints are reflected as breakpoints in the advisory fees for the fund in order to permit shareholders to benefit from economies of scale if the fund grows. |
ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 75 |
• | The Fund’s investment strategy remained appropriate for an open-end fund structure; |
• | The Fund was able to meet requests for redemption without significant dilution of remaining shareholders’ interests in the Fund; |
• | The Fund did not report any breaches of the 15% limit on illiquid investments that would require reporting to the Securities and Exchange Commission; |
76 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT |
• | The Chief Compliance Officer’s office, as a part of their annual Rule 38a-1 assessment of the Fund’s policies and procedures, reviewed the LRMP’s control environment and deemed it to be operating effectively and in compliance with the Board approved procedures. |
ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 77 |
Independent Trustees | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Hassell H. McClellan, Born: 1945 | 2005 | 192 |
Trustee and Chairperson of the Board | ||
Director/Trustee, Virtus Funds (2008-2020); Director, The Barnes Group (2010-2021); Associate Professor, The Wallace E. Carroll School of Management, Boston College (retired 2013). Trustee (since 2005) and Chairperson of the Board (since 2017) of various trusts within the John Hancock Fund Complex. | ||
James R. Boyle, Born: 1959 | 2015 | 192 |
Trustee | ||
Foresters Financial, Chief Executive Officer (2018–2022) and board member (2017–2022). Manulife Financial and John Hancock, more than 20 years, retiring in 2012 as Chief Executive Officer, John Hancock and Senior Executive Vice President, Manulife Financial. Trustee of various trusts within the John Hancock Fund Complex (2005–2014 and since 2015). | ||
Peter S. Burgess,2 Born: 1942 | 2005 | 192 |
Trustee | ||
Consultant (financial, accounting, and auditing matters) (since 1999); Certified Public Accountant; Partner, Arthur Andersen (independent public accounting firm) (prior to 1999); Director, Lincoln Educational Services Corporation (2004-2021); Director, Symetra Financial Corporation (2010–2016); Director, PMA Capital Corporation (2004–2010). Trustee of various trusts within the John Hancock Fund Complex (since 2005). | ||
William H. Cunningham,2 Born: 1944 | 2012 | 192 |
Trustee | ||
Professor, University of Texas, Austin, Texas (since 1971); former Chancellor, University of Texas System and former President of the University of Texas, Austin, Texas; Director (since 2006), Lincoln National Corporation (insurance); Director, Southwest Airlines (since 2000). Trustee of various trusts within the John Hancock Fund Complex (since 1986). | ||
Noni L. Ellison,* Born: 1971 | 2022 | 192 |
Trustee | ||
Senior Vice President, General Counsel & Corporate Secretary, Tractor Supply Company (rural lifestyle retailer) (since 2021); General Counsel, Chief Compliance Officer & Corporate Secretary, Carestream Dental, L.L.C.(2017–2021); Associate General Counsel & Assistant Corporate Secretary, W.W. Grainger, Inc. (global industrial supplier) (2015–2017); Board Member, Goodwill of North Georgia, 2018 (FY2019)–2020 (FY2021); Board Member, Howard University School of Law Board of Visitors (since 2021); Board Member, University of Chicago Law School Board of Visitors (since 2016); Board member, Children’s Healthcare of Atlanta Foundation Board (2021–present). | ||
Grace K. Fey, Born: 1946 | 2008 | 192 |
Trustee | ||
Chief Executive Officer, Grace Fey Advisors (since 2007); Director and Executive Vice President, Frontier Capital Management Company (1988–2007); Director, Fiduciary Trust (since 2009). Trustee of various trusts within the John Hancock Fund Complex (since 2008). |
78 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT |
Independent Trustees (continued) | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Dean C. Garfield,* Born: 1968 | 2022 | 192 |
Trustee | ||
Vice President, Netflix, Inc. (since 2019); President & Chief Executive Officer, Information Technology Industry Council (2009–2019); NYU School of Law Board of Trustees (since 2021); Member, U.S. Department of Transportation, Advisory Committee on Automation (since 2021); President of the United States Trade Advisory Council (2010–2018); Board Member, College for Every Student (2017–2021); Board Member, The Seed School of Washington, D.C. (2012–2017). | ||
Deborah C. Jackson, Born: 1952 | 2012 | 192 |
Trustee | ||
President, Cambridge College, Cambridge, Massachusetts (since 2011); Board of Directors, Amwell Corporation (since 2020); Board of Directors, Massachusetts Women’s Forum (2018-2020); Board of Directors, National Association of Corporate Directors/New England (2015-2020); Chief Executive Officer, American Red Cross of Massachusetts Bay (2002–2011); Board of Directors of Eastern Bank Corporation (since 2001); Board of Directors of Eastern Bank Charitable Foundation (since 2001); Board of Directors of Boston Stock Exchange (2002–2008); Board of Directors of Harvard Pilgrim Healthcare (health benefits company) (2007–2011). Trustee of various trusts within the John Hancock Fund Complex (since 2008). | ||
Patricia Lizarraga,2,* Born: 1966 | 2022 | 192 |
Trustee | ||
Founder, Chief Executive Officer, Hypatia Capital Group (advisory and asset management company) (since 2007); Independent Director, Audit Committee Chair, and Risk Committee Member, Credicorp, Ltd. (since 2017); Independent Director, Audit Committee Chair, Banco De Credito Del Peru (since 2017); Trustee, Museum of Art of Lima (since 2009). | ||
Steven R. Pruchansky, Born: 1944 | 2012 | 192 |
Trustee and Vice Chairperson of the Board | ||
Managing Director, Pru Realty (since 2017); Chairman and Chief Executive Officer, Greenscapes of Southwest Florida, Inc. (2014-2020); Director and President, Greenscapes of Southwest Florida, Inc. (until 2000); Member, Board of Advisors, First American Bank (until 2010); Managing Director, Jon James, LLC (real estate) (since 2000); Partner, Right Funding, LLC (2014-2017); Director, First Signature Bank & Trust Company (until 1991); Director, Mast Realty Trust (until 1994); President, Maxwell Building Corp. (until 1991). Trustee (since 1992), Chairperson of the Board (2011–2012), and Vice Chairperson of the Board (since 2012) of various trusts within the John Hancock Fund Complex. | ||
Frances G. Rathke,2 Born: 1960 | 2020 | 192 |
Trustee | ||
Director, Audit Committee Chair, Oatly Group AB (plant-based drink company) (since 2021); Director, Audit Committee Chair and Compensation Committee Member, Green Mountain Power Corporation (since 2016); Director, Treasurer and Finance & Audit Committee Chair, Flynn Center for Performing Arts (since 2016); Director and Audit Committee Chair, Planet Fitness (since 2016); Chief Financial Officer and Treasurer, Keurig Green Mountain, Inc. (2003-retired 2015). Trustee of various trusts within the John Hancock Fund Complex (since 2020). |
ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 79 |
Independent Trustees (continued) | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Gregory A. Russo, Born: 1949 | 2012 | 192 |
Trustee | ||
Director and Audit Committee Chairman (2012-2020), and Member, Audit Committee and Finance Committee (2011-2020), NCH Healthcare System, Inc. (holding company for multi-entity healthcare system); Director and Member (2012-2018), and Finance Committee Chairman (2014-2018), The Moorings, Inc. (nonprofit continuing care community); Global Vice Chairman, Risk & Regulatory Matters, KPMG LLP (KPMG) (2002–2006); Vice Chairman, Industrial Markets, KPMG (1998–2002). Trustee of various trusts within the John Hancock Fund Complex (since 2008). |
Non-Independent Trustees3 | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Andrew G. Arnott, Born: 1971 | 2017 | 192 |
President and Non-Independent Trustee | ||
Head of Wealth and Asset Management, United States and Europe, for John Hancock and Manulife (since 2018); Director and Executive Vice President, John Hancock Investment Management LLC (since 2005, including prior positions); Director and Executive Vice President, John Hancock Variable Trust Advisers LLC (since 2006, including prior positions); President, John Hancock Investment Management Distributors LLC (since 2004, including prior positions); President of various trusts within the John Hancock Fund Complex (since 2007, including prior positions). Trustee of various trusts within the John Hancock Fund Complex (since 2017). | ||
Marianne Harrison, Born: 1963 | 2018 | 192 |
Non-Independent Trustee | ||
President and CEO, John Hancock (since 2017); President and CEO, Manulife Canadian Division (2013–2017); Member, Board of Directors, Boston Medical Center (since 2021); Member, Board of Directors, CAE Inc. (since 2019); Member, Board of Directors, MA Competitive Partnership Board (since 2018); Member, Board of Directors, American Council of Life Insurers (ACLI) (since 2018); Member, Board of Directors, Communitech, an industry-led innovation center that fosters technology companies in Canada (2017-2019); Member, Board of Directors, Manulife Assurance Canada (2015-2017); Board Member, St. Mary’s General Hospital Foundation (2014-2017); Member, Board of Directors, Manulife Bank of Canada (2013- 2017); Member, Standing Committee of the Canadian Life & Health Assurance Association (2013-2017); Member, Board of Directors, John Hancock USA, John Hancock Life & Health, John Hancock New York (2012–2013). Trustee of various trusts within the John Hancock Fund Complex (since 2018). | ||
Paul Lorentz,† Born: 1968 | 2022 | 192 |
Non-Independent Trustee | ||
Global Head, Manulife Wealth and Asset Management (since 2017); General Manager, Manulife, Individual Wealth Management and Insurance (2013–2017); President, Manulife Investments (2010–2016). |
80 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT |
Principal officers who are not Trustees | |
Name, year of birth Position(s) held with Trust Principal occupation(s) during past 5 years | Current Position(s) with the Trust since |
Charles A. Rizzo, Born: 1957 | 2007 |
Chief Financial Officer | |
Vice President, John Hancock Financial Services (since 2008); Senior Vice President, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2008); Chief Financial Officer of various trusts within the John Hancock Fund Complex (since 2007). | |
Salvatore Schiavone, Born: 1965 | 2009 |
Treasurer | |
Assistant Vice President, John Hancock Financial Services (since 2007); Vice President, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2007); Treasurer of various trusts within the John Hancock Fund Complex (since 2007, including prior positions). | |
Christopher (Kit) Sechler, Born: 1973 | 2018 |
Secretary and Chief Legal Officer | |
Vice President and Deputy Chief Counsel, John Hancock Investment Management (since 2015); Assistant Vice President and Senior Counsel (2009–2015), John Hancock Investment Management; Assistant Secretary of John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2009); Chief Legal Officer and Secretary of various trusts within the John Hancock Fund Complex (since 2009, including prior positions). | |
Trevor Swanberg, Born: 1979 | 2020 |
Chief Compliance Officer | |
Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2020); Deputy Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (2019–2020); Assistant Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (2016–2019); Vice President, State Street Global Advisors (2015–2016); Chief Compliance Officer of various trusts within the John Hancock Fund Complex (since 2016, including prior positions). |
1 | Each Trustee holds office until his or her successor is elected and qualified, or until the Trustee’s death, retirement, resignation, or removal. Mr. Boyle has served as Trustee at various times prior to the date listed in the table. |
2 | Member of the Audit Committee. |
3 | The Trustee is a Non-Independent Trustee due to current or former positions with the Advisor and certain affiliates. |
* | Elected to serve as Independent Trustee effective as of September 9, 2022. |
† | Elected to serve as Non-Independent Trustee effective as of September 9, 2022. |
ANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 81 |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
James R. Boyle
Peter S. Burgess*
William H. Cunningham*
Grace K. Fey
Noni L. Ellison^
Dean C. Garfield^
Marianne Harrison†
Deborah C. Jackson
Patricia Lizarraga*,^
Paul Lorentz‡
Frances G. Rathke*
Gregory A. Russo
President
Chief Financial Officer
Treasurer
Secretary and Chief Legal Officer
Chief Compliance Officer
Kim Harris
Nate Whittier
You can also contact us: | ||
800-225-5291 | Regular mail: | Express mail: |
jhinvestments.com | John Hancock Signature Services, Inc. P.O. Box 219909 Kansas City, MO 64121-9909 | John Hancock Signature Services, Inc. 430 W 7th Street Suite 219909 Kansas City, MO 64105-1407 |
82 | JOHN HANCOCK FLOATING RATE INCOME FUND | ANNUAL REPORT |
GOVERNANCE FUNDS
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MF2406920 | 328A 8/22 |
Manulife Investment Management
John Hancock Investment Management
Head of Wealth and Asset Management,
United States and Europe
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 1 |
2 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 3 |
4 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
COUNTRY COMPOSITION AS OF 8/31/2022 (% of net assets) | |
United States | 38.1 |
South Korea | 9.2 |
Japan | 5.8 |
Australia | 4.7 |
New Zealand | 4.6 |
Brazil | 3.9 |
Cayman Islands | 3.1 |
Mexico | 2.9 |
Iceland | 2.6 |
Peru | 2.2 |
Other countries | 22.9 |
TOTAL | 100.0 |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 5 |
6 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
Average annual total returns (%) with maximum sales charge | Cumulative total returns (%) with maximum sales charge | SEC 30-day yield (%) subsidized | SEC 30-day yield (%) unsubsidized† | |||||
1-year | 5-year | 10-year | 5-year | 10-year | as of 8-31-22 | as of 8-31-22 | ||
Class A1 | -18.79 | -0.94 | 0.13 | -4.60 | 1.35 | 4.75 | 4.29 | |
Class C1 | -15.99 | -0.09 | 0.56 | -0.44 | 5.77 | 4.21 | 3.76 | |
Class I1,2 | -14.24 | 0.17 | 0.69 | 0.84 | 7.13 | 5.26 | 4.78 | |
Class R61,2 | -14.16 | 0.20 | 0.71 | 1.01 | 7.31 | 5.40 | 4.96 | |
Class 12 | -14.23 | 0.17 | 0.69 | 0.86 | 7.15 | 5.33 | 4.85 | |
Index 1†† | -9.99 | 0.88 | 2.06 | 4.50 | 22.62 | — | — | |
Index 2†† | -17.61 | -1.46 | -0.28 | -7.09 | -2.80 | — | — |
Class A | Class C | Class I | Class R6 | Class 1 | |
Gross (%) | 1.69 | 2.44 | 1.44 | 1.34 | 1.38 |
Net (%) | 1.19 | 1.94 | 0.94 | 0.84 | 0.88 |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 7 |
Start date | With maximum sales charge ($) | Without sales charge ($) | Index 1 ($) | Index 2 ($) | |
Class C1,3 | 8-31-12 | 10,577 | 10,577 | 12,262 | 9,720 |
Class I1,2 | 8-31-12 | 10,713 | 10,713 | 12,262 | 9,720 |
Class R61,2 | 8-31-12 | 10,731 | 10,731 | 12,262 | 9,720 |
Class 12 | 8-31-12 | 10,715 | 10,715 | 12,262 | 9,720 |
1 | Class A, Class C, Class I, and Class R6 shares were first offered on 6-4-21. Returns prior to this date are those of Class 1 shares that have not been adjusted for class-specific expenses; otherwise, returns would vary. |
2 | For certain types of investors, as described in the fund’s prospectuses. |
3 | The contingent deferred sales charge is not applicable. |
8 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 9 |
Account value on 3-1-2022 | Ending value on 8-31-2022 | Expenses paid during period ended 8-31-20221 | Annualized expense ratio | ||
Class A | Actual expenses/actual returns | $1,000.00 | $925.10 | $5.68 | 1.17% |
Hypothetical example | 1,000.00 | 1,019.30 | 5.95 | 1.17% | |
Class C | Actual expenses/actual returns | 1,000.00 | 921.70 | 9.30 | 1.92% |
Hypothetical example | 1,000.00 | 1,015.50 | 9.75 | 1.92% | |
Class I | Actual expenses/actual returns | 1,000.00 | 927.00 | 4.47 | 0.92% |
Hypothetical example | 1,000.00 | 1,020.60 | 4.69 | 0.92% | |
Class R6 | Actual expenses/actual returns | 1,000.00 | 927.50 | 3.94 | 0.81% |
Hypothetical example | 1,000.00 | 1,021.10 | 4.13 | 0.81% | |
Class 1 | Actual expenses/actual returns | 1,000.00 | 927.30 | 4.13 | 0.85% |
Hypothetical example | 1,000.00 | 1,020.90 | 4.33 | 0.85% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
10 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
Rate (%) | Maturity date | Par value^ | Value | ||
U.S. Government and Agency obligations 1.5% | $1,657,224 | ||||
(Cost $1,772,704) | |||||
U.S. Government 1.2% | 1,287,068 | ||||
U.S. Treasury | |||||
Treasury Inflation Protected Security | 0.125 | 02-15-52 | 510,903 | 399,602 | |
Treasury Inflation Protected Security | 0.250 | 02-15-50 | 1,105,949 | 887,466 | |
U.S. Government Agency 0.3% | 370,156 | ||||
Federal National Mortgage Association 30 Yr Pass Thru (A) | 3.000 | TBA | 400,000 | 370,156 | |
Foreign government obligations 49.8% | $56,497,498 | ||||
(Cost $70,261,793) | |||||
Argentina 0.0% | 53,449 | ||||
Republic of Argentina | |||||
Bond | 1.000 | 07-09-29 | 7,467 | 1,732 | |
Bond (1.500% to 7-9-23, then 3.625% to 7-9-24, then 4.125% to 7-9-27, then 4.750% to 7-9-28, then 5.000% thereafter) | 1.500 | 07-09-35 | 229,987 | 51,717 | |
Australia 4.5% | 5,162,959 | ||||
Commonwealth of Australia | |||||
Bond | 0.250 | 11-21-32 | AUD | 3,280,000 | 2,124,156 |
Bond | 1.750 | 06-21-51 | AUD | 1,350,000 | 590,878 |
Inflation Linked Bond | 0.851 | 11-21-27 | AUD | 2,215,000 | 1,700,534 |
Inflation Linked Bond | 1.468 | 08-21-40 | AUD | 990,000 | 747,391 |
Benin 0.2% | 175,198 | ||||
Republic of Benin | |||||
Bond | 4.950 | 01-22-35 | EUR | 240,000 | 175,198 |
Brazil 3.9% | 4,373,516 | ||||
Federative Republic of Brazil | |||||
Bond | 10.000 | 01-01-33 | BRL | 307,000 | 52,651 |
Bond (B) | 12.776 | 01-01-24 | BRL | 2,624,000 | 428,528 |
Note | 6.000 | 05-15-55 | BRL | 1,864,000 | 1,449,367 |
Note | 10.000 | 01-01-25 | BRL | 3,425,000 | 642,859 |
Note | 10.000 | 01-01-27 | BRL | 1,362,000 | 249,711 |
Note | 10.000 | 01-01-29 | BRL | 8,699,000 | 1,550,400 |
Bulgaria 0.4% | 474,759 | ||||
Republic of Bulgaria | |||||
Bond | 1.375 | 09-23-50 | EUR | 750,000 | 474,759 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 11 |
Rate (%) | Maturity date | Par value^ | Value | ||
Chile 0.5% | $604,618 | ||||
Republic of Chile | |||||
Bond | 0.830 | 07-02-31 | EUR | 100,000 | 79,772 |
Bond | 3.100 | 05-07-41 | 200,000 | 146,424 | |
Bond (C) | 4.700 | 09-01-30 | CLP | 165,000,000 | 166,427 |
Bond | 5.000 | 03-01-35 | CLP | 140,000,000 | 138,508 |
Bond | 6.000 | 01-01-43 | CLP | 70,000,000 | 73,487 |
Colombia 1.5% | 1,698,061 | ||||
Republic of Colombia | |||||
Bond | 3.875 | 03-22-26 | EUR | 145,000 | 140,565 |
Bond | 3.875 | 02-15-61 | 460,000 | 257,967 | |
Bond | 4.125 | 05-15-51 | 200,000 | 118,370 | |
Bond | 6.125 | 01-18-41 | 260,000 | 207,799 | |
Bond | 7.000 | 03-26-31 | COP | 466,600,000 | 77,755 |
Bond | 7.250 | 10-18-34 | COP | 740,500,000 | 116,542 |
Bond | 7.500 | 08-26-26 | COP | 829,900,000 | 163,378 |
Bond | 7.750 | 09-18-30 | COP | 1,423,200,000 | 252,490 |
Bond | 9.250 | 05-28-42 | COP | 1,324,000,000 | 232,191 |
Bond | 10.000 | 07-24-24 | COP | 591,100,000 | 131,004 |
Czech Republic 0.5% | 520,881 | ||||
Czech Republic | |||||
Bond | 0.950 | 05-15-30 | CZK | 5,090,000 | 156,129 |
Bond | 1.500 | 04-24-40 | CZK | 630,000 | 15,901 |
Bond | 1.750 | 06-23-32 | CZK | 1,930,000 | 60,262 |
Bond | 2.000 | 10-13-33 | CZK | 2,250,000 | 70,802 |
Bond | 2.500 | 08-25-28 | CZK | 4,180,000 | 149,392 |
Bond | 6.000 | 02-26-26 | CZK | 1,640,000 | 68,395 |
Egypt 0.3% | 336,520 | ||||
Arab Republic of Egypt | |||||
Bond | 7.903 | 02-21-48 | 560,000 | 336,520 | |
El Salvador 0.0% | 48,000 | ||||
Republic of El Salvador | |||||
Bond | 7.125 | 01-20-50 | 150,000 | 48,000 | |
Gabon 0.1% | 147,952 | ||||
Republic of Gabon | |||||
Bond | 6.625 | 02-06-31 | 200,000 | 147,952 | |
Greece 0.2% | 213,280 | ||||
Republic of Greece | |||||
GDP-Linked Note (D) | 4.484* | 10-15-42 | EUR | 119,230,000 | 213,280 |
Hungary 1.0% | 1,159,449 | ||||
Republic of Hungary | |||||
Bond | 0.500 | 11-18-30 | EUR | 60,000 | 43,057 |
Bond | 1.625 | 04-28-32 | EUR | 335,000 | 255,203 |
12 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Hungary (continued) | |||||
Bond | 1.750 | 06-05-35 | EUR | 555,000 | $395,126 |
Bond | 2.250 | 04-20-33 | HUF | 21,460,000 | 30,245 |
Bond | 3.000 | 08-21-30 | HUF | 32,730,000 | 55,069 |
Bond | 3.000 | 10-27-38 | HUF | 28,110,000 | 36,634 |
Bond | 3.125 | 09-21-51 | 200,000 | 124,607 | |
Bond | 3.250 | 10-22-31 | HUF | 89,970,000 | 149,495 |
Bond | 4.500 | 03-23-28 | HUF | 21,590,000 | 42,187 |
Bond | 4.750 | 11-24-32 | HUF | 15,230,000 | 27,826 |
Iceland 2.6% | 2,944,472 | ||||
The Republic of Iceland | |||||
Bond | 5.000 | 11-15-28 | ISK | 431,960,000 | 2,944,472 |
Indonesia 1.2% | 1,413,184 | ||||
Republic of Indonesia | |||||
Bond | 1.400 | 10-30-31 | EUR | 670,000 | 534,563 |
Bond | 6.375 | 04-15-32 | IDR | 2,664,000,000 | 170,145 |
Bond | 6.500 | 06-15-25 | IDR | 748,000,000 | 50,770 |
Bond | 7.000 | 05-15-27 | IDR | 2,377,000,000 | 161,734 |
Bond | 7.125 | 06-15-42 | IDR | 1,071,000,000 | 72,254 |
Bond | 7.500 | 08-15-32 | IDR | 2,995,000,000 | 206,789 |
Bond | 7.500 | 06-15-35 | IDR | 612,000,000 | 42,470 |
Bond | 7.500 | 05-15-38 | IDR | 1,861,000,000 | 127,754 |
Bond | 7.500 | 04-15-40 | IDR | 675,000,000 | 46,705 |
Japan 5.3% | 6,068,910 | ||||
Government of Japan | |||||
CPI Linked Bond | 0.100 | 03-10-28 | JPY | 486,766,098 | 3,694,762 |
CPI Linked Bond | 0.100 | 03-10-29 | JPY | 311,747,202 | 2,374,148 |
Macedonia 0.3% | 304,081 | ||||
Republic of North Macedonia | |||||
Bond | 1.625 | 03-10-28 | EUR | 200,000 | 162,499 |
Bond | 2.750 | 01-18-25 | EUR | 150,000 | 141,582 |
Malaysia 0.9% | 963,980 | ||||
Government of Malaysia | |||||
Bond | 2.632 | 04-15-31 | MYR | 1,065,000 | 214,505 |
Bond | 3.478 | 06-14-24 | MYR | 1,115,000 | 250,099 |
Bond | 3.582 | 07-15-32 | MYR | 140,000 | 30,185 |
Bond | 3.882 | 03-14-25 | MYR | 795,000 | 179,894 |
Bond | 3.885 | 08-15-29 | MYR | 1,015,000 | 225,693 |
Bond | 4.696 | 10-15-42 | MYR | 275,000 | 63,604 |
Mexico 2.7% | 3,066,114 | ||||
Government of Mexico | |||||
Bond | 1.450 | 10-25-33 | EUR | 135,000 | 96,900 |
Bond | 2.125 | 10-25-51 | EUR | 300,000 | 173,958 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 13 |
Rate (%) | Maturity date | Par value^ | Value | ||
Mexico (continued) | |||||
Bond | 2.750 | 11-27-31 | MXN | 32,521,132 | $1,437,716 |
Bond | 3.375 | 02-23-31 | EUR | 105,000 | 97,576 |
Bond | 3.625 | 04-09-29 | EUR | 145,000 | 142,389 |
Bond | 5.500 | 03-04-27 | MXN | 1,033,400 | 44,432 |
Bond | 5.750 | 03-05-26 | MXN | 1,645,400 | 73,152 |
Bond | 7.750 | 05-29-31 | MXN | 4,930,200 | 224,998 |
Bond | 7.750 | 11-13-42 | MXN | 1,754,100 | 76,654 |
Bond | 8.000 | 11-07-47 | MXN | 4,687,200 | 208,847 |
Bond | 8.000 | 07-31-53 | MXN | 1,044,600 | 48,628 |
Bond | 8.500 | 05-31-29 | MXN | 5,010,100 | 241,760 |
Bond | 8.500 | 11-18-38 | MXN | 2,903,400 | 137,247 |
Bond | 10.000 | 11-20-36 | MXN | 1,151,600 | 61,857 |
Morocco 0.5% | 528,232 | ||||
Kingdom of Morocco | |||||
Bond | 1.500 | 11-27-31 | EUR | 620,000 | 450,214 |
Bond | 2.000 | 09-30-30 | EUR | 100,000 | 78,018 |
New Zealand 4.6% | 5,274,825 | ||||
Government of New Zealand | |||||
Bond | 1.500 | 05-15-31 | NZD | 145,000 | 72,688 |
Bond | 2.750 | 05-15-51 | NZD | 2,030,000 | 920,636 |
Inflation Linked Bond | 2.887 | 09-20-40 | NZD | 755,000 | 536,953 |
Inflation Linked Bond | 2.917 | 09-20-35 | NZD | 1,110,000 | 811,989 |
Inflation Linked Bond | 3.555 | 09-20-30 | NZD | 3,735,000 | 2,932,559 |
Panama 0.3% | 313,134 | ||||
Republic of Panama | |||||
Bond | 4.500 | 04-16-50 | 200,000 | 158,599 | |
Bond | 4.500 | 04-01-56 | 200,000 | 154,535 | |
Peru 2.1% | 2,416,365 | ||||
Republic of Peru | |||||
Bond | 1.250 | 03-11-33 | EUR | 205,000 | 152,111 |
Bond | 1.950 | 11-17-36 | EUR | 215,000 | 153,814 |
Bond | 3.750 | 03-01-30 | EUR | 100,000 | 99,860 |
Bond | 5.400 | 08-12-34 | PEN | 385,000 | 79,314 |
Bond | 6.150 | 08-12-32 | PEN | 1,960,000 | 444,087 |
Bond | 6.350 | 08-12-28 | PEN | 1,225,000 | 298,803 |
Bond | 6.900 | 08-12-37 | PEN | 265,000 | 61,033 |
Bond | 6.950 | 08-12-31 | PEN | 4,220,000 | 1,029,658 |
Bond | 8.200 | 08-12-26 | PEN | 360,000 | 97,685 |
Philippines 0.2% | 231,108 | ||||
Republic of the Philippines | |||||
Bond | 1.750 | 04-28-41 | EUR | 330,000 | 231,108 |
14 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Poland 0.5% | $585,894 | ||||
Republic of Poland | |||||
Bond | 1.750 | 04-25-32 | PLN | 1,090,000 | 159,140 |
Bond | 2.750 | 10-25-29 | PLN | 295,000 | 49,943 |
Bond | 3.250 | 07-25-25 | PLN | 730,000 | 141,057 |
Bond | 3.750 | 05-25-27 | PLN | 1,260,000 | 235,754 |
Romania 0.8% | 907,598 | ||||
Republic of Romania | |||||
Bond | 2.000 | 01-28-32 | EUR | 115,000 | 79,365 |
Bond | 2.124 | 07-16-31 | EUR | 110,000 | 78,402 |
Bond | 2.500 | 02-08-30 | EUR | 110,000 | 86,762 |
Bond (C) | 2.625 | 12-02-40 | EUR | 120,000 | 69,511 |
Bond | 2.625 | 12-02-40 | EUR | 145,000 | 83,992 |
Bond (C) | 2.750 | 04-14-41 | EUR | 360,000 | 208,777 |
Bond | 3.650 | 09-24-31 | RON | 240,000 | 36,454 |
Bond | 3.875 | 10-29-35 | EUR | 110,000 | 84,510 |
Bond | 4.750 | 10-11-34 | RON | 365,000 | 57,117 |
Bond | 5.800 | 07-26-27 | RON | 440,000 | 83,730 |
Bond | 6.700 | 02-25-32 | RON | 205,000 | 38,978 |
Russia 1.4% | 1,606,377 | ||||
Government of Russia | |||||
Bond (E) | 5.900 | 03-12-31 | RUB | 256,290,000 | 1,029,361 |
Bond (E) | 6.000 | 10-06-27 | RUB | 48,970,000 | 196,683 |
Bond (E) | 6.900 | 05-23-29 | RUB | 71,950,000 | 288,980 |
Bond (E) | 7.050 | 01-19-28 | RUB | 3,775,000 | 15,162 |
Bond (E) | 7.650 | 04-10-30 | RUB | 18,970,000 | 76,191 |
Saudi Arabia 0.4% | 416,913 | ||||
Kingdom of Saudi Arabia | |||||
Bond (C) | 2.250 | 02-02-33 | 486,000 | 416,913 | |
Serbia 0.5% | 558,423 | ||||
Republic of Serbia | |||||
Bond | 1.500 | 06-26-29 | EUR | 280,000 | 201,550 |
Bond | 1.650 | 03-03-33 | EUR | 230,000 | 140,865 |
Bond | 2.050 | 09-23-36 | EUR | 375,000 | 216,008 |
South Africa 1.1% | 1,212,463 | ||||
Republic of South Africa | |||||
Bond | 6.250 | 03-31-36 | ZAR | 435,000 | 16,756 |
Bond | 8.000 | 01-31-30 | ZAR | 3,845,000 | 195,927 |
Bond | 8.250 | 03-31-32 | ZAR | 2,330,000 | 114,660 |
Bond | 8.500 | 01-31-37 | ZAR | 4,760,000 | 222,540 |
Bond | 8.750 | 01-31-44 | ZAR | 2,170,000 | 99,749 |
Bond | 8.875 | 02-28-35 | ZAR | 8,690,000 | 429,000 |
Bond | 9.000 | 01-31-40 | ZAR | 2,800,000 | 133,831 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 15 |
Rate (%) | Maturity date | Par value^ | Value | ||
South Korea 9.2% | $10,453,225 | ||||
Republic of Korea | |||||
Bond | 1.375 | 12-10-29 | KRW | 9,311,470,000 | 5,922,245 |
Bond | 2.375 | 12-10-31 | KRW | 3,533,780,000 | 2,353,457 |
Inflation Linked Bond | 1.125 | 06-10-30 | KRW | 2,672,336,779 | 1,915,424 |
Inflation Linked Bond | 1.750 | 06-10-28 | KRW | 342,154,742 | 262,099 |
Spain 1.0% | 1,096,677 | ||||
Kingdom of Spain | |||||
Bond (C) | 1.000 | 10-31-50 | EUR | 1,820,000 | 1,096,677 |
Thailand 0.7% | 744,876 | ||||
Kingdom of Thailand | |||||
Bond | 1.000 | 06-17-27 | THB | 7,440,000 | 194,295 |
Bond | 1.585 | 12-17-35 | THB | 7,850,000 | 180,306 |
Bond | 1.600 | 12-17-29 | THB | 4,385,000 | 113,946 |
Bond | 2.000 | 12-17-31 | THB | 7,945,000 | 209,261 |
Bond | 2.000 | 06-17-42 | THB | 2,120,000 | 47,068 |
United Kingdom 0.4% | 422,005 | ||||
United Kingdom of Great Britain | |||||
Inflation-Linked Gilt | 0.500 | 03-22-50 | GBP | 286,706 | 422,005 |
Corporate bonds 21.7% | $24,680,700 | ||||
(Cost $27,753,516) | |||||
Australia 0.2% | 207,242 | ||||
FMG Resources Proprietary, Ltd. (C) | 5.875 | 04-15-30 | 45,000 | 41,513 | |
Macquarie Group, Ltd. (5.491% to 11-9-32, then SOFR + 2.865%) (C) | 5.491 | 11-09-33 | 170,000 | 165,729 | |
Austria 0.2% | 217,476 | ||||
Klabin Austria GmbH (C) | 7.000 | 04-03-49 | 230,000 | 217,476 | |
Bermuda 0.1% | 85,864 | ||||
Athene Holding, Ltd. | 3.500 | 01-15-31 | 100,000 | 85,864 | |
Brazil 0.1% | 83,100 | ||||
Vale Overseas, Ltd. | 6.875 | 11-10-39 | 80,000 | 83,100 | |
Canada 0.3% | 382,606 | ||||
goeasy, Ltd. (C) | 4.375 | 05-01-26 | 99,000 | 88,827 | |
The Bank of Nova Scotia (4.588% to 5-4-32, then 5 Year CMT + 2.050%) | 4.588 | 05-04-37 | 325,000 | 293,779 | |
Chile 0.1% | 125,250 | ||||
VTR Comunicaciones SpA | 4.375 | 04-15-29 | 200,000 | 125,250 | |
China 0.2% | 207,256 | ||||
CIFI Holdings Group Company, Ltd. | 4.375 | 04-12-27 | 200,000 | 91,753 |
16 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
China (continued) | |||||
Country Garden Holdings Company, Ltd. | 3.875 | 10-22-30 | 210,000 | 90,300 | |
KWG Group Holdings, Ltd. | 6.000 | 08-14-26 | 200,000 | 25,203 | |
Finland 0.0% | $10,106 | ||||
Nokia OYJ | 6.625 | 05-15-39 | 10,000 | 10,106 | |
France 1.5% | 1,674,748 | ||||
BNP Paribas SA (2.871% to 4-19-31, then SOFR + 1.387%) (C) | 2.871 | 04-19-32 | 200,000 | 162,073 | |
Credit Agricole Assurances SA | 2.000 | 07-17-30 | EUR | 100,000 | 82,969 |
Societe Generale SA (2.889% to 6-9-31, then 1 Year CMT + 1.300%) (C) | 2.889 | 06-09-32 | 200,000 | 156,724 | |
Societe Generale SA (4.027% to 1-21-42, then 1 Year CMT + 1.900%) (C) | 4.027 | 01-21-43 | 200,000 | 137,617 | |
Societe Generale SA (6.221% to 6-15-32, then 1 Year CMT + 3.200%) (C) | 6.221 | 06-15-33 | 600,000 | 570,672 | |
TotalEnergies SE (2.125% to 1-25-33, then 5 Year Euro Swap Rate + 2.513% to 1-25-53, then 5 Year Euro Swap Rate + 3.263%) (F) | 2.125 | 07-25-32 | EUR | 340,000 | 249,776 |
Valeo | 1.000 | 08-03-28 | EUR | 400,000 | 314,917 |
Germany 0.4% | 485,409 | ||||
Allianz SE (2.121% to 7-8-30, then 3 month EURIBOR + 3.280%) | 2.121 | 07-08-50 | EUR | 100,000 | 84,135 |
Deutsche Bank AG (3.742% to 10-7-31, then SOFR + 2.257%) | 3.742 | 01-07-33 | 200,000 | 142,099 | |
Deutsche Bank AG (5.625% to 5-19-26, then 5 Year Euro Swap Rate + 6.000%) | 5.625 | 05-19-31 | EUR | 100,000 | 99,404 |
Hannover Rueck SE (1.750% to 7-8-30, then 3 month EURIBOR + 3.000%) | 1.750 | 10-08-40 | EUR | 100,000 | 82,026 |
Muenchener Rueckversicherungs-Gesellschaft AG (1.250% to 5-26-31, then 3 month EURIBOR + 2.550%) | 1.250 | 05-26-41 | EUR | 100,000 | 77,745 |
Ireland 0.1% | 121,055 | ||||
AerCap Ireland Capital DAC | 3.300 | 01-30-32 | 150,000 | 121,055 | |
Italy 0.4% | 413,809 | ||||
Assicurazioni Generali SpA | 2.429 | 07-14-31 | EUR | 510,011 | 413,809 |
Japan 0.4% | 474,123 | ||||
Nissan Motor Company, Ltd. (C) | 4.810 | 09-17-30 | 200,000 | 179,051 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 17 |
Rate (%) | Maturity date | Par value^ | Value | ||
Japan (continued) | |||||
Nomura Holdings, Inc. | 2.679 | 07-16-30 | 200,000 | 163,123 | |
Rakuten Group, Inc. (4.250% to 4-22-27, then 5 Year Euro Swap Rate + 4.740%) (F) | 4.250 | 04-22-27 | EUR | 200,000 | 131,949 |
Luxembourg 0.4% | $480,297 | ||||
Arena Luxembourg Finance Sarl | 1.875 | 02-01-28 | EUR | 100,000 | 76,937 |
EIG Pearl Holdings Sarl | 4.387 | 11-30-46 | 200,000 | 159,918 | |
Swiss Re Finance Luxembourg SA (2.534% to 4-30-30, then 1 Year EURIBOR ICE Swap Rate + 2.850%) | 2.534 | 04-30-50 | EUR | 200,000 | 172,472 |
Trinseo Materials Operating SCA (C) | 5.125 | 04-01-29 | 100,000 | 70,970 | |
Macau 0.2% | 189,000 | ||||
Wynn Macau, Ltd. (C) | 5.625 | 08-26-28 | 270,000 | 189,000 | |
Malta 0.1% | 168,073 | ||||
VistaJet Malta Finance PLC (C) | 6.375 | 02-01-30 | 130,000 | 111,800 | |
VistaJet Malta Finance PLC (C) | 7.875 | 05-01-27 | 61,000 | 56,273 | |
Mexico 0.1% | 173,000 | ||||
Trust Fibra Uno | 4.869 | 01-15-30 | 200,000 | 173,000 | |
Netherlands 0.9% | 1,021,604 | ||||
ABN AMRO Bank NV (3.324% to 3-13-32, then 5 Year CMT + 1.900%) (C) | 3.324 | 03-13-37 | 200,000 | 155,502 | |
Achmea BV (2.500% to 6-24-29, then 5 Year Euro Swap Rate + 3.650%) | 2.500 | 09-24-39 | EUR | 100,000 | 81,198 |
JAB Holdings BV (C) | 4.500 | 04-08-52 | 250,000 | 183,364 | |
Prosus NV | 2.031 | 08-03-32 | EUR | 120,000 | 83,139 |
Teva Pharmaceutical Finance Netherlands II BV | 4.375 | 05-09-30 | EUR | 350,000 | 287,629 |
Upjohn Finance BV | 1.908 | 06-23-32 | EUR | 105,000 | 78,140 |
Wintershall Dea Finance 2 BV (3.000% to 1-20-29, then 5 Year Euro Swap Rate + 3.319% to 1-20-34, then 5 Year Euro Swap Rate + 4.319%) (F) | 3.000 | 07-20-28 | EUR | 200,000 | 152,632 |
Peru 0.0% | 24,094 | ||||
Southern Copper Corp. | 5.250 | 11-08-42 | 25,000 | 24,094 | |
Spain 0.2% | 213,208 | ||||
Banco de Credito Social Cooperativo SA (1.750% to 3-9-27, then 1 Year Euro Swap Rate + 2.150%) | 1.750 | 03-09-28 | EUR | 100,000 | 78,537 |
Telefonica Emisiones SA | 5.520 | 03-01-49 | 150,000 | 134,671 |
18 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Switzerland 0.6% | $687,505 | ||||
Credit Suisse Group AG (4.194% to 4-1-30, then SOFR + 3.730%) (C) | 4.194 | 04-01-31 | 250,000 | 210,056 | |
Credit Suisse Group AG (6.537% to 8-12-32, then SOFR + 3.920%) (C) | 6.537 | 08-12-33 | 500,000 | 477,449 | |
United Arab Emirates 0.1% | 85,516 | ||||
MDGH GMTN RSC, Ltd. | 1.000 | 03-10-34 | EUR | 105,000 | 85,516 |
United Kingdom 1.2% | 1,309,980 | ||||
Anglo American Capital PLC (C) | 5.625 | 04-01-30 | 400,000 | 398,223 | |
Barclays PLC (2.667% to 3-10-31, then 1 Year CMT + 1.200%) | 2.667 | 03-10-32 | 200,000 | 156,455 | |
BP Capital Markets PLC | 2.822 | 04-07-32 | EUR | 100,000 | 95,178 |
Centrica PLC (5.250% to 4-10-25, then 5 Year Pound Sterling Swap Rate + 3.861% to 4-10-45, then 5 Year Pound Sterling Swap Rate + 4.611%) | 5.250 | 04-10-75 | GBP | 115,000 | 121,305 |
HSBC Holdings PLC (5.402% to 8-11-32, then SOFR + 2.870%) | 5.402 | 08-11-33 | 400,000 | 380,590 | |
Standard Chartered PLC (2.678% to 6-29-31, then 1 Year CMT + 1.200%) (C) | 2.678 | 06-29-32 | 200,000 | 158,229 | |
United States 13.9% | 15,840,379 | ||||
Acrisure LLC (C) | 7.000 | 11-15-25 | 97,000 | 91,404 | |
Advanced Drainage Systems, Inc. (C) | 6.375 | 06-15-30 | 25,000 | 24,188 | |
Alliant Holdings Intermediate LLC (C) | 6.750 | 10-15-27 | 96,000 | 87,197 | |
Altria Group, Inc. | 3.125 | 06-15-31 | EUR | 170,000 | 148,060 |
American International Group, Inc. | 4.375 | 06-30-50 | 95,000 | 85,315 | |
American Tower Corp. | 1.000 | 01-15-32 | EUR | 105,000 | 79,967 |
AmWINS Group, Inc. (C) | 4.875 | 06-30-29 | 27,000 | 23,491 | |
Antero Midstream Partners LP (C) | 5.375 | 06-15-29 | 61,000 | 55,932 | |
Antero Resources Corp. (C) | 5.375 | 03-01-30 | 59,000 | 55,535 | |
Apache Corp. | 4.375 | 10-15-28 | 62,000 | 56,734 | |
Appalachian Power Company | 4.500 | 08-01-32 | 170,000 | 163,823 | |
APX Group, Inc. (C) | 5.750 | 07-15-29 | 69,000 | 56,279 | |
Aramark Services, Inc. (C) | 6.375 | 05-01-25 | 118,000 | 116,968 | |
AssuredPartners, Inc. (C) | 5.625 | 01-15-29 | 126,000 | 104,732 | |
AutoZone, Inc. | 4.750 | 08-01-32 | 50,000 | 49,538 | |
Bank of America Corp. (2.687% to 4-22-31, then SOFR + 1.320%) | 2.687 | 04-22-32 | 465,000 | 385,484 | |
Bausch Health Companies, Inc. (C) | 4.875 | 06-01-28 | 22,000 | 15,208 | |
BCPE Ulysses Intermediate, Inc. (7.750% Cash or 8.500% PIK) (C) | 7.750 | 04-01-27 | 66,000 | 48,968 | |
Black Knight InfoServ LLC (C) | 3.625 | 09-01-28 | 290,000 | 253,750 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 19 |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Booz Allen Hamilton, Inc. (C) | 4.000 | 07-01-29 | 60,000 | 52,901 | |
Broadcom, Inc. | 4.300 | 11-15-32 | 108,000 | 97,232 | |
Buckeye Partners LP | 5.850 | 11-15-43 | 190,000 | 144,967 | |
Builders FirstSource, Inc. (C) | 5.000 | 03-01-30 | 300,000 | 265,875 | |
Caesars Entertainment, Inc. (C) | 8.125 | 07-01-27 | 98,000 | 96,282 | |
Carnival Corp. (C) | 6.000 | 05-01-29 | 186,000 | 141,016 | |
Carnival Corp. (C) | 7.625 | 03-01-26 | 75,000 | 63,851 | |
CCO Holdings LLC (C) | 5.375 | 06-01-29 | 201,000 | 183,635 | |
Charter Communications Operating LLC | 5.250 | 04-01-53 | 190,000 | 158,952 | |
Charter Communications Operating LLC | 5.375 | 05-01-47 | 95,000 | 80,967 | |
Cinemark USA, Inc. (C) | 5.250 | 07-15-28 | 66,000 | 53,465 | |
Clydesdale Acquisition Holdings, Inc. (C) | 6.625 | 04-15-29 | 10,000 | 9,599 | |
Clydesdale Acquisition Holdings, Inc. (C) | 8.750 | 04-15-30 | 145,000 | 126,082 | |
Community Health Systems, Inc. (C) | 4.750 | 02-15-31 | 44,000 | 32,490 | |
Community Health Systems, Inc. (C) | 6.000 | 01-15-29 | 43,000 | 35,293 | |
Compass Group Diversified Holdings LLC (C) | 5.250 | 04-15-29 | 121,000 | 103,001 | |
Corebridge Financial, Inc. (C) | 4.350 | 04-05-42 | 20,000 | 16,956 | |
CSX Corp. | 4.500 | 11-15-52 | 95,000 | 88,473 | |
Dave & Buster’s, Inc. (C) | 7.625 | 11-01-25 | 47,000 | 47,292 | |
Dick’s Sporting Goods, Inc. | 4.100 | 01-15-52 | 115,000 | 76,826 | |
DISH DBS Corp. (C) | 5.750 | 12-01-28 | 75,000 | 57,590 | |
Duke Energy Corp. | 5.000 | 08-15-52 | 85,000 | 80,706 | |
Earthstone Energy Holdings LLC (C) | 8.000 | 04-15-27 | 19,000 | 18,513 | |
Elanco Animal Health, Inc. | 6.400 | 08-28-28 | 30,000 | 27,900 | |
Embarq Corp. | 7.995 | 06-01-36 | 45,000 | 34,988 | |
Enact Holdings, Inc. (C) | 6.500 | 08-15-25 | 64,000 | 61,120 | |
EnLink Midstream LLC (C) | 5.625 | 01-15-28 | 98,000 | 94,144 | |
EnLink Midstream Partners LP | 5.450 | 06-01-47 | 83,000 | 63,391 | |
Fidelity National Information Services, Inc. | 5.625 | 07-15-52 | 175,000 | 173,292 | |
FirstCash, Inc. (C) | 4.625 | 09-01-28 | 321,000 | 277,942 | |
FirstCash, Inc. (C) | 5.625 | 01-01-30 | 144,000 | 128,880 | |
Flex, Ltd. | 4.875 | 05-12-30 | 90,000 | 85,011 | |
Ford Motor Company | 6.100 | 08-19-32 | 85,000 | 82,769 | |
Fortune Brands Home & Security, Inc. | 4.500 | 03-25-52 | 115,000 | 88,431 | |
Freedom Mortgage Corp. (C) | 7.625 | 05-01-26 | 122,000 | 99,810 | |
Frontier Communications Holdings LLC (C) | 5.875 | 10-15-27 | 42,000 | 39,176 | |
Frontier Communications Holdings LLC (C) | 6.000 | 01-15-30 | 160,000 | 131,843 |
20 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Frontier Communications Holdings LLC (C) | 6.750 | 05-01-29 | 168,000 | 144,898 | |
General Motors Company | 5.600 | 10-15-32 | 170,000 | 162,744 | |
Genworth Holdings, Inc. | 4.800 | 02-15-24 | 138,000 | 139,567 | |
Glatfelter Corp. (C) | 4.750 | 11-15-29 | 175,000 | 108,500 | |
Global Payments, Inc. | 5.950 | 08-15-52 | 90,000 | 87,210 | |
Great Lakes Dredge & Dock Corp. (C) | 5.250 | 06-01-29 | 170,000 | 144,998 | |
Hawaiian Brand Intellectual Property, Ltd. (C) | 5.750 | 01-20-26 | 102,000 | 93,104 | |
Hess Corp. | 5.800 | 04-01-47 | 80,000 | 79,392 | |
Hightower Holding LLC (C) | 6.750 | 04-15-29 | 132,000 | 110,940 | |
Home Point Capital, Inc. (C) | 5.000 | 02-01-26 | 175,000 | 124,250 | |
HUB International, Ltd. (C) | 5.625 | 12-01-29 | 96,000 | 83,967 | |
HUB International, Ltd. (C) | 7.000 | 05-01-26 | 104,000 | 101,895 | |
IBM Corp. | 4.900 | 07-27-52 | 100,000 | 96,722 | |
II-VI, Inc. (C) | 5.000 | 12-15-29 | 27,000 | 24,040 | |
Intel Corp. | 4.900 | 08-05-52 | 140,000 | 136,619 | |
Intel Corp. | 5.050 | 08-05-62 | 140,000 | 135,061 | |
JPMorgan Chase & Co. (4.912% to 7-25-32, then SOFR + 2.080%) | 4.912 | 07-25-33 | 560,000 | 553,785 | |
Ladder Capital Finance Holdings LLLP (C) | 4.250 | 02-01-27 | 176,000 | 153,957 | |
LBM Acquisition LLC (C) | 6.250 | 01-15-29 | 67,000 | 50,066 | |
LD Holdings Group LLC (C) | 6.125 | 04-01-28 | 189,000 | 100,381 | |
LD Holdings Group LLC (C) | 6.500 | 11-01-25 | 48,000 | 27,579 | |
Lennar Corp. | 4.750 | 11-29-27 | 48,000 | 46,713 | |
LFS Topco LLC (C) | 5.875 | 10-15-26 | 64,000 | 52,105 | |
Liberty Mutual Group, Inc. (C) | 3.950 | 05-15-60 | 125,000 | 88,962 | |
Liberty Mutual Group, Inc. (C) | 5.500 | 06-15-52 | 135,000 | 131,748 | |
LYB International Finance III LLC | 3.800 | 10-01-60 | 115,000 | 81,229 | |
M/I Homes, Inc. | 3.950 | 02-15-30 | 245,000 | 197,006 | |
Magallanes, Inc. (C) | 3.755 | 03-15-27 | 15,000 | 14,011 | |
Magallanes, Inc. (C) | 5.141 | 03-15-52 | 225,000 | 180,089 | |
Magallanes, Inc. (C) | 5.391 | 03-15-62 | 145,000 | 116,392 | |
Medline Borrower LP (C) | 5.250 | 10-01-29 | 197,000 | 165,563 | |
Meta Platforms, Inc. (C) | 4.450 | 08-15-52 | 95,000 | 86,471 | |
Meta Platforms, Inc. (C) | 4.650 | 08-15-62 | 90,000 | 81,193 | |
Mileage Plus Holdings LLC (C) | 6.500 | 06-20-27 | 48,179 | 48,299 | |
MSCI, Inc. (C) | 3.625 | 09-01-30 | 131,000 | 111,125 | |
MSCI, Inc. (C) | 3.875 | 02-15-31 | 95,000 | 81,410 | |
Mylan, Inc. | 5.200 | 04-15-48 | 115,000 | 88,909 | |
Nabors Industries, Inc. (C) | 7.375 | 05-15-27 | 33,000 | 31,845 | |
Nasdaq, Inc. | 0.900 | 07-30-33 | EUR | 100,000 | 73,166 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 21 |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Nationstar Mortgage Holdings, Inc. (C) | 5.125 | 12-15-30 | 40,000 | 31,498 | |
Nationstar Mortgage Holdings, Inc. (C) | 5.750 | 11-15-31 | 360,000 | 285,475 | |
NCL Corp., Ltd. (C) | 7.750 | 02-15-29 | 141,000 | 114,505 | |
Netflix, Inc. | 4.625 | 05-15-29 | EUR | 100,000 | 98,596 |
Nielsen Finance LLC (C) | 4.500 | 07-15-29 | 125,000 | 125,473 | |
Novelis Corp. (C) | 4.750 | 01-30-30 | 97,000 | 84,390 | |
Occidental Petroleum Corp. | 4.500 | 07-15-44 | 74,000 | 64,027 | |
Occidental Petroleum Corp. | 6.450 | 09-15-36 | 50,000 | 53,435 | |
Oracle Corp. | 4.100 | 03-25-61 | 115,000 | 80,220 | |
Pacific Gas & Electric Company | 4.550 | 07-01-30 | 145,000 | 128,951 | |
Pacific Gas & Electric Company | 5.900 | 06-15-32 | 90,000 | 86,792 | |
Paramount Global | 4.375 | 03-15-43 | 100,000 | 75,460 | |
Paramount Global | 4.950 | 05-19-50 | 110,000 | 89,802 | |
PennyMac Financial Services, Inc. (C) | 4.250 | 02-15-29 | 160,000 | 125,120 | |
Performance Food Group, Inc. (C) | 4.250 | 08-01-29 | 144,000 | 123,304 | |
Philip Morris International, Inc. | 1.450 | 08-01-39 | EUR | 320,000 | 194,513 |
Post Holdings, Inc. (C) | 4.625 | 04-15-30 | 108,000 | 93,794 | |
Presidio Holdings, Inc. (C) | 8.250 | 02-01-28 | 181,000 | 163,407 | |
Range Resources Corp. (C) | 4.750 | 02-15-30 | 13,000 | 12,045 | |
Range Resources Corp. | 8.250 | 01-15-29 | 40,000 | 41,988 | |
Reynolds American, Inc. | 5.850 | 08-15-45 | 270,000 | 228,125 | |
Royal Caribbean Cruises, Ltd. (C) | 5.500 | 08-31-26 | 65,000 | 51,957 | |
Royal Caribbean Cruises, Ltd. (C) | 11.625 | 08-15-27 | 182,000 | 178,389 | |
Scripps Escrow II, Inc. (C) | 5.375 | 01-15-31 | 62,000 | 51,305 | |
Signal Parent, Inc. (C) | 6.125 | 04-01-29 | 14,000 | 7,587 | |
Silgan Holdings, Inc. | 2.250 | 06-01-28 | EUR | 100,000 | 84,899 |
Spirit AeroSystems, Inc. (C) | 5.500 | 01-15-25 | 43,000 | 42,102 | |
SRS Distribution, Inc. (C) | 6.125 | 07-01-29 | 50,000 | 41,480 | |
Standard Industries, Inc. (C) | 3.375 | 01-15-31 | 49,000 | 35,928 | |
Standard Industries, Inc. (C) | 4.375 | 07-15-30 | 331,000 | 262,822 | |
STL Holding Company LLC (C) | 7.500 | 02-15-26 | 68,000 | 59,840 | |
Sysco Corp. | 6.600 | 04-01-40 | 80,000 | 91,857 | |
Sysco Corp. | 6.600 | 04-01-50 | 10,000 | 11,593 | |
Targa Resources Partners LP | 4.875 | 02-01-31 | 132,000 | 122,361 | |
Terex Corp. (C) | 5.000 | 05-15-29 | 138,000 | 123,469 | |
The Brooklyn Union Gas Company (C) | 4.273 | 03-15-48 | 205,000 | 163,838 | |
The Dun & Bradstreet Corp. (C) | 5.000 | 12-15-29 | 55,000 | 48,813 | |
The Gap, Inc. (C) | 3.625 | 10-01-29 | 76,000 | 52,933 | |
The Gap, Inc. (C) | 3.875 | 10-01-31 | 144,000 | 99,866 | |
The Hertz Corp. (C) | 5.000 | 12-01-29 | 75,000 | 60,329 | |
The Interpublic Group of Companies, Inc. | 5.400 | 10-01-48 | 65,000 | 62,452 |
22 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
The William Carter Company (C) | 5.625 | 03-15-27 | 164,000 | 158,363 | |
T-Mobile USA, Inc. | 3.375 | 04-15-29 | 135,000 | 121,608 | |
TopBuild Corp. (C) | 3.625 | 03-15-29 | 30,000 | 25,231 | |
TransDigm, Inc. (C) | 6.250 | 03-15-26 | 118,000 | 115,935 | |
Tri Pointe Homes, Inc. | 5.700 | 06-15-28 | 170,000 | 154,019 | |
Truist Financial Corp. (5.125% to 12-15-27, then 3 month LIBOR + 2.786%) (F) | 5.125 | 12-15-27 | 84,000 | 72,660 | |
U.S. Steel Corp. | 6.875 | 03-01-29 | 128,000 | 125,120 | |
United Natural Foods, Inc. (C) | 6.750 | 10-15-28 | 177,000 | 170,010 | |
United Wholesale Mortgage LLC (C) | 5.500 | 04-15-29 | 425,000 | 330,616 | |
Unum Group | 4.125 | 06-15-51 | 115,000 | 84,693 | |
Venture Global Calcasieu Pass LLC (C) | 4.125 | 08-15-31 | 141,000 | 122,378 | |
Viatris, Inc. | 4.000 | 06-22-50 | 125,000 | 80,767 | |
Viper Energy Partners LP (C) | 5.375 | 11-01-27 | 290,000 | 277,675 | |
Wells Fargo & Company (4.897% to 7-25-32, then SOFR + 2.100%) | 4.897 | 07-25-33 | 280,000 | 275,509 | |
Western Midstream Operating LP | 4.300 | 02-01-30 | 124,000 | 111,910 | |
Convertible bonds 1.9% | $2,125,098 | ||||
(Cost $2,639,816) | |||||
China 0.1% | 113,250 | ||||
NIO, Inc. | 0.500 | 02-01-27 | 150,000 | 113,250 | |
Israel 0.0% | 7,341 | ||||
SolarEdge Technologies, Inc., Zero Coupon | 0.000 | 09-15-25 | 6,000 | 7,341 | |
Italy 0.1% | 86,041 | ||||
Nexi SpA | 1.750 | 04-24-27 | EUR | 100,000 | 86,041 |
Luxembourg 0.1% | 56,913 | ||||
Arrival SA (C) | 3.500 | 12-01-26 | 170,000 | 56,913 | |
Singapore 0.2% | 219,454 | ||||
Sea, Ltd. | 0.250 | 09-15-26 | 300,000 | 219,454 | |
United Kingdom 0.3% | 381,706 | ||||
Endeavour Mining Corp. | 3.000 | 02-15-23 | 380,000 | 381,706 | |
United States 1.1% | 1,260,393 | ||||
Airbnb, Inc. (B) | 4.377 | 03-15-26 | 30,000 | 25,725 | |
Bandwidth, Inc. | 0.250 | 03-01-26 | 9,000 | 6,084 | |
Beyond Meat, Inc. (B) | 25.854 | 03-15-27 | 125,000 | 43,375 | |
Block, Inc. | 0.125 | 03-01-25 | 6,000 | 5,933 | |
Bloomin’ Brands, Inc. | 5.000 | 05-01-25 | 4,000 | 7,395 | |
Ceridian HCM Holding, Inc. | 0.250 | 03-15-26 | 35,000 | 29,593 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 23 |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
DraftKings Holdings, Inc. (B) | 7.371 | 03-15-28 | 5,000 | 3,353 | |
Etsy, Inc. | 0.125 | 10-01-26 | 5,000 | 7,027 | |
Exact Sciences Corp. | 0.375 | 03-01-28 | 90,000 | 61,470 | |
FTI Consulting, Inc. | 2.000 | 08-15-23 | 6,000 | 9,605 | |
JetBlue Airways Corp. | 0.500 | 04-01-26 | 140,000 | 105,420 | |
John Bean Technologies Corp. | 0.250 | 05-15-26 | 22,000 | 19,855 | |
NCL Corp., Ltd. (C) | 2.500 | 02-15-27 | 14,000 | 10,164 | |
NuVasive, Inc. | 0.375 | 03-15-25 | 35,000 | 30,538 | |
Pebblebrook Hotel Trust | 1.750 | 12-15-26 | 30,000 | 28,393 | |
Penn Entertainment, Inc. | 2.750 | 05-15-26 | 4,000 | 6,148 | |
Pioneer Natural Resources Company | 0.250 | 05-15-25 | 13,000 | 31,896 | |
Repay Holdings Corp. (B)(C) | 8.356 | 02-01-26 | 415,000 | 314,075 | |
Royal Caribbean Cruises, Ltd. (C) | 6.000 | 08-15-25 | 85,000 | 94,435 | |
Shift4 Payments, Inc. | 0.500 | 08-01-27 | 310,000 | 245,675 | |
Southwest Airlines Company | 1.250 | 05-01-25 | 9,000 | 11,246 | |
Splunk, Inc. | 1.125 | 06-15-27 | 15,000 | 12,581 | |
The Middleby Corp. | 1.000 | 09-01-25 | 83,000 | 102,962 | |
Uber Technologies, Inc. (B) | 4.727 | 12-15-25 | 28,000 | 23,998 | |
Workday, Inc. | 0.250 | 10-01-22 | 21,000 | 23,447 | |
Municipal bonds 1.4% | $1,613,114 | ||||
(Cost $1,806,220) | |||||
California Health Facilities Financing Authority | 4.190 | 06-01-37 | 65,000 | 61,460 | |
California Health Facilities Financing Authority | 4.353 | 06-01-41 | 25,000 | 23,555 | |
Chicago Transit Authority (Illinois) | 3.552 | 12-01-34 | 95,000 | 84,973 | |
Chicago Transit Authority (Illinois) | 3.912 | 12-01-40 | 10,000 | 8,966 | |
Chicago Transit Authority, Series A (Illinois) | 6.899 | 12-01-40 | 10,000 | 11,816 | |
City & County of Denver Company Airport System Revenue (Colorado) | 2.717 | 11-15-34 | 20,000 | 16,457 | |
City & County of Denver Company Airport System Revenue (Colorado) | 2.867 | 11-15-37 | 15,000 | 12,011 | |
City of Austin Airport System Revenue (Texas) | 5.000 | 11-15-32 | 25,000 | 26,968 | |
City of Austin Airport System Revenue (Texas) | 5.000 | 11-15-44 | 60,000 | 62,287 | |
City of Houston Airport System Revenue (Texas) | 2.385 | 07-01-31 | 50,000 | 42,690 | |
City of San Antonio Electric & Gas Systems Revenue (Texas) | 4.365 | 02-01-42 | 95,000 | 87,116 | |
City of San Antonio Electric & Gas Systems Revenue (Texas) | 4.445 | 02-01-47 | 95,000 | 86,043 | |
City of Tampa (Florida) (B) | 4.359 | 09-01-36 | 20,000 | 10,908 |
24 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Commonwealth of Massachusetts, GO | 2.514 | 07-01-41 | 130,000 | $98,972 | |
County of Broward Port Facilities Revenue (Florida) | 5.000 | 09-01-28 | 30,000 | 33,039 | |
County of Broward Port Facilities Revenue (Florida) | 5.000 | 09-01-29 | 20,000 | 22,991 | |
County of Broward Port Facilities Revenue (Florida) | 5.000 | 09-01-33 | 20,000 | 21,870 | |
County of Miami-Dade Aviation Revenue (Florida) | 3.270 | 10-01-41 | 10,000 | 7,976 | |
County of Miami-Dade Aviation Revenue (Florida) | 4.000 | 10-01-35 | 30,000 | 29,462 | |
Dallas Fort Worth International Airport (Texas) | 3.089 | 11-01-40 | 30,000 | 24,761 | |
Dallas Fort Worth International Airport (Texas) | 4.087 | 11-01-51 | 50,000 | 46,147 | |
District of Columbia | 3.432 | 04-01-42 | 85,000 | 66,943 | |
Greater Orlando Aviation Authority (Florida) | 5.000 | 10-01-28 | 10,000 | 10,725 | |
Greater Orlando Aviation Authority (Florida) | 5.000 | 10-01-28 | 25,000 | 26,378 | |
Iowa Finance Authority | 3.250 | 07-01-50 | 10,000 | 9,873 | |
Metropolitan Transportation Authority (New York) | 5.000 | 11-15-29 | 15,000 | 16,252 | |
Metropolitan Transportation Authority (New York) | 5.000 | 11-15-50 | 25,000 | 25,510 | |
New Jersey Educational Facilities Authority | 5.000 | 03-01-32 | 75,000 | 89,213 | |
New Jersey Transportation Trust Fund Authority | 4.000 | 06-15-45 | 10,000 | 9,192 | |
New York City Transitional Finance Authority | 4.000 | 05-01-45 | 20,000 | 18,972 | |
Orange County Convention Center (Florida) | 5.000 | 10-01-31 | 15,000 | 15,879 | |
Port Authority of New York & New Jersey | 4.000 | 03-15-30 | 50,000 | 51,220 | |
Port Authority of New York & New Jersey | 5.000 | 09-15-33 | 30,000 | 32,020 | |
Port of Seattle (Washington) | 5.000 | 10-01-31 | 30,000 | 31,936 | |
Port of Seattle (Washington) | 5.000 | 04-01-39 | 40,000 | 41,785 | |
Regents of the University of California Medical Center Pooled Revenue | 4.563 | 05-15-53 | 115,000 | 113,583 | |
San Francisco City & County Airport Commission (California) | 2.958 | 05-01-51 | 20,000 | 14,414 | |
San Francisco City & County Airport Commission (California) | 4.000 | 05-01-39 | 15,000 | 14,372 | |
San Francisco City & County Airport Commission (California) | 5.000 | 05-01-50 | 75,000 | 77,643 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 25 |
Rate (%) | Maturity date | Par value^ | Value | ||
State of Hawaii Airports System Revenue | 4.000 | 07-01-35 | 20,000 | $19,469 | |
State of Hawaii Airports System Revenue | 5.000 | 07-01-33 | 70,000 | 75,689 | |
Triborough Bridge & Tunnel Authority (New York) | 5.000 | 11-15-54 | 30,000 | 31,578 | |
Term loans (G) 6.8% | $7,718,533 | ||||
(Cost $8,050,896) | |||||
Cayman Islands 0.0% | 0 | ||||
Paragon Offshore Finance Company, Term Loan B (E)(H) | 0.000 | 07-18-22 | 9,802 | 0 | |
Luxembourg 0.2% | 196,026 | ||||
Delta 2 Lux Sarl, 2018 USD Term Loan (1 month LIBOR + 2.500%) | 5.024 | 02-01-24 | 100,000 | 99,042 | |
Jazz Financing Lux Sarl, USD Term Loan (1 month LIBOR + 3.500%) | 6.024 | 05-05-28 | 99,000 | 96,984 | |
Netherlands 0.1% | 167,522 | ||||
Diamond BC BV, 2021 Term Loan B (1 and 3 month LIBOR + 2.750%) | 5.555 | 09-29-28 | 174,125 | 167,522 | |
Spain 0.1% | 96,618 | ||||
Fluidra Finco SL, 2022 USD Term Loan B (1 month SOFR + 2.100%) | 4.555 | 01-29-29 | 99,500 | 96,618 | |
United States 6.4% | 7,258,367 | ||||
ABG Intermediate Holdings 2 LLC, 2021 Term Loan B1 (1 month SOFR + 3.600%) | 6.055 | 12-21-28 | 325,000 | 316,875 | |
Acrisure LLC, 2020 Term Loan B (1 month LIBOR + 3.500%) | 6.024 | 02-15-27 | 246,608 | 235,767 | |
AHP Health Partners, Inc., 2021 Term Loan B (1 month LIBOR + 3.500%) | 6.024 | 08-24-28 | 109,175 | 104,842 | |
APX Group, Inc., 2021 Term Loan B (Prime rate + 2.250% and 1 month LIBOR + 3.250%) | 5.628 | 07-10-28 | 148,626 | 144,515 | |
Asurion LLC, 2020 Term Loan B8 (1 month LIBOR + 3.250%) | 5.774 | 12-23-26 | 97,561 | 89,199 | |
Asurion LLC, 2021 2nd Lien Term Loan B3 (1 month LIBOR + 5.250%) | 7.774 | 01-31-28 | 350,000 | 299,250 | |
athenahealth, Inc., 2022 Term Loan B (1 month SOFR + 3.500%) | 5.800 | 02-15-29 | 85,507 | 81,659 | |
Berlin Packaging LLC, 2021 Term Loan B5 (1 and 3 month LIBOR + 3.750%) | 6.123 | 03-11-28 | 148,875 | 143,532 |
26 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Blackhawk Network Holdings, Inc., 2018 1st Lien Term Loan (3 month SOFR + 3.000%) | 5.054 | 06-15-25 | 98,458 | $94,366 | |
Caesars Resort Collection LLC, 2017 1st Lien Term Loan B (1 month LIBOR + 2.750%) | 5.274 | 12-23-24 | 247,795 | 244,303 | |
Carnival Corp., 2021 Incremental Term Loan B (6 month LIBOR + 3.250%) | 6.127 | 10-18-28 | 124,375 | 115,669 | |
Clydesdale Acquisition Holdings, Inc., Term Loan B (1 month SOFR + 4.175%) | 6.730 | 04-13-29 | 100,000 | 96,358 | |
Core & Main LP, 2021 Term Loan B (1 and 3 month LIBOR + 2.500%) | 4.773 | 07-27-28 | 146,486 | 142,686 | |
Crocs, Inc., Term Loan B (3 month SOFR + 3.500%) | 4.449 | 02-20-29 | 339,150 | 326,008 | |
Crown Finance US, Inc., 2018 USD Term Loan (E) | 0.000 | 02-28-25 | 123,927 | 79,334 | |
Crown Finance US, Inc. , 2021 Incremental Term Loan B1 (6 month LIBOR + 8.250%) | 10.076 | 02-28-25 | 5,411 | 5,729 | |
Dcert Buyer, Inc., 2019 Term Loan B (3 month LIBOR + 4.000%) | 6.903 | 10-16-26 | 345,846 | 335,952 | |
Elanco Animal Health, Inc., Term Loan B (1 month LIBOR + 1.750%) | 4.123 | 08-01-27 | 116,155 | 111,999 | |
First Brands Group LLC, 2021 Term Loan (3 month SOFR + 5.000%) | 8.368 | 03-30-27 | 119,095 | 115,113 | |
FleetCor Technologies Operating Company LLC, 2021 Term Loan B4 (1 month LIBOR + 1.750%) | 4.274 | 04-28-28 | 233,235 | 227,514 | |
Frontier Communications Holdings LLC, 2021 DIP Term Loan B (3 month LIBOR + 3.750%) | 6.063 | 05-01-28 | 98,750 | 95,467 | |
Golden Entertainment, Inc., 2017 1st Lien Term Loan (1 month LIBOR + 3.000%) | 5.460 | 10-21-24 | 101,078 | 99,846 | |
Great Outdoors Group LLC, 2021 Term Loan B1 (1 month LIBOR + 3.750%) | 6.274 | 03-06-28 | 113,281 | 109,430 | |
Heartland Dental LLC, 2021 Incremental Term Loan (1 month LIBOR + 4.000%) | 6.444 | 04-30-25 | 118,800 | 113,627 | |
Hightower Holding LLC, 2021 Term Loan B (3 month LIBOR + 4.000%) | 6.732 | 04-21-28 | 148,875 | 144,223 | |
HUB International, Ltd., 2018 Term Loan B (3 month LIBOR + 3.000%) | 5.766 | 04-25-25 | 196,687 | 192,344 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 27 |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Hyland Software, Inc., 2018 1st Lien Term Loan (1 month LIBOR + 3.500%) | 6.024 | 07-01-24 | 98,214 | $96,846 | |
Ii-Vi, Inc., 2022 Term Loan B (1 month LIBOR + 2.750%) | 5.123 | 07-02-29 | 105,000 | 102,593 | |
IRB Holding Corp., 2022 Term Loan B (1 month SOFR + 3.150%) | 5.437 | 12-15-27 | 426,833 | 412,338 | |
Mauser Packaging Solutions Holding Company, 2017 Term Loan B (1 month LIBOR + 3.250%) | 5.623 | 04-03-24 | 123,377 | 120,578 | |
Medline Borrower LP, USD Term Loan B (1 month LIBOR + 3.250%) | 5.774 | 10-23-28 | 189,525 | 180,488 | |
Mitchell International, Inc., 2021 Term Loan B (1 month LIBOR + 3.750%) | 6.734 | 10-15-28 | 169,575 | 161,573 | |
NEP Group, Inc., 2018 1st Lien Term Loan (1 month LIBOR + 3.250%) | 5.774 | 10-20-25 | 149,242 | 142,607 | |
Phoenix Newco, Inc., 2021 1st Lien Term Loan (1 month LIBOR + 3.250%) | 5.774 | 11-15-28 | 134,663 | 130,959 | |
Polaris Newco LLC, USD Term Loan B (1 month LIBOR + 4.000%) | 6.524 | 06-02-28 | 99,250 | 95,119 | |
Prestige Brands, Inc., 2021 Term Loan B5 (1 month LIBOR + 2.000%) | 4.524 | 07-03-28 | 76,667 | 76,496 | |
Quikrete Holdings, Inc., 2016 1st Lien Term Loan (1 month LIBOR + 2.625%) | 5.149 | 02-01-27 | 97,500 | 93,737 | |
Sedgwick Claims Management Services, Inc., 2018 Term Loan B (1 month LIBOR + 3.250%) | 5.774 | 12-31-25 | 196,002 | 191,493 | |
Southwestern Energy Company, 2021 Term Loan (2 month SOFR + 2.500%) | 4.704 | 06-22-27 | 99,500 | 98,505 | |
SRS Distribution, Inc., 2021 Term Loan B (3 month LIBOR + 3.500%) | 6.306 | 06-02-28 | 108,403 | 104,608 | |
SS&C Technologies, Inc., 2018 Term Loan B3 (1 month LIBOR + 1.750%) | 4.274 | 04-16-25 | 87,857 | 85,811 | |
SS&C Technologies, Inc., 2018 Term Loan B4 (1 month LIBOR + 1.750%) | 4.274 | 04-16-25 | 71,321 | 69,660 | |
Surgery Center Holdings, Inc., 2021 Term Loan (1 month LIBOR + 3.750%) | 6.140 | 08-31-26 | 138,250 | 133,955 | |
Tempo Acquisition LLC, 2022 Term Loan B (1 month SOFR + 3.000%) | 5.455 | 08-31-28 | 199,000 | 195,617 | |
The Dun & Bradstreet Corp., Term Loan (1 month LIBOR + 3.250%) | 5.743 | 02-06-26 | 147,007 | 142,671 |
28 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
TransDigm, Inc., 2020 Term Loan E (1 month LIBOR + 2.250%) | 4.774 | 05-30-25 | 196,105 | $191,222 | |
TricorBraun Holdings, Inc., 2021 Term Loan (1 month LIBOR + 3.250%) | 5.774 | 03-03-28 | 198,527 | 192,052 | |
WW International, Inc., 2021 Term Loan B (1 month LIBOR + 3.500%) | 6.030 | 04-13-28 | 236,605 | 173,832 | |
Collateralized mortgage obligations 5.4% | $6,178,577 | ||||
(Cost $6,409,628) | |||||
Commercial and residential 2.6% | 2,969,002 | ||||
Angel Oak Mortgage Trust | |||||
Series 2020-3, Class M1 (C)(I) | 3.809 | 04-25-65 | 50,000 | 46,054 | |
BANK | |||||
Series 2021-BN31, Class C (I) | 2.545 | 02-15-54 | 30,000 | 22,544 | |
BFLD Trust | |||||
Series 2020-OBRK, Class A (1 month LIBOR + 2.050%) (C)(J) | 4.441 | 11-15-28 | 10,000 | 9,893 | |
BRAVO Residential Funding Trust | |||||
Series 2020-NQM1, Class M1 (C)(I) | 3.181 | 05-25-60 | 129,000 | 121,723 | |
Series 2021-NQM1, Class M1 (C)(I) | 2.316 | 02-25-49 | 100,000 | 91,319 | |
BX Trust | |||||
Series 2021-MFM1, Class C (1 month LIBOR + 1.200%) (C)(J) | 3.591 | 01-15-34 | 50,000 | 47,750 | |
Series 2021-MFM1, Class D (1 month LIBOR + 1.500%) (C)(J) | 3.891 | 01-15-34 | 10,000 | 9,450 | |
Series 2022-CSMO, Class A (1 month CME Term SOFR + 2.115%) (C)(J) | 4.422 | 06-15-27 | 100,000 | 99,250 | |
CAMB Commercial Mortgage Trust | |||||
Series 2019-LIFE, Class E (1 month LIBOR + 2.150%) (C)(J) | 4.541 | 12-15-37 | 134,000 | 129,987 | |
CIM Trust | |||||
Series 2021-NR2, Class A1 (2.568% to 3-1-24, then 5.568% to 3-1-25, then 6.568% thereafter) (C) | 2.568 | 07-25-59 | 65,634 | 62,282 | |
Series 2021-R4, Class A1 (C)(I) | 2.000 | 05-01-61 | 74,542 | 65,381 | |
Commercial Mortgage Trust (Deutsche Bank AG) | |||||
Series 2013-LC13, Class AM (C)(I) | 4.557 | 08-10-46 | 125,000 | 123,938 | |
Credit Suisse Mortgage Trust | |||||
Series 2020-NET, Class D (C)(I) | 3.828 | 08-15-37 | 100,000 | 91,488 | |
Deephaven Residential Mortgage Trust | |||||
Series 2020-2, Class M1 (C)(I) | 4.112 | 05-25-65 | 100,000 | 95,764 | |
Flagstar Mortgage Trust | |||||
Series 2021-5INV, Class A5 (C)(I) | 2.500 | 07-25-51 | 81,008 | 73,743 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 29 |
Rate (%) | Maturity date | Par value^ | Value | ||
Commercial and residential (continued) | |||||
FREMF Mortgage Trust | |||||
Series 2016-K60, Class B (C)(I) | 3.661 | 12-25-49 | 11,000 | $10,476 | |
Series 2018-K72, Class B (C)(I) | 4.119 | 12-25-50 | 15,000 | 14,384 | |
Series 2020-K104, Class C (C)(I) | 3.661 | 02-25-52 | 25,000 | 22,284 | |
GS Mortgage Securities Trust | |||||
Series 2018-HULA, Class C (1 month LIBOR + 1.450%) (C)(J) | 3.841 | 07-15-25 | 137,216 | 132,756 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||||
Series 2020-NNN, Class BFX (C) | 3.065 | 01-16-37 | 45,000 | 41,912 | |
JPMorgan Mortgage Trust | |||||
Series 2019-7, Class A11 (1 month LIBOR + 0.900%) (C)(J) | 3.344 | 02-25-50 | 12,314 | 11,786 | |
KKR Industrial Portfolio Trust | |||||
Series 2021-KDIP, Class C (1 month LIBOR + 1.000%) (C)(J) | 3.391 | 12-15-37 | 37,500 | 36,094 | |
KNDL Mortgage Trust | |||||
Series 2019-KNSQ, Class E (1 month LIBOR + 1.800%) (C)(J) | 4.191 | 05-15-36 | 100,000 | 96,970 | |
Legacy Mortgage Asset Trust | |||||
Series 2019-GS7, Class A1 (3.250% to 10-25-22, then 6.250% to 10-25-23, then 7.250% thereafter) (C) | 3.250 | 11-25-59 | 110,206 | 110,036 | |
LoanCore Issuer, Ltd. | |||||
Series 2021-CRE4, Class A (1 month SOFR + 0.914%) (C)(J) | 2.798 | 07-15-35 | 54,425 | 53,502 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||||
Series 2013-C8, Class B (I) | 3.790 | 12-15-48 | 45,000 | 44,609 | |
Series 2013-C8, Class C (I) | 4.287 | 12-15-48 | 65,000 | 64,312 | |
Morgan Stanley Capital I Trust | |||||
Series 2017-CLS, Class F (1 month LIBOR + 2.600%) (C)(J) | 4.991 | 11-15-34 | 40,000 | 39,231 | |
New Residential Mortgage Loan Trust | |||||
Series 2015-2A, Class B4 (C)(I) | 5.408 | 08-25-55 | 59,105 | 57,433 | |
Series 2021-INV2, Class A11 (1 month SOFR + 0.950%) (C)(J) | 2.464 | 09-25-51 | 90,087 | 85,357 | |
NYMT Loan Trust I | |||||
Series 2021-BPL1, Class A1 (2.239% to 5-25-24, then 4.239% thereafter) (C) | 2.239 | 05-25-26 | 100,000 | 94,641 | |
OPG Trust | |||||
Series 2021-PORT, Class D (1 month LIBOR + 1.131%) (C)(J) | 3.522 | 10-15-36 | 22,319 | 20,688 | |
PRPM LLC | |||||
Series 2021-1, Class A1 (C)(I) | 2.115 | 01-25-26 | 75,226 | 71,921 | |
Series 2021-2, Class A1 (C)(I) | 2.115 | 03-25-26 | 68,050 | 64,617 |
30 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Commercial and residential (continued) | |||||
Series 2021-6, Class A1 (1.793% to 7-25-24, then 4.793% to 7-25-25, then 5.793% thereafter) (C) | 1.793 | 07-25-26 | 75,526 | $70,189 | |
Series 2021-9, Class A1 (2.363% to 10-25-24, then 5.363% to 10-25-25, then 6.363% thereafter) (C) | 2.363 | 10-25-26 | 79,988 | 74,792 | |
Toorak Mortgage Corp. | |||||
Series 2019-2, Class A2 | 4.213 | 09-25-22 | 100,000 | 95,955 | |
Towd Point Mortgage Trust | |||||
Series 2019-3, Class M1 (C)(I) | 4.250 | 02-25-59 | 150,000 | 141,234 | |
UBS Commercial Mortgage Trust | |||||
Series 2019-C16, Class ASB | 3.460 | 04-15-52 | 154,000 | 147,097 | |
Verus Securitization Trust | |||||
Series 2020-5, Class M1 (C)(I) | 2.601 | 05-25-65 | 200,000 | 179,228 | |
Wells Fargo Commercial Mortgage Trust | |||||
Series 2020-C58, Class B | 2.704 | 07-15-53 | 65,000 | 52,504 | |
Wells Fargo Mortgage Backed Securities Trust | |||||
Series 2019-3, Class A1 (C)(I) | 3.500 | 07-25-49 | 6,902 | 6,397 | |
WF-RBS Commercial Mortgage Trust | |||||
Series 2011-C4, Class C (C)(I) | 4.987 | 06-15-44 | 38,118 | 38,031 | |
U.S. Government Agency 2.8% | 3,209,575 | ||||
Federal Home Loan Mortgage Corp. | |||||
Series 2013-DN2, Class M2 (1 month LIBOR + 4.250%) (J) | 6.694 | 11-25-23 | 91,022 | 93,467 | |
Series 2020-DNA6, Class M2 (1 month SOFR + 2.000%) (C)(J) | 4.183 | 12-25-50 | 18,954 | 18,954 | |
Series 2020-HQA2, Class M2 (1 month LIBOR + 3.100%) (C)(J) | 5.544 | 03-25-50 | 58,848 | 60,110 | |
Series 2020-HQA3, Class B1 (1 month LIBOR + 5.750%) (C)(J) | 8.194 | 07-25-50 | 45,000 | 46,325 | |
Series 2020-HQA4, Class M2 (1 month LIBOR + 3.150%) (C)(J) | 5.594 | 09-25-50 | 4,120 | 4,132 | |
Series 2021-DNA1, Class M2 (1 month SOFR + 1.800%) (C)(J) | 3.983 | 01-25-51 | 22,656 | 22,323 | |
Series 2021-DNA5, Class B1 (1 month SOFR + 3.050%) (C)(J) | 5.233 | 01-25-34 | 100,000 | 92,243 | |
Series 2021-DNA6, Class M2 (1 month SOFR + 1.500%) (C)(J) | 3.683 | 10-25-41 | 178,000 | 168,210 | |
Series 2021-HQA1, Class M2 (1 month SOFR + 2.250%) (C)(J) | 4.433 | 08-25-33 | 180,000 | 173,220 | |
Series 2021-HQA2, Class M2 (1 month SOFR + 2.050%) (C)(J) | 4.233 | 12-25-33 | 100,000 | 93,322 | |
Series 2021-HQA3, Class M2 (1 month SOFR + 2.100%) (C)(J) | 4.283 | 09-25-41 | 180,000 | 164,350 | |
Series 2021-P011, Class X1 IO | 1.837 | 09-25-45 | 96,165 | 12,965 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 31 |
Rate (%) | Maturity date | Par value^ | Value | ||
U.S. Government Agency (continued) | |||||
Series 2022-DNA1, Class B1 (1 month SOFR + 3.400%) (C)(J) | 5.583 | 01-25-42 | 150,000 | $136,448 | |
Series 2022-DNA3, Class M1B (1 month SOFR + 2.900%) (C)(J) | 5.083 | 04-25-42 | 50,000 | 49,705 | |
Series 2022-DNA5, Class M2 (1 month SOFR + 6.750%) (C)(J) | 8.933 | 06-25-42 | 50,000 | 52,750 | |
Series 2022-HQA1, Class M1B (1 month SOFR + 3.500%) (C)(J) | 5.683 | 03-25-42 | 15,000 | 14,868 | |
Series 2022-HQA1, Class M2 (1 month SOFR + 5.250%) (C)(J) | 7.433 | 03-25-42 | 540,000 | 535,267 | |
Series 2022-HQA3, Class M1B (1 month SOFR + 3.550%) (C)(J) | 5.358 | 08-25-42 | 40,000 | 39,599 | |
Series K031, Class X3 IO | 1.716 | 07-25-41 | 260,000 | 2,544 | |
Series K066, Class X1 IO | 0.887 | 06-25-27 | 282,924 | 8,317 | |
Series K103, Class X1 IO | 0.758 | 11-25-29 | 224,530 | 8,533 | |
Series K104, Class X3 IO | 1.961 | 02-25-47 | 100,000 | 11,007 | |
Series K105, Class X1 IO | 1.645 | 01-25-30 | 169,691 | 15,094 | |
Series K106, Class X1 IO | 1.477 | 01-25-30 | 139,489 | 11,072 | |
Series K112, Class X1 IO | 1.535 | 05-25-30 | 99,750 | 8,720 | |
Series K113, Class X1 IO | 1.490 | 06-25-30 | 99,967 | 8,480 | |
Series K115, Class X3 IO | 3.060 | 09-25-48 | 100,000 | 17,880 | |
Series K737, Class X1 IO | 0.751 | 10-25-26 | 113,018 | 2,340 | |
Series K740, Class X1 IO | 0.843 | 09-25-27 | 99,551 | 3,136 | |
Series Q014, Class X IO | 2.795 | 10-25-55 | 96,231 | 19,117 | |
Federal National Mortgage Association | |||||
Series 2014-C03, Class 1M2 (1 month LIBOR + 3.000%) (J) | 5.444 | 07-25-24 | 78,076 | 79,603 | |
Series 2014-C04, Class 1M2 (1 month LIBOR + 4.900%) (J) | 7.344 | 11-25-24 | 36,698 | 38,386 | |
Series 2017-C05, Class 1B1 (1 month LIBOR + 3.600%) (J) | 6.044 | 01-25-30 | 25,000 | 25,244 | |
Series 2017-C06, Class 2B1 (1 month LIBOR + 4.450%) (J) | 6.894 | 02-25-30 | 50,000 | 52,653 | |
Series 2017-C07, Class 1B1 (1 month LIBOR + 4.000%) (J) | 6.444 | 05-25-30 | 67,000 | 68,340 | |
Series 2017-C07, Class 2B1 (1 month LIBOR + 4.450%) (J) | 6.894 | 05-25-30 | 55,000 | 56,340 | |
Series 2018-C02, Class 2B1 (1 month LIBOR + 4.000%) (J) | 6.444 | 08-25-30 | 15,000 | 15,057 | |
Series 2018-C03, Class 1B1 (1 month LIBOR + 3.750%) (J) | 6.194 | 10-25-30 | 100,000 | 100,480 | |
Series 2019-R03, Class 1B1 (1 month LIBOR + 4.100%) (C)(J) | 6.544 | 09-25-31 | 20,000 | 20,297 | |
Series 2020-R01, Class 1M2 (1 month LIBOR + 2.050%) (C)(J) | 4.494 | 01-25-40 | 17,858 | 17,498 | |
Series 2020-R02, Class 2M2 (1 month LIBOR + 2.000%) (C)(J) | 4.444 | 01-25-40 | 6,551 | 6,563 |
32 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
U.S. Government Agency (continued) | |||||
Series 2021-R03, Class 1M1 (1 month SOFR + 0.850%) (C)(J) | 3.033 | 12-25-41 | 133,138 | $132,332 | |
Series 2022-R01, Class 1M1 (1 month SOFR + 1.000%) (C)(J) | 3.183 | 12-25-41 | 61,634 | 60,880 | |
Series 2022-R02, Class 2B1 (1 month SOFR + 4.500%) (C)(J) | 6.683 | 01-25-42 | 150,000 | 142,125 | |
Series 2022-R02, Class 2M1 (1 month SOFR + 1.200%) (C)(J) | 3.383 | 01-25-42 | 77,395 | 76,865 | |
Series 2022-R03, Class 1B1 (1 month SOFR + 6.250%) (C)(J) | 8.433 | 03-25-42 | 67,000 | 68,931 | |
Series 2022-R03, Class 1M2 (1 month SOFR + 3.500%) (C)(J) | 5.683 | 03-25-42 | 49,000 | 49,673 | |
Series 2022-R04, Class 1B1 (1 month SOFR + 5.250%) (C)(J) | 7.433 | 03-25-42 | 115,000 | 114,425 | |
Series 2022-R05, Class 2B1 (1 month SOFR + 4.500%) (C)(J) | 6.683 | 04-25-42 | 100,000 | 98,374 | |
Series 2022-R06, Class 1M1 (1 month SOFR + 2.750%) (C)(J) | 4.933 | 05-25-42 | 46,543 | 47,307 | |
Series 2022-R07, Class 1M1 (1 month SOFR + 2.950%) (C)(J) | 5.158 | 06-25-42 | 43,055 | 43,704 | |
Asset backed securities 5.4% | $6,102,653 | ||||
(Cost $6,521,672) | |||||
Asset backed securities 5.4% | 6,102,653 | ||||
AIG CLO, Ltd. | |||||
Series 2019-2A, Class CR (3 month LIBOR + 2.000%) (C)(J) | 4.783 | 10-25-33 | 250,000 | 233,826 | |
Aligned Data Centers Issuer LLC | |||||
Series 2021-1A, Class A2 (C) | 1.937 | 08-15-46 | 180,000 | 158,489 | |
Apidos CLO XXXII | |||||
Series 2019-32A, Class D (3 month LIBOR + 3.500%) (C)(J) | 6.210 | 01-20-33 | 250,000 | 239,733 | |
Bain Capital Credit CLO, Ltd. | |||||
Series 2020-4A, Class B (3 month LIBOR + 1.950%) (C)(J) | 4.660 | 10-20-33 | 250,000 | 242,084 | |
Series 2020-5A, Class D (3 month LIBOR + 3.550%) (C)(J) | 6.260 | 01-20-32 | 250,000 | 235,886 | |
Bayview Opportunity Master Fund IVa Trust | |||||
Series 2017-RT5, Class A (C)(I) | 3.500 | 05-28-69 | 139,985 | 135,874 | |
Bayview Opportunity Master Fund IVb Trust | |||||
Series 2017-RT6, Class B2 (C)(I) | 4.000 | 10-28-57 | 100,000 | 91,729 | |
Benefit Street Partners CLO XIX, Ltd. | |||||
Series 2019-19A, Class E (3 month LIBOR + 7.020%) (C)(J) | 9.532 | 01-15-33 | 250,000 | 227,223 | |
Bojangles Issuer LLC | |||||
Series 2020-1A, Class A2 (C) | 3.832 | 10-20-50 | 29,850 | 27,455 | |
BSPRT Issuer, Ltd. | |||||
Series 2021-FL6, Class A (1 month LIBOR + 1.100%) (C)(J) | 3.491 | 03-15-36 | 115,000 | 112,577 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 33 |
Rate (%) | Maturity date | Par value^ | Value | ||
Asset backed securities (continued) | |||||
Credit Acceptance Auto Loan Trust | |||||
Series 2021-3A, Class A (C) | 1.000 | 05-15-30 | 250,000 | $238,852 | |
DataBank Issuer | |||||
Series 2021-1A, Class B (C) | 2.650 | 02-27-51 | 40,000 | 35,035 | |
DB Master Finance LLC | |||||
Series 2017-1A, Class A2II (C) | 4.030 | 11-20-47 | 47,750 | 44,734 | |
Exeter Automobile Receivables Trust | |||||
Series 2020-1A, Class C (C) | 2.490 | 01-15-25 | 29,926 | 29,894 | |
First Investors Auto Owner Trust | |||||
Series 2021-2A, Class D (C) | 1.660 | 12-15-27 | 190,000 | 169,861 | |
FirstKey Homes Trust | |||||
Series 2021-SFR2, Class E2 (C) | 2.358 | 09-17-38 | 115,000 | 97,195 | |
Flatiron CLO XX, Ltd. | |||||
Series 2020-1A, Class B (3 month LIBOR + 1.750%) (C)(J) | 4.734 | 11-20-33 | 100,000 | 97,624 | |
FS Rialto | |||||
Series 2021-FL3, Class A (1 month LIBOR + 1.250%) (C)(J) | 3.637 | 11-16-36 | 105,000 | 101,081 | |
Greystone Commercial Real Estate Notes, Ltd. | |||||
Series 2021-FL3, Class B (1 month LIBOR + 1.650%) (C)(J) | 4.041 | 07-15-39 | 100,000 | 92,409 | |
Hertz Vehicle Financing LLC | |||||
Series 2022-4A, Class C (C) | 4.610 | 09-25-26 | 105,000 | 101,143 | |
Home Partners of America Trust | |||||
Series 2021-2, Class A (C) | 1.901 | 12-17-26 | 119,412 | 106,630 | |
JFIN CLO, Ltd. | |||||
Series 2016-1A, Class DR (3 month LIBOR + 3.400%) (C)(J) | 6.169 | 10-27-28 | 150,000 | 143,988 | |
LAD Auto Receivables Trust | |||||
Series 2021-1A, Class B (C) | 1.940 | 11-16-26 | 40,000 | 37,635 | |
Lendbuzz Securitization Trust | |||||
Series 2021-1A, Class A (C) | 1.460 | 06-15-26 | 71,511 | 69,298 | |
Madison Park Funding XXXII, Ltd. | |||||
Series 2018-32A, Class CR (3 month LIBOR + 2.000%) (C)(J) | 4.759 | 01-22-31 | 250,000 | 236,697 | |
Mercury Financial Credit Card Master Trust | |||||
Series 2022-1A, Class A (C) | 2.500 | 09-21-26 | 125,000 | 119,277 | |
MF1, Ltd. | |||||
Series 2022-FL8, Class AS (1 month SOFR + 1.750%) (C)(J) | 3.783 | 02-19-37 | 100,000 | 96,749 | |
Neuberger Berman Loan Advisers CLO, Ltd. | |||||
Series 2017-26A, Class BR (3 month LIBOR + 1.400%) (C)(J) | 4.140 | 10-18-30 | 250,000 | 241,216 | |
Palmer Square Loan Funding, Ltd. | |||||
Series 2021-4A, Class C (3 month LIBOR + 2.600%) (C)(J) | 5.112 | 10-15-29 | 250,000 | 228,880 | |
Series 2022-2A, Class C (3 month CME Term SOFR + 3.100%) (C)(J) | 4.188 | 10-15-30 | 250,000 | 233,499 |
34 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Asset backed securities (continued) | |||||
Pretium Mortgage Credit Partners LLC | |||||
Series 2021-RN1, Class A2 (3.598% to 6-25-25, then 7.598% thereafter) (C) | 3.598 | 02-25-61 | 100,000 | $93,037 | |
Progress Residential Trust | |||||
Series 2020-SFR3, Class E (C) | 2.296 | 10-17-27 | 100,000 | 90,664 | |
Series 2021-SFR2, Class E1 (C) | 2.547 | 04-19-38 | 100,000 | 86,994 | |
Series 2021-SFR3, Class D (C) | 2.288 | 05-17-26 | 100,000 | 87,557 | |
Series 2021-SFR8, Class E2 (C) | 2.532 | 10-17-38 | 125,000 | 107,519 | |
Series 2022-SFR5, Class D (C) | 5.734 | 06-17-39 | 100,000 | 98,779 | |
Sixth Street CLO XVI, Ltd. | |||||
Series 2020-16A, Class E (3 month LIBOR + 7.320%) (C)(J) | 10.030 | 10-20-32 | 150,000 | 138,859 | |
Sonic Capital LLC | |||||
Series 2020-1A, Class A2I (C) | 3.845 | 01-20-50 | 44,100 | 40,456 | |
Sound Point CLO XXVIII, Ltd. | |||||
Series 2020-3A, Class C (3 month LIBOR + 2.250%) (C)(J) | 5.033 | 01-25-32 | 250,000 | 232,732 | |
STWD, Ltd. | |||||
Series 2021-FL2, Class A (1 month LIBOR + 1.200%) (C)(J) | 3.577 | 04-18-38 | 143,000 | 140,007 | |
Taco Bell Funding LLC | |||||
Series 2021-1A, Class A2I (C) | 1.946 | 08-25-51 | 69,475 | 60,353 | |
Textainer Marine Containers, Ltd. | |||||
Series 2021-3A, Class A (C) | 1.940 | 08-20-46 | 92,000 | 78,855 | |
Tricon American Homes Trust | |||||
Series 2020-SFR2, Class E1 (C) | 2.730 | 11-17-39 | 100,000 | 85,701 | |
TRTX Issuer, Ltd. | |||||
Series 2019-FL3, Class D (1 month CME Term SOFR + 2.564%) (C)(J) | 4.861 | 10-15-34 | 100,000 | 97,739 | |
Vantage Data Centers LLC | |||||
Series 2019-1A, Class A2 (C) | 3.188 | 07-15-44 | 33,950 | 32,785 | |
Venture XIII CLO, Ltd. | |||||
Series 2013-13A, Class DR (3 month LIBOR + 3.300%) (C)(J) | 4.988 | 09-10-29 | 175,000 | 158,434 | |
VOLT C LLC | |||||
Series 2021-NPL9, Class A1 (1.992% to 4-25-24, then 4.992% to 4-25-25, then 5.992% thereafter) (C) | 1.992 | 05-25-51 | 77,271 | 72,128 | |
VOLT XCIV LLC | |||||
Series 2021-NPL3, Class A1 (2.240% to 1-25-24, then 5.239% to 1-25-25, then 6.239% thereafter) (C) | 2.240 | 02-27-51 | 68,758 | 65,402 | |
VOLT XCV LLC | |||||
Series 2021-NPL4, Class A1 (2.240% to 2-25-24, then 5.240% to 2-25-25, then 6.240% thereafter) (C) | 2.240 | 03-27-51 | 113,513 | 108,079 | |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 35 |
Shares | Value | ||||
Common stocks 0.0% | $8,695 | ||||
(Cost $20,742) | |||||
United States 0.0% | 8,695 | ||||
Paragon Offshore PLC, Litigation Trust A (D)(H) | 2,695 | 270 | |||
Paragon Offshore PLC, Litigation Trust B (D)(H) | 1,348 | 8,425 | |||
Southcross Holdings GP, Class A (D)(H) | 246 | 0 | |||
Preferred securities 0.0% | $50,602 | ||||
(Cost $53,295) | |||||
United States 0.0% | 50,602 | ||||
Becton, Dickinson and Company, 6.000% | 976 | 49,288 | |||
Fluor Corp., 6.500% | 1 | 1,314 | |||
Par value^ | Value | ||||
Escrow certificates 0.0% | $46 | ||||
(Cost $491,686) | |||||
Alta Mesa Holdings LP (D)(H) | 460,000 | 46 | |||
Texas Competitive Electric Holdings Company LLC (D)(H) | 10,820,544 | 0 | |||
Yield (%) | Shares | Value | |||
Short-term investments 3.5% | $3,998,427 | ||||
(Cost $3,998,427) | |||||
Short-term funds 3.5% | 3,998,427 | ||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 2.2409(K) | 3,998,427 | 3,998,427 |
Total investments (Cost $129,780,395) 97.4% | $110,631,167 | ||||
Other assets and liabilities, net 2.6% | 2,903,618 | ||||
Total net assets 100.0% | $113,534,785 |
Rate (%) | Maturity date | Par value^ | Value | ||
Sale commitments outstanding (0.3)% | $(370,157) | ||||
(Proceeds received $380,893) | |||||
U.S. Government Agency (0.3)% | (370,157) | ||||
Federal National Mortgage Association 30 Yr Pass Thru (A) | 3.000 | TBA | (400,000) | (370,157) |
The percentage shown for each investment category is the total value of the category as a percentage of the net assets of the fund. | |
^All par values are denominated in U.S. dollars unless otherwise indicated. | |
Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
36 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
EUR | Euro |
GBP | Pound Sterling |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ISK | Icelandic Krona |
JPY | Japanese Yen |
KRW | Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NZD | New Zealand Dollar |
PEN | Peruvian Nuevo Sol |
PLN | Polish Zloty |
RON | Romanian New Leu |
RUB | Russian Ruble |
THB | Thai Bhat |
ZAR | South African Rand |
Security Abbreviations and Legend | |
CME | Chicago Mercantile Exchange |
CMT | Constant Maturity Treasury |
CPI | Consumer Price Index |
EURIBOR | Euro Interbank Offered Rate |
GO | General Obligation |
ICE | Intercontinental Exchange |
IO | Interest-Only Security - (Interest Tranche of Stripped Mortgage Pool). Rate shown is the annualized yield at the end of the period. |
LIBOR | London Interbank Offered Rate |
PIK | Pay-in-Kind Security - Represents a payment-in-kind which may pay interest in additional par and/or cash. Rates shown are the current rate and most recent payment rate. |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced. A forward mortgage-backed securities trade issued by a U.S. Government Agency, to be delivered at an agreed-upon future settlement date. |
(A) | Security purchased or sold on a when-issued or delayed delivery basis. |
(B) | Zero coupon bonds are issued at a discount from their principal amount in lieu of paying interest periodically. Rate shown is the effective yield at period end. |
(C) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $26,527,947 or 23.4% of the fund’s net assets as of 8-31-22. |
(D) | Non-income producing security. |
(E) | Non-income producing - Issuer is in default. |
(F) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(G) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(H) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(I) | Variable or floating rate security, the interest rate of which adjusts periodically based on a weighted average of interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of period end. |
(J) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(K) | The rate shown is the annualized seven-day yield as of 8-31-22. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 37 |
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
38 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
10-Year Australian Treasury Bond Futures | 16 | Long | Sep 2022 | $1,303,360 | $1,309,247 | $5,887 |
10-Year U.S. Treasury Note Futures | 67 | Long | Dec 2022 | 7,859,829 | 7,832,719 | (27,110) |
2-Year U.S. Treasury Note Futures | 1 | Long | Dec 2022 | 208,666 | 208,328 | (338) |
5-Year U.S. Treasury Note Futures | 125 | Long | Dec 2022 | 13,899,615 | 13,852,539 | (47,076) |
Ultra U.S. Treasury Bond Futures | 25 | Long | Dec 2022 | 3,709,941 | 3,737,500 | 27,559 |
10-Year Canada Government Bond Futures | 1 | Short | Dec 2022 | (95,319) | (94,864) | 455 |
10-Year Japan Government Bond Future | 7 | Short | Sep 2022 | (7,488,782) | (7,534,353) | (45,571) |
5-Year Canada Government Bond Futures | 1 | Short | Dec 2022 | (86,205) | (85,864) | 341 |
Euro-BTP Italian Government Bond Futures | 14 | Short | Sep 2022 | (1,799,743) | (1,681,423) | 118,320 |
Euro-Buxl Futures | 22 | Short | Sep 2022 | (3,819,949) | (3,639,126) | 180,823 |
German Euro BOBL Futures | 6 | Short | Sep 2022 | (750,944) | (742,136) | 8,808 |
German Euro BUND Futures | 23 | Short | Sep 2022 | (3,481,362) | (3,420,209) | 61,153 |
U.K. Long Gilt Bond Futures | 1 | Short | Dec 2022 | (127,739) | (125,382) | 2,357 |
U.S. Treasury Long Bond Futures | 54 | Short | Dec 2022 | (7,344,347) | (7,335,563) | 8,784 |
$294,392 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
AUD | 45,000 | USD | 32,040 | MSI | 9/21/2022 | — | $(1,240) |
AUD | 2,381,000 | USD | 1,665,900 | MSI | 9/30/2022 | — | (35,990) |
BRL | 25,348,000 | USD | 4,949,253 | CITI | 9/2/2022 | — | (76,888) |
BRL | 2,019,000 | USD | 375,997 | GSI | 9/2/2022 | $12,093 | — |
BRL | 280,000 | USD | 54,064 | JPM | 9/2/2022 | — | (243) |
BRL | 24,199,000 | USD | 4,621,222 | MSI | 9/2/2022 | 30,286 | — |
BRL | 4,178,000 | USD | 813,790 | CITI | 10/4/2022 | — | (16,976) |
CAD | 65,000 | USD | 50,344 | JPM | 9/21/2022 | — | (858) |
CAD | 710,000 | USD | 548,560 | BARC | 9/29/2022 | — | (8,072) |
CHF | 1,439,000 | USD | 1,498,836 | JPM | 9/30/2022 | — | (23,430) |
CLP | 5,900,000 | USD | 6,300 | BOA | 9/21/2022 | 259 | — |
CLP | 29,200,000 | USD | 33,197 | CITI | 9/21/2022 | — | (732) |
CNH | 195,000 | USD | 29,089 | GSI | 9/21/2022 | — | (855) |
CNH | 575,000 | USD | 85,585 | MSI | 9/21/2022 | — | (2,332) |
COP | 335,500,000 | USD | 78,034 | CITI | 9/21/2022 | — | (2,500) |
COP | 1,417,800,000 | USD | 325,034 | GSI | 9/21/2022 | — | (5,834) |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 39 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
COP | 94,300,000 | USD | 21,291 | MSI | 9/21/2022 | — | $(61) |
COP | 1,417,800,000 | USD | 326,306 | SSB | 9/21/2022 | — | (7,106) |
COP | 7,335,612,000 | USD | 1,672,087 | MSI | 9/30/2022 | — | (22,729) |
CZK | 390,000 | USD | 16,142 | BARC | 9/21/2022 | — | (188) |
CZK | 2,391,000 | USD | 98,583 | GSI | 9/21/2022 | — | (773) |
CZK | 8,510,000 | USD | 349,014 | MSI | 9/21/2022 | — | (891) |
EGP | 4,820,000 | USD | 247,306 | CITI | 9/21/2022 | — | (2,781) |
EUR | 79,000 | USD | 80,221 | BOA | 9/21/2022 | — | (731) |
EUR | 38,000 | USD | 38,024 | BARC | 9/21/2022 | $212 | — |
EUR | 111,000 | USD | 113,447 | CITI | 9/21/2022 | — | (1,759) |
EUR | 34,000 | USD | 34,137 | JPM | 9/21/2022 | 74 | — |
EUR | 58,000 | USD | 59,505 | MSI | 9/21/2022 | — | (1,146) |
EUR | 2,849,000 | USD | 2,841,715 | GSI | 9/30/2022 | 26,649 | — |
EUR | 319,000 | USD | 318,766 | JPM | 9/30/2022 | 2,402 | — |
EUR | 76,000 | USD | 75,577 | MSI | 9/30/2022 | 940 | — |
GBP | 23,000 | USD | 27,588 | BARC | 9/21/2022 | — | (859) |
GBP | 20,000 | USD | 23,529 | JPM | 9/21/2022 | — | (287) |
GBP | 1,332,000 | USD | 1,567,918 | JPM | 9/30/2022 | — | (19,715) |
HUF | 3,200,000 | USD | 7,792 | BOA | 9/21/2022 | 200 | — |
HUF | 78,900,000 | USD | 196,008 | BARC | 9/21/2022 | 1,047 | — |
HUF | 2,700,000 | USD | 6,862 | CITI | 9/21/2022 | — | (119) |
HUF | 33,800,000 | USD | 84,017 | GSI | 9/21/2022 | 400 | — |
HUF | 6,100,000 | USD | 15,457 | JPM | 9/21/2022 | — | (222) |
HUF | 667,182,000 | USD | 1,598,290 | BOA | 9/30/2022 | 64,317 | — |
IDR | 881,000,000 | USD | 59,923 | CITI | 9/21/2022 | — | (660) |
IDR | 830,000,000 | USD | 55,311 | GSI | 9/21/2022 | 522 | — |
IDR | 14,914,000,000 | USD | 988,271 | JPM | 9/21/2022 | 14,968 | — |
IDR | 24,404,823,000 | USD | 1,641,819 | CITI | 9/30/2022 | — | (472) |
INR | 6,360,000 | USD | 79,318 | GSI | 9/21/2022 | 541 | — |
INR | 5,450,000 | USD | 68,502 | JPM | 9/21/2022 | — | (69) |
INR | 11,234,000 | USD | 140,180 | CITI | 9/30/2022 | 764 | — |
JPY | 605,770,000 | USD | 4,430,123 | JPM | 9/30/2022 | — | (60,100) |
MXN | 920,000 | USD | 43,880 | BOA | 9/21/2022 | 1,623 | — |
MXN | 2,366,000 | USD | 115,077 | CITI | 9/21/2022 | 1,943 | — |
MXN | 6,629,000 | USD | 322,802 | GSI | 9/21/2022 | 5,059 | — |
MXN | 390,000 | USD | 19,339 | JPM | 9/21/2022 | — | (50) |
MXN | 34,188,000 | USD | 1,707,147 | CITI | 9/30/2022 | — | (19,145) |
NOK | 17,790,000 | USD | 1,838,947 | BARC | 9/30/2022 | — | (47,907) |
NZD | 35,000 | USD | 21,828 | JPM | 9/21/2022 | — | (414) |
NZD | 1,715,000 | USD | 1,066,773 | MSI | 9/30/2022 | — | (17,488) |
PEN | 345,000 | USD | 89,633 | CITI | 9/21/2022 | — | (136) |
PHP | 2,820,000 | USD | 50,067 | CITI | 9/21/2022 | 40 | — |
40 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
PHP | 3,410,000 | USD | 60,402 | GSI | 9/21/2022 | $188 | — |
PHP | 35,462,000 | USD | 631,311 | CITI | 9/30/2022 | — | $(1,673) |
PLN | 315,000 | USD | 66,947 | BARC | 9/21/2022 | — | (128) |
PLN | 1,720,000 | USD | 366,755 | CITI | 9/21/2022 | — | (1,902) |
PLN | 1,091,000 | USD | 232,068 | MSI | 9/21/2022 | — | (641) |
RON | 130,000 | USD | 26,615 | BARC | 9/21/2022 | 285 | — |
RON | 1,675,000 | USD | 343,596 | CITI | 9/21/2022 | 3,007 | — |
RON | 380,000 | USD | 78,461 | GSI | 9/21/2022 | 171 | — |
SEK | 26,022,000 | USD | 2,448,553 | MSI | 9/30/2022 | — | (4,148) |
SGD | 510,000 | USD | 363,440 | BOA | 9/21/2022 | 1,537 | — |
SGD | 310,000 | USD | 224,297 | MSI | 9/21/2022 | — | (2,448) |
THB | 1,130,000 | USD | 31,547 | BOA | 9/21/2022 | — | (524) |
THB | 38,040,000 | USD | 1,059,493 | CITI | 9/21/2022 | — | (15,141) |
THB | 2,060,000 | USD | 58,233 | GSI | 9/21/2022 | — | (1,678) |
THB | 35,437,000 | USD | 985,711 | JPM | 9/30/2022 | — | (12,331) |
TRY | 440,000 | USD | 23,049 | BARC | 9/21/2022 | 797 | — |
TRY | 2,485,000 | USD | 135,349 | JPM | 9/21/2022 | — | (674) |
TRY | 7,114,000 | USD | 381,072 | GSI | 9/30/2022 | 1,673 | — |
USD | 24,304 | AUD | 35,000 | GSI | 9/21/2022 | 349 | — |
USD | 30,283 | AUD | 45,000 | JPM | 9/21/2022 | — | (517) |
USD | 27,121 | AUD | 40,000 | MSI | 9/21/2022 | — | (257) |
USD | 5,209,698 | AUD | 7,446,000 | MSI | 9/30/2022 | 112,549 | — |
USD | 4,911,237 | BRL | 25,348,000 | CITI | 9/2/2022 | 38,870 | — |
USD | 388,139 | BRL | 2,019,000 | GSI | 9/2/2022 | 49 | — |
USD | 50,908 | BRL | 280,000 | JPM | 9/2/2022 | — | (2,913) |
USD | 4,555,834 | BRL | 24,199,000 | MSI | 9/2/2022 | — | (95,673) |
USD | 3,059,646 | BRL | 15,704,000 | CITI | 10/4/2022 | 64,630 | — |
USD | 477,728 | BRL | 2,491,000 | CITI | 12/2/2022 | 9,363 | — |
USD | 49,785 | CAD | 65,000 | MSI | 9/21/2022 | 300 | — |
USD | 1,686,629 | CAD | 2,183,000 | BARC | 9/29/2022 | 24,819 | — |
USD | 14,253 | CLP | 13,503,000 | BOA | 9/21/2022 | — | (760) |
USD | 40,268 | CLP | 36,100,000 | CITI | 9/21/2022 | 131 | — |
USD | 28,509 | CLP | 28,295,000 | MSI | 9/21/2022 | — | (2,950) |
USD | 589,078 | CLP | 543,177,000 | SSB | 9/30/2022 | — | (13,866) |
USD | 27,728 | CNH | 187,000 | GSI | 9/21/2022 | 653 | — |
USD | 29,607 | CNH | 200,000 | MSI | 9/21/2022 | 650 | — |
USD | 1,699,962 | CNH | 11,692,000 | BOA | 9/30/2022 | 6,990 | — |
USD | 37,116 | COP | 162,200,000 | BOA | 9/21/2022 | 599 | — |
USD | 932,134 | COP | 4,116,900,000 | CITI | 9/21/2022 | 5,265 | — |
USD | 16,662 | COP | 70,920,000 | JPM | 9/21/2022 | 695 | — |
USD | 94,359 | COP | 411,580,000 | SSB | 9/21/2022 | 1,697 | — |
USD | 201,158 | COP | 882,500,000 | MSI | 9/30/2022 | 2,734 | — |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 41 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 55,600 | CZK | 1,350,000 | BOA | 9/21/2022 | $375 | — |
USD | 33,784 | CZK | 820,000 | BARC | 9/21/2022 | 240 | — |
USD | 150,508 | CZK | 3,690,000 | CITI | 9/21/2022 | — | $(441) |
USD | 113,244 | CZK | 2,780,000 | MSI | 9/21/2022 | — | (479) |
USD | 1,831,510 | CZK | 45,633,000 | JPM | 9/30/2022 | — | (33,187) |
USD | 73,317 | EGP | 1,470,000 | CITI | 9/29/2022 | — | (507) |
USD | 72,035 | EUR | 70,000 | BOA | 9/21/2022 | 1,601 | — |
USD | 41,666 | EUR | 41,000 | BARC | 9/21/2022 | 411 | — |
USD | 4,014 | EUR | 4,000 | CITI | 9/21/2022 | — | (11) |
USD | 68,044 | EUR | 68,000 | GSI | 9/21/2022 | — | (378) |
USD | 193,461 | EUR | 189,000 | JPM | 9/21/2022 | 3,288 | — |
USD | 6,996 | EUR | 7,000 | MSI | 9/21/2022 | — | (47) |
USD | 60,245 | EUR | 60,000 | BOA | 9/30/2022 | — | (163) |
USD | 12,176,379 | EUR | 12,207,594 | GSI | 9/30/2022 | — | (114,188) |
USD | 220,643 | EUR | 221,000 | JPM | 9/30/2022 | — | (1,858) |
USD | 89,118 | EUR | 89,000 | MSI | 9/30/2022 | — | (487) |
USD | 35,171 | GBP | 30,000 | BOA | 9/21/2022 | 307 | — |
USD | 98,320 | GBP | 82,000 | JPM | 9/21/2022 | 3,027 | — |
USD | 575,609 | GBP | 489,000 | JPM | 9/30/2022 | 7,238 | — |
USD | 8,465 | HUF | 3,329,000 | BARC | 9/21/2022 | 151 | — |
USD | 28,736 | HUF | 11,824,000 | GSI | 9/21/2022 | — | (795) |
USD | 29,653 | HUF | 11,824,000 | JPM | 9/21/2022 | 123 | — |
USD | 53,095 | HUF | 21,200,000 | MSI | 9/21/2022 | 148 | — |
USD | 132,476 | HUF | 55,300,000 | BOA | 9/30/2022 | — | (5,331) |
USD | 67,287 | IDR | 1,010,000,000 | BARC | 9/21/2022 | — | (654) |
USD | 790,890 | IDR | 11,913,000,000 | CITI | 9/21/2022 | — | (10,477) |
USD | 9,318 | IDR | 139,000,000 | GSI | 9/21/2022 | — | (33) |
USD | 20,908 | IDR | 318,000,000 | MSI | 9/21/2022 | — | (483) |
USD | 1,870,497 | IDR | 27,804,000,000 | CITI | 9/30/2022 | 538 | — |
USD | 79,393 | INR | 6,330,000 | CITI | 9/21/2022 | — | (89) |
USD | 33,903 | INR | 2,720,000 | JPM | 9/21/2022 | — | (251) |
USD | 34,556 | INR | 2,760,000 | MSI | 9/21/2022 | — | (100) |
USD | 1,619,503 | INR | 129,625,000 | MSI | 9/30/2022 | — | (6,793) |
USD | 5,967,213 | JPY | 815,950,000 | JPM | 9/30/2022 | 80,953 | — |
USD | 10,838,623 | KRW | 14,548,467,000 | JPM | 9/30/2022 | — | (3,185) |
USD | 107,357 | MXN | 2,210,000 | CITI | 9/21/2022 | — | (1,947) |
USD | 126,315 | MXN | 2,613,000 | MSI | 9/21/2022 | — | (2,921) |
USD | 2,014,241 | MXN | 40,338,000 | CITI | 9/30/2022 | 22,589 | — |
USD | 447,281 | NOK | 4,327,000 | BARC | 9/30/2022 | 11,652 | — |
USD | 61,398 | NZD | 100,000 | BOA | 9/21/2022 | 216 | — |
USD | 25,089 | NZD | 40,000 | JPM | 9/21/2022 | 616 | — |
USD | 672,805 | NZD | 1,088,000 | CITI | 9/30/2022 | 7,136 | — |
42 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 6,673,625 | NZD | 10,728,000 | MSI | 9/30/2022 | $109,938 | — |
USD | 32,976 | PEN | 128,000 | CITI | 9/21/2022 | — | $(229) |
USD | 43,917 | PEN | 170,000 | GSI | 9/21/2022 | — | (183) |
USD | 202,467 | PEN | 788,000 | JPM | 9/21/2022 | — | (1,951) |
USD | 46,699 | PEN | 185,000 | SSB | 9/21/2022 | — | (1,292) |
USD | 1,412,338 | PEN | 5,481,000 | SSB | 9/30/2022 | — | (8,139) |
USD | 99,955 | PHP | 5,580,000 | CITI | 9/21/2022 | 808 | — |
USD | 28,297 | PHP | 1,590,000 | GSI | 9/21/2022 | 45 | — |
USD | 39,839 | PHP | 2,230,000 | JPM | 9/21/2022 | 216 | — |
USD | 11,873 | PLN | 55,000 | GSI | 9/21/2022 | 206 | — |
USD | 142,916 | PLN | 687,000 | MSI | 9/21/2022 | — | (2,813) |
USD | 336,272 | PLN | 1,602,000 | BOA | 9/30/2022 | — | (3,013) |
USD | 276,609 | PLN | 1,340,000 | BARC | 9/30/2022 | — | (7,187) |
USD | 41,767 | RON | 199,000 | BARC | 9/21/2022 | 588 | — |
USD | 39,301 | RON | 188,000 | GSI | 9/21/2022 | 399 | — |
USD | 203,032 | RON | 1,005,000 | GSI | 9/30/2022 | — | (4,664) |
USD | 46,529 | SGD | 65,000 | GSI | 9/21/2022 | 12 | — |
USD | 172,173 | SGD | 240,000 | JPM | 9/21/2022 | 419 | — |
USD | 43,561 | SGD | 60,000 | MSI | 9/21/2022 | 622 | — |
USD | 1,691,103 | SGD | 2,357,000 | MSI | 9/30/2022 | 4,261 | — |
USD | 430,904 | THB | 15,540,000 | JPM | 9/21/2022 | 4,268 | — |
USD | 289,944 | THB | 10,440,000 | MSI | 9/21/2022 | 3,324 | — |
USD | 344,917 | THB | 12,400,000 | JPM | 9/30/2022 | 4,315 | — |
USD | 63,325 | TRY | 1,195,000 | BARC | 9/21/2022 | — | (1,438) |
USD | 67,666 | TRY | 1,280,000 | GSI | 9/21/2022 | — | (1,704) |
USD | 116,239 | TRY | 2,170,000 | GSI | 9/30/2022 | — | (510) |
USD | 24,505 | UYU | 990,000 | CITI | 9/12/2022 | 311 | — |
USD | 54,031 | UYU | 2,205,000 | JPM | 9/21/2022 | 266 | — |
USD | 27,798 | ZAR | 469,000 | BARC | 9/21/2022 | 463 | — |
USD | 165,498 | ZAR | 2,755,000 | GSI | 9/21/2022 | 4,931 | — |
USD | 115,434 | ZAR | 1,947,000 | MSI | 9/21/2022 | 1,958 | — |
USD | 1,486,613 | ZAR | 25,326,000 | BARC | 9/30/2022 | 11,821 | — |
UYU | 990,000 | USD | 24,318 | JPM | 9/12/2022 | — | (124) |
UYU | 4,400,000 | USD | 107,870 | CITI | 9/21/2022 | — | (584) |
ZAR | 860,000 | USD | 51,005 | BOA | 9/21/2022 | — | (883) |
ZAR | 2,340,000 | USD | 138,404 | GSI | 9/21/2022 | — | (2,021) |
ZAR | 144,000 | USD | 8,465 | MSI | 9/21/2022 | — | (73) |
$732,120 | $(761,595) |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 43 |
Interest rate swaps | ||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | 510,000 | CAD | CAD CORRA Compounded OIS | Fixed 0.013% | Semi-Annual | Semi-Annual | Sep 2026 | — | $(33,979) | $(33,979) |
Centrally cleared | 510,000 | CAD | CAD CORRA Compounded OIS | Fixed 0.013% | Semi-Annual | Semi-Annual | Sep 2026 | — | (34,104) | (34,104) |
Centrally cleared | 1,290,000 | CAD | CAD BA CDOR | Fixed 1.269% | Semi-Annual | Semi-Annual | Sep 2026 | — | (93,256) | (93,256) |
Centrally cleared | 880,000 | CAD | CAD CORRA Compounded OIS | Fixed 1.283% | Semi-Annual | Semi-Annual | Nov 2026 | — | (56,866) | (56,866) |
Centrally cleared | 720,000 | CAD | CAD CORRA Compounded OIS | Fixed 1.266% | Semi-Annual | Semi-Annual | Nov 2026 | — | (46,904) | (46,904) |
Centrally cleared | 3,270,000 | CAD | CAD CORRA Compounded OIS | Fixed 1.530% | Semi-Annual | Semi-Annual | Dec 2026 | — | (187,121) | (187,121) |
Centrally cleared | 9,330,000 | MXN | MXN TIIE Banxico | Fixed 7.840% | Monthly | Monthly | Mar 2027 | $427 | (18,218) | (17,791) |
Centrally cleared | 8,650,000 | NZD | NZD BBR FRA | Fixed 2.660% | Semi-Annual | Quarterly | Mar 2027 | (18,592) | (273,586) | (292,178) |
Centrally cleared | 2,700,000 | NZD | NZD BBR FRA | Fixed 2.750% | Semi-Annual | Quarterly | Mar 2027 | 2,556 | (86,958) | (84,402) |
Centrally cleared | 2,770,000 | NZD | NZD BBR FRA | Fixed 2.590% | Semi-Annual | Quarterly | Mar 2027 | 1,272 | (100,261) | (98,989) |
Centrally cleared | 6,990,000 | CAD | CAD CORRA Compounded OIS | Fixed 1.512% | Semi-Annual | Semi-Annual | Mar 2027 | — | (405,447) | (405,447) |
Centrally cleared | 631,420,000 | HUF | HUF BUBOR Reuters | Fixed 5.130% | Annual | Semi-Annual | Mar 2027 | 1,027 | (346,432) | (345,405) |
Centrally cleared | 1,268,960,000 | HUF | HUF BUBOR Reuters | Fixed 5.000% | Annual | Semi-Annual | Mar 2027 | 7,218 | (714,066) | (706,848) |
Centrally cleared | 329,070,000 | INR | Fixed 6.840% | INR MIBOR Compounded OIS | Semi-Annual | Semi-Annual | Sep 2027 | (8,916) | (57,571) | (66,487) |
Centrally cleared | 107,150,000 | INR | Fixed 6.615% | INR MIBOR Compounded OIS | Semi-Annual | Semi-Annual | Sep 2027 | — | (8,969) | (8,969) |
Centrally cleared | 109,860,000 | INR | Fixed 6.291% | INR MIBOR Compounded OIS | Semi-Annual | Semi-Annual | Sep 2027 | — | 9,555 | 9,555 |
Centrally cleared | 52,440,000 | MXN | MXN TIIE Banxico | Fixed 7.340% | Monthly | Monthly | Mar 2032 | 974 | (234,782) | (233,808) |
Centrally cleared | 5,230,000 | CAD | CAD BA CDOR | Fixed 3.389% | Semi-Annual | Semi-Annual | Sep 2037 | — | (73,161) | (73,161) |
$(14,034) | $(2,762,126) | $(2,776,160) |
44 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Credit default swaps - Buyer | ||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
BARC | Federative Republic of Brazil | 833,000 | USD | $833,000 | 1.000% | Quarterly | Dec 2026 | $43,779 | $(573) | $43,206 |
JPM | Republic of Korea | 2,110,000 | USD | 2,110,000 | 1.000% | Quarterly | Dec 2024 | (33,345) | (6,637) | (39,982) |
MSI | Government of Japan | 2,090,000 | USD | 2,090,000 | 1.000% | Quarterly | Dec 2024 | (35,179) | (11,208) | (46,387) |
$5,033,000 | $(24,745) | $(18,418) | $(43,163) | |||||||
Centrally cleared | CDX.NA.HY.38 | 772,200 | USD | 772,200 | 5.000% | Quarterly | Jun 2027 | (19,506) | 21,823 | 2,317 |
Centrally cleared | CDX.NA.IG.38 | 4,470,000 | USD | 4,470,000 | 1.000% | Quarterly | Jun 2027 | (43,864) | 20,474 | (23,390) |
$5,242,200 | $(63,370) | $42,297 | $(21,073) | |||||||
$10,275,200 | $(88,115) | $23,879 | $(64,236) |
Total return swaps | ||||||||||
Pay/ receive total return* | Reference entity | Floating/ fixed rate | Payment frequency | Currency | Notional amount | Maturity date | Counterparty (OTC) | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Pay | iBoxx $ Liquid Investment Grade Index | 1-Day USD Compounded SOFR | At Maturity | USD | 3,495,000 | Mar 2023 | GSI | — | $21,184 | $21,184 |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 500,000 | Sep 2022 | MSI | — | 9,945 | 9,945 |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 1,050,000 | Sep 2022 | MSI | — | 49,360 | 49,360 |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 2,930,000 | Mar 2023 | MSI | — | 123,499 | 123,499 |
Pay | iBoxx $ Liquid Investment Grade Index | 1-Day USD Compounded SOFR | At Maturity | USD | 2,050,000 | Jun 2023 | MSI | — | 16,687 | 16,687 |
— | $220,675 | $220,675 |
Inflation swaps | |||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | USD notional amount | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
BARC | 390,000 | USD | $390,000 | USA CPI All Urban Consumers | Fixed 2.614% | At Maturity | At Maturity | Jun 2026 | — | $(36,721) | $(36,721) |
BARC | 1,990,000 | USD | 1,990,000 | Fixed 3.243% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | — | 32,848 | 32,848 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 45 |
Inflation swaps (continued) | |||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | USD notional amount | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
BARC | 2,010,000 | USD | $2,010,000 | Fixed 3.243% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | — | $33,178 | $33,178 |
BARC | 3,910,000 | USD | 3,910,000 | Fixed 3.147% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | — | 82,836 | 82,836 |
BARC | 780,000 | USD | 780,000 | Fixed 2.875% | USA CPI All Urban Consumers | At Maturity | At Maturity | Feb 2052 | — | (50,915) | (50,915) |
BOA | 810,000 | USD | 810,000 | USA CPI All Urban Consumers | Fixed 2.402% | At Maturity | At Maturity | Mar 2026 | — | (90,284) | (90,284) |
CITI | 1,500,000 | USD | 1,500,000 | Fixed 2.793% | USA CPI All Urban Consumers | At Maturity | At Maturity | Feb 2052 | — | (59,823) | (59,823) |
$11,390,000 | — | $(88,881) | $(88,881) |
Derivatives Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
EGP | Egyptian Pound |
EUR | Euro |
GBP | Pound Sterling |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PEN | Peruvian Nuevo Sol |
PHP | Philippine Peso |
PLN | Polish Zloty |
RON | Romanian New Leu |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Bhat |
TRY | Turkish Lira |
USD | U.S. Dollar |
UYU | Uruguayan Peso |
ZAR | South African Rand |
46 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Derivatives Abbreviations | |
BARC | Barclays Bank PLC |
BBR | Bank Bill Rate |
BOA | Bank of America, N.A. |
BUBOR | Budapest Interbank Offered Rate |
CDOR | Canadian Dollar Offered Rate |
CITI | Citibank, N.A. |
CORRA | Canadian Overnight Repo Rate Average |
CPI | Consumer Price Index |
GSI | Goldman Sachs International |
JPM | JPMorgan Chase Bank, N.A. |
MIBOR | Mumbai Interbank Offered Rate |
MSI | Morgan Stanley & Co. International PLC |
OIS | Overnight Index Swap |
OTC | Over-the-counter |
SOFR | Secured Overnight Financing Rate |
SSB | State Street Bank and Trust Company |
TIIE | Tasa de Interes Interbancario de Equilibrio (Interbank Equilibrium Interest Rate) |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 47 |
Assets | |
Unaffiliated investments, at value (Cost $129,780,395) | $110,631,167 |
Swap contracts, at value (net unamortized upfront payment of $43,779) | 412,743 |
Receivable for centrally cleared swaps (including collateral of $340,000) | 312,152 |
Unrealized appreciation on forward foreign currency contracts | 732,120 |
Receivable for futures variation margin | 13,306 |
Cash | 24,364 |
Foreign currency, at value (Cost $232,383) | 223,624 |
Collateral held at broker for futures contracts | 939,000 |
Collateral segregated at custodian for OTC derivative contracts | 330,000 |
Dividends and interest receivable | 976,872 |
Receivable for fund shares sold | 9,482 |
Receivable for investments sold | 2,735,413 |
Receivable for delayed delivery securities sold | 829,240 |
Receivable from affiliates | 3,605 |
Other assets | 71,084 |
Total assets | 118,244,172 |
Liabilities | |
Payable for sale commitments outstanding, at value (Proceeds received $380,893) | 370,157 |
Unrealized depreciation on forward foreign currency contracts | 761,595 |
Swap contracts, at value (net unamortized upfront payment of $68,524) | 324,112 |
Payable for collateral on OTC derivatives | 680,000 |
Payable for investments purchased | 1,346,112 |
Payable for delayed delivery securities purchased | 828,191 |
Payable for fund shares repurchased | 259,462 |
Payable to affiliates | |
Accounting and legal services fees | 4,219 |
Transfer agent fees | 5,619 |
Trustees’ fees | 107 |
Other liabilities and accrued expenses | 129,813 |
Total liabilities | 4,709,387 |
Net assets | $113,534,785 |
Net assets consist of | |
Paid-in capital | $213,613,328 |
Total distributable earnings (loss) | (100,078,543) |
Net assets | $113,534,785 |
48 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Net asset value per share | |
Based on net asset value and shares outstanding - the fund has an unlimited number of shares authorized with no par value | |
Class A ($41,362,568 ÷ 3,617,116 shares)1 | $11.44 |
Class C ($1,580,857 ÷ 137,943 shares)1 | $11.46 |
Class I ($7,025,262 ÷ 614,756 shares) | $11.43 |
Class R6 ($806,867 ÷ 70,615 shares) | $11.43 |
Class 1 ($62,759,231 ÷ 5,497,243 shares) | $11.42 |
Maximum offering price per share | |
Class A (net asset value per share ÷ 95%)2 | $12.04 |
1 | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
2 | On single retail sales of less than $50,000. On sales of $50,000 or more and on group sales the offering price is reduced. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 49 |
Investment income | |
Interest | $4,720,823 |
Dividends | 287,092 |
Securities lending | 467 |
Other income | 329 |
Less foreign taxes withheld | (28,456) |
Total investment income | 4,980,255 |
Expenses | |
Investment management fees | 827,543 |
Distribution and service fees | 134,063 |
Accounting and legal services fees | 21,560 |
Transfer agent fees | 60,748 |
Trustees’ fees | 366 |
Custodian fees | 71,879 |
State registration fees | 105,774 |
Printing and postage | 11,694 |
Professional fees | 246,250 |
Other | 19,977 |
Total expenses | 1,499,854 |
Less expense reductions | (284,111) |
Net expenses | 1,215,743 |
Net investment income | 3,764,512 |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on | |
Unaffiliated investments and foreign currency transactions | (13,155,009) |
Affiliated investments | (309) |
Futures contracts | 4,364,687 |
Forward foreign currency contracts | 1,952,324 |
Swap contracts | 1,497,913 |
(5,340,394) | |
Change in net unrealized appreciation (depreciation) of | |
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (18,377,582) |
Futures contracts | 224,494 |
Forward foreign currency contracts | 119,330 |
Swap contracts | (2,633,339) |
(20,667,097) | |
Net realized and unrealized loss | (26,007,491) |
Decrease in net assets from operations | $(22,242,979) |
50 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Year ended 8-31-22 | Year ended 8-31-21 | |
Increase (decrease) in net assets | ||
From operations | ||
Net investment income | $3,764,512 | $1,237,619 |
Net realized gain (loss) | (5,340,394) | 781,476 |
Change in net unrealized appreciation (depreciation) | (20,667,097) | (619,308) |
Increase (decrease) in net assets resulting from operations | (22,242,979) | 1,399,787 |
Distributions to shareholders | ||
From earnings | ||
Class A | (1,217,048) | — |
Class C | (22,958) | — |
Class I | (444,039) | — |
Class R6 | (1,021,827) | — |
Class 1 | (1,060,733) | (2,057,556) |
Total distributions | (3,766,605) | (2,057,556) |
From fund share transactions | ||
Fund share transactions | (41,614,668) | 46,368,145 |
Issued in reorganization | 94,289,023 | — |
From fund share transactions | 52,674,355 | 46,368,145 |
Total increase | 26,664,771 | 45,710,376 |
Net assets | ||
Beginning of year | 86,870,014 | 41,159,638 |
End of year | $113,534,785 | $86,870,014 |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 51 |
CLASS A SHARES Period ended | 8-31-22 | 8-31-211 |
Per share operating performance | ||
Net asset value, beginning of period | $13.66 | $13.52 |
Net investment income2 | 0.35 | 0.07 |
Net realized and unrealized gain (loss) on investments | (2.30) | 0.07 |
Total from investment operations | (1.95) | 0.14 |
Less distributions | ||
From net investment income | (0.27) | — |
Net asset value, end of period | $11.44 | $13.66 |
Total return (%)3,4 | (14.51) | 1.045 |
Ratios and supplemental data | ||
Net assets, end of period (in millions) | $41 | $—6 |
Ratios (as a percentage of average net assets): | ||
Expenses before reductions | 1.39 | 1.537 |
Expenses including reductions | 1.17 | 1.167 |
Net investment income | 2.88 | 2.227 |
Portfolio turnover (%) | 1428 | 619 |
1 | The inception date for Class A shares is 6-4-21. |
2 | Based on average daily shares outstanding. |
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
4 | Does not reflect the effect of sales charges, if any. |
5 | Not annualized. |
6 | Less than $500,000. |
7 | Annualized. |
8 | Excludes merger activity. |
9 | Portfolio turnover is shown for the period from 9-1-20 to 8-31-21. |
52 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS C SHARES Period ended | 8-31-22 | 8-31-211 |
Per share operating performance | ||
Net asset value, beginning of period | $13.64 | $13.52 |
Net investment income2 | 0.26 | 0.05 |
Net realized and unrealized gain (loss) on investments | (2.32) | 0.07 |
Total from investment operations | (2.06) | 0.12 |
Less distributions | ||
From net investment income | (0.12) | — |
Net asset value, end of period | $11.46 | $13.64 |
Total return (%)3,4 | (15.15) | 0.895 |
Ratios and supplemental data | ||
Net assets, end of period (in millions) | $2 | $—6 |
Ratios (as a percentage of average net assets): | ||
Expenses before reductions | 2.14 | 2.287 |
Expenses including reductions | 1.92 | 1.917 |
Net investment income | 2.12 | 1.527 |
Portfolio turnover (%) | 1428 | 619 |
1 | The inception date for Class C shares is 6-4-21. |
2 | Based on average daily shares outstanding. |
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
4 | Does not reflect the effect of sales charges, if any. |
5 | Not annualized. |
6 | Less than $500,000. |
7 | Annualized. |
8 | Excludes merger activity. |
9 | Portfolio turnover is shown for the period from 9-1-20 to 8-31-21. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 53 |
CLASS I SHARES Period ended | 8-31-22 | 8-31-211 |
Per share operating performance | ||
Net asset value, beginning of period | $13.67 | $13.52 |
Net investment income2 | 0.38 | 0.07 |
Net realized and unrealized gain (loss) on investments | (2.31) | 0.08 |
Total from investment operations | (1.93) | 0.15 |
Less distributions | ||
From net investment income | (0.31) | — |
Net asset value, end of period | $11.43 | $13.67 |
Total return (%)3 | (14.24) | 1.114 |
Ratios and supplemental data | ||
Net assets, end of period (in millions) | $7 | $—5 |
Ratios (as a percentage of average net assets): | ||
Expenses before reductions | 1.14 | 1.286 |
Expenses including reductions | 0.92 | 0.916 |
Net investment income | 3.03 | 2.116 |
Portfolio turnover (%) | 1427 | 618 |
1 | The inception date for Class I shares is 6-4-21. |
2 | Based on average daily shares outstanding. |
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
4 | Not annualized. |
5 | Less than $500,000. |
6 | Annualized. |
7 | Excludes merger activity. |
8 | Portfolio turnover is shown for the period from 9-1-20 to 8-31-21. |
54 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS R6 SHARES Period ended | 8-31-22 | 8-31-211 |
Per share operating performance | ||
Net asset value, beginning of period | $13.68 | $13.52 |
Net investment income2 | 0.37 | 0.08 |
Net realized and unrealized gain (loss) on investments | (2.28) | 0.08 |
Total from investment operations | (1.91) | 0.16 |
Less distributions | ||
From net investment income | (0.34) | — |
Net asset value, end of period | $11.43 | $13.68 |
Total return (%)3 | (14.16) | 1.184 |
Ratios and supplemental data | ||
Net assets, end of period (in millions) | $1 | $50 |
Ratios (as a percentage of average net assets): | ||
Expenses before reductions | 1.03 | 1.185 |
Expenses including reductions | 0.81 | 0.815 |
Net investment income | 2.80 | 2.495 |
Portfolio turnover (%) | 1426 | 617 |
1 | The inception date for Class R6 shares is 6-4-21. |
2 | Based on average daily shares outstanding. |
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
4 | Not annualized. |
5 | Annualized. |
6 | Excludes merger activity. |
7 | Portfolio turnover is shown for the period from 9-1-20 to 8-31-21. |
SEE NOTES TO FINANCIAL STATEMENTS | ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 55 |
CLASS 1 SHARES Period ended | 8-31-22 | 8-31-21 | 8-31-20 | 8-31-19 | 8-31-18 |
Per share operating performance | |||||
Net asset value, beginning of period | $13.67 | $13.98 | $13.27 | $12.72 | $12.84 |
Net investment income1 | 0.38 | 0.36 | 0.23 | 0.24 | 0.26 |
Net realized and unrealized gain (loss) on investments | (2.30) | 0.03 | 0.94 | 0.48 | (0.38) |
Total from investment operations | (1.92) | 0.39 | 1.17 | 0.72 | (0.12) |
Less distributions | |||||
From net investment income | (0.33) | (0.70) | (0.46) | (0.17) | — |
Net asset value, end of period | $11.42 | $13.67 | $13.98 | $13.27 | $12.72 |
Total return (%)2 | (14.23) | 2.84 | 9.15 | 5.75 | (0.93) |
Ratios and supplemental data | |||||
Net assets, end of period (in millions) | $63 | $36 | $41 | $47 | $51 |
Ratios (as a percentage of average net assets): | |||||
Expenses before reductions | 1.08 | 1.22 | 1.663 | 1.203 | 0.86 |
Expenses including reductions | 0.85 | 0.85 | 0.963 | 1.163 | 0.85 |
Net investment income | 3.16 | 2.62 | 1.77 | 2.05 | 2.04 |
Portfolio turnover (%) | 1424 | 61 | 2245 | 53 | 31 |
1 | Based on average daily shares outstanding. |
2 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
3 | Includes interest expense of 0.09% and 0.26% for the year ended August 31, 2020 and the year ended August 31, 2019, respectively. |
4 | Excludes merger activity. |
5 | Increase in portfolio turnover rate resulted from repositioning of the portfolio during the period in accordance with investment policy changes approved by the Board of Trustees. |
56 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 57 |
Total value at 8-31-22 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $1,657,224 | — | $1,657,224 | — |
Foreign government obligations | 56,497,498 | — | 56,497,498 | — |
Corporate bonds | 24,680,700 | — | 24,680,700 | — |
Convertible bonds | 2,125,098 | — | 2,125,098 | — |
Municipal bonds | 1,613,114 | — | 1,613,114 | — |
Term loans | 7,718,533 | — | 7,718,533 | — |
Collateralized mortgage obligations | 6,178,577 | — | 6,178,577 | — |
Asset backed securities | 6,102,653 | — | 6,102,653 | — |
Common stocks | 8,695 | — | — | $8,695 |
Preferred securities | 50,602 | $49,288 | 1,314 | — |
Escrow certificates | 46 | — | — | 46 |
Short-term investments | 3,998,427 | 3,998,427 | — | — |
Total investments in securities | $110,631,167 | $4,047,715 | $106,574,711 | $8,741 |
Liabilities | ||||
Sale commitments outstanding | $(370,157) | — | $(370,157) | — |
Derivatives: | ||||
Assets | ||||
Futures | 414,487 | $414,487 | — | — |
58 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT |
Total value at 8-31-22 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Forward foreign currency contracts | $732,120 | — | $732,120 | — |
Swap contracts | 424,615 | — | 424,615 | — |
Liabilities | ||||
Futures | (120,095) | $(120,095) | — | — |
Forward foreign currency contracts | (761,595) | — | (761,595) | — |
Swap contracts | (3,133,217) | — | (3,133,217) | — |
Level 3 includes securities valued at $0. Refer to Fund’s investments. |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 59 |
60 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 61 |
August 31, 2022 | August 31, 2021 | |
Ordinary income | $3,766,605 | $2,057,556 |
62 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 63 |
64 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 65 |
Risk | Statement of assets and liabilities location | Financial instruments location | Assets derivatives fair value | Liabilities derivatives fair value |
Interest rate | Receivable/payable for futures variation margin1 | Futures | $414,487 | $(120,095) |
Currency | Unrealized appreciation (depreciation) on forward foreign currency contracts | Forward foreign currency contracts | 732,120 | (761,595) |
Credit | Swap contracts, at value2 | Credit default swaps | 45,523 | (109,759) |
Interest rate | Swap contracts, at value | Total return swaps | 220,675 | — |
Interest rate | Swap contracts, at value2 | Interest rate swaps | 9,555 | (2,785,715) |
Inflation | Swap contracts, at value | Inflation swaps | 148,862 | (237,743) |
$1,571,222 | $(4,014,907) |
1 | Reflects cumulative appreciation/depreciation on open futures as disclosed in the Derivatives section of Fund’s investments. Only the year end variation margin receivable/payable is separately reported on the Statement of assets and liabilities. |
2 | Reflects cumulative value of swap contracts. Receivable/payable for centrally cleared swaps, which includes value and margin, and swap contracts at value, which represents OTC swaps, are shown separately on the Statement of assets and liabilities. |
OTC Financial Instruments | Asset | Liability |
Forward foreign currency contracts | $732,120 | $(761,595) |
Swap contracts | 412,743 | (324,112) |
Totals | $1,144,863 | $(1,085,707) |
Counterparty | Assets | Liabilities | Total Market Value of OTC Derivatives | Collateral Posted by Counterparty1 | Collateral Posted by Portfolio1 | Net Exposure |
Bank of America, N.A. | $78,024 | ($101,689) | ($23,665) | — | $23,665 | — |
66 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT |
Counterparty | Assets | Liabilities | Total Market Value of OTC Derivatives | Collateral Posted by Counterparty1 | Collateral Posted by Portfolio1 | Net Exposure |
Barclays Bank PLC | 244,554 | (154,069) | $90,485 | $90,485 | — | — |
Citibank, N.A. | 155,395 | (214,992) | (59,597) | — | — | ($59,597) |
Goldman Sachs International | 75,124 | (133,616) | (58,492) | — | — | (58,492) |
JPMorgan Chase Bank, N.A. | 122,868 | (202,361) | (79,493) | — | $60,000 | (19,493) |
Morgan Stanley & Co. International PLC | 467,201 | (248,577) | 218,624 | $218,624 | — | — |
State Street Bank and Trust Company | 1,697 | (30,403) | (28,706) | — | — | (28,706) |
Totals | $1,144,863 | ($1,085,707) | 59,156 | $309,109 | $83,665 | ($166,288) |
1 Reflects collateral posted by the counterparty or posted by the fund, excluding any excess collateral amounts. |
Statement of operations location - Net realized gain (loss) on: | ||||
Risk | Futures contracts | Forward foreign currency contracts | Swap contracts | Total |
Interest rate | $4,364,687 | — | $1,479,082 | $5,843,769 |
Currency | — | $1,952,324 | — | 1,952,324 |
Credit | — | — | 18,831 | 18,831 |
Total | $4,364,687 | $1,952,324 | $1,497,913 | $7,814,924 |
Statement of operations location - Change in net unrealized appreciation (depreciation) of: | ||||
Risk | Futures contracts | Forward foreign currency contracts | Swap contracts | Total |
Interest rate | $224,494 | — | $(2,511,482) | $(2,286,988) |
Currency | — | $119,330 | — | 119,330 |
Credit | — | — | (39,076) | (39,076) |
Inflation | — | — | (82,781) | (82,781) |
Total | $224,494 | $119,330 | $(2,633,339) | $(2,289,515) |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 67 |
Class | Expense reduction |
Class A | $80,507 |
Class C | 3,505 |
Class I | 22,329 |
Class | Expense reduction |
Class R6 | $90,210 |
Class 1 | 87,560 |
Total | $284,111 |
68 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT |
Class | Rule 12b-1 Fee |
Class A | 0.25% |
Class C | 1.00% |
Class 1 | 0.05% |
Class | Distribution and service fees | Transfer agent fees |
Class A | $95,010 | $44,283 |
Class C | 16,905 | 1,971 |
Class I | — | 11,611 |
Class R6 | — | 2,883 |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 69 |
Class | Distribution and service fees | Transfer agent fees |
Class 1 | $22,148 | — |
Total | $134,063 | $60,748 |
Borrower or Lender | Weighted Average Loan Balance | Days Outstanding | Weighted Average Interest Rate | Interest Income (Expense) |
Lender | $2,850,000 | 2 | 1.482% | $235 |
Year Ended 8-31-22 | Year Ended 8-31-21 | |||
Shares | Amount | Shares | Amount | |
Class A shares1 | ||||
Sold | 101,942 | $1,229,764 | 5,813 | $78,745 |
Issued in reorganization (Note 9) | 5,073,351 | 67,630,816 | — | — |
Distributions reinvested | 97,996 | 1,215,988 | — | — |
Repurchased | (1,661,986) | (20,049,186) | — | — |
Net increase | 3,611,303 | $50,027,382 | 5,813 | $78,745 |
Class C shares1 | ||||
Sold | 276 | $3,461 | 3,698 | $50,000 |
Issued in reorganization (Note 9) | 215,078 | 2,855,762 | — | — |
Distributions reinvested | 1,908 | 22,889 | — | — |
Repurchased | (83,017) | (988,742) | — | — |
Net increase | 134,245 | $1,893,370 | 3,698 | $50,000 |
Class I shares1 | ||||
Sold | 187,348 | $2,368,805 | 16,354 | $223,000 |
Issued in reorganization (Note 9) | 1,778,097 | 23,732,623 | — | — |
Distributions reinvested | 35,061 | 443,246 | — | — |
Repurchased | (1,402,104) | (17,326,349) | — | — |
Net increase | 598,402 | $9,218,325 | 16,354 | $223,000 |
70 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT |
Year Ended 8-31-22 | Year Ended 8-31-21 | |||
Shares | Amount | Shares | Amount | |
Class R6 shares1 | ||||
Sold | 678,597 | $8,674,407 | 3,666,840 | $49,850,000 |
Issued in reorganization (Note 9) | 5,228 | 69,822 | — | — |
Distributions reinvested | 5,170 | 61,848 | — | — |
Repurchased | (4,285,220) | (50,414,978) | — | — |
Net increase (decrease) | (3,596,225) | $(41,608,901) | 3,666,840 | $49,850,000 |
Class 1 shares | ||||
Sold | 3,914,042 | $46,466,242 | 407,153 | $5,580,071 |
Distributions reinvested | 87,581 | 1,060,733 | 151,737 | 2,057,556 |
Repurchased | (1,164,879) | (14,382,796) | (842,587) | (11,471,227) |
Net increase (decrease) | 2,836,744 | $33,144,179 | (283,697) | $(3,833,600) |
Total net increase | 3,584,469 | $52,674,355 | 3,409,008 | $46,368,145 |
1 | The inception date for Class A, Class C, Class I, and Class R6 shares is 6-4-21. |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
John Hancock Collateral Trust* | — | — | $16,056,835 | $(16,056,526) | $(309) | — | $467 | — | — |
* | Refer to the Securities lending note within Note 2 for details regarding this investment. |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 71 |
Acquiring Portfolio | Acquired Portfolio | Net Asset Value of the Acquired Portfolio | Depreciation of the Acquired Portfolio’s Investments | Shares Redeemed by the Acquired Portfolio | Shares Issued by the Acquiring Portfolio | Acquiring Portfolio Net Assets Prior to Combination | Acquiring Portfolio Total Net Assets After Combination |
Opportunistic Fixed Income Fund | Short Duration Credit Opportunities Fund | $94,289,023 | ($977,122) | 9,816,061 | 7,071,754 | $85,743,663 | $180,032,686 |
Net Investment Income | $4,389,918 |
Net realized and unrealized gain | (28,229,650) |
Increase (decrease) in net assets from operations | ($23,839,732) |
72 | JOHN HANCOCK Opportunistic Fixed Income Fund | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 73 |
74 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 75 |
76 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
(a) | the skills and competency with which the Advisor has in the past managed the Trust’s affairs and its subadvisory relationship, the Advisor’s oversight and monitoring of the Subadvisor’s investment performance and compliance programs, such as the Subadvisor’s compliance with fund policies and objectives, review of brokerage matters, including with respect to trade allocation and best execution and the Advisor’s timeliness in responding to performance issues; |
(b) | the background, qualifications and skills of the Advisor’s personnel; |
(c) | the Advisor’s compliance policies and procedures and its responsiveness to regulatory changes and fund industry developments; |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 77 |
(d) | the Advisor’s administrative capabilities, including its ability to supervise the other service providers for the fund, as well as the Advisor’s oversight of any securities lending activity, its monitoring of class action litigation and collection of class action settlements on behalf of the fund, and bringing loss recovery actions on behalf of the fund; |
(e) | the financial condition of the Advisor and whether it has the financial wherewithal to provide a high level and quality of services to the fund; |
(f) | the Advisor’s initiatives intended to improve various aspects of the Trust’s operations and investor experience with the fund; and |
(g) | the Advisor’s reputation and experience in serving as an investment advisor to the Trust and the benefit to shareholders of investing in funds that are part of a family of funds offering a variety of investments. |
(a) | reviewed information prepared by management regarding the fund’s performance; |
(b) | considered the comparative performance of an applicable benchmark index; |
(c) | considered the performance of comparable funds, if any, as included in the report prepared by an independent third-party provider of fund data; and |
(d) | took into account the Advisor’s analysis of the fund’s performance and its plans and recommendations regarding the Trust’s subadvisory arrangements generally. |
78 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
(a) | reviewed financial information of the Advisor; |
(b) | reviewed and considered information presented by the Advisor regarding the net profitability to the Advisor and its affiliates with respect to the fund; |
(c) | received and reviewed profitability information with respect to the John Hancock Fund Complex as a whole and with respect to the fund; |
(d) | received information with respect to the Advisor’s allocation methodologies used in preparing the profitability data and considered that the Advisor hired an independent third-party consultant to provide an analysis of the Advisor’s allocation methodologies; |
(e) | considered that the John Hancock insurance companies that are affiliates of the Advisor, as shareholders of the Trust directly or through their separate accounts, receive certain tax credits or deductions relating to foreign taxes paid and dividends received by certain funds of the Trust and noted that these tax benefits, which are not available to participants in qualified retirement plans under applicable income tax law, are reflected in the profitability information reviewed by the Board; |
(f) | considered that the Advisor also provides administrative services to the fund on a cost basis pursuant to an administrative services agreement; |
(g) | noted that affiliates of the Advisor provide transfer agency services and distribution services to the fund, and that the fund’s distributor also receives Rule 12b-1 payments to support distribution of the fund; |
(h) | noted that the Advisor also derives reputational and other indirect benefits from providing advisory services to the fund; |
(i) | noted that the subadvisory fee for the fund is paid by the Advisor and is negotiated at arm’s length; |
(j) | considered the Advisor’s ongoing costs and expenditures necessary to improve services, meet new regulatory and compliance requirements, and adapt to other challenges impacting the fund industry; and |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 79 |
(k) | considered that the Advisor should be entitled to earn a reasonable level of profits in exchange for the level of services it provides to the fund and the risks that it assumes as Advisor including entrepreneurial, operational, reputational, litigation and regulatory risk. |
(a) | considered that the Advisor has contractually agreed to waive a portion of its management fee for certain funds of the John Hancock Fund Complex, including the fund (the participating portfolios) or otherwise reimburse the expenses of the participating portfolios (the reimbursement). This waiver is based upon aggregate net assets of all the participating portfolios. The amount of the reimbursement is calculated daily and allocated among all the participating portfolios in proportion to the daily net assets of each fund; |
(b) | reviewed the fund’s advisory fee structure and concluded that: (i) the fund’s fee structure contains breakpoints at the subadvisory fee level and that such breakpoints are reflected as breakpoints in the advisory fees for the fund; and (ii) although economies of scale cannot be measured with precision, these arrangements permit shareholders of the fund to benefit from economies of scale if the fund grows. The Board also took into account management’s discussion of the fund’s advisory fee structure; and |
(c) | the Board also considered the effect of the fund’s growth in size on its performance and fees. The Board also noted that if the fund’s assets increase over time, the fund may realize other economies of scale |
(1) | information relating to the Subadvisor’s business, including current subadvisory services to the Trust (and other funds in the John Hancock Fund Complex); |
(2) | the historical and current performance of the fund and comparative performance information relating to an applicable benchmark index and comparable funds; |
(3) | the subadvisory fee for the fund, including any breakpoints, and to the extent available, comparable fee information prepared by an independent third party provider of fund data; and |
(4) | information relating to the nature and scope of any material relationships and their significance to the Trust’s Advisor and Subadvisor. |
80 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
(1) | the Subadvisor has extensive experience and demonstrated skills as a manager; |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 81 |
(2) | the performance of the fund has generally been in line with or outperformed the historical performance of comparable funds and the fund’s benchmark index; |
(3) | the subadvisory fees are reasonable in relation to the level and quality of services being provided under the Subadvisory Agreement; and |
(4) | the subadvisory fees are paid by the Advisor not the fund and that the subadvisory fee breakpoints are reflected as breakpoints in the advisory fees for the fund in order to permit shareholders to benefit from economies of scale if the fund grows. |
82 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
• | The Fund’s investment strategy remained appropriate for an open-end fund structure; |
• | The Fund was able to meet requests for redemption without significant dilution of remaining shareholders’ interests in the Fund; |
• | The Fund did not report any breaches of the 15% limit on illiquid investments that would require reporting to the Securities and Exchange Commission; |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 83 |
• | The Fund continued to qualify as a Primarily Highly Liquid Fund under the Liquidity Rule and therefore is not required to establish a HLIM; and |
• | The Chief Compliance Officer’s office, as a part of their annual Rule 38a-1 assessment of the Fund’s policies and procedures, reviewed the LRMP’s control environment and deemed it to be operating effectively and in compliance with the Board approved procedures. |
84 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
Independent Trustees | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Hassell H. McClellan, Born: 1945 | 2005 | 192 |
Trustee and Chairperson of the Board | ||
Director/Trustee, Virtus Funds (2008-2020); Director, The Barnes Group (2010-2021); Associate Professor, The Wallace E. Carroll School of Management, Boston College (retired 2013). Trustee (since 2005) and Chairperson of the Board (since 2017) of various trusts within the John Hancock Fund Complex. | ||
James R. Boyle, Born: 1959 | 2015 | 192 |
Trustee | ||
Foresters Financial, Chief Executive Officer (2018–2022) and board member (2017–2022). Manulife Financial and John Hancock, more than 20 years, retiring in 2012 as Chief Executive Officer, John Hancock and Senior Executive Vice President, Manulife Financial. Trustee of various trusts within the John Hancock Fund Complex (2005–2014 and since 2015). | ||
Peter S. Burgess,2 Born: 1942 | 2005 | 192 |
Trustee | ||
Consultant (financial, accounting, and auditing matters) (since 1999); Certified Public Accountant; Partner, Arthur Andersen (independent public accounting firm) (prior to 1999); Director, Lincoln Educational Services Corporation (2004-2021); Director, Symetra Financial Corporation (2010–2016); Director, PMA Capital Corporation (2004–2010). Trustee of various trusts within the John Hancock Fund Complex (since 2005). | ||
William H. Cunningham,2 Born: 1944 | 2012 | 192 |
Trustee | ||
Professor, University of Texas, Austin, Texas (since 1971); former Chancellor, University of Texas System and former President of the University of Texas, Austin, Texas; Director (since 2006), Lincoln National Corporation (insurance); Director, Southwest Airlines (since 2000). Trustee of various trusts within the John Hancock Fund Complex (since 1986). | ||
Noni L. Ellison,* Born: 1971 | 2022 | 192 |
Trustee | ||
Senior Vice President, General Counsel & Corporate Secretary, Tractor Supply Company (rural lifestyle retailer) (since 2021); General Counsel, Chief Compliance Officer & Corporate Secretary, Carestream Dental, L.L.C.(2017–2021); Associate General Counsel & Assistant Corporate Secretary, W.W. Grainger, Inc. (global industrial supplier) (2015–2017); Board Member, Goodwill of North Georgia, 2018 (FY2019)–2020 (FY2021); Board Member, Howard University School of Law Board of Visitors (since 2021); Board Member, University of Chicago Law School Board of Visitors (since 2016); Board member, Children’s Healthcare of Atlanta Foundation Board (2021–present). | ||
Grace K. Fey, Born: 1946 | 2008 | 192 |
Trustee | ||
Chief Executive Officer, Grace Fey Advisors (since 2007); Director and Executive Vice President, Frontier Capital Management Company (1988–2007); Director, Fiduciary Trust (since 2009). Trustee of various trusts within the John Hancock Fund Complex (since 2008). |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 85 |
Independent Trustees (continued) | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Dean C. Garfield,* Born: 1968 | 2022 | 192 |
Trustee | ||
Vice President, Netflix, Inc. (since 2019); President & Chief Executive Officer, Information Technology Industry Council (2009–2019); NYU School of Law Board of Trustees (since 2021); Member, U.S. Department of Transportation, Advisory Committee on Automation (since 2021); President of the United States Trade Advisory Council (2010–2018); Board Member, College for Every Student (2017–2021); Board Member, The Seed School of Washington, D.C. (2012–2017). | ||
Deborah C. Jackson, Born: 1952 | 2012 | 192 |
Trustee | ||
President, Cambridge College, Cambridge, Massachusetts (since 2011); Board of Directors, Amwell Corporation (since 2020); Board of Directors, Massachusetts Women’s Forum (2018-2020); Board of Directors, National Association of Corporate Directors/New England (2015-2020); Chief Executive Officer, American Red Cross of Massachusetts Bay (2002–2011); Board of Directors of Eastern Bank Corporation (since 2001); Board of Directors of Eastern Bank Charitable Foundation (since 2001); Board of Directors of Boston Stock Exchange (2002–2008); Board of Directors of Harvard Pilgrim Healthcare (health benefits company) (2007–2011). Trustee of various trusts within the John Hancock Fund Complex (since 2008). | ||
Patricia Lizarraga,2,* Born: 1966 | 2022 | 192 |
Trustee | ||
Founder, Chief Executive Officer, Hypatia Capital Group (advisory and asset management company) (since 2007); Independent Director, Audit Committee Chair, and Risk Committee Member, Credicorp, Ltd. (since 2017); Independent Director, Audit Committee Chair, Banco De Credito Del Peru (since 2017); Trustee, Museum of Art of Lima (since 2009). | ||
Steven R. Pruchansky, Born: 1944 | 2012 | 192 |
Trustee and Vice Chairperson of the Board | ||
Managing Director, Pru Realty (since 2017); Chairman and Chief Executive Officer, Greenscapes of Southwest Florida, Inc. (2014-2020); Director and President, Greenscapes of Southwest Florida, Inc. (until 2000); Member, Board of Advisors, First American Bank (until 2010); Managing Director, Jon James, LLC (real estate) (since 2000); Partner, Right Funding, LLC (2014-2017); Director, First Signature Bank & Trust Company (until 1991); Director, Mast Realty Trust (until 1994); President, Maxwell Building Corp. (until 1991). Trustee (since 1992), Chairperson of the Board (2011–2012), and Vice Chairperson of the Board (since 2012) of various trusts within the John Hancock Fund Complex. | ||
Frances G. Rathke,2 Born: 1960 | 2020 | 192 |
Trustee | ||
Director, Audit Committee Chair, Oatly Group AB (plant-based drink company) (since 2021); Director, Audit Committee Chair and Compensation Committee Member, Green Mountain Power Corporation (since 2016); Director, Treasurer and Finance & Audit Committee Chair, Flynn Center for Performing Arts (since 2016); Director and Audit Committee Chair, Planet Fitness (since 2016); Chief Financial Officer and Treasurer, Keurig Green Mountain, Inc. (2003-retired 2015). Trustee of various trusts within the John Hancock Fund Complex (since 2020). |
86 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
Independent Trustees (continued) | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Gregory A. Russo, Born: 1949 | 2012 | 192 |
Trustee | ||
Director and Audit Committee Chairman (2012-2020), and Member, Audit Committee and Finance Committee (2011-2020), NCH Healthcare System, Inc. (holding company for multi-entity healthcare system); Director and Member (2012-2018), and Finance Committee Chairman (2014-2018), The Moorings, Inc. (nonprofit continuing care community); Global Vice Chairman, Risk & Regulatory Matters, KPMG LLP (KPMG) (2002–2006); Vice Chairman, Industrial Markets, KPMG (1998–2002). Trustee of various trusts within the John Hancock Fund Complex (since 2008). |
Non-Independent Trustees3 | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Andrew G. Arnott, Born: 1971 | 2017 | 192 |
President and Non-Independent Trustee | ||
Head of Wealth and Asset Management, United States and Europe, for John Hancock and Manulife (since 2018); Director and Executive Vice President, John Hancock Investment Management LLC (since 2005, including prior positions); Director and Executive Vice President, John Hancock Variable Trust Advisers LLC (since 2006, including prior positions); President, John Hancock Investment Management Distributors LLC (since 2004, including prior positions); President of various trusts within the John Hancock Fund Complex (since 2007, including prior positions). Trustee of various trusts within the John Hancock Fund Complex (since 2017). | ||
Marianne Harrison, Born: 1963 | 2018 | 192 |
Non-Independent Trustee | ||
President and CEO, John Hancock (since 2017); President and CEO, Manulife Canadian Division (2013–2017); Member, Board of Directors, Boston Medical Center (since 2021); Member, Board of Directors, CAE Inc. (since 2019); Member, Board of Directors, MA Competitive Partnership Board (since 2018); Member, Board of Directors, American Council of Life Insurers (ACLI) (since 2018); Member, Board of Directors, Communitech, an industry-led innovation center that fosters technology companies in Canada (2017-2019); Member, Board of Directors, Manulife Assurance Canada (2015-2017); Board Member, St. Mary’s General Hospital Foundation (2014-2017); Member, Board of Directors, Manulife Bank of Canada (2013- 2017); Member, Standing Committee of the Canadian Life & Health Assurance Association (2013-2017); Member, Board of Directors, John Hancock USA, John Hancock Life & Health, John Hancock New York (2012–2013). Trustee of various trusts within the John Hancock Fund Complex (since 2018). | ||
Paul Lorentz,† Born: 1968 | 2022 | 192 |
Non-Independent Trustee | ||
Global Head, Manulife Wealth and Asset Management (since 2017); General Manager, Manulife, Individual Wealth Management and Insurance (2013–2017); President, Manulife Investments (2010–2016). |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 87 |
Principal officers who are not Trustees | |
Name, year of birth Position(s) held with Trust Principal occupation(s) during past 5 years | Current Position(s) with the Trust since |
Charles A. Rizzo, Born: 1957 | 2007 |
Chief Financial Officer | |
Vice President, John Hancock Financial Services (since 2008); Senior Vice President, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2008); Chief Financial Officer of various trusts within the John Hancock Fund Complex (since 2007). | |
Salvatore Schiavone, Born: 1965 | 2009 |
Treasurer | |
Assistant Vice President, John Hancock Financial Services (since 2007); Vice President, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2007); Treasurer of various trusts within the John Hancock Fund Complex (since 2007, including prior positions). | |
Christopher (Kit) Sechler, Born: 1973 | 2018 |
Secretary and Chief Legal Officer | |
Vice President and Deputy Chief Counsel, John Hancock Investment Management (since 2015); Assistant Vice President and Senior Counsel (2009–2015), John Hancock Investment Management; Assistant Secretary of John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2009); Chief Legal Officer and Secretary of various trusts within the John Hancock Fund Complex (since 2009, including prior positions). | |
Trevor Swanberg, Born: 1979 | 2020 |
Chief Compliance Officer | |
Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2020); Deputy Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (2019–2020); Assistant Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (2016–2019); Vice President, State Street Global Advisors (2015–2016); Chief Compliance Officer of various trusts within the John Hancock Fund Complex (since 2016, including prior positions). |
1 | Each Trustee holds office until his or her successor is elected and qualified, or until the Trustee’s death, retirement, resignation, or removal. Mr. Boyle has served as Trustee at various times prior to the date listed in the table. |
2 | Member of the Audit Committee. |
3 | The Trustee is a Non-Independent Trustee due to current or former positions with the Advisor and certain affiliates. |
* | Elected to serve as Independent Trustee effective as of September 9, 2022. |
† | Elected to serve as Non-Independent Trustee effective as of September 9, 2022. |
88 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | ANNUAL REPORT |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
James R. Boyle
Peter S. Burgess*
William H. Cunningham*
Grace K. Fey
Noni L. Ellison^
Dean C. Garfield^
Marianne Harrison†
Deborah C. Jackson
Patricia Lizarraga*,^
Paul Lorentz‡
Frances G. Rathke*
Gregory A. Russo
President
Chief Financial Officer
Treasurer
Secretary and Chief Legal Officer
Chief Compliance Officer
Brij S. Khurana
You can also contact us: | ||
800-225-5291 | Regular mail: | Express mail: |
jhinvestments.com | John Hancock Signature Services, Inc. P.O. Box 219909 Kansas City, MO 64121-9909 | John Hancock Signature Services, Inc. 430 W 7th Street Suite 219909 Kansas City, MO 64105-1407 |
ANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 89 |
GOVERNANCE FUNDS
with a heritage of financial stewardship dating back to 1862. Helping
our shareholders pursue their financial goals is at the core of everything
we do. It’s why we support the role of professional financial advice
and operate with the highest standards of conduct and integrity.
We search the world to find proven portfolio teams with specialized
expertise for every strategy we offer, then we apply robust investment
oversight to ensure they continue to meet our uncompromising
standards and serve the best interests of our shareholders.
a diverse set of investments backed by some of the world’s best
managers, along with strong risk-adjusted returns across asset classes.
200 Berkeley Street, Boston, MA 02116-5010, 800-225-5291, jhinvestments.com
MF2406981 | 476A 8/22 |
3 | |
13 | |
15 | |
79 | |
82 | |
85 | |
87 | |
89 | |
107 | |
108 | |
109 | |
113 | |
118 | |
119 | |
122 |
Fund | Manager’s commentary and fund performance | Portfolio of investments | ||
4 | 15 | |||
5 | 16 | |||
6 | 22 | |||
7 | 34 | |||
8 | 36 |
Fund | Manager’s commentary and fund performance | Portfolio of investments | ||
9 | 44 | |||
10 | 68 | |||
11 | 70 | |||
12 | 71 |
2 |
Sector Composition (% of net assets) | |
Information technology | 36.7 |
Consumer discretionary | 29.0 |
Health care | 11.7 |
Communication services | 8.6 |
Consumer staples | 4.6 |
Financials | 3.6 |
Industrials | 1.7 |
Real estate | 1.6 |
Energy | 1.4 |
Short-term investments and other | 1.1 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-22 (%) | 1-year | 5-year | 10-year | 5-year | 10-year |
Capital Appreciation Fund Class 1 | -31.48 | 12.21 | 14.26 | 77.88 | 279.19 |
Capital Appreciation Fund Class NAV | -31.44 | 12.26 | 14.31 | 78.29 | 280.80 |
Russell 1000 Growth Index | -19.06 | 14.78 | 15.09 | 99.21 | 307.83 |
Class 1 | Class NAV | |
Gross (%) | 0.79 | 0.74 |
Net (%) | 0.78 | 0.73 |
Portfolio Composition (% of net assets) | |
Common stocks | 60.0 |
Term loans | 14.3 |
U.S. Government | 7.9 |
Corporate bonds | 7.2 |
Preferred securities | 0.5 |
Convertible bonds | 0.2 |
Short-term investments and other | 9.9 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-22 (%) | 1-year | 5-year | 10-year | 5-year | 10-year |
Capital Appreciation Value Fund Class NAV | -7.56 | 10.14 | 11.24 | 62.04 | 190.05 |
S&P 500 Index | -11.23 | 11.82 | 13.08 | 74.86 | 241.73 |
Blended Index | -11.07 | 7.53 | 8.49 | 43.74 | 125.86 |
Class NAV | |
Gross (%) | 0.86 |
Net (%) | 0.85 |
Portfolio Composition (% of total investments) | |
U.S. Government | 27.2 |
Corporate bonds | 24.3 |
U.S. Government Agency | 24.0 |
Asset backed securities | 9.4 |
Collateralized mortgage obligations | 8.8 |
Foreign government obligations | 0.7 |
Municipal bonds | 0.2 |
Short-term investments | 5.4 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-22 (%) | 1-year | 5-year | 10-year | 5-year | 10-year |
Core Bond Fund Class 1 | -12.33 | 0.22 | 1.20 | 1.13 | 12.64 |
Core Bond Fund Class NAV | -12.30 | 0.28 | 1.25 | 1.38 | 13.22 |
Bloomberg U.S. Aggregate Bond Index | -11.52 | 0.52 | 1.35 | 2.62 | 14.36 |
Class 1 | Class NAV | |
Gross (%) | 0.67 | 0.62 |
Net (%) | 0.66 | 0.61 |
Industry Composition (% of net assets) | |
Biotechnology | 26.9 |
Health care providers and services | 20.7 |
Life sciences tools and services | 16.8 |
Health care equipment and supplies | 16.5 |
Pharmaceuticals | 15.9 |
Health care technology | 1.7 |
Industrial conglomerates | 0.3 |
Specialty retail | 0.2 |
Electronic equipment, instruments and components | 0.1 |
Capital markets | 0.1 |
Chemicals | 0.1 |
Short-term investments and other | 0.7 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-22 (%) | 1-year | 5-year | 10-year | 5-year | 10-year |
Health Sciences Fund Class NAV (began 9/30/11) | -19.99 | 9.38 | 14.72 | 56.56 | 294.73 |
S&P 500 Index | -11.23 | 11.82 | 13.08 | 74.86 | 241.73 |
Lipper Health/Biotechnology Index | -20.78 | 7.67 | 13.47 | 44.72 | 253.94 |
Class NAV | |
Gross (%) | 0.96 |
Net (%) | 0.95 |
Portfolio Composition (% of net assets) | |
Corporate bonds | 81.6 |
Asset backed securities | 7.2 |
Term loans | 5.7 |
Convertible bonds | 1.1 |
Preferred securities | 0.7 |
Foreign government obligations | 0.7 |
Common stocks | 0.7 |
Short-term investments and other | 2.3 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-22 (%) | 1-year | 5-year | 10-year | 5-year | 10-year |
High Yield Fund Class 1 | -12.21 | 2.13 | 3.68 | 11.13 | 43.49 |
Bloomberg U.S. High Yield 2% Issuer Capped Index | -10.61 | 2.57 | 4.50 | 13.52 | 55.35 |
Class 1 | |
Gross (%) | 0.84 |
Net (%) | 0.83 |
Sector Composition (% of net assets) | |
Financials | 19.8 |
Industrials | 11.1 |
Consumer discretionary | 10.8 |
Information technology | 9.1 |
Consumer staples | 9.0 |
Health care | 8.9 |
Materials | 8.1 |
Energy | 7.0 |
Communication services | 5.8 |
Utilities | 3.3 |
Real estate | 2.2 |
Short-term investments and other | 4.9 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-22 (%) | 1-year | 5-year | Since inception | 5-year | Since inception |
International Strategic Equity Allocation Fund Class NAV (began 10/17/16) | -21.25 | 0.51 | 3.34 | 2.58 | 21.31 |
MSCI ACWI ex USA Index | -19.52 | 1.67 | 4.54 | 8.64 | 29.80 |
Class NAV | |
Gross (%) | 0.72 |
Net (%) | 0.71 |
Sector Composition (% of net assets) | |
Financials | 17.8 |
Health care | 12.7 |
Industrials | 10.7 |
Energy | 8.2 |
Materials | 8.0 |
Consumer staples | 7.9 |
Real estate | 6.2 |
Consumer discretionary | 5.9 |
Communication services | 5.7 |
Utilities | 5.5 |
Information technology | 4.8 |
Short-term investments and other | 6.6 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-22 (%) | 1-year | 5-year | 10-year | 5-year | 10-year |
Mid Value Fund Class NAV | -1.38 | 7.74 | 10.60 | 45.20 | 173.86 |
Russell Midcap Value Index | -7.80 | 7.49 | 10.81 | 43.51 | 179.01 |
Class NAV | |
Gross (%) | 0.92 |
Net (%) | 0.91 |
Sector Composition (% of net assets) | |
Information technology | 46.2 |
Consumer discretionary | 30.5 |
Communication services | 16.6 |
Real estate | 0.8 |
Health care | 0.5 |
Short-term investments and other | 5.4 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-22 (%) | 1-year | 5-year | Since inception | 5-year | Since inception |
Science & Technology Fund Class NAV (began 2/14/13) | -33.02 | 11.65 | 15.40 | 73.50 | 292.46 |
S&P 500 Index | -11.23 | 11.82 | 12.69 | 74.86 | 212.88 |
Lipper Science and Technology Index | -29.27 | 13.02 | 15.35 | 84.37 | 290.79 |
Class NAV | |
Gross (%) | 1.02 |
Net (%) | 1.01 |
Sector Composition (% of net assets) | |
Information technology | 22.5 |
Health care | 12.3 |
Financials | 10.9 |
Consumer discretionary | 10.7 |
Consumer staples | 9.5 |
Industrials | 8.5 |
Communication services | 6.9 |
Utilities | 4.7 |
Energy | 4.4 |
Real estate | 2.6 |
Materials | 2.3 |
Short-term investments and other | 4.7 |
PERFORMANCE TABLE | Average Annual Total Return | Cumulative Total Return | |||
Total returns for the period ended 8-31-22 (%) | 1-year | 5-year | Since inception | 5-year | Since inception |
U.S. Sector Rotation Fund Class NAV (began 9/26/16) | -12.17 | 10.70 | 11.72 | 66.25 | 92.99 |
S&P 500 Index | -11.23 | 11.82 | 12.74 | 74.86 | 103.62 |
Class NAV | |
Gross (%) | 0.67 |
Net (%) | 0.66 |
Account value on 3-1-2022 | Ending value on 8-31-2022 | Expenses paid during period ended 8-31-20221 | Annualized expense ratio | ||
Capital Appreciation Fund | |||||
Class 1 | Actual expenses/actual returns | $1,000.00 | $833.50 | $3.70 | 0.80% |
Hypothetical example | 1,000.00 | 1,021.20 | 4.08 | 0.80% | |
Class NAV | Actual expenses/actual returns | 1,000.00 | 833.30 | 3.47 | 0.75% |
Hypothetical example | 1,000.00 | 1,021.40 | 3.82 | 0.75% | |
Capital Appreciation Value Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $937.90 | $4.05 | 0.83% |
Hypothetical example | 1,000.00 | 1,021.00 | 4.23 | 0.83% | |
Core Bond Fund | |||||
Class 1 | Actual expenses/actual returns | $1,000.00 | $917.70 | $3.19 | 0.66% |
Hypothetical example | 1,000.00 | 1,021.90 | 3.36 | 0.66% | |
Class NAV | Actual expenses/actual returns | 1,000.00 | 917.80 | 2.95 | 0.61% |
Hypothetical example | 1,000.00 | 1,022.10 | 3.11 | 0.61% | |
Health Sciences Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $961.50 | $4.65 | 0.94% |
Hypothetical example | 1,000.00 | 1,020.50 | 4.79 | 0.94% | |
High Yield Fund | |||||
Class 1 | Actual expenses/actual returns | $1,000.00 | $903.70 | $4.08 | 0.85% |
Hypothetical example | 1,000.00 | 1,020.90 | 4.33 | 0.85% | |
International Strategic Equity Allocation Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $854.90 | $2.66 | 0.57% |
Hypothetical example | 1,000.00 | 1,022.30 | 2.91 | 0.57% | |
Mid Value Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $921.40 | $4.26 | 0.88% |
Hypothetical example | 1,000.00 | 1,020.80 | 4.48 | 0.88% | |
Science & Technology Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $807.00 | $4.74 | 1.04% |
Hypothetical example | 1,000.00 | 1,020.00 | 5.30 | 1.04% |
Account value on 3-1-2022 | Ending value on 8-31-2022 | Expenses paid during period ended 8-31-20221 | Annualized expense ratio | ||
U.S. Sector Rotation Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $903.90 | $2.50 | 0.52% |
Hypothetical example | 1,000.00 | 1,022.60 | 2.65 | 0.52% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 98.9% | |||||
Communication services – 8.6% | |||||
Entertainment – 1.0% | |||||
Netflix, Inc. (A) | 32,552 | $ | 7,277,325 | ||
ROBLOX Corp., Class A (A) | 170,792 | 6,679,675 | |||
13,957,000 | |||||
Interactive media and services – 7.6% | |||||
Alphabet, Inc., Class A (A) | 390,619 | 42,272,788 | |||
Alphabet, Inc., Class C (A) | 376,219 | 41,064,304 | |||
Meta Platforms, Inc., Class A (A) | 85,910 | 13,997,316 | |||
ZoomInfo Technologies, Inc. (A) | 176,896 | 8,034,616 | |||
105,369,024 | |||||
119,326,024 | |||||
Consumer discretionary – 29.0% | |||||
Automobiles – 7.9% | |||||
Tesla, Inc. (A) | 397,821 | 109,643,445 | |||
Hotels, restaurants and leisure – 4.1% | |||||
Airbnb, Inc., Class A (A) | 138,331 | 15,648,003 | |||
Chipotle Mexican Grill, Inc. (A) | 10,678 | 17,050,630 | |||
Marriott International, Inc., Class A | 108,397 | 16,664,955 | |||
McDonald's Corp. | 26,706 | 6,737,390 | |||
56,100,978 | |||||
Internet and direct marketing retail – 7.7% | |||||
Amazon.com, Inc. (A) | 708,728 | 89,845,449 | |||
MercadoLibre, Inc. (A) | 20,316 | 17,377,494 | |||
107,222,943 | |||||
Multiline retail – 0.5% | |||||
Target Corp. | 44,967 | 7,210,009 | |||
Specialty retail – 3.8% | |||||
O'Reilly Automotive, Inc. (A) | 19,250 | 13,419,560 | |||
The Home Depot, Inc. | 74,606 | 21,517,863 | |||
The TJX Companies, Inc. | 279,904 | 17,452,014 | |||
52,389,437 | |||||
Textiles, apparel and luxury goods – 5.0% | |||||
Lululemon Athletica, Inc. (A) | 61,879 | 18,561,225 | |||
LVMH Moet Hennessy Louis Vuitton SE | 54,129 | 34,927,645 | |||
NIKE, Inc., Class B | 148,559 | 15,814,106 | |||
69,302,976 | |||||
401,869,788 | |||||
Consumer staples – 4.6% | |||||
Food and staples retailing – 2.4% | |||||
Costco Wholesale Corp. | 64,726 | 33,793,445 | |||
Personal products – 2.2% | |||||
The Estee Lauder Companies, Inc., Class A | 120,652 | 30,691,456 | |||
64,484,901 | |||||
Energy – 1.4% | |||||
Energy equipment and services – 1.4% | |||||
Schlumberger NV | 505,438 | 19,282,460 | |||
Financials – 3.6% | |||||
Capital markets – 3.6% | |||||
KKR & Company, Inc. | 258,822 | 13,086,040 | |||
S&P Global, Inc. | 50,956 | 17,945,684 | |||
The Goldman Sachs Group, Inc. | 55,633 | 18,507,430 | |||
49,539,154 | |||||
Health care – 11.7% | |||||
Biotechnology – 1.1% | |||||
Vertex Pharmaceuticals, Inc. (A) | 56,598 | 15,947,052 | |||
Health care equipment and supplies – 2.1% | |||||
Abbott Laboratories | 124,696 | 12,800,044 | |||
DexCom, Inc. (A) | 97,616 | 8,025,011 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care equipment and supplies (continued) | |||||
Intuitive Surgical, Inc. (A) | 39,094 | $ | 8,043,200 | ||
28,868,255 | |||||
Health care providers and services – 2.2% | |||||
UnitedHealth Group, Inc. | 58,678 | 30,473,246 | |||
Life sciences tools and services – 2.0% | |||||
Danaher Corp. | 100,427 | 27,106,252 | |||
Pharmaceuticals – 4.3% | |||||
Eli Lilly & Company | 139,586 | 42,047,491 | |||
Novo Nordisk A/S, ADR | 165,938 | 17,606,022 | |||
59,653,513 | |||||
162,048,318 | |||||
Industrials – 1.7% | |||||
Road and rail – 1.7% | |||||
Uber Technologies, Inc. (A) | 834,004 | 23,985,955 | |||
Information technology – 36.7% | |||||
IT services – 9.1% | |||||
Adyen NV (A)(B) | 15,533 | 23,969,665 | |||
Mastercard, Inc., Class A | 118,064 | 38,296,420 | |||
Snowflake, Inc., Class A (A) | 97,645 | 17,668,863 | |||
Visa, Inc., Class A | 231,954 | 46,091,579 | |||
126,026,527 | |||||
Semiconductors and semiconductor equipment – 5.8% | |||||
ASML Holding NV, NYRS | 28,734 | 14,077,936 | |||
Broadcom, Inc. | 50,877 | 25,393,219 | |||
NVIDIA Corp. | 268,765 | 40,567,389 | |||
80,038,544 | |||||
Software – 14.7% | |||||
Adobe, Inc. (A) | 59,160 | 22,092,710 | |||
Atlassian Corp. PLC, Class A (A) | 87,635 | 21,703,684 | |||
Crowdstrike Holdings, Inc., Class A (A) | 131,071 | 23,934,875 | |||
HubSpot, Inc. (A) | 18,604 | 6,270,292 | |||
Microsoft Corp. | 304,598 | 79,643,239 | |||
salesforce.com, Inc. (A) | 226,533 | 35,366,332 | |||
The Trade Desk, Inc., Class A (A) | 234,767 | 14,719,891 | |||
203,731,023 | |||||
Technology hardware, storage and peripherals – 7.1% | |||||
Apple, Inc. | 626,512 | 98,500,217 | |||
508,296,311 | |||||
Real estate – 1.6% | |||||
Equity real estate investment trusts – 1.6% | |||||
American Tower Corp. | 85,194 | 21,643,536 | |||
TOTAL COMMON STOCKS (Cost $724,978,562) | $ | 1,370,476,447 | |||
SHORT-TERM INVESTMENTS – 1.2% | |||||
Short-term funds – 1.2% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 2.2409% (C) | 16,540,055 | 16,540,055 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $16,540,055) | $ | 16,540,055 | |||
Total Investments (Capital Appreciation Fund) (Cost $741,518,617) – 100.1% | $ | 1,387,016,502 | |||
Other assets and liabilities, net – (0.1%) | (1,014,052) | ||||
TOTAL NET ASSETS – 100.0% | $ | 1,386,002,450 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
NYRS | New York Registry Shares |
(A) | Non-income producing security. |
The accompanying notes are an integral part of the financial statements. | 15 |
(B) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. |
(C) | The rate shown is the annualized seven-day yield as of 8-31-22. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 60.0% | |||||
Communication services – 3.2% | |||||
Interactive media and services – 3.2% | |||||
Alphabet, Inc., Class A (A)(B) | 143,160 | $ | 15,492,775 | ||
Alphabet, Inc., Class C (B) | 166,020 | 18,121,083 | |||
Meta Platforms, Inc., Class A (B) | 40,548 | 6,606,486 | |||
40,220,344 | |||||
Consumer discretionary – 5.8% | |||||
Hotels, restaurants and leisure – 3.3% | |||||
Starbucks Corp. (A) | 101,997 | 8,574,888 | |||
Yum! Brands, Inc. (A) | 290,335 | 32,296,865 | |||
40,871,753 | |||||
Internet and direct marketing retail – 2.5% | |||||
Amazon.com, Inc. (A)(B) | 247,234 | 31,341,854 | |||
72,213,607 | |||||
Consumer staples – 0.7% | |||||
Beverages – 0.7% | |||||
Keurig Dr. Pepper, Inc. | 226,650 | 8,639,898 | |||
Energy – 0.6% | |||||
Oil, gas and consumable fuels – 0.6% | |||||
EOG Resources, Inc. | 21,400 | 2,595,820 | |||
Pioneer Natural Resources Company | 16,896 | 4,278,405 | |||
6,874,225 | |||||
Financials – 5.8% | |||||
Banks – 2.6% | |||||
The PNC Financial Services Group, Inc. | 205,388 | 32,451,304 | |||
Capital markets – 2.2% | |||||
Intercontinental Exchange, Inc. | 125,429 | 12,649,515 | |||
MSCI, Inc. | 18,002 | 8,087,218 | |||
S&P Global, Inc. | 20,331 | 7,160,172 | |||
27,896,905 | |||||
Insurance – 1.0% | |||||
Marsh & McLennan Companies, Inc. | 76,971 | 12,420,810 | |||
72,769,019 | |||||
Health care – 13.1% | |||||
Health care equipment and supplies – 3.6% | |||||
Alcon, Inc. | 116,986 | 7,702,703 | |||
Becton, Dickinson and Company (A) | 98,720 | 24,918,902 | |||
Embecta Corp. (A) | 1,400 | 44,688 | |||
Hologic, Inc. (B) | 18,000 | 1,216,080 | |||
Teleflex, Inc. | 52,736 | 11,932,047 | |||
45,814,420 | |||||
Health care providers and services – 2.1% | |||||
Humana, Inc. | 4,500 | 2,168,010 | |||
UnitedHealth Group, Inc. | 46,508 | 24,153,000 | |||
26,321,010 | |||||
Life sciences tools and services – 6.9% | |||||
Avantor, Inc. (B) | 162,663 | 4,051,935 | |||
Danaher Corp. | 101,526 | 27,402,883 | |||
PerkinElmer, Inc. | 203,273 | 27,454,051 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Life sciences tools and services (continued) | |||||
Thermo Fisher Scientific, Inc. | 49,560 | $ | 27,026,059 | ||
85,934,928 | |||||
Pharmaceuticals – 0.5% | |||||
Catalent, Inc. (B) | 75,579 | 6,650,952 | |||
164,721,310 | |||||
Industrials – 9.6% | |||||
Commercial services and supplies – 1.7% | |||||
Aurora Innovation, Inc. (B)(C) | 933,270 | 1,997,198 | |||
Waste Connections, Inc. | 139,409 | 19,402,945 | |||
21,400,143 | |||||
Industrial conglomerates – 2.0% | |||||
General Electric Company (A) | 350,750 | 25,759,080 | |||
Machinery – 4.4% | |||||
Fortive Corp. | 495,391 | 31,373,112 | |||
Ingersoll Rand, Inc. | 501,200 | 23,741,844 | |||
55,114,956 | |||||
Professional services – 1.5% | |||||
TransUnion | 249,284 | 18,414,609 | |||
120,688,788 | |||||
Information technology – 19.9% | |||||
Electronic equipment, instruments and components – 3.4% | |||||
TE Connectivity, Ltd. | 251,703 | 31,767,436 | |||
Teledyne Technologies, Inc. (B) | 28,358 | 10,445,953 | |||
42,213,389 | |||||
IT services – 1.2% | |||||
Mastercard, Inc., Class A | 22,885 | 7,423,207 | |||
Visa, Inc., Class A | 37,110 | 7,374,128 | |||
14,797,335 | |||||
Semiconductors and semiconductor equipment – 4.0% | |||||
NVIDIA Corp. | 38,528 | 5,815,416 | |||
NXP Semiconductors NV | 132,642 | 21,830,220 | |||
Texas Instruments, Inc. | 137,121 | 22,653,760 | |||
50,299,396 | |||||
Software – 8.1% | |||||
Black Knight, Inc. (B) | 11,086 | 733,450 | |||
Microsoft Corp. (A) | 268,542 | 70,215,675 | |||
Roper Technologies, Inc. | 47,951 | 19,304,114 | |||
salesforce.com, Inc. (B) | 70,810 | 11,054,857 | |||
101,308,096 | |||||
Technology hardware, storage and peripherals – 3.2% | |||||
Apple, Inc. | 255,417 | 40,156,661 | |||
248,774,877 | |||||
Utilities – 1.3% | |||||
Multi-utilities – 1.3% | |||||
Ameren Corp. | 146,823 | 13,598,746 | |||
CMS Energy Corp. | 23,335 | 1,576,046 | |||
Public Service Enterprise Group, Inc. | 20,700 | 1,332,252 | |||
16,507,044 | |||||
TOTAL COMMON STOCKS (Cost $716,338,473) | $ | 751,409,112 | |||
PREFERRED SECURITIES – 0.5% | |||||
Financials – 0.0% | |||||
Capital markets – 0.0% | |||||
The Charles Schwab Corp., 5.950% | 8,000 | 199,920 | |||
Utilities – 0.5% | |||||
Electric utilities – 0.1% | |||||
SCE Trust IV, 5.375% (5.375% to 9-15-25, then 3 month LIBOR + 3.132%) | 50,253 | 1,007,573 |
The accompanying notes are an integral part of the financial statements. | 16 |
Shares or Principal Amount | Value | ||||
PREFERRED SECURITIES (continued) | |||||
Multi-utilities – 0.4% | |||||
CMS Energy Corp., 5.875% | 92,155 | $ | 2,254,111 | ||
CMS Energy Corp., 5.875% | 123,449 | 2,962,776 | |||
NiSource, Inc., 6.500% (6.500% to 3-15-24, then 5 Year CMT + 3.632%) | 20,879 | 528,239 | |||
5,745,126 | |||||
6,752,699 | |||||
TOTAL PREFERRED SECURITIES (Cost $7,368,400) | $ | 6,952,619 | |||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 7.9% | |||||
U.S. Government – 7.9% | |||||
U.S. Treasury Notes | |||||
1.500%, 01/31/2027 | $ | 32,268,600 | 29,775,347 | ||
1.875%, 02/28/2027 | 47,240,900 | 44,293,880 | |||
2.500%, 03/31/2027 | 25,182,900 | 24,248,378 | |||
98,317,605 | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $102,769,791) | $ | 98,317,605 | |||
CORPORATE BONDS - 7.2% | |||||
Communication services - 1.5% | |||||
Altice France Holding SA 10.500%, 05/15/2027 (D) | 1,940,000 | 1,673,676 | |||
Arches Buyer, Inc. 4.250%, 06/01/2028 (D) | 5,000 | 4,025 | |||
CCO Holdings LLC | |||||
5.000%, 02/01/2028 (D) | 6,912,000 | 6,316,324 | |||
5.125%, 05/01/2027 (D) | 6,970,000 | 6,615,889 | |||
5.500%, 05/01/2026 (D) | 325,000 | 321,750 | |||
Lamar Media Corp. | |||||
3.625%, 01/15/2031 | 120,000 | 100,544 | |||
3.750%, 02/15/2028 | 695,000 | 623,325 | |||
Live Nation Entertainment, Inc. 4.875%, 11/01/2024 (D) | 90,000 | 87,075 | |||
Photo Holdings Merger Sub, Inc. 8.500%, 10/01/2026 (D) | 1,245,000 | 929,723 | |||
Sirius XM Radio, Inc. 5.000%, 08/01/2027 (D) | 2,010,000 | 1,892,174 | |||
Twitter, Inc. 5.000%, 03/01/2030 (D) | 420,000 | 395,785 | |||
18,960,290 | |||||
Consumer discretionary - 2.3% | |||||
Cedar Fair LP | |||||
5.250%, 07/15/2029 | 2,080,000 | 1,893,466 | |||
5.375%, 04/15/2027 | 2,105,000 | 1,986,068 | |||
5.500%, 05/01/2025 (D) | 1,190,000 | 1,167,277 | |||
6.500%, 10/01/2028 | 2,070,000 | 2,025,590 | |||
Clarios Global LP | |||||
6.250%, 05/15/2026 (D) | 689,000 | 681,345 | |||
6.750%, 05/15/2025 (D) | 539,000 | 536,216 | |||
8.500%, 05/15/2027 (D) | 1,465,000 | 1,439,509 | |||
Hilton Domestic Operating Company, Inc. | |||||
3.625%, 02/15/2032 (D) | 205,000 | 165,500 | |||
4.000%, 05/01/2031 (D) | 105,000 | 88,741 | |||
5.375%, 05/01/2025 (D) | 100,000 | 99,135 | |||
Hilton Worldwide Finance LLC 4.875%, 04/01/2027 | 50,000 | 47,750 | |||
KFC Holding Company/Pizza Hut Holdings LLC/Taco Bell of America LLC 4.750%, 06/01/2027 (D) | 3,513,000 | 3,371,338 | |||
Life Time, Inc. 5.750%, 01/15/2026 (D) | 1,560,000 | 1,404,936 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer discretionary (continued) | |||||
Six Flags Entertainment Corp. | |||||
4.875%, 07/31/2024 (D) | $ | 5,138,000 | $ | 4,929,693 | |
5.500%, 04/15/2027 (D) | 3,022,000 | 2,771,159 | |||
Six Flags Theme Parks, Inc. 7.000%, 07/01/2025 (D) | 1,069,000 | 1,080,401 | |||
Yum! Brands, Inc. | |||||
3.625%, 03/15/2031 | 477,000 | 401,729 | |||
4.625%, 01/31/2032 | 1,031,000 | 910,858 | |||
4.750%, 01/15/2030 (D) | 420,000 | 382,725 | |||
5.350%, 11/01/2043 | 1,834,000 | 1,586,410 | |||
5.375%, 04/01/2032 | 1,120,000 | 1,030,954 | |||
6.875%, 11/15/2037 | 925,000 | 971,931 | |||
28,972,731 | |||||
Financials - 1.5% | |||||
Acrisure LLC 7.000%, 11/15/2025 (D) | 2,600,000 | 2,450,006 | |||
Alliant Holdings Intermediate LLC | |||||
4.250%, 10/15/2027 (D) | 375,000 | 337,789 | |||
5.875%, 11/01/2029 (D) | 609,000 | 523,837 | |||
6.750%, 10/15/2027 (D) | 1,466,000 | 1,331,568 | |||
AmWINS Group, Inc. 4.875%, 06/30/2029 (D) | 570,000 | 495,915 | |||
HUB International, Ltd. | |||||
5.625%, 12/01/2029 (D) | 445,000 | 389,220 | |||
7.000%, 05/01/2026 (D) | 8,325,000 | 8,156,460 | |||
MSCI, Inc. | |||||
3.250%, 08/15/2033 (D) | 40,000 | 31,748 | |||
3.625%, 09/01/2030 to 11/01/2031 (D) | 685,000 | 579,785 | |||
3.875%, 02/15/2031 (D) | 10,000 | 8,569 | |||
4.000%, 11/15/2029 (D) | 250,000 | 222,528 | |||
Ryan Specialty Group LLC 4.375%, 02/01/2030 (D) | 80,000 | 72,100 | |||
State Street Corp. 5.426%, (3 month LIBOR + 3.597%), 12/15/2022 (E)(F) | 517,000 | 511,914 | |||
USI, Inc. 6.875%, 05/01/2025 (D) | 3,576,000 | 3,502,263 | |||
18,613,702 | |||||
Health care - 0.6% | |||||
Avantor Funding, Inc. | |||||
3.875%, 11/01/2029 (D) | 210,000 | 181,688 | |||
4.625%, 07/15/2028 (D) | 1,888,000 | 1,717,853 | |||
Catalent Pharma Solutions, Inc. | |||||
3.125%, 02/15/2029 (D) | 600,000 | 497,425 | |||
3.500%, 04/01/2030 (D) | 320,000 | 263,554 | |||
5.000%, 07/15/2027 (D) | 145,000 | 136,783 | |||
Hadrian Merger Sub, Inc. 8.500%, 05/01/2026 (D) | 1,686,000 | 1,605,915 | |||
Hologic, Inc. 3.250%, 02/15/2029 (D) | 220,000 | 187,540 | |||
IQVIA, Inc. 5.000%, 05/15/2027 (D) | 950,000 | 918,071 | |||
Surgery Center Holdings, Inc. 10.000%, 04/15/2027 (D) | 1,376,000 | 1,377,004 | |||
Teleflex, Inc. | |||||
4.250%, 06/01/2028 (D) | 145,000 | 131,739 | |||
4.625%, 11/15/2027 | 952,000 | 891,129 | |||
7,908,701 | |||||
Industrials - 1.0% | |||||
Booz Allen Hamilton, Inc. 3.875%, 09/01/2028 (D) | 235,000 | 209,033 | |||
CoreLogic, Inc. 4.500%, 05/01/2028 (D) | 325,000 | 255,938 |
The accompanying notes are an integral part of the financial statements. | 17 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
Delta Air Lines, Inc. 4.750%, 10/20/2028 (D) | $ | 925,000 | $ | 883,685 | |
General Electric Company 5.159%, (3 month LIBOR + 3.330%), 12/15/2022 (E)(F) | 3,841,000 | 3,632,626 | |||
Howmet Aerospace, Inc. 3.000%, 01/15/2029 | 490,000 | 413,562 | |||
Korn Ferry 4.625%, 12/15/2027 (D) | 480,000 | 444,581 | |||
Lennox International, Inc. 3.000%, 11/15/2023 | 510,000 | 502,460 | |||
Mileage Plus Holdings LLC 6.500%, 06/20/2027 (D) | 1,425,000 | 1,428,563 | |||
Sensata Technologies BV | |||||
4.000%, 04/15/2029 (D) | 600,000 | 518,010 | |||
5.000%, 10/01/2025 (D) | 700,000 | 685,314 | |||
5.625%, 11/01/2024 (D) | 415,000 | 416,758 | |||
Sensata Technologies, Inc. 3.750%, 02/15/2031 (D) | 245,000 | 202,388 | |||
TK Elevator U.S. Newco, Inc. 5.250%, 07/15/2027 (D) | 275,000 | 250,250 | |||
TransDigm UK Holdings PLC 6.875%, 05/15/2026 | 350,000 | 337,952 | |||
TransDigm, Inc. | |||||
5.500%, 11/15/2027 | 325,000 | 292,468 | |||
6.250%, 03/15/2026 (D) | 325,000 | 319,313 | |||
6.375%, 06/15/2026 | 145,000 | 139,200 | |||
United Airlines 2012-1 Class A Pass Through Trust 4.150%, 04/11/2024 | 740,852 | 717,252 | |||
US Airways 2010-1 Class A Pass Through Trust 6.250%, 04/22/2023 | 28,985 | 28,857 | |||
US Airways 2012-2 Class A Pass Through Trust 4.625%, 06/03/2025 | 130,756 | 117,705 | |||
US Airways 2013-1 Class A Pass Through Trust 3.950%, 11/15/2025 | 309,566 | 272,887 | |||
12,068,802 | |||||
Information technology - 0.1% | |||||
Black Knight InfoServ LLC 3.625%, 09/01/2028 (D) | 206,000 | 180,250 | |||
Clarivate Science Holdings Corp. | |||||
3.875%, 07/01/2028 (D) | 299,000 | 255,945 | |||
4.875%, 07/01/2029 (D) | 220,000 | 181,852 | |||
Gartner, Inc. | |||||
3.625%, 06/15/2029 (D) | 245,000 | 210,700 | |||
3.750%, 10/01/2030 (D) | 300,000 | 257,250 | |||
4.500%, 07/01/2028 (D) | 165,000 | 152,287 | |||
Twilio, Inc. 3.625%, 03/15/2029 | 35,000 | 29,216 | |||
1,267,500 | |||||
Real estate - 0.1% | |||||
SBA Communications Corp. | |||||
3.125%, 02/01/2029 | 255,000 | 210,101 | |||
3.875%, 02/15/2027 | 960,000 | 873,866 | |||
1,083,967 | |||||
Utilities - 0.1% | |||||
NiSource, Inc. 5.650%, (5.650% to 6-15-23, then 5 Year CMT + 2.843%), 06/15/2023 (E) | 1,525,000 | 1,418,250 | |||
TOTAL CORPORATE BONDS (Cost $94,853,066) | $ | 90,293,943 |
Shares or Principal Amount | Value | ||||
CONVERTIBLE BONDS - 0.2% | |||||
Communication services - 0.1% | |||||
Snap, Inc. 7.108%, 05/01/2027 (G) | $ | 1,005,000 | $ | 726,113 | |
Spotify USA, Inc. 5.866%, 03/15/2026 (G) | 1,127,000 | 918,505 | |||
1,644,618 | |||||
Information technology - 0.1% | |||||
Shopify, Inc. 0.125%, 11/01/2025 | 669,000 | 569,319 | |||
TOTAL CONVERTIBLE BONDS (Cost $2,515,928) | $ | 2,213,937 | |||
TERM LOANS (H) – 14.3% | |||||
Communication services – 0.6% | |||||
Arches Buyer, Inc., 2021 Term Loan B (1 month LIBOR + 3.250%) 5.774%, 12/06/2027 | 711,685 | 670,913 | |||
Delta 2 Lux Sarl, 2018 USD Term Loan (1 month LIBOR + 2.500%) 5.024%, 02/01/2024 | 6,014,208 | 5,956,592 | |||
Eagle Broadband Investments LLC, Term Loan (3 month LIBOR + 3.000%) 5.313%, 11/12/2027 | 375,464 | 366,389 | |||
6,993,894 | |||||
Consumer discretionary – 0.6% | |||||
Cedar Fair LP, 2017 Term Loan B (1 month LIBOR + 1.750%) 4.274%, 04/13/2024 | 48,027 | 47,547 | |||
IRB Holding Corp., 2020 Term Loan B (1 month LIBOR + 2.750%) 5.274%, 02/05/2025 | 2,162,597 | 2,114,847 | |||
IRB Holding Corp., 2022 Term Loan B (1 month SOFR + 3.150%) 5.437%, 12/15/2027 | 2,249,348 | 2,172,960 | |||
Life Time, Inc., 2021 Term Loan B (3 month LIBOR + 4.750%) 7.820%, 12/16/2024 | 655,052 | 645,364 | |||
SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B (1 month LIBOR + 3.000%) 5.563%, 08/25/2028 | 1,412,716 | 1,387,287 | |||
Woof Holdings, Inc., 1st Lien Term Loan (3 month LIBOR + 3.750%) 5.813%, 12/21/2027 | 607,313 | 589,093 | |||
6,957,098 | |||||
Consumer staples – 0.3% | |||||
Sunshine Luxembourg VII Sarl, 2021 Term Loan B3 (3 month LIBOR + 3.750%) 6.000%, 10/01/2026 | 3,824,657 | 3,678,861 | |||
Financials – 5.1% | |||||
Acrisure LLC, 2021 Incremental Term Loan B (1 month LIBOR + 3.750%) 6.274%, 02/15/2027 | 704,675 | 676,488 | |||
Alliant Holdings Intermediate LLC, 2018 Term Loan B (1 month LIBOR + 3.250%) 5.774%, 05/09/2025 | 4,224,268 | 4,135,812 | |||
Alliant Holdings Intermediate LLC, 2021 Term Loan B4 (1 month LIBOR + 3.500%) 5.877%, 11/06/2027 | 5,298,479 | 5,150,121 | |||
Alliant Holdings Intermediate LLC, Term Loan B (1 month LIBOR + 3.250%) 5.774%, 05/09/2025 | 1,874,428 | 1,833,040 | |||
Howden Group Holdings, Ltd., 2021 Term Loan B (1 month LIBOR + 3.250%) 5.813%, 11/12/2027 | 4,905,597 | 4,773,342 |
The accompanying notes are an integral part of the financial statements. | 18 |
Shares or Principal Amount | Value | ||||
TERM LOANS (H)(continued) | |||||
Financials (continued) | |||||
HUB International, Ltd., 2018 Term Loan B (3 month LIBOR + 3.000%) 5.766%, 04/25/2025 | $ | 21,052,717 | 20,587,873 | ||
HUB International, Ltd., 2021 Term Loan B (3 month LIBOR + 3.250%) 5.981%, 04/25/2025 | 13,534,647 | 13,313,355 | |||
Ryan Specialty Group LLC, Term Loan (1 month SOFR + 3.000%) 5.555%, 09/01/2027 | 1,013,012 | 997,817 | |||
USI, Inc., 2017 Repriced Term Loan (3 month LIBOR + 3.000%) 5.250%, 05/16/2024 | 8,245,354 | 8,140,556 | |||
USI, Inc., 2019 Incremental Term Loan B (3 month LIBOR + 3.250%) 5.500%, 12/02/2026 | 5,076,289 | 4,996,997 | |||
64,605,401 | |||||
Health care – 2.6% | |||||
ADMI Corp., 2021 Incremental Term Loan B3 (1 month LIBOR + 3.750%) 6.274%, 12/23/2027 | 3,042,013 | 2,838,593 | |||
ADMI Corp., 2021 Term Loan B2 (1 month LIBOR + 3.375%) 5.899%, 12/23/2027 | 1,866,375 | 1,716,729 | |||
athenahealth, Inc., 2022 Term Loan B (1 month SOFR + 3.500%) 5.800%, 02/15/2029 | 4,232,609 | 4,042,141 | |||
Eyecare Partners LLC, 2020 Term Loan (3 month LIBOR + 3.750%) 6.000%, 02/18/2027 | 253,073 | 234,905 | |||
Eyecare Partners LLC, 2021 Incremental Term Loan (3 month LIBOR + 3.750%) 6.000%, 11/15/2028 | 219,450 | 204,089 | |||
Heartland Dental LLC, 2018 1st Lien Term Loan (1 month LIBOR + 3.500%) 6.024%, 04/30/2025 | 5,792,665 | 5,529,563 | |||
Heartland Dental LLC, 2021 Incremental Term Loan (1 month LIBOR + 4.000%) 6.444%, 04/30/2025 | 574,771 | 549,745 | |||
Loire Finco Luxembourg Sarl, Term Loan (1 month LIBOR + 3.250%) 5.774%, 04/21/2027 | 3,029,859 | 2,901,090 | |||
Medline Borrower LP, USD Term Loan B (1 month LIBOR + 3.250%) 5.774%, 10/23/2028 | 10,847,813 | 10,330,589 | |||
Pacific Dental Services, Inc., 2021 Term Loan (1 month LIBOR + 3.500%) 5.877%, 05/05/2028 | 495,000 | 487,575 | |||
Pathway Vet Alliance LLC, 2021 Term Loan (3 month LIBOR + 3.750%) 6.000%, 03/31/2027 | 183,900 | 173,142 | |||
PetVet Care Centers LLC, 2018 1st Lien Term Loan (1 month LIBOR + 2.750%) 5.274%, 02/14/2025 | 353,087 | 338,523 | |||
PetVet Care Centers LLC, 2018 2nd Lien Term Loan (1 month LIBOR + 6.250%) 8.774%, 02/13/2026 | 25,000 | 24,188 | |||
PetVet Care Centers LLC, 2018 Incremental Term Loan (1 month LIBOR + 3.250%) 5.774%, 02/14/2025 | 1,092,436 | 1,050,563 | |||
PetVet Care Centers LLC, 2021 Term Loan B3 (1 month LIBOR + 3.500%) 6.024%, 02/14/2025 | 2,062,367 | 1,993,628 | |||
32,415,063 |
Shares or Principal Amount | Value | ||||
TERM LOANS (H)(continued) | |||||
Industrials – 1.6% | |||||
Camelot US Acquisition LLC, 2020 Incremental Term Loan B (1 month LIBOR + 3.000%) 5.524%, 10/30/2026 | $ | 2,813,605 | 2,736,231 | ||
CoreLogic, Inc., Term Loan (1 month LIBOR + 3.500%) 6.063%, 06/02/2028 | 2,510,011 | 2,149,197 | |||
Filtration Group Corp., 2018 1st Lien Term Loan (1 month LIBOR + 3.000%) 5.524%, 03/29/2025 | 1,453,341 | 1,426,773 | |||
Filtration Group Corp., 2018 EUR Term Loan (3 month EURIBOR + 3.500%) 3.500%, 03/29/2025 | EUR | 1,735,369 | 1,679,660 | ||
Filtration Group Corp., 2021 Incremental Term Loan (1 month LIBOR + 3.500%) 6.024%, 10/21/2028 | $ | 516,100 | 501,649 | ||
Mileage Plus Holdings LLC, 2020 Term Loan B (3 month LIBOR + 5.250%) 7.313%, 06/21/2027 | 6,225,000 | 6,313,520 | |||
SkyMiles IP, Ltd., 2020 Skymiles Term Loan B (3 month LIBOR + 3.750%) 6.460%, 10/20/2027 | 1,757,339 | 1,778,357 | |||
TK Elevator US Newco, Inc., Term Loan B (6 month LIBOR + 3.500%) 6.871%, 07/30/2027 | 4,097,428 | 3,971,965 | |||
20,557,352 | |||||
Information technology – 3.5% | |||||
Applied Systems, Inc., 2017 1st Lien Term Loan (3 month LIBOR + 3.000%) 5.250%, 09/19/2024 | 4,358,226 | 4,316,823 | |||
Applied Systems, Inc., 2021 2nd Lien Term Loan (3 month LIBOR + 5.500%) 7.750%, 09/19/2025 | 366,814 | 362,533 | |||
Ascend Learning LLC, 2021 2nd Lien Term Loan (1 month LIBOR + 5.750%) 8.274%, 12/10/2029 | 720,000 | 645,120 | |||
Ascend Learning LLC, 2021 Term Loan (1 month LIBOR + 3.500%) 6.024%, 12/11/2028 | 5,732,946 | 5,456,560 | |||
Azalea TopCo, Inc., 2021 Term Loan B (1 month LIBOR + 3.750%) 6.274%, 07/24/2026 | 929,644 | 886,648 | |||
Azalea TopCo, Inc., 2022 Incremental Term Loan (1 month SOFR + 3.750%) 6.205%, 07/24/2026 | 532,605 | 512,632 | |||
Azalea TopCo, Inc., Term Loan (1 month LIBOR + 3.500%) 6.024%, 07/24/2026 | 3,389,839 | 3,242,381 | |||
Celestial Saturn Parent, Inc., 2nd Lien Term Loan (1 month LIBOR + 6.500%) 9.063%, 06/04/2029 | 230,000 | 181,891 | |||
Entegris, Inc., 2022 Term Loan B (3 month SOFR + 3.000%) 5.597%, 07/06/2029 | 1,501,812 | 1,496,991 | |||
Polaris Newco LLC, USD Term Loan B (1 month LIBOR + 4.000%) 6.524%, 06/02/2028 | 471,438 | 451,816 | |||
Project Boost Purchaser LLC, 2021 Incremental Term Loan (1 month LIBOR + 3.500%) 6.024%, 05/30/2026 | 495,186 | 479,405 | |||
RealPage, Inc., 1st Lien Term Loan (1 month LIBOR + 3.000%) 5.524%, 04/24/2028 | 5,333,216 | 5,123,567 | |||
RealPage, Inc., 2nd Lien Term Loan (1 month LIBOR + 6.500%) 9.024%, 04/23/2029 | 225,000 | 218,531 | |||
Sophia LP, 2021 Term Loan B (3 month LIBOR + 3.500%) 5.750%, 10/07/2027 | 843,625 | 813,575 |
The accompanying notes are an integral part of the financial statements. | 19 |
Shares or Principal Amount | Value | ||||
TERM LOANS (H)(continued) | |||||
Information technology (continued) | |||||
Sophia LP, 2022 Incremental Term Loan B (1 month SOFR + 4.250%) 6.709%, 10/07/2027 | $ | 355,667 | 346,775 | ||
Storable, Inc., Term Loan B (1 and 2 month SOFR + 3.500%) 5.995%, 04/17/2028 | 273,625 | 264,048 | |||
UKG, Inc., 2021 2nd Lien Term Loan (3 month LIBOR + 5.250%) 7.535%, 05/03/2027 | 765,000 | 743,366 | |||
UKG, Inc., 2021 Term Loan (3 month LIBOR + 3.250%) 5.535%, 05/04/2026 | 18,478,128 | 17,874,263 | |||
UKG, Inc., Term Loan B (1 month LIBOR + 3.750%) 6.274%, 05/04/2026 | 675,888 | 657,388 | |||
44,074,313 | |||||
TOTAL TERM LOANS (Cost $184,163,350) | $ | 179,281,982 | |||
SHORT-TERM INVESTMENTS – 10.2% | |||||
Short-term funds – 10.2% | |||||
John Hancock Collateral Trust, 2.3160% (I)(J) | 207,872 | $ | 2,077,345 | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 2.2409% (I) | 7,856,630 | 7,856,630 | |||
T. Rowe Price Government Reserve Fund, 2.3595% (I) | 118,042,076 | 118,042,076 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $127,976,381) | $ | 127,976,051 | |||
Total Investments (Capital Appreciation Value Fund) (Cost $1,235,985,389) – 100.3% | $ | 1,256,445,249 | |||
Other assets and liabilities, net – (0.3%) | (3,209,460) | ||||
TOTAL NET ASSETS – 100.0% | $ | 1,253,235,789 |
Currency Abbreviations | |
EUR | Euro |
Security Abbreviations and Legend | |
CMT | Constant Maturity Treasury |
EURIBOR | Euro Interbank Offered Rate |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
(A) | All or a portion of this security is segregated at the custodian as collateral for certain derivatives. |
(B) | Non-income producing security. |
(C) | All or a portion of this security is on loan as of 8-31-22. |
(D) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. |
(E) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(F) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(G) | Zero coupon bonds are issued at a discount from their principal amount in lieu of paying interest periodically. Rate shown is the effective yield at period end. |
(H) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(I) | The rate shown is the annualized seven-day yield as of 8-31-22. |
(J) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Options on securities | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls | ||||||||
GSI | Alphabet, Inc., Class A | USD | 160.00 | Jan 2023 | 60 | 60 | $54,291 | $(17) |
GSI | Alphabet, Inc., Class A | USD | 165.00 | Jan 2023 | 40 | 40 | 30,994 | (8) |
GSI | Alphabet, Inc., Class A | USD | 170.00 | Jan 2023 | 40 | 40 | 26,094 | (6) |
GSI | Alphabet, Inc., Class A | USD | 175.00 | Jan 2023 | 40 | 40 | 22,194 | (5) |
GSI | Amazon.com, Inc. | USD | 175.00 | Jan 2023 | 220 | 220 | 208,612 | (271) |
GSI | Amazon.com, Inc. | USD | 180.00 | Jan 2023 | 40 | 40 | 46,828 | (38) |
GSI | Amazon.com, Inc. | USD | 185.00 | Jan 2023 | 60 | 60 | 60,779 | (45) |
GSI | Amazon.com, Inc. | USD | 190.00 | Jan 2023 | 60 | 60 | 52,161 | (36) |
GSI | Amazon.com, Inc. | USD | 190.00 | Jan 2023 | 80 | 80 | 85,020 | (48) |
GSI | Amazon.com, Inc. | USD | 195.00 | Jan 2023 | 80 | 80 | 72,036 | (38) |
GSI | Amazon.com, Inc. | USD | 200.00 | Jan 2023 | 20 | 20 | 34,022 | (7) |
GSI | Amazon.com, Inc. | USD | 200.00 | Jan 2023 | 80 | 80 | 62,252 | (30) |
GSI | Amazon.com, Inc. | USD | 205.00 | Jan 2023 | 20 | 20 | 30,544 | (6) |
GSI | Amazon.com, Inc. | USD | 205.00 | Jan 2023 | 80 | 80 | 52,764 | (24) |
GSI | Amazon.com, Inc. | USD | 210.00 | Jan 2023 | 20 | 20 | 27,523 | (5) |
GSI | Amazon.com, Inc. | USD | 210.00 | Jan 2023 | 80 | 80 | 44,580 | (19) |
GSI | Amazon.com, Inc. | USD | 215.00 | Jan 2023 | 40 | 40 | 49,603 | (7) |
GSI | Amazon.com, Inc. | USD | 220.00 | Jan 2023 | 40 | 40 | 44,460 | (6) |
GSI | Amazon.com, Inc. | USD | 225.00 | Jan 2023 | 40 | 40 | 39,918 | (4) |
GSI | Amazon.com, Inc. | USD | 225.00 | Jan 2023 | 40 | 40 | 57,156 | (4) |
GSI | Amazon.com, Inc. | USD | 230.00 | Jan 2023 | 40 | 40 | 52,293 | (3) |
CITI | Amazon.com, Inc. | USD | 240.00 | Jan 2023 | 40 | 40 | 43,788 | (2) |
GSI | Amazon.com, Inc. | USD | 245.00 | Jan 2023 | 20 | 20 | 20,032 | (1) |
The accompanying notes are an integral part of the financial statements. | 20 |
Options on securities (continued) | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls (continued) | ||||||||
GSI | Amazon.com, Inc. | USD | 250.00 | Jan 2023 | 20 | 20 | $18,330 | $(1) |
GSI | Amazon.com, Inc. | USD | 255.00 | Jan 2023 | 20 | 20 | 16,783 | — |
JPM | Apple, Inc. | USD | 170.00 | Jan 2023 | 30 | 3,000 | 24,065 | (21,499) |
JPM | Apple, Inc. | USD | 170.00 | Jan 2023 | 101 | 10,100 | 66,227 | (72,378) |
JPM | Apple, Inc. | USD | 175.00 | Jan 2023 | 30 | 3,000 | 19,641 | (16,218) |
JPM | Apple, Inc. | USD | 175.00 | Jan 2023 | 101 | 10,100 | 54,499 | (54,602) |
JPM | Apple, Inc. | USD | 180.00 | Jan 2023 | 30 | 3,000 | 15,832 | (11,979) |
JPM | Apple, Inc. | USD | 180.00 | Jan 2023 | 101 | 10,100 | 44,818 | (40,330) |
GSI | Becton, Dickinson and Company | USD | 260.00 | Jan 2023 | 20 | 2,000 | 49,176 | (23,745) |
GSI | Becton, Dickinson and Company | USD | 280.00 | Jan 2023 | 25 | 2,500 | 40,039 | (12,543) |
GSI | Becton, Dickinson and Company | USD | 290.00 | Jan 2023 | 25 | 2,500 | 32,937 | (7,874) |
WFB | General Electric Company | USD | 85.00 | Jan 2023 | 198 | 19,800 | 115,973 | (53,543) |
WFB | General Electric Company | USD | 90.00 | Jan 2023 | 198 | 19,800 | 84,524 | (32,675) |
WFB | General Electric Company | USD | 95.00 | Jan 2023 | 198 | 19,800 | 59,184 | (19,689) |
WFB | General Electric Company | USD | 110.00 | Jan 2023 | 8 | 800 | 6,974 | (182) |
WFB | General Electric Company | USD | 110.00 | Jan 2023 | 128 | 12,800 | 105,097 | (2,908) |
WFB | General Electric Company | USD | 110.00 | Jan 2023 | 108 | 10,800 | 89,911 | (2,454) |
CITI | General Electric Company | USD | 235.00 | Jan 2023 | 40 | 40 | 47,862 | — |
CITI | Hologic, Inc. | USD | 85.00 | Jan 2023 | 90 | 9,000 | 33,994 | (4,775) |
CITI | Hologic, Inc. | USD | 90.00 | Jan 2023 | 90 | 9,000 | 21,255 | (2,677) |
CITI | Humana, Inc. | USD | 520.00 | Jan 2023 | 15 | 1,500 | 22,476 | (24,896) |
CITI | Humana, Inc. | USD | 530.00 | Jan 2023 | 15 | 1,500 | 19,009 | (19,819) |
CITI | Humana, Inc. | USD | 540.00 | Jan 2023 | 15 | 1,500 | 15,092 | (15,543) |
CITI | Keurig Dr. Pepper, Inc. | USD | 40.00 | Jan 2023 | 187 | 18,700 | 26,730 | (22,661) |
CITI | Keurig Dr. Pepper, Inc. | USD | 42.00 | Jan 2023 | 187 | 18,700 | 16,518 | (10,685) |
JPM | Meta Platforms, Inc., Class A | USD | 345.00 | Sep 2022 | 21 | 2,100 | 81,770 | — |
JPM | Meta Platforms, Inc., Class A | USD | 360.00 | Sep 2022 | 21 | 2,100 | 70,363 | — |
CSFB | Microsoft Corp. | USD | 320.00 | Jan 2023 | 114 | 11,400 | 152,190 | (32,121) |
SFG | Microsoft Corp. | USD | 320.00 | Jan 2023 | 32 | 3,200 | 56,883 | (9,017) |
SFG | Microsoft Corp. | USD | 320.00 | Jan 2023 | 32 | 3,200 | 61,099 | (9,017) |
CITI | Microsoft Corp. | USD | 325.00 | Jan 2023 | 117 | 11,700 | 80,585 | (26,731) |
CITI | Microsoft Corp. | USD | 330.00 | Jan 2023 | 21 | 2,100 | 30,850 | (3,906) |
CITI | Microsoft Corp. | USD | 330.00 | Jan 2023 | 21 | 2,100 | 31,030 | (3,906) |
CITI | Microsoft Corp. | USD | 330.00 | Jan 2023 | 17 | 1,700 | 30,220 | (3,162) |
CSFB | Microsoft Corp. | USD | 330.00 | Jan 2023 | 35 | 3,500 | 41,273 | (6,510) |
SFG | Microsoft Corp. | USD | 330.00 | Jan 2023 | 32 | 3,200 | 48,405 | (5,952) |
SFG | Microsoft Corp. | USD | 330.00 | Jan 2023 | 32 | 3,200 | 51,807 | (5,952) |
CSFB | Microsoft Corp. | USD | 335.00 | Jan 2023 | 35 | 3,500 | 36,239 | (5,328) |
CITI | Microsoft Corp. | USD | 340.00 | Jan 2023 | 21 | 2,100 | 26,073 | (2,631) |
CITI | Microsoft Corp. | USD | 340.00 | Jan 2023 | 21 | 2,100 | 26,180 | (2,631) |
CITI | Microsoft Corp. | USD | 340.00 | Jan 2023 | 17 | 1,700 | 25,631 | (2,130) |
CITI | Microsoft Corp. | USD | 340.00 | Jan 2023 | 43 | 4,300 | 87,102 | (5,387) |
CITI | Microsoft Corp. | USD | 340.00 | Jan 2023 | 19 | 1,900 | 38,578 | (2,380) |
CSFB | Microsoft Corp. | USD | 340.00 | Jan 2023 | 35 | 3,500 | 32,883 | (4,385) |
SFG | Microsoft Corp. | USD | 340.00 | Jan 2023 | 32 | 3,200 | 41,247 | (4,009) |
SFG | Microsoft Corp. | USD | 340.00 | Jan 2023 | 32 | 3,200 | 43,795 | (4,009) |
CSFB | Microsoft Corp. | USD | 345.00 | Jan 2023 | 35 | 3,500 | 28,477 | (3,627) |
CITI | Microsoft Corp. | USD | 350.00 | Jan 2023 | 21 | 2,100 | 21,927 | (1,807) |
CITI | Microsoft Corp. | USD | 350.00 | Jan 2023 | 21 | 2,100 | 22,163 | (1,807) |
CITI | Microsoft Corp. | USD | 350.00 | Jan 2023 | 17 | 1,700 | 21,637 | (1,463) |
CITI | Microsoft Corp. | USD | 350.00 | Jan 2023 | 43 | 4,300 | 74,101 | (3,700) |
CITI | Microsoft Corp. | USD | 350.00 | Jan 2023 | 19 | 1,900 | 33,056 | (1,635) |
CSFB | Microsoft Corp. | USD | 350.00 | Jan 2023 | 35 | 3,500 | 25,120 | (3,012) |
JPM | Microsoft Corp. | USD | 350.00 | Jan 2023 | 62 | 6,200 | 94,674 | (5,335) |
SFG | Microsoft Corp. | USD | 350.00 | Jan 2023 | 32 | 3,200 | 34,689 | (2,754) |
SFG | Microsoft Corp. | USD | 350.00 | Jan 2023 | 32 | 3,200 | 37,065 | (2,754) |
JPM | Microsoft Corp. | USD | 355.00 | Jan 2023 | 62 | 6,200 | 85,994 | (4,441) |
CITI | Microsoft Corp. | USD | 360.00 | Jan 2023 | 43 | 4,300 | 62,793 | (2,566) |
CITI | Microsoft Corp. | USD | 360.00 | Jan 2023 | 19 | 1,900 | 28,142 | (1,134) |
JPM | Microsoft Corp. | USD | 360.00 | Jan 2023 | 62 | 6,200 | 77,934 | (3,699) |
CITI | Microsoft Corp. | USD | 365.00 | Jan 2023 | 42 | 4,200 | 55,884 | (2,087) |
GSI | Starbucks Corp. | USD | 97.50 | Jan 2023 | 69 | 6,900 | 70,652 | (14,345) |
GSI | Starbucks Corp. | USD | 97.50 | Jan 2023 | 70 | 7,000 | 65,590 | (14,553) |
GSI | Starbucks Corp. | USD | 100.00 | Jan 2023 | 69 | 6,900 | 62,917 | (11,028) |
The accompanying notes are an integral part of the financial statements. | 21 |
Options on securities (continued) | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls (continued) | ||||||||
GSI | Starbucks Corp. | USD | 100.00 | Jan 2023 | 70 | 7,000 | $59,290 | $(11,188) |
GSI | Starbucks Corp. | USD | 105.00 | Jan 2023 | 69 | 6,900 | 48,747 | (6,551) |
GSI | Starbucks Corp. | USD | 105.00 | Jan 2023 | 70 | 7,000 | 46,690 | (6,646) |
JPM | The PNC Financial Services Group, Inc. | USD | 190.00 | Jan 2023 | 49 | 4,900 | 44,933 | (8,169) |
JPM | The PNC Financial Services Group, Inc. | USD | 195.00 | Jan 2023 | 49 | 4,900 | 37,338 | (5,742) |
JPM | The PNC Financial Services Group, Inc. | USD | 200.00 | Jan 2023 | 49 | 4,900 | 30,723 | (4,012) |
CITI | The PNC Financial Services Group, Inc. | USD | 220.00 | Jan 2023 | 34 | 3,400 | 45,293 | (609) |
CITI | The PNC Financial Services Group, Inc. | USD | 220.00 | Jan 2023 | 24 | 2,400 | 31,200 | (430) |
CITI | The PNC Financial Services Group, Inc. | USD | 220.00 | Jan 2023 | 7 | 700 | 9,034 | (125) |
CITI | The PNC Financial Services Group, Inc. | USD | 220.00 | Jan 2023 | 21 | 2,100 | 27,234 | (376) |
CITI | The PNC Financial Services Group, Inc. | USD | 230.00 | Jan 2023 | 34 | 3,400 | 35,857 | (271) |
CITI | The PNC Financial Services Group, Inc. | USD | 230.00 | Jan 2023 | 24 | 2,400 | 24,679 | (191) |
CITI | The PNC Financial Services Group, Inc. | USD | 230.00 | Jan 2023 | 7 | 700 | 7,140 | (56) |
CITI | The PNC Financial Services Group, Inc. | USD | 230.00 | Jan 2023 | 21 | 2,100 | 21,437 | (167) |
CITI | Thermo Fisher Scientific, Inc. | USD | 640.00 | Jan 2023 | 24 | 2,400 | 64,356 | (26,614) |
CITI | UnitedHealth Group, Inc. | USD | 540.00 | Jan 2023 | 45 | 4,500 | 121,721 | (119,924) |
CITI | UnitedHealth Group, Inc. | USD | 560.00 | Jan 2023 | 26 | 2,600 | 68,414 | (48,826) |
CITI | UnitedHealth Group, Inc. | USD | 580.00 | Jan 2023 | 26 | 2,600 | 51,593 | (33,107) |
WFB | Yum! Brands, Inc. | USD | 145.00 | Jan 2023 | 16 | 1,600 | 5,232 | (437) |
WFB | Yum! Brands, Inc. | USD | 145.00 | Jan 2023 | 37 | 3,700 | 10,763 | (1,010) |
WFB | Yum! Brands, Inc. | USD | 150.00 | Jan 2023 | 16 | 1,600 | 3,056 | (297) |
WFB | Yum! Brands, Inc. | USD | 150.00 | Jan 2023 | 37 | 3,700 | 7,811 | (688) |
$5,064,449 | $(970,653) |
Derivatives Currency Abbreviations | |
USD | U.S. Dollar |
Derivatives Abbreviations | |
CITI | Citibank, N.A. |
CSFB | Credit Suisse First Boston International |
GSI | Goldman Sachs International |
JPM | JPMorgan Chase Bank, N.A. |
OTC | Over-the-counter |
SFG | Susquehanna Financial Group, LLLP |
WFB | Wells Fargo Bank, N.A. |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 55.8% | |||||
U.S. Government – 29.6% | |||||
U.S. Treasury Bonds | |||||
1.125%, 05/15/2040 to 08/15/2040 | $ | 52,953,000 | $ | 35,957,994 | |
1.375%, 11/15/2040 to 08/15/2050 | 50,714,000 | 34,744,252 | |||
1.625%, 11/15/2050 | 5,647,000 | 3,863,563 | |||
1.750%, 08/15/2041 | 66,319,000 | 49,272,938 | |||
1.875%, 02/15/2041 to 11/15/2051 | 6,328,000 | 4,800,904 | |||
2.000%, 08/15/2051 | 9,363,000 | 7,033,954 | |||
2.250%, 02/15/2052 | 14,907,000 | 11,906,966 | |||
2.375%, 02/15/2042 | 2,976,000 | 2,466,825 | |||
2.875%, 05/15/2052 | 9,699,000 | 8,938,235 | |||
3.000%, 08/15/2052 | 11,383,000 | 10,790,728 | |||
3.250%, 05/15/2042 | 10,007,000 | 9,572,321 | |||
3.375%, 08/15/2042 | 3,274,000 | 3,194,708 | |||
U.S. Treasury Notes | |||||
0.125%, 09/30/2022 | 14,120,000 | 14,095,998 | |||
0.250%, 08/31/2025 | 3,656,000 | 3,319,677 | |||
0.375%, 11/30/2025 to 01/31/2026 | 27,000,000 | 24,346,035 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||
U.S. Government (continued) | |||||
U.S. Treasury Notes (continued) | |||||
0.625%, 11/30/2027 | $ | 11,579,000 | $ | 10,066,493 | |
0.875%, 06/30/2026 | 6,075,000 | 5,515,910 | |||
1.000%, 07/31/2028 | 8,140,000 | 7,115,823 | |||
1.250%, 06/30/2028 | 17,278,000 | 15,353,123 | |||
1.375%, 10/31/2028 | 23,423,000 | 20,851,960 | |||
1.500%, 08/15/2026 to 11/30/2028 | 36,234,000 | 33,455,535 | |||
1.625%, 05/15/2026 | 29,685,000 | 27,805,337 | |||
2.000%, 11/15/2026 | 16,938,000 | 15,991,854 | |||
2.375%, 05/15/2027 | 5,361,000 | 5,126,247 | |||
2.500%, 04/30/2024 | 17,771,000 | 17,489,163 | |||
2.625%, 07/31/2029 | 5,152,000 | 4,938,675 | |||
2.750%, 07/31/2027 to 08/15/2032 | 63,935,000 | 61,847,770 | |||
2.875%, 04/30/2025 | 5,553,000 | 5,463,848 | |||
3.000%, 06/30/2024 to 07/31/2024 | 11,086,000 | 10,989,654 | |||
3.125%, 08/15/2025 to 08/31/2027 | 3,058,000 | 3,028,931 |
The accompanying notes are an integral part of the financial statements. | 22 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||
U.S. Government (continued) | |||||
U.S. Treasury Notes (continued) | |||||
3.250%, 06/30/2027 to 06/30/2029 | $ | 8,028,000 | $ | 7,993,079 | |
477,338,500 | |||||
U.S. Government Agency – 26.2% | |||||
Federal Home Loan Mortgage Corp. | |||||
2.000%, 04/01/2041 (A) | 1,059,052 | 941,104 | |||
2.000%, 11/01/2041 to 12/01/2051 | 18,108,976 | 15,986,700 | |||
2.330%, (12 month LIBOR + 1.650%), 03/01/2043 (B) | 296,525 | 299,265 | |||
2.349%, (12 month LIBOR + 1.642%), 08/01/2043 (B) | 207,760 | 207,798 | |||
2.358%, (12 month LIBOR + 1.635%), 07/01/2043 (B) | 112,084 | 112,079 | |||
2.436%, (12 month LIBOR + 1.638%), 09/01/2045 (B) | 2,110,771 | 2,123,943 | |||
2.500%, 04/01/2042 to 03/01/2052 | 12,830,568 | 11,566,885 | |||
2.507%, (12 month LIBOR + 1.632%), 11/01/2043 (B) | 189,510 | 189,282 | |||
2.542%, (12 month LIBOR + 1.646%), 10/01/2043 (B) | 388,028 | 388,530 | |||
2.554%, (12 month LIBOR + 1.606%), 09/01/2043 (B) | 88,536 | 88,482 | |||
2.628%, (12 month LIBOR + 1.685%), 02/01/2043 (B) | 314,957 | 320,829 | |||
2.647%, (12 month LIBOR + 1.770%), 09/01/2042 (B) | 220,684 | 226,749 | |||
2.671%, (12 month LIBOR + 1.612%), 10/01/2043 (B) | 230,265 | 229,815 | |||
2.780%, (12 month LIBOR + 1.681%), 09/01/2047 (B) | 1,105,390 | 1,117,742 | |||
2.801%, (12 month LIBOR + 1.640%), 05/01/2049 (B) | 955,735 | 937,154 | |||
2.841%, (12 month LIBOR + 1.720%), 01/01/2044 (B) | 400,401 | 400,381 | |||
3.233%, (12 month LIBOR + 1.635%), 04/01/2048 (B) | 2,262,609 | 2,273,662 | |||
3.394%, 12/14/2029 (C) | 2,068,000 | 1,615,676 | |||
3.439%, (12 month LIBOR + 1.637%), 03/01/2049 (B) | 960,802 | 956,840 | |||
3.912%, (1 month SOFR + 2.130%), 07/01/2052 (B) | 766,232 | 755,034 | |||
3.991%, (1 month SOFR + 2.140%), 08/01/2052 (B) | 1,037,810 | 1,019,093 | |||
4.000%, 01/01/2035 to 07/01/2049 | 5,696,554 | 5,669,732 | |||
4.119%, (1 month SOFR + 2.380%), 09/01/2052 (B) | 532,000 | 527,727 | |||
4.303%, (1 month SOFR + 2.130%), 07/01/2052 (B) | 942,429 | 940,124 | |||
4.500%, 06/01/2039 to 07/01/2039 | 102,706 | 104,058 | |||
5.000%, 05/01/2048 to 03/01/2049 | 4,500,096 | 4,654,828 | |||
Federal National Mortgage Association | |||||
1.500%, 10/01/2041 to 11/01/2041 | 14,165,961 | 12,022,654 | |||
1.612%, (1 month SOFR + 2.214%), 12/01/2051 (B) | 511,353 | 466,532 | |||
2.000%, TBA (A) | 2,700,000 | 2,322,845 | |||
2.000%, 01/01/2042 to 03/01/2052 | 35,808,395 | 31,260,725 | |||
2.000%, 12/01/2050 (A) | 8,015,421 | 6,927,352 | |||
2.255%, (12 month LIBOR + 1.560%), 06/01/2043 (B) | 152,038 | 152,812 | |||
2.452%, (12 month LIBOR + 1.564%), 03/01/2043 (B) | 74,895 | 75,841 | |||
2.468%, (12 month LIBOR + 1.579%), 10/01/2043 (B) | 516,964 | 516,693 | |||
2.500%, 12/01/2035 to 03/01/2052 | 54,235,447 | 49,802,246 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal National Mortgage Association (continued) | |||||
2.650%, (12 month LIBOR + 1.584%), 01/01/2046 (B) | $ | 2,355,629 | $ | 2,384,842 | |
2.732%, (12 month LIBOR + 1.579%), 06/01/2045 (B) | 800,023 | 813,368 | |||
2.953%, (12 month LIBOR + 1.643%), 01/01/2043 (B) | 174,098 | 178,011 | |||
3.000%, 01/01/2043 to 02/01/2055 | 2,769,264 | 2,608,000 | |||
3.500%, 04/01/2050 to 02/01/2052 | 6,392,220 | 6,210,459 | |||
3.561%, 11/15/2030 (C) | 6,077,000 | 4,540,919 | |||
3.686%, (1 month SOFR + 2.370%), 08/01/2052 (B) | 1,164,439 | 1,141,779 | |||
3.963%, (1 month SOFR + 2.120%), 08/01/2052 (B) | 455,335 | 447,718 | |||
4.000%, 09/01/2033 to 08/01/2059 | 18,632,793 | 18,592,594 | |||
4.200%, (1 month SOFR + 2.120%), 07/01/2052 (B) | 1,834,672 | 1,816,599 | |||
4.225%, (1 month SOFR + 2.370%), 09/01/2052 (B) | 532,000 | 530,708 | |||
4.320%, (1 month SOFR + 2.126%), 08/01/2052 (B) | 2,130,000 | 2,133,312 | |||
4.347%, (1 month SOFR + 2.126%), 07/01/2052 (B) | 2,118,731 | 2,123,903 | |||
4.500%, TBA (A) | 27,400,000 | 27,190,530 | |||
4.500%, 05/01/2034 to 08/01/2049 | 18,240,094 | 18,611,985 | |||
4.540%, (1 month SOFR + 2.130%), 08/01/2052 (B) | 3,267,000 | 3,291,547 | |||
4.615%, (1 month SOFR + 2.127%), 08/01/2052 (B) | 2,440,000 | 2,462,168 | |||
4.650%, (1 month SOFR + 2.122%), 08/01/2052 (B) | 1,738,000 | 1,746,131 | |||
4.650%, (1 month SOFR + 2.131%), 08/01/2052 (B) | 1,900,000 | 1,919,565 | |||
5.000%, TBA (A) | 102,400,000 | 103,166,804 | |||
5.000%, 07/01/2044 to 11/01/2049 | 2,487,054 | 2,548,832 | |||
5.500%, TBA (A) | 16,800,000 | 17,128,126 | |||
5.500%, 12/01/2048 to 06/01/2049 | 4,860,412 | 5,104,444 | |||
Government National Mortgage Association | |||||
2.500%, 12/20/2051 | 10,982,836 | 10,041,976 | |||
3.000%, 10/20/2046 to 10/20/2050 | 6,519,321 | 6,129,586 | |||
3.500%, 01/20/2048 | 808,301 | 785,807 | |||
4.000%, 03/20/2048 to 07/20/2049 | 3,262,936 | 3,235,354 | |||
4.500%, TBA (A) | 5,200,000 | 5,200,096 | |||
4.500%, 08/15/2047 to 05/20/2049 | 3,173,164 | 3,209,004 | |||
5.000%, 12/20/2039 to 03/20/2049 | 9,353,259 | 9,628,166 | |||
422,123,545 | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $957,098,774) | $ | 899,462,045 | |||
FOREIGN GOVERNMENT OBLIGATIONS – 0.8% | |||||
Bermuda – 0.0% | |||||
Government of Bermuda 5.000%, 07/15/2032 (D) | 693,000 | 697,615 | |||
Canada – 0.1% | |||||
Province of Saskatchewan 3.250%, 06/08/2027 | 835,000 | 819,349 | |||
Chile – 0.1% | |||||
Republic of Chile | |||||
3.500%, 01/31/2034 | 395,000 | 342,725 | |||
4.340%, 03/07/2042 | 888,000 | 762,216 | |||
1,104,941 |
The accompanying notes are an integral part of the financial statements. | 23 |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||
Italy – 0.0% | |||||
Republic of Italy 3.875%, 05/06/2051 | $ | 406,000 | $ | 297,448 | |
Mexico – 0.4% | |||||
Government of Mexico | |||||
3.500%, 02/12/2034 | 705,000 | 589,767 | |||
3.750%, 04/19/2071 | 1,249,000 | 810,593 | |||
4.400%, 02/12/2052 | 1,513,000 | 1,156,813 | |||
4.500%, 04/22/2029 | 1,411,000 | 1,380,542 | |||
4.600%, 02/10/2048 | 305,000 | 244,586 | |||
4.875%, 05/19/2033 | 2,904,000 | 2,781,914 | |||
6,964,215 | |||||
Paraguay – 0.1% | |||||
Republic of Paraguay | |||||
3.849%, 06/28/2033 (D) | 322,000 | 275,201 | |||
4.950%, 04/28/2031 (D) | 315,000 | 303,098 | |||
5.400%, 03/30/2050 (D) | 944,000 | 789,720 | |||
1,368,019 | |||||
Peru – 0.0% | |||||
Republic of Peru 3.600%, 01/15/2072 | 324,000 | 221,708 | |||
South Korea – 0.1% | |||||
Korea Hydro & Nuclear Power Company Ltd. 4.250%, 07/27/2027 (D) | 1,148,000 | 1,138,324 | |||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $14,041,031) | $ | 12,611,619 | |||
CORPORATE BONDS – 26.4% | |||||
Communication services – 1.8% | |||||
AT&T, Inc. | |||||
1.700%, 03/25/2026 | 2,749,000 | 2,509,375 | |||
3.500%, 06/01/2041 | 590,000 | 465,054 | |||
3.550%, 09/15/2055 | 578,000 | 423,207 | |||
3.650%, 06/01/2051 to 09/15/2059 | 1,603,000 | 1,179,748 | |||
3.800%, 12/01/2057 | 1,054,000 | 797,846 | |||
Charter Communications Operating LLC | |||||
3.500%, 06/01/2041 to 03/01/2042 | 1,863,000 | 1,287,565 | |||
3.900%, 06/01/2052 | 330,000 | 223,592 | |||
Magallanes, Inc. | |||||
3.638%, 03/15/2025 (D) | 1,105,000 | 1,066,895 | |||
3.755%, 03/15/2027 (D) | 1,679,000 | 1,568,322 | |||
4.054%, 03/15/2029 (D) | 552,000 | 502,648 | |||
5.050%, 03/15/2042 (D) | 1,212,000 | 990,824 | |||
5.141%, 03/15/2052 (D) | 2,006,000 | 1,605,596 | |||
5.391%, 03/15/2062 (D) | 1,377,000 | 1,105,322 | |||
Meta Platforms, Inc. | |||||
3.850%, 08/15/2032 (D) | 1,736,000 | 1,632,587 | |||
4.650%, 08/15/2062 (D) | 463,000 | 417,695 | |||
Netflix, Inc. | |||||
5.375%, 11/15/2029 (D) | 771,000 | 759,435 | |||
5.875%, 11/15/2028 | 1,054,000 | 1,065,815 | |||
Rogers Communications, Inc. 4.550%, 03/15/2052 (D) | 664,000 | 582,846 | |||
T-Mobile USA, Inc. | |||||
2.250%, 02/15/2026 | 2,500,000 | 2,296,922 | |||
2.875%, 02/15/2031 | 251,000 | 212,145 | |||
3.375%, 04/15/2029 | 2,923,000 | 2,633,038 | |||
3.500%, 04/15/2031 | 165,000 | 146,106 | |||
Verizon Communications, Inc. | |||||
2.355%, 03/15/2032 | 1,812,000 | 1,486,578 | |||
2.550%, 03/21/2031 | 866,000 | 731,946 | |||
2.650%, 11/20/2040 | 2,317,000 | 1,672,409 | |||
3.550%, 03/22/2051 | 1,158,000 | 910,062 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Communication services (continued) | |||||
Vodafone Group PLC | |||||
4.250%, 09/17/2050 | $ | 219,000 | $ | 179,063 | |
5.000%, 05/30/2038 | 276,000 | 261,694 | |||
28,714,335 | |||||
Consumer discretionary – 1.5% | |||||
Amazon.com, Inc. | |||||
2.100%, 05/12/2031 | 960,000 | 825,912 | |||
2.500%, 06/03/2050 | 530,000 | 368,737 | |||
2.875%, 05/12/2041 | 384,000 | 306,357 | |||
3.450%, 04/13/2029 | 828,000 | 800,683 | |||
3.600%, 04/13/2032 | 508,000 | 486,945 | |||
AutoNation, Inc. 4.750%, 06/01/2030 | 965,000 | 903,284 | |||
Ford Motor Company 4.750%, 01/15/2043 | 117,000 | 87,522 | |||
Ford Motor Credit Company LLC | |||||
2.700%, 08/10/2026 | 1,872,000 | 1,621,307 | |||
2.900%, 02/10/2029 | 957,000 | 774,452 | |||
3.625%, 06/17/2031 | 901,000 | 729,567 | |||
General Motors Company | |||||
5.400%, 10/15/2029 | 1,447,000 | 1,411,750 | |||
5.600%, 10/15/2032 | 1,390,000 | 1,330,671 | |||
General Motors Financial Company, Inc. 3.100%, 01/12/2032 | 594,000 | 479,380 | |||
Hyundai Capital America | |||||
0.800%, 01/08/2024 (D) | 486,000 | 461,773 | |||
1.300%, 01/08/2026 (D) | 1,165,000 | 1,031,096 | |||
2.000%, 06/15/2028 (D) | 549,000 | 455,544 | |||
Lowe's Companies, Inc. 4.250%, 04/01/2052 | 1,158,000 | 986,254 | |||
Marriott International, Inc. | |||||
2.850%, 04/15/2031 | 736,000 | 612,765 | |||
3.500%, 10/15/2032 | 832,000 | 711,802 | |||
4.625%, 06/15/2030 | 2,295,000 | 2,191,889 | |||
McDonald's Corp. | |||||
3.625%, 09/01/2049 | 898,000 | 727,092 | |||
4.200%, 04/01/2050 | 1,327,000 | 1,174,683 | |||
Target Corp. 2.950%, 01/15/2052 | 1,514,000 | 1,138,473 | |||
The Home Depot, Inc. | |||||
2.375%, 03/15/2051 | 882,000 | 579,201 | |||
3.125%, 12/15/2049 | 1,070,000 | 820,889 | |||
3.250%, 04/15/2032 | 1,377,000 | 1,270,419 | |||
3.300%, 04/15/2040 | 229,000 | 191,630 | |||
3.625%, 04/15/2052 | 549,000 | 460,822 | |||
The Trustees of the University of Pennsylvania 3.610%, 02/15/2119 | 954,000 | 695,478 | |||
23,636,377 | |||||
Consumer staples – 0.6% | |||||
Anheuser-Busch Companies LLC | |||||
4.700%, 02/01/2036 | 1,558,000 | 1,507,346 | |||
4.900%, 02/01/2046 | 2,123,000 | 2,015,487 | |||
Anheuser-Busch InBev Worldwide, Inc. | |||||
3.750%, 07/15/2042 | 501,000 | 412,591 | |||
4.375%, 04/15/2038 | 1,638,000 | 1,512,653 | |||
BAT Capital Corp. 4.390%, 08/15/2037 | 292,000 | 230,960 | |||
Bunge, Ltd. Finance Corp. 1.630%, 08/17/2025 | 959,000 | 890,319 | |||
PepsiCo, Inc. 3.900%, 07/18/2032 | 1,273,000 | 1,247,471 | |||
Viterra Finance BV | |||||
3.200%, 04/21/2031 (D) | 283,000 | 221,964 | |||
4.900%, 04/21/2027 (D) | 725,000 | 695,969 |
The accompanying notes are an integral part of the financial statements. | 24 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer staples (continued) | |||||
Viterra Finance BV (continued) | |||||
5.250%, 04/21/2032 (D) | $ | 1,686,000 | $ | 1,536,054 | |
10,270,814 | |||||
Energy – 1.4% | |||||
Aker BP ASA | |||||
2.000%, 07/15/2026 (D) | 1,416,000 | 1,263,118 | |||
3.100%, 07/15/2031 (D) | 1,601,000 | 1,346,699 | |||
3.750%, 01/15/2030 (D) | 371,000 | 333,451 | |||
4.000%, 01/15/2031 (D) | 655,000 | 591,256 | |||
BP Capital Markets America, Inc. 2.939%, 06/04/2051 | 549,000 | 393,437 | |||
Diamondback Energy, Inc. 4.400%, 03/24/2051 | 216,000 | 183,652 | |||
Energy Transfer LP | |||||
4.400%, 03/15/2027 | 273,000 | 264,510 | |||
4.950%, 05/15/2028 | 2,034,000 | 1,988,498 | |||
5.300%, 04/15/2047 | 1,295,000 | 1,134,791 | |||
6.125%, 12/15/2045 | 492,000 | 473,894 | |||
Exxon Mobil Corp. | |||||
3.452%, 04/15/2051 | 1,546,000 | 1,275,786 | |||
4.327%, 03/19/2050 | 463,000 | 440,577 | |||
Galaxy Pipeline Assets Bidco, Ltd. | |||||
1.750%, 09/30/2027 (D) | 1,544,086 | 1,447,454 | |||
2.160%, 03/31/2034 (D) | 1,241,431 | 1,083,297 | |||
2.625%, 03/31/2036 (D) | 817,000 | 687,301 | |||
2.940%, 09/30/2040 (D) | 488,357 | 407,808 | |||
Kinder Morgan, Inc. | |||||
3.250%, 08/01/2050 | 797,000 | 555,074 | |||
3.600%, 02/15/2051 | 317,000 | 235,802 | |||
5.450%, 08/01/2052 | 1,796,000 | 1,745,075 | |||
Ovintiv, Inc. 7.375%, 11/01/2031 | 387,000 | 421,856 | |||
Petroleos Mexicanos | |||||
2.378%, 04/15/2025 | 262,500 | 256,799 | |||
2.460%, 12/15/2025 | 1,190,350 | 1,156,613 | |||
Pioneer Natural Resources Company | |||||
1.900%, 08/15/2030 | 933,000 | 760,159 | |||
2.150%, 01/15/2031 | 1,117,000 | 919,283 | |||
Targa Resources Corp. 6.250%, 07/01/2052 | 676,000 | 696,113 | |||
Targa Resources Partners LP | |||||
4.000%, 01/15/2032 | 371,000 | 324,890 | |||
4.875%, 02/01/2031 | 1,295,000 | 1,200,438 | |||
5.500%, 03/01/2030 | 324,000 | 316,472 | |||
21,904,103 | |||||
Financials – 10.0% | |||||
American Express Company 4.420%, (4.420% to 8-3-32, then SOFR + 1.760%), 08/03/2033 | 1,736,000 | 1,674,324 | |||
Antares Holdings LP 3.750%, 07/15/2027 (D) | 1,268,000 | 1,060,887 | |||
Ares Capital Corp. 3.200%, 11/15/2031 | 529,000 | 412,613 | |||
Athene Global Funding | |||||
1.730%, 10/02/2026 (D) | 2,495,000 | 2,174,166 | |||
1.985%, 08/19/2028 (D) | 1,377,000 | 1,142,059 | |||
2.500%, 03/24/2028 (D) | 1,930,000 | 1,653,199 | |||
2.514%, 03/08/2024 (D) | 2,257,000 | 2,181,731 | |||
2.646%, 10/04/2031 (D) | 1,822,000 | 1,441,261 | |||
3.205%, 03/08/2027 (D) | 2,752,000 | 2,500,559 | |||
Bain Capital Specialty Finance, Inc. 2.550%, 10/13/2026 | 115,000 | 97,326 | |||
Banco Santander SA | |||||
1.722%, (1.722% to 9-14-26, then 1 Year CMT + 0.900%), 09/14/2027 | 1,400,000 | 1,205,166 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Banco Santander SA (continued) | |||||
3.225%, (3.225% to 11-22-31, then 1 Year CMT + 1.600%), 11/22/2032 | $ | 800,000 | $ | 611,541 | |
5.147%, 08/18/2025 | 3,800,000 | 3,781,718 | |||
5.294%, 08/18/2027 | 2,400,000 | 2,348,867 | |||
Bank of America Corp. | |||||
1.530%, (1.530% to 12-6-24, then SOFR + 0.650%), 12/06/2025 | 3,920,000 | 3,657,982 | |||
1.658%, (1.658% to 3-11-26, then SOFR + 0.910%), 03/11/2027 | 4,380,000 | 3,925,173 | |||
1.734%, (1.734% to 7-22-26, then SOFR + 0.960%), 07/22/2027 | 3,323,000 | 2,948,671 | |||
2.687%, (2.687% to 4-22-31, then SOFR + 1.320%), 04/22/2032 | 4,224,000 | 3,501,683 | |||
3.004%, (3.004% to 12-20-22, then 3 month LIBOR + 0.790%), 12/20/2023 | 2,193,000 | 2,184,899 | |||
3.384%, (3.384% to 4-2-25, then SOFR + 1.330%), 04/02/2026 | 5,151,000 | 4,970,554 | |||
3.419%, (3.419% to 12-20-27, then 3 month LIBOR + 1.040%), 12/20/2028 | 3,060,000 | 2,834,358 | |||
4.827%, (4.827% to 7-22-25, then SOFR + 1.750%), 07/22/2026 | 3,180,000 | 3,185,642 | |||
4.948%, (4.948% to 7-22-27, then SOFR + 2.040%), 07/22/2028 | 3,180,000 | 3,177,094 | |||
5.015%, (5.015% to 7-22-32, then SOFR + 2.160%), 07/22/2033 | 1,276,000 | 1,264,090 | |||
Blackstone Private Credit Fund | |||||
3.250%, 03/15/2027 | 1,136,000 | 974,635 | |||
4.000%, 01/15/2029 | 1,758,000 | 1,515,393 | |||
Brighthouse Financial, Inc. 3.850%, 12/22/2051 | 546,000 | 375,924 | |||
Citigroup, Inc. | |||||
4.658%, (4.658% to 5-24-27, then SOFR + 1.887%), 05/24/2028 | 1,397,000 | 1,377,361 | |||
4.910%, (4.910% to 5-24-32, then SOFR + 2.086%), 05/24/2033 | 1,558,000 | 1,524,070 | |||
Citizens Bank NA 4.575%, (4.575% to 8-9-27, then SOFR + 2.000%), 08/09/2028 | 1,755,000 | 1,735,330 | |||
Cooperatieve Rabobank UA | |||||
3.649%, (3.649% to 4-6-27, then 1 Year CMT + 1.220%), 04/06/2028 (D) | 3,150,000 | 2,961,274 | |||
3.758%, (3.758% to 4-6-32, then 1 Year CMT + 1.420%), 04/06/2033 (D) | 1,909,000 | 1,694,510 | |||
Deutsche Bank AG 3.742%, (3.742% to 10-7-31, then SOFR + 2.257%), 01/07/2033 | 2,822,000 | 2,005,022 | |||
Enstar Group, Ltd. 3.100%, 09/01/2031 | 1,387,000 | 1,044,164 | |||
F&G Global Funding 2.000%, 09/20/2028 (D) | 1,165,000 | 973,347 | |||
GA Global Funding Trust 0.800%, 09/13/2024 (D) | 1,921,000 | 1,767,127 | |||
GE Capital International Funding Company 4.418%, 11/15/2035 | 386,000 | 364,976 | |||
HSBC Holdings PLC | |||||
5.210%, (5.210% to 8-11-27, then SOFR + 2.610%), 08/11/2028 | 1,720,000 | 1,678,811 | |||
5.402%, (5.402% to 8-11-32, then SOFR + 2.870%), 08/11/2033 | 863,000 | 821,122 | |||
Huntington Bancshares, Inc. 4.443%, (4.443% to 8-4-27, then SOFR + 1.970%), 08/04/2028 | 1,155,000 | 1,128,815 |
The accompanying notes are an integral part of the financial statements. | 25 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Jackson Financial, Inc. | |||||
5.170%, 06/08/2027 | $ | 809,000 | $ | 798,630 | |
5.670%, 06/08/2032 | 1,117,000 | 1,084,337 | |||
JPMorgan Chase & Co. | |||||
1.040%, (1.040% to 2-4-26, then 3 month CME Term SOFR + 0.695%), 02/04/2027 | 5,526,000 | 4,865,673 | |||
1.045%, (1.045% to 11-19-25, then SOFR + 0.800%), 11/19/2026 | 3,079,000 | 2,735,564 | |||
1.470%, (1.470% to 9-22-26, then SOFR + 0.765%), 09/22/2027 | 1,374,000 | 1,203,242 | |||
1.561%, (1.561% to 12-10-24, then SOFR + 0.605%), 12/10/2025 | 8,084,000 | 7,548,681 | |||
2.182%, (2.182% to 6-1-27, then SOFR + 1.890%), 06/01/2028 | 1,692,000 | 1,503,411 | |||
4.565%, (4.565% to 6-14-29, then SOFR + 1.750%), 06/14/2030 | 1,397,000 | 1,355,136 | |||
4.851%, (4.851% to 7-25-27, then SOFR + 1.990%), 07/25/2028 | 2,307,000 | 2,302,383 | |||
4.912%, (4.912% to 7-25-32, then SOFR + 2.080%), 07/25/2033 | 1,155,000 | 1,142,182 | |||
KKR Group Finance Company XII LLC 4.850%, 05/17/2032 (D) | 675,000 | 658,441 | |||
Liberty Mutual Group, Inc. 5.500%, 06/15/2052 (D) | 835,000 | 814,883 | |||
Lloyds Banking Group PLC | |||||
4.716%, (4.716% to 8-11-25, then 1 Year CMT + 1.750%), 08/11/2026 | 2,291,000 | 2,260,272 | |||
4.976%, (4.976% to 8-11-32, then 1 Year CMT + 2.300%), 08/11/2033 | 1,320,000 | 1,253,865 | |||
Mitsubishi UFJ Financial Group, Inc. | |||||
2.309%, (2.309% to 7-20-31, then 1 Year CMT + 0.950%), 07/20/2032 | 1,387,000 | 1,115,839 | |||
2.341%, (2.341% to 1-19-27, then 1 Year CMT + 0.830%), 01/19/2028 | 852,000 | 764,531 | |||
2.494%, (2.494% to 10-13-31, then 1 Year CMT + 0.970%), 10/13/2032 | 488,000 | 396,995 | |||
5.017%, (5.017% to 7-20-27, then 1 Year CMT + 1.950%), 07/20/2028 | 1,621,000 | 1,629,197 | |||
5.133%, (5.133% to 7-20-32, then 1 Year CMT + 2.125%), 07/20/2033 | 1,154,000 | 1,158,195 | |||
Moody's Corp. 4.250%, 08/08/2032 | 406,000 | 392,649 | |||
Morgan Stanley | |||||
0.790%, (0.790% to 5-30-24, then SOFR + 0.525%), 05/30/2025 | 3,558,000 | 3,325,855 | |||
0.791%, (0.791% to 1-22-24, then SOFR + 0.509%), 01/22/2025 | 3,523,000 | 3,341,504 | |||
0.864%, (0.864% to 10-21-24, then SOFR + 0.745%), 10/21/2025 | 1,098,000 | 1,014,121 | |||
0.985%, (0.985% to 12-10-25, then SOFR + 0.720%), 12/10/2026 | 2,809,000 | 2,487,455 | |||
1.512%, (1.512% to 7-20-26, then SOFR + 0.858%), 07/20/2027 | 2,149,000 | 1,902,943 | |||
2.475%, (2.475% to 1-21-27, then SOFR + 1.000%), 01/21/2028 | 549,000 | 498,685 | |||
Morgan Stanley Direct Lending Fund 4.500%, 02/11/2027 | 462,000 | 425,484 | |||
Owl Rock Capital Corp. 3.400%, 07/15/2026 | 1,476,000 | 1,320,123 | |||
Owl Rock Capital Corp. III 3.125%, 04/13/2027 (D) | 751,000 | 630,368 | |||
SBL Holdings, Inc. 5.000%, 02/18/2031 (D) | 1,911,000 | 1,528,435 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
Stewart Information Services Corp. 3.600%, 11/15/2031 | $ | 743,000 | $ | 612,340 | |
The Bank of New York Mellon Corp. | |||||
4.289%, (4.289% to 6-13-32, then SOFR + 1.418%), 06/13/2033 | 2,790,000 | 2,722,537 | |||
4.596%, (4.596% to 7-26-29, then SOFR + 1.755%), 07/26/2030 | 1,041,000 | 1,040,218 | |||
The Goldman Sachs Group, Inc. | |||||
0.657%, (0.657% to 9-10-23, then SOFR + 0.505%), 09/10/2024 | 2,764,000 | 2,650,771 | |||
0.925%, (0.925% to 10-21-23, then SOFR + 0.486%), 10/21/2024 | 4,104,000 | 3,928,042 | |||
1.757%, (1.757% to 1-24-24, then SOFR + 0.730%), 01/24/2025 | 2,317,000 | 2,226,549 | |||
1.948%, (1.948% to 10-21-26, then SOFR + 0.913%), 10/21/2027 | 1,368,000 | 1,215,039 | |||
Truist Financial Corp. | |||||
4.123%, (4.123% to 6-6-27, then SOFR + 1.368%), 06/06/2028 | 1,965,000 | 1,926,338 | |||
4.260%, (4.260% to 7-28-25, then SOFR + 1.456%), 07/28/2026 | 1,158,000 | 1,155,390 | |||
Trust Fibra Uno 6.390%, 01/15/2050 (D) | 682,000 | 554,125 | |||
UBS Group AG | |||||
4.490%, (4.490% to 8-5-24, then 1 Year CMT + 1.600%), 08/05/2025 (D) | 1,917,000 | 1,910,516 | |||
4.703%, (4.703% to 8-5-26, then 1 Year CMT + 2.050%), 08/05/2027 (D) | 4,001,000 | 3,927,169 | |||
Wells Fargo & Company | |||||
3.526%, (3.526% to 3-24-27, then SOFR + 1.510%), 03/24/2028 | 5,767,000 | 5,447,943 | |||
3.908%, (3.908% to 4-25-25, then SOFR + 1.320%), 04/25/2026 | 2,193,000 | 2,148,731 | |||
4.808%, (4.808% to 7-25-27, then SOFR + 1.980%), 07/25/2028 | 1,155,000 | 1,146,521 | |||
4.897%, (4.897% to 7-25-32, then SOFR + 2.100%), 07/25/2033 | 863,000 | 849,159 | |||
160,797,911 | |||||
Health care – 3.0% | |||||
AbbVie, Inc. | |||||
2.300%, 11/21/2022 | 1,720,000 | 1,716,529 | |||
3.200%, 11/21/2029 | 1,641,000 | 1,498,833 | |||
4.050%, 11/21/2039 | 651,000 | 573,847 | |||
4.250%, 11/21/2049 | 1,904,000 | 1,674,331 | |||
4.300%, 05/14/2036 | 400,000 | 372,328 | |||
4.450%, 05/14/2046 | 406,000 | 365,151 | |||
Amgen, Inc. | |||||
3.000%, 01/15/2052 | 324,000 | 228,152 | |||
4.050%, 08/18/2029 | 1,444,000 | 1,404,591 | |||
4.200%, 03/01/2033 | 1,155,000 | 1,113,334 | |||
4.875%, 03/01/2053 | 955,000 | 926,348 | |||
Astrazeneca Finance LLC 1.750%, 05/28/2028 | 1,946,000 | 1,717,942 | |||
AstraZeneca PLC 1.375%, 08/06/2030 | 559,000 | 458,288 | |||
Becton, Dickinson and Company | |||||
1.957%, 02/11/2031 | 438,000 | 356,668 | |||
4.298%, 08/22/2032 | 1,273,000 | 1,236,255 | |||
Centene Corp. | |||||
2.450%, 07/15/2028 | 2,844,000 | 2,398,601 | |||
2.500%, 03/01/2031 | 514,000 | 410,131 | |||
3.000%, 10/15/2030 | 1,238,000 | 1,034,720 | |||
Cigna Corp. | |||||
3.400%, 03/15/2050 | 279,000 | 209,729 | |||
4.900%, 12/15/2048 | 698,000 | 662,645 |
The accompanying notes are an integral part of the financial statements. | 26 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Health care (continued) | |||||
CSL Finance PLC | |||||
3.850%, 04/27/2027 (D) | $ | 276,000 | $ | 272,059 | |
4.050%, 04/27/2029 (D) | 555,000 | 538,644 | |||
4.750%, 04/27/2052 (D) | 1,041,000 | 1,001,073 | |||
CVS Health Corp. | |||||
3.000%, 08/15/2026 | 594,000 | 571,238 | |||
4.300%, 03/25/2028 | 1,257,000 | 1,242,647 | |||
5.050%, 03/25/2048 | 1,006,000 | 968,589 | |||
Danaher Corp. | |||||
2.600%, 10/01/2050 | 654,000 | 451,281 | |||
2.800%, 12/10/2051 | 438,000 | 310,846 | |||
DH Europe Finance II Sarl | |||||
2.050%, 11/15/2022 | 879,000 | 876,405 | |||
2.200%, 11/15/2024 | 1,511,000 | 1,453,399 | |||
Gilead Sciences, Inc. | |||||
2.600%, 10/01/2040 | 955,000 | 693,776 | |||
2.800%, 10/01/2050 | 892,000 | 611,028 | |||
4.000%, 09/01/2036 | 492,000 | 448,305 | |||
GSK Consumer Healthcare Capital US LLC | |||||
3.375%, 03/24/2027 to 03/24/2029 (D) | 2,349,000 | 2,171,688 | |||
3.625%, 03/24/2032 (D) | 1,895,000 | 1,689,721 | |||
4.000%, 03/24/2052 (D) | 1,525,000 | 1,239,695 | |||
HCA, Inc. 4.625%, 03/15/2052 (D) | 1,218,000 | 1,007,928 | |||
Pfizer, Inc. | |||||
1.750%, 08/18/2031 | 1,114,000 | 923,364 | |||
2.550%, 05/28/2040 | 1,917,000 | 1,472,476 | |||
Roche Holdings, Inc. | |||||
2.076%, 12/13/2031 (D) | 2,024,000 | 1,704,693 | |||
2.607%, 12/13/2051 (D) | 759,000 | 538,893 | |||
Shire Acquisitions Investments Ireland DAC 2.875%, 09/23/2023 | 454,000 | 447,925 | |||
STERIS Irish FinCo Unlimited Company 3.750%, 03/15/2051 | 864,000 | 666,285 | |||
Takeda Pharmaceutical Company, Ltd. | |||||
2.050%, 03/31/2030 | 1,482,000 | 1,238,986 | |||
3.025%, 07/09/2040 | 617,000 | 478,035 | |||
3.175%, 07/09/2050 | 373,000 | 273,713 | |||
4.400%, 11/26/2023 | 1,047,000 | 1,048,663 | |||
Thermo Fisher Scientific, Inc. | |||||
1.750%, 10/15/2028 | 555,000 | 490,244 | |||
2.000%, 10/15/2031 | 930,000 | 782,996 | |||
2.800%, 10/15/2041 | 886,000 | 686,894 | |||
UnitedHealth Group, Inc. | |||||
2.750%, 05/15/2040 | 422,000 | 325,920 | |||
2.900%, 05/15/2050 | 981,000 | 719,516 | |||
3.050%, 05/15/2041 | 289,000 | 230,979 | |||
3.250%, 05/15/2051 | 1,784,000 | 1,400,888 | |||
4.000%, 05/15/2029 | 847,000 | 833,448 | |||
4.625%, 07/15/2035 | 866,000 | 862,913 | |||
49,033,576 | |||||
Industrials – 1.5% | |||||
Adani International Container Terminal Private, Ltd. 3.000%, 02/16/2031 (D) | 480,000 | 387,143 | |||
AerCap Ireland Capital DAC 1.150%, 10/29/2023 | 3,309,000 | 3,165,174 | |||
Canadian National Railway Company | |||||
3.850%, 08/05/2032 | 866,000 | 838,315 | |||
4.400%, 08/05/2052 | 578,000 | 553,093 | |||
Canadian Pacific Railway Company | |||||
1.350%, 12/02/2024 | 1,368,000 | 1,284,885 | |||
1.750%, 12/02/2026 | 263,000 | 238,539 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
Canadian Pacific Railway Company (continued) | |||||
2.450%, 12/02/2031 | $ | 222,000 | $ | 189,655 | |
3.000%, 12/02/2041 | 270,000 | 212,663 | |||
Crowley Conro LLC 4.181%, 08/15/2043 | 767,128 | 759,574 | |||
CSX Corp. 4.100%, 11/15/2032 | 1,444,000 | 1,394,998 | |||
Delta Air Lines, Inc. 4.750%, 10/20/2028 (D) | 3,250,000 | 3,104,841 | |||
John Deere Capital Corp. | |||||
2.125%, 03/07/2025 | 828,000 | 794,654 | |||
2.350%, 03/08/2027 | 1,377,000 | 1,289,973 | |||
Northrop Grumman Corp. 4.400%, 05/01/2030 | 1,968,000 | 1,961,553 | |||
Parker-Hannifin Corp. | |||||
4.250%, 09/15/2027 | 1,676,000 | 1,658,616 | |||
4.500%, 09/15/2029 | 1,117,000 | 1,100,239 | |||
Quanta Services, Inc. 0.950%, 10/01/2024 | 1,098,000 | 1,027,132 | |||
The Boeing Company | |||||
2.196%, 02/04/2026 | 2,088,000 | 1,910,681 | |||
3.250%, 02/01/2035 | 676,000 | 520,076 | |||
3.750%, 02/01/2050 | 1,206,000 | 865,493 | |||
Union Pacific Corp. | |||||
2.800%, 02/14/2032 | 1,377,000 | 1,224,151 | |||
3.375%, 02/14/2042 | 660,000 | 554,745 | |||
25,036,193 | |||||
Information technology – 2.4% | |||||
Advanced Micro Devices, Inc. 3.924%, 06/01/2032 | 1,774,000 | 1,715,049 | |||
Apple, Inc. | |||||
2.375%, 02/08/2041 | 448,000 | 336,922 | |||
2.400%, 08/20/2050 | 70,000 | 48,478 | |||
2.650%, 05/11/2050 to 02/08/2051 | 1,225,000 | 896,676 | |||
2.800%, 02/08/2061 | 390,000 | 275,456 | |||
3.250%, 08/08/2029 | 2,314,000 | 2,212,413 | |||
3.350%, 08/08/2032 | 1,444,000 | 1,365,405 | |||
3.950%, 08/08/2052 | 1,158,000 | 1,068,607 | |||
4.100%, 08/08/2062 | 866,000 | 795,238 | |||
Broadcom, Inc. | |||||
2.450%, 02/15/2031 (D) | 962,000 | 767,054 | |||
3.150%, 11/15/2025 | 720,000 | 696,088 | |||
3.419%, 04/15/2033 (D) | 2,618,000 | 2,159,385 | |||
3.469%, 04/15/2034 (D) | 1,228,000 | 994,366 | |||
4.000%, 04/15/2029 (D) | 1,105,000 | 1,023,542 | |||
4.150%, 11/15/2030 | 651,000 | 593,779 | |||
4.150%, 04/15/2032 (D) | 828,000 | 740,085 | |||
4.926%, 05/15/2037 (D) | 879,000 | 783,047 | |||
Dell International LLC | |||||
3.375%, 12/15/2041 (D) | 1,368,000 | 958,346 | |||
3.450%, 12/15/2051 (D) | 1,641,000 | 1,072,592 | |||
4.900%, 10/01/2026 | 282,000 | 283,088 | |||
6.100%, 07/15/2027 | 559,000 | 587,795 | |||
Global Payments, Inc. | |||||
1.500%, 11/15/2024 | 218,000 | 203,867 | |||
5.300%, 08/15/2029 | 1,158,000 | 1,145,550 | |||
5.950%, 08/15/2052 | 406,000 | 393,413 | |||
HP, Inc. 4.200%, 04/15/2032 | 1,930,000 | 1,704,647 | |||
Intel Corp. | |||||
2.800%, 08/12/2041 | 1,438,000 | 1,067,032 | |||
4.900%, 08/05/2052 | 1,619,000 | 1,579,896 | |||
5.050%, 08/05/2062 | 577,000 | 556,645 |
The accompanying notes are an integral part of the financial statements. | 27 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Information technology (continued) | |||||
KLA Corp. | |||||
3.300%, 03/01/2050 | $ | 1,317,000 | $ | 1,029,252 | |
4.950%, 07/15/2052 | 511,000 | 513,422 | |||
NXP BV | |||||
2.650%, 02/15/2032 | 1,136,000 | 913,379 | |||
3.250%, 05/11/2041 | 603,000 | 438,158 | |||
3.400%, 05/01/2030 | 765,000 | 677,277 | |||
4.400%, 06/01/2027 | 667,000 | 649,986 | |||
VMware, Inc. | |||||
0.600%, 08/15/2023 | 2,695,000 | 2,605,781 | |||
1.000%, 08/15/2024 | 1,914,000 | 1,793,470 | |||
1.400%, 08/15/2026 | 1,923,000 | 1,695,436 | |||
1.800%, 08/15/2028 | 333,000 | 276,882 | |||
4.700%, 05/15/2030 | 1,105,000 | 1,046,970 | |||
Xilinx, Inc. 2.375%, 06/01/2030 | 470,000 | 409,753 | |||
38,074,227 | |||||
Materials – 0.5% | |||||
Anglo American Capital PLC | |||||
3.875%, 03/16/2029 (D) | 1,480,000 | 1,340,211 | |||
4.750%, 03/16/2052 (D) | 1,154,000 | 973,190 | |||
Freeport-McMoRan, Inc. 5.250%, 09/01/2029 | 2,523,000 | 2,430,747 | |||
Glencore Finance Canada, Ltd. | |||||
6.000%, 11/15/2041 (D) | 70,000 | 67,107 | |||
6.900%, 11/15/2037 (D) | 635,000 | 681,288 | |||
Rohm and Haas Company 7.850%, 07/15/2029 | 672,000 | 782,186 | |||
The Dow Chemical Company | |||||
3.600%, 11/15/2050 | 559,000 | 427,165 | |||
7.375%, 11/01/2029 | 740,000 | 849,507 | |||
Westlake Corp. 3.600%, 08/15/2026 | 603,000 | 583,746 | |||
8,135,147 | |||||
Real estate – 1.6% | |||||
Agree LP | |||||
2.000%, 06/15/2028 | 1,152,000 | 969,924 | |||
2.600%, 06/15/2033 | 260,000 | 203,127 | |||
4.800%, 10/01/2032 | 578,000 | 554,642 | |||
American Homes 4 Rent LP | |||||
3.625%, 04/15/2032 | 1,060,000 | 925,158 | |||
4.300%, 04/15/2052 | 473,000 | 381,242 | |||
American Tower Corp. | |||||
2.700%, 04/15/2031 | 438,000 | 362,405 | |||
3.125%, 01/15/2027 | 578,000 | 538,280 | |||
3.650%, 03/15/2027 | 816,000 | 776,304 | |||
Brixmor Operating Partnership LP | |||||
2.250%, 04/01/2028 | 371,000 | 313,406 | |||
2.500%, 08/16/2031 | 641,000 | 496,056 | |||
Crown Castle, Inc. | |||||
1.050%, 07/15/2026 | 1,650,000 | 1,445,153 | |||
2.900%, 03/15/2027 to 04/01/2041 | 2,082,000 | 1,871,237 | |||
3.300%, 07/01/2030 | 952,000 | 843,894 | |||
4.000%, 03/01/2027 | 276,000 | 267,903 | |||
Essex Portfolio LP | |||||
1.700%, 03/01/2028 | 1,387,000 | 1,179,718 | |||
2.550%, 06/15/2031 | 546,000 | 453,913 | |||
Extra Space Storage LP | |||||
2.350%, 03/15/2032 | 473,000 | 371,422 | |||
3.900%, 04/01/2029 | 530,000 | 491,956 | |||
Federal Realty Investment Trust 3.950%, 01/15/2024 | 733,000 | 729,401 | |||
GLP Capital LP 5.300%, 01/15/2029 | 533,000 | 514,564 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Real estate (continued) | |||||
Invitation Homes Operating Partnership LP 4.150%, 04/15/2032 | $ | 1,060,000 | $ | 952,894 | |
Kimco Realty Corp. 4.600%, 02/01/2033 | 866,000 | 837,489 | |||
Mid-America Apartments LP | |||||
3.950%, 03/15/2029 | 530,000 | 505,811 | |||
4.000%, 11/15/2025 | 651,000 | 637,697 | |||
4.300%, 10/15/2023 | 543,000 | 542,993 | |||
Realty Income Corp. | |||||
2.200%, 06/15/2028 | 568,000 | 498,510 | |||
2.850%, 12/15/2032 | 768,000 | 658,503 | |||
3.400%, 01/15/2028 | 562,000 | 527,213 | |||
Regency Centers LP 2.950%, 09/15/2029 | 1,149,000 | 1,003,110 | |||
Rexford Industrial Realty LP 2.150%, 09/01/2031 | 587,000 | 468,215 | |||
Spirit Realty LP 3.400%, 01/15/2030 | 378,000 | 325,146 | |||
STORE Capital Corp. | |||||
2.700%, 12/01/2031 | 368,000 | 292,232 | |||
2.750%, 11/18/2030 | 936,000 | 759,748 | |||
4.500%, 03/15/2028 | 2,000,000 | 1,919,863 | |||
4.625%, 03/15/2029 | 676,000 | 653,422 | |||
Sun Communities Operating LP | |||||
2.300%, 11/01/2028 | 530,000 | 447,494 | |||
4.200%, 04/15/2032 | 1,060,000 | 949,372 | |||
25,669,417 | |||||
Utilities – 2.1% | |||||
American Transmission Systems, Inc. 2.650%, 01/15/2032 (D) | 381,000 | 320,598 | |||
Baltimore Gas and Electric Company 2.250%, 06/15/2031 | 822,000 | 696,053 | |||
CenterPoint Energy Houston Electric LLC 3.600%, 03/01/2052 | 606,000 | 511,567 | |||
Consumers Energy Company | |||||
2.500%, 05/01/2060 | 470,000 | 298,318 | |||
2.650%, 08/15/2052 | 368,000 | 257,731 | |||
DTE Electric Company | |||||
2.950%, 03/01/2050 | 959,000 | 729,072 | |||
3.650%, 03/01/2052 | 438,000 | 373,342 | |||
DTE Energy Company 1.050%, 06/01/2025 | 491,000 | 449,319 | |||
Duke Energy Carolinas LLC | |||||
2.550%, 04/15/2031 | 559,000 | 489,280 | |||
2.850%, 03/15/2032 | 1,019,000 | 903,304 | |||
3.550%, 03/15/2052 | 743,000 | 612,116 | |||
Duke Energy Corp. | |||||
2.550%, 06/15/2031 | 657,000 | 548,234 | |||
3.500%, 06/15/2051 | 168,000 | 127,485 | |||
3.750%, 09/01/2046 | 168,000 | 131,328 | |||
4.300%, 03/15/2028 | 1,736,000 | 1,699,543 | |||
4.500%, 08/15/2032 | 1,562,000 | 1,506,339 | |||
5.000%, 08/15/2052 | 579,000 | 549,752 | |||
Duke Energy Florida LLC 2.400%, 12/15/2031 | 819,000 | 697,331 | |||
Duke Energy Progress LLC 2.500%, 08/15/2050 | 828,000 | 567,070 | |||
Entergy Arkansas LLC 2.650%, 06/15/2051 | 740,000 | 504,875 | |||
Eversource Energy | |||||
1.400%, 08/15/2026 | 467,000 | 415,375 | |||
3.375%, 03/01/2032 | 1,105,000 | 992,794 | |||
4.600%, 07/01/2027 | 1,425,000 | 1,429,160 | |||
Israel Electric Corp., Ltd. 3.750%, 02/22/2032 (D) | 490,000 | 453,133 |
The accompanying notes are an integral part of the financial statements. | 28 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Utilities (continued) | |||||
ITC Holdings Corp. 2.700%, 11/15/2022 | $ | 1,114,000 | $ | 1,112,131 | |
Jersey Central Power & Light Company 2.750%, 03/01/2032 (D) | 901,000 | 761,258 | |||
Metropolitan Edison Company 4.300%, 01/15/2029 (D) | 965,000 | 942,224 | |||
MidAmerican Energy Company 2.700%, 08/01/2052 | 711,000 | 504,940 | |||
Mississippi Power Company | |||||
3.100%, 07/30/2051 | 984,000 | 699,715 | |||
3.950%, 03/30/2028 | 984,000 | 946,750 | |||
4.250%, 03/15/2042 | 378,000 | 331,611 | |||
NextEra Energy Capital Holdings, Inc. 4.625%, 07/15/2027 | 857,000 | 860,514 | |||
Northern States Power Company 3.200%, 04/01/2052 | 555,000 | 433,624 | |||
NSTAR Electric Company | |||||
3.100%, 06/01/2051 | 505,000 | 381,993 | |||
4.550%, 06/01/2052 | 667,000 | 652,605 | |||
Pacific Gas & Electric Company | |||||
2.100%, 08/01/2027 | 438,000 | 370,421 | |||
3.950%, 12/01/2047 | 1,238,000 | 845,562 | |||
4.200%, 06/01/2041 | 476,000 | 353,853 | |||
4.500%, 07/01/2040 | 282,000 | 219,514 | |||
4.750%, 02/15/2044 | 276,000 | 212,848 | |||
4.950%, 07/01/2050 | 1,108,000 | 884,276 | |||
PECO Energy Company 2.850%, 09/15/2051 | 990,000 | 720,605 | |||
Pennsylvania Electric Company 3.250%, 03/15/2028 (D) | 800,000 | 740,300 | |||
Public Service Company of Oklahoma | |||||
2.200%, 08/15/2031 | 549,000 | 453,597 | |||
3.150%, 08/15/2051 | 555,000 | 402,592 | |||
Public Service Electric & Gas Company | |||||
1.900%, 08/15/2031 | 1,101,000 | 916,270 | |||
2.050%, 08/01/2050 | 229,000 | 141,400 | |||
2.700%, 05/01/2050 | 448,000 | 319,824 | |||
Public Service Enterprise Group, Inc. | |||||
1.600%, 08/15/2030 | 632,000 | 502,948 | |||
2.450%, 11/15/2031 | 711,000 | 593,611 | |||
Southern California Edison Company 4.125%, 03/01/2048 | 619,000 | 514,717 | |||
Southern Company Gas Capital Corp. 1.750%, 01/15/2031 | 866,000 | 687,775 | |||
The AES Corp. 1.375%, 01/15/2026 | 622,000 | 551,841 | |||
Trans-Allegheny Interstate Line Company 3.850%, 06/01/2025 (D) | 387,000 | 378,295 | |||
Virginia Electric and Power Company | |||||
2.950%, 11/15/2051 | 822,000 | 609,204 | |||
4.625%, 05/15/2052 | 559,000 | 544,472 | |||
Xcel Energy, Inc. 4.600%, 06/01/2032 | 832,000 | 825,795 | |||
34,680,204 | |||||
TOTAL CORPORATE BONDS (Cost $471,077,604) | $ | 425,952,304 | |||
MUNICIPAL BONDS – 0.3% | |||||
Board of Regents of the University of Texas 2.439%, 08/15/2049 | 600,000 | 424,176 | |||
County of Clark Department of Aviation (Nevada) 6.820%, 07/01/2045 | 1,115,000 | 1,413,435 |
Shares or Principal Amount | Value | ||||
MUNICIPAL BONDS (continued) | |||||
North Texas Tollway Authority 6.718%, 01/01/2049 | $ | 459,000 | $ | 590,347 | |
Port Authority of New York & New Jersey 4.458%, 10/01/2062 | 1,010,000 | 976,273 | |||
The Ohio State University 4.800%, 06/01/2111 | 600,000 | 559,552 | |||
TOTAL MUNICIPAL BONDS (Cost $4,182,683) | $ | 3,963,783 | |||
COLLATERALIZED MORTGAGE OBLIGATIONS – 9.6% | |||||
Commercial and residential – 4.1% | |||||
3650R Commercial Mortgage Trust Series 2021-PF1, Class A5 2.522%, 11/15/2054 | 816,000 | 702,165 | |||
Angel Oak Mortgage Trust LLC | |||||
Series 2019-2, Class A1, 3.628%, 03/25/2049 (D)(E) | 15,595 | 15,536 | |||
Series 2020-2, Class A1A, 2.531%, 01/26/2065 (D)(E) | 253,386 | 242,314 | |||
Series 2020-5, Class A1, 1.373%, 05/25/2065 (D)(E) | 274,563 | 259,283 | |||
Series 2021-6, Class A1, 1.458%, 09/25/2066 (D)(E) | 920,167 | 782,479 | |||
Barclays Commercial Mortgage Trust Series 2019-C3, Class A3 3.319%, 05/15/2052 | 188,000 | 175,176 | |||
BBCMS Mortgage Trust | |||||
Series 2018-C2, Class ASB, 4.236%, 12/15/2051 | 375,000 | 370,527 | |||
Series 2022-C16, Class A5, 4.600%, 06/15/2055 (E) | 473,000 | 477,720 | |||
BBCMS Trust Series 2022-C17, Class A5 4.441%, 09/15/2055 (A) | 812,000 | 811,194 | |||
Benchmark Mortgage Trust | |||||
Series 2021-B31, Class A5, 2.669%, 12/15/2054 | 262,000 | 226,672 | |||
Series 2022-B35, Class A5, 4.594%, 05/15/2055 (E) | 1,057,000 | 1,059,865 | |||
Series 2022-B36, Class A5, 4.470%, 07/15/2055 (E) | 540,000 | 539,018 | |||
BMO Mortgage Trust Series 2022-C2, Class A5 4.974%, 07/15/2054 (E) | 514,000 | 531,812 | |||
Bunker Hill Loan Depositary Trust Series 2019-2, Class A1 2.879%, 07/25/2049 (D) | 802,746 | 762,666 | |||
BX Commercial Mortgage Trust | |||||
Series 2021-VOLT, Class A (1 month LIBOR + 0.700%), 3.091%, 09/15/2036 (B)(D) | 3,519,000 | 3,399,400 | |||
Series 2021-XL2, Class A (1 month LIBOR + 0.689%), 3.080%, 10/15/2038 (B)(D) | 1,631,692 | 1,571,483 | |||
CFCRE Commercial Mortgage Trust Series 2017-C8, Class ASB 3.367%, 06/15/2050 | 500,974 | 488,384 | |||
Citigroup Commercial Mortgage Trust Series 2022-GC48, Class A5 4.743%, 05/15/2054 (E) | 1,054,000 | 1,072,078 | |||
COLT Mortgage Loan Trust | |||||
Series 2021-2, Class A1, 0.924%, 08/25/2066 (D)(E) | 1,184,632 | 1,009,170 | |||
Series 2021-4, Class A1, 1.397%, 10/25/2066 (D)(E) | 1,287,859 | 1,114,637 |
The accompanying notes are an integral part of the financial statements. | 29 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
Commercial Mortgage Trust (Cantor Fitzgerald/Deutsche Bank AG) | |||||
Series 2012-CR3, Class A3, 2.822%, 10/15/2045 | $ | 139,431 | $ | 139,175 | |
Series 2013-CR10, Class A4, 4.210%, 08/10/2046 (E) | 45,000 | 44,849 | |||
Series 2013-CR11, Class A4, 4.258%, 08/10/2050 | 3,182,000 | 3,169,788 | |||
Series 2013-CR6, Class A4, 3.101%, 03/10/2046 | 2,628,000 | 2,619,547 | |||
Series 2014-UBS4, Class A4, 3.420%, 08/10/2047 | 1,279,000 | 1,256,364 | |||
Series 2015-LC19, Class A3, 2.922%, 02/10/2048 | 1,449,744 | 1,402,661 | |||
Series 2015-LC23, Class A3, 3.521%, 10/10/2048 | 649,000 | 629,671 | |||
CSAIL Commercial Mortgage Trust | |||||
Series 2019-C16, Class A2, 3.067%, 06/15/2052 | 615,000 | 562,359 | |||
Series 2021-C20, Class A3, 2.805%, 03/15/2054 | 408,000 | 358,615 | |||
EQUS Mortgage Trust Series 2021-EQAZ, Class A (1 month LIBOR + 0.755%) 3.146%, 10/15/2038 (B)(D) | 1,388,000 | 1,342,891 | |||
GS Mortgage Securities Trust | |||||
Series 2013-GC14, Class A5, 4.243%, 08/10/2046 | 718,000 | 715,834 | |||
Series 2014-GC18, Class A4, 4.074%, 01/10/2047 | 1,530,000 | 1,516,062 | |||
Series 2020-GC47, Class A5, 2.377%, 05/12/2053 | 523,000 | 452,858 | |||
Series 2020-GSA2, Class A4, 1.721%, 12/12/2053 | 1,786,000 | 1,461,627 | |||
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust Series 2010-1, Class A1 5.314%, 01/25/2051 (D) | 1,634,447 | 1,590,599 | |||
JPMBB Commercial Mortgage Securities Trust | |||||
Series 2013-C12, Class A5, 3.664%, 07/15/2045 | 1,055,000 | 1,047,069 | |||
Series 2013-C17, Class A4, 4.199%, 01/15/2047 | 353,000 | 350,970 | |||
Series 2014-C23, Class A4, 3.670%, 09/15/2047 | 544,163 | 533,391 | |||
Series 2015-C28, Class A3, 2.912%, 10/15/2048 | 2,793,117 | 2,686,010 | |||
Series 2015-C30, Class A5, 3.822%, 07/15/2048 | 981,000 | 959,704 | |||
JPMorgan Chase Commercial Mortgage Securities Trust | |||||
Series 2013-C16, Class A4, 4.166%, 12/15/2046 | 1,578,000 | 1,562,141 | |||
Series 2016-JP4, Class A3, 3.393%, 12/15/2049 | 346,000 | 330,497 | |||
Med Trust Series 2021-MDLN, Class A (1 month LIBOR + 0.950%) 3.342%, 11/15/2038 (B)(D) | 2,236,000 | 2,162,128 | |||
Mello Warehouse Securitization Trust | |||||
Series 2021-1, Class A (1 month LIBOR + 0.700%), 2.324%, 02/25/2055 (B)(D) | 820,000 | 801,039 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
Mello Warehouse Securitization Trust (continued) | |||||
Series 2021-2, Class A (1 month LIBOR + 0.750%), 3.194%, 04/25/2055 (B)(D) | $ | 2,244,000 | $ | 2,191,899 | |
MFA Trust Series 2021-NQM2, Class A1 1.029%, 11/25/2064 (D)(E) | 548,392 | 485,763 | |||
Morgan Stanley Capital I Trust | |||||
Series 2020-HR8, Class A3, 1.790%, 07/15/2053 | 982,000 | 812,439 | |||
Series 2022-L8, Class A5, 3.922%, 04/15/2055 (E) | 527,000 | 498,929 | |||
New Residential Mortgage Loan Trust Series 2019-NQM4, Class A1 2.492%, 09/25/2059 (D)(E) | 412,117 | 395,528 | |||
NewRez Warehouse Securitization Trust Series 2021-1, Class A (1 month LIBOR + 0.750%) 3.194%, 05/25/2055 (B)(D) | 3,312,000 | 3,263,479 | |||
Starwood Mortgage Residential Trust | |||||
Series 2020-1, Class A1, 2.275%, 02/25/2050 (D)(E) | 159,066 | 158,219 | |||
Series 2020-3, Class A1, 1.486%, 04/25/2065 (D)(E) | 673,487 | 651,901 | |||
Series 2020-INV1, Class A1, 1.027%, 11/25/2055 (D)(E) | 623,256 | 577,012 | |||
Series 2021-1, Class A1, 1.219%, 05/25/2065 (D)(E) | 837,638 | 781,740 | |||
Series 2021-4, Class A1, 1.162%, 08/25/2056 (D)(E) | 1,224,530 | 1,081,333 | |||
Verus Securitization Trust | |||||
Series 2019-INV2, Class A1, 2.913%, 07/25/2059 (D)(E) | 435,318 | 432,917 | |||
Series 2019-INV3, Class A1, 2.692%, 11/25/2059 (D)(E) | 703,236 | 683,357 | |||
Series 2020-1, Class A1 (2.417% to 1-25-24, then 3.417% thereafter), 2.417%, 01/25/2060 (D) | 163,718 | 159,443 | |||
Series 2020-2, Class A1, 2.226%, 05/25/2060 (D)(E) | 420,247 | 413,632 | |||
Series 2020-5, Class A1 (1.218% to 10-25-24, then 2.218% thereafter), 1.218%, 05/25/2065 (D) | 312,916 | 295,110 | |||
Series 2021-1, Class A1, 0.815%, 01/25/2066 (D)(E) | 1,039,682 | 931,184 | |||
Series 2021-3, Class A1, 1.046%, 06/25/2066 (D)(E) | 912,394 | 808,213 | |||
Series 2021-4, Class A1, 0.938%, 07/25/2066 (D)(E) | 1,100,484 | 929,301 | |||
Series 2021-5, Class A1, 1.013%, 09/25/2066 (D)(E) | 3,897,552 | 3,411,784 | |||
Series 2021-7, Class A1, 1.829%, 10/25/2066 (D)(E) | 1,625,219 | 1,443,808 | |||
Series 2021-8, Class A1, 1.824%, 11/25/2066 (D)(E) | 1,155,793 | 1,026,439 | |||
Series 2021-R1, Class A1, 0.820%, 10/25/2063 (D)(E) | 906,322 | 849,120 | |||
Series 2021-R3, Class A1, 1.020%, 04/25/2064 (D)(E) | 593,875 | 561,985 | |||
Visio Trust Series 2020-1R, Class A1 1.312%, 11/25/2055 (D) | 701,502 | 674,240 | |||
66,826,203 |
The accompanying notes are an integral part of the financial statements. | 30 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency – 5.5% | |||||
Federal Home Loan Mortgage Corp. | |||||
Series 264, Class 30, 3.000%, 07/15/2042 | $ | 1,788,773 | $ | 1,673,335 | |
Series 4205, Class PA, 1.750%, 05/15/2043 | 894,275 | 812,343 | |||
Series 4426, Class QC, 1.750%, 07/15/2037 | 1,395,421 | 1,311,398 | |||
Series 4742, Class PA, 3.000%, 10/15/2047 | 1,259,517 | 1,198,863 | |||
Series 4763, Class CA, 3.000%, 09/15/2038 | 288,499 | 276,032 | |||
Series 4767, Class KA, 3.000%, 03/15/2048 | 474,542 | 453,863 | |||
Series 4846, Class PF (1 month LIBOR + 0.350%), 2.741%, 12/15/2048 (B) | 223,030 | 221,131 | |||
Series 4880, Class DA, 3.000%, 05/15/2050 | 1,859,601 | 1,777,950 | |||
Series 5091, Class AB, 1.500%, 03/25/2051 | 2,682,269 | 2,327,642 | |||
Series 5119, Class AB, 1.500%, 08/25/2049 | 597,614 | 518,621 | |||
Series 5178, Class TP, 2.500%, 04/25/2049 | 1,597,185 | 1,458,609 | |||
Series 5182, Class M, 2.500%, 05/25/2049 | 992,687 | 913,838 | |||
Series 5201, Class CA, 2.500%, 07/25/2048 | 1,434,358 | 1,331,267 | |||
Series 5202, Class LA, 2.500%, 05/25/2049 | 1,467,173 | 1,344,570 | |||
Series 5203, Class G, 2.500%, 11/25/2048 | 657,964 | 607,488 | |||
Series K144, Class A2, 2.450%, 04/25/2032 | 1,436,000 | 1,278,951 | |||
Series K145, Class A2, 2.580%, 06/25/2055 | 1,436,000 | 1,293,096 | |||
Series K146, Class A2, 2.920%, 06/25/2032 | 2,696,000 | 2,500,685 | |||
Series K147, Class A2, 3.000%, 06/25/2032 (E) | 2,696,000 | 2,517,801 | |||
Series KG07, Class A2, 3.123%, 08/25/2032 (E) | 1,436,000 | 1,350,999 | |||
Federal National Mortgage Association | |||||
Series 1998-61, Class PL, 6.000%, 11/25/2028 | 123,839 | 128,786 | |||
Series 2012-151, Class NX, 1.500%, 01/25/2043 | 841,405 | 757,209 | |||
Series 2013-11, Class AP, 1.500%, 01/25/2043 | 3,512,061 | 3,226,718 | |||
Series 2013-43, Class BP, 1.750%, 05/25/2043 | 1,141,629 | 1,037,377 | |||
Series 2014-73, Class MA, 2.500%, 11/25/2044 | 672,014 | 627,969 | |||
Series 2015-84, Class PA, 1.700%, 08/25/2033 | 3,834,887 | 3,590,168 | |||
Series 2016-48, Class MA, 2.000%, 06/25/2038 | 3,573,725 | 3,331,808 | |||
Series 2016-57, Class PC, 1.750%, 06/25/2046 | 6,822,425 | 6,055,712 | |||
Series 2017-13, Class PA, 3.000%, 08/25/2046 | 868,870 | 834,061 | |||
Series 2017-M7, Class A2, 2.961%, 02/25/2027 (E) | 529,534 | 509,426 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal National Mortgage Association (continued) | |||||
Series 2018-14, Class KC, 3.000%, 03/25/2048 | $ | 1,349,261 | $ | 1,290,221 | |
Series 2018-15, Class AB, 3.000%, 03/25/2048 | 388,983 | 374,757 | |||
Series 2018-8, Class KL, 2.500%, 03/25/2047 | 910,223 | 838,559 | |||
Series 2019-25, Class PA, 3.000%, 05/25/2048 | 2,592,788 | 2,502,979 | |||
Series 2019-8, Class GA, 3.000%, 03/25/2049 | 3,772,388 | 3,610,398 | |||
Series 2020-45, Class JL, 3.000%, 07/25/2040 | 2,435,997 | 2,299,676 | |||
Series 2020-48, Class AB, 2.000%, 07/25/2050 | 1,330,394 | 1,211,535 | |||
Series 2020-48, Class DA, 2.000%, 07/25/2050 | 4,002,026 | 3,585,990 | |||
Series 2021-27, Class EC, 1.500%, 05/25/2051 | 4,698,935 | 4,080,919 | |||
Series 2021-78, Class ND, 1.500%, 11/25/2051 | 1,911,197 | 1,656,773 | |||
Series 2021-78, Class PA, 2.500%, 11/25/2051 | 1,110,478 | 1,008,012 | |||
Series 2022-11, Class A, 2.500%, 07/25/2047 | 3,068,827 | 2,879,743 | |||
Series 2022-28, Class CA, 2.000%, 01/25/2048 | 1,208,692 | 1,115,397 | |||
Series 414, Class A35, 3.500%, 10/25/2042 | 927,396 | 904,109 | |||
Government National Mortgage Association | |||||
Series 2012-141, Class WA, 4.527%, 11/16/2041 (E) | 297,749 | 301,392 | |||
Series 2017-167, Class BQ, 2.500%, 08/20/2044 | 873,961 | 833,778 | |||
Series 2018-11, Class PC, 2.750%, 12/20/2047 | 1,348,883 | 1,282,398 | |||
Series 2019-132, Class NA, 3.500%, 09/20/2049 | 1,292,037 | 1,274,660 | |||
Series 2019-31, Class JC, 3.500%, 03/20/2049 | 794,437 | 777,461 | |||
Series 2021-23, Class MG, 1.500%, 02/20/2051 | 3,795,585 | 3,356,514 | |||
Series 2022-107, Class C, 2.500%, 06/20/2051 | 4,075,806 | 3,672,748 | |||
Series 2022-31, Class GH, 2.500%, 12/20/2049 | 3,257,297 | 3,042,735 | |||
Series 2022-84, Class A, 2.500%, 01/20/2052 | 1,197,279 | 1,073,895 | |||
88,242,365 | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $165,664,121) | $ | 155,068,568 | |||
ASSET BACKED SECURITIES – 10.3% | |||||
Ally Auto Receivables Trust Series 2022-1, Class A3 3.310%, 11/15/2026 | 1,404,000 | 1,390,602 | |||
American Express Credit Account Master Trust | |||||
Series 2022-2, Class A 3.390%, 05/17/2027 | 4,811,000 | 4,753,412 | |||
Series 2022-3, Class A 3.750%, 08/16/2027 | 5,515,000 | 5,490,644 |
The accompanying notes are an integral part of the financial statements. | 31 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
AmeriCredit Automobile Receivables Trust | |||||
Series 2022-1, Class A3 2.450%, 11/18/2026 | $ | 459,000 | $ | 447,690 | |
Series 2022-2, Class A3 4.380%, 04/18/2028 | 1,232,000 | 1,231,933 | |||
Avis Budget Rental Car Funding AESOP LLC | |||||
Series 2019-3A, Class A 2.360%, 03/20/2026 (D) | 1,054,000 | 1,002,744 | |||
Series 2020-1A, Class A 2.330%, 08/20/2026 (D) | 869,000 | 818,276 | |||
Series 2021-2A, Class A 1.660%, 02/20/2028 (D) | 2,483,000 | 2,212,890 | |||
Series 2022-3A, Class A 4.620%, 02/20/2027 (D) | 2,228,000 | 2,216,061 | |||
Series 2022-4A, Class A 4.770%, 02/20/2029 (D) | 1,104,000 | 1,099,966 | |||
BA Credit Card Trust Series 2022-A1, Class A1 3.530%, 11/15/2027 | 2,338,000 | 2,316,572 | |||
Capital One Multi-Asset Execution Trust | |||||
Series 2021-A2, Class A2 1.390%, 07/15/2030 | 1,746,000 | 1,511,719 | |||
Series 2022-A2, Class A 3.490%, 05/15/2027 | 1,749,000 | 1,732,485 | |||
Chase Auto Owner Trust Series 2022-AA, Class A4 3.990%, 03/27/2028 (D) | 814,000 | 806,169 | |||
College Ave Student Loans LLC | |||||
Series 2017-A, Class A1 (1 month LIBOR + 1.650%) 4.094%, 11/26/2046 (B)(D) | 541,845 | 536,645 | |||
Series 2018-A, Class A2 4.130%, 12/26/2047 (D) | 688,227 | 660,348 | |||
Series 2019-A, Class A2 3.280%, 12/28/2048 (D) | 756,195 | 721,832 | |||
Series 2021-A, Class A2 1.600%, 07/25/2051 (D) | 925,579 | 794,228 | |||
Discover Card Execution Note Trust Series 2022-A3, Class A3 3.560%, 07/15/2027 | 6,529,000 | 6,465,671 | |||
Ford Credit Auto Lease Trust | |||||
Series 2022-A, Class A3 3.230%, 05/15/2025 | 2,794,000 | 2,764,593 | |||
Series 2022-A, Class A4 3.370%, 07/15/2025 | 1,074,000 | 1,058,500 | |||
Ford Credit Auto Owner Trust | |||||
Series 2020-2, Class A 1.060%, 04/15/2033 (D) | 801,000 | 725,997 | |||
Series 2022-1, Class A 3.880%, 11/15/2034 (D) | 3,760,000 | 3,711,910 | |||
Series 2022-A, Class A3 1.290%, 06/15/2026 | 747,000 | 715,839 | |||
GM Financial Automobile Leasing Trust | |||||
Series 2022-2, Class A3 3.420%, 06/20/2025 | 1,129,000 | 1,120,620 | |||
Series 2022-2, Class A4 3.540%, 05/20/2026 | 1,237,000 | 1,221,232 | |||
Series 2022-3, Class A4 4.110%, 08/20/2026 | 1,705,000 | 1,700,517 | |||
GM Financial Consumer Automobile Receivables Trust | |||||
Series 2022-2, Class A3 3.100%, 02/16/2027 | 3,183,000 | 3,134,281 | |||
Series 2022-2, Class A4 3.250%, 04/17/2028 | 1,698,000 | 1,662,548 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
GM Financial Consumer Automobile Receivables Trust (continued) | |||||
Series 2022-3, Class A4 3.710%, 12/16/2027 | $ | 1,024,000 | $ | 1,015,508 | |
Hertz Vehicle Financing LLC | |||||
Series 2021-2A, Class A 1.680%, 12/27/2027 (D) | 1,441,000 | 1,284,203 | |||
Series 2022-1A, Class A 1.990%, 06/25/2026 (D) | 2,942,000 | 2,734,750 | |||
Series 2022-2A, Class A 2.330%, 06/26/2028 (D) | 2,613,000 | 2,343,231 | |||
Series 2022-4A, Class A 3.730%, 09/25/2026 (D) | 1,680,000 | 1,630,259 | |||
Series 2022-5A, Class A 3.890%, 09/25/2028 (D) | 2,644,000 | 2,518,518 | |||
Honda Auto Receivables Owner Trust Series 2022-2, Class A4 3.760%, 12/18/2028 | 778,000 | 772,470 | |||
Hyundai Auto Receivables Trust | |||||
Series 2021-C, Class A4 1.030%, 12/15/2027 | 963,000 | 887,307 | |||
Series 2022-A, Class A3 2.220%, 10/15/2026 | 1,779,000 | 1,716,961 | |||
Series 2022-A, Class A4 2.350%, 04/17/2028 | 606,000 | 573,346 | |||
Navient Private Education Loan Trust | |||||
Series 2014-AA, Class A3 (1 month LIBOR + 1.600%) 3.991%, 10/15/2031 (B)(D) | 739,000 | 739,033 | |||
Series 2016-AA, Class A2B (1 month LIBOR + 2.150%) 4.541%, 12/15/2045 (B)(D) | 212,138 | 214,694 | |||
Series 2020-IA, Class A1A 1.330%, 04/15/2069 (D) | 2,577,612 | 2,322,292 | |||
Navient Private Education Refi Loan Trust | |||||
Series 2018-A, Class A2 3.190%, 02/18/2042 (D) | 334,964 | 334,235 | |||
Series 2018-DA, Class A2A 4.000%, 12/15/2059 (D) | 856,939 | 840,480 | |||
Series 2019-CA, Class A2 3.130%, 02/15/2068 (D) | 1,630,407 | 1,579,043 | |||
Series 2019-D, Class A2A 3.010%, 12/15/2059 (D) | 2,259,366 | 2,130,206 | |||
Series 2019-FA, Class A2 2.600%, 08/15/2068 (D) | 1,189,265 | 1,124,558 | |||
Series 2020-BA, Class A2 2.120%, 01/15/2069 (D) | 557,764 | 520,026 | |||
Series 2020-EA, Class A 1.690%, 05/15/2069 (D) | 160,903 | 147,536 | |||
Series 2020-GA, Class A 1.170%, 09/16/2069 (D) | 57,454 | 52,617 | |||
Series 2020-HA, Class A 1.310%, 01/15/2069 (D) | 837,438 | 772,108 | |||
Series 2021-A, Class A 0.840%, 05/15/2069 (D) | 585,647 | 526,461 | |||
Series 2021-BA, Class A 0.940%, 07/15/2069 (D) | 484,260 | 427,175 | |||
Series 2021-CA, Class A 1.060%, 10/15/2069 (D) | 127,333 | 114,047 | |||
Series 2021-EA, Class A 0.970%, 12/16/2069 (D) | 3,315,575 | 2,906,938 | |||
Series 2021-FA, Class A 1.110%, 02/18/2070 (D) | 1,692,967 | 1,469,850 | |||
Series 2021-GA, Class A 1.580%, 04/15/2070 (D) | 1,176,965 | 1,030,086 | |||
Series 2022-A, Class A 2.230%, 07/15/2070 (D) | 4,175,725 | 3,805,384 |
The accompanying notes are an integral part of the financial statements. | 32 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Navient Student Loan Trust | |||||
Series 2019-BA, Class A2A 3.390%, 12/15/2059 (D) | $ | 1,399,352 | $ | 1,358,846 | |
Series 2021-3A, Class A1A 1.770%, 08/25/2070 (D) | 1,951,098 | 1,710,083 | |||
Nelnet Student Loan Trust | |||||
Series 2004-3, Class A5 (3 month LIBOR + 0.180%) 2.963%, 10/27/2036 (B) | 192,779 | 186,103 | |||
Series 2004-4, Class A5 (3 month LIBOR + 0.160%) 2.943%, 01/25/2037 (B) | 1,181,997 | 1,146,155 | |||
Series 2005-1, Class A5 (3 month LIBOR + 0.110%) 2.893%, 10/25/2033 (B) | 3,426,648 | 3,339,271 | |||
Series 2005-2, Class A5 (3 month LIBOR + 0.100%) 2.196%, 03/23/2037 (B) | 3,623,974 | 3,506,399 | |||
Series 2005-3, Class A5 (3 month LIBOR + 0.120%) 2.216%, 12/24/2035 (B) | 2,631,906 | 2,552,065 | |||
Series 2005-4, Class A4 (3 month LIBOR + 0.180%) 2.276%, 03/22/2032 (B) | 450,996 | 428,247 | |||
Nissan Auto Lease Trust Series 2022-A, Class A3 3.810%, 05/15/2025 | 2,215,000 | 2,211,551 | |||
PenFed Auto Receivables Owner Trust | |||||
Series 2022-A, Class A3 3.960%, 04/15/2026 (D) | 1,216,000 | 1,211,540 | |||
Series 2022-A, Class A4 4.180%, 12/15/2028 (D) | 598,000 | 596,271 | |||
Santander Drive Auto Receivables Trust | |||||
Series 2022-2, Class A3 2.980%, 10/15/2026 | 3,333,000 | 3,278,824 | |||
Series 2022-3, Class A3 3.400%, 12/15/2026 | 1,309,000 | 1,292,372 | |||
Series 2022-4, Class A3 4.140%, 02/16/2027 | 1,697,000 | 1,687,286 | |||
Series 2022-5, Class A3 4.110%, 08/17/2026 | 1,434,000 | 1,429,155 | |||
SMB Private Education Loan Trust | |||||
Series 2016-B, Class A2A 2.430%, 02/17/2032 (D) | 152,404 | 147,940 | |||
Series 2016-B, Class A2B (1 month LIBOR + 1.450%) 3.841%, 02/17/2032 (B)(D) | 103,842 | 103,717 | |||
Series 2018-C, Class A2A 3.630%, 11/15/2035 (D) | 676,984 | 658,101 | |||
Series 2019-A, Class A2A 3.440%, 07/15/2036 (D) | 4,012,277 | 3,892,006 | |||
Series 2020-B, Class A1A 1.290%, 07/15/2053 (D) | 1,379,333 | 1,252,629 | |||
Series 2020-PTA, Class A2A 1.600%, 09/15/2054 (D) | 1,562,765 | 1,425,511 | |||
Series 2020-PTB, Class A2A 1.600%, 09/15/2054 (D) | 4,674,390 | 4,259,396 | |||
Series 2021-A, Class APT1 1.070%, 01/15/2053 (D) | 3,796,330 | 3,371,826 | |||
Series 2021-B, Class A 1.310%, 07/17/2051 (D) | 997,940 | 906,347 | |||
Series 2021-C, Class A2 (1 month LIBOR + 0.800%) 3.191%, 01/15/2053 (B)(D) | 2,226,000 | 2,145,990 | |||
Series 2021-D, Class A1A 1.340%, 03/17/2053 (D) | 3,167,276 | 2,870,134 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
SMB Private Education Loan Trust (continued) | |||||
Series 2021-E, Class A1A 1.680%, 02/15/2051 (D) | $ | 2,200,909 | $ | 2,010,236 | |
Series 2022-A, Class APT 2.850%, 11/16/2054 (D) | 1,489,073 | 1,364,893 | |||
Series 2022-C, Class A1A 4.480%, 05/16/2050 (D) | 1,156,000 | 1,144,891 | |||
SoFi Professional Loan Program LLC | |||||
Series 2017-D, Class A2FX 2.650%, 09/25/2040 (D) | 284,781 | 277,095 | |||
Series 2017-E, Class A2B 2.720%, 11/26/2040 (D) | 364,272 | 362,137 | |||
Series 2020-C, Class AFX 1.950%, 02/15/2046 (D) | 181,469 | 169,508 | |||
Series 2021-A, Class AFX 1.030%, 08/17/2043 (D) | 601,349 | 536,909 | |||
Series 2021-B, Class AFX 1.140%, 02/15/2047 (D) | 1,355,048 | 1,165,845 | |||
Synchrony Card Funding LLC | |||||
Series 2022-A1, Class A 3.370%, 04/15/2028 | 1,944,000 | 1,913,395 | |||
Series 2022-A2, Class A 3.860%, 07/15/2028 | 2,015,000 | 2,004,875 | |||
Toyota Auto Loan Extended Note Trust Series 2022-1A, Class A 3.820%, 04/25/2035 (D) | 6,059,000 | 5,983,342 | |||
Toyota Auto Receivables Owner Trust | |||||
Series 2021-D, Class A3 0.710%, 04/15/2026 | 529,000 | 503,864 | |||
Series 2022-B, Class A4 3.110%, 08/16/2027 | 1,267,000 | 1,231,831 | |||
Series 2022-C, Class A4 3.770%, 02/15/2028 | 1,299,000 | 1,282,426 | |||
Triton Container Finance VIII LLC Series 2020-1A, Class A 2.110%, 09/20/2045 (D) | 1,002,826 | 885,529 | |||
Verizon Master Trust | |||||
Series 2022-2, Class A 1.530%, 07/20/2028 | 1,023,000 | 964,681 | |||
Series 2022-4, Class A (3.400% to 6-20-25, then 4.150% thereafter) 3.400%, 11/20/2028 | 2,260,000 | 2,225,423 | |||
Series 2022-6, Class A 3.670%, 01/22/2029 | 2,106,000 | 2,092,532 | |||
World Omni Automobile Lease Securitization Trust | |||||
Series 2022-A, Class A3 3.210%, 02/18/2025 | 1,195,000 | 1,180,359 | |||
Series 2022-A, Class A4 3.340%, 06/15/2027 | 704,000 | 697,592 | |||
TOTAL ASSET BACKED SECURITIES (Cost $173,096,200) | $ | 165,524,374 | |||
SHORT-TERM INVESTMENTS – 5.8% | |||||
Short-term funds – 5.8% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 2.2409% (F) | 94,053,294 | 94,053,294 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $94,053,294) | $ | 94,053,294 | |||
Total Investments (Core Bond Fund) (Cost $1,879,213,707) – 109.0% | $ | 1,756,635,987 | |||
Other assets and liabilities, net – (9.0%) | (144,741,273) | ||||
TOTAL NET ASSETS – 100.0% | $ | 1,611,894,714 |
The accompanying notes are an integral part of the financial statements. | 33 |
Security Abbreviations and Legend | |
CME | Chicago Mercantile Exchange |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced. A forward mortgage-backed securities trade issued by a U.S. Government Agency, to be delivered at an agreed-upon future settlement date. |
(A) | Security purchased or sold on a when-issued or delayed delivery basis. |
(B) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(C) | Zero coupon bonds are issued at a discount from their principal amount in lieu of paying interest periodically. Rate shown is the effective yield at period end. |
(D) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $207,331,918 or 12.9% of the fund's net assets as of 8-31-22. |
(E) | Variable or floating rate security, the interest rate of which adjusts periodically based on a weighted average of interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of period end. |
(F) | The rate shown is the annualized seven-day yield as of 8-31-22. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 98.6% | |||||
Consumer discretionary – 0.2% | |||||
Specialty retail – 0.2% | |||||
Warby Parker, Inc., Class A (A) | 54,212 | $ | 681,445 | ||
Financials – 0.1% | |||||
Capital markets – 0.1% | |||||
BCLS Acquisition Corp., Class A (A) | 21,428 | 216,851 | |||
Health Sciences Acquisitions Corp. 2 (A) | 19,166 | 188,593 | |||
405,444 | |||||
Health care – 97.8% | |||||
Biotechnology – 26.9% | |||||
Aadi Bioscience, Inc. (A) | 10,520 | 142,546 | |||
AbbVie, Inc. | 35,991 | 4,839,350 | |||
ACADIA Pharmaceuticals, Inc. (A) | 33,281 | 546,807 | |||
Adagio Therapeutics, Inc. (A) | 23,851 | 108,761 | |||
ADC Therapeutics SA (A) | 30,034 | 204,832 | |||
Agios Pharmaceuticals, Inc. (A) | 9,345 | 238,298 | |||
Akero Therapeutics, Inc. (A) | 128 | 1,504 | |||
Alector, Inc. (A) | 15,178 | 157,092 | |||
Allakos, Inc. (A) | 21,130 | 102,481 | |||
Allogene Therapeutics, Inc. (A) | 46,738 | 640,778 | |||
Alnylam Pharmaceuticals, Inc. (A) | 28,136 | 5,814,867 | |||
Apellis Pharmaceuticals, Inc. (A) | 22,111 | 1,337,937 | |||
Argenx SE, ADR (A) | 17,940 | 6,778,988 | |||
Ascendis Pharma A/S, ADR (A) | 16,968 | 1,519,824 | |||
Avidity Biosciences, Inc. (A) | 26,926 | 528,288 | |||
BeiGene, Ltd., ADR (A) | 3,800 | 652,308 | |||
Bicycle Therapeutics PLC, ADR (A) | 7,577 | 200,412 | |||
Biogen, Inc. (A) | 6,200 | 1,211,356 | |||
BioMarin Pharmaceutical, Inc. (A) | 6,638 | 592,110 | |||
BioNTech SE, ADR | 21,706 | 3,139,556 | |||
Blueprint Medicines Corp. (A) | 20,134 | 1,474,211 | |||
Burning Rock Biotech, Ltd., ADR (A) | 11,762 | 46,107 | |||
C4 Therapeutics, Inc. (A) | 22,153 | 223,302 | |||
Celldex Therapeutics, Inc. (A) | 11,299 | 343,490 | |||
Centessa Pharmaceuticals PLC, ADR (A) | 34,369 | 149,505 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
Cerevel Therapeutics Holdings, Inc. (A) | 36,862 | $ | 1,072,684 | ||
CRISPR Therapeutics AG (A) | 7,107 | 462,595 | |||
Cytokinetics, Inc. (A) | 8,863 | 469,384 | |||
Day One Biopharmaceuticals, Inc. (A) | 14,310 | 336,142 | |||
Deciphera Pharmaceuticals, Inc. (A) | 8,300 | 134,709 | |||
Denali Therapeutics, Inc. (A) | 28,310 | 783,338 | |||
Design Therapeutics, Inc. (A) | 12,119 | 245,531 | |||
Enanta Pharmaceuticals, Inc. (A) | 3,435 | 209,123 | |||
Entrada Therapeutics, Inc. (A) | 20,271 | 256,023 | |||
EQRx, Inc. (A) | 41,363 | 202,265 | |||
Exact Sciences Corp. (A) | 28,283 | 1,005,461 | |||
Exelixis, Inc. (A) | 53,271 | 945,028 | |||
Exscientia PLC, ADR (A) | 8,984 | 86,965 | |||
Fate Therapeutics, Inc. (A) | 22,456 | 587,000 | |||
F-star Therapeutics, Inc. (A) | 1,835 | 12,313 | |||
Generation Bio Company (A) | 45,593 | 233,436 | |||
Genmab A/S (A) | 6,815 | 2,425,909 | |||
Ideaya Biosciences, Inc. (A) | 11,068 | 108,798 | |||
IGM Biosciences, Inc. (A) | 11,067 | 214,810 | |||
Imago Biosciences, Inc. (A) | 15,649 | 227,380 | |||
Immatics NV (A) | 5,136 | 65,535 | |||
Immuneering Corp., Class A (A) | 37,514 | 209,328 | |||
Immunocore Holdings PLC, ADR (A) | 15,841 | 836,563 | |||
Incyte Corp. (A) | 27,011 | 1,902,385 | |||
Insmed, Inc. (A) | 51,039 | 1,256,580 | |||
Intellia Therapeutics, Inc. (A) | 8,225 | 493,994 | |||
Ionis Pharmaceuticals, Inc. (A) | 30,492 | 1,296,520 | |||
Iovance Biotherapeutics, Inc. (A) | 39,305 | 421,350 | |||
IVERIC bio, Inc. (A) | 38,036 | 374,274 | |||
Karuna Therapeutics, Inc. (A) | 11,592 | 2,956,656 | |||
Kodiak Sciences, Inc. (A) | 17,745 | 177,627 | |||
Kronos Bio, Inc. (A) | 2,694 | 10,776 | |||
Kymera Therapeutics, Inc. (A) | 16,497 | 466,370 | |||
Legend Biotech Corp., ADR (A) | 11,016 | 512,134 | |||
LianBio, ADR (A) | 47,800 | 117,588 | |||
Lyell Immunopharma, Inc. (A) | 52,703 | 353,110 | |||
MeiraGTx Holdings PLC (A) | 14,764 | 122,541 | |||
Mirati Therapeutics, Inc. (A) | 8,088 | 655,371 | |||
Moderna, Inc. (A) | 32,399 | 4,285,416 | |||
Monte Rosa Therapeutics, Inc. (A) | 35,064 | 277,707 | |||
MoonLake Immunotherapeutics (A) | 17,736 | 142,952 | |||
Morphic Holding, Inc. (A) | 6,757 | 185,953 | |||
Neurocrine Biosciences, Inc. (A) | 8,427 | 881,717 | |||
Novavax, Inc. (A) | 4,000 | 132,160 | |||
Nurix Therapeutics, Inc. (A) | 13,902 | 218,678 | |||
Pardes Biosciences, Inc. (A) | 25,338 | 88,936 | |||
Prelude Therapeutics, Inc. (A) | 5,546 | 39,931 | |||
Progenics Pharmaceuticals, Inc. (A)(B) | 33,200 | 38,210 | |||
Prothena Corp. PLC (A) | 15,048 | 414,873 | |||
PTC Therapeutics, Inc. (A) | 7,083 | 353,725 | |||
RAPT Therapeutics, Inc. (A) | 20,331 | 543,041 | |||
Regeneron Pharmaceuticals, Inc. (A) | 11,217 | 6,517,750 | |||
REGENXBIO, Inc. (A) | 5,547 | 163,637 | |||
Relay Therapeutics, Inc. (A) | 24,361 | 559,572 | |||
Repare Therapeutics, Inc. (A) | 3,509 | 41,827 | |||
Replimune Group, Inc. (A) | 23,465 | 447,243 | |||
Revolution Healthcare Acquisition Corp. (A) | 44,561 | 437,143 | |||
REVOLUTION Medicines, Inc. (A) | 25,805 | 537,518 | |||
Rocket Pharmaceuticals, Inc. (A) | 11,992 | 184,797 | |||
Sage Therapeutics, Inc. (A) | 14,965 | 563,582 | |||
Sana Biotechnology, Inc. (A) | 33,016 | 224,839 | |||
Sarepta Therapeutics, Inc. (A) | 10,133 | 1,108,348 | |||
Scholar Rock Holding Corp. (A) | 43,766 | 365,008 | |||
Seagen, Inc. (A) | 8,210 | 1,266,721 |
The accompanying notes are an integral part of the financial statements. | 34 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
Senti Biosciences, Inc. (A) | 26,772 | $ | 52,473 | ||
SpringWorks Therapeutics, Inc. (A) | 3,743 | 103,943 | |||
Stoke Therapeutics, Inc. (A) | 11,180 | 168,371 | |||
Tenaya Therapeutics, Inc. (A) | 22,221 | 97,550 | |||
Twist Bioscience Corp. (A) | 10,043 | 402,925 | |||
Ultragenyx Pharmaceutical, Inc. (A) | 27,491 | 1,311,046 | |||
uniQure NV (A) | 11,690 | 228,423 | |||
Vertex Pharmaceuticals, Inc. (A) | 28,650 | 8,072,424 | |||
Voyager Therapeutics, Inc. (A) | 18,592 | 110,994 | |||
Xencor, Inc. (A) | 18,574 | 490,168 | |||
Zai Lab, Ltd., ADR (A) | 10,256 | 473,930 | |||
Zentalis Pharmaceuticals, Inc. (A) | 15,693 | 420,729 | |||
85,196,566 | |||||
Health care equipment and supplies – 15.8% | |||||
Alcon, Inc. | 19,600 | 1,290,522 | |||
Align Technology, Inc. (A) | 1,441 | 351,172 | |||
AtriCure, Inc. (A) | 5,090 | 232,206 | |||
Becton, Dickinson and Company | 21,987 | 5,549,959 | |||
DexCom, Inc. (A) | 22,426 | 1,843,641 | |||
Hologic, Inc. (A) | 58,985 | 3,985,027 | |||
Inari Medical, Inc. (A) | 6,860 | 475,741 | |||
Insulet Corp. (A) | 8,066 | 2,060,621 | |||
Intuitive Surgical, Inc. (A) | 44,432 | 9,141,440 | |||
iRhythm Technologies, Inc. (A) | 7,599 | 1,120,473 | |||
Lantheus Holdings, Inc. (A) | 10,655 | 839,614 | |||
Medtronic PLC | 5,700 | 501,144 | |||
Nevro Corp. (A) | 5,973 | 270,696 | |||
Novocure, Ltd. (A) | 27,774 | 2,281,079 | |||
Penumbra, Inc. (A) | 12,554 | 2,060,990 | |||
PROCEPT BioRobotics Corp. (A) | 15,489 | 626,995 | |||
QuidelOrtho Corp. (A) | 13,214 | 1,047,342 | |||
Shockwave Medical, Inc. (A) | 17,086 | 5,072,150 | |||
STERIS PLC | 5,359 | 1,079,195 | |||
Stryker Corp. | 31,526 | 6,469,135 | |||
Teleflex, Inc. | 7,221 | 1,633,823 | |||
The Cooper Companies, Inc. | 4,433 | 1,274,222 | |||
Zimmer Biomet Holdings, Inc. | 8,294 | 881,818 | |||
50,089,005 | |||||
Health care providers and services – 20.7% | |||||
Acadia Healthcare Company, Inc. (A) | 2,800 | 229,404 | |||
agilon health, Inc. (A) | 12,703 | 263,968 | |||
Alignment Healthcare, Inc. (A) | 31,904 | 485,260 | |||
Centene Corp. (A) | 86,775 | 7,787,189 | |||
Cigna Corp. | 14,568 | 4,129,300 | |||
Elevance Health, Inc. | 18,762 | 9,101,634 | |||
Guardant Health, Inc. (A) | 21,321 | 1,067,329 | |||
HCA Healthcare, Inc. | 10,575 | 2,092,475 | |||
Humana, Inc. | 14,661 | 7,063,377 | |||
Molina Healthcare, Inc. (A) | 14,616 | 4,931,000 | |||
Oak Street Health, Inc. (A) | 13,337 | 349,429 | |||
Option Care Health, Inc. (A) | 16,947 | 524,679 | |||
Sema4 Holdings Corp. (A) | 32,652 | 33,305 | |||
Surgery Partners, Inc. (A) | 11,339 | 312,163 | |||
UnitedHealth Group, Inc. | 52,160 | 27,088,242 | |||
65,458,754 | |||||
Health care technology – 1.7% | |||||
Certara, Inc. (A) | 19,568 | 306,631 | |||
Doximity, Inc., Class A (A) | 36,124 | 1,198,956 | |||
M3, Inc. | 9,000 | 288,287 | |||
Sophia Genetics SA (A) | 31,768 | 104,517 | |||
Veeva Systems, Inc., Class A (A) | 18,297 | 3,646,958 | |||
5,545,349 | |||||
Life sciences tools and services – 16.8% | |||||
10X Genomics, Inc., Class A (A) | 21,238 | 700,642 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Life sciences tools and services (continued) | |||||
Adaptive Biotechnologies Corp. (A) | 23,474 | $ | 209,388 | ||
Agilent Technologies, Inc. | 43,386 | 5,564,255 | |||
Avantor, Inc. (A) | 90,298 | 2,249,323 | |||
Bio-Techne Corp. | 2,544 | 844,125 | |||
Bruker Corp. | 38,937 | 2,180,472 | |||
Charles River Laboratories International, Inc. (A) | 5,155 | 1,058,064 | |||
Danaher Corp. | 47,861 | 12,918,163 | |||
Evotec SE (A) | 13,450 | 295,678 | |||
Illumina, Inc. (A) | 2,650 | 534,346 | |||
IQVIA Holdings, Inc. (A) | 1,600 | 340,256 | |||
Lonza Group AG | 1,047 | 558,386 | |||
Maravai LifeSciences Holdings, Inc., Class A (A) | 10,070 | 210,161 | |||
Mettler-Toledo International, Inc. (A) | 997 | 1,208,823 | |||
Olink Holding AB, ADR (A) | 46,003 | 696,485 | |||
Pacific Biosciences of California, Inc. (A) | 56,343 | 330,170 | |||
Quanterix Corp. (A) | 10,777 | 100,765 | |||
Rapid Micro Biosystems, Inc., Class A (A) | 18,669 | 62,168 | |||
Repligen Corp. (A) | 4,395 | 964,131 | |||
Seer, Inc. (A) | 31,895 | 322,140 | |||
SomaLogic, Inc. (A) | 78,435 | 288,641 | |||
Thermo Fisher Scientific, Inc. | 30,666 | 16,722,783 | |||
Waters Corp. (A) | 3,493 | 1,043,010 | |||
West Pharmaceutical Services, Inc. | 11,374 | 3,374,552 | |||
Wuxi Biologics Cayman, Inc. (A)(C) | 68,000 | 599,903 | |||
53,376,830 | |||||
Pharmaceuticals – 15.9% | |||||
Arvinas, Inc. (A) | 11,764 | 498,088 | |||
Astellas Pharma, Inc. | 42,500 | 602,556 | |||
AstraZeneca PLC, ADR | 159,841 | 9,970,882 | |||
Bayer AG | 10,960 | 579,652 | |||
Catalent, Inc. (A) | 19,401 | 1,707,288 | |||
CinCor Pharma, Inc. (A) | 16,923 | 571,490 | |||
Daiichi Sankyo Company, Ltd. | 107,200 | 3,221,552 | |||
DICE Therapeutics, Inc. (A) | 15,274 | 239,802 | |||
Eisai Company, Ltd. | 7,600 | 309,876 | |||
Elanco Animal Health, Inc. (A) | 19,560 | 295,943 | |||
Eli Lilly & Company | 41,309 | 12,443,510 | |||
Longboard Pharmaceuticals, Inc. (A) | 9,431 | 31,594 | |||
Merck & Company, Inc. | 73,990 | 6,315,786 | |||
Nuvation Bio, Inc. (A) | 11,900 | 33,320 | |||
Pfizer, Inc. | 174,627 | 7,898,379 | |||
Pliant Therapeutics, Inc. (A) | 6,834 | 131,760 | |||
Relmada Therapeutics, Inc. (A) | 2,900 | 84,506 | |||
Roche Holding AG | 6,592 | 2,124,215 | |||
Royalty Pharma PLC, Class A | 33,182 | 1,387,339 | |||
Theseus Pharmaceuticals, Inc. (A) | 25,222 | 172,014 | |||
Tricida, Inc. (A) | 4,267 | 53,423 | |||
Viatris, Inc. | 23,200 | 221,560 | |||
Zoetis, Inc. | 9,348 | 1,463,242 | |||
50,357,777 | |||||
310,024,281 | |||||
Industrials – 0.3% | |||||
Industrial conglomerates – 0.3% | |||||
General Electric Company | 12,743 | 935,846 | |||
Information technology – 0.1% | |||||
Electronic equipment, instruments and components – 0.1% | |||||
Shimadzu Corp. | 8,200 | 239,490 | |||
Materials – 0.1% | |||||
Chemicals – 0.1% | |||||
Ginkgo Bioworks Holdings, Inc. (A) | 91,101 | 245,062 | |||
TOTAL COMMON STOCKS (Cost $234,344,631) | $ | 312,531,568 |
The accompanying notes are an integral part of the financial statements. | 35 |
Shares or Principal Amount | Value | ||||
PREFERRED SECURITIES – 0.7% | |||||
Health care – 0.7% | |||||
Health care equipment and supplies – 0.7% | |||||
Sartorius AG | 5,155 | $ | 2,147,703 | ||
TOTAL PREFERRED SECURITIES (Cost $970,917) | $ | 2,147,703 | |||
WARRANTS – 0.0% | |||||
EQRx, Inc. (Expiration Date: 12-20-26; Strike Price: $11.50) (A) | 6,524 | 6,002 | |||
Sema4 Holdings Corp. (Expiration Date: 9-24-27; Strike Price: $11.50) (A) | 7,150 | 1,723 | |||
SomaLogic, Inc. (Expiration Date: 8-31-26; Strike Price: $11.50) (A) | 2,900 | 1,798 | |||
TOTAL WARRANTS (Cost $42,435) | $ | 9,523 | |||
SHORT-TERM INVESTMENTS – 0.5% | |||||
Short-term funds – 0.5% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 2.2409% (D) | 1,364,619 | 1,364,619 | |||
T. Rowe Price Government Reserve Fund, 2.3595% (D) | 296,487 | 296,487 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,661,106) | $ | 1,661,106 | |||
Total Investments (Health Sciences Fund) (Cost $237,019,089) – 99.8% | $ | 316,349,900 | |||
Other assets and liabilities, net – 0.2% | 583,867 | ||||
TOTAL NET ASSETS – 100.0% | $ | 316,933,767 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(C) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. |
(D) | The rate shown is the annualized seven-day yield as of 8-31-22. |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS – 0.7% | |||||
Argentina – 0.3% | |||||
Provincia de Buenos Aires 3.900%, (3.900% to 9-1-22, then 5.250% to 9-1-23, then 6.375% to 9-1-24, then 6.625% thereafter), 09/01/2037 (A) | $ | 968,484 | $ | 337,022 | |
Republic of Argentina | |||||
0.500%, (0.500% to 7-9-23, then 0.750% to 7-9-27, then 1.750% thereafter), 07/09/2030 | 716,203 | 170,098 | |||
1.000%, 07/09/2029 | 54,775 | 12,708 | |||
1.500%, (1.500% to 7-9-23, then 3.625% to 7-9-24, then 4.125% to 7-9-27, then 4.750% to 7-9-28, then 5.000% thereafter), 07/09/2035 | 476,895 | 107,240 | |||
627,068 | |||||
Brazil – 0.4% | |||||
Federative Republic of Brazil 10.000%, 01/01/2023 to 01/01/2027 | BRL | 4,175,000 | 800,987 |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||
Indonesia – 0.0% | |||||
Republic of Indonesia 8.375%, 03/15/2034 | IDR | 543,000,000 | $ | 39,767 | |
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $2,467,890) | $ | 1,467,822 | |||
CORPORATE BONDS – 81.6% | |||||
Communication services – 11.2% | |||||
Accelerate360 Holdings LLC 8.000%, 03/01/2028 (A) | $ | 873,000 | 936,293 | ||
Allen Media LLC 10.500%, 02/15/2028 (A) | 1,860,000 | 939,300 | |||
Altice Financing SA 5.750%, 08/15/2029 (A) | 1,050,000 | 845,771 | |||
Altice France Holding SA 10.500%, 05/15/2027 (A) | 770,000 | 664,294 | |||
Altice France SA 5.125%, 07/15/2029 (A) | 630,000 | 478,586 | |||
AMC Entertainment Holdings, Inc. 7.500%, 02/15/2029 (A) | 780,000 | 670,800 | |||
AMC Entertainment Holdings, Inc. 10.000%, 06/15/2026 (A) | 570,000 | 458,138 | |||
CCO Holdings LLC | |||||
4.250%, 01/15/2034 (A) | 1,440,000 | 1,096,358 | |||
4.500%, 05/01/2032 | 1,740,000 | 1,411,975 | |||
4.750%, 02/01/2032 (A) | 710,000 | 587,312 | |||
Clear Channel Outdoor Holdings, Inc. 7.500%, 06/01/2029 (A) | 930,000 | 747,697 | |||
CSC Holdings LLC | |||||
4.500%, 11/15/2031 (A) | 330,000 | 264,736 | |||
5.000%, 11/15/2031 (A) | 430,000 | 306,696 | |||
5.750%, 01/15/2030 (A) | 660,000 | 511,130 | |||
6.500%, 02/01/2029 (A) | 900,000 | 828,212 | |||
Directv Financing LLC 5.875%, 08/15/2027 (A) | 800,000 | 732,000 | |||
DISH DBS Corp. | |||||
5.125%, 06/01/2029 | 1,020,000 | 604,350 | |||
5.750%, 12/01/2028 (A) | 1,210,000 | 929,119 | |||
7.750%, 07/01/2026 | 1,900,000 | 1,497,998 | |||
Gannett Holdings LLC 6.000%, 11/01/2026 (A) | 860,000 | 670,800 | |||
iHeartCommunications, Inc. | |||||
4.750%, 01/15/2028 (A) | 30,000 | 25,745 | |||
5.250%, 08/15/2027 (A) | 780,000 | 699,773 | |||
Match Group Holdings II LLC | |||||
3.625%, 10/01/2031 (A) | 560,000 | 438,054 | |||
4.625%, 06/01/2028 (A) | 440,000 | 391,600 | |||
News Corp. 3.875%, 05/15/2029 (A) | 400,000 | 348,000 | |||
Playtika Holding Corp. 4.250%, 03/15/2029 (A) | 700,000 | 597,030 | |||
Sprint Capital Corp. 8.750%, 03/15/2032 | 1,050,000 | 1,267,581 | |||
Switch, Ltd. 4.125%, 06/15/2029 (A) | 350,000 | 349,124 | |||
Time Warner Cable LLC 7.300%, 07/01/2038 | 400,000 | 410,919 | |||
UPC Holding BV 5.500%, 01/15/2028 (A) | 400,000 | 342,550 | |||
Urban One, Inc. 7.375%, 02/01/2028 (A) | 660,000 | 592,350 | |||
Viavi Solutions, Inc. 3.750%, 10/01/2029 (A) | 370,000 | 317,489 | |||
Virgin Media Secured Finance PLC 5.500%, 05/15/2029 (A) | 550,000 | 489,264 |
The accompanying notes are an integral part of the financial statements. | 36 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Communication services (continued) | |||||
Virgin Media Vendor Financing Notes IV DAC 5.000%, 07/15/2028 (A) | $ | 510,000 | $ | 435,563 | |
Vmed O2 UK Financing I PLC 4.750%, 07/15/2031 (A) | 500,000 | 411,563 | |||
ZipRecruiter, Inc. 5.000%, 01/15/2030 (A) | 430,000 | 356,900 | |||
ZoomInfo Technologies LLC 3.875%, 02/01/2029 (A) | 800,000 | 692,987 | |||
23,348,057 | |||||
Consumer discretionary – 16.5% | |||||
Academy, Ltd. 6.000%, 11/15/2027 (A) | 650,000 | 606,769 | |||
Adtalem Global Education, Inc. 5.500%, 03/01/2028 (A) | 709,000 | 673,550 | |||
American Axle & Manufacturing, Inc. 5.000%, 10/01/2029 (B) | 1,000,000 | 842,085 | |||
American News Company LLC 8.500%, (8.500% Cash or 10.000% PIK), 09/01/2026 (A) | 651,892 | 736,638 | |||
Bath & Body Works, Inc. | |||||
5.250%, 02/01/2028 | 850,000 | 761,719 | |||
6.625%, 10/01/2030 (A) | 340,000 | 308,876 | |||
9.375%, 07/01/2025 (A) | 370,000 | 391,421 | |||
Bed Bath & Beyond, Inc. 5.165%, 08/01/2044 | 950,000 | 194,750 | |||
Boyne USA, Inc. 4.750%, 05/15/2029 (A) | 680,000 | 604,804 | |||
Caesars Entertainment, Inc. | |||||
4.625%, 10/15/2029 (A) | 560,000 | 450,433 | |||
6.250%, 07/01/2025 (A) | 500,000 | 488,205 | |||
Carnival Corp. | |||||
5.750%, 03/01/2027 (A) | 920,000 | 715,300 | |||
6.000%, 05/01/2029 (A) | 620,000 | 470,053 | |||
Carnival Corp. 10.500%, 06/01/2030 (A) | 590,000 | 539,850 | |||
Carriage Purchaser, Inc. 7.875%, 10/15/2029 (A) | 980,000 | 764,338 | |||
Carriage Services, Inc. 4.250%, 05/15/2029 (A) | 920,000 | 781,991 | |||
Carrols Restaurant Group, Inc. 5.875%, 07/01/2029 (A) | 470,000 | 352,541 | |||
Dornoch Debt Merger Sub, Inc. 6.625%, 10/15/2029 (A) | 550,000 | 429,000 | |||
Empire Communities Corp. 7.000%, 12/15/2025 (A) | 900,000 | 773,865 | |||
Fertitta Entertainment LLC | |||||
4.625%, 01/15/2029 (A) | 860,000 | 749,430 | |||
6.750%, 01/15/2030 (A) | 330,000 | 269,095 | |||
Fontainebleau Las Vegas Holdings LLC 10.250%, 06/15/2015 (A)(C) | 2,983,778 | 298 | |||
Foot Locker, Inc. 4.000%, 10/01/2029 (A) | 800,000 | 652,000 | |||
Ford Motor Company | |||||
3.250%, 02/12/2032 | 530,000 | 413,978 | |||
6.100%, 08/19/2032 | 1,370,000 | 1,334,038 | |||
Ford Motor Credit Company LLC | |||||
4.000%, 11/13/2030 | 1,430,000 | 1,194,593 | |||
4.950%, 05/28/2027 | 430,000 | 403,695 | |||
5.113%, 05/03/2029 | 1,160,000 | 1,072,043 | |||
Full House Resorts, Inc. 8.250%, 02/15/2028 (A) | 1,110,000 | 1,012,875 | |||
Marston's Issuer PLC 4.080%, (SONIA + 2.669%), 07/16/2035 (D) | GBP | 380,000 | 344,316 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer discretionary (continued) | |||||
Melco Resorts Finance, Ltd. 5.375%, 12/04/2029 (A) | $ | 650,000 | $ | 421,424 | |
NCL Corp., Ltd. | |||||
5.875%, 03/15/2026 to 02/15/2027 (A) | 2,770,000 | 2,403,073 | |||
7.750%, 02/15/2029 (A) | 800,000 | 649,675 | |||
NMG Holding Company, Inc. 7.125%, 04/01/2026 (A) | 680,000 | 636,187 | |||
PetSmart, Inc. 7.750%, 02/15/2029 (A) | 250,000 | 235,623 | |||
Rent-A-Center, Inc. 6.375%, 02/15/2029 (A)(B) | 930,000 | 785,552 | |||
Royal Caribbean Cruises, Ltd. 5.500%, 08/31/2026 (A) | 840,000 | 671,446 | |||
Royal Caribbean Cruises, Ltd. 11.625%, 08/15/2027 (A) | 660,000 | 646,906 | |||
Sands China, Ltd. 5.900%, 08/08/2028 | 200,000 | 171,000 | |||
Sizzling Platter LLC 8.500%, 11/28/2025 (A) | 460,000 | 414,000 | |||
Speedway Motorsports LLC 4.875%, 11/01/2027 (A) | 590,000 | 518,720 | |||
StoneMor, Inc. 8.500%, 05/15/2029 (A) | 1,060,000 | 922,200 | |||
Sugarhouse HSP Gaming Prop Mezz LP 5.875%, 05/15/2025 (A) | 380,000 | 352,035 | |||
The Michaels Companies, Inc. | |||||
5.250%, 05/01/2028 (A) | 440,000 | 337,348 | |||
7.875%, 05/01/2029 (A) | 1,240,000 | 824,600 | |||
TopBuild Corp. 3.625%, 03/15/2029 (A) | 400,000 | 336,412 | |||
Viking Cruises, Ltd. | |||||
5.875%, 09/15/2027 (A) | 310,000 | 250,021 | |||
7.000%, 02/15/2029 (A)(B) | 1,590,000 | 1,275,301 | |||
Viking Cruises, Ltd. 13.000%, 05/15/2025 (A) | 1,000,000 | 1,049,114 | |||
VOC Escrow, Ltd. 5.000%, 02/15/2028 (A) | 700,000 | 591,500 | |||
WW International, Inc. 4.500%, 04/15/2029 (A) | 1,000,000 | 624,515 | |||
Wynn Macau, Ltd. | |||||
5.125%, 12/15/2029 (A) | 300,000 | 208,704 | |||
5.625%, 08/26/2028 (A) | 1,690,000 | 1,183,000 | |||
Wynn Resorts Finance LLC 7.750%, 04/15/2025 (A) | 450,000 | 448,499 | |||
34,289,404 | |||||
Consumer staples – 0.8% | |||||
Darling Ingredients, Inc. 6.000%, 06/15/2030 (A) | 350,000 | 350,441 | |||
Simmons Foods, Inc. 4.625%, 03/01/2029 (A) | 820,000 | 725,274 | |||
Triton Water Holdings, Inc. 6.250%, 04/01/2029 (A) | 820,000 | 672,564 | |||
1,748,279 | |||||
Energy – 12.3% | |||||
Apache Corp. 7.750%, 12/15/2029 | 320,000 | 337,600 | |||
Berry Petroleum Company LLC 7.000%, 02/15/2026 (A) | 1,590,000 | 1,494,123 | |||
Blue Racer Midstream LLC | |||||
6.625%, 07/15/2026 (A) | 1,100,000 | 1,041,271 | |||
7.625%, 12/15/2025 (A) | 150,000 | 149,250 | |||
Cheniere Energy Partners LP 4.000%, 03/01/2031 | 650,000 | 569,563 | |||
Chesapeake Energy Corp. 5.500%, 02/01/2026 (A) | 90,000 | 86,696 |
The accompanying notes are an integral part of the financial statements. | 37 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Energy (continued) | |||||
Chord Energy Corp. 6.375%, 06/01/2026 (A) | $ | 900,000 | $ | 873,000 | |
CNX Midstream Partners LP 4.750%, 04/15/2030 (A) | 990,000 | 835,748 | |||
Colgate Energy Partners III LLC 5.875%, 07/01/2029 (A) | 1,500,000 | 1,390,140 | |||
Comstock Resources, Inc. 5.875%, 01/15/2030 (A) | 500,000 | 457,457 | |||
DCP Midstream Operating LP | |||||
6.450%, 11/03/2036 (A) | 310,000 | 312,536 | |||
6.750%, 09/15/2037 (A) | 750,000 | 795,915 | |||
Earthstone Energy Holdings LLC 8.000%, 04/15/2027 (A) | 180,000 | 175,388 | |||
Endeavor Energy Resources LP 5.750%, 01/30/2028 (A) | 50,000 | 49,320 | |||
Energy Transfer LP 6.500%, (6.500% to 11-15-26, then 5 Year CMT + 5.694%), 11/15/2026 (E) | 230,000 | 212,351 | |||
EQM Midstream Partners LP | |||||
4.750%, 01/15/2031 (A) | 240,000 | 207,566 | |||
5.500%, 07/15/2028 | 620,000 | 566,841 | |||
6.500%, 07/01/2027 (A) | 490,000 | 472,972 | |||
6.500%, 07/15/2048 | 1,750,000 | 1,484,823 | |||
7.500%, 06/01/2030 (A) | 360,000 | 357,412 | |||
Hilcorp Energy I LP 6.250%, 04/15/2032 (A) | 670,000 | 600,549 | |||
Howard Midstream Energy Partners LLC 6.750%, 01/15/2027 (A) | 810,000 | 732,859 | |||
MEG Energy Corp. | |||||
5.875%, 02/01/2029 (A) | 350,000 | 325,500 | |||
7.125%, 02/01/2027 (A) | 830,000 | 838,715 | |||
Nabors Industries, Ltd. 7.250%, 01/15/2026 (A) | 610,000 | 554,630 | |||
Neptune Energy Bondco PLC 6.625%, 05/15/2025 (A) | 340,000 | 328,186 | |||
Northern Oil and Gas, Inc. 8.125%, 03/01/2028 (A) | 1,140,000 | 1,094,400 | |||
Occidental Petroleum Corp. | |||||
4.100%, 02/15/2047 | 160,000 | 133,223 | |||
4.400%, 04/15/2046 | 240,000 | 208,200 | |||
6.600%, 03/15/2046 | 520,000 | 572,361 | |||
8.875%, 07/15/2030 | 900,000 | 1,051,380 | |||
Penn Virginia Holdings LLC 9.250%, 08/15/2026 (A) | 1,730,000 | 1,698,514 | |||
Petrobras Global Finance BV | |||||
5.750%, 02/01/2029 | 40,000 | 40,015 | |||
6.850%, 06/05/2115 | 580,000 | 505,470 | |||
Range Resources Corp. | |||||
4.750%, 02/15/2030 (A) | 600,000 | 555,906 | |||
8.250%, 01/15/2029 | 800,000 | 839,760 | |||
Southwestern Energy Company 4.750%, 02/01/2032 | 640,000 | 570,472 | |||
Summit Midstream Holdings LLC 8.500%, 10/15/2026 (A) | 430,000 | 416,468 | |||
Tallgrass Energy Partners LP 6.000%, 12/31/2030 (A) | 800,000 | 700,211 | |||
Venture Global Calcasieu Pass LLC 3.875%, 11/01/2033 (A) | 720,000 | 598,201 | |||
Western Midstream Operating LP 5.500%, 08/15/2048 to 02/01/2050 | 1,530,000 | 1,329,407 | |||
25,564,399 | |||||
Financials – 9.8% | |||||
Acuris Finance U.S., Inc. 5.000%, 05/01/2028 (A) | 350,000 | 293,125 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
AFC Gamma, Inc. 5.750%, 05/01/2027 (A) | $ | 720,000 | $ | 607,928 | |
Apollo Commercial Real Estate Finance, Inc. 4.625%, 06/15/2029 (A) | 700,000 | 567,000 | |||
Barclays PLC 8.000%, (8.000% to 6-15-24, then 5 Year CMT + 5.672%), 06/15/2024 (E) | 400,000 | 393,140 | |||
BNP Paribas SA 7.375%, (7.375% to 8-19-25, then 5 Year U.S. Swap Rate + 5.150%), 08/19/2025 (A)(E) | 820,000 | 824,434 | |||
Burford Capital Global Finance LLC | |||||
6.250%, 04/15/2028 (A) | 700,000 | 620,276 | |||
6.875%, 04/15/2030 (A) | 630,000 | 556,280 | |||
Coinbase Global, Inc. 3.625%, 10/01/2031 (A) | 720,000 | 438,361 | |||
Credit Agricole SA 8.125%, (8.125% to 12-23-25, then 5 Year U.S. Swap Rate + 6.185%), 12/23/2025 (A)(E) | 400,000 | 409,034 | |||
Credit Suisse Group AG | |||||
6.375%, (6.375% to 8-21-26, then 5 Year CMT + 4.822%), 08/21/2026 (A)(E) | 1,350,000 | 1,055,698 | |||
6.537%, (6.537% to 8-12-32, then SOFR + 3.920%), 08/12/2033 (A) | 580,000 | 553,840 | |||
9.750%, (9.750% to 6-23-27, then 5 Year CMT + 6.383%), 06/23/2027 (A)(E) | 690,000 | 696,900 | |||
FirstCash, Inc. | |||||
4.625%, 09/01/2028 (A) | 930,000 | 805,253 | |||
5.625%, 01/01/2030 (A) | 320,000 | 286,400 | |||
Global Aircraft Leasing Company, Ltd. 6.500%, (6.500% Cash or 7.250% PIK), 09/15/2024 (A) | 2,619,701 | 2,119,372 | |||
Highlands Holdings Bond Issuer, Ltd. 7.625%, (7.625% Cash or 8.375% PIK), 10/15/2025 (A) | 1,177,637 | 1,127,587 | |||
Intesa Sanpaolo SpA 4.198%, (4.198% to 6-1-31, then 1 Year CMT + 2.600%), 06/01/2032 (A) | 640,000 | 465,679 | |||
Jane Street Group 4.500%, 11/15/2029 (A) | 440,000 | 398,680 | |||
Ladder Capital Finance Holdings LLLP | |||||
4.250%, 02/01/2027 (A) | 230,000 | 201,194 | |||
4.750%, 06/15/2029 (A) | 490,000 | 415,201 | |||
LD Holdings Group LLC | |||||
6.125%, 04/01/2028 (A) | 820,000 | 435,515 | |||
6.500%, 11/01/2025 (A) | 760,000 | 436,666 | |||
Lloyds Banking Group PLC 6.750%, (6.750% to 6-27-26, then 5 Year CMT + 4.815%), 06/27/2026 (E) | 610,000 | 588,955 | |||
Midcap Financial Issuer Trust | |||||
5.625%, 01/15/2030 (A) | 450,000 | 343,341 | |||
6.500%, 05/01/2028 (A) | 590,000 | 505,925 | |||
NMI Holdings, Inc. 7.375%, 06/01/2025 (A) | 800,000 | 808,192 | |||
Rocket Mortgage LLC | |||||
3.875%, 03/01/2031 (A) | 860,000 | 671,009 | |||
4.000%, 10/15/2033 (A) | 890,000 | 663,146 | |||
Ryan Specialty Group LLC 4.375%, 02/01/2030 (A) | 670,000 | 603,838 | |||
StoneX Group, Inc. 8.625%, 06/15/2025 (A) | 640,000 | 651,200 |
The accompanying notes are an integral part of the financial statements. | 38 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
UBS Group AG 7.000%, (7.000% to 1-31-24, then 5 Year U.S. Swap Rate + 4.344%), 01/31/2024 (A)(E) | $ | 1,170,000 | $ | 1,142,841 | |
UniCredit SpA 5.459%, (5.459% to 6-30-30, then 5 Year CMT + 4.750%), 06/30/2035 (A) | 790,000 | 623,770 | |||
20,309,780 | |||||
Health care – 6.0% | |||||
AdaptHealth LLC | |||||
4.625%, 08/01/2029 (A) | 650,000 | 541,268 | |||
5.125%, 03/01/2030 (A) | 800,000 | 683,000 | |||
Akumin, Inc. 7.000%, 11/01/2025 (A) | 1,000,000 | 849,410 | |||
Bausch Health Companies, Inc. | |||||
5.250%, 01/30/2030 (A) | 200,000 | 74,000 | |||
6.125%, 02/01/2027 (A) | 460,000 | 340,400 | |||
6.250%, 02/15/2029 (A) | 2,081,000 | 785,578 | |||
Cano Health LLC 6.250%, 10/01/2028 (A) | 570,000 | 511,918 | |||
Community Health Systems, Inc. | |||||
6.125%, 04/01/2030 (A) | 500,000 | 309,850 | |||
6.875%, 04/15/2029 (A) | 1,240,000 | 775,000 | |||
Medline Borrower LP | |||||
3.875%, 04/01/2029 (A) | 510,000 | 432,225 | |||
5.250%, 10/01/2029 (A) | 740,000 | 621,911 | |||
Minerva Merger Sub, Inc. 6.500%, 02/15/2030 (A) | 1,160,000 | 984,881 | |||
Par Pharmaceutical, Inc. 7.500%, 04/01/2027 (A)(C) | 1,870,000 | 1,589,425 | |||
Radiology Partners, Inc. 9.250%, 02/01/2028 (A) | 700,000 | 521,634 | |||
RegionalCare Hospital Partners Holdings, Inc. 9.750%, 12/01/2026 (A) | 600,000 | 571,713 | |||
Tenet Healthcare Corp. 4.625%, 06/15/2028 (A) | 700,000 | 636,297 | |||
Teva Pharmaceutical Finance Company LLC 6.150%, 02/01/2036 | 400,000 | 359,953 | |||
Teva Pharmaceutical Finance Netherlands III BV 5.125%, 05/09/2029 | 1,600,000 | 1,398,374 | |||
U.S. Renal Care, Inc. 10.625%, 07/15/2027 (A) | 1,230,000 | 581,489 | |||
12,568,326 | |||||
Industrials – 12.4% | |||||
Advanced Drainage Systems, Inc. 6.375%, 06/15/2030 (A) | 430,000 | 416,034 | |||
Air Canada 3.875%, 08/15/2026 (A) | 580,000 | 517,549 | |||
Allied Universal Holdco LLC | |||||
4.625%, 06/01/2028 (A) | 800,000 | 670,348 | |||
6.000%, 06/01/2029 (A) | 610,000 | 452,739 | |||
6.625%, 07/15/2026 (A) | 500,000 | 468,145 | |||
Alta Equipment Group, Inc. 5.625%, 04/15/2026 (A) | 800,000 | 694,000 | |||
American Airlines, Inc. | |||||
5.500%, 04/20/2026 (A) | 200,000 | 190,256 | |||
5.750%, 04/20/2029 (A) | 1,040,000 | 938,850 | |||
Anagram International, Inc. 10.000%, (0.000% Cash and 10.000% PIK), 08/15/2026 (A) | 91,487 | 89,657 | |||
ATS Automation Tooling Systems, Inc. 4.125%, 12/15/2028 (A) | 460,000 | 404,017 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
Brundage-Bone Concrete Pumping Holdings, Inc. 6.000%, 02/01/2026 (A) | $ | 680,000 | $ | 615,801 | |
CoreCivic, Inc. 8.250%, 04/15/2026 | 1,550,000 | 1,532,316 | |||
Covanta Holding Corp. 4.875%, 12/01/2029 (A) | 670,000 | 565,313 | |||
Delta Air Lines, Inc. 4.750%, 10/20/2028 (A) | 660,000 | 630,522 | |||
Doman Building Materials Group, Ltd. 5.250%, 05/15/2026 (A) | CAD | 340,000 | 223,608 | ||
Foundation Building Materials, Inc. 6.000%, 03/01/2029 (A) | $ | 690,000 | 556,691 | ||
GEO Group, Inc. 10.500%, 06/30/2028 | 360,000 | 342,420 | |||
H&E Equipment Services, Inc. 3.875%, 12/15/2028 (A) | 800,000 | 675,904 | |||
Hawaiian Brand Intellectual Property, Ltd. 5.750%, 01/20/2026 (A) | 600,000 | 547,671 | |||
Legends Hospitality Holding Company LLC 5.000%, 02/01/2026 (A) | 1,000,000 | 912,500 | |||
Madison IAQ LLC 5.875%, 06/30/2029 (A) | 1,000,000 | 822,640 | |||
Mileage Plus Holdings LLC 6.500%, 06/20/2027 (A) | 550,000 | 551,375 | |||
MIWD Holdco II LLC 5.500%, 02/01/2030 (A) | 1,120,000 | 919,831 | |||
Park-Ohio Industries, Inc. 6.625%, 04/15/2027 | 360,000 | 298,800 | |||
PGT Innovations, Inc. 4.375%, 10/01/2029 (A) | 470,000 | 397,543 | |||
PM General Purchaser LLC 9.500%, 10/01/2028 (A) | 710,000 | 615,017 | |||
Prime Security Services Borrower LLC 6.250%, 01/15/2028 (A) | 1,180,000 | 1,038,910 | |||
Resideo Funding, Inc. 4.000%, 09/01/2029 (A) | 700,000 | 587,575 | |||
Roller Bearing Company of America, Inc. 4.375%, 10/15/2029 (A) | 980,000 | 879,550 | |||
Spirit Loyalty Cayman, Ltd. 8.000%, 09/20/2025 (A) | 342,000 | 347,359 | |||
SRM Escrow Issuer LLC 6.000%, 11/01/2028 (A) | 1,000,000 | 907,100 | |||
The ADT Security Corp. 4.125%, 08/01/2029 (A) | 340,000 | 291,968 | |||
Titan International, Inc. 7.000%, 04/30/2028 | 520,000 | 494,000 | |||
TransDigm, Inc. 4.625%, 01/15/2029 | 720,000 | 608,846 | |||
United Airlines 2020-1 Class B Pass Through Trust 4.875%, 01/15/2026 | 246,760 | 232,983 | |||
United Airlines, Inc. | |||||
4.375%, 04/15/2026 (A) | 140,000 | 127,645 | |||
4.625%, 04/15/2029 (A) | 1,400,000 | 1,228,500 | |||
United Rentals North America, Inc. | |||||
3.875%, 02/15/2031 | 560,000 | 484,204 | |||
5.250%, 01/15/2030 | 1,260,000 | 1,191,960 | |||
Vertiv Group Corp. 4.125%, 11/15/2028 (A) | 1,010,000 | 873,650 | |||
VistaJet Malta Finance PLC 6.375%, 02/01/2030 (A) | 880,000 | 756,800 |
The accompanying notes are an integral part of the financial statements. | 39 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
XPO CNW, Inc. 6.700%, 05/01/2034 | $ | 740,000 | $ | 714,789 | |
25,815,386 | |||||
Information technology – 3.7% | |||||
Bread Financial Holdings, Inc. 4.750%, 12/15/2024 (A) | 600,000 | 531,591 | |||
CA Magnum Holdings 5.375%, 10/31/2026 (A) | 430,000 | 388,075 | |||
Central Parent, Inc. 7.250%, 06/15/2029 (A) | 770,000 | 737,360 | |||
Clarivate Science Holdings Corp. 4.875%, 07/01/2029 (A) | 320,000 | 264,512 | |||
CommScope, Inc. | |||||
4.750%, 09/01/2029 (A) | 710,000 | 604,175 | |||
8.250%, 03/01/2027 (A) | 1,800,000 | 1,542,627 | |||
Elastic NV 4.125%, 07/15/2029 (A) | 750,000 | 634,673 | |||
Helios Software Holdings, Inc. 4.625%, 05/01/2028 (A) | 830,000 | 662,581 | |||
Paysafe Finance PLC 4.000%, 06/15/2029 (A) | 1,010,000 | 754,975 | |||
Rackspace Technology Global, Inc. 3.500%, 02/15/2028 (A) | 900,000 | 649,998 | |||
Vericast Corp. 11.000%, 09/15/2026 (A) | 860,000 | 859,054 | |||
7,629,621 | |||||
Materials – 4.9% | |||||
ARD Finance SA 6.500%, (6.500% Cash or 7.250% PIK), 06/30/2027 (A) | 500,000 | 387,780 | |||
Ardagh Metal Packaging Finance USA LLC | |||||
4.000%, 09/01/2029 (A) | 1,000,000 | 810,000 | |||
6.000%, 06/15/2027 (A) | 380,000 | 372,491 | |||
Ardagh Packaging Finance PLC 5.250%, 08/15/2027 (A) | 720,000 | 520,463 | |||
Canpack SA 3.875%, 11/15/2029 (A) | 410,000 | 332,108 | |||
Cascades, Inc. 5.375%, 01/15/2028 (A) | 600,000 | 540,342 | |||
First Quantum Minerals, Ltd. | |||||
6.875%, 03/01/2026 to 10/15/2027 (A) | 2,320,000 | 2,216,380 | |||
7.500%, 04/01/2025 (A) | 246,000 | 242,126 | |||
Freeport-McMoRan, Inc. 5.450%, 03/15/2043 | 2,000,000 | 1,800,448 | |||
Hudbay Minerals, Inc. | |||||
4.500%, 04/01/2026 (A) | 250,000 | 226,875 | |||
6.125%, 04/01/2029 (A) | 870,000 | 765,810 | |||
LSF11 A5 HoldCo LLC 6.625%, 10/15/2029 (A) | 700,000 | 589,617 | |||
Midwest Vanadium Proprietary, Ltd. 13.250%, 02/15/2018 (A)(C) | 1,951,648 | 3,903 | |||
Northwest Acquisitions ULC 7.125%, 11/01/2022 (A)(C) | 1,140,000 | 11 | |||
Olin Corp. 5.000%, 02/01/2030 | 560,000 | 508,210 | |||
Pactiv LLC 8.375%, 04/15/2027 | 30,000 | 27,980 | |||
Summit Materials LLC 5.250%, 01/15/2029 (A) | 870,000 | 782,552 | |||
10,127,096 | |||||
Real estate – 3.1% | |||||
Diversified Healthcare Trust | |||||
4.375%, 03/01/2031 | 500,000 | 343,125 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Real estate (continued) | |||||
Diversified Healthcare Trust (continued) | |||||
4.750%, 02/15/2028 | $ | 800,000 | $ | 590,751 | |
9.750%, 06/15/2025 | 340,000 | 334,237 | |||
Five Point Operating Company LP 7.875%, 11/15/2025 (A) | 640,000 | 558,850 | |||
Forestar Group, Inc. | |||||
3.850%, 05/15/2026 (A) | 580,000 | 492,826 | |||
5.000%, 03/01/2028 (A) | 420,000 | 348,705 | |||
IIP Operating Partnership LP 5.500%, 05/25/2026 | 1,160,000 | 1,033,215 | |||
Iron Mountain Information Management Services, Inc. 5.000%, 07/15/2032 (A) | 570,000 | 473,161 | |||
MPT Operating Partnership LP | |||||
3.500%, 03/15/2031 | 300,000 | 224,898 | |||
4.625%, 08/01/2029 | 250,000 | 212,987 | |||
Service Properties Trust 5.500%, 12/15/2027 | 640,000 | 553,690 | |||
The GEO Group, Inc. 6.000%, 04/15/2026 | 1,500,000 | 1,196,861 | |||
6,363,306 | |||||
Utilities – 0.9% | |||||
Suburban Propane Partners LP 5.000%, 06/01/2031 (A) | 460,000 | 406,210 | |||
Sunnova Energy Corp. 5.875%, 09/01/2026 (A)(B) | 1,310,000 | 1,208,475 | |||
Superior Plus LP 4.500%, 03/15/2029 (A) | 340,000 | 299,815 | |||
1,914,500 | |||||
TOTAL CORPORATE BONDS (Cost $202,928,396) | $ | 169,678,154 | |||
CONVERTIBLE BONDS – 1.1% | |||||
Communication services – 0.4% | |||||
DISH Network Corp. 3.375%, 08/15/2026 | 1,050,000 | 755,539 | |||
Liberty TripAdvisor Holdings, Inc. 0.500%, 06/30/2051 (A) | 110,000 | 80,905 | |||
836,444 | |||||
Consumer discretionary – 0.3% | |||||
DraftKings Holdings, Inc. 7.371%, 03/15/2028 (F) | 780,000 | 523,035 | |||
Liberty Latin America, Ltd. 2.000%, 07/15/2024 | 90,000 | 79,088 | |||
602,123 | |||||
Financials – 0.2% | |||||
Blackstone Mortgage Trust, Inc. 5.500%, 03/15/2027 | 450,000 | 415,688 | |||
Industrials – 0.2% | |||||
Spirit Airlines, Inc. 1.000%, 05/15/2026 | 500,000 | 436,500 | |||
TOTAL CONVERTIBLE BONDS (Cost $2,798,480) | $ | 2,290,755 | |||
TERM LOANS (G) – 5.7% | |||||
Consumer discretionary – 1.5% | |||||
Adtalem Global Education, Inc., 2021 Term Loan B (1 month LIBOR + 4.000%) 6.368%, 08/12/2028 | 449,776 | 444,716 | |||
Equinox Holdings, Inc. , 2020 Term Loan B2 (3 month LIBOR + 9.000%) 11.250%, 03/08/2024 | 411,600 | 362,208 |
The accompanying notes are an integral part of the financial statements. | 40 |
Shares or Principal Amount | Value | ||||
TERM LOANS (G) (continued) | |||||
Consumer discretionary (continued) | |||||
First Brands Group LLC, 2021 Term Loan (3 month SOFR + 5.000%) 8.368%, 03/30/2027 | $ | 365,375 | $ | 353,157 | |
Great Outdoors Group LLC, 2021 Term Loan B1 (1 month LIBOR + 3.750%) 6.274%, 03/06/2028 | 354,620 | 342,563 | |||
Rent-A-Center, Inc., 2021 First Lien Term Loan B (3 month LIBOR + 3.250%) 6.063%, 02/17/2028 | 622,125 | 601,128 | |||
Spencer Spirit IH LLC, Term Loan B (3 month LIBOR + 6.000%) 8.806%, 06/19/2026 | 728,265 | 712,483 | |||
Truck Hero, Inc., 2021 Term Loan B (1 month LIBOR + 3.500%) 6.024%, 01/31/2028 | 355,500 | 322,737 | |||
3,138,992 | |||||
Financials – 0.9% | |||||
Acrisure LLC, 2020 Term Loan B (1 month LIBOR + 3.500%) 6.024%, 02/15/2027 | 527,850 | 504,646 | |||
Asurion LLC, 2021 Term Loan B9 (1 month LIBOR + 3.250%) 5.774%, 07/31/2027 | 790,000 | 721,531 | |||
Asurion LLC, 2022 Term Loan B10 (3 month SOFR + 4.000%) 6.301%, 08/19/2028 | 470,000 | 437,885 | |||
Deerfield Dakota Holding LLC, 2021 USD 2nd Lien Term Loan (1 month LIBOR + 6.750%) 9.274%, 04/07/2028 | 250,000 | 245,000 | |||
1,909,062 | |||||
Health care – 0.8% | |||||
Eyecare Partners LLC, 2020 Term Loan (3 month LIBOR + 3.750%) 6.000%, 02/18/2027 | 567,826 | 527,062 | |||
Eyecare Partners LLC, First Lien Term Loan (1 month SOFR + 4.500%) 6.893%, 11/15/2028 | 440,000 | 409,200 | |||
U.S. Renal Care, Inc., 2019 Term Loan B (1 month LIBOR + 5.000%) 7.524%, 06/26/2026 | 805,972 | 611,531 | |||
1,547,793 | |||||
Industrials – 0.6% | |||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B (1 month LIBOR + 3.750%) 6.274%, 05/12/2028 | 794,000 | 756,388 | |||
Mileage Plus Holdings LLC, 2020 Term Loan B (3 month LIBOR + 5.250%) 7.313%, 06/21/2027 | 480,000 | 486,826 | |||
1,243,214 | |||||
Information technology – 1.7% | |||||
Dcert Buyer, Inc., 2019 Term Loan B (3 month LIBOR + 4.000%) 6.903%, 10/16/2026 | 691,162 | 671,387 | |||
Dcert Buyer, Inc., 2021 2nd Lien Term Loan (3 month LIBOR + 7.000%) 9.903%, 02/19/2029 | 880,000 | 834,240 | |||
Global Tel*Link Corp., 2018 1st Lien Term Loan (3 month LIBOR + 4.250%) 7.056%, 11/29/2025 | 795,197 | 730,588 | |||
Peraton Corp., Term Loan B (1 month LIBOR + 3.750%) 6.274%, 02/01/2028 | 436,326 | 423,236 | |||
Redstone Holdco 2 LP, 2021 Term Loan (3 month LIBOR + 4.750%) 7.533%, 04/27/2028 | 496,250 | 421,813 |
Shares or Principal Amount | Value | ||||
TERM LOANS (G) (continued) | |||||
Information technology (continued) | |||||
Redstone Holdco 2 LP , 2021 2nd Lien Term Loan (3 month LIBOR + 7.750%) 10.519%, 04/27/2029 | $ | 570,000 | $ | 472,815 | |
3,554,079 | |||||
Materials – 0.2% | |||||
Arctic Canadian Diamond Company, Ltd., 2nd Lien PIK Term Loan (3 month LIBOR + 4.000% or 12.500% PIK) 5.000%, 12/31/2027 (H) | 524,220 | 427,501 | |||
TOTAL TERM LOANS (Cost $12,675,015) | $ | 11,820,641 | |||
ASSET BACKED SECURITIES – 7.2% | |||||
AIG CLO, Ltd. Series 2018-1A, Class DR (3 month LIBOR + 3.100%) 5.810%, 04/20/2032 (A)(D) | 320,000 | 294,693 | |||
Aimco CLO, Ltd. Series 2020-12A, Class DR (3 month CME Term SOFR + 2.900%) 5.381%, 01/17/2032 (A)(D) | 440,000 | 411,562 | |||
AMMC CLO, Ltd. Series 2017-20A, Class E (3 month LIBOR + 5.810%) 8.550%, 04/17/2029 (A)(D) | 700,000 | 650,416 | |||
Ares CLO, Ltd. Series 2017-44A, Class CR (3 month LIBOR + 3.400%) 5.912%, 04/15/2034 (A)(D) | 410,000 | 390,434 | |||
Ballyrock CLO, Ltd. | |||||
Series 2016-1A, Class ER (3 month LIBOR + 6.950%) 9.462%, 10/15/2028 (A)(D) | 250,000 | 234,019 | |||
Series 2022-19A, Class D (3 month CME Term SOFR + 7.110%) 8.282%, 04/20/2035 (A)(D) | 900,000 | 792,455 | |||
Barings CLO, Ltd. | |||||
Series 2018-3A, Class D (3 month LIBOR + 2.900%) 5.610%, 07/20/2029 (A)(D) | 250,000 | 234,599 | |||
Series 2020-4A, Class E (3 month LIBOR + 5.680%) 8.390%, 01/20/2032 (A)(D) | 350,000 | 317,705 | |||
Battalion CLO, Ltd. Series 2021-20A, Class D (3 month LIBOR + 3.100%) 5.612%, 07/15/2034 (A)(D) | 250,000 | 224,600 | |||
BlueMountain CLO XXXI, Ltd. Series 2021-31A, Class E (3 month LIBOR + 6.530%) 9.268%, 04/19/2034 (A)(D) | 170,000 | 153,329 | |||
BlueMountain CLO, Ltd. Series 2016-2A, Class DR (3 month LIBOR + 7.790%) 10.774%, 08/20/2032 (A)(D) | 375,000 | 334,812 | |||
Bristol Park CLO, Ltd. Series 2016-1A, Class ER (3 month LIBOR + 7.000%) 9.512%, 04/15/2029 (A)(D) | 400,000 | 370,775 | |||
Cathedral Lake VI, Ltd. Series 2021-6A, Class E (3 month LIBOR + 7.210%) 9.993%, 04/25/2034 (A)(D) | 125,000 | 108,727 |
The accompanying notes are an integral part of the financial statements. | 41 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Cook Park CLO, Ltd. Series 2018-1A, Class E (3 month LIBOR + 5.400%) 8.140%, 04/17/2030 (A)(D) | $ | 750,000 | $ | 668,738 | |
Dryden CLO, Ltd. Series 2018-70A, Class E (3 month LIBOR + 6.050%) 8.790%, 01/16/2032 (A)(D) | 750,000 | 686,375 | |||
Dryden Senior Loan Fund Series 2015-40A, Class DR (3 month LIBOR + 3.100%) 6.005%, 08/15/2031 (A)(D) | 250,000 | 234,837 | |||
Greenwood Park CLO, Ltd. | |||||
Series 2018-1A, Class D (3 month LIBOR + 2.500%) 5.012%, 04/15/2031 (A)(D) | 530,000 | 483,444 | |||
Series 2018-1A, Class E (3 month LIBOR + 4.950%) 7.462%, 04/15/2031 (A)(D) | 750,000 | 663,372 | |||
Greywolf CLO IV, Ltd. Series 2019-1A, Class CR (3 month CME Term SOFR + 3.910%) 6.390%, 04/17/2034 (A)(D) | 390,000 | 359,826 | |||
Grippen Park CLO, Ltd. Series 2017-1A, Class E (3 month LIBOR + 5.700%) 8.410%, 01/20/2030 (A)(D) | 440,000 | 397,126 | |||
Halsey Point CLO I, Ltd. Series 2019-1A, Class E (3 month LIBOR + 7.700%) 10.410%, 01/20/2033 (A)(D) | 600,000 | 545,854 | |||
Jay Park CLO, Ltd. Series 2016-1A, Class DR (3 month LIBOR + 5.200%) 7.910%, 10/20/2027 (A)(D) | 450,000 | 412,925 | |||
LCM XXII, Ltd. Series 2022-A, Class DR (3 month LIBOR + 5.500%) 8.210%, 10/20/2028 (A)(D) | 500,000 | 426,228 | |||
Madison Park Funding XIII, Ltd. Series 2014-13A, Class DR2 (3 month LIBOR + 2.850%) 5.588%, 04/19/2030 (A)(D) | 1,000,000 | 943,277 | |||
Magnetite XXIV, Ltd. Series 2019-24A, Class ER (3 month CME Term SOFR + 6.400%) 8.728%, 04/15/2035 (A)(D) | 250,000 | 224,177 | |||
Mountain View CLO IX, Ltd. Series 2015-9A, Class CR (3 month LIBOR + 3.120%) 5.632%, 07/15/2031 (A)(D) | 670,000 | 580,830 | |||
Neuberger Berman Loan Advisers CLO, Ltd. Series 2017-25A, Class DR (3 month LIBOR + 2.850%) 5.590%, 10/18/2029 (A)(D) | 250,000 | 233,820 | |||
Oaktree CLO, Ltd. Series 2019-1A, Class D (3 month LIBOR + 3.800%) 6.559%, 04/22/2030 (A)(D) | 250,000 | 223,019 | |||
OZLM XI, Ltd. Series 2015-11A, Class CR (3 month LIBOR + 3.600%) 6.382%, 10/30/2030 (A)(D) | 1,000,000 | 903,272 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Rockland Park CLO, Ltd. Series 2021-1A, Class E (3 month LIBOR + 6.250%) 8.960%, 04/20/2034 (A)(D) | $ | 200,000 | $ | 182,438 | |
Sculptor CLO XXVI, Ltd. Series 2026-A, Class E (3 month LIBOR + 7.250%) 9.960%, 07/20/2034 (A)(D) | 390,000 | 346,661 | |||
Shackleton CLO, Ltd. Series 2013-3A, Class DR (3 month LIBOR + 3.020%) 5.532%, 07/15/2030 (A)(D) | 500,000 | 452,049 | |||
Symphony CLO XXII, Ltd. Series 2020-22A, Class D (3 month LIBOR + 3.150%) 5.890%, 04/18/2033 (A)(D) | 500,000 | 471,008 | |||
TCI-Symphony CLO, Ltd. Series 2016-1A, Class DR2 (3 month LIBOR + 3.100%) 5.555%, 10/13/2032 (A)(D) | 600,000 | 551,485 | |||
Voya CLO, Ltd. Series 2017-1A, Class C (3 month LIBOR + 3.330%) 6.070%, 04/17/2030 (A)(D) | 500,000 | 458,668 | |||
TOTAL ASSET BACKED SECURITIES (Cost $16,144,824) | $ | 14,967,555 | |||
COMMON STOCKS – 0.7% | |||||
Communication services – 0.0% | |||||
New Cotai, Inc., Class B (H)(I)(J) | 11 | 0 | |||
Energy – 0.7% | |||||
Berry Corp. | 75,327 | 689,242 | |||
Chord Energy Corp. | 4,634 | 655,943 | |||
KCAD Holdings I, Ltd. (H)(I)(J) | 752,218,031 | 752 | |||
MWO Holdings LLC (H)(I)(J) | 1,134 | 7,053 | |||
Permian Production (J) | 35,417 | 21,250 | |||
1,374,240 | |||||
TOTAL COMMON STOCKS (Cost $8,324,154) | $ | 1,374,240 | |||
PREFERRED SECURITIES – 0.7% | |||||
Energy – 0.3% | |||||
MPLX LP, 8.461% (H) | 17,615 | 563,680 | |||
Financials – 0.4% | |||||
B. Riley Financial, Inc., 5.000% | 18,075 | 406,326 | |||
B. Riley Financial, Inc., 5.250% (B) | 13,100 | 277,982 | |||
B. Riley Financial, Inc., 6.000% | 11,650 | 264,222 | |||
948,530 | |||||
TOTAL PREFERRED SECURITIES (Cost $1,643,113) | $ | 1,512,210 | |||
ESCROW CERTIFICATES – 0.0% | |||||
Magellan Health, Inc. (H)(J) | $ | 4,380,000 | 0 | ||
TOTAL ESCROW CERTIFICATES (Cost $0) | $ | 0 | |||
SHORT-TERM INVESTMENTS – 1.1% | |||||
Short-term funds – 1.1% | |||||
John Hancock Collateral Trust, 2.3160% (K)(L) | 237,693 | 2,375,359 | |||
State Street Institutional Treasury Plus Money Market Fund, Premier Class, 2.2458% (K) | 1,294 | 1,294 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,377,625) | $ | 2,376,653 | |||
Total Investments (High Yield Fund) (Cost $249,359,497) – 98.8% | $ | 205,488,030 | |||
Other assets and liabilities, net – 1.2% | 2,407,131 | ||||
TOTAL NET ASSETS – 100.0% | $ | 207,895,161 |
The accompanying notes are an integral part of the financial statements. | 42 |
Currency Abbreviations | |
BRL | Brazilian Real |
CAD | Canadian Dollar |
GBP | Pound Sterling |
IDR | Indonesian Rupiah |
Security Abbreviations and Legend | |
CME | Chicago Mercantile Exchange |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
PIK | Pay-in-Kind Security - Represents a payment-in-kind which may pay interest in additional par and/or cash. Rates shown are the current rate and most recent payment rate. |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Interbank Average Rate |
(A) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $149,249,988 or 71.8% of the fund's net assets as of 8-31-22. |
(B) | All or a portion of this security is on loan as of 8-31-22. |
(C) | Non-income producing - Issuer is in default. |
(D) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(E) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(F) | Zero coupon bonds are issued at a discount from their principal amount in lieu of paying interest periodically. Rate shown is the effective yield at period end. |
(G) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(H) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(I) | Restricted security as to resale, excluding 144A securities. For more information on this security refer to the Notes to financial statements. |
(J) | Non-income producing security. |
(K) | The rate shown is the annualized seven-day yield as of 8-31-22. |
(L) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
5-Year U.S. Treasury Note Futures | 117 | Long | Dec 2022 | $13,035,723 | $12,965,977 | $(69,746) |
$(69,746) |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
GBP | 587,667 | USD | 708,244 | MSCS | 10/18/2022 | — | $(24,938) |
MXN | 3,526,523 | USD | 168,371 | MSCS | 10/18/2022 | $5,141 | — |
USD | 154,992 | CAD | 200,571 | BNP | 10/18/2022 | 2,321 | — |
USD | 257,491 | EUR | 254,004 | BNP | 10/18/2022 | 1,444 | — |
$8,906 | $(24,938) |
Credit default swaps - Buyer | ||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | Beazer Homes USA, Inc. | 590,000 | USD | $590,000 | 5.000% | Quarterly | Jun 2027 | $11,903 | $26,994 | $38,897 |
Centrally cleared | KB Home | 830,000 | USD | 830,000 | 5.000% | Quarterly | Jun 2027 | (59,804) | 27,973 | (31,831) |
Centrally cleared | Macy's Retail Holdings LLC | 590,000 | USD | 590,000 | 1.000% | Quarterly | Jun 2027 | 64,507 | 26,279 | 90,786 |
Centrally cleared | NOVA Chemicals Corp. | 441,000 | USD | 441,000 | 5.000% | Quarterly | Jun 2027 | (10,594) | 2,139 | (8,455) |
Centrally cleared | The Goodyear Tire & Rubber Company | 590,000 | USD | 590,000 | 5.000% | Quarterly | Jun 2027 | (10,259) | (21,317) | (31,576) |
Centrally cleared | Xerox Holdings Corp. | 237,000 | USD | 237,000 | 1.000% | Quarterly | Jun 2027 | 32,254 | (6,903) | 25,351 |
$3,278,000 | $28,007 | $55,165 | $83,172 |
The accompanying notes are an integral part of the financial statements. | 43 |
Credit default swaps - Seller | |||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally cleared | Occidental Petroleum Corp. | 1.014% | 810,000 | USD | $810,000 | 1.000% | Quarterly | Jun 2026 | $(28,323) | $29,542 | $1,219 |
Centrally cleared | Ford Motor Credit Company LLC | 4.993% | 1,000,000 | USD | 1,000,000 | 5.000% | Quarterly | Dec 2026 | 132,996 | (126,084) | 6,912 |
$1,810,000 | $104,673 | $(96,542) | $8,131 |
Derivatives Currency Abbreviations | |
CAD | Canadian Dollar |
EUR | Euro |
GBP | Pound Sterling |
MXN | Mexican Peso |
USD | U.S. Dollar |
Derivatives Abbreviations | |
BNP | BNP Paribas |
MSCS | Morgan Stanley Capital Services LLC |
OTC | Over-the-counter |
Shares or Principal Amount | Value | ||||
COMMON STOCKS - 94.1% | |||||
Australia - 5.7% | |||||
Ampol, Ltd. | 48,981 | $ | 1,151,271 | ||
APA Group | 243,224 | 1,834,115 | |||
Aristocrat Leisure, Ltd. | 125,074 | 3,018,849 | |||
ASX, Ltd. | 40,580 | 2,160,173 | |||
Aurizon Holdings, Ltd. | 383,999 | 971,187 | |||
Australia & New Zealand Banking Group, Ltd. | 618,376 | 9,559,226 | |||
BHP Group, Ltd. | 1,049,697 | 28,635,833 | |||
BlueScope Steel, Ltd. | 102,620 | 1,151,382 | |||
Brambles, Ltd. | 297,188 | 2,501,210 | |||
Cochlear, Ltd. | 13,607 | 1,980,873 | |||
Coles Group, Ltd. | 275,800 | 3,301,109 | |||
Commonwealth Bank of Australia | 354,198 | 23,406,270 | |||
Computershare, Ltd. | 112,773 | 1,880,801 | |||
CSL, Ltd. | 99,939 | 19,989,628 | |||
Dexus | 225,120 | 1,331,583 | |||
Domino's Pizza Enterprises, Ltd. | 12,443 | 536,321 | |||
Endeavour Group, Ltd. | 277,544 | 1,373,519 | |||
Evolution Mining, Ltd. | 375,028 | 602,692 | |||
Fortescue Metals Group, Ltd. | 350,675 | 4,358,050 | |||
Goodman Group | 349,673 | 4,649,960 | |||
IDP Education, Ltd. | 43,241 | 851,271 | |||
Insurance Australia Group, Ltd. | 521,487 | 1,647,854 | |||
Lendlease Corp., Ltd. | 141,805 | 988,173 | |||
Macquarie Group, Ltd. | 76,075 | 9,102,650 | |||
Medibank Private, Ltd. | 577,450 | 1,454,582 | |||
Mineral Resources, Ltd. | 35,101 | 1,495,567 | |||
Mirvac Group | 822,625 | 1,171,530 | |||
MMG, Ltd. (A) | 552,000 | 151,005 | |||
National Australia Bank, Ltd. | 671,348 | 13,921,199 | |||
Newcrest Mining, Ltd. | 183,627 | 2,207,509 | |||
Northern Star Resources, Ltd. | 239,111 | 1,263,763 | |||
Orica, Ltd. | 85,102 | 890,182 | |||
Origin Energy, Ltd. | 362,570 | 1,544,211 | |||
Qantas Airways, Ltd. (A) | 192,982 | 693,527 | |||
QBE Insurance Group, Ltd. | 314,611 | 2,579,427 | |||
Ramsay Health Care, Ltd. | 37,966 | 1,850,312 | |||
REA Group, Ltd. | 10,892 | 939,313 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Australia (continued) | |||||
Reece, Ltd. | 46,510 | $ | 503,539 | ||
Rio Tinto, Ltd. | 77,281 | 4,908,392 | |||
Santos, Ltd. | 661,368 | 3,530,580 | |||
Scentre Group | 1,080,548 | 2,147,374 | |||
SEEK, Ltd. | 69,504 | 980,613 | |||
Sonic Healthcare, Ltd. | 94,430 | 2,183,700 | |||
South32, Ltd. | 965,241 | 2,657,999 | |||
Stockland | 496,371 | 1,221,009 | |||
Suncorp Group, Ltd. | 267,606 | 1,976,343 | |||
Telstra Corp., Ltd. | 854,137 | 2,309,801 | |||
The GPT Group | 401,617 | 1,144,412 | |||
The Lottery Corp, Ltd. (A) | 462,001 | 1,388,637 | |||
Transurban Group | 635,582 | 6,030,083 | |||
Treasury Wine Estates, Ltd. | 149,915 | 1,344,781 | |||
Vicinity Centres | 805,365 | 1,054,395 | |||
Washington H. Soul Pattinson & Company, Ltd. | 44,014 | 767,084 | |||
Wesfarmers, Ltd. | 235,064 | 7,519,469 | |||
Westpac Banking Corp. | 725,152 | 10,643,471 | |||
WiseTech Global, Ltd. | 30,404 | 1,200,945 | |||
Woodside Energy Group, Ltd. | 390,391 | 9,068,229 | |||
Woolworths Group, Ltd. | 250,732 | 6,181,249 | |||
225,908,232 | |||||
Austria - 0.1% | |||||
Erste Group Bank AG | 77,756 | 1,748,565 | |||
OMV AG | 32,842 | 1,323,285 | |||
Verbund AG | 15,204 | 1,452,864 | |||
voestalpine AG | 26,261 | 528,440 | |||
5,053,154 | |||||
Belgium - 0.2% | |||||
Ageas SA/NV | 15,978 | 648,319 | |||
Anheuser-Busch InBev SA/NV | 76,257 | 3,682,811 | |||
D'ieteren Group | 2,196 | 331,052 | |||
Elia Group SA/NV | 2,684 | 389,910 | |||
Groupe Bruxelles Lambert SA | 8,880 | 671,297 | |||
KBC Group NV | 21,129 | 1,007,700 |
The accompanying notes are an integral part of the financial statements. | 44 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Belgium (continued) | |||||
Proximus SADP | 12,724 | $ | 161,965 | ||
Sofina SA | 1,401 | 280,839 | |||
Solvay SA | 6,604 | 533,119 | |||
UCB SA | 11,169 | 784,813 | |||
Umicore SA | 18,027 | 573,010 | |||
Warehouses De Pauw CVA | 12,816 | 389,955 | |||
9,454,790 | |||||
Brazil - 1.2% | |||||
Ambev SA | 905,200 | 2,656,928 | |||
Americanas SA | 123,910 | 389,184 | |||
Atacadao SA | 94,700 | 359,512 | |||
B3 SA - Brasil Bolsa Balcao | 1,179,160 | 2,685,885 | |||
Banco Bradesco SA | 281,138 | 855,995 | |||
Banco BTG Pactual SA | 228,300 | 1,116,837 | |||
Banco do Brasil SA | 165,400 | 1,325,451 | |||
Banco Santander Brasil SA | 69,500 | 392,360 | |||
BB Seguridade Participacoes SA | 137,400 | 746,900 | |||
BRF SA (A) | 114,600 | 349,148 | |||
CCR SA | 228,900 | 606,745 | |||
Centrais Eletricas Brasileiras SA | 196,000 | 1,737,191 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 65,100 | 615,036 | |||
Cia Siderurgica Nacional SA | 131,300 | 348,289 | |||
Cosan SA | 230,000 | 883,323 | |||
CPFL Energia SA | 43,300 | 291,058 | |||
Energisa SA | 36,400 | 295,893 | |||
Engie Brasil Energia SA | 35,425 | 275,779 | |||
Equatorial Energia SA | 192,200 | 893,318 | |||
Hapvida Participacoes e Investimentos S/A (B) | 886,109 | 1,239,980 | |||
Hypera SA | 79,600 | 658,998 | |||
JBS SA | 159,500 | 907,198 | |||
Klabin SA | 142,200 | 514,691 | |||
Localiza Rent a Car SA | 140,645 | 1,644,247 | |||
Lojas Renner SA | 189,242 | 962,870 | |||
Magazine Luiza SA (A) | 584,900 | 480,071 | |||
Natura & Company Holding SA | 171,500 | 475,363 | |||
Petro Rio SA (A) | 131,300 | 689,259 | |||
Petroleo Brasileiro SA | 704,200 | 5,031,354 | |||
Raia Drogasil SA | 203,800 | 852,431 | |||
Rede D'Or Sao Luiz SA (B) | 76,500 | 490,109 | |||
Rumo SA | 246,100 | 956,036 | |||
Suzano SA | 142,127 | 1,209,161 | |||
Telefonica Brasil SA | 96,300 | 761,530 | |||
TIM SA | 164,500 | 374,065 | |||
TOTVS SA | 100,000 | 548,785 | |||
Ultrapar Participacoes SA | 137,500 | 357,599 | |||
Vale SA | 763,338 | 9,463,959 | |||
Vibra Energia SA | 222,400 | 784,881 | |||
WEG SA | 319,940 | 1,739,794 | |||
46,967,213 | |||||
Canada - 10.1% | |||||
Agnico Eagle Mines, Ltd. | 104,208 | 4,297,335 | |||
Air Canada (A) | 43,826 | 590,309 | |||
Algonquin Power & Utilities Corp. | 160,742 | 2,207,931 | |||
Alimentation Couche-Tard, Inc. | 193,265 | 8,305,384 | |||
AltaGas, Ltd. | 65,143 | 1,404,690 | |||
ARC Resources, Ltd. | 157,119 | 2,168,932 | |||
Atco, Ltd., Class I | 1,268 | 44,894 | |||
Bank of Montreal | 148,803 | 13,737,666 | |||
Barrick Gold Corp. (C) | 405,996 | 6,028,037 | |||
BCE, Inc. (C) | 20,413 | 985,096 | |||
BlackBerry, Ltd. (A) | 125,327 | 744,318 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Canada (continued) | |||||
Brookfield Asset Management Reinsurance Partners, Ltd., Class A (A)(C) | 1,027 | $ | 49,546 | ||
Brookfield Asset Management, Inc., Class A | 323,072 | 15,541,698 | |||
BRP, Inc. | 8,966 | 621,855 | |||
CAE, Inc. (A) | 73,563 | 1,343,161 | |||
Cameco Corp. | 90,893 | 2,649,244 | |||
Canadian Apartment Properties REIT | 22,029 | 749,256 | |||
Canadian Imperial Bank of Commerce | 207,430 | 9,809,630 | |||
Canadian National Railway Company | 135,489 | 16,113,014 | |||
Canadian Natural Resources, Ltd. | 268,136 | 14,699,655 | |||
Canadian Pacific Railway, Ltd. | 211,802 | 15,855,920 | |||
Canadian Tire Corp., Ltd., Class A | 13,430 | 1,579,573 | |||
Canadian Utilities, Ltd., Class A | 31,761 | 971,681 | |||
CCL Industries, Inc., Class B | 35,906 | 1,761,194 | |||
Cenovus Energy, Inc. | 318,419 | 5,973,917 | |||
CGI, Inc. (A) | 50,629 | 4,009,149 | |||
CI Financial Corp. | 3,481 | 38,167 | |||
Constellation Software, Inc. | 4,652 | 7,002,777 | |||
Dollarama, Inc. | 65,031 | 3,960,239 | |||
Emera, Inc. | 61,548 | 2,847,887 | |||
Empire Company, Ltd., Class A | 39,394 | 1,122,115 | |||
Enbridge, Inc. | 463,648 | 19,119,942 | |||
Fairfax Financial Holdings, Ltd. | 5,856 | 2,919,372 | |||
First Capital Real Estate Investment Trust (C) | 2,485 | 28,609 | |||
First Quantum Minerals, Ltd. | 135,297 | 2,394,108 | |||
FirstService Corp. | 9,268 | 1,159,356 | |||
Fortis, Inc. | 109,946 | 4,850,399 | |||
Franco-Nevada Corp. | 43,652 | 5,248,145 | |||
George Weston, Ltd. | 17,169 | 1,962,862 | |||
GFL Environmental, Inc. | 41,694 | 1,174,613 | |||
Gildan Activewear, Inc. | 45,993 | 1,360,162 | |||
Great-West Lifeco, Inc. (C) | 74,752 | 1,755,891 | |||
Hydro One, Ltd. (B)(C) | 78,261 | 2,118,979 | |||
iA Financial Corp., Inc. | 27,703 | 1,488,138 | |||
IGM Financial, Inc. | 25,078 | 682,635 | |||
Imperial Oil, Ltd. (C) | 54,086 | 2,654,573 | |||
Intact Financial Corp. | 40,914 | 5,926,743 | |||
Ivanhoe Mines, Ltd., Class A (A) | 139,591 | 897,056 | |||
Keyera Corp. | 51,661 | 1,272,890 | |||
Kinross Gold Corp. | 290,537 | 953,451 | |||
Lightspeed Commerce, Inc. (A) | 30,996 | 593,086 | |||
Loblaw Companies, Ltd. | 38,647 | 3,415,508 | |||
Lundin Mining Corp. | 155,917 | 810,837 | |||
Magna International, Inc. | 65,919 | 3,808,029 | |||
Metro, Inc. | 56,221 | 2,957,130 | |||
National Bank of Canada | 78,447 | 5,189,980 | |||
Northland Power, Inc. | 52,941 | 1,812,333 | |||
Nutrien, Ltd. | 125,622 | 11,532,527 | |||
Nuvei Corp. (A)(B) | 15,590 | 477,072 | |||
Onex Corp. | 19,441 | 961,429 | |||
Open Text Corp. | 64,103 | 2,019,219 | |||
Pan American Silver Corp. (C) | 48,975 | 728,649 | |||
Parkland Corp. | 36,177 | 888,070 | |||
Pembina Pipeline Corp. | 126,630 | 4,471,846 | |||
Power Corp. of Canada | 136,146 | 3,500,705 | |||
Quebecor, Inc., Class B | 38,589 | 833,571 | |||
Restaurant Brands International, Inc. | 68,241 | 4,028,419 | |||
RioCan Real Estate Investment Trust | 41,475 | 635,696 | |||
Ritchie Brothers Auctioneers, Inc. | 25,366 | 1,757,185 | |||
Rogers Communications, Inc., Class B | 82,731 | 3,562,217 | |||
Royal Bank of Canada | 323,753 | 30,106,182 | |||
Saputo, Inc. | 58,254 | 1,479,248 |
The accompanying notes are an integral part of the financial statements. | 45 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Canada (continued) | |||||
Shaw Communications, Inc., Class B | 110,149 | $ | 2,824,699 | ||
Shopify, Inc., Class A (A) | 259,230 | 8,207,091 | |||
SmartCentres Real Estate Investment Trust | 2,374 | 50,558 | |||
Sun Life Financial, Inc. | 140,845 | 6,204,966 | |||
Suncor Energy, Inc. (C) | 326,619 | 10,566,902 | |||
TC Energy Corp. | 224,253 | 10,806,695 | |||
Teck Resources, Ltd., Class B | 108,775 | 3,683,947 | |||
TELUS Corp. | 109,403 | 2,464,035 | |||
TFI International, Inc. | 19,135 | 1,909,056 | |||
The Bank of Nova Scotia | 278,180 | 15,381,606 | |||
The Toronto-Dominion Bank | 415,258 | 26,714,241 | |||
Thomson Reuters Corp. | 39,509 | 4,350,548 | |||
TMX Group, Ltd. | 13,451 | 1,350,887 | |||
Toromont Industries, Ltd. | 19,369 | 1,499,260 | |||
Tourmaline Oil Corp. | 71,496 | 4,227,102 | |||
West Fraser Timber Company, Ltd. | 14,213 | 1,271,578 | |||
Wheaton Precious Metals Corp. | 103,452 | 3,157,872 | |||
WSP Global, Inc. | 27,068 | 3,225,654 | |||
398,647,829 | |||||
Chile - 0.1% | |||||
Antofagasta PLC | 97,042 | 1,234,748 | |||
Banco de Chile | 8,841,267 | 838,798 | |||
Banco de Credito e Inversiones SA | 11,510 | 339,042 | |||
Banco Santander Chile | 12,342,817 | 495,778 | |||
Cencosud SA | 277,395 | 387,811 | |||
Cia Cervecerias Unidas SA | 24,812 | 134,839 | |||
Cia Sud Americana de Vapores SA | 3,024,911 | 284,688 | |||
Empresas CMPC SA | 222,587 | 422,201 | |||
Empresas COPEC SA | 75,737 | 653,303 | |||
Enel Americas SA | 4,149,521 | 449,560 | |||
Enel Chile SA | 5,415,264 | 177,760 | |||
Falabella SA | 148,713 | 350,440 | |||
5,768,968 | |||||
China - 9.3% | |||||
360 DigiTech, Inc., ADR | 17,000 | 271,660 | |||
360 Security Technology, Inc., Class A | 72,600 | 76,789 | |||
37 Interactive Entertainment Network Technology Group Company, Ltd., Class A | 25,500 | 74,845 | |||
3SBio, Inc. (B) | 284,900 | 189,418 | |||
AAC Technologies Holdings, Inc. | 137,200 | 254,180 | |||
Advanced Micro-Fabrication Equipment, Inc., Class A (A) | 6,896 | 122,605 | |||
AECC Aero-Engine Control Company, Ltd., Class A | 15,100 | 58,546 | |||
AECC Aviation Power Company, Ltd., Class A | 30,800 | 204,676 | |||
Agricultural Bank of China, Ltd., Class A | 1,014,400 | 418,940 | |||
Agricultural Bank of China, Ltd., H Shares | 5,684,600 | 1,857,510 | |||
Aier Eye Hospital Group Company, Ltd., Class A | 80,063 | 340,177 | |||
Air China, Ltd., Class A (A) | 78,100 | 116,328 | |||
Air China, Ltd., H Shares (A) | 328,266 | 262,959 | |||
Airtac International Group (A) | 16,000 | 429,023 | |||
Alibaba Group Holding, Ltd. (A) | 2,900,700 | 34,606,939 | |||
A-Living Smart City Services Company, Ltd. (B) | 121,500 | 125,155 | |||
Aluminum Corp. of China, Ltd., A Shares | 138,500 | 90,074 | |||
Aluminum Corp. of China, Ltd., H Shares | 759,480 | 280,636 | |||
Amlogic Shanghai Company, Ltd., Class A (A) | 4,366 | 54,385 | |||
Angel Yeast Company, Ltd., Class A | 9,400 | 66,031 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Anhui Conch Cement Company, Ltd., Class A | 48,000 | $ | 221,613 | ||
Anhui Conch Cement Company, Ltd., H Shares | 236,710 | 902,068 | |||
Anhui Gujing Distillery Company, Ltd., B Shares | 19,000 | 290,110 | |||
Anhui Gujing Distillery Company, Ltd., Class A | 4,900 | 180,816 | |||
Anhui Honglu Steel Construction Group Company, Ltd., Class A | 5,840 | 24,428 | |||
Anhui Kouzi Distillery Company, Ltd., Class A | 7,000 | 51,192 | |||
Anhui Yingjia Distillery Company, Ltd., Class A | 7,500 | 58,078 | |||
Anjoy Foods Group Company, Ltd., Class A | 3,300 | 74,027 | |||
ANTA Sports Products, Ltd. | 231,300 | 2,785,415 | |||
Apeloa Pharmaceutical Company, Ltd., Class A | 12,700 | 33,147 | |||
Asia - Potash International Investment Guangzhou Company, Ltd., Class A (A) | 7,000 | 34,297 | |||
Asymchem Laboratories Tianjin Company, Ltd., Class A | 3,940 | 97,797 | |||
Autohome, Inc., ADR | 14,500 | 516,345 | |||
Avary Holding Shenzhen Company, Ltd., Class A | 22,400 | 95,829 | |||
AVIC Electromechanical Systems Company, Ltd., Class A | 45,400 | 72,835 | |||
AVIC Industry-Finance Holdings Company, Ltd., Class A | 111,500 | 54,547 | |||
AviChina Industry & Technology Company, Ltd., H Shares | 482,300 | 234,752 | |||
AVICOPTER PLC, Class A | 7,400 | 45,154 | |||
Baidu, Inc., Class A (A) | 426,750 | 7,617,734 | |||
Bank of Beijing Company, Ltd., Class A | 269,000 | 160,910 | |||
Bank of Changsha Company, Ltd., Class A | 53,200 | 52,505 | |||
Bank of Chengdu Company, Ltd., Class A | 43,600 | 98,946 | |||
Bank of China, Ltd., Class A | 391,200 | 172,311 | |||
Bank of China, Ltd., H Shares | 15,305,722 | 5,341,213 | |||
Bank of Communications Company, Ltd., Class A | 510,700 | 338,780 | |||
Bank of Communications Company, Ltd., H Shares | 1,643,876 | 936,630 | |||
Bank of Hangzhou Company, Ltd., Class A | 67,800 | 140,617 | |||
Bank of Jiangsu Company, Ltd., Class A | 178,400 | 187,037 | |||
Bank of Nanjing Company, Ltd., Class A | 119,300 | 183,468 | |||
Bank of Ningbo Company, Ltd., Class A | 75,100 | 323,495 | |||
Bank of Shanghai Company, Ltd., Class A | 173,000 | 148,040 | |||
Baoshan Iron & Steel Company, Ltd., Class A | 258,100 | 199,009 | |||
BBMG Corp., Class A | 79,700 | 30,221 | |||
BeiGene, Ltd., ADR (A) | 8,922 | 1,531,551 | |||
Beijing Capital International Airport Company, Ltd., H Shares (A) | 339,111 | 212,845 | |||
Beijing Dabeinong Technology Group Company, Ltd., Class A (A) | 47,700 | 59,639 | |||
Beijing Easpring Material Technology Company, Ltd., Class A | 5,700 | 64,516 | |||
Beijing Enlight Media Company, Ltd., Class A | 32,500 | 43,428 | |||
Beijing Kingsoft Office Software, Inc., Class A | 5,116 | 133,095 | |||
Beijing New Building Materials PLC, Class A | 19,400 | 73,665 |
The accompanying notes are an integral part of the financial statements. | 46 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Beijing Originwater Technology Company, Ltd., Class A | 28,200 | $ | 22,440 | ||
Beijing Roborock Technology Company, Ltd., Class A | 984 | 45,489 | |||
Beijing Shiji Information Technology Company, Ltd., Class A | 17,900 | 33,782 | |||
Beijing Shunxin Agriculture Company, Ltd., Class A | 9,200 | 31,755 | |||
Beijing Sinnet Technology Company, Ltd., Class A | 20,000 | 26,834 | |||
Beijing Tiantan Biological Products Corp., Ltd., Class A | 17,580 | 56,482 | |||
Beijing United Information Technology Company, Ltd., Class A | 5,130 | 73,524 | |||
Beijing Wantai Biological Pharmacy Enterprise Company, Ltd., Class A | 6,335 | 117,144 | |||
Beijing Yuanliu Hongyuan Electronic Technology Company, Ltd., Class A | 2,200 | 37,722 | |||
Beijing-Shanghai High Speed Railway Company, Ltd., Class A | 450,300 | 301,655 | |||
Betta Pharmaceuticals Company, Ltd., Class A | 4,500 | 29,510 | |||
BGI Genomics Company, Ltd., Class A | 4,500 | 39,303 | |||
Bilibili, Inc., Class Z (A) | 34,860 | 867,023 | |||
Bloomage Biotechnology Corp, Ltd., Class A | 3,537 | 72,970 | |||
BOC International China Company, Ltd., Class A | 34,500 | 62,227 | |||
BOE Technology Group Company, Ltd., Class A | 433,800 | 232,049 | |||
BTG Hotels Group Company, Ltd., Class A | 13,600 | 42,187 | |||
BYD Company, Ltd., Class A | 20,800 | 862,108 | |||
BYD Company, Ltd., H Shares | 157,194 | 4,843,986 | |||
BYD Electronic International Company, Ltd. | 128,700 | 340,042 | |||
By-health Company, Ltd., Class A | 18,700 | 50,435 | |||
Caitong Securities Company, Ltd., Class A | 66,600 | 72,987 | |||
CanSino Biologics, Inc., Class A | 1,316 | 23,926 | |||
CanSino Biologics, Inc., H Shares (B) | 17,800 | 111,100 | |||
CECEP Solar Energy Company, Ltd., Class A | 33,800 | 39,407 | |||
CECEP Wind-Power Corp., Class A | 52,800 | 38,087 | |||
CGN Power Company, Ltd., H Shares (B) | 2,024,000 | 481,361 | |||
Chacha Food Company, Ltd., Class A | 5,800 | 39,733 | |||
Changchun High & New Technology Industry Group, Inc., Class A | 4,600 | 117,658 | |||
Changjiang Securities Company, Ltd., Class A | 84,300 | 69,263 | |||
Changzhou Xingyu Automotive Lighting Systems Company, Ltd., Class A | 3,100 | 62,901 | |||
Chaozhou Three-Circle Group Company, Ltd., Class A | 21,700 | 84,978 | |||
Chengtun Mining Group Company, Ltd., Class A | 26,800 | 27,753 | |||
Chengxin Lithium Group Company, Ltd., Class A | 9,600 | 73,594 | |||
Chifeng Jilong Gold Mining Company, Ltd., Class A (A) | 14,300 | 40,182 | |||
China Baoan Group Company, Ltd., Class A | 29,200 | 62,176 | |||
China Cinda Asset Management Company, Ltd., H Shares | 1,879,300 | 258,071 | |||
China CITIC Bank Corp., Ltd., H Shares | 1,720,400 | 737,553 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
China Coal Energy Company, Ltd., H Shares | 388,000 | $ | 345,036 | ||
China Communications Services Corp., Ltd., H Shares | 478,400 | 205,424 | |||
China Conch Venture Holdings, Ltd. | 320,200 | 653,460 | |||
China Construction Bank Corp., Class A | 153,500 | 122,707 | |||
China Construction Bank Corp., H Shares | 18,418,796 | 11,386,194 | |||
China CSSC Holdings, Ltd., Class A | 51,600 | 186,751 | |||
China Eastern Airlines Corp., Ltd., Class A (A) | 83,800 | 59,506 | |||
China Energy Engineering Corp., Ltd. | 375,900 | 122,848 | |||
China Everbright Bank Company, Ltd., Class A | 541,700 | 225,096 | |||
China Everbright Bank Company, Ltd., H Shares | 613,595 | 188,105 | |||
China Evergrande Group (A) | 667,935 | 58,778 | |||
China Feihe, Ltd. (B) | 680,000 | 562,806 | |||
China Galaxy Securities Company, Ltd., Class A | 56,800 | 81,323 | |||
China Galaxy Securities Company, Ltd., H Shares | 722,600 | 395,056 | |||
China Great Wall Securities Company, Ltd., Class A | 38,700 | 51,828 | |||
China Greatwall Technology Group Company, Ltd., Class A | 33,900 | 44,458 | |||
China Hongqiao Group, Ltd. | 435,800 | 422,579 | |||
China Huishan Dairy Holdings Company, Ltd. (A)(D) | 175,000 | 0 | |||
China International Capital Corp., Ltd., Class A | 13,300 | 80,088 | |||
China International Capital Corp., Ltd., H Shares (B) | 299,800 | 527,439 | |||
China Jushi Company, Ltd., Class A | 46,600 | 97,134 | |||
China Lesso Group Holdings, Ltd. | 201,000 | 238,909 | |||
China Life Insurance Company, Ltd., Class A | 31,700 | 140,784 | |||
China Life Insurance Company, Ltd., H Shares | 1,464,276 | 2,099,366 | |||
China Literature, Ltd. (A)(B) | 76,200 | 308,786 | |||
China Longyuan Power Group Corp., Ltd., H Shares | 637,000 | 1,028,861 | |||
China Medical System Holdings, Ltd. | 257,800 | 381,539 | |||
China Meheco Company, Ltd., Class A | 18,560 | 34,277 | |||
China Meidong Auto Holdings, Ltd. | 106,000 | 215,557 | |||
China Merchants Bank Company, Ltd., Class A | 238,900 | 1,208,960 | |||
China Merchants Bank Company, Ltd., H Shares | 744,874 | 3,809,370 | |||
China Merchants Securities Company, Ltd., Class A | 93,400 | 179,041 | |||
China Merchants Shekou Industrial Zone Holdings Company, Ltd., Class A | 92,700 | 195,991 | |||
China Minmetals Rare Earth Company, Ltd., Class A (A) | 10,700 | 40,627 | |||
China Minsheng Banking Corp., Ltd., Class A | 408,100 | 212,849 | |||
China Minsheng Banking Corp., Ltd., H Shares | 1,188,220 | 377,971 | |||
China National Building Material Company, Ltd., H Shares | 744,600 | 703,104 | |||
China National Chemical Engineering Company, Ltd., Class A | 72,800 | 90,621 | |||
China National Nuclear Power Company, Ltd., Class A | 206,600 | 190,266 |
The accompanying notes are an integral part of the financial statements. | 47 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
China Northern Rare Earth Group High-Tech Company, Ltd., Class A | 40,500 | $ | 176,126 | ||
China Oilfield Services, Ltd., H Shares | 344,000 | 357,290 | |||
China Pacific Insurance Group Company, Ltd., Class A | 86,600 | 262,326 | |||
China Pacific Insurance Group Company, Ltd., H Shares | 520,979 | 1,103,599 | |||
China Petroleum & Chemical Corp., Class A | 363,000 | 224,800 | |||
China Petroleum & Chemical Corp., H Shares | 4,915,439 | 2,311,462 | |||
China Railway Group, Ltd., Class A | 243,200 | 202,464 | |||
China Railway Group, Ltd., H Shares | 814,800 | 466,468 | |||
China Railway Signal & Communication Corp., Ltd., Class A | 58,844 | 37,728 | |||
China Resources Microelectronics, Ltd., Class A | 11,988 | 90,634 | |||
China Resources Mixc Lifestyle Services, Ltd. (B) | 129,200 | 585,892 | |||
China Resources Sanjiu Medical & Pharmaceutical Company, Ltd., Class A | 11,800 | 67,410 | |||
China Shenhua Energy Company, Ltd., Class A | 75,700 | 332,416 | |||
China Shenhua Energy Company, Ltd., H Shares | 646,900 | 2,028,854 | |||
China Southern Airlines Company, Ltd., Class A (A) | 126,600 | 117,870 | |||
China Southern Airlines Company, Ltd., H Shares (A) | 337,700 | 182,277 | |||
China State Construction Engineering Corp., Ltd., Class A | 508,100 | 378,084 | |||
China Suntien Green Energy Corp., Ltd., H Shares | 325,000 | 145,761 | |||
China Three Gorges Renewables Group Company, Ltd., Class A | 325,300 | 286,914 | |||
China Tourism Group Duty Free Corp., Ltd., Class A | 22,400 | 632,879 | |||
China Tower Corp., Ltd., H Shares (B) | 8,480,400 | 1,057,488 | |||
China United Network Communications, Ltd., Class A | 354,000 | 181,939 | |||
China Vanke Company, Ltd., Class A | 117,100 | 282,065 | |||
China Vanke Company, Ltd., H Shares | 323,700 | 631,937 | |||
China Yangtze Power Company, Ltd., Class A | 260,000 | 902,232 | |||
China Zhenhua Group Science & Technology Company, Ltd., Class A | 5,600 | 90,782 | |||
China Zheshang Bank Company, Ltd., Class A (A) | 207,300 | 97,593 | |||
Chinasoft International, Ltd. (A) | 528,000 | 412,738 | |||
Chongqing Brewery Company, Ltd., Class A | 5,400 | 87,218 | |||
Chongqing Changan Automobile Company, Ltd., Class A | 94,210 | 197,440 | |||
Chongqing Fuling Zhacai Group Company, Ltd., Class A | 10,800 | 47,477 | |||
Chongqing Rural Commercial Bank Company, Ltd., Class A | 147,400 | 76,414 | |||
Chongqing Zhifei Biological Products Company, Ltd., Class A | 18,200 | 247,419 | |||
CIFI Ever Sunshine Services Group, Ltd. | 142,000 | 87,272 | |||
CIFI Holdings Group Company, Ltd. | 789,848 | 199,906 | |||
CITIC Securities Company, Ltd., Class A | 150,000 | 422,804 | |||
CITIC Securities Company, Ltd., H Shares | 405,300 | 821,477 | |||
CITIC, Ltd. | 1,128,933 | 1,163,793 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
CMOC Group, Ltd., Class A | 201,000 | $ | 142,887 | ||
CMOC Group, Ltd., H Shares | 667,600 | 297,694 | |||
CNGR Advanced Material Company, Ltd., Class A | 4,600 | 61,932 | |||
CNNC Hua Yuan Titanium Dioxide Company, Ltd., Class A | 34,355 | 39,351 | |||
Contemporary Amperex Technology Company, Ltd., Class A | 26,700 | 1,854,332 | |||
COSCO SHIPPING Development Company, Ltd., Class A | 116,500 | 48,318 | |||
COSCO SHIPPING Energy Transportation Company, Ltd., Class A (A) | 37,200 | 75,849 | |||
COSCO SHIPPING Holdings Company, Ltd., Class A | 146,000 | 298,904 | |||
COSCO SHIPPING Holdings Company, Ltd., H Shares | 610,389 | 911,226 | |||
Country Garden Holdings Company, Ltd. | 1,567,467 | 462,710 | |||
Country Garden Services Holdings Company, Ltd. | 384,400 | 755,409 | |||
CRRC Corp., Ltd., Class A | 275,200 | 199,527 | |||
CRRC Corp., Ltd., H Shares | 869,000 | 324,910 | |||
CSC Financial Company, Ltd., Class A | 52,100 | 200,330 | |||
CSPC Pharmaceutical Group, Ltd. | 1,713,888 | 1,738,609 | |||
Daan Gene Company, Ltd., Class A | 16,700 | 42,769 | |||
Dali Foods Group Company, Ltd. (B) | 370,800 | 169,512 | |||
Daqin Railway Company, Ltd., Class A | 190,300 | 177,789 | |||
Daqo New Energy Corp., ADR (A) | 11,300 | 753,371 | |||
DaShenLin Pharmaceutical Group Company, Ltd., Class A | 10,320 | 49,854 | |||
DHC Software Company, Ltd., Class A | 28,500 | 23,941 | |||
Do-Fluoride New Materials Company, Ltd., Class A | 8,400 | 49,201 | |||
Dong-E-E-Jiao Company, Ltd., Class A | 7,700 | 38,108 | |||
Dongfang Electric Corp., Ltd., Class A | 32,000 | 91,003 | |||
Dongfeng Motor Group Company, Ltd., H Shares | 562,980 | 356,956 | |||
Dongxing Securities Company, Ltd., Class A | 59,300 | 71,285 | |||
Dongyue Group, Ltd. | 282,000 | 316,501 | |||
East Money Information Company, Ltd., Class A | 153,180 | 489,793 | |||
Ecovacs Robotics Company, Ltd., Class A | 5,100 | 60,113 | |||
ENN Energy Holdings, Ltd. | 150,900 | 2,192,188 | |||
ENN Natural Gas Company, Ltd., Class A | 27,300 | 81,043 | |||
Eve Energy Company, Ltd., Class A | 21,700 | 295,800 | |||
Everbright Securities Company, Ltd., Class A | 46,800 | 108,582 | |||
Fangda Carbon New Material Company, Ltd., Class A (A) | 42,700 | 43,016 | |||
FAW Jiefang Group Company, Ltd., Class A | 28,300 | 33,422 | |||
Fiberhome Telecommunication Technologies Company, Ltd., Class A | 10,700 | 22,262 | |||
First Capital Securities Company, Ltd., Class A | 58,300 | 51,849 | |||
Flat Glass Group Company, Ltd., Class A (A) | 18,800 | 108,706 | |||
Flat Glass Group Company, Ltd., H Shares | 82,000 | 270,082 | |||
Focus Media Information Technology Company, Ltd., Class A | 165,400 | 144,711 | |||
Foshan Haitian Flavouring & Food Company, Ltd., Class A | 44,070 | 513,763 | |||
Fosun International, Ltd. | 482,500 | 356,149 | |||
Founder Securities Company, Ltd., Class A | 102,300 | 102,858 |
The accompanying notes are an integral part of the financial statements. | 48 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Foxconn Industrial Internet Company, Ltd., Class A | 118,000 | $ | 158,576 | ||
Fujian Sunner Development Company, Ltd., Class A | 14,000 | 45,208 | |||
Fuyao Glass Industry Group Company, Ltd., Class A | 23,100 | 130,669 | |||
Fuyao Glass Industry Group Company, Ltd., H Shares (B) | 114,000 | 543,990 | |||
Ganfeng Lithium Company, Ltd., Class A | 18,360 | 226,767 | |||
Ganfeng Lithium Company, Ltd., H Shares (B) | 69,040 | 606,548 | |||
G-bits Network Technology Xiamen Company, Ltd., Class A | 700 | 28,850 | |||
GCL System Integration Technology Company, Ltd., Class A (A) | 59,500 | 31,538 | |||
GD Power Development Company, Ltd., Class A (A) | 195,800 | 123,100 | |||
GDS Holdings, Ltd., Class A (A) | 164,500 | 561,814 | |||
GEM Company, Ltd., Class A | 52,700 | 63,576 | |||
Gemdale Corp., Class A | 56,300 | 95,055 | |||
Genscript Biotech Corp. (A) | 219,400 | 704,755 | |||
GF Securities Company, Ltd., Class A | 71,500 | 169,377 | |||
GF Securities Company, Ltd., H Shares | 222,800 | 291,045 | |||
Giant Network Group Company, Ltd., Class A | 23,600 | 29,345 | |||
GigaDevice Semiconductor, Inc., Class A | 7,400 | 123,652 | |||
Ginlong Technologies Company, Ltd., Class A | 4,200 | 138,862 | |||
GoerTek, Inc., Class A | 39,100 | 183,577 | |||
Gotion High-tech Company, Ltd., Class A | 18,900 | 93,502 | |||
Great Wall Motor Company, Ltd., Class A | 24,800 | 119,808 | |||
Great Wall Motor Company, Ltd., H Shares | 593,650 | 890,672 | |||
Gree Electric Appliances, Inc. of Zhuhai, Class A | 37,600 | 173,489 | |||
Greentown China Holdings, Ltd. | 166,000 | 313,207 | |||
Greentown Service Group Company, Ltd. | 273,000 | 197,230 | |||
GRG Banking Equipment Company, Ltd., Class A | 23,100 | 29,382 | |||
Guangdong Haid Group Company, Ltd., Class A | 18,800 | 166,056 | |||
Guangdong Kinlong Hardware Products Company, Ltd., Class A | 3,400 | 46,929 | |||
Guanghui Energy Company, Ltd., Class A | 77,300 | 142,036 | |||
Guangzhou Automobile Group Company, Ltd., Class A | 54,300 | 109,091 | |||
Guangzhou Automobile Group Company, Ltd., H Shares | 570,426 | 490,458 | |||
Guangzhou Baiyunshan Pharmaceutical Holdings Company, Ltd., Class A | 17,700 | 69,747 | |||
Guangzhou Haige Communications Group, Inc. Company, Class A | 27,200 | 34,367 | |||
Guangzhou Kingmed Diagnostics Group Company, Ltd., Class A | 5,100 | 49,208 | |||
Guangzhou Shiyuan Electronic Technology Company, Ltd., Class A | 7,100 | 69,449 | |||
Guangzhou Tinci Materials Technology Company, Ltd., Class A | 21,700 | 148,885 | |||
Guangzhou Yuexiu Financial Holdings Group Company, Ltd., Class A | 49,545 | 46,290 | |||
Guolian Securities Company, Ltd., Class A | 29,000 | 46,466 | |||
Guosen Securities Company, Ltd., Class A | 88,400 | 118,108 | |||
Guotai Junan Securities Company, Ltd., Class A | 103,400 | 221,020 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Guoyuan Securities Company, Ltd., Class A | 65,400 | $ | 69,227 | ||
H World Group, Ltd., ADR | 37,200 | 1,399,836 | |||
Haidilao International Holding, Ltd. (A)(B) | 211,000 | 496,504 | |||
Haier Smart Home Company, Ltd., Class A | 73,300 | 273,686 | |||
Haier Smart Home Company, Ltd., H Shares | 437,040 | 1,427,810 | |||
Haitian International Holdings, Ltd. | 120,600 | 295,465 | |||
Haitong Securities Company, Ltd., Class A | 125,900 | 172,499 | |||
Haitong Securities Company, Ltd., H Shares | 578,000 | 378,428 | |||
Hangzhou First Applied Material Company, Ltd., Class A | 15,020 | 140,463 | |||
Hangzhou Lion Electronics Company, Ltd., Class A | 7,500 | 57,573 | |||
Hangzhou Oxygen Plant Group Company, Ltd., Class A | 10,800 | 55,322 | |||
Hangzhou Robam Appliances Company, Ltd., Class A | 11,200 | 40,710 | |||
Hangzhou Silan Microelectronics Company, Ltd., Class A | 15,400 | 88,031 | |||
Hangzhou Tigermed Consulting Company, Ltd., A Shares | 4,400 | 68,796 | |||
Hangzhou Tigermed Consulting Company, Ltd., H Shares (B) | 23,600 | 233,660 | |||
Hansoh Pharmaceutical Group Company, Ltd. (B) | 224,000 | 446,911 | |||
Heilongjiang Agriculture Company, Ltd., Class A | 19,700 | 41,824 | |||
Henan Shenhuo Coal & Power Company, Ltd., Class A | 25,600 | 59,347 | |||
Henan Shuanghui Investment & Development Company, Ltd., Class A | 40,100 | 155,560 | |||
Hengan International Group Company, Ltd. | 122,200 | 584,790 | |||
Hengli Petrochemical Company, Ltd., Class A | 67,600 | 187,697 | |||
Hengtong Optic-electric Company, Ltd., Class A | 29,100 | 70,695 | |||
Hengyi Petrochemical Company, Ltd., Class A | 41,700 | 54,597 | |||
Hesteel Company, Ltd., Class A | 121,800 | 42,669 | |||
Hithink RoyalFlush Information Network Company, Ltd., Class A | 6,600 | 81,057 | |||
Hongfa Technology Company, Ltd., Class A | 11,820 | 64,333 | |||
Hoshine Silicon Industry Company, Ltd., Class A | 5,500 | 89,140 | |||
Hua Hong Semiconductor, Ltd. (A)(B) | 111,100 | 326,130 | |||
Huadian Power International Corp., Ltd., Class A | 87,900 | 69,338 | |||
Huadong Medicine Company, Ltd., Class A | 20,200 | 122,926 | |||
Huafon Chemical Company, Ltd., Class A | 56,700 | 61,616 | |||
Huagong Tech Company, Ltd., Class A | 10,700 | 32,687 | |||
Huaibei Mining Holdings Company, Ltd., Class A | 26,600 | 56,998 | |||
Hualan Biological Engineering, Inc., Class A | 21,400 | 61,042 | |||
Huaneng Power International, Inc., Class A (A) | 106,600 | 125,934 | |||
Huaneng Power International, Inc., H Shares (A) | 755,564 | 386,142 | |||
Huatai Securities Company, Ltd., Class A | 96,300 | 182,803 |
The accompanying notes are an integral part of the financial statements. | 49 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Huatai Securities Company, Ltd., H Shares (B) | 301,000 | $ | 402,323 | ||
Huaxi Securities Company, Ltd., Class A | 42,100 | 48,750 | |||
Huaxia Bank Company, Ltd., Class A | 162,100 | 120,647 | |||
Huaxin Cement Company, Ltd., Class A | 16,000 | 40,202 | |||
Huayu Automotive Systems Company, Ltd., Class A | 38,100 | 102,822 | |||
Hubei Xingfa Chemicals Group Company, Ltd., Class A | 12,800 | 71,435 | |||
Huizhou Desay Sv Automotive Company, Ltd., Class A | 6,200 | 136,901 | |||
Humanwell Healthcare Group Company, Ltd., Class A | 19,300 | 52,064 | |||
Hunan Valin Steel Company, Ltd., Class A | 85,000 | 54,754 | |||
Hundsun Technologies, Inc., Class A | 20,800 | 101,017 | |||
Hygeia Healthcare Holdings Company, Ltd. (A)(B) | 64,800 | 349,757 | |||
Iflytek Company, Ltd., Class A | 25,700 | 139,080 | |||
Imeik Technology Development Company, Ltd., Class A | 2,100 | 169,443 | |||
Industrial & Commercial Bank of China, Ltd., Class A | 738,200 | 468,440 | |||
Industrial & Commercial Bank of China, Ltd., H Shares | 10,812,423 | 5,493,178 | |||
Industrial Bank Company, Ltd., Class A | 240,500 | 594,411 | |||
Industrial Securities Company, Ltd., Class A (A) | 87,400 | 78,346 | |||
Ingenic Semiconductor Company, Ltd., Class A | 5,300 | 62,296 | |||
Inner Mongolia BaoTou Steel Union Company, Ltd., Class A | 515,600 | 149,850 | |||
Inner Mongolia Dian Tou Energy Corp, Ltd., Class A | 21,600 | 43,574 | |||
Inner Mongolia ERDOS Resources Company, Ltd., Class A | 13,400 | 34,191 | |||
Inner Mongolia Junzheng Energy & Chemical Industry Group Company, Ltd., Class A | 99,400 | 62,575 | |||
Inner Mongolia Yili Industrial Group Company, Ltd., Class A | 74,400 | 385,020 | |||
Inner Mongolia Yitai Coal Company, Ltd., Class B | 205,373 | 345,633 | |||
Inner Mongolia Yuan Xing Energy Company, Ltd., Class A | 44,000 | 54,022 | |||
Innovent Biologics, Inc. (A)(B) | 195,500 | 824,136 | |||
Inspur Electronic Information Industry Company, Ltd., Class A | 16,400 | 54,928 | |||
Intco Medical Technology Company, Ltd., Class A | 7,660 | 24,329 | |||
iQIYI, Inc., ADR (A)(C) | 65,100 | 238,266 | |||
JA Solar Technology Company, Ltd., Class A | 25,420 | 240,337 | |||
Jafron Biomedical Company, Ltd., Class A | 8,000 | 54,330 | |||
Jason Furniture Hangzhou Company, Ltd., Class A | 8,830 | 61,801 | |||
JCET Group Company, Ltd., Class A | 18,400 | 65,854 | |||
JD Health International, Inc. (A)(B) | 212,900 | 1,466,587 | |||
JD.com, Inc., Class A | 382,937 | 12,121,929 | |||
Jiangsu Eastern Shenghong Company, Ltd., Class A | 44,200 | 122,778 | |||
Jiangsu Expressway Company, Ltd., H Shares | 230,955 | 197,814 | |||
Jiangsu Hengli Hydraulic Company, Ltd., Class A | 14,100 | 99,753 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Jiangsu Hengrui Medicine Company, Ltd., Class A | 73,600 | $ | 368,862 | ||
Jiangsu King's Luck Brewery JSC, Ltd., Class A | 14,200 | 94,950 | |||
Jiangsu Yanghe Brewery Joint-Stock Company, Ltd., Class A | 17,300 | 411,176 | |||
Jiangsu Yangnong Chemical Company, Ltd., Class A | 3,200 | 52,722 | |||
Jiangsu Yoke Technology Company, Ltd., Class A | 5,100 | 46,033 | |||
Jiangsu Yuyue Medical Equipment & Supply Company, Ltd., Class A | 11,000 | 43,458 | |||
Jiangsu Zhongtian Technology Company, Ltd., Class A | 39,900 | 128,164 | |||
Jiangxi Copper Company, Ltd., Class A | 22,300 | 52,678 | |||
Jiangxi Copper Company, Ltd., H Shares | 206,225 | 253,280 | |||
Jiangxi Special Electric Motor Company, Ltd., Class A (A) | 18,600 | 59,512 | |||
Jiangxi Zhengbang Technology Company, Ltd., Class A (A) | 26,600 | 22,983 | |||
Jinke Properties Group Company, Ltd., Class A (A) | 81,100 | 29,308 | |||
Jinxin Fertility Group, Ltd. (B) | 288,000 | 187,539 | |||
JiuGui Liquor Company, Ltd., Class A | 3,600 | 77,649 | |||
Jiumaojiu International Holdings, Ltd. (B) | 137,000 | 269,532 | |||
Jizhong Energy Resources Company, Ltd., Class A | 39,500 | 39,036 | |||
Joincare Pharmaceutical Group Industry Company, Ltd., Class A | 22,200 | 35,067 | |||
Joinn Laboratories China Company, Ltd., Class A | 5,040 | 56,722 | |||
Jointown Pharmaceutical Group Company, Ltd., Class A | 21,500 | 36,990 | |||
Jonjee Hi-Tech Industrial And Commercial Holding Company, Ltd., Class A | 10,000 | 49,750 | |||
Juewei Food Company, Ltd., Class A | 7,300 | 49,278 | |||
Kanzhun, Ltd., ADR (A) | 16,200 | 380,538 | |||
KE Holdings, Inc., ADR (A) | 59,900 | 1,080,596 | |||
Keda Industrial Group Company, Ltd. | 21,300 | 55,923 | |||
Kingdee International Software Group Company, Ltd. (A) | 492,800 | 956,477 | |||
Kingfa Sci & Tech Company, Ltd., Class A | 26,400 | 41,018 | |||
Kingsoft Corp., Ltd. | 181,200 | 550,719 | |||
Kuaishou Technology (A)(B) | 332,800 | 2,883,541 | |||
Kuang-Chi Technologies Company, Ltd., Class A (A) | 24,400 | 64,060 | |||
Kunlun Tech Company, Ltd., Class A | 13,600 | 28,783 | |||
Kweichow Moutai Company, Ltd., Class A | 14,400 | 4,010,837 | |||
LB Group Company, Ltd., Class A | 28,200 | 71,610 | |||
Lenovo Group, Ltd. | 1,381,764 | 1,138,038 | |||
Lens Technology Company, Ltd., Class A | 54,900 | 86,052 | |||
Lepu Medical Technology Beijing Company, Ltd., Class A | 20,300 | 55,597 | |||
Li Auto, Inc., ADR (A) | 104,400 | 3,003,588 | |||
Li Ning Company, Ltd. | 448,500 | 4,085,079 | |||
Liaoning Port Company, Ltd., Class A | 180,100 | 43,517 | |||
Lingyi iTech Guangdong Company, Class A (A) | 71,700 | 56,983 | |||
Livzon Pharmaceutical Group, Inc., Class A | 7,700 | 34,879 | |||
Logan Group Company, Ltd. | 246,500 | 26,887 | |||
Longfor Group Holdings, Ltd. (B) | 348,700 | 1,131,798 |
The accompanying notes are an integral part of the financial statements. | 50 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
LONGi Green Energy Technology Company, Ltd., Class A | 86,540 | $ | 638,014 | ||
Lufax Holding, Ltd., ADR | 162,000 | 707,940 | |||
Luoyang Xinqianglian Slewing Bearing Company, Ltd., Class A | 3,690 | 38,870 | |||
Luxi Chemical Group Company, Ltd., Class A | 23,800 | 47,415 | |||
Luxshare Precision Industry Company, Ltd., Class A | 81,300 | 440,154 | |||
Luzhou Laojiao Company, Ltd., Class A | 16,900 | 572,396 | |||
Maanshan Iron & Steel Company, Ltd., Class A | 60,100 | 26,077 | |||
Mango Excellent Media Company, Ltd., Class A | 20,700 | 82,953 | |||
Maxscend Microelectronics Company, Ltd., Class A | 5,800 | 85,089 | |||
Meinian Onehealth Healthcare Holdings Company, Ltd., Class A (A) | 40,200 | 28,087 | |||
Meituan, Class B (A)(B) | 782,100 | 18,783,869 | |||
Metallurgical Corp. of China, Ltd., Class A | 212,300 | 98,542 | |||
Microport Scientific Corp. (A) | 117,800 | 234,078 | |||
Ming Yang Smart Energy Group, Ltd., Class A | 23,900 | 92,535 | |||
Ming Yuan Cloud Group Holdings, Ltd. | 121,000 | 99,174 | |||
Minth Group, Ltd. | 144,000 | 407,473 | |||
Montage Technology Company, Ltd., Class A | 12,911 | 103,569 | |||
Muyuan Foods Company, Ltd., Class A | 60,600 | 512,988 | |||
Nanjing King-Friend Biochemical Pharmaceutical Company, Ltd., Class A | 16,660 | 43,250 | |||
Nanjing Securities Company, Ltd., Class A | 48,500 | 59,670 | |||
NARI Technology Company, Ltd., Class A | 76,940 | 304,772 | |||
National Silicon Industry Group Company, Ltd., Class A (A) | 23,395 | 69,561 | |||
NAURA Technology Group Company, Ltd., Class A | 6,000 | 243,593 | |||
NavInfo Company, Ltd., Class A | 27,500 | 51,959 | |||
NetEase, Inc. | 395,900 | 7,069,745 | |||
New China Life Insurance Company, Ltd., Class A | 28,200 | 117,426 | |||
New China Life Insurance Company, Ltd., H Shares | 183,600 | 432,137 | |||
New Hope Liuhe Company, Ltd., Class A (A) | 50,400 | 114,382 | |||
New Oriental Education & Technology Group, Inc. (A) | 289,800 | 836,508 | |||
Ninestar Corp., Class A | 15,400 | 98,356 | |||
Ningbo Deye Technology Company, Ltd., Class A | 2,300 | 122,117 | |||
Ningbo Joyson Electronic Corp., Class A (A) | 14,300 | 32,012 | |||
Ningbo Orient Wires & Cables Company, Ltd., Class A | 7,900 | 81,848 | |||
Ningbo Ronbay New Energy Technology Company, Ltd., Class A | 5,141 | 76,463 | |||
Ningbo Shanshan Company, Ltd., Class A | 24,300 | 87,209 | |||
Ningbo Tuopu Group Company, Ltd., Class A | 12,400 | 141,303 | |||
Ningxia Baofeng Energy Group Company, Ltd., Class A | 69,800 | 136,978 | |||
NIO, Inc., ADR (A) | 251,100 | 4,999,401 | |||
Nongfu Spring Company, Ltd., H Shares (B) | 336,200 | 1,998,995 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
North Industries Group Red Arrow Company, Ltd., Class A | 16,500 | $ | 72,854 | ||
Northeast Securities Company, Ltd., Class A | 50,700 | 52,624 | |||
Offshore Oil Engineering Company, Ltd., Class A | 38,900 | 25,341 | |||
OFILM Group Company, Ltd., Class A (A) | 28,600 | 26,492 | |||
Oppein Home Group, Inc., Class A | 5,700 | 107,636 | |||
Orient Securities Company, Ltd., Class A | 97,000 | 121,323 | |||
Ovctek China, Inc., Class A | 9,200 | 56,681 | |||
Pangang Group Vanadium Titanium & Resources Company, Ltd., Class A (A) | 98,900 | 81,968 | |||
Perfect World Company, Ltd., Class A | 23,300 | 49,792 | |||
PetroChina Company, Ltd., Class A | 230,400 | 178,861 | |||
PetroChina Company, Ltd., H Shares | 4,043,939 | 1,880,503 | |||
Pharmaron Beijing Company, Ltd., Class A | 11,650 | 114,782 | |||
Pharmaron Beijing Company, Ltd., H Shares (B) | 37,950 | 251,027 | |||
PICC Property & Casualty Company, Ltd., H Shares | 1,352,798 | 1,463,229 | |||
Pinduoduo, Inc., ADR (A) | 83,800 | 5,974,940 | |||
Ping An Bank Company, Ltd., Class A | 220,400 | 405,869 | |||
Ping An Healthcare and Technology Company, Ltd. (A)(B) | 95,000 | 257,178 | |||
Ping An Insurance Group Company of China, Ltd., Class A | 127,600 | 807,895 | |||
Ping An Insurance Group Company of China, Ltd., H Shares | 1,213,410 | 7,136,847 | |||
Pingdingshan Tianan Coal Mining Company, Ltd., Class A | 22,700 | 43,058 | |||
Poly Developments and Holdings Group Company, Ltd., Class A | 141,300 | 353,763 | |||
Pop Mart International Group, Ltd. (B) | 105,400 | 272,385 | |||
Postal Savings Bank of China Company, Ltd., Class A | 319,900 | 208,614 | |||
Postal Savings Bank of China Company, Ltd., H Shares (B) | 1,528,300 | 912,352 | |||
Power Construction Corp. of China, Ltd., Class A | 176,500 | 196,845 | |||
Proya Cosmetics Company, Ltd., Class A | 1,460 | 33,833 | |||
Qingdao Rural Commercial Bank Corp., Class A | 80,700 | 35,620 | |||
Raytron Technology Company, Ltd., Class A | 4,026 | 25,343 | |||
Riyue Heavy Industry Company, Ltd., Class A | 11,000 | 37,785 | |||
RLX Technology, Inc., ADR (A) | 90,200 | 128,986 | |||
Rongsheng Petrochemical Company, Ltd., Class A | 115,200 | 235,637 | |||
SAIC Motor Corp., Ltd., Class A | 93,200 | 208,219 | |||
Sailun Group Company, Ltd., Class A | 33,900 | 55,707 | |||
Sangfor Technologies, Inc., Class A | 4,200 | 58,565 | |||
Sany Heavy Equipment International Holdings Company, Ltd. | 203,000 | 210,281 | |||
Sany Heavy Industry Company, Ltd., Class A | 97,900 | 222,717 | |||
Satellite Chemical Company, Ltd., Class A | 27,245 | 86,372 | |||
SDIC Power Holdings Company, Ltd., Class A | 79,100 | 127,741 | |||
Sealand Securities Company, Ltd., Class A | 87,800 | 45,322 | |||
Seazen Group, Ltd. (A) | 374,800 | 124,412 | |||
Seazen Holdings Company, Ltd., Class A (A) | 28,500 | 85,791 | |||
SF Holding Company, Ltd., Class A | 56,100 | 400,507 |
The accompanying notes are an integral part of the financial statements. | 51 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
SG Micro Corp., Class A | 3,800 | $ | 87,721 | ||
Shaanxi Coal Industry Company, Ltd., Class A | 110,000 | 350,734 | |||
Shan Xi Hua Yang Group New Energy Company, Ltd., Class A | 26,400 | 71,342 | |||
Shandong Buchang Pharmaceuticals Company, Ltd., Class A | 14,800 | 38,496 | |||
Shandong Gold Mining Company, Ltd., Class A | 39,400 | 101,954 | |||
Shandong Gold Mining Company, Ltd., H Shares (B) | 131,000 | 222,078 | |||
Shandong Hualu Hengsheng Chemical Company, Ltd., Class A | 23,600 | 99,600 | |||
Shandong Linglong Tyre Company, Ltd., Class A | 16,600 | 54,659 | |||
Shandong Nanshan Aluminum Company, Ltd., Class A | 134,900 | 66,043 | |||
Shandong Sun Paper Industry JSC, Ltd., Class A | 28,500 | 49,399 | |||
Shandong Weigao Group Medical Polymer Company, Ltd., H Shares | 472,800 | 641,386 | |||
Shanghai Bairun Investment Holding Group Company, Ltd., Class A | 11,520 | 38,803 | |||
Shanghai Baosight Software Company, Ltd., Class A | 16,150 | 88,628 | |||
Shanghai Baosight Software Company, Ltd., Class B | 93,623 | 283,549 | |||
Shanghai Construction Group Company, Ltd., Class A | 105,200 | 41,285 | |||
Shanghai Electric Group Company, Ltd., Class A (A) | 135,500 | 83,118 | |||
Shanghai Fosun Pharmaceutical Group Company, Ltd., Class A | 25,200 | 147,183 | |||
Shanghai Fosun Pharmaceutical Group Company, Ltd., H Shares | 94,100 | 302,722 | |||
Shanghai Friendess Electronic Technology Corp, Ltd., Class A | 1,157 | 34,461 | |||
Shanghai International Airport Company, Ltd., Class A (A) | 11,200 | 91,330 | |||
Shanghai International Port Group Company, Ltd., Class A | 110,600 | 86,556 | |||
Shanghai Jinjiang International Hotels Company, Ltd., Class A | 10,700 | 89,300 | |||
Shanghai Junshi Biosciences Company, Ltd., Class A (A) | 7,679 | 58,775 | |||
Shanghai Lingang Holdings Corp, Ltd., Class A | 17,100 | 31,302 | |||
Shanghai Lujiazui Finance & Trade Zone Development Company, Ltd., B Shares | 183,580 | 152,935 | |||
Shanghai M&G Stationery, Inc., Class A | 9,700 | 62,335 | |||
Shanghai Medicilon, Inc., Class A | 908 | 42,225 | |||
Shanghai Pharmaceuticals Holding Company, Ltd., Class A | 33,900 | 84,800 | |||
Shanghai Pharmaceuticals Holding Company, Ltd., H Shares | 148,400 | 215,743 | |||
Shanghai Pudong Development Bank Company, Ltd., Class A | 348,200 | 366,443 | |||
Shanghai Putailai New Energy Technology Company, Ltd., Class A | 15,600 | 142,518 | |||
Shanghai RAAS Blood Products Company, Ltd., Class A | 73,300 | 61,980 | |||
Shanghai Yuyuan Tourist Mart Group Company, Ltd., Class A | 43,600 | 50,629 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Shanghai Zhangjiang High-Tech Park Development Company, Ltd., Class A | 11,900 | $ | 19,977 | ||
Shanxi Coking Coal Energy Group Company, Ltd., Class A | 45,600 | 84,549 | |||
Shanxi Lu'an Environmental Energy Development Company, Ltd., Class A | 32,300 | 74,187 | |||
Shanxi Meijin Energy Company, Ltd., Class A | 48,000 | 78,618 | |||
Shanxi Securities Company, Ltd., Class A | 57,200 | 48,086 | |||
Shanxi Taigang Stainless Steel Company, Ltd., Class A | 65,200 | 46,268 | |||
Shanxi Xinghuacun Fen Wine Factory Company, Ltd., Class A | 13,900 | 589,680 | |||
Shenghe Resources Holding Company, Ltd., Class A | 18,800 | 47,010 | |||
Shengyi Technology Company, Ltd., Class A | 24,900 | 57,246 | |||
Shennan Circuits Company, Ltd., Class A | 5,600 | 68,681 | |||
Shenwan Hongyuan Group Company, Ltd., Class A | 275,000 | 166,183 | |||
Shenzhen Capchem Technology Company, Ltd., Class A | 7,940 | 48,144 | |||
Shenzhen Dynanonic Company, Ltd., Class A | 1,900 | 87,906 | |||
Shenzhen Energy Group Company, Ltd., Class A | 48,500 | 44,637 | |||
Shenzhen Inovance Technology Company, Ltd., Class A | 29,900 | 258,978 | |||
Shenzhen Kangtai Biological Products Company, Ltd., Class A | 12,320 | 59,973 | |||
Shenzhen Kedali Industry Company, Ltd., Class A | 2,500 | 40,408 | |||
Shenzhen Mindray Bio-Medical Electronics Company, Ltd., Class A | 13,800 | 595,129 | |||
Shenzhen New Industries Biomedical Engineering Company, Ltd., Class A | 6,600 | 34,151 | |||
Shenzhen Overseas Chinese Town Company, Ltd., Class A | 97,700 | 75,541 | |||
Shenzhen Salubris Pharmaceuticals Company, Ltd., Class A | 10,300 | 38,066 | |||
Shenzhen SC New Energy Technology Corp., Class A | 4,000 | 76,591 | |||
Shenzhen Senior Technology Material Company, Ltd., Class A | 14,485 | 48,185 | |||
Shenzhen Sunlord Electronics Company, Ltd., Class A | 8,500 | 30,561 | |||
Shenzhen Transsion Holdings Company, Ltd., Class A | 7,276 | 71,712 | |||
Shenzhou International Group Holdings, Ltd. | 158,100 | 1,652,351 | |||
Shijiazhuang Yiling Pharmaceutical Company, Ltd., Class A | 19,800 | 61,325 | |||
Sichuan Chuantou Energy Company, Ltd., Class A | 39,100 | 74,698 | |||
Sichuan Hebang Biotechnology Company, Ltd., Class A | 102,900 | 56,062 | |||
Sichuan Kelun Pharmaceutical Company, Ltd., Class A | 17,000 | 52,808 | |||
Sichuan New Energy Power Company, Ltd. (A) | 15,800 | 46,348 | |||
Sichuan Road & Bridge Company, Ltd., Class A | 53,700 | 82,881 | |||
Sichuan Swellfun Company, Ltd., Class A | 5,200 | 54,877 |
The accompanying notes are an integral part of the financial statements. | 52 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Sichuan Yahua Industrial Group Company, Ltd., Class A | 12,700 | $ | 52,213 | ||
Sieyuan Electric Company, Ltd., Class A | 8,600 | 50,880 | |||
Silergy Corp. | 36,000 | 617,166 | |||
Sinolink Securities Company, Ltd., Class A | 55,000 | 68,647 | |||
Sinoma Science & Technology Company, Ltd., Class A | 19,400 | 64,854 | |||
Sinomine Resource Group Company, Ltd., Class A | 5,100 | 69,530 | |||
Sinopec Shanghai Petrochemical Company, Ltd., Class A | 70,200 | 32,040 | |||
Sinopharm Group Company, Ltd., H Shares | 259,800 | 578,781 | |||
Sinotrans, Ltd., Class A | 51,000 | 27,808 | |||
Sinotruk Hong Kong, Ltd. | 135,100 | 134,699 | |||
Skshu Paint Company, Ltd., Class A (A) | 4,100 | 55,265 | |||
Smoore International Holdings, Ltd. (B) | 343,000 | 612,350 | |||
Songcheng Performance Development Company, Ltd., Class A | 32,800 | 60,105 | |||
SooChow Securities Company, Ltd., Class A | 67,000 | 66,438 | |||
Southwest Securities Company, Ltd., Class A | 100,100 | 56,859 | |||
StarPower Semiconductor, Ltd., Class A | 1,900 | 108,708 | |||
Sunac China Holdings, Ltd. (A)(D) | 599,000 | 314,584 | |||
Sungrow Power Supply Company, Ltd., Class A | 16,700 | 267,747 | |||
Sunny Optical Technology Group Company, Ltd. | 135,850 | 1,854,686 | |||
Sunwoda Electronic Company, Ltd., Class A | 20,000 | 78,510 | |||
Suzhou Dongshan Precision Manufacturing Company, Ltd., Class A | 20,700 | 77,207 | |||
Suzhou Maxwell Technologies Company, Ltd., Class A | 1,940 | 130,879 | |||
Suzhou TA&A Ultra Clean Technology Company, Ltd., Class A | 6,500 | 72,959 | |||
TAL Education Group, ADR (A) | 80,362 | 464,492 | |||
Tangshan Jidong Cement Company, Ltd., Class A | 30,200 | 39,720 | |||
TBEA Company, Ltd., Class A | 43,800 | 156,723 | |||
TCL Technology Group Corp., Class A | 162,500 | 97,417 | |||
TCL Zhonghuan Renewable Energy Technology Company, Ltd., Class A | 36,400 | 252,717 | |||
Tencent Holdings, Ltd. | 1,192,612 | 49,291,580 | |||
Tencent Music Entertainment Group, ADR (A) | 135,900 | 694,449 | |||
The People's Insurance Company Group of China, Ltd., Class A | 82,000 | 59,181 | |||
The People's Insurance Company Group of China, Ltd., H Shares | 1,674,100 | 517,404 | |||
Thunder Software Technology Company, Ltd., Class A | 4,700 | 83,262 | |||
Tianjin 712 Communication & Broadcasting Company, Ltd., Class A | 7,900 | 34,525 | |||
Tianma Microelectronics Company, Ltd., Class A | 11,400 | 15,553 | |||
Tianshan Aluminum Group Company, Ltd., Class A | 42,600 | 47,102 | |||
Tianshui Huatian Technology Company, Ltd., Class A | �� | 27,800 | 38,555 | ||
Tibet Summit Resources Company, Ltd., Class A (A) | 9,600 | 39,105 | |||
Tingyi Cayman Islands Holding Corp. | 371,800 | 660,215 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Titan Wind Energy Suzhou Company, Ltd., Class A | 20,900 | $ | 41,701 | ||
Toly Bread Company, Ltd., Class A | 14,340 | 29,153 | |||
Tongcheng Travel Holdings, Ltd. (A) | 231,600 | 474,354 | |||
TongFu Microelectronics Company, Ltd., Class A (A) | 11,300 | 30,263 | |||
Tongkun Group Company, Ltd., Class A | 30,700 | 63,337 | |||
Tongling Nonferrous Metals Group Company, Ltd., Class A | 111,400 | 46,567 | |||
Tongwei Company, Ltd., Class A | 51,400 | 392,830 | |||
Topchoice Medical Corp., Class A (A) | 3,600 | 60,493 | |||
Topsports International Holdings, Ltd. (B) | 344,000 | 271,518 | |||
Transfar Zhilian Company, Ltd., Class A | 38,000 | 30,617 | |||
TravelSky Technology, Ltd., H Shares | 176,400 | 307,445 | |||
Trina Solar Company, Ltd., Class A | 24,881 | 256,450 | |||
Trip.com Group, Ltd., ADR (A) | 103,800 | 2,669,736 | |||
Tsingtao Brewery Company, Ltd., Class A | 8,400 | 131,131 | |||
Tsingtao Brewery Company, Ltd., H Shares | 118,700 | 1,152,693 | |||
Unigroup Guoxin Microelectronics Company, Ltd., Class A | 9,379 | 211,466 | |||
Uni-President China Holdings, Ltd. | 244,900 | 210,846 | |||
Unisplendour Corp., Ltd., Class A | 32,300 | 80,683 | |||
Vipshop Holdings, Ltd., ADR (A) | 86,400 | 1,003,104 | |||
Walvax Biotechnology Company, Ltd., Class A | 18,100 | 114,103 | |||
Wanhua Chemical Group Company, Ltd., Class A | 35,800 | 458,236 | |||
Want Want China Holdings, Ltd. | 903,412 | 636,383 | |||
Weibo Corp., ADR (A) | 13,380 | 276,832 | |||
Weichai Power Company, Ltd., Class A | 84,400 | 141,644 | |||
Weichai Power Company, Ltd., H Shares | 363,980 | 486,282 | |||
Weihai Guangwei Composites Company, Ltd., Class A | 5,800 | 63,713 | |||
Wens Foodstuffs Group Company, Ltd., Class A (A) | 73,400 | 251,893 | |||
Western Mining Company, Ltd., Class A | 26,500 | 40,714 | |||
Western Securities Company, Ltd., Class A | 62,800 | 58,803 | |||
Western Superconducting Technologies Company, Ltd., Class A | 5,216 | 76,824 | |||
Westone Information Industry, Inc., Class A | 9,800 | 47,506 | |||
Will Semiconductor Company, Ltd., Class A | 13,245 | 179,075 | |||
Wingtech Technology Company, Ltd., Class A | 14,100 | 131,472 | |||
Winning Health Technology Group Company, Ltd., Class A | 19,800 | 20,235 | |||
Wuchan Zhongda Group Company, Ltd., Class A | 62,600 | 41,651 | |||
Wuhan Guide Infrared Company, Ltd., Class A | 33,760 | 69,705 | |||
Wuliangye Yibin Company, Ltd., Class A | 44,600 | 1,076,894 | |||
WUS Printed Circuit Kunshan Company, Ltd., Class A | 21,600 | 37,286 | |||
WuXi AppTec Company, Ltd., Class A | 30,000 | 388,126 | |||
WuXi AppTec Company, Ltd., H Shares (B) | 66,929 | 755,562 | |||
Wuxi Biologics Cayman, Inc. (A)(B) | 685,100 | 6,044,022 | |||
Wuxi Shangji Automation Company, Ltd., Class A | 4,360 | 84,827 | |||
XCMG Construction Machinery Company, Ltd., Class A (A) | 99,200 | 74,719 | |||
Xiamen C & D, Inc., Class A | 37,700 | 64,070 |
The accompanying notes are an integral part of the financial statements. | 53 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Xiamen Faratronic Company, Ltd., Class A | 2,500 | $ | 64,211 | ||
Xiamen Intretech, Inc., Class A | 7,400 | 21,745 | |||
Xiamen Tungsten Company, Ltd., Class A | 15,600 | 57,032 | |||
Xiaomi Corp., Class B (A)(B) | 2,918,700 | 4,263,224 | |||
Xinjiang Goldwind Science & Technology Company, Ltd., Class A | 41,700 | 77,159 | |||
Xinjiang Goldwind Science & Technology Company, Ltd., H Shares | 146,800 | 218,756 | |||
Xinjiang Zhongtai Chemical Company, Ltd., Class A | 32,400 | 34,625 | |||
Xinyi Solar Holdings, Ltd. | 933,000 | 1,283,080 | |||
XPeng, Inc., ADR (A) | 80,800 | 1,496,416 | |||
Xtep International Holdings, Ltd. | 248,500 | 344,840 | |||
Yadea Group Holdings, Ltd. (B) | 224,000 | 427,257 | |||
Yangzhou Yangjie Electronic Technology Company, Ltd., Class A | 5,700 | 48,229 | |||
Yankuang Energy Group Company, Ltd., Class A | 29,300 | 203,369 | |||
Yankuang Energy Group Company, Ltd., H Shares | 288,710 | 1,142,833 | |||
Yantai Jereh Oilfield Services Group Company, Ltd., Class A | 10,900 | 59,943 | |||
Yealink Network Technology Corp., Ltd., Class A | 9,700 | 100,315 | |||
Yifeng Pharmacy Chain Company, Ltd., Class A | 7,900 | 60,976 | |||
Yihai International Holding, Ltd. (A) | 89,500 | 225,397 | |||
Yihai Kerry Arawana Holdings Company, Ltd., Class A | 17,000 | 112,228 | |||
Yintai Gold Company, Ltd., Class A | 28,500 | 47,153 | |||
YongXing Special Materials Technology Company, Ltd., Class A | 4,500 | 87,143 | |||
Yonyou Network Technology Company, Ltd., Class A | 37,900 | 109,833 | |||
Youngor Group Company, Ltd., Class A | 65,500 | 60,686 | |||
Youngy Company, Ltd., Class A (A) | 2,800 | 48,394 | |||
YTO Express Group Company, Ltd., Class A | 40,700 | 115,700 | |||
Yuan Longping High-tech Agriculture Company, Ltd., Class A (A) | 14,800 | 33,359 | |||
Yum China Holdings, Inc. | 81,492 | 4,083,564 | |||
Yunda Holding Company, Ltd., Class A | 33,900 | 82,502 | |||
Yunnan Aluminium Company, Ltd., Class A | 37,700 | 54,836 | |||
Yunnan Baiyao Group Company, Ltd., Class A | 20,940 | 158,674 | |||
Yunnan Botanee Bio-Technology Group Company, Ltd., Class A | 3,200 | 86,327 | |||
Yunnan Energy New Material Company, Ltd., Class A | 10,200 | 284,504 | |||
Yunnan Tin Company, Ltd., Class A | 18,200 | 36,465 | |||
Zai Lab, Ltd., ADR (A) | 16,600 | 767,086 | |||
Zhangzhou Pientzehuang Pharmaceutical Company, Ltd., Class A | 6,800 | 295,884 | |||
Zhaojin Mining Industry Company, Ltd., H Shares (A) | 211,000 | 178,661 | |||
Zhefu Holding Group Company, Ltd., Class A | 57,200 | 35,740 | |||
Zhejiang Century Huatong Group Company, Ltd., Class A (A) | 88,700 | 58,597 | |||
Zhejiang China Commodities City Group Company, Ltd., Class A | 60,000 | 42,436 | |||
Zhejiang Chint Electrics Company, Ltd., Class A | 25,300 | 115,558 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Zhejiang Dahua Technology Company, Ltd., Class A | 35,200 | $ | 74,880 | ||
Zhejiang Dingli Machinery Company, Ltd., Class A | 5,700 | 32,335 | |||
Zhejiang Expressway Company, Ltd., H Shares | 264,782 | 201,531 | |||
Zhejiang HangKe Technology, Inc., Company, Class A | 4,294 | 38,486 | |||
Zhejiang Huahai Pharmaceutical Company, Ltd., Class A | 16,000 | 46,186 | |||
Zhejiang Huayou Cobalt Company, Ltd., Class A | 17,910 | 193,137 | |||
Zhejiang Jingsheng Mechanical & Electrical Company, Ltd., Class A | 14,400 | 157,605 | |||
Zhejiang Jiuzhou Pharmaceutical Company, Ltd., Class A | 8,900 | 52,859 | |||
Zhejiang Juhua Company, Ltd., Class A | 31,200 | 70,779 | |||
Zhejiang NHU Company, Ltd., Class A | 35,180 | 114,397 | |||
Zhejiang Orient Gene Biotech Company, Ltd., Class A | 2,058 | 26,444 | |||
Zhejiang Semir Garment Company, Ltd., Class A | 25,800 | 19,386 | |||
Zhejiang Supor Company, Ltd., Class A | 6,000 | 39,795 | |||
Zhejiang Weiming Environment Protection Company, Ltd., Class A | 18,880 | 69,600 | |||
Zhejiang Weixing New Building Materials Company, Ltd., Class A | 16,400 | 49,516 | |||
Zhejiang Wolwo Bio-Pharmaceutical Company, Ltd., Class A | 5,300 | 35,507 | |||
Zhejiang Yongtai Technology Company, Ltd., Class A | 10,000 | 39,411 | |||
Zheshang Securities Company, Ltd., Class A | 51,600 | 81,456 | |||
ZhongAn Online P&C Insurance Company, Ltd., H Shares (A)(B) | 134,900 | 395,333 | |||
Zhongji Innolight Company, Ltd., Class A | 9,200 | 38,981 | |||
Zhongsheng Group Holdings, Ltd. | 114,100 | 539,507 | |||
Zhongtai Securities Company, Ltd., Class A | 66,100 | 70,823 | |||
Zhuzhou CRRC Times Electric Company, Ltd. | 103,800 | 501,925 | |||
Zhuzhou CRRC Times Electric Company, Ltd., Class A | 7,241 | 64,467 | |||
Zhuzhou Hongda Electronics Corp, Ltd., Class A | 4,100 | 27,540 | |||
Zhuzhou Kibing Group Company, Ltd., Class A | 30,600 | 50,013 | |||
Zibo Qixiang Tengda Chemical Company, Ltd., Class A (A) | 31,500 | 33,322 | |||
Zijin Mining Group Company, Ltd., Class A | 241,600 | 306,588 | |||
Zijin Mining Group Company, Ltd., H Shares | 1,085,529 | 1,226,620 | |||
Zoomlion Heavy Industry Science and Technology Company, Ltd., Class A | 77,000 | 64,161 | |||
Zoomlion Heavy Industry Science and Technology Company, Ltd., H Shares | 286,400 | 129,108 | |||
ZTE Corp., Class A | 46,500 | 164,477 | |||
ZTE Corp., H Shares | 143,215 | 302,371 | |||
ZTO Express Cayman, Inc., ADR | 80,600 | 2,099,630 | |||
370,487,714 | |||||
Colombia - 0.1% | |||||
Bancolombia SA | 92,258 | 712,401 |
The accompanying notes are an integral part of the financial statements. | 54 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Colombia (continued) | |||||
Ecopetrol SA | 1,806,433 | $ | 920,551 | ||
Interconexion Electrica SA ESP | 162,332 | 702,620 | |||
2,335,572 | |||||
Czech Republic - 0.0% | |||||
CEZ AS | 24,043 | 974,031 | |||
Komercni banka AS | 11,427 | 267,632 | |||
Moneta Money Bank AS (B) | 49,554 | 157,223 | |||
1,398,886 | |||||
Denmark - 1.8% | |||||
A.P. Moller - Maersk A/S, Series A | 556 | 1,298,876 | |||
A.P. Moller - Maersk A/S, Series B | 1,039 | 2,492,721 | |||
Carlsberg A/S, Class B | 18,833 | 2,445,470 | |||
Chr. Hansen Holding A/S | 19,639 | 1,144,308 | |||
Coloplast A/S, B Shares | 22,233 | 2,539,698 | |||
Danske Bank A/S | 130,407 | 1,741,313 | |||
Demant A/S (A) | 17,766 | 547,268 | |||
DSV A/S | 35,968 | 5,314,923 | |||
Genmab A/S (A) | 12,346 | 4,394,759 | |||
GN Store Nord A/S | 24,621 | 696,347 | |||
Novo Nordisk A/S, B Shares | 315,898 | 33,773,869 | |||
Novozymes A/S, B Shares | 38,283 | 2,197,200 | |||
Orsted A/S (B) | 35,349 | 3,450,152 | |||
Pandora A/S | 17,799 | 1,069,304 | |||
ROCKWOOL A/S, B Shares | 1,676 | 344,979 | |||
Tryg A/S | 69,426 | 1,568,735 | |||
Vestas Wind Systems A/S | 189,288 | 4,736,197 | |||
69,756,119 | |||||
Finland - 0.5% | |||||
Elisa OYJ | 17,727 | 948,014 | |||
Fortum OYJ | 56,114 | 577,216 | |||
Kesko OYJ, B Shares | 34,231 | 720,142 | |||
Kone OYJ, B Shares | 43,249 | 1,729,643 | |||
Neste OYJ | 53,791 | 2,653,889 | |||
Nokia OYJ | 694,661 | 3,500,664 | |||
Nordea Bank ABP | 386,143 | 3,580,260 | |||
Orion OYJ, Class B | 13,580 | 615,721 | |||
Sampo OYJ, A Shares | 66,031 | 2,987,277 | |||
Stora Enso OYJ, R Shares | 71,273 | 1,060,973 | |||
UPM-Kymmene OYJ | 68,370 | 2,322,832 | |||
Wartsila OYJ ABP | 60,758 | 500,967 | |||
21,197,598 | |||||
France - 6.7% | |||||
Accor SA (A) | 30,757 | 733,594 | |||
Aeroports de Paris (A) | 5,320 | 728,472 | |||
Air Liquide SA | 95,964 | 12,025,573 | |||
Airbus SE | 108,186 | 10,601,533 | |||
Alstom SA | 58,068 | 1,190,007 | |||
Amundi SA (B) | 12,142 | 615,647 | |||
Arkema SA | 11,014 | 929,824 | |||
AXA SA | 360,906 | 8,499,957 | |||
BioMerieux | 7,587 | 693,832 | |||
BNP Paribas SA | 204,390 | 9,498,083 | |||
Bollore SE | 159,137 | 760,486 | |||
Bouygues SA | 41,675 | 1,224,208 | |||
Bureau Veritas SA | 53,430 | 1,326,133 | |||
Capgemini SE | 30,003 | 5,183,879 | |||
Carrefour SA (C) | 113,330 | 1,891,541 | |||
Cie de Saint-Gobain | 91,626 | 3,690,505 | |||
Cie Generale des Etablissements Michelin SCA | 124,268 | 3,022,370 | |||
Covivio | 8,295 | 463,092 | |||
Credit Agricole SA | 232,489 | 2,139,762 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
France (continued) | |||||
Danone SA | 119,697 | $ | 6,298,522 | ||
Dassault Aviation SA | 4,548 | 624,578 | |||
Dassault Systemes SE | 122,287 | 4,715,796 | |||
Edenred | 45,394 | 2,296,010 | |||
Eiffage SA | 15,086 | 1,326,894 | |||
Electricite de France SA | 102,673 | 1,227,587 | |||
Engie SA | 335,485 | 3,984,605 | |||
EssilorLuxottica SA | 52,751 | 7,856,635 | |||
Eurazeo SE | 8,062 | 481,465 | |||
Gecina SA | 8,251 | 734,325 | |||
Getlink SE | 78,940 | 1,486,529 | |||
Hermes International | 5,809 | 7,440,001 | |||
Ipsen SA | 6,923 | 663,483 | |||
Kering SA | 13,738 | 6,893,106 | |||
Klepierre SA (A) | 39,097 | 801,971 | |||
La Francaise des Jeux SAEM (B) | 18,693 | 606,295 | |||
Legrand SA | 49,009 | 3,546,047 | |||
L'Oreal SA | 44,225 | 15,188,883 | |||
LVMH Moet Hennessy Louis Vuitton SE | 50,948 | 32,875,204 | |||
Orange SA | 365,451 | 3,701,078 | |||
Pernod Ricard SA | 38,509 | 7,065,983 | |||
Publicis Groupe SA | 41,827 | 2,042,226 | |||
Remy Cointreau SA | 4,212 | 781,173 | |||
Renault SA (A) | 35,339 | 1,006,564 | |||
Safran SA | 62,681 | 6,390,636 | |||
Sanofi | 208,863 | 17,074,592 | |||
Sartorius Stedim Biotech | 5,069 | 1,854,053 | |||
Schneider Electric SE | 97,799 | 11,624,185 | |||
Schneider Electric SE (Euronext London Exchange) | 1,474 | 175,848 | |||
SEB SA | 4,464 | 330,628 | |||
Societe Generale SA | 147,509 | 3,251,912 | |||
Sodexo SA | 16,115 | 1,232,479 | |||
Teleperformance | 10,740 | 3,058,842 | |||
Thales SA | 19,577 | 2,360,228 | |||
TotalEnergies SE | 454,781 | 23,025,530 | |||
Ubisoft Entertainment SA (A) | 17,132 | 790,047 | |||
Unibail-Rodamco-Westfield (A) | 16,892 | 868,412 | |||
Unibail-Rodamco-Westfield (Euronext Amsterdam Exchange) (A) | 4,627 | 237,873 | |||
Valeo | 37,605 | 718,323 | |||
Veolia Environnement SA | 121,563 | 2,709,336 | |||
Vinci SA | 97,915 | 9,033,039 | |||
Vivendi SE | 130,936 | 1,186,869 | |||
Wendel SE | 4,919 | 386,498 | |||
Worldline SA (A)(B) | 43,702 | 1,872,320 | |||
267,045,108 | |||||
Germany - 3.7% | |||||
adidas AG | 27,442 | 4,069,204 | |||
Allianz SE | 65,602 | 11,089,181 | |||
BASF SE | 145,980 | 6,174,811 | |||
Bayer AG | 156,191 | 8,260,665 | |||
Bayerische Motoren Werke AG | 52,896 | 3,897,323 | |||
Bechtle AG | 12,871 | 493,085 | |||
Beiersdorf AG | 15,957 | 1,610,707 | |||
Brenntag SE | 24,284 | 1,592,248 | |||
Carl Zeiss Meditec AG, Bearer Shares | 6,386 | 794,798 | |||
Commerzbank AG (A) | 165,518 | 1,101,349 | |||
Continental AG | 17,381 | 1,000,704 | |||
Covestro AG (B) | 30,997 | 934,624 | |||
Daimler Truck Holding AG (A) | 71,820 | 1,836,363 | |||
Delivery Hero SE (A)(B)(C) | 25,973 | 1,077,916 | |||
Deutsche Bank AG | 332,430 | 2,773,435 |
The accompanying notes are an integral part of the financial statements. | 55 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Germany (continued) | |||||
Deutsche Boerse AG | 30,224 | $ | 5,110,130 | ||
Deutsche Lufthansa AG (A)(C) | 93,306 | 554,733 | |||
Deutsche Post AG | 157,197 | 5,737,578 | |||
Deutsche Telekom AG | 514,244 | 9,692,121 | |||
E.ON SE | 355,021 | 3,028,197 | |||
Evonik Industries AG | 32,768 | 610,966 | |||
Fresenius Medical Care AG & Company KGaA | 32,531 | 1,113,846 | |||
Fresenius SE & Company KGaA | 66,729 | 1,650,768 | |||
GEA Group AG | 23,898 | 831,339 | |||
Hannover Rueck SE | 9,952 | 1,466,792 | |||
HeidelbergCement AG | 23,141 | 1,044,994 | |||
HelloFresh SE (A) | 26,096 | 623,070 | |||
Henkel AG & Company KGaA | 14,680 | 918,082 | |||
Infineon Technologies AG | 207,793 | 5,084,480 | |||
KION Group AG | 11,432 | 456,789 | |||
Knorr-Bremse AG | 11,156 | 540,677 | |||
LEG Immobilien SE | 11,543 | 872,351 | |||
Mercedes-Benz Group AG | 127,535 | 7,150,369 | |||
Merck KGaA | 20,574 | 3,534,217 | |||
MTU Aero Engines AG | 8,469 | 1,493,620 | |||
Muenchener Rueckversicherungs-Gesellschaft AG | 22,672 | 5,416,835 | |||
Nemetschek SE | 9,073 | 534,494 | |||
Puma SE | 16,574 | 1,013,067 | |||
Rational AG | 800 | 431,491 | |||
Rheinmetall AG | 6,930 | 1,100,107 | |||
RWE AG | 101,526 | 3,876,015 | |||
SAP SE | 165,756 | 14,117,400 | |||
Scout24 SE (B) | 12,535 | 722,182 | |||
Siemens AG | 121,575 | 12,314,884 | |||
Siemens Energy AG | 69,240 | 1,018,476 | |||
Siemens Healthineers AG (B) | 44,770 | 2,187,746 | |||
Symrise AG | 21,069 | 2,204,547 | |||
Telefonica Deutschland Holding AG | 154,009 | 399,801 | |||
Uniper SE (C) | 13,885 | 75,130 | |||
United Internet AG | 14,383 | 325,353 | |||
Volkswagen AG | 4,617 | 854,013 | |||
Vonovia SE | 110,844 | 3,000,731 | |||
Zalando SE (A)(B)(C) | 35,187 | 814,683 | |||
148,628,487 | |||||
Hong Kong - 2.4% | |||||
AIA Group, Ltd. | 1,998,709 | 19,230,052 | |||
Alibaba Health Information Technology, Ltd. (A) | 894,200 | 512,434 | |||
Alibaba Pictures Group, Ltd. (A) | 2,206,100 | 173,548 | |||
Beijing Enterprises Holdings, Ltd. | 101,214 | 301,054 | |||
Beijing Enterprises Water Group, Ltd. | 778,200 | 199,904 | |||
BOC Hong Kong Holdings, Ltd. | 611,000 | 2,102,941 | |||
Bosideng International Holdings, Ltd. | 610,000 | 342,510 | |||
Brilliance China Automotive Holdings, Ltd. (A)(D) | 509,800 | 130,394 | |||
Budweiser Brewing Company APAC, Ltd. (B) | 284,000 | 834,801 | |||
China Everbright Environment Group, Ltd. | 724,700 | 358,192 | |||
China Gas Holdings, Ltd. | 582,800 | 824,722 | |||
China Jinmao Holdings Group, Ltd. | 1,103,300 | 232,324 | |||
China Mengniu Dairy Company, Ltd. (A) | 604,253 | 2,736,225 | |||
China Merchants Port Holdings Company, Ltd. | 256,331 | 384,821 | |||
China Overseas Land & Investment, Ltd. | 738,297 | 1,984,152 | |||
China Overseas Property Holdings, Ltd. | 245,000 | 260,002 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hong Kong (continued) | |||||
China Power International Development, Ltd. | 1,027,900 | $ | 573,828 | ||
China Resources Beer Holdings Company, Ltd. | 308,899 | 2,153,342 | |||
China Resources Cement Holdings, Ltd. | 471,900 | 290,884 | |||
China Resources Gas Group, Ltd. | 175,400 | 682,904 | |||
China Resources Land, Ltd. | 616,405 | 2,523,715 | |||
China Resources Power Holdings Company, Ltd. | 367,432 | 730,580 | |||
China Ruyi Holdings, Ltd. (A) | 876,000 | 222,299 | |||
China State Construction International Holdings, Ltd. | 387,400 | 447,312 | |||
China Taiping Insurance Holdings Company, Ltd. | 308,200 | 314,665 | |||
China Traditional Chinese Medicine Holdings Company, Ltd. | 536,400 | 231,314 | |||
Chow Tai Fook Jewellery Group, Ltd. | 324,600 | 653,325 | |||
CK Asset Holdings, Ltd. | 330,698 | 2,232,134 | |||
CK Hutchison Holdings, Ltd. | 445,472 | 2,876,706 | |||
CK Infrastructure Holdings, Ltd. | 102,000 | 620,263 | |||
CLP Holdings, Ltd. | 268,500 | 2,313,476 | |||
COSCO SHIPPING Ports, Ltd. | 350,808 | 227,000 | |||
ESR Group, Ltd. (A)(B) | 328,200 | 918,994 | |||
Far East Horizon, Ltd. | 291,100 | 220,524 | |||
Futu Holdings, Ltd., ADR (A) | 9,900 | 485,991 | |||
Galaxy Entertainment Group, Ltd. | 359,000 | 2,006,697 | |||
Geely Automobile Holdings, Ltd. | 1,149,300 | 2,309,195 | |||
Guangdong Investment, Ltd. | 560,880 | 513,852 | |||
Hang Lung Properties, Ltd. | 330,000 | 548,793 | |||
Hang Seng Bank, Ltd. | 124,195 | 1,944,475 | |||
Henderson Land Development Company, Ltd. | 238,417 | 797,534 | |||
HK Electric Investments, Ltd. | 372,500 | 310,801 | |||
HKT Trust & HKT, Ltd. | 604,322 | 810,746 | |||
Hong Kong & China Gas Company, Ltd. | 1,824,863 | 1,799,100 | |||
Hong Kong Exchanges & Clearing, Ltd. | 198,577 | 8,001,566 | |||
Hongkong Land Holdings, Ltd. | 187,600 | 906,876 | |||
Hopson Development Holdings, Ltd. | 143,915 | 197,881 | |||
HUTCHMED China, Ltd., ADR (A) | 16,500 | 212,190 | |||
Jardine Matheson Holdings, Ltd. | 35,332 | 1,873,716 | |||
Kingboard Holdings, Ltd. | 128,800 | 406,712 | |||
Kingboard Laminates Holdings, Ltd. | 179,000 | 170,750 | |||
Kunlun Energy Company, Ltd. | 747,390 | 650,773 | |||
Link REIT | 344,825 | 2,668,610 | |||
MTR Corp., Ltd. | 249,368 | 1,277,094 | |||
New World Development Company, Ltd. | 246,314 | 802,634 | |||
Nine Dragons Paper Holdings, Ltd. | 316,100 | 248,034 | |||
Orient Overseas International, Ltd. | 25,500 | 710,812 | |||
Power Assets Holdings, Ltd. | 225,500 | 1,348,762 | |||
Shenzhen International Holdings, Ltd. | 245,500 | 211,623 | |||
Shimao Group Holdings, Ltd. (D) | 245,100 | 124,225 | |||
Sino Biopharmaceutical, Ltd. | 1,977,875 | 1,038,811 | |||
Sino Land Company, Ltd. | 555,075 | 811,700 | |||
SITC International Holdings Company, Ltd. | 220,000 | 557,883 | |||
Sun Hung Kai Properties, Ltd. | 240,000 | 2,819,574 | |||
Swire Pacific, Ltd., Class A | 83,500 | 577,551 | |||
Swire Properties, Ltd. | 188,800 | 435,131 | |||
Techtronic Industries Company, Ltd. | 226,500 | 2,671,396 | |||
The Wharf Holdings, Ltd. | 230,125 | 866,642 | |||
Vinda International Holdings, Ltd. | 68,000 | 190,065 | |||
WH Group, Ltd. (B) | 1,380,270 | 940,410 | |||
Wharf Real Estate Investment Company, Ltd. | 275,125 | 1,251,870 |
The accompanying notes are an integral part of the financial statements. | 56 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hong Kong (continued) | |||||
Xinyi Glass Holdings, Ltd. | 294,000 | $ | 542,986 | ||
Yuexiu Property Company, Ltd. | 264,700 | 331,080 | |||
93,215,882 | |||||
Hungary - 0.0% | |||||
MOL Hungarian Oil & Gas PLC | 80,088 | 551,835 | |||
OTP Bank NYRT | 42,839 | 911,057 | |||
Richter Gedeon NYRT | 27,145 | 547,301 | |||
2,010,193 | |||||
India - 3.5% | |||||
ACC, Ltd. | 10,720 | 306,948 | |||
Adani Enterprises, Ltd. | 40,574 | 1,609,248 | |||
Adani Green Energy, Ltd. (A) | 46,165 | 1,401,156 | |||
Adani Ports & Special Economic Zone, Ltd. | 75,543 | 788,351 | |||
Adani Power, Ltd. (A) | 114,568 | 585,059 | |||
Adani Total Gas, Ltd. | 40,725 | 1,901,872 | |||
Adani Transmission, Ltd. (A) | 40,712 | 2,005,681 | |||
Ambuja Cements, Ltd. | 87,179 | 446,116 | |||
Apollo Hospitals Enterprise, Ltd. | 14,915 | 798,968 | |||
Asian Paints, Ltd. | 56,854 | 2,398,710 | |||
AU Small Finance Bank, Ltd. (B) | 23,263 | 184,360 | |||
Aurobindo Pharma, Ltd. | 40,259 | 274,118 | |||
Avenue Supermarts, Ltd. (A)(B) | 23,985 | 1,352,312 | |||
Axis Bank, Ltd. | 338,020 | 3,150,175 | |||
Bajaj Auto, Ltd. | 10,397 | 530,623 | |||
Bajaj Finance, Ltd. | 40,347 | 3,644,235 | |||
Bajaj Finserv, Ltd. | 5,738 | 1,202,703 | |||
Balkrishna Industries, Ltd. | 11,173 | 284,099 | |||
Bandhan Bank, Ltd. (A)(B) | 97,870 | 337,706 | |||
Berger Paints India, Ltd. | 33,747 | 282,364 | |||
Bharat Electronics, Ltd. | 180,974 | 692,401 | |||
Bharat Forge, Ltd. | 36,878 | 339,304 | |||
Bharat Petroleum Corp., Ltd. | 128,649 | 527,558 | |||
Bharti Airtel, Ltd. | 326,142 | 2,948,648 | |||
Biocon, Ltd. | 62,069 | 239,462 | |||
Britannia Industries, Ltd. | 15,893 | 742,316 | |||
Cholamandalam Investment and Finance Company, Ltd. | 60,970 | 597,141 | |||
Cipla, Ltd. | 72,169 | 935,100 | |||
Coal India, Ltd. | 225,711 | 658,963 | |||
Colgate-Palmolive India, Ltd. | 17,034 | 357,245 | |||
Container Corp. of India, Ltd. | 40,597 | 351,349 | |||
Dabur India, Ltd. | 91,524 | 668,302 | |||
Divi's Laboratories, Ltd. | 19,593 | 881,222 | |||
DLF, Ltd. | 91,922 | 443,975 | |||
Dr. Reddy's Laboratories, Ltd. | 17,395 | 916,554 | |||
Eicher Motors, Ltd. | 20,208 | 843,700 | |||
GAIL India, Ltd. | 235,747 | 400,594 | |||
Godrej Consumer Products, Ltd. (A) | 60,799 | 700,147 | |||
Godrej Properties, Ltd. (A) | 18,524 | 323,619 | |||
Grasim Industries, Ltd. | 38,939 | 809,780 | |||
Havells India, Ltd. | 36,912 | 633,107 | |||
HCL Technologies, Ltd. | 161,054 | 1,869,165 | |||
HDFC Life Insurance Company, Ltd. (B) | 146,500 | 1,047,660 | |||
Hero MotoCorp, Ltd. | 16,264 | 574,730 | |||
Hindalco Industries, Ltd. | 201,469 | 1,090,199 | |||
Hindustan Petroleum Corp., Ltd. | 94,206 | 285,293 | |||
Hindustan Unilever, Ltd. | 122,302 | 4,052,201 | |||
Housing Development Finance Corp., Ltd. | 256,337 | 7,762,616 | |||
ICICI Bank, Ltd. | 765,601 | 8,411,170 | |||
ICICI Lombard General Insurance Company, Ltd. (B) | 37,271 | 599,145 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
India (continued) | |||||
ICICI Prudential Life Insurance Company, Ltd. (B) | 56,510 | $ | 417,671 | ||
Indian Oil Corp., Ltd. | 416,046 | 371,501 | |||
Indian Railway Catering & Tourism Corp, Ltd. | 34,930 | 304,768 | |||
Indraprastha Gas, Ltd. | 45,627 | 238,496 | |||
Indus Towers, Ltd. | 100,070 | 248,850 | |||
Info Edge India, Ltd. | 10,575 | 568,409 | |||
Infosys, Ltd. | 499,801 | 9,193,063 | |||
InterGlobe Aviation, Ltd. (A)(B) | 14,298 | 355,853 | |||
ITC, Ltd. | 441,946 | 1,767,243 | |||
Jindal Steel & Power, Ltd. | 60,614 | 325,131 | |||
JSW Steel, Ltd. | 106,232 | 877,298 | |||
Jubilant Foodworks, Ltd. | 57,993 | 441,424 | |||
Kotak Mahindra Bank, Ltd. | 83,001 | 1,961,471 | |||
Larsen & Toubro Infotech, Ltd. (B) | 7,792 | 446,010 | |||
Larsen & Toubro, Ltd. | 102,723 | 2,442,407 | |||
Lupin, Ltd. | 30,017 | 250,423 | |||
Mahindra & Mahindra, Ltd. | 129,466 | 2,101,797 | |||
Marico, Ltd. | 74,419 | 486,320 | |||
Maruti Suzuki India, Ltd. | 17,921 | 2,014,488 | |||
Mindtree, Ltd. | 9,763 | 398,896 | |||
Mphasis, Ltd. | 12,401 | 326,032 | |||
MRF, Ltd. | 278 | 295,463 | |||
Muthoot Finance, Ltd. | 17,420 | 227,565 | |||
Nestle India, Ltd. | 4,931 | 1,223,658 | |||
NTPC, Ltd. | 578,349 | 1,183,727 | |||
Oil & Natural Gas Corp., Ltd. | 375,198 | 648,105 | |||
Page Industries, Ltd. | 901 | 574,120 | |||
Petronet LNG, Ltd. | 106,759 | 294,189 | |||
PI Industries, Ltd. | 10,966 | 469,444 | |||
Pidilite Industries, Ltd. | 22,159 | 755,912 | |||
Piramal Enterprises, Ltd. | 18,043 | 241,086 | |||
Piramal Pharma, Ltd. (A)(D) | 72,172 | 197,885 | |||
Power Grid Corp. of India, Ltd. | 465,009 | 1,330,775 | |||
Reliance Industries, Ltd. | 452,012 | 14,830,678 | |||
Samvardhana Motherson International, Ltd. | 184,613 | 282,158 | |||
SBI Cards & Payment Services, Ltd. | 34,886 | 398,624 | |||
SBI Life Insurance Company, Ltd. (B) | 67,885 | 1,122,609 | |||
Shree Cement, Ltd. | 1,586 | 435,723 | |||
Shriram Transport Finance Company, Ltd. | 28,354 | 475,850 | |||
Siemens, Ltd. | 10,357 | 371,012 | |||
SRF, Ltd. | 22,016 | 693,302 | |||
State Bank of India | 267,688 | 1,761,621 | |||
Sun Pharmaceutical Industries, Ltd. | 143,765 | 1,601,843 | |||
Tata Consultancy Services, Ltd. | 137,187 | 5,469,277 | |||
Tata Consumer Products, Ltd. | 81,345 | 822,008 | |||
Tata Elxsi, Ltd. | 5,037 | 561,271 | |||
Tata Motors, Ltd. (A) | 246,322 | 1,432,348 | |||
Tata Steel, Ltd. | 1,091,101 | 1,466,944 | |||
Tech Mahindra, Ltd. | 86,949 | 1,158,629 | |||
The Tata Power Company, Ltd. | 212,762 | 622,711 | |||
Titan Company, Ltd. | 52,763 | 1,703,184 | |||
Torrent Pharmaceuticals, Ltd. | 14,894 | 287,673 | |||
Trent, Ltd. | 26,486 | 461,481 | |||
UltraTech Cement, Ltd. | 14,986 | 1,246,261 | |||
United Spirits, Ltd. (A) | 43,530 | 440,620 | |||
UPL, Ltd. | 72,956 | 696,733 | |||
Vedanta, Ltd. | 110,387 | 368,789 | |||
Wipro, Ltd. | 203,888 | 1,045,585 | |||
Yes Bank, Ltd. (A) | 1,639,729 | 336,088 | |||
Zomato, Ltd. (A) | 235,401 | 169,287 | |||
137,429,259 |
The accompanying notes are an integral part of the financial statements. | 57 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Indonesia - 0.6% | |||||
Adaro Energy Indonesia Tbk PT | 2,678,545 | $ | 638,557 | ||
Adaro Minerals Indonesia Tbk PT (A) | 1,519,800 | 175,274 | |||
Aneka Tambang Tbk | 1,547,800 | 206,967 | |||
Astra International Tbk PT | 3,814,408 | 1,789,793 | |||
Bank Central Asia Tbk PT | 10,269,150 | 5,670,862 | |||
Bank Jago Tbk PT (A) | 767,400 | 434,840 | |||
Bank Mandiri Persero Tbk PT | 3,485,556 | 2,074,203 | |||
Bank Negara Indonesia Persero Tbk PT | 1,432,953 | 821,893 | |||
Bank Rakyat Indonesia Persero Tbk PT | 12,675,010 | 3,701,472 | |||
Barito Pacific Tbk PT | 5,269,800 | 290,907 | |||
Charoen Pokphand Indonesia Tbk PT | 1,372,103 | 543,095 | |||
Gudang Garam Tbk PT | 93,682 | 149,806 | |||
Indah Kiat Pulp & Paper Tbk PT | 525,500 | 294,358 | |||
Indofood CBP Sukses Makmur Tbk PT | 436,400 | 244,251 | |||
Indofood Sukses Makmur Tbk PT | 846,417 | 355,085 | |||
Kalbe Farma Tbk PT | 3,955,910 | 447,330 | |||
Merdeka Copper Gold Tbk PT (A) | 2,226,300 | 640,218 | |||
Sarana Menara Nusantara Tbk PT | 4,238,300 | 354,332 | |||
Semen Indonesia Persero Tbk PT | 569,792 | 253,022 | |||
Sumber Alfaria Trijaya Tbk PT | 3,093,100 | 453,950 | |||
Telkom Indonesia Persero Tbk PT | 9,267,860 | 2,838,104 | |||
Tower Bersama Infrastructure Tbk PT | 1,429,800 | 271,455 | |||
Unilever Indonesia Tbk PT | 1,417,425 | 438,023 | |||
United Tractors Tbk PT | 312,437 | 711,440 | |||
Vale Indonesia Tbk PT (A) | 454,200 | 186,164 | |||
23,985,401 | |||||
Ireland - 0.6% | |||||
AerCap Holdings NV (A) | 17,200 | 757,660 | |||
CRH PLC | 125,457 | 4,632,849 | |||
DCC PLC | 24,558 | 1,413,416 | |||
Experian PLC | 230,724 | 7,001,405 | |||
Flutter Entertainment PLC (A) | 27,228 | 3,411,656 | |||
James Hardie Industries PLC, CHESS Depositary Interest | 91,971 | 2,084,563 | |||
Kerry Group PLC, Class A | 25,996 | 2,680,764 | |||
Kingspan Group PLC | 25,129 | 1,422,779 | |||
Smurfit Kappa Group PLC | 32,176 | 1,078,852 | |||
Smurfit Kappa Group PLC (London Stock Exchange) | 8,098 | 271,226 | |||
24,755,170 | |||||
Israel - 0.5% | |||||
Azrieli Group, Ltd. | 6,673 | 553,567 | |||
Bank Hapoalim BM | 199,871 | 2,072,152 | |||
Bank Leumi Le-Israel BM | 243,623 | 2,575,394 | |||
Check Point Software Technologies, Ltd. (A) | 16,300 | 1,959,912 | |||
CyberArk Software, Ltd. (A) | 6,300 | 908,964 | |||
Elbit Systems, Ltd. | 4,188 | 894,081 | |||
ICL Group, Ltd. | 110,588 | 1,055,970 | |||
Israel Discount Bank, Ltd., Class A | 195,259 | 1,193,746 | |||
Kornit Digital, Ltd. (A) | 8,000 | 248,640 | |||
Mizrahi Tefahot Bank, Ltd. | 24,115 | 980,773 | |||
Nice, Ltd. (A) | 9,944 | 2,124,654 | |||
Teva Pharmaceutical Industries, Ltd., ADR (A) | 175,036 | 1,582,325 | |||
Tower Semiconductor, Ltd. (A) | 17,203 | 806,369 | |||
Wix.com, Ltd. (A) | 9,000 | 569,610 | |||
ZIM Integrated Shipping Services, Ltd. | 13,400 | 483,606 | |||
18,009,763 | |||||
Italy - 0.8% | |||||
Amplifon SpA | 15,761 | 410,748 | |||
Assicurazioni Generali SpA | 146,650 | 2,150,888 | |||
Atlantia SpA | 61,802 | 1,415,177 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Italy (continued) | |||||
Davide Campari-Milano NV | 64,600 | $ | 633,783 | ||
DiaSorin SpA | 3,163 | 414,935 | |||
Enel SpA | 1,022,782 | 4,806,147 | |||
Eni SpA | 316,858 | 3,743,036 | |||
Ferrari NV | 15,821 | 3,054,135 | |||
FinecoBank Banca Fineco SpA | 74,349 | 803,887 | |||
Infrastrutture Wireless Italiane SpA (B) | 40,174 | 372,331 | |||
Intesa Sanpaolo SpA | 2,073,597 | 3,569,691 | |||
Mediobanca Banca di Credito Finanziario SpA | 75,650 | 598,839 | |||
Moncler SpA | 25,854 | 1,150,294 | |||
Nexi SpA (A)(B) | 65,621 | 538,389 | |||
Poste Italiane SpA (B) | 68,687 | 548,948 | |||
Prysmian SpA | 31,895 | 978,631 | |||
Recordati Industria Chimica e Farmaceutica SpA | 12,823 | 523,180 | |||
Snam SpA | 242,502 | 1,152,595 | |||
Telecom Italia SpA (A) | 1,223,837 | 252,429 | |||
Terna - Rete Elettrica Nazionale | 172,666 | 1,227,524 | |||
UniCredit SpA | 264,930 | 2,592,586 | |||
30,938,173 | |||||
Japan - 10.1% | |||||
Advantest Corp. | 24,600 | 1,393,229 | |||
Aeon Company, Ltd. | 83,700 | 1,632,631 | |||
AGC, Inc. | 25,284 | 858,112 | |||
Aisin Corp. | 19,100 | 567,932 | |||
Ajinomoto Company, Inc. | 60,300 | 1,666,683 | |||
ANA Holdings, Inc. (A) | 20,000 | 384,527 | |||
Asahi Group Holdings, Ltd. | 59,261 | 1,986,918 | |||
Asahi Intecc Company, Ltd. | 28,200 | 501,610 | |||
Asahi Kasei Corp. | 163,300 | 1,193,363 | |||
Astellas Pharma, Inc. | 241,200 | 3,419,682 | |||
Azbil Corp. | 14,800 | 421,702 | |||
Bandai Namco Holdings, Inc. | 25,800 | 1,935,945 | |||
Bridgestone Corp. | 73,600 | 2,824,341 | |||
Brother Industries, Ltd. | 30,300 | 579,867 | |||
Canon, Inc. | 129,496 | 3,101,340 | |||
Capcom Company, Ltd. | 22,400 | 611,402 | |||
Central Japan Railway Company | 18,488 | 2,176,593 | |||
Chubu Electric Power Company, Inc. | 80,500 | 818,589 | |||
Chugai Pharmaceutical Company, Ltd. | 87,000 | 2,245,303 | |||
Concordia Financial Group, Ltd. | 141,200 | 447,779 | |||
CyberAgent, Inc. | 54,800 | 534,261 | |||
Dai Nippon Printing Company, Ltd. | 28,700 | 604,102 | |||
Daifuku Company, Ltd. | 13,100 | 764,228 | |||
Dai-ichi Life Holdings, Inc. | 133,600 | 2,308,342 | |||
Daiichi Sankyo Company, Ltd. | 227,000 | 6,821,760 | |||
Daikin Industries, Ltd. | 32,300 | 5,638,519 | |||
Daito Trust Construction Company, Ltd. | 8,000 | 787,020 | |||
Daiwa House Industry Company, Ltd. | 77,800 | 1,739,392 | |||
Daiwa House REIT Investment Corp. | 271 | 626,497 | |||
Daiwa Securities Group, Inc. | 180,718 | 788,875 | |||
Denso Corp. | 56,116 | 3,062,853 | |||
Dentsu Group, Inc. | 27,844 | 896,716 | |||
Disco Corp. | 3,700 | 898,396 | |||
East Japan Railway Company | 38,800 | 2,009,711 | |||
Eisai Company, Ltd. | 32,554 | 1,327,330 | |||
ENEOS Holdings, Inc. | 393,250 | 1,486,063 | |||
FANUC Corp. | 24,900 | 4,011,372 | |||
Fast Retailing Company, Ltd. | 7,600 | 4,443,962 | |||
Fuji Electric Company, Ltd. | 16,500 | 712,836 | |||
FUJIFILM Holdings Corp. | 46,615 | 2,366,495 | |||
Fujitsu, Ltd. | 25,400 | 2,988,902 |
The accompanying notes are an integral part of the financial statements. | 58 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
GLP J-REIT | 530 | $ | 645,640 | ||
GMO Payment Gateway, Inc. | 5,500 | 436,174 | |||
Hakuhodo DY Holdings, Inc. | 29,600 | 264,076 | |||
Hamamatsu Photonics KK | 17,900 | 758,936 | |||
Hankyu Hanshin Holdings, Inc. | 28,800 | 863,670 | |||
Hikari Tsushin, Inc. | 2,700 | 341,349 | |||
Hirose Electric Company, Ltd. | 3,830 | 542,702 | |||
Hitachi Construction Machinery Company, Ltd. | 14,100 | 289,863 | |||
Hitachi Metals, Ltd. (A) | 25,700 | 386,701 | |||
Hitachi, Ltd. | 125,400 | 6,265,245 | |||
Honda Motor Company, Ltd. | 211,527 | 5,631,328 | |||
Hoshizaki Corp. | 13,800 | 409,977 | |||
Hoya Corp. | 47,900 | 4,884,688 | |||
Hulic Company, Ltd. | 48,100 | 364,500 | |||
Ibiden Company, Ltd. | 14,500 | 460,216 | |||
Idemitsu Kosan Company, Ltd. | 26,225 | 691,482 | |||
Iida Group Holdings Company, Ltd. | 19,500 | 297,041 | |||
Inpex Corp. | 134,500 | 1,546,027 | |||
Isuzu Motors, Ltd. | 75,500 | 937,686 | |||
Ito En, Ltd. | 6,700 | 294,044 | |||
ITOCHU Corp. | 154,137 | 4,241,961 | |||
Itochu Techno-Solutions Corp. | 11,800 | 297,798 | |||
Japan Airlines Company, Ltd. (A) | 18,200 | 332,884 | |||
Japan Exchange Group, Inc. | 66,198 | 986,498 | |||
Japan Metropolitan Fund Investment Corp. | 879 | 698,082 | |||
Japan Post Bank Company, Ltd. | 50,100 | 365,202 | |||
Japan Post Holdings Company, Ltd. | 324,700 | 2,240,036 | |||
Japan Post Insurance Company, Ltd. | 28,500 | 436,552 | |||
Japan Real Estate Investment Corp. | 155 | 717,895 | |||
Japan Tobacco, Inc. | 156,100 | 2,644,870 | |||
JFE Holdings, Inc. | 64,800 | 696,182 | |||
JSR Corp. | 23,600 | 526,441 | |||
Kajima Corp. | 55,400 | 582,949 | |||
Kakaku.com, Inc. | 17,200 | 316,616 | |||
Kao Corp. | 61,600 | 2,667,299 | |||
KDDI Corp. | 208,967 | 6,394,627 | |||
Keio Corp. | 12,920 | 491,611 | |||
Keisei Electric Railway Company, Ltd. | 17,435 | 486,372 | |||
Keyence Corp. | 25,206 | 9,464,199 | |||
Kikkoman Corp. | 18,800 | 1,149,592 | |||
Kintetsu Group Holdings Company, Ltd. | 21,600 | 733,465 | |||
Kirin Holdings Company, Ltd. | 106,527 | 1,753,624 | |||
Kobayashi Pharmaceutical Company, Ltd. | 6,800 | 385,366 | |||
Kobe Bussan Company, Ltd. | 19,300 | 491,483 | |||
Koei Tecmo Holdings Company, Ltd. | 7,170 | 240,384 | |||
Koito Manufacturing Company, Ltd. | 13,376 | 456,983 | |||
Komatsu, Ltd. | 120,300 | 2,516,525 | |||
Konami Group Corp. | 12,100 | 614,071 | |||
Kose Corp. | 4,300 | 404,948 | |||
Kubota Corp. | 132,700 | 2,060,863 | |||
Kurita Water Industries, Ltd. | 13,389 | 520,931 | |||
Kyocera Corp. | 41,600 | 2,312,285 | |||
Kyowa Kirin Company, Ltd. | 34,528 | 773,936 | |||
Lasertec Corp. | 9,800 | 1,356,785 | |||
Lixil Corp. | 38,300 | 666,017 | |||
M3, Inc. | 57,200 | 1,832,224 | |||
Makita Corp. | 29,000 | 681,898 | |||
Marubeni Corp. | 202,800 | 2,113,639 | |||
Mazda Motor Corp. | 73,680 | 652,518 | |||
McDonald's Holdings Company Japan, Ltd. | 10,400 | 371,726 | |||
MEIJI Holdings Company, Ltd. | 14,700 | 700,292 | |||
MINEBEA MITSUMI, Inc. | 47,300 | 812,949 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
MISUMI Group, Inc. | 36,800 | $ | 903,298 | ||
Mitsubishi Chemical Group Corp. | 165,750 | 870,181 | |||
Mitsubishi Corp. | 163,800 | 5,362,918 | |||
Mitsubishi Electric Corp. | 251,118 | 2,538,839 | |||
Mitsubishi Estate Company, Ltd. | 153,000 | 2,060,432 | |||
Mitsubishi HC Capital, Inc. | 83,400 | 404,179 | |||
Mitsubishi Heavy Industries, Ltd. | 41,740 | 1,609,103 | |||
Mitsubishi UFJ Financial Group, Inc. | 1,540,400 | 7,985,353 | |||
Mitsui & Company, Ltd. | 180,800 | 4,243,217 | |||
Mitsui Chemicals, Inc. | 24,400 | 548,159 | |||
Mitsui Fudosan Company, Ltd. | 118,004 | 2,388,474 | |||
Mitsui OSK Lines, Ltd. | 44,900 | 1,169,807 | |||
Mizuho Financial Group, Inc. | 311,160 | 3,562,900 | |||
MonotaRO Company, Ltd. | 32,200 | 577,742 | |||
MS&AD Insurance Group Holdings, Inc. | 59,668 | 1,780,251 | |||
Murata Manufacturing Company, Ltd. | 74,397 | 4,006,012 | |||
NEC Corp. | 31,700 | 1,156,152 | |||
Nexon Company, Ltd. | 64,000 | 1,274,375 | |||
NGK Insulators, Ltd. | 31,400 | 448,313 | |||
Nidec Corp. | 58,000 | 3,853,057 | |||
Nihon M&A Center Holdings, Inc. | 39,300 | 487,055 | |||
Nintendo Company, Ltd. | 14,239 | 5,828,691 | |||
Nippon Building Fund, Inc. | 193 | 961,325 | |||
Nippon Express Holdings, Inc. | 9,980 | 549,127 | |||
Nippon Paint Holdings Company, Ltd. | 107,300 | 827,534 | |||
Nippon Prologis REIT, Inc. | 266 | 669,184 | |||
Nippon Sanso Holdings Corp. | 22,000 | 400,117 | |||
Nippon Shinyaku Company, Ltd. | 6,300 | 344,607 | |||
Nippon Steel Corp. | 105,478 | 1,666,143 | |||
Nippon Telegraph & Telephone Corp. | 154,500 | 4,187,613 | |||
Nippon Yusen KK | 21,100 | 1,609,385 | |||
Nissan Chemical Corp. | 16,700 | 841,389 | |||
Nissan Motor Company, Ltd. (A) | 301,425 | 1,185,864 | |||
Nisshin Seifun Group, Inc. | 24,700 | 277,972 | |||
Nissin Foods Holdings Company, Ltd. | 7,917 | 566,433 | |||
Nitori Holdings Company, Ltd. | 10,400 | 994,255 | |||
Nitto Denko Corp. | 18,444 | 1,136,755 | |||
Nomura Holdings, Inc. | 387,300 | 1,402,371 | |||
Nomura Real Estate Holdings, Inc. | 15,000 | 368,518 | |||
Nomura Real Estate Master Fund, Inc. | 529 | 647,000 | |||
Nomura Research Institute, Ltd. | 43,200 | 1,162,677 | |||
NTT Data Corp. | 81,400 | 1,145,491 | |||
Obayashi Corp. | 84,500 | 584,452 | |||
Obic Company, Ltd. | 8,900 | 1,316,303 | |||
Odakyu Electric Railway Company, Ltd. | 36,600 | 499,994 | |||
Oji Holdings Corp. | 104,100 | 415,346 | |||
Olympus Corp. | 159,824 | 3,403,810 | |||
Omron Corp. | 24,067 | 1,266,557 | |||
Ono Pharmaceutical Company, Ltd. | 48,100 | 1,148,155 | |||
Open House Group Company, Ltd. | 10,600 | 414,862 | |||
Oracle Corp. Japan | 4,800 | 285,942 | |||
Oriental Land Company, Ltd. | 25,900 | 3,861,365 | |||
ORIX Corp. | 157,000 | 2,580,670 | |||
Osaka Gas Company, Ltd. | 47,700 | 803,430 | |||
Otsuka Corp. | 14,500 | 468,697 | |||
Otsuka Holdings Company, Ltd. | 50,500 | 1,649,460 | |||
Pan Pacific International Holdings Corp. | 49,100 | 881,620 | |||
Panasonic Holdings Corp. | 286,820 | 2,327,368 | |||
Persol Holdings Company, Ltd. | 23,000 | 461,707 | |||
Rakuten Group, Inc. | 110,242 | 535,033 | |||
Recruit Holdings Company, Ltd. | 186,800 | 5,938,485 | |||
Renesas Electronics Corp. (A) | 152,200 | 1,441,113 | |||
Resona Holdings, Inc. | 281,200 | 1,035,167 | |||
Ricoh Company, Ltd. | 74,000 | 581,599 |
The accompanying notes are an integral part of the financial statements. | 59 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Rohm Company, Ltd. | 11,500 | $ | 860,407 | ||
SBI Holdings, Inc. | 33,264 | 653,643 | |||
SCSK Corp. | 19,200 | 312,639 | |||
Secom Company, Ltd. | 27,094 | 1,726,138 | |||
Seiko Epson Corp. | 35,969 | 565,210 | |||
Sekisui Chemical Company, Ltd. | 48,600 | 662,579 | |||
Sekisui House, Ltd. | 79,900 | 1,358,670 | |||
Seven & i Holdings Company, Ltd. | 97,546 | 3,875,065 | |||
SG Holdings Company, Ltd. | 36,700 | 608,733 | |||
Sharp Corp. | 31,340 | 224,349 | |||
Shimadzu Corp. | 30,400 | 887,864 | |||
Shimano, Inc. | 9,500 | 1,680,639 | |||
Shimizu Corp. | 70,700 | 387,681 | |||
Shin-Etsu Chemical Company, Ltd. | 48,637 | 5,648,353 | |||
Shionogi & Company, Ltd. | 34,463 | 1,682,653 | |||
Shiseido Company, Ltd. | 51,900 | 1,960,461 | |||
SMC Corp. | 7,396 | 3,508,882 | |||
SoftBank Corp. | 369,700 | 4,053,110 | |||
SoftBank Group Corp. | 156,252 | 6,189,386 | |||
Sompo Holdings, Inc. | 41,660 | 1,786,224 | |||
Sony Group Corp. | 163,400 | 12,990,840 | |||
Square Enix Holdings Company, Ltd. | 11,000 | 477,631 | |||
Subaru Corp. | 79,700 | 1,448,739 | |||
SUMCO Corp. | 45,700 | 620,281 | |||
Sumitomo Chemical Company, Ltd. | 194,500 | 765,615 | |||
Sumitomo Corp. | 147,355 | 2,072,636 | |||
Sumitomo Electric Industries, Ltd. | 93,100 | 1,066,423 | |||
Sumitomo Metal Mining Company, Ltd. | 32,200 | 1,013,226 | |||
Sumitomo Mitsui Financial Group, Inc. | 168,079 | 5,069,811 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 43,638 | 1,357,281 | |||
Sumitomo Realty & Development Company, Ltd. | 39,983 | 977,821 | |||
Suntory Beverage & Food, Ltd. | 17,800 | 650,175 | |||
Suzuki Motor Corp. | 47,700 | 1,667,170 | |||
Sysmex Corp. | 21,700 | 1,326,456 | |||
T&D Holdings, Inc. | 72,600 | 792,880 | |||
Taisei Corp. | 25,000 | 757,988 | |||
Takeda Pharmaceutical Company, Ltd. | 194,624 | 5,379,418 | |||
TDK Corp. | 50,600 | 1,769,089 | |||
Terumo Corp. | 83,746 | 2,688,386 | |||
The Chiba Bank, Ltd. | 68,000 | 367,325 | |||
The Kansai Electric Power Company, Inc. | 88,300 | 855,773 | |||
The Shizuoka Bank, Ltd. | 54,600 | 315,962 | |||
TIS, Inc. | 28,900 | 822,978 | |||
Tobu Railway Company, Ltd. | 23,100 | 545,763 | |||
Toho Company, Ltd. | 14,100 | 535,501 | |||
Tokio Marine Holdings, Inc. | 82,714 | 4,583,959 | |||
Tokyo Electric Power Company Holdings, Inc. (A) | 198,200 | 774,064 | |||
Tokyo Electron, Ltd. | 19,415 | 6,089,265 | |||
Tokyo Gas Company, Ltd. | 50,900 | 954,946 | |||
Tokyu Corp. | 67,193 | 798,773 | |||
Toppan, Inc. | 34,300 | 538,669 | |||
Toray Industries, Inc. | 180,500 | 1,030,013 | |||
Toshiba Corp. | 50,400 | 1,866,511 | |||
Tosoh Corp. | 34,600 | 447,373 | |||
TOTO, Ltd. | 18,400 | 634,226 | |||
Toyota Industries Corp. | 19,029 | 1,063,585 | |||
Toyota Motor Corp. | 1,372,800 | 20,544,046 | |||
Toyota Tsusho Corp. | 27,793 | 972,981 | |||
Trend Micro, Inc. | 17,100 | 1,052,815 | |||
Unicharm Corp. | 52,288 | 1,817,098 | |||
USS Company, Ltd. | 28,000 | 494,113 | |||
Welcia Holdings Company, Ltd. | 11,700 | 245,038 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
West Japan Railway Company | 28,100 | $ | 1,093,607 | ||
Yakult Honsha Company, Ltd. | 16,400 | 969,990 | |||
Yamaha Corp. | 18,100 | 706,061 | |||
Yamaha Motor Company, Ltd. | 39,100 | 810,320 | |||
Yamato Holdings Company, Ltd. | 37,200 | 579,913 | |||
Yaskawa Electric Corp. | 31,300 | 1,019,218 | |||
Yokogawa Electric Corp. | 29,700 | 518,364 | |||
Z Holdings Corp. | 344,807 | 1,013,690 | |||
ZOZO, Inc. | 16,100 | 355,862 | |||
399,932,860 | |||||
Jordan - 0.0% | |||||
Hikma Pharmaceuticals PLC | 43,479 | 662,648 | |||
Luxembourg - 0.2% | |||||
ArcelorMittal SA | 112,466 | 2,669,292 | |||
Aroundtown SA | 156,802 | 457,329 | |||
Eurofins Scientific SE | 24,681 | 1,707,641 | |||
Reinet Investments SCA | 24,182 | 396,090 | |||
Tenaris SA | 59,416 | 812,784 | |||
6,043,136 | |||||
Macau - 0.0% | |||||
Sands China, Ltd. (A) | 397,252 | 888,294 | |||
Malaysia - 0.7% | |||||
AMMB Holdings BHD | 541,900 | 503,667 | |||
Axiata Group BHD | 810,200 | 549,426 | |||
CIMB Group Holdings BHD | 1,977,400 | 2,364,713 | |||
Dialog Group BHD | 1,079,300 | 583,855 | |||
DiGi.Com BHD | 908,100 | 757,928 | |||
Genting BHD | 634,400 | 663,066 | |||
Genting Malaysia BHD | 871,800 | 578,679 | |||
HAP Seng Consolidated BHD | 184,300 | 285,970 | |||
Hartalega Holdings BHD | 515,500 | 190,858 | |||
Hong Leong Bank BHD | 194,600 | 905,774 | |||
Hong Leong Financial Group BHD | 66,900 | 289,189 | |||
IHH Healthcare BHD | 523,000 | 721,832 | |||
Inari Amertron BHD | 831,700 | 495,002 | |||
IOI Corp. BHD | 747,100 | 704,779 | |||
Kuala Lumpur Kepong BHD | 129,000 | 666,537 | |||
Malayan Banking BHD | 1,408,300 | 2,817,302 | |||
Malaysia Airports Holdings BHD (A) | 185,700 | 242,656 | |||
Maxis BHD | 697,300 | 597,740 | |||
MISC BHD | 392,400 | 620,872 | |||
Mr. D.I.Y Group M BHD (B) | 686,600 | 331,455 | |||
Nestle Malaysia BHD | 19,100 | 566,762 | |||
Petronas Chemicals Group BHD | 716,300 | 1,405,000 | |||
Petronas Dagangan BHD | 84,400 | 442,072 | |||
Petronas Gas BHD | 228,500 | 883,041 | |||
PPB Group BHD | 190,300 | 748,069 | |||
Press Metal Aluminium Holdings BHD | 1,072,100 | 1,136,316 | |||
Public Bank BHD | 4,323,700 | 4,540,062 | |||
QL Resources BHD | 320,050 | 364,749 | |||
RHB Bank BHD | 429,700 | 549,063 | |||
Sime Darby BHD | 821,600 | 418,605 | |||
Sime Darby Plantation BHD | 620,100 | 616,381 | |||
Telekom Malaysia BHD | 332,400 | 441,885 | |||
Tenaga Nasional BHD | 767,300 | 1,540,304 | |||
Top Glove Corp. BHD | 1,587,900 | 284,306 | |||
28,807,915 | |||||
Malta - 0.0% | |||||
BGP Holdings PLC (A)(D) | 181,302 | 0 | |||
Mexico - 0.7% | |||||
Alfa SAB de CV, Class A | 593,100 | 374,763 | |||
America Movil SAB de CV, Series L | 5,699,800 | 4,852,037 |
The accompanying notes are an integral part of the financial statements. | 60 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Mexico (continued) | |||||
Arca Continental SAB de CV | 89,542 | $ | 606,058 | ||
Cemex SAB de CV, Series CPO (A) | 3,073,736 | 1,133,589 | |||
Coca-Cola Femsa SAB de CV | 107,368 | 655,458 | |||
Fibra Uno Administracion SA de CV | 643,600 | 670,866 | |||
Fomento Economico Mexicano SAB de CV (C) | 393,186 | 2,461,011 | |||
Gruma SAB de CV, Class B | 42,183 | 461,162 | |||
Grupo Aeroportuario del Pacifico SAB de CV, B Shares | 73,500 | 1,050,412 | |||
Grupo Aeroportuario del Sureste SAB de CV, B Shares | 39,470 | 831,463 | |||
Grupo Bimbo SAB de CV, Series A | 271,400 | 914,299 | |||
Grupo Carso SAB de CV, Series A1 | 90,400 | 310,285 | |||
Grupo Financiero Banorte SAB de CV, Series O | 523,350 | 3,091,289 | |||
Grupo Financiero Inbursa SAB de CV, Series O (A)(C) | 438,800 | 687,391 | |||
Grupo Mexico SAB de CV, Series B | 626,400 | 2,359,902 | |||
Grupo Televisa SAB, Series CPO | 490,297 | 616,202 | |||
Industrias Penoles SAB de CV | 26,050 | 215,380 | |||
Kimberly-Clark de Mexico SAB de CV, Class A | 306,635 | 416,274 | |||
Operadora de Sites Mexicanos SAB de CV, Class A1 (C) | 254,600 | 253,380 | |||
Orbia Advance Corp. SAB de CV | 205,215 | 387,073 | |||
Promotora y Operadora de Infraestructura SAB de CV | 46,735 | 328,826 | |||
Wal-Mart de Mexico SAB de CV | 1,055,500 | 3,458,869 | |||
26,135,989 | |||||
Netherlands - 1.9% | |||||
ABN AMRO Bank NV (B) | 52,628 | 505,594 | |||
Adyen NV (A)(B) | 2,724 | 4,203,546 | |||
Aegon NV | 245,147 | 1,095,572 | |||
Akzo Nobel NV | 22,822 | 1,437,824 | |||
Argenx SE (A) | 4,230 | 1,592,862 | |||
ASM International NV | 5,898 | 1,603,610 | |||
ASML Holding NV | 51,098 | 24,941,824 | |||
Euronext NV (B) | 15,890 | 1,174,323 | |||
EXOR NV | 13,817 | 831,858 | |||
Heineken Holding NV | 12,428 | 881,622 | |||
Heineken NV | 32,599 | 2,929,981 | |||
IMCD NV | 7,091 | 978,249 | |||
ING Groep NV | 487,242 | 4,270,422 | |||
JDE Peet's NV | 12,266 | 378,227 | |||
Just Eat Takeaway.com NV (A)(B) | 22,949 | 381,769 | |||
Koninklijke Ahold Delhaize NV | 131,070 | 3,605,334 | |||
Koninklijke DSM NV | 21,967 | 2,801,150 | |||
Koninklijke KPN NV | 411,356 | 1,308,980 | |||
Koninklijke Philips NV | 111,714 | 1,855,354 | |||
NN Group NV | 37,785 | 1,552,893 | |||
OCI NV | 12,740 | 478,298 | |||
Prosus NV (A) | 104,351 | 6,449,910 | |||
QIAGEN NV (A) | 36,690 | 1,664,137 | |||
Randstad NV | 15,030 | 699,962 | |||
Stellantis NV | 278,023 | 3,703,429 | |||
Universal Music Group NV | 90,761 | 1,802,335 | |||
Wolters Kluwer NV | 32,804 | 3,208,011 | |||
76,337,076 | |||||
New Zealand - 0.2% | |||||
Auckland International Airport, Ltd. (A) | 284,760 | 1,313,244 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 129,589 | 1,551,397 | |||
Mercury NZ, Ltd. | 151,111 | 534,780 | |||
Meridian Energy, Ltd. | 289,892 | 884,400 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
New Zealand (continued) | |||||
Spark New Zealand, Ltd. | 423,700 | $ | 1,401,562 | ||
Xero, Ltd. (A) | 27,826 | 1,636,984 | |||
7,322,367 | |||||
Norway - 0.5% | |||||
Adevinta ASA (A) | 48,459 | 392,065 | |||
Aker BP ASA | 51,410 | 1,800,936 | |||
DNB Bank ASA | 154,692 | 2,941,314 | |||
Equinor ASA | 161,613 | 6,272,306 | |||
Gjensidige Forsikring ASA | 35,882 | 728,134 | |||
Kongsberg Gruppen ASA | 14,649 | 500,712 | |||
Mowi ASA | 68,698 | 1,408,428 | |||
Norsk Hydro ASA | 224,368 | 1,541,656 | |||
Orkla ASA | 125,229 | 1,048,656 | |||
Salmar ASA | 9,653 | 638,328 | |||
Telenor ASA | 114,830 | 1,256,585 | |||
Yara International ASA | 27,549 | 1,165,254 | |||
19,694,374 | |||||
Peru - 0.1% | |||||
Cia de Minas Buenaventura SAA, ADR | 62,000 | 329,840 | |||
Credicorp, Ltd. | 21,153 | 2,726,410 | |||
Southern Copper Corp. | 25,000 | 1,176,750 | |||
4,233,000 | |||||
Philippines - 0.2% | |||||
Aboitiz Equity Ventures, Inc. | 312,040 | 311,225 | |||
ACEN Corp. | 1,346,160 | 179,270 | |||
Ayala Corp. | 45,540 | 567,497 | |||
Ayala Land, Inc. | 1,371,680 | 696,309 | |||
Bank of the Philippine Islands | 335,360 | 566,218 | |||
BDO Unibank, Inc. | 360,300 | 823,879 | |||
Converge Information and Communications Technology Solutions, Inc. (A) | 413,700 | 127,565 | |||
Globe Telecom, Inc. | 4,850 | 180,961 | |||
GT Capital Holdings, Inc. | 16,403 | 140,490 | |||
International Container Terminal Services, Inc. | 184,660 | 594,728 | |||
JG Summit Holdings, Inc. | 544,792 | 495,410 | |||
Jollibee Foods Corp. | 78,560 | 334,845 | |||
Manila Electric Company | 40,710 | 218,029 | |||
Metro Pacific Investments Corp. | 1,876,200 | 124,495 | |||
Metropolitan Bank & Trust Company | 349,029 | 326,213 | |||
Monde Nissin Corp. (A)(B) | 1,156,900 | 339,532 | |||
PLDT, Inc. | 15,870 | 473,048 | |||
SM Investments Corp. | 44,655 | 659,150 | |||
SM Prime Holdings, Inc. | 2,115,500 | 1,422,087 | |||
Universal Robina Corp. | 164,430 | 356,890 | |||
8,937,841 | |||||
Poland - 0.2% | |||||
Allegro.eu SA (A)(B) | 62,026 | 325,338 | |||
Bank Polska Kasa Opieki SA | 31,479 | 435,484 | |||
CD Projekt SA | 11,048 | 197,020 | |||
Cyfrowy Polsat SA | 43,301 | 178,586 | |||
Dino Polska SA (A)(B) | 8,350 | 609,162 | |||
KGHM Polska Miedz SA | 24,286 | 455,105 | |||
LPP SA | 191 | 343,919 | |||
mBank SA (A) | 2,448 | 112,464 | |||
Orange Polska SA | 114,327 | 145,693 | |||
PGE Polska Grupa Energetyczna SA (A) | 155,780 | 237,464 | |||
Polski Koncern Naftowy ORLEN SA | 70,395 | 911,772 | |||
Polskie Gornictwo Naftowe i Gazownictwo SA (A) | 297,958 | 353,953 |
The accompanying notes are an integral part of the financial statements. | 61 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Poland (continued) | |||||
Powszechna Kasa Oszczednosci Bank Polski SA | 154,860 | $ | 772,526 | ||
Powszechny Zaklad Ubezpieczen SA | 110,293 | 660,195 | |||
Santander Bank Polska SA | 6,006 | 272,910 | |||
6,011,591 | |||||
Portugal - 0.1% | |||||
EDP - Energias de Portugal SA | 344,062 | 1,643,108 | |||
Galp Energia SGPS SA | 60,932 | 658,006 | |||
Jeronimo Martins SGPS SA | 35,025 | 776,568 | |||
3,077,682 | |||||
Qatar - 0.3% | |||||
Barwa Real Estate Company | 310,742 | 313,807 | |||
Commercial Bank PSQC | 313,957 | 630,504 | |||
Industries Qatar QSC | 248,528 | 1,236,091 | |||
Masraf Al Rayan QSC | 898,918 | 1,114,374 | |||
Mesaieed Petrochemical Holding Company | 732,358 | 522,145 | |||
Ooredoo QPSC | 129,766 | 323,503 | |||
Qatar Electricity & Water Company QSC | 71,803 | 372,339 | |||
Qatar Fuel QSC | 75,310 | 393,034 | |||
Qatar Gas Transport Company, Ltd. | 393,197 | 431,155 | |||
Qatar International Islamic Bank QSC | 112,087 | 366,047 | |||
Qatar Islamic Bank SAQ | 269,009 | 1,888,812 | |||
Qatar National Bank QPSC | 748,688 | 4,236,663 | |||
11,828,474 | |||||
Romania - 0.0% | |||||
NEPI Rockcastle S.A. | 75,894 | 404,405 | |||
Saudi Arabia - 1.5% | |||||
ACWA Power Company | 16,112 | 748,768 | |||
Advanced Petrochemical Company | 25,540 | 338,828 | |||
Al Rajhi Bank (A) | 392,368 | 9,393,210 | |||
Alinma Bank | 195,114 | 1,965,729 | |||
Almarai Company JSC | 49,388 | 695,095 | |||
Arab National Bank | 120,617 | 961,516 | |||
Bank AlBilad (A) | 98,254 | 1,320,138 | |||
Bank Al-Jazira | 81,540 | 509,141 | |||
Banque Saudi Fransi | 118,689 | 1,566,285 | |||
Bupa Arabia for Cooperative Insurance Company | 12,209 | 534,759 | |||
Dar Al Arkan Real Estate Development Company (A) | 106,235 | 398,305 | |||
Dr Sulaiman Al Habib Medical Services Group Company | 17,398 | 924,397 | |||
Elm Company | 4,867 | 444,229 | |||
Emaar Economic City (A) | 74,715 | 200,206 | |||
Etihad Etisalat Company | 75,551 | 734,849 | |||
Jarir Marketing Company | 11,562 | 527,895 | |||
Mobile Telecommunications Company Saudi Arabia (A) | 86,039 | 264,372 | |||
Mouwasat Medical Services Company | 9,726 | 623,342 | |||
National Industrialization Company (A) | 66,353 | 279,896 | |||
Rabigh Refining & Petrochemical Company (A) | 81,519 | 374,963 | |||
Riyad Bank | 270,509 | 2,547,419 | |||
SABIC Agri-Nutrients Company | 42,742 | 1,973,138 | |||
Sahara International Petrochemical Company | 72,155 | 911,370 | |||
Saudi Arabian Mining Company (A) | 171,911 | 3,392,122 | |||
Saudi Arabian Oil Company (B) | 482,782 | 4,808,984 | |||
Saudi Basic Industries Corp. | 180,386 | 4,791,999 | |||
Saudi Electricity Company | 165,681 | 1,109,046 | |||
Saudi Industrial Investment Group | 74,597 | 505,933 | |||
Saudi Kayan Petrochemical Company (A) | 147,080 | 571,959 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Saudi Arabia (continued) | |||||
Saudi Research & Media Group (A) | 7,104 | $ | 398,209 | ||
Saudi Tadawul Group Holding Company | 7,385 | 446,135 | |||
Saudi Telecom Company | 300,220 | 3,333,197 | |||
The Saudi British Bank | 184,617 | 1,958,404 | |||
The Saudi Investment Bank | 98,558 | 524,021 | |||
The Saudi National Bank | 438,568 | 8,132,751 | |||
The Savola Group | 52,076 | 451,109 | |||
Yanbu National Petrochemical Company | 50,719 | 673,970 | |||
59,335,689 | |||||
Singapore - 0.7% | |||||
Ascendas Real Estate Investment Trust | 421,400 | 849,293 | |||
BOC Aviation, Ltd. (B) | 39,400 | 315,377 | |||
CapitaLand Integrated Commercial Trust | 662,521 | 979,885 | |||
CapitaLand Investment, Ltd. | 326,100 | 858,549 | |||
City Developments, Ltd. | 50,600 | 293,794 | |||
DBS Group Holdings, Ltd. | 226,572 | 5,275,390 | |||
Genting Singapore, Ltd. | 775,200 | 429,002 | |||
Grab Holdings, Ltd., Class A (A) | 136,200 | 388,170 | |||
JOYY, Inc., ADR | 10,700 | 324,424 | |||
Keppel Corp., Ltd. | 186,031 | 966,156 | |||
Mapletree Logistics Trust | 403,200 | 480,956 | |||
Mapletree Pan Asia Commercial Trust | 289,100 | 380,165 | |||
Oversea-Chinese Banking Corp., Ltd. | 432,478 | 3,727,591 | |||
Sea, Ltd., ADR (A) | 45,200 | 2,802,400 | |||
Singapore Airlines, Ltd. (A) | 166,040 | 630,430 | |||
Singapore Exchange, Ltd. | 107,100 | 726,782 | |||
Singapore Technologies Engineering, Ltd. | 191,300 | 509,767 | |||
Singapore Telecommunications, Ltd. | 1,046,248 | 1,964,182 | |||
United Overseas Bank, Ltd. | 149,857 | 2,922,130 | |||
UOL Group, Ltd. | 59,200 | 292,909 | |||
Venture Corp., Ltd. | 35,300 | 461,189 | |||
Wilmar International, Ltd. | 246,100 | 710,343 | |||
26,288,884 | |||||
South Africa - 0.9% | |||||
Absa Group, Ltd. | 136,588 | 1,414,664 | |||
African Rainbow Minerals, Ltd. | 19,116 | 263,279 | |||
Anglo American Platinum, Ltd. | 8,664 | 604,830 | |||
AngloGold Ashanti, Ltd. | 68,038 | 908,625 | |||
Aspen Pharmacare Holdings, Ltd. | 65,380 | 561,078 | |||
Bid Corp., Ltd. | 55,737 | 1,055,722 | |||
Capitec Bank Holdings, Ltd. | 14,383 | 1,710,216 | |||
Clicks Group, Ltd. | 39,700 | 690,253 | |||
Discovery, Ltd. (A) | 89,103 | 638,418 | |||
Exxaro Resources, Ltd. | 40,532 | 516,388 | |||
FirstRand, Ltd. | 848,479 | 3,169,162 | |||
Gold Fields, Ltd. | 146,509 | 1,183,259 | |||
Growthpoint Properties, Ltd. | 573,544 | 426,620 | |||
Harmony Gold Mining Company, Ltd. | 87,338 | 222,415 | |||
Impala Platinum Holdings, Ltd. | 141,296 | 1,480,549 | |||
Kumba Iron Ore, Ltd. | 10,576 | 234,145 | |||
Momentum Metropolitan Holdings | 35,628 | 34,560 | |||
Mr. Price Group, Ltd. | 42,390 | 459,203 | |||
MTN Group, Ltd. | 283,695 | 2,053,398 | |||
MultiChoice Group | 60,892 | 411,216 | |||
Naspers, Ltd., N Shares | 36,510 | 5,148,148 | |||
Nedbank Group, Ltd. (C) | 76,954 | 908,324 | |||
Northam Platinum Holdings, Ltd. (A) | 55,429 | 522,210 | |||
Old Mutual, Ltd. | 823,656 | 487,952 | |||
Pepkor Holdings, Ltd. (B) | 276,242 | 324,367 | |||
Remgro, Ltd. | 89,464 | 663,415 | |||
Sanlam, Ltd. | 308,362 | 958,650 | |||
Sasol, Ltd. (A) | 95,065 | 1,828,353 | |||
Shoprite Holdings, Ltd. | 83,109 | 1,126,960 |
The accompanying notes are an integral part of the financial statements. | 62 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
South Africa (continued) | |||||
Sibanye Stillwater, Ltd. | 468,204 | $ | 1,045,978 | ||
Standard Bank Group, Ltd. | 227,380 | 2,029,044 | |||
The Bidvest Group, Ltd. | 47,745 | 598,090 | |||
The Foschini Group, Ltd. | 54,847 | 406,040 | |||
The SPAR Group, Ltd. | 30,902 | 282,018 | |||
Vodacom Group, Ltd. | 106,157 | 781,386 | |||
Woolworths Holdings, Ltd. | 162,535 | 530,252 | |||
35,679,187 | |||||
South Korea - 3.5% | |||||
Alteogen, Inc. (A) | 5,473 | 258,042 | |||
Amorepacific Corp. | 5,789 | 527,616 | |||
AMOREPACIFIC Group | 5,582 | 144,497 | |||
BGF retail Company, Ltd. | 1,472 | 176,314 | |||
Celltrion Healthcare Company, Ltd. | 16,920 | 905,460 | |||
Celltrion Pharm, Inc. (A) | 3,196 | 185,896 | |||
Celltrion, Inc. | 19,586 | 2,756,877 | |||
Cheil Worldwide, Inc. | 12,892 | 210,185 | |||
CJ CheilJedang Corp. | 1,634 | 495,654 | |||
CJ Corp. | 2,779 | 161,689 | |||
CJ ENM Company, Ltd. | 2,038 | 148,543 | |||
CJ Logistics Corp. (A) | 1,686 | 148,607 | |||
Coway Company, Ltd. | 10,873 | 515,863 | |||
DB Insurance Company, Ltd. | 9,913 | 441,463 | |||
Doosan Bobcat, Inc. | 10,059 | 258,620 | |||
Doosan Enerbility Company, Ltd. (A) | 79,495 | 1,194,703 | |||
Ecopro BM Company, Ltd. | 9,616 | 795,655 | |||
E-MART, Inc. | 4,283 | 310,938 | |||
F&F Company, Ltd. | 3,408 | 359,594 | |||
Green Cross Corp. | 1,149 | 140,264 | |||
GS Engineering & Construction Corp. | 13,011 | 291,035 | |||
GS Holdings Corp. | 9,505 | 326,326 | |||
Hana Financial Group, Inc. | 60,091 | 1,751,453 | |||
Hankook Tire & Technology Company, Ltd. | 14,811 | 417,549 | |||
Hanmi Pharm Company, Ltd. | 1,328 | 304,325 | |||
Hanon Systems | 35,047 | 268,011 | |||
Hanwha Solutions Corp. (A) | 22,821 | 889,834 | |||
HD Hyundai Company, Ltd. | 9,067 | 425,726 | |||
HLB, Inc. (A) | 19,090 | 696,964 | |||
HMM Company, Ltd. | 53,343 | 879,098 | |||
Hotel Shilla Company, Ltd. | 5,847 | 320,294 | |||
HYBE Company, Ltd. (A) | 3,277 | 439,136 | |||
Hyundai Engineering & Construction Company, Ltd. | 15,490 | 553,889 | |||
Hyundai Glovis Company, Ltd. | 3,752 | 491,614 | |||
Hyundai Heavy Industries Company, Ltd. (A) | 3,507 | 373,183 | |||
Hyundai Mobis Company, Ltd. | 12,276 | 1,957,695 | |||
Hyundai Motor Company | 27,682 | 4,021,705 | |||
Hyundai Steel Company | 17,318 | 422,295 | |||
Iljin Materials Company, Ltd. | 4,559 | 249,833 | |||
Industrial Bank of Korea | 54,570 | 388,556 | |||
Kakao Corp. | 61,970 | 3,365,200 | |||
Kakao Games Corp. (A) | 6,890 | 268,742 | |||
KakaoBank Corp. (A) | 23,275 | 471,288 | |||
Kangwon Land, Inc. (A) | 18,829 | 371,243 | |||
KB Financial Group, Inc. | 79,195 | 2,907,167 | |||
Kia Corp. | 52,408 | 3,141,223 | |||
Korea Aerospace Industries, Ltd. | 14,538 | 659,673 | |||
Korea Electric Power Corp. (A) | 49,346 | 769,446 | |||
Korea Investment Holdings Company, Ltd. | 8,954 | 377,546 | |||
Korea Shipbuilding & Offshore Engineering Company, Ltd. (A) | 8,292 | 598,442 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
South Korea (continued) | |||||
Korea Zinc Company, Ltd. | 1,665 | $ | 832,878 | ||
Korean Air Lines Company, Ltd. (A) | 34,293 | 681,577 | |||
Krafton, Inc. (A) | 4,863 | 888,349 | |||
KT&G Corp. | 21,864 | 1,358,136 | |||
Kumho Petrochemical Company, Ltd. | 3,661 | 353,129 | |||
L&F Company, Ltd. (A) | 4,484 | 760,499 | |||
LG Chem, Ltd. | 9,847 | 4,609,347 | |||
LG Corp. | 18,997 | 1,159,217 | |||
LG Display Company, Ltd. | 45,796 | 529,263 | |||
LG Electronics, Inc. | 21,185 | 1,585,275 | |||
LG Energy Solution, Ltd. (A) | 4,186 | 1,434,614 | |||
LG H&H Company, Ltd. | 1,871 | 990,772 | |||
LG Innotek Company, Ltd. | 2,828 | 719,890 | |||
LG Uplus Corp. | 41,169 | 352,571 | |||
Lotte Chemical Corp. | 3,436 | 446,146 | |||
Lotte Shopping Company, Ltd. | 2,200 | 161,484 | |||
Meritz Financial Group, Inc. | 6,704 | 153,657 | |||
Meritz Fire & Marine Insurance Company, Ltd. | 7,733 | 220,781 | |||
Meritz Securities Company, Ltd. | 57,419 | 206,941 | |||
Mirae Asset Securities Company, Ltd. | 60,488 | 294,990 | |||
NAVER Corp. | 26,082 | 4,628,163 | |||
NCSoft Corp. | 3,271 | 919,192 | |||
Netmarble Corp. (B) | 4,121 | 194,291 | |||
NH Investment & Securities Company, Ltd. | 34,062 | 252,155 | |||
Orion Corp. | 4,696 | 344,003 | |||
Pan Ocean Company, Ltd. | 52,964 | 202,660 | |||
Pearl Abyss Corp. (A) | 5,838 | 245,495 | |||
POSCO Chemical Company, Ltd. | 5,324 | 661,847 | |||
POSCO Holdings, Inc. | 15,678 | 2,965,732 | |||
S-1 Corp. | 3,017 | 130,998 | |||
Samsung Biologics Company, Ltd. (A)(B) | 3,493 | 2,172,504 | |||
Samsung C&T Corp. | 16,840 | 1,507,801 | |||
Samsung Electro-Mechanics Company, Ltd. | 11,147 | 1,154,123 | |||
Samsung Electronics Company, Ltd. | 950,618 | 42,113,113 | |||
Samsung Engineering Company, Ltd. (A) | 30,952 | 538,164 | |||
Samsung Fire & Marine Insurance Company, Ltd. | 6,459 | 938,713 | |||
Samsung Heavy Industries Company, Ltd. (A) | 119,522 | 530,300 | |||
Samsung Life Insurance Company, Ltd. | 16,668 | 769,296 | |||
Samsung SDI Company, Ltd. | 10,933 | 4,833,497 | |||
Samsung SDS Company, Ltd. | 6,837 | 652,514 | |||
Samsung Securities Company, Ltd. | 13,885 | 349,557 | |||
SD Biosensor, Inc. | 7,312 | 191,169 | |||
Seegene, Inc. | 7,338 | 171,914 | |||
Shinhan Financial Group Company, Ltd. | 92,359 | 2,502,326 | |||
SK Biopharmaceuticals Company, Ltd. (A) | 6,063 | 322,352 | |||
SK Bioscience Company, Ltd. (A) | 4,587 | 384,018 | |||
SK Chemicals Company, Ltd. | 2,278 | 165,139 | |||
SK Hynix, Inc. | 108,713 | 7,643,390 | |||
SK IE Technology Company, Ltd. (A)(B) | 4,928 | 303,133 | |||
SK Innovation Company, Ltd. (A) | 10,982 | 1,545,995 | |||
SK Square Company, Ltd. (A) | 19,826 | 595,751 | |||
SK Telecom Company, Ltd. | 5,119 | 198,599 | |||
SK, Inc. | 7,327 | 1,267,344 | |||
SKC Company, Ltd. | 4,086 | 367,168 | |||
S-Oil Corp. | 8,846 | 670,969 | |||
Woori Financial Group, Inc. | 102,367 | 926,004 | |||
Yuhan Corp. | 9,888 | 418,173 | |||
140,052,049 |
The accompanying notes are an integral part of the financial statements. | 63 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Spain - 1.0% | |||||
Acciona SA | 3,122 | $ | 611,497 | ||
ACS Actividades de Construccion y Servicios SA | 31,003 | 690,737 | |||
Aena SME SA (A)(B) | 9,455 | 1,161,284 | |||
Amadeus IT Group SA (A) | 57,444 | 3,032,445 | |||
Banco Bilbao Vizcaya Argentaria SA | 852,087 | 3,823,495 | |||
Banco Santander SA (C) | 2,213,719 | 5,358,766 | |||
CaixaBank SA | 558,831 | 1,687,399 | |||
Cellnex Telecom SA (A)(B) | 69,142 | 2,692,590 | |||
EDP Renovaveis SA | 35,662 | 864,885 | |||
Enagas SA | 29,437 | 537,525 | |||
Endesa SA | 39,832 | 683,202 | |||
Ferrovial SA | 61,442 | 1,540,659 | |||
Grifols SA (A)(C) | 38,137 | 461,023 | |||
Iberdrola SA | 760,265 | 7,915,686 | |||
Industria de Diseno Textil SA | 139,515 | 3,012,342 | |||
Mapfre SA | 16,854 | 27,960 | |||
Naturgy Energy Group SA (C) | 17,864 | 492,596 | |||
Red Electrica Corp. SA | 50,513 | 923,522 | |||
Repsol SA | 185,937 | 2,414,975 | |||
Siemens Gamesa Renewable Energy SA (A) | 30,188 | 543,928 | |||
Telefonica SA | 688,572 | 2,841,761 | |||
41,318,277 | |||||
Sweden - 1.3% | |||||
Alfa Laval AB | 34,698 | 925,306 | |||
Alleima AB (A) | 25,144 | 100,954 | |||
Assa Abloy AB, B Shares | 118,461 | 2,399,306 | |||
Atlas Copco AB, A Shares | 312,062 | 3,167,750 | |||
Atlas Copco AB, B Shares | 189,193 | 1,722,752 | |||
Boliden AB | 32,299 | 1,034,284 | |||
Electrolux AB, Series B | 26,640 | 336,864 | |||
Embracer Group AB (A)(C) | 73,771 | 457,710 | |||
Epiroc AB, A Shares | 77,189 | 1,181,055 | |||
Epiroc AB, B Shares | 45,915 | 625,079 | |||
EQT AB | 35,506 | 795,257 | |||
Essity AB, B Shares | 71,644 | 1,589,298 | |||
Evolution AB (B) | 21,544 | 1,723,591 | |||
Fastighets AB Balder, B Shares (A) | 74,710 | 412,564 | |||
Getinge AB, B Shares | 27,119 | 502,286 | |||
Hennes & Mauritz AB, B Shares (C) | 86,164 | 894,841 | |||
Hexagon AB, B Shares | 229,595 | 2,346,241 | |||
Holmen AB, B Shares | 10,949 | 469,762 | |||
Husqvarna AB, B Shares | 49,497 | 333,037 | |||
Industrivarden AB, A Shares | 19,894 | 440,890 | |||
Industrivarden AB, C Shares (C) | 13,620 | 298,795 | |||
Indutrade AB | 31,205 | 577,792 | |||
Investment AB Latour, B Shares | 17,001 | 334,908 | |||
Investor AB, A Shares (C) | 53,289 | 885,701 | |||
Investor AB, B Shares | 221,780 | 3,495,520 | |||
Kinnevik AB, B Shares (A) | 28,668 | 407,975 | |||
L.E. Lundbergforetagen AB, B Shares | 8,929 | 368,779 | |||
Lifco AB, B Shares | 27,106 | 421,040 | |||
Nibe Industrier AB, B Shares | 178,449 | 1,671,130 | |||
Sagax AB, B Shares | 22,250 | 478,531 | |||
Sandvik AB | 125,721 | 1,960,053 | |||
Securitas AB, B Shares (C) | 37,493 | 328,315 | |||
Sinch AB (A)(B) | 65,426 | 126,492 | |||
Skandinaviska Enskilda Banken AB, A Shares | 191,786 | 1,911,858 | |||
Skanska AB, B Shares | 40,285 | 595,117 | |||
SKF AB, B Shares | 45,262 | 678,594 | |||
Svenska Cellulosa AB SCA, B Shares | 71,080 | 1,065,028 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Sweden (continued) | |||||
Svenska Handelsbanken AB, A Shares | 168,886 | $ | 1,383,206 | ||
Swedbank AB, A Shares | 105,192 | 1,359,597 | |||
Swedish Match AB | 184,586 | 1,853,085 | |||
Swedish Orphan Biovitrum AB (A) | 19,981 | 441,217 | |||
Tele2 AB, B Shares | 65,684 | 699,520 | |||
Telefonaktiebolaget LM Ericsson, B Shares | 343,744 | 2,570,663 | |||
Telia Company AB | 310,024 | 1,091,202 | |||
Volvo AB, A Shares | 11,006 | 183,168 | |||
Volvo AB, B Shares | 191,314 | 3,030,470 | |||
Volvo Car AB, B Shares (A)(C) | 70,045 | 426,673 | |||
50,103,256 | |||||
Switzerland - 5.6% | |||||
ABB, Ltd. | 239,374 | 6,598,017 | |||
Adecco Group AG | 23,421 | 742,458 | |||
Alcon, Inc. | 73,060 | 4,810,487 | |||
Bachem Holding AG | 4,501 | 311,679 | |||
Baloise Holding AG | 7,402 | 1,068,248 | |||
Barry Callebaut AG | 506 | 1,035,345 | |||
Chocoladefabriken Lindt & Spruengli AG | 15 | 1,633,408 | |||
Chocoladefabriken Lindt & Spruengli AG, Participation Certificates | 158 | 1,671,066 | |||
Cie Financiere Richemont SA, A Shares | 76,246 | 8,526,471 | |||
Clariant AG (A) | 31,029 | 572,899 | |||
Coca-Cola HBC AG (A) | 50,199 | 1,145,505 | |||
Credit Suisse Group AG | 389,450 | 2,009,610 | |||
EMS-Chemie Holding AG | 972 | 682,574 | |||
Geberit AG | 5,165 | 2,386,465 | |||
Givaudan SA | 1,342 | 4,281,754 | |||
Glencore PLC (A) | 2,476,727 | 13,541,611 | |||
Holcim, Ltd. (A) | 80,934 | 3,587,441 | |||
Julius Baer Group, Ltd. | 32,941 | 1,591,699 | |||
Kuehne + Nagel International AG | 7,856 | 1,815,608 | |||
Logitech International SA | 25,030 | 1,245,391 | |||
Lonza Group AG | 10,881 | 5,803,055 | |||
Nestle SA | 410,759 | 48,068,240 | |||
Novartis AG | 319,980 | 25,882,565 | |||
Partners Group Holding AG | 3,335 | 3,219,122 | |||
Roche Holding AG | 102,668 | 33,083,905 | |||
Roche Holding AG, Bearer Shares | 3,784 | 1,445,331 | |||
Schindler Holding AG | 2,661 | 449,418 | |||
Schindler Holding AG, Participation Certificates | 6,552 | 1,141,403 | |||
SGS SA | 904 | 1,990,774 | |||
Sika AG | 21,196 | 4,768,989 | |||
Sonova Holding AG | 7,831 | 2,063,263 | |||
STMicroelectronics NV | 125,553 | 4,375,564 | |||
Straumann Holding AG | 16,276 | 1,783,569 | |||
Swiss Life Holding AG | 4,775 | 2,495,784 | |||
Swiss Prime Site AG | 10,771 | 926,329 | |||
Swiss Re AG | 45,248 | 3,518,290 | |||
Swisscom AG | 3,702 | 1,914,046 | |||
Temenos AG | 9,199 | 753,344 | |||
The Swatch Group AG | 3,721 | 169,227 | |||
The Swatch Group AG, Bearer Shares | 4,922 | 1,193,563 | |||
UBS Group AG | 516,203 | 8,180,128 | |||
VAT Group AG (B) | 3,894 | 931,081 | |||
Zurich Insurance Group AG | 22,328 | 9,911,392 | |||
223,326,118 | |||||
Taiwan - 2.6% | |||||
Accton Technology Corp. | 56,000 | 515,682 | |||
Acer, Inc. | 322,000 | 231,268 | |||
Advantech Company, Ltd. | 46,265 | 493,555 | |||
ASE Technology Holding Company, Ltd. | 372,000 | 1,034,908 |
The accompanying notes are an integral part of the financial statements. | 64 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Taiwan (continued) | |||||
Asia Cement Corp. | 254,000 | $ | 359,570 | ||
ASMedia Technology, Inc. | 3,000 | 90,552 | |||
Asustek Computer, Inc. | 80,000 | 665,683 | |||
AUO Corp. | 901,000 | 491,973 | |||
Catcher Technology Company, Ltd. | 77,000 | 466,758 | |||
Cathay Financial Holding Company, Ltd. | 919,000 | 1,336,985 | |||
Chailease Holding Company, Ltd. | 152,760 | 980,828 | |||
Chang Hwa Commercial Bank, Ltd. | 522,062 | 301,549 | |||
Cheng Shin Rubber Industry Company, Ltd. | 186,000 | 215,471 | |||
China Airlines, Ltd. | 311,000 | 230,055 | |||
China Development Financial Holding Corp. | 1,799,548 | 786,210 | |||
China Steel Corp. | 1,304,000 | 1,234,975 | |||
Chunghwa Telecom Company, Ltd. | 426,000 | 1,690,406 | |||
Compal Electronics, Inc. | 461,000 | 343,245 | |||
CTBC Financial Holding Company, Ltd. | 1,946,000 | 1,490,551 | |||
Delta Electronics, Inc. | 217,000 | 1,857,879 | |||
E Ink Holdings, Inc. | 96,000 | 746,480 | |||
E.Sun Financial Holding Company, Ltd. | 1,407,165 | 1,296,575 | |||
Eclat Textile Company, Ltd. | 21,340 | 309,077 | |||
eMemory Technology, Inc. | 7,000 | 313,070 | |||
Eva Airways Corp. | 287,000 | 314,084 | |||
Evergreen Marine Corp. Taiwan, Ltd. | 283,900 | 813,577 | |||
Far Eastern New Century Corp. | 343,000 | 367,545 | |||
Far EasTone Telecommunications Company, Ltd. | 171,000 | 419,387 | |||
Feng TAY Enterprise Company, Ltd. | 47,920 | 268,848 | |||
First Financial Holding Company, Ltd. | 1,150,877 | 998,476 | |||
Formosa Chemicals & Fibre Corp. | 390,000 | 876,174 | |||
Formosa Petrochemical Corp. | 117,000 | 320,710 | |||
Formosa Plastics Corp. | 463,000 | 1,380,478 | |||
Fubon Financial Holding Company, Ltd. | 803,100 | 1,505,852 | |||
Giant Manufacturing Company, Ltd. | 33,000 | 257,777 | |||
Globalwafers Company, Ltd. | 24,000 | 379,701 | |||
Hon Hai Precision Industry Company, Ltd. | 1,392,800 | 4,959,455 | |||
Hotai Motor Company, Ltd. | 33,000 | 661,245 | |||
Hua Nan Financial Holdings Company, Ltd. | 949,104 | 720,383 | |||
Innolux Corp. | 1,110,000 | 437,221 | |||
Inventec Corp. | 260,000 | 196,838 | |||
Largan Precision Company, Ltd. | 11,000 | 699,712 | |||
Lite-On Technology Corp. | 221,000 | 475,599 | |||
MediaTek, Inc. | 169,000 | 3,656,609 | |||
Mega Financial Holding Company, Ltd. | 1,239,225 | 1,453,520 | |||
Micro-Star International Company, Ltd. | 76,000 | 284,516 | |||
momo.com, Inc. | 7,200 | 170,730 | |||
Nan Ya Plastics Corp. | 533,000 | 1,197,223 | |||
Nan Ya Printed Circuit Board Corp. | 25,000 | 218,106 | |||
Nanya Technology Corp. | 141,000 | 244,888 | |||
Nien Made Enterprise Company, Ltd. | 19,000 | 175,460 | |||
Novatek Microelectronics Corp. | 65,000 | 556,095 | |||
Pegatron Corp. | 221,000 | 459,641 | |||
Pou Chen Corp. | 256,000 | 242,507 | |||
Powerchip Semiconductor Manufacturing Corp. | 293,000 | 328,553 | |||
President Chain Store Corp. | 61,000 | 536,042 | |||
Quanta Computer, Inc. | 299,000 | 775,130 | |||
Realtek Semiconductor Corp. | 50,000 | 561,835 | |||
Ruentex Development Company, Ltd. | 128,976 | 265,955 | |||
Shin Kong Financial Holding Company, Ltd. | 1,571,988 | 451,603 | |||
SinoPac Financial Holdings Company, Ltd. | 1,128,777 | 639,918 | |||
Synnex Technology International Corp. | 154,000 | 280,709 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Taiwan (continued) | |||||
Taishin Financial Holding Company, Ltd. | 1,177,173 | $ | 584,263 | ||
Taiwan Cement Corp. | 670,442 | 863,052 | |||
Taiwan Cooperative Financial Holding Company, Ltd. | 1,056,841 | 954,423 | |||
Taiwan High Speed Rail Corp. | 179,000 | 171,136 | |||
Taiwan Mobile Company, Ltd. | 184,000 | 601,430 | |||
Taiwan Semiconductor Manufacturing Company, Ltd. | 2,740,816 | 44,866,600 | |||
The Shanghai Commercial & Savings Bank, Ltd. | 385,000 | 626,668 | |||
Unimicron Technology Corp. | 140,000 | 685,962 | |||
Uni-President Enterprises Corp. | 532,000 | 1,149,685 | |||
United Microelectronics Corp. (A) | 1,323,000 | 1,760,208 | |||
Vanguard International Semiconductor Corp. | 100,000 | 241,753 | |||
Voltronic Power Technology Corp. | 7,000 | 395,001 | |||
Walsin Lihwa Corp. | 290,000 | 374,516 | |||
Wan Hai Lines, Ltd. | 79,545 | 224,189 | |||
Win Semiconductors Corp. | 37,000 | 218,777 | |||
Winbond Electronics Corp. | 335,000 | 241,369 | |||
Wiwynn Corp. | 10,000 | 250,335 | |||
WPG Holdings, Ltd. | 171,960 | 289,190 | |||
Yageo Corp. | 48,556 | 519,317 | |||
Yang Ming Marine Transport Corp. | 195,000 | 499,546 | |||
Yuanta Financial Holding Company, Ltd. | 1,110,834 | 737,367 | |||
Zhen Ding Technology Holding, Ltd. | 77,000 | 285,761 | |||
102,575,955 | |||||
Thailand - 0.6% | |||||
Advanced Info Service PCL, NVDR | 224,200 | 1,179,542 | |||
Airports of Thailand PCL, NVDR (A) | 805,000 | 1,604,166 | |||
Asset World Corp. PCL | 96,000 | 14,703 | |||
Asset World Corp. PCL, NVDR | 1,435,100 | 219,801 | |||
B. Grimm Power PCL, NVDR | 170,400 | 172,614 | |||
Bangkok Commercial Asset Management PCL, NVDR | 332,300 | 167,481 | |||
Bangkok Dusit Medical Services PCL, NVDR | 1,950,900 | 1,563,551 | |||
Bangkok Expressway & Metro PCL, NVDR | 1,368,400 | 328,112 | |||
Berli Jucker PCL, NVDR | 223,700 | 205,574 | |||
BTS Group Holdings PCL, NVDR | 1,434,100 | 330,120 | |||
Bumrungrad Hospital PCL, NVDR | 90,100 | 533,505 | |||
Carabao Group PCL, NVDR | 55,100 | 152,449 | |||
Central Pattana PCL, NVDR | 381,800 | 724,050 | |||
Central Retail Corp. PCL, NVDR | 328,733 | 364,387 | |||
Charoen Pokphand Foods PCL, NVDR | 736,000 | 524,404 | |||
CP ALL PCL, NVDR | 1,099,100 | 1,852,595 | |||
Delta Electronics Thailand PCL, NVDR | 58,700 | 841,119 | |||
Electricity Generating PCL, NVDR | 51,400 | 257,723 | |||
Energy Absolute PCL, NVDR | 315,900 | 737,530 | |||
Global Power Synergy PCL, NVDR | 133,700 | 248,878 | |||
Gulf Energy Development PCL | 15,000 | 21,049 | |||
Gulf Energy Development PCL, NVDR | 532,100 | 746,671 | |||
Home Product Center PCL, NVDR | 1,092,500 | 416,184 | |||
Indorama Ventures PCL, NVDR | 321,500 | 380,756 | |||
Intouch Holdings PCL, NVDR | 210,200 | 418,704 | |||
JMT Network Services PCL, NVDR | 120,900 | 258,298 | |||
Krung Thai Bank PCL, NVDR | 702,200 | 324,677 | |||
Krungthai Card PCL, NVDR | 166,100 | 273,871 | |||
Land & Houses PCL, NVDR | 1,630,500 | 397,778 | |||
Minor International PCL, NVDR (A) | 577,200 | 516,881 | |||
Muangthai Capital PCL, NVDR | 141,100 | 164,155 | |||
Osotspa PCL, NVDR | 260,000 | 222,612 |
The accompanying notes are an integral part of the financial statements. | 65 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Thailand (continued) | |||||
PTT Exploration & Production PCL, NVDR | 257,200 | $ | 1,189,558 | ||
PTT Global Chemical PCL, NVDR | 443,400 | 576,521 | |||
PTT Oil & Retail Business PCL, NVDR | 555,800 | 414,924 | |||
PTT PCL, NVDR | 1,892,000 | 1,943,883 | |||
Ratch Group PCL, NVDR | 231,700 | 279,498 | |||
SCB X PCL, NVDR | 161,600 | 488,494 | |||
SCG Packaging PCL, NVDR | 258,700 | 401,857 | |||
Srisawad Corp. PCL, NVDR | 133,600 | 178,170 | |||
Thai Oil PCL, NVDR | 203,000 | 337,749 | |||
Thai Union Group PCL, NVDR | 541,200 | 259,513 | |||
The Siam Cement PCL, NVDR | 148,100 | 1,452,857 | |||
True Corp. PCL, NVDR | 2,181,800 | 272,699 | |||
23,959,663 | |||||
Turkey - 0.1% | |||||
Akbank TAS | 390,439 | 250,773 | |||
Aselsan Elektronik Sanayi Ve Ticaret AS | 85,168 | 121,836 | |||
BIM Birlesik Magazalar AS | 53,059 | 318,325 | |||
Eregli Demir ve Celik Fabrikalari TAS | 169,478 | 267,803 | |||
Ford Otomotiv Sanayi AS | 8,059 | 146,433 | |||
Haci Omer Sabanci Holding AS | 126,386 | 176,554 | |||
KOC Holding AS | 96,618 | 241,052 | |||
Turk Hava Yollari AO (A) | 70,418 | 282,422 | |||
Turkcell Iletisim Hizmetleri AS | 148,062 | 174,965 | |||
Turkiye Is Bankasi AS, Class C | 470,794 | 203,936 | |||
Turkiye Petrol Rafinerileri AS (A) | 14,020 | 276,416 | |||
Turkiye Sise ve Cam Fabrikalari AS | 169,585 | 229,579 | |||
2,690,094 | |||||
United Arab Emirates - 0.4% | |||||
Abu Dhabi Commercial Bank PJSC | 528,973 | 1,304,926 | |||
Abu Dhabi Islamic Bank PJSC | 274,803 | 661,048 | |||
Abu Dhabi National Oil Company for Distribution PJSC | 580,227 | 701,086 | |||
Aldar Properties PJSC | 734,261 | 961,606 | |||
Dubai Islamic Bank PJSC | 552,204 | 878,258 | |||
Emaar Properties PJSC | 775,718 | 1,318,304 | |||
Emirates NBD Bank PJSC | 358,772 | 1,301,513 | |||
Emirates Telecommunications Group Company PJSC | 660,775 | 4,630,585 | |||
First Abu Dhabi Bank PJSC | 837,349 | 4,348,733 | |||
NMC Health PLC (A) | 5,577 | 11 | |||
16,106,070 | |||||
United Kingdom - 12.7% | |||||
3i Group PLC | 247,218 | 3,479,900 | |||
abrdn PLC | 580,997 | 987,374 | |||
Admiral Group PLC | 45,668 | 1,123,374 | |||
Anglo American PLC | 318,302 | 10,228,438 | |||
Ashtead Group PLC | 111,486 | 5,477,046 | |||
Associated British Foods PLC | 89,009 | 1,571,983 | |||
AstraZeneca PLC | 388,095 | 48,004,235 | |||
Auto Trader Group PLC (B) | 235,596 | 1,778,905 | |||
AVEVA Group PLC | 29,865 | 968,474 | |||
Aviva PLC | 728,140 | 3,532,375 | |||
BAE Systems PLC | 788,400 | 7,100,388 | |||
Barclays PLC | 4,180,512 | 7,970,924 | |||
Barratt Developments PLC | 258,188 | 1,278,230 | |||
BP PLC | 4,871,452 | 24,892,675 | |||
British American Tobacco PLC | 545,684 | 21,856,074 | |||
BT Group PLC | 1,738,133 | 3,040,508 | |||
Bunzl PLC | 84,187 | 2,791,983 | |||
Burberry Group PLC | 99,984 | 2,022,538 | |||
CNH Industrial NV | 129,633 | 1,578,298 | |||
Coca-Cola Europacific Partners PLC | 25,878 | 1,272,421 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
United Kingdom (continued) | |||||
Compass Group PLC | 446,865 | $ | 9,612,511 | ||
Croda International PLC | 34,941 | 2,723,465 | |||
Diageo PLC | 580,008 | 25,199,182 | |||
Entain PLC | 146,861 | 2,160,705 | |||
Ferguson PLC | 54,755 | 6,341,057 | |||
GSK PLC | 1,019,029 | 16,289,147 | |||
Haleon PLC (A) | 1,271,792 | 3,824,344 | |||
Halma PLC | 95,131 | 2,288,366 | |||
Hargreaves Lansdown PLC | 89,326 | 845,663 | |||
HSBC Holdings PLC | 5,076,345 | 31,101,878 | |||
Imperial Brands PLC | 226,472 | 4,980,521 | |||
Informa PLC | 373,284 | 2,361,628 | |||
InterContinental Hotels Group PLC | 46,186 | 2,507,254 | |||
Intertek Group PLC | 40,154 | 1,843,006 | |||
J Sainsbury PLC | 433,747 | 1,023,796 | |||
JD Sports Fashion PLC | 643,989 | 842,355 | |||
Johnson Matthey PLC | 46,607 | 1,087,376 | |||
Kingfisher PLC | 512,967 | 1,377,963 | |||
Land Securities Group PLC | 175,103 | 1,320,695 | |||
Legal & General Group PLC | 1,525,792 | 4,469,137 | |||
Lloyds Banking Group PLC | 17,804,821 | 9,022,692 | |||
London Stock Exchange Group PLC | 82,485 | 7,737,196 | |||
M&G PLC | 642,971 | 1,459,177 | |||
Melrose Industries PLC | 1,093,190 | 1,725,107 | |||
Mondi PLC | 121,743 | 2,066,633 | |||
National Grid PLC | 910,604 | 11,338,669 | |||
NatWest Group PLC | 1,308,441 | 3,733,844 | |||
Next PLC | 32,948 | 2,218,771 | |||
Ocado Group PLC (A) | 144,160 | 1,211,535 | |||
Pearson PLC | 169,692 | 1,698,269 | |||
Persimmon PLC | 80,202 | 1,372,341 | |||
Phoenix Group Holdings PLC | 188,621 | 1,317,436 | |||
Prudential PLC | 693,239 | 7,275,635 | |||
Reckitt Benckiser Group PLC | 178,867 | 13,801,623 | |||
RELX PLC | 483,851 | 12,689,008 | |||
Rentokil Initial PLC | 464,597 | 2,805,913 | |||
Rio Tinto PLC | 281,373 | 15,534,634 | |||
Rolls-Royce Holdings PLC (A) | 2,089,511 | 1,862,206 | |||
Schroders PLC | 33,085 | 1,029,143 | |||
Segro PLC | 301,655 | 3,291,946 | |||
Severn Trent PLC | 61,283 | 1,979,531 | |||
Shell PLC | 1,905,907 | 50,445,457 | |||
Smith & Nephew PLC | 220,193 | 2,590,064 | |||
Smiths Group PLC | 96,535 | 1,667,718 | |||
Spirax-Sarco Engineering PLC | 18,405 | 2,246,809 | |||
SSE PLC | 266,527 | 5,107,367 | |||
St. James's Place PLC | 137,919 | 1,765,349 | |||
Standard Chartered PLC | 650,694 | 4,506,792 | |||
Taylor Wimpey PLC | 923,973 | 1,159,153 | |||
Tesco PLC | 1,908,705 | 5,512,838 | |||
The Berkeley Group Holdings PLC | 28,089 | 1,189,090 | |||
The British Land Company PLC | 218,027 | 1,087,561 | |||
The Sage Group PLC | 253,062 | 2,097,546 | |||
Unilever PLC | 641,435 | 29,096,894 | |||
United Utilities Group PLC | 167,385 | 2,051,513 | |||
Vodafone Group PLC | 6,754,489 | 9,043,235 | |||
Whitbread PLC | 50,287 | 1,457,482 | |||
WPP PLC | 285,686 | 2,460,620 | |||
501,812,989 | |||||
United States - 0.1% | |||||
Bausch Health Companies, Inc. (A) | 64,946 | 389,671 | |||
Brookfield Renewable Corp., Class A | 29,881 | 1,148,280 | |||
Legend Biotech Corp., ADR (A) | 9,314 | 433,008 |
The accompanying notes are an integral part of the financial statements. | 66 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
United States (continued) | |||||
Parade Technologies, Ltd. | 8,255 | $ | 231,088 | ||
2,202,047 | |||||
TOTAL COMMON STOCKS (Cost $4,226,303,278) | $ | 3,728,761,441 | |||
PREFERRED SECURITIES - 1.0% | |||||
Brazil - 0.5% | |||||
Banco Bradesco SA | 1,040,887 | 3,793,483 | |||
Braskem SA, A Shares | 36,800 | 215,393 | |||
Centrais Eletricas Brasileiras SA, B Shares | 52,700 | 485,224 | |||
Cia Energetica de Minas Gerais | 267,295 | 621,688 | |||
Gerdau SA | 219,200 | 982,574 | |||
Itau Unibanco Holding SA | 925,000 | 4,589,084 | |||
Itausa SA | 894,128 | 1,572,596 | |||
Petroleo Brasileiro SA | 917,400 | 5,859,834 | |||
18,119,876 | |||||
Chile - 0.1% | |||||
Sociedad Quimica y Minera de Chile SA, B Shares | 27,726 | 2,771,888 | |||
Colombia - 0.0% | |||||
Bancolombia SA | 166,816 | 1,151,780 | |||
Germany - 0.2% | |||||
Bayerische Motoren Werke AG | 9,013 | 626,624 | |||
Henkel AG & Company KGaA | 29,679 | 1,915,301 | |||
Porsche Automobil Holding SE | 24,473 | 1,725,587 | |||
Sartorius AG | 3,867 | 1,611,097 | |||
Volkswagen AG | 29,624 | 4,213,709 | |||
10,092,318 | |||||
South Korea - 0.2% | |||||
Hyundai Motor Company | 4,455 | 302,312 | |||
Hyundai Motor Company, 2nd Preferred | 7,209 | 500,128 | |||
LG Chem, Ltd. | 1,503 | 335,826 | |||
LG H&H Company, Ltd. | 398 | 108,473 | |||
Samsung Electronics Company, Ltd. | 163,142 | 6,599,447 | |||
7,846,186 | |||||
TOTAL PREFERRED SECURITIES (Cost $44,920,370) | $ | 39,982,048 | |||
WARRANTS - 0.0% | |||||
BTS Group Holdings PCL (Expiration Date: 11-20-26; Strike Price: THB 14.90) (A) | 100,920 | 635 | |||
BTS Group Holdings PCL (Expiration Date: 11-7-24; Strike Price: THB 11.90) (A) | 50,460 | 332 | |||
BTS Group Holdings PCL (Expiration Date: 9-5-22; Strike Price: THB 9.90) (A) | 25,230 | 0 | |||
Cie Financiere Richemont SA (Expiration Date: 11-22-23; Strike Price: CHF 67.00) (A) | 72,322 | 46,612 | |||
Minor International PCL (Expiration Date: 2-15-24; Strike Price: THB 31.00) (A) | 5,503 | 542 | |||
Minor International PCL (Expiration Date: 5-5-23; Strike Price: THB 28.00) (A) | 6,072 | 760 |
Shares or Principal Amount | Value | ||||
WARRANTS (continued) | |||||
Minor International PCL (Expiration Date: 7-31-23; Strike Price: THB 21.60) (A) | 12,759 | $ | 3,808 | ||
Srisawad Corp. PCL (Expiration Date: 8-29-25; Strike Price: THB 100.00) (A) | 2,652 | 342 | |||
TOTAL WARRANTS (Cost $0) | $ | 53,031 | |||
SHORT-TERM INVESTMENTS - 4.9% | |||||
U.S. Government - 0.2% | |||||
U.S. Treasury Bill 2.430%, 10/18/2022 * | $ | 8,500,000 | 8,472,534 | ||
U.S. Government Agency - 4.0% | |||||
Federal Home Loan Bank Discount Note | |||||
1.830%, 09/23/2022 * | 800,000 | 798,899 | |||
2.170%, 09/06/2022 * | 11,500,000 | 11,496,400 | |||
2.210%, 09/28/2022 * | 6,900,000 | 6,888,343 | |||
2.250%, 09/27/2022 * | 37,900,000 | 37,838,342 | |||
2.340%, 10/07/2022 * | 97,500,000 | 97,248,165 | |||
Federal Home Loan Mortgage Corp. Discount Note 2.000%, 09/01/2022 * | 4,300,000 | 4,300,000 | |||
158,570,149 | |||||
Short-term funds - 0.7% | |||||
John Hancock Collateral Trust, 2.3160% (E)(F) | 2,694,050 | 26,922,715 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $193,990,486) | $ | 193,965,398 | |||
Total Investments (International Strategic Equity Allocation Fund) (Cost $4,465,214,134) - 100.0% | $ | 3,962,761,918 | |||
Other assets and liabilities, net - (0.0%) | (509,295) | ||||
TOTAL NET ASSETS - 100.0% | $ | 3,962,252,623 |
Currency Abbreviations | |
CHF | Swiss Franc |
THB | Thai Bhat |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
NVDR | Non-Voting Depositary Receipt |
(A) | Non-income producing security. |
(B) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. |
(C) | All or a portion of this security is on loan as of 8-31-22. |
(D) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(E) | The rate shown is the annualized seven-day yield as of 8-31-22. |
(F) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
The accompanying notes are an integral part of the financial statements. | 67 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Canadian Dollar Currency Futures | 266 | Long | Sep 2022 | $20,637,555 | $20,245,260 | $(392,295) |
Mini MSCI EAFE Index Futures | 1,239 | Long | Sep 2022 | 116,849,061 | 113,157,870 | (3,691,191) |
Mini MSCI Emerging Markets Index Futures | 1,126 | Long | Sep 2022 | 56,898,123 | 55,269,710 | (1,628,413) |
S&P/TSX 60 Index Futures | 114 | Long | Sep 2022 | 20,639,728 | 20,224,616 | (415,112) |
$(6,127,011) |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 93.4% | |||||
Communication services – 5.7% | |||||
Entertainment – 0.8% | |||||
Madison Square Garden Entertainment Corp. (A) | 93,400 | $ | 5,189,304 | ||
Madison Square Garden Sports Corp. (A) | 32,059 | 5,138,096 | |||
10,327,400 | |||||
Media – 4.9% | |||||
DISH Network Corp., Class A (A) | 321,841 | 5,583,941 | |||
Fox Corp., Class A | 197,778 | 6,760,052 | |||
News Corp., Class A | 1,733,149 | 29,324,881 | |||
Paramount Global, Class B | 575,806 | 13,468,102 | |||
Scholastic Corp. | 267,895 | 12,299,059 | |||
67,436,035 | |||||
77,763,435 | |||||
Consumer discretionary – 5.9% | |||||
Automobiles – 0.9% | |||||
General Motors Company | 336,700 | 12,865,307 | |||
Diversified consumer services – 1.0% | |||||
Bright Horizons Family Solutions, Inc. (A) | 67,600 | 4,610,320 | |||
Strategic Education, Inc. | 131,863 | 8,531,536 | |||
13,141,856 | |||||
Hotels, restaurants and leisure – 0.8% | |||||
Compass Group PLC | 489,708 | 10,534,135 | |||
Household durables – 0.9% | |||||
Mohawk Industries, Inc. (A) | 110,467 | 12,191,138 | |||
Specialty retail – 1.0% | |||||
Bath & Body Works, Inc. | 7,400 | 276,242 | |||
Best Buy Company, Inc. | 131,800 | 9,316,942 | |||
Burlington Stores, Inc. (A) | 31,500 | 4,415,985 | |||
14,009,169 | |||||
Textiles, apparel and luxury goods – 1.3% | |||||
adidas AG | 3,067 | 454,784 | |||
Ralph Lauren Corp. | 198,853 | 18,161,244 | |||
18,616,028 | |||||
81,357,633 | |||||
Consumer staples – 7.9% | |||||
Beverages – 1.6% | |||||
Carlsberg A/S, Class B | 101,703 | 13,206,148 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Beverages (continued) | |||||
Monster Beverage Corp. (A) | 104,300 | $ | 9,264,969 | ||
22,471,117 | |||||
Food and staples retailing – 1.6% | |||||
Sysco Corp. | 273,512 | 22,488,157 | |||
Food products – 4.2% | |||||
Bunge, Ltd. | 138,778 | 13,762,614 | |||
Campbell Soup Company | 286,761 | 14,447,019 | |||
Flowers Foods, Inc. | 1,055,008 | 28,801,718 | |||
57,011,351 | |||||
Household products – 0.5% | |||||
Kimberly-Clark Corp. | 55,641 | 7,095,340 | |||
109,065,965 | |||||
Energy – 8.2% | |||||
Energy equipment and services – 4.2% | |||||
Expro Group Holdings NV (A) | 774,337 | 10,469,036 | |||
NOV, Inc. | 499,402 | 8,824,433 | |||
SEACOR Marine Holdings, Inc. (A) | 358,073 | 2,327,475 | |||
TechnipFMC PLC (A) | 3,015,068 | 24,663,256 | |||
Tidewater, Inc. (A)(B) | 528,455 | 11,710,563 | |||
57,994,763 | |||||
Oil, gas and consumable fuels – 4.0% | |||||
Cameco Corp. | 789,199 | 23,005,151 | |||
Canadian Natural Resources, Ltd. (B) | 120,670 | 6,613,923 | |||
Equitrans Midstream Corp. | 1,857,103 | 17,215,345 | |||
Imperial Oil, Ltd. (B) | 149,170 | 7,315,297 | |||
54,149,716 | |||||
112,144,479 | |||||
Financials – 17.8% | |||||
Banks – 5.5% | |||||
Fifth Third Bancorp | 773,683 | 26,421,274 | |||
Popular, Inc. | 171,491 | 13,242,535 | |||
Signature Bank | 69,218 | 12,068,850 | |||
Webster Financial Corp. | 319,002 | 15,009,044 | |||
Westamerica BanCorp | 165,347 | 9,251,165 | |||
75,992,868 | |||||
Capital markets – 4.0% | |||||
Lazard, Ltd., Class A | 219,017 | 7,961,268 | |||
Main Street Capital Corp. (B) | 180,013 | 7,513,743 | |||
Northern Trust Corp. | 66,444 | 6,318,160 | |||
Open Lending Corp., Class A (A) | 592,200 | 5,750,262 |
The accompanying notes are an integral part of the financial statements. | 68 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Capital markets (continued) | |||||
State Street Corp. | 408,241 | $ | 27,903,272 | ||
55,446,705 | |||||
Diversified financial services – 1.4% | |||||
Groupe Bruxelles Lambert SA | 137,193 | 10,371,271 | |||
Jackson Financial, Inc., Class A (B) | 268,851 | 8,404,282 | |||
18,775,553 | |||||
Insurance – 6.9% | |||||
Brown & Brown, Inc. | 293,134 | 18,479,167 | |||
CNA Financial Corp. | 333,472 | 12,825,333 | |||
Kemper Corp. | 299,711 | 13,786,706 | |||
Loews Corp. | 405,339 | 22,419,300 | |||
Marsh & McLennan Companies, Inc. | 47,892 | 7,728,332 | |||
RenaissanceRe Holdings, Ltd. | 143,766 | 19,445,789 | |||
94,684,627 | |||||
244,899,753 | |||||
Health care – 12.7% | |||||
Biotechnology – 0.7% | |||||
Alkermes PLC (A) | 197,669 | 4,678,825 | |||
Galapagos NV (A) | 92,464 | 4,639,499 | |||
9,318,324 | |||||
Health care equipment and supplies – 4.1% | |||||
Baxter International, Inc. | 40,462 | 2,324,947 | |||
Dentsply Sirona, Inc. | 408,993 | 13,402,701 | |||
Hologic, Inc. (A) | 102,005 | 6,891,458 | |||
Koninklijke Philips NV | 819,205 | 13,605,354 | |||
Zimmer Biomet Holdings, Inc. | 195,586 | 20,794,704 | |||
57,019,164 | |||||
Health care providers and services – 6.5% | |||||
Cardinal Health, Inc. | 380,743 | 26,926,145 | |||
Centene Corp. (A) | 167,935 | 15,070,487 | |||
Fresenius SE & Company KGaA | 262,018 | 6,481,876 | |||
Patterson Companies, Inc. | 425,308 | 11,861,840 | |||
Select Medical Holdings Corp. | 1,150,947 | 29,510,281 | |||
89,850,629 | |||||
Life sciences tools and services – 0.7% | |||||
Charles River Laboratories International, Inc. (A) | 46,000 | 9,441,500 | |||
Pharmaceuticals – 0.7% | |||||
Elanco Animal Health, Inc. (A) | 373,900 | 5,657,107 | |||
Viatris, Inc. | 372,900 | 3,561,195 | |||
9,218,302 | |||||
174,847,919 | |||||
Industrials – 10.7% | |||||
Aerospace and defense – 3.4% | |||||
Rolls-Royce Holdings PLC (A) | 12,160,775 | 10,837,906 | |||
Spirit AeroSystems Holdings, Inc., Class A (B) | 359,200 | 10,811,920 | |||
Textron, Inc. | 402,446 | 25,104,581 | |||
46,754,407 | |||||
Air freight and logistics – 1.1% | |||||
CH Robinson Worldwide, Inc. | 130,926 | 14,945,203 | |||
Airlines – 0.5% | |||||
Southwest Airlines Company (A) | 194,800 | 7,149,160 | |||
Building products – 0.9% | |||||
Trane Technologies PLC | 81,700 | 12,587,519 | |||
Electrical equipment – 0.7% | |||||
Rockwell Automation, Inc. | 41,100 | 9,738,234 | |||
Machinery – 2.5% | |||||
Alstom SA | 85,010 | 1,742,130 | |||
PACCAR, Inc. | 242,987 | 21,263,792 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Machinery (continued) | |||||
Stanley Black & Decker, Inc. | 99,400 | $ | 8,757,140 | ||
The Middleby Corp. (A) | 23,900 | 3,437,298 | |||
35,200,360 | |||||
Road and rail – 1.1% | |||||
JB Hunt Transport Services, Inc. | 85,090 | 14,807,362 | |||
Trading companies and distributors – 0.5% | |||||
Ashtead Group PLC | 129,602 | 6,367,065 | |||
147,549,310 | |||||
Information technology – 4.8% | |||||
Communications equipment – 0.5% | |||||
Arista Networks, Inc. (A) | 59,700 | 7,156,836 | |||
Electronic equipment, instruments and components – 1.7% | |||||
Corning, Inc. | 208,200 | 7,145,424 | |||
National Instruments Corp. | 410,601 | 16,325,496 | |||
23,470,920 | |||||
IT services – 0.6% | |||||
Global Payments, Inc. | 64,700 | 8,037,681 | |||
Semiconductors and semiconductor equipment – 0.7% | |||||
Marvell Technology, Inc. | 218,900 | 10,248,898 | |||
Technology hardware, storage and peripherals – 1.3% | |||||
Western Digital Corp. (A) | 412,500 | 17,432,250 | |||
66,346,585 | |||||
Materials – 8.0% | |||||
Chemicals – 1.8% | |||||
Corteva, Inc. | 213,842 | 13,136,314 | |||
PPG Industries, Inc. | 39,731 | 5,045,042 | |||
The Scotts Miracle-Gro Company | 93,479 | 6,258,419 | |||
24,439,775 | |||||
Construction materials – 1.8% | |||||
Summit Materials, Inc., Class A (A) | 568,044 | 16,143,810 | |||
Vulcan Materials Company | 53,501 | 8,907,381 | |||
25,051,191 | |||||
Containers and packaging – 0.9% | |||||
Ball Corp. | 85,300 | 4,760,593 | |||
Westrock Company | 199,100 | 8,081,469 | |||
12,842,062 | |||||
Metals and mining – 3.5% | |||||
AngloGold Ashanti, Ltd., ADR (B) | 703,983 | 9,489,691 | |||
Franco-Nevada Corp. | 139,845 | 16,813,131 | |||
Freeport-McMoRan, Inc. | 157,236 | 4,654,186 | |||
Fresnillo PLC (B) | 1,544,069 | 12,298,028 | |||
Gold Fields, Ltd., ADR (B) | 619,475 | 5,011,553 | |||
48,266,589 | |||||
110,599,617 | |||||
Real estate – 6.2% | |||||
Equity real estate investment trusts – 6.0% | |||||
Apartment Investment and Management Company, Class A (A) | 1,057,562 | 9,348,848 | |||
Equity Commonwealth (A) | 709,499 | 18,666,919 | |||
Equity Residential | 97,555 | 7,139,075 | |||
Omega Healthcare Investors, Inc. | 64,100 | 2,093,506 | |||
Rayonier, Inc. | 377,045 | 13,392,638 | |||
Regency Centers Corp. | 198,826 | 12,096,574 | |||
Vornado Realty Trust | 249,099 | 6,531,376 | |||
Weyerhaeuser Company | 403,217 | 13,773,893 | |||
83,042,829 | |||||
Real estate management and development – 0.2% | |||||
The St. Joe Company | 73,101 | 2,792,458 | |||
85,835,287 |
The accompanying notes are an integral part of the financial statements. | 69 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Utilities – 5.5% | |||||
Electric utilities – 4.7% | |||||
FirstEnergy Corp. | 698,590 | $ | 27,629,235 | ||
PG&E Corp. (A) | 2,990,119 | 36,868,171 | |||
64,497,406 | |||||
Gas utilities – 0.3% | |||||
National Fuel Gas Company | 46,735 | 3,330,803 | |||
Multi-utilities – 0.5% | |||||
CenterPoint Energy, Inc. | 236,143 | 7,445,589 | |||
75,273,798 | |||||
TOTAL COMMON STOCKS (Cost $1,062,861,679) | $ | 1,285,683,781 | |||
SHORT-TERM INVESTMENTS – 8.1% | |||||
Short-term funds – 8.1% | |||||
John Hancock Collateral Trust, 2.3160% (C)(D) | 2,210,962 | 22,095,028 | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 2.2409% (C) | 1,983,324 | 1,983,324 | |||
T. Rowe Price Government Reserve Fund, 2.3595% (C) | 87,715,543 | 87,715,543 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $111,794,157) | $ | 111,793,895 | |||
Total Investments (Mid Value Fund) (Cost $1,174,655,836) – 101.5% | $ | 1,397,477,676 | |||
Other assets and liabilities, net – (1.5%) | (20,888,577) | ||||
TOTAL NET ASSETS – 100.0% | $ | 1,376,589,099 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 8-31-22. |
(C) | The rate shown is the annualized seven-day yield as of 8-31-22. |
(D) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 94.6% | |||||
Communication services – 16.6% | |||||
Entertainment – 2.0% | |||||
CTS Eventim AG & Company KGaA (A) | 20,698 | $ | 1,112,801 | ||
ROBLOX Corp., Class A (A) | 48,370 | 1,891,751 | |||
3,004,552 | |||||
Interactive media and services – 14.6% | |||||
Alphabet, Inc., Class A (A) | 72,134 | 7,806,341 | |||
Baidu, Inc., ADR (A) | 28,375 | 4,085,149 | |||
Kanzhun, Ltd., ADR (A) | 27,326 | 641,888 | |||
Meta Platforms, Inc., Class A (A) | 49,475 | 8,060,962 | |||
Pinterest, Inc., Class A (A) | 83,797 | 1,930,683 | |||
VK Company, Ltd., GDR (A)(B) | 159,991 | 50,237 | |||
22,575,260 | |||||
25,579,812 | |||||
Consumer discretionary – 30.5% | |||||
Automobiles – 0.4% | |||||
Rivian Automotive, Inc., Class A (A)(C) | 16,782 | 548,939 | |||
Hotels, restaurants and leisure – 5.1% | |||||
Booking Holdings, Inc. (A) | 472 | 885,382 | |||
Tongcheng Travel Holdings, Ltd. (A) | 558,000 | 1,142,873 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hotels, restaurants and leisure (continued) | |||||
Trip.com Group, Ltd., ADR (A) | 229,357 | $ | 5,899,062 | ||
7,927,317 | |||||
Internet and direct marketing retail – 23.8% | |||||
Alibaba Group Holding, Ltd., ADR (A) | 60,807 | 5,801,596 | |||
Amazon.com, Inc. (A) | 70,330 | 8,915,734 | |||
Boohoo Group PLC (A) | 1,026,842 | 496,959 | |||
Coupang, Inc. (A) | 121,671 | 2,056,240 | |||
Deliveroo PLC (A)(D) | 877,244 | 822,416 | |||
Delivery Hero SE (A)(D) | 107,121 | 4,445,651 | |||
D-Market Elektronik Hizmetler ve Ticaret AS, ADR (A)(C) | 114,379 | 115,523 | |||
DoorDash, Inc., Class A (A) | 13,284 | 795,712 | |||
Etsy, Inc. (A) | 25,894 | 2,734,665 | |||
MercadoLibre, Inc. (A) | 2,207 | 1,887,780 | |||
Naspers, Ltd., N Shares | 20,838 | 2,938,292 | |||
Wayfair, Inc., Class A (A)(C) | 10,838 | 571,271 | |||
Zalando SE (A)(C)(D) | 221,520 | 5,128,819 | |||
36,710,658 | |||||
Specialty retail – 1.2% | |||||
Auto1 Group SE (A)(D) | 110,678 | 1,159,396 | |||
Warby Parker, Inc., Class A (A)(C) | 55,476 | 697,333 | |||
1,856,729 | |||||
47,043,643 | |||||
Health care – 0.5% | |||||
Health care technology – 0.5% | |||||
Veeva Systems, Inc., Class A (A) | 3,940 | 785,321 | |||
Information technology – 46.2% | |||||
Communications equipment – 1.0% | |||||
Arista Networks, Inc. (A) | 12,676 | 1,519,599 | |||
IT services – 3.9% | |||||
Accenture PLC, Class A | 19,306 | 5,569,009 | |||
MongoDB, Inc. (A) | 1,493 | 482,030 | |||
6,051,039 | |||||
Semiconductors and semiconductor equipment – 14.3% | |||||
Advanced Micro Devices, Inc. (A) | 52,023 | 4,415,192 | |||
Applied Materials, Inc. | 14,284 | 1,343,696 | |||
Lam Research Corp. | 4,269 | 1,869,438 | |||
Micron Technology, Inc. | 36,758 | 2,077,930 | |||
NVIDIA Corp. | 45,240 | 6,828,526 | |||
Qualcomm, Inc. | 33,663 | 4,452,605 | |||
Taiwan Semiconductor Manufacturing Company, Ltd. | 66,000 | 1,080,406 | |||
22,067,793 | |||||
Software – 22.6% | |||||
ForgeRock, Inc., Class A (A) | 2,868 | 48,928 | |||
Fortinet, Inc. (A) | 58,933 | 2,869,448 | |||
HubSpot, Inc. (A) | 4,855 | 1,636,329 | |||
Intuit, Inc. | 5,863 | 2,531,526 | |||
Microsoft Corp. | 43,205 | 11,296,810 | |||
NortonLifeLock, Inc. | 5,106 | 115,632 | |||
Qualtrics International, Inc., Class A (A) | 86,178 | 1,055,681 | |||
salesforce.com, Inc. (A) | 52,437 | 8,186,464 | |||
TeamViewer AG (A)(D) | 100,954 | 1,010,244 | |||
Workday, Inc., Class A (A) | 17,640 | 2,902,838 | |||
Zoom Video Communications, Inc., Class A (A) | 39,888 | 3,206,995 | |||
34,860,895 | |||||
Technology hardware, storage and peripherals – 4.4% | |||||
Pure Storage, Inc., Class A (A) | 189,372 | 5,486,107 |
The accompanying notes are an integral part of the financial statements. | 70 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Technology hardware, storage and peripherals (continued) | |||||
Samsung Electronics Company, Ltd. | 28,667 | $ | 1,269,969 | ||
6,756,076 | |||||
71,255,402 | |||||
Real estate – 0.8% | |||||
Real estate management and development – 0.8% | |||||
KE Holdings, Inc., ADR (A) | 40,886 | 737,583 | |||
Opendoor Technologies, Inc. (A) | 89,227 | 386,353 | |||
1,123,936 | |||||
TOTAL COMMON STOCKS (Cost $156,674,754) | $ | 145,788,114 | |||
SHORT-TERM INVESTMENTS – 6.4% | |||||
Short-term funds – 6.4% | |||||
John Hancock Collateral Trust, 2.3160% (E)(F) | 123,009 | 1,229,283 | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 2.2409% (E) | 1,588,692 | 1,588,692 | |||
T. Rowe Price Government Reserve Fund, 2.3595% (E) | 7,085,910 | 7,085,910 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $9,903,890) | $ | 9,903,885 | |||
Total Investments (Science & Technology Fund) (Cost $166,578,644) – 101.0% | $ | 155,691,999 | |||
Other assets and liabilities, net – (1.0%) | (1,542,565) | ||||
TOTAL NET ASSETS – 100.0% | $ | 154,149,434 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
(A) | Non-income producing security. |
(B) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(C) | All or a portion of this security is on loan as of 8-31-22. |
(D) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. |
(E) | The rate shown is the annualized seven-day yield as of 8-31-22. |
(F) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 95.3% | |||||
Communication services – 6.9% | |||||
Diversified telecommunication services – 0.8% | |||||
AT&T, Inc. | 797,941 | $ | 13,995,885 | ||
Lumen Technologies, Inc. (A) | 107,559 | 1,071,288 | |||
Verizon Communications, Inc. | 472,789 | 19,767,308 | |||
34,834,481 | |||||
Entertainment – 1.2% | |||||
Activision Blizzard, Inc. | 85,890 | 6,741,506 | |||
Electronic Arts, Inc. | 31,226 | 3,961,643 | |||
Live Nation Entertainment, Inc. (B) | 16,348 | 1,477,205 | |||
Netflix, Inc. (B) | 48,731 | 10,894,302 | |||
Take-Two Interactive Software, Inc. (B) | 17,660 | 2,164,410 | |||
The Walt Disney Company (B) | 200,641 | 22,487,843 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Entertainment (continued) | |||||
Warner Brothers Discovery, Inc. (B) | 228,085 | $ | 3,019,845 | ||
50,746,754 | |||||
Interactive media and services – 3.8% | |||||
Alphabet, Inc., Class A (B) | 603,858 | 65,349,513 | |||
Alphabet, Inc., Class C (B) | 555,450 | 60,627,368 | |||
Match Group, Inc. (B) | 29,674 | 1,677,471 | |||
Meta Platforms, Inc., Class A (B) | 231,403 | 37,702,491 | |||
Twitter, Inc. (B) | 76,398 | 2,960,423 | |||
168,317,266 | |||||
Media – 0.9% | |||||
Charter Communications, Inc., Class A (B) | 16,558 | 6,832,328 | |||
Comcast Corp., Class A | 656,828 | 23,770,605 | |||
DISH Network Corp., Class A (B) | 28,594 | 496,106 | |||
Fox Corp., Class A | 44,121 | 1,508,056 | |||
Fox Corp., Class B | 15,876 | 501,999 | |||
News Corp., Class A | 58,038 | 982,003 | |||
News Corp., Class B | 28,446 | 490,409 | |||
Omnicom Group, Inc. | 29,426 | 1,968,599 | |||
Paramount Global, Class B | 80,895 | 1,892,134 | |||
The Interpublic Group of Companies, Inc. | 52,933 | 1,463,068 | |||
39,905,307 | |||||
Wireless telecommunication services – 0.2% | |||||
T-Mobile US, Inc. (B) | 67,441 | 9,708,806 | |||
303,512,614 | |||||
Consumer discretionary – 10.7% | |||||
Auto components – 0.1% | |||||
Aptiv PLC (B) | 31,256 | 2,920,248 | |||
BorgWarner, Inc. | 33,357 | 1,257,559 | |||
4,177,807 | |||||
Automobiles – 2.3% | |||||
Ford Motor Company | 493,135 | 7,515,377 | |||
General Motors Company | 182,948 | 6,990,443 | |||
Tesla, Inc. (B) | 310,675 | 85,625,137 | |||
100,130,957 | |||||
Distributors – 0.1% | |||||
Genuine Parts Company | 14,854 | 2,317,373 | |||
LKQ Corp. | 28,690 | 1,526,882 | |||
Pool Corp. | 4,391 | 1,489,383 | |||
5,333,638 | |||||
Hotels, restaurants and leisure – 1.8% | |||||
Booking Holdings, Inc. (B) | 5,074 | 9,517,860 | |||
Caesars Entertainment, Inc. (B) | 28,540 | 1,230,645 | |||
Carnival Corp. (B) | 126,840 | 1,199,906 | |||
Chipotle Mexican Grill, Inc. (B) | 3,366 | 5,374,829 | |||
Darden Restaurants, Inc. | 16,866 | 2,086,493 | |||
Domino's Pizza, Inc. | 4,320 | 1,606,435 | |||
Expedia Group, Inc. (B) | 20,382 | 2,092,212 | |||
Hilton Worldwide Holdings, Inc. | 35,372 | 4,504,978 | |||
Las Vegas Sands Corp. (B) | 44,454 | 1,672,804 | |||
Marriott International, Inc., Class A | 34,974 | 5,376,903 | |||
McDonald's Corp. | 91,871 | 23,177,216 | |||
MGM Resorts International | 37,660 | 1,229,222 | |||
Norwegian Cruise Line Holdings, Ltd. (B) | 61,448 | 803,740 | |||
Penn Entertainment, Inc. (B) | 26,199 | 818,195 | |||
Royal Caribbean Cruises, Ltd. (B) | 29,896 | 1,221,252 | |||
Starbucks Corp. | 140,414 | 11,804,605 | |||
Wynn Resorts, Ltd. (B) | 13,525 | 819,480 | |||
Yum! Brands, Inc. | 33,824 | 3,762,582 | |||
78,299,357 | |||||
Household durables – 0.3% | |||||
D.R. Horton, Inc. | 37,245 | 2,649,982 | |||
Garmin, Ltd. | 16,945 | 1,499,463 |
The accompanying notes are an integral part of the financial statements. | 71 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Household durables (continued) | |||||
Hamilton Beach Brands Holding Company, Class B | 294 | $ | 3,631 | ||
Lennar Corp., A Shares | 28,936 | 2,241,093 | |||
Mohawk Industries, Inc. (B) | 7,073 | 780,576 | |||
Newell Brands, Inc. | 39,608 | 707,003 | |||
NVR, Inc. (B) | 367 | 1,519,402 | |||
PulteGroup, Inc. | 28,319 | 1,151,451 | |||
Whirlpool Corp. | 7,294 | 1,142,240 | |||
11,694,841 | |||||
Internet and direct marketing retail – 3.3% | |||||
Amazon.com, Inc. (B) | 1,111,400 | 140,892,178 | |||
eBay, Inc. | 68,188 | 3,009,136 | |||
Etsy, Inc. (B) | 16,644 | 1,757,773 | |||
145,659,087 | |||||
Leisure products – 0.0% | |||||
Hasbro, Inc. | 14,447 | 1,138,713 | |||
Multiline retail – 0.5% | |||||
Dollar General Corp. | 29,335 | 6,964,716 | |||
Dollar Tree, Inc. (B) | 28,114 | 3,814,508 | |||
Target Corp. | 59,345 | 9,515,377 | |||
20,294,601 | |||||
Specialty retail – 1.9% | |||||
Advance Auto Parts, Inc. | 7,162 | 1,207,800 | |||
AutoZone, Inc. (B) | 2,491 | 5,278,952 | |||
Bath & Body Works, Inc. | 33,755 | 1,260,074 | |||
Best Buy Company, Inc. | 22,356 | 1,580,346 | |||
CarMax, Inc. (B) | 18,418 | 1,628,888 | |||
Lowe's Companies, Inc. | 80,413 | 15,611,380 | |||
O'Reilly Automotive, Inc. (B) | 7,710 | 5,374,795 | |||
Ross Stores, Inc. | 42,743 | 3,687,439 | |||
The Home Depot, Inc. | 125,118 | 36,086,534 | |||
The TJX Companies, Inc. | 144,971 | 9,038,942 | |||
Tractor Supply Company | 13,014 | 2,409,542 | |||
Ulta Beauty, Inc. (B) | 6,043 | 2,537,274 | |||
85,701,966 | |||||
Textiles, apparel and luxury goods – 0.4% | |||||
NIKE, Inc., Class B | 143,109 | 15,233,953 | |||
PVH Corp. | 6,050 | 340,313 | |||
Ralph Lauren Corp. | 4,117 | 376,006 | |||
Tapestry, Inc. | 32,875 | 1,141,749 | |||
VF Corp. | 37,647 | 1,560,468 | |||
18,652,489 | |||||
471,083,456 | |||||
Consumer staples – 9.5% | |||||
Beverages – 3.2% | |||||
Brown-Forman Corp., Class B | 41,588 | 3,023,448 | |||
Constellation Brands, Inc., Class A | 37,518 | 9,231,304 | |||
Keurig Dr. Pepper, Inc. | 163,146 | 6,219,126 | |||
Molson Coors Beverage Company, Class B | 43,860 | 2,266,246 | |||
Monster Beverage Corp. (B) | 88,343 | 7,847,509 | |||
PepsiCo, Inc. | 319,458 | 55,033,030 | |||
The Coca-Cola Company | 898,518 | 55,447,546 | |||
139,068,209 | |||||
Food and staples retailing – 2.0% | |||||
Costco Wholesale Corp. | 76,043 | 39,702,050 | |||
Sysco Corp. | 84,100 | 6,914,702 | |||
The Kroger Company | 109,030 | 5,226,898 | |||
Walgreens Boots Alliance, Inc. | 130,245 | 4,566,390 | |||
Walmart, Inc. | 240,499 | 31,878,142 | |||
88,288,182 | |||||
Food products – 1.9% | |||||
Archer-Daniels-Midland Company | 131,908 | 11,593,394 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Food products (continued) | |||||
Campbell Soup Company | 46,611 | $ | 2,348,262 | ||
Conagra Brands, Inc. | 112,801 | 3,878,098 | |||
General Mills, Inc. | 134,152 | 10,302,874 | |||
Hormel Foods Corp. | 61,674 | 3,100,969 | |||
Kellogg Company | 53,322 | 3,878,642 | |||
Lamb Weston Holdings, Inc. | 29,270 | 2,327,843 | |||
McCormick & Company, Inc. | 54,567 | 4,587,448 | |||
Mondelez International, Inc., Class A | 313,876 | 19,416,369 | |||
The Hershey Company | 34,442 | 7,738,084 | |||
The J.M. Smucker Company | 22,249 | 3,114,638 | |||
The Kraft Heinz Company | 165,327 | 6,183,230 | |||
Tyson Foods, Inc., Class A | 70,401 | 5,306,827 | |||
83,776,678 | |||||
Household products – 1.1% | |||||
Church & Dwight Company, Inc. | 24,235 | 2,028,712 | |||
Colgate-Palmolive Company | 82,643 | 6,463,509 | |||
Kimberly-Clark Corp. | 34,581 | 4,409,769 | |||
The Clorox Company | 11,902 | 1,717,935 | |||
The Procter & Gamble Company | 242,139 | 33,400,654 | |||
48,020,579 | |||||
Personal products – 0.1% | |||||
The Estee Lauder Companies, Inc., Class A | 23,682 | 6,024,227 | |||
Tobacco – 1.2% | |||||
Altria Group, Inc. | 411,982 | 18,588,628 | |||
Philip Morris International, Inc. | 358,915 | 34,272,793 | |||
52,861,421 | |||||
418,039,296 | |||||
Energy – 4.4% | |||||
Energy equipment and services – 0.3% | |||||
Baker Hughes Company | 115,209 | 2,910,179 | |||
Halliburton Company | 110,625 | 3,333,131 | |||
Schlumberger NV | 174,553 | 6,659,197 | |||
12,902,507 | |||||
Oil, gas and consumable fuels – 4.1% | |||||
APA Corp. | 42,812 | 1,674,377 | |||
Chevron Corp. | 247,387 | 39,101,989 | |||
ConocoPhillips | 161,099 | 17,632,286 | |||
Coterra Energy, Inc. | 97,519 | 3,014,312 | |||
Devon Energy Corp. | 76,827 | 5,425,523 | |||
Diamondback Energy, Inc. | 22,477 | 2,995,735 | |||
EOG Resources, Inc. | 72,499 | 8,794,129 | |||
Exxon Mobil Corp. | 531,695 | 50,824,725 | |||
Hess Corp. | 34,515 | 4,168,722 | |||
Kinder Morgan, Inc. | 249,105 | 4,563,604 | |||
Marathon Oil Corp. | 82,198 | 2,103,447 | |||
Marathon Petroleum Corp. | 70,069 | 7,059,452 | |||
Occidental Petroleum Corp. | 111,095 | 7,887,745 | |||
ONEOK, Inc. | 53,059 | 3,248,803 | |||
Phillips 66 | 60,650 | 5,425,749 | |||
Pioneer Natural Resources Company | 28,405 | 7,192,714 | |||
The Williams Companies, Inc. | 147,319 | 5,013,266 | |||
Valero Energy Corp. | 52,928 | 6,198,927 | |||
182,325,505 | |||||
195,228,012 | |||||
Financials – 10.9% | |||||
Banks – 3.3% | |||||
Bank of America Corp. | 838,438 | 28,179,901 | |||
Citigroup, Inc. | 226,035 | 11,032,768 | |||
Citizens Financial Group, Inc. | 53,927 | 1,978,042 | |||
Comerica, Inc. | 14,734 | 1,183,140 | |||
Fifth Third Bancorp | 80,487 | 2,748,631 |
The accompanying notes are an integral part of the financial statements. | 72 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Banks (continued) | |||||
First Republic Bank | 20,656 | $ | 3,136,200 | ||
Huntington Bancshares, Inc. | 176,772 | 2,368,745 | |||
JPMorgan Chase & Co. | 343,440 | 39,059,431 | |||
KeyCorp | 109,021 | 1,928,581 | |||
M&T Bank Corp. | 21,838 | 3,969,712 | |||
Regions Financial Corp. | 109,748 | 2,378,239 | |||
Signature Bank | 6,656 | 1,160,540 | |||
SVB Financial Group (B) | 6,852 | 2,785,475 | |||
The PNC Financial Services Group, Inc. | 49,554 | 7,829,532 | |||
Truist Financial Corp. | 158,444 | 7,421,517 | |||
U.S. Bancorp | 155,592 | 7,096,551 | |||
Wells Fargo & Company | 447,831 | 19,574,693 | |||
Zions Bancorp NA | 14,240 | 783,627 | |||
144,615,325 | |||||
Capital markets – 2.8% | |||||
Ameriprise Financial, Inc. | 13,900 | 3,725,339 | |||
BlackRock, Inc. | 17,571 | 11,709,139 | |||
Cboe Global Markets, Inc. | 14,109 | 1,664,439 | |||
CME Group, Inc. | 45,400 | 8,880,694 | |||
FactSet Research Systems, Inc. | 4,768 | 2,066,165 | |||
Franklin Resources, Inc. | 32,047 | 835,465 | |||
Intercontinental Exchange, Inc. | 69,663 | 7,025,514 | |||
Invesco, Ltd. | 49,183 | 810,044 | |||
MarketAxess Holdings, Inc. | 5,199 | 1,292,419 | |||
Moody's Corp. | 20,289 | 5,772,626 | |||
Morgan Stanley | 176,033 | 15,001,532 | |||
MSCI, Inc. | 10,230 | 4,595,725 | |||
Nasdaq, Inc. | 41,967 | 2,498,296 | |||
Northern Trust Corp. | 26,697 | 2,538,618 | |||
Raymond James Financial, Inc. | 23,852 | 2,489,433 | |||
S&P Global, Inc. | 43,141 | 15,193,397 | |||
State Street Corp. | 42,983 | 2,937,888 | |||
T. Rowe Price Group, Inc. | 28,375 | 3,405,000 | |||
The Bank of New York Mellon Corp. | 90,962 | 3,777,652 | |||
The Charles Schwab Corp. | 188,951 | 13,406,073 | |||
The Goldman Sachs Group, Inc. | 42,903 | 14,272,541 | |||
123,897,999 | |||||
Consumer finance – 0.5% | |||||
American Express Company | 75,556 | 11,484,512 | |||
Capital One Financial Corp. | 50,249 | 5,317,349 | |||
Discover Financial Services | 33,066 | 3,322,802 | |||
Synchrony Financial | 63,074 | 2,065,674 | |||
22,190,337 | |||||
Diversified financial services – 1.4% | |||||
Berkshire Hathaway, Inc., Class B (B) | 223,986 | 62,895,269 | |||
Insurance – 2.9% | |||||
Aflac, Inc. | 111,319 | 6,614,575 | |||
American International Group, Inc. | 139,472 | 7,217,676 | |||
Aon PLC, Class A | 38,787 | 10,831,658 | |||
Arthur J. Gallagher & Company | 39,382 | 7,150,590 | |||
Assurant, Inc. | 11,439 | 1,812,967 | |||
Brown & Brown, Inc. | 37,855 | 2,386,379 | |||
Chubb, Ltd. | 76,399 | 14,443,231 | |||
Cincinnati Financial Corp. | 24,437 | 2,369,412 | |||
Everest Re Group, Ltd. | 6,771 | 1,821,738 | |||
Globe Life, Inc. | 18,712 | 1,818,619 | |||
Lincoln National Corp. | 25,899 | 1,192,908 | |||
Loews Corp. | 32,536 | 1,799,566 | |||
Marsh & McLennan Companies, Inc. | 89,082 | 14,375,162 | |||
MetLife, Inc. | 121,925 | 7,843,435 | |||
Principal Financial Group, Inc. | 40,203 | 3,005,576 | |||
Prudential Financial, Inc. | 68,778 | 6,585,494 | |||
The Allstate Corp. | 49,260 | 5,935,830 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Insurance (continued) | |||||
The Hartford Financial Services Group, Inc. | 55,829 | $ | 3,590,363 | ||
The Progressive Corp. | 103,355 | 12,676,491 | |||
The Travelers Companies, Inc. | 44,306 | 7,161,622 | |||
W.R. Berkley Corp. | 37,030 | 2,399,544 | |||
Willis Towers Watson PLC | 20,750 | 4,291,723 | |||
127,324,559 | |||||
480,923,489 | |||||
Health care – 12.3% | |||||
Biotechnology – 1.4% | |||||
AbbVie, Inc. | 157,814 | 21,219,670 | |||
Amgen, Inc. | 48,540 | 11,664,162 | |||
Biogen, Inc. (B) | 13,931 | 2,721,839 | |||
Gilead Sciences, Inc. | 113,358 | 7,194,832 | |||
Incyte Corp. (B) | 17,202 | 1,211,537 | |||
Moderna, Inc. (B) | 31,482 | 4,164,124 | |||
Regeneron Pharmaceuticals, Inc. (B) | 9,797 | 5,692,645 | |||
Vertex Pharmaceuticals, Inc. (B) | 22,917 | 6,457,094 | |||
60,325,903 | |||||
Health care equipment and supplies – 2.4% | |||||
Abbott Laboratories | 210,812 | 21,639,852 | |||
ABIOMED, Inc. (B) | 4,801 | 1,244,803 | |||
Align Technology, Inc. (B) | 8,182 | 1,993,953 | |||
Baxter International, Inc. | 57,808 | 3,321,648 | |||
Becton, Dickinson and Company | 34,191 | 8,630,492 | |||
Boston Scientific Corp. (B) | 173,319 | 6,986,489 | |||
Dentsply Sirona, Inc. | 24,582 | 805,552 | |||
DexCom, Inc. (B) | 48,894 | 4,019,576 | |||
Edwards Lifesciences Corp. (B) | 76,972 | 6,935,177 | |||
Hologic, Inc. (B) | 30,506 | 2,060,985 | |||
IDEXX Laboratories, Inc. (B) | 10,626 | 3,693,810 | |||
Intuitive Surgical, Inc. (B) | 43,055 | 8,858,136 | |||
Medtronic PLC | 161,678 | 14,214,730 | |||
ResMed, Inc. | 16,812 | 3,697,295 | |||
STERIS PLC | 12,332 | 2,483,418 | |||
Stryker Corp. | 39,914 | 8,190,353 | |||
Teleflex, Inc. | 5,529 | 1,250,992 | |||
The Cooper Companies, Inc. | 5,572 | 1,601,616 | |||
Zimmer Biomet Holdings, Inc. | 26,898 | 2,859,795 | |||
104,488,672 | |||||
Health care providers and services – 3.1% | |||||
AmerisourceBergen Corp. | 16,955 | 2,484,925 | |||
Cardinal Health, Inc. | 30,555 | 2,160,850 | |||
Centene Corp. (B) | 68,898 | 6,182,907 | |||
Cigna Corp. | 37,705 | 10,687,482 | |||
CVS Health Corp. | 156,888 | 15,398,557 | |||
DaVita, Inc. (B) | 9,319 | 794,818 | |||
Elevance Health, Inc. | 29,051 | 14,092,931 | |||
HCA Healthcare, Inc. | 28,215 | 5,582,902 | |||
Henry Schein, Inc. (B) | 16,886 | 1,239,601 | |||
Humana, Inc. | 15,278 | 7,360,635 | |||
Laboratory Corp. of America Holdings | 10,816 | 2,436,520 | |||
McKesson Corp. | 17,368 | 6,374,056 | |||
Molina Healthcare, Inc. (B) | 7,322 | 2,470,223 | |||
Quest Diagnostics, Inc. | 13,001 | 1,629,155 | |||
UnitedHealth Group, Inc. | 113,181 | 58,778,289 | |||
Universal Health Services, Inc., Class B | 8,143 | 796,711 | |||
138,470,562 | |||||
Life sciences tools and services – 1.6% | |||||
Agilent Technologies, Inc. | 34,571 | 4,433,731 | |||
Bio-Rad Laboratories, Inc., Class A (B) | 2,472 | 1,199,019 | |||
Bio-Techne Corp. | 4,820 | 1,599,324 |
The accompanying notes are an integral part of the financial statements. | 73 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Life sciences tools and services (continued) | |||||
Charles River Laboratories International, Inc. (B) | 5,978 | $ | 1,226,985 | ||
Danaher Corp. | 77,168 | 20,828,415 | |||
Illumina, Inc. (B) | 17,887 | 3,606,735 | |||
IQVIA Holdings, Inc. (B) | 22,297 | 4,741,680 | |||
Mettler-Toledo International, Inc. (B) | 2,608 | 3,162,096 | |||
PerkinElmer, Inc. | 14,835 | 2,003,615 | |||
Thermo Fisher Scientific, Inc. | 47,064 | 25,664,940 | |||
Waters Corp. (B) | 6,784 | 2,025,702 | |||
West Pharmaceutical Services, Inc. | 9,406 | 2,790,666 | |||
73,282,908 | |||||
Pharmaceuticals – 3.8% | |||||
Bristol-Myers Squibb Company | 256,864 | 17,315,202 | |||
Catalent, Inc. (B) | 20,842 | 1,834,096 | |||
Eli Lilly & Company | 96,141 | 28,960,553 | |||
Johnson & Johnson | 318,773 | 51,430,836 | |||
Merck & Company, Inc. | 307,294 | 26,230,616 | |||
Organon & Company | 27,993 | 798,640 | |||
Pfizer, Inc. | 683,482 | 30,913,891 | |||
Viatris, Inc. | 168,258 | 1,606,864 | |||
Zoetis, Inc. | 57,183 | 8,950,855 | |||
168,041,553 | |||||
544,609,598 | |||||
Industrials – 8.5% | |||||
Aerospace and defense – 1.8% | |||||
General Dynamics Corp. | 32,952 | 7,543,701 | |||
Howmet Aerospace, Inc. | 52,265 | 1,851,749 | |||
Huntington Ingalls Industries, Inc. | 6,084 | 1,400,902 | |||
L3Harris Technologies, Inc. | 26,606 | 6,071,223 | |||
Lockheed Martin Corp. | 33,333 | 14,003,527 | |||
Northrop Grumman Corp. | 20,736 | 9,911,601 | |||
Raytheon Technologies Corp. | 210,008 | 18,848,218 | |||
Textron, Inc. | 29,652 | 1,849,692 | |||
The Boeing Company (B) | 78,609 | 12,597,092 | |||
TransDigm Group, Inc. | 7,591 | 4,557,560 | |||
78,635,265 | |||||
Air freight and logistics – 0.8% | |||||
CH Robinson Worldwide, Inc. | 19,758 | 2,255,376 | |||
Expeditors International of Washington, Inc. | 27,146 | 2,793,052 | |||
FedEx Corp. | 39,163 | 8,255,952 | |||
United Parcel Service, Inc., Class B | 123,121 | 23,948,266 | |||
37,252,646 | |||||
Airlines – 0.3% | |||||
Alaska Air Group, Inc. (B) | 25,378 | 1,105,466 | |||
American Airlines Group, Inc. (A)(B) | 124,357 | 1,615,397 | |||
Delta Air Lines, Inc. (B) | 104,576 | 3,249,176 | |||
Southwest Airlines Company (B) | 106,242 | 3,899,081 | |||
United Airlines Holdings, Inc. (B) | 46,724 | 1,635,807 | |||
11,504,927 | |||||
Building products – 0.4% | |||||
A.O. Smith Corp. | 15,238 | 860,185 | |||
Allegion PLC | 13,675 | 1,300,493 | |||
Carrier Global Corp. | 110,634 | 4,328,002 | |||
Fortune Brands Home & Security, Inc. | 14,147 | 869,050 | |||
Johnson Controls International PLC | 89,675 | 4,855,005 | |||
Masco Corp. | 34,908 | 1,775,770 | |||
Trane Technologies PLC | 31,478 | 4,849,815 | |||
18,838,320 | |||||
Commercial services and supplies – 0.7% | |||||
Cintas Corp. | 17,635 | 7,174,623 | |||
Copart, Inc. (B) | 44,022 | 5,267,232 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Commercial services and supplies (continued) | |||||
Republic Services, Inc. | 41,888 | $ | 5,978,255 | ||
Rollins, Inc. | 39,058 | 1,318,598 | |||
Waste Management, Inc. | 74,597 | 12,609,131 | |||
32,347,839 | |||||
Construction and engineering – 0.1% | |||||
Quanta Services, Inc. | 30,977 | 4,377,050 | |||
Electrical equipment – 0.5% | |||||
AMETEK, Inc. | 27,518 | 3,306,563 | |||
Eaton Corp. PLC | 47,851 | 6,538,361 | |||
Emerson Electric Company | 74,756 | 6,110,555 | |||
Generac Holdings, Inc. (B) | 7,185 | 1,583,646 | |||
Rockwell Automation, Inc. | 14,249 | 3,376,158 | |||
20,915,283 | |||||
Industrial conglomerates – 0.7% | |||||
3M Company | 64,255 | 7,990,109 | |||
General Electric Company | 125,990 | 9,252,706 | |||
Honeywell International, Inc. | 77,775 | 14,726,696 | |||
31,969,511 | |||||
Machinery – 1.4% | |||||
Caterpillar, Inc. | 63,596 | 11,746,817 | |||
Cummins, Inc. | 16,457 | 3,544,344 | |||
Deere & Company | 33,244 | 12,142,371 | |||
Dover Corp. | 15,893 | 1,985,989 | |||
Fortive Corp. | 43,990 | 2,785,887 | |||
IDEX Corp. | 9,901 | 1,992,180 | |||
Illinois Tool Works, Inc. | 34,674 | 6,755,535 | |||
Ingersoll Rand, Inc. | 50,552 | 2,394,648 | |||
Nordson Corp. | 6,989 | 1,587,691 | |||
Otis Worldwide Corp. | 48,671 | 3,515,020 | |||
PACCAR, Inc. | 40,699 | 3,561,569 | |||
Parker-Hannifin Corp. | 14,730 | 3,903,450 | |||
Pentair PLC | 17,619 | 784,046 | |||
Snap-on, Inc. | 5,542 | 1,207,380 | |||
Stanley Black & Decker, Inc. | 18,069 | 1,591,879 | |||
Wabtec Corp. | 22,493 | 1,971,511 | |||
Xylem, Inc. | 21,880 | 1,993,268 | |||
63,463,585 | |||||
Professional services – 0.5% | |||||
Equifax, Inc. | 23,911 | 4,513,201 | |||
Jacobs Solutions, Inc. | 26,395 | 3,288,289 | |||
Leidos Holdings, Inc. | 27,711 | 2,633,931 | |||
Nielsen Holdings PLC | 72,561 | 2,020,098 | |||
Robert Half International, Inc. | 25,976 | 1,999,373 | |||
Verisk Analytics, Inc. | 31,915 | 5,973,211 | |||
20,428,103 | |||||
Road and rail – 1.2% | |||||
CSX Corp. | 366,574 | 11,602,067 | |||
JB Hunt Transport Services, Inc. | 12,478 | 2,171,422 | |||
Norfolk Southern Corp. | 40,526 | 9,853,086 | |||
Old Dominion Freight Line, Inc. | 15,952 | 4,329,532 | |||
Union Pacific Corp. | 103,441 | 23,223,539 | |||
51,179,646 | |||||
Trading companies and distributors – 0.1% | |||||
Fastenal Company | 50,023 | 2,517,658 | |||
United Rentals, Inc. (B) | 5,546 | 1,619,654 | |||
W.W. Grainger, Inc. | 3,501 | 1,942,845 | |||
6,080,157 | |||||
376,992,332 | |||||
Information technology – 22.5% | |||||
Communications equipment – 0.7% | |||||
Arista Networks, Inc. (B) | 26,864 | 3,220,456 | |||
Cisco Systems, Inc. | 504,149 | 22,545,543 |
The accompanying notes are an integral part of the financial statements. | 74 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Communications equipment (continued) | |||||
F5, Inc. (B) | 7,738 | $ | 1,215,330 | ||
Juniper Networks, Inc. | 42,170 | 1,198,471 | |||
Motorola Solutions, Inc. | 19,964 | 4,859,437 | |||
33,039,237 | |||||
Electronic equipment, instruments and components – 0.6% | |||||
Amphenol Corp., Class A | 71,163 | 5,232,615 | |||
CDW Corp. | 16,093 | 2,747,075 | |||
Corning, Inc. | 95,412 | 3,274,540 | |||
Keysight Technologies, Inc. (B) | 22,254 | 3,647,208 | |||
TE Connectivity, Ltd. | 39,107 | 4,935,694 | |||
Teledyne Technologies, Inc. (B) | 5,384 | 1,983,250 | |||
Trimble, Inc. (B) | 31,298 | 1,979,599 | |||
Zebra Technologies Corp., Class A (B) | 6,703 | 2,021,893 | |||
25,821,874 | |||||
IT services – 2.8% | |||||
Accenture PLC, Class A | 54,133 | 15,615,205 | |||
Akamai Technologies, Inc. (B) | 12,752 | 1,151,251 | |||
Automatic Data Processing, Inc. | 36,316 | 8,875,994 | |||
Broadridge Financial Solutions, Inc. | 10,119 | 1,732,069 | |||
Cognizant Technology Solutions Corp., Class A | 45,352 | 2,864,886 | |||
DXC Technology Company (B) | 24,120 | 597,694 | |||
EPAM Systems, Inc. (B) | 4,861 | 2,073,217 | |||
Fidelity National Information Services, Inc. | 53,586 | 4,896,153 | |||
Fiserv, Inc. (B) | 50,869 | 5,147,434 | |||
FleetCor Technologies, Inc. (B) | 6,627 | 1,408,436 | |||
Gartner, Inc. (B) | 6,964 | 1,986,968 | |||
Global Payments, Inc. | 23,450 | 2,913,194 | |||
IBM Corp. | 76,519 | 9,828,866 | |||
Jack Henry & Associates, Inc. | 5,944 | 1,142,437 | |||
Mastercard, Inc., Class A | 73,366 | 23,797,729 | |||
Paychex, Inc. | 27,338 | 3,371,869 | |||
PayPal Holdings, Inc. (B) | 98,126 | 9,168,893 | |||
VeriSign, Inc. (B) | 7,824 | 1,425,689 | |||
Visa, Inc., Class A | 141,732 | 28,163,566 | |||
126,161,550 | |||||
Semiconductors and semiconductor equipment – 3.7% | |||||
Advanced Micro Devices, Inc. (B) | 153,215 | 13,003,357 | |||
Analog Devices, Inc. | 49,142 | 7,446,487 | |||
Applied Materials, Inc. | 85,497 | 8,042,703 | |||
Broadcom, Inc. | 38,672 | 19,301,575 | |||
Enphase Energy, Inc. (B) | 12,383 | 3,546,987 | |||
Intel Corp. | 389,554 | 12,434,564 | |||
KLA Corp. | 14,472 | 4,980,249 | |||
Lam Research Corp. | 12,901 | 5,649,477 | |||
Microchip Technology, Inc. | 54,180 | 3,535,245 | |||
Micron Technology, Inc. | 107,113 | 6,055,098 | |||
Monolithic Power Systems, Inc. | 4,090 | 1,853,506 | |||
NVIDIA Corp. | 237,771 | 35,889,155 | |||
NXP Semiconductors NV | 25,122 | 4,134,579 | |||
ON Semiconductor Corp. (B) | 40,849 | 2,809,186 | |||
Qorvo, Inc. (B) | 10,185 | 914,409 | |||
Qualcomm, Inc. | 105,651 | 13,974,458 | |||
Skyworks Solutions, Inc. | 15,864 | 1,563,397 | |||
SolarEdge Technologies, Inc. (B) | 5,642 | 1,557,023 | |||
Teradyne, Inc. | 14,414 | 1,220,001 | |||
Texas Instruments, Inc. | 88,175 | 14,567,392 | |||
162,478,848 | |||||
Software – 7.8% | |||||
Adobe, Inc. (B) | 55,781 | 20,830,857 | |||
ANSYS, Inc. (B) | 9,461 | 2,349,166 | |||
Autodesk, Inc. (B) | 25,091 | 5,061,858 | |||
Cadence Design Systems, Inc. (B) | 31,571 | 5,486,093 | |||
Ceridian HCM Holding, Inc. (B) | 13,103 | 781,463 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Software (continued) | |||||
Citrix Systems, Inc. | 15,655 | $ | 1,608,864 | ||
Fortinet, Inc. (B) | 80,898 | 3,938,924 | |||
Intuit, Inc. | 33,085 | 14,285,441 | |||
Microsoft Corp. | 876,547 | 229,190,744 | |||
NortonLifeLock, Inc. | 70,657 | 1,596,142 | |||
Oracle Corp. | 182,642 | 13,542,904 | |||
Paycom Software, Inc. (B) | 5,560 | 1,952,672 | |||
PTC, Inc. (B) | 13,998 | 1,608,230 | |||
Roper Technologies, Inc. | 12,720 | 5,120,818 | |||
salesforce.com, Inc. (B) | 116,496 | 18,187,356 | |||
ServiceNow, Inc. (B) | 23,446 | 10,190,101 | |||
Synopsys, Inc. (B) | 18,074 | 6,253,965 | |||
Tyler Technologies, Inc. (B) | 5,301 | 1,969,375 | |||
343,954,973 | |||||
Technology hardware, storage and peripherals – 6.9% | |||||
Apple, Inc. | 1,858,359 | 292,171,202 | |||
Hewlett Packard Enterprise Company | 150,123 | 2,041,673 | |||
HP, Inc. | 131,611 | 3,778,552 | |||
NetApp, Inc. | 27,557 | 1,987,686 | |||
Seagate Technology Holdings PLC | 22,145 | 1,482,829 | |||
Western Digital Corp. (B) | 36,327 | 1,535,179 | |||
302,997,121 | |||||
994,453,603 | |||||
Materials – 2.3% | |||||
Chemicals – 1.6% | |||||
Air Products & Chemicals, Inc. | 25,756 | 6,502,102 | |||
Albemarle Corp. | 13,787 | 3,694,365 | |||
Celanese Corp. | 13,953 | 1,546,830 | |||
CF Industries Holdings, Inc. | 23,499 | 2,431,207 | |||
Corteva, Inc. | 82,876 | 5,091,073 | |||
Dow, Inc. | 87,542 | 4,464,642 | |||
DuPont de Nemours, Inc. | 61,841 | 3,440,833 | |||
Eastman Chemical Company | 16,721 | 1,521,611 | |||
Ecolab, Inc. | 28,849 | 4,726,332 | |||
FMC Corp. | 13,950 | 1,507,716 | |||
International Flavors & Fragrances, Inc. | 31,305 | 3,458,576 | |||
Linde PLC | 58,294 | 16,489,041 | |||
LyondellBasell Industries NV, Class A | 32,014 | 2,657,162 | |||
PPG Industries, Inc. | 28,369 | 3,602,296 | |||
The Mosaic Company | 45,023 | 2,425,389 | |||
The Sherwin-Williams Company | 26,969 | 6,259,505 | |||
69,818,680 | |||||
Construction materials – 0.1% | |||||
Martin Marietta Materials, Inc. | 6,777 | 2,356,431 | |||
Vulcan Materials Company | 16,446 | 2,738,095 | |||
5,094,526 | |||||
Containers and packaging – 0.3% | |||||
Amcor PLC | 159,937 | 1,920,843 | |||
Avery Dennison Corp. | 10,522 | 1,932,050 | |||
Ball Corp. | 34,421 | 1,921,036 | |||
International Paper Company | 46,608 | 1,939,825 | |||
Packaging Corp. of America | 11,437 | 1,565,954 | |||
Sealed Air Corp. | 14,606 | 785,949 | |||
Westrock Company | 28,915 | 1,173,660 | |||
11,239,317 | |||||
Metals and mining – 0.3% | |||||
Ferroglobe PLC (B)(C) | 4,538 | 0 | |||
Freeport-McMoRan, Inc. | 172,790 | 5,114,584 | |||
Newmont Corp. | 91,924 | 3,801,977 | |||
Nucor Corp. | 31,103 | 4,134,833 | |||
13,051,394 | |||||
99,203,917 |
The accompanying notes are an integral part of the financial statements. | 75 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Real estate – 2.6% | |||||
Equity real estate investment trusts – 2.5% | |||||
Alexandria Real Estate Equities, Inc. | 18,085 | $ | 2,774,239 | ||
American Tower Corp. | 54,699 | 13,896,281 | |||
AvalonBay Communities, Inc. | 17,551 | 3,526,171 | |||
Boston Properties, Inc. | 15,023 | 1,193,277 | |||
Camden Property Trust | 12,122 | 1,557,798 | |||
Crown Castle, Inc. | 51,787 | 8,846,773 | |||
Digital Realty Trust, Inc. | 32,586 | 4,028,607 | |||
Duke Realty Corp. | 47,044 | 2,768,539 | |||
Equinix, Inc. | 10,955 | 7,201,488 | |||
Equity Residential | 42,952 | 3,143,227 | |||
Essex Property Trust, Inc. | 7,427 | 1,968,601 | |||
Extra Space Storage, Inc. | 15,766 | 3,133,177 | |||
Federal Realty Investment Trust | 7,795 | 789,400 | |||
Healthpeak Properties, Inc. | 60,858 | 1,597,523 | |||
Host Hotels & Resorts, Inc. | 89,517 | 1,590,717 | |||
Iron Mountain, Inc. | 37,606 | 1,978,452 | |||
Kimco Realty Corp. | 75,175 | 1,584,689 | |||
Mid-America Apartment Communities, Inc. | 14,086 | 2,333,628 | |||
Prologis, Inc. | 89,051 | 11,087,740 | |||
Public Storage | 17,773 | 5,879,842 | |||
Realty Income Corp. | 70,069 | 4,784,311 | |||
Regency Centers Corp. | 19,485 | 1,185,467 | |||
SBA Communications Corp. | 12,359 | 4,019,765 | |||
Simon Property Group, Inc. | 38,931 | 3,970,183 | |||
UDR, Inc. | 35,219 | 1,580,277 | |||
Ventas, Inc. | 50,709 | 2,426,933 | |||
VICI Properties, Inc. | 109,212 | 3,602,904 | |||
Vornado Realty Trust | 15,088 | 395,607 | |||
Welltower, Inc. | 52,787 | 4,046,124 | |||
Weyerhaeuser Company | 92,303 | 3,153,070 | |||
110,044,810 | |||||
Real estate management and development – 0.1% | |||||
CBRE Group, Inc., Class A (B) | 40,603 | 3,206,013 | |||
113,250,823 | |||||
Utilities – 4.7% | |||||
Electric utilities – 3.0% | |||||
Alliant Energy Corp. | 54,300 | 3,314,472 | |||
American Electric Power Company, Inc. | 99,626 | 9,982,525 | |||
Constellation Energy Corp. | 66,931 | 5,460,900 | |||
Duke Energy Corp. | 149,271 | 15,958,563 | |||
Edison International | 78,100 | 5,292,837 | |||
Entergy Corp. | 39,789 | 4,587,672 | |||
Evergy, Inc. | 48,667 | 3,335,150 | |||
Eversource Energy | 66,445 | 5,959,452 | |||
Exelon Corp. | 196,632 | 8,634,111 | |||
FirstEnergy Corp. | 117,784 | 4,658,357 | |||
NextEra Energy, Inc. | 391,658 | 33,314,429 | |||
NRG Energy, Inc. | 48,629 | 2,007,405 | |||
Pinnacle West Capital Corp. | 26,722 | 2,013,503 | |||
PPL Corp. | 136,205 | 3,960,841 | |||
The Southern Company | 207,547 | 15,995,647 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Electric utilities (continued) | |||||
Xcel Energy, Inc. | 108,303 | $ | 8,041,498 | ||
132,517,362 | |||||
Gas utilities – 0.1% | |||||
Atmos Energy Corp. | 29,152 | 3,305,254 | |||
Independent power and renewable electricity producers – 0.1% | |||||
The AES Corp. | 131,924 | 3,357,466 | |||
Multi-utilities – 1.4% | |||||
Ameren Corp. | 49,940 | 4,625,443 | |||
CenterPoint Energy, Inc. | 127,795 | 4,029,376 | |||
CMS Energy Corp. | 59,009 | 3,985,468 | |||
Consolidated Edison, Inc. | 68,635 | 6,708,385 | |||
Dominion Energy, Inc. | 162,797 | 13,316,795 | |||
DTE Energy Company | 40,610 | 5,293,107 | |||
NiSource, Inc. | 89,626 | 2,644,863 | |||
Public Service Enterprise Group, Inc. | 101,404 | 6,526,361 | |||
Sempra Energy | 60,910 | 10,048,323 | |||
WEC Energy Group, Inc. | 64,535 | 6,656,140 | |||
63,834,261 | |||||
Water utilities – 0.1% | |||||
American Water Works Company, Inc. | 35,807 | 5,315,549 | |||
208,329,892 | |||||
TOTAL COMMON STOCKS (Cost $4,499,857,301) | $ | 4,205,627,032 | |||
SHORT-TERM INVESTMENTS – 4.3% | |||||
U.S. Government Agency – 0.2% | |||||
Federal Home Loan Bank Discount Note 2.250%, 09/27/2022 * | $ | 8,300,000 | 8,286,497 | ||
Short-term funds – 4.1% | |||||
John Hancock Collateral Trust, 2.3160% (D)(E) | 18,095,777 | 180,838,338 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $189,126,937) | $ | 189,124,835 | |||
Total Investments (U.S. Sector Rotation Fund) (Cost $4,688,984,238) – 99.6% | $ | 4,394,751,867 | |||
Other assets and liabilities, net – 0.4% | 16,710,057 | ||||
TOTAL NET ASSETS – 100.0% | $ | 4,411,461,924 |
Security Abbreviations and Legend | |
(A) | All or a portion of this security is on loan as of 8-31-22. |
(B) | Non-income producing security. |
(C) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. Refer to Note 2 to the financial statements. |
(D) | The rate shown is the annualized seven-day yield as of 8-31-22. |
(E) | Investment is an affiliate of the fund, the advisor and/or subadvisor. A portion of this security represents the investment of cash collateral received for securities lending. Cash collateral received for securities lending amounted to $1,247,840. |
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
S&P 500 E-Mini Index Futures | 1,028 | Long | Sep 2022 | $207,805,693 | $203,364,100 | $(4,441,593) |
$(4,441,593) |
The accompanying notes are an integral part of the financial statements. | 76 |
The accompanying notes are an integral part of the financial statements. | 77 |
United States | 89.3% |
Netherlands | 2.7% |
France | 2.5% |
Australia | 1.6% |
Canada | 1.3% |
Denmark | 1.3% |
Uruguay | 1.3% |
TOTAL | 100.0% |
United States | 86.3% |
United Kingdom | 3.5% |
Netherlands | 2.2% |
Germany | 2.0% |
Switzerland | 1.5% |
Japan | 1.5% |
Denmark | 1.2% |
Other countries | 1.8% |
TOTAL | 100.0% |
United States | 77.2% |
Cayman Islands | 8.1% |
Canada | 3.6% |
Switzerland | 1.7% |
United Kingdom | 1.6% |
Luxembourg | 1.2% |
Other countries | 6.6% |
TOTAL | 100.0% |
United States | 83.0% |
Canada | 3.9% |
United Kingdom | 3.8% |
Bermuda | 1.4% |
Ireland | 1.3% |
Belgium | 1.1% |
South Africa | 1.0% |
Netherlands | 1.0% |
Puerto Rico | 1.0% |
Denmark | 1.0% |
Other countries | 1.5% |
TOTAL | 100.0% |
United States | 69.2% |
China | 11.9% |
Germany | 8.3% |
Ireland | 3.6% |
South Korea | 2.2% |
South Africa | 1.9% |
Uruguay | 1.2% |
Other countries | 1.7% |
TOTAL | 100.0% |
The accompanying notes are an integral part of the financial statements. | 78 |
Assets | Capital Appreciation Fund | Capital Appreciation Value Fund | Core Bond Fund | Health Sciences Fund |
Unaffiliated investments, at value (including securities loaned) | $1,387,016,502 | $1,254,367,904 | $1,756,635,987 | $316,349,900 |
Affiliated investments, at value | — | 2,077,345 | — | — |
Total investments, at value | 1,387,016,502 | 1,256,445,249 | 1,756,635,987 | 316,349,900 |
Cash | — | 194,605 | — | — |
Foreign currency, at value | — | 19,890 | — | 11,822 |
Dividends and interest receivable | 1,103,995 | 3,768,919 | 7,681,946 | 292,567 |
Receivable for fund shares sold | 236,450 | 18,174 | 10,700 | 4,434 |
Receivable for investments sold | — | 1,696,182 | 27,666,253 | 42,190 |
Receivable for delayed delivery securities sold | — | — | 152,917,973 | — |
Receivable for securities lending income | — | 1,310 | — | — |
Other assets | 78,847 | 62,367 | 93,641 | 473,606 |
Total assets | 1,388,435,794 | 1,262,206,696 | 1,945,006,500 | 317,174,519 |
Liabilities | ||||
Written options, at value | — | 970,653 | — | — |
Payable for collateral on sale commitments | — | — | 220,000 | — |
Payable for investments purchased | 2,009,760 | 4,576,847 | 33,582,098 | 150,406 |
Payable for delayed delivery securities purchased | — | — | 298,567,464 | — |
Payable for fund shares repurchased | 108,507 | 1,100,807 | 449,003 | — |
Payable upon return of securities loaned | — | 2,078,100 | — | — |
Payable to affiliates | ||||
Accounting and legal services fees | 50,157 | 44,756 | 55,949 | 11,551 |
Trustees' fees | 1,287 | 1,178 | 1,470 | 302 |
Other liabilities and accrued expenses | 263,633 | 198,566 | 235,802 | 78,493 |
Total liabilities | 2,433,344 | 8,970,907 | 333,111,786 | 240,752 |
Net assets | $1,386,002,450 | $1,253,235,789 | $1,611,894,714 | $316,933,767 |
Net assets consist of | ||||
Paid-in capital | $680,229,451 | $1,096,975,706 | $1,832,111,081 | $233,884,122 |
Total distributable earnings (loss) | 705,772,999 | 156,260,083 | (220,216,367) | 83,049,645 |
Net assets | $1,386,002,450 | $1,253,235,789 | $1,611,894,714 | $316,933,767 |
Unaffiliated investments, including repurchase agreements, at cost | $741,518,617 | $1,233,907,714 | $1,879,213,707 | $237,019,089 |
Affiliated investments, at cost | — | $2,077,675 | — | — |
Foreign currency, at cost | — | $20,159 | — | $12,070 |
Premiums received on written options | — | $5,064,449 | — | — |
Securities loaned, at value | — | $1,994,976 | — | — |
Net asset value per share | ||||
The funds have an unlimited number of shares authorized with no par value. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | ||||
Class 1 | ||||
Net assets | $537,516,675 | — | $133,712,333 | — |
Shares outstanding | 45,308,782 | — | 11,779,567 | — |
Net asset value, offering price and redemption price per share | $11.86 | — | $11.35 | — |
Class NAV | ||||
Net assets | $848,485,775 | $1,253,235,789 | $1,478,182,381 | $316,933,767 |
Shares outstanding | 70,975,286 | 133,891,952 | 130,449,056 | 66,680,341 |
Net asset value, offering price and redemption price per share | $11.95 | $9.36 | $11.33 | $4.75 |
The accompanying notes are an integral part of the financial statements. | 79 |
Assets | High Yield Fund | International Strategic Equity Allocation Fund | Mid Value Fund | Science & Technology Fund |
Unaffiliated investments, at value (including securities loaned) | $203,112,671 | $3,935,839,203 | $1,375,382,648 | $154,462,716 |
Affiliated investments, at value | 2,375,359 | 26,922,715 | 22,095,028 | 1,229,283 |
Total investments, at value | 205,488,030 | 3,962,761,918 | 1,397,477,676 | 155,691,999 |
Receivable for centrally cleared swaps | 948,976 | — | — | — |
Unrealized appreciation on forward foreign currency contracts | 8,906 | — | — | — |
Receivable for futures variation margin | 40 | — | — | — |
Cash | 102,949 | 554,126 | 117,243 | 513,403 |
Foreign currency, at value | 626,023 | 5,251,684 | 322 | 546 |
Collateral held at broker for futures contracts | 194,142 | 9,269,557 | — | — |
Dividends and interest receivable | 3,297,434 | 15,089,381 | 2,324,074 | 78,482 |
Receivable for fund shares sold | — | 8,914 | 16,751 | 1,332 |
Receivable for investments sold | 313,670 | — | 4,115,657 | 159,035 |
Receivable for securities lending income | 5,814 | 47,438 | 18,922 | 4,585 |
Other assets | 11,679 | 193,658 | 68,791 | 12,030 |
Total assets | 210,997,663 | 3,993,176,676 | 1,404,139,436 | 156,461,412 |
Liabilities | ||||
Unrealized depreciation on forward foreign currency contracts | 24,938 | — | — | — |
Payable for futures variation margin | — | 1,002,322 | — | — |
Foreign capital gains tax payable | — | 1,419,903 | — | — |
Payable for investments purchased | 410,494 | — | 3,807,598 | 1,024,675 |
Payable for fund shares repurchased | 215,036 | 778,273 | 1,337,423 | — |
Payable upon return of securities loaned | 2,379,209 | 26,962,168 | 22,112,624 | 1,229,750 |
Payable to affiliates | ||||
Accounting and legal services fees | 7,521 | 143,792 | 51,032 | 5,476 |
Trustees' fees | 190 | 3,666 | 1,280 | 141 |
Other liabilities and accrued expenses | 65,114 | 613,929 | 240,380 | 51,936 |
Total liabilities | 3,102,502 | 30,924,053 | 27,550,337 | 2,311,978 |
Net assets | $207,895,161 | $3,962,252,623 | $1,376,589,099 | $154,149,434 |
Net assets consist of | ||||
Paid-in capital | $349,793,201 | $4,478,065,663 | $978,356,536 | $175,418,056 |
Total distributable earnings (loss) | (141,898,040) | (515,813,040) | 398,232,563 | (21,268,622) |
Net assets | $207,895,161 | $3,962,252,623 | $1,376,589,099 | $154,149,434 |
Unaffiliated investments, including repurchase agreements, at cost | $246,983,166 | $4,438,291,292 | $1,152,560,546 | $165,349,356 |
Affiliated investments, at cost | $2,376,331 | $26,922,842 | $22,095,290 | $1,229,288 |
Foreign currency, at cost | $626,573 | $5,334,914 | $320 | $586 |
Collateral held at broker for centrally cleared swaps | $1,016,397 | — | — | — |
Securities loaned, at value | $2,315,634 | $26,998,695 | $26,942,953 | $1,177,298 |
Net asset value per share | ||||
The funds have an unlimited number of shares authorized with no par value. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | ||||
Class 1 | ||||
Net assets | $207,895,161 | — | — | — |
Shares outstanding | 30,078,085 | — | — | — |
Net asset value, offering price and redemption price per share | $6.91 | — | — | — |
Class NAV | ||||
Net assets | — | $3,962,252,623 | $1,376,589,099 | $154,149,434 |
Shares outstanding | — | 464,056,551 | 79,363,725 | 111,968,933 |
Net asset value, offering price and redemption price per share | — | $8.54 | $17.35 | $1.38 |
The accompanying notes are an integral part of the financial statements. | 80 |
Assets | U.S. Sector Rotation Fund |
Unaffiliated investments, at value (including securities loaned) | $4,213,913,529 |
Affiliated investments, at value | 180,838,338 |
Total investments, at value | 4,394,751,867 |
Cash | 35,043 |
Collateral held at broker for futures contracts | 10,432,000 |
Dividends and interest receivable | 7,469,495 |
Receivable for fund shares sold | 1,950,780 |
Other assets | 151,931 |
Total assets | 4,414,791,116 |
Liabilities | |
Payable for futures variation margin | 1,597,035 |
Payable for fund shares repurchased | 46,861 |
Payable upon return of securities loaned | 1,247,840 |
Payable to affiliates | |
Accounting and legal services fees | 166,163 |
Trustees' fees | 4,139 |
Other liabilities and accrued expenses | 267,154 |
Total liabilities | 3,329,192 |
Net assets | $4,411,461,924 |
Net assets consist of | |
Paid-in capital | $4,829,295,903 |
Total distributable earnings (loss) | (417,833,979) |
Net assets | $4,411,461,924 |
Unaffiliated investments, including repurchase agreements, at cost | $4,508,143,814 |
Affiliated investments, at cost | $180,840,424 |
Securities loaned, at value | $1,218,243 |
Net asset value per share | |
The funds have an unlimited number of shares authorized with no par value. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |
Class NAV | |
Net assets | $4,411,461,924 |
Shares outstanding | 515,517,267 |
Net asset value, offering price and redemption price per share | $8.56 |
The accompanying notes are an integral part of the financial statements. | 81 |
Investment income | Capital Appreciation Fund | Capital Appreciation Value Fund | Core Bond Fund | Health Sciences Fund |
Dividends | $7,560,918 | $9,641,812 | — | $2,432,990 |
Interest | 159,621 | 14,513,340 | $33,605,327 | 8,241 |
Securities lending | 92 | 40,059 | 802 | — |
Less foreign taxes withheld | (156,172) | (38,672) | — | (34,716) |
Total investment income | 7,564,459 | 24,156,539 | 33,606,129 | 2,406,515 |
Expenses | ||||
Investment management fees | 12,187,119 | 10,887,913 | 9,624,173 | 3,532,033 |
Distribution and service fees | 353,284 | — | 79,163 | — |
Accounting and legal services fees | 247,031 | 189,257 | 240,125 | 52,655 |
Trustees' fees | 29,845 | 21,134 | 25,306 | 6,157 |
Custodian fees | 238,241 | 166,971 | 179,843 | 57,950 |
Printing and postage | 15,130 | 14,895 | 15,130 | 14,457 |
Professional fees | 90,937 | 89,798 | 132,290 | 81,174 |
Other | 85,319 | 66,621 | 104,691 | 35,894 |
Total expenses | 13,246,906 | 11,436,589 | 10,400,721 | 3,780,320 |
Less expense reductions | (149,621) | (594,452) | (142,884) | (213,615) |
Net expenses | 13,097,285 | 10,842,137 | 10,257,837 | 3,566,705 |
Net investment income (loss) | (5,532,826) | 13,314,402 | 23,348,292 | (1,160,190) |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | 145,464,341 | 163,486,390 | (95,229,169) | 15,163,654 |
Affiliated investments | 166 | (2,265) | (386) | — |
Capital gain distributions received from affiliated investments | — | 940 | — | — |
Written options | — | 4,531,051 | — | — |
145,464,507 | 168,016,116 | (95,229,555) | 15,163,654 | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (777,331,675) | (299,541,943) | (145,383,408) | (98,141,793) |
Affiliated investments | — | (330) | — | — |
Written options | — | 19,964,586 | — | — |
(777,331,675) | (279,577,687) | (145,383,408) | (98,141,793) | |
Net realized and unrealized gain (loss) | (631,867,168) | (111,561,571) | (240,612,963) | (82,978,139) |
Decrease in net assets from operations | $(637,399,994) | $(98,247,169) | $(217,264,671) | $(84,138,329) |
The accompanying notes are an integral part of the financial statements. | 82 |
Investment income | High Yield Fund | International Strategic Equity Allocation Fund | Mid Value Fund | Science & Technology Fund |
Dividends | $410,606 | $100,962,985 | $28,007,996 | $579,556 |
Interest | 14,869,459 | 646,706 | 652,881 | 28,192 |
Non-cash dividends | — | 5,424,617 | — | — |
Securities lending | 39,403 | 808,263 | 152,580 | 28,383 |
Less foreign taxes withheld | (340) | (9,157,715) | (793,948) | (28,910) |
Total investment income | 15,319,128 | 98,684,856 | 28,019,509 | 607,221 |
Expenses | ||||
Investment management fees | 1,750,595 | 16,676,900 | 15,390,236 | 1,810,115 |
Distribution and service fees | 125,042 | — | — | — |
Accounting and legal services fees | 35,866 | 385,503 | 243,275 | 25,637 |
Trustees' fees | 4,352 | 32,334 | 28,842 | 3,026 |
Custodian fees | 47,288 | 975,023 | 240,901 | 45,813 |
Printing and postage | 14,356 | 14,978 | 14,851 | 14,417 |
Professional fees | 93,277 | 138,422 | 96,526 | 63,334 |
Other | 23,516 | 95,615 | 60,662 | 22,355 |
Total expenses | 2,094,292 | 18,318,775 | 16,075,293 | 1,984,697 |
Less expense reductions | (21,523) | (3,616,145) | (898,717) | (96,381) |
Net expenses | 2,072,769 | 14,702,630 | 15,176,576 | 1,888,316 |
Net investment income (loss) | 13,246,359 | 83,982,226 | 12,842,933 | (1,281,095) |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | (14,381,518) | (2,231,918) | 230,719,627 | (392,146) |
Affiliated investments | (2,433) | (48,865) | (12,477) | (1,478) |
Capital gain distributions received from affiliated investments | 895 | 1,328 | 415 | 310 |
Futures contracts | (1,683,639) | (20,203,648) | — | — |
Forward foreign currency contracts | (29,665) | — | — | — |
Swap contracts | 48,781 | — | — | — |
(16,047,579) | (22,483,103) | 230,707,565 | (393,314) | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (28,480,663) | (826,817,667) | (236,460,163) | (68,569,144) |
Affiliated investments | (1,670) | (2,622) | (2,537) | (351) |
Futures contracts | (94,284) | (5,320,198) | — | — |
Forward foreign currency contracts | (17,307) | — | — | — |
Swap contracts | (100,302) | — | — | — |
(28,694,226) | (832,140,487) | (236,462,700) | (68,569,495) | |
Net realized and unrealized gain (loss) | (44,741,805) | (854,623,590) | (5,755,135) | (68,962,809) |
Increase (decrease) in net assets from operations | $(31,495,446) | $(770,641,364) | $7,087,798 | $(70,243,904) |
The accompanying notes are an integral part of the financial statements. | 83 |
Investment income | U.S. Sector Rotation Fund |
Dividends | $39,366,742 |
Income distributions received from affiliated investments | 55,985 |
Interest | 400,847 |
Securities lending | 825 |
Less foreign taxes withheld | (6,670) |
Total investment income | 39,817,729 |
Expenses | |
Investment management fees | 15,880,828 |
Accounting and legal services fees | 373,319 |
Trustees' fees | 27,429 |
Custodian fees | 145,999 |
Printing and postage | 14,784 |
Professional fees | 137,164 |
Other | 71,532 |
Total expenses | 16,651,055 |
Less expense reductions | (3,453,410) |
Net expenses | 13,197,645 |
Net investment income | 26,620,084 |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on | |
Unaffiliated investments and foreign currency transactions | (53,680,185) |
Affiliated investments | (417) |
Capital gain distributions received from affiliated investments | 32 |
Futures contracts | (6,722,801) |
(60,403,371) | |
Change in net unrealized appreciation (depreciation) of | |
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (583,891,803) |
Affiliated investments | (2,113) |
Futures contracts | (5,690,485) |
(589,584,401) | |
Net realized and unrealized gain (loss) | (649,987,772) |
Decrease in net assets from operations | $(623,367,688) |
The accompanying notes are an integral part of the financial statements. | 84 |
Capital Appreciation Fund | Capital Appreciation Value Fund | Core Bond Fund | ||||
Year ended 8-31-22 | Year ended 8-31-21 | Year ended 8-31-22 | Year ended 8-31-21 | Year ended 8-31-22 | Year ended 8-31-21 | |
Increase (decrease) in net assets | ||||||
From operations | ||||||
Net investment income (loss) | $(5,532,826) | $(8,897,217) | $13,314,402 | $14,573,571 | $23,348,292 | $22,719,273 |
Net realized gain (loss) | 145,464,507 | 560,555,113 | 168,016,116 | 233,204,386 | (95,229,555) | 28,444,775 |
Change in net unrealized appreciation (depreciation) | (777,331,675) | (82,360,273) | (279,577,687) | 95,729,396 | (145,383,408) | (66,179,126) |
Increase (decrease) in net assets resulting from operations | (637,399,994) | 469,297,623 | (98,247,169) | 343,507,353 | (217,264,671) | (15,015,078) |
Distributions to shareholders | ||||||
From earnings | ||||||
Class 1 | (234,037,715) | (137,564,075) | — | — | (3,151,517) | (11,967,506) |
Class NAV | (310,779,087) | (217,716,247) | (259,582,767) | (244,603,933) | (29,676,464) | (149,414,270) |
Total distributions | (544,816,802) | (355,280,322) | (259,582,767) | (244,603,933) | (32,827,981) | (161,381,776) |
From fund share transactions | ||||||
From fund share transactions | 431,644,019 | (160,715,577) | 215,270,220 | (144,992,873) | 73,687,525 | (748,913,797) |
Total decrease | (750,572,777) | (46,698,276) | (142,559,716) | (46,089,453) | (176,405,127) | (925,310,651) |
Net assets | ||||||
Beginning of year | 2,136,575,227 | 2,183,273,503 | 1,395,795,505 | 1,441,884,958 | 1,788,299,841 | 2,713,610,492 |
End of year | $1,386,002,450 | $2,136,575,227 | $1,253,235,789 | $1,395,795,505 | $1,611,894,714 | $1,788,299,841 |
Health Sciences Fund | High Yield Fund | International Strategic Equity Allocation Fund | ||||
Year ended 8-31-22 | Year ended 8-31-21 | Year ended 8-31-22 | Year ended 8-31-21 | Year ended 8-31-22 | Year ended 8-31-21 | |
Increase (decrease) in net assets | ||||||
From operations | ||||||
Net investment income (loss) | $(1,160,190) | $(1,683,183) | $13,246,359 | $11,373,093 | $83,982,226 | $31,550,271 |
Net realized gain (loss) | 15,163,654 | 62,574,609 | (16,047,579) | 3,681,557 | (22,483,103) | 124,881,620 |
Change in net unrealized appreciation (depreciation) | (98,141,793) | 60,319,973 | (28,694,226) | 8,796,297 | (832,140,487) | 195,978,678 |
Increase (decrease) in net assets resulting from operations | (84,138,329) | 121,211,399 | (31,495,446) | 23,850,947 | (770,641,364) | 352,410,569 |
Distributions to shareholders | ||||||
From earnings | ||||||
Class 1 | — | — | (13,647,917) | (11,176,548) | — | — |
Class NAV | (56,448,788) | (28,188,283) | — | — | (91,427,800) | (29,611,689) |
Total distributions | (56,448,788) | (28,188,283) | (13,647,917) | (11,176,548) | (91,427,800) | (29,611,689) |
From fund share transactions | ||||||
From fund share transactions | 30,275,300 | (93,850,844) | (26,315,847) | 64,345,818 | 3,095,643,495 | (308,361,789) |
Total increase (decrease) | (110,311,817) | (827,728) | (71,459,210) | 77,020,217 | 2,233,574,331 | 14,437,091 |
Net assets | ||||||
Beginning of year | 427,245,584 | 428,073,312 | 279,354,371 | 202,334,154 | 1,728,678,292 | 1,714,241,201 |
End of year | $316,933,767 | $427,245,584 | $207,895,161 | $279,354,371 | $3,962,252,623 | $1,728,678,292 |
The accompanying notes are an integral part of the financial statements. | 85 |
Mid Value Fund | Science & Technology Fund | U.S. Sector Rotation Fund | ||||
Year ended 8-31-22 | Year ended 8-31-21 | Year ended 8-31-22 | Year ended 8-31-21 | Year ended 8-31-22 | Year ended 8-31-21 | |
Increase (decrease) in net assets | ||||||
From operations | ||||||
Net investment income (loss) | $12,842,933 | $11,906,286 | $(1,281,095) | $(1,638,028) | $26,620,084 | $10,769,635 |
Net realized gain (loss) | 230,707,565 | 135,202,708 | (393,314) | 138,115,229 | (60,403,371) | 260,928,479 |
Change in net unrealized appreciation (depreciation) | (236,462,700) | 262,667,821 | (68,569,495) | (53,605,525) | (589,584,401) | 60,596,857 |
Increase (decrease) in net assets resulting from operations | 7,087,798 | 409,776,815 | (70,243,904) | 82,871,676 | (623,367,688) | 332,294,971 |
Distributions to shareholders | ||||||
From earnings | ||||||
Class NAV | (149,119,105) | (48,958,611) | (121,883,322) | (62,832,282) | (259,017,769) | (127,527,639) |
Total distributions | (149,119,105) | (48,958,611) | (121,883,322) | (62,832,282) | (259,017,769) | (127,527,639) |
From fund share transactions | ||||||
From fund share transactions | (328,074,061) | 163,868,600 | 129,167,856 | (166,090,302) | 4,085,740,784 | (291,544,447) |
Total increase (decrease) | (470,105,368) | 524,686,804 | (62,959,370) | (146,050,908) | 3,203,355,327 | (86,777,115) |
Net assets | ||||||
Beginning of year | 1,846,694,467 | 1,322,007,663 | 217,108,804 | 363,159,712 | 1,208,106,597 | 1,294,883,712 |
End of year | $1,376,589,099 | $1,846,694,467 | $154,149,434 | $217,108,804 | $4,411,461,924 | $1,208,106,597 |
The accompanying notes are an integral part of the financial statements. | 86 |
Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | |||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
Capital Appreciation Fund | ||||||||||||||||||
Class 1 | ||||||||||||||||||
08-31-2022 | 24.06 | (0.06) | (5.69) | (5.75) | — | (6.45) | (6.45) | 11.86 | (31.48) | 0.79 | 0.79 | (0.36) | 538 | 36 | ||||
08-31-2021 | 23.01 | (0.10) | 5.14 | 5.04 | — | (3.99) | (3.99) | 24.06 | 24.71 | 0.79 | 0.78 | (0.46) | 908 | 45 | ||||
08-31-2020 | 15.66 | (0.04) | 9.09 | 9.05 | — | (1.70) | (1.70) | 23.01 | 62.93 | 0.80 | 0.79 | (0.23) | 810 | 47 | ||||
08-31-2019 | 18.80 | —3 | (0.46) | (0.46) | (0.02) | (2.66) | (2.68) | 15.66 | 0.84 | 0.80 | 0.79 | (0.03) | 584 | 50 | ||||
08-31-2018 | 18.56 | 0.02 | 4.25 | 4.27 | (0.01) | (4.02) | (4.03) | 18.80 | 26.71 | 0.79 | 0.78 | 0.11 | 687 | 39 | ||||
Class NAV | ||||||||||||||||||
08-31-2022 | 24.18 | (0.05) | (5.73) | (5.78) | — | (6.45) | (6.45) | 11.95 | (31.44) | 0.74 | 0.74 | (0.29) | 848 | 36 | ||||
08-31-2021 | 23.10 | (0.09) | 5.16 | 5.07 | — | (3.99) | (3.99) | 24.18 | 24.75 | 0.74 | 0.73 | (0.41) | 1,229 | 45 | ||||
08-31-2020 | 15.71 | (0.03) | 9.12 | 9.09 | —3 | (1.70) | (1.70) | 23.10 | 63.00 | 0.75 | 0.74 | (0.18) | 1,373 | 47 | ||||
08-31-2019 | 18.85 | —3 | (0.45) | (0.45) | (0.03) | (2.66) | (2.69) | 15.71 | 0.89 | 0.75 | 0.74 | 0.03 | 1,153 | 50 | ||||
08-31-2018 | 18.60 | 0.03 | 4.26 | 4.29 | (0.02) | (4.02) | (4.04) | 18.85 | 26.76 | 0.74 | 0.73 | 0.15 | 1,128 | 39 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Less than $0.005 per share. | ||||||||||||||||||
Capital Appreciation Value Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
08-31-2022 | 12.56 | 0.11 | (0.84) | (0.73) | (0.13) | (2.34) | (2.47) | 9.36 | (7.56) | 0.87 | 0.82 | 1.01 | 1,253 | 73 | ||||
08-31-2021 | 11.92 | 0.12 | 2.63 | 2.75 | (0.14) | (1.97) | (2.11) | 12.56 | 25.84 | 0.86 | 0.82 | 0.98 | 1,396 | 57 | ||||
08-31-2020 | 11.75 | 0.14 | 1.33 | 1.47 | (0.20) | (1.10) | (1.30) | 11.92 | 13.38 | 0.87 | 0.83 | 1.20 | 1,442 | 79 | ||||
08-31-2019 | 12.27 | 0.19 | 0.76 | 0.95 | (0.33) | (1.14) | (1.47) | 11.75 | 10.07 | 0.85 | 0.81 | 1.66 | 1,607 | 63 | ||||
08-31-2018 | 12.26 | 0.27 | 1.06 | 1.33 | (0.18) | (1.14) | (1.32) | 12.27 | 11.61 | 0.85 | 0.81 | 2.28 | 1,785 | 78 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||
Core Bond Fund | ||||||||||||||||||
Class 1 | ||||||||||||||||||
08-31-2022 | 13.19 | 0.16 | (1.76) | (1.60) | (0.24) | — | (0.24) | 11.35 | (12.33) | 0.67 | 0.66 | 1.32 | 134 | 262 | ||||
08-31-2021 | 13.96 | 0.11 | (0.08) | 0.03 | (0.22) | (0.58) | (0.80) | 13.19 | 0.17 | 0.66 | 0.65 | 0.84 | 185 | 310 | ||||
08-31-2020 | 13.50 | 0.23 | 0.66 | 0.89 | (0.31) | (0.12) | (0.43) | 13.96 | 6.76 | 0.66 | 0.65 | 1.73 | 207 | 347 | ||||
08-31-2019 | 12.66 | 0.33 | 0.86 | 1.19 | (0.35) | — | (0.35) | 13.50 | 9.59 | 0.66 | 0.65 | 2.60 | 175 | 447 | ||||
08-31-2018 | 13.15 | 0.27 | (0.48) | (0.21) | (0.28) | — | (0.28) | 12.66 | (1.58) | 0.67 | 0.66 | 2.08 | 161 | 277 | ||||
Class NAV | ||||||||||||||||||
08-31-2022 | 13.17 | 0.17 | (1.77) | (1.60) | (0.24) | — | (0.24) | 11.33 | (12.30) | 0.62 | 0.61 | 1.41 | 1,478 | 262 | ||||
08-31-2021 | 13.94 | 0.12 | (0.08) | 0.04 | (0.23) | (0.58) | (0.81) | 13.17 | 0.22 | 0.61 | 0.60 | 0.89 | 1,604 | 310 | ||||
08-31-2020 | 13.47 | 0.24 | 0.66 | 0.90 | (0.31) | (0.12) | (0.43) | 13.94 | 6.90 | 0.61 | 0.60 | 1.81 | 2,507 | 347 | ||||
08-31-2019 | 12.64 | 0.34 | 0.84 | 1.18 | (0.35) | — | (0.35) | 13.47 | 9.58 | 0.61 | 0.60 | 2.63 | 2,693 | 447 | ||||
08-31-2018 | 13.13 | 0.27 | (0.47) | (0.20) | (0.29) | — | (0.29) | 12.64 | (1.54) | 0.62 | 0.61 | 2.14 | 1,548 | 277 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||
Health Sciences Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
08-31-2022 | 6.91 | (0.02) | (1.22) | (1.24) | — | (0.92) | (0.92) | 4.75 | (19.99) | 1.03 | 0.97 | (0.32) | 317 | 30 | ||||
08-31-2021 | 5.60 | (0.02) | 1.71 | 1.69 | — | (0.38) | (0.38) | 6.91 | 31.27 | 1.02 | 0.97 | (0.38) | 427 | 35 | ||||
08-31-2020 | 4.53 | (0.01) | 1.27 | 1.26 | — | (0.19) | (0.19) | 5.60 | 28.39 | 1.11 | 1.05 | (0.28) | 428 | 47 | ||||
08-31-2019 | 5.10 | (0.01) | (0.28) | (0.29) | — | (0.28) | (0.28) | 4.53 | (4.87) | 1.11 | 1.05 | (0.17) | 272 | 42 | ||||
08-31-2018 | 5.01 | (0.01) | 0.95 | 0.94 | — | (0.85) | (0.85) | 5.10 | 22.04 | 1.10 | 1.04 | (0.30) | 309 | 46 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||
High Yield Fund | ||||||||||||||||||
Class 1 | ||||||||||||||||||
08-31-2022 | 8.31 | 0.41 | (1.39) | (0.98) | (0.42) | — | (0.42) | 6.91 | (12.21) | 0.84 | 0.83 | 5.30 | 208 | 43 | ||||
08-31-2021 | 7.86 | 0.40 | 0.46 | 0.86 | (0.41) | — | (0.41) | 8.31 | 11.30 | 0.84 | 0.83 | 4.91 | 279 | 82 | ||||
08-31-2020 | 8.04 | 0.43 | (0.14) | 0.29 | (0.47) | — | (0.47) | 7.86 | 4.01 | 0.85 | 0.84 | 5.54 | 202 | 81 | ||||
08-31-2019 | 8.17 | 0.46 | (0.10) | 0.36 | (0.49) | — | (0.49) | 8.04 | 4.32 | 0.82 | 0.81 | 5.77 | 250 | 51 | ||||
08-31-2018 | 8.30 | 0.47 | (0.12) | 0.35 | (0.48) | — | (0.48) | 8.17 | 4.81 | 0.79 | 0.79 | 5.69 | 282 | 60 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
The accompanying notes are an integral part of the financial statements. | 87 |
Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | |||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||
Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
International Strategic Equity Allocation Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
08-31-2022 | 11.48 | 0.31 | (2.64) | (2.33) | (0.29) | (0.32) | (0.61) | 8.54 | (21.25) | 0.70 | 0.56 | 3.19 | 3,962 | 783 | ||||
08-31-2021 | 9.55 | 0.19 | 1.92 | 2.11 | (0.18) | — | (0.18) | 11.48 | 22.25 | 0.69 | 0.56 | 1.81 | 1,729 | 63 | ||||
08-31-2020 | 9.01 | 0.19 | 0.62 | 0.81 | (0.27) | — | (0.27) | 9.55 | 8.98 | 0.69 | 0.56 | 2.07 | 1,714 | 76 | ||||
08-31-2019 | 11.21 | 0.26 | (0.85) | (0.59) | (0.26) | (1.35) | (1.61) | 9.01 | (3.97) | 0.69 | 0.56 | 2.74 | 1,634 | 57 | ||||
08-31-2018 | 11.78 | 0.25 | (0.01) | 0.24 | (0.29) | (0.52) | (0.81) | 11.21 | 1.81 | 0.68 | 0.55 | 2.15 | 1,832 | 94 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Excludes in-kind transactions. | ||||||||||||||||||
Mid Value Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
08-31-2022 | 19.15 | 0.14 | (0.35) | (0.21) | (0.15) | (1.44) | (1.59) | 17.35 | (1.38) | 0.95 | 0.90 | 0.76 | 1,377 | 36 | ||||
08-31-2021 | 14.91 | 0.13 | 4.70 | 4.83 | (0.21) | (0.38) | (0.59) | 19.15 | 33.10 | 0.99 | 0.93 | 0.76 | 1,847 | 41 | ||||
08-31-2020 | 14.27 | 0.17 | 0.90 | 1.07 | (0.26) | (0.17) | (0.43) | 14.91 | 7.40 | 0.99 | 0.94 | 1.18 | 1,322 | 45 | ||||
08-31-2019 | 17.08 | 0.22 | (1.81) | (1.59) | (0.15) | (1.07) | (1.22) | 14.27 | (8.82) | 0.99 | 0.94 | 1.48 | 1,231 | 42 | ||||
08-31-2018 | 16.00 | 0.12 | 1.90 | 2.02 | (0.13) | (0.81) | (0.94) | 17.08 | 12.96 | 0.99 | 0.94 | 0.72 | 1,439 | 39 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||
Science & Technology Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
08-31-2022 | 5.53 | (0.01) | (0.89) | (0.90) | — | (3.25) | (3.25) | 1.38 | (33.02) | 1.10 | 1.05 | (0.71) | 154 | 124 | ||||
08-31-2021 | 5.22 | (0.03) | 1.47 | 1.44 | (0.01) | (1.12) | (1.13) | 5.53 | 30.29 | 1.10 | 1.04 | (0.57) | 217 | 86 | ||||
08-31-2020 | 3.87 | 0.023 | 1.69 | 1.71 | — | (0.36) | (0.36) | 5.22 | 47.55 | 1.10 | 1.06 | 0.403 | 363 | 116 | ||||
08-31-2019 | 5.99 | (0.01) | (0.32) | (0.33) | — | (1.79) | (1.79) | 3.87 | 3.19 | 1.10 | 1.06 | (0.36) | 284 | 110 | ||||
08-31-2018 | 13.85 | (0.03) | 2.33 | 2.30 | — | (10.16) | (10.16) | 5.99 | 30.59 | 1.10 | 1.05 | (0.47) | 252 | 108 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Net investment income (loss) per share and ratio of net investment income (loss) to average net assets reflect a special dividend received by the fund, which amounted to $0.04 and 1.00%, respectively. | ||||||||||||||||||
U.S. Sector Rotation Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
08-31-2022 | 12.62 | 0.10 | (1.22) | (1.12) | (0.11) | (2.83) | (2.94) | 8.56 | (12.17) | 0.66 | 0.52 | 1.05 | 4,411 | 1183 | ||||
08-31-2021 | 10.76 | 0.10 | 2.93 | 3.03 | (0.17) | (1.00) | (1.17) | 12.62 | 30.62 | 0.67 | 0.53 | 0.87 | 1,208 | 91 | ||||
08-31-2020 | 9.86 | 0.16 | 1.79 | 1.95 | (0.19) | (0.86) | (1.05) | 10.76 | 20.74 | 0.67 | 0.54 | 1.63 | 1,295 | 113 | ||||
08-31-2019 | 13.13 | 0.17 | (0.72) | (0.55) | (0.19) | (2.53) | (2.72) | 9.86 | (0.34) | 0.66 | 0.53 | 1.66 | 1,497 | 92 | ||||
08-31-2018 | 11.57 | 0.15 | 2.14 | 2.29 | (0.17) | (0.56) | (0.73) | 13.13 | 20.43 | 0.66 | 0.53 | 1.26 | 1,714 | 128 | ||||
1. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Excludes in-kind transactions. |
The accompanying notes are an integral part of the financial statements. | 88 |
The following is a summary of the values by input classification of the funds' investments as of August 31, 2022, by major security category or type:
Total value at 8-31-22 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Capital Appreciation Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $119,326,024 | $119,326,024 | — | — |
Consumer discretionary | 401,869,788 | 366,942,143 | $34,927,645 | — |
Consumer staples | 64,484,901 | 64,484,901 | — | — |
Energy | 19,282,460 | 19,282,460 | — | — |
Financials | 49,539,154 | 49,539,154 | — | — |
Health care | 162,048,318 | 162,048,318 | — | — |
Industrials | 23,985,955 | 23,985,955 | — | — |
Information technology | 508,296,311 | 484,326,646 | 23,969,665 | — |
Real estate | 21,643,536 | 21,643,536 | — | — |
Short-term investments | 16,540,055 | 16,540,055 | — | — |
Total investments in securities | $1,387,016,502 | $1,328,119,192 | $58,897,310 | — |
Capital Appreciation Value Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | $751,409,112 | $743,706,409 | $7,702,703 | — |
Preferred securities | 6,952,619 | 6,952,619 | — | — |
U.S. Government and Agency obligations | 98,317,605 | — | 98,317,605 | — |
Corporate bonds | 90,293,943 | — | 90,293,943 | — |
Convertible bonds | 2,213,937 | — | 2,213,937 | — |
Term loans | 179,281,982 | — | 179,281,982 | — |
Short-term investments | 127,976,051 | 127,976,051 | — | — |
Total investments in securities | $1,256,445,249 | $878,635,079 | $377,810,170 | — |
Derivatives: | ||||
Liabilities | ||||
Written options | $(970,653) | — | $(970,653) | — |
Core Bond Fund | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $899,462,045 | — | $899,462,045 | — |
Foreign government obligations | 12,611,619 | — | 12,611,619 | — |
Corporate bonds | 425,952,304 | — | 425,952,304 | — |
Municipal bonds | 3,963,783 | — | 3,963,783 | — |
Collateralized mortgage obligations | 155,068,568 | — | 155,068,568 | — |
Asset backed securities | 165,524,374 | — | 165,524,374 | — |
Short-term investments | 94,053,294 | $94,053,294 | — | — |
Total investments in securities | $1,756,635,987 | $94,053,294 | $1,662,582,693 | — |
Health Sciences Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Consumer discretionary | $681,445 | $681,445 | — | — |
Financials | 405,444 | 405,444 | — | — |
Health care | 310,024,281 | 297,689,535 | $12,296,536 | $38,210 |
Industrials | 935,846 | 935,846 | — | — |
Information technology | 239,490 | — | 239,490 | — |
Materials | 245,062 | 245,062 | — | — |
Preferred securities | 2,147,703 | — | 2,147,703 | — |
Total value at 8-31-22 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Health Sciences Fund (continued) | ||||
Warrants | $9,523 | $9,523 | — | — |
Short-term investments | 1,661,106 | 1,661,106 | — | — |
Total investments in securities | $316,349,900 | $301,627,961 | $14,683,729 | $38,210 |
High Yield Fund | ||||
Investments in securities: | ||||
Assets | ||||
Foreign government obligations | $1,467,822 | — | $1,467,822 | — |
Corporate bonds | 169,678,154 | — | 169,678,154 | — |
Convertible bonds | 2,290,755 | — | 2,290,755 | — |
Term loans | 11,820,641 | — | 11,393,140 | $427,501 |
Asset backed securities | 14,967,555 | — | 14,967,555 | — |
Common stocks | 1,374,240 | $1,345,185 | 21,250 | 7,805 |
Preferred securities | 1,512,210 | 948,530 | — | 563,680 |
Short-term investments | 2,376,653 | 2,376,653 | — | — |
Total investments in securities | $205,488,030 | $4,670,368 | $199,818,676 | $998,986 |
Derivatives: | ||||
Assets | ||||
Forward foreign currency contracts | $8,906 | — | $8,906 | — |
Swap contracts | 163,165 | — | 163,165 | — |
Liabilities | ||||
Futures | (69,746) | $(69,746) | — | — |
Forward foreign currency contracts | (24,938) | — | (24,938) | — |
Swap contracts | (71,862) | — | (71,862) | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
International Strategic Equity Allocation Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Australia | $225,908,232 | — | $225,908,232 | — |
Austria | 5,053,154 | — | 5,053,154 | — |
Belgium | 9,454,790 | — | 9,454,790 | — |
Brazil | 46,967,213 | $46,967,213 | — | — |
Canada | 398,647,829 | 398,647,829 | — | — |
Chile | 5,768,968 | 4,534,220 | 1,234,748 | — |
China | 370,487,714 | 34,542,327 | 335,630,803 | $314,584 |
Colombia | 2,335,572 | 2,335,572 | — | — |
Czech Republic | 1,398,886 | — | 1,398,886 | — |
Denmark | 69,756,119 | — | 69,756,119 | — |
Finland | 21,197,598 | — | 21,197,598 | — |
France | 267,045,108 | — | 267,045,108 | — |
Germany | 148,628,487 | — | 148,628,487 | — |
Hong Kong | 93,215,882 | 698,181 | 92,263,082 | 254,619 |
Hungary | 2,010,193 | — | 2,010,193 | — |
India | 137,429,259 | — | 137,231,374 | 197,885 |
Indonesia | 23,985,401 | — | 23,985,401 | — |
Ireland | 24,755,170 | 757,660 | 23,997,510 | — |
Israel | 18,009,763 | 5,753,057 | 12,256,706 | — |
Italy | 30,938,173 | — | 30,938,173 | — |
Japan | 399,932,860 | — | 399,932,860 | — |
Jordan | 662,648 | — | 662,648 | — |
Luxembourg | 6,043,136 | — | 6,043,136 | — |
Macau | 888,294 | — | 888,294 | — |
Total value at 8-31-22 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
International Strategic Equity Allocation Fund (continued) | ||||
Malaysia | $28,807,915 | — | $28,807,915 | — |
Mexico | 26,135,989 | $26,135,989 | — | — |
Netherlands | 76,337,076 | — | 76,337,076 | — |
New Zealand | 7,322,367 | — | 7,322,367 | — |
Norway | 19,694,374 | — | 19,694,374 | — |
Peru | 4,233,000 | 4,233,000 | — | — |
Philippines | 8,937,841 | — | 8,937,841 | — |
Poland | 6,011,591 | — | 6,011,591 | — |
Portugal | 3,077,682 | — | 3,077,682 | — |
Qatar | 11,828,474 | — | 11,828,474 | — |
Romania | 404,405 | — | 404,405 | — |
Saudi Arabia | 59,335,689 | — | 59,335,689 | — |
Singapore | 26,288,884 | 3,514,994 | 22,773,890 | — |
South Africa | 35,679,187 | — | 35,679,187 | — |
South Korea | 140,052,049 | — | 140,052,049 | — |
Spain | 41,318,277 | — | 41,318,277 | — |
Sweden | 50,103,256 | — | 50,103,256 | — |
Switzerland | 223,326,118 | — | 223,326,118 | — |
Taiwan | 102,575,955 | — | 102,575,955 | — |
Thailand | 23,959,663 | — | 23,959,663 | — |
Turkey | 2,690,094 | — | 2,690,094 | — |
United Arab Emirates | 16,106,070 | — | 16,106,070 | — |
United Kingdom | 501,812,989 | 1,272,421 | 500,540,568 | — |
United States | 2,202,047 | 1,970,959 | 231,088 | — |
Preferred securities | ||||
Brazil | 18,119,876 | 18,119,876 | — | — |
Chile | 2,771,888 | 2,771,888 | — | — |
Colombia | 1,151,780 | 1,151,780 | — | — |
Germany | 10,092,318 | — | 10,092,318 | — |
South Korea | 7,846,186 | — | 7,846,186 | — |
Warrants | 53,031 | 53,031 | — | — |
Short-term investments | 193,965,398 | 26,922,715 | 167,042,683 | — |
Total investments in securities | $3,962,761,918 | $580,382,712 | $3,381,612,118 | $767,088 |
Derivatives: | ||||
Liabilities | ||||
Futures | $(6,127,011) | $(6,127,011) | — | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Mid Value Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $77,763,435 | $77,763,435 | — | — |
Consumer discretionary | 81,357,633 | 70,368,714 | $10,988,919 | — |
Consumer staples | 109,065,965 | 95,859,817 | 13,206,148 | — |
Energy | 112,144,479 | 112,144,479 | — | — |
Financials | 244,899,753 | 234,528,482 | 10,371,271 | — |
Health care | 174,847,919 | 150,121,190 | 24,726,729 | — |
Industrials | 147,549,310 | 128,602,209 | 18,947,101 | — |
Information technology | 66,346,585 | 66,346,585 | — | — |
Materials | 110,599,617 | 98,301,589 | 12,298,028 | — |
Real estate | 85,835,287 | 85,835,287 | — | — |
Utilities | 75,273,798 | 75,273,798 | — | — |
Total value at 8-31-22 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Mid Value Fund (continued) | ||||
Short-term investments | $111,793,895 | $111,793,895 | — | — |
Total investments in securities | $1,397,477,676 | $1,306,939,480 | $90,538,196 | — |
Science & Technology Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $25,579,812 | $24,416,774 | $1,112,801 | $50,237 |
Consumer discretionary | 47,043,643 | 30,909,237 | 16,134,406 | — |
Health care | 785,321 | 785,321 | — | — |
Information technology | 71,255,402 | 67,894,783 | 3,360,619 | — |
Real estate | 1,123,936 | 1,123,936 | — | — |
Short-term investments | 9,903,885 | 9,903,885 | — | — |
Total investments in securities | $155,691,999 | $135,033,936 | $20,607,826 | $50,237 |
U.S. Sector Rotation Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $303,512,614 | $303,512,614 | — | — |
Consumer discretionary | 471,083,456 | 471,079,825 | $3,631 | — |
Consumer staples | 418,039,296 | 418,039,296 | — | — |
Energy | 195,228,012 | 195,228,012 | — | — |
Financials | 480,923,489 | 480,923,489 | — | — |
Health care | 544,609,598 | 544,609,598 | — | — |
Industrials | 376,992,332 | 376,992,332 | — | — |
Information technology | 994,453,603 | 994,453,603 | — | — |
Materials | 99,203,917 | 99,203,917 | — | — |
Real estate | 113,250,823 | 113,250,823 | — | — |
Utilities | 208,329,892 | 208,329,892 | — | — |
Short-term investments | 189,124,835 | 180,838,338 | 8,286,497 | — |
Total investments in securities | $4,394,751,867 | $4,386,461,739 | $8,290,128 | — |
Derivatives: | ||||
Liabilities | ||||
Futures | $(4,441,593) | $(4,441,593) | — | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. |
Fund | Counterparty | Collateral Paid/ (Received) |
Core Bond Fund | Barclays | $(90,000) |
Fund | Counterparty | Collateral Paid/ (Received) |
Citigroup, Inc. | (130,000) | |
Total | $(220,000) |
the investment of the collateral and compensation from fees earned from borrowers of the securities. Securities lending income received by the funds is net of fees retained by the securities lending agent. Net income received from JHCT is a component of securities lending income as recorded on the Statements of operations.
Fund | Market value of securities on loan | Cash collateral received | Non-cash collateral |
Capital Appreciation Value Fund | $1,994,976 | $2,078,100 | — |
High Yield Fund | 2,315,634 | 2,379,209 | — |
International Strategic Equity Allocation Fund | 26,998,695 | 26,962,168 | $1,922,839 |
Mid Value Fund | 26,942,953 | 22,112,624 | 5,633,192 |
Science & Technology Fund | 1,177,298 | 1,229,750 | 19,176 |
U.S. Sector Rotation Fund | 1,218,243 | 1,247,840 | — |
Fund | Commitment fee |
Capital Appreciation Fund | $9,084 |
Capital Appreciation Value Fund | 7,985 |
Core Bond Fund | 36,056 |
Health Sciences Fund | 4,869 |
High Yield Fund | 4,495 |
International Strategic Equity Allocation Fund | 13,621 |
Mid Value Fund | 9,110 |
Science & Technology Fund | 4,251 |
Fund | Commitment fee |
U.S. Sector Rotation Fund | $13,469 |
No Expiration Date | ||
Fund | Short Term | Long Term |
Core Bond Fund | $84,409,177 | $12,782,688 |
High Yield Fund | 2,923,109 | 97,397,139 |
Fund | Aggregate cost | Unrealized appreciation | Unrealized (depreciation) | Net unrealized appreciation/ (depreciation) |
Capital Appreciation Fund | $757,753,335 | $684,702,634 | $(55,439,467) | $629,263,167 |
Capital Appreciation Value Fund | 1,242,714,471 | 60,090,491 | (47,330,366) | 12,760,125 |
Core Bond Fund | 1,891,759,547 | 274,134 | (135,397,694) | (135,123,560) |
Health Sciences Fund | 241,350,081 | 101,277,782 | (26,277,963) | 74,999,819 |
High Yield Fund | 250,293,081 | 937,857 | (45,737,383) | (44,799,526) |
International Strategic Equity Allocation Fund | 4,487,886,175 | 46,781,169 | (578,032,437) | (531,251,268) |
Mid Value Fund | 1,204,325,718 | 278,530,787 | (85,378,829) | 193,151,958 |
Science & Technology Fund | 182,072,023 | 6,167,574 | (32,547,598) | (26,380,024) |
U.S. Sector Rotation Fund | 4,905,987,506 | 52,360,360 | (568,037,592) | (515,677,232) |
Fund | Ordinary Income | Long Term Capital Gains | Total |
Capital Appreciation Fund | $15,095,399 | $529,721,403 | $544,816,802 |
Capital Appreciation Value Fund | 63,623,495 | 195,959,272 | 259,582,767 |
Core Bond Fund | 32,827,981 | — | 32,827,981 |
Health Sciences Fund | 1,460,208 | 54,988,580 | 56,448,788 |
High Yield Fund | 13,647,917 | — | 13,647,917 |
International Strategic Equity Allocation Fund | 44,313,581 | 47,114,219 | 91,427,800 |
Mid Value Fund | 53,295,313 | 95,823,792 | 149,119,105 |
Science & Technology Fund | 39,054,850 | 82,828,472 | 121,883,322 |
U.S. Sector Rotation Fund | 42,560,602 | 216,457,167 | 259,017,769 |
Fund | Ordinary Income | Long Term Capital Gains | Total |
Capital Appreciation Fund | $30,976,236 | $324,304,086 | $355,280,322 |
Capital Appreciation Value Fund | 44,122,327 | 200,481,606 | 244,603,933 |
Core Bond Fund | 145,020,150 | 16,361,626 | 161,381,776 |
Health Sciences Fund | 3,190,821 | 24,997,462 | 28,188,283 |
High Yield Fund | 11,176,548 | — | 11,176,548 |
International Strategic Equity Allocation Fund | 29,611,689 | — | 29,611,689 |
Fund | Ordinary Income | Long Term Capital Gains | Total |
Mid Value Fund | $17,117,510 | $31,841,101 | $48,958,611 |
Science & Technology Fund | 10,633,659 | 52,198,623 | 62,832,282 |
U.S. Sector Rotation Fund | 20,686,562 | 106,841,077 | 127,527,639 |
Fund | Undistributed Ordinary Income | Undistributed Long Term Capital Gains | Post-October Deferral | Qualified Late Year Ordinary Losses |
Capital Appreciation Fund | — | $138,584,430 | $59,920,046 | $2,152,739 |
Capital Appreciation Value Fund | $14,857,169 | 128,643,532 | — | — |
Core Bond Fund | 12,099,058 | — | — | — |
Health Sciences Fund | — | 8,652,992 | — | 549,202 |
High Yield Fund | 3,222,497 | — | — | — |
International Strategic Equity Allocation Fund | 68,666,123 | — | 51,316,278 | — |
Mid Value Fund | 25,157,596 | 179,974,450 | — | — |
Science & Technology Fund | — | 18,118,522 | 12,241,922 | 764,202 |
U.S. Sector Rotation Fund | 23,034,099 | 74,809,154 | — | — |
Futures. A futures contract is a contractual agreement to buy or sell a particular currency or financial instrument at a pre-determined price in the future. Futures are traded on an exchange and cleared through a central clearinghouse. Risks related to the use of futures contracts include possible illiquidity of the futures markets and contract prices that can be highly volatile and imperfectly correlated to movements in the underlying financial instrument and potential losses in excess of the amounts recognized on the Statements of assets and liabilities. Use of long futures contracts subjects the funds to the risk of loss up to the notional value of the futures contracts. Use of short futures contracts subjects the funds to unlimited risk of loss.
Fund | Reason | USD Notional range |
High Yield Fund | To manage duration of the fund. | From $13.0 million to $32.1 million |
International Strategic Equity Allocation Fund | To manage against changes in foreign currency exchange rates, manage against change in certain securities markets and gain exposure to certain securities markets. | From $62.1 million to $208.9 million |
U.S. Sector Rotation Fund | To manage against change in certain securities markets and gain exposure to certain securities markets. | From $37.9 million to $203.4 million |
Fund | Reason | USD Notional range |
High Yield Fund | To manage against changes in foreign currency exchange rates and to gain exposure to foreign currencies. | From $1.3 million to $2.3 million |
Fund | Reason | Market value range |
Capital Appreciation Value Fund | To manage against changes in certain securities markets, to gain exposure to certain securities markets and to generate potential income from options premiums. | From $1 million to $30.7 million |
Entering into swap agreements involves, to varying degrees, elements of credit, market and documentation risk that may provide outcomes that produce losses in excess of the amounts recognized on the Statement of assets and liabilities. Such risks involve the possibility that there will be no liquid market for the swap, or that a counterparty may default on its obligation or delay payment under the swap terms. The counterparty may disagree or contest the terms of the swap. In addition to interest rate risk, market risks may also impact the swap. The funds may also suffer losses if it is unable to terminate or assign outstanding swaps or reduce its exposure through offsetting transactions.
Fund | Reason | USD Notional range |
High Yield Fund | To manage against potential credit events. | Up to $3.7 million |
Fund | Reason | USD Notional range |
High Yield Fund | To gain credit exposure to an issuer or index. | From $1.2 million to $1.8 million |
Fund | Risk | Statements of assets and liabilities location | Financial instruments location | Assets derivatives fair value | Liabilities derivatives fair value |
Capital Appreciation Value Fund | Equity | Written options, at value | Written options | — | $(970,653) |
High Yield Fund | Interest rate | Receivable/payable for futures variation margin1 | Futures | — | $(69,746) |
Currency | Unrealized appreciation (depreciation) on forward foreign currency contracts | Forward foreign currency contracts | $8,906 | (24,938) | |
Credit | Swap contracts, at value2 | Credit default swaps | 163,165 | (71,862) | |
$172,071 | $(166,546) | ||||
International Strategic Equity Allocation Fund | Currency | Receivable/payable for futures variation margin1 | Futures | — | $(392,295) |
Equity | Receivable/payable for futures variation margin1 | Futures | — | (5,734,716) | |
— | $(6,127,011) | ||||
U.S. Sector Rotation Fund | Equity | Receivable/payable for futures variation margin1 | Futures | — | $(4,441,593) |
1 | Reflects cumulative appreciation/depreciation on open futures as disclosed in the Derivatives section of the Portfolio of investments. Only the year end variation margin receivable/payable is separately reported on the Statements of assets and liabilities. |
2 | Reflects cumulative value of swap contracts. Receivable/payable for centrally cleared swaps, which includes value and margin, are shown separately on the Statements of assets and liabilities. |
Effect of derivative instruments on the Statements of operations
Statements of operations location - Net realized gain (loss) on: | ||||||
Fund | Risk | Futures contracts | Forward foreign currency contracts | Written options | Swap contracts | Total |
Capital Appreciation Value Fund | Equity | — | — | $4,531,051 | — | $4,531,051 |
High Yield Fund | Interest rate | $(1,683,639) | — | — | — | $(1,683,639) |
Currency | — | $(29,665) | — | — | (29,665) | |
Credit | — | — | — | $48,781 | 48,781 | |
Total | $(1,683,639) | $(29,665) | — | $48,781 | $(1,664,523) | |
International Strategic Equity Allocation Fund | Currency | $(318,104) | — | — | — | $(318,104) |
Equity | (19,885,544) | — | — | — | (19,885,544) | |
Total | $(20,203,648) | — | — | — | $(20,203,648) | |
U.S. Sector Rotation Fund | Equity | $(6,722,801) | — | — | — | $(6,722,801) |
Statements of operations location - Change in net unrealized appreciation (depreciation) of: | ||||||
Fund | Risk | Futures contracts | Forward foreign currency contracts | Written options | Swap contracts | Total |
Capital Appreciation Value Fund | Equity | — | — | $19,964,586 | — | $19,964,586 |
High Yield Fund | Interest rate | $(94,284) | — | — | — | $(94,284) |
Currency | — | $(17,307) | — | — | (17,307) | |
Credit | — | — | — | $(100,302) | (100,302) | |
Total | $(94,284) | $(17,307) | — | $(100,302) | $(211,893) | |
International Strategic Equity Allocation Fund | Currency | $(238,744) | — | — | — | $(238,744) |
Equity | (5,081,454) | — | — | — | (5,081,454) | |
Total | $(5,320,198) | — | — | — | $(5,320,198) | |
U.S. Sector Rotation Fund | Equity | $(5,690,485) | — | — | — | $(5,690,485) |
Fund | Subadvisor(s) |
Core Bond Fund | Allspring Global Investments, LLC1 |
Capital Appreciation Fund | Jennison Associates LLC |
International Strategic Equity Allocation Fund U.S. Sector Rotation Fund | Manulife Investment Management (US) LLC2 |
Capital Appreciation Value Fund Health Sciences Fund Mid Value Fund Science & Technology Fund3 | T. Rowe Price Associates, Inc. |
High Yield Fund | Western Asset Management Company, LLC |
Fund | Expense limitation as a percentage of average net assets |
Capital Appreciation Fund | 0.20% |
Capital Appreciation Value Fund | 0.20% |
Core Bond Fund | 0.15% |
Health Sciences Fund | 0.20% |
High Yield Fund | 0.15% |
Fund | Expense limitation as a percentage of average net assets |
International Strategic Equity Allocation Fund | 0.25% |
Mid Value Fund | 0.20% |
Science & Technology Fund | 0.20% |
U.S. Sector Rotation Fund | 0.20% |
The Advisor has voluntarily agreed to waive its management fee on International Strategic Equity Allocation Fund, Science & Technology Fund and U.S. Sector Rotation Fund so that the amount retained by the Advisor after payment of the subadvisory fees for the fund does not exceed 0.45% of the fund’s average net assets. This voluntary waiver may be terminated at any time by the Advisor on notice to the Trust.
Expense Reimbursement by Class | |||
Fund | Class 1 | Class NAV | Total |
Capital Appreciation Fund | $61,268 | $88,353 | $149,621 |
Capital Appreciation Value Fund | — | 594,452 | 594,452 |
Core Bond Fund | 13,608 | 129,276 | 142,884 |
Health Sciences Fund | — | 213,615 | 213,615 |
High Yield Fund | 21,523 | — | 21,523 |
International Strategic Equity Allocation Fund | — | 3,616,145 | 3,616,145 |
Mid Value Fund | — | 898,717 | 898,717 |
Science & Technology Fund | — | 96,381 | 96,381 |
U.S. Sector Rotation Fund | — | 3,453,410 | 3,453,410 |
Fund | Net Annual Effective Rate |
Capital Appreciation Fund | 0.70% |
Capital Appreciation Value Fund | 0.78% |
Core Bond Fund | 0.57% |
Health Sciences Fund | 0.90% |
High Yield Fund | 0.69% |
Fund | Net Annual Effective Rate |
International Strategic Equity Allocation Fund | 0.50% |
Mid Value Fund | 0.86% |
Science & Technology Fund | 0.95% |
U.S. Sector Rotation Fund | 0.49% |
Class | Rule 12b-1 Fee |
Class 1 | 0.05% |
Fund | Class | Distribution and service fees |
Capital Appreciation Fund | Class 1 | $353,284 |
Core Bond Fund | Class 1 | $79,163 |
High Yield Fund | Class 1 | $125,042 |
Fund | Borrower or Lender | Weighted Average Loan Balance | Days Outstanding | Weighted Average Interest Rate | Interest Income (Expense) |
Capital Appreciation Fund | Borrower | $11,200,000 | 2 | 1.890% | $(1,176) |
Capital Appreciation Fund | Lender | 30,000,000 | 1 | 0.665% | 554 |
Capital Appreciation Value Fund | Lender | 8,900,000 | 2 | 0.633% | 313 |
Health Sciences Fund | Lender | 3,400,000 | 1 | 0.665% | 63 |
Mid Value Fund | Lender | 47,200,000 | 2 | 0.652% | 1,708 |
Fund | Borrower or Lender | Weighted Average Loan Balance | Days Outstanding | Weighted Average Interest Rate | Interest Income (Expense) |
Science &Technology Fund | Lender | 2,750,000 | 4 | 1.410% | 431 |
Capital Appreciation Fund | Year Ended 8-31-22 | Year Ended 8-31-21 | ||
Shares | Amount | Shares | Amount | |
Class 1 shares | ||||
Sold | 1,885,863 | $30,321,585 | 2,361,771 | $52,401,542 |
Distributions reinvested | 14,158,361 | 234,037,715 | 6,648,819 | 137,564,075 |
Repurchased | (8,463,197) | (134,999,393) | (6,478,193) | (139,724,050) |
Net increase | 7,581,027 | $129,359,907 | 2,532,397 | $50,241,567 |
Class NAV shares | ||||
Sold | 11,002,434 | $154,959,479 | 3,812,777 | $81,891,483 |
Distributions reinvested | 18,665,411 | 310,779,087 | 10,471,881 | 217,710,396 |
Repurchased | (9,511,301) | (163,454,454) | (22,918,208) | (510,559,023) |
Net increase (decrease) | 20,156,544 | $302,284,112 | (8,633,550) | $(210,957,144) |
Total net increase (decrease) | 27,737,571 | $431,644,019 | (6,101,153) | $(160,715,577) |
Capital Appreciation Value Fund | Year Ended 8-31-22 | Year Ended 8-31-21 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 13,228,207 | $126,631,864 | 4,498,712 | $51,090,253 |
Distributions reinvested | 25,226,702 | 259,582,767 | 22,564,938 | 244,603,933 |
Repurchased | (15,660,719) | (170,944,411) | (36,954,905) | (440,687,059) |
Net increase (decrease) | 22,794,190 | $215,270,220 | (9,891,255) | $(144,992,873) |
Total net increase (decrease) | 22,794,190 | $215,270,220 | (9,891,255) | $(144,992,873) |
Core Bond Fund | Year Ended 8-31-22 | Year Ended 8-31-21 | ||
Shares | Amount | Shares | Amount | |
Class 1 shares | ||||
Sold | 558,554 | $6,802,255 | 2,023,821 | $27,309,168 |
Distributions reinvested | 249,654 | 3,151,517 | 895,305 | 11,967,506 |
Repurchased | (3,026,217) | (37,190,897) | (3,744,848) | (49,711,159) |
Net decrease | (2,218,009) | $(27,237,125) | (825,722) | $(10,434,485) |
Class NAV shares | ||||
Sold | 19,803,959 | $236,047,635 | 33,541,791 | $449,989,308 |
Distributions reinvested | 2,365,347 | 29,676,464 | 11,195,021 | 149,414,270 |
Repurchased | (13,461,470) | (164,799,449) | (102,776,586) | (1,337,882,890) |
Net increase (decrease) | 8,707,836 | $100,924,650 | (58,039,774) | $(738,479,312) |
Total net increase (decrease) | 6,489,827 | $73,687,525 | (58,865,496) | $(748,913,797) |
Health Sciences Fund | Year Ended 8-31-22 | Year Ended 8-31-21 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 4,345,622 | $24,191,656 | 6,768,418 | $40,804,362 |
Distributions reinvested | 10,044,268 | 56,448,788 | 4,690,230 | 28,188,283 |
Repurchased | (9,504,977) | (50,365,144) | (26,128,757) | (162,843,489) |
Net increase (decrease) | 4,884,913 | $30,275,300 | (14,670,109) | $(93,850,844) |
Total net increase (decrease) | 4,884,913 | $30,275,300 | (14,670,109) | $(93,850,844) |
High Yield Fund | Year Ended 8-31-22 | Year Ended 8-31-21 | ||
Shares | Amount | Shares | Amount | |
Class 1 shares | ||||
Sold | 2,402,969 | $19,413,419 | 11,098,590 | $90,700,508 |
Distributions reinvested | 1,776,613 | 13,647,917 | 1,401,309 | 11,176,548 |
Repurchased | (7,708,801) | (59,377,183) | (4,627,139) | (37,531,238) |
Net increase (decrease) | (3,529,219) | $(26,315,847) | 7,872,760 | $64,345,818 |
Total net increase (decrease) | (3,529,219) | $(26,315,847) | 7,872,760 | $64,345,818 |
International Strategic Equity Allocation Fund | Year Ended 8-31-22 | Year Ended 8-31-21 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 323,192,115 | $3,176,965,2421 | 840,413 | $8,995,358 |
Distributions reinvested | 8,825,077 | 91,427,800 | 2,820,161 | 29,611,689 |
Repurchased | (18,584,550) | (172,749,547) | (32,504,516) | (346,968,836) |
Net increase (decrease) | 313,432,642 | $3,095,643,495 | (28,843,942) | $(308,361,789) |
Total net increase (decrease) | 313,432,642 | $3,095,643,495 | (28,843,942) | $(308,361,789) |
1 | Includes in-kind subscriptions of approximately $3.0 billion by affiliates of the fund. The cost basis of the contributed securities is equal to the market value of the securities on the date of the subscription. |
Mid Value Fund | Year Ended 8-31-22 | Year Ended 8-31-21 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 1,401,916 | $26,684,322 | 17,670,301 | $334,527,757 |
Distributions reinvested | 8,266,026 | 149,119,105 | 3,007,286 | 48,958,611 |
Repurchased | (26,750,313) | (503,877,488) | (12,891,043) | (219,617,768) |
Net increase (decrease) | (17,082,371) | $(328,074,061) | 7,786,544 | $163,868,600 |
Total net increase (decrease) | (17,082,371) | $(328,074,061) | 7,786,544 | $163,868,600 |
Science & Technology Fund | Year Ended 8-31-22 | Year Ended 8-31-21 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 15,490,826 | $27,266,486 | 2,781,512 | $14,493,127 |
Distributions reinvested | 63,151,980 | 121,883,322 | 12,770,789 | 62,832,282 |
Repurchased | (5,966,442) | (19,981,952) | (45,770,020) | (243,415,711) |
Net increase (decrease) | 72,676,364 | $129,167,856 | (30,217,719) | $(166,090,302) |
Total net increase (decrease) | 72,676,364 | $129,167,856 | (30,217,719) | $(166,090,302) |
U.S. Sector Rotation Fund | Year Ended 8-31-22 | Year Ended 8-31-21 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 430,266,464 | $4,186,145,6351 | 1,045,094 | $11,832,132 |
Distributions reinvested | 25,953,684 | 259,017,769 | 12,417,492 | 127,527,639 |
Repurchased | (36,414,422) | (359,422,620) | (38,046,945) | (430,904,218) |
Net increase (decrease) | 419,805,726 | $4,085,740,784 | (24,584,359) | $(291,544,447) |
Total net increase (decrease) | 419,805,726 | $4,085,740,784 | (24,584,359) | $(291,544,447) |
1 | Includes in-kind subscriptions of approximately $4.1 billion by affiliates of the fund. The cost basis of the contributed securities is equal to the market value of the securities on the date of the subscription. |
Purchases | Sales | |||
Fund | U.S. Government | Other issuers | U.S. Government | Other issuers |
Capital Appreciation Fund | — | $624,857,966 | — | $756,661,035 |
Capital Appreciation Value Fund | $116,063,761 | 790,015,467 | $12,610,742 | 919,479,583 |
Core Bond Fund | 3,150,980,295 | 1,452,391,322 | 3,173,593,004 | 1,411,372,555 |
Health Sciences Fund | — | 108,942,391 | — | 137,039,408 |
High Yield Fund | — | 106,872,144 | — | 135,108,684 |
International Strategic Equity Allocation Fund | — | 1,954,590,645 | — | 2,013,389,074 |
Mid Value Fund | — | 569,679,824 | — | 983,637,282 |
Science & Technology Fund | — | 222,598,795 | — | 215,072,403 |
U.S. Sector Rotation Fund | — | 2,835,258,112 | — | 3,218,493,702 |
Dividends and distributions | |||||||||
Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
Capital Appreciation Fund | |||||||||
John Hancock Collateral Trust* | — | — | $5,515,825 | $(5,515,991) | $166 | — | $92 | — | — |
Capital Appreciation Value Fund | |||||||||
John Hancock Collateral Trust* | 207,872 | — | $49,789,601 | $(47,709,661) | $(2,265) | $(330) | $40,059 | $940 | $2,077,345 |
Core Bond Fund | |||||||||
John Hancock Collateral Trust* | — | — | $2,878,500 | $(2,878,114) | $(386) | — | $802 | — | — |
High Yield Fund | |||||||||
John Hancock Collateral Trust* | 237,693 | $3,833,513 | $7,660,577 | $(9,114,628) | $(2,433) | $(1,670) | $39,403 | $895 | $2,375,359 |
International Strategic Equity Allocation Fund | |||||||||
John Hancock Collateral Trust* | 2,694,050 | $9,920,810 | $775,844,123 | $(758,790,731) | $(48,865) | $(2,622) | $808,263 | $1,328 | $26,922,715 |
Mid Value Fund | |||||||||
John Hancock Collateral Trust* | 2,210,962 | $8,311,553 | $186,004,704 | $(172,206,215) | $(12,477) | $(2,537) | $152,580 | $415 | $22,095,028 |
Science & Technology Fund | |||||||||
John Hancock Collateral Trust* | 123,009 | $1,824,190 | $41,065,335 | $(41,658,413) | $(1,478) | $(351) | $28,383 | $310 | $1,229,283 |
U.S. Sector Rotation Fund | |||||||||
John Hancock Collateral Trust* | 18,095,777 | $96,923 | $189,946,246 | $(9,202,301) | $(417) | $(2,113) | $56,810 | $32 | $180,838,338 |
* | Refer to the Securities lending note within Note 2 for details regarding this investment. |
Fund | Affiliated Concentration |
Capital Appreciation Fund | 42.3% |
Capital Appreciation Value Fund | 98.6% |
Core Bond Fund | 57.5% |
Health Sciences Fund | 99.9% |
International Strategic Equity Allocation Fund | 100.0% |
Mid Value Fund | 100.0% |
Science & Technology Fund | 100.0% |
U.S. Sector Rotation Fund | 100.0% |
Fund | Purchases | Sales |
Capital Appreciation Value Fund | $2,333,573 | — |
Health Sciences Fund | 2,106 | $94,541 |
Mid Value Fund | 1,337,572 | 189,092 |
Issuer, Description | Original acquisition date | Acquisition cost | Beginning share amount | Shares purchased | Shares sold | Ending share amount | Value as a percentage of net assets | Ending value |
High Yield Fund | ||||||||
KCAD Holdings I, Ltd. | 3-21-11 | $6,150,520 | 752,218,031 | — | — | 752,218,031 | 0.0%1 | $752 |
MWO Holdings LLC | 8-30-16 | 1,116,559 | 1,134 | — | — | 1,134 | 0.0%1 | 7,053 |
New Cotai, Inc., Class B | 4-12-13 | 0 | 11 | — | — | 11 | 0.0% | 0 |
$7,805 |
1 | Less than 0.05%. |
Fund | Foreign sourced income | Foreign tax credit |
International Strategic Equity Allocation Fund | $100,270,726 | $8,488,703 |
Fund | Long term capital gains |
Capital Appreciation Fund | $529,721,403 |
Capital Appreciation Value Fund | 195,959,272 |
Health Sciences Fund | 54,988,580 |
International Strategic Equity Allocation Fund | 47,114,219 |
Mid Value Fund | 95,823,792 |
Science & Technology Fund | 82,828,472 |
U.S. Sector Rotation Fund | 216,457,167 |
(1) | information relating to each Subadvisor’s business, including current subadvisory services to the Trust (and other funds in the John Hancock family of funds); |
(2) | the historical and current performance of each Fund and comparative performance information relating to the Fund’s benchmark and comparable funds; |
(3) | the subadvisory fee for each Fund, and comparative fee information, where available, prepared by an independent third party provider of fund data; and |
(4) | information relating to the nature and scope of any material relationships and their significance to the Trust’s Advisor and unaffiliated Subadvisors. |
(1) | each Subadvisor has extensive experience and demonstrated skills as a manager; |
(2) | although not without variation, the performance of each Fund managed by a Subadvisor generally has been in line with or outperformed the historical performance of comparable funds and/or each Fund’s respective benchmark, with the exceptions noted in Appendix A (with respect to such exceptions, the Board concluded that performance is being monitored and reasonably addressed); |
(3) | the subadvisory fees are reasonable in relation to the level and quality of services being provided under the Subadvisory Agreements; and |
(4) | the subadvisory fees are paid by the Advisor and not the Funds, and that the fee structure for the Funds contains breakpoints, breakpoints are reflected as breakpoints in the advisory fees for the Funds in order to permit shareholders to benefit from economies of scale if those Funds grow. |
Portfolio (subadvisors) | Performance of fund, as of 12.31.2021 | Fees and expenses | Comments |
JHF II Capital Appreciation Fund(Jennison Associates LLC) | Benchmark Index — The fund outperformed for the five- and ten-year periods and underperformed for the one- and three-year periods.Lipper Category — The fund outperformed the median for the three-, five- and ten-year periods and underperformed for the one-year period. | Subadvisory fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are higher than the peer group median.Total expenses for this fund are lower than the peer group median. | The Board took into account management’s discussion of the fund’s performance, including the favorable performance relative to the benchmark index for the five- and ten-year periods and to the peer group median for the three-, five- and ten-year periods.The Board took into account management’s discussion of the fund’s expenses. |
JHF II Capital Appreciation Value Fund(T. Rowe Price Associates, Inc.) | Benchmark Index — The fund underperformed for the one-, three-, five- and ten-year periods.Lipper Category — The fund outperformed the median for the one-, three-, five- and ten-year periods. | Subadvisory fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are higher than the peer group median.Total expenses for this fund are higher than the peer group median. | The Board took into account management’s discussion of the fund’s performance, including the favorable performance relative to the peer group median for the one-, three-, five- and ten-year periods. The Board took into account management’s discussion of the factors that contributed to the fund’s performance for the benchmark index for the one-, three-, five- and ten-year periods including the impact of past and current market conditions on the fund’s strategy and management’s outlook for the fund.The Board concluded that the fund's performance is being monitored and reasonably addressed, where appropriate.The Board took into account management’s discussion of the fund’s expenses. |
Portfolio (subadvisors) | Performance of fund, as of 12.31.2021 | Fees and expenses | Comments |
JHF II Core Bond Fund(Allspring Global Investments) | Benchmark Index — The fund outperformed for the ten-year period and underperformed for the one-, three- and five-year periods.Lipper Category — The fund outperformed the median ten-year period and underperformed the median for the one-, three- and five-year periods. | Subadvisory fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are higher than the peer group median.Total expenses for this fund are lower than the peer group median. | The Board took into account management’s discussion of the fund’s performance, including the favorable performance relative to the benchmark index for the ten-year period and peer group median for the ten-year period. The Board took into account management’s discussion of the factors that contributed to the fund’s performance for the benchmark index and peer group median for the one-, three- and five-year periods including the impact of past and current market conditions on the fund’s strategy and management’s outlook for the fund. The Board also noted that the fund’s longer term performance in part reflects that of the previous subadvisor.The Board concluded that the fund's performance is being monitored and reasonably addressed, where appropriate.The Board took into account management’s discussion of the fund’s expenses. |
JHF II Health Sciences Fund(T. Rowe Price Associates, Inc.) | Benchmark Index — The fund outperformed for the one-, three-, five- and ten-year periods.Lipper Category — The fund outperformed the median for the one-, three-, five- and ten-year periods. | Subadvisor fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are higher than the peer group median.Total expenses for this fund are equal to the peer group median. | The Board took into account management’s discussion of the fund’s performance,including the favorable performance relative to the benchmark index and peer group median for the one-, three-, five- and ten-year periods.The Board took into account management’s discussion of the fund’s expenses. |
Portfolio (subadvisors) | Performance of fund, as of 12.31.2021 | Fees and expenses | Comments |
JHF II High Yield Fund(Western Asset Management) | Benchmark Index — The fund outperformed for the one- and three-year periods and underperformed for the five- and ten-year periods.Lipper Category — The fund outperformed the median for the one-, three-, five- and ten-year periods. | Subadvisory fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are higher than the peer group median.Total expenses for this fund are lower than the peer group median. | The Board took into account management’s discussion of the fund’s performance, including the favorable performance relative to the benchmark index for the one- and three-year periods and relative to its peer group median for the one-, three-, five-, and ten-year periods.The Board took into account management’s discussion of the factors that contributed to the fund’s performance relative to the benchmark index for the five- and ten-year periods including the impact of past and current market conditions on the fund’s strategy and management’s outlook for the fund.The Board took into account management’s discussion of the fund’s expenses. |
JHF II International Strategic Equity Allocation Fund(Manulife Investment Management (United States)) | Benchmark Index — The fund underperformed for the one-, three- and five-year periods.Lipper Category — The fund underperformed the median for the one-, three- and five-year periods. | Subadvisor fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are lower than the peer group median.Total expenses for this fund are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the fund’s performance relative to the benchmark index and peer group median for the one-, three- and five-year periods including the impact of past and current market conditions on the fund’s strategy and management’s outlook for the fund.The Board concluded that the fund's performance is being monitored and reasonably addressed, where appropriate. |
Portfolio (subadvisors) | Performance of fund, as of 12.31.2021 | Fees and expenses | Comments |
JHF II Mid Value Fund(T. Rowe Price Associates, Inc.) | Benchmark Index — The fund underperformed for the one-, three-, five- and ten-year periods.Lipper Category — The fund outperformed the median for the ten-year period and underperformed for the one-, three- and five-year periods. | Subadvisor fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are higher than the peer group median.Total expenses for this fund are higher than the peer group median. | The Board took into account management’s discussion of the fund’s performance,including the favorable performance relative to the peer group median for the ten-year period.The Board took into account management’s discussion of the factors that contributed to the fund’s performance for the benchmark index for the one-, three-, five- and ten-year periods and relative to its peer group median for one-, three- and five-year periods.The Board concluded that the fund's performance is being monitored and reasonably addressed, where appropriate.The Board took into account management’s discussion of the fund’s expenses. |
JHF II Science & Technology Fund(T. Rowe Price Associates, Inc.) | Benchmark Index — The fund outperformed for the ten-year period and underperformed for the one-, three- and five-year periods.Lipper Category — The fund outperformed the median for the ten-year period and underperformed for the one-, three- and five-year periods. | Subadvisor fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are equal to the peer group median.Total expenses for this fund are higher than the peer group median. | The Board took into account management’s discussion of the fund’s performance, including the favorable performance relative to the benchmark index and to the peer group median for the ten-year period.The Board took into account management’s discussion of the factors that contributed to the fund’s performance for the benchmark index and peer group median for the one-, three- and five-year periods.The Board concluded that the fund's performance is being monitored and reasonably addressed, where appropriate.The Board took into account management’s discussion of the fund’s expenses. |
Portfolio (subadvisors) | Performance of fund, as of 12.31.2021 | Fees and expenses | Comments |
JHF II U.S. Sector Rotation Fund(Manulife Investment Management (United States)) | Benchmark Index — The fund underperformed for the one-, three- and five-year periods.Lipper Category — The fund outperformed the median for the one-, three- and five-year periods. | Subadvisor fee comparative data not provided due to limited size of Lipper peer group for this purpose.Net management fees for this fund are lower than the peer group median.Total expenses for this fund are lower than the peer group median. | The Board took into account management’s discussion of the fund’s performance, including the favorable performance relative to the peer group median for the one-, three- and five-year periods.The Board took into account management’s discussion of the factors that contributed to the fund’s performance for the benchmark index for the one-, three- and five-year periods.The Board concluded that the fund's performance is being monitored and reasonably addressed, where appropriate.The Board took into account management’s discussion of the fund’s expenses. |
• | The Fund’s investment strategy remained appropriate for an open-end fund structure; |
• | The Fund was able to meet requests for redemption without significant dilution of remaining shareholders’ interests in the Fund; |
• | The Fund did not experience any breaches of the 15% limit on illiquid investments that would require reporting to the Securities and Exchange Commission; |
• | The Fund continued to qualify as a Primarily Highly Liquid Fund under the Liquidity Rule and therefore is not required to establish a HLIM; and |
• | The Chief Compliance Officer’s office, as a part of their annual Rule 38a-1 assessment of the Fund’s policies and procedures, reviewed the LRMP’s control environment and deemed it to be operating effectively and in compliance with the Board approved procedures. |
INDEPENDENT TRUSTEES | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Hassell H. McClellan, Born: 1945 | 2005 | 192 |
Trustee and Chairperson of the Board | ||
Director/Trustee, Virtus Funds (2008-2020); Director, The Barnes Group (2010-2021); Associate Professor, The Wallace E. Carroll School of Management, Boston College (retired 2013). Trustee (since 2005) and Chairperson of the Board (since 2017) of various trusts within the John Hancock Fund Complex. | ||
James R. Boyle, Born: 1959 | 2015 | 192 |
Trustee | ||
Foresters Financial, Chief Executive Officer (2018–2022) and board member (2017–2022). Manulife Financial and John Hancock, more than 20 years, retiring in 2012 as Chief Executive Officer, John Hancock and Senior Executive Vice President, Manulife Financial. Trustee of various trusts within the John Hancock Fund Complex (2005–2014 and since 2015). | ||
Peter S. Burgess,2 Born: 1942 | 2005 | 192 |
Trustee | ||
Consultant (financial, accounting, and auditing matters) (since 1999); Certified Public Accountant; Partner, Arthur Andersen (independent public accounting firm) (prior to 1999); Director, Lincoln Educational Services Corporation (2004-2021); Director, Symetra Financial Corporation (2010–2016); Director, PMA Capital Corporation (2004–2010). Trustee of various trusts within the John Hancock Fund Complex (since 2005). | ||
William H. Cunningham,2 Born: 1944 | 2012 | 192 |
Trustee | ||
Professor, University of Texas, Austin, Texas (since 1971); former Chancellor, University of Texas System and former President of the University of Texas, Austin, Texas; Director (since 2006), Lincoln National Corporation (insurance); Director, Southwest Airlines (since 2000). Trustee of various trusts within the John Hancock Fund Complex (since 1986). | ||
Noni L. Ellison,* Born: 1971 | 2022 | 192 |
Trustee | ||
Senior Vice President, General Counsel & Corporate Secretary, Tractor Supply Company (rural lifestyle retailer) (since 2021); General Counsel, Chief Compliance Officer & Corporate Secretary, Carestream Dental, L.L.C.(2017–2021); Associate General Counsel & Assistant Corporate Secretary, W.W. Grainger, Inc. (global industrial supplier) (2015–2017); Board Member, Goodwill of North Georgia, 2018 (FY2019)–2020 (FY2021); Board Member, Howard University School of Law Board of Visitors (since 2021); Board Member, University of Chicago Law School Board of Visitors (since 2016); Board member, Children’s Healthcare of Atlanta Foundation Board (2021–present). | ||
Grace K. Fey, Born: 1946 | 2008 | 192 |
Trustee | ||
Chief Executive Officer, Grace Fey Advisors (since 2007); Director and Executive Vice President, Frontier Capital Management Company (1988–2007); Director, Fiduciary Trust (since 2009). Trustee of various trusts within the John Hancock Fund Complex (since 2008). | ||
Dean C. Garfield,* Born: 1968 | 2022 | 192 |
Trustee | ||
Vice President, Netflix, Inc. (since 2019); President & Chief Executive Officer, Information Technology Industry Council (2009–2019); NYU School of Law Board of Trustees (since 2021); Member, U.S. Department of Transportation, Advisory Committee on Automation (since 2021); President of the United States Trade Advisory Council (2010–2018); Board Member, College for Every Student (2017–2021); Board Member, The Seed School of Washington, D.C. (2012–2017). | ||
Deborah C. Jackson, Born: 1952 | 2012 | 192 |
Trustee | ||
President, Cambridge College, Cambridge, Massachusetts (since 2011); Board of Directors, Amwell Corporation (since 2020); Board of Directors, Massachusetts Women’s Forum (2018-2020); Board of Directors, National Association of Corporate Directors/New England (2015-2020); Chief Executive Officer, American Red Cross of Massachusetts Bay (2002–2011); Board of Directors of Eastern Bank Corporation (since 2001); Board of Directors of Eastern Bank Charitable Foundation (since 2001); Board of Directors of Boston Stock Exchange (2002–2008); Board of Directors of Harvard Pilgrim Healthcare (health benefits company) (2007–2011). Trustee of various trusts within the John Hancock Fund Complex (since 2008). | ||
Patricia Lizarraga,2,* Born: 1966 | 2022 | 192 |
Trustee | ||
Founder, Chief Executive Officer, Hypatia Capital Group (advisory and asset management company) (since 2007); Independent Director, Audit Committee Chair, and Risk Committee Member, Credicorp, Ltd. (since 2017); Independent Director, Audit Committee Chair, Banco De Credito Del Peru (since 2017); Trustee, Museum of Art of Lima (since 2009). |
INDEPENDENT TRUSTEES (continued) | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Steven R. Pruchansky, Born: 1944 | 2012 | 192 |
Trustee and Vice Chairperson of the Board | ||
Managing Director, Pru Realty (since 2017); Chairman and Chief Executive Officer, Greenscapes of Southwest Florida, Inc. (2014-2020); Director and President, Greenscapes of Southwest Florida, Inc. (until 2000); Member, Board of Advisors, First American Bank (until 2010); Managing Director, Jon James, LLC (real estate) (since 2000); Partner, Right Funding, LLC (2014-2017); Director, First Signature Bank & Trust Company (until 1991); Director, Mast Realty Trust (until 1994); President, Maxwell Building Corp. (until 1991). Trustee (since 1992), Chairperson of the Board (2011–2012), and Vice Chairperson of the Board (since 2012) of various trusts within the John Hancock Fund Complex. | ||
Frances G. Rathke,2 Born: 1960 | 2020 | 192 |
Trustee | ||
Director, Audit Committee Chair, Oatly Group AB (plant-based drink company) (since 2021); Director, Audit Committee Chair and Compensation Committee Member, Green Mountain Power Corporation (since 2016); Director, Treasurer and Finance & Audit Committee Chair, Flynn Center for Performing Arts (since 2016); Director and Audit Committee Chair, Planet Fitness (since 2016); Chief Financial Officer and Treasurer, Keurig Green Mountain, Inc. (2003-retired 2015). Trustee of various trusts within the John Hancock Fund Complex (since 2020). | ||
Gregory A. Russo, Born: 1949 | 2012 | 192 |
Trustee | ||
Director and Audit Committee Chairman (2012-2020), and Member, Audit Committee and Finance Committee (2011-2020), NCH Healthcare System, Inc. (holding company for multi-entity healthcare system); Director and Member (2012-2018), and Finance Committee Chairman (2014-2018), The Moorings, Inc. (nonprofit continuing care community); Global Vice Chairman, Risk & Regulatory Matters, KPMG LLP (KPMG) (2002–2006); Vice Chairman, Industrial Markets, KPMG (1998–2002). Trustee of various trusts within the John Hancock Fund Complex (since 2008). |
NON-INDEPENDENT TRUSTEES3 | ||
Name, year of birth Position(s) held with Trust Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Andrew G. Arnott, Born: 1971 | 2017 | 192 |
President and Non-Independent Trustee | ||
Head of Wealth and Asset Management, United States and Europe, for John Hancock and Manulife (since 2018); Director and Executive Vice President, John Hancock Investment Management LLC (since 2005, including prior positions); Director and Executive Vice President, John Hancock Variable Trust Advisers LLC (since 2006, including prior positions); President, John Hancock Investment Management Distributors LLC (since 2004, including prior positions); President of various trusts within the John Hancock Fund Complex (since 2007, including prior positions). Trustee of various trusts within the John Hancock Fund Complex (since 2017). | ||
Marianne Harrison, Born: 1963 | 2018 | 192 |
Non-Independent Trustee | ||
President and CEO, John Hancock (since 2017); President and CEO, Manulife Canadian Division (2013–2017); Member, Board of Directors, Boston Medical Center (since 2021); Member, Board of Directors, CAE Inc. (since 2019); Member, Board of Directors, MA Competitive Partnership Board (since 2018); Member, Board of Directors, American Council of Life Insurers (ACLI) (since 2018); Member, Board of Directors, Communitech, an industry-led innovation center that fosters technology companies in Canada (2017-2019); Member, Board of Directors, Manulife Assurance Canada (2015-2017); Board Member, St. Mary’s General Hospital Foundation (2014-2017); Member, Board of Directors, Manulife Bank of Canada (2013- 2017); Member, Standing Committee of the Canadian Life & Health Assurance Association (2013-2017); Member, Board of Directors, John Hancock USA, John Hancock Life & Health, John Hancock New York (2012–2013). Trustee of various trusts within the John Hancock Fund Complex (since 2018). | ||
Paul Lorentz,† Born: 1968 | 2022 | 192 |
Non-Independent Trustee | ||
Global Head, Manulife Wealth and Asset Management (since 2017); General Manager, Manulife, Individual Wealth Management and Insurance (2013–2017); President, Manulife Investments (2010–2016). |
PRINCIPAL OFFICERS WHO ARE NOT TRUSTEES | |
Name, year of birth Position(s) held with Trust Principal occupation(s) during past 5 years | Current Position(s) with the Trust since |
Charles A. Rizzo, Born: 1957 | 2007 |
Chief Financial Officer | |
Vice President, John Hancock Financial Services (since 2008); Senior Vice President, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2008); Chief Financial Officer of various trusts within the John Hancock Fund Complex (since 2007). |
PRINCIPAL OFFICERS WHO ARE NOT TRUSTEES (continued) | |
Name, year of birth Position(s) held with Trust Principal occupation(s) during past 5 years | Current Position(s) with the Trust since |
Salvatore Schiavone, Born: 1965 | 2009 |
Treasurer | |
Assistant Vice President, John Hancock Financial Services (since 2007); Vice President, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2007); Treasurer of various trusts within the John Hancock Fund Complex (since 2007, including prior positions). | |
Christopher (Kit) Sechler, Born: 1973 | 2018 |
Secretary and Chief Legal Officer | |
Vice President and Deputy Chief Counsel, John Hancock Investment Management (since 2015); Assistant Vice President and Senior Counsel (2009–2015), John Hancock Investment Management; Assistant Secretary of John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2009); Chief Legal Officer and Secretary of various trusts within the John Hancock Fund Complex (since 2009, including prior positions). | |
Trevor Swanberg, Born: 1979 | 2020 |
Chief Compliance Officer | |
Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (since 2020); Deputy Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (2019–2020); Assistant Chief Compliance Officer, John Hancock Investment Management LLC and John Hancock Variable Trust Advisers LLC (2016–2019); Vice President, State Street Global Advisors (2015–2016); Chief Compliance Officer of various trusts within the John Hancock Fund Complex (since 2016, including prior positions). |
1 | Each Trustee holds office until his or her successor is elected and qualified, or until the Trustee’s death, retirement, resignation, or removal. Mr. Boyle has served as Trustee at various times prior to the date listed in the table. |
2 | Member of the Audit Committee. |
3 | The Trustee is a Non-Independent Trustee due to current or former positions with the Advisor and certain affiliates. |
* | Elected to serve as Independent Trustee effective as of September 9, 2022. |
† | Elected to serve as Non-Independent Trustee effective as of September 9, 2022. |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
James R. Boyle
Peter S. Burgess*
William H. Cunningham*
Grace K. Fey
Noni L. Ellison^
Dean C. Garfield^
Marianne Harrison†
Deborah C. Jackson
Patricia Lizarraga*,^
Paul Lorentz‡
Frances G. Rathke*
Gregory A. Russo
Management LLC
Management Distributors LLC
State Street Bank and Trust Company
Charles A. Rizzo, Chief Financial Officer
Salvatore Schiavone, Treasurer
Christopher (Kit) Sechler, Secretary and Chief Legal Officer
Trevor Swanberg, Chief Compliance Officer
JHF2A | 8/22 10/22 |
ITEM 2. CODE OF ETHICS.
As of the end of the period, August 31, 2022, the registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its Chief Executive Officer, Chief Financial Officer and Treasurer (respectively, the principal executive officer, the principal financial officer and the principal accounting officer, the "Covered Officers"). A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Frances G. Rathke is the audit committee financial expert, effective March 25, 2022, and is "independent", pursuant to general instructions on Form N-CSR Item 3.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit fees:
The aggregate fees billed for professional services rendered by the principal accountant for the audits of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements amounted to the following for the fiscal years ended August 31, 2022 and 2021. These fees were billed to the registrant and were approved by the registrant's audit committee.
2022: $620,716
2021: $674,385
(b) Audit related fees:
Audit-related fees for assurance and related services by the principal accountant are billed to the registrant or to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser ("control affiliates") that provides ongoing services to the registrant. The nature of the services provided was affiliated service provider internal controls reviews and reviews related to supplemental regulatory filings. Amounts billed to the registrant for the fiscal years ended August 31, 2022 and 2021 were as follows:
2022: $31,945
2021: $5,914
Amounts billed to control affiliates were $129,201 and $116,000 for the fiscal years ended August 31, 2022 and 2021, respectively.
(c) Tax fees:
The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning ("tax fees") amounted to the following for the fiscal years ended August 31, 2022 and 2021. The nature of the services comprising the tax fees was the review of the registrant's tax returns and tax distribution requirements. These fees were billed to the registrant and were approved by the registrant's audit committee.
2022: $1,250
2021: $0
(d) All other fees:
The nature of the services comprising all other fees is advisory services provided to the investment manager. Other fees amounted to the following for the fiscal years ended August 31, 2022 and 2021:
2022: $6,255
2021: $1,269
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The Trust's Audit Committee must pre-approve all audit and non-audit services provided by the independent registered public accounting firm (the "Auditor") relating to the operations or financial reporting of the funds. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Trust's Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of audit-related and non-audit services by the Auditor. The policies and procedures require that any audit-related and non-audit service provided by the Auditor and any non-audit service provided by the Auditor to a fund service provider that relates directly to the operations and financial reporting of a fund are subject to approval by the Audit Committee before such service is provided. Audit-related services provided by the Auditor that are expected to exceed $25,000 per instance/per fund are subject to specific pre-approval by the Audit Committee. Tax services provided by the Auditor that are expected to exceed $30,000 per instance/per fund are subject to specific pre-approval by the Audit Committee.
All audit services, as well as the audit-related and non-audit services that are expected to exceed the amounts stated above, must be approved in advance of provision of the service by formal resolution of the Audit Committee. At the regularly scheduled Audit Committee meetings, the Committee reviews a report summarizing the services, including fees, provided by the Auditor.
(e)(2) Services approved pursuant to paragraph (c) (7) (i) (C) of Rule 2-01 of Regulation S-X:
Audit-Related Fees, Tax Fees and All Other Fees:
There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception under Rule 2-01 of Regulation S-X.
(f)According to the registrant's principal accountant, for the fiscal period ended August 31, 2022, the percentage of hours spent on the audit of the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons who were not full-time, permanent employees of principal accountant was less than 50%.
(g)The aggregate non-audit fees billed by the registrant's principal accountant for non-audit services rendered to the registrant and rendered to the registrant's control affiliates were $796,351 for the fiscal year ended August 31, 2022 and $1,067,637 for the fiscal year ended August 31, 2021.
(h)The audit committee of the registrant has considered the non-audit services provided by the registrant's principal accountant to the control affiliates and has determined that the services that were not pre-approved are compatible with maintaining the principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
The registrant has a separately-designated standing audit committee comprised of independent trustees. The members of the audit committee are as follows:
Frances G. Rathke – Chairperson, effective March 25, 2022
Peter S. Burgess
William H. Cunningham
ITEM 6. SCHEDULE OF INVESTMENTS.
(a)Not Applicable
(b)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. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANIES AND AFFILIATED PURCHASERS.
Not Applicable
ITEM 10. SUBMISSION OF MATTERS TO VOTE OF SECURITY HOLDERS.
The registrant has adopted procedures by which shareholders may recommend nominees to the registrant's Board of Trustees. A copy of the procedures is filed as an exhibit to this Form
N-CSR. See attached "John Hancock Funds – Nominating, Governance and Administration Committee Charter".
ITEM 11. CONTROLS AND PROCEDURES.
(a)Based upon their evaluation of the registrant's disclosure controls and procedures as conducted within
90 days of the filing date of this Form N-CSR, the registrant's principal executive officer and principal financial officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.
(b)There were no changes in the registrant's internal control over financial reporting 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.
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.
JOHN HANCOCK FUNDS II
/s/ Andrew Arnott
_______________________
Andrew Arnott
President
Date: October 21, 2022
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.
/s/ Andrew Arnott
_______________________
Andrew Arnott
President
Date: October 21, 2022
/s/ Charles A. Rizzo
_______________________
Charles A. Rizzo
Chief Financial Officer
Date: October 21, 2022