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, MASSACHUSETTS 02116
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(Address of principal executive offices) (Zip code)
SALVATORE SCHIAVONE, 200 BERKELEY STREET, BOSTON, MASSACHUSETTS 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
Date of reporting period: February 28, 2023
ITEM 1. REPORTS TO STOCKHOLDERS.
The Registrant prepared the following semiannual reports to shareholders for the period ended February 28, 2023:
•Alternative Assets Allocation Fund
•Emerging Markets Debt Fund
•Floating Rate Income Fund
•Multi-Asset High Income Fund
•New Opportunities Fund
•Opportunistic Fixed Income Fund
•Real Estate Securities Fund
•Strategic Income Opportunities Fund
•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
SEMIANNUAL REPORT | JOHN HANCOCK ALTERNATIVE ASSET ALLOCATION FUND | 1 |
2 | JOHN HANCOCK ALTERNATIVE ASSET ALLOCATION FUND | SEMIANNUAL REPORT |
ASSET ALLOCATION AS OF 2/28/2023 (% of net assets) | |
Affiliated investment companies | 66.4 |
Absolute return strategies | 40.1 |
Alternative investment approaches | 18.6 |
Alternative markets | 7.7 |
Unaffiliated investment companies | 30.0 |
Absolute return strategies | 14.8 |
Alternative investment approaches | 12.8 |
Alternative markets | 2.4 |
Short-term investments and other | 3.6 |
SEMIANNUAL REPORT | JOHN HANCOCK ALTERNATIVE ASSET ALLOCATION FUND | 3 |
4 | JOHN HANCOCK ALTERNATIVE ASSET ALLOCATION FUND | SEMIANNUAL REPORT |
Account value on 9-1-2022 | Ending value on 2-28-2023 | Expenses paid during period ended 2-28-20231 | Annualized expense ratio2 | ||
Class A | Actual expenses/actual returns | $1,000.00 | $1,009.00 | $3.74 | 0.75% |
Hypothetical example | 1,000.00 | 1,021.10 | 3.76 | 0.75% | |
Class C | Actual expenses/actual returns | 1,000.00 | 1,005.20 | 7.21 | 1.45% |
Hypothetical example | 1,000.00 | 1,017.60 | 7.25 | 1.45% | |
Class I | Actual expenses/actual returns | 1,000.00 | 1,010.00 | 2.24 | 0.45% |
Hypothetical example | 1,000.00 | 1,022.60 | 2.26 | 0.45% | |
Class R2 | Actual expenses/actual returns | 1,000.00 | 1,008.60 | 4.23 | 0.85% |
Hypothetical example | 1,000.00 | 1,020.60 | 4.26 | 0.85% | |
Class R4 | Actual expenses/actual returns | 1,000.00 | 1,009.60 | 2.99 | 0.60% |
Hypothetical example | 1,000.00 | 1,021.80 | 3.01 | 0.60% | |
Class R6 | Actual expenses/actual returns | 1,000.00 | 1,010.90 | 1.70 | 0.34% |
Hypothetical example | 1,000.00 | 1,023.10 | 1.71 | 0.34% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
2 | Ratios do not include fees and expenses indirectly incurred by the underlying funds and can vary based on mixed of underlying funds held by the fund. |
SEMIANNUAL REPORT | JOHN HANCOCK ALTERNATIVE ASSET ALLOCATION FUND | 5 |
Shares | Value | ||||
Affiliated investment companies (A) 66.4% | $474,643,493 | ||||
(Cost $484,297,995) | |||||
Absolute return strategies 40.1% | 286,835,201 | ||||
Credit Suisse Managed Futures Strategy Fund (B) | 4,546,777 | 44,694,818 | |||
Diversified Macro, Class NAV, JHIT (Graham) | 6,060,351 | 57,512,727 | |||
IQ Merger Arbitrage ETF (B)(C)(D) | 895,773 | 28,010,822 | |||
Multi-Asset Absolute Return, Class NAV, JHF II (NIMNAI) | 9,642,423 | 92,567,263 | |||
The Arbitrage Fund, Class I (B) | 5,039,305 | 64,049,571 | |||
Alternative investment approaches 18.6% | 132,841,495 | ||||
Seaport Long/Short, Class NAV, JHIT (Wellington) | 7,135,071 | 79,127,935 | |||
Strategic Income Opportunities, Class NAV, JHF II (MIM US) (E) | 5,566,172 | 53,713,560 | |||
Alternative markets 7.7% | 54,966,797 | ||||
Infrastructure, Class NAV, JHIT (Wellington) | 2,648,306 | 33,448,110 | |||
Invesco DB Precious Metals Fund (B) | 459,801 | 21,518,687 | |||
Unaffiliated investment companies 30.0% | $214,066,677 | ||||
(Cost $208,335,485) | |||||
Absolute return strategies 14.8% | 105,280,854 | ||||
Calamos Market Neutral Income Fund | 3,449,596 | 48,363,337 | |||
Victory Market Neutral Income Fund | 6,618,316 | 56,917,517 | |||
Alternative investment approaches 12.8% | 91,583,336 | ||||
JPMorgan Hedged Equity Fund | 3,601,390 | 91,583,336 | |||
Alternative markets 2.4% | 17,202,487 | ||||
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (D) | 631,607 | 8,987,768 | |||
Vanguard Real Estate ETF | 95,832 | 8,214,719 | |||
Yield (%) | Shares | Value | |||
Short-term investments 4.2% | $29,960,126 | ||||
(Cost $29,948,051) | |||||
Short-term funds 4.2% | 29,960,126 | ||||
John Hancock Collateral Trust (F) | 4.5832(G) | 2,997,361 | 29,960,126 |
Total investments (Cost $722,581,531) 100.6% | $718,670,296 | ||||
Other assets and liabilities, net (0.6%) | (4,025,132) | ||||
Total net assets 100.0% | $714,645,164 |
The percentage shown for each investment category is the total value of the category as a percentage of the net assets of the fund. | |
Security Abbreviations and Legend | |
JHF II | John Hancock Funds II |
JHIT | John Hancock Investment Trust |
6 | JOHN HANCOCK ALTERNATIVE ASSET ALLOCATION FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
(A) | The underlying funds’ subadvisor is shown parenthetically. |
(B) | The fund owns 5% or more of the outstanding voting shares of the issuer and the security is considered an affiliate of the fund. For more information on this security refer to the Notes to financial statements. |
(C) | Non-income producing. |
(D) | All or a portion of this security is on loan as of 2-28-23. |
(E) | The subadvisor is an affiliate of the advisor. |
(F) | 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. Market value of this investment amounted to $5,636,694. |
(G) | The rate shown is the annualized seven-day yield as of 2-28-23. |
Subadvisors of Affiliated Underlying Funds | |
Graham Capital Management, L.P. | (Graham) |
Manulife Investment Management (US) LLC | (MIM US) |
Nordea Investment Management North America, Inc. | (NIMNAI) |
Wellington Management Company LLP | (Wellington) |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK ALTERNATIVE ASSET ALLOCATION FUND | 7 |
Assets | |
Unaffiliated investments, at value (Cost $208,335,485) including $5,540,036 of securities loaned | $214,066,677 |
Affiliated investments, at value (Cost $514,246,046) | 504,603,619 |
Total investments, at value (Cost $722,581,531) | 718,670,296 |
Dividends and interest receivable | 253,828 |
Receivable for fund shares sold | 1,368,245 |
Receivable for investments sold | 24,047,765 |
Receivable for securities lending income | 1,454 |
Other assets | 139,889 |
Total assets | 744,481,477 |
Liabilities | |
Due to custodian | 227,986 |
Payable for investments purchased | 23,079,145 |
Payable for fund shares repurchased | 682,007 |
Payable upon return of securities loaned | 5,656,566 |
Payable to affiliates | |
Investment management fees | 1,335 |
Accounting and legal services fees | 60,434 |
Transfer agent fees | 60,622 |
Distribution and service fees | 198 |
Trustees’ fees | 345 |
Other liabilities and accrued expenses | 67,675 |
Total liabilities | 29,836,313 |
Net assets | $714,645,164 |
Net assets consist of | |
Paid-in capital | $760,561,031 |
Total distributable earnings (loss) | (45,915,867) |
Net assets | $714,645,164 |
8 | JOHN HANCOCK Alternative Asset Allocation Fund | SEMIANNUAL 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 ($70,046,535 ÷ 4,775,655 shares)1 | $14.67 |
Class C ($8,604,922 ÷ 584,496 shares)1 | $14.72 |
Class I ($607,977,350 ÷ 41,433,416 shares) | $14.67 |
Class R2 ($976,622 ÷ 66,645 shares) | $14.65 |
Class R4 ($126,039 ÷ 8,578 shares) | $14.69 |
Class R6 ($26,913,696 ÷ 1,833,621 shares) | $14.68 |
Maximum offering price per share | |
Class A (net asset value per share ÷ 95%)2 | $15.44 |
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 | SEMIANNUAL REPORT | JOHN HANCOCK Alternative Asset Allocation Fund | 9 |
Investment income | |
Dividends from affiliated investments | $16,305,101 |
Dividends | 3,317,106 |
Securities lending | 36,090 |
Total investment income | 19,658,297 |
Expenses | |
Investment management fees | 1,552,773 |
Distribution and service fees | 158,238 |
Accounting and legal services fees | 65,713 |
Transfer agent fees | 373,143 |
Trustees’ fees | 8,363 |
Custodian fees | 15,151 |
State registration fees | 67,672 |
Printing and postage | 28,946 |
Professional fees | 35,129 |
Other | 18,257 |
Total expenses | 2,323,385 |
Less expense reductions | (632,342) |
Net expenses | 1,691,043 |
Net investment income | 17,967,254 |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on | |
Unaffiliated investments | (1,461,203) |
Affiliated investments | 368,764 |
Capital gain distributions received from unaffiliated investments | 4,174,240 |
Capital gain distributions received from affiliated investments | 7,317,772 |
10,399,573 | |
Change in net unrealized appreciation (depreciation) of | |
Unaffiliated investments | (1,067,316) |
Affiliated investments | (18,352,979) |
(19,420,295) | |
Net realized and unrealized loss | (9,020,722) |
Increase in net assets from operations | $8,946,532 |
10 | JOHN HANCOCK Alternative Asset Allocation Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | |
Increase (decrease) in net assets | ||
From operations | ||
Net investment income | $17,967,254 | $8,806,233 |
Net realized gain | 10,399,573 | 6,847,520 |
Change in net unrealized appreciation (depreciation) | (19,420,295) | (31,014,064) |
Increase (decrease) in net assets resulting from operations | 8,946,532 | (15,360,311) |
Distributions to shareholders | ||
From earnings | ||
Class A | (2,173,302) | (1,158,179) |
Class C | (198,996) | (144,223) |
Class I | (20,633,976) | (7,749,131) |
Class R2 | (27,745) | (15,564) |
Class R4 | (3,724) | (1,362) |
Class R6 | (924,684) | (444,124) |
Total distributions | (23,962,427) | (9,512,583) |
From fund share transactions | 88,134,465 | 184,838,183 |
Total increase | 73,118,570 | 159,965,289 |
Net assets | ||
Beginning of period | 641,526,594 | 481,561,305 |
End of period | $714,645,164 | $641,526,594 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Alternative Asset Allocation Fund | 11 |
CLASS A SHARES Period ended | 2-28-231 | 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 | $14.98 | $15.70 | $14.57 | $14.66 | $14.51 | $14.55 |
Net investment income2,3 | 0.35 | 0.23 | 0.07 | 0.09 | 0.25 | 0.13 |
Net realized and unrealized gain (loss) on investments | (0.22) | (0.69) | 1.17 | 0.31 | 0.17 | 0.01 |
Total from investment operations | 0.13 | (0.46) | 1.24 | 0.40 | 0.42 | 0.14 |
Less distributions | ||||||
From net investment income | (0.34) | (0.24) | (0.03) | (0.27) | (0.17) | (0.11) |
From net realized gain | (0.10) | (0.02) | (0.08) | (0.22) | (0.10) | (0.07) |
Total distributions | (0.44) | (0.26) | (0.11) | (0.49) | (0.27) | (0.18) |
Net asset value, end of period | $14.67 | $14.98 | $15.70 | $14.57 | $14.66 | $14.51 |
Total return (%)4,5 | 0.906 | (2.95) | 8.55 | 2.74 | 3.05 | 0.95 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $70 | $73 | $68 | $62 | $73 | $95 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions7 | 0.938 | 0.90 | 0.88 | 0.88 | 0.77 | 0.72 |
Expenses including reductions7 | 0.758 | 0.72 | 0.66 | 0.66 | 0.64 | 0.59 |
Net investment income3 | 2.458 | 1.47 | 0.47 | 0.63 | 1.73 | 0.86 |
Portfolio turnover (%) | 23 | 13 | 25 | 37 | 39 | 18 |
1 | Six months ended 2-28-23. Unaudited. |
2 | Based on average daily shares outstanding. |
3 | Net investment income is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the fund invests. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Does not reflect the effect of sales charges, if any. |
6 | Not annualized. |
7 | Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the fund. |
8 | Annualized. |
12 | JOHN HANCOCK Alternative Asset Allocation Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS C SHARES Period ended | 2-28-231 | 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 | $14.98 | $15.70 | $14.58 | $14.67 | $14.51 | $14.56 |
Net investment income (loss)2,3 | 0.28 | 0.13 | (0.03) | (0.01) | 0.15 | 0.02 |
Net realized and unrealized gain (loss) on investments | (0.21) | (0.69) | 1.16 | 0.31 | 0.18 | 0.01 |
Total from investment operations | 0.07 | (0.56) | 1.13 | 0.30 | 0.33 | 0.03 |
Less distributions | ||||||
From net investment income | (0.23) | (0.14) | — | (0.17) | (0.07) | (0.01) |
From net realized gain | (0.10) | (0.02) | (0.01) | (0.22) | (0.10) | (0.07) |
Total distributions | (0.33) | (0.16) | (0.01) | (0.39) | (0.17) | (0.08) |
Net asset value, end of period | $14.72 | $14.98 | $15.70 | $14.58 | $14.67 | $14.51 |
Total return (%)4,5 | 0.526 | (3.62) | 7.77 | 2.04 | 2.37 | 0.19 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $9 | $11 | $17 | $31 | $42 | $57 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions7 | 1.638 | 1.60 | 1.58 | 1.58 | 1.47 | 1.42 |
Expenses including reductions7 | 1.458 | 1.41 | 1.36 | 1.36 | 1.34 | 1.29 |
Net investment income (loss)3 | 1.578 | 0.86 | (0.21) | (0.06) | 1.02 | 0.17 |
Portfolio turnover (%) | 23 | 13 | 25 | 37 | 39 | 18 |
1 | Six months ended 2-28-23. Unaudited. |
2 | Based on average daily shares outstanding. |
3 | Net investment income is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the fund invests. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Does not reflect the effect of sales charges, if any. |
6 | Not annualized. |
7 | Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the fund. |
8 | Annualized. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Alternative Asset Allocation Fund | 13 |
CLASS I SHARES Period ended | 2-28-231 | 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 | $15.01 | $15.73 | $14.59 | $14.68 | $14.53 | $14.58 |
Net investment income2,3 | 0.39 | 0.26 | 0.12 | 0.14 | 0.29 | 0.17 |
Net realized and unrealized gain (loss) on investments | (0.25) | (0.67) | 1.17 | 0.30 | 0.18 | —4 |
Total from investment operations | 0.14 | (0.41) | 1.29 | 0.44 | 0.47 | 0.17 |
Less distributions | ||||||
From net investment income | (0.38) | (0.29) | (0.07) | (0.31) | (0.22) | (0.15) |
From net realized gain | (0.10) | (0.02) | (0.08) | (0.22) | (0.10) | (0.07) |
Total distributions | (0.48) | (0.31) | (0.15) | (0.53) | (0.32) | (0.22) |
Net asset value, end of period | $14.67 | $15.01 | $15.73 | $14.59 | $14.68 | $14.53 |
Total return (%)5 | 1.006 | (2.66) | 8.92 | 3.04 | 3.39 | 1.18 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $608 | $529 | $374 | $347 | $423 | $510 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions7 | 0.638 | 0.60 | 0.58 | 0.58 | 0.49 | 0.42 |
Expenses including reductions7 | 0.458 | 0.42 | 0.36 | 0.36 | 0.35 | 0.30 |
Net investment income3 | 3.028 | 1.67 | 0.76 | 0.95 | 2.04 | 1.16 |
Portfolio turnover (%) | 23 | 13 | 25 | 37 | 39 | 18 |
1 | Six months ended 2-28-23. Unaudited. |
2 | Based on average daily shares outstanding. |
3 | Net investment income is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the fund invests. |
4 | Less than $0.005 per share. |
5 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
6 | Not annualized. |
7 | Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the fund. |
8 | Annualized. |
14 | JOHN HANCOCK Alternative Asset Allocation Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS R2 SHARES Period ended | 2-28-231 | 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 | $14.95 | $15.67 | $14.55 | $14.64 | $14.49 | $14.53 |
Net investment income2,3 | 0.33 | 0.22 | 0.06 | 0.08 | 0.24 | 0.11 |
Net realized and unrealized gain (loss) on investments | (0.21) | (0.69) | 1.16 | 0.31 | 0.17 | 0.01 |
Total from investment operations | 0.12 | (0.47) | 1.22 | 0.39 | 0.41 | 0.12 |
Less distributions | ||||||
From net investment income | (0.32) | (0.23) | (0.02) | (0.26) | (0.16) | (0.09) |
From net realized gain | (0.10) | (0.02) | (0.08) | (0.22) | (0.10) | (0.07) |
Total distributions | (0.42) | (0.25) | (0.10) | (0.48) | (0.26) | (0.16) |
Net asset value, end of period | $14.65 | $14.95 | $15.67 | $14.55 | $14.64 | $14.49 |
Total return (%)4 | 0.865 | (3.04) | 8.41 | 2.65 | 2.95 | 0.85 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $1 | $1 | $1 | $1 | $2 | $3 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions6 | 1.037 | 0.99 | 0.95 | 0.96 | 0.87 | 0.83 |
Expenses including reductions6 | 0.857 | 0.81 | 0.74 | 0.75 | 0.74 | 0.70 |
Net investment income3 | 2.267 | 1.45 | 0.38 | 0.54 | 1.67 | 0.78 |
Portfolio turnover (%) | 23 | 13 | 25 | 37 | 39 | 18 |
1 | Six months ended 2-28-23. Unaudited. |
2 | Based on average daily shares outstanding. |
3 | Net investment income is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the fund invests. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Not annualized. |
6 | Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the fund. |
7 | Annualized. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Alternative Asset Allocation Fund | 15 |
CLASS R4 SHARES Period ended | 2-28-231 | 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 | $15.01 | $15.73 | $14.60 | $14.69 | $14.54 | $14.58 |
Net investment income2,3 | 0.36 | 0.21 | 0.10 | 0.07 | 0.27 | 0.15 |
Net realized and unrealized gain (loss) on investments | (0.22) | (0.64) | 1.16 | 0.35 | 0.18 | 0.01 |
Total from investment operations | 0.14 | (0.43) | 1.26 | 0.42 | 0.45 | 0.16 |
Less distributions | ||||||
From net investment income | (0.36) | (0.27) | (0.05) | (0.29) | (0.20) | (0.13) |
From net realized gain | (0.10) | (0.02) | (0.08) | (0.22) | (0.10) | (0.07) |
Total distributions | (0.46) | (0.29) | (0.13) | (0.51) | (0.30) | (0.20) |
Net asset value, end of period | $14.69 | $15.01 | $15.73 | $14.60 | $14.69 | $14.54 |
Total return (%)4 | 0.965 | (2.78) | 8.70 | 2.91 | 3.22 | 1.10 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $—6 | $—6 | $—6 | $—6 | $—6 | $1 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions7 | 0.888 | 0.84 | 0.83 | 0.81 | 0.73 | 0.67 |
Expenses including reductions7 | 0.608 | 0.56 | 0.51 | 0.50 | 0.50 | 0.44 |
Net investment income3 | 2.588 | 1.41 | 0.68 | 0.45 | 1.76 | 1.05 |
Portfolio turnover (%) | 23 | 13 | 25 | 37 | 39 | 18 |
1 | Six months ended 2-28-23. Unaudited. |
2 | Based on average daily shares outstanding. |
3 | Net investment income is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the fund invests. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Not annualized. |
6 | Less than $500,000. |
7 | Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the fund. |
8 | Annualized. |
16 | JOHN HANCOCK Alternative Asset Allocation Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS R6 SHARES Period ended | 2-28-231 | 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 | $15.02 | $15.74 | $14.60 | $14.69 | $14.54 | $14.58 |
Net investment income2,3 | 0.38 | 0.27 | 0.13 | 0.14 | 0.32 | 0.18 |
Net realized and unrealized gain (loss) on investments | (0.22) | (0.66) | 1.18 | 0.32 | 0.16 | 0.02 |
Total from investment operations | 0.16 | (0.39) | 1.31 | 0.46 | 0.48 | 0.20 |
Less distributions | ||||||
From net investment income | (0.40) | (0.31) | (0.09) | (0.33) | (0.23) | (0.17) |
From net realized gain | (0.10) | (0.02) | (0.08) | (0.22) | (0.10) | (0.07) |
Total distributions | (0.50) | (0.33) | (0.17) | (0.55) | (0.33) | (0.24) |
Net asset value, end of period | $14.68 | $15.02 | $15.74 | $14.60 | $14.69 | $14.54 |
Total return (%)4 | 1.095 | (2.55) | 9.02 | 3.15 | 3.49 | 1.34 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $27 | $27 | $21 | $22 | $26 | $18 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions6 | 0.537 | 0.49 | 0.48 | 0.46 | 0.37 | 0.32 |
Expenses including reductions6 | 0.347 | 0.31 | 0.26 | 0.25 | 0.24 | 0.20 |
Net investment income3 | 2.917 | 1.74 | 0.88 | 1.01 | 2.23 | 1.26 |
Portfolio turnover (%) | 23 | 13 | 25 | 37 | 39 | 18 |
1 | Six months ended 2-28-23. Unaudited. |
2 | Based on average daily shares outstanding. |
3 | Net investment income is affected by the timing and frequency of the declaration of dividends by the underlying funds in which the fund invests. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Not annualized. |
6 | Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the fund. |
7 | Annualized. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Alternative Asset Allocation Fund | 17 |
18 | JOHN HANCOCK Alternative Asset Allocation Fund | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK Alternative Asset Allocation Fund | 19 |
20 | JOHN HANCOCK Alternative Asset Allocation Fund | SEMIANNUAL REPORT |
First $5.0 billion of average net assets | Excess over $5.0 billion of average net assets | |
Assets in a fund of the Trust or JHF III | 0.100% | 0.075% |
Other assets | 0.550% | 0.525% |
SEMIANNUAL REPORT | JOHN HANCOCK Alternative Asset Allocation Fund | 21 |
Class | Expense reduction |
Class A | $66,733 |
Class C | 8,326 |
Class I | 531,517 |
Class R2 | 894 |
Class | Expense reduction |
Class R4 | $109 |
Class R6 | 24,703 |
Total | $632,282 |
Class | Rule 12b-1 Fee | Service fee |
Class A | 0.30% | — |
Class C | 1.00% | — |
Class R2 | 0.25% | 0.25% |
Class R4 | 0.25% | 0.10% |
22 | JOHN HANCOCK Alternative Asset Allocation Fund | SEMIANNUAL REPORT |
Class | Distribution and service fees | Transfer agent fees |
Class A | $109,751 | $40,954 |
Class C | 45,803 | 5,115 |
Class I | — | 325,810 |
Class R2 | 2,473 | 44 |
Class R4 | 211 | 5 |
Class R6 | — | 1,215 |
Total | $158,238 | $373,143 |
SEMIANNUAL REPORT | JOHN HANCOCK Alternative Asset Allocation Fund | 23 |
Six Months Ended 2-28-23 | Year Ended 8-31-22 | |||
Shares | Amount | Shares | Amount | |
Class A shares | ||||
Sold | 375,165 | $5,532,818 | 1,244,419 | $18,972,407 |
Distributions reinvested | 146,858 | 2,122,095 | 72,236 | 1,116,043 |
Repurchased | (642,992) | (9,483,407) | (763,300) | (11,698,023) |
Net increase (decrease) | (120,969) | $(1,828,494) | 553,355 | $8,390,427 |
Class C shares | ||||
Sold | 39,730 | $586,986 | 295,681 | $4,503,368 |
Distributions reinvested | 13,666 | 198,423 | 9,254 | 143,625 |
Repurchased | (184,710) | (2,728,658) | (686,749) | (10,496,959) |
Net decrease | (131,314) | $(1,943,249) | (381,814) | $(5,849,966) |
Class I shares | ||||
Sold | 14,873,334 | $220,486,510 | 18,592,993 | $283,634,391 |
Distributions reinvested | 1,377,863 | 19,910,119 | 487,798 | 7,536,474 |
Repurchased | (10,082,709) | (148,849,284) | (7,602,455) | (116,191,625) |
Net increase | 6,168,488 | $91,547,345 | 11,478,336 | $174,979,240 |
Class R2 shares | ||||
Sold | 4,078 | $60,135 | 13,996 | $213,182 |
Distributions reinvested | 1,667 | 24,067 | 882 | 13,616 |
Repurchased | (6,484) | (95,568) | (8,996) | (137,741) |
Net increase (decrease) | (739) | $(11,366) | 5,882 | $89,057 |
Class R4 shares | ||||
Sold | 497 | $7,363 | 5,136 | $78,964 |
Distributions reinvested | 257 | 3,724 | 88 | 1,361 |
Repurchased | (1) | (19) | (453) | (6,966) |
Net increase | 753 | $11,068 | 4,771 | $73,359 |
Class R6 shares | ||||
Sold | 369,101 | $5,460,906 | 1,007,464 | $15,367,183 |
Distributions reinvested | 63,992 | 924,684 | 28,746 | 444,124 |
Repurchased | (407,628) | (6,026,429) | (567,668) | (8,655,241) |
Net increase | 25,465 | $359,161 | 468,542 | $7,156,066 |
Total net increase | 5,941,684 | $88,134,465 | 12,129,072 | $184,838,183 |
24 | JOHN HANCOCK Alternative Asset Allocation Fund | SEMIANNUAL REPORT |
Fund | Underlying fund’s net assets |
John Hancock Funds II Multi-Asset Absolute Return Fund | 19.6% |
John Hancock Funds Seaport Long/Short Fund | 9.7% |
John Hancock Funds Diversified Macro Fund | 5.5% |
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 |
Absolute Return Currency | — | $48,348,931 | — | $(49,137,942) | $292,463 | $496,548 | — | — | — |
Diversified Macro | 6,060,351 | 50,223,383 | $24,716,215 | (11,836,179) | (267,834) | (5,322,858) | $5,945,325 | — | $57,512,727 |
Infrastructure | 2,648,306 | 30,221,348 | 9,485,395 | (5,670,373) | (287,764) | (300,496) | 336,082 | — | 33,448,110 |
John Hancock Collateral Trust* | 2,997,361 | 15,756,778 | 121,130,257 | (106,934,933) | (6,028) | 14,052 | 435,231 | — | 29,960,126 |
Multi-Asset Absolute Return | 9,642,423 | 83,590,963 | 18,301,142 | (7,092,550) | (409,829) | (1,822,463) | 3,272,596 | — | 92,567,263 |
Seaport Long/Short | 7,135,071 | 71,052,319 | 15,298,846 | (6,689,934) | (892,281) | 358,985 | 2,596,800 | — | 79,127,935 |
Strategic Income Opportunities | 5,566,172 | 48,139,779 | 11,150,686 | (4,796,636) | (734,173) | (46,096) | 1,160,203 | — | 53,713,560 |
$(2,305,446) | $(6,622,328) | $13,746,237 | — | $346,329,721 |
* | Refer to the Securities lending note within Note 2 for details regarding this investment. |
SEMIANNUAL REPORT | JOHN HANCOCK Alternative Asset Allocation Fund | 25 |
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 |
Credit Suisse Managed Futures Strategy Fund | 4,546,777 | $34,982,689 | $28,368,425 | $(10,469,670) | $1,278,455 | $(9,465,081) | $1,742,687 | $5,527,957 | $44,694,818 |
Invesco DB Gold Fund | — | 16,837,070 | 9,953,049 | (28,479,403) | 1,864,775 | (175,491) | 172,829 | — | — |
Invesco DB Precious Metals Fund | 459,801 | — | 21,569,173 | — | — | (50,486) | — | — | 21,518,687 |
IQ Merger Arbitrage ETF* | 895,773 | 25,224,517 | 5,624,909 | (2,417,362) | (134,560) | (286,682) | — | — | 28,010,822 |
The Arbitrage Fund, Class I* | 5,039,305 | 52,083,600 | 20,309,716 | (6,256,374) | (334,460) | (1,752,911) | 679,438 | 1,789,815 | 64,049,571 |
$2,674,210 | $(11,730,651) | $2,594,954 | $7,317,772 | $158,273,898 |
* | The security was not an affiliate at the beginning of the period. |
26 | JOHN HANCOCK Alternative Asset Allocation Fund | SEMIANNUAL REPORT |
Total votes for the nominee | Total votes withheld from the nominee | |
Independent Trustees | ||
James R. Boyle | 4,554,825,588.937 | 109,369,198.953 |
Noni L. Ellison | 4,545,310,789.674 | 118,883,998.216 |
Dean C. Garfield | 4,542,518,756.422 | 121,676,031.468 |
Patricia Lizarraga | 4,547,597,042.403 | 116,597,745.487 |
Frances G. Rathke | 4,553,474,902.143 | 110,719,885.747 |
Non-Independent Trustees | ||
Andrew G. Arnott | 4,548,263,383.010 | 115,931,404.880 |
Marianne Harrison | 4,552,282,391.834 | 111,912,396.056 |
Paul Lorentz | 4,546,227,532.263 | 117,967,255.627 |
Shares voted | % Of shares voted | % Of outstanding shares | |
For | 4,061,202,897.967 | 87.072% | 64.635% |
Against | 75,620,339.593 | 1.622% | 1.203% |
Abstain/Withheld | 92,916,059.460 | 1.992% | 1.478% |
Broker Non-Vote | 434,455,490.870 | 9.314% | 6.914% |
SEMIANNUAL REPORT | JOHN HANCOCK ALTERNATIVE ASSET ALLOCATION FUND | 27 |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
James R. Boyle
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
Christopher Walsh, CFA
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 |
28 | JOHN HANCOCK ALTERNATIVE ASSET ALLOCATION FUND | SEMIANNUAL REPORT |
GOVERNANCE FUNDS
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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
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MF2780005 | 345SA 2/23 |
Manulife Investment Management
John Hancock Investment Management
Head of Wealth and Asset Management,
United States and Europe
SEMIANNUAL REPORT | JOHN HANCOCK EMERGING MARKETS DEBT FUND | 1 |
2 | JOHN HANCOCK EMERGING MARKETS DEBT FUND | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK EMERGING MARKETS DEBT FUND | 3 |
TOP 10 ISSUERS AS OF 2/28/2023 (% of net assets) | |
Petroleos Mexicanos | 4.4 |
Pertamina Persero PT | 4.0 |
Kingdom of Saudi Arabia | 3.9 |
Republic of Turkey | 3.7 |
Arab Republic of Egypt | 2.6 |
Sultanate of Oman | 2.6 |
Petrobras Global Finance BV | 2.5 |
Republic of Argentina | 2.3 |
Federative Republic of Brazil | 2.1 |
Government of Dominican Republic | 2.1 |
TOTAL | 30.2 |
Cash and cash equivalents are not included. |
TOP 10 COUNTRIES AS OF 2/28/2023 (% of net assets) | |
Mexico | 12.2 |
Brazil | 7.0 |
Indonesia | 5.8 |
Turkey | 4.5 |
Peru | 4.0 |
Saudi Arabia | 3.9 |
Luxembourg | 3.5 |
Dominican Republic | 3.3 |
Netherlands | 3.3 |
Argentina | 3.3 |
TOTAL | 50.8 |
Cash and cash equivalents are not included. |
4 | JOHN HANCOCK EMERGING MARKETS DEBT FUND | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK EMERGING MARKETS DEBT FUND | 5 |
Account value on 9-1-2022 | Ending value on 2-28-2023 | Expenses paid during period ended 2-28-20231 | Annualized expense ratio | ||
Class A | Actual expenses/actual returns | $1,000.00 | $1,027.30 | $5.98 | 1.19% |
Hypothetical example | 1,000.00 | 1,018.90 | 5.96 | 1.19% | |
Class C | Actual expenses/actual returns | 1,000.00 | 1,023.60 | 9.48 | 1.89% |
Hypothetical example | 1,000.00 | 1,015.40 | 9.44 | 1.89% | |
Class I | Actual expenses/actual returns | 1,000.00 | 1,030.00 | 4.48 | 0.89% |
Hypothetical example | 1,000.00 | 1,020.40 | 4.46 | 0.89% | |
Class R2 | Actual expenses/actual returns | 1,000.00 | 1,029.40 | 5.23 | 1.04% |
Hypothetical example | 1,000.00 | 1,019.60 | 5.21 | 1.04% | |
Class R6 | Actual expenses/actual returns | 1,000.00 | 1,029.20 | 3.97 | 0.79% |
Hypothetical example | 1,000.00 | 1,020.90 | 3.96 | 0.79% | |
Class NAV | Actual expenses/actual returns | 1,000.00 | 1,030.70 | 3.93 | 0.78% |
Hypothetical example | 1,000.00 | 1,020.90 | 3.91 | 0.78% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
6 | JOHN HANCOCK EMERGING MARKETS DEBT FUND | SEMIANNUAL REPORT |
Rate (%) | Maturity date | Par value^ | Value | ||
Foreign government obligations 41.7% | $376,756,228 | ||||
(Cost $493,478,821) | |||||
Angola 0.3% | 2,520,000 | ||||
Republic of Angola | |||||
Bond (A) | 9.125 | 11-26-49 | 3,000,000 | 2,520,000 | |
Argentina 3.0% | 26,871,657 | ||||
Provincia de Buenos Aires | |||||
Bond (5.250% to 9-1-23, then 6.375% to 9-1-24, then 6.625% thereafter) (A) | 5.250 | 09-01-37 | 10,689,333 | 4,088,670 | |
Provincia de Rio Negro | |||||
Bond (6.625% to 9-10-23, then 6.875% thereafter) (A) | 6.625 | 03-10-28 | 2,462,111 | 1,478,273 | |
Republic of Argentina | |||||
Bond (0.500% to 7-9-23, then 0.750% to 7-9-27, then 1.750% thereafter) | 0.500 | 07-09-30 | 9,390,259 | 3,040,588 | |
Bond (1.500% to 7-9-23, then 3.625% to 7-9-24, then 4.125% to 7-9-27, then 4.375% to 7-9-28, then 5.000% thereafter) | 1.500 | 07-09-46 | 4,300,000 | 1,245,274 | |
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 | 27,207,840 | 7,735,139 | |
Bond (3.875% to 7-9-23, then 4.250% to 7-9-24, then 5.000% thereafter) | 3.875 | 01-09-38 | 26,540,579 | 9,283,713 | |
Armenia 0.3% | 3,072,560 | ||||
Republic of Armenia | |||||
Bond (A) | 3.600 | 02-02-31 | 4,000,000 | 3,072,560 | |
Bahrain 2.0% | 17,731,069 | ||||
Kingdom of Bahrain | |||||
Bond (A) | 5.250 | 01-25-33 | 6,000,000 | 5,235,000 | |
Bond (A) | 7.000 | 10-12-28 | 3,450,000 | 3,535,069 | |
Bond (A) | 7.375 | 05-14-30 | 8,700,000 | 8,961,000 | |
Brazil 2.1% | 19,348,701 | ||||
Federative Republic of Brazil | |||||
Bond | 5.625 | 01-07-41 | 4,300,000 | 3,690,787 | |
Note | 10.000 | 01-01-27 | BRL | 88,000,000 | 15,657,914 |
Colombia 1.3% | 12,129,530 | ||||
Republic of Colombia | |||||
Bond | 3.125 | 04-15-31 | 7,770,000 | 5,627,925 | |
Bond | 5.000 | 06-15-45 | 6,900,000 | 4,519,049 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK EMERGING MARKETS DEBT FUND | 7 |
Rate (%) | Maturity date | Par value^ | Value | ||
Colombia (continued) | |||||
Bond | 5.200 | 05-15-49 | 3,000,000 | $1,982,556 | |
Dominican Republic 2.1% | 19,244,213 | ||||
Government of Dominican Republic | |||||
Bond (A) | 5.300 | 01-21-41 | 5,000,000 | 3,910,788 | |
Bond (A) | 5.875 | 01-30-60 | 5,350,000 | 4,009,792 | |
Bond | 5.875 | 01-30-60 | 1,500,000 | 1,123,945 | |
Bond (A) | 5.950 | 01-25-27 | 1,500,000 | 1,470,000 | |
Bond | 5.950 | 01-25-27 | 900,000 | 882,000 | |
Bond | 6.850 | 01-27-45 | 5,800,000 | 5,166,389 | |
Bond (A) | 6.875 | 01-29-26 | 2,650,000 | 2,681,299 | |
Egypt 2.6% | 23,391,176 | ||||
Arab Republic of Egypt | |||||
Bond (A) | 3.875 | 02-16-26 | 5,000,000 | 4,008,190 | |
Bond (A) | 5.875 | 06-11-25 | 3,000,000 | 2,672,898 | |
Bond (A) | 7.500 | 01-31-27 | 3,700,000 | 3,174,840 | |
Bond (A) | 7.903 | 02-21-48 | 9,200,000 | 5,543,000 | |
Bond | 7.903 | 02-21-48 | 2,000,000 | 1,205,000 | |
Bond | 8.500 | 01-31-47 | 4,600,000 | 2,933,880 | |
Bond (A) | 8.875 | 05-29-50 | 6,000,000 | 3,853,368 | |
El Salvador 0.3% | 2,510,242 | ||||
Republic of El Salvador | |||||
Bond | 9.500 | 07-15-52 | 5,000,000 | 2,510,242 | |
Georgia 0.1% | 906,629 | ||||
Republic of Georgia | |||||
Bond (A) | 2.750 | 04-22-26 | 1,000,000 | 906,629 | |
Ghana 0.5% | 4,850,131 | ||||
Republic of Ghana | |||||
Bond | 7.625 | 05-16-29 | 3,275,000 | 1,219,938 | |
Bond (A) | 7.875 | 02-11-35 | 1,200,000 | 440,856 | |
Bond | 8.125 | 01-18-26 | 3,150,000 | 1,267,875 | |
Bond | 8.950 | 03-26-51 | 5,300,000 | 1,921,462 | |
Honduras 0.1% | 915,431 | ||||
Republic of Honduras | |||||
Bond (A) | 6.250 | 01-19-27 | 1,050,000 | 915,431 | |
Hungary 0.3% | 2,842,448 | ||||
Republic of Hungary | |||||
Bond (A) | 6.125 | 05-22-28 | 2,800,000 | 2,842,448 | |
Indonesia 1.0% | 8,986,506 | ||||
Republic of Indonesia | |||||
Bond (A) | 4.750 | 01-08-26 | 6,350,000 | 6,275,664 | |
Bond | 6.625 | 02-17-37 | 2,421,000 | 2,710,842 |
8 | JOHN HANCOCK EMERGING MARKETS DEBT FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Iraq 0.6% | $5,776,244 | ||||
Republic of Iraq | |||||
Bond | 5.800 | 01-15-28 | 6,298,750 | 5,776,244 | |
Ivory Coast 0.7% | 6,738,345 | ||||
Republic of Ivory Coast | |||||
Bond (A) | 4.875 | 01-30-32 | EUR | 8,350,000 | 6,738,345 |
Kenya 0.5% | 4,948,326 | ||||
Republic of Kenya | |||||
Bond (A) | 8.000 | 05-22-32 | 3,000,000 | 2,556,960 | |
Bond (A) | 8.250 | 02-28-48 | 3,100,000 | 2,391,366 | |
Mexico 1.0% | 8,808,463 | ||||
Government of Mexico | |||||
Bond | 4.600 | 01-23-46 | 11,000,000 | 8,808,463 | |
Morocco 0.5% | 4,155,801 | ||||
Kingdom of Morocco | |||||
Bond (A) | 4.000 | 12-15-50 | 6,500,000 | 4,155,801 | |
Namibia 0.4% | 3,204,748 | ||||
Republic of Namibia | |||||
Bond (A) | 5.250 | 10-29-25 | 3,400,000 | 3,204,748 | |
Nigeria 1.9% | 16,963,374 | ||||
Federal Republic of Nigeria | |||||
Bond | 7.625 | 11-28-47 | 2,550,000 | 1,705,005 | |
Bond (A) | 7.696 | 02-23-38 | 2,600,000 | 1,812,888 | |
Bond (A) | 7.875 | 02-16-32 | 2,000,000 | 1,537,290 | |
Bond | 7.875 | 02-16-32 | 4,500,000 | 3,458,903 | |
Bond (A) | 8.375 | 03-24-29 | 5,500,000 | 4,620,000 | |
Bond | 9.248 | 01-21-49 | 5,000,000 | 3,829,288 | |
Oman 2.6% | 23,055,640 | ||||
Sultanate of Oman | |||||
Bond | 5.625 | 01-17-28 | 6,000,000 | 5,892,678 | |
Bond | 6.750 | 01-17-48 | 11,500,000 | 11,002,562 | |
Bond (A) | 7.000 | 01-25-51 | 6,250,000 | 6,160,400 | |
Panama 0.5% | 4,364,234 | ||||
Republic of Panama | |||||
Bond | 6.700 | 01-26-36 | 3,050,000 | 3,216,455 | |
Bond | 8.875 | 09-30-27 | 1,000,000 | 1,147,779 | |
Peru 0.2% | 2,124,016 | ||||
Republic of Peru | |||||
Bond | 3.550 | 03-10-51 | 3,000,000 | 2,124,016 | |
Philippines 1.3% | 11,565,103 | ||||
Republic of the Philippines | |||||
Bond | 3.950 | 01-20-40 | 8,600,000 | 7,224,000 | |
Bond | 5.170 | 10-13-27 | 4,300,000 | 4,341,103 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK EMERGING MARKETS DEBT FUND | 9 |
Rate (%) | Maturity date | Par value^ | Value | ||
Qatar 2.0% | $17,768,432 | ||||
State of Qatar | |||||
Bond | 4.500 | 04-23-28 | 4,100,000 | 4,073,728 | |
Bond (A) | 4.817 | 03-14-49 | 10,000,000 | 9,500,000 | |
Bond (A) | 5.103 | 04-23-48 | 4,250,000 | 4,194,704 | |
Saudi Arabia 3.9% | 35,438,992 | ||||
Kingdom of Saudi Arabia | |||||
Bond (A) | 2.250 | 02-02-33 | 7,760,000 | 6,159,500 | |
Bond (A) | 5.000 | 01-18-53 | 12,600,000 | 11,497,500 | |
Bond (A) | 5.250 | 01-16-50 | 18,650,000 | 17,781,992 | |
Senegal 0.3% | 2,569,245 | ||||
Republic of Senegal | |||||
Bond (A)(B) | 6.250 | 05-23-33 | 1,600,000 | 1,326,062 | |
Bond | 6.250 | 05-23-33 | 1,500,000 | 1,243,183 | |
Serbia 0.1% | 959,829 | ||||
Republic of Serbia | |||||
Bond (A) | 2.125 | 12-01-30 | 1,300,000 | 959,829 | |
South Africa 1.7% | 15,050,360 | ||||
Republic of South Africa | |||||
Bond | 4.300 | 10-12-28 | 3,300,000 | 2,925,819 | |
Bond | 5.875 | 04-20-32 | 8,000,000 | 7,131,047 | |
Bond | 7.300 | 04-20-52 | 5,800,000 | 4,993,494 | |
South Korea 1.6% | 14,274,116 | ||||
Korea Development Bank | |||||
Bond | 4.250 | 09-08-32 | 10,650,000 | 10,207,791 | |
Korea Electric Power Corp. | |||||
Bond (A) | 5.500 | 04-06-28 | 4,000,000 | 4,066,325 | |
Sri Lanka 0.3% | 2,710,614 | ||||
Republic of Sri Lanka | |||||
Bond | 6.750 | 04-18-28 | 7,500,000 | 2,710,614 | |
Turkey 4.5% | 40,316,360 | ||||
Istanbul Metropolitan Municipality | |||||
Bond (A)(B) | 6.375 | 12-09-25 | 8,150,000 | 7,230,017 | |
Republic of Turkey | |||||
Bond | 4.250 | 04-14-26 | 9,000,000 | 7,826,940 | |
Bond | 5.875 | 06-26-31 | 10,000,000 | 7,933,800 | |
Bond | 5.950 | 01-15-31 | 5,000,000 | 4,043,750 | |
Bond | 6.000 | 01-14-41 | 18,650,000 | 13,281,853 | |
Ukraine 0.5% | 4,805,025 | ||||
Republic of Ukraine | |||||
Bond (A) | 7.253 | 03-15-35 | 22,800,000 | 3,853,200 | |
GDP-Linked Bond (C)* | (0.304) | 08-01-41 | 3,500,000 | 951,825 |
10 | JOHN HANCOCK EMERGING MARKETS DEBT FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Uzbekistan 0.6% | $5,838,668 | ||||
Republic of Uzbekistan | |||||
Bond (A) | 3.700 | 11-25-30 | 2,700,000 | 2,170,908 | |
Bond (A) | 5.375 | 02-20-29 | 4,000,000 | 3,667,760 | |
Corporate bonds 52.2% | $471,214,451 | ||||
(Cost $580,631,887) | |||||
Argentina 0.3% | 2,650,099 | ||||
Telecom Argentina SA (A) | 8.000 | 07-18-26 | 2,830,000 | 2,650,099 | |
Austria 1.1% | 9,492,834 | ||||
Klabin Austria GmbH (A) | 4.875 | 09-19-27 | 5,800,000 | 5,612,834 | |
Klabin Austria GmbH (A) | 7.000 | 04-03-49 | 4,000,000 | 3,880,000 | |
Brazil 4.9% | 44,447,273 | ||||
Globo Comunicacao e Participacoes SA (A) | 4.875 | 01-22-30 | 6,900,000 | 5,577,745 | |
Globo Comunicacao e Participacoes SA (A) | 5.500 | 01-14-32 | 3,000,000 | 2,448,725 | |
MC Brazil Downstream Trading SARL (A) | 7.250 | 06-30-31 | 5,797,510 | 4,754,448 | |
Odebrecht Holdco Finance, Ltd. (A)(D) | 20.862 | 09-10-58 | 1,671,394 | 1,805 | |
Odebrecht Holdco Finance, Ltd. (D) | 20.862 | 09-10-58 | 1,396,835 | 1,509 | |
Odebrecht Offshore Drilling Finance, Ltd. (0.000% Cash and 7.720% PIK) (A) | 7.720 | 12-01-26 | 2,211,182 | 464,348 | |
Odebrecht Oil & Gas Finance, Ltd., Zero Coupon (A)(E) | 0.000 | 03-31-23 | 253,378 | 95 | |
OEC Finance, Ltd. (0.343% Cash or 7.360% PIK) | 7.360 | 12-27-33 | 1,327,321 | 39,820 | |
OEC Finance, Ltd. (7.500% Cash or 10.500% PIK) (A)(E) | 7.500 | 03-31-23 | 1,688,561 | 80,578 | |
Petrobras Global Finance BV (B) | 5.093 | 01-15-30 | 7,122,000 | 6,481,020 | |
Petrobras Global Finance BV | 5.600 | 01-03-31 | 7,600,000 | 6,971,956 | |
Petrobras Global Finance BV | 6.850 | 06-05-15 | 10,376,000 | 8,655,740 | |
Vale Overseas, Ltd. | 3.750 | 07-08-30 | 3,000,000 | 2,608,606 | |
Vale Overseas, Ltd. | 6.875 | 11-21-36 | 6,210,000 | 6,360,878 | |
Chile 1.7% | 15,094,124 | ||||
Colbun SA | 3.950 | 10-11-27 | 4,000,000 | 3,718,000 | |
Corp. Nacional del Cobre de Chile (A) | 5.125 | 02-02-33 | 4,800,000 | 4,661,347 | |
Enel Americas SA | 4.000 | 10-25-26 | 4,000,000 | 3,893,520 | |
Sociedad Quimica y Minera de Chile SA (A) | 4.250 | 05-07-29 | 3,000,000 | 2,821,257 | |
China 0.7% | 6,159,546 | ||||
State Grid Overseas Investment 2014, Ltd. | 4.850 | 05-07-44 | 6,235,000 | 6,159,546 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK EMERGING MARKETS DEBT FUND | 11 |
Rate (%) | Maturity date | Par value^ | Value | ||
Colombia 1.4% | $12,755,682 | ||||
Ecopetrol SA | 5.875 | 05-28-45 | 9,700,000 | 6,396,518 | |
Empresas Publicas de Medellin ESP (A) | 4.250 | 07-18-29 | 2,300,000 | 1,699,666 | |
Grupo Energia Bogota SA ESP (A) | 4.875 | 05-15-30 | 2,200,000 | 1,936,572 | |
Promigas SA ESP (A) | 3.750 | 10-16-29 | 3,500,000 | 2,722,926 | |
Costa Rica 1.0% | 8,838,900 | ||||
Instituto Costarricense de Electricidad | 6.375 | 05-15-43 | 10,980,000 | 8,838,900 | |
Dominican Republic 1.2% | 11,270,000 | ||||
Aeropuertos Dominicanos Siglo XXI SA (A) | 6.750 | 03-30-29 | 4,150,000 | 4,067,000 | |
Aeropuertos Dominicanos Siglo XXI SA | 6.750 | 03-30-29 | 7,350,000 | 7,203,000 | |
Guatemala 0.9% | 8,001,737 | ||||
CT Trust (A) | 5.125 | 02-03-32 | 5,600,000 | 4,424,000 | |
Investment Energy Resources, Ltd. (A) | 6.250 | 04-26-29 | 4,000,000 | 3,577,737 | |
Hong Kong 0.4% | 3,983,569 | ||||
Sinochem Overseas Capital Company, Ltd. | 6.300 | 11-12-40 | 4,000,000 | 3,983,569 | |
India 2.3% | 20,923,053 | ||||
Adani Ports & Special Economic Zone, Ltd. (A) | 3.100 | 02-02-31 | 4,500,000 | 2,931,177 | |
Adani Ports & Special Economic Zone, Ltd. (A) | 4.200 | 08-04-27 | 4,100,000 | 3,269,984 | |
Adani Ports & Special Economic Zone, Ltd. (A) | 4.375 | 07-03-29 | 3,500,000 | 2,675,719 | |
Shriram Finance, Ltd. (A) | 4.400 | 03-13-24 | 5,700,000 | 5,514,750 | |
Vedanta Resources, Ltd. (A) | 7.125 | 05-31-23 | 4,100,000 | 3,761,072 | |
Vedanta Resources, Ltd. | 7.125 | 05-31-23 | 3,020,000 | 2,770,351 | |
Indonesia 4.8% | 43,331,848 | ||||
Cikarang Listrindo Tbk PT (A) | 4.950 | 09-14-26 | 7,750,000 | 7,313,010 | |
Pertamina Persero PT (A) | 4.700 | 07-30-49 | 7,000,000 | 5,690,692 | |
Pertamina Persero PT | 6.000 | 05-03-42 | 8,200,000 | 7,922,871 | |
Pertamina Persero PT (A) | 6.000 | 05-03-42 | 14,300,000 | 13,816,714 | |
Pertamina Persero PT (A) | 6.450 | 05-30-44 | 8,500,000 | 8,588,561 | |
Luxembourg 3.5% | 31,137,165 | ||||
Hidrovias International Finance SARL (A) | 4.950 | 02-08-31 | 6,000,000 | 4,233,495 | |
Kenbourne Invest SA (A) | 4.700 | 01-22-28 | 3,881,000 | 2,680,909 | |
Kenbourne Invest SA (A) | 6.875 | 11-26-24 | 2,485,000 | 2,245,819 | |
Millicom International Cellular SA (A) | 4.500 | 04-27-31 | 758,000 | 612,085 | |
Millicom International Cellular SA (A) | 5.125 | 01-15-28 | 5,220,000 | 4,595,027 | |
Petrorio Luxembourg Trading Sarl (A) | 6.125 | 06-09-26 | 8,750,000 | 8,266,125 |
12 | JOHN HANCOCK EMERGING MARKETS DEBT FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Luxembourg (continued) | |||||
Rede D’or Finance Sarl (A) | 4.500 | 01-22-30 | 4,265,000 | 3,612,455 | |
Simpar Europe SA (A) | 5.200 | 01-26-31 | 7,000,000 | 4,891,250 | |
Mauritius 1.5% | $13,351,810 | ||||
HTA Group, Ltd. (A) | 7.000 | 12-18-25 | 4,900,000 | 4,647,650 | |
MTN Mauritius Investments, Ltd. (A) | 4.755 | 11-11-24 | 5,950,000 | 5,740,127 | |
MTN Mauritius Investments, Ltd. | 6.500 | 10-13-26 | 3,000,000 | 2,964,033 | |
Mexico 11.2% | 101,103,793 | ||||
Alpek SAB de CV (A) | 4.250 | 09-18-29 | 2,000,000 | 1,785,000 | |
Banco Mercantil del Norte SA (7.500% to 6-27-29, then 10 Year CMT + 5.470%) (A)(E) | 7.500 | 06-27-29 | 2,200,000 | 2,062,500 | |
Braskem Idesa SAPI (A) | 6.990 | 02-20-32 | 4,790,000 | 3,334,798 | |
Cemex SAB de CV (A) | 3.875 | 07-11-31 | 7,750,000 | 6,238,750 | |
Credito Real SAB de CV (E)(F) | 9.125 | 11-29-27 | 3,500,000 | 87,500 | |
Credito Real SAB de CV (A)(F) | 9.500 | 02-07-26 | 11,760,000 | 968,428 | |
Cydsa SAB de CV (A) | 6.250 | 10-04-27 | 7,600,000 | 7,106,000 | |
Cydsa SAB de CV | 6.250 | 10-04-27 | 943,000 | 881,705 | |
Industrias Penoles SAB de CV (A) | 5.650 | 09-12-49 | 5,600,000 | 5,085,007 | |
Infraestructura Energetica Nova SAPI de CV (A) | 4.750 | 01-15-51 | 5,700,000 | 4,266,507 | |
Infraestructura Energetica Nova SAPI de CV (A) | 4.875 | 01-14-48 | 2,800,000 | 2,114,925 | |
Metalsa SA de CV (A) | 3.750 | 05-04-31 | 3,500,000 | 2,693,234 | |
Mexico City Airport Trust | 3.875 | 04-30-28 | 6,000,000 | 5,397,000 | |
Mexico City Airport Trust (A) | 5.500 | 10-31-46 | 7,100,000 | 5,239,507 | |
Mexico City Airport Trust (A) | 5.500 | 07-31-47 | 6,900,000 | 5,118,351 | |
Mexico City Airport Trust | 5.500 | 07-31-47 | 4,000,000 | 2,967,160 | |
Petroleos Mexicanos | 6.625 | 06-15-35 | 10,880,000 | 7,987,710 | |
Petroleos Mexicanos | 7.690 | 01-23-50 | 38,000,000 | 26,812,461 | |
Petroleos Mexicanos (A) | 10.000 | 02-07-33 | 5,000,000 | 4,817,000 | |
Trust Fibra Uno (A) | 6.950 | 01-30-44 | 6,600,000 | 5,709,000 | |
Unifin Financiera SAB de CV (A)(F) | 8.375 | 01-27-28 | 11,500,000 | 431,250 | |
Mongolia 0.4% | 3,606,000 | ||||
Mongolian Mining Corp. Resources LLC (A) | 9.250 | 04-15-24 | 4,000,000 | 3,606,000 | |
Netherlands 3.3% | 29,633,460 | ||||
Braskem Netherlands Finance BV (A) | 4.500 | 01-10-28 | 11,150,000 | 10,048,938 | |
Metinvest BV | 7.750 | 10-17-29 | 6,500,000 | 3,185,000 | |
Prosus NV (A) | 4.027 | 08-03-50 | 8,870,000 | 5,610,168 | |
VEON Holdings BV (A)(B) | 4.950 | 06-16-24 | 4,350,000 | 3,871,500 | |
VEON Holdings BV (A) | 7.250 | 12-26-23 | 1,800,000 | 1,728,000 | |
VEON Holdings BV | 7.250 | 12-26-23 | 5,392,000 | 5,189,854 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK EMERGING MARKETS DEBT FUND | 13 |
Rate (%) | Maturity date | Par value^ | Value | ||
Panama 0.8% | $7,561,439 | ||||
AES Panama Generation Holdings SRL (A) | 4.375 | 05-31-30 | 3,500,000 | 3,059,000 | |
Banco General SA (A) | 4.125 | 08-07-27 | 4,750,000 | 4,502,439 | |
Paraguay 0.3% | 2,259,163 | ||||
Telefonica Celular del Paraguay SA (A) | 5.875 | 04-15-27 | 2,500,000 | 2,259,163 | |
Peru 3.8% | 34,227,211 | ||||
Atlantica Transmision Sur SA (A) | 6.875 | 04-30-43 | 5,881,250 | 5,425,453 | |
Banco BBVA Peru SA (5.250% to 9-22-24, then 5 Year CMT + 2.750%) (A) | 5.250 | 09-22-29 | 2,300,000 | 2,225,618 | |
Cia de Minas Buenaventura SAA (A) | 5.500 | 07-23-26 | 4,000,000 | 3,372,000 | |
Consorcio Transmantaro SA (A) | 5.200 | 04-11-38 | 5,000,000 | 4,457,500 | |
InRetail Consumer (A) | 3.250 | 03-22-28 | 6,000,000 | 5,108,400 | |
Kallpa Generacion SA (A) | 4.875 | 05-24-26 | 2,890,000 | 2,758,794 | |
Petroleos del Peru SA (A) | 5.625 | 06-19-47 | 9,180,000 | 6,101,946 | |
Volcan Cia Minera SAA (A) | 4.375 | 02-11-26 | 6,000,000 | 4,777,500 | |
Singapore 1.9% | 17,589,986 | ||||
LLPL Capital Pte, Ltd. (A) | 6.875 | 02-04-39 | 5,954,428 | 5,421,892 | |
Medco Bell Pte, Ltd. (A) | 6.375 | 01-30-27 | 6,800,000 | 6,230,824 | |
Medco Oak Tree Pte, Ltd. (A) | 7.375 | 05-14-26 | 6,100,000 | 5,937,270 | |
Thailand 0.9% | 7,884,665 | ||||
GC Treasury Center Company, Ltd. (A) | 5.200 | 03-30-52 | 3,000,000 | 2,452,164 | |
PTTEP Canada International Finance, Ltd. (A)(B) | 6.350 | 06-12-42 | 2,600,000 | 2,682,647 | |
Thaioil Treasury Center Company, Ltd. (A) | 3.750 | 06-18-50 | 2,000,000 | 1,264,025 | |
Thaioil Treasury Center Company, Ltd. (A) | 5.375 | 11-20-48 | 1,800,000 | 1,485,829 | |
Togo 0.4% | 3,887,248 | ||||
Banque Ouest Africaine de Developpement (A) | 5.000 | 07-27-27 | 4,200,000 | 3,887,248 | |
United Kingdom 1.7% | 15,366,180 | ||||
IHS Holding, Ltd. (A) | 6.250 | 11-29-28 | 5,800,000 | 4,741,500 | |
Liquid Telecommunications Financing PLC (A) | 5.500 | 09-04-26 | 6,000,000 | 4,189,680 | |
MARB BondCo PLC (A) | 3.950 | 01-29-31 | 9,000,000 | 6,435,000 | |
United States 1.8% | 16,657,666 | ||||
ATP Tower Holdings LLC (A) | 4.050 | 04-27-26 | 2,000,000 | 1,758,023 | |
JBS USA LUX SA (A) | 3.625 | 01-15-32 | 5,000,000 | 4,005,100 | |
Kosmos Energy, Ltd. (A) | 7.750 | 05-01-27 | 3,200,000 | 2,807,168 | |
Sasol Financing USA LLC | 5.500 | 03-18-31 | 9,700,000 | 8,087,375 | |
14 | JOHN HANCOCK EMERGING MARKETS DEBT FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Shares | Value | ||||
Common stocks 0.1% | $561,233 | ||||
(Cost $5,909,631) | |||||
Canada 0.1% | 561,233 | ||||
Frontera Energy Corp. (C) | 62,290 | 561,233 | |||
Yield* (%) | Maturity date | Par value^ | Value | ||
Short-term investments 4.2% | $37,817,700 | ||||
(Cost $37,817,394) | |||||
U.S. Government Agency 3.9% | 35,544,000 | ||||
Federal Agricultural Mortgage Corp. Discount Note | 4.400 | 03-01-23 | 11,275,000 | 11,275,000 | |
Federal Home Loan Bank Discount Note | 4.400 | 03-01-23 | 16,320,000 | 16,320,000 | |
Federal Home Loan Mortgage Corp. Discount Note | 4.300 | 03-01-23 | 7,949,000 | 7,949,000 |
Yield (%) | Shares | Value | |||
Short-term funds 0.3% | 2,273,700 | ||||
John Hancock Collateral Trust (G) | 4.5832(H) | 227,472 | 2,273,700 |
Total investments (Cost $1,117,837,733) 98.2% | $886,349,612 | ||||
Other assets and liabilities, net 1.8% | 16,696,176 | ||||
Total net assets 100.0% | $903,045,788 |
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 | |
BRL | Brazilian Real |
EUR | Euro |
Security Abbreviations and Legend | |
CMT | Constant Maturity Treasury |
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. |
(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 $502,830,219 or 55.7% of the fund’s net assets as of 2-28-23. |
(B) | All or a portion of this security is on loan as of 2-28-23. |
(C) | Non-income producing security. |
(D) | 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. |
(E) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(F) | Non-income producing - Issuer is in default. |
(G) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
(H) | The rate shown is the annualized seven-day yield as of 2-28-23. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK EMERGING MARKETS DEBT FUND | 15 |
* | 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. |
16 | JOHN HANCOCK EMERGING MARKETS DEBT FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 4,550,000 | CLP | 3,612,472,500 | GSI | 3/22/2023 | $197,555 | — |
USD | 4,550,000 | COP | 22,386,000,000 | RBCD | 3/22/2023 | — | $(37,384) |
USD | 4,654,052 | EUR | 4,350,000 | JPM | 5/17/2023 | 32,341 | — |
USD | 4,550,000 | HUF | 1,698,811,205 | TD | 5/17/2023 | — | (85,772) |
USD | 4,550,000 | KRW | 5,903,170,000 | CITI | 3/21/2023 | 80,858 | — |
USD | 4,550,000 | ZAR | 82,989,748 | MSI | 5/17/2023 | 60,280 | — |
$371,034 | $(123,156) |
Derivatives Currency Abbreviations | |
CLP | Chilean Peso |
COP | Colombian Peso |
EUR | Euro |
HUF | Hungarian Forint |
KRW | Korean Won |
USD | U.S. Dollar |
ZAR | South African Rand |
Derivatives Abbreviations | |
CITI | Citibank, N.A. |
GSI | Goldman Sachs International |
JPM | JPMorgan Chase Bank, N.A. |
MSI | Morgan Stanley & Co. International PLC |
OTC | Over-the-counter |
RBCD | RBC Dominion Securities, Inc. |
TD | The Toronto-Dominion Bank |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK EMERGING MARKETS DEBT FUND | 17 |
Assets | |
Unaffiliated investments, at value (Cost $1,115,564,339) including $2,263,511 of securities loaned | $884,075,912 |
Affiliated investments, at value (Cost $2,273,394) | 2,273,700 |
Total investments, at value (Cost $1,117,837,733) | 886,349,612 |
Unrealized appreciation on forward foreign currency contracts | 371,034 |
Cash | 5,725,348 |
Collateral held at broker for futures contracts | 2,851 |
Interest receivable | 13,737,198 |
Receivable for fund shares sold | 73,342 |
Receivable for securities lending income | 6,567 |
Other assets | 109,758 |
Total assets | 906,375,710 |
Liabilities | |
Unrealized depreciation on forward foreign currency contracts | 123,156 |
Distributions payable | 53,943 |
Payable for fund shares repurchased | 627,764 |
Payable upon return of securities loaned | 2,311,908 |
Payable to affiliates | |
Investment management fees | 1,400 |
Accounting and legal services fees | 77,913 |
Transfer agent fees | 1,972 |
Trustees’ fees | 416 |
Other liabilities and accrued expenses | 131,450 |
Total liabilities | 3,329,922 |
Net assets | $903,045,788 |
Net assets consist of | |
Paid-in capital | $1,193,616,466 |
Total distributable earnings (loss) | (290,570,678) |
Net assets | $903,045,788 |
18 | JOHN HANCOCK Emerging Markets Debt Fund | SEMIANNUAL 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 ($1,541,410 ÷ 213,044 shares)1 | $7.24 |
Class C ($306,419 ÷ 42,372 shares)1 | $7.23 |
Class I ($20,669,104 ÷ 2,851,482 shares) | $7.25 |
Class R2 ($36,814 ÷ 5,087 shares) | $7.24 |
Class R6 ($1,461,982 ÷ 201,886 shares) | $7.24 |
Class NAV ($879,030,059 ÷ 121,446,875 shares) | $7.24 |
Maximum offering price per share | |
Class A (net asset value per share ÷ 96%)2 | $7.54 |
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. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Emerging Markets Debt Fund | 19 |
Investment income | |
Interest | $30,863,830 |
Securities lending | 55,557 |
Total investment income | 30,919,387 |
Expenses | |
Investment management fees | 3,132,988 |
Distribution and service fees | 4,408 |
Accounting and legal services fees | 86,089 |
Transfer agent fees | 12,739 |
Trustees’ fees | 11,219 |
Custodian fees | 103,810 |
State registration fees | 55,922 |
Printing and postage | 10,974 |
Professional fees | 83,327 |
Other | 22,550 |
Total expenses | 3,524,026 |
Less expense reductions | (31,686) |
Net expenses | 3,492,340 |
Net investment income | 27,427,047 |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on | |
Unaffiliated investments and foreign currency transactions | (5,230,816) |
Affiliated investments | (5,066) |
Forward foreign currency contracts | 93,773 |
(5,142,109) | |
Change in net unrealized appreciation (depreciation) of | |
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 4,723,927 |
Affiliated investments | 3,640 |
Forward foreign currency contracts | 212,107 |
4,939,674 | |
Net realized and unrealized loss | (202,435) |
Increase in net assets from operations | $27,224,612 |
20 | JOHN HANCOCK Emerging Markets Debt Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | |
Increase (decrease) in net assets | ||
From operations | ||
Net investment income | $27,427,047 | $56,619,608 |
Net realized loss | (5,142,109) | (11,417,710) |
Change in net unrealized appreciation (depreciation) | 4,939,674 | (273,093,033) |
Increase (decrease) in net assets resulting from operations | 27,224,612 | (227,891,135) |
Distributions to shareholders | ||
From earnings | ||
Class A | (53,271) | (93,335) |
Class C | (7,201) | (13,814) |
Class I | (597,535) | (978,473) |
Class R2 | (1,045) | (2,108) |
Class R6 | (56,321) | (107,991) |
Class NAV | (26,322,198) | (54,239,103) |
Total distributions | (27,037,571) | (55,434,824) |
From fund share transactions | (31,063,350) | 19,049,779 |
Total decrease | (30,876,309) | (264,276,180) |
Net assets | ||
Beginning of period | 933,922,097 | 1,198,198,277 |
End of period | $903,045,788 | $933,922,097 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Emerging Markets Debt Fund | 21 |
CLASS A SHARES Period ended | 2-28-231 | 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 | $7.24 | $9.45 | $9.21 | $9.33 | $8.86 | $9.87 |
Net investment income2 | 0.20 | 0.41 | 0.37 | 0.41 | 0.43 | 0.41 |
Net realized and unrealized gain (loss) on investments | —3 | (2.22) | 0.23 | (0.11) | 0.48 | (0.96) |
Total from investment operations | 0.20 | (1.81) | 0.60 | 0.30 | 0.91 | (0.55) |
Less distributions | ||||||
From net investment income | (0.20) | (0.40) | (0.36) | (0.36) | (0.44) | (0.46) |
From tax return of capital | — | — | — | (0.06) | — | — |
Total distributions | (0.20) | (0.40) | (0.36) | (0.42) | (0.44) | (0.46) |
Net asset value, end of period | $7.24 | $7.24 | $9.45 | $9.21 | $9.33 | $8.86 |
Total return (%)4,5 | 2.736 | (19.55) | 6.61 | 3.36 | 10.52 | (5.75) |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $2 | $2 | $2 | $3 | $2 | $3 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.207 | 1.18 | 1.17 | 1.20 | 1.19 | 1.18 |
Expenses including reductions | 1.197 | 1.17 | 1.17 | 1.19 | 1.18 | 1.17 |
Net investment income | 5.537 | 4.87 | 4.01 | 4.54 | 4.78 | 4.34 |
Portfolio turnover (%) | 5 | 9 | 18 | 24 | 7 | 23 |
1 | Six months ended 2-28-23. Unaudited. |
2 | Based on average daily shares outstanding. |
3 | Less than $0.005 per share. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Does not reflect the effect of sales charges, if any. |
6 | Not annualized. |
7 | Annualized. |
22 | JOHN HANCOCK Emerging Markets Debt Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS C SHARES Period ended | 2-28-231 | 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 | $7.24 | $9.44 | $9.20 | $9.32 | $8.85 | $9.86 |
Net investment income2 | 0.18 | 0.35 | 0.31 | 0.35 | 0.37 | 0.35 |
Net realized and unrealized gain (loss) on investments | (0.02) | (2.21) | 0.22 | (0.12) | 0.48 | (0.96) |
Total from investment operations | 0.16 | (1.86) | 0.53 | 0.23 | 0.85 | (0.61) |
Less distributions | ||||||
From net investment income | (0.17) | (0.34) | (0.29) | (0.30) | (0.38) | (0.40) |
From tax return of capital | — | — | — | (0.05) | — | — |
Total distributions | (0.17) | (0.34) | (0.29) | (0.35) | (0.38) | (0.40) |
Net asset value, end of period | $7.23 | $7.24 | $9.44 | $9.20 | $9.32 | $8.85 |
Total return (%)3,4 | 2.365 | (20.04) | 5.87 | 2.65 | 9.76 | (6.40) |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $—6 | $—6 | $—6 | $1 | $1 | $1 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.907 | 1.88 | 1.87 | 1.90 | 1.89 | 1.88 |
Expenses including reductions | 1.897 | 1.87 | 1.87 | 1.89 | 1.88 | 1.87 |
Net investment income | 5.007 | 4.17 | 3.32 | 3.85 | 4.09 | 3.68 |
Portfolio turnover (%) | 5 | 9 | 18 | 24 | 7 | 23 |
1 | Six months ended 2-28-23. Unaudited. |
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. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Emerging Markets Debt Fund | 23 |
CLASS I SHARES Period ended | 2-28-231 | 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 | $7.25 | $9.46 | $9.22 | $9.34 | $8.86 | $9.88 |
Net investment income2 | 0.21 | 0.43 | 0.41 | 0.44 | 0.46 | 0.44 |
Net realized and unrealized gain (loss) on investments | —3 | (2.22) | 0.21 | (0.12) | 0.49 | (0.97) |
Total from investment operations | 0.21 | (1.79) | 0.62 | 0.32 | 0.95 | (0.53) |
Less distributions | ||||||
From net investment income | (0.21) | (0.42) | (0.38) | (0.38) | (0.47) | (0.49) |
From tax return of capital | — | — | — | (0.06) | — | — |
Total distributions | (0.21) | (0.42) | (0.38) | (0.44) | (0.47) | (0.49) |
Net asset value, end of period | $7.25 | $7.25 | $9.46 | $9.22 | $9.34 | $8.86 |
Total return (%)4 | 3.005 | (19.30) | 6.91 | 3.67 | 10.95 | (5.56) |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $21 | $19 | $18 | $14 | $15 | $14 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.906 | 0.88 | 0.87 | 0.90 | 0.90 | 0.89 |
Expenses including reductions | 0.896 | 0.87 | 0.87 | 0.89 | 0.89 | 0.88 |
Net investment income | 5.966 | 5.21 | 4.36 | 4.83 | 5.06 | 4.64 |
Portfolio turnover (%) | 5 | 9 | 18 | 24 | 7 | 23 |
1 | Six months ended 2-28-23. Unaudited. |
2 | Based on average daily shares outstanding. |
3 | Less than $0.005 per share. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Not annualized. |
6 | Annualized. |
24 | JOHN HANCOCK Emerging Markets Debt Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS R2 SHARES Period ended | 2-28-231 | 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 | $7.24 | $9.45 | $9.21 | $9.32 | $8.85 | $9.87 |
Net investment income2 | 0.21 | 0.42 | 0.38 | 0.42 | 0.44 | 0.42 |
Net realized and unrealized gain (loss) on investments | —3 | (2.22) | 0.22 | (0.11) | 0.48 | (0.97) |
Total from investment operations | 0.21 | (1.80) | 0.60 | 0.31 | 0.92 | (0.55) |
Less distributions | ||||||
From net investment income | (0.21) | (0.41) | (0.36) | (0.36) | (0.45) | (0.47) |
From tax return of capital | — | — | — | (0.06) | — | — |
Total distributions | (0.21) | (0.41) | (0.36) | (0.42) | (0.45) | (0.47) |
Net asset value, end of period | $7.24 | $7.24 | $9.45 | $9.21 | $9.32 | $8.85 |
Total return (%)4 | 2.945 | (19.32) | 6.52 | 3.49 | 10.62 | (5.75) |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $—6 | $—6 | $—6 | $—6 | $—6 | $—6 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.057 | 1.02 | 1.15 | 1.18 | 1.12 | 1.08 |
Expenses including reductions | 1.047 | 1.01 | 1.15 | 1.17 | 1.11 | 1.07 |
Net investment income | 5.907 | 5.06 | 4.04 | 4.60 | 4.85 | 4.40 |
Portfolio turnover (%) | 5 | 9 | 18 | 24 | 7 | 23 |
1 | Six months ended 2-28-23. Unaudited. |
2 | Based on average daily shares outstanding. |
3 | Less than $0.005 per share. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Not annualized. |
6 | Less than $500,000. |
7 | Annualized. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Emerging Markets Debt Fund | 25 |
CLASS R6 SHARES Period ended | 2-28-231 | 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 | $7.25 | $9.44 | $9.21 | $9.33 | $8.85 | $9.87 |
Net investment income2 | 0.22 | 0.44 | 0.41 | 0.45 | 0.48 | 0.46 |
Net realized and unrealized gain (loss) on investments | (0.02) | (2.20) | 0.21 | (0.12) | 0.47 | (0.98) |
Total from investment operations | 0.20 | (1.76) | 0.62 | 0.33 | 0.95 | (0.52) |
Less distributions | ||||||
From net investment income | (0.21) | (0.43) | (0.39) | (0.39) | (0.47) | (0.50) |
From tax return of capital | — | — | — | (0.06) | — | — |
Total distributions | (0.21) | (0.43) | (0.39) | (0.45) | (0.47) | (0.50) |
Net asset value, end of period | $7.24 | $7.25 | $9.44 | $9.21 | $9.33 | $8.85 |
Total return (%)3 | 2.924 | (19.04) | 6.92 | 3.79 | 11.05 | (5.48) |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $1 | $2 | $3 | $4 | $3 | $1 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.805 | 0.77 | 0.77 | 0.78 | 0.79 | 0.79 |
Expenses including reductions | 0.795 | 0.76 | 0.76 | 0.78 | 0.78 | 0.78 |
Net investment income | 6.155 | 5.28 | 4.44 | 4.96 | 5.22 | 4.83 |
Portfolio turnover (%) | 5 | 9 | 18 | 24 | 7 | 23 |
1 | Six months ended 2-28-23. Unaudited. |
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. |
26 | JOHN HANCOCK Emerging Markets Debt Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS NAV SHARES Period ended | 2-28-231 | 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 | $7.24 | $9.44 | $9.21 | $9.33 | $8.85 | $9.87 |
Net investment income2 | 0.22 | 0.44 | 0.42 | 0.45 | 0.47 | 0.45 |
Net realized and unrealized gain (loss) on investments | (0.01) | (2.21) | 0.20 | (0.11) | 0.49 | (0.97) |
Total from investment operations | 0.21 | (1.77) | 0.62 | 0.34 | 0.96 | (0.52) |
Less distributions | ||||||
From net investment income | (0.21) | (0.43) | (0.39) | (0.40) | (0.48) | (0.50) |
From tax return of capital | — | — | — | (0.06) | — | — |
Total distributions | (0.21) | (0.43) | (0.39) | (0.46) | (0.48) | (0.50) |
Net asset value, end of period | $7.24 | $7.24 | $9.44 | $9.21 | $9.33 | $8.85 |
Total return (%)3 | 3.074 | (19.14) | 6.93 | 3.80 | 11.10 | (5.46) |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $879 | $911 | $1,175 | $1,014 | $1,069 | $840 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.795 | 0.76 | 0.76 | 0.77 | 0.77 | 0.77 |
Expenses including reductions | 0.785 | 0.75 | 0.75 | 0.76 | 0.77 | 0.77 |
Net investment income | 6.165 | 5.31 | 4.49 | 4.97 | 5.21 | 4.79 |
Portfolio turnover (%) | 5 | 9 | 18 | 24 | 7 | 23 |
1 | Six months ended 2-28-23. Unaudited. |
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. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Emerging Markets Debt Fund | 27 |
28 | JOHN HANCOCK Emerging Markets Debt Fund | SEMIANNUAL REPORT |
Total value at 2-28-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Investments in securities: | ||||
Assets | ||||
Foreign government obligations | $376,756,228 | — | $376,756,228 | — |
Corporate bonds | 471,214,451 | — | 471,214,451 | — |
Common stocks | 561,233 | $561,233 | — | — |
Short-term investments | 37,817,700 | 2,273,700 | 35,544,000 | — |
Total investments in securities | $886,349,612 | $2,834,933 | $883,514,679 | — |
Derivatives: | ||||
Assets | ||||
Forward foreign currency contracts | $371,034 | — | $371,034 | — |
Liabilities | ||||
Forward foreign currency contracts | (123,156) | — | (123,156) | — |
SEMIANNUAL REPORT | JOHN HANCOCK Emerging Markets Debt Fund | 29 |
30 | JOHN HANCOCK Emerging Markets Debt Fund | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK Emerging Markets Debt Fund | 31 |
32 | JOHN HANCOCK Emerging Markets Debt Fund | SEMIANNUAL REPORT |
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 | $371,034 | $(123,156) |
Statement of operations location - Net realized gain (loss) on: | |
Risk | Forward foreign currency contracts |
Currency | $93,773 |
Statement of operations location - Change in net unrealized appreciation (depreciation) of: | |
Risk | Forward foreign currency contracts |
Currency | $212,107 |
SEMIANNUAL REPORT | JOHN HANCOCK Emerging Markets Debt Fund | 33 |
Class | Expense reduction |
Class A | $67 |
Class C | 10 |
Class I | 716 |
Class R2 | 2 |
Class | Expense reduction |
Class R6 | $66 |
Class NAV | 30,825 |
Total | $31,686 |
34 | JOHN HANCOCK Emerging Markets Debt Fund | SEMIANNUAL REPORT |
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 | $2,908 | $1,087 |
Class C | 1,454 | 163 |
Class I | — | 11,404 |
Class R2 | 46 | 2 |
Class R6 | — | 83 |
Total | $4,408 | $12,739 |
SEMIANNUAL REPORT | JOHN HANCOCK Emerging Markets Debt Fund | 35 |
Six Months Ended 2-28-23 | Year Ended 8-31-22 | |||
Shares | Amount | Shares | Amount | |
Class A shares | ||||
Sold | 1,081,766 | $7,847,348 | 411,743 | $3,459,249 |
Distributions reinvested | 7,312 | 52,021 | 11,196 | 91,480 |
Repurchased | (1,094,656) | (8,030,482) | (450,053) | (3,773,456) |
Net decrease | (5,578) | $(131,113) | (27,114) | $(222,727) |
Class C shares | ||||
Sold | 8,423 | $58,619 | 2,628 | $23,499 |
Distributions reinvested | 1,014 | 7,196 | 1,681 | 13,722 |
Repurchased | (5,048) | (36,364) | (10,099) | (85,390) |
Net increase (decrease) | 4,389 | $29,451 | (5,790) | $(48,169) |
Class I shares | ||||
Sold | 4,551,481 | $32,131,953 | 3,798,726 | $31,015,064 |
Distributions reinvested | 39,213 | 278,446 | 63,916 | 522,360 |
Repurchased | (4,320,909) | (30,700,622) | (3,174,737) | (25,504,273) |
Net increase | 269,785 | $1,709,777 | 687,905 | $6,033,151 |
Class R2 shares | ||||
Sold | — | — | 1 | $9 |
Repurchased | — | — | (2) | (16) |
Net decrease | — | — | (1) | $(7) |
Class R6 shares | ||||
Sold | 12,479 | $88,950 | 94,851 | $787,917 |
Distributions reinvested | 7,628 | 54,063 | 13,121 | 107,404 |
Repurchased | (78,357) | (566,067) | (143,587) | (1,284,479) |
Net decrease | (58,250) | $(423,054) | (35,615) | $(389,158) |
Class NAV shares | ||||
Sold | 2,059,588 | $14,647,612 | 4,787,248 | $39,380,209 |
Distributions reinvested | 3,715,328 | 26,322,198 | 6,657,118 | 54,239,103 |
Repurchased | (10,166,761) | (73,218,221) | (9,996,975) | (79,942,623) |
Net increase (decrease) | (4,391,845) | $(32,248,411) | 1,447,391 | $13,676,689 |
Total net increase (decrease) | (4,181,499) | $(31,063,350) | 2,066,776 | $19,049,779 |
36 | JOHN HANCOCK Emerging Markets Debt Fund |��SEMIANNUAL REPORT |
Fund | Affiliated Concentration |
John Hancock Funds II Multimanager Lifestyle Balanced Portfolio | 30.1% |
John Hancock Funds II Multimanager Lifestyle Growth Portfolio | 18.0% |
John Hancock Funds II Multimanager Lifestyle Conservative Portfolio | 14.1% |
John Hancock Funds II Multimanager Lifestyle Moderate Portfolio | 13.0% |
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* | 227,472 | $19,322,766 | $15,093,152 | $(32,140,792) | $(5,066) | $3,640 | $55,557 | — | $2,273,700 |
* | Refer to the Securities lending note within Note 2 for details regarding this investment. |
SEMIANNUAL REPORT | JOHN HANCOCK Emerging Markets Debt Fund | 37 |
Total votes for the nominee | Total votes withheld from the nominee | |
Independent Trustees | ||
James R. Boyle | 4,554,825,588.937 | 109,369,198.953 |
Noni L. Ellison | 4,545,310,789.674 | 118,883,998.216 |
Dean C. Garfield | 4,542,518,756.422 | 121,676,031.468 |
Patricia Lizarraga | 4,547,597,042.403 | 116,597,745.487 |
Frances G. Rathke | 4,553,474,902.143 | 110,719,885.747 |
Non-Independent Trustees | ||
Andrew G. Arnott | 4,548,263,383.010 | 115,931,404.880 |
Marianne Harrison | 4,552,282,391.834 | 111,912,396.056 |
Paul Lorentz | 4,546,227,532.263 | 117,967,255.627 |
Shares voted | % Of shares voted | % Of outstanding shares | |
For | 4,061,202,897.967 | 87.072% | 64.635% |
Against | 75,620,339.593 | 1.622% | 1.203% |
Abstain/Withheld | 92,916,059.460 | 1.992% | 1.478% |
Broker Non-Vote | 434,455,490.870 | 9.314% | 6.914% |
38 | JOHN HANCOCK EMERGING MARKETS DEBT FUND | SEMIANNUAL REPORT |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
James R. Boyle
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
Roberto Sanchez-Dahl, CFA
Elina Theodorakopoulou
Paolo H. Valle
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 |
SEMIANNUAL REPORT | JOHN HANCOCK EMERGING MARKETS DEBT FUND | 39 |
GOVERNANCE FUNDS
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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
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standards and serve the best interests of our shareholders.
a diverse set of investments backed by some of the world’s best
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MF2780028 | 358SA 2/23 |
Manulife Investment Management
John Hancock Investment Management
Head of Wealth and Asset Management,
United States and Europe
SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 1 |
2 | JOHN HANCOCK FLOATING RATE INCOME FUND | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 3 |
COUNTRY COMPOSITION AS OF 2/28/2023 (% of net assets) | |
United States | 83.7 |
Luxembourg | 4.3 |
United Kingdom | 2.7 |
Cayman Islands | 2.5 |
Canada | 1.7 |
France | 1.2 |
Netherlands | 1.2 |
Other countries | 2.7 |
TOTAL | 100.0 |
4 | JOHN HANCOCK FLOATING RATE INCOME FUND | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 5 |
Account value on 9-1-2022 | Ending value on 2-28-2023 | Expenses paid during period ended 2-28-20231 | Annualized expense ratio | ||
Class A | Actual expenses/actual returns | $1,000.00 | $1,023.80 | $5.17 | 1.03% |
Hypothetical example | 1,000.00 | 1,019.70 | 5.16 | 1.03% | |
Class C | Actual expenses/actual returns | 1,000.00 | 1,020.10 | 8.92 | 1.78% |
Hypothetical example | 1,000.00 | 1,016.00 | 8.90 | 1.78% | |
Class I | Actual expenses/actual returns | 1,000.00 | 1,024.90 | 4.02 | 0.80% |
Hypothetical example | 1,000.00 | 1,020.80 | 4.01 | 0.80% | |
Class R6 | Actual expenses/actual returns | 1,000.00 | 1,025.50 | 3.47 | 0.69% |
Hypothetical example | 1,000.00 | 1,021.40 | 3.46 | 0.69% | |
Class 1 | Actual expenses/actual returns | 1,000.00 | 1,025.30 | 3.67 | 0.73% |
Hypothetical example | 1,000.00 | 1,021.20 | 3.66 | 0.73% | |
Class NAV | Actual expenses/actual returns | 1,000.00 | 1,025.50 | 3.47 | 0.69% |
Hypothetical example | 1,000.00 | 1,021.40 | 3.46 | 0.69% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
6 | JOHN HANCOCK FLOATING RATE INCOME FUND | SEMIANNUAL REPORT |
Rate (%) | Maturity date | Par value^ | Value | ||
Term loans (A) 83.4% | $997,277,855 | ||||
(Cost $1,059,028,840) | |||||
Communication services 9.6% | 114,078,204 | ||||
Diversified telecommunication services 3.4% | |||||
Cablevision Lightpath LLC, Term Loan B (1 month LIBOR + 3.250%) | 7.838 | 11-30-27 | 4,552,770 | 4,512,933 | |
Cincinnati Bell, Inc., 2021 Term Loan B2 (1 month SOFR + 3.250%) | 7.968 | 11-22-28 | 3,000,275 | 2,975,103 | |
Connect Finco SARL, 2021 Term Loan B (1 month LIBOR + 3.500%) | 8.140 | 12-11-26 | 2,595,306 | 2,547,293 | |
Cyxtera DC Holdings, Inc., Incremental Term Loan (3 month LIBOR + 4.000%) | 8.820 | 05-01-24 | 1,105,428 | 953,431 | |
Cyxtera DC Holdings, Inc., Term Loan B (3 month LIBOR + 3.000%) | 7.820 | 05-01-24 | 7,128,324 | 6,323,393 | |
Frontier Communications Holdings LLC, 2021 1st Lien Term Loan (3 month LIBOR + 3.750%) | 8.500 | 05-01-28 | 5,495,798 | 5,362,690 | |
Gridiron Fiber Corp., Term Loan (3 month LIBOR + 4.500%) | 9.234 | 10-04-28 | 4,343,166 | 4,136,865 | |
Intelsat Jackson Holdings SA, 2017 Term Loan B5 | 8.625 | 01-02-24 | 16,071 | 15,963 | |
Level 3 Financing, Inc., 2019 Term Loan B (1 month LIBOR + 1.750%) | 6.385 | 03-01-27 | 2,710,847 | 2,468,578 | |
Venga Finance Sarl, 2021 USD Term Loan B (3 month LIBOR + 4.750%) | 9.703 | 12-04-28 | 4,861,674 | 4,645,962 | |
Voyage Digital, USD Term Loan B (3 month SOFR + 4.500%) | 9.304 | 05-11-29 | 4,222,505 | 4,159,167 | |
Zacapa SARL, 2022 Term Loan (3 month SOFR + 4.250%) | 8.830 | 03-22-29 | 2,910,052 | 2,819,724 | |
Entertainment 0.1% | |||||
Technicolor Creative Studios SA, EUR Term Loan (3 month EURIBOR + 6.000%) | 8.046 | 09-07-26 | EUR | 2,662,366 | 1,632,088 |
Interactive media and services 1.7% | |||||
Arches Buyer, Inc., 2021 Term Loan B (1 month SOFR + 3.250%) | 7.968 | 12-06-27 | 6,839,494 | 6,429,124 | |
Knot Worldwide, Inc., 2022 Term Loan (1 month SOFR + 4.500%) | 9.218 | 12-19-25 | 6,648,495 | 6,631,874 | |
MH Sub I LLC, 2017 1st Lien Term Loan (1 month LIBOR + 3.750%) | 8.385 | 09-13-24 | 2,075,054 | 2,057,686 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 7 |
Rate (%) | Maturity date | Par value^ | Value | ||
Communication services (continued) | |||||
Interactive media and services (continued) | |||||
MH Sub I LLC, 2020 Incremental Term Loan (1 month LIBOR + 3.750%) | 8.385 | 09-13-24 | 4,719,544 | $4,679,947 | |
Media 4.0% | |||||
CMI Marketing, Inc., 2021 First Lien Term Loan B (1 month LIBOR + 4.250%) | 8.885 | 03-23-28 | 4,529,315 | 4,155,647 | |
Digital Media Solutions LLC, Term Loan B (3 month LIBOR + 5.000%) | 9.730 | 05-25-26 | 2,505,473 | 2,139,047 | |
Hunter US Bidco, Inc., USD Term Loan B (3 month LIBOR + 4.250%) | 8.980 | 08-19-28 | 3,878,501 | 3,826,800 | |
National CineMedia LLC, 2018 Term Loan B (3 month LIBOR + 4.000%) | 8.875 | 06-20-25 | 376,401 | 117,862 | |
National CineMedia LLC , 2021 Incremental Term Loan (3 month LIBOR + 8.000%) | 12.875 | 12-20-24 | 156,321 | 49,371 | |
National CineMedia LLC , 2022 Revolver (1 month SOFR + 8.115%) | 12.678 | 06-20-23 | 1,579,857 | 552,950 | |
Oceankey US II Corp., 2021 Term Loan (1 month LIBOR + 3.500%) | 8.135 | 12-15-28 | 5,468,536 | 5,175,970 | |
Radiate Holdco LLC, 2021 Term Loan B (1 month LIBOR + 3.250%) | 7.885 | 09-25-26 | 4,494,535 | 3,720,621 | |
Recorded Books, Inc., 2021 Term Loan (1 month SOFR + 4.000%) | 8.605 | 08-29-25 | 5,743,405 | 5,705,441 | |
Research Now Group LLC, 2017 1st Lien Term Loan (6 month LIBOR + 5.500%) | 10.314 | 12-20-24 | 7,285,717 | 5,424,799 | |
Research Now Group LLC , 2017 2nd Lien Term Loan (3 month LIBOR + 9.500%) | 14.314 | 12-20-25 | 629,484 | 375,595 | |
Titan US Finco LLC, 2021 USD Term Loan (3 month LIBOR + 4.000%) | 8.730 | 10-18-28 | 3,544,849 | 3,467,324 | |
United Talent Agency LLC, Term Loan B (1 month SOFR + 4.000%) | 8.719 | 07-07-28 | 6,089,881 | 6,055,655 | |
Virgin Media Bristol LLC, 2020 USD Term Loan Q (1 month LIBOR + 3.250%) | 7.838 | 01-31-29 | 4,046,999 | 4,021,705 | |
WideOpenWest Finance LLC, 2021 Term Loan B (3 month SOFR + 3.000%) | 7.580 | 12-20-28 | 2,507,285 | 2,497,882 |
8 | JOHN HANCOCK FLOATING RATE INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Communication services (continued) | |||||
Wireless telecommunication services 0.4% | |||||
Crown Subsea Communications Holding, Inc., 2021 Term Loan (1 month LIBOR + 4.750%) | 9.316 | 04-27-27 | 2,845,046 | $2,791,702 | |
Crown Subsea Communications Holding, Inc., 2023 Incremental Term Loan (B) | TBD | 04-27-27 | 1,679,503 | 1,648,012 | |
Consumer discretionary 14.1% | 168,799,060 | ||||
Auto components 0.3% | |||||
IXS Holdings, Inc., 2020 Term Loan B (3 month SOFR + 4.250%) | 9.479 | 03-05-27 | 3,952,379 | 3,209,332 | |
Automobiles 0.8% | |||||
Constellation Automotive, Ltd., GBP 2nd Lien Term Loan B (SONIA + 7.500%) | 11.427 | 07-27-29 | GBP | 842,559 | 519,688 |
OEConnection LLC, 2019 Term Loan B (1 month SOFR + 4.000%) | 8.707 | 09-25-26 | 4,689,576 | 4,603,616 | |
RVR Dealership Holdings LLC, Term Loan B (1 month SOFR + 3.750%) | 8.553 | 02-08-28 | 2,202,763 | 1,874,177 | |
Wheel Pros, Inc., 2021 Term Loan (3 month LIBOR + 4.500%) | 9.316 | 05-11-28 | 3,581,199 | 2,551,891 | |
Distributors 0.3% | |||||
Northwest Fiber LLC, 2021 Term Loan (1 month SOFR + 3.750%) | 8.428 | 04-30-27 | 4,285,486 | 4,186,106 | |
Diversified consumer services 1.3% | |||||
Foundational Education Group, Inc., 1st Lien Term Loan (3 month SOFR + 3.750%) | 8.592 | 08-31-28 | 3,936,626 | 3,621,696 | |
Fugue Finance LLC, 2023 USD Term Loan B (3 month SOFR + 4.500%) | 9.311 | 01-25-28 | 1,231,830 | 1,230,290 | |
PCI Gaming Authority, Term Loan (1 month LIBOR + 2.500%) | 7.135 | 05-29-26 | 2,894,228 | 2,888,353 | |
Safe Fleet Holdings LLC, 2022 Term Loan (1 month SOFR + 3.750%) | 8.411 | 02-23-29 | 4,207,043 | 4,106,242 | |
Whatabrands LLC, 2021 Term Loan B (1 month LIBOR + 3.250%) | 7.885 | 08-03-28 | 4,101,196 | 4,033,403 | |
Hotels, restaurants and leisure 6.0% | |||||
Aimbridge Acquisition Company, Inc., 2019 Term Loan B (1 month LIBOR + 3.750%) | 8.385 | 02-02-26 | 8,906,467 | 8,430,505 | |
Awaze, Ltd., 2018 EUR Term Loan B (3 month EURIBOR + 4.000%) | 6.005 | 05-09-25 | EUR | 4,000,000 | 4,183,202 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 9 |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer discretionary (continued) | |||||
Hotels, restaurants and leisure (continued) | |||||
Awaze, Ltd., EUR Incremental Term Loan B1 (3 month EURIBOR + 4.000%) | 6.005 | 05-09-25 | EUR | 698,925 | $730,936 |
Bally’s Corp., 2021 Term Loan B (1 month LIBOR + 3.250%) | 7.851 | 10-02-28 | 4,511,538 | 4,294,127 | |
Caesars Entertainment, Inc., Term Loan B (1 month SOFR + 3.250%) | 7.968 | 02-06-30 | 1,814,379 | 1,810,097 | |
Crown Finance US, Inc., 2018 USD Term Loan (C) | 0.000 | 02-28-25 | 4,197,744 | 637,553 | |
Crown Finance US, Inc., 2022 DIP Delayed Draw Term Loan (1 month SOFR + 10.000%) | 14.568 | 09-07-23 | 212,571 | 216,344 | |
Crown Finance US, Inc. , 2022 DIP Term Loan (1 month SOFR + 10.000%) | 14.561 | 09-07-23 | 2,529,596 | 2,574,496 | |
Global Business Travel Holdings, Ltd., 2018 Term Loan B (1 month LIBOR + 2.500%) | 7.135 | 08-13-25 | 4,781,282 | 4,474,467 | |
Hurtigruten Group AS, 2020 EUR Term Loan C (6 month EURIBOR + 8.000%) | 10.625 | 06-11-23 | EUR | 5,487,371 | 5,748,388 |
Hurtigruten Group AS, 2021 EUR Term Loan (6 month EURIBOR + 8.000%) | 9.298 | 06-22-23 | EUR | 1,974,651 | 2,070,835 |
Hurtigruten Group AS, EUR Term Loan B (6 month EURIBOR + 4.000%) | 7.197 | 02-24-25 | EUR | 2,124,041 | 2,026,498 |
IRB Holding Corp., 2022 Term Loan B (1 month SOFR + 3.000%) | 7.687 | 12-15-27 | 5,407,008 | 5,332,662 | |
Lakeland Holdings LLC, 2020 HoldCo Term Loan | 0.000 | 09-25-27 | 493,830 | 320,990 | |
Lakeland Tours LLC, 2020 Third Out Term Loan (3 month LIBOR + 6.000% or 0.000% PIK) | 10.825 | 09-25-25 | 414,977 | 373,479 | |
New Red Finance, Inc., Term Loan B4 (1 month LIBOR + 1.750%) | 6.385 | 11-19-26 | 5,243,572 | 5,192,080 | |
Playa Resorts Holding BV, 2022 Term Loan B (1 month SOFR + 4.250%) | 8.814 | 01-05-29 | 5,008,000 | 4,991,323 | |
Scientific Games International, Inc., 2022 USD Term Loan (1 month SOFR + 3.000%) | 7.662 | 04-14-29 | 3,488,828 | 3,471,384 | |
Travel Leaders Group LLC, 2018 Term Loan B (1 month LIBOR + 4.000%) | 8.635 | 01-25-24 | 11,348,495 | 10,470,236 | |
Vue International Bidco PLC, 2022 EUR New Money Term Loan (6 month EURIBOR + 8.000%) | 9.766 | 06-30-27 | EUR | 710,868 | 639,102 |
10 | JOHN HANCOCK FLOATING RATE INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer discretionary (continued) | |||||
Hotels, restaurants and leisure (continued) | |||||
Vue International Bidco PLC, 2023 EUR PIK Term Loan (3 month EURIBOR + 2.000% or 6.000% PIK) | 4.346 | 12-31-27 | EUR | 4,772,269 | $3,470,244 |
Household durables 0.5% | |||||
ACProducts Holdings, Inc., 2021 Term Loan B (3 and 6 month LIBOR + 4.250%) | 8.980 | 05-17-28 | 2,648,075 | 2,222,397 | |
Keter Group BV, EUR Term Loan B (3 month EURIBOR + 4.250%) | 6.742 | 10-31-23 | EUR | 4,063,197 | 3,341,417 |
Keter Group BV, EUR Term Loan B3A (3 month EURIBOR + 4.250%) | 6.948 | 10-31-23 | EUR | 94,996 | 78,121 |
Leisure products 1.1% | |||||
Abe Investment Holdings, Inc., 2019 USD Term Loan B (1 month LIBOR + 4.500%) | 9.218 | 02-19-26 | 4,942,505 | 4,933,262 | |
ABG Intermediate Holdings 2 LLC, 2021 Term Loan B1 (1 month SOFR + 3.500%) | 8.218 | 12-21-28 | 6,371,301 | 6,239,924 | |
PlayPower, Inc., 2019 Term Loan (3 month LIBOR + 4.500%) | 12.000 | 05-08-26 | 3,491,304 | 2,642,498 | |
Specialty retail 3.3% | |||||
CWGS Group LLC, 2021 Term Loan B (1 month LIBOR + 2.500%) | 7.091 | 06-03-28 | 3,847,556 | 3,416,322 | |
Eyemart Express LLC, 2021 Term Loan (3 month LIBOR + 3.000%) | 7.938 | 08-31-27 | 6,243,272 | 5,431,647 | |
Harbor Freight Tools USA, Inc., 2021 Term Loan B (1 month LIBOR + 2.750%) | 7.385 | 10-19-27 | 4,024,360 | 3,890,832 | |
Mavis Tire Express Services Topco Corp., 2021 Term Loan B (1 month SOFR + 4.000%) | 8.732 | 05-04-28 | 4,743,755 | 4,584,507 | |
Petco Health & Wellness Company, Inc., 2021 Term Loan B (3 month SOFR + 3.250%) | 7.976 | 03-03-28 | 4,852,193 | 4,797,606 | |
Runner Buyer, Inc., 2021 Term Loan B (3 month LIBOR + 5.500%) | 10.453 | 10-20-28 | 4,015,154 | 2,958,687 | |
Specialty Building Products Holdings LLC, 2021 Term Loan B (1 month LIBOR + 3.250%) | 7.867 | 10-15-28 | 3,936,232 | 3,747,411 | |
SRS Distribution, Inc., 2021 Term Loan B (1 month LIBOR + 3.500%) | 8.135 | 06-02-28 | 4,428,549 | 4,279,794 | |
SRS Distribution, Inc., 2022 Incremental Term Loan (1 month SOFR + 3.250%) | 7.968 | 06-02-28 | 468,753 | 451,995 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 11 |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer discretionary (continued) | |||||
Specialty retail (continued) | |||||
Staples, Inc., 7 Year Term Loan (3 month LIBOR + 5.000%) | 9.814 | 04-16-26 | 1,294,119 | $1,196,478 | |
The Michaels Companies, Inc., 2021 Term Loan B (3 month LIBOR + 4.250%) | 8.980 | 04-15-28 | 5,022,284 | 4,589,112 | |
Textiles, apparel and luxury goods 0.5% | |||||
New Trojan Parent, Inc., 1st Lien Term Loan (1 month LIBOR + 3.250%) | 7.855 | 01-06-28 | 4,930,754 | 3,365,240 | |
Tory Burch LLC, Term Loan B (1 month LIBOR + 3.500%) | 8.135 | 04-16-28 | 2,461,132 | 2,348,068 | |
Consumer staples 2.6% | 31,404,253 | ||||
Food and staples retailing 0.7% | |||||
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan (1 month LIBOR + 3.750%) | 8.385 | 10-01-25 | 3,308,870 | 2,893,210 | |
H-Food Holdings LLC, 2018 Term Loan B (1 month LIBOR + 3.688%) | 8.322 | 05-23-25 | 6,324,798 | 5,635,837 | |
Food products 0.7% | |||||
Biscuit Holding SASU, EUR Term Loan (6 month EURIBOR + 4.000%) | 5.858 | 02-15-27 | EUR | 2,314,149 | 1,900,350 |
Upfield BV, 2018 EUR Term Loan B1 (6 month EURIBOR + 3.500%) | 6.239 | 07-02-25 | EUR | 1,986,347 | 1,947,841 |
Upfield BV, 2018 GBP Term Loan B4 (6 month SONIA + 4.000%) | 7.468 | 07-02-25 | GBP | 3,000,000 | 3,317,159 |
Upfield USA Corp., 2018 USD Term Loan B2 (6 month SOFR + 3.000%) | 7.460 | 07-02-25 | 1,525,519 | 1,421,281 | |
Household products 0.3% | |||||
Kronos Acquisition Holdings, Inc., 2021 Term Loan B (3 month LIBOR + 3.750%) | 8.703 | 12-22-26 | 3,337,338 | 3,239,988 | |
Personal products 0.9% | |||||
Groupe Nocibe SASU, 2021 EUR Term Loan B4 (3 month EURIBOR + 5.500%) | 7.702 | 04-08-26 | EUR | 857,807 | 861,937 |
Kirk Beauty Netherlands BV, 2021 EUR Term Loan B2 (3 month EURIBOR + 5.500%) | 7.702 | 04-08-26 | EUR | 252,369 | 253,584 |
Kirk Beauty One GmbH, 2021 EUR Term Loan B1 (6 month EURIBOR + 5.500%) | 7.702 | 04-08-26 | EUR | 497,273 | 499,667 |
Nocibe France SAS, 2021 EUR Term Loan B5 (3 month EURIBOR + 5.500%) | 7.702 | 04-08-26 | EUR | 194,890 | 195,828 |
12 | JOHN HANCOCK FLOATING RATE INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer staples (continued) | |||||
Personal products (continued) | |||||
Parfuemerie Douglas International GmbH, 2021 EUR Term Loan B3 (3 month EURIBOR + 5.500%) | 7.702 | 04-08-26 | EUR | 114,406 | $114,957 |
Rainbow UK Bidco, Ltd., GBP Term Loan B (6 month SONIA + 4.750%) | 8.677 | 02-24-29 | GBP | 4,489,878 | 4,955,096 |
Sunshine Luxembourg VII Sarl, 2021 Term Loan B3 (3 month LIBOR + 3.750%) | 8.480 | 10-01-26 | 4,290,262 | 4,167,518 | |
Energy 0.5% | 6,014,439 | ||||
Oil, gas and consumable fuels 0.5% | |||||
Northriver Midstream Finance LP, 2018 Term Loan B (3 month LIBOR + 3.250%) | 8.004 | 10-01-25 | 2,834,892 | 2,829,336 | |
Oryx Midstream Services Permian Basin LLC, Term Loan B (1 month SOFR + 3.250%) | 7.932 | 10-05-28 | 3,206,491 | 3,185,103 | |
Quicksilver Resources, Inc., New 2nd Lien Term Loan (C)(D) | 0.000 | 06-21-22 | 19,606,608 | 0 | |
Financials 7.3% | 87,518,135 | ||||
Capital markets 1.7% | |||||
Aretec Group, Inc., 2018 Term Loan (1 month SOFR + 4.250%) | 8.811 | 10-01-25 | 3,079,807 | 3,033,610 | |
Hightower Holding LLC, 2021 Term Loan B (3 month LIBOR + 4.000%) | 8.815 | 04-21-28 | 4,832,430 | 4,627,052 | |
Jane Street Group LLC, 2021 Term Loan (1 month LIBOR + 2.750%) | 7.385 | 01-26-28 | 6,683,461 | 6,645,900 | |
Jump Financial LLC, Term Loan B (3 month SOFR + 4.500%) | 9.342 | 08-07-28 | 6,896,189 | 6,620,341 | |
Diversified financial services 2.8% | |||||
Advisor Group Holdings, Inc., 2021 Term Loan (1 month LIBOR + 4.500%) | 9.135 | 07-31-26 | 2,718,885 | 2,713,583 | |
Ascensus Holdings, Inc., Term Loan (3 month LIBOR + 3.500%) | 8.250 | 08-02-28 | 6,116,432 | 5,915,079 | |
CTC Holdings LP, Term Loan B (3 month SOFR + 5.000%) | 9.954 | 02-20-29 | 3,858,761 | 3,762,292 | |
DRW Holdings LLC, 2021 Term Loan (1 month LIBOR + 3.750%) | 8.385 | 03-01-28 | 3,945,785 | 3,853,296 | |
Hudson River Trading LLC, 2021 Term Loan (1 month SOFR + 3.000%) | 7.550 | 03-20-28 | 5,185,629 | 4,942,993 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 13 |
Rate (%) | Maturity date | Par value^ | Value | ||
Financials (continued) | |||||
Diversified financial services (continued) | |||||
Kestra Advisor Services Holdings A, Inc., 2019 Term Loan (3 month LIBOR + 4.250%) | 8.980 | 06-03-26 | 4,127,184 | $4,061,851 | |
Marnix SAS, 2021 USD Term Loan (3 month SOFR + 3.750%) | 8.050 | 08-04-28 | 2,390,894 | 2,303,627 | |
Nexus Buyer LLC, Term Loan B (1 month LIBOR + 3.750%) | 8.385 | 11-09-26 | 5,439,427 | 5,335,480 | |
Insurance 1.8% | |||||
Acrisure LLC, 2020 Term Loan B (1 month LIBOR + 3.500%) | 8.104 | 02-15-27 | 1,012,389 | 965,748 | |
Acrisure LLC, 2021 First Lien Term Loan B (1 month LIBOR + 4.250%) | 8.885 | 02-15-27 | 3,678,569 | 3,536,024 | |
Alliant Holdings Intermediate LLC, 2018 Term Loan B (1 month LIBOR + 3.250%) | 8.135 | 05-09-25 | 1,885,018 | 1,860,664 | |
Alliant Holdings Intermediate LLC, 2021 Term Loan B4 (1 month LIBOR + 3.500%) | 8.092 | 11-06-27 | 986,040 | 973,340 | |
Alliant Holdings Intermediate LLC, 2023 Term Loan B5 (B) | TBD | 11-05-27 | 2,983,925 | 2,942,896 | |
Amwins Group, Inc., 2023 Incremental Term Loan B (1 month SOFR + 2.750%) | 7.412 | 02-19-28 | 2,031,285 | 2,021,129 | |
Asurion LLC, 2022 Term Loan B10 (3 month SOFR + 4.000%) | 8.680 | 08-19-28 | 3,022,329 | 2,828,023 | |
Asurion LLC, 2023 Term Loan B11 (B) | TBD | 08-19-28 | 239,402 | 225,157 | |
Baldwin Risk Partners LLC, 2021 Term Loan B (1 month LIBOR + 3.500%) | 8.101 | 10-14-27 | 6,453,846 | 6,344,970 | |
Mortgage real estate investment trusts 1.0% | |||||
Apollo Commercial Real Estate Finance, Inc., 2021 Incremental Term Loan B1 (1 month LIBOR + 3.500%) | 8.135 | 03-11-28 | 2,689,057 | 2,541,159 | |
Apollo Commercial Real Estate Finance, Inc., Term Loan B (1 month LIBOR + 2.750%) | 7.385 | 05-15-26 | 518,348 | 502,797 | |
Claros Mortgage Trust, Inc., 2021 Term Loan B (1 month SOFR + 4.500%) | 9.164 | 08-09-26 | 6,036,945 | 5,969,030 | |
KREF Holdings X LLC, 2021 Term Loan (1 month LIBOR + 3.500%) | 8.125 | 09-01-27 | 3,045,389 | 2,992,094 |
14 | JOHN HANCOCK FLOATING RATE INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Health care 10.4% | $124,697,752 | ||||
Biotechnology 0.2% | |||||
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B (B) | TBD | 11-15-27 | 3,091,371 | 3,010,222 | |
Health care equipment and supplies 1.3% | |||||
Auris Luxembourg III Sarl, 2019 USD Term Loan B2 (3 month LIBOR + 3.750%) | 8.678 | 02-27-26 | 5,210,747 | 4,758,090 | |
Medline Borrower LP, USD Term Loan B (1 month LIBOR + 3.250%) | 7.885 | 10-23-28 | 7,854,514 | 7,566,489 | |
TecoStar Holdings, Inc., 2017 Repriced Term Loan (3 month LIBOR + 3.500%) | 8.288 | 05-01-24 | 4,161,030 | 3,722,832 | |
Health care providers and services 4.7% | |||||
AHP Health Partners, Inc., 2021 Term Loan B (1 month LIBOR + 3.500%) | 8.135 | 08-24-28 | 3,012,217 | 2,987,366 | |
Confluent Health LLC, 2021 Delayed Draw Term Loan (B) | TBD | 11-30-28 | 74,244 | 63,665 | |
Confluent Health LLC, 2021 Term Loan B (B) | TBD | 11-30-28 | 342,616 | 293,794 | |
ENC Parent Corp., 2021 Term Loan (3 month LIBOR + 4.250%) | 8.980 | 08-19-28 | 1,902,097 | 1,773,705 | |
Ensemble RCM LLC, Term Loan (3 month SOFR + 3.750%) | 8.526 | 08-03-26 | 4,765,747 | 4,758,074 | |
eResearchTechnology, Inc., 2020 1st Lien Term Loan (1 month LIBOR + 4.500%) | 9.135 | 02-04-27 | 6,460,525 | 5,935,607 | |
Genesiscare USA Holdings, Inc., 2020 EUR Term Loan B4 (6 month EURIBOR + 4.750%) | 7.948 | 05-14-27 | EUR | 1,782,202 | 488,224 |
Genesiscare USA Holdings, Inc., 2020 USD Term Loan B5 (6 month LIBOR + 5.000%) | 10.277 | 05-14-27 | 3,412,027 | 818,887 | |
MED ParentCo LP, 1st Lien Term Loan (1 month LIBOR + 4.250%) | 8.885 | 08-31-26 | 2,929,458 | 2,601,270 | |
National Mentor Holdings, Inc., 2021 2nd Lien Term Loan (3 month LIBOR + 7.250%) | 11.980 | 03-02-29 | 2,136,611 | 1,314,016 | |
National Mentor Holdings, Inc., 2021 Term Loan (1 month SOFR + 3.750% and 3 month LIBOR + 3.750%) | 8.437 | 03-02-28 | 8,516,329 | 6,562,939 | |
National Mentor Holdings, Inc., 2021 Term Loan C (3 month LIBOR + 3.750%) | 8.480 | 03-02-28 | 243,180 | 187,402 | |
Option Care Health, Inc., 2021 Term Loan B (1 month LIBOR + 2.750%) | 7.385 | 10-27-28 | 3,433,857 | 3,430,286 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 15 |
Rate (%) | Maturity date | Par value^ | Value | ||
Health care (continued) | |||||
Health care providers and services (continued) | |||||
Pediatric Associates Holding Company LLC, 2021 Term Loan B (1 month LIBOR + 3.250%) | 7.885 | 12-29-28 | 91,635 | $90,184 | |
Pediatric Associates Holding Company LLC, 2022 Delayed Draw Term Loan (1 month LIBOR + 3.250%) | 7.885 | 12-29-28 | 10,439 | 10,274 | |
PetVet Care Centers LLC, 2018 Incremental Term Loan (1 month LIBOR + 3.250%) | 7.885 | 02-14-25 | 985,473 | 933,430 | |
PetVet Care Centers LLC, 2021 Term Loan B3 (1 month LIBOR + 3.500%) | 8.135 | 02-14-25 | 2,152,655 | 2,049,866 | |
Phoenix Newco, Inc., 2021 1st Lien Term Loan (1 month LIBOR + 3.250%) | 7.867 | 11-15-28 | 4,781,951 | 4,679,139 | |
Precision Medicine Group LLC, 2021 Term Loan (3 month LIBOR + 3.000%) | 7.730 | 11-18-27 | 66,968 | 64,457 | |
Radnet Management, Inc., 2021 Term Loan (1 month LIBOR + 3.000%) | 7.635 | 04-21-28 | 4,529,178 | 4,503,724 | |
Select Medical Corp., 2017 Term Loan B (1 month LIBOR + 2.500%) | 7.140 | 03-06-25 | 4,311,885 | 4,288,988 | |
Team Health Holdings, Inc., 2022 Term Loan B (1 month SOFR + 5.250%) | 9.868 | 03-02-27 | 1,597,210 | 1,338,989 | |
Upstream Newco, Inc., 2021 Term Loan (3 month SOFR + 4.250%) | 9.092 | 11-20-26 | 4,894,477 | 3,966,974 | |
WCG Purchaser Corp., 2019 Term Loan (1 month LIBOR + 4.000%) | 8.953 | 01-08-27 | 2,623,865 | 2,500,333 | |
Health care technology 0.7% | |||||
GHX Ultimate Parent Corp., 2017 1st Lien Term Loan (3 month LIBOR + 3.250%) | 7.980 | 06-28-24 | 4,471,627 | 4,441,802 | |
Imprivata, Inc., Term Loan (1 month LIBOR + 3.750%) | 8.385 | 12-01-27 | 3,512,246 | 3,413,482 | |
Life sciences tools and services 0.5% | |||||
Maravai Intermediate Holdings LLC, 2022 Term Loan B (3 month SOFR + 3.000%) | 7.633 | 10-19-27 | 2,780,385 | 2,769,097 | |
Packaging Coordinators Midco, Inc., 2020 1st Lien Term Loan (3 month LIBOR + 3.500%) | 8.230 | 11-30-27 | 3,734,342 | 3,655,584 |
16 | JOHN HANCOCK FLOATING RATE INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Health care (continued) | |||||
Pharmaceuticals 3.0% | |||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B (1 and 3 month LIBOR + 3.500%) | 8.218 | 05-04-25 | 8,298,337 | $7,800,436 | |
Curium Bidco Sarl, 2020 USD Term Loan (3 month LIBOR + 4.250%) | 8.980 | 12-02-27 | 4,127,002 | 4,049,621 | |
Curium Bidco Sarl, USD Term Loan B (3 month LIBOR + 4.000%) | 8.730 | 07-09-26 | 2,825,898 | 2,776,445 | |
Endo Luxembourg Finance Company I Sarl, 2021 Term Loan (C) | 0.000 | 03-27-28 | 10,625,136 | 8,367,295 | |
Jazz Financing Lux Sarl, USD Term Loan (1 month LIBOR + 3.500%) | 8.135 | 05-05-28 | 2,581,952 | 2,576,891 | |
Organon & Company, USD Term Loan (3 month LIBOR + 3.000%) | 7.750 | 06-02-28 | 4,580,642 | 4,523,384 | |
Padagis LLC, Term Loan B (3 month LIBOR + 4.750%) | 9.538 | 07-06-28 | 3,280,852 | 3,012,248 | |
Perrigo Investments LLC, Term Loan B (1 month SOFR + 2.500%) | 7.218 | 04-20-29 | 2,612,241 | 2,612,241 | |
Industrials 15.8% | 189,163,914 | ||||
Aerospace and defense 3.3% | |||||
Cobham Ultra US Co-Borrower LLC, USD Term Loan B (6 month LIBOR + 3.750%) | 8.810 | 08-03-29 | 3,478,257 | 3,442,396 | |
Jazz Acquisition, Inc., 2019 1st Lien Term Loan (1 month SOFR + 4.000%) | 8.718 | 06-19-26 | 5,497,524 | 5,470,036 | |
Maxar Technologies, Inc., 2022 Term Loan B (1 month SOFR + 4.250%) | 8.968 | 06-14-29 | 4,752,175 | 4,758,495 | |
MB Aerospace Holdings II Corp., 2017 Term Loan (3 month LIBOR + 3.500%) | 8.230 | 01-22-25 | 4,181,898 | 3,711,435 | |
Novaria Holdings LLC, 2022 Incremental Term Loan (2 month SOFR + 7.000%) | 11.622 | 01-27-27 | 2,322,183 | 2,159,630 | |
Novaria Holdings LLC, Term Loan B (6 month SOFR + 5.500%) | 9.581 | 01-27-27 | 647,772 | 602,428 | |
Spirit AeroSystems, Inc., 2022 Term Loan (3 month SOFR + 4.500%) | 9.176 | 01-15-27 | 1,385,602 | 1,385,020 | |
Standard Aero, Ltd., 2020 CAD Term Loan B2 (1 month SOFR + 3.500%) | 8.218 | 04-06-26 | 2,159,344 | 2,111,795 | |
The NORDAM Group, Inc., Term Loan B (1 month LIBOR + 5.500%) | 9.218 | 04-09-26 | 1,996,627 | 1,553,635 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 17 |
Rate (%) | Maturity date | Par value^ | Value | ||
Industrials (continued) | |||||
Aerospace and defense (continued) | |||||
TransDigm, Inc., 2020 Term Loan E (3 month LIBOR + 2.250%) | 6.980 | 05-30-25 | 926,469 | $924,653 | |
TransDigm, Inc., 2020 Term Loan F (3 month LIBOR + 2.250%) | 6.980 | 12-09-25 | 499,451 | 498,078 | |
TransDigm, Inc., 2023 Term Loan I (B) | TBD | 08-10-28 | 2,842,213 | 2,833,345 | |
Vertex Aerospace Services Corp., 2021 First Lien Term Loan (1 month LIBOR + 3.500%) | 8.135 | 12-06-28 | 3,634,748 | 3,617,883 | |
WP CPP Holdings LLC, 2018 Term Loan (1 and 3 month LIBOR + 3.750%) | 8.580 | 04-30-25 | 7,304,941 | 6,645,232 | |
Air freight and logistics 0.4% | |||||
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan (3 month LIBOR + 4.750%) | 9.330 | 04-06-28 | 2,251,171 | 2,167,697 | |
Rand Parent LLC, 2023 Term Loan B (B) | TBD | 02-08-30 | 2,820,888 | 2,736,261 | |
Airlines 0.2% | |||||
United Airlines, Inc., 2021 Term Loan B (3 month LIBOR + 3.750%) | 8.568 | 04-21-28 | 2,501,192 | 2,493,388 | |
Building products 1.6% | |||||
AZZ, Inc., Term Loan B (1 month SOFR + 4.250%) | 8.968 | 05-13-29 | 2,273,043 | 2,271,270 | |
East West Manufacturing LLC, Term Loan B (3 month SOFR + 5.750%) | 10.426 | 12-22-28 | 1,948,452 | 1,802,318 | |
Icebox Holdco III, Inc., 2021 1st Lien Term Loan (3 month LIBOR + 3.500%) | 8.230 | 12-22-28 | 3,443,986 | 3,254,567 | |
Lakeshore Intermediate LLC, Term Loan (3 month LIBOR + 3.500%) | 8.230 | 09-29-28 | 4,326,924 | 4,271,020 | |
Wilsonart LLC, 2021 Term Loan E (3 month LIBOR + 3.250%) | 7.980 | 12-31-26 | 7,368,374 | 7,155,207 | |
Commercial services and supplies 4.4% | |||||
AEA International Holdings Luxembourg Sarl, Term Loan B (B) | TBD | 09-07-28 | 3,012,658 | 2,959,937 | |
Anticimex Global AB, 2021 USD Incremental Term Loan (3 month LIBOR + 4.000%) | 8.953 | 11-16-28 | 4,359,653 | 4,324,253 | |
AVSC Holding Corp., 2020 Term Loan B1 (3 month LIBOR + 3.500% or 0.250% PIK) | 8.056 | 03-03-25 | 2,608 | 2,504 |
18 | JOHN HANCOCK FLOATING RATE INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Industrials (continued) | |||||
Commercial services and supplies (continued) | |||||
AVSC Holding Corp., 2020 Term Loan B2 (1 month LIBOR + 5.500% or 1.000% PIK) | 10.080 | 10-15-26 | 3,524,074 | $3,411,022 | |
AVSC Holding Corp., 2020 Term Loan B3 (3 month LIBOR + 15.000% or 0.000% PIK) | 15.000 | 10-15-26 | 54,877 | 58,260 | |
Cimpress USA, Inc., USD Term Loan B (1 month LIBOR + 3.500%) | 8.135 | 05-17-28 | 3,357,252 | 3,027,402 | |
Comet Bidco, Ltd., 2018 USD Term Loan B (6 month LIBOR + 5.000%) | 10.210 | 09-30-24 | 9,982,782 | 7,923,834 | |
Element Materials Technology Group US Holdings, Inc., 2022 USD Delayed Draw Term Loan (3 month SOFR + 4.250%) | 8.930 | 07-06-29 | 2,219,979 | 2,199,178 | |
Element Materials Technology Group US Holdings, Inc., 2022 USD Term Loan (3 month SOFR + 4.250%) | 8.930 | 07-06-29 | 4,809,955 | 4,764,886 | |
MHI Holdings LLC, Term Loan B (1 month LIBOR + 5.000%) | 9.635 | 09-21-26 | 4,963,118 | 4,954,830 | |
New SK Holdco Sub LLC, 2022 PIK Term Loan (1 month SOFR + 8.350%) | 12.913 | 06-30-27 | 7,023,541 | 5,864,657 | |
Tempo Acquisition LLC, 2022 Term Loan B (1 month SOFR + 3.000%) | 7.618 | 08-31-28 | 5,737,050 | 5,726,322 | |
Viad Corp., Initial Term Loan (1 month SOFR + 5.000%) | 9.732 | 07-30-28 | 3,331,503 | 3,165,961 | |
Wand NewCo 3, Inc., 2020 Term Loan (1 month LIBOR + 3.000%) | 7.635 | 02-05-26 | 4,921,043 | 4,732,419 | |
Construction and engineering 1.7% | |||||
Aegion Corp., Term Loan (1 month LIBOR + 4.750%) | 9.385 | 05-17-28 | 3,182,327 | 3,096,817 | |
Amentum Government Services Holdings LLC, 2022 Term Loan (3 month SOFR + 4.000%) | 8.124 | 02-15-29 | 2,895,078 | 2,857,673 | |
Amentum Government Services Holdings LLC, Term Loan B (1 and 3 month LIBOR + 4.000%) | 8.519 | 01-29-27 | 1,719,038 | 1,696,828 | |
DG Investment Intermediate Holdings 2, Inc., 2021 Term Loan (1 month LIBOR + 3.750%) | 8.385 | 03-31-28 | 5,773,600 | 5,634,688 | |
Energize Holdco LLC, 2021 1st Lien Term Loan (1 month LIBOR + 3.750%) | 8.385 | 12-08-28 | 3,313,292 | 3,212,501 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 19 |
Rate (%) | Maturity date | Par value^ | Value | ||
Industrials (continued) | |||||
Construction and engineering (continued) | |||||
USIC Holdings, Inc., 2021 Term Loan (1 month LIBOR + 3.500%) | 8.135 | 05-12-28 | 3,858,830 | $3,737,277 | |
Electrical equipment 0.5% | |||||
Creation Technologies, Inc., 2021 Term Loan (3 month LIBOR + 5.500%) | 10.282 | 10-05-28 | 4,175,078 | 3,569,692 | |
Infinite Bidco LLC, 1st Lien Term Loan (3 month LIBOR + 3.250%) | 7.980 | 03-02-28 | 2,103,665 | 2,033,550 | |
Machinery 2.3% | |||||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan (3 month LIBOR + 4.750%) | 9.480 | 06-23-28 | 4,853,114 | 4,606,430 | |
Brown Group Holding LLC, Term Loan B (1 month LIBOR + 2.500%) | 7.135 | 06-07-28 | 6,681,333 | 6,621,802 | |
Crosby US Acquisition Corp., Term Loan B (3 month LIBOR + 4.750%) | 9.503 | 06-26-26 | 3,545,856 | 3,444,550 | |
Engineered Components & Systems LLC, Term Loan (1 month LIBOR + 6.000%) | 10.601 | 08-02-28 | 4,241,358 | 3,838,429 | |
Pro Mach Group, Inc., 2021 Term Loan B (1 month LIBOR + 4.000%) | 8.635 | 08-31-28 | 3,752,623 | 3,738,550 | |
Shape Technologies Group, Inc., Term Loan (1 month LIBOR + 3.000%) | 7.635 | 04-21-25 | 1,554,767 | 1,432,049 | |
Star US Bidco LLC, Term Loan B (3 month LIBOR + 4.250%) | 8.980 | 03-17-27 | 3,624,824 | 3,534,203 | |
Professional services 0.4% | |||||
Stiphout Finance LLC, 2020 USD Term Loan B (1 month LIBOR + 3.750%) | 8.385 | 10-27-25 | 4,472,910 | 4,450,545 | |
Road and rail 0.7% | |||||
Uber Technologies, Inc., 2021 1st Lien Term Loan B (3 month LIBOR + 3.500%) | 8.453 | 04-04-25 | 5,361,015 | 5,355,171 | |
Uber Technologies, Inc., 2023 Term Loan B (B) | TBD | 02-28-30 | 3,402,472 | 3,393,966 | |
Transportation infrastructure 0.3% | |||||
Dynasty Acquisition Company, Inc., 2020 Term Loan B1 (1 month SOFR + 3.500%) | 8.218 | 04-06-26 | 4,016,380 | 3,927,939 |
20 | JOHN HANCOCK FLOATING RATE INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Information technology 16.9% | $201,617,573 | ||||
Electronic equipment, instruments and components 0.5% | |||||
C&D Technologies, Inc., Term Loan B (1 and 3 month LIBOR + 5.750%) | 10.626 | 12-20-25 | 3,472,437 | 3,177,280 | |
Robertshaw US Holding Corp., 2018 1st Lien Term Loan (1 month LIBOR + 3.500%) | 8.250 | 02-28-25 | 6,009,632 | 3,218,519 | |
IT services 2.6% | |||||
EP Purchaser LLC, 2021 Term Loan B (3 month LIBOR + 3.500%) | 8.230 | 11-06-28 | 4,660,821 | 4,646,279 | |
Gainwell Acquisition Corp., Term Loan B (3 month LIBOR + 4.000%) | 8.730 | 10-01-27 | 6,703,828 | 6,454,111 | |
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan (3 month SOFR + 3.750%) | 8.330 | 07-11-25 | 4,208,155 | 4,174,826 | |
Sabre GLBL, Inc., 2021 Term Loan B1 (1 month LIBOR + 3.500%) | 8.135 | 12-17-27 | 2,610,988 | 2,351,534 | |
Sabre GLBL, Inc., 2021 Term Loan B2 (1 month LIBOR + 3.500%) | 8.135 | 12-17-27 | 4,162,070 | 3,748,485 | |
Travelport Finance Luxembourg Sarl, 2020 Super Priority Term Loan (3 month LIBOR + 1.500% or 7.250% PIK) | 6.230 | 02-28-25 | 178,559 | 183,628 | |
Verscend Holding Corp., 2021 Term Loan B (1 month LIBOR + 4.000%) | 8.635 | 08-27-25 | 5,243,912 | 5,231,746 | |
WEX, Inc., 2021 Term Loan (1 month LIBOR + 2.250%) | 6.885 | 03-31-28 | 3,612,937 | 3,600,292 | |
Software 13.3% | |||||
AppLovin Corp., 2018 Term Loan B (3 month SOFR + 3.350%) | 7.943 | 08-15-25 | 3,111,829 | 3,088,490 | |
AppLovin Corp., 2021 Term Loan B (3 month SOFR + 3.100%) | 7.693 | 10-25-28 | 140,797 | 139,213 | |
Avaya Holdings Corp. , 2022 Term Loan (1 month SOFR + 10.000%) | 14.562 | 12-15-27 | 183,821 | 45,036 | |
Avaya, Inc., 2023 DIP Term Loan (3 month SOFR + 8.000%) | 12.761 | 08-15-23 | 29,617 | 30,505 | |
Azalea TopCo, Inc., Term Loan (1 month LIBOR + 3.500%) | 8.135 | 07-24-26 | 4,200,270 | 3,925,488 | |
Barracuda Networks, Inc., 2022 Term Loan (3 month SOFR + 4.500%) | 9.176 | 08-15-29 | 6,004,100 | 5,784,290 | |
Boxer Parent Company, Inc., 2021 USD Term Loan (1 month LIBOR + 3.750%) | 8.385 | 10-02-25 | 5,284,424 | 5,213,190 | |
Castle US Holding Corp., USD Term Loan B (1 month LIBOR + 3.750%) | 8.385 | 01-29-27 | 6,334,104 | 4,437,420 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 21 |
Rate (%) | Maturity date | Par value^ | Value | ||
Information technology (continued) | |||||
Software (continued) | |||||
Central Parent, Inc., 2022 USD Term Loan B (3 month SOFR + 4.500%) | 9.080 | 07-06-29 | 5,234,598 | $5,214,445 | |
Constant Contact, Inc., Term Loan (3 month LIBOR + 4.000%) | 8.806 | 02-10-28 | 4,724,455 | 4,454,783 | |
Cornerstone OnDemand, Inc., 2021 Term Loan (1 month LIBOR + 3.750%) | 8.385 | 10-16-28 | 4,570,673 | 4,207,304 | |
Dcert Buyer, Inc., 2019 Term Loan B (3 month SOFR + 4.000%) | 8.696 | 10-16-26 | 4,149,051 | 4,082,666 | |
Dodge Data & Analytics LLC, 2022 Term Loan (6 month SOFR + 4.750%) | 9.791 | 02-23-29 | 5,321,354 | 4,413,425 | |
Epicor Software Corp., 2020 Term Loan (1 month LIBOR + 3.250%) | 7.885 | 07-30-27 | 5,188,647 | 5,077,870 | |
FinThrive Software Intermediate Holdings, Inc., 2021 2nd Lien Term Loan (1 month LIBOR + 6.750%) | 11.385 | 12-17-29 | 1,318,744 | 916,527 | |
FinThrive Software Intermediate Holdings, Inc., 2021 Term Loan (1 month LIBOR + 4.000%) | 8.635 | 12-18-28 | 4,876,492 | 4,547,329 | |
Gen Digital, Inc., 2022 Term Loan B (1 month SOFR + 2.000%) | 6.718 | 09-12-29 | 4,121,807 | 4,074,695 | |
Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4 (1 month LIBOR + 4.000%) | 8.635 | 12-01-27 | 6,739,302 | 6,671,909 | |
ION Trading Finance, Ltd., 2021 USD Term Loan (3 month LIBOR + 4.750%) | 9.480 | 04-03-28 | 2,124,383 | 1,987,190 | |
Ivanti Software, Inc., 2021 Add On Term Loan B (3 month LIBOR + 4.000%) | 8.733 | 12-01-27 | 3,700,877 | 3,113,363 | |
Magenta Buyer LLC, 2021 USD 1st Lien Term Loan (3 month LIBOR + 4.750%) | 9.580 | 07-27-28 | 6,500,879 | 5,511,510 | |
Marcel Bidco LLC, USD Term Loan B1 (1 month SOFR + 3.250%) | 7.674 | 03-15-26 | 3,395,749 | 3,378,770 | |
McAfee Corp., 2022 USD Term Loan B (1 month SOFR + 3.750%) | 8.418 | 03-01-29 | 6,792,406 | 6,359,390 | |
Mitchell International, Inc., 2021 Term Loan B (1 month LIBOR + 3.750%) | 8.341 | 10-15-28 | 5,416,409 | 5,125,277 | |
Monotype Imaging Holdings, Inc., 2021 Term Loan B (3 month LIBOR + 5.000%) | 9.680 | 10-09-26 | 5,850,323 | 5,791,820 | |
Open Text Corp., 2022 Term Loan B (1 month SOFR + 3.500%) | 8.328 | 08-24-29 | 2,969,181 | 2,963,154 |
22 | JOHN HANCOCK FLOATING RATE INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Information technology (continued) | |||||
Software (continued) | |||||
Orchid Finco LLC, Term Loan (3 month LIBOR + 4.750%) | 9.480 | 07-27-27 | 3,898,178 | $3,313,452 | |
Orion Advisor Solutions, Inc., 2021 Term Loan (3 month LIBOR + 3.750%) | 8.575 | 09-24-27 | 2,600,667 | 2,466,290 | |
Peraton Corp., Term Loan B (1 month LIBOR + 3.750%) | 8.385 | 02-01-28 | 7,903,321 | 7,818,124 | |
Project Boost Purchaser LLC, 2019 Term Loan B (1 month LIBOR + 3.500%) | 8.135 | 06-01-26 | 3,777,396 | 3,729,574 | |
Project Leopard Holdings, Inc., 2022 USD Term Loan B (3 month SOFR + 5.250%) | 9.803 | 07-20-29 | 5,458,985 | 5,047,869 | |
Proofpoint, Inc., 1st Lien Term Loan (3 month LIBOR + 3.250%) | 8.203 | 08-31-28 | 5,251,480 | 5,096,877 | |
Quest Software, Inc., 2022 Term Loan (3 month SOFR + 4.250%) | 9.076 | 02-01-29 | 5,797,064 | 4,974,229 | |
Red Planet Borrower LLC, Term Loan B (1 month LIBOR + 3.750%) | 8.385 | 10-02-28 | 2,697,079 | 1,941,897 | |
SolarWinds Holdings, Inc., 2022 Term Loan B (1 month SOFR + 4.000%) | 8.618 | 02-05-27 | 4,648,544 | 4,632,553 | |
Sophia LP, 2021 Term Loan B (3 month LIBOR + 3.500%) | 8.230 | 10-07-27 | 4,189,403 | 4,120,446 | |
SS&C Technologies, Inc., 2018 Term Loan B3 (1 month LIBOR + 1.750%) | 6.385 | 04-16-25 | 781,816 | 780,026 | |
SS&C Technologies, Inc., 2018 Term Loan B4 (1 month LIBOR + 1.750%) | 6.385 | 04-16-25 | 693,301 | 691,713 | |
SS&C Technologies, Inc., 2018 Term Loan B5 (1 month LIBOR + 1.750%) | 6.385 | 04-16-25 | 1,921,971 | 1,917,973 | |
SS&C Technologies, Inc., 2022 Term Loan B6 (1 month SOFR + 2.250%) | 6.968 | 03-22-29 | 254,134 | 253,578 | |
SS&C Technologies, Inc., 2022 Term Loan B7 (1 month SOFR + 2.250%) | 6.968 | 03-22-29 | 382,922 | 382,083 | |
Symplr Software, Inc., 2020 Term Loan (3 month SOFR + 4.500%) | 9.276 | 12-22-27 | 4,147,601 | 3,685,143 | |
UKG, Inc., Term Loan B (3 month LIBOR + 3.750%) | 8.575 | 05-04-26 | 3,618,725 | 3,566,723 | |
Veritas US, Inc., 2021 USD Term Loan B (3 month LIBOR + 5.000%) | 9.730 | 09-01-25 | 661,768 | 516,179 | |
Weld North Education LLC, 2021 Term Loan B (1 month LIBOR + 3.750%) | 8.390 | 12-21-27 | 3,609,368 | 3,595,833 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 23 |
Rate (%) | Maturity date | Par value^ | Value | ||
Information technology (continued) | |||||
Technology hardware, storage and peripherals 0.5% | |||||
Electronics For Imaging, Inc., Term Loan (1 month LIBOR + 5.000%) | 9.635 | 07-23-26 | 7,465,729 | $5,745,252 | |
Materials 6.2% | 73,984,525 | ||||
Chemicals 2.6% | |||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B (6 month SOFR + 4.750%) | 8.831 | 08-27-26 | 2,133,511 | 2,128,177 | |
ASP Unifrax Holdings, Inc., EUR Term Loan B (3 month EURIBOR + 3.750%) | 5.952 | 12-12-25 | EUR | 2,744,864 | 2,595,992 |
ASP Unifrax Holdings, Inc., Term Loan B (3 month LIBOR + 3.750%) | 8.480 | 12-12-25 | 2,209,180 | 2,046,253 | |
Hyperion Materials & Technologies, Inc., 2021 Term Loan B (1 and 3 month LIBOR + 4.500%) | 9.292 | 08-30-28 | 3,973,542 | 3,918,906 | |
INEOS US Finance LLC, 2023 USD Term Loan B (B) | TBD | 02-09-30 | 2,747,091 | 2,723,905 | |
INEOS US Petrochem LLC, 2021 USD Term Loan B (1 month LIBOR + 2.750%) | 7.385 | 01-29-26 | 3,084,569 | 3,064,520 | |
Jadex, Inc., Term Loan (1 month LIBOR + 4.750%) | 9.385 | 02-18-28 | 6,885,509 | 6,403,523 | |
Kraton Corp., 2022 USD Term Loan (3 month SOFR + 3.250%) | 8.040 | 03-15-29 | 2,029,627 | 2,020,332 | |
Olympus Water US Holding Corp., 2021 USD Term Loan B (3 month LIBOR + 3.750%) | 8.500 | 11-09-28 | 2,261,610 | 2,213,031 | |
Olympus Water US Holding Corp., 2022 Incremental Term Loan (3 month SOFR + 4.500%) | 9.180 | 11-09-28 | 908,408 | 894,555 | |
Plaskolite PPC Intermediate II LLC, 2021 Term Loan (3 month LIBOR + 4.000%) | 8.825 | 12-15-25 | 262 | 233 | |
Secure Acquisition, Inc., 2021 Term Loan (3 month LIBOR + 5.000%) | 9.730 | 12-16-28 | 2,680,751 | 2,439,484 | |
Construction materials 0.3% | |||||
Quikrete Holdings, Inc., 2016 1st Lien Term Loan (1 month LIBOR + 2.625%) | 7.260 | 02-01-27 | 1,409,551 | 1,395,808 | |
Quikrete Holdings, Inc., 2021 Term Loan B1 (1 month LIBOR + 3.000%) | 7.635 | 03-18-29 | 2,634,205 | 2,622,035 | |
Containers and packaging 3.0% | |||||
Charter Next Generation, Inc., 2021 Term Loan (B) | TBD | 12-01-27 | 663,176 | 651,677 |
24 | JOHN HANCOCK FLOATING RATE INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Materials (continued) | |||||
Containers and packaging (continued) | |||||
Clydesdale Acquisition Holdings, Inc., Term Loan B (1 month SOFR + 4.175%) | 8.893 | 04-13-29 | 6,797,950 | $6,695,437 | |
Graham Packaging Company, Inc., 2021 Term Loan (1 month LIBOR + 3.000%) | 7.635 | 08-04-27 | 4,712,198 | 4,682,747 | |
Iris Holding, Inc., Term Loan (3 month SOFR + 4.750%) | 9.526 | 06-28-28 | 213,029 | 185,868 | |
LABL, Inc., 2021 USD 1st Lien Term Loan (1 month LIBOR + 5.000%) | 9.635 | 10-29-28 | 4,418,817 | 4,305,873 | |
LTI Holdings, Inc., 2019 Term Loan (1 month LIBOR + 4.750%) | 9.385 | 07-24-26 | 5,546,933 | 5,390,953 | |
Plaze, Inc., 2019 Term Loan B (1 month LIBOR + 3.500%) | 8.135 | 08-03-26 | 5,164,305 | 4,841,536 | |
Proampac PG Borrower LLC, 2020 Term Loan (Prime rate + 2.750% and 2 and 3 month LIBOR + 3.750%) | 7.985 | 11-03-25 | 5,900,673 | 5,798,650 | |
TricorBraun Holdings, Inc., 2021 Term Loan (1 month LIBOR + 3.250%) | 7.885 | 03-03-28 | 3,966,747 | 3,863,969 | |
Metals and mining 0.3% | |||||
Vibrantz Technologies, Inc., 2022 Term Loan B (3 month SOFR + 4.250%) | 9.076 | 04-23-29 | 3,615,977 | 3,101,061 | |
Corporate bonds 8.7% | $103,826,769 | ||||
(Cost $129,529,180) | |||||
Communication services 1.6% | 19,274,551 | ||||
Diversified telecommunication services 0.6% | |||||
Connect Finco SARL (E) | 6.750 | 10-01-26 | 3,307,000 | 3,059,106 | |
Iliad Holding SASU (E) | 6.500 | 10-15-26 | 2,812,000 | 2,628,320 | |
Iliad Holding SASU (E) | 7.000 | 10-15-28 | 2,017,000 | 1,853,370 | |
Media 1.0% | |||||
Altice France SA (E) | 5.500 | 10-15-29 | 3,144,000 | 2,459,374 | |
CCO Holdings LLC (E) | 6.375 | 09-01-29 | 2,732,000 | 2,547,139 | |
Sirius XM Radio, Inc. (E) | 4.125 | 07-01-30 | 2,000,000 | 1,625,459 | |
Tele Columbus AG | 3.875 | 05-02-25 | EUR | 2,818,000 | 2,377,205 |
United Group BV (E) | 3.625 | 02-15-28 | EUR | 834,000 | 671,982 |
United Group BV (Greater of 3 month EURIBOR + 4.875% or 4.875%) (E)(F) | 7.357 | 02-01-29 | EUR | 2,203,000 | 2,052,596 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 25 |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer discretionary 2.0% | $23,855,041 | ||||
Automobiles 0.2% | |||||
Constellation Automotive Financing PLC (E) | 4.875 | 07-15-27 | GBP | 2,813,000 | 2,436,709 |
Diversified consumer services 0.1% | |||||
WW International, Inc. (E) | 4.500 | 04-15-29 | 2,758,000 | 1,406,580 | |
Hotels, restaurants and leisure 0.5% | |||||
Punch Finance PLC (E) | 6.125 | 06-30-26 | GBP | 1,198,000 | 1,278,900 |
Raptor Acquisition Corp. (E) | 4.875 | 11-01-26 | 1,276,000 | 1,180,300 | |
Stonegate Pub Company Financing 2019 PLC | 8.000 | 07-13-25 | GBP | 667,000 | 750,225 |
Stonegate Pub Company Financing 2019 PLC | 8.000 | 07-13-25 | GBP | 2,894,000 | 3,255,099 |
Leisure products 0.2% | |||||
Mattel, Inc. (E) | 3.750 | 04-01-29 | 2,000,000 | 1,730,000 | |
Specialty retail 1.0% | |||||
F-Brasile SpA (E) | 7.375 | 08-15-26 | 8,034,000 | 6,567,795 | |
Maxeda DIY Holding BV (E) | 5.875 | 10-01-26 | EUR | 162,000 | 129,637 |
Maxeda DIY Holding BV | 5.875 | 10-01-26 | EUR | 2,640,000 | 2,112,875 |
Specialty Building Products Holdings LLC (E) | 6.375 | 09-30-26 | 82,000 | 75,261 | |
Staples, Inc. (E) | 7.500 | 04-15-26 | 3,294,000 | 2,931,660 | |
Consumer staples 0.5% | 6,147,503 | ||||
Household products 0.2% | |||||
Kronos Acquisition Holdings, Inc. (E) | 5.000 | 12-31-26 | 2,411,000 | 2,182,535 | |
Personal products 0.3% | |||||
Coty, Inc. (E) | 4.750 | 01-15-29 | 2,000,000 | 1,800,706 | |
Douglas GmbH (E) | 6.000 | 04-08-26 | EUR | 1,138,000 | 1,053,435 |
Douglas GmbH | 6.000 | 04-08-26 | EUR | 1,200,000 | 1,110,827 |
Financials 0.9% | 10,705,922 | ||||
Capital markets 0.6% | |||||
AG Issuer LLC (E) | 6.250 | 03-01-28 | 4,946,000 | 4,616,558 | |
Hightower Holding LLC (E) | 6.750 | 04-15-29 | 2,816,000 | 2,382,181 | |
Consumer finance 0.2% | |||||
Encore Capital Group, Inc. (E) | 4.250 | 06-01-28 | GBP | 2,070,000 | 1,987,151 |
Mortgage real estate investment trusts 0.1% | |||||
Apollo Commercial Real Estate Finance, Inc. (E) | 4.625 | 06-15-29 | 2,230,000 | 1,720,032 | |
Health care 0.4% | 4,507,983 | ||||
Health care providers and services 0.4% | |||||
US Acute Care Solutions LLC (E) | 6.375 | 03-01-26 | 5,084,000 | 4,507,983 |
26 | JOHN HANCOCK FLOATING RATE INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Industrials 1.2% | $14,774,507 | ||||
Aerospace and defense 0.4% | |||||
BWX Technologies, Inc. (E) | 4.125 | 06-30-28 | 1,500,000 | 1,338,184 | |
Spirit AeroSystems, Inc. (E) | 7.500 | 04-15-25 | 3,237,000 | 3,234,087 | |
Building products 0.4% | |||||
JELD-WEN, Inc. (E)(G) | 4.625 | 12-15-25 | 2,535,000 | 2,278,096 | |
Victors Merger Corp. (E) | 6.375 | 05-15-29 | 3,898,000 | 2,455,740 | |
Commercial services and supplies 0.2% | |||||
American Builders & Contractors Supply Company, Inc. (E) | 4.000 | 01-15-28 | 2,375,000 | 2,125,625 | |
Construction and engineering 0.1% | |||||
Novafives SAS (Greater of 3 month EURIBOR + 4.500% or 4.500%) (F) | 6.546 | 06-15-25 | EUR | 969,000 | 840,427 |
Marine 0.0% | |||||
Anarafe SLU (3 month EURIBOR + 1.000% Cash or 3 month EURIBOR + 11.750% PIK) (E) | 17.154 | 03-31-26 | EUR | 1,152,407 | 789,848 |
Trading companies and distributors 0.1% | |||||
Beacon Roofing Supply, Inc. (E) | 4.125 | 05-15-29 | 2,000,000 | 1,712,500 | |
Information technology 0.7% | 8,325,538 | ||||
IT services 0.2% | |||||
Paysafe Finance PLC (E) | 4.000 | 06-15-29 | 2,584,000 | 2,056,202 | |
Software 0.5% | |||||
Castle US Holding Corp. (E) | 9.500 | 02-15-28 | 1,874,000 | 723,882 | |
Helios Software Holdings, Inc. (E) | 4.625 | 05-01-28 | 5,103,000 | 4,140,007 | |
ION Trading Technologies Sarl (E) | 5.750 | 05-15-28 | 1,629,000 | 1,321,526 | |
Veritas US, Inc. (E) | 7.500 | 09-01-25 | 109,000 | 83,921 | |
Materials 1.4% | 16,235,724 | ||||
Chemicals 0.6% | |||||
ASP Unifrax Holdings, Inc. (E) | 5.250 | 09-30-28 | 557,000 | 432,075 | |
ASP Unifrax Holdings, Inc. (E) | 7.500 | 09-30-29 | 2,519,000 | 1,713,038 | |
Olympus Water US Holding Corp. (E)(G) | 6.250 | 10-01-29 | 2,174,000 | 1,762,164 | |
Trinseo Materials Operating SCA (E) | 5.375 | 09-01-25 | 3,210,000 | 2,806,255 | |
Containers and packaging 0.5% | |||||
Berry Global, Inc. (E) | 4.875 | 07-15-26 | 1,900,000 | 1,819,250 | |
Kleopatra Finco Sarl | 4.250 | 03-01-26 | EUR | 3,155,000 | 2,803,731 |
Kleopatra Holdings 2 SCA | 6.500 | 09-01-26 | EUR | 2,424,000 | 1,461,402 |
Metals and mining 0.3% | |||||
Midwest Vanadium Proprietary, Ltd. (C)(E) | 13.250 | 02-15-18 | 5,663,972 | 12,857 | |
Vibrantz Technologies, Inc. (E) | 9.000 | 02-15-30 | 4,421,000 | 3,424,952 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 27 |
Rate (%) | Maturity date | Par value^ | Value | ||
Asset backed securities 2.5% | $29,951,927 | ||||
(Cost $32,973,440) | |||||
Asset backed securities 2.5% | 29,951,927 | ||||
Atlas Senior Loan Fund X, Ltd. Series 2018-10A, Class D (3 month LIBOR + 2.750%) (E)(F) | 7.542 | 01-15-31 | 4,900,000 | 3,958,171 | |
Cedar Funding VIII CLO, Ltd. Series 2017-8A, Class DR (3 month LIBOR + 3.500%) (E)(F) | 8.292 | 10-17-34 | 850,000 | 787,948 | |
Hayfin US XIV, Ltd. Series 2021-14A, Class D (3 month LIBOR + 3.650%) (E)(F) | 8.458 | 07-20-34 | 3,000,000 | 2,819,091 | |
Jamestown CLO IX, Ltd. Series 2016-9A, Class CRR (3 month LIBOR + 3.900%) (E)(F) | 8.718 | 07-25-34 | 3,450,000 | 3,277,641 | |
Jamestown CLO XVI, Ltd. Series 2021-16A, Class D (3 month LIBOR + 3.650%) (E)(F) | 8.468 | 07-25-34 | 3,100,000 | 2,916,161 | |
Marble Point CLO XI, Ltd. Series 2017-2A, Class D (3 month LIBOR + 2.800%) (E)(F) | 7.595 | 12-18-30 | 2,500,000 | 2,047,138 | |
Northwoods Capital XVII, Ltd. Series 2018-17A, Class D (3 month LIBOR + 2.850%) (E)(F) | 7.665 | 04-22-31 | 1,350,000 | 1,155,167 | |
Parallel, Ltd. Series 2020-1A, Class CR (3 month LIBOR + 3.400%) (E)(F) | 8.208 | 07-20-34 | 1,350,000 | 1,225,940 | |
Sculptor CLO XXVII, Ltd. Series 27A, Class D (3 month LIBOR + 3.700%) (E)(F) | 8.508 | 07-20-34 | 3,550,000 | 3,239,872 | |
Shackleton XIV CLO, Ltd. Series 2019-14A, Class DR (3 month LIBOR + 3.700%) (E)(F) | 8.508 | 07-20-34 | 2,950,000 | 2,795,824 | |
TCW CLO, Ltd. Series 2020-1A, Class DRR (3 month LIBOR + 3.400%) (E)(F) | 8.208 | 04-20-34 | 1,300,000 | 1,196,117 | |
Wellfleet CLO, Ltd. | |||||
Series 2020-2A, Class DR (3 month LIBOR + 3.800%) (E)(F) | 8.592 | 07-15-34 | 2,900,000 | 2,561,347 | |
Series 2021-2A, Class D (3 month LIBOR + 3.600%) (E)(F) | 8.392 | 07-15-34 | 2,200,000 | 1,971,510 | |
Shares | Value | ||||
Common stocks 0.3% | $3,276,208 | ||||
(Cost $3,158,057) | |||||
Communication services 0.0% | 171,836 | ||||
Entertainment 0.0% | |||||
Cineworld Group PLC (H) | 105,512 | 0 |
28 | JOHN HANCOCK FLOATING RATE INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Shares | Value | ||||
Communication services (continued) | |||||
Entertainment (continued) | |||||
Technicolor Creative Studios SA (G)(H) | 849,152 | $171,836 | |||
Consumer discretionary 0.0% | 22,597 | ||||
Hotels, restaurants and leisure 0.0% | |||||
NPC International, Inc. (D)(H) | 120,071 | 22,597 | |||
Energy 0.3% | 2,865,562 | ||||
Oil, gas and consumable fuels 0.3% | |||||
Ultra Petroleum Corp. (H) | 37,155 | 752,389 | |||
Ultra Resources, Inc. (H) | 103,928 | 2,113,173 | |||
Financials 0.0% | 0 | ||||
Insurance 0.0% | |||||
Jubilee Topco, Ltd. (D)(H) | 4,772,269 | 0 | |||
Industrials 0.0% | 11,390 | ||||
Marine 0.0% | |||||
Naviera Armas SA, Class A2 (D)(H) | 2,453 | 0 | |||
Naviera Armas SA, Class A3 (H) | 430 | 5,003 | |||
Naviera Armas SA, Class B2 (D)(H) | 3,126 | 0 | |||
Naviera Armas SA, Class B3 (H) | 549 | 6,387 | |||
Information technology 0.0% | 204,823 | ||||
Communications equipment 0.0% | |||||
Vantiva SA (H) | 849,152 | 204,823 | |||
Par value^ | Value | ||||
Escrow certificates 0.0% | $0 | ||||
(Cost $0) | |||||
Magellan Health, Inc. (D)(H) | 3,400,000 | 0 | |||
Yield (%) | Shares | Value | |||
Short-term investments 2.2% | $26,899,124 | ||||
(Cost $26,899,245) | |||||
Short-term funds 2.2% | 26,899,124 | ||||
John Hancock Collateral Trust (I) | 4.5832(J) | 142,332 | 1,422,682 | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 4.4192(J) | 25,476,442 | 25,476,442 | ||
Total investments (Cost $1,251,588,762) 97.1% | $1,161,231,883 | ||||
Other assets and liabilities, net 2.9% | 34,536,946 | ||||
Total net assets 100.0% | $1,195,768,829 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 29 |
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. Rule 144A securities amounted to $119,066,905 or 10.0% of the fund’s net assets as of 2-28-23. |
(F) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(G) | All or a portion of this security is on loan as of 2-28-23. |
(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 2-28-23. |
30 | JOHN HANCOCK FLOATING RATE INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
EUR | 4,270,000 | USD | 4,596,959 | CITI | 4/11/2023 | — | $(69,866) |
GBP | 22,810,000 | USD | 26,707,364 | CITI | 7/6/2023 | $799,630 | — |
USD | 59,391,350 | EUR | 55,680,000 | CITI | 4/11/2023 | 358,893 | — |
USD | 45,930,005 | GBP | 37,400,000 | CITI | 7/6/2023 | 828,665 | — |
$1,987,188 | $(69,866) |
Derivatives Currency Abbreviations | |
EUR | Euro |
GBP | Pound Sterling |
USD | U.S. Dollar |
Derivatives Abbreviations | |
CITI | Citibank, N.A. |
OTC | Over-the-counter |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 31 |
Assets | |
Unaffiliated investments, at value (Cost $1,250,165,959) including $1,317,510 of securities loaned | $1,159,809,201 |
Affiliated investments, at value (Cost $1,422,803) | 1,422,682 |
Total investments, at value (Cost $1,251,588,762) | 1,161,231,883 |
Unrealized appreciation on forward foreign currency contracts | 1,987,188 |
Cash | 8,015,288 |
Foreign currency, at value (Cost $2,454,357) | 2,304,850 |
Collateral segregated at custodian for OTC derivative contracts | 32,161,328 |
Interest receivable | 11,376,368 |
Receivable for fund shares sold | 530,789 |
Receivable for investments sold | 22,705,062 |
Receivable for securities lending income | 3,515 |
Other assets | 126,865 |
Total assets | 1,240,443,136 |
Liabilities | |
Unrealized depreciation on forward foreign currency contracts | 69,866 |
Distributions payable | 43,273 |
Payable for investments purchased | 36,492,453 |
Payable for fund shares repurchased | 6,309,631 |
Payable upon return of securities loaned | 1,423,140 |
Payable to affiliates | |
Investment management fees | 4,656 |
Accounting and legal services fees | 127,785 |
Transfer agent fees | 36,242 |
Trustees’ fees | 964 |
Other liabilities and accrued expenses | 166,297 |
Total liabilities | 44,674,307 |
Net assets | $1,195,768,829 |
Net assets consist of | |
Paid-in capital | $1,748,134,253 |
Total distributable earnings (loss) | (552,365,424) |
Net assets | $1,195,768,829 |
32 | JOHN HANCOCK Floating Rate Income Fund | SEMIANNUAL 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 ($132,699,889 ÷ 17,581,349 shares)1 | $7.55 |
Class C ($16,389,795 ÷ 2,162,691 shares)1 | $7.58 |
Class I ($250,401,207 ÷ 33,210,561 shares) | $7.54 |
Class R6 ($173,862,681 ÷ 23,028,514 shares) | $7.55 |
Class 1 ($14,151,477 ÷ 1,877,347 shares) | $7.54 |
Class NAV ($608,263,780 ÷ 80,574,064 shares) | $7.55 |
Maximum offering price per share | |
Class A (net asset value per share ÷ 97.5%)2 | $7.74 |
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. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 33 |
Investment income | |
Interest | $62,279,504 |
Dividends | 2,465,895 |
Securities lending | 29,255 |
Other income | 159 |
Total investment income | 64,774,813 |
Expenses | |
Investment management fees | 4,872,774 |
Distribution and service fees | 260,271 |
Accounting and legal services fees | 144,752 |
Transfer agent fees | 283,125 |
Trustees’ fees | 21,424 |
Custodian fees | 114,408 |
Interest expense | 199,426 |
State registration fees | 66,729 |
Printing and postage | 23,207 |
Professional fees | 68,866 |
Other | 209,747 |
Total expenses | 6,264,729 |
Less expense reductions | (731,954) |
Net expenses | 5,532,775 |
Net investment income | 59,242,038 |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on | |
Unaffiliated investments and foreign currency transactions | (74,903,236) |
Affiliated investments | (4,898) |
Realized loss on investments not meeting investment restrictions | (528,100) |
Reimbursement from subadvisor for loss on investments not meeting investment restrictions | 528,100 |
Forward foreign currency contracts | (614,939) |
(75,523,073) | |
Change in net unrealized appreciation (depreciation) of | |
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 41,769,962 |
Affiliated investments | 3,689 |
Forward foreign currency contracts | (3,445,311) |
38,328,340 | |
Net realized and unrealized loss | (37,194,733) |
Increase in net assets from operations | $22,047,305 |
34 | JOHN HANCOCK Floating Rate Income Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | |
Increase (decrease) in net assets | ||
From operations | ||
Net investment income | $59,242,038 | $86,944,997 |
Net realized loss | (75,523,073) | (17,999,009) |
Change in net unrealized appreciation (depreciation) | 38,328,340 | (118,402,997) |
Increase (decrease) in net assets resulting from operations | 22,047,305 | (49,457,009) |
Distributions to shareholders | ||
From earnings | ||
Class A | (6,781,831) | (6,741,097) |
Class C | (786,815) | (794,453) |
Class I | (15,916,129) | (22,133,222) |
Class R6 | (16,322,417) | (22,072,207) |
Class 1 | (738,566) | (800,303) |
Class NAV | (32,131,538) | (46,730,483) |
Total distributions | (72,677,296) | (99,271,765) |
From fund share transactions | (644,632,949) | 289,452,146 |
Total increase (decrease) | (695,262,940) | 140,723,372 |
Net assets | ||
Beginning of period | 1,891,031,769 | 1,750,308,397 |
End of period | $1,195,768,829 | $1,891,031,769 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 35 |
CLASS A SHARES Period ended | 2-28-231 | 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 | $7.75 | $8.30 | $7.89 | $8.28 | $8.43 | $8.45 |
Net investment income2 | 0.29 | 0.34 | 0.30 | 0.36 | 0.40 | 0.34 |
Net realized and unrealized gain (loss) on investments | (0.12) | (0.51) | 0.36 | (0.36) | (0.16) | —3 |
Total from investment operations | 0.17 | (0.17) | 0.66 | — | 0.24 | 0.34 |
Less distributions | ||||||
From net investment income | (0.37) | (0.38) | (0.25) | (0.39) | (0.39) | (0.36) |
Net asset value, end of period | $7.55 | $7.75 | $8.30 | $7.89 | $8.28 | $8.43 |
Total return (%)4,5 | 2.386 | (2.05) | 8.41 | 0.11 | 2.96 | 4.05 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $133 | $148 | $118 | $89 | $109 | $117 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.157,8 | 1.10 | 1.12 | 1.179 | 1.16 | 1.13 |
Expenses including reductions | 1.037,8 | 1.01 | 1.00 | 0.999 | 1.06 | 1.13 |
Net investment income | 7.907 | 4.18 | 3.71 | 4.49 | 4.77 | 4.03 |
Portfolio turnover (%) | 6 | 52 | 59 | 81 | 120 | 71 |
1 | Six months ended 2-28-23. Unaudited. |
2 | Based on average daily shares outstanding. |
3 | Less than $0.005 per share. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Does not reflect the effect of sales charges, if any. |
6 | Not annualized. |
7 | Annualized. |
8 | Includes interest expense of 0.03% (annualized). |
9 | Includes reimbursement of legal fees of 0.01%. |
36 | JOHN HANCOCK Floating Rate Income Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS C SHARES Period ended | 2-28-231 | 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 | $7.78 | $8.33 | $7.92 | $8.32 | $8.47 | $8.49 |
Net investment income2 | 0.27 | 0.27 | 0.25 | 0.30 | 0.33 | 0.28 |
Net realized and unrealized gain (loss) on investments | (0.12) | (0.50) | 0.34 | (0.37) | (0.15) | (0.01) |
Total from investment operations | 0.15 | (0.23) | 0.59 | (0.07) | 0.18 | 0.27 |
Less distributions | ||||||
From net investment income | (0.35) | (0.32) | (0.18) | (0.33) | (0.33) | (0.29) |
Net asset value, end of period | $7.58 | $7.78 | $8.33 | $7.92 | $8.32 | $8.47 |
Total return (%)3,4 | 2.015 | (2.76) | 7.58 | (0.74) | 2.20 | 3.28 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $16 | $19 | $22 | $39 | $71 | $102 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.906,7 | 1.85 | 1.87 | 1.928 | 1.91 | 1.88 |
Expenses including reductions | 1.786,7 | 1.76 | 1.75 | 1.748 | 1.81 | 1.88 |
Net investment income | 7.146 | 3.37 | 3.00 | 3.77 | 3.99 | 3.29 |
Portfolio turnover (%) | 6 | 52 | 59 | 81 | 120 | 71 |
1 | Six months ended 2-28-23. Unaudited. |
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 | Annualized. |
7 | Includes interest expense of 0.03% (annualized). |
8 | Includes reimbursement of legal fees of 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 37 |
CLASS I SHARES Period ended | 2-28-231 | 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 | $7.74 | $8.29 | $7.89 | $8.28 | $8.43 | $8.45 |
Net investment income2 | 0.30 | 0.35 | 0.31 | 0.38 | 0.41 | 0.36 |
Net realized and unrealized gain (loss) on investments | (0.12) | (0.50) | 0.35 | (0.36) | (0.15) | —3 |
Total from investment operations | 0.18 | (0.15) | 0.66 | 0.02 | 0.26 | 0.36 |
Less distributions | ||||||
From net investment income | (0.38) | (0.40) | (0.26) | (0.41) | (0.41) | (0.38) |
Net asset value, end of period | $7.54 | $7.74 | $8.29 | $7.89 | $8.28 | $8.43 |
Total return (%)4 | 2.495 | (1.83) | 8.52 | 0.34 | 3.19 | 4.31 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $250 | $454 | $252 | $49 | $66 | $152 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.906,7 | 0.85 | 0.87 | 0.928 | 0.92 | 0.89 |
Expenses including reductions | 0.806,7 | 0.78 | 0.77 | 0.768 | 0.83 | 0.88 |
Net investment income | 8.046 | 4.42 | 3.84 | 4.72 | 4.94 | 4.29 |
Portfolio turnover (%) | 6 | 52 | 59 | 81 | 120 | 71 |
1 | Six months ended 2-28-23. Unaudited. |
2 | Based on average daily shares outstanding. |
3 | Less than $0.005 per share. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Not annualized. |
6 | Annualized. |
7 | Includes interest expense of 0.03% (annualized). |
8 | Includes reimbursement of legal fees of 0.01%. |
38 | JOHN HANCOCK Floating Rate Income Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS R6 SHARES Period ended | 2-28-231 | 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 | $7.75 | $8.30 | $7.89 | $8.29 | $8.43 | $8.45 |
Net investment income2 | 0.30 | 0.37 | 0.32 | 0.39 | 0.42 | 0.37 |
Net realized and unrealized gain (loss) on investments | (0.11) | (0.51) | 0.36 | (0.37) | (0.14) | —3 |
Total from investment operations | 0.19 | (0.14) | 0.68 | 0.02 | 0.28 | 0.37 |
Less distributions | ||||||
From net investment income | (0.39) | (0.41) | (0.27) | (0.42) | (0.42) | (0.39) |
Net asset value, end of period | $7.55 | $7.75 | $8.30 | $7.89 | $8.29 | $8.43 |
Total return (%)4 | 2.555 | (1.71) | 8.77 | 0.33 | 3.44 | 4.41 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $174 | $505 | $342 | $2 | $3 | $6 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.796,7 | 0.74 | 0.77 | 0.818 | 0.81 | 0.79 |
Expenses including reductions | 0.696,7 | 0.66 | 0.66 | 0.658 | 0.71 | 0.78 |
Net investment income | 8.116 | 4.57 | 3.93 | 4.88 | 5.06 | 4.45 |
Portfolio turnover (%) | 6 | 52 | 59 | 81 | 120 | 71 |
1 | Six months ended 2-28-23. Unaudited. |
2 | Based on average daily shares outstanding. |
3 | Less than $0.005 per share. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Not annualized. |
6 | Annualized. |
7 | Includes interest expense of 0.03% (annualized). |
8 | Includes reimbursement of legal fees of 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 39 |
CLASS 1 SHARES Period ended | 2-28-231 | 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 | $7.74 | $8.29 | $7.88 | $8.28 | $8.42 | $8.44 |
Net investment income2 | 0.31 | 0.36 | 0.33 | 0.38 | 0.42 | 0.37 |
Net realized and unrealized gain (loss) on investments | (0.13) | (0.50) | 0.35 | (0.36) | (0.14) | (0.01) |
Total from investment operations | 0.18 | (0.14) | 0.68 | 0.02 | 0.28 | 0.36 |
Less distributions | ||||||
From net investment income | (0.38) | (0.41) | (0.27) | (0.42) | (0.42) | (0.38) |
Net asset value, end of period | $7.54 | $7.74 | $8.29 | $7.88 | $8.28 | $8.42 |
Total return (%)3 | 2.534 | (1.76) | 8.74 | 0.29 | 3.39 | 4.37 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $14 | $16 | $15 | $16 | $27 | $30 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.835,6 | 0.78 | 0.81 | 0.857 | 0.84 | 0.83 |
Expenses including reductions | 0.735,6 | 0.70 | 0.70 | 0.697 | 0.75 | 0.82 |
Net investment income | 8.195 | 4.46 | 4.04 | 4.82 | 5.07 | 4.36 |
Portfolio turnover (%) | 6 | 52 | 59 | 81 | 120 | 71 |
1 | Six months ended 2-28-23. Unaudited. |
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 | Includes interest expense of 0.03% (annualized). |
7 | Includes reimbursement of legal fees of 0.01%. |
40 | JOHN HANCOCK Floating Rate Income Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS NAV SHARES Period ended | 2-28-231 | 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 | $7.75 | $8.30 | $7.89 | $8.29 | $8.44 | $8.45 |
Net investment income2 | 0.31 | 0.36 | 0.33 | 0.38 | 0.42 | 0.37 |
Net realized and unrealized gain (loss) on investments | (0.12) | (0.50) | 0.35 | (0.36) | (0.15) | 0.01 |
Total from investment operations | 0.19 | (0.14) | 0.68 | 0.02 | 0.27 | 0.38 |
Less distributions | ||||||
From net investment income | (0.39) | (0.41) | (0.27) | (0.42) | (0.42) | (0.39) |
Net asset value, end of period | $7.55 | $7.75 | $8.30 | $7.89 | $8.29 | $8.44 |
Total return (%)3 | 2.554 | (1.72) | 8.78 | 0.34 | 3.32 | 4.55 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $608 | $749 | $1,001 | $583 | $648 | $865 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.785,6 | 0.73 | 0.76 | 0.807 | 0.79 | 0.78 |
Expenses including reductions | 0.695,6 | 0.67 | 0.66 | 0.657 | 0.71 | 0.77 |
Net investment income | 8.235 | 4.42 | 4.03 | 4.80 | 5.08 | 4.41 |
Portfolio turnover (%) | 6 | 52 | 59 | 81 | 120 | 71 |
1 | Six months ended 2-28-23. Unaudited. |
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 | Includes interest expense of 0.03% (annualized). |
7 | Includes reimbursement of legal fees of 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 41 |
42 | JOHN HANCOCK Floating Rate Income Fund | SEMIANNUAL REPORT |
Total value at 2-28-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Investments in securities: | ||||
Assets | ||||
Term loans | $997,277,855 | — | $997,277,855 | — |
Corporate bonds | 103,826,769 | — | 103,826,769 | — |
Asset backed securities | 29,951,927 | — | 29,951,927 | — |
Common stocks | 3,276,208 | — | 3,253,611 | $22,597 |
Short-term investments | 26,899,124 | $26,899,124 | — | — |
Total investments in securities | $1,161,231,883 | $26,899,124 | $1,134,310,162 | $22,597 |
Derivatives: | ||||
Assets | ||||
Forward foreign currency contracts | $1,987,188 | — | $1,987,188 | — |
Liabilities | ||||
Forward foreign currency contracts | (69,866) | — | (69,866) | — |
Level 3 includes securities valued at $0. Refer to Fund’s investments. |
SEMIANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 43 |
44 | JOHN HANCOCK Floating Rate Income Fund | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 45 |
46 | JOHN HANCOCK Floating Rate Income Fund | SEMIANNUAL REPORT |
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 | $1,987,188 | $(69,866) |
SEMIANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 47 |
Statement of operations location - Net realized gain (loss) on: | |
Risk | Forward foreign currency contracts |
Currency | $(614,939) |
Statement of operations location - Change in net unrealized appreciation (depreciation) of: | |
Risk | Forward foreign currency contracts |
Currency | $(3,445,311) |
48 | JOHN HANCOCK Floating Rate Income Fund | SEMIANNUAL REPORT |
Class | Expense reduction |
Class A | $82,832 |
Class C | 10,406 |
Class I | 154,232 |
Class R6 | 167,235 |
Class | Expense reduction |
Class 1 | $7,911 |
Class NAV | 309,338 |
Total | $731,954 |
Class | Rule 12b-1 Fee |
Class A | 0.25% |
Class C | 1.00% |
Class 1 | 0.05% |
SEMIANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 49 |
Class | Distribution and service fees | Transfer agent fees |
Class A | $170,708 | $76,358 |
Class C | 85,947 | 9,608 |
Class I | — | 182,076 |
Class R6 | — | 15,083 |
Class 1 | 3,616 | — |
Total | $260,271 | $283,125 |
Borrower or Lender | Weighted Average Loan Balance | Days Outstanding | Weighted Average Interest Rate | Interest Income (Expense) |
Borrower | $19,942,857 | 7 | 2.980% | $(11,556) |
50 | JOHN HANCOCK Floating Rate Income Fund | SEMIANNUAL REPORT |
Six Months Ended 2-28-23 | Year Ended 8-31-22 | |||
Shares | Amount | Shares | Amount | |
Class A shares | ||||
Sold | 1,498,533 | $11,263,482 | 10,434,447 | $84,749,925 |
Distributions reinvested | 875,446 | 6,538,130 | 806,177 | 6,433,481 |
Repurchased | (3,862,924) | (29,023,761) | (6,377,777) | (50,892,346) |
Net increase (decrease) | (1,488,945) | $(11,222,149) | 4,862,847 | $40,291,060 |
Class C shares | ||||
Sold | 235,753 | $1,781,201 | 980,306 | $7,931,110 |
Distributions reinvested | 102,041 | 764,936 | 97,294 | 781,387 |
Repurchased | (601,206) | (4,549,576) | (1,254,225) | (10,141,370) |
Net decrease | (263,412) | $(2,003,439) | (176,625) | $(1,428,873) |
Class I shares | ||||
Sold | 5,762,681 | $43,549,711 | 62,172,144 | $505,445,207 |
Distributions reinvested | 2,110,214 | 15,743,086 | 2,720,474 | 21,648,456 |
Repurchased | (33,350,860) | (250,912,058) | (36,607,154) | (287,313,849) |
Net increase (decrease) | (25,477,965) | $(191,619,261) | 28,285,464 | $239,779,814 |
Class R6 shares | ||||
Sold | 2,349,946 | $17,580,790 | 30,172,801 | $244,461,199 |
Distributions reinvested | 2,185,646 | 16,322,378 | 2,770,898 | 22,067,012 |
Repurchased | (46,727,569) | (350,569,113) | (8,915,038) | (70,409,551) |
Net increase (decrease) | (42,191,977) | $(316,665,945) | 24,028,661 | $196,118,660 |
Class 1 shares | ||||
Sold | 154,098 | $1,156,373 | 1,106,159 | $8,911,905 |
Distributions reinvested | 99,014 | 738,566 | 100,198 | 800,303 |
Repurchased | (472,255) | (3,537,516) | (979,229) | (7,911,628) |
Net increase (decrease) | (219,143) | $(1,642,577) | 227,128 | $1,800,580 |
Class NAV shares | ||||
Sold | 319,921 | $2,406,091 | 3,557,207 | $29,092,698 |
Distributions reinvested | 4,301,828 | 32,131,538 | 5,822,481 | 46,730,483 |
Repurchased | (20,672,223) | (156,017,207) | (33,440,597) | (262,932,276) |
Net decrease | (16,050,474) | $(121,479,578) | (24,060,909) | $(187,109,095) |
Total net increase (decrease) | (85,691,916) | $(644,632,949) | 33,166,566 | $289,452,146 |
SEMIANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 51 |
Fund | Affiliated Concentration |
JHF II Multimanager Lifestyle Balanced Portfolio | 19.2% |
JHF II Multimanager Lifestyle Growth Portfolio | 10.1% |
JHF II Multimanager Lifestyle Conservative Portfolio | 9.1% |
JHF II Multimanager Lifestyle Moderate Portfolio | 8.5% |
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* | 142,332 | $6,838,815 | $7,629,040 | $(13,043,964) | $(4,898) | $3,689 | $29,255 | — | $1,422,682 |
* | Refer to the Securities lending note within Note 2 for details regarding this investment. |
52 | JOHN HANCOCK Floating Rate Income Fund | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK Floating Rate Income Fund | 53 |
Total votes for the nominee | Total votes withheld from the nominee | |
Independent Trustees | ||
James R. Boyle | 4,554,825,588.937 | 109,369,198.953 |
Noni L. Ellison | 4,545,310,789.674 | 118,883,998.216 |
Dean C. Garfield | 4,542,518,756.422 | 121,676,031.468 |
Patricia Lizarraga | 4,547,597,042.403 | 116,597,745.487 |
Frances G. Rathke | 4,553,474,902.143 | 110,719,885.747 |
Non-Independent Trustees | ||
Andrew G. Arnott | 4,548,263,383.010 | 115,931,404.880 |
Marianne Harrison | 4,552,282,391.834 | 111,912,396.056 |
Paul Lorentz | 4,546,227,532.263 | 117,967,255.627 |
Shares voted | % Of shares voted | % Of outstanding shares | |
For | 4,061,202,897.967 | 87.072% | 64.635% |
Against | 75,620,339.593 | 1.622% | 1.203% |
Abstain/Withheld | 92,916,059.460 | 1.992% | 1.478% |
Broker Non-Vote | 434,455,490.870 | 9.314% | 6.914% |
54 | JOHN HANCOCK FLOATING RATE INCOME FUND | SEMIANNUAL REPORT |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
James R. Boyle
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 |
SEMIANNUAL REPORT | JOHN HANCOCK FLOATING RATE INCOME FUND | 55 |
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
MF2780137 | 328SA 2/23 |
Manulife Investment Management
John Hancock Investment Management
Head of Wealth and Asset Management,
United States and Europe
SEMIANNUAL REPORT | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | 1 |
2 | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | SEMIANNUAL REPORT |
COUNTRY COMPOSITION AS OF 2/28/2023 (% of net assets) | |
United States | 64.3 |
Canada | 4.1 |
Japan | 3.2 |
United Kingdom | 2.6 |
Mexico | 2.5 |
France | 2.2 |
Hong Kong | 1.9 |
China | 1.9 |
Luxembourg | 1.7 |
Singapore | 1.6 |
Other countries | 14.0 |
TOTAL | 100.0 |
TOP 5 EQUITY HOLDINGS AS OF 2/28/2023 (% of net assets) | |
Reinsurance Group of America, Inc. | 0.6 |
Cincinnati Financial Corp. | 0.5 |
AbbVie, Inc. | 0.4 |
CH Robinson Worldwide, Inc. | 0.4 |
General Mills, Inc. | 0.4 |
TOTAL | 2.3 |
Cash and cash equivalents are not included. |
SEMIANNUAL REPORT | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | 3 |
TOP 5 BOND ISSUERS AS OF 2/28/2023 (% of net assets) | |
Bank of America Corp. | 0.9 |
Petroleos Mexicanos | 0.9 |
Carnival Corp. | 0.9 |
Lincoln National Corp. | 0.7 |
Ford Motor Company | 0.6 |
TOTAL | 4.0 |
Cash and cash equivalents are not included. |
4 | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | 5 |
Account value on 9-1-2022 | Ending value on 2-28-2023 | Expenses paid during period ended 2-28-20231 | Annualized expense ratio | ||
Class A | Actual expenses/actual returns | $1,000.00 | $1,027.30 | $4.42 | 0.88% |
Hypothetical example | 1,000.00 | 1,020.40 | 4.41 | 0.88% | |
Class C | Actual expenses/actual returns | 1,000.00 | 1,024.60 | 8.18 | 1.63% |
Hypothetical example | 1,000.00 | 1,016.70 | 8.15 | 1.63% | |
Class I | Actual expenses/actual returns | 1,000.00 | 1,028.70 | 3.17 | 0.63% |
Hypothetical example | 1,000.00 | 1,021.70 | 3.16 | 0.63% | |
Class R6 | Actual expenses/actual returns | 1,000.00 | 1,029.20 | 2.67 | 0.53% |
Hypothetical example | 1,000.00 | 1,022.20 | 2.66 | 0.53% | |
Class NAV | Actual expenses/actual returns | 1,000.00 | 1,030.00 | 2.62 | 0.52% |
Hypothetical example | 1,000.00 | 1,022.20 | 2.61 | 0.52% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
6 | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | SEMIANNUAL REPORT |
Rate (%) | Maturity date | Par value^ | Value | ||
Foreign government obligations 0.3% | $396,349 | ||||
(Cost $542,276) | |||||
Argentina 0.1% | 162,349 | ||||
Republic of Argentina Bond (3.500% to 7-9-29, then 4.875% thereafter) | 3.500 | 07-09-41 | 517,000 | 162,349 | |
Colombia 0.2% | 234,000 | ||||
Republic of Colombia Bond | 6.125 | 01-18-41 | 300,000 | 234,000 | |
Corporate bonds 56.4% | $66,712,430 | ||||
(Cost $75,459,905) | |||||
Communication services 8.4% | 9,944,254 | ||||
Diversified telecommunication services 2.8% | |||||
C&W Senior Financing DAC (A) | 6.875 | 09-15-27 | 440,000 | 398,640 | |
Cellnex Telecom SA | 1.875 | 06-26-29 | EUR | 400,000 | 346,228 |
Connect Finco SARL (A) | 6.750 | 10-01-26 | 300,000 | 277,512 | |
Frontier Florida LLC | 6.860 | 02-01-28 | 190,000 | 174,812 | |
IHS Holding, Ltd. (A) | 6.250 | 11-29-28 | 210,000 | 171,675 | |
Iliad Holding SASU (A) | 5.125 | 10-15-26 | EUR | 125,000 | 124,647 |
Iliad Holding SASU (A) | 6.500 | 10-15-26 | 315,000 | 294,424 | |
Kenbourne Invest SA | 4.700 | 01-22-28 | 200,000 | 138,156 | |
Level 3 Financing, Inc. (A) | 3.875 | 11-15-29 | 300,000 | 227,313 | |
Level 3 Financing, Inc. (A) | 4.250 | 07-01-28 | 210,000 | 143,325 | |
PPF Telecom Group BV | 3.125 | 03-27-26 | EUR | 325,000 | 323,662 |
Telesat Canada (A) | 5.625 | 12-06-26 | 315,000 | 164,588 | |
Total Play Telecomunicaciones SA de CV (A) | 6.375 | 09-20-28 | 260,000 | 202,124 | |
Total Play Telecomunicaciones SA de CV (A) | 7.500 | 11-12-25 | 300,000 | 267,030 | |
Zayo Group Holdings, Inc. (A) | 6.125 | 03-01-28 | 130,000 | 81,892 | |
Entertainment 0.4% | |||||
AMC Entertainment Holdings, Inc. (A) | 7.500 | 02-15-29 | 195,000 | 116,858 | |
Lions Gate Capital Holdings LLC (A) | 5.500 | 04-15-29 | 258,000 | 184,323 | |
ROBLOX Corp. (A) | 3.875 | 05-01-30 | 235,000 | 193,196 | |
Interactive media and services 0.7% | |||||
Arches Buyer, Inc. (A) | 6.125 | 12-01-28 | 284,000 | 233,777 | |
Match Group Holdings II LLC (A) | 4.125 | 08-01-30 | 270,000 | 223,824 | |
TripAdvisor, Inc. (A) | 7.000 | 07-15-25 | 390,000 | 390,523 | |
Media 3.4% | |||||
Altice Financing SA (A) | 4.250 | 08-15-29 | EUR | 100,000 | 84,842 |
Altice Financing SA (A) | 5.750 | 08-15-29 | 255,000 | 208,542 | |
Altice France SA (A) | 8.125 | 02-01-27 | 358,000 | 334,730 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | 7 |
Rate (%) | Maturity date | Par value^ | Value | ||
Communication services (continued) | |||||
Media (continued) | |||||
CCO Holdings LLC | 4.500 | 05-01-32 | 400,000 | $316,580 | |
CCO Holdings LLC (A) | 6.375 | 09-01-29 | 375,000 | 349,626 | |
DISH Network Corp. (A) | 11.750 | 11-15-27 | 270,000 | 273,571 | |
Globo Comunicacao e Participacoes SA (A) | 4.875 | 01-22-30 | 500,000 | 404,184 | |
iHeartCommunications, Inc. | 8.375 | 05-01-27 | 250,000 | 220,000 | |
LCPR Senior Secured Financing DAC (A) | 5.125 | 07-15-29 | 245,000 | 207,132 | |
News Corp. (A) | 5.125 | 02-15-32 | 111,000 | 98,508 | |
Paramount Global (6.375% to 3-30-27, then 5 Year CMT + 3.999%) | 6.375 | 03-30-62 | 720,000 | 620,352 | |
Sirius XM Radio, Inc. (A) | 5.500 | 07-01-29 | 400,000 | 361,000 | |
Stagwell Global LLC (A) | 5.625 | 08-15-29 | 240,000 | 206,402 | |
Townsquare Media, Inc. (A) | 6.875 | 02-01-26 | 112,000 | 102,623 | |
Virgin Media Finance PLC (A) | 5.000 | 07-15-30 | 250,000 | 203,750 | |
Wireless telecommunication services 1.1% | |||||
Millicom International Cellular SA (A) | 6.250 | 03-25-29 | 373,500 | 339,885 | |
SoftBank Group Corp. | 5.125 | 09-19-27 | 265,000 | 235,422 | |
SoftBank Group Corp. (6.000% to 7-19-23, then 5 Year ICE Swap Rate + 4.226%) (B) | 6.000 | 07-19-23 | 360,000 | 349,937 | |
Vmed O2 UK Financing I PLC (A) | 3.250 | 01-31-31 | EUR | 420,000 | 348,639 |
Consumer discretionary 8.3% | 9,857,617 | ||||
Automobiles 0.9% | |||||
Ford Motor Company | 3.250 | 02-12-32 | 71,000 | 53,826 | |
Ford Motor Company | 5.291 | 12-08-46 | 400,000 | 313,000 | |
Ford Motor Credit Company LLC | 4.063 | 11-01-24 | 400,000 | 384,580 | |
Nissan Motor Acceptance Company LLC (A) | 2.000 | 03-09-26 | 370,000 | 324,817 | |
Diversified consumer services 0.8% | |||||
GEMS MENASA Cayman, Ltd. (A) | 7.125 | 07-31-26 | 325,000 | 317,583 | |
Sotheby’s (A) | 7.375 | 10-15-27 | 300,000 | 283,014 | |
Stena International SA (A) | 6.125 | 02-01-25 | 400,000 | 385,842 | |
Hotels, restaurants and leisure 5.7% | |||||
Affinity Interactive (A) | 6.875 | 12-15-27 | 305,000 | 272,045 | |
Allwyn International AS (A) | 3.875 | 02-15-27 | EUR | 450,000 | 438,935 |
Caesars Entertainment, Inc. (A) | 7.000 | 02-15-30 | 352,000 | 354,640 | |
Carnival Corp. (A) | 5.750 | 03-01-27 | 230,000 | 189,207 | |
Carnival Corp. (A) | 6.000 | 05-01-29 | 662,000 | 515,566 | |
Carnival Corp. (A) | 7.625 | 03-01-26 | 110,000 | 98,750 | |
Carnival Holdings Bermuda, Ltd. (A) | 10.375 | 05-01-28 | 200,000 | 214,000 | |
CEC Entertainment LLC (A) | 6.750 | 05-01-26 | 260,000 | 241,876 |
8 | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer discretionary (continued) | |||||
Hotels, restaurants and leisure (continued) | |||||
Choice Hotels International, Inc. | 3.700 | 12-01-29 | 260,000 | $226,108 | |
Hilton Grand Vacations Borrower Escrow LLC (A) | 5.000 | 06-01-29 | 370,000 | 324,728 | |
International Game Technology PLC (A) | 5.250 | 01-15-29 | 240,000 | 222,727 | |
International Game Technology PLC (A) | 6.250 | 01-15-27 | 481,000 | 471,582 | |
MGM Resorts International | 6.750 | 05-01-25 | 425,000 | 426,049 | |
Mohegan Tribal Gaming Authority (A) | 8.000 | 02-01-26 | 365,000 | 341,921 | |
New Red Finance, Inc. (A) | 4.375 | 01-15-28 | 280,000 | 250,341 | |
Resorts World Las Vegas LLC (A) | 4.625 | 04-16-29 | 500,000 | 395,125 | |
Resorts World Las Vegas LLC | 4.625 | 04-16-29 | 200,000 | 158,050 | |
Royal Caribbean Cruises, Ltd. (A) | 9.250 | 01-15-29 | 270,000 | 286,397 | |
Sands China, Ltd. | 5.625 | 08-08-25 | 200,000 | 193,894 | |
Studio City Company, Ltd. (A) | 7.000 | 02-15-27 | 200,000 | 187,988 | |
Travel + Leisure Company (A) | 4.500 | 12-01-29 | 175,000 | 146,971 | |
Travel + Leisure Company | 6.600 | 10-01-25 | 130,000 | 129,589 | |
Travel + Leisure Company (A) | 6.625 | 07-31-26 | 280,000 | 274,468 | |
Wynn Macau, Ltd. | 4.875 | 10-01-24 | 200,000 | 191,135 | |
Yum! Brands, Inc. (A) | 4.750 | 01-15-30 | 250,000 | 227,813 | |
Household durables 0.3% | |||||
KB Home | 4.000 | 06-15-31 | 251,000 | 204,999 | |
KB Home | 7.250 | 07-15-30 | 80,000 | 78,337 | |
TopBuild Corp. (A) | 3.625 | 03-15-29 | 130,000 | 108,353 | |
Internet and direct marketing retail 0.4% | |||||
Meituan | 2.125 | 10-28-25 | 200,000 | 179,758 | |
Prosus NV (A) | 2.031 | 08-03-32 | EUR | 170,000 | 128,651 |
Prosus NV (A) | 3.832 | 02-08-51 | 200,000 | 121,137 | |
Multiline retail 0.1% | |||||
Macy’s Retail Holdings LLC (A) | 5.875 | 03-15-30 | 25,000 | 22,037 | |
Macy’s Retail Holdings LLC (A) | 6.125 | 03-15-32 | 25,000 | 21,500 | |
Specialty retail 0.1% | |||||
Group 1 Automotive, Inc. (A) | 4.000 | 08-15-28 | 175,000 | 150,278 | |
Consumer staples 1.5% | 1,813,985 | ||||
Food and staples retailing 0.1% | |||||
U.S. Foods, Inc. (A) | 4.750 | 02-15-29 | 195,000 | 175,740 | |
Food products 1.0% | |||||
Darling Ingredients, Inc. (A) | 6.000 | 06-15-30 | 125,000 | 120,781 | |
JBS USA LUX SA (A) | 5.750 | 04-01-33 | 280,000 | 261,162 | |
MARB BondCo PLC (A) | 3.950 | 01-29-31 | 215,000 | 153,725 | |
Post Holdings, Inc. (A) | 4.500 | 09-15-31 | 300,000 | 252,621 | |
Ulker Biskuvi Sanayi AS (A) | 6.950 | 10-30-25 | 505,000 | 430,755 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | 9 |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer staples (continued) | |||||
Household products 0.3% | |||||
Edgewell Personal Care Company (A) | 4.125 | 04-01-29 | 160,000 | $136,453 | |
Edgewell Personal Care Company (A) | 5.500 | 06-01-28 | 170,000 | 158,748 | |
Personal products 0.1% | |||||
Oriflame Investment Holding PLC (A) | 5.125 | 05-04-26 | 200,000 | 124,000 | |
Energy 7.3% | 8,643,321 | ||||
Oil, gas and consumable fuels 7.3% | |||||
Antero Midstream Partners LP (A) | 5.375 | 06-15-29 | 190,000 | 171,000 | |
Ascent Resources Utica Holdings LLC (A) | 5.875 | 06-30-29 | 180,000 | 156,600 | |
Cheniere Energy Partners LP | 3.250 | 01-31-32 | 125,000 | 100,186 | |
Cheniere Energy Partners LP | 4.000 | 03-01-31 | 230,000 | 198,179 | |
Cheniere Energy Partners LP | 4.500 | 10-01-29 | 143,000 | 129,774 | |
Crestwood Midstream Partners LP (A) | 8.000 | 04-01-29 | 68,000 | 67,660 | |
Delek Logistics Partners LP (A) | 7.125 | 06-01-28 | 185,000 | 162,800 | |
Ecopetrol SA | 5.875 | 05-28-45 | 285,000 | 187,939 | |
Enbridge, Inc. (7.625% to 1-15-33, then 5 Year CMT + 4.418% to 1-15-53, then 5 Year CMT + 5.168%) | 7.625 | 01-15-83 | 625,000 | 635,156 | |
Energean Israel Finance, Ltd. (A) | 5.375 | 03-30-28 | 100,000 | 89,815 | |
Energean Israel Finance, Ltd. (A) | 5.875 | 03-30-31 | 190,000 | 165,411 | |
Energy Transfer LP (7.125% to 5-15-30, then 5 Year CMT + 5.306%) (B) | 7.125 | 05-15-30 | 830,000 | 737,870 | |
EQM Midstream Partners LP (A) | 4.750 | 01-15-31 | 205,000 | 166,563 | |
EQM Midstream Partners LP (A) | 7.500 | 06-01-30 | 218,000 | 207,693 | |
Genesis Energy LP | 7.750 | 02-01-28 | 215,000 | 205,863 | |
Greenko Solar Mauritius, Ltd. | 5.950 | 07-29-26 | 200,000 | 183,840 | |
Hess Midstream Operations LP (A) | 5.500 | 10-15-30 | 50,000 | 45,000 | |
Indika Energy Capital IV Pte, Ltd. | 8.250 | 10-22-25 | 300,000 | 296,638 | |
Inversiones Latin America Power, Ltda. (A) | 5.125 | 06-15-33 | 193,726 | 87,164 | |
Leviathan Bond, Ltd. (A) | 6.750 | 06-30-30 | 260,000 | 242,625 | |
MC Brazil Downstream Trading SARL (A) | 7.250 | 06-30-31 | 284,646 | 233,434 | |
Medco Bell Pte, Ltd. | 6.375 | 01-30-27 | 200,000 | 183,260 | |
MEG Energy Corp. (A) | 5.875 | 02-01-29 | 87,000 | 81,142 | |
New Fortress Energy, Inc. (A) | 6.500 | 09-30-26 | 250,000 | 228,750 | |
NuStar Logistics LP | 6.375 | 10-01-30 | 235,000 | 220,019 | |
Occidental Petroleum Corp. | 6.375 | 09-01-28 | 135,000 | 136,403 | |
Occidental Petroleum Corp. | 6.625 | 09-01-30 | 135,000 | 138,713 | |
Parkland Corp. (A) | 5.875 | 07-15-27 | 350,000 | 328,286 | |
Petroleos del Peru SA (A) | 5.625 | 06-19-47 | 495,000 | 329,027 | |
Petroleos Mexicanos | 6.625 | 06-15-35 | 635,000 | 466,194 |
10 | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Energy (continued) | |||||
Oil, gas and consumable fuels (continued) | |||||
Petroleos Mexicanos | 7.470 | 11-12-26 | MXN | 12,562,500 | $578,802 |
Plains All American Pipeline LP (3 month LIBOR + 4.110%) (B)(C) | 8.974 | 03-31-23 | 380,000 | 349,581 | |
Southwestern Energy Company | 4.750 | 02-01-32 | 95,000 | 81,636 | |
Sunoco LP | 4.500 | 04-30-30 | 132,000 | 114,378 | |
Talos Production, Inc. | 12.000 | 01-15-26 | 100,000 | 105,537 | |
The Oil and Gas Holding Company BSCC (A) | 7.500 | 10-25-27 | 450,000 | 464,289 | |
Venture Global Calcasieu Pass LLC (A) | 4.125 | 08-15-31 | 225,000 | 193,500 | |
Venture Global Calcasieu Pass LLC (A) | 6.250 | 01-15-30 | 175,000 | 172,594 | |
Financials 10.6% | 12,579,720 | ||||
Banks 7.0% | |||||
Axis Bank, Ltd. (4.100% to 9-8-26, then 5 Year CMT + 3.315%) (A)(B) | 4.100 | 09-08-26 | 200,000 | 167,841 | |
Bank of America Corp. (6.100% to 3-17-25, then 3 month LIBOR + 3.898%) (B) | 6.100 | 03-17-25 | 650,000 | 643,500 | |
Bank of America Corp. (6.125% to 4-27-27, then 5 Year CMT + 3.231%) (B) | 6.125 | 04-27-27 | 480,000 | 467,904 | |
Barclays PLC (8.000% to 3-15-29, then 5 Year CMT + 5.431%) (B) | 8.000 | 03-15-29 | 550,000 | 539,110 | |
BNP Paribas SA (6.625% to 3-25-24, then 5 Year U.S. Swap Rate + 4.149%) (A)(B) | 6.625 | 03-25-24 | 352,000 | 345,801 | |
Citigroup, Inc. (7.375% to 5-15-28, then 5 Year CMT + 3.209%) (B) | 7.375 | 05-15-28 | 660,000 | 660,000 | |
Credit Agricole SA (4.750% to 3-23-29, then 5 Year CMT + 3.237%) (A)(B) | 4.750 | 03-23-29 | 275,000 | 226,160 | |
Credit Agricole SA (8.125% to 12-23-25, then 5 Year U.S. Swap Rate + 6.185%) (A)(B) | 8.125 | 12-23-25 | 385,000 | 389,039 | |
Freedom Mortgage Corp. (A) | 8.250 | 04-15-25 | 261,000 | 247,249 | |
HSBC Holdings PLC (8.000% to 3-7-28, then 5 Year CMT + 3.858%) (B) | 8.000 | 03-07-28 | 200,000 | 200,000 | |
ING Groep NV (6.500% to 4-16-25, then 5 Year U.S. Swap Rate + 4.446%) (B) | 6.500 | 04-16-25 | 440,000 | 421,344 | |
JPMorgan Chase & Co. (4.600% to 2-1-25, then 3 month CME Term SOFR + 3.125%) (B) | 4.600 | 02-01-25 | 420,000 | 389,613 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | 11 |
Rate (%) | Maturity date | Par value^ | Value | ||
Financials (continued) | |||||
Banks (continued) | |||||
Societe Generale SA (5.375% to 11-18-30, then 5 Year CMT + 4.514%) (A)(B) | 5.375 | 11-18-30 | 400,000 | $329,680 | |
Societe Generale SA (7.875% to 12-18-23, then 5 Year U.S. Swap Rate + 4.979%) (A)(B) | 7.875 | 12-18-23 | 353,000 | 352,118 | |
SVB Financial Group (4.700% to 11-15-31, then 10 Year CMT + 3.064%) (B) | 4.700 | 11-15-31 | 1,045,000 | 720,244 | |
The Bank of East Asia, Ltd. (5.825% to 10-21-25, then 5 Year CMT + 5.527%) (B) | 5.825 | 10-21-25 | 250,000 | 233,750 | |
The Bank of Nova Scotia (8.625% to 10-27-27, then 5 Year CMT + 4.389%) | 8.625 | 10-27-82 | 690,000 | 729,184 | |
The PNC Financial Services Group, Inc. (6.000% to 5-15-27, then 5 Year CMT + 3.000%) (B) | 6.000 | 05-15-27 | 245,000 | 236,915 | |
The PNC Financial Services Group, Inc. (6.250% to 3-15-30, then 7 Year CMT + 2.808%) (B) | 6.250 | 03-15-30 | 374,000 | 361,845 | |
The Toronto-Dominion Bank (8.125% to 10-31-27, then 5 Year CMT + 4.075%) | 8.125 | 10-31-82 | 680,000 | 709,750 | |
Capital markets 0.4% | |||||
Guangxi Financial Investment Group Company, Ltd. | 3.600 | 11-18-23 | 200,000 | 191,096 | |
The Charles Schwab Corp. (5.375% to 6-1-25, then 5 Year CMT + 4.971%) (B) | 5.375 | 06-01-25 | 300,000 | 295,500 | |
Consumer finance 0.3% | |||||
Ally Financial, Inc. | 7.100 | 11-15-27 | 300,000 | 311,457 | |
Unifin Financiera SAB de CV (A)(D) | 9.875 | 01-28-29 | 475,000 | 17,813 | |
Diversified financial services 0.4% | |||||
Corebridge Financial, Inc. (6.875% to 9-15-27, then 5 Year CMT + 3.846%) (A) | 6.875 | 12-15-52 | 450,000 | 444,882 | |
Insurance 2.3% | |||||
Alliant Holdings Intermediate LLC (A) | 6.750 | 04-15-28 | 256,000 | 250,371 | |
Lincoln National Corp. (9.250% to 12-1-27, then 5 Year CMT + 5.318%) (B) | 9.250 | 12-01-27 | 695,000 | 759,549 | |
Markel Corp. (6.000% to 6-1-25, then 5 Year CMT + 5.662%) (B) | 6.000 | 06-01-25 | 400,000 | 394,932 | |
Prudential Financial, Inc. (5.125% to 11-28-31, then 5 Year CMT + 3.162%) | 5.125 | 03-01-52 | 245,000 | 223,893 |
12 | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Financials (continued) | |||||
Insurance (continued) | |||||
Prudential Financial, Inc. (6.000% to 6-1-32, then 5 Year CMT + 3.234%) | 6.000 | 09-01-52 | 500,000 | $482,332 | |
SBL Holdings, Inc. (6.500% to 11-13-26, then 5 Year CMT + 5.620%) (A)(B) | 6.500 | 11-13-26 | 800,000 | 602,000 | |
Thrifts and mortgage finance 0.2% | |||||
Nationstar Mortgage Holdings, Inc. (A) | 5.125 | 12-15-30 | 125,000 | 96,848 | |
Nationstar Mortgage Holdings, Inc. (A) | 6.000 | 01-15-27 | 150,000 | 138,000 | |
Health care 1.7% | 1,954,812 | ||||
Health care equipment and supplies 0.2% | |||||
Varex Imaging Corp. (A) | 7.875 | 10-15-27 | 204,000 | 199,919 | |
Health care providers and services 1.1% | |||||
Centene Corp. | 3.375 | 02-15-30 | 260,000 | 219,383 | |
DaVita, Inc. (A) | 3.750 | 02-15-31 | 245,000 | 185,000 | |
DaVita, Inc. (A) | 4.625 | 06-01-30 | 400,000 | 329,668 | |
Rede D’or Finance Sarl (A) | 4.500 | 01-22-30 | 200,000 | 169,400 | |
Select Medical Corp. (A) | 6.250 | 08-15-26 | 330,000 | 315,150 | |
U.S. Renal Care, Inc. (A) | 10.625 | 07-15-27 | 250,000 | 79,506 | |
Pharmaceuticals 0.4% | |||||
Organon & Company (A) | 5.125 | 04-30-31 | 295,000 | 250,381 | |
Viatris, Inc. | 4.000 | 06-22-50 | 320,000 | 206,405 | |
Industrials 5.6% | 6,636,682 | ||||
Aerospace and defense 0.5% | |||||
Embraer Netherlands Finance BV (A) | 6.950 | 01-17-28 | 265,000 | 265,713 | |
Howmet Aerospace, Inc. | 5.950 | 02-01-37 | 15,000 | 14,699 | |
TransDigm, Inc. (A) | 6.750 | 08-15-28 | 322,000 | 320,390 | |
Air freight and logistics 0.2% | |||||
Simpar Europe SA (A) | 5.200 | 01-26-31 | 200,000 | 139,750 | |
Simpar Finance Sarl (A) | 10.750 | 02-12-28 | BRL | 1,190,000 | 164,813 |
Airlines 0.6% | |||||
American Airlines 2017-1 Class B Pass Through Trust | 4.950 | 02-15-25 | 85,586 | 83,022 | |
American Airlines, Inc. (A) | 5.750 | 04-20-29 | 210,000 | 199,734 | |
United Airlines 2020-1 Class A Pass Through Trust | 5.875 | 10-15-27 | 150,907 | 148,266 | |
United Airlines, Inc. (A) | 4.375 | 04-15-26 | 295,000 | 277,648 | |
Building products 0.4% | |||||
Builders FirstSource, Inc. (A) | 5.000 | 03-01-30 | 500,000 | 450,326 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | 13 |
Rate (%) | Maturity date | Par value^ | Value | ||
Industrials (continued) | |||||
Commercial services and supplies 1.6% | |||||
Albion Financing 1 SARL (A) | 5.250 | 10-15-26 | EUR | 100,000 | $96,513 |
Albion Financing 1 SARL (A) | 6.125 | 10-15-26 | 200,000 | 178,844 | |
Allied Universal Holdco LLC (A) | 6.000 | 06-01-29 | 275,000 | 204,868 | |
Allied Universal Holdco LLC (A) | 6.625 | 07-15-26 | 330,000 | 313,421 | |
APX Group, Inc. (A) | 6.750 | 02-15-27 | 200,000 | 192,001 | |
Cimpress PLC | 7.000 | 06-15-26 | 350,000 | 259,438 | |
Clean Harbors, Inc. (A) | 6.375 | 02-01-31 | 153,000 | 151,911 | |
Elis SA | 1.625 | 04-03-28 | EUR | 300,000 | 270,581 |
Prime Security Services Borrower LLC (A) | 3.375 | 08-31-27 | 225,000 | 194,601 | |
Construction and engineering 1.0% | |||||
Global Infrastructure Solutions, Inc. (A) | 5.625 | 06-01-29 | 300,000 | 250,355 | |
IHS Netherlands Holdco BV (A) | 8.000 | 09-18-27 | 400,000 | 361,800 | |
MasTec, Inc. (A) | 6.625 | 08-15-29 | 160,000 | 144,562 | |
Tutor Perini Corp. (A) | 6.875 | 05-01-25 | 240,000 | 200,600 | |
Williams Scotsman International, Inc. (A) | 6.125 | 06-15-25 | 211,000 | 207,130 | |
Electrical equipment 0.2% | |||||
Atkore, Inc. (A) | 4.250 | 06-01-31 | 125,000 | 108,820 | |
Vertiv Group Corp. (A) | 4.125 | 11-15-28 | 199,000 | 172,889 | |
Machinery 0.2% | |||||
Madison IAQ LLC (A) | 5.875 | 06-30-29 | 124,000 | 98,720 | |
TK Elevator Holdco GmbH (A) | 6.625 | 07-15-28 | EUR | 117,000 | 105,368 |
Road and rail 0.3% | |||||
Uber Technologies, Inc. (A) | 8.000 | 11-01-26 | 400,000 | 406,091 | |
Trading companies and distributors 0.3% | |||||
Alta Equipment Group, Inc. (A) | 5.625 | 04-15-26 | 125,000 | 116,945 | |
Ashtead Capital, Inc. (A) | 5.500 | 08-11-32 | 200,000 | 191,777 | |
Transportation infrastructure 0.3% | |||||
GMR Hyderabad International Airport, Ltd. | 4.250 | 10-27-27 | 200,000 | 173,600 | |
JSW Infrastructure, Ltd. (A) | 4.950 | 01-21-29 | 200,000 | 171,486 | |
Information technology 2.8% | 3,269,820 | ||||
Communications equipment 0.1% | |||||
CommScope, Inc. (A) | 8.250 | 03-01-27 | 115,000 | 97,750 | |
IT services 1.0% | |||||
Block, Inc. | 3.500 | 06-01-31 | 500,000 | 403,950 | |
Sabre GLBL, Inc. (A) | 7.375 | 09-01-25 | 179,000 | 167,547 | |
Sixsigma Networks Mexico SA de CV (A) | 7.500 | 05-02-25 | 650,000 | 591,508 |
14 | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Information technology (continued) | |||||
Semiconductors and semiconductor equipment 0.5% | |||||
Entegris Escrow Corp. (A) | 4.750 | 04-15-29 | 324,000 | $294,591 | |
Qorvo, Inc. (A) | 3.375 | 04-01-31 | 330,000 | 264,089 | |
Software 0.6% | |||||
Consensus Cloud Solutions, Inc. (A) | 6.000 | 10-15-26 | 141,000 | 128,318 | |
Consensus Cloud Solutions, Inc. (A) | 6.500 | 10-15-28 | 275,000 | 239,938 | |
NCR Corp. (A) | 5.125 | 04-15-29 | 95,000 | 81,132 | |
NCR Corp. (A) | 5.250 | 10-01-30 | 185,000 | 152,951 | |
Ziff Davis, Inc. (A) | 4.625 | 10-15-30 | 180,000 | 151,830 | |
Technology hardware, storage and peripherals 0.6% | |||||
Seagate HDD Cayman Company | 4.125 | 01-15-31 | 109,000 | 90,436 | |
Seagate HDD Cayman Company (A) | 9.625 | 12-01-32 | 392,800 | 429,380 | |
Xerox Holdings Corp. (A) | 5.500 | 08-15-28 | 210,000 | 176,400 | |
Materials 3.8% | 4,473,905 | ||||
Chemicals 0.9% | |||||
Braskem Idesa SAPI (A) | 6.990 | 02-20-32 | 400,000 | 278,480 | |
Cydsa SAB de CV (A) | 6.250 | 10-04-27 | 250,000 | 233,750 | |
ICL Group, Ltd. (A) | 6.375 | 05-31-38 | 400,000 | 394,396 | |
SCIL IV LLC (A) | 5.375 | 11-01-26 | 200,000 | 179,748 | |
Construction materials 0.7% | |||||
Cemex SAB de CV (A) | 3.875 | 07-11-31 | 400,000 | 322,000 | |
Standard Industries, Inc. (A) | 5.000 | 02-15-27 | 210,000 | 194,005 | |
West China Cement, Ltd. | 4.950 | 07-08-26 | 400,000 | 340,484 | |
Containers and packaging 0.5% | |||||
Ardagh Packaging Finance PLC (A) | 5.250 | 08-15-27 | 340,000 | 279,225 | |
Clydesdale Acquisition Holdings, Inc. (A) | 8.750 | 04-15-30 | 150,000 | 135,507 | |
Graham Packaging Company, Inc. (A) | 7.125 | 08-15-28 | 120,000 | 103,213 | |
Sealed Air Corp. (A) | 6.125 | 02-01-28 | 87,000 | 85,691 | |
Metals and mining 1.7% | |||||
Adaro Indonesia PT | 4.250 | 10-31-24 | 250,000 | 238,750 | |
Chalieco Hong Kong Corp., Ltd. (5.000% to 5-21-23, then 3 Year CMT + 6.380%) (B) | 5.000 | 05-21-23 | 200,000 | 198,620 | |
CSN Resources SA (A) | 5.875 | 04-08-32 | 265,000 | 221,919 | |
First Quantum Minerals, Ltd. (A) | 7.500 | 04-01-25 | 450,000 | 436,503 | |
Gold Fields Orogen Holdings BVI, Ltd. (A) | 6.125 | 05-15-29 | 475,000 | 468,610 | |
QVC, Inc. | 4.375 | 09-01-28 | 37,000 | 20,616 | |
Volcan Cia Minera SAA (A) | 4.375 | 02-11-26 | 430,000 | 342,388 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | 15 |
Rate (%) | Maturity date | Par value^ | Value | ||
Real estate 2.7% | $3,203,704 | ||||
Equity real estate investment trusts 1.2% | |||||
Diversified Healthcare Trust | 9.750 | 06-15-25 | 245,000 | 237,403 | |
Iron Mountain Information Management Services, Inc. (A) | 5.000 | 07-15-32 | 245,000 | 202,061 | |
RHP Hotel Properties LP (A) | 4.500 | 02-15-29 | 230,000 | 200,204 | |
Uniti Group LP (A) | 10.500 | 02-15-28 | 194,000 | 194,039 | |
VICI Properties LP (A) | 4.625 | 12-01-29 | 465,000 | 416,622 | |
XHR LP (A) | 4.875 | 06-01-29 | 240,000 | 205,013 | |
Real estate management and development 1.5% | |||||
Agile Group Holdings, Ltd. | 6.050 | 10-13-25 | 200,000 | 109,981 | |
Central China Real Estate, Ltd. | 7.250 | 07-16-24 | 200,000 | 62,000 | |
Central China Real Estate, Ltd. | 7.900 | 11-07-23 | 200,000 | 72,926 | |
China SCE Group Holdings, Ltd. | 7.375 | 04-09-24 | 200,000 | 116,100 | |
CIFI Holdings Group Company, Ltd. | 6.000 | 07-16-25 | 200,000 | 50,266 | |
Country Garden Holdings Company, Ltd. | 3.125 | 10-22-25 | 200,000 | 128,344 | |
Country Garden Holdings Company, Ltd. | 5.625 | 01-14-30 | 350,000 | 218,116 | |
Greenland Global Investment, Ltd. | 6.750 | 03-03-26 | 400,000 | 184,200 | |
Hopson Development Holdings, Ltd. | 6.800 | 12-28-23 | 250,000 | 232,003 | |
KWG Group Holdings, Ltd. | 6.000 | 01-14-24 | 237,500 | 125,287 | |
Longfor Group Holdings, Ltd. | 3.950 | 09-16-29 | 200,000 | 156,603 | |
Powerlong Real Estate Holdings, Ltd. | 6.250 | 08-10-24 | 200,000 | 55,000 | |
RKPF Overseas 2019 A, Ltd. | 6.000 | 09-04-25 | 200,000 | 169,270 | |
Sunac China Holdings, Ltd. | 7.500 | 02-01-24 | 200,000 | 52,409 | |
Zhenro Properties Group, Ltd. (D) | 7.875 | 04-14-24 | 200,000 | 15,857 | |
Utilities 3.7% | 4,334,610 | ||||
Electric utilities 2.2% | |||||
Edison International (5.000% to 12-15-26, then 5 Year CMT + 3.901%) (B) | 5.000 | 12-15-26 | 350,000 | 301,410 | |
Edison International (5.375% to 3-15-26, then 5 Year CMT + 4.698%) (B) | 5.375 | 03-15-26 | 300,000 | 273,099 | |
Light Servicos de Eletricidade SA (A) | 4.375 | 06-18-26 | 395,000 | 172,117 | |
NextEra Energy Capital Holdings, Inc. (5.650% to 5-1-29, then 3 month LIBOR + 3.156%) | 5.650 | 05-01-79 | 800,000 | 740,000 | |
NRG Energy, Inc. (A) | 3.625 | 02-15-31 | 160,000 | 124,060 | |
PPL Capital Funding, Inc. (3 month LIBOR + 2.665%) (C) | 7.395 | 03-30-67 | 550,000 | 498,520 | |
Southern California Edison Company (3 month LIBOR + 4.199%) (B)(C) | 9.013 | 03-31-23 | 450,000 | 445,500 | |
Gas utilities 0.4% | |||||
AmeriGas Partners LP | 5.750 | 05-20-27 | 300,000 | 277,494 |
16 | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Utilities (continued) | |||||
Gas utilities (continued) | |||||
Superior Plus LP (A) | 4.500 | 03-15-29 | 245,000 | $212,827 | |
Independent power and renewable electricity producers 0.9% | |||||
Adani Green Energy, Ltd. (A) | 4.375 | 09-08-24 | 200,000 | 162,167 | |
India Clean Energy Holdings (A) | 4.500 | 04-18-27 | 300,000 | 233,447 | |
Vistra Corp. (7.000% to 12-15-26, then 5 Year CMT + 5.740%) (A)(B) | 7.000 | 12-15-26 | 325,000 | 303,982 | |
Vistra Corp. (8.000% to 10-15-26, then 5 Year CMT + 6.930%) (A)(B) | 8.000 | 10-15-26 | 320,000 | 307,200 | |
Multi-utilities 0.2% | |||||
Sempra Energy (4.875% to 10-15-25, then 5 Year CMT + 4.550%) (B) | 4.875 | 10-15-25 | 300,000 | 282,787 | |
Convertible bonds 0.2% | $239,655 | ||||
(Cost $249,266) | |||||
Communication services 0.2% | 239,655 | ||||
Media 0.2% | |||||
DISH Network Corp. | 3.375 | 08-15-26 | 375,000 | 239,655 | |
Capital preferred securities 0.2% | $258,138 | ||||
(Cost $292,200) | |||||
Financials 0.2% | 258,138 | ||||
Insurance 0.2% | |||||
MetLife Capital Trust IV (7.875% to 12-15-37, then 3 month LIBOR + 3.960%) (A) | 7.875 | 12-15-67 | 240,000 | 258,138 | |
Term loans (E) 1.5% | $1,748,244 | ||||
(Cost $1,876,871) | |||||
Communication services 0.5% | 625,669 | ||||
Interactive media and services 0.1% | |||||
Arches Buyer, Inc., 2021 Term Loan B (1 month SOFR + 3.250%) | 7.968 | 12-06-27 | 185,000 | 173,900 | |
Media 0.4% | |||||
AP Core Holdings II LLC, High-Yield Term Loan B2 (1 month LIBOR + 5.500%) | 10.135 | 09-01-27 | 330,000 | 317,074 | |
Dotdash Meredith, Inc., Term Loan B (3 month SOFR + 4.000%) | 8.668 | 12-01-28 | 153,063 | 134,695 | |
Health care 0.5% | 577,490 | ||||
Health care providers and services 0.2% | |||||
Cano Health LLC, 2022 Term Loan (1 month SOFR + 4.000%) | 8.718 | 11-23-27 | 227,625 | 184,620 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | 17 |
Rate (%) | Maturity date | Par value^ | Value | ||
Health care (continued) | |||||
Health care providers and services (continued) | |||||
Mamba Purchaser, Inc., 2021 Term Loan (1 month LIBOR + 3.500%) | 8.135 | 10-16-28 | 99,250 | $98,009 | |
Pharmaceuticals 0.3% | |||||
Bausch Health Companies, Inc., 2022 Term Loan B (1 month SOFR + 5.250%) | 9.914 | 02-01-27 | 374,750 | 294,861 | |
Industrials 0.4% | 434,949 | ||||
Airlines 0.4% | |||||
AAdvantage Loyalty IP, Ltd., 2021 Term Loan (3 month LIBOR + 4.750%) | 9.558 | 04-20-28 | 425,000 | 434,949 | |
Information technology 0.1% | 110,136 | ||||
Software 0.1% | |||||
Quest Software, Inc., 2022 Term Loan (3 month SOFR + 4.250%) | 9.076 | 02-01-29 | 128,355 | 110,136 | |
Collateralized mortgage obligations 0.5% | $556,803 | ||||
(Cost $552,387) | |||||
Commercial and residential 0.5% | 556,803 | ||||
BBCMS Mortgage Trust | |||||
Series 2017-DELC, Class E (1 month LIBOR + 2.625%) (A)(C) | 7.213 | 08-15-36 | 143,000 | 141,411 | |
BX Commercial Mortgage Trust | |||||
Series 2019-XL, Class F (1 month CME Term SOFR + 2.114%) (A)(C) | 6.677 | 10-15-36 | 425,000 | 415,392 | |
Asset backed securities 1.5% | $1,745,814 | ||||
(Cost $1,905,921) | |||||
Asset backed securities 1.5% | 1,745,814 | ||||
Concord Music Royalties LLC | |||||
Series 2022-1A, Class A2 (A) | 6.500 | 01-20-73 | 285,000 | 278,678 | |
Driven Brands Funding LLC | |||||
Series 2019-1A, Class A2 (A) | 4.641 | 04-20-49 | 523,200 | 487,627 | |
Jack in the Box Funding LLC | |||||
Series 2019-1A, Class A23 (A) | 4.970 | 08-25-49 | 122,500 | 109,177 | |
Neighborly Issuer | |||||
Series 2023-1A, Class A2 (A) | 7.308 | 01-30-53 | 428,000 | 412,188 | |
Sonic Capital LLC | |||||
Series 2020-1A, Class A2II (A) | 4.336 | 01-20-50 | 196,950 | 176,173 | |
VR Funding LLC | |||||
Series 2020-1A, Class A (A) | 2.790 | 11-15-50 | 338,379 | 281,971 | |
18 | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Shares | Value | ||||
Common stocks 30.5% | $36,078,457 | ||||
(Cost $35,900,532) | |||||
Communication services 3.5% | 4,205,556 | ||||
Diversified telecommunication services 3.0% | |||||
AT&T, Inc. | 23,860 | 451,193 | |||
BCE, Inc. | 5,496 | 243,161 | |||
Deutsche Telekom AG | 11,713 | 262,875 | |||
HKT Trust & HKT, Ltd. | 190,161 | 247,228 | |||
Koninklijke KPN NV | 78,067 | 267,614 | |||
Proximus SADP | 24,836 | 228,711 | |||
Spark New Zealand, Ltd. | 74,919 | 231,318 | |||
Swisscom AG | 419 | 258,541 | |||
Telefonica SA | 66,119 | 269,731 | |||
Telia Company AB | 97,148 | 250,873 | |||
Telstra Corp., Ltd. | 88,289 | 246,678 | |||
TELUS Corp. | 10,374 | 206,264 | |||
Verizon Communications, Inc. | 11,850 | 459,899 | |||
Media 0.3% | |||||
Comcast Corp., Class A | 9,088 | 337,801 | |||
Wireless telecommunication services 0.2% | |||||
SoftBank Corp. | 21,600 | 243,669 | |||
Consumer discretionary 0.6% | 734,127 | ||||
Distributors 0.4% | |||||
Genuine Parts Company | 2,675 | 473,101 | |||
Household durables 0.2% | |||||
Garmin, Ltd. | 2,660 | 261,026 | |||
Consumer staples 6.0% | 7,055,054 | ||||
Beverages 0.8% | |||||
PepsiCo, Inc. | 2,786 | 483,455 | |||
The Coca-Cola Company | 7,847 | 466,975 | |||
Food and staples retailing 0.1% | |||||
J Sainsbury PLC | 39,792 | 128,332 | |||
Food products 2.8% | |||||
Campbell Soup Company | 9,153 | 480,716 | |||
Conagra Brands, Inc. | 12,957 | 471,764 | |||
General Mills, Inc. | 6,142 | 488,350 | |||
Kellogg Company | 6,872 | 453,140 | |||
Mondelez International, Inc., Class A | 7,409 | 482,919 | |||
The J.M. Smucker Company | 3,180 | 470,290 | |||
Tyson Foods, Inc., Class A | 7,301 | 432,511 | |||
Household products 1.4% | |||||
Colgate-Palmolive Company | 6,075 | 445,298 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | 19 |
Shares | Value | ||||
Consumer staples (continued) | |||||
Household products (continued) | |||||
Kimberly-Clark Corp. | 3,663 | $458,058 | |||
The Clorox Company | 2,039 | 316,942 | |||
The Procter & Gamble Company | 3,381 | 465,090 | |||
Personal products 0.2% | |||||
Unilever PLC | 5,000 | 248,937 | |||
Tobacco 0.7% | |||||
British American Tobacco PLC | 6,845 | 259,054 | |||
Imperial Brands PLC | 10,337 | 249,031 | |||
Japan Tobacco, Inc. | 12,500 | 254,192 | |||
Energy 1.1% | 1,328,627 | ||||
Oil, gas and consumable fuels 1.1% | |||||
Chevron Corp. | 2,541 | 408,517 | |||
Enbridge, Inc. | 6,231 | 233,760 | |||
ENEOS Holdings, Inc. | 70,100 | 240,995 | |||
Exxon Mobil Corp. | 4,052 | 445,355 | |||
Financials 4.4% | 5,188,948 | ||||
Banks 1.7% | |||||
Bank Leumi Le-Israel BM | 23,069 | 179,351 | |||
BOC Hong Kong Holdings, Ltd. | 68,972 | 233,425 | |||
CaixaBank SA | 24,623 | 105,728 | |||
M&T Bank Corp. | 3,078 | 477,983 | |||
Oversea-Chinese Banking Corp., Ltd. | 26,100 | 245,301 | |||
U.S. Bancorp | 9,798 | 467,659 | |||
United Overseas Bank, Ltd. | 11,300 | 250,472 | |||
Capital markets 0.2% | |||||
Daiwa Securities Group, Inc. | 50,500 | 241,387 | |||
Diversified financial services 0.2% | |||||
Mitsubishi HC Capital, Inc. | 48,600 | 253,719 | |||
Insurance 2.3% | |||||
Baloise Holding AG | 1,565 | 260,614 | |||
Cincinnati Financial Corp. | 4,503 | 543,512 | |||
Erie Indemnity Company, Class A | 1,692 | 398,280 | |||
Everest Re Group, Ltd. | 598 | 229,614 | |||
MS&AD Insurance Group Holdings, Inc. | 7,800 | 255,248 | |||
Sampo OYJ, A Shares | 4,922 | 239,604 | |||
Sompo Holdings, Inc. | 5,700 | 244,707 | |||
The Allstate Corp. | 2,455 | 316,155 | |||
Zurich Insurance Group AG | 519 | 246,189 |
20 | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Shares | Value | ||||
Health care 4.5% | $5,315,934 | ||||
Biotechnology 1.2% | |||||
AbbVie, Inc. | 3,235 | 497,867 | |||
Amgen, Inc. | 1,916 | 443,861 | |||
Gilead Sciences, Inc. | 5,728 | 461,276 | |||
Health care equipment and supplies 0.4% | |||||
Medtronic PLC | 5,886 | 487,361 | |||
Health care providers and services 0.8% | |||||
Cardinal Health, Inc. | 5,952 | 450,626 | |||
CVS Health Corp. | 5,444 | 454,792 | |||
Pharmaceuticals 2.1% | |||||
Bristol-Myers Squibb Company | 6,555 | 452,033 | |||
GSK PLC | 14,706 | 251,927 | |||
Johnson & Johnson | 2,917 | 447,059 | |||
Merck & Company, Inc. | 4,465 | 474,362 | |||
Orion OYJ, Class B | 4,420 | 208,276 | |||
Pfizer, Inc. | 10,767 | 436,817 | |||
Takeda Pharmaceutical Company, Ltd. | 8,100 | 249,677 | |||
Industrials 2.9% | 3,444,152 | ||||
Aerospace and defense 0.2% | |||||
BAE Systems PLC | 24,325 | 262,715 | |||
Air freight and logistics 0.8% | |||||
CH Robinson Worldwide, Inc. | 4,889 | 488,704 | |||
United Parcel Service, Inc., Class B | 2,655 | 484,511 | |||
Industrial conglomerates 0.8% | |||||
3M Company | 4,213 | 453,909 | |||
CK Hutchison Holdings, Ltd. | 39,112 | 233,547 | |||
Jardine Cycle & Carriage, Ltd. | 11,600 | 255,724 | |||
Machinery 0.6% | |||||
Cummins, Inc. | 1,926 | 468,172 | |||
Snap-on, Inc. | 743 | 184,769 | |||
Marine 0.1% | |||||
SITC International Holdings Company, Ltd. | 47,145 | 98,625 | |||
Trading companies and distributors 0.4% | |||||
Fastenal Company | 4,813 | 248,158 | |||
Marubeni Corp. | 7,700 | 98,299 | |||
Sumitomo Corp. | 9,800 | 167,019 | |||
Information technology 2.1% | 2,494,105 | ||||
Communications equipment 0.4% | |||||
Cisco Systems, Inc. | 9,921 | 480,375 | |||
Electronic equipment, instruments and components 0.2% | |||||
Venture Corp., Ltd. | 17,700 | 225,403 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | 21 |
Shares | Value | ||||
Information technology (continued) | |||||
IT services 0.9% | |||||
IBM Corp. | 3,599 | $465,351 | |||
Paychex, Inc. | 4,320 | 476,928 | |||
The Western Union Company | 12,549 | 162,635 | |||
Semiconductors and semiconductor equipment 0.4% | |||||
Texas Instruments, Inc. | 2,476 | 424,510 | |||
Software 0.2% | |||||
Oracle Corp. | 3,800 | 258,903 | |||
Materials 0.8% | 921,030 | ||||
Chemicals 0.5% | |||||
Air Products & Chemicals, Inc. | 565 | 161,579 | |||
Sumitomo Chemical Company, Ltd. | 38,700 | 135,605 | |||
Tosoh Corp. | 19,700 | 268,101 | |||
Containers and packaging 0.3% | |||||
Packaging Corp. of America | 2,602 | 355,745 | |||
Real estate 0.6% | 684,488 | ||||
Equity real estate investment trusts 0.4% | |||||
CapitaLand Ascendas REIT | 112,600 | 231,265 | |||
CapitaLand Integrated Commercial Trust | 143,500 | 206,425 | |||
Real estate management and development 0.2% | |||||
CK Asset Holdings, Ltd. | 39,349 | 246,798 | |||
Utilities 4.0% | 4,706,436 | ||||
Electric utilities 1.7% | |||||
Alliant Energy Corp. | 8,801 | 451,227 | |||
CK Infrastructure Holdings, Ltd. | 35,686 | 188,239 | |||
CLP Holdings, Ltd. | 31,922 | 225,746 | |||
Endesa SA | 4,871 | 95,520 | |||
Power Assets Holdings, Ltd. | 35,790 | 191,433 | |||
Red Electrica Corp. SA | 13,042 | 216,348 | |||
The Kansai Electric Power Company, Inc. | 24,800 | 232,965 | |||
Xcel Energy, Inc. | 6,962 | 449,536 | |||
Gas utilities 0.6% | |||||
Atmos Energy Corp. | 4,132 | 466,131 | |||
Snam SpA | 49,714 | 244,243 | |||
Multi-utilities 1.7% | |||||
Algonquin Power & Utilities Corp. | 13,400 | 365,284 | |||
Ameren Corp. | 5,457 | 451,348 | |||
Canadian Utilities, Ltd., Class A | 8,467 | 222,084 | |||
CMS Energy Corp. | 7,643 | 450,708 | |||
WEC Energy Group, Inc. | 5,139 | 455,624 |
22 | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Shares | Value | ||||
Preferred securities 2.2% | $2,637,369 | ||||
(Cost $2,932,144) | |||||
Communication services 0.3% | 373,923 | ||||
Wireless telecommunication services 0.3% | |||||
Telephone & Data Systems, Inc., 6.625% | 20,125 | 373,923 | |||
Consumer discretionary 0.1% | 125,650 | ||||
Internet and direct marketing retail 0.1% | |||||
Qurate Retail, Inc., 8.000% | 2,500 | 125,650 | |||
Financials 1.3% | 1,555,820 | ||||
Banks 0.7% | |||||
Huntington Bancshares, Series J, 6.875% (6.875% to 4-15-28, then 5 Year CMT + 2.704%) | 16,025 | 403,510 | |||
PacWest Bancorp, 7.750% (7.750% to 9-1-27, then 5 Year CMT + 4.820%) | 17,675 | 449,299 | |||
Insurance 0.6% | |||||
Reinsurance Group of America, Inc., 7.125% (7.125% to 10-15-27, then 5 Year CMT + 3.456%) | 26,700 | 703,011 | |||
Industrials 0.1% | 154,675 | ||||
Trading companies and distributors 0.1% | |||||
FTAI Aviation, Ltd., 8.250% (8.250% to 6-15-26, then 5 Year CMT + 7.378%) | 6,725 | 154,675 | |||
Real estate 0.2% | 214,542 | ||||
Equity real estate investment trusts 0.2% | |||||
Pebblebrook Hotel Trust, 6.375% | 10,275 | 214,542 | |||
Utilities 0.2% | 212,759 | ||||
Electric utilities 0.2% | |||||
SCE Trust VI, 5.000% | 10,564 | 212,759 | |||
Exchange-traded funds 0.3% | $374,654 | ||||
(Cost $387,652) | |||||
iShares MSCI Emerging Markets ETF | 9,800 | 374,654 | |||
Yield* (%) | Maturity date | Par value^ | Value | ||
Short-term investments 6.0% | $7,041,837 | ||||
(Cost $7,042,263) | |||||
U.S. Government 2.1% | 2,472,641 | ||||
U.S. Treasury Bill (F) | 4.515 | 05-25-23 | 2,500,000 | 2,472,641 |
Yield (%) | Shares | Value | |||
Short-term funds 3.9% | 4,569,196 | ||||
John Hancock Collateral Trust (G) | 4.5832(H) | 457,125 | 4,569,196 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | 23 |
Total investments (Cost $127,141,417) 99.6% | $117,789,750 | ||||
Other assets and liabilities, net 0.4% | 511,384 | ||||
Total net assets 100.0% | $118,301,134 |
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 | |
BRL | Brazilian Real |
EUR | Euro |
MXN | Mexican Peso |
Security Abbreviations and Legend | |
CME | Chicago Mercantile Exchange |
CMT | Constant Maturity Treasury |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing 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 $42,514,000 or 35.9% of the fund’s net assets as of 2-28-23. |
(B) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(C) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(D) | Non-income producing - Issuer is in default. |
(E) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(F) | All or a portion of this security is segregated at the custodian as collateral for certain derivatives. |
(G) | Investment is an affiliate of the fund, the advisor and/or subadvisor. |
(H) | The rate shown is the annualized seven-day yield as of 2-28-23. |
* | 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. |
24 | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
MXN | 220,000 | USD | 11,970 | MSCS | 3/15/2023 | $25 | — |
USD | 1,174,841 | EUR | 1,090,925 | RBC | 3/15/2023 | 20,068 | — |
USD | 557,319 | MXN | 10,780,000 | GSI | 3/15/2023 | — | $(30,422) |
USD | 21,615 | MXN | 410,000 | MSCS | 3/15/2023 | — | (739) |
$20,093 | $(31,161) |
Options on securities | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls | ||||||||
Exchange-traded | iShares MSCI Emerging Markets ETF | USD | 42.00 | Mar 2023 | 29 | 2,900 | $521 | $(15) |
Exchange-traded | iShares MSCI Emerging Markets ETF | USD | 42.00 | Mar 2023 | 25 | 2,500 | 599 | (38) |
Exchange-traded | iShares MSCI Emerging Markets ETF | USD | 41.00 | Mar 2023 | 29 | 2,900 | 608 | (102) |
Exchange-traded | iShares MSCI Emerging Markets ETF | USD | 40.00 | Mar 2023 | 27 | 2,700 | 620 | (432) |
$2,348 | $(587) | |||||||
Puts | ||||||||
Exchange-traded | iShares MSCI Emerging Markets ETF | USD | 39.50 | Mar 2023 | 50 | 5,000 | $3,598 | $(7,200) |
Exchange-traded | iShares MSCI Emerging Markets ETF | USD | 38.50 | Mar 2023 | 52 | 5,200 | 3,842 | (4,368) |
$7,440 | $(11,568) | |||||||
$9,788 | $(12,155) |
Options on index | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls | ||||||||
GSI | FTSE 100 Index | GBP | 7,950.00 | Mar 2023 | 2 | 2 | $90 | $(13) |
CITI | FTSE 100 Index | GBP | 8,050.00 | Mar 2023 | 4 | 4 | 40 | (28) |
GSI | FTSE 100 Index | GBP | 8,075.00 | Mar 2023 | 5 | 5 | 182 | (114) |
GSI | Nikkei 225 Index | JPY | 28,375.00 | Mar 2023 | 530 | 530 | 376 | (2) |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | 25 |
Options on index (continued) | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
CITI | Nikkei 225 Index | JPY | 28,125.00 | Mar 2023 | 541 | 541 | $505 | $(158) |
GSI | Nikkei 225 Index | JPY | 28,125.00 | Mar 2023 | 562 | 562 | 280 | (434) |
GSI | Nikkei 225 Index | JPY | 28,125.00 | Mar 2023 | 562 | 562 | 469 | (582) |
$1,942 | $(1,331) | |||||||
Exchange-traded | EURO STOXX 50 Index | EUR | 4,300.00 | Mar 2023 | 2 | 20 | 489 | (130) |
Exchange-traded | EURO STOXX 50 Index | EUR | 4,350.00 | Mar 2023 | 3 | 30 | 695 | (240) |
Exchange-traded | EURO STOXX 50 Index | EUR | 4,375.00 | Mar 2023 | 3 | 30 | 801 | (417) |
Exchange-traded | EURO STOXX 50 Index | EUR | 4,375.00 | Mar 2023 | 3 | 30 | 862 | (593) |
Exchange-traded | FTSE 100 Index | GBP | 8,100.00 | Mar 2023 | 1 | 10 | 410 | (93) |
Exchange-traded | S&P 500 Index | USD | 4,225.00 | Mar 2023 | 2 | 200 | 5,768 | (5) |
Exchange-traded | S&P 500 Index | USD | 4,235.00 | Mar 2023 | 2 | 200 | 7,198 | (70) |
Exchange-traded | S&P 500 Index | USD | 4,160.00 | Mar 2023 | 3 | 300 | 8,564 | (1,710) |
Exchange-traded | S&P 500 Index | USD | 4,135.00 | Mar 2023 | 2 | 200 | 5,970 | (3,520) |
$30,757 | $(6,778) | |||||||
Puts | ||||||||
GSI | FTSE 100 Index | GBP | 7,800.00 | Mar 2023 | 6 | 6 | $556 | $(95) |
CITI | FTSE 100 Index | GBP | 7,875.00 | Mar 2023 | 6 | 6 | 557 | (485) |
GSI | FTSE 100 Index | GBP | 7,925.00 | Mar 2023 | 6 | 6 | 758 | (940) |
GSI | Nikkei 225 Index | JPY | 27,625.00 | Mar 2023 | 381 | 381 | 1,007 | (695) |
CITI | Nikkei 225 Index | JPY | 27,375.00 | Mar 2023 | 386 | 386 | 846 | (632) |
GSI | Nikkei 225 Index | JPY | 27,375.00 | Mar 2023 | 392 | 392 | 963 | (960) |
GSI | Nikkei 225 Index | JPY | 27,375.00 | Mar 2023 | 397 | 397 | 860 | (1,225) |
$5,547 | $(5,032) | |||||||
Exchange-traded | EURO STOXX 50 Index | EUR | 4,200.00 | Mar 2023 | 3 | 30 | 1,985 | (401) |
Exchange-traded | EURO STOXX 50 Index | EUR | 4,225.00 | Mar 2023 | 3 | 30 | 2,208 | (1,220) |
Exchange-traded | EURO STOXX 50 Index | EUR | 4,250.00 | Mar 2023 | 3 | 30 | 2,162 | (2,059) |
Exchange-traded | EURO STOXX 50 Index | EUR | 4,250.00 | Mar 2023 | 3 | 30 | 2,223 | (2,453) |
Exchange-traded | FTSE 100 Index | GBP | 7,975.00 | Mar 2023 | 1 | 10 | 1,233 | (1,864) |
Exchange-traded | S&P 500 Index | USD | 4,115.00 | Mar 2023 | 2 | 200 | 13,887 | (29,180) |
Exchange-traded | S&P 500 Index | USD | 4,100.00 | Mar 2023 | 2 | 200 | 14,663 | (27,020) |
Exchange-traded | S&P 500 Index | USD | 4,040.00 | Mar 2023 | 2 | 200 | 16,147 | (19,970) |
Exchange-traded | S&P 500 Index | USD | 4,000.00 | Mar 2023 | 2 | 200 | 15,208 | (18,290) |
$69,716 | $(102,457) | |||||||
$107,962 | $(115,598) |
26 | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Derivatives Currency Abbreviations | |
EUR | Euro |
GBP | Pound Sterling |
JPY | Japanese Yen |
MXN | Mexican Peso |
USD | U.S. Dollar |
Derivatives Abbreviations | |
CITI | Citibank, N.A. |
GSI | Goldman Sachs International |
MSCS | Morgan Stanley Capital Services LLC |
OTC | Over-the-counter |
RBC | Royal Bank of Canada |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | 27 |
Assets | |
Unaffiliated investments, at value (Cost $122,572,503) | $113,220,554 |
Affiliated investments, at value (Cost $4,568,914) | 4,569,196 |
Total investments, at value (Cost $127,141,417) | 117,789,750 |
Unrealized appreciation on forward foreign currency contracts | 20,093 |
Cash | 5,726 |
Foreign currency, at value (Cost $249,010) | 247,736 |
Dividends and interest receivable | 1,365,356 |
Receivable for fund shares sold | 19 |
Receivable for investments sold | 1,249,299 |
Receivable for securities lending income | 254 |
Other assets | 47,989 |
Total assets | 120,726,222 |
Liabilities | |
Unrealized depreciation on forward foreign currency contracts | 31,161 |
Written options, at value (Premiums received $117,750) | 127,753 |
Payable for investments purchased | 1,988,669 |
Payable for fund shares repurchased | 194,318 |
Payable to affiliates | |
Investment management fees | 119 |
Accounting and legal services fees | 10,358 |
Transfer agent fees | 502 |
Trustees’ fees | 64 |
Other liabilities and accrued expenses | 72,144 |
Total liabilities | 2,425,088 |
Net assets | $118,301,134 |
Net assets consist of | |
Paid-in capital | $135,503,469 |
Total distributable earnings (loss) | (17,202,335) |
Net assets | $118,301,134 |
28 | JOHN HANCOCK Multi-Asset High Income Fund | SEMIANNUAL 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 ($4,747,654 ÷ 553,080 shares)1 | $8.58 |
Class C ($534,521 ÷ 62,607 shares)1 | $8.54 |
Class I ($343,992 ÷ 40,030 shares) | $8.59 |
Class R6 ($916,418 ÷ 106,503 shares) | $8.60 |
Class NAV ($111,758,549 ÷ 12,324,144 shares) | $9.07 |
Maximum offering price per share | |
Class A (net asset value per share ÷ 95.5%)2 | $8.98 |
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 | SEMIANNUAL REPORT | JOHN HANCOCK Multi-Asset High Income Fund | 29 |
Investment income | |
Interest | $2,504,660 |
Dividends | 751,490 |
Dividends from affiliated investments | 83,729 |
Securities lending | 1,446 |
Less foreign taxes withheld | (22,792) |
Total investment income | 3,318,533 |
Expenses | |
Investment management fees | 248,878 |
Distribution and service fees | 8,232 |
Accounting and legal services fees | 11,453 |
Transfer agent fees | 2,985 |
Trustees’ fees | 1,480 |
Custodian fees | 28,924 |
State registration fees | 29,396 |
Printing and postage | 9,689 |
Professional fees | 26,944 |
Other | 8,551 |
Total expenses | 376,532 |
Less expense reductions | (57,177) |
Net expenses | 319,355 |
Net investment income | 2,999,178 |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on | |
Unaffiliated investments and foreign currency transactions | (3,321,342) |
Affiliated investments | 183 |
Forward foreign currency contracts | (99,322) |
Written options | (110,176) |
(3,530,657) | |
Change in net unrealized appreciation (depreciation) of | |
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 3,909,192 |
Affiliated investments | 403 |
Forward foreign currency contracts | (17,474) |
Written options | 96,582 |
3,988,703 | |
Net realized and unrealized gain | 458,046 |
Increase in net assets from operations | $3,457,224 |
30 | JOHN HANCOCK Multi-Asset High Income Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | |
Increase (decrease) in net assets | ||
From operations | ||
Net investment income | $2,999,178 | $6,307,828 |
Net realized gain (loss) | (3,530,657) | 2,085,582 |
Change in net unrealized appreciation (depreciation) | 3,988,703 | (21,288,617) |
Increase (decrease) in net assets resulting from operations | 3,457,224 | (12,895,207) |
Distributions to shareholders | ||
From earnings | ||
Class A | (147,492) | (432,946) |
Class C | (18,366) | (61,711) |
Class I | (16,429) | (61,703) |
Class R6 | (35,273) | (71,967) |
Class NAV | (3,931,639) | (13,698,738) |
Total distributions | (4,149,199) | (14,327,065) |
From fund share transactions | (5,412,913) | (5,489,729) |
Total decrease | (6,104,888) | (32,712,001) |
Net assets | ||
Beginning of period | 124,406,022 | 157,118,023 |
End of period | $118,301,134 | $124,406,022 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Multi-Asset High Income Fund | 31 |
CLASS A SHARES Period ended | 2-28-231 | 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 | $8.65 | $10.52 | $9.86 | $9.88 | $9.67 | $9.93 |
Net investment income2 | 0.20 | 0.39 | 0.37 | 0.30 | 0.31 | 0.32 |
Net realized and unrealized gain (loss) on investments | 0.03 | (1.28) | 0.84 | (0.11) | 0.21 | (0.24) |
Total from investment operations | 0.23 | (0.89) | 1.21 | 0.19 | 0.52 | 0.08 |
Less distributions | ||||||
From net investment income | (0.23) | (0.44) | (0.47) | (0.21) | (0.31) | (0.34) |
From net realized gain | (0.07) | (0.54) | (0.08) | — | — | —3 |
Total distributions | (0.30) | (0.98) | (0.55) | (0.21) | (0.31) | (0.34) |
Net asset value, end of period | $8.58 | $8.65 | $10.52 | $9.86 | $9.88 | $9.67 |
Total return (%)4,5 | 2.736 | (9.20) | 12.67 | 1.96 | 5.52 | 0.80 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $5 | $4 | $5 | $5 | $5 | $5 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.987 | 0.95 | 1.00 | 1.598 | 3.888 | 2.288 |
Expenses including reductions | 0.887 | 0.89 | 0.89 | 0.908 | 0.628 | 0.628 |
Net investment income | 4.747 | 4.09 | 3.62 | 2.98 | 3.20 | 3.26 |
Portfolio turnover (%) | 28 | 55 | 79 | 42 | 29 | 50 |
1 | Six months ended 2-28-23. Unaudited. |
2 | Based on average daily shares outstanding. |
3 | Less than $0.005 per share. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Does not reflect the effect of sales charges, if any. |
6 | Not annualized. |
7 | Annualized. |
8 | Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the fund. |
32 | JOHN HANCOCK Multi-Asset High Income Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS C SHARES Period ended | 2-28-231 | 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 | $8.60 | $10.47 | $9.81 | $9.85 | $9.64 | $9.90 |
Net investment income2 | 0.17 | 0.32 | 0.29 | 0.23 | 0.24 | 0.25 |
Net realized and unrealized gain (loss) on investments | 0.03 | (1.28) | 0.84 | (0.11) | 0.21 | (0.24) |
Total from investment operations | 0.20 | (0.96) | 1.13 | 0.12 | 0.45 | 0.01 |
Less distributions | ||||||
From net investment income | (0.19) | (0.37) | (0.39) | (0.16) | (0.24) | (0.27) |
From net realized gain | (0.07) | (0.54) | (0.08) | — | — | —3 |
Total distributions | (0.26) | (0.91) | (0.47) | (0.16) | (0.24) | (0.27) |
Net asset value, end of period | $8.54 | $8.60 | $10.47 | $9.81 | $9.85 | $9.64 |
Total return (%)4,5 | 2.466 | (9.88) | 11.75 | 1.24 | 4.80 | 0.09 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $1 | $1 | $1 | $1 | $1 | $1 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.737 | 1.70 | 1.75 | 2.308 | 4.588 | 2.988 |
Expenses including reductions | 1.637 | 1.64 | 1.64 | 1.628 | 1.328 | 1.328 |
Net investment income | 3.967 | 3.35 | 2.87 | 2.27 | 2.51 | 2.54 |
Portfolio turnover (%) | 28 | 55 | 79 | 42 | 29 | 50 |
1 | Six months ended 2-28-23. Unaudited. |
2 | Based on average daily shares outstanding. |
3 | Less than $0.005 per share. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Does not reflect the effect of sales charges, if any. |
6 | Not annualized. |
7 | Annualized. |
8 | Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the fund. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Multi-Asset High Income Fund | 33 |
CLASS I SHARES Period ended | 2-28-231 | 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 | $8.66 | $10.54 | $9.88 | $9.89 | $9.67 | $9.93 |
Net investment income2 | 0.21 | 0.42 | 0.40 | 0.33 | 0.34 | 0.36 |
Net realized and unrealized gain (loss) on investments | 0.03 | (1.29) | 0.83 | (0.11) | 0.22 | (0.25) |
Total from investment operations | 0.24 | (0.87) | 1.23 | 0.22 | 0.56 | 0.11 |
Less distributions | ||||||
From net investment income | (0.24) | (0.47) | (0.49) | (0.23) | (0.34) | (0.37) |
From net realized gain | (0.07) | (0.54) | (0.08) | — | — | —3 |
Total distributions | (0.31) | (1.01) | (0.57) | (0.23) | (0.34) | (0.37) |
Net asset value, end of period | $8.59 | $8.66 | $10.54 | $9.88 | $9.89 | $9.67 |
Total return (%)4 | 2.875 | (8.96) | 12.83 | 2.28 | 5.94 | 1.11 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $—6 | $1 | $1 | $—6 | $—6 | $—6 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.737 | 0.70 | 0.75 | 1.308 | 3.608 | 1.988 |
Expenses including reductions | 0.637 | 0.64 | 0.64 | 0.628 | 0.348 | 0.328 |
Net investment income | 4.827 | 4.50 | 3.87 | 3.29 | 3.50 | 3.59 |
Portfolio turnover (%) | 28 | 55 | 79 | 42 | 29 | 50 |
1 | Six months ended 2-28-23. Unaudited. |
2 | Based on average daily shares outstanding. |
3 | Less than $0.005 per share. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Not annualized. |
6 | Less than $500,000. |
7 | Annualized. |
8 | Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the fund. |
34 | JOHN HANCOCK Multi-Asset High Income Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS R6 SHARES Period ended | 2-28-231 | 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 | $8.67 | $10.55 | $9.89 | $9.89 | $9.68 | $9.94 |
Net investment income2 | 0.21 | 0.43 | 0.41 | 0.35 | 0.34 | 0.37 |
Net realized and unrealized gain (loss) on investments | 0.03 | (1.29) | 0.84 | (0.11) | 0.22 | (0.25) |
Total from investment operations | 0.24 | (0.86) | 1.25 | 0.24 | 0.56 | 0.12 |
Less distributions | ||||||
From net investment income | (0.24) | (0.48) | (0.51) | (0.24) | (0.35) | (0.38) |
From net realized gain | (0.07) | (0.54) | (0.08) | — | — | —3 |
Total distributions | (0.31) | (1.02) | (0.59) | (0.24) | (0.35) | (0.38) |
Net asset value, end of period | $8.60 | $8.67 | $10.55 | $9.89 | $9.89 | $9.68 |
Total return (%)4 | 2.925 | (8.85) | 12.95 | 2.46 | 5.94 | 1.20 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $1 | $1 | $1 | $—6 | $—6 | $—6 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.637 | 0.60 | 0.65 | 1.198 | 3.488 | 1.888 |
Expenses including reductions | 0.537 | 0.53 | 0.53 | 0.508 | 0.228 | 0.228 |
Net investment income | 5.087 | 4.60 | 3.99 | 3.45 | 3.53 | 3.69 |
Portfolio turnover (%) | 28 | 55 | 79 | 42 | 29 | 50 |
1 | Six months ended 2-28-23. Unaudited. |
2 | Based on average daily shares outstanding. |
3 | Less than $0.005 per share. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Not annualized. |
6 | Less than $500,000. |
7 | Annualized. |
8 | Ratios do not include expenses indirectly incurred from underlying funds and can vary based on the mix of underlying funds held by the fund. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Multi-Asset High Income Fund | 35 |
CLASS NAV SHARES Period ended | 2-28-231 | 8-31-22 | 8-31-21 | 8-31-202 |
Per share operating performance | ||||
Net asset value, beginning of period | $9.12 | $11.04 | $10.32 | $10.00 |
Net investment income3 | 0.23 | 0.45 | 0.43 | 0.09 |
Net realized and unrealized gain (loss) on investments | 0.03 | (1.35) | 0.88 | 0.28 |
Total from investment operations | 0.26 | (0.90) | 1.31 | 0.37 |
Less distributions | ||||
From net investment income | (0.24) | (0.48) | (0.51) | (0.05) |
From net realized gain | (0.07) | (0.54) | (0.08) | — |
Total distributions | (0.31) | (1.02) | (0.59) | (0.05) |
Net asset value, end of period | $9.07 | $9.12 | $11.04 | $10.32 |
Total return (%)4 | 3.005 | (8.81) | 13.00 | 3.675 |
Ratios and supplemental data | ||||
Net assets, end of period (in millions) | $112 | $118 | $151 | $142 |
Ratios (as a percentage of average net assets): | ||||
Expenses before reductions | 0.626 | 0.59 | 0.64 | 1.176 |
Expenses including reductions | 0.526 | 0.52 | 0.52 | 0.496 |
Net investment income | 5.086 | 4.44 | 3.98 | 3.776 |
Portfolio turnover (%) | 28 | 55 | 79 | 427 |
1 | Six months ended 2-28-23. Unaudited. |
2 | The inception date for Class NAV shares is 6-4-20. |
3 | Based on average daily shares outstanding. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Not annualized. |
6 | Annualized. |
7 | The portfolio turnover is shown for the period from 9-1-19 to 8-31-20. |
36 | JOHN HANCOCK Multi-Asset High Income Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
SEMIANNUAL REPORT | JOHN HANCOCK Multi-Asset High Income Fund | 37 |
Total value at 2-28-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Investments in securities: | ||||
Assets | ||||
Foreign government obligations | $396,349 | — | $396,349 | — |
Corporate bonds | 66,712,430 | — | 66,712,430 | — |
Convertible bonds | 239,655 | — | 239,655 | — |
Capital preferred securities | 258,138 | — | 258,138 | — |
Term loans | 1,748,244 | — | 1,748,244 | — |
Collateralized mortgage obligations | 556,803 | — | 556,803 | — |
Asset backed securities | 1,745,814 | — | 1,745,814 | — |
Common stocks | 36,078,457 | $24,642,130 | 11,436,327 | — |
Preferred securities | 2,637,369 | 2,233,859 | 403,510 | — |
Exchange-traded funds | 374,654 | 374,654 | — | — |
Short-term investments | 7,041,837 | 4,569,196 | 2,472,641 | — |
Total investments in securities | $117,789,750 | $31,819,839 | $85,969,911 | — |
Derivatives: | ||||
Assets |
38 | JOHN HANCOCK Multi-Asset High Income Fund | SEMIANNUAL REPORT |
Total value at 2-28-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Forward foreign currency contracts | $20,093 | — | $20,093 | — |
Liabilities | ||||
Forward foreign currency contracts | (31,161) | — | (31,161) | — |
Written options | (127,753) | $(121,390) | (6,363) | — |
SEMIANNUAL REPORT | JOHN HANCOCK Multi-Asset High Income Fund | 39 |
40 | JOHN HANCOCK Multi-Asset High Income Fund | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK Multi-Asset High Income Fund | 41 |
42 | JOHN HANCOCK Multi-Asset High Income Fund | SEMIANNUAL REPORT |
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 | $20,093 | $(31,161) |
Equity | Written options, at value | Written options | — | (127,753) |
$20,093 | $(158,914) |
Statement of operations location - Net realized gain (loss) on: | |||
Risk | Forward foreign currency contracts | Written options | Total |
Currency | $(99,322) | — | $(99,322) |
Equity | — | $(110,176) | (110,176) |
Total | $(99,322) | $(110,176) | $(209,498) |
SEMIANNUAL REPORT | JOHN HANCOCK Multi-Asset High Income Fund | 43 |
Statement of operations location - Change in net unrealized appreciation (depreciation) of: | |||
Risk | Forward foreign currency contracts | Written options | Total |
Currency | $(17,474) | — | $(17,474) |
Equity | — | $96,582 | 96,582 |
Total | $(17,474) | $96,582 | $79,108 |
First $5.0 billion of net assets | Excess over $5.0 billion of net assets | |
Assets in a fund of the Trust or JHF III | 0.200% | 0.175% |
First $1.5 billion of net assets | Excess over $1.5 billion of net assets | |
Other assets | 0.420% | 0.410% |
44 | JOHN HANCOCK Multi-Asset High Income Fund | SEMIANNUAL REPORT |
Class | Expense reduction |
Class A | $2,047 |
Class C | 286 |
Class I | 219 |
Class | Expense reduction |
Class R6 | $463 |
Class NAV | 54,162 |
Total | $57,177 |
Class | Rule 12b-1 Fee |
Class A | 0.25% |
Class C | 1.00% |
SEMIANNUAL REPORT | JOHN HANCOCK Multi-Asset High Income Fund | 45 |
Class | Distribution and service fees | Transfer agent fees |
Class A | $5,263 | $2,356 |
Class C | 2,969 | 332 |
Class I | — | 254 |
Class R6 | — | 43 |
Total | $8,232 | $2,985 |
Six Months Ended 2-28-23 | Year Ended 8-31-22 | |||
Shares | Amount | Shares | Amount | |
Class A shares | ||||
Sold | 128,719 | $1,104,920 | 84,515 | $797,434 |
Distributions reinvested | 17,390 | 146,811 | 44,546 | 427,604 |
Repurchased | (51,895) | (448,291) | (101,284) | (946,473) |
Net increase | 94,214 | $803,440 | 27,777 | $278,565 |
Class C shares | ||||
Sold | 8,620 | $73,876 | 4,420 | $43,124 |
Distributions reinvested | 2,182 | 18,284 | 6,442 | 61,530 |
Repurchased | (21,501) | (184,992) | (6,834) | (69,055) |
Net increase (decrease) | (10,699) | $(92,832) | 4,028 | $35,599 |
46 | JOHN HANCOCK Multi-Asset High Income Fund | SEMIANNUAL REPORT |
Six Months Ended 2-28-23 | Year Ended 8-31-22 | |||
Shares | Amount | Shares | Amount | |
Class I shares | ||||
Sold | 1,011 | $8,310 | 99,588 | $908,217 |
Distributions reinvested | 1,948 | 16,429 | 6,523 | 61,703 |
Repurchased | (78,654) | (681,456) | (38,443) | (349,159) |
Net increase (decrease) | (75,695) | $(656,717) | 67,668 | $620,761 |
Class R6 shares | ||||
Sold | — | — | 61,171 | $580,751 |
Distributions reinvested | 4,171 | $35,273 | 7,568 | 71,967 |
Repurchased | (8,822) | (75,870) | (11,444) | (113,071) |
Net increase (decrease) | (4,651) | $(40,597) | 57,295 | $539,647 |
Class NAV shares | ||||
Sold | 33,230 | $301,909 | 180,242 | $1,715,000 |
Distributions reinvested | 441,717 | 3,931,639 | 1,354,715 | 13,698,738 |
Repurchased | (1,073,213) | (9,659,755) | (2,266,769) | (22,378,039) |
Net decrease | (598,266) | $(5,426,207) | (731,812) | $(6,964,301) |
Total net decrease | (595,097) | $(5,412,913) | (575,044) | $(5,489,729) |
Fund | Affiliated Concentration |
John Hancock Funds II Multimanager Lifestyle Balanced Portfolio | 33.4% |
John Hancock Funds II Multimanager Lifestyle Conservative Portfolio | 31.5% |
John Hancock Funds II Multimanager Lifestyle Moderate Portfolio | 29.6% |
SEMIANNUAL REPORT | JOHN HANCOCK Multi-Asset High Income Fund | 47 |
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* | 457,125 | $4,934,448 | $27,513,212 | $(27,879,050) | $183 | $403 | $85,175 | — | $4,569,196 |
* | Refer to the Securities lending note within Note 2 for details regarding this investment. |
48 | JOHN HANCOCK Multi-Asset High Income Fund | SEMIANNUAL REPORT |
Total votes for the nominee | Total votes withheld from the nominee | |
Independent Trustees | ||
James R. Boyle | 4,554,825,588.937 | 109,369,198.953 |
Noni L. Ellison | 4,545,310,789.674 | 118,883,998.216 |
Dean C. Garfield | 4,542,518,756.422 | 121,676,031.468 |
Patricia Lizarraga | 4,547,597,042.403 | 116,597,745.487 |
Frances G. Rathke | 4,553,474,902.143 | 110,719,885.747 |
Non-Independent Trustees | ||
Andrew G. Arnott | 4,548,263,383.010 | 115,931,404.880 |
Marianne Harrison | 4,552,282,391.834 | 111,912,396.056 |
Paul Lorentz | 4,546,227,532.263 | 117,967,255.627 |
Shares voted | % Of shares voted | % Of outstanding shares | |
For | 4,061,202,897.967 | 87.072% | 64.635% |
Against | 75,620,339.593 | 1.622% | 1.203% |
Abstain/Withheld | 92,916,059.460 | 1.992% | 1.478% |
Broker Non-Vote | 434,455,490.870 | 9.314% | 6.914% |
SEMIANNUAL REPORT | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | 49 |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
James R. Boyle
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
Geoffrey Kelley, CFA
Caryn E. Rothman, CFA
Nathan W. Thooft, CFA
Christopher Walsh, CFA
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 |
50 | JOHN HANCOCK MULTI-ASSET HIGH INCOME FUND | SEMIANNUAL REPORT |
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
MF2780183 | 448SA 2/23 |
Manulife Investment Management
John Hancock Investment Management
Head of Wealth and Asset Management,
United States and Europe
SEMIANNUAL REPORT | JOHN HANCOCK NEW OPPORTUNITIES FUND | 1 |
2 | JOHN HANCOCK NEW OPPORTUNITIES FUND | SEMIANNUAL REPORT |
TOP 10 HOLDINGS AS OF 2/28/2023 (% of net assets) | |
Atkore, Inc. | 3.1 |
Novanta, Inc. | 2.4 |
Fox Factory Holding Corp. | 2.3 |
Grand Canyon Education, Inc. | 2.0 |
SiteOne Landscape Supply, Inc. | 2.0 |
Matador Resources Company | 2.0 |
RBC Bearings, Inc. | 1.9 |
Hexcel Corp. | 1.9 |
Silicon Laboratories, Inc. | 1.9 |
The Shyft Group, Inc. | 1.8 |
TOTAL | 21.3 |
Cash and cash equivalents are not included. |
SEMIANNUAL REPORT | JOHN HANCOCK NEW OPPORTUNITIES FUND | 3 |
4 | JOHN HANCOCK NEW OPPORTUNITIES FUND | SEMIANNUAL REPORT |
Account value on 9-1-2022 | Ending value on 2-28-2023 | Expenses paid during period ended 2-28-20231 | Annualized expense ratio | ||
Class A | Actual expenses/actual returns | $1,000.00 | $1,086.30 | $6.26 | 1.21% |
Hypothetical example | 1,000.00 | 1,018.80 | 6.06 | 1.21% | |
Class C | Actual expenses/actual returns | 1,000.00 | 1,081.90 | 10.12 | 1.96% |
Hypothetical example | 1,000.00 | 1,015.10 | 9.79 | 1.96% | |
Class I | Actual expenses/actual returns | 1,000.00 | 1,087.40 | 4.97 | 0.96% |
Hypothetical example | 1,000.00 | 1,020.00 | 4.81 | 0.96% | |
Class R2 | Actual expenses/actual returns | 1,000.00 | 1,086.20 | 6.62 | 1.28% |
Hypothetical example | 1,000.00 | 1,018.40 | 6.41 | 1.28% | |
Class R4 | Actual expenses/actual returns | 1,000.00 | 1,087.20 | 5.38 | 1.04% |
Hypothetical example | 1,000.00 | 1,019.60 | 5.21 | 1.04% | |
Class R6 | Actual expenses/actual returns | 1,000.00 | 1,088.40 | 4.45 | 0.86% |
Hypothetical example | 1,000.00 | 1,020.50 | 4.31 | 0.86% | |
Class 1 | Actual expenses/actual returns | 1,000.00 | 1,088.00 | 4.66 | 0.90% |
Hypothetical example | 1,000.00 | 1,020.30 | 4.51 | 0.90% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
SEMIANNUAL REPORT | JOHN HANCOCK NEW OPPORTUNITIES FUND | 5 |
Shares | Value | ||||
Common stocks 96.9% | $297,600,175 | ||||
(Cost $239,889,555) | |||||
Consumer discretionary 13.9% | 42,710,119 | ||||
Auto components 3.1% | |||||
Dorman Products, Inc. (A) | 26,052 | 2,423,618 | |||
Fox Factory Holding Corp. (A) | 59,921 | 7,040,718 | |||
Diversified consumer services 2.0% | |||||
Grand Canyon Education, Inc. (A) | 55,644 | 6,303,909 | |||
Hotels, restaurants and leisure 4.1% | |||||
Churchill Downs, Inc. | 22,419 | 5,510,142 | |||
Chuy’s Holdings, Inc. (A) | 127,508 | 4,558,411 | |||
Krispy Kreme, Inc. | 190,735 | 2,481,462 | |||
Household durables 1.0% | |||||
TopBuild Corp. (A) | 15,107 | 3,136,062 | |||
Internet and direct marketing retail 1.2% | |||||
Revolve Group, Inc. (A) | 135,850 | 3,678,818 | |||
Specialty retail 1.4% | |||||
Lithia Motors, Inc. | 16,337 | 4,168,876 | |||
Textiles, apparel and luxury goods 1.1% | |||||
Oxford Industries, Inc. | 28,978 | 3,408,103 | |||
Consumer staples 0.5% | 1,604,397 | ||||
Food and staples retailing 0.5% | |||||
PriceSmart, Inc. | 23,012 | 1,604,397 | |||
Energy 6.1% | 18,740,887 | ||||
Energy equipment and services 1.5% | |||||
ChampionX Corp. | 149,663 | 4,575,198 | |||
Oil, gas and consumable fuels 4.6% | |||||
Earthstone Energy, Inc., Class A (A) | 287,922 | 4,016,512 | |||
Magnolia Oil & Gas Corp., Class A | 185,573 | 4,054,770 | |||
Matador Resources Company | 113,300 | 6,094,407 | |||
Financials 7.0% | 21,345,597 | ||||
Banks 3.4% | |||||
Ameris Bancorp | 82,173 | 3,933,622 | |||
Atlantic Union Bankshares Corp. | 60,416 | 2,263,183 | |||
Pinnacle Financial Partners, Inc. | 56,199 | 4,163,784 | |||
Capital markets 3.6% | |||||
Houlihan Lokey, Inc. | 47,505 | 4,546,229 | |||
PJT Partners, Inc., Class A | 43,590 | 3,438,379 | |||
Stifel Financial Corp. | 44,896 | 3,000,400 |
6 | JOHN HANCOCK NEW OPPORTUNITIES FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Shares | Value | ||||
Health care 24.7% | $75,959,959 | ||||
Biotechnology 9.2% | |||||
Arcutis Biotherapeutics, Inc. (A) | 189,131 | 3,060,140 | |||
BioCryst Pharmaceuticals, Inc. (A) | 397,758 | 3,520,158 | |||
Crinetics Pharmaceuticals, Inc. (A) | 157,100 | 3,085,444 | |||
Halozyme Therapeutics, Inc. (A) | 88,604 | 4,252,106 | |||
Insmed, Inc. (A) | 158,427 | 3,228,742 | |||
Oyster Point Pharma, Inc. (A)(B) | 177,931 | 30,248 | |||
Travere Therapeutics, Inc. (A) | 156,376 | 3,465,292 | |||
Veracyte, Inc. (A) | 104,331 | 2,567,586 | |||
Vericel Corp. (A) | 161,550 | 4,912,736 | |||
Health care equipment and supplies 5.1% | |||||
Artivion, Inc. (A) | 123,837 | 1,639,602 | |||
AtriCure, Inc. (A) | 72,629 | 2,796,217 | |||
Cardiovascular Systems, Inc. (A) | 94,076 | 1,854,238 | |||
Globus Medical, Inc., Class A (A) | 61,605 | 3,594,036 | |||
ICU Medical, Inc. (A) | 14,566 | 2,485,542 | |||
Integra LifeSciences Holdings Corp. (A) | 61,344 | 3,411,953 | |||
Health care providers and services 3.8% | |||||
Acadia Healthcare Company, Inc. (A) | 49,799 | 3,610,925 | |||
Castle Biosciences, Inc. (A) | 60,244 | 1,516,944 | |||
HealthEquity, Inc. (A) | 61,537 | 4,010,366 | |||
US Physical Therapy, Inc. | 25,772 | 2,611,477 | |||
Life sciences tools and services 3.6% | |||||
Azenta, Inc. (A) | 104,442 | 4,583,959 | |||
CryoPort, Inc. (A) | 103,603 | 2,244,041 | |||
Medpace Holdings, Inc. (A) | 22,439 | 4,350,473 | |||
Pharmaceuticals 3.0% | |||||
Intra-Cellular Therapies, Inc. (A) | 80,259 | 3,935,099 | |||
Phathom Pharmaceuticals, Inc. (A) | 176,685 | 1,512,424 | |||
Supernus Pharmaceuticals, Inc. (A) | 97,904 | 3,680,211 | |||
Industrials 19.5% | 59,993,282 | ||||
Aerospace and defense 1.9% | |||||
Hexcel Corp. | 79,850 | 5,825,058 | |||
Building products 1.3% | |||||
Gibraltar Industries, Inc. (A) | 74,012 | 3,952,981 | |||
Electrical equipment 3.1% | |||||
Atkore, Inc. (A) | 64,435 | 9,408,716 | |||
Machinery 7.7% | |||||
Alamo Group, Inc. | 25,616 | 4,672,102 | |||
Helios Technologies, Inc. | 48,718 | 3,300,157 | |||
RBC Bearings, Inc. (A) | 25,632 | 5,890,490 | |||
SPX Technologies, Inc. (A) | 59,900 | 4,219,356 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK NEW OPPORTUNITIES FUND | 7 |
Shares | Value | ||||
Industrials (continued) | |||||
Machinery (continued) | |||||
The Shyft Group, Inc. | 217,195 | $5,631,866 | |||
Professional services 3.5% | |||||
CACI International, Inc., Class A (A) | 12,440 | 3,644,920 | |||
Exponent, Inc. | 51,317 | 5,280,519 | |||
Forrester Research, Inc. (A) | 58,514 | 1,924,525 | |||
Trading companies and distributors 2.0% | |||||
SiteOne Landscape Supply, Inc. (A) | 42,083 | 6,242,592 | |||
Information technology 18.8% | 57,598,124 | ||||
Communications equipment 1.2% | |||||
Viavi Solutions, Inc. (A) | 333,607 | 3,649,661 | |||
Electronic equipment, instruments and components 2.4% | |||||
Novanta, Inc. (A) | 46,155 | 7,242,181 | |||
IT services 2.8% | |||||
Flywire Corp. (A) | 221,313 | 5,473,070 | |||
Thoughtworks Holding, Inc. (A) | 447,825 | 3,295,992 | |||
Semiconductors and semiconductor equipment 6.1% | |||||
Allegro MicroSystems, Inc. (A) | 93,200 | 4,070,976 | |||
MACOM Technology Solutions Holdings, Inc. (A) | 53,483 | 3,665,725 | |||
Power Integrations, Inc. | 62,297 | 5,123,928 | |||
Silicon Laboratories, Inc. (A) | 32,342 | 5,774,017 | |||
Software 6.3% | |||||
Appfolio, Inc., Class A (A) | 23,888 | 3,154,649 | |||
CyberArk Software, Ltd. (A) | 35,600 | 5,153,812 | |||
Paycor HCM, Inc. (A) | 173,409 | 4,295,341 | |||
Rapid7, Inc. (A) | 44,906 | 2,124,054 | |||
The Descartes Systems Group, Inc. (A) | 62,089 | 4,574,718 | |||
Materials 3.9% | 11,944,824 | ||||
Chemicals 3.9% | |||||
Avient Corp. | 124,020 | 5,410,993 | |||
Balchem Corp. | 30,747 | 3,997,110 | |||
Quaker Chemical Corp. | 12,957 | 2,536,721 | |||
Metals and mining 0.0% | |||||
Ferroglobe PLC (A)(B) | 11,041 | 0 | |||
Real estate 2.5% | 7,702,986 | ||||
Equity real estate investment trusts 2.5% | |||||
Ryman Hospitality Properties, Inc. | 41,590 | 3,858,304 | |||
STAG Industrial, Inc. | 114,289 | 3,844,682 | |||
8 | JOHN HANCOCK NEW OPPORTUNITIES FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Yield (%) | Shares | Value | |||
Short-term investments 1.3% | $3,870,070 | ||||
(Cost $3,870,070) | |||||
Short-term funds 1.3% | 3,870,070 | ||||
State Street Institutional Treasury Money Market Fund, Premier Class | 4.4102(C) | 3,870,070 | 3,870,070 |
Total investments (Cost $243,759,625) 98.2% | $301,470,245 | ||||
Other assets and liabilities, net 1.8% | 5,490,338 | ||||
Total net assets 100.0% | $306,960,583 |
The percentage shown for each investment category is the total value of the category as a percentage of the net assets of the fund. | |
Security Abbreviations and Legend | |
(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) | The rate shown is the annualized seven-day yield as of 2-28-23. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK NEW OPPORTUNITIES FUND | 9 |
Assets | |
Unaffiliated investments, at value (Cost $243,759,625) | $301,470,245 |
Dividends and interest receivable | 109,859 |
Receivable for fund shares sold | 57,574 |
Receivable for investments sold | 6,968,940 |
Receivable from affiliates | 9 |
Other assets | 44,954 |
Total assets | 308,651,581 |
Liabilities | |
Due to custodian | 87 |
Payable for investments purchased | 1,469,368 |
Payable for fund shares repurchased | 77,191 |
Payable to affiliates | |
Accounting and legal services fees | 25,474 |
Transfer agent fees | 25,127 |
Distribution and service fees | 34 |
Trustees’ fees | 135 |
Other liabilities and accrued expenses | 93,582 |
Total liabilities | 1,690,998 |
Net assets | $306,960,583 |
Net assets consist of | |
Paid-in capital | $241,396,512 |
Total distributable earnings (loss) | 65,564,071 |
Net assets | $306,960,583 |
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 ($265,274,632 ÷ 10,891,377 shares)1 | $24.36 |
Class C ($1,857,765 ÷ 82,233 shares)1 | $22.59 |
Class I ($14,368,371 ÷ 582,393 shares) | $24.67 |
Class R2 ($247,969 ÷ 10,173 shares) | $24.38 |
Class R4 ($61,173 ÷ 2,487 shares) | $24.60 |
Class R6 ($312,986 ÷ 12,632 shares) | $24.78 |
Class 1 ($24,837,687 ÷ 993,690 shares) | $25.00 |
Maximum offering price per share | |
Class A (net asset value per share ÷ 95%)2 | $25.64 |
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. |
10 | JOHN HANCOCK New Opportunities Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Investment income | |
Dividends | $669,424 |
Interest | 106,511 |
Total investment income | 775,935 |
Expenses | |
Investment management fees | 1,064,548 |
Distribution and service fees | 332,061 |
Accounting and legal services fees | 28,067 |
Transfer agent fees | 149,400 |
Trustees’ fees | 3,502 |
Custodian fees | 21,299 |
State registration fees | 51,868 |
Printing and postage | 23,397 |
Professional fees | 45,092 |
Other | 14,698 |
Total expenses | 1,733,932 |
Less expense reductions | (10,398) |
Net expenses | 1,723,534 |
Net investment loss | (947,599) |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on | |
Unaffiliated investments | 20,858,933 |
20,858,933 | |
Change in net unrealized appreciation (depreciation) of | |
Unaffiliated investments | 4,501,964 |
4,501,964 | |
Net realized and unrealized gain | 25,360,897 |
Increase in net assets from operations | $24,413,298 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK New Opportunities Fund | 11 |
Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | |
Increase (decrease) in net assets | ||
From operations | ||
Net investment loss | $(947,599) | $(2,576,020) |
Net realized gain | 20,858,933 | 24,967,735 |
Change in net unrealized appreciation (depreciation) | 4,501,964 | (101,736,167) |
Increase (decrease) in net assets resulting from operations | 24,413,298 | (79,344,452) |
Distributions to shareholders | ||
From earnings | ||
Class A | (22,532,438) | (26,558,227) |
Class C | (168,683) | (240,162) |
Class I | (1,061,240) | (1,278,122) |
Class R2 | (20,339) | (18,904) |
Class R4 | (5,372) | (6,272) |
Class R6 | (29,443) | (30,910) |
Class 1 | (2,029,166) | (2,585,554) |
Total distributions | (25,846,681) | (30,718,151) |
From fund share transactions | 13,256,510 | (7,850,198) |
Total increase (decrease) | 11,823,127 | (117,912,801) |
Net assets | ||
Beginning of period | 295,137,456 | 413,050,257 |
End of period | $306,960,583 | $295,137,456 |
12 | JOHN HANCOCK New Opportunities Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS A SHARES Period ended | 2-28-231 | 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 | $24.71 | $33.80 | $25.18 | $22.20 | $31.99 | $27.28 |
Net investment income (loss)2 | (0.08) | (0.22) | (0.24) | (0.16) | 0.02 | 0.01 |
Net realized and unrealized gain (loss) on investments | 1.96 | (6.24) | 9.69 | 3.92 | (5.49) | 6.75 |
Total from investment operations | 1.88 | (6.46) | 9.45 | 3.76 | (5.47) | 6.76 |
Less distributions | ||||||
From net investment income | — | — | — | — | (0.01) | (0.03) |
From net realized gain | (2.23) | (2.63) | (0.83) | (0.78) | (4.31) | (2.02) |
Total distributions | (2.23) | (2.63) | (0.83) | (0.78) | (4.32) | (2.05) |
Net asset value, end of period | $24.36 | $24.71 | $33.80 | $25.18 | $22.20 | $31.99 |
Total return (%)3,4 | 8.635 | (20.40) | 38.04 | 17.20 | (15.32) | 25.66 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $265 | $257 | $347 | $272 | $264 | $352 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.226 | 1.20 | 1.20 | 1.26 | 1.42 | 1.40 |
Expenses including reductions | 1.216 | 1.19 | 1.19 | 1.22 | 1.20 | 1.20 |
Net investment income (loss) | (0.68)6 | (0.78) | (0.81) | (0.72) | 0.08 | 0.02 |
Portfolio turnover (%) | 16 | 23 | 28 | 25 | 73 | 52 |
1 | Six months ended 2-28-23. Unaudited. |
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 | Annualized. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK New Opportunities Fund | 13 |
CLASS C SHARES Period ended | 2-28-231 | 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 | $23.17 | $32.09 | $24.12 | $21.45 | $31.27 | $26.86 |
Net investment loss2 | (0.16) | (0.41) | (0.44) | (0.31) | (0.15) | (0.19) |
Net realized and unrealized gain (loss) on investments | 1.81 | (5.88) | 9.24 | 3.76 | (5.36) | 6.62 |
Total from investment operations | 1.65 | (6.29) | 8.80 | 3.45 | (5.51) | 6.43 |
Less distributions | ||||||
From net realized gain | (2.23) | (2.63) | (0.83) | (0.78) | (4.31) | (2.02) |
Net asset value, end of period | $22.59 | $23.17 | $32.09 | $24.12 | $21.45 | $31.27 |
Total return (%)3,4 | 8.195 | (21.00) | 37.00 | 16.33 | (15.90) | 24.76 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $2 | $2 | $3 | $4 | $4 | $9 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.976 | 1.95 | 1.95 | 2.01 | 2.13 | 2.10 |
Expenses including reductions | 1.966 | 1.94 | 1.94 | 1.97 | 1.91 | 1.90 |
Net investment loss | (1.43)6 | (1.53) | (1.56) | (1.47) | (0.63) | (0.68) |
Portfolio turnover (%) | 16 | 23 | 28 | 25 | 73 | 52 |
1 | Six months ended 2-28-23. Unaudited. |
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 | Annualized. |
14 | JOHN HANCOCK New Opportunities Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS I SHARES Period ended | 2-28-231 | 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 | $24.97 | $34.05 | $25.29 | $22.24 | $32.07 | $27.33 |
Net investment income (loss)2 | (0.05) | (0.15) | (0.18) | (0.10) | 0.09 | 0.09 |
Net realized and unrealized gain (loss) on investments | 1.98 | (6.30) | 9.77 | 3.93 | (5.51) | 6.78 |
Total from investment operations | 1.93 | (6.45) | 9.59 | 3.83 | (5.42) | 6.87 |
Less distributions | ||||||
From net investment income | — | — | — | — | (0.10) | (0.11) |
From net realized gain | (2.23) | (2.63) | (0.83) | (0.78) | (4.31) | (2.02) |
Total distributions | (2.23) | (2.63) | (0.83) | (0.78) | (4.41) | (2.13) |
Net asset value, end of period | $24.67 | $24.97 | $34.05 | $25.29 | $22.24 | $32.07 |
Total return (%)3 | 8.744 | (20.21) | 38.44 | 17.49 | (15.08) | 26.06 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $14 | $12 | $25 | $10 | $10 | $15 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.975 | 0.95 | 0.95 | 1.01 | 1.14 | 1.11 |
Expenses including reductions | 0.965 | 0.94 | 0.94 | 0.97 | 0.90 | 0.90 |
Net investment income (loss) | (0.43)5 | (0.52) | (0.57) | (0.46) | 0.38 | 0.32 |
Portfolio turnover (%) | 16 | 23 | 28 | 25 | 73 | 52 |
1 | Six months ended 2-28-23. Unaudited. |
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. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK New Opportunities Fund | 15 |
CLASS R2 SHARES Period ended | 2-28-231 | 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 | $24.74 | $33.85 | $25.21 | $22.22 | $32.02 | $27.30 |
Net investment income (loss)2 | (0.09) | (0.23) | (0.26) | (0.15) | 0.04 | 0.04 |
Net realized and unrealized gain (loss) on investments | 1.96 | (6.25) | 9.73 | 3.92 | (5.49) | 6.76 |
Total from investment operations | 1.87 | (6.48) | 9.47 | 3.77 | (5.45) | 6.80 |
Less distributions | ||||||
From net investment income | — | — | — | — | (0.04) | (0.06) |
From net realized gain | (2.23) | (2.63) | (0.83) | (0.78) | (4.31) | (2.02) |
Total distributions | (2.23) | (2.63) | (0.83) | (0.78) | (4.35) | (2.08) |
Net asset value, end of period | $24.38 | $24.74 | $33.85 | $25.21 | $22.22 | $32.02 |
Total return (%)3 | 8.624 | (20.44) | 38.03 | 17.23 | (15.23) | 25.78 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $—5 | $—5 | $—5 | $—5 | $—5 | $—5 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.286 | 1.24 | 1.22 | 1.22 | 1.33 | 1.29 |
Expenses including reductions | 1.286 | 1.23 | 1.21 | 1.18 | 1.11 | 1.09 |
Net investment income (loss) | (0.74)6 | (0.81) | (0.84) | (0.67) | 0.18 | 0.14 |
Portfolio turnover (%) | 16 | 23 | 28 | 25 | 73 | 52 |
1 | Six months ended 2-28-23. Unaudited. |
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. |
16 | JOHN HANCOCK New Opportunities Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS R4 SHARES Period ended | 2-28-231 | 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 | $24.91 | $34.00 | $25.27 | $22.23 | $32.05 | $27.34 |
Net investment income (loss)2 | (0.06) | (0.17) | (0.19) | (0.11) | 0.08 | 0.08 |
Net realized and unrealized gain (loss) on investments | 1.98 | (6.29) | 9.75 | 3.93 | (5.51) | 6.75 |
Total from investment operations | 1.92 | (6.46) | 9.56 | 3.82 | (5.43) | 6.83 |
Less distributions | ||||||
From net investment income | — | — | — | — | (0.08) | (0.10) |
From net realized gain | (2.23) | (2.63) | (0.83) | (0.78) | (4.31) | (2.02) |
Total distributions | (2.23) | (2.63) | (0.83) | (0.78) | (4.39) | (2.12) |
Net asset value, end of period | $24.60 | $24.91 | $34.00 | $25.27 | $22.23 | $32.05 |
Total return (%)3 | 8.724 | (20.28) | 38.35 | 17.45 | (15.11) | 25.92 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $—5 | $—5 | $—5 | $—5 | $—5 | $—5 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.156 | 1.12 | 1.10 | 1.15 | 1.28 | 1.35 |
Expenses including reductions | 1.046 | 1.01 | 1.00 | 1.01 | 0.96 | 0.96 |
Net investment income (loss) | (0.51)6 | (0.60) | (0.63) | (0.51) | 0.33 | 0.27 |
Portfolio turnover (%) | 16 | 23 | 28 | 25 | 73 | 52 |
1 | Six months ended 2-28-23. Unaudited. |
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. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK New Opportunities Fund | 17 |
CLASS R6 SHARES Period ended | 2-28-231 | 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 | $25.06 | $34.12 | $25.32 | $22.24 | $32.07 | $27.34 |
Net investment income (loss)2 | (0.04) | (0.12) | (0.14) | (0.08) | 0.11 | 0.12 |
Net realized and unrealized gain (loss) on investments | 1.99 | (6.31) | 9.77 | 3.94 | (5.51) | 6.77 |
Total from investment operations | 1.95 | (6.43) | 9.63 | 3.86 | (5.40) | 6.89 |
Less distributions | ||||||
From net investment income | — | — | — | — | (0.12) | (0.14) |
From net realized gain | (2.23) | (2.63) | (0.83) | (0.78) | (4.31) | (2.02) |
Total distributions | (2.23) | (2.63) | (0.83) | (0.78) | (4.43) | (2.16) |
Net asset value, end of period | $24.78 | $25.06 | $34.12 | $25.32 | $22.24 | $32.07 |
Total return (%)3 | 8.844 | (20.14) | 38.55 | 17.62 | (14.99) | 26.16 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $—5 | $—5 | $—5 | $—5 | $—5 | $2 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.876 | 0.84 | 0.84 | 0.90 | 1.03 | 1.00 |
Expenses including reductions | 0.866 | 0.83 | 0.83 | 0.86 | 0.81 | 0.80 |
Net investment income (loss) | (0.33)6 | (0.42) | (0.46) | (0.36) | 0.45 | 0.42 |
Portfolio turnover (%) | 16 | 23 | 28 | 25 | 73 | 52 |
1 | Six months ended 2-28-23. Unaudited. |
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. |
18 | JOHN HANCOCK New Opportunities Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS 1 SHARES Period ended | 2-28-231 | 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 | $25.26 | $34.39 | $25.53 | $22.42 | $32.29 | $27.51 |
Net investment income (loss)2 | (0.05) | (0.14) | (0.15) | (0.09) | 0.11 | 0.11 |
Net realized and unrealized gain (loss) on investments | 2.02 | (6.36) | 9.84 | 3.98 | (5.56) | 6.82 |
Total from investment operations | 1.97 | (6.50) | 9.69 | 3.89 | (5.45) | 6.93 |
Less distributions | ||||||
From net investment income | — | — | — | — | (0.11) | (0.13) |
From net realized gain | (2.23) | (2.63) | (0.83) | (0.78) | (4.31) | (2.02) |
Total distributions | (2.23) | (2.63) | (0.83) | (0.78) | (4.42) | (2.15) |
Net asset value, end of period | $25.00 | $25.26 | $34.39 | $25.53 | $22.42 | $32.29 |
Total return (%)3 | 8.804 | (20.16) | 38.47 | 17.62 | (15.04) | 26.10 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $25 | $24 | $37 | $33 | $42 | $59 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.915 | 0.88 | 0.88 | 0.94 | 1.06 | 1.04 |
Expenses including reductions | 0.905 | 0.87 | 0.87 | 0.90 | 0.84 | 0.84 |
Net investment income (loss) | (0.37)5 | (0.46) | (0.50) | (0.39) | 0.44 | 0.38 |
Portfolio turnover (%) | 16 | 23 | 28 | 25 | 73 | 52 |
1 | Six months ended 2-28-23. Unaudited. |
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. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK New Opportunities Fund | 19 |
20 | JOHN HANCOCK New Opportunities Fund | SEMIANNUAL REPORT |
Total value at 2-28-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Consumer discretionary | $42,710,119 | $42,710,119 | — | — |
Consumer staples | 1,604,397 | 1,604,397 | — | — |
Energy | 18,740,887 | 18,740,887 | — | — |
Financials | 21,345,597 | 21,345,597 | — | — |
Health care | 75,959,959 | 75,929,711 | — | $30,248 |
Industrials | 59,993,282 | 59,993,282 | — | — |
Information technology | 57,598,124 | 57,598,124 | — | — |
Materials | 11,944,824 | 11,944,824 | — | — |
Real estate | 7,702,986 | 7,702,986 | — | — |
Short-term investments | 3,870,070 | 3,870,070 | — | — |
Total investments in securities | $301,470,245 | $301,439,997 | — | $30,248 |
Level 3 includes securities valued at $0. Refer to Fund’s investments. |
SEMIANNUAL REPORT | JOHN HANCOCK New Opportunities Fund | 21 |
22 | JOHN HANCOCK New Opportunities Fund | SEMIANNUAL REPORT |
Class | Expense reduction |
Class A | $9,007 |
Class C | 64 |
Class I | 443 |
Class R2 | 8 |
Class | Expense reduction |
Class R4 | $2 |
Class R6 | 12 |
Class 1 | 833 |
Total | $10,369 |
SEMIANNUAL REPORT | JOHN HANCOCK New Opportunities Fund | 23 |
Class | Rule 12b-1 Fee | Service fee |
Class A | 0.25% | — |
Class C | 1.00% | — |
Class R2 | 0.25% | 0.25% |
Class R4 | 0.25% | 0.10% |
Class 1 | 0.05% | — |
Class | Distribution and service fees | Transfer agent fees |
Class A | $316,582 | $141,423 |
Class C | 9,070 | 1,011 |
Class I | — | 6,939 |
24 | JOHN HANCOCK New Opportunities Fund | SEMIANNUAL REPORT |
Class | Distribution and service fees | Transfer agent fees |
Class R2 | $469 | $10 |
Class R4 | 83 | 3 |
Class R6 | — | 14 |
Class 1 | 5,857 | — |
Total | $332,061 | $149,400 |
Six Months Ended 2-28-23 | Year Ended 8-31-22 | |||
Shares | Amount | Shares | Amount | |
Class A shares | ||||
Sold | 64,812 | $1,573,019 | 188,661 | $5,417,191 |
Distributions reinvested | 977,357 | 21,374,808 | 848,537 | 25,142,153 |
Repurchased | (541,265) | (13,049,379) | (911,924) | (25,997,518) |
Net increase | 500,904 | $9,898,448 | 125,274 | $4,561,826 |
Class C shares | ||||
Sold | 2,289 | $50,932 | 6,137 | $167,532 |
Distributions reinvested | 8,305 | 168,683 | 8,599 | 240,162 |
Repurchased | (12,780) | (287,198) | (27,868) | (735,839) |
Net decrease | (2,186) | $(67,583) | (13,132) | $(328,145) |
Class I shares | ||||
Sold | 133,271 | $3,175,169 | 67,940 | $2,031,379 |
Distributions reinvested | 46,804 | 1,036,235 | 41,745 | 1,247,762 |
Repurchased | (75,908) | (1,829,451) | (357,019) | (11,172,293) |
Net increase (decrease) | 104,167 | $2,381,953 | (247,334) | $(7,893,152) |
Class R2 shares | ||||
Sold | 847 | $20,724 | 1,554 | $41,407 |
Distributions reinvested | 592 | 12,956 | 343 | 10,189 |
Repurchased | (243) | (5,845) | (65) | (1,854) |
Net increase | 1,196 | $27,835 | 1,832 | $49,742 |
Class R4 shares | ||||
Distributions reinvested | 76 | $1,677 | 64 | $1,912 |
Repurchased | — | — | (38) | (1,096) |
Net increase | 76 | $1,677 | 26 | $816 |
SEMIANNUAL REPORT | JOHN HANCOCK New Opportunities Fund | 25 |
Six Months Ended 2-28-23 | Year Ended 8-31-22 | |||
Shares | Amount | Shares | Amount | |
Class R6 shares | ||||
Sold | 889 | $21,189 | 1,486 | $44,754 |
Distributions reinvested | 1,324 | 29,443 | 1,031 | 30,910 |
Repurchased | (2,749) | (65,511) | (2,016) | (64,840) |
Net increase (decrease) | (536) | $(14,879) | 501 | $10,824 |
Class 1 shares | ||||
Sold | 66,475 | $1,680,845 | 71,173 | $2,160,985 |
Distributions reinvested | 90,467 | 2,029,166 | 85,529 | 2,585,554 |
Repurchased | (108,206) | (2,680,952) | (301,917) | (8,998,648) |
Net increase (decrease) | 48,736 | $1,029,059 | (145,215) | $(4,252,109) |
Total net increase (decrease) | 652,357 | $13,256,510 | (278,048) | $(7,850,198) |
26 | JOHN HANCOCK New Opportunities Fund | SEMIANNUAL REPORT |
Total votes for the nominee | Total votes withheld from the nominee | |
Independent Trustees | ||
James R. Boyle | 4,554,825,588.937 | 109,369,198.953 |
Noni L. Ellison | 4,545,310,789.674 | 118,883,998.216 |
Dean C. Garfield | 4,542,518,756.422 | 121,676,031.468 |
Patricia Lizarraga | 4,547,597,042.403 | 116,597,745.487 |
Frances G. Rathke | 4,553,474,902.143 | 110,719,885.747 |
Non-Independent Trustees | ||
Andrew G. Arnott | 4,548,263,383.010 | 115,931,404.880 |
Marianne Harrison | 4,552,282,391.834 | 111,912,396.056 |
Paul Lorentz | 4,546,227,532.263 | 117,967,255.627 |
Shares voted | % Of shares voted | % Of outstanding shares | |
For | 4,061,202,897.967 | 87.072% | 64.635% |
Against | 75,620,339.593 | 1.622% | 1.203% |
Abstain/Withheld | 92,916,059.460 | 1.992% | 1.478% |
Broker Non-Vote | 434,455,490.870 | 9.314% | 6.914% |
SEMIANNUAL REPORT | JOHN HANCOCK NEW OPPORTUNITIES FUND | 27 |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
James R. Boyle
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
Daniel L. Miller, CFA
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 |
28 | JOHN HANCOCK NEW OPPORTUNITIES FUND | SEMIANNUAL REPORT |
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
MF2780199 | 452SA 2/23 |
Manulife Investment Management
John Hancock Investment Management
Head of Wealth and Asset Management,
United States and Europe
SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 1 |
2 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 3 |
COUNTRY COMPOSITION AS OF 2/28/2023 (% of net assets) | |
United States | 45.8 |
South Korea | 7.5 |
Japan | 5.9 |
New Zealand | 5.0 |
Brazil | 3.9 |
Iceland | 2.5 |
Australia | 2.2 |
Cayman Islands | 2.1 |
South Africa | 1.6 |
Mexico | 1.5 |
Other countries | 22.0 |
TOTAL | 100.0 |
4 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 5 |
Account value on 9-1-2022 | Ending value on 2-28-2023 | Expenses paid during period ended 2-28-20231 | Annualized expense ratio | ||
Class A | Actual expenses/actual returns | $1,000.00 | $1,022.20 | $5.82 | 1.16% |
Hypothetical example | 1,000.00 | 1,019.00 | 5.81 | 1.16% | |
Class C | Actual expenses/actual returns | 1,000.00 | 1,018.30 | 9.56 | 1.91% |
Hypothetical example | 1,000.00 | 1,015.30 | 9.54 | 1.91% | |
Class I | Actual expenses/actual returns | 1,000.00 | 1,022.60 | 4.56 | 0.91% |
Hypothetical example | 1,000.00 | 1,020.30 | 4.56 | 0.91% | |
Class R6 | Actual expenses/actual returns | 1,000.00 | 1,023.20 | 4.06 | 0.81% |
Hypothetical example | 1,000.00 | 1,020.80 | 4.06 | 0.81% | |
Class 1 | Actual expenses/actual returns | 1,000.00 | 1,023.00 | 4.26 | 0.85% |
Hypothetical example | 1,000.00 | 1,020.60 | 4.26 | 0.85% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
6 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT |
Rate (%) | Maturity date | Par value^ | Value | ||
U.S. Government and Agency obligations 17.8% | $19,110,413 | ||||
(Cost $19,244,881) | |||||
U.S. Government 3.4% | 3,665,124 | ||||
U.S. Treasury | |||||
Note | 3.500 | 02-15-33 | 22,200 | 21,468 | |
Note | 4.125 | 11-15-32 | 17,900 | 18,185 | |
Treasury Inflation Protected Security (A) | 1.625 | 10-15-27 | 3,627,349 | 3,625,471 | |
U.S. Government Agency 14.4% | 15,445,289 | ||||
Federal National Mortgage Association | |||||
30 Yr Pass Thru (B) | 4.500 | TBA | 3,088,000 | 2,973,044 | |
30 Yr Pass Thru (B) | 5.000 | TBA | 4,596,000 | 4,516,287 | |
30 Yr Pass Thru (B) | 5.500 | TBA | 7,970,000 | 7,955,958 | |
Foreign government obligations 44.8% | $47,981,038 | ||||
(Cost $57,479,835) | |||||
Argentina 0.1% | 67,701 | ||||
Republic of Argentina | |||||
Bond | 1.000 | 07-09-29 | 7,467 | 2,316 | |
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 | 65,385 | |
Australia 2.0% | 2,172,374 | ||||
Commonwealth of Australia | |||||
Bond | 0.250 | 11-21-32 | AUD | 1,715,000 | 1,119,934 |
Bond | 1.750 | 06-21-51 | AUD | 770,000 | 311,311 |
Inflation Linked Bond | 1.522 | 08-21-40 | AUD | 990,000 | 741,129 |
Benin 0.2% | 183,604 | ||||
Republic of Benin | |||||
Bond | 4.950 | 01-22-35 | EUR | 240,000 | 183,604 |
Brazil 3.9% | 4,146,252 | ||||
Federative Republic of Brazil | |||||
Bill (C) | 12.608 | 01-01-25 | BRL | 1,229,000 | 188,016 |
Bill (C) | 12.693 | 01-01-26 | BRL | 179,000 | 24,225 |
Bill (C) | 13.019 | 01-01-24 | BRL | 1,030,000 | 177,239 |
Bill (C) | 13.487 | 07-01-23 | BRL | 218,000 | 39,878 |
Note | 6.000 | 05-15-55 | BRL | 1,864,000 | 1,379,771 |
Note | 10.000 | 01-01-25 | BRL | 3,843,000 | 715,039 |
Note | 10.000 | 01-01-27 | BRL | 1,542,000 | 274,369 |
Note | 10.000 | 01-01-29 | BRL | 7,638,000 | 1,298,548 |
Note | 10.000 | 01-01-33 | BRL | 307,000 | 49,167 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 7 |
Rate (%) | Maturity date | Par value^ | Value | ||
Bulgaria 0.4% | $393,474 | ||||
Republic of Bulgaria | |||||
Bond | 1.375 | 09-23-50 | EUR | 450,000 | 257,512 |
Bond | 4.125 | 09-23-29 | EUR | 102,000 | 105,221 |
Bond (D) | 4.500 | 01-27-33 | EUR | 30,000 | 30,741 |
Canada 0.6% | 691,877 | ||||
Government of Canada | |||||
Bond | 4.000 | 12-01-31 | CAD | 770,836 | 691,877 |
Chile 0.1% | 144,419 | ||||
Republic of Chile | |||||
Bond (D) | 4.700 | 09-01-30 | CLP | 50,000,000 | 58,012 |
Bond | 5.000 | 03-01-35 | CLP | 25,000,000 | 29,248 |
Bond | 6.000 | 01-01-43 | CLP | 45,000,000 | 57,159 |
Colombia 1.1% | 1,161,413 | ||||
Republic of Colombia | |||||
Bond | 3.875 | 03-22-26 | EUR | 145,000 | 144,856 |
Bond | 3.875 | 02-15-61 | 260,000 | 141,082 | |
Bond | 6.000 | 04-28-28 | COP | 85,500,000 | 13,237 |
Bond | 6.125 | 01-18-41 | 260,000 | 202,800 | |
Bond | 6.250 | 07-09-36 | COP | 44,800,000 | 5,223 |
Bond | 7.250 | 10-18-34 | COP | 1,094,900,000 | 145,797 |
Bond | 7.500 | 08-26-26 | COP | 829,900,000 | 146,940 |
Bond | 7.750 | 09-18-30 | COP | 1,142,700,000 | 177,637 |
Bond | 9.250 | 05-28-42 | COP | 1,246,400,000 | 183,841 |
Czech Republic 0.7% | 775,690 | ||||
Government of the Czech Republic | |||||
Bond | 0.450 | 10-25-23 | CZK | 200,000 | 8,636 |
Bond | 0.950 | 05-15-30 | CZK | 5,090,000 | 173,404 |
Bond | 1.200 | 03-13-31 | CZK | 880,000 | 29,734 |
Bond | 1.500 | 04-24-40 | CZK | 630,000 | 17,100 |
Bond | 1.750 | 06-23-32 | CZK | 1,930,000 | 66,149 |
Bond | 2.000 | 10-13-33 | CZK | 2,250,000 | 76,823 |
Bond | 2.500 | 08-25-28 | CZK | 4,180,000 | 164,821 |
Bond | 3.500 | 05-30-35 | CZK | 610,000 | 23,862 |
Bond | 5.000 | 09-30-30 | CZK | 3,120,000 | 139,953 |
Bond | 6.000 | 02-26-26 | CZK | 1,640,000 | 75,208 |
Dominican Republic 0.1% | 161,294 | ||||
Government of the Dominican Republic | |||||
Bond (D) | 13.625 | 02-03-33 | DOP | 8,000,000 | 161,294 |
Greece 0.3% | 340,496 | ||||
Republic of Greece | |||||
GDP-Linked Note (E) | 4.484* | 10-15-42 | EUR | 119,230,000 | 340,496 |
8 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Hungary 1.2% | $1,290,509 | ||||
Republic of Hungary | |||||
Bond | 0.500 | 11-18-30 | EUR | 51,000 | 38,125 |
Bond | 1.000 | 11-26-25 | HUF | 7,410,000 | 15,988 |
Bond | 1.625 | 04-28-32 | EUR | 455,000 | 352,254 |
Bond | 1.750 | 06-05-35 | EUR | 555,000 | 397,102 |
Bond | 3.000 | 08-21-30 | HUF | 13,710,000 | 27,008 |
Bond | 3.000 | 10-27-38 | HUF | 28,110,000 | 42,679 |
Bond | 3.250 | 10-22-31 | HUF | 44,030,000 | 84,213 |
Bond | 4.500 | 03-23-28 | HUF | 13,010,000 | 29,369 |
Bond | 4.750 | 11-24-32 | HUF | 19,260,000 | 40,282 |
Bond (D) | 6.125 | 05-22-28 | 200,000 | 203,032 | |
Bond | 7.625 | 03-29-41 | 54,000 | 60,457 | |
Iceland 2.5% | 2,633,939 | ||||
Republic of Iceland | |||||
Bond | 5.000 | 11-15-28 | ISK | 431,960,000 | 2,633,939 |
Indonesia 1.2% | 1,301,990 | ||||
Republic of Indonesia | |||||
Bond | 1.400 | 10-30-31 | EUR | 670,000 | 553,968 |
Bond | 6.375 | 04-15-32 | IDR | 2,583,000,000 | 164,547 |
Bond | 6.500 | 06-15-25 | IDR | 748,000,000 | 49,018 |
Bond | 7.000 | 05-15-27 | IDR | 923,000,000 | 61,350 |
Bond | 7.000 | 02-15-33 | IDR | 787,000,000 | 52,005 |
Bond | 7.500 | 08-15-32 | IDR | 2,995,000,000 | 205,005 |
Bond | 7.500 | 06-15-35 | IDR | 127,000,000 | 8,627 |
Bond | 7.500 | 05-15-38 | IDR | 1,676,000,000 | 113,906 |
Bond | 8.375 | 03-15-34 | IDR | 1,288,000,000 | 93,564 |
Israel 0.9% | 959,023 | ||||
State of Israel | |||||
Bond | 1.300 | 04-30-32 | ILS | 4,360,000 | 959,023 |
Japan 5.8% | 6,170,827 | ||||
Government of Japan | |||||
CPI Linked Bond | 0.100 | 03-10-28 | JPY | 497,893,501 | 3,757,376 |
CPI Linked Bond | 0.100 | 03-10-29 | JPY | 318,877,650 | 2,413,451 |
Malaysia 1.1% | 1,236,166 | ||||
Government of Malaysia | |||||
Bond | 2.632 | 04-15-31 | MYR | 1,065,000 | 215,882 |
Bond | 3.478 | 06-14-24 | MYR | 910,000 | 203,145 |
Bond | 3.502 | 05-31-27 | MYR | 205,000 | 45,356 |
Bond | 3.582 | 07-15-32 | MYR | 390,000 | 84,522 |
Bond | 3.882 | 03-14-25 | MYR | 1,265,000 | 284,727 |
Bond | 3.885 | 08-15-29 | MYR | 1,015,000 | 226,862 |
Bond | 3.906 | 07-15-26 | MYR | 330,000 | 74,445 |
Bond | 4.254 | 05-31-35 | MYR | 160,000 | 36,082 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 9 |
Rate (%) | Maturity date | Par value^ | Value | ||
Malaysia (continued) | |||||
Bond | 4.696 | 10-15-42 | MYR | 275,000 | $65,145 |
Mexico 1.5% | 1,562,619 | ||||
Government of Mexico | |||||
Bond | 2.125 | 10-25-51 | EUR | 300,000 | 169,735 |
Bond | 3.625 | 04-09-29 | EUR | 145,000 | 146,657 |
Bond | 5.500 | 03-04-27 | MXN | 8,357,400 | 389,520 |
Bond | 5.750 | 03-05-26 | MXN | 1,645,400 | 79,236 |
Bond | 7.500 | 06-03-27 | MXN | 2,335,100 | 117,713 |
Bond | 7.500 | 05-26-33 | MXN | 2,800,800 | 134,809 |
Bond | 7.750 | 11-13-42 | MXN | 1,745,800 | 81,787 |
Bond | 8.000 | 11-07-47 | MXN | 1,572,900 | 75,316 |
Bond | 8.000 | 07-31-53 | MXN | 1,044,600 | 49,748 |
Bond | 8.500 | 05-31-29 | MXN | 881,900 | 46,068 |
Bond | 8.500 | 11-18-38 | MXN | 4,026,700 | 205,383 |
Bond | 10.000 | 11-20-36 | MXN | 1,151,600 | 66,647 |
New Zealand 5.0% | 5,329,977 | ||||
Government of New Zealand | |||||
Bond | 1.500 | 05-15-31 | NZD | 145,000 | 70,851 |
Bond | 2.750 | 05-15-51 | NZD | 2,030,000 | 878,403 |
Inflation Linked Bond | 2.994 | 09-20-40 | NZD | 755,000 | 545,517 |
Inflation Linked Bond | 3.025 | 09-20-35 | NZD | 1,110,000 | 826,746 |
Inflation Linked Bond | 3.687 | 09-20-30 | NZD | 3,735,000 | 3,008,460 |
North Macedonia 0.3% | 310,442 | ||||
Republic of North Macedonia | |||||
Bond | 1.625 | 03-10-28 | EUR | 200,000 | 163,067 |
Bond | 2.750 | 01-18-25 | EUR | 150,000 | 147,375 |
Panama 0.1% | 146,060 | ||||
Republic of Panama | |||||
Bond | 4.500 | 04-01-56 | 200,000 | 146,060 | |
Peru 0.7% | 778,981 | ||||
Republic of Peru | |||||
Bond | 5.400 | 08-12-34 | PEN | 105,000 | 22,127 |
Bond | 5.940 | 02-12-29 | PEN | 310,000 | 74,602 |
Bond | 6.150 | 08-12-32 | PEN | 410,000 | 94,766 |
Bond | 6.350 | 08-12-28 | PEN | 1,415,000 | 351,751 |
Bond | 6.900 | 08-12-37 | PEN | 265,000 | 62,224 |
Bond | 6.950 | 08-12-31 | PEN | 210,000 | 51,977 |
Bond | 8.200 | 08-12-26 | PEN | 445,000 | 121,534 |
Philippines 0.3% | 322,334 | ||||
Republic of the Philippines | |||||
Bond | 1.750 | 04-28-41 | EUR | 485,000 | 322,334 |
10 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Poland 0.9% | $947,583 | ||||
Republic of Poland | |||||
Bond | 1.750 | 04-25-32 | PLN | 1,420,000 | 216,581 |
Bond | 2.750 | 04-25-28 | PLN | 395,000 | 74,527 |
Bond | 2.750 | 10-25-29 | PLN | 610,000 | 109,699 |
Bond | 3.250 | 07-25-25 | PLN | 730,000 | 152,973 |
Bond | 3.750 | 05-25-27 | PLN | 1,260,000 | 255,056 |
Bond | 7.500 | 07-25-28 | PLN | 545,000 | 127,649 |
Bond (6 month WIBOR) (F) | 6.990 | 01-25-26 | PLN | 50,000 | 11,098 |
Romania 1.0% | 1,118,419 | ||||
Republic of Romania | |||||
Bond (D) | 2.625 | 12-02-40 | EUR | 120,000 | 71,689 |
Bond (D) | 2.750 | 04-14-41 | EUR | 360,000 | 217,414 |
Bond | 3.650 | 09-24-31 | RON | 240,000 | 38,518 |
Bond | 3.700 | 11-25-24 | RON | 60,000 | 12,203 |
Bond | 3.875 | 10-29-35 | EUR | 110,000 | 87,431 |
Bond | 4.750 | 10-11-34 | RON | 365,000 | 59,302 |
Bond | 4.850 | 07-25-29 | RON | 220,000 | 40,559 |
Bond | 5.800 | 07-26-27 | RON | 760,000 | 153,348 |
Bond (D) | 6.625 | 02-17-28 | 66,000 | 67,386 | |
Bond | 6.700 | 02-25-32 | RON | 465,000 | 92,357 |
Bond (D) | 7.625 | 01-17-53 | 114,000 | 122,952 | |
Bond | 8.250 | 09-29-32 | RON | 710,000 | 155,260 |
Russia 0.3% | 356,631 | ||||
Government of Russia | |||||
Bond | 5.900 | 03-12-31 | RUB | 164,810,000 | 356,631 |
Saudi Arabia 0.4% | 385,763 | ||||
Kingdom of Saudi Arabia | |||||
Bond (D) | 2.250 | 02-02-33 | 486,000 | 385,763 | |
Serbia 0.4% | 488,837 | ||||
Republic of Serbia | |||||
Bond | 1.500 | 06-26-29 | EUR | 280,000 | 220,207 |
Bond | 1.650 | 03-03-33 | EUR | 110,000 | 74,330 |
Bond (D) | 6.500 | 09-26-33 | 200,000 | 194,300 | |
Slovenia 0.1% | 86,129 | ||||
Republic of Slovenia | |||||
Bond | 3.125 | 08-07-45 | EUR | 95,000 | 86,129 |
South Africa 1.6% | 1,678,644 | ||||
Republic of South Africa | |||||
Bond | 6.250 | 03-31-36 | ZAR | 2,365,000 | 85,400 |
Bond | 7.000 | 02-28-31 | ZAR | 1,430,000 | 63,492 |
Bond | 8.000 | 01-31-30 | ZAR | 5,330,000 | 260,329 |
Bond | 8.250 | 03-31-32 | ZAR | 7,920,000 | 371,104 |
Bond | 8.500 | 01-31-37 | ZAR | 4,760,000 | 206,611 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 11 |
Rate (%) | Maturity date | Par value^ | Value | ||
South Africa (continued) | |||||
Bond | 8.750 | 01-31-44 | ZAR | 2,170,000 | $91,837 |
Bond | 8.875 | 02-28-35 | ZAR | 7,725,000 | 357,266 |
Bond | 9.000 | 01-31-40 | ZAR | 2,800,000 | 124,000 |
Bond | 10.500 | 12-21-26 | ZAR | 1,090,000 | 62,964 |
Bond (3 month JIBAR + 1.300%) (F) | 8.567 | 07-11-27 | ZAR | 1,000,000 | 55,641 |
South Korea 7.5% | 8,026,608 | ||||
Republic of Korea | |||||
Bond | 1.375 | 12-10-29 | KRW | 6,111,740,000 | 3,963,833 |
Bond | 2.375 | 12-10-31 | KRW | 2,612,120,000 | 1,776,994 |
Inflation Linked Bond | 1.125 | 06-10-30 | KRW | 2,698,870,164 | 2,018,968 |
Inflation Linked Bond | 1.750 | 06-10-28 | KRW | 345,551,424 | 266,813 |
Spain 0.5% | 516,103 | ||||
Kingdom of Spain | |||||
Bond (D) | 1.900 | 10-31-52 | EUR | 770,000 | 516,103 |
Sweden 1.1% | 1,172,550 | ||||
Kingdom of Sweden | |||||
Inflation Linked Bond (D) | 0.159 | 06-01-32 | SEK | 10,180,000 | 1,172,550 |
Thailand 0.6% | 657,875 | ||||
Kingdom of Thailand | |||||
Bond | 1.000 | 06-17-27 | THB | 5,360,000 | 144,617 |
Bond | 1.585 | 12-17-35 | THB | 7,025,000 | 171,731 |
Bond | 1.600 | 12-17-29 | THB | 605,000 | 16,263 |
Bond | 2.000 | 12-17-31 | THB | 6,895,000 | 187,556 |
Bond | 2.000 | 06-17-42 | THB | 2,120,000 | 50,572 |
Bond | 2.875 | 06-17-46 | THB | 500,000 | 13,197 |
Bond | 3.450 | 06-17-43 | THB | 2,510,000 | 73,939 |
Ukraine 0.1% | 63,000 | ||||
Republic of Ukraine | |||||
Bond | 7.253 | 03-15-35 | 375,000 | 63,000 | |
United Arab Emirates 0.2% | 201,435 | ||||
Finance Department Government of Sharjah | |||||
Bond (D) | 6.500 | 11-23-32 | 200,000 | 201,435 | |
Corporate bonds 21.7% | $23,203,239 | ||||
(Cost $24,793,064) | |||||
Australia 0.2% | 234,138 | ||||
BHP Billiton Finance USA, Ltd. | 4.900 | 02-28-33 | 150,000 | 149,397 | |
FMG Resources Proprietary, Ltd. (D) | 5.875 | 04-15-30 | 90,000 | 84,741 | |
Austria 0.2% | 223,100 | ||||
Klabin Austria GmbH (D) | 7.000 | 04-03-49 | 230,000 | 223,100 |
12 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Bermuda 0.0% | $21,400 | ||||
Carnival Holdings Bermuda, Ltd. (D) | 10.375 | 05-01-28 | 20,000 | 21,400 | |
Canada 0.2% | 232,604 | ||||
Emera, Inc. (6.750% to 6-15-26, then 3 month LIBOR + 5.440% to 6-15-46, then 3 month LIBOR + 6.190%) | 6.750 | 06-15-76 | 33,000 | 31,662 | |
Enerflex, Ltd. (D) | 9.000 | 10-15-27 | 30,000 | 29,608 | |
goeasy, Ltd. (D) | 4.375 | 05-01-26 | 99,000 | 87,642 | |
TransCanada Pipelines, Ltd. (3 month LIBOR + 2.210%) (F) | 7.074 | 05-15-67 | 28,000 | 22,820 | |
Transcanada Trust (5.600% to 12-7-31, then 5 Year CMT + 3.986%) | 5.600 | 03-07-82 | 70,000 | 60,872 | |
Chile 0.1% | 132,320 | ||||
VTR Comunicaciones SpA | 4.375 | 04-15-29 | 200,000 | 132,320 | |
China 0.2% | 162,026 | ||||
CIFI Holdings Group Company, Ltd. | 4.375 | 04-12-27 | 200,000 | 49,150 | |
Country Garden Holdings Company, Ltd. | 3.875 | 10-22-30 | 210,000 | 112,876 | |
Colombia 0.0% | 24,500 | ||||
Ecopetrol SA | 8.875 | 01-13-33 | 25,000 | 24,500 | |
Finland 0.0% | 9,750 | ||||
Nokia OYJ | 6.625 | 05-15-39 | 10,000 | 9,750 | |
France 0.9% | 977,575 | ||||
Societe Generale SA (6.221% to 6-15-32, then 1 Year CMT + 3.200%) (D) | 6.221 | 06-15-33 | 400,000 | 379,894 | |
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%) (G) | 2.125 | 07-25-32 | EUR | 340,000 | 260,407 |
Valeo | 1.000 | 08-03-28 | EUR | 400,000 | 337,274 |
Germany 0.5% | 459,147 | ||||
Allianz SE (2.600% to 10-30-31, then 5 Year Euro Swap Rate + 2.579%) (G) | 2.600 | 10-30-31 | EUR | 200,000 | 142,741 |
Deutsche Bank AG (3.742% to 10-7-31, then SOFR + 2.257%) | 3.742 | 01-07-33 | 200,000 | 153,235 | |
Hannover Rueck SE (1.750% to 7-8-30, then 3 month EURIBOR + 3.000%) | 1.750 | 10-08-40 | EUR | 100,000 | 83,034 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 13 |
Rate (%) | Maturity date | Par value^ | Value | ||
Germany (continued) | |||||
Muenchener Rueckversicherungs-Gesellschaft AG (1.250% to 11-26-30, then 3 month EURIBOR + 2.550%) | 1.250 | 05-26-41 | EUR | 100,000 | 80,137 |
Italy 0.4% | $446,221 | ||||
Assicurazioni Generali SpA | 2.429 | 07-14-31 | EUR | 510,000 | 446,221 |
Japan 0.1% | 133,514 | ||||
Rakuten Group, Inc. (4.250% to 4-22-27, then 5 Year Euro Swap Rate + 4.740%) (G) | 4.250 | 04-22-27 | EUR | 200,000 | 133,514 |
Luxembourg 0.3% | 270,421 | ||||
Greensaif Pipelines Bidco Sarl (D) | 6.510 | 02-23-42 | 200,000 | 203,828 | |
Trinseo Materials Operating SCA (D) | 5.125 | 04-01-29 | 100,000 | 66,593 | |
Macau 0.2% | 231,113 | ||||
Wynn Macau, Ltd. (D) | 5.625 | 08-26-28 | 270,000 | 231,113 | |
Malta 0.2% | 171,961 | ||||
VistaJet Malta Finance PLC (D) | 6.375 | 02-01-30 | 130,000 | 113,784 | |
VistaJet Malta Finance PLC (D) | 7.875 | 05-01-27 | 61,000 | 58,177 | |
Netherlands 0.7% | 726,897 | ||||
ABN AMRO Bank NV (3.324% to 12-13-31, then 5 Year CMT + 1.900%) (D) | 3.324 | 03-13-37 | 200,000 | 151,912 | |
Achmea BV (2.500% to 6-24-29, then 5 Year Euro Swap Rate + 3.650%) | 2.500 | 09-24-39 | EUR | 100,000 | 82,774 |
JAB Holdings BV (D) | 4.500 | 04-08-52 | 250,000 | 182,552 | |
Teva Pharmaceutical Finance Netherlands II BV | 4.375 | 05-09-30 | EUR | 350,000 | 309,659 |
Norway 0.7% | 746,945 | ||||
Var Energi ASA (D) | 7.500 | 01-15-28 | 320,000 | 330,005 | |
Var Energi ASA (D) | 8.000 | 11-15-32 | 400,000 | 416,940 | |
Spain 0.3% | 346,279 | ||||
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 | 85,087 |
Telefonica Emisiones SA | 5.520 | 03-01-49 | 300,000 | 261,192 | |
Switzerland 0.5% | 487,042 | ||||
Credit Suisse Group AG (6.537% to 8-12-32, then SOFR + 3.920%) (D) | 6.537 | 08-12-33 | 250,000 | 224,498 | |
Credit Suisse Group AG (9.016% to 11-15-32, then SOFR + 5.020%) (D) | 9.016 | 11-15-33 | 250,000 | 262,544 |
14 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
United Arab Emirates 0.2% | $238,597 | ||||
MDGH GMTN RSC, Ltd. | 1.000 | 03-10-34 | EUR | 305,000 | 238,597 |
United Kingdom 0.8% | 828,118 | ||||
Anglo American Capital PLC (D) | 5.625 | 04-01-30 | 400,000 | 395,549 | |
BP Capital Markets PLC (4.375% to 9-22-25, then 5 Year CMT + 4.036% to 9-22-30, then 5 Year CMT + 4.286% to 9-22-45, then 5 Year CMT + 5.036%) (G) | 4.375 | 06-22-25 | 17,000 | 16,208 | |
BP Capital Markets PLC (4.875% to 6-22-30, then 5 Year CMT + 4.398% to 6-22-50, then 5 Year CMT + 5.148%) (G) | 4.875 | 03-22-30 | 36,000 | 32,988 | |
HSBC Holdings PLC (5.402% to 8-11-32, then SOFR + 2.870%) | 5.402 | 08-11-33 | 400,000 | 383,373 | |
United States 15.0% | 16,099,571 | ||||
Acrisure LLC (D) | 4.250 | 02-15-29 | 55,000 | 44,768 | |
Acrisure LLC (D) | 7.000 | 11-15-25 | 97,000 | 90,649 | |
Advanced Drainage Systems, Inc. (D) | 6.375 | 06-15-30 | 80,000 | 76,403 | |
Aircastle, Ltd. (5.250% to 9-15-26, then 5 Year CMT + 4.410% to 9-15-31, then 5 Year CMT + 4.660% to 9-15-46, then 5 Year CMT + 5.160%) (D)(G) | 5.250 | 06-15-26 | 43,000 | 34,833 | |
Alliant Holdings Intermediate LLC (D) | 6.750 | 10-15-27 | 96,000 | 87,243 | |
Altria Group, Inc. | 3.125 | 06-15-31 | EUR | 170,000 | 150,061 |
American Axle & Manufacturing, Inc. | 6.875 | 07-01-28 | 110,000 | 98,720 | |
American Express Company (3.550% to 9-15-26, then 5 Year CMT + 2.854%) (G) | 3.550 | 09-15-26 | 40,000 | 33,956 | |
AmeriGas Partners LP | 5.750 | 05-20-27 | 85,000 | 78,623 | |
Amgen, Inc. | 4.875 | 03-01-53 | 13,000 | 11,579 | |
Amgen, Inc. (B) | 5.599 | 03-02-43 | 70,000 | 69,127 | |
Amgen, Inc. (B) | 5.650 | 03-02-53 | 120,000 | 119,012 | |
Amgen, Inc. (B) | 5.750 | 03-02-63 | 95,000 | 93,689 | |
AmWINS Group, Inc. (D) | 4.875 | 06-30-29 | 147,000 | 124,848 | |
Antero Midstream Partners LP (D) | 5.375 | 06-15-29 | 61,000 | 54,900 | |
Antero Resources Corp. (D) | 5.375 | 03-01-30 | 59,000 | 53,720 | |
Apache Corp. | 4.375 | 10-15-28 | 62,000 | 56,411 | |
APX Group, Inc. (D) | 5.750 | 07-15-29 | 82,000 | 68,701 | |
Aramark Services, Inc. (D) | 6.375 | 05-01-25 | 141,000 | 140,082 | |
Arthur J. Gallagher & Company | 5.750 | 03-02-53 | 130,000 | 129,224 | |
AssuredPartners, Inc. (D) | 5.625 | 01-15-29 | 126,000 | 106,759 | |
AutoZone, Inc. | 4.750 | 08-01-32 | 50,000 | 47,713 | |
Bank of America Corp. (2.687% to 4-22-31, then SOFR + 1.320%) | 2.687 | 04-22-32 | 465,000 | 377,131 | |
Bausch Health Companies, Inc. (D) | 4.875 | 06-01-28 | 22,000 | 13,723 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 15 |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
BCPE Ulysses Intermediate, Inc. (7.750% Cash or 8.500% PIK) (D) | 7.750 | 04-01-27 | 66,000 | 47,637 | |
Black Knight InfoServ LLC (D) | 3.625 | 09-01-28 | 290,000 | 250,850 | |
Blackstone Holdings Finance Company LLC (D) | 6.200 | 04-22-33 | 180,000 | 184,699 | |
Broadcom, Inc. | 4.300 | 11-15-32 | 133,000 | 117,865 | |
Buckeye Partners LP (D) | 4.500 | 03-01-28 | 55,000 | 48,296 | |
Buckeye Partners LP (3 month LIBOR + 4.020%) (F) | 8.835 | 01-22-78 | 7,000 | 6,090 | |
Builders FirstSource, Inc. (D) | 4.250 | 02-01-32 | 110,000 | 92,348 | |
Builders FirstSource, Inc. (D) | 5.000 | 03-01-30 | 305,000 | 274,699 | |
Caesars Entertainment, Inc. (D) | 7.000 | 02-15-30 | 45,000 | 45,338 | |
Caesars Entertainment, Inc. (D) | 8.125 | 07-01-27 | 191,000 | 192,910 | |
Capital One Financial Corp. (2.359% to 7-29-31, then SOFR + 1.337%) | 2.359 | 07-29-32 | 85,000 | 62,540 | |
Capital One Financial Corp. (5.817% to 2-1-33, then SOFR + 2.600%) | 5.817 | 02-01-34 | 70,000 | 67,972 | |
Carnival Corp. (D) | 7.625 | 03-01-26 | 70,000 | 62,841 | |
CCO Holdings LLC (D) | 4.500 | 06-01-33 | 14,000 | 10,892 | |
CCO Holdings LLC (D) | 5.375 | 06-01-29 | 117,000 | 104,358 | |
CCO Holdings LLC (D) | 7.375 | 03-01-31 | 100,000 | 97,011 | |
Celanese US Holdings LLC | 6.379 | 07-15-32 | 65,000 | 63,066 | |
CenterPoint Energy, Inc. (6.125% to 9-1-23, then 3 month LIBOR + 3.270%) (G) | 6.125 | 09-01-23 | 22,000 | 21,597 | |
Citigroup, Inc. (7.375% to 5-15-28, then 5 Year CMT + 3.209%) (G) | 7.375 | 05-15-28 | 23,000 | 23,000 | |
Clydesdale Acquisition Holdings, Inc. (D) | 6.625 | 04-15-29 | 10,000 | 9,541 | |
Clydesdale Acquisition Holdings, Inc. (D) | 8.750 | 04-15-30 | 145,000 | 130,990 | |
CMS Energy Corp. (4.750% to 3-1-30, then 5 Year CMT + 4.116%) | 4.750 | 06-01-50 | 19,000 | 17,018 | |
Coherent Corp. (D) | 5.000 | 12-15-29 | 37,000 | 32,416 | |
Compass Group Diversified Holdings LLC (D) | 5.250 | 04-15-29 | 121,000 | 105,468 | |
Corebridge Financial, Inc. (6.875% to 9-15-27, then 5 Year CMT + 3.846%) (D) | 6.875 | 12-15-52 | 11,000 | 10,875 | |
Crestwood Mid Partners LP (D) | 7.375 | 02-01-31 | 105,000 | 102,283 | |
Crocs, Inc. (D) | 4.125 | 08-15-31 | 165,000 | 135,300 | |
CSC Holdings LLC (D) | 4.125 | 12-01-30 | 200,000 | 144,536 | |
Dave & Buster’s, Inc. (D) | 7.625 | 11-01-25 | 47,000 | 47,646 | |
Devon Energy Corp. | 5.600 | 07-15-41 | 70,000 | 64,548 | |
Diamondback Energy, Inc. | 6.250 | 03-15-53 | 65,000 | 63,895 |
16 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
DISH Network Corp. (D) | 11.750 | 11-15-27 | 149,000 | 150,971 | |
Dominion Energy, Inc. (4.350% to 1-15-27, then 5 Year CMT + 3.195%) (G) | 4.350 | 01-15-27 | 114,000 | 98,869 | |
Dominion Energy, Inc. (4.650% to 12-15-24, then 5 Year CMT + 2.993%) (G) | 4.650 | 12-15-24 | 31,000 | 28,598 | |
DT Midstream, Inc. (D) | 4.375 | 06-15-31 | 140,000 | 117,250 | |
DTE Electric Company | 5.400 | 04-01-53 | 20,000 | 20,165 | |
Duke Energy Corp. (4.875% to 9-16-24, then 5 Year CMT + 3.388%) (G) | 4.875 | 09-16-24 | 12,000 | 11,610 | |
Earthstone Energy Holdings LLC (D) | 8.000 | 04-15-27 | 49,000 | 46,933 | |
Edison International (5.375% to 3-15-26, then 5 Year CMT + 4.698%) (G) | 5.375 | 03-15-26 | 24,000 | 21,848 | |
Elanco Animal Health, Inc. | 6.650 | 08-28-28 | 30,000 | 28,646 | |
Eli Lilly & Company | 4.875 | 02-27-53 | 35,000 | 34,941 | |
Eli Lilly & Company | 4.950 | 02-27-63 | 20,000 | 19,883 | |
Embarq Corp. | 7.995 | 06-01-36 | 175,000 | 75,321 | |
Enact Holdings, Inc. (D) | 6.500 | 08-15-25 | 64,000 | 62,896 | |
EnLink Midstream LLC (D) | 5.625 | 01-15-28 | 98,000 | 93,345 | |
EnLink Midstream LLC (D) | 6.500 | 09-01-30 | 28,000 | 27,578 | |
EnLink Midstream Partners LP | 5.450 | 06-01-47 | 83,000 | 65,430 | |
Enterprise Products Operating LLC (5.250% to 8-16-27, then 3 month LIBOR + 3.033%) | 5.250 | 08-16-77 | 12,000 | 10,715 | |
Enterprise Products Operating LLC | 5.350 | 01-31-33 | 15,000 | 14,991 | |
Enterprise Products Operating LLC (5.375% to 2-15-28, then 3 month LIBOR + 2.570%) | 5.375 | 02-15-78 | 45,000 | 37,575 | |
Enterprise Products Operating LLC (3 month LIBOR + 2.986%) (F) | 7.858 | 08-16-77 | 48,000 | 45,913 | |
EQM Midstream Partners LP (D) | 4.750 | 01-15-31 | 60,000 | 48,750 | |
EQM Midstream Partners LP | 6.500 | 07-15-48 | 15,000 | 11,173 | |
Exelon Corp. | 5.600 | 03-15-53 | 70,000 | 68,345 | |
FirstCash, Inc. (D) | 4.625 | 09-01-28 | 321,000 | 278,859 | |
FirstCash, Inc. (D) | 5.625 | 01-01-30 | 174,000 | 153,910 | |
Flex, Ltd. | 4.875 | 05-12-30 | 115,000 | 108,920 | |
Florida Power & Light Company | 5.300 | 04-01-53 | 10,000 | 9,950 | |
Freedom Mortgage Corp. (D) | 7.625 | 05-01-26 | 62,000 | 52,926 | |
Frontier Communications Holdings LLC (D) | 5.875 | 10-15-27 | 47,000 | 43,668 | |
Frontier Communications Holdings LLC (D) | 6.750 | 05-01-29 | 60,000 | 50,412 | |
Gen Digital, Inc. (D) | 6.750 | 09-30-27 | 14,000 | 13,761 | |
Gen Digital, Inc. (D) | 7.125 | 09-30-30 | 39,000 | 38,025 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 17 |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
General Motors Financial Company, Inc. (5.700% to 9-30-30, then 5 Year CMT + 4.997%) (G) | 5.700 | 09-30-30 | 25,000 | 22,583 | |
Glatfelter Corp. (D) | 4.750 | 11-15-29 | 175,000 | 114,743 | |
Gray Escrow II, Inc. (D) | 5.375 | 11-15-31 | 65,000 | 48,259 | |
Great Lakes Dredge & Dock Corp. (D) | 5.250 | 06-01-29 | 170,000 | 132,395 | |
Hanesbrands, Inc. (D) | 9.000 | 02-15-31 | 85,000 | 85,948 | |
Hawaiian Brand Intellectual Property, Ltd. (D) | 5.750 | 01-20-26 | 102,000 | 94,851 | |
Hess Corp. | 5.800 | 04-01-47 | 80,000 | 75,625 | |
Hightower Holding LLC (D) | 6.750 | 04-15-29 | 132,000 | 111,665 | |
Home Point Capital, Inc. (D) | 5.000 | 02-01-26 | 175,000 | 122,030 | |
HUB International, Ltd. (D) | 5.625 | 12-01-29 | 96,000 | 82,388 | |
HUB International, Ltd. (D) | 7.000 | 05-01-26 | 104,000 | 102,236 | |
Intel Corp. | 5.625 | 02-10-43 | 20,000 | 19,521 | |
Intel Corp. | 5.700 | 02-10-53 | 80,000 | 78,174 | |
Intel Corp. | 5.900 | 02-10-63 | 85,000 | 83,659 | |
Iron Mountain, Inc. (D) | 5.625 | 07-15-32 | 60,000 | 51,910 | |
JPMorgan Chase & Co. (4.912% to 7-25-32, then SOFR + 2.080%) | 4.912 | 07-25-33 | 560,000 | 536,206 | |
KB Home | 4.000 | 06-15-31 | 5,000 | 4,084 | |
KB Home | 4.800 | 11-15-29 | 5,000 | 4,363 | |
KB Home | 6.875 | 06-15-27 | 10,000 | 9,947 | |
Kinder Morgan, Inc. | 5.450 | 08-01-52 | 75,000 | 66,959 | |
Ladder Capital Finance Holdings LLLP (D) | 4.250 | 02-01-27 | 176,000 | 149,611 | |
Ladder Capital Finance Holdings LLLP (D) | 4.750 | 06-15-29 | 20,000 | 16,263 | |
LBM Acquisition LLC (D) | 6.250 | 01-15-29 | 202,000 | 143,917 | |
LD Holdings Group LLC (D) | 6.125 | 04-01-28 | 46,000 | 27,255 | |
LD Holdings Group LLC (D) | 6.500 | 11-01-25 | 21,000 | 15,540 | |
Lennar Corp. | 4.750 | 11-29-27 | 108,000 | 103,415 | |
LFS Topco LLC (D) | 5.875 | 10-15-26 | 64,000 | 55,117 | |
Liberty Mutual Group, Inc. (D) | 3.950 | 05-15-60 | 125,000 | 86,607 | |
Liberty Mutual Group, Inc. (4.125% to 9-15-26, then 5 Year CMT + 3.315%) (D) | 4.125 | 12-15-51 | 26,000 | 21,691 | |
Liberty Mutual Group, Inc. (D) | 4.300 | 02-01-61 | 78,000 | 47,378 | |
Lithia Motors, Inc. (D) | 4.375 | 01-15-31 | 60,000 | 49,950 | |
M&T Bank Corp. (5.000% to 8-1-24, then 5 Year CMT + 3.174%) (G) | 5.000 | 08-01-24 | 12,000 | 11,446 | |
M/I Homes, Inc. | 3.950 | 02-15-30 | 150,000 | 121,639 | |
Mauser Packaging Solutions Holding Company (D) | 7.875 | 08-15-26 | 5,000 | 5,031 | |
McAfee Corp. (D) | 7.375 | 02-15-30 | 25,000 | 19,813 |
18 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Medline Borrower LP (D) | 3.875 | 04-01-29 | 40,000 | 33,339 | |
Medline Borrower LP (D) | 5.250 | 10-01-29 | 242,000 | 198,606 | |
MetLife, Inc. (6.400% to 12-15-36, then 3 month LIBOR + 2.205%) | 6.400 | 12-15-36 | 6,000 | 6,022 | |
Micron Technology, Inc. | 5.875 | 02-09-33 | 65,000 | 62,973 | |
Mileage Plus Holdings LLC (D) | 6.500 | 06-20-27 | 43,364 | 43,364 | |
Morgan Stanley (5.297% to 4-20-32, then SOFR + 2.620%) | 5.297 | 04-20-37 | 13,000 | 12,113 | |
Morgan Stanley (5.948% to 1-19-33, then 5 Year CMT + 2.430%) | 5.948 | 01-19-38 | 17,000 | 16,610 | |
MSCI, Inc. (D) | 3.625 | 09-01-30 | 131,000 | 111,363 | |
MSCI, Inc. (D) | 3.875 | 02-15-31 | 115,000 | 98,978 | |
Nabors Industries, Inc. (D) | 7.375 | 05-15-27 | 43,000 | 41,443 | |
National Rural Utilities Cooperative Finance Corp. (4.750% to 4-30-23, then 3 month LIBOR + 2.910%) | 4.750 | 04-30-43 | 23,000 | 22,313 | |
Nationstar Mortgage Holdings, Inc. (D) | 5.125 | 12-15-30 | 40,000 | 30,991 | |
Nationstar Mortgage Holdings, Inc. (D) | 5.750 | 11-15-31 | 360,000 | 282,391 | |
NCL Corp., Ltd. (D) | 7.750 | 02-15-29 | 154,000 | 134,057 | |
Nextera Energy Capital Holdings, Inc. | 5.250 | 02-28-53 | 70,000 | 67,002 | |
Novelis Corp. (D) | 4.750 | 01-30-30 | 97,000 | 85,215 | |
Occidental Petroleum Corp. | 4.500 | 07-15-44 | 74,000 | 57,734 | |
Occidental Petroleum Corp. | 6.450 | 09-15-36 | 65,000 | 65,325 | |
Open Text Holdings, Inc. (D) | 4.125 | 02-15-30 | 85,000 | 69,946 | |
Open Text Holdings, Inc. (D) | 4.125 | 12-01-31 | 85,000 | 67,639 | |
Oracle Corp. | 6.500 | 04-15-38 | 30,000 | 31,261 | |
Pacific Gas & Electric Company | 6.150 | 01-15-33 | 22,000 | 21,716 | |
Paramount Global | 4.375 | 03-15-43 | 100,000 | 69,635 | |
Paramount Global | 4.950 | 05-19-50 | 110,000 | 81,441 | |
Paramount Global (6.250% to 2-28-27, then 3 month LIBOR + 3.899%) | 6.250 | 02-28-57 | 65,000 | 53,625 | |
PennyMac Financial Services, Inc. (D) | 4.250 | 02-15-29 | 160,000 | 125,223 | |
PennyMac Financial Services, Inc. (D) | 5.750 | 09-15-31 | 63,000 | 50,195 | |
Performance Food Group, Inc. (D) | 4.250 | 08-01-29 | 144,000 | 125,731 | |
Philip Morris International, Inc. | 5.375 | 02-15-33 | 8,000 | 7,866 | |
Post Holdings, Inc. (D) | 4.625 | 04-15-30 | 133,000 | 115,314 | |
PPL Capital Funding, Inc. (3 month LIBOR + 2.665%) (F) | 7.395 | 03-30-67 | 38,000 | 34,443 | |
PPL Electric Utilities Corp. | 5.250 | 05-15-53 | 55,000 | 54,218 | |
Presidio Holdings, Inc. (D) | 8.250 | 02-01-28 | 206,000 | 195,791 | |
Qualcomm, Inc. | 6.000 | 05-20-53 | 60,000 | 64,747 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 19 |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Range Resources Corp. (D) | 4.750 | 02-15-30 | 13,000 | 11,635 | |
Range Resources Corp. | 8.250 | 01-15-29 | 40,000 | 41,050 | |
Regal Rexnord Corp. (D) | 6.050 | 02-15-26 | 5,000 | 4,960 | |
Regal Rexnord Corp. (D) | 6.300 | 02-15-30 | 20,000 | 19,568 | |
Regal Rexnord Corp. (D) | 6.400 | 04-15-33 | 10,000 | 9,840 | |
Royal Caribbean Cruises, Ltd. (D) | 5.500 | 08-31-26 | 85,000 | 78,100 | |
Royal Caribbean Cruises, Ltd. (D) | 7.250 | 01-15-30 | 56,000 | 56,140 | |
Royal Caribbean Cruises, Ltd. (D) | 11.625 | 08-15-27 | 17,000 | 18,106 | |
Sempra Energy (4.875% to 10-15-25, then 5 Year CMT + 4.550%) (G) | 4.875 | 10-15-25 | 36,000 | 33,934 | |
Signal Parent, Inc. (D) | 6.125 | 04-01-29 | 14,000 | 6,090 | |
Sirius XM Radio, Inc. (D) | 5.500 | 07-01-29 | 55,000 | 49,638 | |
Southwestern Energy Company | 4.750 | 02-01-32 | 75,000 | 64,450 | |
SRS Distribution, Inc. (D) | 6.125 | 07-01-29 | 60,000 | 50,177 | |
Standard Industries, Inc. (D) | 3.375 | 01-15-31 | 49,000 | 37,596 | |
Standard Industries, Inc. (D) | 4.375 | 07-15-30 | 331,000 | 275,558 | |
STL Holding Company LLC (D) | 7.500 | 02-15-26 | 68,000 | 59,160 | |
Synchrony Financial | 2.875 | 10-28-31 | 85,000 | 63,935 | |
Synchrony Financial | 7.250 | 02-02-33 | 130,000 | 125,140 | |
Sysco Corp. | 6.600 | 04-01-40 | 80,000 | 85,329 | |
Sysco Corp. | 6.600 | 04-01-50 | 10,000 | 10,973 | |
Terex Corp. (D) | 5.000 | 05-15-29 | 153,000 | 140,468 | |
The Charles Schwab Corp. (4.000% to 6-1-26, then 5 Year CMT + 3.168%) (G) | 4.000 | 06-01-26 | 25,000 | 22,748 | |
The Dun & Bradstreet Corp. (D) | 5.000 | 12-15-29 | 130,000 | 107,547 | |
The Gap, Inc. (D) | 3.625 | 10-01-29 | 76,000 | 55,733 | |
The Gap, Inc. (D) | 3.875 | 10-01-31 | 144,000 | 103,314 | |
The Hertz Corp. (D) | 5.000 | 12-01-29 | 90,000 | 74,721 | |
The Michaels Companies, Inc. (D) | 7.875 | 05-01-29 | 72,000 | 54,180 | |
The Southern Company (3.750% to 6-15-26, then 5 Year CMT + 2.915%) | 3.750 | 09-15-51 | 27,000 | 23,006 | |
The William Carter Company (D) | 5.625 | 03-15-27 | 164,000 | 157,630 | |
TopBuild Corp. (D) | 3.625 | 03-15-29 | 30,000 | 25,004 | |
TransDigm, Inc. (D) | 6.250 | 03-15-26 | 138,000 | 136,171 | |
Transocean, Inc. (D) | 8.750 | 02-15-30 | 15,000 | 15,263 | |
U.S. Steel Corp. | 6.875 | 03-01-29 | 57,000 | 57,026 | |
Uber Technologies, Inc. (D) | 4.500 | 08-15-29 | 121,000 | 106,974 | |
Union Electric Company (B) | 5.450 | 03-15-53 | 20,000 | 19,998 | |
United Natural Foods, Inc. (D) | 6.750 | 10-15-28 | 177,000 | 167,538 | |
United Parcel Service, Inc. | 5.050 | 03-03-53 | 200,000 | 197,453 | |
United Wholesale Mortgage LLC (D) | 5.500 | 04-15-29 | 425,000 | 351,773 | |
Venture Global Calcasieu Pass LLC (D) | 4.125 | 08-15-31 | 141,000 | 121,260 |
20 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Venture Global Calcasieu Pass LLC (D) | 6.250 | 01-15-30 | 35,000 | 34,519 | |
Viper Energy Partners LP (D) | 5.375 | 11-01-27 | 290,000 | 275,732 | |
WarnerMedia Holdings, Inc. (D) | 3.755 | 03-15-27 | 35,000 | 32,107 | |
WarnerMedia Holdings, Inc. (D) | 5.141 | 03-15-52 | 225,000 | 176,378 | |
WarnerMedia Holdings, Inc. (D) | 5.391 | 03-15-62 | 145,000 | 113,102 | |
Weatherford International, Ltd. (D) | 8.625 | 04-30-30 | 30,000 | 29,960 | |
WEC Energy Group, Inc. (3 month LIBOR + 2.113%) (F) | 6.976 | 05-15-67 | 13,000 | 11,105 | |
Wells Fargo & Company (3.900% to 3-15-26, then 5 Year CMT + 3.453%) (G) | 3.900 | 03-15-26 | 12,000 | 10,733 | |
Wells Fargo & Company (4.897% to 7-25-32, then SOFR + 2.100%) | 4.897 | 07-25-33 | 280,000 | 267,438 | |
Western Midstream Operating LP | 4.300 | 02-01-30 | 124,000 | 109,857 | |
Zayo Group Holdings, Inc. (D) | 4.000 | 03-01-27 | 60,000 | 46,028 | |
Convertible bonds 3.5% | $3,798,895 | ||||
(Cost $4,185,445) | |||||
Bermuda 0.0% | 32,206 | ||||
NCL Corp., Ltd. | 2.500 | 02-15-27 | 41,000 | 32,206 | |
Canada 0.0% | 42,400 | ||||
Shopify, Inc. | 0.125 | 11-01-25 | 50,000 | 42,400 | |
China 0.1% | 130,651 | ||||
NIO, Inc. | 0.500 | 02-01-27 | 162,000 | 130,651 | |
Israel 0.0% | 10,572 | ||||
SolarEdge Technologies, Inc., Zero Coupon | 0.000 | 09-15-25 | 8,000 | 10,572 | |
Italy 0.1% | 89,271 | ||||
Nexi SpA | 1.750 | 04-24-27 | EUR | 100,000 | 89,271 |
Luxembourg 0.1% | 53,763 | ||||
Arrival SA (D) | 3.500 | 12-01-26 | 170,000 | 53,763 | |
Singapore 0.2% | 264,425 | ||||
Sea, Ltd. | 0.250 | 09-15-26 | 350,000 | 264,425 | |
United States 3.0% | 3,175,607 | ||||
3D Systems Corp. (C) | 8.542 | 11-15-26 | 11,000 | 8,078 | |
Affirm Holdings, Inc. (C) | 11.355 | 11-15-26 | 40,000 | 26,676 | |
Airbnb, Inc. (C) | 4.969 | 03-15-26 | 105,000 | 90,405 | |
Alarm.com Holdings, Inc. (C) | 7.054 | 01-15-26 | 70,000 | 57,357 | |
Bandwidth, Inc. | 0.250 | 03-01-26 | 34,000 | 25,655 | |
Bentley Systems, Inc. | 0.125 | 01-15-26 | 60,000 | 55,260 | |
Beyond Meat, Inc. (C) | 37.921 | 03-15-27 | 125,000 | 33,452 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 21 |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
BILL Holdings, Inc. (C) | 6.240 | 04-01-27 | 15,000 | 11,670 | |
Block, Inc. | 0.125 | 03-01-25 | 6,000 | 5,933 | |
Block, Inc. | 0.250 | 11-01-27 | 87,000 | 67,208 | |
Bloomin’ Brands, Inc. | 5.000 | 05-01-25 | 4,000 | 9,228 | |
Cardlytics, Inc. | 1.000 | 09-15-25 | 35,000 | 14,996 | |
Carnival Corp. (D) | 5.750 | 12-01-27 | 20,000 | 22,070 | |
Ceridian HCM Holding, Inc. | 0.250 | 03-15-26 | 118,000 | 104,902 | |
Cracker Barrel Old Country Store, Inc. | 0.625 | 06-15-26 | 50,000 | 44,219 | |
Datadog, Inc. | 0.125 | 06-15-25 | 45,000 | 49,298 | |
Dexcom, Inc. | 0.250 | 11-15-25 | 16,000 | 16,936 | |
DigitalOcean Holdings, Inc. (C) | 7.254 | 12-01-26 | 55,000 | 42,116 | |
DISH Network Corp. | 3.375 | 08-15-26 | 23,000 | 14,699 | |
DraftKings Holdings, Inc. (C) | 7.430 | 03-15-28 | 22,000 | 15,246 | |
Dropbox, Inc. (C) | 3.252 | 03-01-28 | 75,000 | 63,750 | |
Etsy, Inc. | 0.125 | 10-01-26 | 7,000 | 10,749 | |
Etsy, Inc. | 0.250 | 06-15-28 | 80,000 | 66,526 | |
Euronet Worldwide, Inc. | 0.750 | 03-15-49 | 13,000 | 12,727 | |
Exact Sciences Corp. | 0.375 | 03-15-27 | 55,000 | 49,809 | |
Exact Sciences Corp. | 0.375 | 03-01-28 | 90,000 | 77,571 | |
Ford Motor Company (C) | 1.246 | 03-15-26 | 6,000 | 5,775 | |
FTI Consulting, Inc. | 2.000 | 08-15-23 | 11,000 | 20,004 | |
Health Catalyst, Inc. | 2.500 | 04-15-25 | 5,000 | 4,665 | |
JetBlue Airways Corp. | 0.500 | 04-01-26 | 167,000 | 128,665 | |
John Bean Technologies Corp. | 0.250 | 05-15-26 | 77,000 | 70,340 | |
Lumentum Holdings, Inc. (D) | 0.500 | 06-15-28 | 40,000 | 30,105 | |
Nabors Industries, Inc. | 0.750 | 01-15-24 | 11,000 | 10,423 | |
Nabors Industries, Inc. (D) | 1.750 | 06-15-29 | 20,000 | 19,930 | |
Nutanix, Inc. | 0.250 | 10-01-27 | 20,000 | 16,994 | |
NuVasive, Inc. | 0.375 | 03-15-25 | 95,000 | 84,170 | |
Oak Street Health, Inc. (C) | 2.552 | 03-15-26 | 15,000 | 13,878 | |
Okta, Inc. | 0.125 | 09-01-25 | 50,000 | 43,375 | |
ON Semiconductor Corp. (D) | 0.500 | 03-01-29 | 11,000 | 11,058 | |
PAR Technology Corp. | 1.500 | 10-15-27 | 10,000 | 7,985 | |
Patrick Industries, Inc. | 1.750 | 12-01-28 | 22,000 | 20,199 | |
Pebblebrook Hotel Trust | 1.750 | 12-15-26 | 80,000 | 68,360 | |
Pegasystems, Inc. | 0.750 | 03-01-25 | 22,000 | 19,316 | |
Penn Entertainment, Inc. | 2.750 | 05-15-26 | 6,000 | 8,892 | |
Pioneer Natural Resources Company | 0.250 | 05-15-25 | 13,000 | 26,481 | |
PPL Capital Funding, Inc. (D) | 2.875 | 03-15-28 | 34,000 | 33,318 | |
Rapid7, Inc. | 0.250 | 03-15-27 | 55,000 | 48,384 | |
Redfin Corp. | 0.500 | 04-01-27 | 50,000 | 30,069 | |
Repay Holdings Corp. (C)(D) | 8.354 | 02-01-26 | 415,000 | 327,020 | |
RingCentral, Inc. (C) | 6.563 | 03-01-25 | 50,000 | 43,938 |
22 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Shake Shack, Inc. (C) | 6.019 | 03-01-28 | 10,000 | 7,432 | |
Shift4 Payments, Inc. | 0.500 | 08-01-27 | 310,000 | 269,235 | |
Snap, Inc. | 0.125 | 03-01-28 | 400,000 | 279,000 | |
Southwest Airlines Company | 1.250 | 05-01-25 | 9,000 | 10,256 | |
Splunk, Inc. | 1.125 | 09-15-25 | 3,000 | 2,942 | |
Splunk, Inc. | 1.125 | 06-15-27 | 93,000 | 79,449 | |
Spotify USA, Inc. (C) | 6.642 | 03-15-26 | 65,000 | 53,300 | |
Stem, Inc. (D) | 0.500 | 12-01-28 | 85,000 | 51,849 | |
Team, Inc. | 5.000 | 08-01-23 | 10,000 | 8,855 | |
Teladoc Health, Inc. | 1.250 | 06-01-27 | 32,000 | 25,018 | |
The Greenbrier Companies, Inc. | 2.875 | 04-15-28 | 50,000 | 42,600 | |
The Middleby Corp. | 1.000 | 09-01-25 | 88,000 | 113,696 | |
The Southern Company (D) | 3.875 | 12-15-25 | 37,000 | 36,354 | |
Uber Technologies, Inc. (C) | 5.087 | 12-15-25 | 103,000 | 89,480 | |
Western Digital Corp. | 1.500 | 02-01-24 | 17,000 | 16,261 | |
Municipal bonds 1.1% | $1,139,205 | ||||
(Cost $1,321,572) | |||||
Chicago Transit Authority (Illinois) | 3.552 | 12-01-34 | 95,000 | 82,636 | |
Chicago Transit Authority (Illinois) | 3.912 | 12-01-40 | 10,000 | 8,560 | |
Chicago Transit Authority, Series A (Illinois) | 6.899 | 12-01-40 | 10,000 | 11,219 | |
City & County of Denver Company Airport System Revenue (Colorado) | 2.717 | 11-15-34 | 20,000 | 15,957 | |
City & County of Denver Company Airport System Revenue (Colorado) | 2.867 | 11-15-37 | 15,000 | 11,619 | |
City of Austin Airport System Revenue (Texas) | 5.000 | 11-15-32 | 25,000 | 26,916 | |
City of Austin Airport System Revenue (Texas) | 5.000 | 11-15-44 | 60,000 | 61,678 | |
City of Houston Airport System Revenue (Texas) | 2.385 | 07-01-31 | 50,000 | 41,298 | |
City of San Antonio Electric & Gas Systems Revenue (Texas) | 4.365 | 02-01-42 | 95,000 | 86,375 | |
City of San Antonio Electric & Gas Systems Revenue (Texas) | 4.445 | 02-01-47 | 95,000 | 85,409 | |
City of Tampa (Florida) (C) | 4.318 | 09-01-36 | 20,000 | 11,205 | |
Commonwealth of Massachusetts, GO | 2.514 | 07-01-41 | 130,000 | 96,203 | |
County of Broward Port Facilities Revenue (Florida) | 5.000 | 09-01-28 | 30,000 | 32,461 | |
County of Broward Port Facilities Revenue (Florida) | 5.000 | 09-01-33 | 20,000 | 22,007 | |
County of Miami-Dade Aviation Revenue (Florida) | 3.270 | 10-01-41 | 10,000 | 7,792 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 23 |
Rate (%) | Maturity date | Par value^ | Value | ||
County of Miami-Dade Aviation Revenue (Florida) | 4.000 | 10-01-35 | 30,000 | $30,240 | |
Dallas Fort Worth International Airport (Texas) | 3.089 | 11-01-40 | 30,000 | 24,083 | |
Dallas Fort Worth International Airport (Texas) | 4.087 | 11-01-51 | 50,000 | 43,580 | |
District of Columbia | 3.432 | 04-01-42 | 85,000 | 67,888 | |
Metropolitan Transportation Authority (New York) | 5.000 | 11-15-29 | 15,000 | 15,960 | |
Orange County Convention Center (Florida) | 5.000 | 10-01-31 | 15,000 | 15,744 | |
Port Authority of New York & New Jersey | 4.000 | 03-15-30 | 50,000 | 51,067 | |
Port of Seattle (Washington) | 5.000 | 04-01-39 | 40,000 | 41,889 | |
Regents of the University of California Medical Center Pooled Revenue | 4.563 | 05-15-53 | 115,000 | 106,714 | |
San Francisco City & County Airport Commission (California) | 2.958 | 05-01-51 | 20,000 | 13,238 | |
San Francisco City & County Airport Commission (California) | 5.000 | 05-01-50 | 75,000 | 76,281 | |
State of Hawaii Airports System Revenue | 4.000 | 07-01-35 | 20,000 | 19,356 | |
Triborough Bridge & Tunnel Authority (New York) | 5.000 | 11-15-54 | 30,000 | 31,830 | |
Term loans (H) 3.8% | $4,051,647 | ||||
(Cost $4,302,863) | |||||
Cayman Islands 0.0% | 0 | ||||
Paragon Offshore Finance Company, Term Loan B (I)(J) | 0.000 | 07-18-22 | 9,802 | 0 | |
Luxembourg 0.1% | 125,219 | ||||
Delta 2 Lux Sarl, Term Loan B (1 month SOFR + 3.250%) | 7.868 | 01-15-30 | 125,000 | 125,219 | |
United States 3.7% | 3,926,428 | ||||
Asurion LLC, 2020 Term Loan B8 (1 month LIBOR + 3.250%) | 7.885 | 12-23-26 | 97,066 | 92,247 | |
Asurion LLC, 2021 2nd Lien Term Loan B3 (1 month LIBOR + 5.250%) | 9.885 | 01-31-28 | 230,000 | 195,730 | |
Berlin Packaging LLC, 2021 Term Loan B5 (1 and 3 month LIBOR + 3.750%) | 8.329 | 03-11-28 | 148,125 | 144,908 | |
Caesars Entertainment, Inc., Term Loan B (1 month SOFR + 3.250%) | 7.968 | 02-06-30 | 105,000 | 104,752 | |
Carnival Corp., 2021 Incremental Term Loan B (1 month LIBOR + 3.250%) | 7.885 | 10-18-28 | 123,750 | 119,883 |
24 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Coherent Corp., 2022 Term Loan B (1 month LIBOR + 2.750%) | 7.385 | 07-02-29 | 100,613 | $99,984 | |
Core & Main LP, 2021 Term Loan B (1 and 6 month LIBOR + 2.500%) | 7.273 | 07-27-28 | 145,746 | 144,880 | |
Crocs, Inc., Term Loan B (3 month SOFR + 3.500%) | 8.050 | 02-20-29 | 167,500 | 166,942 | |
Crown Finance US, Inc., 2018 USD Term Loan (I) | 0.000 | 02-28-25 | 123,879 | 18,815 | |
Crown Finance US, Inc., 2022 DIP Delayed Draw Term Loan (1 month SOFR + 10.000%) | 14.568 | 09-07-23 | 4,755 | 4,839 | |
Crown Finance US, Inc. , 2022 DIP Term Loan (1 month SOFR + 10.000%) | 14.561 | 09-07-23 | 56,582 | 57,587 | |
Dcert Buyer, Inc., 2019 Term Loan B (3 month SOFR + 4.000%) | 8.696 | 10-16-26 | 199,449 | 196,258 | |
Elanco Animal Health, Inc., Term Loan B (1 month LIBOR + 1.750%) | 6.316 | 08-01-27 | 111,933 | 109,534 | |
Golden Entertainment, Inc., 2017 1st Lien Term Loan (1 month LIBOR + 3.000%) | 7.620 | 10-21-24 | 96,867 | 96,624 | |
Great Outdoors Group LLC, 2021 Term Loan B1 (1 month LIBOR + 3.750%) | 8.385 | 03-06-28 | 112,711 | 110,914 | |
Hanesbrands, Inc., 2023 Term Loan B (K) | TBD | 02-14-30 | 115,000 | 114,856 | |
Hightower Holding LLC, 2021 Term Loan B (3 month LIBOR + 4.000%) | 8.815 | 04-21-28 | 148,125 | 141,830 | |
HUB International, Ltd., 2018 Term Loan B (3 month LIBOR + 3.000%) | 7.817 | 04-25-25 | 195,662 | 195,017 | |
Hyland Software, Inc., 2018 1st Lien Term Loan (1 month LIBOR + 3.500%) | 8.135 | 07-01-24 | 97,704 | 97,365 | |
IRB Holding Corp., 2022 Term Loan B (1 month SOFR + 3.000%) | 7.687 | 12-15-27 | 425,750 | 419,896 | |
Medline Borrower LP, USD Term Loan B (1 month LIBOR + 3.250%) | 7.885 | 10-23-28 | 188,575 | 181,660 | |
NEP Group, Inc., 2018 1st Lien Term Loan (1 month LIBOR + 3.250%) | 7.885 | 10-20-25 | 51,254 | 47,954 | |
Polaris Newco LLC, USD Term Loan B (3 month LIBOR + 4.000%) | 8.730 | 06-02-28 | 98,750 | 91,206 | |
Quikrete Holdings, Inc., 2016 1st Lien Term Loan (1 month LIBOR + 2.625%) | 7.260 | 02-01-27 | 97,000 | 96,054 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 25 |
Rate (%) | Maturity date | Par value^ | Value | ||
United States (continued) | |||||
Sedgwick Claims Management Services, Inc., 2023 Term Loan B (K) | TBD | 02-17-28 | 32,500 | $32,094 | |
SRS Distribution, Inc., 2021 Term Loan B (1 month LIBOR + 3.500%) | 8.135 | 06-02-28 | 107,855 | 104,232 | |
SS&C Technologies, Inc., 2018 Term Loan B3 (1 month LIBOR + 1.750%) | 6.385 | 04-16-25 | 77,604 | 77,427 | |
SS&C Technologies, Inc., 2018 Term Loan B4 (1 month LIBOR + 1.750%) | 6.385 | 04-16-25 | 68,818 | 68,661 | |
Surgery Center Holdings, Inc., 2021 Term Loan (1 month LIBOR + 3.750%) | 8.360 | 08-31-26 | 124,310 | 123,292 | |
The Dun & Bradstreet Corp., Term Loan (1 month LIBOR + 3.250%) | 7.867 | 02-06-26 | 142,279 | 141,847 | |
TransDigm, Inc., 2020 Term Loan E (3 month LIBOR + 2.250%) | 6.980 | 05-30-25 | 195,099 | 194,717 | |
WW International, Inc., 2021 Term Loan B (1 month LIBOR + 3.500%) | 8.140 | 04-13-28 | 236,605 | 134,423 | |
Collateralized mortgage obligations 3.7% | $4,026,002 | ||||
(Cost $4,206,077) | |||||
Commercial and residential 1.4% | 1,578,786 | ||||
Angel Oak Mortgage Trust | |||||
Series 2020-3, Class M1 (D)(L) | 3.809 | 04-25-65 | 50,000 | 44,256 | |
BANK | |||||
Series 2020-BN25, Class AS | 2.841 | 01-15-63 | 40,000 | 33,384 | |
Series 2021-BN31, Class C (L) | 2.545 | 02-15-54 | 30,000 | 21,087 | |
Benchmark Mortgage Trust | |||||
Series 2020-B16, Class AM (L) | 2.944 | 02-15-53 | 40,000 | 33,440 | |
BRAVO Residential Funding Trust | |||||
Series 2020-NQM1, Class M1 (D)(L) | 3.181 | 05-25-60 | 129,000 | 116,156 | |
Series 2021-NQM1, Class M1 (D)(L) | 2.316 | 02-25-49 | 100,000 | 73,001 | |
BX Trust | |||||
Series 2021-ARIA, Class C (1 month LIBOR + 1.646%) (D)(F) | 6.234 | 10-15-36 | 20,000 | 19,275 | |
Series 2021-MFM1, Class D (1 month CME Term SOFR + 1.614%) (D)(F) | 6.176 | 01-15-34 | 9,042 | 8,770 | |
CAMB Commercial Mortgage Trust | |||||
Series 2019-LIFE, Class E (1 month LIBOR + 2.150%) (D)(F) | 6.738 | 12-15-37 | 134,000 | 131,485 | |
CIM Trust | |||||
Series 2021-NR2, Class A1 (2.568% to 3-1-24, then 5.568% to 3-1-25, then 6.568% thereafter) (D) | 2.568 | 07-25-59 | 55,890 | 52,917 |
26 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Commercial and residential (continued) | |||||
Series 2021-R4, Class A1 (D)(L) | 2.000 | 05-01-61 | 68,793 | $58,912 | |
Commercial Mortgage Trust (Deutsche Bank AG) | |||||
Series 2013-LC13, Class AM (D)(L) | 4.557 | 08-10-46 | 125,000 | 123,499 | |
Deephaven Residential Mortgage Trust | |||||
Series 2020-2, Class M1 (D)(L) | 4.112 | 05-25-65 | 100,000 | 91,621 | |
FREMF Mortgage Trust | |||||
Series 2016-K60, Class B (D)(L) | 3.543 | 12-25-49 | 11,000 | 10,180 | |
KKR Industrial Portfolio Trust | |||||
Series 2021-KDIP, Class C (1 month CME Term SOFR + 1.114%) (D)(F) | 5.677 | 12-15-37 | 37,500 | 36,466 | |
KNDL Mortgage Trust | |||||
Series 2019-KNSQ, Class E (1 month LIBOR + 1.800%) (D)(F) | 6.388 | 05-15-36 | 100,000 | 98,559 | |
New Residential Mortgage Loan Trust | |||||
Series 2015-2A, Class B4 (D)(L) | 5.387 | 08-25-55 | 55,026 | 51,275 | |
NYMT Loan Trust I | |||||
Series 2021-BPL1, Class A1 (2.239% to 5-25-24, then 4.239% thereafter) (D) | 2.239 | 05-25-26 | 100,000 | 93,487 | |
OPG Trust | |||||
Series 2021-PORT, Class D (1 month LIBOR + 1.131%) (D)(F) | 5.719 | 10-15-36 | 20,561 | 19,711 | |
PRPM LLC | |||||
Series 2021-1, Class A1 (D)(L) | 2.115 | 01-25-26 | 68,131 | 64,175 | |
UBS Commercial Mortgage Trust | |||||
Series 2019-C16, Class ASB | 3.460 | 04-15-52 | 154,000 | 143,164 | |
Verus Securitization Trust | |||||
Series 2020-5, Class M1 (D)(L) | 2.601 | 05-25-65 | 200,000 | 162,255 | |
Wells Fargo Commercial Mortgage Trust | |||||
Series 2020-C58, Class B | 2.704 | 07-15-53 | 65,000 | 50,424 | |
Wells Fargo Mortgage Backed Securities Trust | |||||
Series 2019-3, Class A1 (D)(L) | 3.500 | 07-25-49 | 6,246 | 5,607 | |
WF-RBS Commercial Mortgage Trust | |||||
Series 2011-C4, Class C (D)(L) | 4.845 | 06-15-44 | 36,784 | 35,680 | |
U.S. Government Agency 2.3% | 2,447,216 | ||||
Federal Home Loan Mortgage Corp. | |||||
Series 2020-DNA6, Class M2 (1 month SOFR + 2.000%) (D)(F) | 6.484 | 12-25-50 | 16,893 | 16,952 | |
Series 2020-HQA3, Class B1 (1 month LIBOR + 5.750%) (D)(F) | 10.367 | 07-25-50 | 43,506 | 46,707 | |
Series 2021-DNA6, Class M2 (1 month SOFR + 1.500%) (D)(F) | 5.984 | 10-25-41 | 178,000 | 170,996 | |
Series 2021-HQA1, Class M2 (1 month SOFR + 2.250%) (D)(F) | 6.734 | 08-25-33 | 180,000 | 175,786 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 27 |
Rate (%) | Maturity date | Par value^ | Value | ||
U.S. Government Agency (continued) | |||||
Series 2021-HQA2, Class M2 (1 month SOFR + 2.050%) (D)(F) | 6.534 | 12-25-33 | 100,000 | $95,138 | |
Series 2021-HQA3, Class M2 (1 month SOFR + 2.100%) (D)(F) | 6.584 | 09-25-41 | 180,000 | 163,514 | |
Series 2021-P011, Class X1 IO | 1.791 | 09-25-45 | 95,395 | 11,845 | |
Series 2022-DNA1, Class B1 (1 month SOFR + 3.400%) (D)(F) | 7.884 | 01-25-42 | 150,000 | 139,393 | |
Series 2022-DNA3, Class M1B (1 month SOFR + 2.900%) (D)(F) | 7.384 | 04-25-42 | 50,000 | 50,063 | |
Series 2022-DNA5, Class M2 (1 month SOFR + 6.750%) (D)(F) | 11.234 | 06-25-42 | 50,000 | 53,801 | |
Series 2022-DNA6, Class M2 (1 month SOFR + 5.750%) (D)(F) | 10.234 | 09-25-42 | 120,000 | 124,941 | |
Series 2022-HQA1, Class M1B (1 month SOFR + 3.500%) (D)(F) | 7.984 | 03-25-42 | 15,000 | 15,319 | |
Series 2022-HQA1, Class M2 (1 month SOFR + 5.250%) (D)(F) | 9.734 | 03-25-42 | 540,000 | 542,783 | |
Series 2022-HQA3, Class M1B (1 month SOFR + 3.550%) (D)(F) | 8.034 | 08-25-42 | 40,000 | 40,721 | |
Series K031, Class X3 IO | 1.659 | 07-25-41 | 260,000 | 435 | |
Series K103, Class X1 IO | 0.639 | 11-25-29 | 224,330 | 7,798 | |
Series K105, Class X1 IO | 1.523 | 01-25-30 | 169,587 | 13,881 | |
Series K737, Class X1 IO | 0.637 | 10-25-26 | 112,287 | 2,016 | |
Series K740, Class X1 IO | 0.749 | 09-25-27 | 98,930 | 2,734 | |
Series Q014, Class X IO | 2.792 | 10-25-55 | 95,091 | 17,469 | |
Federal National Mortgage Association | |||||
Series 2017-C05, Class 1B1 (1 month LIBOR + 3.600%) (F) | 8.217 | 01-25-30 | 25,000 | 26,018 | |
Series 2017-C06, Class 2B1 (1 month LIBOR + 4.450%) (F) | 9.067 | 02-25-30 | 50,000 | 53,364 | |
Series 2017-C07, Class 2B1 (1 month LIBOR + 4.450%) (F) | 9.067 | 05-25-30 | 55,000 | 58,813 | |
Series 2018-C02, Class 2B1 (1 month LIBOR + 4.000%) (F) | 8.617 | 08-25-30 | 15,000 | 15,715 | |
Series 2020-R01, Class 1M2 (1 month LIBOR + 2.050%) (D)(F) | 6.667 | 01-25-40 | 15,375 | 15,500 | |
Series 2022-R02, Class 2B1 (1 month SOFR + 4.500%) (D)(F) | 8.984 | 01-25-42 | 150,000 | 145,237 | |
Series 2022-R03, Class 1B1 (1 month SOFR + 6.250%) (D)(F) | 10.734 | 03-25-42 | 67,000 | 70,009 | |
Series 2022-R03, Class 1M2 (1 month SOFR + 3.500%) (D)(F) | 7.984 | 03-25-42 | 49,000 | 50,277 | |
Series 2022-R04, Class 1B1 (1 month SOFR + 5.250%) (D)(F) | 9.734 | 03-25-42 | 115,000 | 117,999 | |
Series 2022-R05, Class 2B1 (1 month SOFR + 4.500%) (D)(F) | 8.984 | 04-25-42 | 100,000 | 98,473 | |
Series 2022-R09, Class 2M2 (1 month SOFR + 4.750%) (D)(F) | 9.242 | 09-25-42 | 60,000 | 63,153 |
28 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
U.S. Government Agency (continued) | |||||
Series 2023-R01, Class 1B1 (1 month SOFR + 5.100%) (D)(F) | 9.592 | 12-25-42 | 15,000 | $15,236 | |
Series 2023-R02, Class 1M2 (1 month SOFR + 3.350%) (D)(F) | 7.842 | 01-25-43 | 25,000 | 25,130 | |
Asset backed securities 3.3% | $3,493,805 | ||||
(Cost $3,747,982) | |||||
Asset backed securities 3.3% | 3,493,805 | ||||
Bain Capital Credit CLO, Ltd. | |||||
Series 2020-4A, Class B (3 month LIBOR + 1.950%) (D)(F) | 6.758 | 10-20-33 | 250,000 | 247,227 | |
Series 2020-5A, Class D (3 month LIBOR + 3.550%) (D)(F) | 8.358 | 01-20-32 | 250,000 | 233,348 | |
Benefit Street Partners CLO XIX, Ltd. | |||||
Series 2019-19A, Class E (3 month LIBOR + 7.020%) (D)(F) | 11.812 | 01-15-33 | 250,000 | 225,041 | |
Bojangles Issuer LLC | |||||
Series 2020-1A, Class A2 (D) | 3.832 | 10-20-50 | 29,700 | 26,927 | |
DataBank Issuer | |||||
Series 2021-1A, Class B (D) | 2.650 | 02-27-51 | 40,000 | 34,860 | |
First Investors Auto Owner Trust | |||||
Series 2021-2A, Class D (D) | 1.660 | 12-15-27 | 190,000 | 171,298 | |
FS Rialto | |||||
Series 2021-FL3, Class A (1 month LIBOR + 1.250%) (D)(F) | 5.840 | 11-16-36 | 105,000 | 100,111 | |
Greystone Commercial Real Estate Notes, Ltd. | |||||
Series 2021-FL3, Class B (1 month LIBOR + 1.650%) (D)(F) | 6.238 | 07-15-39 | 100,000 | 95,851 | |
Hertz Vehicle Financing III LP | |||||
Series 2021-2A, Class B (D) | 2.120 | 12-27-27 | 100,000 | 87,220 | |
Hertz Vehicle Financing LLC | |||||
Series 2022-2A, Class C (D) | 2.950 | 06-26-28 | 100,000 | 85,737 | |
JFIN CLO, Ltd. | |||||
Series 2016-1A, Class DR (3 month LIBOR + 3.400%) (D)(F) | 8.215 | 10-27-28 | 150,000 | 147,261 | |
LAD Auto Receivables Trust | |||||
Series 2021-1A, Class B (D) | 1.940 | 11-16-26 | 40,000 | 37,346 | |
Lendbuzz Securitization Trust | |||||
Series 2021-1A, Class A (D) | 1.460 | 06-15-26 | 50,420 | 48,163 | |
LoanCore Issuer, Ltd. | |||||
Series 2021-CRE4, Class A (1 month SOFR + 0.914%) (D)(F) | 5.316 | 07-15-35 | 36,415 | 35,761 | |
Mercury Financial Credit Card Master Trust | |||||
Series 2022-1A, Class A (D) | 2.500 | 09-21-26 | 125,000 | 117,301 | |
MF1, Ltd. | |||||
Series 2022-FL8, Class AS (1 month SOFR + 1.750%) (D)(F) | 6.184 | 02-19-37 | 100,000 | 96,759 | |
Neuberger Berman Loan Advisers CLO, Ltd. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 29 |
Rate (%) | Maturity date | Par value^ | Value | ||
Asset backed securities (continued) | |||||
Series 2017-26A, Class BR (3 month LIBOR + 1.400%) (D)(F) | 6.195 | 10-18-30 | 250,000 | $244,855 | |
Palmer Square Loan Funding, Ltd. | |||||
Series 2021-4A, Class C (3 month LIBOR + 2.600%) (D)(F) | 7.392 | 10-15-29 | 250,000 | 232,383 | |
Pretium Mortgage Credit Partners LLC | |||||
Series 2021-RN1, Class A2 (3.598% to 6-25-25, then 7.598% thereafter) (D) | 3.598 | 02-25-61 | 100,000 | 83,722 | |
Progress Residential Trust | |||||
Series 2021-SFR2, Class E1 (D) | 2.547 | 04-19-38 | 100,000 | 85,962 | |
Series 2021-SFR3, Class D (D) | 2.288 | 05-17-26 | 100,000 | 86,090 | |
Series 2022-SFR5, Class D (D) | 5.734 | 06-17-39 | 100,000 | 94,110 | |
Sixth Street CLO XVI, Ltd. | |||||
Series 2020-16A, Class E (3 month LIBOR + 7.320%) (D)(F) | 12.128 | 10-20-32 | 150,000 | 138,963 | |
Sound Point CLO XXVIII, Ltd. | |||||
Series 2020-3A, Class C (3 month LIBOR + 2.250%) (D)(F) | 7.068 | 01-25-32 | 250,000 | 234,086 | |
Textainer Marine Containers, Ltd. | |||||
Series 2021-3A, Class A (D) | 1.940 | 08-20-46 | 88,000 | 72,918 | |
Tricon American Homes Trust | |||||
Series 2020-SFR2, Class E1 (D) | 2.730 | 11-17-39 | 100,000 | 83,813 | |
TRTX Issuer, Ltd. | |||||
Series 2019-FL3, Class D (1 month CME Term SOFR + 2.564%) (D)(F) | 7.128 | 10-15-34 | 100,000 | 94,925 | |
Venture XIII CLO, Ltd. | |||||
Series 2013-13A, Class DR (3 month LIBOR + 3.300%) (D)(F) | 8.035 | 09-10-29 | 175,000 | 159,994 | |
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) (D) | 2.240 | 03-27-51 | 100,613 | 91,773 | |
Shares | Value | ||||
Common stocks 0.0% | $8,695 | ||||
(Cost $20,742) | |||||
United States 0.0% | 8,695 | ||||
Paragon Offshore PLC, Litigation Trust A (E)(J) | 2,695 | 270 | |||
Paragon Offshore PLC, Litigation Trust B (E)(J) | 1,348 | 8,425 | |||
Southcross Holdings GP, Class A (E)(J) | 246 | 0 | |||
Preferred securities 0.2% | $210,913 | ||||
(Cost $210,132) | |||||
Bermuda 0.0% | 28,891 | ||||
Athene Holding, Ltd., 6.375% (6.375% to 6-30-25, then 5 Year CMT + 5.970%) | 1,146 | 28,891 |
30 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Shares | Value | ||||
United States 0.2% | $182,022 | ||||
Bank of America Corp., 7.250% | 32 | 38,203 | |||
Becton, Dickinson and Company, 6.000% | 976 | 47,209 | |||
Fluor Corp., 6.500% | 1 | 1,717 | |||
Morgan Stanley, 5.850% (5.850% to 4-15-27, then 3 month LIBOR + 3.491%) | 925 | 23,171 | |||
NextEra Energy, Inc., 6.926% | 302 | 13,530 | |||
NiSource, Inc., 6.500% (6.500% to 3-15-24, then 5 Year CMT + 3.632%) | 900 | 22,599 | |||
SCE Trust V, 5.450% (5.450% to 3-15-26, then 3 month LIBOR + 3.790%) | 550 | 12,650 | |||
Wells Fargo & Company, 5.850% (5.850% to 9-15-23, then 3 month LIBOR + 3.090%) | 927 | 22,943 | |||
Exchange-traded funds 0.1% | $154,623 | ||||
(Cost $155,173) | |||||
SPDR Blackstone Senior Loan ETF (M) | 3,700 | 154,623 | |||
Par value^ | Value | ||||
Escrow certificates 0.0% | $46 | ||||
(Cost $491,686) | |||||
Alta Mesa Holdings LP (E)(J) | 460,000 | 46 | |||
Texas Competitive Electric Holdings Company LLC (E)(J) | 10,820,544 | 0 | |||
Yield* (%) | Maturity date | Par value^ | Value | ||
Short-term investments 13.0% | $13,934,370 | ||||
(Cost $13,934,387) | |||||
U.S. Government 0.1% | 74,514 | ||||
U.S. Treasury Bill | 4.485 | 03-21-23 | 74,700 | 74,514 |
Yield (%) | Shares | Value | |||
Short-term funds 12.9% | 13,859,856 | ||||
John Hancock Collateral Trust (N) | 4.5832(O) | 15,628 | 156,210 | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 4.4192(O) | 13,703,646 | 13,703,646 |
Total investments (Cost $134,093,839) 113.0% | $121,112,891 | ||||
Other assets and liabilities, net (13.0%) | (13,938,295) | ||||
Total net assets 100.0% | $107,174,596 |
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 |
CLP | Chilean Peso |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 31 |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
DOP | Dominican Republic Peso |
EUR | Euro |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli New Shekel |
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 |
SEK | Swedish Krona |
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 |
IO | Interest-Only Security - (Interest Tranche of Stripped Mortgage Pool). Rate shown is the annualized yield at the end of the period. |
JIBAR | Johannesburg Interbank Agreed 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 |
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. |
WIBOR | Warsaw Interbank Offered Rate |
(A) | All or a portion of this security is segregated at the custodian as collateral for certain derivatives. |
(B) | Security purchased or sold on a when-issued or delayed delivery basis. |
(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 $25,083,239 or 23.4% of the fund’s net assets as of 2-28-23. |
(E) | Non-income producing security. |
(F) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(G) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(H) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
32 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
(I) | Non-income producing - Issuer is in default. |
(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) | 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). |
(L) | 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. |
(M) | All or a portion of this security is on loan as of 2-28-23. |
(N) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
(O) | The rate shown is the annualized seven-day yield as of 2-28-23. |
* | 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. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 33 |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
10-Year Australian Treasury Bond Futures | 43 | Long | Mar 2023 | $3,486,924 | $3,395,275 | $(91,649) |
10-Year U.S. Treasury Note Futures | 50 | Long | Jun 2023 | 5,583,612 | 5,582,813 | (799) |
2-Year U.S. Treasury Note Futures | 70 | Long | Jun 2023 | 14,282,244 | 14,260,859 | (21,385) |
30-Day Federal Funds Futures | 13 | Long | Sep 2023 | 5,159,294 | 5,124,306 | (34,988) |
5-Year Canada Government Bond Futures | 6 | Long | Jun 2023 | 490,944 | 491,213 | 269 |
5-Year U.S. Treasury Note Futures | 137 | Long | Jun 2023 | 14,681,425 | 14,666,492 | (14,933) |
German Euro BUND Futures | 4 | Long | Mar 2023 | 570,040 | 562,315 | (7,725) |
Ultra U.S. Treasury Bond Futures | 2 | Long | Jun 2023 | 234,582 | 234,375 | (207) |
Ultra U.S. Treasury Bond Futures | 22 | Long | Jun 2023 | 2,980,674 | 2,971,375 | (9,299) |
10-Year Canada Government Bond Futures | 11 | Short | Jun 2023 | (978,737) | (979,318) | (581) |
10-Year Japan Government Bond Future | 7 | Short | Mar 2023 | (7,628,612) | (7,530,148) | 98,464 |
Euro-BTP Italian Government Bond Futures | 37 | Short | Mar 2023 | (4,505,203) | (4,410,110) | 95,093 |
Euro-Buxl Futures | 19 | Short | Mar 2023 | (3,224,035) | (2,698,530) | 525,505 |
Euro-OAT Futures | 17 | Short | Mar 2023 | (2,397,091) | (2,296,160) | 100,931 |
German Euro BOBL Futures | 7 | Short | Mar 2023 | (866,450) | (852,781) | 13,669 |
U.K. Long Gilt Bond Futures | 7 | Short | Jun 2023 | (853,029) | (841,658) | 11,371 |
U.S. Treasury Long Bond Futures | 30 | Short | Jun 2023 | (3,769,318) | (3,756,563) | 12,755 |
$676,491 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
AUD | 45,000 | USD | 31,431 | JPM | 3/15/2023 | — | $(1,136) |
BRL | 16,626,000 | USD | 3,190,016 | CITI | 3/2/2023 | — | (14,358) |
BRL | 18,867,000 | USD | 3,630,809 | GSI | 3/2/2023 | — | (27,106) |
BRL | 55,000 | USD | 10,163 | SSB | 3/2/2023 | $342 | — |
BRL | 1,259,000 | USD | 241,107 | GSI | 4/4/2023 | — | (2,147) |
BRL | 220,000 | USD | 41,675 | CITI | 6/2/2023 | — | (377) |
BRL | 68,000 | USD | 12,841 | GSI | 6/2/2023 | — | (76) |
CAD | 60,000 | USD | 44,119 | BOA | 3/15/2023 | — | (142) |
CAD | 40,000 | USD | 29,445 | GSI | 3/15/2023 | — | (128) |
CLP | 89,178,000 | USD | 105,701 | GSI | 3/15/2023 | 1,877 | — |
CLP | 24,093,000 | USD | 30,420 | HSBC | 3/15/2023 | — | (1,356) |
CLP | 84,396,000 | USD | 95,886 | MSI | 3/15/2023 | 5,923 | — |
CLP | 40,500,000 | USD | 48,278 | SSB | 3/15/2023 | 579 | — |
34 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
CLP | 129,139,000 | USD | 154,750 | GSI | 3/31/2023 | $688 | — |
CNY | 210,000 | USD | 31,097 | BARC | 3/15/2023 | — | $(855) |
CNY | 2,520,000 | USD | 367,338 | GSI | 3/15/2023 | — | (4,434) |
CNY | 217,000 | USD | 32,161 | MSI | 3/15/2023 | — | (911) |
COP | 620,350,000 | USD | 130,958 | CITI | 3/15/2023 | — | (3,637) |
COP | 231,578,000 | USD | 48,609 | GSI | 3/15/2023 | — | (1,080) |
COP | 792,991,000 | USD | 162,552 | SSB | 3/15/2023 | 201 | — |
COP | 1,604,214,000 | USD | 323,476 | CITI | 3/31/2023 | 4,761 | — |
CZK | 3,251,000 | USD | 142,846 | BARC | 3/15/2023 | 3,382 | — |
CZK | 2,790,000 | USD | 122,014 | CITI | 3/15/2023 | 3,478 | — |
CZK | 680,000 | USD | 30,831 | MSI | 3/15/2023 | — | (245) |
EGP | 486,000 | USD | 16,474 | GSI | 4/10/2023 | — | (984) |
EGP | 274,000 | USD | 8,876 | GSI | 4/18/2023 | — | (179) |
EGP | 2,410,000 | USD | 75,407 | GSI | 5/15/2023 | — | (84) |
EGP | 1,620,000 | USD | 60,994 | CITI | 6/1/2023 | — | (10,886) |
EUR | 78,000 | USD | 84,095 | BOA | 3/15/2023 | — | (1,530) |
EUR | 27,000 | USD | 28,608 | CITI | 3/15/2023 | — | (28) |
EUR | 57,000 | USD | 61,944 | GSI | 3/15/2023 | — | (1,607) |
EUR | 45,000 | USD | 49,503 | HSBC | 3/15/2023 | — | (1,869) |
EUR | 32,000 | USD | 34,542 | JPM | 3/15/2023 | — | (670) |
EUR | 21,000 | USD | 22,527 | MSI | 3/15/2023 | — | (298) |
EUR | 4,641,000 | USD | 4,953,089 | GSI | 3/31/2023 | — | (35,777) |
GBP | 15,000 | USD | 18,209 | BOA | 3/15/2023 | — | (163) |
GBP | 20,000 | USD | 24,909 | BARC | 3/15/2023 | — | (846) |
GBP | 29,000 | USD | 35,645 | JPM | 3/15/2023 | — | (755) |
GBP | 1,119,000 | USD | 1,355,892 | JPM | 3/31/2023 | — | (9,194) |
HUF | 13,700,000 | USD | 37,435 | BOA | 3/16/2023 | 678 | — |
HUF | 27,948,000 | USD | 76,859 | BARC | 3/16/2023 | 891 | — |
HUF | 120,262,000 | USD | 302,167 | GSI | 3/16/2023 | 32,399 | — |
HUF | 14,043,000 | USD | 38,698 | MSI | 3/16/2023 | 370 | — |
HUF | 476,644,000 | USD | 1,312,274 | BOA | 3/31/2023 | 6,999 | — |
IDR | 111,000,000 | USD | 7,100 | BOA | 3/15/2023 | 181 | — |
IDR | 8,051,069,000 | USD | 517,784 | BARC | 3/15/2023 | 10,303 | — |
IDR | 934,000,000 | USD | 59,885 | CITI | 3/15/2023 | 1,378 | — |
IDR | 532,000,000 | USD | 34,947 | MSI | 3/15/2023 | — | (52) |
IDR | 20,040,823,000 | USD | 1,318,042 | JPM | 3/31/2023 | — | (4,611) |
INR | 3,560,000 | USD | 43,644 | BOA | 3/15/2023 | — | (594) |
INR | 4,160,000 | USD | 51,029 | GSI | 3/15/2023 | — | (724) |
JPY | 410,600,000 | USD | 3,066,811 | BARC | 3/31/2023 | — | (38,875) |
JPY | 36,598,000 | USD | 272,576 | JPM | 3/31/2023 | — | (2,687) |
KRW | 828,797,000 | USD | 638,838 | MSI | 3/31/2023 | — | (10,825) |
KZT | 32,100,000 | USD | 66,505 | GSI | 3/15/2023 | 5,365 | — |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 35 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
KZT | 2,548,000 | USD | 5,380 | BOA | 4/24/2023 | $265 | — |
KZT | 6,552,000 | USD | 13,842 | BOA | 4/25/2023 | 668 | — |
KZT | 9,100,000 | USD | 18,763 | BOA | 7/24/2023 | 977 | — |
KZT | 8,000,000 | USD | 16,771 | GSI | 8/9/2023 | 522 | — |
MXN | 713,000 | USD | 37,570 | BARC | 3/15/2023 | 1,304 | — |
MXN | 650,000 | USD | 32,261 | CITI | 3/15/2023 | 3,178 | — |
MXN | 4,174,000 | USD | 208,940 | GSI | 3/15/2023 | 18,632 | — |
MXN | 500,000 | USD | 27,084 | HSBC | 3/15/2023 | 177 | — |
MXN | 720,000 | USD | 38,446 | JPM | 3/15/2023 | 809 | — |
MXN | 3,856,000 | USD | 192,231 | MSI | 3/15/2023 | 18,004 | — |
MXN | 24,843,000 | USD | 1,342,771 | MSI | 3/31/2023 | 7,632 | — |
MYR | 140,000 | USD | 31,511 | HSBC | 3/15/2023 | — | $(273) |
NZD | 25,000 | USD | 16,014 | BARC | 3/15/2023 | — | (556) |
NZD | 70,000 | USD | 45,446 | GSI | 3/15/2023 | — | (2,165) |
NZD | 2,090,000 | USD | 1,304,066 | BARC | 3/31/2023 | — | (11,763) |
PEN | 179,000 | USD | 46,147 | BOA | 3/15/2023 | 980 | — |
PEN | 288,000 | USD | 74,765 | CITI | 3/15/2023 | 1,061 | — |
PEN | 254,000 | USD | 66,513 | GSI | 3/15/2023 | 361 | — |
PEN | 67,000 | USD | 17,333 | SSB | 3/15/2023 | 307 | — |
PHP | 73,558,000 | USD | 1,334,991 | GSI | 3/31/2023 | — | (9,639) |
PLN | 1,865,000 | USD | 410,353 | BARC | 3/15/2023 | 8,517 | — |
PLN | 185,000 | USD | 42,089 | GSI | 3/15/2023 | — | (538) |
PLN | 85,000 | USD | 19,162 | MSI | 3/15/2023 | — | (72) |
RON | 1,962,000 | USD | 419,419 | GSI | 3/15/2023 | 1,748 | — |
SEK | 13,725,000 | USD | 1,331,544 | CITI | 3/31/2023 | — | (18,420) |
SEK | 4,011,000 | USD | 386,271 | MSI | 3/31/2023 | — | (2,523) |
SGD | 45,000 | USD | 34,074 | BOA | 3/15/2023 | — | (692) |
SGD | 170,000 | USD | 128,880 | JPM | 3/15/2023 | — | (2,768) |
SGD | 25,000 | USD | 18,447 | MSI | 3/15/2023 | 98 | — |
THB | 15,817,000 | USD | 458,863 | BARC | 3/15/2023 | — | (10,748) |
THB | 2,080,000 | USD | 59,318 | GSI | 3/15/2023 | — | (388) |
THB | 360,000 | USD | 11,000 | HSBC | 3/15/2023 | — | (801) |
THB | 3,753,000 | USD | 108,483 | JPM | 3/15/2023 | — | (2,157) |
TRY | 3,615,000 | USD | 187,070 | GSI | 3/15/2023 | 3,321 | — |
TRY | 5,706,000 | USD | 294,563 | BARC | 3/31/2023 | 3,292 | — |
USD | 31,564 | AUD | 45,000 | MSI | 3/15/2023 | 1,269 | — |
USD | 3,473,941 | AUD | 5,086,000 | GSI | 3/31/2023 | 47,927 | — |
USD | 3,247,686 | BRL | 16,626,000 | CITI | 3/2/2023 | 72,027 | — |
USD | 3,612,284 | BRL | 18,867,000 | GSI | 3/2/2023 | 8,583 | — |
USD | 39,570 | BRL | 206,000 | SSB | 3/2/2023 | 223 | — |
USD | 2,669,412 | BRL | 13,939,000 | GSI | 4/4/2023 | 23,773 | — |
USD | 394,678 | BRL | 2,085,000 | GSI | 6/2/2023 | 3,291 | — |
36 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 29,282 | CAD | 40,000 | BARC | 3/15/2023 | — | $(36) |
USD | 44,728 | CAD | 60,000 | JPM | 3/15/2023 | $751 | — |
USD | 2,408,735 | CAD | 3,259,000 | CITI | 3/31/2023 | 19,704 | — |
USD | 1,343,538 | CHF | 1,242,000 | BOA | 3/31/2023 | 20,645 | — |
USD | 29,492 | CLP | 23,800,000 | BOA | 3/15/2023 | 781 | — |
USD | 69,258 | CLP | 55,500,000 | MSI | 3/15/2023 | 2,307 | — |
USD | 16,392 | CLP | 13,500,000 | SSB | 3/15/2023 | 107 | — |
USD | 368,562 | CLP | 295,506,000 | CITI | 3/31/2023 | 12,876 | — |
USD | 61,691 | CNY | 414,000 | GSI | 3/15/2023 | 2,071 | — |
USD | 30,939 | CNY | 212,000 | HSBC | 3/15/2023 | 409 | — |
USD | 279,432 | CNY | 1,938,000 | JPM | 3/15/2023 | 343 | — |
USD | 3,348,785 | CNY | 23,002,000 | GSI | 3/31/2023 | 33,027 | — |
USD | 24,564 | COP | 119,404,000 | BARC | 3/15/2023 | 57 | — |
USD | 358,455 | COP | 1,765,366,000 | CITI | 3/15/2023 | — | (3,870) |
USD | 110,483 | COP | 530,000,000 | GSI | 3/15/2023 | 1,706 | — |
USD | 2,644 | COP | 12,900,000 | MSI | 3/15/2023 | — | (4) |
USD | 19,195 | COP | 88,200,000 | SSB | 3/15/2023 | 1,093 | — |
USD | 52,044 | COP | 258,100,000 | CITI | 3/31/2023 | — | (766) |
USD | 334,560 | COP | 1,604,214,000 | GSI | 3/31/2023 | 6,322 | — |
USD | 10,412 | CZK | 240,000 | BARC | 3/15/2023 | — | (383) |
USD | 5,079 | CZK | 110,000 | GSI | 3/15/2023 | 131 | — |
USD | 8,351 | CZK | 191,000 | JPM | 3/15/2023 | — | (240) |
USD | 148,528 | CZK | 3,293,000 | MSI | 3/15/2023 | 410 | — |
USD | 1,382,904 | CZK | 30,810,000 | HSBC | 3/31/2023 | — | (1,653) |
USD | 13,694 | EGP | 430,000 | GSI | 3/30/2023 | — | (98) |
USD | 176,709 | EUR | 167,000 | BARC | 3/15/2023 | — | (65) |
USD | 12,779 | EUR | 12,000 | CITI | 3/15/2023 | 77 | — |
USD | 255,649 | EUR | 239,000 | GSI | 3/15/2023 | 2,661 | — |
USD | 133,366 | EUR | 123,000 | JPM | 3/15/2023 | 3,168 | — |
USD | 58,314 | EUR | 54,000 | MSI | 3/15/2023 | 1,152 | — |
USD | 6,124,925 | EUR | 5,739,000 | GSI | 3/31/2023 | 44,242 | — |
USD | 527,273 | EUR | 497,000 | MSI | 3/31/2023 | 683 | — |
USD | 85,116 | GBP | 70,000 | BOA | 3/15/2023 | 898 | — |
USD | 30,890 | GBP | 25,000 | GSI | 3/15/2023 | 812 | — |
USD | 1,212 | GBP | 1,000 | JPM | 3/31/2023 | 8 | — |
USD | 9,787 | HUF | 3,500,000 | BOA | 3/16/2023 | 51 | — |
USD | 54,059 | HUF | 19,995,000 | JPM | 3/16/2023 | — | (1,566) |
USD | 46,528 | HUF | 16,900,000 | BOA | 3/31/2023 | — | (248) |
USD | 205,131 | HUF | 73,770,000 | BARC | 3/31/2023 | 948 | — |
USD | 287,283 | HUF | 104,356,000 | CITI | 3/31/2023 | — | (1,558) |
USD | 91,522 | IDR | 1,427,742,000 | GSI | 3/15/2023 | — | (2,126) |
USD | 65,625 | IDR | 998,000,000 | MSI | 3/15/2023 | 164 | — |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 37 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 107,859 | IDR | 1,640,000,000 | JPM | 3/31/2023 | $377 | — |
USD | 502,152 | ILS | 1,815,000 | HSBC | 3/31/2023 | 4,914 | — |
USD | 93,437 | INR | 7,720,000 | GSI | 3/15/2023 | 82 | — |
USD | 578,301 | INR | 47,973,000 | SSB | 3/31/2023 | — | $(874) |
USD | 6,861,426 | JPY | 918,642,000 | BARC | 3/31/2023 | 86,975 | — |
USD | 7,561,262 | KRW | 9,809,603,000 | MSI | 3/31/2023 | 128,128 | — |
USD | 31,723 | KZT | 15,400,000 | CITI | 3/15/2023 | — | (2,757) |
USD | 79,318 | MXN | 1,537,000 | CITI | 3/15/2023 | — | (4,482) |
USD | 284,795 | MXN | 5,536,000 | GSI | 3/15/2023 | — | (17,037) |
USD | 42,186 | MXN | 780,000 | JPM | 3/15/2023 | — | (341) |
USD | 45,622 | MXN | 860,000 | MSI | 3/15/2023 | — | (1,267) |
USD | 160,962 | MXN | 2,978,000 | MSI | 3/31/2023 | — | (915) |
USD | 55,527 | MYR | 236,000 | HSBC | 3/15/2023 | 2,868 | — |
USD | 80,926 | NOK | 836,000 | BOA | 3/31/2023 | 303 | — |
USD | 864,432 | NOK | 8,879,000 | CITI | 3/31/2023 | 8,141 | — |
USD | 123,664 | NOK | 1,273,000 | JPM | 3/31/2023 | 896 | — |
USD | 25,179 | NZD | 40,000 | GSI | 3/15/2023 | 447 | — |
USD | 60,613 | NZD | 95,000 | JPM | 3/15/2023 | 1,875 | — |
USD | 5,460,230 | NZD | 8,751,000 | BARC | 3/31/2023 | 49,253 | — |
USD | 35,636 | PEN | 138,000 | BOA | 3/15/2023 | — | (697) |
USD | 289,191 | PEN | 1,113,000 | BARC | 3/15/2023 | — | (3,841) |
USD | 151,371 | PEN | 581,000 | CITI | 3/15/2023 | — | (1,595) |
USD | 9,123 | PEN | 35,000 | GSI | 3/15/2023 | — | (92) |
USD | 11,811 | PEN | 45,000 | MSI | 3/15/2023 | — | (37) |
USD | 33,885 | PEN | 130,000 | CITI | 3/31/2023 | — | (304) |
USD | 37,466 | PHP | 2,070,000 | GSI | 3/15/2023 | 134 | — |
USD | 23,128 | PHP | 1,300,000 | MSI | 3/15/2023 | — | (318) |
USD | 261,927 | PHP | 14,406,000 | BOA | 3/31/2023 | 2,363 | — |
USD | 395,646 | PHP | 21,901,000 | BARC | 3/31/2023 | 1,039 | — |
USD | 31,686 | PLN | 138,000 | BOA | 3/15/2023 | 692 | — |
USD | 173,931 | PLN | 772,000 | BARC | 3/15/2023 | 543 | — |
USD | 11,461 | PLN | 51,000 | CITI | 3/15/2023 | 6 | — |
USD | 612,892 | PLN | 2,739,000 | HSBC | 3/31/2023 | — | (1,566) |
USD | 44,292 | RON | 199,000 | BOA | 3/15/2023 | 1,574 | — |
USD | 12,233 | RON | 57,000 | BARC | 3/15/2023 | — | (2) |
USD | 227,188 | RON | 1,041,000 | GSI | 3/15/2023 | 3,727 | — |
USD | 25,974 | RON | 118,000 | JPM | 3/15/2023 | 644 | — |
USD | 11,859 | RON | 55,000 | MSI | 3/15/2023 | 52 | — |
USD | 48,569 | RON | 225,000 | MSI | 3/31/2023 | 302 | — |
USD | 313,971 | SEK | 3,256,000 | BOA | 3/31/2023 | 2,457 | — |
USD | 1,585,320 | SEK | 16,367,000 | JPM | 3/31/2023 | 19,425 | — |
USD | 175,125 | SEK | 1,806,000 | MSI | 3/31/2023 | 2,338 | — |
38 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 86,383 | SGD | 115,000 | BARC | 3/15/2023 | $1,072 | — |
USD | 19,082 | SGD | 25,000 | CITI | 3/15/2023 | 536 | — |
USD | 33,377 | SGD | 45,000 | HSBC | 3/15/2023 | — | $(5) |
USD | 124,333 | SGD | 165,000 | JPM | 3/15/2023 | 1,931 | — |
USD | 34,290 | SGD | 45,000 | MSI | 3/15/2023 | 908 | — |
USD | 1,317,139 | SGD | 1,761,000 | BARC | 3/31/2023 | 10,255 | — |
USD | 65,825 | THB | 2,264,000 | BARC | 3/15/2023 | 1,683 | — |
USD | 23,181 | THB | 760,000 | GSI | 3/15/2023 | 1,649 | — |
USD | 55,746 | THB | 1,870,000 | HSBC | 3/15/2023 | 2,767 | — |
USD | 107,834 | THB | 3,720,000 | BARC | 3/31/2023 | 2,277 | — |
USD | 43,533 | TRY | 835,000 | GSI | 3/15/2023 | — | (444) |
USD | 82,081 | TRY | 1,590,000 | BARC | 3/31/2023 | — | (917) |
USD | 52,216 | UYU | 2,042,000 | CITI | 3/15/2023 | 20 | — |
USD | 18,736 | UYU | 738,000 | HSBC | 3/15/2023 | — | (128) |
USD | 308,660 | ZAR | 5,377,000 | BARC | 3/15/2023 | 16,204 | — |
USD | 46,796 | ZAR | 794,000 | CITI | 3/15/2023 | 3,610 | — |
USD | 117,300 | ZAR | 2,080,000 | GSI | 3/15/2023 | 4,169 | — |
USD | 301,008 | ZAR | 5,272,000 | MSI | 3/15/2023 | 14,262 | — |
USD | 255,356 | ZAR | 4,670,000 | GSI | 3/31/2023 | 1,697 | — |
USD | 109,174 | ZAR | 2,015,000 | HSBC | 3/31/2023 | — | (274) |
USD | 97,351 | ZAR | 1,780,000 | MSI | 3/31/2023 | 668 | — |
UYU | 2,195,000 | USD | 55,932 | CITI | 3/15/2023 | 174 | — |
UYU | 1,600,000 | USD | 39,375 | JPM | 3/15/2023 | 1,523 | — |
ZAR | 1,960,000 | USD | 110,452 | GSI | 3/15/2023 | — | (3,847) |
ZAR | 1,740,000 | USD | 98,725 | MSI | 3/15/2023 | — | (4,085) |
ZAR | 19,861,000 | USD | 1,086,232 | MSI | 3/31/2023 | — | (7,450) |
$851,305 | $(310,617) |
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 | 9,330,000 | MXN | MXN TIIE Banxico | Fixed 7.840% | Monthly | Monthly | Mar 2027 | $377 | $(29,332) | $(28,955) |
Centrally cleared | 8,650,000 | NZD | NZD BBR FRA | Fixed 2.660% | Semi-Annual | Quarterly | Mar 2027 | (16,871) | (416,276) | (433,147) |
Centrally cleared | 2,700,000 | NZD | NZD BBR FRA | Fixed 2.750% | Semi-Annual | Quarterly | Mar 2027 | 2,307 | (131,377) | (129,070) |
Centrally cleared | 2,770,000 | NZD | NZD BBR FRA | Fixed 2.590% | Semi-Annual | Quarterly | Mar 2027 | 1,147 | (144,748) | (143,601) |
Centrally cleared | 1,268,960,000 | HUF | HUF BUBOR Reuters | Fixed 5.000% | Annual | Semi-Annual | Mar 2027 | 6,583 | (598,186) | (591,603) |
Centrally cleared | 3,205,000 | PLN | Fixed 6.445% | PLN WIBOR WIBO | Annual | Semi-Annual | Dec 2027 | — | (11,784) | (11,784) |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 39 |
Interest rate swaps (continued) | ||||||||||
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 | 104,180,000 | HUF | HUF BUBOR Reuters | Fixed 11.150% | Annual | Semi-Annual | Dec 2027 | — | $15,790 | $15,790 |
Centrally cleared | 3,205,000 | PLN | Fixed 6.463% | PLN WIBOR WIBO | Annual | Semi-Annual | Dec 2027 | — | (12,320) | (12,320) |
Centrally cleared | 2,606,560,000 | KRW | KRW CD KSDA Bloomberg | Fixed 4.320% | Quarterly | Quarterly | Mar 2028 | — | 62,032 | 62,032 |
Centrally cleared | 12,095,000 | SEK | SEK STIBOR SIDE | Fixed 2.920% | Annual | Quarterly | Mar 2028 | — | (27,569) | (27,569) |
Centrally cleared | 23,550,000 | SEK | SEK STIBOR SIDE | Fixed 3.042% | Annual | Quarterly | Mar 2028 | — | (41,298) | (41,298) |
Centrally cleared | 26,195,000 | MXN | MXN TIIE Banxico | Fixed 8.840% | Monthly | Monthly | Jun 2028 | $(2,007) | (9,173) | (11,180) |
Centrally cleared | 36,820,000 | MXN | MXN TIIE Banxico | Fixed 9.053% | Monthly | Monthly | Jun 2028 | — | — | — |
Centrally cleared | 18,755,000 | MXN | MXN TIIE Banxico | Fixed 7.340% | Monthly | Monthly | Mar 2032 | 330 | (104,386) | (104,056) |
Centrally cleared | 13,935,000 | ZAR | ZAR JIBAR SAFEX | Fixed 9.255% | Quarterly | Quarterly | Mar 2033 | — | 943 | 943 |
$(8,134) | $(1,447,684) | $(1,455,818) |
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 | 482,000 | USD | $482,000 | 1.000% | Quarterly | Dec 2026 | $22,414 | $(9,299) | $13,115 |
BARC | Republic of the Philippines | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2027 | (635) | (2,405) | (3,040) |
BOA | Federative Republic of Brazil | 1,530,000 | USD | 1,530,000 | 1.000% | Quarterly | Dec 2027 | 94,792 | (16,604) | 78,188 |
BOA | Federative Republic of Brazil | 405,000 | USD | 405,000 | 1.000% | Quarterly | Dec 2027 | 25,171 | (4,474) | 20,697 |
CITI | Federative Republic of Brazil | 315,000 | USD | 315,000 | 1.000% | Quarterly | Dec 2027 | 19,884 | (3,787) | 16,097 |
CITI | Republic of Indonesia | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2027 | (956) | (1,832) | (2,788) |
GSI | Federative Republic of Brazil | 615,000 | USD | 615,000 | 1.000% | Quarterly | Dec 2027 | 38,581 | (7,153) | 31,428 |
GSI | Government of Malaysia | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2027 | (4,803) | (2,552) | (7,355) |
GSI | Government of Malaysia | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2027 | (5,141) | (2,214) | (7,355) |
GSI | Republic of Colombia | 505,000 | USD | 505,000 | 1.000% | Quarterly | Dec 2027 | 33,437 | 3,156 | 36,593 |
GSI | Republic of Indonesia | 575,000 | USD | 575,000 | 1.000% | Quarterly | Dec 2027 | (858) | (2,348) | (3,206) |
GSI | Republic of the Philippines | 500,000 | USD | 500,000 | 1.000% | Quarterly | Dec 2027 | (850) | (2,190) | (3,040) |
JPM | Government of Mexico | 585,000 | USD | 585,000 | 1.000% | Quarterly | Dec 2027 | 6,464 | (3,684) | 2,780 |
MSI | Government of Japan | 2,090,000 | USD | 2,090,000 | 1.000% | Quarterly | Dec 2024 | (27,608) | (9,286) | (36,894) |
$9,602,000 | $199,892 | $(64,672) | $135,220 | |||||||
Centrally cleared | CDX.NA.HY.38 | 334,620 | USD | 334,620 | 5.000% | Quarterly | Jun 2027 | (104) | (12,064) | (12,168) |
Centrally cleared | CDX.EM.38 | 13,040,000 | USD | 13,040,000 | 1.000% | Quarterly | Dec 2027 | 712,072 | 5,268 | 717,340 |
Centrally cleared | CDX.NA.IG.39 | 1,495,000 | USD | 1,495,000 | 1.000% | Quarterly | Dec 2027 | (20,004) | 2,010 | (17,994) |
40 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Credit default swaps - Buyer (continued) | ||||||||||
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 | iTraxx Europe Crossover Series 38 Version 1 | 360,000 | EUR | $380,772 | 5.000% | Quarterly | Dec 2027 | $(12,943) | $(3,754) | $(16,697) |
Centrally cleared | iTraxx Europe Series 38 Version 1 | 2,195,000 | EUR | 2,353,622 | 1.000% | Quarterly | Dec 2027 | (20,537) | (4,742) | (25,279) |
Centrally cleared | iTraxx Europe Sub Financials Series 38 Version 1 | 770,000 | EUR | 825,250 | 1.000% | Quarterly | Dec 2027 | 17,432 | (3) | 17,429 |
$18,429,264 | $675,916 | $(13,285) | $662,631 | |||||||
$28,031,264 | $875,808 | $(77,957) | $797,851 |
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 |
GSI | CMBX.NA.BBB-.14 | 8.030% | 25,000 | USD | $25,000 | 3.000% | Monthly | Dec 2072 | $(4,179) | $(932) | $(5,111) |
$25,000 | $(4,179) | $(932) | $(5,111) |
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 High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 380,000 | Mar 2023 | JPM | — | $6,042 | $6,042 |
Pay | iBoxx $ Liquid Investment Grade Index | 3-Month USD Compounded SOFR | At Maturity | USD | 1,595,000 | Mar 2023 | JPM | — | 74,690 | 74,690 |
Pay | iBoxx $ Liquid Investment Grade Index | 3-Month USD Compounded SOFR | At Maturity | USD | 1,595,000 | Mar 2023 | JPM | — | 74,690 | 74,690 |
Pay | iBoxx $ Liquid Investment Grade Index | 3-Month USD Compounded SOFR | At Maturity | USD | 795,000 | Mar 2023 | JPM | — | 33,875 | 33,875 |
Pay | iBoxx $ Liquid High Yield Index | 3-Month USD Compounded SOFR | At Maturity | USD | 2,930,000 | Mar 2023 | MSI | — | 75,878 | 75,878 |
Pay | iBoxx $ Liquid High Yield Index | 1-Day USD Compounded SOFR | At Maturity | USD | 1,100,000 | Jun 2023 | MSI | — | (55,975) | (55,975) |
Pay | iBoxx $ Liquid High Yield Index | 3-Month USD Compounded SOFR | At Maturity | USD | 1,030,000 | Jun 2023 | MSI | — | (33,213) | (33,213) |
— | $175,987 | $175,987 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 41 |
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 | 1,990,000 | USD | $1,990,000 | Fixed 3.243% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | — | $2,597 | $2,597 |
BARC | 2,010,000 | USD | 2,010,000 | Fixed 3.243% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | — | 2,623 | 2,623 |
BARC | 3,910,000 | USD | 3,910,000 | Fixed 3.147% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | — | 22,991 | 22,991 |
BARC | 370,000 | USD | 370,000 | Fixed 2.875% | USA CPI All Urban Consumers | At Maturity | At Maturity | Feb 2052 | — | (25,392) | (25,392) |
CITI | 1,260,000 | USD | 1,260,000 | Fixed 3.257% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | — | 767 | 767 |
CITI | 1,170,000 | USD | 1,170,000 | Fixed 3.257% | USA CPI All Urban Consumers | At Maturity | At Maturity | Apr 2027 | $(128) | 840 | 712 |
CITI | 1,500,000 | USD | 1,500,000 | Fixed 2.793% | USA CPI All Urban Consumers | At Maturity | At Maturity | Feb 2052 | — | (68,775) | (68,775) |
$12,210,000 | $(128) | $(64,349) | $(64,477) |
Derivatives Currency Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNY | Chinese Yuan Renminbi |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
EGP | Egyptian Pound |
EUR | Euro |
GBP | Pound Sterling |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli New Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | Korean Won |
KZT | Kazakhstan Tenge |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PEN | Peruvian Nuevo Sol |
42 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
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 |
Derivatives Abbreviations | |
BARC | Barclays Bank PLC |
BBR | Bank Bill Rate |
BOA | Bank of America, N.A. |
BUBOR | Budapest Interbank Offered Rate |
CITI | Citibank, N.A. |
CPI | Consumer Price Index |
GSI | Goldman Sachs International |
HSBC | HSBC Bank PLC |
JIBAR | Johannesburg Interbank Agreed Rate |
JPM | JPMorgan Chase Bank, N.A. |
KSDA | Korea Securities Dealers Association |
MSI | Morgan Stanley & Co. International PLC |
OTC | Over-the-counter |
SOFR | Secured Overnight Financing Rate |
SSB | State Street Bank and Trust Company |
STIBOR | Stockholm Interbank Offered Rate |
TIIE | Tasa de Interes Interbancario de Equilibrio (Interbank Equilibrium Interest Rate) |
WIBOR | Warsaw Interbank Offered Rate |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 43 |
Assets | |
Unaffiliated investments, at value (Cost $133,937,612) including $153,004 of securities loaned | $120,956,681 |
Affiliated investments, at value (Cost $156,227) | 156,210 |
Total investments, at value (Cost $134,093,839) | 121,112,891 |
Swap contracts, at value (net unamortized upfront payment of $240,615) | 493,763 |
Receivable for centrally cleared swaps (including collateral of $1,400,000) | 1,355,777 |
Unrealized appreciation on forward foreign currency contracts | 851,305 |
Receivable for futures variation margin | 48,962 |
Foreign currency, at value (Cost $32,231) | 41,285 |
Collateral segregated at custodian for OTC derivative contracts | 130,000 |
Dividends and interest receivable | 916,103 |
Receivable for fund shares sold | 67,701 |
Receivable for investments sold | 2,557,266 |
Receivable for delayed delivery securities sold | 1,855,314 |
Receivable for securities lending income | 49 |
Receivable from affiliates | 357 |
Other assets | 44,926 |
Total assets | 129,475,699 |
Liabilities | |
Unrealized depreciation on forward foreign currency contracts | 310,617 |
Swap contracts, at value (net unamortized upfront payment of $45,030) | 252,144 |
Payable for collateral on OTC derivatives | 1,665,000 |
Payable for investments purchased | 1,792,865 |
Payable for delayed delivery securities purchased | 17,783,693 |
Payable for fund shares repurchased | 218,728 |
Payable upon return of securities loaned | 156,227 |
Payable to affiliates | |
Accounting and legal services fees | 9,330 |
Transfer agent fees | 4,086 |
Trustees’ fees | 59 |
Other liabilities and accrued expenses | 108,354 |
Total liabilities | 22,301,103 |
Net assets | $107,174,596 |
Net assets consist of | |
Paid-in capital | $209,362,998 |
Total distributable earnings (loss) | (102,188,402) |
Net assets | $107,174,596 |
44 | JOHN HANCOCK Opportunistic Fixed Income Fund | SEMIANNUAL 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 ($36,426,221 ÷ 3,239,917 shares)1 | $11.24 |
Class C ($1,484,551 ÷ 131,738 shares)1 | $11.27 |
Class I ($7,890,980 ÷ 702,270 shares) | $11.24 |
Class R6 ($1,760,638 ÷ 156,734 shares) | $11.23 |
Class 1 ($59,612,206 ÷ 5,311,456 shares) | $11.22 |
Maximum offering price per share | |
Class A (net asset value per share ÷ 95%)2 | $11.83 |
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 | SEMIANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 45 |
Investment income | |
Interest | $2,724,672 |
Dividends | 6,652 |
Securities lending | 58 |
Other income | 671 |
Less foreign taxes withheld | (1,923) |
Total investment income | 2,730,130 |
Expenses | |
Investment management fees | 347,702 |
Distribution and service fees | 70,259 |
Accounting and legal services fees | 10,267 |
Transfer agent fees | 25,516 |
Trustees’ fees | 1,306 |
Custodian fees | 67,052 |
State registration fees | 44,871 |
Printing and postage | 11,497 |
Professional fees | 65,378 |
Other | 11,478 |
Total expenses | 655,326 |
Less expense reductions | (131,142) |
Net expenses | 524,184 |
Net investment income | 2,205,946 |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on | |
Unaffiliated investments and foreign currency transactions | (5,196,357) |
Futures contracts | (767,564) |
Forward foreign currency contracts | (1,082,294) |
Swap contracts | (1,296,545) |
(8,342,760) | |
Change in net unrealized appreciation (depreciation) of | |
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 6,132,854 |
Affiliated investments | (17) |
Futures contracts | 382,099 |
Forward foreign currency contracts | 570,163 |
Swap contracts | 1,191,518 |
8,276,617 | |
Net realized and unrealized loss | (66,143) |
Increase in net assets from operations | $2,139,803 |
46 | JOHN HANCOCK Opportunistic Fixed Income Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | |
Increase (decrease) in net assets | ||
From operations | ||
Net investment income | $2,205,946 | $3,764,512 |
Net realized loss | (8,342,760) | (5,340,394) |
Change in net unrealized appreciation (depreciation) | 8,276,617 | (20,667,097) |
Increase (decrease) in net assets resulting from operations | 2,139,803 | (22,242,979) |
Distributions to shareholders | ||
From earnings | ||
Class A | (1,503,353) | (1,217,048) |
Class C | (51,526) | (22,958) |
Class I | (229,258) | (444,039) |
Class R6 | (34,323) | (1,021,827) |
Class 1 | (2,431,202) | (1,060,733) |
Total distributions | (4,249,662) | (3,766,605) |
From fund share transactions | ||
Fund share transactions | (4,250,330) | (41,614,668) |
Issued in reorganization | — | 94,289,023 |
From fund share transactions | (4,250,330) | 52,674,355 |
Total increase (decrease) | (6,360,189) | 26,664,771 |
Net assets | ||
Beginning of period | 113,534,785 | 86,870,014 |
End of period | $107,174,596 | $113,534,785 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 47 |
CLASS A SHARES Period ended | 2-28-231 | 8-31-22 | 8-31-212 |
Per share operating performance | |||
Net asset value, beginning of period | $11.44 | $13.66 | $13.52 |
Net investment income3 | 0.22 | 0.35 | 0.07 |
Net realized and unrealized gain (loss) on investments | 0.01 | (2.30) | 0.07 |
Total from investment operations | 0.23 | (1.95) | 0.14 |
Less distributions | |||
From net investment income | (0.43) | (0.27) | — |
Net asset value, end of period | $11.24 | $11.44 | $13.66 |
Total return (%)4,5 | 2.226 | (14.51) | 1.046 |
Ratios and supplemental data | |||
Net assets, end of period (in millions) | $36 | $41 | $—7 |
Ratios (as a percentage of average net assets): | |||
Expenses before reductions | 1.418 | 1.39 | 1.538 |
Expenses including reductions | 1.168 | 1.17 | 1.168 |
Net investment income | 3.958 | 2.88 | 2.228 |
Portfolio turnover (%) | 43 | 1429 | 6110 |
1 | Six months ended 2-28-23. Unaudited. |
2 | The inception date for Class A shares is 6-4-21. |
3 | Based on average daily shares outstanding. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Does not reflect the effect of sales charges, if any. |
6 | Not annualized. |
7 | Less than $500,000. |
8 | Annualized. |
9 | Excludes merger activity. |
10 | Portfolio turnover is shown for the period from 9-1-20 to 8-31-21. |
48 | JOHN HANCOCK Opportunistic Fixed Income Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS C SHARES Period ended | 2-28-231 | 8-31-22 | 8-31-212 |
Per share operating performance | |||
Net asset value, beginning of period | $11.46 | $13.64 | $13.52 |
Net investment income3 | 0.18 | 0.26 | 0.05 |
Net realized and unrealized gain (loss) on investments | 0.02 | (2.32) | 0.07 |
Total from investment operations | 0.20 | (2.06) | 0.12 |
Less distributions | |||
From net investment income | (0.39) | (0.12) | — |
Net asset value, end of period | $11.27 | $11.46 | $13.64 |
Total return (%)4,5 | 1.836 | (15.15) | 0.896 |
Ratios and supplemental data | |||
Net assets, end of period (in millions) | $1 | $2 | $—7 |
Ratios (as a percentage of average net assets): | |||
Expenses before reductions | 2.168 | 2.14 | 2.288 |
Expenses including reductions | 1.918 | 1.92 | 1.918 |
Net investment income | 3.218 | 2.12 | 1.528 |
Portfolio turnover (%) | 43 | 1429 | 6110 |
1 | Six months ended 2-28-23. Unaudited. |
2 | The inception date for Class C shares is 6-4-21. |
3 | Based on average daily shares outstanding. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Does not reflect the effect of sales charges, if any. |
6 | Not annualized. |
7 | Less than $500,000. |
8 | Annualized. |
9 | Excludes merger activity. |
10 | Portfolio turnover is shown for the period from 9-1-20 to 8-31-21. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 49 |
CLASS I SHARES Period ended | 2-28-231 | 8-31-22 | 8-31-212 |
Per share operating performance | |||
Net asset value, beginning of period | $11.43 | $13.67 | $13.52 |
Net investment income3 | 0.23 | 0.38 | 0.07 |
Net realized and unrealized gain (loss) on investments | 0.03 | (2.31) | 0.08 |
Total from investment operations | 0.26 | (1.93) | 0.15 |
Less distributions | |||
From net investment income | (0.45) | (0.31) | — |
Net asset value, end of period | $11.24 | $11.43 | $13.67 |
Total return (%)4 | 2.265 | (14.24) | 1.115 |
Ratios and supplemental data | |||
Net assets, end of period (in millions) | $8 | $7 | $—6 |
Ratios (as a percentage of average net assets): | |||
Expenses before reductions | 1.167 | 1.14 | 1.287 |
Expenses including reductions | 0.917 | 0.92 | 0.917 |
Net investment income | 4.117 | 3.03 | 2.117 |
Portfolio turnover (%) | 43 | 1428 | 619 |
1 | Six months ended 2-28-23. Unaudited. |
2 | The inception date for Class I shares is 6-4-21. |
3 | Based on average daily shares outstanding. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
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. |
50 | JOHN HANCOCK Opportunistic Fixed Income Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS R6 SHARES Period ended | 2-28-231 | 8-31-22 | 8-31-212 |
Per share operating performance | |||
Net asset value, beginning of period | $11.43 | $13.68 | $13.52 |
Net investment income3 | 0.24 | 0.37 | 0.08 |
Net realized and unrealized gain (loss) on investments | 0.01 | (2.28) | 0.08 |
Total from investment operations | 0.25 | (1.91) | 0.16 |
Less distributions | |||
From net investment income | (0.45) | (0.34) | — |
Net asset value, end of period | $11.23 | $11.43 | $13.68 |
Total return (%)4 | 2.325 | (14.16) | 1.185 |
Ratios and supplemental data | |||
Net assets, end of period (in millions) | $2 | $1 | $50 |
Ratios (as a percentage of average net assets): | |||
Expenses before reductions | 1.056 | 1.03 | 1.186 |
Expenses including reductions | 0.816 | 0.81 | 0.816 |
Net investment income | 4.256 | 2.80 | 2.496 |
Portfolio turnover (%) | 43 | 1427 | 618 |
1 | Six months ended 2-28-23. Unaudited. |
2 | The inception date for Class R6 shares is 6-4-21. |
3 | Based on average daily shares outstanding. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Not annualized. |
6 | Annualized. |
7 | Excludes merger activity. |
8 | Portfolio turnover is shown for the period from 9-1-20 to 8-31-21. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 51 |
CLASS 1 SHARES Period ended | 2-28-231 | 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 | $11.42 | $13.67 | $13.98 | $13.27 | $12.72 | $12.84 |
Net investment income2 | 0.24 | 0.38 | 0.36 | 0.23 | 0.24 | 0.26 |
Net realized and unrealized gain (loss) on investments | 0.01 | (2.30) | 0.03 | 0.94 | 0.48 | (0.38) |
Total from investment operations | 0.25 | (1.92) | 0.39 | 1.17 | 0.72 | (0.12) |
Less distributions | ||||||
From net investment income | (0.45) | (0.33) | (0.70) | (0.46) | (0.17) | — |
Net asset value, end of period | $11.22 | $11.42 | $13.67 | $13.98 | $13.27 | $12.72 |
Total return (%)3 | 2.304 | (14.23) | 2.84 | 9.15 | 5.75 | (0.93) |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $60 | $63 | $36 | $41 | $47 | $51 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.105 | 1.08 | 1.22 | 1.666 | 1.206 | 0.86 |
Expenses including reductions | 0.855 | 0.85 | 0.85 | 0.966 | 1.166 | 0.85 |
Net investment income | 4.265 | 3.16 | 2.62 | 1.77 | 2.05 | 2.04 |
Portfolio turnover (%) | 43 | 1427 | 61 | 2248 | 53 | 31 |
1 | Six months ended 2-28-23. Unaudited. |
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 | Includes interest expense of 0.09% and 0.26% for the year ended August 31, 2020 and the year ended August 31, 2019, respectively. |
7 | Excludes merger activity. |
8 | 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. |
52 | JOHN HANCOCK Opportunistic Fixed Income Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
SEMIANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 53 |
Total value at 2-28-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $19,110,413 | — | $19,110,413 | — |
Foreign government obligations | 47,981,038 | — | 47,981,038 | — |
Corporate bonds | 23,203,239 | — | 23,203,239 | — |
Convertible bonds | 3,798,895 | — | 3,798,895 | — |
Municipal bonds | 1,139,205 | — | 1,139,205 | — |
Term loans | 4,051,647 | — | 4,051,647 | — |
Collateralized mortgage obligations | 4,026,002 | — | 4,026,002 | — |
Asset backed securities | 3,493,805 | — | 3,493,805 | — |
Common stocks | 8,695 | — | — | $8,695 |
Preferred securities | 210,913 | $209,196 | 1,717 | — |
Exchange-traded funds | 154,623 | 154,623 | — | — |
Escrow certificates | 46 | — | — | 46 |
Short-term investments | 13,934,370 | 13,859,856 | 74,514 | — |
Total investments in securities | $121,112,891 | $14,223,675 | $106,880,475 | $8,741 |
Derivatives: | ||||
Assets | ||||
Futures | $858,057 | $858,057 | — | — |
Forward foreign currency contracts | 851,305 | — | $851,305 | — |
54 | JOHN HANCOCK Opportunistic Fixed Income Fund | SEMIANNUAL REPORT |
Total value at 2-28-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Swap contracts | $1,307,297 | — | $1,307,297 | — |
Liabilities | ||||
Futures | (181,566) | $(181,566) | — | — |
Forward foreign currency contracts | (310,617) | — | (310,617) | — |
Swap contracts | (1,858,865) | — | (1,858,865) | — |
Level 3 includes securities valued at $0. Refer to Fund’s investments. |
SEMIANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 55 |
56 | JOHN HANCOCK Opportunistic Fixed Income Fund | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 57 |
58 | JOHN HANCOCK Opportunistic Fixed Income Fund | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 59 |
60 | JOHN HANCOCK Opportunistic Fixed Income Fund | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 61 |
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 | $858,057 | $(181,566) |
Currency | Unrealized appreciation (depreciation) on forward foreign currency contracts | Forward foreign currency contracts | 851,305 | (310,617) |
Credit | Swap contracts, at value2 | Credit default swaps | 933,667 | (140,927) |
Interest rate | Swap contracts, at value | Total return swaps | 265,175 | (89,188) |
Interest rate | Swap contracts, at value2 | Interest rate swaps | 78,765 | (1,534,583) |
Inflation | Swap contracts, at value | Inflation swaps | 29,690 | (94,167) |
$3,016,659 | $(2,351,048) |
1 | Reflects cumulative appreciation/depreciation on open futures as disclosed in the Derivatives section of Fund’s investments. Only the period 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 | $851,305 | $(310,617) |
Swap contracts | 493,763 | (252,144) |
Totals | $1,345,068 | $(562,761) |
Counterparty | Assets | Liabilities | Total Market Value of OTC Derivatives | Collateral Posted by Counterparty1 | Collateral Posted by Portfolio1 | Net Exposure |
Bank of America, N.A. | $139,397 | $(4,066) | $135,331 | $135,331 | — | — |
Barclays Bank PLC | 239,321 | (97,319) | 142,002 | — | — | $142,002 |
Citibank, N.A. | 148,603 | (134,601) | 14,002 | — | — | 14,002 |
Goldman Sachs International | 319,385 | (136,767) | 182,618 | 60,000 | — | 122,618 |
HSBC Bank PLC | 11,135 | (7,925) | 3,210 | — | — | 3,210 |
62 | JOHN HANCOCK Opportunistic Fixed Income Fund | SEMIANNUAL REPORT |
Counterparty | Assets | Liabilities | Total Market Value of OTC Derivatives | Collateral Posted by Counterparty1 | Collateral Posted by Portfolio1 | Net Exposure |
JPMorgan Chase Bank, N.A. | $223,827 | $(26,125) | $197,702 | $197,702 | — | — |
Morgan Stanley & Co. International PLC | 260,548 | (155,084) | 105,464 | 105,464 | — | — |
State Street Bank and Trust Company | 2,852 | (874) | 1,978 | — | — | $1,978 |
Totals | $1,345,068 | $(562,761) | $782,307 | $498,497 | — | $283,810 |
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 | $(767,564) | — | $(1,231,363) | $(1,998,927) |
Currency | — | $(1,082,294) | — | (1,082,294) |
Credit | — | — | 68,716 | 68,716 |
Inflation | — | — | (133,898) | (133,898) |
Total | $(767,564) | $(1,082,294) | $(1,296,545) | $(3,146,403) |
Statement of operations location - Change in net unrealized appreciation (depreciation) of: | ||||
Risk | Futures contracts | Forward foreign currency contracts | Swap contracts | Total |
Interest rate | $382,099 | — | $1,269,754 | $1,651,853 |
Currency | — | $570,163 | — | 570,163 |
Credit | — | — | (102,768) | (102,768) |
Inflation | — | — | 24,532 | 24,532 |
Total | $382,099 | $570,163 | $1,191,518 | $2,143,780 |
SEMIANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 63 |
Class | Expense reduction |
Class A | $46,673 |
Class C | 1,838 |
Class I | 7,335 |
Class | Expense reduction |
Class R6 | $1,249 |
Class 1 | 74,047 |
Total | $131,142 |
64 | JOHN HANCOCK Opportunistic Fixed Income Fund | SEMIANNUAL 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 | $47,697 | $21,313 |
Class C | 7,470 | 830 |
Class I | — | 3,330 |
Class R6 | — | 43 |
SEMIANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 65 |
Class | Distribution and service fees | Transfer agent fees |
Class 1 | $15,092 | — |
Total | $70,259 | $25,516 |
Borrower or Lender | Weighted Average Loan Balance | Days Outstanding | Weighted Average Interest Rate | Interest Income (Expense) |
Lender | $5,150,000 | 2 | 3.176% | $909 |
Six Months Ended 2-28-23 | Year Ended 8-31-22 | |||
Shares | Amount | Shares | Amount | |
Class A shares | ||||
Sold | 108,849 | $1,229,064 | 101,942 | $1,229,764 |
Issued in reorganization (Note 9) | — | — | 5,073,351 | 67,630,816 |
Distributions reinvested | 135,878 | 1,502,289 | 97,996 | 1,215,988 |
Repurchased | (621,926) | (6,948,377) | (1,661,986) | (20,049,186) |
Net increase (decrease) | (377,199) | $(4,217,024) | 3,611,303 | $50,027,382 |
Class C shares | ||||
Sold | 43,949 | $477,618 | 276 | $3,461 |
Issued in reorganization (Note 9) | — | — | 215,078 | 2,855,762 |
Distributions reinvested | 4,642 | 51,526 | 1,908 | 22,889 |
Repurchased | (54,796) | (603,259) | (83,017) | (988,742) |
Net increase (decrease) | (6,205) | $(74,115) | 134,245 | $1,893,370 |
Class I shares | ||||
Sold | 398,704 | $4,583,382 | 187,348 | $2,368,805 |
Issued in reorganization (Note 9) | — | — | 1,778,097 | 23,732,623 |
Distributions reinvested | 20,785 | 229,082 | 35,061 | 443,246 |
Repurchased | (331,975) | (3,655,558) | (1,402,104) | (17,326,349) |
Net increase | 87,514 | $1,156,906 | 598,402 | $9,218,325 |
66 | JOHN HANCOCK Opportunistic Fixed Income Fund | SEMIANNUAL REPORT |
Six Months Ended 2-28-23 | Year Ended 8-31-22 | |||
Shares | Amount | Shares | Amount | |
Class R6 shares | ||||
Sold | 111,831 | $1,267,818 | 678,597 | $8,674,407 |
Issued in reorganization (Note 9) | — | — | 5,228 | 69,822 |
Distributions reinvested | 3,107 | 34,323 | 5,170 | 61,848 |
Repurchased | (28,819) | (312,533) | (4,285,220) | (50,414,978) |
Net increase (decrease) | 86,119 | $989,608 | (3,596,225) | $(41,608,901) |
Class 1 shares | ||||
Sold | 188,090 | $2,136,964 | 3,914,042 | $46,466,242 |
Distributions reinvested | 220,422 | 2,431,202 | 87,581 | 1,060,733 |
Repurchased | (594,299) | (6,673,871) | (1,164,879) | (14,382,796) |
Net increase (decrease) | (185,787) | $(2,105,705) | 2,836,744 | $33,144,179 |
Total net increase (decrease) | (395,558) | $(4,250,330) | 3,584,469 | $52,674,355 |
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* | 15,628 | — | $469,452 | $(313,225) | — | $(17) | $58 | — | $156,210 |
* | Refer to the Securities lending note within Note 2 for details regarding this investment. |
SEMIANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 67 |
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 |
68 | JOHN HANCOCK Opportunistic Fixed Income Fund | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK Opportunistic Fixed Income Fund | 69 |
Total votes for the nominee | Total votes withheld from the nominee | |
Independent Trustees | ||
James R. Boyle | 4,554,825,588.937 | 109,369,198.953 |
Noni L. Ellison | 4,545,310,789.674 | 118,883,998.216 |
Dean C. Garfield | 4,542,518,756.422 | 121,676,031.468 |
Patricia Lizarraga | 4,547,597,042.403 | 116,597,745.487 |
Frances G. Rathke | 4,553,474,902.143 | 110,719,885.747 |
Non-Independent Trustees | ||
Andrew G. Arnott | 4,548,263,383.010 | 115,931,404.880 |
Marianne Harrison | 4,552,282,391.834 | 111,912,396.056 |
Paul Lorentz | 4,546,227,532.263 | 117,967,255.627 |
Shares voted | % Of shares voted | % Of outstanding shares | |
For | 4,061,202,897.967 | 87.072% | 64.635% |
Against | 75,620,339.593 | 1.622% | 1.203% |
Abstain/Withheld | 92,916,059.460 | 1.992% | 1.478% |
Broker Non-Vote | 434,455,490.870 | 9.314% | 6.914% |
70 | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | SEMIANNUAL REPORT |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
James R. Boyle
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 |
SEMIANNUAL REPORT | JOHN HANCOCK OPPORTUNISTIC FIXED INCOME FUND | 71 |
GOVERNANCE FUNDS
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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
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Manulife Investment Management
John Hancock Investment Management
Head of Wealth and Asset Management,
United States and Europe
SEMIANNUAL REPORT | JOHN HANCOCK REAL ESTATE SECURITIES FUND | 1 |
2 | JOHN HANCOCK REAL ESTATE SECURITIES FUND | SEMIANNUAL REPORT |
TOP 10 HOLDINGS AS OF 2/28/2023 (% of net assets) | |
Prologis, Inc. | 12.7 |
Equinix, Inc. | 6.8 |
Welltower, Inc. | 5.5 |
Equity Residential | 4.3 |
Public Storage | 4.1 |
UDR, Inc. | 3.8 |
Sun Communities, Inc. | 3.5 |
WP Carey, Inc. | 3.4 |
VICI Properties, Inc. | 3.4 |
Simon Property Group, Inc. | 3.3 |
TOTAL | 50.8 |
Cash and cash equivalents are not included. |
SEMIANNUAL REPORT | JOHN HANCOCK REAL ESTATE SECURITIES FUND | 3 |
4 | JOHN HANCOCK REAL ESTATE SECURITIES FUND | SEMIANNUAL REPORT |
Account value on 9-1-2022 | Ending value on 2-28-2023 | Expenses paid during period ended 2-28-20231 | Annualized expense ratio | ||
Class A | Actual expenses/actual returns | $1,000.00 | $951.80 | $5.61 | 1.16% |
Hypothetical example | 1,000.00 | 1,019.00 | 5.81 | 1.16% | |
Class C | Actual expenses/actual returns | 1,000.00 | 947.80 | 9.22 | 1.91% |
Hypothetical example | 1,000.00 | 1,015.30 | 9.54 | 1.91% | |
Class I | Actual expenses/actual returns | 1,000.00 | 952.30 | 4.40 | 0.91% |
Hypothetical example | 1,000.00 | 1,020.30 | 4.56 | 0.91% | |
Class R6 | Actual expenses/actual returns | 1,000.00 | 952.60 | 3.92 | 0.81% |
Hypothetical example | 1,000.00 | 1,020.80 | 4.06 | 0.81% | |
Class 1 | Actual expenses/actual returns | 1,000.00 | 952.20 | 4.11 | 0.85% |
Hypothetical example | 1,000.00 | 1,020.60 | 4.26 | 0.85% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
SEMIANNUAL REPORT | JOHN HANCOCK REAL ESTATE SECURITIES FUND | 5 |
Shares | Value | ||||
Common stocks 98.4% | $259,951,214 | ||||
(Cost $227,472,859) | |||||
Consumer discretionary 2.7% | 7,038,003 | ||||
Hotels, restaurants and leisure 2.7% | |||||
Casinos and gaming 1.4% | |||||
Wynn Resorts, Ltd. (A) | 33,230 | 3,601,135 | |||
Hotels, resorts and cruise lines 1.3% | |||||
Hyatt Hotels Corp., Class A (A) | 29,567 | 3,436,868 | |||
Industrials 1.2% | 3,310,366 | ||||
Construction and engineering 1.2% | |||||
Construction and engineering 1.2% | |||||
WillScot Mobile Mini Holdings Corp. (A) | 64,404 | 3,310,366 | |||
Real estate 94.5% | 249,602,845 | ||||
Equity real estate investment trusts 93.5% | |||||
Diversified REITs 5.4% | |||||
Empire State Realty Trust, Inc., Class A | 709,984 | 5,175,783 | |||
WP Carey, Inc. | 111,764 | 9,070,766 | |||
Health care REITs 9.4% | |||||
CareTrust REIT, Inc. | 234,427 | 4,611,179 | |||
Ventas, Inc. | 117,400 | 5,711,510 | |||
Welltower, Inc. | 195,157 | 14,465,037 | |||
Hotel and resort REITs 2.7% | |||||
Host Hotels & Resorts, Inc. | 150,045 | 2,520,756 | |||
Ryman Hospitality Properties, Inc. | 50,760 | 4,709,005 | |||
Industrial REITs 18.0% | |||||
First Industrial Realty Trust, Inc. | 63,994 | 3,375,684 | |||
Plymouth Industrial REIT, Inc. | 218,645 | 4,729,291 | |||
Prologis, Inc. | 271,140 | 33,458,675 | |||
Rexford Industrial Realty, Inc. | 97,086 | 5,869,820 | |||
Office REITs 4.7% | |||||
Alexandria Real Estate Equities, Inc. | 29,580 | 4,430,492 | |||
Corporate Office Properties Trust | 105,786 | 2,690,138 | |||
SL Green Realty Corp. | 29,272 | 996,712 | |||
Veris Residential, Inc. (A) | 268,242 | 4,329,426 | |||
Residential REITs 16.0% | |||||
American Homes 4 Rent, Class A | 122,086 | 3,787,108 | |||
Apartment Income REIT Corp. | 85,533 | 3,233,147 | |||
Equity Residential | 180,893 | 11,309,430 | |||
Independence Realty Trust, Inc. | 253,957 | 4,594,082 | |||
Sun Communities, Inc. | 63,492 | 9,088,245 |
6 | JOHN HANCOCK REAL ESTATE SECURITIES FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Shares | Value | ||||
Real estate (continued) | |||||
Equity real estate investment trusts (continued) | |||||
Residential REITs (continued) | |||||
UDR, Inc. | 236,290 | $10,122,664 | |||
Retail REITs 13.9% | |||||
Agree Realty Corp. | 71,286 | 5,045,623 | |||
Brixmor Property Group, Inc. | 358,292 | 8,111,731 | |||
Getty Realty Corp. | 105,666 | 3,627,514 | |||
Kimco Realty Corp. | 224,852 | 4,634,200 | |||
Phillips Edison & Company, Inc. | 120,684 | 4,114,118 | |||
Simon Property Group, Inc. | 71,915 | 8,780,102 | |||
Spirit Realty Capital, Inc. | 61,429 | 2,529,646 | |||
Specialized REITs 23.4% | |||||
American Tower Corp. | 23,282 | 4,610,069 | |||
CubeSmart | 154,584 | 7,263,902 | |||
Equinix, Inc. | 26,032 | 17,917,045 | |||
Iron Mountain, Inc. | 61,927 | 3,266,649 | |||
Life Storage, Inc. | 51,649 | 6,224,737 | |||
Outfront Media, Inc. | 154,749 | 2,700,370 | |||
Public Storage | 36,066 | 10,781,931 | |||
VICI Properties, Inc. | 270,073 | 9,055,548 | |||
Real estate management and development 1.0% | |||||
Real estate services 1.0% | |||||
CBRE Group, Inc., Class A (A) | 31,251 | 2,660,710 | |||
Yield (%) | Shares | Value | |||
Short-term investments 1.7% | $4,414,440 | ||||
(Cost $4,414,440) | |||||
Short-term funds 1.7% | 4,414,440 | ||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 4.4192(B) | 4,414,440 | 4,414,440 |
Total investments (Cost $231,887,299) 100.1% | $264,365,654 | ||||
Other assets and liabilities, net (0.1%) | (178,086) | ||||
Total net assets 100.0% | $264,187,568 |
The percentage shown for each investment category is the total value of the category as a percentage of the net assets of the fund. | |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | The rate shown is the annualized seven-day yield as of 2-28-23. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK REAL ESTATE SECURITIES FUND | 7 |
Assets | |
Unaffiliated investments, at value (Cost $231,887,299) | $264,365,654 |
Dividends and interest receivable | 166,278 |
Receivable for fund shares sold | 24,050 |
Receivable for investments sold | 4,039,327 |
Other assets | 40,598 |
Total assets | 268,635,907 |
Liabilities | |
Payable for investments purchased | 4,365,108 |
Payable for fund shares repurchased | 2,122 |
Payable to affiliates | |
Accounting and legal services fees | 23,571 |
Transfer agent fees | 1,093 |
Trustees’ fees | 130 |
Other liabilities and accrued expenses | 56,315 |
Total liabilities | 4,448,339 |
Net assets | $264,187,568 |
Net assets consist of | |
Paid-in capital | $255,394,840 |
Total distributable earnings (loss) | 8,792,728 |
Net assets | $264,187,568 |
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 ($7,119,002 ÷ 656,422 shares)1 | $10.85 |
Class C ($77,615 ÷ 7,119 shares)1 | $10.90 |
Class I ($5,062,841 ÷ 467,376 shares) | $10.83 |
Class R6 ($793,102 ÷ 73,420 shares) | $10.80 |
Class 1 ($251,135,008 ÷ 23,242,651 shares) | $10.80 |
Maximum offering price per share | |
Class A (net asset value per share ÷ 95%)2 | $11.42 |
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. |
8 | JOHN HANCOCK Real Estate Securities Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Investment income | |
Dividends | $4,506,017 |
Interest | 59,124 |
Securities lending | 17 |
Less foreign taxes withheld | (3,864) |
Total investment income | 4,561,294 |
Expenses | |
Investment management fees | 946,013 |
Distribution and service fees | 72,711 |
Accounting and legal services fees | 26,091 |
Transfer agent fees | 7,284 |
Trustees’ fees | 3,494 |
Custodian fees | 22,777 |
State registration fees | 33,235 |
Printing and postage | 10,899 |
Professional fees | 29,752 |
Other | 13,524 |
Total expenses | 1,165,780 |
Less expense reductions | (9,609) |
Net expenses | 1,156,171 |
Net investment income | 3,405,123 |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on | |
Unaffiliated investments and foreign currency transactions | (14,252,729) |
Affiliated investments | 50 |
(14,252,679) | |
Change in net unrealized appreciation (depreciation) of | |
Unaffiliated investments | (4,714,944) |
(4,714,944) | |
Net realized and unrealized loss | (18,967,623) |
Decrease in net assets from operations | $(15,562,500) |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Real Estate Securities Fund | 9 |
Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | |
Increase (decrease) in net assets | ||
From operations | ||
Net investment income | $3,405,123 | $4,288,787 |
Net realized gain (loss) | (14,252,679) | 25,991,301 |
Change in net unrealized appreciation (depreciation) | (4,714,944) | (76,699,816) |
Decrease in net assets resulting from operations | (15,562,500) | (46,419,728) |
Distributions to shareholders | ||
From earnings | ||
Class A | (769,265) | (829,069) |
Class C | (8,138) | (8,795) |
Class I | (588,448) | (327,643) |
Class R6 | (95,118) | (67,941) |
Class 1 | (30,154,185) | (42,462,369) |
Total distributions | (31,615,154) | (43,695,817) |
From fund share transactions | 2,092,832 | 23,801,824 |
Total decrease | (45,084,822) | (66,313,721) |
Net assets | ||
Beginning of period | 309,272,390 | 375,586,111 |
End of period | $264,187,568 | $309,272,390 |
10 | JOHN HANCOCK Real Estate Securities Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS A SHARES Period ended | 2-28-231 | 8-31-22 | 8-31-212 |
Per share operating performance | |||
Net asset value, beginning of period | $12.92 | $16.60 | $12.59 |
Net investment income3 | 0.12 | 0.13 | 0.03 |
Net realized and unrealized gain (loss) on investments | (0.81) | (1.93) | 4.18 |
Total from investment operations | (0.69) | (1.80) | 4.21 |
Less distributions | |||
From net investment income | (0.14) | (0.08) | (0.20) |
From net realized gain | (1.24) | (1.80) | — |
Total distributions | (1.38) | (1.88) | (0.20) |
Net asset value, end of period | $10.85 | $12.92 | $16.60 |
Total return (%)4,5 | (4.82)6 | (12.77) | 33.986 |
Ratios and supplemental data | |||
Net assets, end of period (in millions) | $7 | $7 | $4 |
Ratios (as a percentage of average net assets): | |||
Expenses before reductions | 1.167 | 1.14 | 1.197 |
Expenses including reductions | 1.167 | 1.13 | 1.187 |
Net investment income | 2.167 | 0.88 | 0.317 |
Portfolio turnover (%) | 52 | 81 | 1228 |
1 | Six months ended 2-28-23. Unaudited. |
2 | The inception date for Class A shares is 12-2-20. |
3 | Based on average daily shares outstanding. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Does not reflect the effect of sales charges, if any. |
6 | Not annualized. |
7 | Annualized. |
8 | Portfolio turnover is shown for the period from 9-1-20 to 8-31-21. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Real Estate Securities Fund | 11 |
CLASS C SHARES Period ended | 2-28-231 | 8-31-22 | 8-31-212 |
Per share operating performance | |||
Net asset value, beginning of period | $12.91 | $16.63 | $12.59 |
Net investment income (loss)3 | 0.08 | 0.03 | (0.03) |
Net realized and unrealized gain (loss) on investments | (0.82) | (1.95) | 4.18 |
Total from investment operations | (0.74) | (1.92) | 4.15 |
Less distributions | |||
From net investment income | (0.03) | — | (0.11) |
From net realized gain | (1.24) | (1.80) | — |
Total distributions | (1.27) | (1.80) | (0.11) |
Net asset value, end of period | $10.90 | $12.91 | $16.63 |
Total return (%)4,5 | (5.22)6 | (13.46) | 33.256 |
Ratios and supplemental data | |||
Net assets, end of period (in millions) | $—7 | $—7 | $—7 |
Ratios (as a percentage of average net assets): | |||
Expenses before reductions | 1.918 | 1.89 | 1.948 |
Expenses including reductions | 1.918 | 1.88 | 1.938 |
Net investment income (loss) | 1.468 | 0.19 | (0.28)8 |
Portfolio turnover (%) | 52 | 81 | 1229 |
1 | Six months ended 2-28-23. Unaudited. |
2 | The inception date for Class C shares is 12-2-20. |
3 | Based on average daily shares outstanding. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Does not reflect the effect of sales charges, if any. |
6 | Not annualized. |
7 | Less than $500,000. |
8 | Annualized. |
9 | Portfolio turnover is shown for the period from 9-1-20 to 8-31-21. |
12 | JOHN HANCOCK Real Estate Securities Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS I SHARES Period ended | 2-28-231 | 8-31-22 | 8-31-212 |
Per share operating performance | |||
Net asset value, beginning of period | $12.93 | $16.60 | $12.59 |
Net investment income3 | 0.16 | 0.17 | 0.10 |
Net realized and unrealized gain (loss) on investments | (0.85) | (1.92) | 4.14 |
Total from investment operations | (0.69) | (1.75) | 4.24 |
Less distributions | |||
From net investment income | (0.17) | (0.12) | (0.23) |
From net realized gain | (1.24) | (1.80) | — |
Total distributions | (1.41) | (1.92) | (0.23) |
Net asset value, end of period | $10.83 | $12.93 | $16.60 |
Total return (%)4 | (4.77)5 | (12.51) | 34.305 |
Ratios and supplemental data | |||
Net assets, end of period (in millions) | $5 | $11 | $—6 |
Ratios (as a percentage of average net assets): | |||
Expenses before reductions | 0.917 | 0.90 | 0.947 |
Expenses including reductions | 0.917 | 0.89 | 0.937 |
Net investment income | 2.807 | 1.25 | 0.897 |
Portfolio turnover (%) | 52 | 81 | 1228 |
1 | Six months ended 2-28-23. Unaudited. |
2 | The inception date for Class I shares is 12-2-20. |
3 | Based on average daily shares outstanding. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Not annualized. |
6 | Less than $500,000. |
7 | Annualized. |
8 | Portfolio turnover is shown for the period from 9-1-20 to 8-31-21. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Real Estate Securities Fund | 13 |
CLASS R6 SHARES Period ended | 2-28-231 | 8-31-22 | 8-31-212 |
Per share operating performance | |||
Net asset value, beginning of period | $12.91 | $16.59 | $12.59 |
Net investment income3 | 0.14 | 0.19 | 0.12 |
Net realized and unrealized gain (loss) on investments | (0.82) | (1.93) | 4.12 |
Total from investment operations | (0.68) | (1.74) | 4.24 |
Less distributions | |||
From net investment income | (0.19) | (0.14) | (0.24) |
From net realized gain | (1.24) | (1.80) | — |
Total distributions | (1.43) | (1.94) | (0.24) |
Net asset value, end of period | $10.80 | $12.91 | $16.59 |
Total return (%)4 | (4.74)5 | (12.48) | 34.375 |
Ratios and supplemental data | |||
Net assets, end of period (in millions) | $1 | $1 | $—6 |
Ratios (as a percentage of average net assets): | |||
Expenses before reductions | 0.817 | 0.79 | 0.837 |
Expenses including reductions | 0.817 | 0.78 | 0.827 |
Net investment income | 2.547 | 1.31 | 1.057 |
Portfolio turnover (%) | 52 | 81 | 1228 |
1 | Six months ended 2-28-23. Unaudited. |
2 | The inception date for Class R6 shares is 12-2-20. |
3 | Based on average daily shares outstanding. |
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
5 | Not annualized. |
6 | Less than $500,000. |
7 | Annualized. |
8 | Portfolio turnover is shown for the period from 9-1-20 to 8-31-21. |
14 | JOHN HANCOCK Real Estate Securities Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS 1 SHARES Period ended | 2-28-231 | 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 | $12.91 | $16.59 | $12.05 | $14.55 | $12.97 | $13.12 |
Net investment income2 | 0.14 | 0.18 | 0.20 | 0.24 | 0.29 | 0.26 |
Net realized and unrealized gain (loss) on investments | (0.83) | (1.93) | 4.58 | (1.55) | 1.82 | 0.49 |
Total from investment operations | (0.69) | (1.75) | 4.78 | (1.31) | 2.11 | 0.75 |
Less distributions | ||||||
From net investment income | (0.18) | (0.13) | (0.24) | (0.29) | (0.26) | (0.17) |
From net realized gain | (1.24) | (1.80) | — | (0.90) | (0.27) | (0.73) |
Total distributions | (1.42) | (1.93) | (0.24) | (1.19) | (0.53) | (0.90) |
Net asset value, end of period | $10.80 | $12.91 | $16.59 | $12.05 | $14.55 | $12.97 |
Total return (%)3 | (4.78)4 | (12.51) | 40.36 | (9.75) | 17.35 | 6.20 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $251 | $290 | $371 | $304 | $433 | $421 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.855 | 0.83 | 0.87 | 0.81 | 0.81 | 0.81 |
Expenses including reductions | 0.855 | 0.82 | 0.86 | 0.80 | 0.80 | 0.80 |
Net investment income | 2.525 | 1.19 | 1.45 | 1.86 | 2.25 | 2.11 |
Portfolio turnover (%) | 52 | 81 | 122 | 133 | 132 | 158 |
1 | Six months ended 2-28-23. Unaudited. |
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. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Real Estate Securities Fund | 15 |
16 | JOHN HANCOCK Real Estate Securities Fund | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK Real Estate Securities Fund | 17 |
18 | JOHN HANCOCK Real Estate Securities Fund | SEMIANNUAL REPORT |
Class | Expense reduction |
Class A | $234 |
Class C | 3 |
Class I | 226 |
Class | Expense reduction |
Class R6 | $28 |
Class 1 | 9,118 |
Total | $9,609 |
SEMIANNUAL REPORT | JOHN HANCOCK Real Estate Securities Fund | 19 |
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 | $8,208 | $3,657 |
20 | JOHN HANCOCK Real Estate Securities Fund | SEMIANNUAL REPORT |
Class | Distribution and service fees | Transfer agent fees |
Class C | $386 | $43 |
Class I | — | 3,549 |
Class R6 | — | 35 |
Class 1 | 64,117 | — |
Total | $72,711 | $7,284 |
Borrower or Lender | Weighted Average Loan Balance | Days Outstanding | Weighted Average Interest Rate | Interest Income (Expense) |
Lender | $4,500,000 | 2 | 3.161% | $790 |
Six Months Ended 2-28-23 | Year Ended 8-31-22 | |||
Shares | Amount | Shares | Amount | |
Class A shares | ||||
Sold | 154,552 | $1,750,264 | 718,479 | $11,392,866 |
Distributions reinvested | 74,416 | 767,968 | 52,948 | 828,102 |
Repurchased | (151,875) | (1,716,652) | (412,946) | (6,234,610) |
Net increase | 77,093 | $801,580 | 358,481 | $5,986,358 |
Class C shares | ||||
Sold | 448 | $5,226 | 2,506 | $37,258 |
Distributions reinvested | 296 | 3,079 | 104 | 1,628 |
Repurchased | (686) | (7,574) | (9,990) | (159,537) |
Net increase (decrease) | 58 | $731 | (7,380) | $(120,651) |
Class I shares | ||||
Sold | 228,224 | $2,620,681 | 963,545 | $13,885,249 |
Distributions reinvested | 16,708 | 172,097 | 1,041 | 16,257 |
Repurchased | (638,225) | (7,368,643) | (111,737) | (1,567,762) |
Net increase (decrease) | (393,293) | $(4,575,865) | 852,849 | $12,333,744 |
SEMIANNUAL REPORT | JOHN HANCOCK Real Estate Securities Fund | 21 |
Six Months Ended 2-28-23 | Year Ended 8-31-22 | |||
Shares | Amount | Shares | Amount | |
Class R6 shares | ||||
Sold | 23,091 | $266,725 | 30,756 | $459,007 |
Distributions reinvested | 9,262 | 95,118 | 3,863 | 60,222 |
Repurchased | (13,496) | (155,836) | (6,785) | (98,839) |
Net increase | 18,857 | $206,007 | 27,834 | $420,390 |
Class 1 shares | ||||
Sold | 188,339 | $2,150,759 | 1,464,854 | $23,157,772 |
Distributions reinvested | 2,936,143 | 30,154,185 | 2,723,693 | 42,462,369 |
Repurchased | (2,338,176) | (26,644,565) | (4,103,819) | (60,438,158) |
Net increase | 786,306 | $5,660,379 | 84,728 | $5,181,983 |
Total net increase | 489,021 | $2,092,832 | 1,316,512 | $23,801,824 |
22 | JOHN HANCOCK Real Estate Securities Fund | SEMIANNUAL REPORT |
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* | — | — | $252,200 | $(252,250) | $50 | — | $17 | — | — |
* | Refer to the Securities lending note within Note 2 for details regarding this investment. |
SEMIANNUAL REPORT | JOHN HANCOCK Real Estate Securities Fund | 23 |
Total votes for the nominee | Total votes withheld from the nominee | |
Independent Trustees | ||
James R. Boyle | 4,554,825,588.937 | 109,369,198.953 |
Noni L. Ellison | 4,545,310,789.674 | 118,883,998.216 |
Dean C. Garfield | 4,542,518,756.422 | 121,676,031.468 |
Patricia Lizarraga | 4,547,597,042.403 | 116,597,745.487 |
Frances G. Rathke | 4,553,474,902.143 | 110,719,885.747 |
Non-Independent Trustees | ||
Andrew G. Arnott | 4,548,263,383.010 | 115,931,404.880 |
Marianne Harrison | 4,552,282,391.834 | 111,912,396.056 |
Paul Lorentz | 4,546,227,532.263 | 117,967,255.627 |
Shares voted | % Of shares voted | % Of outstanding shares | |
For | 4,061,202,897.967 | 87.072% | 64.635% |
Against | 75,620,339.593 | 1.622% | 1.203% |
Abstain/Withheld | 92,916,059.460 | 1.992% | 1.478% |
Broker Non-Vote | 434,455,490.870 | 9.314% | 6.914% |
24 | JOHN HANCOCK REAL ESTATE SECURITIES FUND | SEMIANNUAL REPORT |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
James R. Boyle
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
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 |
SEMIANNUAL REPORT | JOHN HANCOCK REAL ESTATE SECURITIES FUND | 25 |
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
MF2780214 | 488SA 2/23 |
Manulife Investment Management
John Hancock Investment Management
Head of Wealth and Asset Management,
United States and Europe
SEMIANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 1 |
2 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 3 |
COUNTRY COMPOSITION AS OF 2/28/2023 (% of net assets) | |
United States | 61.2 |
Canada | 6.2 |
Indonesia | 3.9 |
Mexico | 2.6 |
Norway | 2.2 |
Luxembourg | 2.2 |
United Kingdom | 1.8 |
Australia | 1.7 |
South Korea | 1.6 |
Supranational | 1.6 |
Other countries | 15.0 |
TOTAL | 100.0 |
NET CURRENCY EXPOSURE AS OF 2/28/2023 (% of net assets) | |
United States Dollar | 82.7 |
Euro | 2.9 |
Indonesian Rupiah | 2.1 |
Japanese Yen | 1.9 |
Canadian Dollar | 1.8 |
New Zealand Dollar | 1.4 |
Korean Won | 1.4 |
Chinese Yuan Renminbi | 1.3 |
Malaysian Ringgit | 1.3 |
Norwegian Krone | 1.2 |
Other Currencies | 2.0 |
TOTAL | 100.0 |
Net currency exposure, after taking into account the effects of forward foreign currency exchange contracts. |
4 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 5 |
Account value on 9-1-2022 | Ending value on 2-28-2023 | Expenses paid during period ended 2-28-20231 | Annualized expense ratio | ||
Class A | Actual expenses/actual returns | $1,000.00 | $1,000.70 | $5.31 | 1.07% |
Hypothetical example | 1,000.00 | 1,019.50 | 5.36 | 1.07% | |
Class C | Actual expenses/actual returns | 1,000.00 | 996.20 | 8.76 | 1.77% |
Hypothetical example | 1,000.00 | 1,016.00 | 8.85 | 1.77% | |
Class I | Actual expenses/actual returns | 1,000.00 | 1,001.20 | 3.82 | 0.77% |
Hypothetical example | 1,000.00 | 1,021.00 | 3.86 | 0.77% | |
Class R2 | Actual expenses/actual returns | 1,000.00 | 1,000.30 | 5.75 | 1.16% |
Hypothetical example | 1,000.00 | 1,019.00 | 5.81 | 1.16% | |
Class R6 | Actual expenses/actual returns | 1,000.00 | 1,002.70 | 3.33 | 0.67% |
Hypothetical example | 1,000.00 | 1,021.50 | 3.36 | 0.67% | |
Class NAV | Actual expenses/actual returns | 1,000.00 | 1,002.70 | 3.28 | 0.66% |
Hypothetical example | 1,000.00 | 1,021.50 | 3.31 | 0.66% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
6 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | SEMIANNUAL REPORT |
Rate (%) | Maturity date | Par value^ | Value | ||
U.S. Government and Agency obligations 14.4% | $513,890,429 | ||||
(Cost $546,149,413) | |||||
U.S. Government 11.5% | 409,788,664 | ||||
U.S. Treasury | |||||
Bond | 2.000 | 02-15-50 | 31,340,000 | 21,198,572 | |
Bond | 2.375 | 02-15-42 | 39,670,000 | 30,535,053 | |
Bond | 2.750 | 11-15-42 | 10,200,000 | 8,289,492 | |
Bond | 3.000 | 02-15-49 | 62,535,000 | 52,324,207 | |
Bond | 3.000 | 08-15-52 | 11,120,000 | 9,347,750 | |
Bond | 3.625 | 02-15-53 | 38,165,000 | 36,334,273 | |
Note | 0.500 | 02-28-26 | 2,800,000 | 2,489,266 | |
Note | 1.500 | 01-31-27 | 36,560,000 | 32,855,444 | |
Note | 1.875 | 02-15-32 | 24,533,000 | 20,783,093 | |
Note | 2.375 | 03-31-29 | 16,245,000 | 14,722,666 | |
Note | 2.625 | 05-31-27 | 10,525,000 | 9,849,509 | |
Note | 2.750 | 08-15-32 | 45,810,000 | 41,629,838 | |
Note | 2.875 | 05-15-32 | 91,260,000 | 83,930,681 | |
Note | 3.500 | 02-15-33 | 47,050,000 | 45,498,820 | |
U.S. Government Agency 2.9% | 104,101,765 | ||||
Federal Home Loan Mortgage Corp. | |||||
30 Yr Pass Thru | 4.500 | 08-01-52 | 8,910,080 | 8,582,298 | |
30 Yr Pass Thru | 5.000 | 08-01-52 | 11,828,886 | 11,766,428 | |
30 Yr Pass Thru | 5.000 | 10-01-52 | 7,864,276 | 7,790,803 | |
30 Yr Pass Thru | 5.000 | 11-01-52 | 4,429,363 | 4,373,586 | |
30 Yr Pass Thru | 5.000 | 11-01-52 | 9,950,973 | 9,898,431 | |
30 Yr Pass Thru | 5.500 | 11-01-52 | 7,222,442 | 7,268,230 | |
Federal National Mortgage Association | |||||
30 Yr Pass Thru | 4.500 | 09-01-52 | 16,054,591 | 15,574,355 | |
30 Yr Pass Thru | 5.000 | 11-01-52 | 7,964,381 | 7,889,973 | |
30 Yr Pass Thru | 5.500 | 10-01-52 | 5,842,263 | 5,890,256 | |
30 Yr Pass Thru | 5.500 | 11-01-52 | 9,932,118 | 9,951,632 | |
30 Yr Pass Thru | 5.500 | 12-01-52 | 15,020,545 | 15,115,773 | |
Foreign government obligations 22.7% | $812,527,671 | ||||
(Cost $900,629,664) | |||||
Australia 1.6% | 57,238,509 | ||||
Commonwealth of Australia | 0.500 | 09-21-26 | AUD | 8,025,000 | 4,835,562 |
Commonwealth of Australia | 1.000 | 12-21-30 | AUD | 13,220,000 | 7,207,420 |
Commonwealth of Australia | 1.000 | 11-21-31 | AUD | 30,395,000 | 16,177,402 |
New South Wales Treasury Corp. | 1.250 | 03-20-25 | AUD | 9,705,000 | 6,183,232 |
New South Wales Treasury Corp. | 3.000 | 05-20-27 | AUD | 13,240,000 | 8,548,677 |
Queensland Treasury Corp. (A) | 2.750 | 08-20-27 | AUD | 8,865,000 | 5,649,259 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 7 |
Rate (%) | Maturity date | Par value^ | Value | ||
Australia (continued) | |||||
Western Australian Treasury Corp. | 1.500 | 10-22-30 | AUD | 15,635,000 | $8,636,957 |
Austria 0.2% | 6,419,926 | ||||
Republic of Austria (A) | 0.500 | 02-20-29 | EUR | 7,075,000 | 6,419,926 |
Brazil 0.6% | 20,308,181 | ||||
Federative Republic of Brazil | 10.000 | 01-01-25 | BRL | 94,530,000 | 17,588,508 |
Federative Republic of Brazil | 10.000 | 01-01-27 | BRL | 15,285,000 | 2,719,673 |
Canada 2.4% | 84,533,990 | ||||
Canada Housing Trust No. 1 (A) | 1.250 | 06-15-26 | CAD | 13,400,000 | 9,029,901 |
Canada Housing Trust No. 1 (A) | 1.950 | 12-15-25 | CAD | 17,175,000 | 11,899,651 |
CPPIB Capital, Inc. (A) | 2.250 | 12-01-31 | CAD | 6,685,000 | 4,249,593 |
Government of Canada | 1.500 | 09-01-24 | CAD | 2,863,000 | 2,013,206 |
Province of Ontario | 1.350 | 12-02-30 | CAD | 41,700,000 | 25,254,400 |
Province of Ontario | 2.900 | 06-02-28 | CAD | 13,400,000 | 9,381,178 |
Province of Ontario | 3.450 | 06-02-45 | CAD | 11,995,000 | 7,768,927 |
Province of Quebec | 0.200 | 04-07-25 | EUR | 3,150,000 | 3,100,164 |
Province of Quebec | 1.500 | 12-15-23 | GBP | 5,130,000 | 6,019,689 |
Province of Quebec | 3.000 | 09-01-23 | CAD | 8,000,000 | 5,817,281 |
China 1.2% | 42,498,718 | ||||
People’s Republic of China | 1.990 | 04-09-25 | CNY | 128,240,000 | 18,286,018 |
People’s Republic of China | 2.690 | 08-12-26 | CNY | 44,520,000 | 6,416,380 |
People’s Republic of China | 2.880 | 11-05-23 | CNY | 122,930,000 | 17,796,320 |
Colombia 0.3% | 10,674,362 | ||||
Republic of Colombia | 3.250 | 04-22-32 | 9,615,000 | 6,808,296 | |
Republic of Colombia | 4.500 | 03-15-29 | 2,450,000 | 2,098,060 | |
Republic of Colombia | 5.625 | 02-26-44 | 2,450,000 | 1,768,006 | |
Germany 0.7% | 26,924,013 | ||||
Federal Republic of Germany, Zero Coupon | 0.000 | 02-15-32 | EUR | 32,035,000 | 26,924,013 |
Greece 0.7% | 24,804,302 | ||||
Republic of Greece (A) | 1.500 | 06-18-30 | EUR | 10,675,000 | 9,314,963 |
Republic of Greece (A) | 2.000 | 04-22-27 | EUR | 8,435,000 | 8,300,579 |
Republic of Greece | 4.200 | 01-30-42 | EUR | 7,100,000 | 7,188,760 |
India 0.7% | 25,065,776 | ||||
Export-Import Bank of India (A) | 3.875 | 02-01-28 | 6,380,000 | 5,878,341 | |
Republic of India | 5.220 | 06-15-25 | INR | 784,120,000 | 9,068,778 |
Republic of India | 6.100 | 07-12-31 | INR | 358,560,000 | 3,969,604 |
Republic of India | 6.450 | 10-07-29 | INR | 373,000,000 | 4,268,722 |
Republic of India | 7.270 | 04-08-26 | INR | 156,200,000 | 1,880,331 |
8 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Indonesia 3.1% | $111,114,719 | ||||
Perusahaan Penerbit SBSN Indonesia III (A) | 4.150 | 03-29-27 | 10,060,000 | 9,795,925 | |
Republic of Indonesia | 1.100 | 03-12-33 | EUR | 2,709,000 | 2,097,281 |
Republic of Indonesia (A) | 2.150 | 07-18-24 | EUR | 6,000,000 | 6,201,162 |
Republic of Indonesia (A) | 2.625 | 06-14-23 | EUR | 9,110,000 | 9,600,955 |
Republic of Indonesia | 3.050 | 03-12-51 | 5,655,000 | 4,091,609 | |
Republic of Indonesia | 3.850 | 10-15-30 | 4,480,000 | 4,187,793 | |
Republic of Indonesia | 5.125 | 04-15-27 | IDR | 61,400,000,000 | 3,834,178 |
Republic of Indonesia | 6.375 | 04-15-32 | IDR | 317,682,000,000 | 20,237,509 |
Republic of Indonesia | 6.500 | 06-15-25 | IDR | 218,764,000,000 | 14,335,933 |
Republic of Indonesia | 6.625 | 05-15-33 | IDR | 93,981,000,000 | 6,050,736 |
Republic of Indonesia | 7.500 | 06-15-35 | IDR | 61,272,000,000 | 4,162,277 |
Republic of Indonesia | 7.500 | 05-15-38 | IDR | 62,856,000,000 | 4,271,865 |
Republic of Indonesia | 8.125 | 05-15-24 | IDR | 45,206,000,000 | 3,023,911 |
Republic of Indonesia | 8.375 | 09-15-26 | IDR | 81,815,000,000 | 5,679,961 |
Republic of Indonesia | 8.750 | 05-15-31 | IDR | 111,458,000,000 | 8,194,014 |
Republic of Indonesia | 9.000 | 03-15-29 | IDR | 73,235,000,000 | 5,349,610 |
Ireland 0.1% | 2,603,044 | ||||
Republic of Ireland | 1.100 | 05-15-29 | EUR | 2,760,000 | 2,603,044 |
Italy 0.2% | 6,646,654 | ||||
Republic of Italy | 1.250 | 02-17-26 | 7,595,000 | 6,646,654 | |
Japan 1.1% | 38,661,927 | ||||
Government of Japan | 0.005 | 03-20-27 | JPY | 1,128,000,000 | 8,244,610 |
Government of Japan | 0.400 | 09-20-25 | JPY | 4,098,600,000 | 30,417,317 |
Malaysia 1.2% | 44,640,165 | ||||
Government of Malaysia | 3.733 | 06-15-28 | MYR | 24,975,000 | 5,553,122 |
Government of Malaysia | 3.828 | 07-05-34 | MYR | 22,120,000 | 4,803,256 |
Government of Malaysia | 3.844 | 04-15-33 | MYR | 48,536,000 | 10,627,086 |
Government of Malaysia | 3.882 | 03-14-25 | MYR | 30,035,000 | 6,760,286 |
Government of Malaysia | 3.899 | 11-16-27 | MYR | 35,552,000 | 8,003,844 |
Government of Malaysia | 3.900 | 11-30-26 | MYR | 18,960,000 | 4,273,331 |
Government of Malaysia | 4.059 | 09-30-24 | MYR | 20,510,000 | 4,619,240 |
Mexico 1.8% | 63,856,301 | ||||
Government of Mexico | 5.000 | 03-06-25 | MXN | 491,870,000 | 23,913,756 |
Government of Mexico | 7.500 | 05-26-33 | MXN | 434,470,000 | 20,911,978 |
Government of Mexico | 7.750 | 05-29-31 | MXN | 380,680,000 | 19,030,567 |
New Zealand 1.5% | 54,818,796 | ||||
Government of New Zealand | 0.500 | 05-15-24 | NZD | 21,830,000 | 12,767,221 |
Government of New Zealand | 0.500 | 05-15-26 | NZD | 32,455,000 | 17,559,412 |
Government of New Zealand | 3.500 | 04-14-33 | NZD | 15,820,000 | 8,933,155 |
Government of New Zealand | 4.500 | 04-15-27 | NZD | 6,890,000 | 4,237,849 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 9 |
Rate (%) | Maturity date | Par value^ | Value | ||
New Zealand (continued) | |||||
New Zealand Local Government Funding Agency | 1.500 | 04-15-26 | NZD | 6,980,000 | $3,838,782 |
New Zealand Local Government Funding Agency | 4.500 | 04-15-27 | NZD | 12,470,000 | 7,482,377 |
Norway 1.6% | 56,844,990 | ||||
Kingdom of Norway (A) | 1.250 | 09-17-31 | NOK | 110,420,000 | 8,868,859 |
Kingdom of Norway (A) | 1.500 | 02-19-26 | NOK | 81,525,000 | 7,389,941 |
Kingdom of Norway (A) | 1.750 | 03-13-25 | NOK | 127,825,000 | 11,853,940 |
Kingdom of Norway (A) | 1.750 | 02-17-27 | NOK | 92,990,000 | 8,362,406 |
Kingdom of Norway (A) | 2.125 | 05-18-32 | NOK | 110,590,000 | 9,480,999 |
Kommunalbanken AS | 4.250 | 07-16-25 | AUD | 11,774,000 | 7,888,930 |
Kommunalbanken AS | 5.250 | 07-15-24 | AUD | 4,410,000 | 2,999,915 |
Philippines 0.7% | 26,203,914 | ||||
Republic of the Philippines | 0.875 | 05-17-27 | EUR | 17,540,000 | 16,306,175 |
Republic of the Philippines | 4.625 | 07-17-28 | 3,705,000 | 3,656,382 | |
Republic of the Philippines | 6.250 | 01-14-36 | PHP | 373,000,000 | 6,241,357 |
Portugal 0.4% | 14,555,877 | ||||
Republic of Portugal (A) | 1.650 | 07-16-32 | EUR | 16,130,000 | 14,555,877 |
Qatar 0.2% | 7,196,250 | ||||
State of Qatar (A) | 4.817 | 03-14-49 | 7,575,000 | 7,196,250 | |
Singapore 0.2% | 8,980,473 | ||||
Republic of Singapore | 3.375 | 09-01-33 | SGD | 12,070,000 | 8,980,473 |
South Korea 1.4% | 50,577,083 | ||||
Republic of Korea | 2.125 | 06-10-27 | KRW | 13,298,800,000 | 9,398,985 |
Republic of Korea | 2.375 | 03-10-27 | KRW | 40,688,880,000 | 29,157,619 |
Republic of Korea | 3.125 | 09-10-24 | KRW | 10,015,260,000 | 7,491,676 |
Republic of Korea | 3.125 | 09-10-27 | KRW | 6,167,200,000 | 4,528,803 |
Sweden 0.1% | 3,044,843 | ||||
Kingdom of Sweden (A) | 0.125 | 04-24-23 | EUR | 2,890,000 | 3,044,843 |
United Arab Emirates 0.3% | 11,179,478 | ||||
Government of Abu Dhabi (A) | 1.700 | 03-02-31 | 4,890,000 | 3,988,284 | |
Government of Abu Dhabi (A) | 3.125 | 04-16-30 | 3,980,000 | 3,644,868 | |
Government of Abu Dhabi (A) | 3.875 | 04-16-50 | 4,315,000 | 3,546,326 | |
United Kingdom 0.4% | 13,135,380 | ||||
Government of United Kingdom | 0.250 | 01-31-25 | GBP | 3,650,000 | 4,083,279 |
Government of United Kingdom | 4.250 | 12-07-27 | GBP | 7,360,000 | 9,052,101 |
10 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Corporate bonds 45.4% | $1,622,237,031 | ||||
(Cost $1,880,744,380) | |||||
Communication services 5.0% | 179,830,794 | ||||
Diversified telecommunication services 0.6% | |||||
AT&T, Inc. | 0.900 | 03-25-24 | 1,227,000 | 1,170,111 | |
Cellnex Telecom SA | 1.875 | 06-26-29 | EUR | 5,400,000 | 4,674,078 |
CT Trust (A) | 5.125 | 02-03-32 | 3,790,000 | 2,994,100 | |
IHS Holding, Ltd. (A) | 6.250 | 11-29-28 | 3,600,000 | 2,943,000 | |
Total Play Telecomunicaciones SA de CV (A) | 7.500 | 11-12-25 | 8,945,000 | 7,961,945 | |
Entertainment 0.3% | |||||
WMG Acquisition Corp. (A) | 3.000 | 02-15-31 | 15,595,000 | 12,247,237 | |
Interactive media and services 0.1% | |||||
Match Group Holdings II LLC (A) | 4.125 | 08-01-30 | 3,640,000 | 3,017,478 | |
Media 2.9% | |||||
CCO Holdings LLC (A) | 4.250 | 02-01-31 | 17,215,000 | 13,818,481 | |
CCO Holdings LLC (A) | 4.500 | 08-15-30 | 8,205,000 | 6,748,777 | |
CCO Holdings LLC (A) | 4.500 | 06-01-33 | 5,745,000 | 4,469,624 | |
CCO Holdings LLC (A) | 4.750 | 03-01-30 | 5,885,000 | 4,949,108 | |
Charter Communications Operating LLC | 2.800 | 04-01-31 | 2,350,000 | 1,841,714 | |
Charter Communications Operating LLC | 5.125 | 07-01-49 | 15,905,000 | 12,232,823 | |
Charter Communications Operating LLC | 5.750 | 04-01-48 | 7,045,000 | 5,883,549 | |
Globo Comunicacao e Participacoes SA (A) | 5.500 | 01-14-32 | 5,840,000 | 4,766,852 | |
LCPR Senior Secured Financing DAC (A) | 5.125 | 07-15-29 | 8,000,000 | 6,763,500 | |
News Corp. (A) | 3.875 | 05-15-29 | 14,435,000 | 12,370,073 | |
Sirius XM Radio, Inc. (A) | 4.125 | 07-01-30 | 12,225,000 | 9,935,621 | |
Virgin Media Finance PLC (A) | 5.000 | 07-15-30 | 7,640,000 | 6,226,600 | |
Virgin Media Secured Finance PLC (A) | 4.500 | 08-15-30 | 5,145,000 | 4,235,532 | |
Virgin Media Secured Finance PLC (A) | 5.500 | 05-15-29 | 11,030,000 | 9,994,945 | |
Wireless telecommunication services 1.1% | |||||
Millicom International Cellular SA (A)(B) | 4.500 | 04-27-31 | 5,685,000 | 4,590,638 | |
T-Mobile USA, Inc. | 2.625 | 02-15-29 | 4,405,000 | 3,746,993 | |
T-Mobile USA, Inc. | 2.875 | 02-15-31 | 4,070,000 | 3,376,464 | |
T-Mobile USA, Inc. | 3.375 | 04-15-29 | 4,865,000 | 4,296,477 | |
T-Mobile USA, Inc. | 3.500 | 04-15-31 | 5,910,000 | 5,116,211 | |
T-Mobile USA, Inc. | 4.750 | 02-01-28 | 1,665,000 | 1,612,253 | |
Vmed O2 UK Financing I PLC (A) | 3.250 | 01-31-31 | EUR | 7,750,000 | 6,433,212 |
Vmed O2 UK Financing I PLC (A) | 4.250 | 01-31-31 | 14,225,000 | 11,413,398 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 11 |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer discretionary 5.8% | $207,597,739 | ||||
Automobiles 1.2% | |||||
BMW Finance NV | 1.000 | 11-14-24 | EUR | 4,785,000 | 4,852,115 |
Ford Motor Company | 3.250 | 02-12-32 | 5,375,000 | 4,074,827 | |
Ford Motor Credit Company LLC | 2.748 | 06-14-24 | GBP | 3,354,000 | 3,832,751 |
Ford Motor Credit Company LLC | 2.900 | 02-16-28 | 3,620,000 | 3,024,401 | |
Ford Motor Credit Company LLC | 3.625 | 06-17-31 | 12,890,000 | 10,211,834 | |
Ford Motor Credit Company LLC | 4.000 | 11-13-30 | 2,575,000 | 2,146,134 | |
Ford Motor Credit Company LLC | 4.125 | 08-17-27 | 1,665,000 | 1,483,446 | |
Ford Motor Credit Company LLC | 4.542 | 08-01-26 | 4,455,000 | 4,128,655 | |
Ford Motor Credit Company LLC | 4.950 | 05-28-27 | 11,500,000 | 10,714,435 | |
Diversified consumer services 0.3% | |||||
Duke University | 3.299 | 10-01-46 | 7,549,000 | 5,871,612 | |
Massachusetts Institute of Technology | 2.989 | 07-01-50 | 4,565,000 | 3,390,075 | |
Hotels, restaurants and leisure 4.1% | |||||
Carnival Corp. (A) | 5.750 | 03-01-27 | 11,850,000 | 9,748,284 | |
Hilton Domestic Operating Company, Inc. (A) | 3.625 | 02-15-32 | 4,920,000 | 4,039,271 | |
Hilton Domestic Operating Company, Inc. | 4.875 | 01-15-30 | 7,450,000 | 6,835,375 | |
Hyatt Hotels Corp. | 6.000 | 04-23-30 | 9,696,000 | 9,731,293 | |
MGM Resorts International | 4.750 | 10-15-28 | 1,060,000 | 950,201 | |
New Red Finance, Inc. (A) | 3.500 | 02-15-29 | 15,357,000 | 13,023,479 | |
New Red Finance, Inc. (A) | 3.875 | 01-15-28 | 8,793,000 | 7,824,524 | |
New Red Finance, Inc. (A) | 4.000 | 10-15-30 | 22,370,000 | 18,475,830 | |
Premier Entertainment Sub LLC (A) | 5.625 | 09-01-29 | 2,115,000 | 1,554,525 | |
Premier Entertainment Sub LLC (A) | 5.875 | 09-01-31 | 5,320,000 | 3,833,459 | |
Royal Caribbean Cruises, Ltd. (A) | 5.500 | 04-01-28 | 12,760,000 | 11,121,616 | |
Royal Caribbean Cruises, Ltd. (A) | 11.625 | 08-15-27 | 2,691,000 | 2,866,023 | |
Travel + Leisure Company (A) | 4.500 | 12-01-29 | 9,282,000 | 7,795,356 | |
Travel + Leisure Company (A) | 6.625 | 07-31-26 | 3,876,000 | 3,799,428 | |
Wyndham Hotels & Resorts, Inc. (A) | 4.375 | 08-15-28 | 6,920,000 | 6,267,541 | |
Yum! Brands, Inc. | 3.625 | 03-15-31 | 18,845,000 | 15,794,560 | |
Yum! Brands, Inc. | 4.625 | 01-31-32 | 9,070,000 | 8,017,336 | |
Yum! Brands, Inc. (A) | 4.750 | 01-15-30 | 15,710,000 | 14,315,738 | |
Internet and direct marketing retail 0.2% | |||||
MercadoLibre, Inc. | 2.375 | 01-14-26 | 5,950,000 | 5,298,475 | |
MercadoLibre, Inc. | 3.125 | 01-14-31 | 3,340,000 | 2,575,140 | |
Consumer staples 2.9% | 105,467,257 | ||||
Beverages 0.2% | |||||
Becle SAB de CV (A) | 2.500 | 10-14-31 | 8,250,000 | 6,407,870 |
12 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Consumer staples (continued) | |||||
Food products 2.5% | |||||
Darling Ingredients, Inc. (A) | 6.000 | 06-15-30 | 13,370,000 | $12,918,696 | |
JBS USA LUX SA (A) | 3.625 | 01-15-32 | 10,670,000 | 8,546,883 | |
JBS USA LUX SA (A) | 5.750 | 04-01-33 | 7,695,000 | 7,177,280 | |
Kraft Heinz Foods Company | 4.250 | 03-01-31 | 10,895,000 | 10,206,210 | |
Kraft Heinz Foods Company | 4.375 | 06-01-46 | 2,935,000 | 2,396,086 | |
Kraft Heinz Foods Company | 4.625 | 10-01-39 | 11,120,000 | 9,777,979 | |
Kraft Heinz Foods Company | 6.875 | 01-26-39 | 6,560,000 | 7,153,604 | |
Kraft Heinz Foods Company (A) | 7.125 | 08-01-39 | 1,675,000 | 1,846,233 | |
MARB BondCo PLC (A) | 3.950 | 01-29-31 | 12,546,000 | 8,970,390 | |
NBM US Holdings, Inc. (A) | 7.000 | 05-14-26 | 2,929,000 | 2,836,531 | |
Post Holdings, Inc. (A) | 4.500 | 09-15-31 | 3,240,000 | 2,728,307 | |
Post Holdings, Inc. (A) | 5.500 | 12-15-29 | 3,230,000 | 2,955,851 | |
Post Holdings, Inc. (A) | 5.625 | 01-15-28 | 12,510,000 | 11,947,050 | |
Personal products 0.2% | |||||
Natura & Company Luxembourg Holdings Sarl (A) | 6.000 | 04-19-29 | 4,015,000 | 3,360,555 | |
Natura Cosmeticos SA (A) | 4.125 | 05-03-28 | 8,030,000 | 6,237,732 | |
Energy 6.6% | 235,169,847 | ||||
Oil, gas and consumable fuels 6.6% | |||||
Aker BP ASA (A) | 3.750 | 01-15-30 | 8,430,000 | 7,438,210 | |
Cenovus Energy, Inc. | 3.500 | 02-07-28 | CAD | 5,175,000 | 3,571,831 |
Cenovus Energy, Inc. | 5.250 | 06-15-37 | 2,074,000 | 1,898,879 | |
Cenovus Energy, Inc. | 5.400 | 06-15-47 | 8,203,000 | 7,384,454 | |
Cenovus Energy, Inc. | 6.750 | 11-15-39 | 18,593,000 | 19,432,127 | |
Cheniere Energy Partners LP | 4.000 | 03-01-31 | 13,025,000 | 11,222,969 | |
Cheniere Energy Partners LP | 4.500 | 10-01-29 | 4,045,000 | 3,670,878 | |
Continental Resources, Inc. (A) | 2.875 | 04-01-32 | 12,374,000 | 9,356,068 | |
Continental Resources, Inc. (A) | 5.750 | 01-15-31 | 15,241,000 | 14,426,521 | |
Ecopetrol SA | 4.625 | 11-02-31 | 4,570,000 | 3,406,935 | |
Ecopetrol SA | 5.375 | 06-26-26 | 2,445,000 | 2,316,638 | |
Ecopetrol SA | 5.875 | 05-28-45 | 2,485,000 | 1,638,696 | |
Ecopetrol SA | 6.875 | 04-29-30 | 4,970,000 | 4,413,360 | |
Enbridge, Inc. | 3.125 | 11-15-29 | 10,080,000 | 8,786,491 | |
EQT Corp. (A) | 3.125 | 05-15-26 | 1,990,000 | 1,820,464 | |
EQT Corp. (A)(B) | 3.625 | 05-15-31 | 23,315,000 | 19,567,114 | |
EQT Corp. | 3.900 | 10-01-27 | 3,283,000 | 3,002,041 | |
Kinder Morgan, Inc. | 5.300 | 12-01-34 | 2,405,000 | 2,255,609 | |
MC Brazil Downstream Trading SARL (A) | 7.250 | 06-30-31 | 9,928,838 | 8,142,487 | |
Medco Oak Tree Pte, Ltd. (A) | 7.375 | 05-14-26 | 12,545,000 | 12,210,337 | |
Occidental Petroleum Corp. | 3.200 | 08-15-26 | 1,560,000 | 1,396,357 | |
Occidental Petroleum Corp. | 3.400 | 04-15-26 | 2,417,000 | 2,241,768 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 13 |
Rate (%) | Maturity date | Par value^ | Value | ||
Energy (continued) | |||||
Oil, gas and consumable fuels (continued) | |||||
Occidental Petroleum Corp. | 6.125 | 01-01-31 | 7,895,000 | $7,951,133 | |
Occidental Petroleum Corp. | 6.625 | 09-01-30 | 11,815,000 | 12,139,913 | |
Occidental Petroleum Corp. | 7.500 | 05-01-31 | 3,470,000 | 3,712,900 | |
Ovintiv, Inc. | 6.500 | 08-15-34 | 8,760,000 | 8,772,749 | |
Ovintiv, Inc. | 6.500 | 02-01-38 | 5,700,000 | 5,589,839 | |
Pertamina Persero PT (A) | 3.100 | 01-21-30 | 2,700,000 | 2,339,679 | |
Pertamina Persero PT (A) | 3.650 | 07-30-29 | 3,440,000 | 3,130,400 | |
Petrorio Luxembourg Trading Sarl (A) | 6.125 | 06-09-26 | 5,350,000 | 5,054,145 | |
QatarEnergy (A) | 2.250 | 07-12-31 | 7,975,000 | 6,535,752 | |
QatarEnergy (A) | 3.300 | 07-12-51 | 3,105,000 | 2,262,769 | |
Southwestern Energy Company | 5.700 | 01-23-25 | 166,000 | 164,477 | |
The Williams Companies, Inc. | 3.500 | 11-15-30 | 865,000 | 756,954 | |
TransCanada PipeLines, Ltd. | 4.100 | 04-15-30 | 13,295,000 | 12,126,783 | |
Transcontinental Gas Pipe Line Company LLC | 3.250 | 05-15-30 | 875,000 | 761,801 | |
Var Energi ASA (A) | 7.500 | 01-15-28 | 5,380,000 | 5,548,215 | |
Western Midstream Operating LP | 4.300 | 02-01-30 | 9,845,000 | 8,722,104 | |
Financials 6.6% | 235,086,842 | ||||
Banks 3.9% | |||||
Asian Development Bank | 3.000 | 10-14-26 | AUD | 5,880,000 | 3,785,271 |
Bank of Montreal (7.325% to 11-26-27, then 5 Year Canada Government Bond Yield + 4.098%) | 7.325 | 11-26-82 | CAD | 11,950,000 | 8,857,188 |
Citigroup, Inc. (3 month EURIBOR + 0.500%) (C) | 2.563 | 03-21-23 | EUR | 4,120,000 | 4,357,557 |
European Investment Bank (SONIA + 0.350%) (C) | 3.955 | 06-29-23 | GBP | 6,180,000 | 7,439,291 |
Inter-American Development Bank | 2.700 | 01-29-26 | AUD | 5,932,000 | 3,817,525 |
Inter-American Development Bank | 2.750 | 10-30-25 | AUD | 5,140,000 | 3,326,309 |
International Bank for Reconstruction & Development | 1.800 | 01-19-27 | CAD | 6,585,000 | 4,460,957 |
International Bank for Reconstruction & Development | 1.900 | 01-16-25 | CAD | 8,110,000 | 5,676,643 |
International Bank for Reconstruction & Development | 2.875 | 11-30-26 | NZD | 7,530,000 | 4,276,864 |
International Finance Corp. | 0.375 | 09-10-25 | NZD | 12,980,000 | 7,071,383 |
International Finance Corp. | 2.550 | 09-18-23 | CNY | 32,140,000 | 4,628,282 |
International Finance Corp. | 3.600 | 02-24-26 | AUD | 14,185,000 | 9,365,869 |
14 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Financials (continued) | |||||
Banks (continued) | |||||
Intesa Sanpaolo SpA (4.198% to 6-1-31, then 1 Year CMT + 2.600%) (A) | 4.198 | 06-01-32 | 2,914,000 | $2,195,549 | |
Nordea Eiendomskreditt AS (3 month NIBOR + 0.300%) (C) | 3.490 | 06-21-23 | NOK | 70,000,000 | 6,747,534 |
Nordea Eiendomskreditt AS (3 month NIBOR + 0.340%) (C) | 3.560 | 06-19-24 | NOK | 33,000,000 | 3,186,269 |
Nordic Investment Bank | 1.875 | 04-10-24 | NOK | 46,090,000 | 4,343,634 |
Popular, Inc. | 6.125 | 09-14-23 | 3,585,000 | 3,567,075 | |
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 | 3,692,641 |
Shinhan Financial Group Company, Ltd. (2.875% to 5-12-26, then 5 Year CMT + 2.064%) (A)(D) | 2.875 | 05-12-26 | 9,105,000 | 7,898,588 | |
The Bank of Nova Scotia (8.625% to 10-27-27, then 5 Year CMT + 4.389%) | 8.625 | 10-27-82 | 8,635,000 | 9,125,367 | |
The Toronto-Dominion Bank (8.125% to 10-31-27, then 5 Year CMT + 4.075%) | 8.125 | 10-31-82 | 9,915,000 | 10,348,781 | |
U.S. Bancorp | 0.850 | 06-07-24 | EUR | 13,350,000 | 13,594,039 |
U.S. Bancorp (3.700% to 1-15-27, then 5 Year CMT + 2.541%) (D) | 3.700 | 01-15-27 | 6,821,000 | 5,738,166 | |
Capital markets 1.2% | |||||
MSCI, Inc. (A) | 3.250 | 08-15-33 | 4,130,000 | 3,256,629 | |
MSCI, Inc. (A) | 3.625 | 09-01-30 | 15,070,000 | 12,811,007 | |
MSCI, Inc. (A) | 3.625 | 11-01-31 | 8,740,000 | 7,308,825 | |
MSCI, Inc. (A) | 3.875 | 02-15-31 | 7,940,000 | 6,833,799 | |
The Goldman Sachs Group, Inc. | 0.250 | 01-26-28 | EUR | 845,000 | 737,350 |
The Goldman Sachs Group, Inc. | 1.375 | 05-15-24 | EUR | 7,713,000 | 7,955,338 |
The Goldman Sachs Group, Inc. | 2.000 | 11-01-28 | EUR | 3,788,000 | 3,568,314 |
Consumer finance 0.0% | |||||
Capital One Financial Corp. | 0.800 | 06-12-24 | EUR | 1,100,000 | 1,116,029 |
Diversified financial services 0.9% | |||||
Berkshire Hathaway Finance Corp. | 2.375 | 06-19-39 | GBP | 7,150,000 | 6,070,616 |
Berkshire Hathaway, Inc., Zero Coupon | 0.000 | 03-12-25 | EUR | 10,945,000 | 10,716,095 |
Swiss Insured Brazil Power Finance Sarl (A) | 9.850 | 07-16-32 | BRL | 87,331,095 | 14,387,124 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 15 |
Rate (%) | Maturity date | Par value^ | Value | ||
Financials (continued) | |||||
Insurance 0.6% | |||||
American International Group, Inc. (8.175% to 5-15-38, then 3 month LIBOR + 4.195%) | 8.175 | 05-15-58 | 15,170,000 | $16,915,572 | |
Chubb INA Holdings, Inc. | 0.300 | 12-15-24 | EUR | 5,990,000 | 5,909,362 |
Health care 3.8% | 135,583,532 | ||||
Health care equipment and supplies 0.6% | |||||
Becton Dickinson Euro Finance Sarl | 1.208 | 06-04-26 | EUR | 8,910,000 | 8,615,648 |
DH Europe Finance II Sarl | 0.450 | 03-18-28 | EUR | 14,445,000 | 12,924,572 |
Health care providers and services 2.5% | |||||
Centene Corp. | 2.500 | 03-01-31 | 9,265,000 | 7,220,863 | |
Centene Corp. | 3.000 | 10-15-30 | 15,295,000 | 12,494,944 | |
Centene Corp. | 3.375 | 02-15-30 | 16,980,000 | 14,327,373 | |
Centene Corp. | 4.625 | 12-15-29 | 2,625,000 | 2,400,544 | |
HCA, Inc. | 3.500 | 09-01-30 | 33,881,000 | 29,131,053 | |
HCA, Inc. | 4.125 | 06-15-29 | 13,845,000 | 12,602,613 | |
Rede D’or Finance Sarl (A) | 4.500 | 01-22-30 | 4,134,000 | 3,501,498 | |
Rede D’or Finance Sarl (A) | 4.950 | 01-17-28 | 4,356,000 | 3,946,536 | |
UnitedHealth Group, Inc. | 0.550 | 05-15-24 | 4,035,000 | 3,810,695 | |
Life sciences tools and services 0.4% | |||||
Thermo Fisher Scientific, Inc. | 0.500 | 03-01-28 | EUR | 6,585,000 | 5,930,912 |
Thermo Fisher Scientific, Inc. | 0.750 | 09-12-24 | EUR | 3,288,000 | 3,320,060 |
Thermo Fisher Scientific, Inc. | 1.400 | 01-23-26 | EUR | 4,947,000 | 4,889,378 |
Pharmaceuticals 0.3% | |||||
Allergan Funding SCS | 1.250 | 06-01-24 | EUR | 6,760,000 | 6,845,117 |
Allergan Funding SCS | 2.625 | 11-15-28 | EUR | 3,795,000 | 3,621,726 |
Industrials 4.5% | 160,258,465 | ||||
Aerospace and defense 1.1% | |||||
Airbus SE | 1.625 | 06-09-30 | EUR | 2,740,000 | 2,493,966 |
DAE Funding LLC (A) | 3.375 | 03-20-28 | 6,635,000 | 5,912,249 | |
The Boeing Company | 5.040 | 05-01-27 | 5,805,000 | 5,717,669 | |
The Boeing Company | 5.150 | 05-01-30 | 24,935,000 | 24,128,757 | |
Air freight and logistics 0.1% | |||||
Simpar Finance Sarl (A) | 10.750 | 02-12-28 | BRL | 26,688,000 | 3,696,238 |
Airlines 1.7% | |||||
American Airlines, Inc. (A) | 5.500 | 04-20-26 | 9,940,000 | 9,674,090 | |
American Airlines, Inc. (A) | 5.750 | 04-20-29 | 8,095,000 | 7,699,277 | |
Delta Air Lines 2020-1 Class A Pass Through Trust | 2.500 | 06-10-28 | 4,675,580 | 4,055,199 | |
Delta Air Lines, Inc. | 2.900 | 10-28-24 | 5,260,000 | 5,004,929 | |
Delta Air Lines, Inc. (A) | 4.750 | 10-20-28 | 32,713,000 | 31,068,066 |
16 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Industrials (continued) | |||||
Airlines (continued) | |||||
Delta Air Lines, Inc. (B) | 7.375 | 01-15-26 | 1,655,000 | $1,702,995 | |
Singapore Airlines, Ltd. | 3.375 | 01-19-29 | 4,250,000 | 3,831,982 | |
Building products 0.1% | |||||
Johnson Controls International PLC | 0.375 | 09-15-27 | EUR | 2,590,000 | 2,330,437 |
Construction and engineering 0.3% | |||||
AECOM | 5.125 | 03-15-27 | 12,077,000 | 11,549,549 | |
Road and rail 0.4% | |||||
Indian Railway Finance Corp., Ltd. (A) | 3.249 | 02-13-30 | 7,580,000 | 6,471,391 | |
Movida Europe SA (A) | 5.250 | 02-08-31 | 2,480,000 | 1,697,577 | |
Uber Technologies, Inc. (A) | 8.000 | 11-01-26 | 5,305,000 | 5,385,776 | |
Trading companies and distributors 0.8% | |||||
United Rentals North America, Inc. | 3.875 | 02-15-31 | 11,355,000 | 9,718,677 | |
United Rentals North America, Inc. | 4.000 | 07-15-30 | 7,265,000 | 6,406,277 | |
United Rentals North America, Inc. | 4.875 | 01-15-28 | 5,270,000 | 5,023,364 | |
United Rentals North America, Inc. (A) | 6.000 | 12-15-29 | 6,690,000 | 6,690,000 | |
Information technology 1.1% | 38,565,402 | ||||
IT services 0.6% | |||||
Fidelity National Information Services, Inc. | 1.000 | 12-03-28 | EUR | 4,800,000 | 4,271,833 |
Fidelity National Information Services, Inc. | 1.500 | 05-21-27 | EUR | 9,625,000 | 9,136,529 |
Fiserv, Inc. | 1.125 | 07-01-27 | EUR | 3,495,000 | 3,280,155 |
Gartner, Inc. (A) | 3.750 | 10-01-30 | 5,220,000 | 4,419,509 | |
Software 0.1% | |||||
Cloud Software Group Holdings, Inc. (A) | 6.500 | 03-31-29 | 4,345,000 | 3,763,901 | |
Technology hardware, storage and peripherals 0.4% | |||||
Apple, Inc. | 0.875 | 05-24-25 | EUR | 6,131,000 | 6,116,863 |
CDW LLC | 4.250 | 04-01-28 | 1,655,000 | 1,505,568 | |
Dell International LLC | 8.350 | 07-15-46 | 5,348,000 | 6,071,044 | |
Materials 4.5% | 160,437,840 | ||||
Chemicals 0.7% | |||||
Braskem Idesa SAPI (A) | 6.990 | 02-20-32 | 5,090,000 | 3,543,658 | |
Braskem Netherlands Finance BV (A) | 4.500 | 01-31-30 | 5,509,000 | 4,641,482 | |
Braskem Netherlands Finance BV (A) | 5.875 | 01-31-50 | 6,055,000 | 4,622,544 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 17 |
Rate (%) | Maturity date | Par value^ | Value | ||
Materials (continued) | |||||
Chemicals (continued) | |||||
Ecolab, Inc. | 1.000 | 01-15-24 | EUR | 4,270,000 | $4,412,672 |
FS Luxembourg Sarl (A) | 10.000 | 12-15-25 | 8,820,000 | 8,807,211 | |
Construction materials 0.5% | |||||
Cemex SAB de CV (A) | 3.875 | 07-11-31 | 12,495,000 | 10,058,475 | |
St. Mary’s Cement, Inc. (A) | 5.750 | 01-28-27 | 7,505,000 | 7,520,010 | |
Containers and packaging 1.3% | |||||
Ardagh Metal Packaging Finance USA LLC (A) | 3.250 | 09-01-28 | 9,710,000 | 8,148,315 | |
Ball Corp. | 2.875 | 08-15-30 | 10,485,000 | 8,369,127 | |
Ball Corp. | 4.875 | 03-15-26 | 8,590,000 | 8,300,088 | |
Ball Corp. | 6.875 | 03-15-28 | 11,095,000 | 11,205,950 | |
Berry Global, Inc. (A) | 5.625 | 07-15-27 | 6,805,000 | 6,549,813 | |
Sealed Air Corp. (A) | 5.000 | 04-15-29 | 4,410,000 | 4,027,129 | |
Metals and mining 2.0% | |||||
Cleveland-Cliffs, Inc. (A)(B) | 4.625 | 03-01-29 | 14,925,000 | 13,598,029 | |
Cleveland-Cliffs, Inc. (A)(B) | 4.875 | 03-01-31 | 8,180,000 | 7,446,172 | |
CSN Islands XI Corp. (A) | 6.750 | 01-28-28 | 8,315,000 | 7,929,964 | |
FMG Resources August 2006 Proprietary, Ltd. (A) | 4.375 | 04-01-31 | 4,335,000 | 3,657,444 | |
Freeport-McMoRan, Inc. | 4.125 | 03-01-28 | 1,430,000 | 1,326,196 | |
Freeport-McMoRan, Inc. | 4.625 | 08-01-30 | 10,030,000 | 9,256,152 | |
Freeport-McMoRan, Inc. | 5.450 | 03-15-43 | 17,505,000 | 15,804,109 | |
Indonesia Asahan Aluminium Persero PT (A) | 4.750 | 05-15-25 | 11,455,000 | 11,213,300 | |
Real estate 2.0% | 72,055,212 | ||||
Equity real estate investment trusts 2.0% | |||||
American Tower Corp. | 0.500 | 01-15-28 | EUR | 2,845,000 | 2,488,149 |
American Tower Corp. | 1.950 | 05-22-26 | EUR | 3,650,000 | 3,574,123 |
Crown Castle, Inc. | 2.250 | 01-15-31 | 2,550,000 | 2,040,143 | |
Host Hotels & Resorts LP | 3.375 | 12-15-29 | 7,065,000 | 6,012,668 | |
Host Hotels & Resorts LP | 3.500 | 09-15-30 | 2,575,000 | 2,140,473 | |
SBA Communications Corp. | 3.125 | 02-01-29 | 9,770,000 | 8,067,089 | |
SBA Communications Corp. | 3.875 | 02-15-27 | 20,055,000 | 18,149,651 | |
SBA Tower Trust (A) | 6.599 | 01-15-28 | 9,420,000 | 9,723,231 | |
VICI Properties LP (A) | 4.125 | 08-15-30 | 9,945,000 | 8,590,327 | |
VICI Properties LP (A) | 4.625 | 12-01-29 | 4,345,000 | 3,892,950 | |
VICI Properties LP | 5.125 | 05-15-32 | 7,950,000 | 7,376,408 | |
Utilities 2.6% | 92,184,101 | ||||
Electric utilities 1.5% | |||||
Brazos Securitization LLC (A) | 5.014 | 09-01-31 | 7,140,000 | 7,017,597 | |
EDP Finance BV | 0.375 | 09-16-26 | EUR | 1,315,000 | 1,232,070 |
FirstEnergy Corp. | 4.150 | 07-15-27 | 9,045,000 | 8,437,176 |
18 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Utilities (continued) | |||||
Electric utilities (continued) | |||||
FirstEnergy Corp. | 7.375 | 11-15-31 | 13,018,000 | $14,599,687 | |
Israel Electric Corp., Ltd. (A) | 3.750 | 02-22-32 | 5,380,000 | 4,628,554 | |
Israel Electric Corp., Ltd. (A) | 6.875 | 06-21-23 | 4,565,000 | 4,578,786 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara (A) | 4.125 | 05-15-27 | 12,660,000 | 11,963,700 | |
United Electric Securitization LLC (A) | 5.109 | 06-01-31 | 1,655,000 | 1,632,417 | |
Independent power and renewable electricity producers 0.9% | |||||
DPL, Inc. | 4.125 | 07-01-25 | 13,920,000 | 13,075,433 | |
Greenko Dutch BV (A)(B) | 3.850 | 03-29-26 | 5,801,625 | 5,107,751 | |
Greenko Solar Mauritius, Ltd. (A) | 5.550 | 01-29-25 | 5,260,000 | 5,010,150 | |
Greenko Wind Projects Mauritius, Ltd. (A) | 5.500 | 04-06-25 | 7,965,000 | 7,485,857 | |
The AES Corp. (A) | 3.950 | 07-15-30 | 1,650,000 | 1,444,575 | |
Multi-utilities 0.2% | |||||
E.ON SE | 0.375 | 09-29-27 | EUR | 3,200,000 | 2,947,596 |
Engie SA | 0.375 | 06-21-27 | EUR | 3,300,000 | 3,022,752 |
Convertible bonds 2.6% | $93,607,214 | ||||
(Cost $99,699,673) | |||||
Communication services 0.7% | 23,819,723 | ||||
Media 0.7% | |||||
Liberty Broadband Corp. (A) | 3.125 | 03-31-53 | 19,210,000 | 18,787,380 | |
Liberty Media Corp. (A) | 0.500 | 12-01-50 | 5,085,000 | 5,032,343 | |
Consumer discretionary 0.8% | 29,558,577 | ||||
Hotels, restaurants and leisure 0.6% | |||||
Carnival Corp. (A) | 5.750 | 12-01-27 | 13,045,000 | 14,395,158 | |
Marriott Vacations Worldwide Corp. (A) | 3.250 | 12-15-27 | 7,460,000 | 7,672,610 | |
Specialty retail 0.2% | |||||
Burlington Stores, Inc. | 2.250 | 04-15-25 | 6,365,000 | 7,490,809 | |
Industrials 1.1% | 40,228,914 | ||||
Airlines 0.9% | |||||
Air Canada | 4.000 | 07-01-25 | 5,160,000 | 6,202,464 | |
American Airlines Group, Inc. | 6.500 | 07-01-25 | 11,950,000 | 14,405,725 | |
Southwest Airlines Company (B) | 1.250 | 05-01-25 | 9,450,000 | 10,768,275 | |
Road and rail 0.2% | |||||
Uber Technologies, Inc. (E) | 5.087 | 12-15-25 | 10,190,000 | 8,852,450 | |
Municipal bonds 0.4% | $15,038,186 | ||||
(Cost $15,083,392) | |||||
City of Norfolk (Virginia) | 1.804 | 10-01-31 | 4,035,000 | 3,191,130 | |
City of San Antonio (Texas) | 5.718 | 02-01-41 | 2,360,000 | 2,517,205 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 19 |
Rate (%) | Maturity date | Par value^ | Value | ||
Commonwealth of Massachusetts | 2.900 | 09-01-49 | 5,840,000 | $4,200,377 | |
South Carolina Public Service Authority | 5.740 | 01-01-30 | 2,420,000 | 2,433,536 | |
State Board of Administration Finance Corp. (Florida) | 2.154 | 07-01-30 | 3,293,000 | 2,695,938 | |
Term loans (F) 0.9% | $31,048,122 | ||||
(Cost $31,232,347) | |||||
Consumer discretionary 0.0% | 809,467 | ||||
Hotels, restaurants and leisure 0.0% | |||||
Aramark Services, Inc., 2018 Term Loan B3 (G) | TBD | 03-11-25 | 812,000 | 809,467 | |
Health care 0.1% | 837,000 | ||||
Pharmaceuticals 0.1% | |||||
Perrigo Investments LLC, Term Loan B (G) | TBD | 04-20-29 | 837,000 | 837,000 | |
Industrials 0.8% | 29,401,655 | ||||
Airlines 0.8% | |||||
AAdvantage Loyalty IP, Ltd., 2021 Term Loan (3 month LIBOR + 4.750%) | 9.558 | 04-20-28 | 6,330,000 | 6,478,185 | |
Mileage Plus Holdings LLC, 2020 Term Loan B (3 month LIBOR + 5.250%) | 9.996 | 06-21-27 | 7,951,500 | 8,271,548 | |
United Airlines, Inc., 2021 Term Loan B (3 month LIBOR + 3.750%) | 8.568 | 04-21-28 | 14,697,779 | 14,651,922 | |
Collateralized mortgage obligations 5.9% | $210,081,675 | ||||
(Cost $210,671,935) | |||||
Commercial and residential 3.7% | 131,570,940 | ||||
Arroyo Mortgage Trust | |||||
Series 2019-1, Class A1 (A)(H) | 3.805 | 01-25-49 | 3,249,558 | 3,016,158 | |
BOCA Commercial Mortgage Trust | |||||
Series 2022-BOCA, Class B (1 month CME Term SOFR + 2.319%) (A)(C) | 6.882 | 05-15-39 | 3,145,000 | 3,089,822 | |
BX Commercial Mortgage Trust | |||||
Series 2019-XL, Class A (1 month CME Term SOFR + 1.034%) (A)(C) | 5.597 | 10-15-36 | 13,167,774 | 13,101,618 | |
Series 2021-CIP, Class A (1 month LIBOR + 0.921%) (A)(C) | 5.509 | 12-15-38 | 4,955,000 | 4,868,086 | |
Series 2021-VOLT, Class A (1 month LIBOR + 0.700%) (A)(C) | 5.288 | 09-15-36 | 5,650,000 | 5,514,143 | |
BX Trust |
20 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Commercial and residential (continued) | |||||
Series 2022-CLS, Class A (A) | 5.760 | 10-13-27 | 5,980,000 | $5,812,147 | |
Series 2022-GPA, Class A (1 month CME Term SOFR + 2.165%) (A)(C) | 6.727 | 10-15-39 | 8,080,000 | 8,064,826 | |
Series 2022-GPA, Class B (1 month CME Term SOFR + 2.664%) (A)(C) | 7.226 | 10-15-39 | 4,845,000 | 4,832,869 | |
Series 2022-GPA, Class D (1 month CME Term SOFR + 4.061%) (A)(C) | 8.623 | 10-15-39 | 3,335,000 | 3,320,205 | |
CAMB Commercial Mortgage Trust | |||||
Series 2019-LIFE, Class A (1 month LIBOR + 1.070%) (A)(C) | 5.658 | 12-15-37 | 3,840,900 | 3,827,644 | |
COLT Mortgage Loan Trust | |||||
Series 2022-5, Class A1 (A)(H) | 4.550 | 04-25-67 | 3,701,566 | 3,556,852 | |
Credit Suisse Mortgage Capital Certificates | |||||
Series 2019-ICE4, Class A (1 month LIBOR + 0.980%) (A)(C) | 5.568 | 05-15-36 | 10,902,875 | 10,848,136 | |
Series 2019-NQM1, Class A1 (2.656% to 11-1-23, then 3.656% thereafter) (A) | 2.656 | 10-25-59 | 993,048 | 949,665 | |
GCAT Trust | |||||
Series 2022-NQM4, Class A1 (5.269% to 8-1-26, then 6.269% thereafter) (A) | 5.269 | 08-25-67 | 4,046,744 | 3,947,678 | |
HarborView Mortgage Loan Trust | |||||
Series 2007-3, Class ES IO (A) | 0.350 | 05-19-47 | 3,356,671 | 35,403 | |
Series 2007-4, Class ES IO | 0.350 | 07-19-47 | 3,459,199 | 46,032 | |
Series 2007-6, Class ES IO (A) | 0.343 | 08-19-37 | 3,539,501 | 44,940 | |
InTown Mortgage Trust | |||||
Series 2022-STAY, Class B (1 month CME Term SOFR + 3.286%) (A)(C) | 7.848 | 08-15-39 | 6,535,000 | 6,530,914 | |
Life Mortgage Trust | |||||
Series 2022-BMR2, Class A1 (1 month CME Term SOFR + 1.295%) (A)(C) | 5.858 | 05-15-39 | 12,924,000 | 12,875,503 | |
Series 2022-BMR2, Class B (1 month CME Term SOFR + 1.794%) (A)(C) | 6.356 | 05-15-39 | 11,605,000 | 11,559,192 | |
Series 2022-BMR2, Class D (1 month CME Term SOFR + 2.542%) (A)(C) | 7.104 | 05-15-39 | 9,305,000 | 9,166,874 | |
Morgan Stanley Mortgage Loan Trust | |||||
Series 2004-9, Class 1A (H) | 5.363 | 11-25-34 | 816,964 | 823,542 | |
SCOTT Trust | |||||
Series 2023-SFS, Class AS (A) | 6.204 | 03-15-28 | 2,925,000 | 2,925,000 | |
Verus Securitization Trust | |||||
Series 2022-4, Class A2 (A)(H) | 4.740 | 04-25-67 | 5,033,137 | 4,703,510 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 21 |
Rate (%) | Maturity date | Par value^ | Value | ||
Commercial and residential (continued) | |||||
Series 2022-8, Class A3 (6.127% to 10-1-26, then 7.127% thereafter) (A) | 6.127 | 09-25-67 | 2,982,246 | $2,909,413 | |
Series 2022-INV1, Class A1 (5.041% to 8-1-26, then 6.041% thereafter) (A) | 5.041 | 08-25-67 | 5,348,908 | 5,200,768 | |
U.S. Government Agency 2.2% | 78,510,735 | ||||
Federal Home Loan Mortgage Corp. | |||||
Series 2022-DNA3, Class M1A (1 month SOFR + 2.000%) (A)(C) | 6.484 | 04-25-42 | 6,747,010 | 6,776,950 | |
Series 2022-DNA4, Class M1A (1 month SOFR + 2.200%) (A)(C) | 6.684 | 05-25-42 | 7,298,519 | 7,367,523 | |
Series 2022-DNA4, Class M1B (1 month SOFR + 3.350%) (A)(C) | 7.834 | 05-25-42 | 7,760,000 | 7,896,123 | |
Series 2022-DNA6, Class M1A (1 month SOFR + 2.150%) (A)(C) | 6.634 | 09-25-42 | 8,018,485 | 8,050,275 | |
Series 2022-DNA7, Class M1A (1 month SOFR + 2.500%) (A)(C) | 6.984 | 03-25-52 | 6,109,645 | 6,172,748 | |
Series 2022-HQA1, Class M1B (1 month SOFR + 3.500%) (A)(C) | 7.984 | 03-25-42 | 3,825,000 | 3,906,327 | |
Series 2022-HQA3, Class M1B (1 month SOFR + 3.550%) (A)(C) | 8.034 | 08-25-42 | 5,665,000 | 5,767,070 | |
Federal National Mortgage Association | |||||
Series 2022-R01, Class 1M1 (1 month SOFR + 1.000%) (A)(C) | 5.484 | 12-25-41 | 1,945,413 | 1,931,523 | |
Series 2022-R03, Class 1M1 (1 month SOFR + 2.100%) (A)(C) | 6.584 | 03-25-42 | 1,009,374 | 1,012,000 | |
Series 2022-R04, Class 1M1 (1 month SOFR + 2.000%) (A)(C) | 6.484 | 03-25-42 | 2,076,708 | 2,084,042 | |
Series 2022-R05, Class 2M2 (1 month SOFR + 3.000%) (A)(C) | 7.484 | 04-25-42 | 11,386,000 | 11,343,300 | |
Series 2022-R06, Class 1M1 (1 month SOFR + 2.750%) (A)(C) | 7.234 | 05-25-42 | 3,838,550 | 3,909,840 | |
Series 2022-R09, Class 2M1 (1 month SOFR + 2.500%) (A)(C) | 6.992 | 09-25-42 | 7,211,148 | 7,257,067 | |
Series 2023-R01, Class 1M1 (1 month SOFR + 2.400%) (A)(C) | 6.892 | 12-25-42 | 4,999,061 | 5,035,947 |
22 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Rate (%) | Maturity date | Par value^ | Value | ||
Asset backed securities 1.7% | $63,278,096 | ||||
(Cost $65,116,443) | |||||
Asset backed securities 1.7% | 63,278,096 | ||||
DataBank Issuer | |||||
Series 2023-1A, Class A2 (A) | 5.116 | 02-25-53 | 5,065,000 | 4,670,840 | |
DB Master Finance LLC | |||||
Series 2019-1A, Class A2II (A) | 4.021 | 05-20-49 | 5,650,075 | 5,312,556 | |
Domino’s Pizza Master Issuer LLC | |||||
Series 2015-1A, Class A2II (A) | 4.474 | 10-25-45 | 5,690,625 | 5,476,663 | |
FirstKey Homes Trust | |||||
Series 2020-SFR2, Class A (A) | 1.266 | 10-19-37 | 3,641,483 | 3,248,149 | |
Home Partners of America Trust | |||||
Series 2019-1, Class B (A) | 3.157 | 09-17-39 | 4,047,496 | 3,652,968 | |
MetroNet Infrastructure Issuer LLC | |||||
Series 2022-1A, Class A2 (A) | 6.350 | 10-20-52 | 6,620,000 | 6,313,095 | |
MVW Owner Trust | |||||
Series 2018-1A, Class A (A) | 3.450 | 01-21-36 | 1,647,603 | 1,599,731 | |
OCCU Auto Receivables Trust | |||||
Series 2022-1A, Class A3 (A) | 5.500 | 10-15-27 | 6,050,000 | 6,022,390 | |
Taco Bell Funding LLC | |||||
Series 2016-1A, Class A23 (A) | 4.970 | 05-25-46 | 13,878,313 | 13,480,005 | |
T-Mobile US Trust | |||||
Series 2022-1A, Class A (A) | 4.910 | 05-22-28 | 7,190,000 | 7,150,886 | |
Verizon Master Trust | |||||
Series 2023-1, Class A (4.490% to 1-20-26, then 5.240% thereafter) | 4.490 | 01-22-29 | 6,440,000 | 6,350,813 | |
Shares | Value | ||||
Common stocks 0.3% | $12,994,378 | ||||
(Cost $20,578,460) | |||||
Communication services 0.0% | 0 | ||||
Media 0.0% | |||||
Vertis Holdings, Inc. (I)(J) | 110,794 | 0 | |||
Industrials 0.3% | 12,994,378 | ||||
Aerospace and defense 0.2% | |||||
The Boeing Company (J) | 41,255 | 8,314,943 | |||
Airlines 0.1% | |||||
Delta Air Lines, Inc. (J) | 122,051 | 4,679,435 | |||
Preferred securities 2.0% | $70,262,687 | ||||
(Cost $77,315,968) | |||||
Communication services 0.1% | 3,141,936 | ||||
Media 0.1% | |||||
Paramount Global, 5.750% (B) | 100,800 | 3,141,936 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 23 |
Shares | Value | ||||
Financials 0.5% | $19,107,507 | ||||
Banks 0.3% | |||||
Valley National Bancorp, 8.531% (3 month LIBOR + 3.578%) (C) | 272,325 | 6,897,992 | |||
Wells Fargo & Company, 5.850% (5.850% to 9-15-23, then 3 month LIBOR + 3.090%) | 228,245 | 5,649,064 | |||
Capital markets 0.2% | |||||
Stifel Financial Corp., 4.500% | 347,850 | 6,560,451 | |||
Utilities 1.4% | 48,013,244 | ||||
Electric utilities 1.0% | |||||
American Electric Power Company, Inc., 6.125% | 136,900 | 6,750,539 | |||
NextEra Energy, Inc., 6.219% | 183,350 | 8,556,945 | |||
NextEra Energy, Inc., 6.926% (B) | 448,850 | 20,108,480 | |||
Independent power and renewable electricityproducers 0.4% | |||||
The AES Corp., 6.875% | 137,600 | 12,597,280 | |||
Contracts/ Notional amount | Value | ||||
Purchased options 0.0% | $52,017 | ||||
(Cost $1,228,955) | |||||
Puts 0.0% | 52,017 | ||||
Over the Counter Option on USD vs. JPY (Expiration Date: 4-5-23; Strike Price: $120.50; Counterparty: Goldman Sachs International) (J)(K) | 94,670,000 | 14,011 | |||
Over the Counter Option on USD vs. JPY (Expiration Date: 5-31-23; Strike Price: $127.00; Counterparty: Goldman Sachs International) (J)(K) | 6,137,000 | 38,006 | |||
Yield (%) | Shares | Value | |||
Short-term investments 1.9% | $66,582,012 | ||||
(Cost $66,593,724) | |||||
Short-term funds 1.9% | 66,582,012 | ||||
John Hancock Collateral Trust (L) | 4.5832(M) | 6,661,199 | 66,582,012 |
Total investments (Cost $3,915,044,354) 98.2% | $3,511,599,518 | ||||
Other assets and liabilities, net 1.8% | 65,896,985 | ||||
Total net assets 100.0% | $3,577,496,503 |
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 |
24 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CNY | Chinese Yuan Renminbi |
EUR | Euro |
GBP | Pound Sterling |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
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 |
(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 $1,216,067,527 or 34.0% of the fund’s net assets as of 2-28-23. |
(B) | All or a portion of this security is on loan as of 2-28-23. |
(C) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(D) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. |
(E) | 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. |
(F) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. |
(G) | 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). |
(H) | 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. |
(I) | 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. |
(J) | Non-income producing security. |
(K) | For this type of option, notional amounts are equivalent to number of contracts. |
(L) | 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. Market value of this investment amounted to $58,771,026. |
(M) | The rate shown is the annualized seven-day yield as of 2-28-23. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 25 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
AUD | 3,417,400 | USD | 2,301,510 | BNY | 3/15/2023 | — | $(843) |
AUD | 2,912,500 | USD | 2,078,622 | GSI | 3/15/2023 | — | (117,865) |
AUD | 2,912,500 | USD | 2,067,004 | MSCS | 3/15/2023 | — | (106,247) |
CAD | 2,912,500 | JPY | 288,831,693 | CITI | 3/15/2023 | $9,567 | — |
CAD | 2,912,500 | JPY | 289,619,000 | SSB | 3/15/2023 | 3,774 | — |
CAD | 2,912,500 | MXN | 41,064,736 | JPM | 3/15/2023 | — | (104,203) |
CAD | 2,912,500 | MXN | 41,388,492 | MSCS | 3/15/2023 | — | (121,855) |
CAD | 24,645,735 | NZD | 29,200,416 | ANZ | 3/15/2023 | 9,537 | — |
CAD | 37,768,895 | NZD | 44,215,000 | UBS | 3/15/2023 | 344,671 | — |
CAD | 3,881,430 | USD | 2,912,500 | BMO | 3/15/2023 | — | (67,626) |
CAD | 31,828,233 | USD | 23,410,514 | CIBC | 3/15/2023 | — | (82,177) |
CAD | 3,914,793 | USD | 2,912,500 | HUS | 3/15/2023 | — | (43,173) |
CAD | 3,907,339 | USD | 2,912,500 | JPM | 3/15/2023 | — | (48,636) |
CAD | 14,888,808 | USD | 10,912,588 | RBC | 3/15/2023 | 86 | — |
CAD | 17,376,705 | USD | 12,731,353 | SSB | 3/15/2023 | 4,812 | — |
EUR | 697,909 | NOK | 7,498,685 | CITI | 3/15/2023 | 16,187 | — |
EUR | 14,192,388 | NOK | 152,546,255 | JPM | 3/15/2023 | 323,766 | — |
EUR | 7,170,528 | NOK | 76,559,723 | MSCS | 3/15/2023 | 212,951 | — |
EUR | 6,908,027 | NOK | 75,209,419 | RBC | 3/15/2023 | 65,202 | — |
EUR | 13,887,119 | NOK | 150,506,357 | UBS | 3/15/2023 | 197,194 | — |
EUR | 83,206,554 | USD | 91,632,642 | CITI | 3/15/2023 | — | (3,556,265) |
EUR | 20,915,125 | USD | 23,098,559 | GSI | 3/15/2023 | — | (959,337) |
EUR | 34,193,260 | USD | 37,295,731 | JPM | 3/15/2023 | — | (1,101,245) |
EUR | 61,001,101 | USD | 66,482,695 | MSCS | 3/15/2023 | — | (1,911,388) |
EUR | 20,915,125 | USD | 23,064,154 | RBC | 3/15/2023 | — | (924,931) |
EUR | 1,580,000 | USD | 1,673,117 | TD | 3/15/2023 | — | (644) |
GBP | 6,038,104 | USD | 7,223,625 | BARC | 3/15/2023 | 40,960 | — |
JPY | 288,570,500 | CAD | 2,912,500 | GSI | 3/15/2023 | — | (11,488) |
JPY | 290,728,371 | CAD | 2,912,500 | JPM | 3/15/2023 | 4,388 | — |
JPY | 242,495,915 | NZD | 2,912,500 | CITI | 3/15/2023 | — | (16,569) |
JPY | 1,980,674,750 | USD | 14,562,500 | BARC | 3/15/2023 | 10,698 | — |
JPY | 9,890,640,430 | USD | 74,724,243 | CITI | 3/15/2023 | — | (1,951,939) |
JPY | 2,554,106,794 | USD | 19,668,480 | GSI | 3/15/2023 | — | (876,145) |
JPY | 2,971,493,838 | USD | 22,721,629 | MSCS | 3/15/2023 | — | (858,287) |
JPY | 1,392,701,222 | USD | 10,720,632 | SSB | 3/15/2023 | — | (473,563) |
MXN | 41,502,056 | CAD | 2,912,500 | JPM | 3/15/2023 | 128,047 | — |
MXN | 41,377,888 | CAD | 2,912,500 | RBC | 3/15/2023 | 121,277 | — |
MXN | 80,948,206 | USD | 4,372,500 | JPM | 3/15/2023 | 40,906 | — |
MXN | 149,676,530 | USD | 7,722,350 | SSB | 3/15/2023 | 438,218 | — |
NOK | 76,549,175 | EUR | 7,111,394 | BARC | 3/15/2023 | — | (151,373) |
NOK | 152,424,691 | EUR | 14,034,245 | GSI | 3/15/2023 | — | (168,081) |
26 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
NOK | 76,372,101 | EUR | 7,111,394 | HUS | 3/15/2023 | — | $(168,435) |
NOK | 229,361,315 | EUR | 21,279,089 | JPM | 3/15/2023 | — | (423,379) |
NOK | 233,189,098 | EUR | 21,347,452 | UBS | 3/15/2023 | — | (126,902) |
NOK | 18,407,137 | NZD | 2,920,000 | SCB | 3/15/2023 | — | (31,717) |
NOK | 310,913 | USD | 30,073 | MSCS | 3/15/2023 | — | (113) |
NZD | 20,302,899 | AUD | 18,502,680 | ANZ | 3/15/2023 | $96,752 | — |
NZD | 30,434,162 | AUD | 27,754,020 | CITI | 3/15/2023 | 132,649 | — |
NZD | 20,287,542 | AUD | 18,502,680 | HUS | 3/15/2023 | 87,258 | — |
NZD | 20,288,528 | AUD | 18,502,680 | MSCS | 3/15/2023 | 87,867 | — |
NZD | 20,317,654 | AUD | 18,502,680 | RBC | 3/15/2023 | 105,876 | — |
NZD | 22,324,498 | AUD | 20,352,948 | UBS | 3/15/2023 | 101,055 | — |
NZD | 8,891,701 | CAD | 7,469,091 | ANZ | 3/15/2023 | 23,249 | — |
NZD | 91,071,814 | CAD | 76,637,561 | CITI | 3/15/2023 | 138,002 | — |
NZD | 23,829,758 | CAD | 20,028,673 | GSI | 3/15/2023 | 53,871 | — |
NZD | 41,562,683 | CAD | 35,058,281 | MSCS | 3/15/2023 | 2,150 | — |
NZD | 2,912,500 | JPY | 242,121,950 | SCB | 3/15/2023 | 19,320 | — |
NZD | 2,920,000 | NOK | 18,718,076 | UBS | 3/15/2023 | 1,755 | — |
NZD | 57,858,790 | USD | 36,399,020 | CITI | 3/15/2023 | — | (625,309) |
NZD | 29,477,500 | USD | 18,456,158 | RBC | 3/15/2023 | — | (230,413) |
NZD | 14,565,000 | USD | 9,142,815 | SSB | 3/15/2023 | — | (137,371) |
SGD | 30,281,225 | USD | 22,767,730 | BARC | 3/15/2023 | — | (304,156) |
SGD | 50,931,609 | USD | 38,169,242 | CIBC | 3/15/2023 | — | (386,558) |
SGD | 37,116,021 | USD | 27,729,134 | CITI | 3/15/2023 | — | (195,292) |
SGD | 37,059,203 | USD | 27,705,717 | GSI | 3/15/2023 | — | (214,024) |
SGD | 64,647,290 | USD | 48,632,767 | HUS | 3/15/2023 | — | (675,356) |
SGD | 63,433,044 | USD | 47,451,315 | JPM | 3/15/2023 | — | (394,670) |
SGD | 1,173,564 | USD | 874,956 | MSCS | 3/15/2023 | — | (4,369) |
SGD | 26,139,275 | USD | 19,698,764 | SSB | 3/15/2023 | — | (307,821) |
USD | 6,093,244 | AUD | 9,038,289 | ANZ | 3/15/2023 | 8,476 | — |
USD | 4,083,133 | AUD | 5,825,000 | CIBC | 3/15/2023 | 161,619 | — |
USD | 96,948 | AUD | 136,892 | TD | 3/15/2023 | 4,789 | — |
USD | 27,896,875 | BRL | 147,359,944 | GSI | 3/15/2023 | — | (175,193) |
USD | 2,912,500 | CAD | 3,873,555 | JPM | 3/15/2023 | 73,398 | — |
USD | 31,508,406 | CAD | 42,125,647 | RBC | 3/15/2023 | 632,632 | — |
USD | 2,912,500 | CAD | 3,874,199 | UBS | 3/15/2023 | 72,926 | — |
USD | 4,373,823 | EUR | 4,142,310 | HUS | 3/15/2023 | — | (10,923) |
USD | 155,878,770 | EUR | 144,800,786 | JPM | 3/15/2023 | 2,603,240 | — |
USD | 63,185,011 | EUR | 58,252,500 | MSCS | 3/15/2023 | 1,523,171 | — |
USD | 160,237,575 | EUR | 148,898,507 | UBS | 3/15/2023 | 2,624,497 | — |
USD | 37,578,662 | GBP | 30,842,236 | BARC | 3/15/2023 | 471,639 | — |
USD | 36,289,146 | JPY | 4,726,571,226 | CITI | 3/15/2023 | 1,512,482 | — |
USD | 10,725,350 | JPY | 1,383,033,818 | GSI | 3/15/2023 | 549,410 | — |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 27 |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
USD | 29,135,000 | JPY | 3,810,284,478 | JPM | 3/15/2023 | $1,100,094 | — |
USD | 25,292,850 | JPY | 3,291,086,519 | MSCS | 3/15/2023 | 1,078,043 | — |
USD | 10,728,157 | JPY | 1,358,455,306 | NAB | 3/15/2023 | 733,059 | — |
USD | 2,912,500 | JPY | 376,973,613 | UBS | 3/15/2023 | 138,844 | — |
USD | 47,149,175 | MXN | 906,365,734 | GSI | 3/15/2023 | — | $(2,267,116) |
USD | 2,915,000 | MXN | 54,629,849 | JPM | 3/15/2023 | — | (63,494) |
USD | 7,366,970 | MXN | 139,541,278 | SSB | 3/15/2023 | — | (241,010) |
USD | 47,952,141 | NOK | 475,728,871 | SSB | 3/15/2023 | 2,111,215 | — |
USD | 102,509,096 | NZD | 161,298,798 | ANZ | 3/15/2023 | 2,779,106 | — |
USD | 134,594 | NZD | 207,996 | BNY | 3/15/2023 | 5,991 | — |
USD | 9,460,332 | NZD | 14,565,000 | CIBC | 3/15/2023 | 454,888 | — |
USD | 10,315,553 | NZD | 16,014,782 | CITI | 3/15/2023 | 413,719 | — |
USD | 399,099 | NZD | 615,032 | JPM | 3/15/2023 | 18,828 | — |
USD | 2,934,378 | NZD | 4,531,039 | MSCS | 3/15/2023 | 132,866 | — |
USD | 99,990,158 | NZD | 157,383,027 | SSB | 3/15/2023 | 2,681,268 | — |
USD | 268,096 | NZD | 412,808 | UBS | 3/15/2023 | 12,860 | — |
USD | 19,808,024 | SGD | 26,166,003 | CIBC | 3/15/2023 | 397,252 | — |
USD | 19,808,024 | SGD | 26,049,928 | HUS | 3/15/2023 | 483,360 | — |
USD | 173,680,111 | SGD | 230,805,237 | MSCS | 3/15/2023 | 2,461,464 | — |
USD | 1,177,442 | SGD | 1,573,063 | SCB | 3/15/2023 | 10,493 | — |
USD | 19,808,024 | SGD | 26,186,999 | SSB | 3/15/2023 | 381,676 | — |
$28,455,350 | $(20,637,501) |
Foreign currency options | |||||||
Description | Counterparty (OTC) | Currency | Exercise price | Expiration date | Notional amount* | Premium | Value |
Puts | |||||||
U.S. Dollar vs. Japanese Yen | GSI | USD | 112.75 | Apr 2023 | 94,670,000 | $564,233 | $(284) |
$564,233 | $(284) | ||||||
* 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 |
EUR | Euro |
GBP | Pound Sterling |
JPY | Japanese Yen |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
28 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
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. |
JPM | JPMorgan Chase Bank, N.A. |
MSCS | Morgan Stanley Capital Services LLC |
NAB | National Australia Bank Ltd. |
OTC | Over-the-counter |
RBC | Royal Bank of Canada |
SCB | Standard Chartered Bank |
SSB | State Street Bank and Trust Company |
TD | The Toronto-Dominion Bank |
UBS | UBS AG |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 29 |
Assets | |
Unaffiliated investments, at value (Cost $3,848,450,630) including $57,600,269 of securities loaned | $3,445,017,506 |
Affiliated investments, at value (Cost $66,593,724) | 66,582,012 |
Total investments, at value (Cost $3,915,044,354) | 3,511,599,518 |
Unrealized appreciation on forward foreign currency contracts | 28,455,350 |
Cash | 10,442,473 |
Foreign currency, at value (Cost $1,365,199) | 1,369,260 |
Collateral held at broker for futures contracts | 1,130,000 |
Collateral segregated at custodian for OTC derivative contracts | 10,970,000 |
Dividends and interest receivable | 33,439,058 |
Receivable for fund shares sold | 4,254,298 |
Receivable for investments sold | 153,279,627 |
Receivable for securities lending income | 89,798 |
Other assets | 229,006 |
Total assets | 3,755,258,388 |
Liabilities | |
Unrealized depreciation on forward foreign currency contracts | 20,637,501 |
Written options, at value (Premiums received $564,233) | 284 |
Distributions payable | 159,857 |
Payable for investments purchased | 82,252,398 |
Payable for delayed delivery securities purchased | 6,586,425 |
Payable for fund shares repurchased | 8,377,983 |
Payable upon return of securities loaned | 58,849,757 |
Payable to affiliates | |
Accounting and legal services fees | 321,732 |
Transfer agent fees | 168,608 |
Distribution and service fees | 860 |
Trustees’ fees | 2,152 |
Other liabilities and accrued expenses | 404,328 |
Total liabilities | 177,761,885 |
Net assets | $3,577,496,503 |
Net assets consist of | |
Paid-in capital | $4,242,233,058 |
Total distributable earnings (loss) | (664,736,555) |
Net assets | $3,577,496,503 |
30 | JOHN HANCOCK Strategic Income Opportunities Fund | SEMIANNUAL 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 ($302,199,970 ÷ 31,318,652 shares)1 | $9.65 |
Class C ($34,206,001 ÷ 3,544,297 shares)1 | $9.65 |
Class I ($1,520,904,277 ÷ 157,607,641 shares) | $9.65 |
Class R2 ($4,542,916 ÷ 470,425 shares) | $9.66 |
Class R6 ($155,967,125 ÷ 16,150,862 shares) | $9.66 |
Class NAV ($1,559,676,214 ÷ 161,696,594 shares) | $9.65 |
Maximum offering price per share | |
Class A (net asset value per share ÷ 96%)2 | $10.05 |
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. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 31 |
Investment income | |
Interest | $72,445,838 |
Dividends | 3,704,153 |
Dividends from affiliated investments | 765,896 |
Securities lending | 445,954 |
Less foreign taxes withheld | (273,264) |
Total investment income | 77,088,577 |
Expenses | |
Investment management fees | 11,936,439 |
Distribution and service fees | 658,454 |
Accounting and legal services fees | 356,452 |
Transfer agent fees | 1,102,290 |
Trustees’ fees | 47,052 |
Custodian fees | 360,365 |
State registration fees | 49,648 |
Printing and postage | 88,733 |
Professional fees | 116,239 |
Other | 87,304 |
Total expenses | 14,802,976 |
Less expense reductions | (874,757) |
Net expenses | 13,928,219 |
Net investment income | 63,160,358 |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on | |
Unaffiliated investments and foreign currency transactions | (154,998,418) |
Affiliated investments | (75,839) |
Futures contracts | 12,464,823 |
Forward foreign currency contracts | 11,187,332 |
(131,422,102) | |
Change in net unrealized appreciation (depreciation) of | |
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 107,103,237 |
Affiliated investments | 84,218 |
Futures contracts | (1,100,860) |
Forward foreign currency contracts | (37,123,919) |
Written options | 1,459,039 |
70,421,715 | |
Net realized and unrealized loss | (61,000,387) |
Increase in net assets from operations | $2,159,971 |
32 | JOHN HANCOCK Strategic Income Opportunities Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | |
Increase (decrease) in net assets | ||
From operations | ||
Net investment income | $63,160,358 | $121,302,916 |
Net realized gain (loss) | (131,422,102) | 8,620,931 |
Change in net unrealized appreciation (depreciation) | 70,421,715 | (617,482,465) |
Increase (decrease) in net assets resulting from operations | 2,159,971 | (487,558,618) |
Distributions to shareholders | ||
From earnings | ||
Class A | (6,241,209) | (11,520,057) |
Class C | (616,516) | (1,448,519) |
Class I | (35,013,662) | (64,579,947) |
Class R2 | (91,054) | (166,849) |
Class R6 | (3,626,430) | (7,091,941) |
Class NAV | (34,712,153) | (69,165,745) |
Total distributions | (80,301,024) | (153,973,058) |
From fund share transactions | (274,629,957) | (301,851,930) |
Total decrease | (352,771,010) | (943,383,606) |
Net assets | ||
Beginning of period | 3,930,267,513 | 4,873,651,119 |
End of period | $3,577,496,503 | $3,930,267,513 |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 33 |
CLASS A SHARES Period ended | 2-28-231 | 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 | $9.84 | $11.37 | $10.99 | $10.67 | $10.36 | $10.93 |
Net investment income2 | 0.15 | 0.26 | 0.24 | 0.25 | 0.32 | 0.32 |
Net realized and unrealized gain (loss) on investments | (0.15) | (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 | (0.19) | (0.34) | (0.26) | (0.21) | (0.31) | (0.34) |
Net asset value, end of period | $9.65 | $9.84 | $11.37 | $10.99 | $10.67 | $10.36 |
Total return (%)3,4 | 0.075 | (10.66) | 5.88 | 5.01 | 6.10 | (2.28) |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $302 | $326 | $396 | $332 | $331 | $429 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.126 | 1.11 | 1.10 | 1.12 | 1.11 | 1.09 |
Expenses including reductions | 1.076 | 1.06 | 1.07 | 1.09 | 1.08 | 1.06 |
Net investment income | 3.126 | 2.43 | 2.16 | 2.40 | 3.09 | 2.99 |
Portfolio turnover (%) | 31 | 36 | 71 | 73 | 84 | 63 |
1 | Six months ended 2-28-23. Unaudited. |
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 | Annualized. |
34 | JOHN HANCOCK Strategic Income Opportunities Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS C SHARES Period ended | 2-28-231 | 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 | $9.85 | $11.37 | $10.99 | $10.67 | $10.36 | $10.93 |
Net investment income2 | 0.12 | 0.18 | 0.16 | 0.18 | 0.25 | 0.25 |
Net realized and unrealized gain (loss) on investments | (0.16) | (1.44) | 0.40 | 0.27 | 0.29 | (0.56) |
Total from investment operations | (0.04) | (1.26) | 0.56 | 0.45 | 0.54 | (0.31) |
Less distributions | ||||||
From net investment income | (0.16) | (0.26) | (0.18) | (0.13) | (0.23) | (0.26) |
Net asset value, end of period | $9.65 | $9.85 | $11.37 | $10.99 | $10.67 | $10.36 |
Total return (%)3,4 | (0.38)5 | (11.19) | 5.04 | 4.38 | 5.36 | (2.97) |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $34 | $43 | $78 | $147 | $202 | $284 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.826 | 1.81 | 1.80 | 1.82 | 1.81 | 1.79 |
Expenses including reductions | 1.776 | 1.76 | 1.77 | 1.79 | 1.78 | 1.76 |
Net investment income | 2.416 | 1.69 | 1.42 | 1.71 | 2.40 | 2.29 |
Portfolio turnover (%) | 31 | 36 | 71 | 73 | 84 | 63 |
1 | Six months ended 2-28-23. Unaudited. |
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 | Annualized. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 35 |
CLASS I SHARES Period ended | 2-28-231 | 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 | $9.84 | $11.37 | $10.99 | $10.67 | $10.36 | $10.93 |
Net investment income2 | 0.16 | 0.29 | 0.28 | 0.29 | 0.35 | 0.35 |
Net realized and unrealized gain (loss) on investments | (0.14) | (1.45) | 0.40 | 0.27 | 0.30 | (0.55) |
Total from investment operations | 0.02 | (1.16) | 0.68 | 0.56 | 0.65 | (0.20) |
Less distributions | ||||||
From net investment income | (0.21) | (0.37) | (0.30) | (0.24) | (0.34) | (0.37) |
Net asset value, end of period | $9.65 | $9.84 | $11.37 | $10.99 | $10.67 | $10.36 |
Total return (%)3 | 0.124 | (10.30) | 6.10 | 5.42 | 6.41 | (2.00) |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $1,521 | $1,746 | $2,009 | $1,961 | $2,315 | $3,441 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.825 | 0.81 | 0.80 | 0.82 | 0.82 | 0.79 |
Expenses including reductions | 0.775 | 0.76 | 0.77 | 0.79 | 0.79 | 0.76 |
Net investment income | 3.415 | 2.73 | 2.45 | 2.70 | 3.38 | 3.28 |
Portfolio turnover (%) | 31 | 36 | 71 | 73 | 84 | 63 |
1 | Six months ended 2-28-23. Unaudited. |
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. |
36 | JOHN HANCOCK Strategic Income Opportunities Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS R2 SHARES Period ended | 2-28-231 | 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 | $9.85 | $11.38 | $11.00 | $10.68 | $10.37 | $10.94 |
Net investment income2 | 0.15 | 0.25 | 0.23 | 0.25 | 0.31 | 0.31 |
Net realized and unrealized gain (loss) on investments | (0.15) | (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 | (0.19) | (0.33) | (0.25) | (0.20) | (0.30) | (0.33) |
Net asset value, end of period | $9.66 | $9.85 | $11.38 | $11.00 | $10.68 | $10.37 |
Total return (%)3 | 0.034 | (10.71) | 5.79 | 4.92 | 6.01 | (2.36) |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $5 | $5 | $6 | $6 | $12 | $16 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.215 | 1.18 | 1.19 | 1.19 | 1.19 | 1.19 |
Expenses including reductions | 1.165 | 1.13 | 1.16 | 1.17 | 1.17 | 1.16 |
Net investment income | 3.035 | 2.36 | 2.07 | 2.34 | 3.01 | 2.89 |
Portfolio turnover (%) | 31 | 36 | 71 | 73 | 84 | 63 |
1 | Six months ended 2-28-23. Unaudited. |
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. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 37 |
CLASS R6 SHARES Period ended | 2-28-231 | 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 | $9.85 | $11.38 | $11.00 | $10.67 | $10.37 | $10.94 |
Net investment income2 | 0.17 | 0.30 | 0.29 | 0.30 | 0.37 | 0.36 |
Net realized and unrealized gain (loss) on investments | (0.15) | (1.45) | 0.40 | 0.28 | 0.28 | (0.55) |
Total from investment operations | 0.02 | (1.15) | 0.69 | 0.58 | 0.65 | (0.19) |
Less distributions | ||||||
From net investment income | (0.21) | (0.38) | (0.31) | (0.25) | (0.35) | (0.38) |
Net asset value, end of period | $9.66 | $9.85 | $11.38 | $11.00 | $10.67 | $10.37 |
Total return (%)3 | 0.274 | (10.28) | 6.30 | 5.54 | 6.42 | (1.89) |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $156 | $173 | $226 | $232 | $543 | $1,464 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.725 | 0.70 | 0.70 | 0.70 | 0.70 | 0.69 |
Expenses including reductions | 0.675 | 0.65 | 0.67 | 0.68 | 0.68 | 0.66 |
Net investment income | 3.525 | 2.83 | 2.55 | 2.82 | 3.55 | 3.42 |
Portfolio turnover (%) | 31 | 36 | 71 | 73 | 84 | 63 |
1 | Six months ended 2-28-23. Unaudited. |
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. |
38 | JOHN HANCOCK Strategic Income Opportunities Fund | SEMIANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS |
CLASS NAV SHARES Period ended | 2-28-231 | 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 | $9.84 | $11.37 | $10.99 | $10.66 | $10.36 | $10.93 |
Net investment income2 | 0.17 | 0.30 | 0.29 | 0.30 | 0.36 | 0.36 |
Net realized and unrealized gain (loss) on investments | (0.15) | (1.45) | 0.40 | 0.28 | 0.29 | (0.55) |
Total from investment operations | 0.02 | (1.15) | 0.69 | 0.58 | 0.65 | (0.19) |
Less distributions | ||||||
From net investment income | (0.21) | (0.38) | (0.31) | (0.25) | (0.35) | (0.38) |
Net asset value, end of period | $9.65 | $9.84 | $11.37 | $10.99 | $10.66 | $10.36 |
Total return (%)3 | 0.274 | (10.28) | 6.31 | 5.56 | 6.54 | (1.89) |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $1,560 | $1,638 | $2,159 | $1,982 | $2,067 | $1,720 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.715 | 0.69 | 0.69 | 0.69 | 0.69 | 0.68 |
Expenses including reductions | 0.665 | 0.65 | 0.66 | 0.66 | 0.66 | 0.65 |
Net investment income | 3.535 | 2.84 | 2.57 | 2.83 | 3.45 | 3.41 |
Portfolio turnover (%) | 31 | 36 | 71 | 73 | 84 | 63 |
1 | Six months ended 2-28-23. Unaudited. |
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. |
SEE NOTES TO FINANCIAL STATEMENTS | SEMIANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 39 |
40 | JOHN HANCOCK Strategic Income Opportunities Fund | SEMIANNUAL REPORT |
Total value at 2-28-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $513,890,429 | — | $513,890,429 | — |
Foreign government obligations | 812,527,671 | — | 812,527,671 | — |
Corporate bonds | 1,622,237,031 | — | 1,622,237,031 | — |
Convertible bonds | 93,607,214 | — | 93,607,214 | — |
Municipal bonds | 15,038,186 | — | 15,038,186 | — |
Term loans | 31,048,122 | — | 31,048,122 | — |
Collateralized mortgage obligations | 210,081,675 | — | 210,081,675 | — |
Asset backed securities | 63,278,096 | — | 63,278,096 | — |
Common stocks | 12,994,378 | $12,994,378 | — | — |
Preferred securities | 70,262,687 | 70,262,687 | — | — |
Purchased options | 52,017 | — | 52,017 | — |
Short-term investments | 66,582,012 | 66,582,012 | — | — |
Total investments in securities | $3,511,599,518 | $149,839,077 | $3,361,760,441 | — |
Derivatives: | ||||
Assets | ||||
Forward foreign currency contracts | $28,455,350 | — | $28,455,350 | — |
Liabilities | ||||
Forward foreign currency contracts | (20,637,501) | — | (20,637,501) | — |
SEMIANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 41 |
Total value at 2-28-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Written options | $(284) | — | $(284) | — |
Level 3 includes securities valued at $0. Refer to Fund’s investments. |
42 | JOHN HANCOCK Strategic Income Opportunities Fund | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 43 |
44 | JOHN HANCOCK Strategic Income Opportunities Fund | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 45 |
46 | JOHN HANCOCK Strategic Income Opportunities Fund | SEMIANNUAL REPORT |
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 | $28,455,350 | $(20,637,501) |
Currency | Unaffiliated investments, at value1 | Purchased options | 52,017 | — |
Currency | Written options, at value | Written options | — | (284) |
$28,507,367 | $(20,637,785) |
1 | Purchased options are included in Fund’s investments. |
Statement of operations location - Net realized gain (loss) on: | ||||
Risk | Unaffiliated investments and foreign currency transactions1 | Futures contracts | Forward foreign currency contracts | Total |
Interest rate | — | $12,464,823 | — | $12,464,823 |
Currency | $(505,477) | — | $11,187,332 | 10,681,855 |
Total | $(505,477) | $12,464,823 | $11,187,332 | $23,146,678 |
1 | Realized gain (loss) associated with purchased options is included in this caption on the Statement of operations. |
SEMIANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 47 |
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 | — | $(1,100,860) | — | — | $(1,100,860) |
Currency | $88,183 | — | $(37,123,919) | $1,459,039 | (35,576,697) |
Total | $88,183 | $(1,100,860) | $(37,123,919) | $1,459,039 | $(36,677,557) |
1 | Change in unrealized appreciation (depreciation) associated with purchased options is included in this caption on the Statement of operations. |
48 | JOHN HANCOCK Strategic Income Opportunities Fund | SEMIANNUAL REPORT |
Class | Expense reduction |
Class A | $73,277 |
Class C | 8,784 |
Class I | 383,267 |
Class R2 | 1,091 |
Class | Expense reduction |
Class R6 | $38,780 |
Class NAV | 369,558 |
Total | $874,757 |
Class | Rule 12b-1 Fee | Service fee |
Class A | 0.30% | — |
Class C | 1.00% | — |
Class R2 | 0.25% | 0.25% |
SEMIANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 49 |
Class | Distribution and service fees | Transfer agent fees |
Class A | $462,300 | $172,298 |
Class C | 184,912 | 20,636 |
Class I | — | 901,851 |
Class R2 | 11,242 | 205 |
Class R6 | — | 7,300 |
Total | $658,454 | $1,102,290 |
Six Months Ended 2-28-23 | Year Ended 8-31-22 | |||
Shares | Amount | Shares | Amount | |
Class A shares | ||||
Sold | 2,140,789 | $20,745,891 | 5,455,974 | $58,249,102 |
Distributions reinvested | 627,000 | 6,033,924 | 1,056,296 | 11,140,808 |
Repurchased | (4,569,801) | (44,158,564) | (8,190,724) | (86,578,150) |
Net decrease | (1,802,012) | $(17,378,749) | (1,678,454) | $(17,188,240) |
Class C shares | ||||
Sold | 220,035 | $2,138,624 | 209,073 | $2,243,713 |
Distributions reinvested | 62,568 | 601,843 | 131,541 | 1,394,405 |
Repurchased | (1,061,877) | (10,264,626) | (2,855,634) | (30,346,366) |
Net decrease | (779,274) | $(7,524,159) | (2,515,020) | $(26,708,248) |
Class I shares | ||||
Sold | 20,406,038 | $198,073,877 | 61,066,568 | $642,932,832 |
Distributions reinvested | 3,545,651 | 34,116,372 | 5,927,420 | 62,449,060 |
Repurchased | (43,681,757) | (421,779,383) | (66,348,708) | (700,227,515) |
Net increase (decrease) | (19,730,068) | $(189,589,134) | 645,280 | $5,154,377 |
50 | JOHN HANCOCK Strategic Income Opportunities Fund | SEMIANNUAL REPORT |
Six Months Ended 2-28-23 | Year Ended 8-31-22 | |||
Shares | Amount | Shares | Amount | |
Class R2 shares | ||||
Sold | 25,524 | $246,798 | 98,009 | $1,056,712 |
Distributions reinvested | 9,231 | 88,934 | 15,496 | 163,356 |
Repurchased | (62,751) | (611,923) | (99,333) | (1,035,004) |
Net increase (decrease) | (27,996) | $(276,191) | 14,172 | $185,064 |
Class R6 shares | ||||
Sold | 1,613,220 | $15,723,866 | 4,743,666 | $50,603,752 |
Distributions reinvested | 373,800 | 3,600,654 | 668,556 | 7,064,924 |
Repurchased | (3,391,462) | (32,861,278) | (7,716,693) | (82,389,216) |
Net decrease | (1,404,442) | $(13,536,758) | (2,304,471) | $(24,720,540) |
Class NAV shares | ||||
Sold | 1,787,903 | $17,318,266 | 4,356,965 | $46,472,779 |
Distributions reinvested | 3,606,782 | 34,712,153 | 6,552,363 | 69,165,745 |
Repurchased | (10,158,082) | (98,355,385) | (34,425,871) | (354,212,867) |
Net decrease | (4,763,397) | $(46,324,966) | (23,516,543) | $(238,574,343) |
Total net decrease | (28,507,189) | $(274,629,957) | (29,355,036) | $(301,851,930) |
Fund | Affiliated Concentration |
John Hancock Funds II Multimanager Lifestyle Balanced Portfolio | 15.3% |
John Hancock Funds II Multimanager Lifestyle Growth Portfolio | 7.1% |
John Hancock Funds II Multimanager Lifestyle Moderate Portfolio | 5.4% |
John Hancock Funds II Multimanager Lifestyle Conservative Portfolio | 5.1% |
SEMIANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 51 |
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* | 6,661,199 | $135,402,725 | $641,430,831 | $(710,259,923) | $(75,839) | $84,218 | $1,211,850 | — | $66,582,012 |
* | Refer to the Securities lending note within Note 2 for details regarding this investment. |
52 | JOHN HANCOCK Strategic Income Opportunities Fund | SEMIANNUAL REPORT |
SEMIANNUAL REPORT | JOHN HANCOCK Strategic Income Opportunities Fund | 53 |
Total votes for the nominee | Total votes withheld from the nominee | |
Independent Trustees | ||
James R. Boyle | 4,554,825,588.937 | 109,369,198.953 |
Noni L. Ellison | 4,545,310,789.674 | 118,883,998.216 |
Dean C. Garfield | 4,542,518,756.422 | 121,676,031.468 |
Patricia Lizarraga | 4,547,597,042.403 | 116,597,745.487 |
Frances G. Rathke | 4,553,474,902.143 | 110,719,885.747 |
Non-Independent Trustees | ||
Andrew G. Arnott | 4,548,263,383.010 | 115,931,404.880 |
Marianne Harrison | 4,552,282,391.834 | 111,912,396.056 |
Paul Lorentz | 4,546,227,532.263 | 117,967,255.627 |
Shares voted | % Of shares voted | % Of outstanding shares | |
For | 4,061,202,897.967 | 87.072% | 64.635% |
Against | 75,620,339.593 | 1.622% | 1.203% |
Abstain/Withheld | 92,916,059.460 | 1.992% | 1.478% |
Broker Non-Vote | 434,455,490.870 | 9.314% | 6.914% |
54 | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | SEMIANNUAL REPORT |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
James R. Boyle
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 |
SEMIANNUAL REPORT | JOHN HANCOCK STRATEGIC INCOME OPPORTUNITIES FUND | 55 |
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
MF2780227 | 356SA 2/23 |
3 | |
4 | |
6 | |
72 | |
75 | |
78 | |
80 | |
82 | |
100 | |
101 |
Funds | Portfolio of investments | |
6 | ||
7 | ||
17 | ||
28 | ||
30 |
Funds | Portfolio of investments | |
38 | ||
62 | ||
64 | ||
65 |
2 |
Sector Composition (% of net assets) | |
Information technology | 38.9 |
Consumer discretionary | 25.2 |
Health care | 13.7 |
Communication services | 9.2 |
Consumer staples | 4.0 |
Financials | 2.9 |
Industrials | 2.5 |
Energy | 1.7 |
Real estate | 1.4 |
Short-term investments and other | 0.5 |
Portfolio Composition (% of net assets) | |
Common stocks | 65.8 |
Term loans | 12.3 |
Corporate bonds | 9.5 |
U.S. Government | 9.0 |
Preferred securities | 0.5 |
Short-term investments and other | 2.9 |
Portfolio Composition (% of total investments) | |
U.S. Government Agency | 26.9 |
U.S. Government | 25.8 |
Corporate bonds | 24.2 |
Asset backed securities | 10.1 |
Collateralized mortgage obligations | 8.7 |
Foreign government obligations | 0.8 |
Municipal bonds | 0.2 |
Short-term investments | 3.3 |
Industry Composition (% of net assets) | |
Biotechnology | 29.7 |
Health care providers and services | 19.6 |
Life sciences tools and services | 16.8 |
Pharmaceuticals | 16.6 |
Health care equipment and supplies | 15.2 |
Health care technology | 1.0 |
Chemicals | 0.1 |
Specialty retail | 0.1 |
Short-term investments and other | 0.9 |
Portfolio Composition (% of net assets) | |
Corporate bonds | 82.4 |
Asset backed securities | 7.4 |
Term loans | 5.8 |
Convertible bonds | 0.7 |
Common stocks | 0.6 |
Foreign government obligations | 0.4 |
Preferred securities | 0.3 |
Short-term investments and other | 2.4 |
Sector Composition (% of net assets) | |
Financials | 20.1 |
Industrials | 11.4 |
Consumer discretionary | 10.4 |
Information technology | 9.0 |
Health care | 8.8 |
Consumer staples | 8.5 |
Materials | 8.2 |
Energy | 6.6 |
Communication services | 5.5 |
Utilities | 2.9 |
Real estate | 2.0 |
Short-term investments and other | 6.6 |
Sector Composition (% of net assets) | |
Financials | 14.9 |
Industrials | 14.4 |
Health care | 10.4 |
Consumer discretionary | 8.8 |
Energy | 8.6 |
Information technology | 8.4 |
Consumer staples | 7.2 |
Materials | 6.6 |
Real estate | 5.9 |
Utilities | 5.3 |
Communication services | 4.9 |
Short-term investments and other | 4.6 |
Sector Composition (% of net assets) | |
Information technology | 59.0 |
Consumer discretionary | 22.2 |
Communication services | 14.3 |
Real estate | 0.3 |
Health care | 0.3 |
Short-term investments and other | 3.9 |
Sector Composition (% of net assets) | |
Information technology | 26.7 |
Health care | 15.0 |
Financials | 10.7 |
Consumer discretionary | 10.3 |
Industrials | 7.7 |
Communication services | 7.5 |
Consumer staples | 7.0 |
Energy | 5.6 |
Utilities | 2.6 |
Materials | 2.5 |
Real estate | 2.5 |
Short-term investments and other | 1.9 |
Account value on 9-1-2022 | Ending value on 2-28-2023 | Expenses paid during period ended 2-28-20231 | Annualized expense ratio | ||
Capital Appreciation Fund | |||||
Class 1 | Actual expenses/actual returns | $1,000.00 | $982.30 | $3.93 | 0.80% |
Hypothetical example | 1,000.00 | 1,020.80 | 4.01 | 0.80% | |
Class NAV | Actual expenses/actual returns | 1,000.00 | 982.50 | 3.69 | 0.75% |
Hypothetical example | 1,000.00 | 1,021.10 | 3.76 | 0.75% | |
Capital Appreciation Value Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $1,014.70 | $4.20 | 0.84% |
Hypothetical example | 1,000.00 | 1,020.60 | 4.21 | 0.84% | |
Core Bond Fund | |||||
Class 1 | Actual expenses/actual returns | $1,000.00 | $980.30 | $3.29 | 0.67% |
Hypothetical example | 1,000.00 | 1,021.50 | 3.36 | 0.67% | |
Class NAV | Actual expenses/actual returns | 1,000.00 | 980.60 | 3.04 | 0.62% |
Hypothetical example | 1,000.00 | 1,021.70 | 3.11 | 0.62% | |
Health Sciences Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $1,005.30 | $4.72 | 0.95% |
Hypothetical example | 1,000.00 | 1,020.10 | 4.76 | 0.95% | |
High Yield Fund | |||||
Class 1 | Actual expenses/actual returns | $1,000.00 | $1,025.30 | $4.27 | 0.85% |
Hypothetical example | 1,000.00 | 1,020.60 | 4.26 | 0.85% | |
International Strategic Equity Allocation Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $1,073.00 | $2.88 | 0.56% |
Hypothetical example | 1,000.00 | 1,022.00 | 2.81 | 0.56% | |
Mid Value Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $1,111.10 | $4.55 | 0.87% |
Hypothetical example | 1,000.00 | 1,020.50 | 4.36 | 0.87% | |
Science & Technology Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $1,077.00 | $5.36 | 1.04% |
Hypothetical example | 1,000.00 | 1,019.60 | 5.21 | 1.04% |
Account value on 9-1-2022 | Ending value on 2-28-2023 | Expenses paid during period ended 2-28-20231 | Annualized expense ratio | ||
U.S. Sector Rotation Fund | |||||
Class NAV | Actual expenses/actual returns | $1,000.00 | $1,006.20 | $2.69 | 0.54% |
Hypothetical example | 1,000.00 | 1,022.10 | 2.71 | 0.54% |
1 | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 98.8% | |||||
Communication services – 9.2% | |||||
Entertainment – 2.1% | |||||
Netflix, Inc. (A) | 64,854 | $ | 20,891,419 | ||
ROBLOX Corp., Class A (A) | 167,361 | 6,132,107 | |||
27,023,526 | |||||
Interactive media and services – 5.3% | |||||
Alphabet, Inc., Class A (A) | 318,735 | 28,705,274 | |||
Alphabet, Inc., Class C (A) | 313,463 | 28,305,709 | |||
Meta Platforms, Inc., Class A (A) | 70,564 | 12,344,466 | |||
69,355,449 | |||||
Media – 0.5% | |||||
The Trade Desk, Inc., Class A (A) | 118,039 | 6,605,462 | |||
Wireless telecommunication services – 1.3% | |||||
T-Mobile US, Inc. (A) | 123,476 | 17,555,818 | |||
120,540,255 | |||||
Consumer discretionary – 24.5% | |||||
Automobiles – 4.7% | |||||
Tesla, Inc. (A) | 298,248 | 61,352,596 | |||
Hotels, restaurants and leisure – 3.4% | |||||
Airbnb, Inc., Class A (A) | 111,160 | 13,703,805 | |||
Chipotle Mexican Grill, Inc. (A) | 4,803 | 7,161,657 | |||
Marriott International, Inc., Class A | 82,133 | 13,900,189 | |||
McDonald's Corp. | 35,214 | 9,293,327 | |||
44,058,978 | |||||
Internet and direct marketing retail – 6.5% | |||||
Amazon.com, Inc. (A) | 651,217 | 61,364,178 | |||
MercadoLibre, Inc. (A) | 20,033 | 24,440,260 | |||
85,804,438 | |||||
Specialty retail – 4.2% | |||||
O'Reilly Automotive, Inc. (A) | 17,685 | 14,680,319 | |||
The Home Depot, Inc. | 58,550 | 17,362,417 | |||
The TJX Companies, Inc. | 241,293 | 18,483,044 | |||
Ulta Beauty, Inc. (A) | 7,773 | 4,032,632 | |||
54,558,412 | |||||
Textiles, apparel and luxury goods – 5.7% | |||||
Lululemon Athletica, Inc. (A) | 65,105 | 20,130,466 | |||
LVMH Moet Hennessy Louis Vuitton SE | 49,733 | 41,344,350 | |||
NIKE, Inc., Class B | 111,332 | 13,225,128 | |||
74,699,944 | |||||
320,474,368 | |||||
Consumer staples – 4.0% | |||||
Food and staples retailing – 2.2% | |||||
Costco Wholesale Corp. | 59,473 | 28,795,637 | |||
Personal products – 1.8% | |||||
L'Oreal SA | 39,813 | 15,736,996 | |||
The Estee Lauder Companies, Inc., Class A | 31,782 | 7,724,615 | |||
23,461,611 | |||||
52,257,248 | |||||
Energy – 1.7% | |||||
Energy equipment and services – 1.7% | |||||
Schlumberger, Ltd. | 412,574 | 21,953,063 | |||
Financials – 2.9% | |||||
Capital markets – 2.9% | |||||
Moody's Corp. | 20,640 | 5,988,696 | |||
S&P Global, Inc. | 53,714 | 18,327,217 | |||
The Goldman Sachs Group, Inc. | 40,197 | 14,135,275 | |||
38,451,188 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care – 13.7% | |||||
Biotechnology – 1.4% | |||||
Vertex Pharmaceuticals, Inc. (A) | 60,493 | $ | 17,560,513 | ||
Health care equipment and supplies – 2.5% | |||||
Abbott Laboratories | 62,946 | 6,402,867 | |||
DexCom, Inc. (A) | 114,452 | 12,705,317 | |||
Intuitive Surgical, Inc. (A) | 61,301 | 14,061,836 | |||
33,170,020 | |||||
Health care providers and services – 1.8% | |||||
UnitedHealth Group, Inc. | 50,482 | 24,026,403 | |||
Life sciences tools and services – 2.2% | |||||
Danaher Corp. | 71,891 | 17,795,179 | |||
Thermo Fisher Scientific, Inc. | 20,841 | 11,290,820 | |||
29,085,999 | |||||
Pharmaceuticals – 5.8% | |||||
AstraZeneca PLC, ADR | 194,002 | 12,645,050 | |||
Eli Lilly & Company | 111,002 | 34,546,042 | |||
Novo Nordisk A/S, ADR | 202,684 | 28,576,417 | |||
75,767,509 | |||||
179,610,444 | |||||
Industrials – 2.5% | |||||
Aerospace and defense – 0.6% | |||||
Northrop Grumman Corp. | 17,233 | 7,998,008 | |||
Road and rail – 1.9% | |||||
Uber Technologies, Inc. (A) | 766,324 | 25,487,936 | |||
33,485,944 | |||||
Information technology – 38.9% | |||||
IT services – 8.8% | |||||
Adyen NV (A)(B) | 10,557 | 14,963,801 | |||
Mastercard, Inc., Class A | 108,482 | 38,542,570 | |||
Snowflake, Inc., Class A (A) | 98,366 | 15,185,743 | |||
Visa, Inc., Class A | 213,134 | 46,876,692 | |||
115,568,806 | |||||
Semiconductors and semiconductor equipment – 11.7% | |||||
Advanced Micro Devices, Inc. (A) | 223,048 | 17,527,112 | |||
ASML Holding NV, NYRS | 29,095 | 17,972,854 | |||
Broadcom, Inc. | 44,981 | 26,731,758 | |||
NVIDIA Corp. | 390,986 | 90,771,310 | |||
153,003,034 | |||||
Software – 12.0% | |||||
Adobe, Inc. (A) | 54,361 | 17,610,246 | |||
Atlassian Corp., Class A (A) | 80,528 | 13,233,166 | |||
Cadence Design Systems, Inc. (A) | 47,430 | 9,151,144 | |||
Crowdstrike Holdings, Inc., Class A (A) | 79,923 | 9,645,907 | |||
Microsoft Corp. | 371,765 | 92,725,628 | |||
salesforce.com, Inc. (A) | 92,819 | 15,186,117 | |||
157,552,208 | |||||
Technology hardware, storage and peripherals – 6.4% | |||||
Apple, Inc. | 565,890 | 83,417,845 | |||
509,541,893 | |||||
Real estate – 1.4% | |||||
Equity real estate investment trusts – 1.4% | |||||
American Tower Corp. | 91,524 | 18,122,667 | |||
TOTAL COMMON STOCKS (Cost $712,812,562) | $ | 1,294,437,070 | |||
PREFERRED SECURITIES – 0.7% | |||||
Consumer discretionary – 0.7% | |||||
Automobiles – 0.7% | |||||
Dr. Ing. h.c. F. Porsche AG (A)(C) | 77,284 | 9,313,820 | |||
TOTAL PREFERRED SECURITIES (Cost $6,249,368) | $ | 9,313,820 |
The accompanying notes are an integral part of the financial statements. | 6 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS – 0.6% | |||||
Short-term funds – 0.6% | |||||
John Hancock Collateral Trust, 4.5832% (D)(E) | 280,107 | $ | 2,799,807 | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.4192% (D) | 5,009,734 | 5,009,734 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $7,809,568) | $ | 7,809,541 | |||
Total Investments (Capital Appreciation Fund) (Cost $726,871,498) – 100.1% | $ | 1,311,560,431 | |||
Other assets and liabilities, net – (0.1%) | (1,941,070) | ||||
TOTAL NET ASSETS – 100.0% | $ | 1,309,619,361 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
NYRS | New York Registry Shares |
(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 2-28-23. |
(D) | The rate shown is the annualized seven-day yield as of 2-28-23. |
(E) | 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 – 65.8% | |||||
Communication services – 2.2% | |||||
Interactive media and services – 2.2% | |||||
Alphabet, Inc., Class A (A)(B) | 214,061 | $ | 19,278,334 | ||
Meta Platforms, Inc., Class A (B) | 37,874 | 6,625,678 | |||
25,904,012 | |||||
Consumer discretionary – 5.0% | |||||
Auto components – 0.1% | |||||
Mobileye Global, Inc., Class A (B)(C) | 17,334 | 684,866 | |||
Hotels, restaurants and leisure – 2.6% | |||||
Hilton Worldwide Holdings, Inc. (A) | 40,300 | 5,823,753 | |||
McDonald's Corp. (A) | 4,500 | 1,187,595 | |||
Starbucks Corp. (A) | 25,200 | 2,572,668 | |||
Yum! Brands, Inc. (A) | 167,164 | 21,256,574 | |||
30,840,590 | |||||
Internet and direct marketing retail – 2.3% | |||||
Amazon.com, Inc. (A)(B) | 297,134 | 27,998,937 | |||
Multiline retail – 0.0% | |||||
Dollar General Corp. (A) | 2,600 | 562,380 | |||
60,086,773 | |||||
Consumer staples – 1.9% | |||||
Beverages – 1.0% | |||||
Keurig Dr. Pepper, Inc. | 127,972 | 4,421,433 | |||
PepsiCo, Inc. (A) | 28,700 | 4,980,311 | |||
The Coca-Cola Company (A) | 42,175 | 2,509,834 | |||
11,911,578 | |||||
Food and staples retailing – 0.2% | |||||
Walmart, Inc. (A) | 21,600 | 3,070,008 | |||
Food products – 0.3% | |||||
Mondelez International, Inc., Class A | 37,900 | 2,470,322 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Food products (continued) | |||||
The Hershey Company (A) | 2,894 | $ | 689,698 | ||
3,160,020 | |||||
Household products – 0.4% | |||||
Colgate-Palmolive Company (A) | 24,300 | 1,781,190 | |||
The Procter & Gamble Company | 21,700 | 2,985,052 | |||
4,766,242 | |||||
22,907,848 | |||||
Energy – 1.4% | |||||
Oil, gas and consumable fuels – 1.4% | |||||
ConocoPhillips | 29,107 | 3,008,208 | |||
EOG Resources, Inc. | 82,990 | 9,379,530 | |||
Pioneer Natural Resources Company | 22,640 | 4,537,282 | |||
16,925,020 | |||||
Financials – 6.6% | |||||
Banks – 2.5% | |||||
The PNC Financial Services Group, Inc. | 194,087 | 30,650,219 | |||
Capital markets – 3.4% | |||||
CME Group, Inc. (A) | 3,670 | 680,271 | |||
Intercontinental Exchange, Inc. | 235,409 | 23,964,636 | |||
KKR & Company, Inc. | 218,062 | 12,287,794 | |||
S&P Global, Inc. (A) | 9,778 | 3,336,254 | |||
40,268,955 | |||||
Insurance – 0.7% | |||||
Marsh & McLennan Companies, Inc. (A) | 52,322 | 8,483,489 | |||
79,402,663 | |||||
Health care – 16.8% | |||||
Biotechnology – 1.6% | |||||
AbbVie, Inc. | 123,900 | 19,068,210 | |||
Karuna Therapeutics, Inc. (B) | 1,036 | 206,599 | |||
19,274,809 | |||||
Health care equipment and supplies – 5.1% | |||||
Alcon, Inc. | 163,749 | 11,164,859 | |||
Baxter International, Inc. | 115,127 | 4,599,324 | |||
Becton, Dickinson and Company (A) | 81,851 | 19,198,152 | |||
GE HealthCare Technologies, Inc. (B) | 123,936 | 9,419,136 | |||
Stryker Corp. (A) | 17,973 | 4,724,742 | |||
Teleflex, Inc. | 52,243 | 12,445,850 | |||
61,552,063 | |||||
Health care providers and services – 2.9% | |||||
UnitedHealth Group, Inc. | 71,528 | 34,043,036 | |||
Life sciences tools and services – 6.5% | |||||
Avantor, Inc. (B) | 689,925 | 16,813,472 | |||
Danaher Corp. | 82,129 | 20,329,391 | |||
PerkinElmer, Inc. | 155,451 | 19,364,531 | |||
Thermo Fisher Scientific, Inc. | 38,962 | 21,108,053 | |||
77,615,447 | |||||
Pharmaceuticals – 0.7% | |||||
Eli Lilly & Company | 19,559 | 6,087,152 | |||
Johnson & Johnson (A) | 18,100 | 2,774,006 | |||
8,861,158 | |||||
201,346,513 | |||||
Industrials – 8.1% | |||||
Commercial services and supplies – 1.6% | |||||
Aurora Innovation, Inc. (B)(C) | 886,770 | 1,383,361 | |||
Waste Connections, Inc. | 126,626 | 16,957,754 |
The accompanying notes are an integral part of the financial statements. | 7 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Commercial services and supplies (continued) | |||||
Waste Management, Inc. (A) | 2,953 | $ | 442,241 | ||
18,783,356 | |||||
Industrial conglomerates – 0.6% | |||||
General Electric Company (A) | 88,550 | 7,501,071 | |||
Machinery – 3.5% | |||||
Fortive Corp. | 360,837 | 24,053,394 | |||
Ingersoll Rand, Inc. (A) | 309,604 | 17,978,704 | |||
42,032,098 | |||||
Professional services – 2.4% | |||||
Equifax, Inc. | 57,323 | 11,609,627 | |||
TransUnion (A) | 260,523 | 17,046,020 | |||
28,655,647 | |||||
96,972,172 | |||||
Information technology – 18.1% | |||||
Electronic equipment, instruments and components – 2.1% | |||||
TE Connectivity, Ltd. | 81,610 | 10,390,585 | |||
Teledyne Technologies, Inc. (B) | 33,767 | 14,522,174 | |||
24,912,759 | |||||
IT services – 1.4% | |||||
Mastercard, Inc., Class A (A) | 24,446 | 8,685,419 | |||
Visa, Inc., Class A (A) | 35,696 | 7,850,978 | |||
16,536,397 | |||||
Semiconductors and semiconductor equipment – 3.6% | |||||
NVIDIA Corp. | 45,214 | 10,496,882 | |||
NXP Semiconductors NV (A) | 115,713 | 20,652,456 | |||
Texas Instruments, Inc. (A) | 68,535 | 11,750,326 | |||
42,899,664 | |||||
Software – 8.0% | |||||
Black Knight, Inc. (B) | 103,361 | 6,160,316 | |||
Microsoft Corp. (A) | 257,341 | 64,185,990 | |||
Roper Technologies, Inc. | 34,707 | 14,930,951 | |||
salesforce.com, Inc. (A)(B) | 62,046 | 10,151,346 | |||
95,428,603 | |||||
Technology hardware, storage and peripherals – 3.0% | |||||
Apple, Inc. | 248,400 | 36,616,644 | |||
216,394,067 | |||||
Materials – 1.0% | |||||
Chemicals – 1.0% | |||||
Linde PLC | 34,906 | 12,160,203 | |||
Utilities – 4.7% | |||||
Electric utilities – 2.4% | |||||
American Electric Power Company, Inc. (A) | 7,680 | 675,610 | |||
Duke Energy Corp. | 10,720 | 1,010,467 | |||
Exelon Corp. | 298,666 | 12,063,120 | |||
Xcel Energy, Inc. | 237,200 | 15,316,004 | |||
29,065,201 | |||||
Multi-utilities – 2.3% | |||||
Ameren Corp. | 221,207 | 18,296,031 | |||
DTE Energy Company | 37,181 | 4,079,128 | |||
Public Service Enterprise Group, Inc. (A) | 73,400 | 4,435,562 | |||
26,810,721 | |||||
55,875,922 | |||||
TOTAL COMMON STOCKS (Cost $750,782,506) | $ | 787,975,193 | |||
PREFERRED SECURITIES – 0.5% | |||||
Financials – 0.0% | |||||
Capital markets – 0.0% | |||||
The Charles Schwab Corp., 5.950% | 8,000 | 199,920 |
Shares or Principal Amount | Value | ||||
PREFERRED SECURITIES (continued) | |||||
Utilities – 0.5% | |||||
Electric utilities – 0.1% | |||||
SCE Trust IV, 5.375% (5.375% to 9-15-25, then 3 month LIBOR + 3.132%) | 43,502 | $ | 875,695 | ||
Multi-utilities – 0.4% | |||||
CMS Energy Corp., 5.875% | 79,106 | 1,942,843 | |||
CMS Energy Corp., 5.875% | 92,989 | 2,272,651 | |||
NiSource, Inc., 6.500% (6.500% to 3-15-24, then 5 Year CMT + 3.632%) | 14,343 | 360,153 | |||
4,575,647 | |||||
5,451,342 | |||||
TOTAL PREFERRED SECURITIES (Cost $5,948,500) | $ | 5,651,262 | |||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 9.0% | |||||
U.S. Government – 9.0% | |||||
U.S. Treasury Notes | |||||
2.750%, 08/15/2032 | $ | 60,557,000 | 55,031,174 | ||
4.125%, 11/15/2032 | 51,741,400 | 52,566,029 | |||
107,597,203 | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $109,008,394) | $ | 107,597,203 | |||
CORPORATE BONDS - 9.5% | |||||
Communication services - 1.4% | |||||
Altice France Holding SA 10.500%, 05/15/2027 (D) | 1,940,000 | 1,602,304 | |||
CCO Holdings LLC | |||||
5.000%, 02/01/2028 (D) | 6,912,000 | 6,264,000 | |||
5.125%, 05/01/2027 (D) | 8,203,000 | 7,589,990 | |||
5.500%, 05/01/2026 (D) | 325,000 | 313,625 | |||
Lamar Media Corp. | |||||
3.625%, 01/15/2031 | 120,000 | 98,836 | |||
3.750%, 02/15/2028 | 754,000 | 667,450 | |||
4.875%, 01/15/2029 | 137,000 | 126,472 | |||
Live Nation Entertainment, Inc. 4.875%, 11/01/2024 (D) | 90,000 | 87,300 | |||
16,749,977 | |||||
Consumer discretionary - 3.2% | |||||
Cedar Fair LP | |||||
5.250%, 07/15/2029 | 2,169,000 | 1,978,460 | |||
5.375%, 04/15/2027 | 2,413,000 | 2,305,145 | |||
5.500%, 05/01/2025 (D) | 1,606,000 | 1,586,390 | |||
6.500%, 10/01/2028 | 2,237,000 | 2,167,094 | |||
Clarios Global LP | |||||
6.250%, 05/15/2026 (D) | 689,000 | 676,254 | |||
6.750%, 05/15/2025 (D) | 539,000 | 535,837 | |||
8.500%, 05/15/2027 (D) | 1,465,000 | 1,456,630 | |||
Hilton Domestic Operating Company, Inc. | |||||
3.625%, 02/15/2032 (D) | 1,119,000 | 918,688 | |||
3.750%, 05/01/2029 (D) | 741,000 | 642,484 | |||
4.000%, 05/01/2031 (D) | 937,000 | 797,312 | |||
4.875%, 01/15/2030 | 731,000 | 670,693 | |||
5.375%, 05/01/2025 (D) | 285,000 | 281,422 | |||
5.750%, 05/01/2028 (D) | 376,000 | 364,646 | |||
Hilton Worldwide Finance LLC 4.875%, 04/01/2027 | 379,000 | 361,407 | |||
KFC Holding Company/Pizza Hut Holdings LLC/Taco Bell of America LLC 4.750%, 06/01/2027 (D) | 3,513,000 | 3,337,350 | |||
Life Time, Inc. 5.750%, 01/15/2026 (D) | 1,560,000 | 1,494,558 | |||
Mattel, Inc. | |||||
3.375%, 04/01/2026 (D) | 196,000 | 179,830 |
The accompanying notes are an integral part of the financial statements. | 8 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer discretionary (continued) | |||||
Mattel, Inc. (continued) | |||||
3.750%, 04/01/2029 (D) | $ | 418,000 | $ | 361,570 | |
5.875%, 12/15/2027 (D) | 150,000 | 146,483 | |||
Service Corp. International 3.375%, 08/15/2030 | 669,000 | 543,563 | |||
Six Flags Entertainment Corp. | |||||
4.875%, 07/31/2024 (D) | 5,138,000 | 5,048,085 | |||
5.500%, 04/15/2027 (D) | 3,022,000 | 2,853,856 | |||
Six Flags Theme Parks, Inc. 7.000%, 07/01/2025 (D) | 1,069,000 | 1,080,331 | |||
Vail Resorts, Inc. 6.250%, 05/15/2025 (D) | 276,000 | 275,257 | |||
Yum! Brands, Inc. | |||||
3.625%, 03/15/2031 | 893,000 | 748,450 | |||
4.625%, 01/31/2032 | 1,958,000 | 1,730,755 | |||
4.750%, 01/15/2030 (D) | 1,011,000 | 921,274 | |||
5.350%, 11/01/2043 | 2,072,000 | 1,731,332 | |||
5.375%, 04/01/2032 | 1,942,000 | 1,799,245 | |||
6.875%, 11/15/2037 | 1,011,000 | 1,051,052 | |||
38,045,453 | |||||
Financials - 2.2% | |||||
Acrisure LLC 7.000%, 11/15/2025 (D) | 1,011,000 | 944,804 | |||
Alliant Holdings Intermediate LLC | |||||
4.250%, 10/15/2027 (D) | 375,000 | 331,026 | |||
5.875%, 11/01/2029 (D) | 609,000 | 508,990 | |||
6.750%, 10/15/2027 to 04/15/2028 (D) | 6,081,000 | 5,809,511 | |||
AmWINS Group, Inc. 4.875%, 06/30/2029 (D) | 570,000 | 484,103 | |||
BroadStreet Partners, Inc. 5.875%, 04/15/2029 (D) | 496,000 | 427,013 | |||
HUB International, Ltd. | |||||
5.625%, 12/01/2029 (D) | 695,000 | 596,452 | |||
7.000%, 05/01/2026 (D) | 9,762,000 | 9,596,442 | |||
Intercontinental Exchange, Inc. | |||||
4.000%, 09/15/2027 | 167,000 | 162,400 | |||
4.350%, 06/15/2029 | 50,000 | 48,415 | |||
MSCI, Inc. | |||||
3.250%, 08/15/2033 (D) | 456,000 | 359,570 | |||
3.625%, 09/01/2030 to 11/01/2031 (D) | 1,737,000 | 1,468,951 | |||
3.875%, 02/15/2031 (D) | 620,000 | 533,622 | |||
4.000%, 11/15/2029 (D) | 823,000 | 728,437 | |||
Ryan Specialty Group LLC 4.375%, 02/01/2030 (D) | 80,000 | 68,397 | |||
USI, Inc. 6.875%, 05/01/2025 (D) | 3,926,000 | 3,857,292 | |||
25,925,425 | |||||
Health care - 0.9% | |||||
Avantor Funding, Inc. | |||||
3.875%, 11/01/2029 (D) | 2,020,000 | 1,747,300 | |||
4.625%, 07/15/2028 (D) | 2,468,000 | 2,270,560 | |||
Charles River Laboratories International, Inc. | |||||
3.750%, 03/15/2029 (D) | 795,000 | 690,219 | |||
4.000%, 03/15/2031 (D) | 441,000 | 377,346 | |||
4.250%, 05/01/2028 (D) | 170,000 | 153,376 | |||
Hadrian Merger Sub, Inc. 8.500%, 05/01/2026 (D) | 1,686,000 | 1,382,520 | |||
Hologic, Inc. 3.250%, 02/15/2029 (D) | 609,000 | 525,141 | |||
IQVIA, Inc. 5.000%, 05/15/2027 (D) | 950,000 | 903,897 | |||
PRA Health Sciences, Inc. 2.875%, 07/15/2026 (D) | 436,000 | 387,406 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Health care (continued) | |||||
Surgery Center Holdings, Inc. 10.000%, 04/15/2027 (D) | $ | 808,000 | $ | 822,152 | |
Teleflex, Inc. | |||||
4.250%, 06/01/2028 (D) | 145,000 | 130,876 | |||
4.625%, 11/15/2027 | 952,000 | 897,926 | |||
10,288,719 | |||||
Industrials - 1.4% | |||||
Booz Allen Hamilton, Inc. | |||||
3.875%, 09/01/2028 (D) | 692,000 | 614,316 | |||
4.000%, 07/01/2029 (D) | 416,000 | 364,944 | |||
Delta Air Lines, Inc. 4.750%, 10/20/2028 (D) | 925,000 | 878,487 | |||
General Electric Company 8.099%, (3 month LIBOR + 3.330%), 06/15/2023 (E)(F) | 4,591,000 | 4,584,942 | |||
GFL Environmental, Inc. | |||||
4.375%, 08/15/2029 (D) | 294,000 | 254,510 | |||
4.750%, 06/15/2029 (D) | 261,000 | 232,107 | |||
Howmet Aerospace, Inc. | |||||
3.000%, 01/15/2029 | 550,000 | 472,313 | |||
5.900%, 02/01/2027 | 83,000 | 82,632 | |||
Korn Ferry 4.625%, 12/15/2027 (D) | 480,000 | 444,157 | |||
Lennox International, Inc. 3.000%, 11/15/2023 | 510,000 | 501,136 | |||
Mileage Plus Holdings LLC 6.500%, 06/20/2027 (D) | 1,282,500 | 1,282,500 | |||
Sensata Technologies BV | |||||
4.000%, 04/15/2029 (D) | 1,016,000 | 896,082 | |||
5.000%, 10/01/2025 (D) | 700,000 | 681,007 | |||
5.625%, 11/01/2024 (D) | 415,000 | 410,591 | |||
5.875%, 09/01/2030 (D) | 427,000 | 404,886 | |||
Sensata Technologies, Inc. | |||||
3.750%, 02/15/2031 (D) | 796,000 | 663,563 | |||
4.375%, 02/15/2030 (D) | 322,000 | 284,959 | |||
TransDigm UK Holdings PLC 6.875%, 05/15/2026 | 550,000 | 538,698 | |||
TransDigm, Inc. | |||||
5.500%, 11/15/2027 | 698,000 | 642,711 | |||
6.250%, 03/15/2026 (D) | 1,025,000 | 1,011,415 | |||
6.375%, 06/15/2026 | 145,000 | 140,625 | |||
United Airlines 2012-1 Class A Pass Through Trust 4.150%, 04/11/2024 | 708,122 | 693,445 | |||
US Airways 2010-1 Class A Pass Through Trust 6.250%, 04/22/2023 | 25,757 | 25,574 | |||
US Airways 2012-2 Class A Pass Through Trust 4.625%, 06/03/2025 | 124,515 | 119,602 | |||
US Airways 2013-1 Class A Pass Through Trust 3.950%, 11/15/2025 | 288,490 | 271,319 | |||
16,496,521 | |||||
Information technology - 0.2% | |||||
Black Knight InfoServ LLC 3.625%, 09/01/2028 (D) | 264,000 | 228,360 | |||
Clarivate Science Holdings Corp. | |||||
3.875%, 07/01/2028 (D) | 299,000 | 258,018 | |||
4.875%, 07/01/2029 (D) | 220,000 | 190,080 | |||
Crowdstrike Holdings, Inc. 3.000%, 02/15/2029 | 150,000 | 126,340 | |||
Entegris Escrow Corp. 4.750%, 04/15/2029 (D) | 1,122,000 | 1,020,159 |
The accompanying notes are an integral part of the financial statements. | 9 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Information technology (continued) | |||||
Gartner, Inc. | |||||
3.625%, 06/15/2029 (D) | $ | 763,000 | $ | 659,789 | |
3.750%, 10/01/2030 (D) | 333,000 | 281,934 | |||
4.500%, 07/01/2028 (D) | 165,000 | 151,474 | |||
PTC, Inc. 4.000%, 02/15/2028 (D) | 99,000 | 89,932 | |||
3,006,086 | |||||
Real estate - 0.2% | |||||
SBA Communications Corp. | |||||
3.125%, 02/01/2029 | 1,256,000 | 1,037,079 | |||
3.875%, 02/15/2027 | 1,515,000 | 1,371,066 | |||
SBA Tower Trust 6.599%, 01/15/2028 (D) | 68,000 | 70,189 | |||
2,478,334 | |||||
Utilities - 0.0% | |||||
NiSource, Inc. 5.650%, (5.650% to 6-15-23, then 5 Year CMT + 2.843%), 06/15/2023 (E) | 687,000 | 665,961 | |||
TOTAL CORPORATE BONDS (Cost $117,259,714) | $ | 113,656,476 | |||
CONVERTIBLE BONDS - 0.0% | |||||
Communication services - 0.0% | |||||
Spotify USA, Inc. 6.642%, 03/15/2026 (G) | 1,127,000 | 924,140 | |||
TOTAL CONVERTIBLE BONDS (Cost $1,016,583) | $ | 924,140 | |||
TERM LOANS (H) – 12.3% | |||||
Communication services – 0.1% | |||||
Charter Communications Operating LLC, 2019 Term Loan B1 (1 month LIBOR + 1.750%) 6.368%, 04/30/2025 | 592,991 | 592,102 | |||
Charter Communications Operating LLC, 2019 Term Loan B2 (1 month LIBOR + 1.750%) 6.368%, 02/01/2027 | 895,762 | 887,252 | |||
SBA Senior Finance II LLC, 2018 Term Loan B (1 month LIBOR + 1.750%) 6.410%, 04/11/2025 | 225,486 | 225,017 | |||
1,704,371 | |||||
Consumer discretionary – 0.6% | |||||
Hilton Worldwide Finance LLC, 2019 Term Loan B2 (1 month SOFR + 1.750%) 6.455%, 06/22/2026 | 591,271 | 590,136 | |||
IRB Holding Corp., 2022 Term Loan B (1 month SOFR + 3.000%) 7.687%, 12/15/2027 | 3,711,081 | 3,660,054 | |||
IRB Holding Corp., 2023 Term Loan B3 TBD 12/15/2027 (I) | 1,467,442 | 1,447,265 | |||
Life Time, Inc., 2021 Term Loan B (1 month LIBOR + 4.750%) 9.385%, 12/16/2024 | 371,162 | 370,605 | |||
Woof Holdings, Inc., 1st Lien Term Loan (1 month LIBOR + 3.750%) 8.342%, 12/21/2027 | 604,238 | 578,557 | |||
6,646,617 | |||||
Consumer staples – 0.3% | |||||
Sunshine Luxembourg VII Sarl, 2021 Term Loan B3 (3 month LIBOR + 3.750%) 8.480%, 10/01/2026 | 3,805,292 | 3,696,423 | |||
Financials – 4.9% | |||||
Alliant Holdings Intermediate LLC, 2021 Term Loan B4 (1 month LIBOR + 3.500%) 8.092%, 11/06/2027 | 5,805,958 | 5,731,177 |
Shares or Principal Amount | Value | ||||
TERM LOANS (H)(continued) | |||||
Financials (continued) | |||||
Alliant Holdings Intermediate LLC, 2023 Term Loan B5 TBD 11/05/2027 (I) | $ | 2,038,114 | 2,010,090 | ||
BroadStreet Partners, Inc., 2020 Term Loan B TBD 01/27/2027 (I) | 50,514 | 49,788 | |||
Howden Group Holdings, Ltd., 2021 Term Loan B (1 month LIBOR + 3.250%) 7.938%, 11/12/2027 | 4,880,696 | 4,801,384 | |||
HUB International, Ltd., 2018 Term Loan B (3 month LIBOR + 3.000%) 7.817%, 04/25/2025 | 20,943,068 | 20,873,955 | |||
HUB International, Ltd., 2021 Term Loan B (3 month LIBOR + 3.250%) 8.057%, 04/25/2025 | 13,465,943 | 13,437,395 | |||
HUB International, Ltd., 2022 Term Loan B (3 month SOFR + 4.000%) 8.728%, 11/10/2029 | 1,163,210 | 1,161,465 | |||
Ryan Specialty Group LLC, Term Loan (1 month SOFR + 3.000%) 7.718%, 09/01/2027 | 1,007,857 | 1,004,712 | |||
USI, Inc., 2019 Incremental Term Loan B (3 month LIBOR + 3.250%) 7.980%, 12/02/2026 | 5,050,300 | 5,038,381 | |||
USI, Inc., 2022 Incremental Term Loan (3 month SOFR + 3.750%) 8.330%, 11/22/2029 | 4,319,697 | 4,307,083 | |||
58,415,430 | |||||
Health care – 2.1% | |||||
ADMI Corp., 2018 Term Loan B (1 month LIBOR + 3.000%) 7.635%, 04/30/2025 | 519,308 | 496,266 | |||
ADMI Corp., 2021 Incremental Term Loan B3 (1 month LIBOR + 3.750%) 8.385%, 12/23/2027 | 3,194,334 | 2,958,752 | |||
ADMI Corp., 2021 Term Loan B2 (1 month LIBOR + 3.375%) 8.010%, 12/23/2027 | 1,923,456 | 1,778,389 | |||
athenahealth, Inc., 2022 Term Loan B (1 month SOFR + 3.500%) 8.061%, 02/15/2029 | 4,390,793 | 4,050,507 | |||
Avantor Funding, Inc., 2021 Term Loan B5 (1 month LIBOR + 2.250%) 6.885%, 11/08/2027 | 1,040,842 | 1,038,531 | |||
Eyecare Partners LLC, 2020 Term Loan (3 month LIBOR + 3.750%) 8.480%, 02/18/2027 | 166,437 | 138,507 | |||
Heartland Dental LLC, 2018 1st Lien Term Loan (1 month LIBOR + 3.750%) 8.385%, 04/30/2025 | 4,270,326 | 4,028,583 | |||
Heartland Dental LLC, 2021 Incremental Term Loan (1 month LIBOR + 4.000%) 8.635%, 04/30/2025 | 571,868 | 540,656 | |||
Loire Finco Luxembourg Sarl, 2021 USD Term Loan B2 (1 month LIBOR + 3.500%) 8.135%, 04/21/2027 | 558,479 | 531,951 | |||
Loire Finco Luxembourg Sarl, Term Loan (1 month LIBOR + 3.000%) 7.635%, 04/21/2027 | 3,148,146 | 3,010,415 | |||
Medline Borrower LP, USD Term Loan B (1 month LIBOR + 3.250%) 7.885%, 10/23/2028 | 3,388,424 | 3,264,171 | |||
PetVet Care Centers LLC, 2018 1st Lien Term Loan (1 month LIBOR + 2.750%) 7.385%, 02/14/2025 | 351,244 | 332,716 | |||
PetVet Care Centers LLC, 2018 2nd Lien Term Loan (1 month LIBOR + 6.250%) 10.885%, 02/13/2026 | 25,000 | 22,281 |
The accompanying notes are an integral part of the financial statements. | 10 |
Shares or Principal Amount | Value | ||||
TERM LOANS (H)(continued) | |||||
Health care (continued) | |||||
PetVet Care Centers LLC, 2018 Incremental Term Loan (1 month LIBOR + 3.250%) 7.885%, 02/14/2025 | $ | 1,086,761 | 1,029,370 | ||
PetVet Care Centers LLC, 2021 Term Loan B3 (1 month LIBOR + 3.500%) 8.135%, 02/14/2025 | 2,051,764 | 1,953,792 | |||
25,174,887 | |||||
Industrials – 1.0% | |||||
Filtration Group Corp., 2018 1st Lien Term Loan (1 month LIBOR + 3.000%) 7.635%, 03/29/2025 | 1,527,142 | 1,521,797 | |||
Filtration Group Corp., 2018 EUR Term Loan (1 month EURIBOR + 3.500%) 5.929%, 03/29/2025 | EUR | 1,726,569 | 1,807,930 | ||
Filtration Group Corp., 2021 Incremental Term Loan (1 month LIBOR + 3.500%) 8.135%, 10/21/2028 | $ | 679,958 | 668,908 | ||
Mileage Plus Holdings LLC, 2020 Term Loan B (3 month LIBOR + 5.250%) 9.996%, 06/21/2027 | 6,162,121 | 6,410,146 | |||
SkyMiles IP, Ltd., 2020 Skymiles Term Loan B (3 month LIBOR + 3.750%) 8.558%, 10/20/2027 | 1,854,959 | 1,918,733 | |||
12,327,514 | |||||
Information technology – 3.3% | |||||
Applied Systems, Inc., 2017 1st Lien Term Loan (3 month LIBOR + 3.000%) 7.730%, 09/19/2024 | 4,420,617 | 4,415,666 | |||
Applied Systems, Inc., 2021 2nd Lien Term Loan (3 month SOFR + 6.750%) 11.330%, 09/17/2027 | 833,897 | 834,939 | |||
Applied Systems, Inc., 2022 Extended 1st Lien Term Loan (3 month SOFR + 4.500%) 9.080%, 09/18/2026 | 2,213,810 | 2,218,791 | |||
Ascend Learning LLC, 2021 Term Loan (1 month SOFR + 3.500%) 8.218%, 12/11/2028 | 3,230,420 | 3,028,067 | |||
Azalea TopCo, Inc., 2021 Term Loan B (1 month LIBOR + 3.750%) 8.385%, 07/24/2026 | 1,231,104 | 1,149,162 | |||
Azalea TopCo, Inc., 2022 Incremental Term Loan (1 month SOFR + 3.750%) 8.468%, 07/24/2026 | 529,935 | 496,152 | |||
Azalea TopCo, Inc., Term Loan (1 month LIBOR + 3.500%) 8.135%, 07/24/2026 | 3,825,559 | 3,575,291 | |||
Celestial Saturn Parent, Inc., 2nd Lien Term Loan (1 month LIBOR + 6.500%) 11.188%, 06/04/2029 | 97,470 | 72,331 | |||
RealPage, Inc., 1st Lien Term Loan (1 month LIBOR + 3.000%) 7.635%, 04/24/2028 | 5,306,349 | 5,132,566 | |||
RealPage, Inc., 2nd Lien Term Loan (1 month LIBOR + 6.500%) 11.135%, 04/23/2029 | 225,000 | 215,719 | |||
Sophia LP, 2021 Term Loan B (3 month LIBOR + 3.500%) 8.230%, 10/07/2027 | 1,450,351 | 1,426,479 | |||
Sophia LP, 2022 Incremental Term Loan B (1 month SOFR + 4.250%) 8.868%, 10/07/2027 | 429,489 | 424,391 |
Shares or Principal Amount | Value | ||||
TERM LOANS (H)(continued) | |||||
Information technology (continued) | |||||
Storable, Inc., Term Loan B (1 and 3 month SOFR + 3.500%) 8.175%, 04/17/2028 | $ | 272,250 | 265,275 | ||
UKG, Inc., 2021 2nd Lien Term Loan (3 month LIBOR + 5.250%) 10.032%, 05/03/2027 | 765,000 | 742,685 | |||
UKG, Inc., 2021 Term Loan (3 month LIBOR + 3.250%) 8.032%, 05/04/2026 | 15,706,116 | 15,376,288 | |||
39,373,802 | |||||
TOTAL TERM LOANS (Cost $149,623,128) | $ | 147,339,044 | |||
SHORT-TERM INVESTMENTS – 4.0% | |||||
Short-term funds – 4.0% | |||||
John Hancock Collateral Trust, 4.5832% (J)(K) | 168,625 | $ | 1,685,493 | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.4192% (J) | 10,731,121 | 10,731,121 | |||
T. Rowe Price Government Reserve Fund, 4.5920% (J) | 35,725,038 | 35,725,038 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $48,141,110) | $ | 48,141,652 | |||
Total Investments (Capital Appreciation Value Fund) (Cost $1,181,779,935) – 101.1% | $ | 1,211,284,970 | |||
Other assets and liabilities, net – (1.1%) | (13,321,630) | ||||
TOTAL NET ASSETS – 100.0% | $ | 1,197,963,340 |
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 2-28-23. |
(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) | 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). |
(J) | The rate shown is the annualized seven-day yield as of 2-28-23. |
(K) | Investment is an affiliate of the fund, the advisor and/or subadvisor. This security represents the investment of cash collateral received for securities lending. |
The accompanying notes are an integral part of the financial statements. | 11 |
Options on securities | ||||||||
Counterparty (OTC)/ Exchange- traded | Name of issuer | Currency | Exercise price | Expiration date | Number of contracts | Notional amount | Premium | Value |
Calls | ||||||||
CITI | AbbVie, Inc. | USD | 155.00 | Jan 2024 | 52 | 5,200 | $54,724 | $(68,541) |
CITI | AbbVie, Inc. | USD | 155.00 | Jan 2024 | 51 | 5,100 | 49,062 | (67,223) |
CITI | AbbVie, Inc. | USD | 160.00 | Jan 2024 | 52 | 5,200 | 43,770 | (55,578) |
CITI | AbbVie, Inc. | USD | 160.00 | Jan 2024 | 52 | 5,200 | 39,624 | (55,578) |
CITI | AbbVie, Inc. | USD | 170.00 | Jan 2024 | 130 | 13,000 | 73,938 | (86,774) |
JPM | AbbVie, Inc. | USD | 180.00 | Jan 2024 | 33 | 3,300 | 32,844 | (12,861) |
JPM | AbbVie, Inc. | USD | 185.00 | Jan 2024 | 33 | 3,300 | 27,409 | (9,586) |
JPM | AbbVie, Inc. | USD | 195.00 | Jan 2024 | 33 | 3,300 | 18,505 | (5,100) |
JPM | AbbVie, Inc. | USD | 200.00 | Jan 2024 | 33 | 3,300 | 15,049 | (3,653) |
CITI | Alphabet, Inc., Class A | USD | 102.50 | Jan 2024 | 86 | 8,600 | 66,594 | (64,786) |
WFB | Alphabet, Inc., Class A | USD | 120.00 | Jan 2024 | 306 | 30,600 | 241,458 | (94,707) |
WFB | Amazon.com, Inc. | USD | 107.50 | Jan 2024 | 99 | 9,900 | 68,640 | (90,975) |
WFB | Amazon.com, Inc. | USD | 110.00 | Jan 2024 | 99 | 9,900 | 62,636 | (82,233) |
WFB | Amazon.com, Inc. | USD | 110.00 | Jan 2024 | 99 | 9,900 | 107,429 | (82,233) |
WFB | Amazon.com, Inc. | USD | 115.00 | Jan 2024 | 99 | 9,900 | 51,365 | (66,721) |
WFB | Amazon.com, Inc. | USD | 115.00 | Jan 2024 | 99 | 9,900 | 89,082 | (66,721) |
WFB | Amazon.com, Inc. | USD | 115.00 | Jan 2024 | 185 | 18,500 | 165,205 | (124,681) |
WFB | Amazon.com, Inc. | USD | 120.00 | Jan 2024 | 98 | 9,800 | 72,961 | (53,117) |
WFB | Amazon.com, Inc. | USD | 135.00 | Jan 2024 | 167 | 16,700 | 156,053 | (46,181) |
UBS | American Electric Power Company, Inc. | USD | 97.50 | Jan 2024 | 33 | 3,300 | 17,358 | (11,165) |
UBS | American Electric Power Company, Inc. | USD | 100.00 | Jan 2024 | 33 | 3,300 | 14,322 | (8,761) |
JPM | Apple, Inc. | USD | 145.00 | Jan 2024 | 82 | 8,200 | 94,935 | (167,839) |
JPM | Apple, Inc. | USD | 150.00 | Jan 2024 | 82 | 8,200 | 80,944 | (144,887) |
JPM | Apple, Inc. | USD | 150.00 | Jan 2024 | 83 | 8,300 | 118,194 | (146,654) |
JPM | Apple, Inc. | USD | 155.00 | Jan 2024 | 82 | 8,200 | 68,603 | (123,769) |
JPM | Apple, Inc. | USD | 155.00 | Jan 2024 | 83 | 8,300 | 99,684 | (125,278) |
GSI | Becton, Dickinson and Company | USD | 270.00 | Jan 2024 | 50 | 5,000 | 74,350 | (42,142) |
GSI | Becton, Dickinson and Company | USD | 280.00 | Jan 2024 | 50 | 5,000 | 55,850 | (29,757) |
GSI | Becton, Dickinson and Company | USD | 290.00 | Jan 2024 | 17 | 1,700 | 25,031 | (7,034) |
GSI | Becton, Dickinson and Company | USD | 290.00 | Jan 2024 | 17 | 1,700 | 10,988 | (7,034) |
GSI | Becton, Dickinson and Company | USD | 300.00 | Jan 2024 | 17 | 1,700 | 19,946 | (4,847) |
GSI | Becton, Dickinson and Company | USD | 300.00 | Jan 2024 | 17 | 1,700 | 7,853 | (4,847) |
WFB | CME Group, Inc. | USD | 190.00 | Jan 2024 | 12 | 1,200 | 15,706 | (17,134) |
WFB | CME Group, Inc. | USD | 200.00 | Jan 2024 | 12 | 1,200 | 10,830 | (11,703) |
WFB | CME Group, Inc. | USD | 210.00 | Jan 2024 | 12 | 1,200 | 6,675 | (7,637) |
UBS | Colgate-Palmolive Company | USD | 75.00 | Jan 2024 | 122 | 12,200 | 50,371 | (64,214) |
UBS | Colgate-Palmolive Company | USD | 80.00 | Jan 2024 | 121 | 12,100 | 25,178 | (36,299) |
JPM | Danaher Corp. | USD | 290.00 | Jan 2024 | 1 | 100 | 2,163 | (1,299) |
JPM | Danaher Corp. | USD | 290.00 | Jan 2024 | 16 | 1,600 | 41,739 | (20,786) |
JPM | Danaher Corp. | USD | 290.00 | Jan 2024 | 66 | 6,600 | 107,349 | (85,742) |
JPM | Danaher Corp. | USD | 300.00 | Jan 2024 | 1 | 100 | 1,811 | (1,022) |
JPM | Danaher Corp. | USD | 300.00 | Jan 2024 | 16 | 1,600 | 35,321 | (16,348) |
JPM | Danaher Corp. | USD | 310.00 | Jan 2024 | 1 | 100 | 1,510 | (795) |
JPM | Danaher Corp. | USD | 310.00 | Jan 2024 | 16 | 1,600 | 29,543 | (12,714) |
JPM | Danaher Corp. | USD | 320.00 | Jan 2024 | 1 | 100 | 1,218 | (612) |
JPM | Danaher Corp. | USD | 320.00 | Jan 2024 | 16 | 1,600 | 24,885 | (9,789) |
WFB | Dollar General Corp. | USD | 250.00 | Jan 2024 | 13 | 1,300 | 28,301 | (14,000) |
WFB | Dollar General Corp. | USD | 270.00 | Jan 2024 | 13 | 1,300 | 17,641 | (7,671) |
CITI | Duke Energy Corp. | USD | 105.00 | Jan 2024 | 49 | 4,900 | 29,253 | (16,028) |
CITI | Duke Energy Corp. | USD | 110.00 | Jan 2024 | 49 | 4,900 | 19,208 | (9,707) |
CITI | Equifax, Inc. | USD | 220.00 | Dec 2023 | 11 | 1,100 | 27,370 | (21,451) |
CITI | Equifax, Inc. | USD | 220.00 | Dec 2023 | 8 | 800 | 18,869 | (15,601) |
CITI | Equifax, Inc. | USD | 220.00 | Dec 2023 | 7 | 700 | 17,588 | (13,651) |
CITI | Equifax, Inc. | USD | 220.00 | Dec 2023 | 2 | 200 | 6,348 | (3,900) |
CITI | Equifax, Inc. | USD | 220.00 | Dec 2023 | 1 | 100 | 3,276 | (1,950) |
CITI | Equifax, Inc. | USD | 230.00 | Dec 2023 | 11 | 1,100 | 22,748 | (17,171) |
CITI | Equifax, Inc. | USD | 230.00 | Dec 2023 | 8 | 800 | 15,621 | (12,488) |
CITI | Equifax, Inc. | USD | 230.00 | Dec 2023 | 7 | 700 | 14,629 | (10,927) |
CITI | Equifax, Inc. | USD | 230.00 | Dec 2023 | 2 | 200 | 5,398 | (3,122) |
CITI | Equifax, Inc. | USD | 230.00 | Dec 2023 | 1 | 100 | 2,765 | (1,561) |
CITI | Equifax, Inc. | USD | 240.00 | Dec 2023 | 11 | 1,100 | 18,732 | (13,583) |
CITI | Equifax, Inc. | USD | 240.00 | Dec 2023 | 8 | 800 | 12,813 | (9,878) |
The accompanying notes are an integral part of the financial statements. | 12 |
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) | ||||||||
CITI | Equifax, Inc. | USD | 240.00 | Dec 2023 | 7 | 700 | $12,054 | $(8,644) |
CITI | Equifax, Inc. | USD | 240.00 | Dec 2023 | 2 | 200 | 4,470 | (2,470) |
CITI | Equifax, Inc. | USD | 240.00 | Dec 2023 | 1 | 100 | 2,289 | (1,235) |
CITI | Equifax, Inc. | USD | 240.00 | Dec 2023 | 65 | 6,500 | 110,367 | (80,263) |
JPM | Exelon Corp. | USD | 45.00 | Jan 2024 | 112 | 11,200 | 24,864 | (22,048) |
JPM | Exelon Corp. | USD | 45.00 | Jan 2024 | 219 | 21,900 | 40,515 | (43,112) |
JPM | Exelon Corp. | USD | 45.00 | Jan 2024 | 122 | 12,200 | 20,374 | (24,017) |
JPM | Exelon Corp. | USD | 47.00 | Jan 2024 | 112 | 11,200 | 17,024 | (15,428) |
JPM | Exelon Corp. | USD | 50.00 | Jan 2024 | 128 | 12,800 | 24,915 | (10,015) |
CITI | Fortive Corp. | USD | 75.00 | Jun 2023 | 35 | 3,500 | 4,842 | (3,089) |
CITI | Fortive Corp. | USD | 75.00 | Jun 2023 | 33 | 3,300 | 4,207 | (2,913) |
WFB | General Electric Company | USD | 90.00 | Jan 2024 | 33 | 3,300 | 24,446 | (31,253) |
WFB | General Electric Company | USD | 90.00 | Jan 2024 | 79 | 7,900 | 54,292 | (74,817) |
WFB | General Electric Company | USD | 95.00 | Jan 2024 | 33 | 3,300 | 18,032 | (24,237) |
WFB | General Electric Company | USD | 95.00 | Jan 2024 | 79 | 7,900 | 39,734 | (58,023) |
WFB | Hilton Worldwide Holdings, Inc. | USD | 140.00 | Jan 2024 | 9 | 900 | 12,112 | (18,947) |
WFB | Hilton Worldwide Holdings, Inc. | USD | 140.00 | Jan 2024 | 8 | 800 | 14,596 | (16,841) |
WFB | Hilton Worldwide Holdings, Inc. | USD | 145.00 | Jan 2024 | 79 | 7,900 | 131,298 | (143,719) |
WFB | Hilton Worldwide Holdings, Inc. | USD | 145.00 | Jan 2024 | 9 | 900 | 10,489 | (16,373) |
WFB | Hilton Worldwide Holdings, Inc. | USD | 145.00 | Jan 2024 | 8 | 800 | 12,547 | (14,554) |
WFB | Hilton Worldwide Holdings, Inc. | USD | 150.00 | Jan 2024 | 79 | 7,900 | 117,868 | (123,064) |
WFB | Hilton Worldwide Holdings, Inc. | USD | 150.00 | Jan 2024 | 9 | 900 | 9,046 | (14,020) |
WFB | Hilton Worldwide Holdings, Inc. | USD | 150.00 | Jan 2024 | 8 | 800 | 10,539 | (12,462) |
WFB | Hilton Worldwide Holdings, Inc. | USD | 155.00 | Jan 2024 | 9 | 900 | 7,693 | (11,894) |
WFB | Hilton Worldwide Holdings, Inc. | USD | 155.00 | Jan 2024 | 8 | 800 | 8,931 | (10,573) |
GSI | Ingersoll Rand, Inc. | USD | 60.00 | Dec 2023 | 34 | 3,400 | 12,368 | (20,482) |
GSI | Ingersoll Rand, Inc. | USD | 60.00 | Dec 2023 | 33 | 3,300 | 14,732 | (19,879) |
GSI | Johnson & Johnson | USD | 175.00 | Jan 2024 | 91 | 9,100 | 82,856 | (33,477) |
GSI | Johnson & Johnson | USD | 185.00 | Jan 2024 | 90 | 9,000 | 43,756 | (16,460) |
CITI | Keurig Dr. Pepper, Inc. | USD | 37.00 | Jan 2024 | 87 | 8,700 | 15,399 | (15,052) |
CITI | Keurig Dr. Pepper, Inc. | USD | 40.00 | Jan 2024 | 88 | 8,800 | 6,952 | (6,849) |
GSI | Marsh & McLennan Companies, Inc. | USD | 185.00 | Jul 2023 | 6 | 600 | 2,598 | (1,086) |
GSI | Marsh & McLennan Companies, Inc. | USD | 185.00 | Jul 2023 | 20 | 2,000 | 10,475 | (3,620) |
GSI | Marsh & McLennan Companies, Inc. | USD | 185.00 | Jul 2023 | 1 | 100 | 540 | (181) |
GSI | Marsh & McLennan Companies, Inc. | USD | 185.00 | Jul 2023 | 24 | 2,400 | 9,000 | (4,344) |
GSI | Marsh & McLennan Companies, Inc. | USD | 190.00 | Jul 2023 | 6 | 600 | 1,990 | (686) |
GSI | Marsh & McLennan Companies, Inc. | USD | 190.00 | Jul 2023 | 20 | 2,000 | 8,084 | (2,287) |
GSI | Marsh & McLennan Companies, Inc. | USD | 190.00 | Jul 2023 | 1 | 100 | 379 | (114) |
GSI | Marsh & McLennan Companies, Inc. | USD | 190.00 | Jul 2023 | 24 | 2,400 | 5,678 | (2,745) |
GSI | Marsh & McLennan Companies, Inc. | USD | 195.00 | Jul 2023 | 6 | 600 | 1,204 | (429) |
GSI | Marsh & McLennan Companies, Inc. | USD | 195.00 | Jul 2023 | 20 | 2,000 | 5,048 | (1,430) |
GSI | Marsh & McLennan Companies, Inc. | USD | 195.00 | Jul 2023 | 1 | 100 | 249 | (72) |
GSI | Marsh & McLennan Companies, Inc. | USD | 195.00 | Jul 2023 | 24 | 2,400 | 3,092 | (1,716) |
GSI | Marsh & McLennan Companies, Inc. | USD | 200.00 | Jul 2023 | 6 | 600 | 1,078 | (267) |
GSI | Marsh & McLennan Companies, Inc. | USD | 200.00 | Jul 2023 | 20 | 2,000 | 4,368 | (891) |
GSI | Marsh & McLennan Companies, Inc. | USD | 200.00 | Jul 2023 | 1 | 100 | 103 | (45) |
GSI | Marsh & McLennan Companies, Inc. | USD | 200.00 | Jul 2023 | 24 | 2,400 | 1,411 | (1,069) |
GSI | Mastercard, Inc., Class A | USD | 380.00 | Jan 2024 | 16 | 1,600 | 58,784 | (47,349) |
GSI | Mastercard, Inc., Class A | USD | 380.00 | Jan 2024 | 17 | 1,700 | 81,302 | (50,308) |
GSI | Mastercard, Inc., Class A | USD | 400.00 | Jan 2024 | 16 | 1,600 | 45,521 | (33,940) |
GSI | Mastercard, Inc., Class A | USD | 400.00 | Jan 2024 | 17 | 1,700 | 64,278 | (36,062) |
GSI | Mastercard, Inc., Class A | USD | 420.00 | Jan 2024 | 16 | 1,600 | 35,115 | (23,415) |
GSI | Mastercard, Inc., Class A | USD | 420.00 | Jan 2024 | 17 | 1,700 | 48,913 | (24,879) |
GSI | Mastercard, Inc., Class A | USD | 430.00 | Jan 2024 | 16 | 1,600 | 30,861 | (19,177) |
GSI | Mastercard, Inc., Class A | USD | 430.00 | Jan 2024 | 17 | 1,700 | 42,549 | (20,375) |
WFB | McDonald's Corp. | USD | 285.00 | Jan 2024 | 22 | 2,200 | 39,424 | (28,123) |
WFB | McDonald's Corp. | USD | 300.00 | Jan 2024 | 23 | 2,300 | 27,002 | (17,462) |
UBS | Microsoft Corp. | USD | 275.00 | Jan 2024 | 58 | 5,800 | 96,442 | (112,259) |
UBS | Microsoft Corp. | USD | 290.00 | Jan 2024 | 58 | 5,800 | 68,742 | (81,350) |
JPM | Microsoft Corp. | USD | 300.00 | Jan 2024 | 126 | 12,600 | 196,850 | (140,739) |
JPM | Microsoft Corp. | USD | 300.00 | Jan 2024 | 123 | 12,300 | 196,443 | (137,388) |
UBS | Microsoft Corp. | USD | 300.00 | Jan 2024 | 58 | 5,800 | 54,131 | (64,785) |
JPM | Mondelez International, Inc., Class A | USD | 67.50 | Jan 2024 | 190 | 19,000 | 66,880 | (81,327) |
JPM | Mondelez International, Inc., Class A | USD | 70.00 | Jan 2024 | 189 | 18,900 | 49,518 | (59,049) |
The accompanying notes are an integral part of the financial statements. | 13 |
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) | ||||||||
WFB | NXP Semiconductors NV | USD | 170.00 | Jan 2024 | 2 | 200 | $4,259 | $(6,042) |
WFB | NXP Semiconductors NV | USD | 170.00 | Jan 2024 | 23 | 2,300 | 54,223 | (69,483) |
WFB | NXP Semiconductors NV | USD | 170.00 | Jan 2024 | 27 | 2,700 | 66,274 | (81,567) |
WFB | NXP Semiconductors NV | USD | 180.00 | Jan 2024 | 2 | 200 | 3,478 | (5,006) |
WFB | NXP Semiconductors NV | USD | 180.00 | Jan 2024 | 23 | 2,300 | 45,760 | (57,563) |
WFB | NXP Semiconductors NV | USD | 180.00 | Jan 2024 | 27 | 2,700 | 56,213 | (67,574) |
WFB | NXP Semiconductors NV | USD | 180.00 | Jan 2024 | 50 | 5,000 | 117,489 | (125,137) |
WFB | NXP Semiconductors NV | USD | 185.00 | Jan 2024 | 2 | 200 | 3,138 | (4,534) |
WFB | NXP Semiconductors NV | USD | 185.00 | Jan 2024 | 23 | 2,300 | 41,529 | (52,142) |
WFB | NXP Semiconductors NV | USD | 185.00 | Jan 2024 | 27 | 2,700 | 50,980 | (61,210) |
WFB | NXP Semiconductors NV | USD | 185.00 | Jan 2024 | 50 | 5,000 | 104,204 | (113,353) |
WFB | NXP Semiconductors NV | USD | 195.00 | Jan 2024 | 2 | 200 | 2,548 | (3,686) |
WFB | NXP Semiconductors NV | USD | 195.00 | Jan 2024 | 23 | 2,300 | 32,606 | (42,389) |
WFB | NXP Semiconductors NV | USD | 195.00 | Jan 2024 | 27 | 2,700 | 40,244 | (49,761) |
WFB | NXP Semiconductors NV | USD | 195.00 | Jan 2024 | 50 | 5,000 | 84,222 | (92,151) |
UBS | PepsiCo, Inc. | USD | 180.00 | Jan 2024 | 144 | 14,400 | 110,390 | (141,354) |
UBS | PepsiCo, Inc. | USD | 185.00 | Jan 2024 | 143 | 14,300 | 82,733 | (108,087) |
CITI | PerkinElmer, Inc. | USD | 155.00 | Jun 2023 | 8 | 800 | 4,715 | (985) |
CITI | PerkinElmer, Inc. | USD | 165.00 | Jun 2023 | 8 | 800 | 2,592 | (524) |
CITI | PerkinElmer, Inc. | USD | 170.00 | Jun 2023 | 8 | 800 | 1,854 | (396) |
CITI | PerkinElmer, Inc. | USD | 175.00 | Jun 2023 | 8 | 800 | 1,320 | (307) |
CITI | PerkinElmer, Inc. | USD | 155.00 | Sep 2023 | 9 | 900 | 7,369 | (2,668) |
CITI | PerkinElmer, Inc. | USD | 155.00 | Sep 2023 | 33 | 3,300 | 22,758 | (9,784) |
CITI | PerkinElmer, Inc. | USD | 165.00 | Sep 2023 | 9 | 900 | 4,373 | (1,577) |
CITI | PerkinElmer, Inc. | USD | 165.00 | Sep 2023 | 33 | 3,300 | 12,894 | (5,781) |
CITI | PerkinElmer, Inc. | USD | 170.00 | Sep 2023 | 9 | 900 | 3,371 | (1,223) |
CITI | PerkinElmer, Inc. | USD | 170.00 | Sep 2023 | 33 | 3,300 | 9,415 | (4,483) |
CITI | PerkinElmer, Inc. | USD | 175.00 | Sep 2023 | 9 | 900 | 2,552 | (957) |
CITI | PerkinElmer, Inc. | USD | 175.00 | Sep 2023 | 33 | 3,300 | 7,091 | (3,510) |
WFB | Public Service Enterprise Group, Inc. | USD | 65.00 | Jun 2023 | 66 | 6,600 | 6,607 | (5,828) |
WFB | Public Service Enterprise Group, Inc. | USD | 70.00 | Jun 2023 | 69 | 6,900 | 6,734 | (1,266) |
CITI | Roper Technologies, Inc. | USD | 470.00 | Aug 2023 | 33 | 3,300 | 26,116 | (39,671) |
CITI | Roper Technologies, Inc. | USD | 480.00 | Aug 2023 | 8 | 800 | 15,501 | (7,392) |
CITI | Roper Technologies, Inc. | USD | 500.00 | Aug 2023 | 8 | 800 | 10,218 | (4,279) |
CITI | Roper Technologies, Inc. | USD | 520.00 | Aug 2023 | 8 | 800 | 6,473 | (2,460) |
CITI | Roper Technologies, Inc. | USD | 540.00 | Aug 2023 | 8 | 800 | 3,910 | (1,425) |
BOA | S&P Global, Inc. | USD | 370.00 | Jan 2024 | 3 | 300 | 9,134 | (8,165) |
BOA | S&P Global, Inc. | USD | 370.00 | Jan 2024 | 5 | 500 | 16,254 | (13,608) |
BOA | S&P Global, Inc. | USD | 370.00 | Jan 2024 | 3 | 300 | 13,082 | (8,165) |
BOA | S&P Global, Inc. | USD | 390.00 | Jan 2024 | 3 | 300 | 6,958 | (5,877) |
BOA | S&P Global, Inc. | USD | 390.00 | Jan 2024 | 5 | 500 | 12,459 | (9,795) |
BOA | S&P Global, Inc. | USD | 390.00 | Jan 2024 | 3 | 300 | 10,290 | (5,877) |
BOA | S&P Global, Inc. | USD | 400.00 | Jan 2024 | 3 | 300 | 6,057 | (4,932) |
BOA | S&P Global, Inc. | USD | 400.00 | Jan 2024 | 5 | 500 | 10,909 | (8,220) |
BOA | S&P Global, Inc. | USD | 400.00 | Jan 2024 | 3 | 300 | 8,399 | (4,932) |
BOA | S&P Global, Inc. | USD | 410.00 | Jan 2024 | 6 | 600 | 14,278 | (8,221) |
BOA | S&P Global, Inc. | USD | 420.00 | Jan 2024 | 3 | 300 | 4,421 | (3,403) |
BOA | S&P Global, Inc. | USD | 420.00 | Jan 2024 | 5 | 500 | 8,114 | (5,672) |
BOA | S&P Global, Inc. | USD | 420.00 | Jan 2024 | 3 | 300 | 6,058 | (3,403) |
BOA | S&P Global, Inc. | USD | 430.00 | Jan 2024 | 6 | 600 | 10,444 | (5,601) |
BOA | S&P Global, Inc. | USD | 450.00 | Jan 2024 | 6 | 600 | 7,526 | (3,732) |
BOA | S&P Global, Inc. | USD | 470.00 | Jan 2024 | 6 | 600 | 5,134 | (2,443) |
GSI | salesforce.com, Inc. | USD | 160.00 | Jan 2024 | 42 | 4,200 | 70,902 | (119,675) |
GSI | salesforce.com, Inc. | USD | 165.00 | Jan 2024 | 42 | 4,200 | 63,235 | (108,806) |
GSI | salesforce.com, Inc. | USD | 165.00 | Jan 2024 | 42 | 4,200 | 89,322 | (108,806) |
GSI | salesforce.com, Inc. | USD | 170.00 | Jan 2024 | 42 | 4,200 | 80,127 | (98,650) |
GSI | Starbucks Corp. | USD | 100.00 | Jan 2024 | 96 | 9,600 | 103,567 | (125,875) |
GSI | Starbucks Corp. | USD | 105.00 | Jan 2024 | 96 | 9,600 | 85,251 | (99,861) |
WFB | Stryker Corp. | USD | 270.00 | Jan 2024 | 10 | 1,000 | 24,023 | (27,130) |
WFB | Stryker Corp. | USD | 270.00 | Jan 2024 | 6 | 600 | 15,775 | (16,278) |
WFB | Stryker Corp. | USD | 270.00 | Jan 2024 | 2 | 200 | 5,034 | (5,426) |
WFB | Stryker Corp. | USD | 270.00 | Jan 2024 | 15 | 1,500 | 47,375 | (40,695) |
WFB | Stryker Corp. | USD | 280.00 | Jan 2024 | 10 | 1,000 | 19,518 | (22,236) |
WFB | Stryker Corp. | USD | 280.00 | Jan 2024 | 6 | 600 | 13,346 | (13,342) |
The accompanying notes are an integral part of the financial statements. | 14 |
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) | ||||||||
WFB | Stryker Corp. | USD | 280.00 | Jan 2024 | 2 | 200 | $4,145 | $(4,447) |
WFB | Stryker Corp. | USD | 280.00 | Jan 2024 | 15 | 1,500 | 38,359 | (33,354) |
WFB | Stryker Corp. | USD | 290.00 | Jan 2024 | 10 | 1,000 | 15,613 | (17,980) |
WFB | Stryker Corp. | USD | 290.00 | Jan 2024 | 6 | 600 | 10,968 | (10,788) |
WFB | Stryker Corp. | USD | 290.00 | Jan 2024 | 2 | 200 | 3,336 | (3,596) |
WFB | Stryker Corp. | USD | 290.00 | Jan 2024 | 15 | 1,500 | 29,343 | (26,970) |
WFB | Stryker Corp. | USD | 300.00 | Jan 2024 | 10 | 1,000 | 12,808 | (14,356) |
WFB | Stryker Corp. | USD | 300.00 | Jan 2024 | 6 | 600 | 9,133 | (8,614) |
WFB | Stryker Corp. | USD | 300.00 | Jan 2024 | 2 | 200 | 2,504 | (2,871) |
WFB | Stryker Corp. | USD | 300.00 | Jan 2024 | 15 | 1,500 | 24,074 | (21,534) |
JPM | TE Connectivity, Ltd. | USD | 125.00 | Jul 2023 | 1 | 100 | 557 | (1,008) |
JPM | TE Connectivity, Ltd. | USD | 125.00 | Jul 2023 | 25 | 2,500 | 16,140 | (25,189) |
JPM | TE Connectivity, Ltd. | USD | 130.00 | Jul 2023 | 1 | 100 | 397 | (728) |
JPM | TE Connectivity, Ltd. | USD | 130.00 | Jul 2023 | 25 | 2,500 | 11,750 | (18,207) |
JPM | TE Connectivity, Ltd. | USD | 130.00 | Jul 2023 | 25 | 2,500 | 12,407 | (18,207) |
JPM | TE Connectivity, Ltd. | USD | 135.00 | Jul 2023 | 1 | 100 | 277 | (504) |
JPM | TE Connectivity, Ltd. | USD | 135.00 | Jul 2023 | 25 | 2,500 | 8,409 | (12,608) |
JPM | TE Connectivity, Ltd. | USD | 135.00 | Jul 2023 | 25 | 2,500 | 7,411 | (12,608) |
JPM | TE Connectivity, Ltd. | USD | 140.00 | Jul 2023 | 1 | 100 | 197 | (335) |
JPM | TE Connectivity, Ltd. | USD | 140.00 | Jul 2023 | 25 | 2,500 | 6,100 | (8,368) |
JPM | TE Connectivity, Ltd. | USD | 140.00 | Jul 2023 | 25 | 2,500 | 4,914 | (8,368) |
JPM | Teledyne Technologies, Inc. | USD | 440.00 | Jun 2023 | 1 | 100 | 1,907 | (2,063) |
JPM | Teledyne Technologies, Inc. | USD | 440.00 | Jun 2023 | 2 | 200 | 3,573 | (4,125) |
JPM | Teledyne Technologies, Inc. | USD | 440.00 | Jun 2023 | 4 | 400 | 8,308 | (8,251) |
JPM | Teledyne Technologies, Inc. | USD | 440.00 | Jun 2023 | 1 | 100 | 2,077 | (2,063) |
JPM | Teledyne Technologies, Inc. | USD | 460.00 | Jun 2023 | 1 | 100 | 1,159 | (1,220) |
JPM | Teledyne Technologies, Inc. | USD | 460.00 | Jun 2023 | 2 | 200 | 2,103 | (2,439) |
JPM | Teledyne Technologies, Inc. | USD | 460.00 | Jun 2023 | 1 | 100 | 1,202 | (1,220) |
JPM | Teledyne Technologies, Inc. | USD | 460.00 | Jun 2023 | 4 | 400 | 4,808 | (4,878) |
JPM | Teledyne Technologies, Inc. | USD | 480.00 | Jun 2023 | 1 | 100 | 661 | (634) |
JPM | Teledyne Technologies, Inc. | USD | 480.00 | Jun 2023 | 2 | 200 | 1,093 | (1,267) |
JPM | Teledyne Technologies, Inc. | USD | 480.00 | Jun 2023 | 4 | 400 | 2,426 | (2,535) |
JPM | Teledyne Technologies, Inc. | USD | 480.00 | Jun 2023 | 1 | 100 | 607 | (634) |
JPM | Teledyne Technologies, Inc. | USD | 500.00 | Jun 2023 | 1 | 100 | 263 | (291) |
JPM | Teledyne Technologies, Inc. | USD | 500.00 | Jun 2023 | 2 | 200 | 501 | (582) |
JPM | Teledyne Technologies, Inc. | USD | 500.00 | Jun 2023 | 4 | 400 | 1,082 | (1,164) |
JPM | Teledyne Technologies, Inc. | USD | 500.00 | Jun 2023 | 1 | 100 | 270 | (291) |
BOA | Texas Instruments, Inc. | USD | 180.00 | Jan 2024 | 33 | 3,300 | 55,588 | (51,205) |
BOA | Texas Instruments, Inc. | USD | 180.00 | Jan 2024 | 33 | 3,300 | 62,696 | (51,205) |
BOA | Texas Instruments, Inc. | USD | 190.00 | Jan 2024 | 33 | 3,300 | 42,664 | (37,439) |
BOA | Texas Instruments, Inc. | USD | 190.00 | Jan 2024 | 33 | 3,300 | 47,834 | (37,439) |
BOA | Texas Instruments, Inc. | USD | 195.00 | Jan 2024 | 33 | 3,300 | 37,063 | (31,640) |
BOA | Texas Instruments, Inc. | USD | 195.00 | Jan 2024 | 33 | 3,300 | 41,311 | (31,640) |
BOA | Texas Instruments, Inc. | USD | 200.00 | Jan 2024 | 33 | 3,300 | 32,070 | (26,531) |
BOA | Texas Instruments, Inc. | USD | 200.00 | Jan 2024 | 33 | 3,300 | 34,952 | (26,531) |
WFB | The Coca-Cola Company | USD | 62.50 | Jan 2024 | 203 | 20,300 | 68,411 | (55,909) |
WFB | The Coca-Cola Company | USD | 65.00 | Jan 2024 | 202 | 20,200 | 45,854 | (35,944) |
BOA | The Hershey Company | USD | 230.00 | Jan 2024 | 13 | 1,300 | 17,511 | (36,106) |
BOA | The Hershey Company | USD | 240.00 | Jan 2024 | 13 | 1,300 | 12,311 | (28,091) |
JPM | The PNC Financial Services Group, Inc. | USD | 170.00 | Jan 2024 | 20 | 2,000 | 18,432 | (21,193) |
JPM | The PNC Financial Services Group, Inc. | USD | 170.00 | Jan 2024 | 20 | 2,000 | 18,412 | (21,193) |
JPM | The PNC Financial Services Group, Inc. | USD | 175.00 | Jan 2024 | 14 | 1,400 | 17,775 | (12,231) |
JPM | The PNC Financial Services Group, Inc. | USD | 175.00 | Jan 2024 | 11 | 1,100 | 12,496 | (9,610) |
JPM | The PNC Financial Services Group, Inc. | USD | 175.00 | Jan 2024 | 20 | 2,000 | 15,071 | (17,473) |
JPM | The PNC Financial Services Group, Inc. | USD | 175.00 | Jan 2024 | 20 | 2,000 | 15,379 | (17,473) |
JPM | The PNC Financial Services Group, Inc. | USD | 185.00 | Jan 2024 | 11 | 1,100 | 9,254 | (6,309) |
JPM | The PNC Financial Services Group, Inc. | USD | 185.00 | Jan 2024 | 15 | 1,500 | 14,135 | (8,603) |
JPM | The PNC Financial Services Group, Inc. | USD | 190.00 | Jan 2024 | 15 | 1,500 | 12,049 | (6,869) |
JPM | The PNC Financial Services Group, Inc. | USD | 190.00 | Jan 2024 | 11 | 1,100 | 7,743 | (5,037) |
JPM | The PNC Financial Services Group, Inc. | USD | 200.00 | Jan 2024 | 11 | 1,100 | 5,292 | (3,142) |
JPM | The PNC Financial Services Group, Inc. | USD | 200.00 | Jan 2024 | 15 | 1,500 | 8,361 | (4,284) |
JPM | The Procter & Gamble Company | USD | 145.00 | Jan 2024 | 108 | 10,800 | 96,876 | (84,530) |
JPM | The Procter & Gamble Company | USD | 155.00 | Jan 2024 | 109 | 10,900 | 51,448 | (43,686) |
JPM | Thermo Fisher Scientific, Inc. | USD | 610.00 | Jan 2024 | 4 | 400 | 21,891 | (15,083) |
The accompanying notes are an integral part of the financial statements. | 15 |
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) | ||||||||
JPM | Thermo Fisher Scientific, Inc. | USD | 610.00 | Jan 2024 | 4 | 400 | $29,352 | $(15,083) |
JPM | Thermo Fisher Scientific, Inc. | USD | 630.00 | Jan 2024 | 4 | 400 | 17,785 | (12,322) |
JPM | Thermo Fisher Scientific, Inc. | USD | 630.00 | Jan 2024 | 4 | 400 | 25,158 | (12,322) |
JPM | Thermo Fisher Scientific, Inc. | USD | 660.00 | Jan 2024 | 4 | 400 | 13,809 | (8,973) |
JPM | Thermo Fisher Scientific, Inc. | USD | 660.00 | Jan 2024 | 4 | 400 | 19,368 | (8,973) |
JPM | Thermo Fisher Scientific, Inc. | USD | 690.00 | Jan 2024 | 4 | 400 | 10,390 | (6,454) |
JPM | Thermo Fisher Scientific, Inc. | USD | 690.00 | Jan 2024 | 4 | 400 | 14,622 | (6,454) |
GSI | TransUnion | USD | 65.00 | Oct 2023 | 3 | 300 | 2,511 | (2,698) |
GSI | TransUnion | USD | 65.00 | Oct 2023 | 14 | 1,400 | 11,425 | (12,592) |
GSI | TransUnion | USD | 65.00 | Oct 2023 | 16 | 1,600 | 18,798 | (14,391) |
GSI | TransUnion | USD | 70.00 | Oct 2023 | 3 | 300 | 1,836 | (1,982) |
GSI | TransUnion | USD | 70.00 | Oct 2023 | 14 | 1,400 | 8,287 | (9,251) |
GSI | TransUnion | USD | 70.00 | Oct 2023 | 16 | 1,600 | 14,094 | (10,573) |
CITI | UnitedHealth Group, Inc. | USD | 580.00 | Jan 2024 | 54 | 5,400 | 302,238 | (62,783) |
JPM | UnitedHealth Group, Inc. | USD | 600.00 | Jan 2024 | 58 | 5,800 | 192,454 | (47,588) |
GSI | Visa, Inc., Class A | USD | 230.00 | Jan 2024 | 25 | 2,500 | 47,691 | (48,777) |
GSI | Visa, Inc., Class A | USD | 230.00 | Jan 2024 | 25 | 2,500 | 58,965 | (48,777) |
GSI | Visa, Inc., Class A | USD | 240.00 | Jan 2024 | 25 | 2,500 | 37,758 | (36,876) |
GSI | Visa, Inc., Class A | USD | 240.00 | Jan 2024 | 25 | 2,500 | 46,683 | (36,876) |
GSI | Visa, Inc., Class A | USD | 250.00 | Jan 2024 | 25 | 2,500 | 28,951 | (27,119) |
GSI | Visa, Inc., Class A | USD | 250.00 | Jan 2024 | 25 | 2,500 | 36,182 | (27,119) |
GSI | Visa, Inc., Class A | USD | 260.00 | Jan 2024 | 25 | 2,500 | 22,144 | (19,416) |
GSI | Visa, Inc., Class A | USD | 260.00 | Jan 2024 | 25 | 2,500 | 27,430 | (19,416) |
BOA | Walmart, Inc. | USD | 145.00 | Jan 2024 | 108 | 10,800 | 130,356 | (128,336) |
BOA | Walmart, Inc. | USD | 155.00 | Jan 2024 | 108 | 10,800 | 80,676 | (78,762) |
JPM | Waste Connections, Inc. | USD | 145.00 | Jun 2023 | 12 | 1,200 | 3,168 | (2,352) |
JPM | Waste Connections, Inc. | USD | 145.00 | Jun 2023 | 12 | 1,200 | 2,122 | (2,352) |
JPM | Waste Connections, Inc. | USD | 150.00 | Jun 2023 | 12 | 1,200 | 1,936 | (1,155) |
JPM | Waste Connections, Inc. | USD | 150.00 | Jun 2023 | 12 | 1,200 | 1,079 | (1,155) |
JPM | Waste Connections, Inc. | USD | 160.00 | Jun 2023 | 12 | 1,200 | 615 | (237) |
JPM | Waste Connections, Inc. | USD | 160.00 | Jun 2023 | 12 | 1,200 | 312 | (237) |
JPM | Waste Connections, Inc. | USD | 165.00 | Jun 2023 | 12 | 1,200 | 381 | (106) |
JPM | Waste Connections, Inc. | USD | 165.00 | Jun 2023 | 12 | 1,200 | 182 | (106) |
WFB | Waste Management, Inc. | USD | 160.00 | Jan 2024 | 15 | 1,500 | 13,388 | (13,271) |
WFB | Waste Management, Inc. | USD | 165.00 | Jan 2024 | 14 | 1,400 | 9,594 | (9,560) |
WFB | Yum! Brands, Inc. | USD | 140.00 | Jan 2024 | 118 | 11,800 | 117,658 | (75,648) |
WFB | Yum! Brands, Inc. | USD | 140.00 | Jan 2024 | 117 | 11,700 | 114,766 | (75,007) |
CITI | Yum! Brands, Inc. | USD | 145.00 | Jan 2024 | 58 | 5,800 | 32,602 | (27,992) |
CITI | Yum! Brands, Inc. | USD | 150.00 | Jan 2024 | 58 | 5,800 | 29,121 | (20,799) |
$9,333,717 | $(8,324,189) |
Derivatives Currency Abbreviations | |
USD | U.S. Dollar |
Derivatives Abbreviations | |
BOA | Bank of America, N.A. |
CITI | Citibank, N.A. |
GSI | Goldman Sachs International |
JPM | JPMorgan Chase Bank, N.A. |
OTC | Over-the-counter |
UBS | UBS AG |
WFB | Wells Fargo Bank, N.A. |
The accompanying notes are an integral part of the financial statements. | 16 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 56.5% | |||||
U.S. Government – 27.6% | |||||
U.S. Treasury Bonds | |||||
1.125%, 05/15/2040 to 08/15/2040 | $ | 56,301,000 | $ | 35,582,015 | |
1.375%, 11/15/2040 | 39,539,000 | 25,979,903 | |||
1.750%, 08/15/2041 | 66,238,000 | 45,900,858 | |||
1.875%, 02/15/2041 to 11/15/2051 | 3,273,000 | 2,259,266 | |||
2.000%, 08/15/2051 | 6,286,000 | 4,225,125 | |||
2.250%, 02/15/2052 | 2,411,000 | 1,719,062 | |||
2.875%, 05/15/2052 | 5,468,000 | 4,477,566 | |||
3.000%, 08/15/2052 | 13,719,000 | 11,532,534 | |||
3.375%, 08/15/2042 | 9,152,000 | 8,239,660 | |||
3.625%, 02/15/2053 | 8,830,000 | 8,406,436 | |||
3.875%, 02/15/2043 | 1,610,000 | 1,561,952 | |||
4.000%, 11/15/2042 to 11/15/2052 | 23,453,000 | 23,559,028 | |||
5.250%, 11/15/2028 to 02/15/2029 | 3,738,000 | 3,948,752 | |||
U.S. Treasury Notes | |||||
0.375%, 11/30/2025 | 9,074,000 | 8,105,634 | |||
1.375%, 10/31/2028 | 9,379,000 | 8,076,931 | |||
1.500%, 08/15/2026 to 11/30/2028 | 37,330,000 | 33,648,771 | |||
1.625%, 05/15/2026 | 19,759,000 | 18,104,956 | |||
2.000%, 11/15/2026 | 11,360,000 | 10,448,537 | |||
2.250%, 11/15/2027 | 6,949,000 | 6,367,021 | |||
2.625%, 07/31/2029 | 1,916,000 | 1,756,882 | |||
2.750%, 07/31/2027 to 05/31/2029 | 39,064,000 | 36,357,174 | |||
2.875%, 04/30/2025 | 5,553,000 | 5,340,207 | |||
3.000%, 07/15/2025 | 9,245,000 | 8,901,563 | |||
3.125%, 08/31/2029 | 2,824,000 | 2,666,805 | |||
3.250%, 06/30/2029 | 4,722,000 | 4,493,647 | |||
3.500%, 01/31/2030 to 02/15/2033 | 10,273,000 | 9,928,950 | |||
3.875%, 01/15/2026 to 12/31/2029 | 26,228,000 | 25,833,478 | |||
4.000%, 02/15/2026 to 02/28/2030 | 20,315,000 | 20,114,573 | |||
4.125%, 01/31/2025 to 10/31/2027 | 61,502,000 | 61,164,165 | |||
4.250%, 12/31/2024 | 9,578,000 | 9,470,622 | |||
4.500%, 11/30/2024 to 11/15/2025 | 11,067,000 | 11,047,557 | |||
4.625%, 02/28/2025 | 45,000 | 44,856 | |||
459,264,486 | |||||
U.S. Government Agency – 28.9% | |||||
Federal Home Loan Mortgage Corp. | |||||
2.000%, 11/01/2040 to 12/01/2051 | 23,791,777 | 20,044,263 | |||
2.289%, (12 month LIBOR + 1.650%), 03/01/2043 (A) | 213,883 | 219,765 | |||
2.304%, (12 month LIBOR + 1.642%), 08/01/2043 (A) | 157,060 | 156,816 | |||
2.358%, (12 month LIBOR + 1.635%), 07/01/2043 (A) | 108,338 | 109,829 | |||
2.500%, 04/01/2042 to 03/01/2052 | 12,469,476 | 10,707,134 | |||
2.507%, (12 month LIBOR + 1.631%), 11/01/2043 (A) | 175,014 | 175,974 | |||
2.551%, (12 month LIBOR + 1.646%), 10/01/2043 (A) | 326,136 | 330,613 | |||
2.557%, (12 month LIBOR + 1.606%), 09/01/2043 (A) | 84,717 | 84,758 | |||
2.661%, (12 month LIBOR + 1.637%), 09/01/2045 (A) | 1,779,047 | 1,794,401 | |||
2.672%, (12 month LIBOR + 1.611%), 10/01/2043 (A) | 193,074 | 194,089 | |||
2.818%, (12 month LIBOR + 1.641%), 05/01/2049 (A) | 871,940 | 853,909 | |||
2.837%, (12 month LIBOR + 1.719%), 01/01/2044 (A) | 351,118 | 348,697 | |||
3.000%, 04/01/2040 to 11/01/2048 | 3,463,119 | 3,131,968 | |||
3.470%, (12 month LIBOR + 1.637%), 03/01/2049 (A) | 789,255 | 792,207 | |||
3.500%, 06/01/2046 to 10/01/2046 | 1,503,563 | 1,398,145 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal Home Loan Mortgage Corp. (continued) | |||||
3.725%, (12 month LIBOR + 1.687%), 09/01/2047 (A) | $ | 914,783 | $ | 922,889 | |
3.912%, (1 month SOFR + 2.130%), 07/01/2052 (A) | 759,510 | 727,470 | |||
3.968%, (12 month LIBOR + 1.636%), 04/01/2048 (A) | 1,892,623 | 1,907,095 | |||
3.986%, (1 month SOFR + 2.140%), 08/01/2052 (A) | 1,014,147 | 959,347 | |||
4.000%, 07/01/2049 | 1,003,301 | 966,250 | |||
4.119%, (1 month SOFR + 2.380%), 09/01/2052 (A) | 527,918 | 508,622 | |||
4.301%, (1 month SOFR + 2.130%), 07/01/2052 (A) | 908,887 | 881,485 | |||
4.382%, 12/14/2029 (B) | 2,068,000 | 1,538,789 | |||
4.500%, 06/01/2039 to 07/01/2039 | 100,512 | 98,638 | |||
5.497%, (12 month LIBOR + 1.770%), 09/01/2042 (A) | 141,772 | 144,851 | |||
5.912%, (12 month LIBOR + 1.688%), 02/01/2043 (A) | 236,455 | 240,804 | |||
Federal National Mortgage Association | |||||
1.500%, 10/01/2041 to 07/01/2051 | 25,564,537 | 20,454,754 | |||
1.520%, 08/21/2035 | 2,984,000 | 2,068,157 | |||
1.615%, (1 month SOFR + 2.212%), 12/01/2051 (A) | 489,030 | 437,786 | |||
1.900%, 01/25/2036 | 2,659,000 | 1,913,193 | |||
2.000%, 11/01/2040 to 03/01/2047 | 72,304,955 | 60,929,544 | |||
2.255%, (12 month LIBOR + 1.560%), 06/01/2043 (A) | 131,555 | 130,833 | |||
2.500%, 12/01/2035 to 03/01/2052 | 41,791,288 | 36,576,449 | |||
2.981%, (12 month LIBOR + 1.603%), 03/01/2050 (A) | 2,269,669 | 2,217,475 | |||
3.000%, 05/01/2040 to 02/01/2055 | 96,646,190 | 87,215,013 | |||
3.172%, (12 month LIBOR + 1.579%), 10/01/2043 (A) | 434,374 | 434,188 | |||
3.306%, (12 month LIBOR + 1.565%), 03/01/2043 (A) | 66,373 | 67,143 | |||
3.500%, TBA (C) | 5,500,000 | 5,008,223 | |||
3.500%, 03/01/2042 to 11/01/2042 (C) | 5,484,608 | 5,134,226 | |||
3.500%, 10/01/2042 to 04/01/2050 | 43,021,606 | 40,014,177 | |||
3.683%, (1 month SOFR + 2.370%), 08/01/2052 (A) | 1,131,095 | 1,078,679 | |||
3.739%, (12 month LIBOR + 1.579%), 06/01/2045 (A) | 747,243 | 754,908 | |||
3.831%, (12 month LIBOR + 1.583%), 01/01/2046 (A) | 1,983,495 | 2,004,462 | |||
3.963%, (1 month SOFR + 2.120%), 08/01/2052 (A) | 449,635 | 426,213 | |||
4.000%, 01/01/2027 to 05/01/2049 | 25,156,106 | 24,479,750 | |||
4.154%, (1 month SOFR + 2.132%), 10/01/2052 (A) | 4,777,125 | 4,639,882 | |||
4.168%, (1 month SOFR + 2.120%), 07/01/2052 (A) | 1,750,564 | 1,671,969 | |||
4.227%, (1 month SOFR + 2.370%), 09/01/2052 (A) | 513,387 | 497,845 | |||
4.249%, (1 month SOFR + 2.127%), 11/01/2052 (A) | 1,373,694 | 1,338,295 | |||
4.315%, (1 month SOFR + 2.125%), 08/01/2052 (A) | 2,015,629 | 1,963,821 | |||
4.353%, (1 month SOFR + 2.124%), 07/01/2052 (A) | 1,958,671 | 1,910,828 | |||
4.394%, 11/15/2030 (B) | 6,077,000 | 4,340,495 | |||
4.500%, 06/01/2041 to 11/01/2048 | 4,398,823 | 4,351,020 |
The accompanying notes are an integral part of the financial statements. | 17 |
Shares or Principal Amount | Value | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal National Mortgage Association (continued) | |||||
4.532%, (1 month SOFR + 2.120%), 11/01/2052 (A) | $ | 808,118 | $ | 793,686 | |
4.621%, (1 month SOFR + 2.127%), 08/01/2052 (A) | 2,315,921 | 2,274,442 | |||
4.645%, (1 month SOFR + 2.122%), 08/01/2052 (A) | 1,675,021 | 1,628,371 | |||
4.647%, (1 month SOFR + 2.130%), 08/01/2052 (A) | 1,827,510 | 1,796,367 | |||
5.500%, TBA (C) | 21,700,000 | 21,661,849 | |||
5.500%, 09/01/2052 | 1,550,307 | 1,599,377 | |||
6.000%, TBA (C) | 14,100,000 | 14,250,314 | |||
6.131%, (12 month LIBOR + 1.641%), 01/01/2043 (A) | 93,812 | 96,468 | |||
6.500%, TBA (C) | 44,600,000 | 45,668,409 | |||
6.500%, 11/01/2052 to 02/01/2053 | 1,640,209 | 1,747,169 | |||
7.000%, 02/01/2053 | 1,598,504 | 1,666,050 | |||
Government National Mortgage Association | |||||
3.000%, 06/20/2043 to 10/20/2050 | 15,794,139 | 14,195,479 | |||
3.500%, 01/20/2048 | 757,845 | 703,211 | |||
4.000%, 03/20/2048 to 04/20/2048 | 930,814 | 890,032 | |||
4.500%, 08/15/2047 to 02/20/2049 | 2,104,123 | 2,064,699 | |||
6.000%, 01/20/2053 | 6,987,854 | 7,251,848 | |||
479,585,907 | |||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $997,985,420) | $ | 938,850,393 | |||
FOREIGN GOVERNMENT OBLIGATIONS – 0.9% | |||||
Australia – 0.1% | |||||
Export Finance & Insurance Corp. 4.625%, 10/26/2027 (D) | 2,078,000 | 2,083,091 | |||
Bermuda – 0.0% | |||||
Government of Bermuda 5.000%, 07/15/2032 (D) | 693,000 | 673,793 | |||
Canada – 0.1% | |||||
Province of Saskatchewan 3.250%, 06/08/2027 | 872,000 | 825,006 | |||
Israel – 0.1% | |||||
State of Israel 4.500%, 01/17/2033 | 2,183,000 | 2,104,897 | |||
Italy – 0.0% | |||||
Republic of Italy 3.875%, 05/06/2051 | 406,000 | 280,845 | |||
Mexico – 0.4% | |||||
Government of Mexico | |||||
3.500%, 02/12/2034 | 1,459,000 | 1,188,288 | |||
3.750%, 04/19/2071 | 1,249,000 | 806,893 | |||
3.771%, 05/24/2061 | 923,000 | 605,329 | |||
4.400%, 02/12/2052 | 1,482,000 | 1,122,134 | |||
4.500%, 04/22/2029 | 1,411,000 | 1,340,353 | |||
4.600%, 02/10/2048 | 305,000 | 243,133 | |||
6.350%, 02/09/2035 | 632,000 | 648,422 | |||
5,954,552 | |||||
Paraguay – 0.1% | |||||
Republic of Paraguay 5.400%, 03/30/2050 (D) | 944,000 | 790,458 | |||
Peru – 0.0% | |||||
Republic of Peru | |||||
3.000%, 01/15/2034 | 437,000 | 343,857 |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||
Peru (continued) | |||||
Republic of Peru (continued) | |||||
3.600%, 01/15/2072 | $ | 338,000 | $ | 218,600 | |
562,457 | |||||
Poland – 0.1% | |||||
Republic of Poland 5.750%, 11/16/2032 | 687,000 | 719,344 | |||
Saudi Arabia – 0.0% | |||||
Kingdom of Saudi Arabia 5.000%, 01/18/2053 (D) | 585,000 | 533,813 | |||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $15,845,359) | $ | 14,528,256 | |||
CORPORATE BONDS – 26.0% | |||||
Communication services – 1.4% | |||||
AT&T, Inc. | |||||
1.700%, 03/25/2026 | 2,866,000 | 2,575,413 | |||
3.500%, 06/01/2041 | 615,000 | 461,694 | |||
3.650%, 09/15/2059 | 604,000 | 409,055 | |||
3.800%, 12/01/2057 | 1,733,000 | 1,216,676 | |||
Charter Communications Operating LLC 3.500%, 06/01/2041 to 03/01/2042 | 2,426,000 | 1,568,540 | |||
Comcast Corp. | |||||
2.987%, 11/01/2063 | 720,000 | 440,026 | |||
4.049%, 11/01/2052 | 622,000 | 499,534 | |||
5.350%, 11/15/2027 | 1,265,000 | 1,283,425 | |||
5.500%, 11/15/2032 | 1,170,000 | 1,202,267 | |||
Discovery Communications LLC 4.000%, 09/15/2055 | 673,000 | 435,180 | |||
T-Mobile USA, Inc. | |||||
2.250%, 02/15/2026 | 1,345,000 | 1,223,492 | |||
2.875%, 02/15/2031 | 262,000 | 217,355 | |||
3.500%, 04/15/2031 | 173,000 | 149,764 | |||
4.950%, 03/15/2028 | 1,277,000 | 1,253,554 | |||
5.050%, 07/15/2033 | 2,236,000 | 2,154,732 | |||
5.650%, 01/15/2053 | 1,373,000 | 1,346,004 | |||
Verizon Communications, Inc. | |||||
2.355%, 03/15/2032 | 1,601,000 | 1,258,630 | |||
2.650%, 11/20/2040 | 806,000 | 545,908 | |||
3.875%, 03/01/2052 | 640,000 | 490,045 | |||
WarnerMedia Holdings, Inc. | |||||
5.050%, 03/15/2042 (D) | 1,264,000 | 1,024,011 | |||
5.141%, 03/15/2052 (D) | 2,408,000 | 1,887,640 | |||
5.391%, 03/15/2062 (D) | 1,436,000 | 1,120,095 | |||
22,763,040 | |||||
Consumer discretionary – 1.2% | |||||
Amazon.com, Inc. | |||||
2.875%, 05/12/2041 | 403,000 | 300,395 | |||
4.700%, 12/01/2032 | 1,572,000 | 1,553,980 | |||
Ford Motor Company 4.750%, 01/15/2043 | 123,000 | 89,703 | |||
Ford Motor Credit Company LLC | |||||
2.700%, 08/10/2026 | 1,032,000 | 898,080 | |||
2.900%, 02/10/2029 | 957,000 | 778,988 | |||
7.350%, 03/06/2030 | 378,000 | 382,785 | |||
General Motors Company | |||||
5.200%, 04/01/2045 | 514,000 | 423,856 | |||
5.400%, 10/15/2029 | 1,508,000 | 1,448,056 | |||
General Motors Financial Company, Inc. 3.100%, 01/12/2032 | 619,000 | 492,657 | |||
Hyundai Capital America | |||||
0.800%, 01/08/2024 (D) | 506,000 | 485,578 | |||
1.300%, 01/08/2026 (D) | 1,214,000 | 1,075,123 | |||
Lowe's Companies, Inc. | |||||
4.250%, 04/01/2052 | 1,207,000 | 950,372 |
The accompanying notes are an integral part of the financial statements. | 18 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer discretionary (continued) | |||||
Lowe's Companies, Inc. (continued) | |||||
5.625%, 04/15/2053 | $ | 2,842,000 | $ | 2,720,264 | |
Target Corp. | |||||
4.400%, 01/15/2033 | 1,728,000 | 1,638,934 | |||
4.800%, 01/15/2053 | 1,280,000 | 1,196,109 | |||
The Home Depot, Inc. | |||||
2.375%, 03/15/2051 | 919,000 | 550,944 | |||
3.125%, 12/15/2049 | 1,115,000 | 791,353 | |||
3.300%, 04/15/2040 | 238,000 | 189,530 | |||
3.625%, 04/15/2052 | 572,000 | 437,996 | |||
4.500%, 09/15/2032 (E) | 1,206,000 | 1,162,669 | |||
4.950%, 09/15/2052 | 1,258,000 | 1,208,437 | |||
The Trustees of the University of Pennsylvania 3.610%, 02/15/2119 | 954,000 | 667,399 | |||
19,443,208 | |||||
Consumer staples – 1.5% | |||||
Anheuser-Busch Companies LLC | |||||
4.700%, 02/01/2036 | 3,550,000 | 3,332,134 | |||
4.900%, 02/01/2046 | 2,205,000 | 2,022,590 | |||
Anheuser-Busch InBev Worldwide, Inc. 4.375%, 04/15/2038 | 1,707,000 | 1,526,367 | |||
Bunge, Ltd. Finance Corp. 1.630%, 08/17/2025 | 660,000 | 601,583 | |||
Colgate-Palmolive Company 4.600%, 03/01/2033 | 1,924,000 | 1,922,415 | |||
PepsiCo, Inc. | |||||
4.450%, 05/15/2028 to 02/15/2033 | 3,522,000 | 3,478,062 | |||
4.650%, 02/15/2053 | 960,000 | 939,661 | |||
Philip Morris International, Inc. | |||||
4.875%, 02/13/2026 to 02/15/2028 | 3,825,000 | 3,754,589 | |||
5.000%, 11/17/2025 | 1,359,000 | 1,351,013 | |||
5.125%, 11/17/2027 to 02/15/2030 | 3,775,000 | 3,728,731 | |||
5.375%, 02/15/2033 | 1,390,000 | 1,366,655 | |||
5.750%, 11/17/2032 | 1,021,000 | 1,032,886 | |||
Walmart, Inc. 4.500%, 09/09/2052 | 460,000 | 433,508 | |||
25,490,194 | |||||
Energy – 1.5% | |||||
Aker BP ASA | |||||
2.000%, 07/15/2026 (D) | 1,416,000 | 1,256,029 | |||
3.100%, 07/15/2031 (D) | 1,601,000 | 1,310,768 | |||
3.750%, 01/15/2030 (D) | 185,000 | 163,235 | |||
4.000%, 01/15/2031 (D) | 655,000 | 576,132 | |||
BP Capital Markets America, Inc. 4.812%, 02/13/2033 | 3,518,000 | 3,455,594 | |||
Energy Transfer LP | |||||
4.400%, 03/15/2027 | 284,000 | 271,304 | |||
4.950%, 05/15/2028 | 2,120,000 | 2,041,643 | |||
5.300%, 04/15/2047 | 1,658,000 | 1,407,345 | |||
5.400%, 10/01/2047 | 488,000 | 419,551 | |||
5.750%, 02/15/2033 | 2,331,000 | 2,293,191 | |||
6.125%, 12/15/2045 | 512,000 | 479,242 | |||
Exxon Mobil Corp. | |||||
3.452%, 04/15/2051 | 1,611,000 | 1,228,696 | |||
4.327%, 03/19/2050 | 2,120,000 | 1,881,846 | |||
Galaxy Pipeline Assets Bidco, Ltd. | |||||
1.750%, 09/30/2027 (D) | 1,049,090 | 966,705 | |||
2.160%, 03/31/2034 (D) | 1,194,661 | 1,008,250 | |||
2.625%, 03/31/2036 (D) | 817,000 | 645,688 | |||
2.940%, 09/30/2040 (D) | 480,365 | 378,119 | |||
MPLX LP | |||||
4.950%, 03/14/2052 | 865,000 | 719,248 | |||
5.000%, 03/01/2033 | 1,928,000 | 1,808,905 | |||
5.650%, 03/01/2053 | 321,000 | 295,573 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Energy (continued) | |||||
Petroleos Mexicanos | |||||
2.378%, 04/15/2025 | $ | 218,750 | $ | 213,750 | |
2.460%, 12/15/2025 | 1,020,300 | 989,820 | |||
Targa Resources Partners LP | |||||
4.875%, 02/01/2031 | 1,350,000 | 1,225,895 | |||
5.500%, 03/01/2030 | 339,000 | 321,099 | |||
25,357,628 | |||||
Financials – 7.4% | |||||
Antares Holdings LP 3.750%, 07/15/2027 (D) | 1,518,000 | 1,279,867 | |||
Aon Corp. 5.350%, 02/28/2033 | 770,000 | 769,711 | |||
Athene Global Funding | |||||
2.500%, 03/24/2028 (D) | 735,000 | 624,606 | |||
2.646%, 10/04/2031 (D) | 1,120,000 | 871,336 | |||
Bank of America Corp. | |||||
1.530%, (1.530% to 12-6-24, then SOFR + 0.650%), 12/06/2025 | 5,342,000 | 4,965,811 | |||
1.658%, (1.658% to 3-11-26, then SOFR + 0.910%), 03/11/2027 | 4,566,000 | 4,066,098 | |||
1.734%, (1.734% to 7-22-26, then SOFR + 0.960%), 07/22/2027 | 4,139,000 | 3,645,554 | |||
2.687%, (2.687% to 4-22-31, then SOFR + 1.320%), 04/22/2032 | 4,404,000 | 3,571,796 | |||
3.419%, (3.419% to 12-20-27, then 3 month LIBOR + 1.040%), 12/20/2028 | 3,189,000 | 2,902,576 | |||
5.015%, (5.015% to 7-22-32, then SOFR + 2.160%), 07/22/2033 | 1,330,000 | 1,279,597 | |||
5.080%, (5.080% to 1-20-26, then SOFR + 1.290%), 01/20/2027 | 2,826,000 | 2,796,470 | |||
6.204%, (6.204% to 11-10-27, then SOFR + 1.990%), 11/10/2028 | 3,118,000 | 3,205,857 | |||
Barclays PLC 7.437%, (7.437% to 11-2-32, then 1 Year CMT + 3.500%), 11/02/2033 | 3,602,000 | 3,888,865 | |||
Blackstone Holdings Finance Company LLC 6.200%, 04/22/2033 (D) | 1,465,000 | 1,503,244 | |||
Brighthouse Financial, Inc. 3.850%, 12/22/2051 | 568,000 | 374,536 | |||
Citigroup, Inc. | |||||
4.910%, (4.910% to 5-24-32, then SOFR + 2.086%), 05/24/2033 | 1,626,000 | 1,540,933 | |||
6.270%, (6.270% to 11-17-32, then SOFR + 2.338%), 11/17/2033 | 3,147,000 | 3,295,752 | |||
Cooperatieve Rabobank UA 5.564%, (5.564% to 2-28-28, then 1 Year CMT + 1.400%), 02/28/2029 (D) | 4,492,000 | 4,467,477 | |||
Credit Suisse Group AG 9.016%, (9.016% to 11-15-32, then SOFR + 5.020%), 11/15/2033 (D) | 1,553,000 | 1,630,926 | |||
Deutsche Bank AG 3.742%, (3.742% to 10-7-31, then SOFR + 2.257%), 01/07/2033 | 2,622,000 | 2,008,906 | |||
Enstar Group, Ltd. 3.100%, 09/01/2031 | 1,194,000 | 906,758 | |||
JPMorgan Chase & Co. | |||||
1.040%, (1.040% to 2-4-26, then 3 month CME Term SOFR + 0.695%), 02/04/2027 | 5,759,000 | 5,057,132 | |||
1.045%, (1.045% to 11-19-25, then SOFR + 0.800%), 11/19/2026 | 1,785,000 | 1,580,867 | |||
1.470%, (1.470% to 9-22-26, then SOFR + 0.765%), 09/22/2027 | 1,432,000 | 1,241,430 |
The accompanying notes are an integral part of the financial statements. | 19 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
JPMorgan Chase & Co. (continued) | |||||
1.561%, (1.561% to 12-10-24, then SOFR + 0.605%), 12/10/2025 | $ | 6,092,000 | $ | 5,662,471 | |
1.578%, (1.578% to 4-22-26, then SOFR + 0.885%), 04/22/2027 | 1,424,000 | 1,259,760 | |||
2.182%, (2.182% to 6-1-27, then SOFR + 1.890%), 06/01/2028 | 1,763,000 | 1,542,389 | |||
4.323%, (4.323% to 4-26-27, then SOFR + 1.560%), 04/26/2028 | 938,000 | 899,247 | |||
4.565%, (4.565% to 6-14-29, then SOFR + 1.750%), 06/14/2030 | 1,455,000 | 1,383,826 | |||
4.912%, (4.912% to 7-25-32, then SOFR + 2.080%), 07/25/2033 | 1,204,000 | 1,152,842 | |||
KeyBank NA 5.000%, 01/26/2033 | 702,000 | 674,991 | |||
Liberty Mutual Group, Inc. 5.500%, 06/15/2052 (D) | 559,000 | 523,808 | |||
Lloyds Banking Group PLC | |||||
4.976%, (4.976% to 8-11-32, then 1 Year CMT + 2.300%), 08/11/2033 | 608,000 | 566,299 | |||
5.871%, (5.871% to 3-6-28, then 1 Year CMT + 1.700%), 03/06/2029 | 1,924,000 | 1,924,372 | |||
Marsh & McLennan Companies, Inc. 6.250%, 11/01/2052 | 316,000 | 350,726 | |||
Mitsubishi UFJ Financial Group, Inc. | |||||
5.422%, (5.422% to 2-22-28, then 1 Year CMT + 1.380%), 02/22/2029 | 1,317,000 | 1,307,834 | |||
5.441%, (5.441% to 2-22-33, then 1 Year CMT + 1.630%), 02/22/2034 | 1,442,000 | 1,417,349 | |||
5.475%, (5.475% to 2-22-30, then 1 Year CMT + 1.530%), 02/22/2031 | 807,000 | 798,942 | |||
5.719%, (5.719% to 2-20-25, then 1 Year CMT + 1.080%), 02/20/2026 | 5,129,000 | 5,121,861 | |||
Mizuho Financial Group, Inc. | |||||
5.667%, (5.667% to 5-27-28, then 1 Year CMT + 1.500%), 05/27/2029 | 1,925,000 | 1,921,309 | |||
5.739%, (5.739% to 5-27-30, then 1 Year CMT + 1.650%), 05/27/2031 | 1,318,000 | 1,316,074 | |||
5.754%, (5.754% to 5-27-33, then 1 Year CMT + 1.800%), 05/27/2034 | 1,621,000 | 1,612,981 | |||
Morgan Stanley | |||||
0.790%, (0.790% to 5-30-24, then SOFR + 0.525%), 05/30/2025 | 3,710,000 | 3,474,201 | |||
0.791%, (0.791% to 1-22-24, then SOFR + 0.509%), 01/22/2025 | 3,672,000 | 3,511,329 | |||
0.864%, (0.864% to 10-21-24, then SOFR + 0.745%), 10/21/2025 | 317,000 | 291,997 | |||
0.985%, (0.985% to 12-10-25, then SOFR + 0.720%), 12/10/2026 | 2,928,000 | 2,575,465 | |||
1.512%, (1.512% to 7-20-26, then SOFR + 0.858%), 07/20/2027 | 2,239,000 | 1,954,469 | |||
5.123%, (5.123% to 2-1-28, then SOFR + 1.730%), 02/01/2029 | 1,601,000 | 1,572,197 | |||
6.342%, (6.342% to 10-18-32, then SOFR + 2.560%), 10/18/2033 | 3,144,000 | 3,314,421 | |||
National Australia Bank, Ltd. 6.429%, 01/12/2033 (D) | 1,264,000 | 1,277,328 | |||
SBL Holdings, Inc. 5.000%, 02/18/2031 (D) | 1,991,000 | 1,630,794 | |||
Stewart Information Services Corp. 3.600%, 11/15/2031 | 775,000 | 599,843 | |||
Sumitomo Mitsui Financial Group, Inc. | |||||
5.520%, 01/13/2028 | 2,474,000 | 2,467,465 | |||
5.710%, 01/13/2030 | 2,563,000 | 2,582,705 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
The Goldman Sachs Group, Inc. 1.948%, (1.948% to 10-21-26, then SOFR + 0.913%), 10/21/2027 | $ | 1,426,000 | $ | 1,249,098 | |
Trust Fibra Uno 6.390%, 01/15/2050 (D) | 682,000 | 532,527 | |||
UBS Group AG 5.959%, (5.959% to 1-12-33, then 1 Year CMT + 2.200%), 01/12/2034 (D) | 1,473,000 | 1,474,984 | |||
Wells Fargo & Company | |||||
3.526%, (3.526% to 3-24-27, then SOFR + 1.510%), 03/24/2028 | 6,011,000 | 5,566,174 | |||
4.897%, (4.897% to 7-25-32, then SOFR + 2.100%), 07/25/2033 | 1,225,000 | 1,170,042 | |||
122,158,225 | |||||
Health care – 3.3% | |||||
Abbott Laboratories | |||||
1.400%, 06/30/2030 | 1,441,000 | 1,153,571 | |||
4.750%, 11/30/2036 | 962,000 | 956,504 | |||
AbbVie, Inc. | |||||
4.050%, 11/21/2039 | 680,000 | 573,561 | |||
4.250%, 11/21/2049 | 3,888,000 | 3,237,549 | |||
4.300%, 05/14/2036 | 417,000 | 375,014 | |||
4.450%, 05/14/2046 | 425,000 | 364,132 | |||
4.550%, 03/15/2035 | 960,000 | 892,805 | |||
Amgen, Inc. | |||||
4.200%, 03/01/2033 | 1,540,000 | 1,416,218 | |||
5.150%, 03/02/2028 (C) | 2,564,000 | 2,553,855 | |||
5.250%, 03/02/2025 to 03/02/2033 (C) | 5,450,000 | 5,428,573 | |||
5.650%, 03/02/2053 (C) | 2,591,000 | 2,569,673 | |||
5.750%, 03/02/2063 (C) | 321,000 | 316,571 | |||
Astrazeneca Finance LLC | |||||
4.875%, 03/03/2028 to 03/03/2033 | 3,208,000 | 3,200,597 | |||
4.900%, 03/03/2030 | 1,925,000 | 1,917,108 | |||
Bristol-Myers Squibb Company 2.550%, 11/13/2050 | 1,665,000 | 1,059,242 | |||
Centene Corp. | |||||
2.500%, 03/01/2031 | 538,000 | 419,301 | |||
3.000%, 10/15/2030 | 1,291,000 | 1,054,657 | |||
CVS Health Corp. | |||||
3.000%, 08/15/2026 | 620,000 | 575,272 | |||
4.875%, 07/20/2035 | 189,000 | 177,585 | |||
DH Europe Finance II Sarl 2.200%, 11/15/2024 | 1,575,000 | 1,498,660 | |||
Eli Lilly & Company | |||||
4.700%, 02/27/2033 | 1,284,000 | 1,277,255 | |||
4.875%, 02/27/2053 | 963,000 | 961,385 | |||
4.950%, 02/27/2063 | 449,000 | 446,378 | |||
Gilead Sciences, Inc. | |||||
1.650%, 10/01/2030 | 577,000 | 456,581 | |||
2.600%, 10/01/2040 | 996,000 | 693,533 | |||
2.800%, 10/01/2050 | 1,581,000 | 1,026,695 | |||
4.000%, 09/01/2036 | 512,000 | 450,825 | |||
GSK Consumer Healthcare Capital US LLC | |||||
3.375%, 03/24/2027 to 03/24/2029 | 1,207,000 | 1,100,673 | |||
3.625%, 03/24/2032 | 1,490,000 | 1,301,492 | |||
HCA, Inc. 4.625%, 03/15/2052 (D) | 2,616,000 | 2,058,107 | |||
Pfizer, Inc. 2.550%, 05/28/2040 | 321,000 | 231,982 | |||
Roche Holdings, Inc. | |||||
2.076%, 12/13/2031 (D) | 3,985,000 | 3,231,099 | |||
2.607%, 12/13/2051 (D) | 759,000 | 498,720 |
The accompanying notes are an integral part of the financial statements. | 20 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Health care (continued) | |||||
Shire Acquisitions Investments Ireland DAC 2.875%, 09/23/2023 | $ | 473,000 | $ | 465,995 | |
Takeda Pharmaceutical Company, Ltd. 4.400%, 11/26/2023 | 349,000 | 345,633 | |||
The Cigna Group | |||||
4.900%, 12/15/2048 | 639,000 | 574,716 | |||
5.400%, 03/15/2033 | 3,208,000 | 3,204,984 | |||
UnitedHealth Group, Inc. | |||||
2.750%, 05/15/2040 | 440,000 | 320,395 | |||
3.050%, 05/15/2041 | 302,000 | 226,928 | |||
3.250%, 05/15/2051 | 954,000 | 683,230 | |||
4.000%, 05/15/2029 | 883,000 | 837,183 | |||
5.250%, 02/15/2028 | 963,000 | 976,097 | |||
5.350%, 02/15/2033 | 1,872,000 | 1,915,008 | |||
5.875%, 02/15/2053 | 1,529,000 | 1,649,350 | |||
54,674,692 | |||||
Industrials – 2.4% | |||||
Adani International Container Terminal Private, Ltd. 3.000%, 02/16/2031 (D) | 468,750 | 350,146 | |||
AerCap Ireland Capital DAC 1.150%, 10/29/2023 | 6,519,000 | 6,325,815 | |||
Canadian National Railway Company | |||||
3.850%, 08/05/2032 | 905,000 | 830,395 | |||
4.400%, 08/05/2052 | 604,000 | 538,536 | |||
Canadian Pacific Railway Company | |||||
1.350%, 12/02/2024 | 1,426,000 | 1,329,283 | |||
1.750%, 12/02/2026 | 276,000 | 244,419 | |||
3.000%, 12/02/2041 | 282,000 | 213,623 | |||
Crowley Conro LLC 4.181%, 08/15/2043 | 748,863 | 696,089 | |||
Delta Air Lines, Inc. 4.750%, 10/20/2028 (D) | 3,387,000 | 3,216,689 | |||
John Deere Capital Corp. | |||||
4.150%, 09/15/2027 | 3,022,000 | 2,937,020 | |||
4.850%, 10/11/2029 | 1,055,000 | 1,055,090 | |||
4.900%, 03/03/2028 | 1,604,000 | 1,600,384 | |||
5.050%, 03/03/2026 | 2,245,000 | 2,245,312 | |||
Lockheed Martin Corp. 5.700%, 11/15/2054 | 1,281,000 | 1,386,385 | |||
Norfolk Southern Corp. | |||||
4.450%, 03/01/2033 | 971,000 | 911,876 | |||
4.550%, 06/01/2053 | 257,000 | 221,900 | |||
Northrop Grumman Corp. | |||||
4.400%, 05/01/2030 | 2,051,000 | 1,958,838 | |||
4.700%, 03/15/2033 | 1,325,000 | 1,277,684 | |||
4.950%, 03/15/2053 | 947,000 | 892,551 | |||
Quanta Services, Inc. 0.950%, 10/01/2024 | 1,144,000 | 1,058,674 | |||
Raytheon Technologies Corp. | |||||
5.000%, 02/27/2026 | 993,000 | 991,511 | |||
5.150%, 02/27/2033 | 1,987,000 | 1,976,984 | |||
5.375%, 02/27/2053 | 1,324,000 | 1,329,756 | |||
The Boeing Company | |||||
2.196%, 02/04/2026 | 2,177,000 | 1,977,478 | |||
3.250%, 02/01/2035 | 706,000 | 543,455 | |||
3.750%, 02/01/2050 | 1,258,000 | 885,008 | |||
5.930%, 05/01/2060 | 975,000 | 910,473 | |||
Union Pacific Corp. | |||||
2.375%, 05/20/2031 | 610,000 | 505,231 | |||
2.800%, 02/14/2032 | 828,000 | 700,149 | |||
3.375%, 02/14/2042 | 689,000 | 541,220 | |||
39,651,974 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Information technology – 2.5% | |||||
Advanced Micro Devices, Inc. 3.924%, 06/01/2032 (E) | $ | 1,851,000 | $ | 1,715,117 | |
Apple, Inc. | |||||
2.375%, 02/08/2041 | 468,000 | 330,870 | |||
2.400%, 08/20/2050 | 73,000 | 46,307 | |||
2.650%, 05/11/2050 to 02/08/2051 | 1,278,000 | 856,410 | |||
2.800%, 02/08/2061 | 409,000 | 262,372 | |||
3.250%, 08/08/2029 | 468,000 | 430,409 | |||
3.950%, 08/08/2052 | 1,860,000 | 1,584,496 | |||
4.100%, 08/08/2062 | 904,000 | 765,730 | |||
Broadcom, Inc. | |||||
2.450%, 02/15/2031 (D) | 1,003,000 | 794,767 | |||
3.150%, 11/15/2025 | 752,000 | 708,174 | |||
3.419%, 04/15/2033 (D) | 825,000 | 664,205 | |||
3.469%, 04/15/2034 (D) | 645,000 | 510,499 | |||
4.926%, 05/15/2037 (D) | 917,000 | 797,633 | |||
Dell International LLC | |||||
5.250%, 02/01/2028 | 2,270,000 | 2,233,784 | |||
6.100%, 07/15/2027 | 584,000 | 600,095 | |||
Fiserv, Inc. | |||||
5.449%, 03/02/2028 | 1,924,000 | 1,921,330 | |||
5.599%, 03/02/2033 | 1,283,000 | 1,280,707 | |||
Intel Corp. | |||||
2.800%, 08/12/2041 | 1,500,000 | 1,021,341 | |||
5.625%, 02/10/2043 | 831,000 | 811,077 | |||
5.700%, 02/10/2053 | 1,923,000 | 1,879,109 | |||
5.900%, 02/10/2063 | 894,000 | 879,897 | |||
KLA Corp. | |||||
3.300%, 03/01/2050 | 526,000 | 381,989 | |||
4.950%, 07/15/2052 | 535,000 | 505,945 | |||
Microsoft Corp. | |||||
2.525%, 06/01/2050 | 704,000 | 470,131 | |||
2.921%, 03/17/2052 | 1,280,000 | 920,870 | |||
NVIDIA Corp. | |||||
2.000%, 06/15/2031 | 641,000 | 518,292 | |||
2.850%, 04/01/2030 | 2,348,000 | 2,068,980 | |||
NXP BV | |||||
2.500%, 05/11/2031 | 641,000 | 506,288 | |||
3.250%, 05/11/2041 | 630,000 | 437,748 | |||
4.400%, 06/01/2027 | 696,000 | 666,332 | |||
Oracle Corp. | |||||
3.950%, 03/25/2051 | 1,213,000 | 871,277 | |||
4.000%, 07/15/2046 | 1,114,000 | 813,246 | |||
4.375%, 05/15/2055 | 388,000 | 294,315 | |||
4.900%, 02/06/2033 | 1,642,000 | 1,550,855 | |||
5.550%, 02/06/2053 | 854,000 | 782,547 | |||
6.900%, 11/09/2052 | 2,082,000 | 2,248,467 | |||
Qualcomm, Inc. 6.000%, 05/20/2053 | 1,445,000 | 1,559,328 | |||
VMware, Inc. | |||||
0.600%, 08/15/2023 | 2,808,000 | 2,746,970 | |||
1.000%, 08/15/2024 | 1,994,000 | 1,863,107 | |||
1.400%, 08/15/2026 | 1,866,000 | 1,611,520 | |||
4.700%, 05/15/2030 | 1,153,000 | 1,079,324 | |||
Xilinx, Inc. 2.375%, 06/01/2030 | 492,000 | 414,556 | |||
42,406,416 | |||||
Materials – 1.0% | |||||
Anglo American Capital PLC | |||||
3.875%, 03/16/2029 (D) | 1,480,000 | 1,329,920 | |||
4.750%, 03/16/2052 (D) | 1,154,000 | 954,578 | |||
BHP Billiton Finance USA, Ltd. | |||||
4.750%, 02/28/2028 | 2,567,000 | 2,536,237 | |||
4.875%, 02/27/2026 | 3,209,000 | 3,187,745 | |||
4.900%, 02/28/2033 | 1,604,000 | 1,597,555 |
The accompanying notes are an integral part of the financial statements. | 21 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Materials (continued) | |||||
Freeport-McMoRan, Inc. 5.250%, 09/01/2029 | $ | 1,788,000 | $ | 1,727,154 | |
Glencore Finance Canada, Ltd. | |||||
5.550%, 10/25/2042 (D) | 289,000 | 267,645 | |||
6.000%, 11/15/2041 (D) | 234,000 | 229,882 | |||
6.900%, 11/15/2037 (D) | 663,000 | 716,452 | |||
Glencore Funding LLC | |||||
2.625%, 09/23/2031 (D) | 1,414,000 | 1,126,291 | |||
3.875%, 04/27/2051 (D) | 361,000 | 266,914 | |||
4.875%, 03/12/2029 (D) | 510,000 | 492,722 | |||
Rohm and Haas Company 7.850%, 07/15/2029 | 995,000 | 1,102,467 | |||
The Dow Chemical Company | |||||
6.900%, 05/15/2053 | 601,000 | 671,703 | |||
7.375%, 11/01/2029 | 572,000 | 635,181 | |||
16,842,446 | |||||
Real estate – 1.6% | |||||
Agree LP | |||||
2.000%, 06/15/2028 | 1,200,000 | 994,824 | |||
2.600%, 06/15/2033 | 274,000 | 209,130 | |||
4.800%, 10/01/2032 | 603,000 | 563,987 | |||
American Homes 4 Rent LP | |||||
3.625%, 04/15/2032 | 1,105,000 | 933,546 | |||
4.300%, 04/15/2052 | 496,000 | 380,128 | |||
American Tower Corp. | |||||
3.125%, 01/15/2027 | 603,000 | 553,492 | |||
5.500%, 03/15/2028 | 1,283,000 | 1,279,074 | |||
Brixmor Operating Partnership LP 2.500%, 08/16/2031 | 668,000 | 519,184 | |||
Crown Castle, Inc. | |||||
1.050%, 07/15/2026 | 1,722,000 | 1,490,865 | |||
2.900%, 03/15/2027 to 04/01/2041 | 1,566,000 | 1,276,208 | |||
5.000%, 01/11/2028 | 2,558,000 | 2,519,193 | |||
Essex Portfolio LP | |||||
1.700%, 03/01/2028 | 1,446,000 | 1,207,836 | |||
2.550%, 06/15/2031 | 571,000 | 455,826 | |||
Federal Realty Investment Trust 3.950%, 01/15/2024 | 764,000 | 752,729 | |||
GLP Capital LP 5.300%, 01/15/2029 | 558,000 | 527,807 | |||
Invitation Homes Operating Partnership LP | |||||
2.000%, 08/15/2031 | 191,000 | 143,269 | |||
4.150%, 04/15/2032 | 1,100,000 | 967,636 | |||
Kimco Realty Corp. 4.600%, 02/01/2033 | 962,000 | 884,130 | |||
Mid-America Apartments LP | |||||
3.950%, 03/15/2029 | 555,000 | 521,290 | |||
4.300%, 10/15/2023 | 566,000 | 562,794 | |||
Realty Income Corp. | |||||
2.200%, 06/15/2028 | 593,000 | 511,915 | |||
2.850%, 12/15/2032 | 800,000 | 657,092 | |||
3.650%, 01/15/2028 | 301,000 | 281,925 | |||
4.850%, 03/15/2030 | 767,000 | 743,985 | |||
5.625%, 10/13/2032 | 1,754,000 | 1,787,847 | |||
Regency Centers LP 2.950%, 09/15/2029 | 1,513,000 | 1,273,669 | |||
STORE Capital Corp. | |||||
2.700%, 12/01/2031 | 385,000 | 279,958 | |||
2.750%, 11/18/2030 | 977,000 | 737,902 | |||
4.500%, 03/15/2028 | 1,477,000 | 1,316,223 | |||
4.625%, 03/15/2029 | 706,000 | 622,965 | |||
Sun Communities Operating LP 4.200%, 04/15/2032 | 1,105,000 | 980,237 | |||
25,936,666 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Utilities – 2.2% | |||||
American Electric Power Company, Inc. 5.625%, 03/01/2033 | $ | 1,283,000 | $ | 1,282,293 | |
American Transmission Systems, Inc. 2.650%, 01/15/2032 (D) | 400,000 | 327,783 | |||
Baltimore Gas and Electric Company 2.250%, 06/15/2031 | 856,000 | 692,429 | |||
CenterPoint Energy Houston Electric LLC 3.600%, 03/01/2052 | 632,000 | 490,288 | |||
Commonwealth Edison Company 5.300%, 02/01/2053 | 258,000 | 256,432 | |||
Consolidated Edison Company of New York, Inc. 5.200%, 03/01/2033 | 1,797,000 | 1,797,191 | |||
Consumers Energy Company | |||||
2.500%, 05/01/2060 | 491,000 | 275,597 | |||
2.650%, 08/15/2052 | 384,000 | 244,020 | |||
Dominion Energy, Inc. | |||||
3.375%, 04/01/2030 | 640,000 | 559,852 | |||
5.375%, 11/15/2032 | 610,000 | 598,621 | |||
DTE Electric Company | |||||
2.950%, 03/01/2050 | 999,000 | 680,311 | |||
3.650%, 03/01/2052 | 458,000 | 354,485 | |||
5.200%, 04/01/2033 | 1,283,000 | 1,284,336 | |||
Duke Energy Carolinas LLC | |||||
2.550%, 04/15/2031 | 582,000 | 484,806 | |||
2.850%, 03/15/2032 | 1,063,000 | 890,788 | |||
3.550%, 03/15/2052 | 774,000 | 576,970 | |||
5.350%, 01/15/2053 | 1,283,000 | 1,264,361 | |||
Duke Energy Corp. | |||||
2.550%, 06/15/2031 | 628,000 | 505,791 | |||
3.500%, 06/15/2051 | 177,000 | 123,711 | |||
Duke Energy Florida LLC 2.400%, 12/15/2031 | 853,000 | 693,037 | |||
Duke Energy Progress LLC 2.500%, 08/15/2050 | 864,000 | 516,615 | |||
Entergy Arkansas LLC | |||||
2.650%, 06/15/2051 | 771,000 | 479,673 | |||
5.150%, 01/15/2033 | 1,284,000 | 1,277,336 | |||
Eversource Energy 1.650%, 08/15/2030 | 972,000 | 749,554 | |||
Exelon Corp. | |||||
5.150%, 03/15/2028 | 898,000 | 890,020 | |||
5.300%, 03/15/2033 | 1,604,000 | 1,583,873 | |||
5.600%, 03/15/2053 | 771,000 | 752,775 | |||
Israel Electric Corp., Ltd. 3.750%, 02/22/2032 (D) | 490,000 | 421,560 | |||
Jersey Central Power & Light Company 2.750%, 03/01/2032 (D) | 940,000 | 767,526 | |||
Metropolitan Edison Company 4.300%, 01/15/2029 (D) | 1,006,000 | 937,887 | |||
MidAmerican Energy Company 2.700%, 08/01/2052 | 742,000 | 480,177 | |||
Mississippi Power Company | |||||
3.100%, 07/30/2051 | 1,026,000 | 672,452 | |||
3.950%, 03/30/2028 | 708,000 | 666,690 | |||
4.250%, 03/15/2042 | 393,000 | 321,307 | |||
NSTAR Electric Company | |||||
3.100%, 06/01/2051 | 529,000 | 369,264 | |||
4.550%, 06/01/2052 | 695,000 | 625,588 | |||
Pacific Gas & Electric Company | |||||
2.100%, 08/01/2027 | 459,000 | 390,898 | |||
3.950%, 12/01/2047 | 1,981,000 | 1,350,883 | |||
4.200%, 06/01/2041 | 498,000 | 373,844 | |||
4.500%, 07/01/2040 | 295,000 | 231,100 | |||
4.750%, 02/15/2044 | 288,000 | 225,531 |
The accompanying notes are an integral part of the financial statements. | 22 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Utilities (continued) | |||||
Pacific Gas & Electric Company (continued) | |||||
4.950%, 07/01/2050 | $ | 2,740,000 | $ | 2,163,220 | |
PECO Energy Company 2.850%, 09/15/2051 | 1,032,000 | 681,038 | |||
Pennsylvania Electric Company 3.250%, 03/15/2028 (D) | 834,000 | 754,209 | |||
Public Service Company of Oklahoma 3.150%, 08/15/2051 | 580,000 | 386,334 | |||
Public Service Electric & Gas Company | |||||
1.900%, 08/15/2031 | 1,148,000 | 913,475 | |||
2.050%, 08/01/2050 | 238,000 | 135,299 | |||
2.700%, 05/01/2050 | 467,000 | 306,795 | |||
Public Service Enterprise Group, Inc. | |||||
1.600%, 08/15/2030 | 659,000 | 509,114 | |||
2.450%, 11/15/2031 | 741,000 | 592,663 | |||
Southern California Edison Company 4.125%, 03/01/2048 | 645,000 | 512,454 | |||
Trans-Allegheny Interstate Line Company 3.850%, 06/01/2025 (D) | 404,000 | 387,538 | |||
Virginia Electric and Power Company | |||||
2.950%, 11/15/2051 | 856,000 | 564,302 | |||
4.625%, 05/15/2052 | 519,000 | 456,263 | |||
Wisconsin Electric Power Company 4.750%, 09/30/2032 | 859,000 | 839,540 | |||
36,669,899 | |||||
TOTAL CORPORATE BONDS (Cost $464,399,574) | $ | 431,394,388 | |||
MUNICIPAL BONDS – 0.2% | |||||
Board of Regents of the University of Texas System 2.439%, 08/15/2049 | 600,000 | 400,521 | |||
County of Clark Department of Aviation (Nevada) 6.820%, 07/01/2045 | 1,115,000 | 1,357,779 | |||
North Texas Tollway Authority 6.718%, 01/01/2049 | 459,000 | 568,571 | |||
Ohio State University 4.800%, 06/01/2111 | 600,000 | 542,557 | |||
Port Authority of New York & New Jersey 4.458%, 10/01/2062 | 1,010,000 | 920,882 | |||
TOTAL MUNICIPAL BONDS (Cost $4,182,688) | $ | 3,790,310 | |||
COLLATERALIZED MORTGAGE OBLIGATIONS – 9.3% | |||||
Commercial and residential – 3.8% | |||||
3650R Commercial Mortgage Trust Series 2021-PF1, Class A5 2.522%, 11/15/2054 | 816,000 | 662,411 | |||
Angel Oak Mortgage Trust LLC | |||||
Series 2020-2, Class A1A, 2.531%, 01/26/2065 (D)(F) | 235,753 | 215,707 | |||
Series 2020-5, Class A1, 1.373%, 05/25/2065 (D)(F) | 232,120 | 210,666 | |||
Series 2021-6, Class A1, 1.458%, 09/25/2066 (D)(F) | 868,014 | 698,440 | |||
BANK | |||||
Series 2022-BNK44, Class A5, 5.746%, 11/15/2055 (F) | 1,373,000 | 1,443,052 | |||
Series 2023-BNK45, Class A5, 5.203%, 02/15/2056 | 682,000 | 686,869 | |||
Barclays Commercial Mortgage Trust Series 2019-C3, Class A3 3.319%, 05/15/2052 | 897,000 | 814,169 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
BBCMS Mortgage Trust Series 2018-C2, Class ASB 4.236%, 12/15/2051 | $ | 375,000 | $ | 362,273 | |
Benchmark Mortgage Trust Series 2019-B13, Class A4 2.952%, 08/15/2057 | 704,000 | 616,094 | |||
Bunker Hill Loan Depositary Trust Series 2019-2, Class A1 2.879%, 07/25/2049 (D) | 747,944 | 694,425 | |||
BX Commercial Mortgage Trust | |||||
Series 2021-VOLT, Class A (1 month LIBOR + 0.700%), 5.288%, 09/15/2036 (A)(D) | 3,519,000 | 3,434,384 | |||
Series 2021-XL2, Class A (1 month LIBOR + 0.689%), 5.277%, 10/15/2038 (A)(D) | 1,619,898 | 1,579,412 | |||
CFCRE Commercial Mortgage Trust Series 2017-C8, Class ASB 3.367%, 06/15/2050 | 446,505 | 426,475 | |||
Citigroup Commercial Mortgage Trust Series 2022-GC48, Class A5 4.580%, 05/15/2054 (F) | 1,054,000 | 1,015,369 | |||
COLT Mortgage Loan Trust | |||||
Series 2021-2, Class A1, 0.924%, 08/25/2066 (D)(F) | 1,142,200 | 903,328 | |||
Series 2021-4, Class A1, 1.397%, 10/25/2066 (D)(F) | 1,233,861 | 992,372 | |||
Commercial Mortgage Trust (Cantor Fitzgerald/Deutsche Bank AG) | |||||
Series 2013-CR10, Class A4, 4.210%, 08/10/2046 (F) | 45,000 | 44,876 | |||
Series 2013-CR11, Class A4, 4.258%, 08/10/2050 | 4,514,000 | 4,469,929 | |||
Series 2013-CR13, Class A4, 4.194%, 11/10/2046 (F) | 612,000 | 602,537 | |||
Series 2014-UBS4, Class A4, 3.420%, 08/10/2047 | 1,279,000 | 1,239,244 | |||
Series 2015-LC19, Class A3, 2.922%, 02/10/2048 | 2,889,169 | 2,765,307 | |||
Series 2015-LC23, Class A3, 3.521%, 10/10/2048 | 649,000 | 618,932 | |||
CSAIL Commercial Mortgage Trust | |||||
Series 2019-C16, Class A2, 3.067%, 06/15/2052 | 615,000 | 543,026 | |||
Series 2021-C20, Class A3, 2.805%, 03/15/2054 | 510,000 | 428,004 | |||
EQUS Mortgage Trust Series 2021-EQAZ, Class A (1 month LIBOR + 0.755%) 5.343%, 10/15/2038 (A)(D) | 1,387,972 | 1,354,052 | |||
FIVE Mortgage Trust Series 2023-V1, Class A3 5.668%, 02/10/2056 | 1,528,000 | 1,555,524 | |||
GS Mortgage Securities Trust | |||||
Series 2013-GC14, Class A5, 4.243%, 08/10/2046 | 718,000 | 713,852 | |||
Series 2014-GC18, Class A4, 4.074%, 01/10/2047 | 1,530,000 | 1,499,611 | |||
Series 2015-GC32, Class A3, 3.498%, 07/10/2048 | 665,361 | 633,666 | |||
Series 2020-GC47, Class A5, 2.377%, 05/12/2053 | 625,000 | 522,384 | |||
Series 2020-GSA2, Class A4, 1.721%, 12/12/2053 | 1,786,000 | 1,417,707 |
The accompanying notes are an integral part of the financial statements. | 23 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust Series 2010-1, Class A1 5.314%, 01/25/2051 (D) | $ | 1,360,792 | $ | 1,322,777 | |
JPMBB Commercial Mortgage Securities Trust | |||||
Series 2013-C12, Class A5, 3.664%, 07/15/2045 | 1,093,284 | 1,087,621 | |||
Series 2013-C17, Class A4, 4.199%, 01/15/2047 | 353,000 | 348,261 | |||
Series 2014-C23, Class A4, 3.670%, 09/15/2047 | 532,099 | 516,064 | |||
Series 2015-C28, Class A3, 2.912%, 10/15/2048 | 2,354,897 | 2,236,817 | |||
Series 2015-C30, Class A5, 3.822%, 07/15/2048 | 981,000 | 934,532 | |||
JPMorgan Chase Commercial Mortgage Securities Trust | |||||
Series 2013-C16, Class A4, 4.166%, 12/15/2046 | 1,578,000 | 1,558,919 | |||
Series 2016-JP4, Class A3, 3.393%, 12/15/2049 | 346,000 | 321,214 | |||
Med Trust Series 2021-MDLN, Class A (1 month LIBOR + 0.950%) 5.538%, 11/15/2038 (A)(D) | 2,229,377 | 2,175,055 | |||
MFA Trust Series 2021-NQM2, Class A1 1.029%, 11/25/2064 (D)(F) | 502,818 | 410,041 | |||
Morgan Stanley Capital I Trust | |||||
Series 2019-L2, Class A3, 3.806%, 03/15/2052 | 907,000 | 837,515 | |||
Series 2020-HR8, Class A3, 1.790%, 07/15/2053 | 982,000 | 784,090 | |||
New Residential Mortgage Loan Trust Series 2019-NQM4, Class A1 2.492%, 09/25/2059 (D)(F) | 390,976 | 357,858 | |||
NewRez Warehouse Securitization Trust Series 2021-1, Class A (1 month LIBOR + 0.750%) 5.367%, 05/25/2055 (A)(D) | 3,312,000 | 3,276,014 | |||
Starwood Mortgage Residential Trust | |||||
Series 2020-1, Class A1, 2.275%, 02/25/2050 (D)(F) | 144,736 | 137,499 | |||
Series 2020-3, Class A1, 1.486%, 04/25/2065 (D)(F) | 589,691 | 551,119 | |||
Series 2020-INV1, Class A1, 1.027%, 11/25/2055 (D)(F) | 549,211 | 481,554 | |||
Series 2021-1, Class A1, 1.219%, 05/25/2065 (D)(F) | 763,838 | 671,202 | |||
Series 2021-4, Class A1, 1.162%, 08/25/2056 (D)(F) | 1,165,518 | 967,278 | |||
Verus Securitization Trust | |||||
Series 2019-INV2, Class A1, 2.913%, 07/25/2059 (D)(F) | 344,532 | 333,273 | |||
Series 2019-INV3, Class A1, 2.692%, 11/25/2059 (D)(F) | 577,409 | 547,457 | |||
Series 2020-1, Class A1 (2.417% to 1-25-24, then 3.417% thereafter), 2.417%, 01/25/2060 (D) | 145,035 | 136,846 | |||
Series 2020-2, Class A1, 2.226%, 05/25/2060 (D)(F) | 325,481 | 312,061 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
Commercial and residential (continued) | |||||
Verus Securitization Trust (continued) | |||||
Series 2020-5, Class A1 (1.218% to 10-1-24, then 2.218% thereafter), 1.218%, 05/25/2065 (D) | $ | 268,525 | $ | 243,319 | |
Series 2021-1, Class A1, 0.815%, 01/25/2066 (D)(F) | 953,343 | 791,413 | |||
Series 2021-3, Class A1, 1.046%, 06/25/2066 (D)(F) | 850,363 | 705,576 | |||
Series 2021-4, Class A1, 0.938%, 07/25/2066 (D)(F) | 1,020,245 | 810,657 | |||
Series 2021-5, Class A1, 1.013%, 09/25/2066 (D)(F) | 3,497,737 | 2,804,281 | |||
Series 2021-7, Class A1, 1.829%, 10/25/2066 (D)(F) | 1,562,146 | 1,310,095 | |||
Series 2021-8, Class A1, 1.824%, 11/25/2066 (D)(F) | 1,104,695 | 941,057 | |||
Series 2021-R1, Class A1, 0.820%, 10/25/2063 (D)(F) | 809,914 | 724,703 | |||
Series 2021-R3, Class A1, 1.020%, 04/25/2064 (D)(F) | 527,045 | 469,328 | |||
Visio Trust Series 2020-1R, Class A1 1.312%, 11/25/2055 (D) | 601,042 | 542,041 | |||
62,811,634 | |||||
U.S. Government Agency – 5.5% | |||||
Federal Home Loan Mortgage Corp. | |||||
Series 264, Class 30, 3.000%, 07/15/2042 | 1,679,254 | 1,515,907 | |||
Series 4205, Class PA, 1.750%, 05/15/2043 | 862,882 | 734,332 | |||
Series 4742, Class PA, 3.000%, 10/15/2047 | 1,177,475 | 1,064,081 | |||
Series 4880, Class DA, 3.000%, 05/15/2050 | 1,750,042 | 1,590,412 | |||
Series 5091, Class AB, 1.500%, 03/25/2051 | 2,531,070 | 2,026,730 | |||
Series 5119, Class AB, 1.500%, 08/25/2049 | 577,610 | 456,156 | |||
Series 5119, Class QF (1 month SOFR + 0.200%), 4.684%, 06/25/2051 (A) | 1,527,148 | 1,468,740 | |||
Series 5143, Class GA, 2.000%, 06/25/2049 | 764,924 | 628,867 | |||
Series 5178, Class TP, 2.500%, 04/25/2049 | 1,537,991 | 1,322,416 | |||
Series 5182, Class M, 2.500%, 05/25/2049 | 956,520 | 844,353 | |||
Series 5201, Class CA, 2.500%, 07/25/2048 | 1,357,218 | 1,207,658 | |||
Series 5202, Class LA, 2.500%, 05/25/2049 | 1,419,279 | 1,229,494 | |||
Series 5203, Class G, 2.500%, 11/25/2048 | 630,752 | 549,640 | |||
Series K144, Class A2, 2.450%, 04/25/2032 | 1,436,000 | 1,225,521 | |||
Series K145, Class A2, 2.580%, 05/25/2032 | 1,436,000 | 1,231,446 | |||
Series K146, Class A2, 2.920%, 06/25/2032 | 2,584,000 | 2,280,441 | |||
Series K147, Class A2, 3.000%, 06/25/2032 (F) | 2,696,000 | 2,394,832 | |||
Series KG07, Class A2, 3.123%, 08/25/2032 (F) | 1,436,000 | 1,285,151 |
The accompanying notes are an integral part of the financial statements. | 24 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal National Mortgage Association | |||||
Series 1998-61, Class PL, 6.000%, 11/25/2028 | $ | 103,612 | $ | 104,657 | |
Series 2012-151, Class NX, 1.500%, 01/25/2043 | 808,776 | 680,714 | |||
Series 2013-11, Class AP, 1.500%, 01/25/2043 | 3,195,955 | 2,818,168 | |||
Series 2013-43, Class BP, 1.750%, 05/25/2043 | 1,084,008 | 924,118 | |||
Series 2014-25, Class EL, 3.000%, 05/25/2044 | 960,308 | 866,147 | |||
Series 2015-84, Class PA, 1.700%, 08/25/2033 | 3,449,722 | 3,094,696 | |||
Series 2016-48, Class MA, 2.000%, 06/25/2038 | 3,257,803 | 2,922,399 | |||
Series 2016-57, Class PC, 1.750%, 06/25/2046 | 6,341,188 | 5,253,168 | |||
Series 2017-13, Class PA, 3.000%, 08/25/2046 | 799,552 | 733,362 | |||
Series 2017-M7, Class A2, 2.961%, 02/25/2027 (F) | 484,675 | 452,728 | |||
Series 2018-14, Class KC, 3.000%, 03/25/2048 | 1,247,080 | 1,156,431 | |||
Series 2018-8, Class KL, 2.500%, 03/25/2047 | 860,516 | 750,970 | |||
Series 2018-85, Class EA, 3.500%, 12/25/2048 | 812,798 | 768,163 | |||
Series 2018-85, Class FE (1 month LIBOR + 0.300%), 4.917%, 12/25/2048 (A) | 2,341,241 | 2,291,012 | |||
Series 2019-15, Class FA (1 month LIBOR + 0.500%), 5.117%, 04/25/2049 (A) | 582,190 | 573,485 | |||
Series 2019-25, Class PA, 3.000%, 05/25/2048 | 2,376,264 | 2,160,163 | |||
Series 2019-8, Class GA, 3.000%, 03/25/2049 | 3,441,122 | 3,094,133 | |||
Series 2020-34, Class F (1 month LIBOR + 0.450%), 5.067%, 06/25/2050 (A) | 790,074 | 771,289 | |||
Series 2020-45, Class JL, 3.000%, 07/25/2040 | 2,337,710 | 2,106,549 | |||
Series 2020-48, Class AB, 2.000%, 07/25/2050 | 1,231,055 | 1,015,416 | |||
Series 2020-48, Class DA, 2.000%, 07/25/2050 | 3,748,766 | 3,118,796 | |||
Series 2021-27, Class EC, 1.500%, 05/25/2051 | 4,423,104 | 3,618,115 | |||
Series 2021-78, Class ND, 1.500%, 11/25/2051 | 1,820,884 | 1,491,144 | |||
Series 2021-78, Class PA, 2.500%, 11/25/2051 | 1,074,541 | 933,687 | |||
Series 2022-11, Class A, 2.500%, 07/25/2047 | 2,868,521 | 2,558,945 | |||
Series 2022-28, Class CA, 2.000%, 01/25/2048 | 1,151,107 | 1,012,572 | |||
Series 2022-M13, Class A2, 2.593%, 06/25/2032 (F) | 1,165,000 | 1,006,408 | |||
Series 414, Class A35, 3.500%, 10/25/2042 | 907,633 | 842,512 | |||
Government National Mortgage Association | |||||
Series 2012-141, Class WA, 4.521%, 11/16/2041 (F) | 277,555 | 271,770 |
Shares or Principal Amount | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||
U.S. Government Agency (continued) | |||||
Government National Mortgage Association (continued) | |||||
Series 2017-167, Class BQ, 2.500%, 08/20/2044 | $ | 810,450 | $ | 737,844 | |
Series 2021-23, Class MG, 1.500%, 02/20/2051 | 3,559,814 | 2,925,513 | |||
Series 2021-27, Class BD, 5.000%, 02/20/2051 | 904,734 | 907,260 | |||
Series 2021-27, Class CW, 5.001%, 02/20/2051 (F) | 1,319,496 | 1,306,137 | |||
Series 2021-27, Class NT, 5.000%, 02/20/2051 | 1,040,680 | 1,014,001 | |||
Series 2021-27, Class Q, 5.000%, 02/20/2051 | 914,588 | 893,379 | |||
Series 2021-8, Class CY, 5.000%, 01/20/2051 | 940,358 | 931,434 | |||
Series 2022-107, Class C, 2.500%, 06/20/2051 | 3,939,394 | 3,388,857 | |||
Series 2022-197, Class LF (1 month SOFR + 0.700%), 5.126%, 11/20/2052 (A) | 3,991,776 | 4,010,641 | |||
Series 2022-205, Class A, 2.000%, 09/20/2051 | 1,585,283 | 1,284,771 | |||
Series 2022-31, Class GH, 2.500%, 12/20/2049 | 3,041,796 | 2,698,975 | |||
Series 2022-84, Class A, 2.500%, 01/20/2052 | 1,164,308 | 994,256 | |||
91,540,962 | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $169,297,241) | $ | 154,352,596 | |||
ASSET BACKED SECURITIES – 10.8% | |||||
Ally Auto Receivables Trust | |||||
Series 2022-1, Class A3 3.310%, 11/15/2026 | 1,404,000 | 1,364,963 | |||
Series 2022-3, Class A4 5.070%, 06/15/2031 | 666,000 | 667,037 | |||
American Express Credit Account Master Trust | |||||
Series 2022-3, Class A 3.750%, 08/15/2027 | 1,149,000 | 1,115,373 | |||
Series 2022-4, Class A 4.950%, 10/15/2027 | 1,591,000 | 1,590,871 | |||
AmeriCredit Automobile Receivables Trust | |||||
Series 2022-1, Class A3 2.450%, 11/18/2026 | 459,000 | 441,919 | |||
Series 2022-2, Class A3 4.380%, 04/18/2028 | 1,232,000 | 1,213,168 | |||
Avis Budget Rental Car Funding AESOP LLC | |||||
Series 2019-3A, Class A 2.360%, 03/20/2026 (D) | 1,054,000 | 991,501 | |||
Series 2020-1A, Class A 2.330%, 08/20/2026 (D) | 869,000 | 806,873 | |||
Series 2021-2A, Class A 1.660%, 02/20/2028 (D) | 2,483,000 | 2,156,731 | |||
Series 2022-4A, Class A 4.770%, 02/20/2029 (D) | 1,104,000 | 1,071,034 | |||
Series 2023-1A, Class A 5.250%, 04/20/2029 (D) | 3,069,000 | 3,035,855 | |||
Series 2023-2A, Class A 5.200%, 10/20/2027 (D) | 1,535,000 | 1,513,516 |
The accompanying notes are an integral part of the financial statements. | 25 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
BA Credit Card Trust Series 2022-A1, Class A1 3.530%, 11/15/2027 | $ | 2,085,000 | $ | 2,016,460 | |
BMW Vehicle Lease Trust | |||||
Series 2023-1, Class A3 5.160%, 11/25/2025 | 1,145,000 | 1,143,577 | |||
Series 2023-1, Class A4 5.070%, 06/25/2026 | 960,000 | 955,427 | |||
Capital One Multi-Asset Execution Trust | |||||
Series 2021-A2, Class A2 1.390%, 07/15/2030 | 856,000 | 723,154 | |||
Series 2022-A2, Class A 3.490%, 05/15/2027 | 1,749,000 | 1,691,424 | |||
Series 2022-A3, Class A 4.950%, 10/15/2027 | 1,526,000 | 1,525,054 | |||
Capital One Prime Auto Receivables Trust | |||||
Series 2023-1, Class A3 4.870%, 02/15/2028 | 3,984,000 | 3,959,478 | |||
Series 2023-1, Class A4 4.760%, 08/15/2028 | 1,328,000 | 1,316,857 | |||
Chase Auto Owner Trust Series 2022-AA, Class A4 3.990%, 03/27/2028 (D) | 814,000 | 790,541 | |||
College Ave Student Loans LLC | |||||
Series 2017-A, Class A1 (1 month LIBOR + 1.650%) 6.267%, 11/26/2046 (A)(D) | 482,511 | 473,895 | |||
Series 2018-A, Class A2 4.130%, 12/26/2047 (D) | 621,946 | 579,666 | |||
Series 2019-A, Class A2 3.280%, 12/28/2048 (D) | 689,993 | 624,385 | |||
Series 2021-A, Class A2 1.600%, 07/25/2051 (D) | 851,952 | 735,615 | |||
Discover Card Execution Note Trust Series 2022-A3, Class A3 3.560%, 07/15/2027 | 5,317,000 | 5,141,957 | |||
Enterprise Fleet Financing LLC | |||||
Series 2023-1, Class A2 5.680%, 01/22/2029 (D) | 1,916,000 | 1,917,198 | |||
Series 2023-1, Class A3 5.590%, 10/22/2029 (D) | 1,181,000 | 1,182,107 | |||
Ford Credit Auto Lease Trust | |||||
Series 2022-A, Class A4 3.370%, 07/15/2025 | 438,000 | 426,746 | |||
Series 2023-A, Class A3 4.940%, 03/15/2026 | 2,042,000 | 2,031,336 | |||
Series 2023-A, Class A4 4.830%, 05/15/2026 | 1,021,000 | 1,012,898 | |||
Ford Credit Auto Owner Trust | |||||
Series 2022-1, Class A 3.880%, 11/15/2034 (D) | 3,760,000 | 3,583,166 | |||
Series 2022-A, Class A3 1.290%, 06/15/2026 | 747,000 | 711,322 | |||
Series 2022-C, Class A4 4.590%, 12/15/2027 | 2,083,000 | 2,061,136 | |||
Series 2022-D, Class A4 5.300%, 03/15/2028 | 603,000 | 605,747 | |||
Series 2023-1, Class A 4.850%, 08/15/2035 (D) | 4,967,000 | 4,912,924 | |||
GM Financial Automobile Leasing Trust | |||||
Series 2022-2, Class A3 3.420%, 06/20/2025 | 692,000 | 676,500 | |||
Series 2023-1, Class A3 5.160%, 04/20/2026 | 1,019,000 | 1,018,345 | |||
Series 2023-1, Class A4 5.160%, 01/20/2027 | 1,433,000 | 1,426,503 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
GM Financial Consumer Automobile Receivables Trust | |||||
Series 2022-2, Class A3 3.100%, 02/16/2027 | $ | 3,183,000 | $ | 3,076,385 | |
Series 2022-2, Class A4 3.250%, 04/17/2028 | 1,698,000 | 1,619,648 | |||
Series 2022-4, Class A3 4.820%, 08/16/2027 | 1,750,000 | 1,736,567 | |||
GM Financial Revolving Receivables Trust Series 2022-1, Class A 5.910%, 10/11/2035 (D) | 1,576,000 | 1,628,550 | |||
Hertz Vehicle Financing III LLC Series 2023-2A, Class A 5.570%, 09/25/2029 (D) | 3,193,000 | 3,188,385 | |||
Hertz Vehicle Financing LLC | |||||
Series 2021-2A, Class A 1.680%, 12/27/2027 (D) | 1,441,000 | 1,254,675 | |||
Series 2022-1A, Class A 1.990%, 06/25/2026 (D) | 2,942,000 | 2,720,913 | |||
Series 2022-2A, Class A 2.330%, 06/26/2028 (D) | 1,628,000 | 1,435,868 | |||
Series 2022-4A, Class A 3.730%, 09/25/2026 (D) | 1,680,000 | 1,605,117 | |||
Honda Auto Receivables Owner Trust | |||||
Series 2022-2, Class A4 3.760%, 12/18/2028 | 778,000 | 749,908 | |||
Series 2023-1, Class A3 5.040%, 04/21/2027 | 3,462,000 | 3,455,437 | |||
Series 2023-1, Class A4 4.970%, 06/21/2029 | 1,664,000 | 1,663,062 | |||
Hyundai Auto Lease Securitization Trust | |||||
Series 2022-C, Class A4 4.480%, 08/17/2026 (D) | 1,705,000 | 1,674,687 | |||
Series 2023-A, Class A4 4.940%, 11/16/2026 (D) | 837,000 | 829,535 | |||
Hyundai Auto Receivables Trust | |||||
Series 2021-C, Class A4 1.030%, 12/15/2027 | 963,000 | 874,976 | |||
Series 2022-A, Class A3 2.220%, 10/15/2026 | 1,779,000 | 1,699,186 | |||
Series 2022-A, Class A4 2.350%, 04/17/2028 | 606,000 | 564,848 | |||
Series 2022-C, Class A4 5.520%, 10/16/2028 | 1,388,000 | 1,402,694 | |||
Mercedes-Benz Auto Receivables Trust | |||||
Series 2022-1, Class A4 5.250%, 02/15/2029 | 1,392,000 | 1,400,901 | |||
Series 2023-1, Class A3 4.510%, 11/15/2027 | 1,397,000 | 1,380,211 | |||
Series 2023-1, Class A4 4.310%, 04/16/2029 | 1,131,000 | 1,102,079 | |||
Navient Private Education Loan Trust | |||||
Series 2014-AA, Class A3 (1 month LIBOR + 1.600%) 6.188%, 10/15/2031 (A)(D) | 700,157 | 700,653 | |||
Series 2016-AA, Class A2B (1 month LIBOR + 2.150%) 6.738%, 12/15/2045 (A)(D) | 182,691 | 183,998 | |||
Series 2020-IA, Class A1A 1.330%, 04/15/2069 (D) | 2,316,941 | 2,026,159 | |||
Navient Private Education Refi Loan Trust | |||||
Series 2018-A, Class A2 3.190%, 02/18/2042 (D) | 158,267 | 157,233 | |||
Series 2018-DA, Class A2A 4.000%, 12/15/2059 (D) | 754,581 | 721,428 | |||
Series 2019-CA, Class A2 3.130%, 02/15/2068 (D) | 1,402,712 | 1,320,697 |
The accompanying notes are an integral part of the financial statements. | 26 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Navient Private Education Refi Loan Trust (continued) | |||||
Series 2019-D, Class A2A 3.010%, 12/15/2059 (D) | $ | 2,021,983 | $ | 1,858,335 | |
Series 2019-FA, Class A2 2.600%, 08/15/2068 (D) | 1,062,846 | 977,482 | |||
Series 2020-BA, Class A2 2.120%, 01/15/2069 (D) | 502,738 | 454,175 | |||
Series 2020-EA, Class A 1.690%, 05/15/2069 (D) | 143,321 | 128,262 | |||
Series 2020-GA, Class A 1.170%, 09/16/2069 (D) | 51,341 | 45,606 | |||
Series 2020-HA, Class A 1.310%, 01/15/2069 (D) | 711,607 | 646,182 | |||
Series 2021-A, Class A 0.840%, 05/15/2069 (D) | 527,394 | 457,496 | |||
Series 2021-BA, Class A 0.940%, 07/15/2069 (D) | 440,016 | 379,613 | |||
Series 2021-CA, Class A 1.060%, 10/15/2069 (D) | 116,689 | 101,170 | |||
Series 2021-EA, Class A 0.970%, 12/16/2069 (D) | 2,959,900 | 2,490,997 | |||
Series 2021-FA, Class A 1.110%, 02/18/2070 (D) | 1,571,723 | 1,333,901 | |||
Series 2021-GA, Class A 1.580%, 04/15/2070 (D) | 460,403 | 399,075 | |||
Series 2022-A, Class A 2.230%, 07/15/2070 (D) | 3,900,453 | 3,422,330 | |||
Navient Student Loan Trust | |||||
Series 2019-BA, Class A2A 3.390%, 12/15/2059 (D) | 1,228,956 | 1,160,849 | |||
Series 2021-3A, Class A1A 1.770%, 08/25/2070 (D) | 1,709,285 | 1,468,591 | |||
Nelnet Student Loan Trust | |||||
Series 2004-3, Class A5 (3 month LIBOR + 0.180%) 4.998%, 10/27/2036 (A) | 151,390 | 147,834 | |||
Series 2004-4, Class A5 (3 month LIBOR + 0.160%) 4.978%, 01/25/2037 (A) | 1,373,575 | 1,351,793 | |||
Series 2005-1, Class A5 (3 month LIBOR + 0.110%) 4.928%, 10/25/2033 (A) | 2,740,838 | 2,678,841 | |||
Series 2005-2, Class A5 (3 month LIBOR + 0.100%) 4.853%, 03/23/2037 (A) | 3,127,880 | 3,058,976 | |||
Series 2005-3, Class A5 (3 month LIBOR + 0.120%) 4.873%, 12/24/2035 (A) | 2,274,304 | 2,228,495 | |||
Series 2005-4, Class A4 (3 month LIBOR + 0.180%) 4.933%, 03/22/2032 (A) | 367,397 | 357,971 | |||
Nissan Auto Lease Trust Series 2023-A, Class A4 4.800%, 07/15/2027 | 1,022,000 | 1,011,663 | |||
Nissan Auto Receivables Owner Trust Series 2022-B, Class A4 4.450%, 11/15/2029 | 820,000 | 804,917 | |||
PenFed Auto Receivables Owner Trust | |||||
Series 2022-A, Class A3 3.960%, 04/15/2026 (D) | 1,216,000 | 1,195,144 | |||
Series 2022-A, Class A4 4.180%, 12/15/2028 (D) | 598,000 | 585,403 | |||
Santander Drive Auto Receivables Trust | |||||
Series 2022-2, Class A3 2.980%, 10/15/2026 | 3,333,000 | 3,286,357 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Santander Drive Auto Receivables Trust (continued) | |||||
Series 2022-3, Class A3 3.400%, 12/15/2026 | $ | 1,251,000 | $ | 1,232,055 | |
Series 2022-4, Class A3 4.140%, 02/16/2027 | 1,697,000 | 1,674,132 | |||
Series 2022-5, Class A3 4.110%, 08/17/2026 | 1,434,000 | 1,416,388 | |||
Series 2022-6, Class A3 4.490%, 11/16/2026 | 3,031,000 | 2,995,639 | |||
Series 2022-7, Class A3 5.750%, 04/15/2027 | 1,010,000 | 1,017,534 | |||
SMB Private Education Loan Trust | |||||
Series 2016-B, Class A2A 2.430%, 02/17/2032 (D) | 113,131 | 108,435 | |||
Series 2016-B, Class A2B (1 month LIBOR + 1.450%) 6.038%, 02/17/2032 (A)(D) | 77,083 | 76,657 | |||
Series 2018-C, Class A2A 3.630%, 11/15/2035 (D) | 589,293 | 562,482 | |||
Series 2019-A, Class A2A 3.440%, 07/15/2036 (D) | 3,485,992 | 3,320,509 | |||
Series 2020-B, Class A1A 1.290%, 07/15/2053 (D) | 956,105 | 849,210 | |||
Series 2020-PTA, Class A2A 1.600%, 09/15/2054 (D) | 1,377,562 | 1,223,516 | |||
Series 2020-PTB, Class A2A 1.600%, 09/15/2054 (D) | 4,124,756 | 3,669,846 | |||
Series 2021-A, Class APT1 1.070%, 01/15/2053 (D) | 3,260,891 | 2,804,587 | |||
Series 2021-B, Class A 1.310%, 07/17/2051 (D) | 856,601 | 761,685 | |||
Series 2021-D, Class A1A 1.340%, 03/17/2053 (D) | 2,589,853 | 2,301,360 | |||
Series 2021-E, Class A1A 1.680%, 02/15/2051 (D) | 1,911,954 | 1,729,095 | |||
Series 2022-D, Class A1B (1 month SOFR + 1.800%) 6.201%, 10/15/2058 (A)(D) | 1,430,110 | 1,431,087 | |||
SoFi Professional Loan Program LLC | |||||
Series 2017-D, Class A2FX 2.650%, 09/25/2040 (D) | 233,737 | 223,179 | |||
Series 2017-E, Class A2B 2.720%, 11/26/2040 (D) | 141,027 | 140,312 | |||
Series 2020-C, Class AFX 1.950%, 02/15/2046 (D) | 161,892 | 146,441 | |||
Series 2021-A, Class AFX 1.030%, 08/17/2043 (D) | 548,462 | 455,704 | |||
Series 2021-B, Class AFX 1.140%, 02/15/2047 (D) | 1,253,123 | 1,030,672 | |||
Synchrony Card Funding LLC | |||||
Series 2022-A1, Class A 3.370%, 04/15/2028 | 1,600,000 | 1,543,360 | |||
Series 2022-A2, Class A 3.860%, 07/15/2028 | 902,000 | 877,398 | |||
T-Mobile US Trust Series 2022-1A, Class A 4.910%, 05/22/2028 (D) | 2,340,000 | 2,327,270 | |||
Toyota Auto Loan Extended Note Trust Series 2022-1A, Class A 3.820%, 04/25/2035 (D) | 1,489,000 | 1,418,806 | |||
Toyota Auto Receivables Owner Trust | |||||
Series 2022-B, Class A4 3.110%, 08/16/2027 | 1,267,000 | 1,203,447 | |||
Series 2022-C, Class A4 3.770%, 02/15/2028 | 1,299,000 | 1,254,239 |
The accompanying notes are an integral part of the financial statements. | 27 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Toyota Auto Receivables Owner Trust (continued) | |||||
Series 2022-D, Class A4 5.430%, 04/17/2028 | $ | 757,000 | $ | 767,300 | |
Series 2023-A, Class A4 4.420%, 08/15/2028 | 1,064,000 | 1,041,419 | |||
Triton Container Finance VIII LLC Series 2020-1A, Class A 2.110%, 09/20/2045 (D) | 523,630 | 451,316 | |||
Verizon Master Trust | |||||
Series 2022-2, Class A 1.530%, 07/20/2028 | 1,023,000 | 955,256 | |||
Series 2022-4, Class A (3.400% to 6-20-25, then 4.150% thereafter) 3.400%, 11/20/2028 | 2,260,000 | 2,179,551 | |||
Series 2022-6, Class A (3.670% to 7-20-25, then 4.420% thereafter) 3.670%, 01/22/2029 | 2,106,000 | 2,038,520 | |||
Series 2023-1, Class A (4.490% to 1-20-26, then 5.240% thereafter) 4.490%, 01/22/2029 | 2,468,000 | 2,433,821 | |||
TOTAL ASSET BACKED SECURITIES (Cost $187,611,659) | $ | 179,079,745 | |||
SHORT-TERM INVESTMENTS – 3.6% | |||||
Short-term funds – 3.6% | |||||
John Hancock Collateral Trust, 4.5832% (G)(H) | 116,498 | 1,164,452 | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.4192% (G) | 58,369,045 | 58,369,045 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $59,533,626) | $ | 59,533,497 | |||
Total Investments (Core Bond Fund) (Cost $1,898,855,567) – 107.3% | $ | 1,781,529,185 | |||
Other assets and liabilities, net – (7.3%) | (121,312,252) | ||||
TOTAL NET ASSETS – 100.0% | $ | 1,660,216,933 | |||
SALE COMMITMENTS OUTSTANDING - (0.6)% | |||||
U.S. Government Agency – (0.6%) | |||||
Federal National Mortgage Association 3.500%, TBA (C) | $ | (11,400,000) | $ | (10,379,351) | |
TOTAL SALE COMMITMENTS OUTSTANDING (Proceeds received $10,541,422) | $ | (10,379,351) |
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) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
(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) | Security purchased or sold on a when-issued or delayed delivery basis. |
(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 $169,963,172 or 10.2% of the fund's net assets as of 2-28-23. |
(E) | All or a portion of this security is on loan as of 2-28-23. |
(F) | 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. |
(G) | The rate shown is the annualized seven-day yield as of 2-28-23. |
(H) | 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 – 98.4% | |||||
Consumer discretionary – 0.1% | |||||
Specialty retail – 0.1% | |||||
Warby Parker, Inc., Class A (A) | 31,063 | $ | 404,130 | ||
Health care – 98.2% | |||||
Biotechnology – 29.7% | |||||
2seventy bio, Inc. (A) | 16,524 | 222,909 | |||
Aadi Bioscience, Inc. (A) | 4,411 | 47,506 | |||
AbbVie, Inc. | 32,680 | 5,029,452 | |||
ACADIA Pharmaceuticals, Inc. (A) | 27,495 | 568,872 | |||
ADC Therapeutics SA (A) | 30,034 | 108,122 | |||
Agios Pharmaceuticals, Inc. (A) | 9,345 | 236,522 | |||
Akero Therapeutics, Inc. (A) | 14,039 | 638,915 | |||
Alector, Inc. (A) | 15,178 | 129,620 | |||
Allakos, Inc. (A) | 21,130 | 125,724 | |||
Allogene Therapeutics, Inc. (A) | 46,738 | 296,786 | |||
Alnylam Pharmaceuticals, Inc. (A) | 31,770 | 6,082,367 | |||
Apellis Pharmaceuticals, Inc. (A) | 25,535 | 1,672,032 | |||
Arcus Biosciences, Inc. (A) | 10,575 | 192,571 | |||
Ardelyx, Inc. (A) | 59,604 | 171,660 | |||
Argenx SE, ADR (A) | 13,859 | 5,072,671 | |||
Ascendis Pharma A/S, ADR (A) | 17,275 | 1,919,080 | |||
Aura Biosciences, Inc. (A) | 11,763 | 117,512 | |||
Avidity Biosciences, Inc. (A) | 36,946 | 875,620 | |||
BeiGene, Ltd., ADR (A) | 6,906 | 1,551,295 | |||
Bicycle Therapeutics PLC, ADR (A) | 7,776 | 176,748 | |||
Biogen, Inc. (A) | 8,944 | 2,413,628 | |||
Biohaven, Ltd. (A) | 20,237 | 309,221 | |||
BioMarin Pharmaceutical, Inc. (A) | 18,104 | 1,802,977 | |||
BioNTech SE, ADR | 6,074 | 789,924 | |||
Blueprint Medicines Corp. (A) | 26,946 | 1,141,702 | |||
C4 Therapeutics, Inc. (A) | 15,753 | 83,018 | |||
Celldex Therapeutics, Inc. (A) | 14,043 | 600,900 | |||
Centessa Pharmaceuticals PLC, ADR (A) | 34,369 | 120,979 | |||
Cerevel Therapeutics Holdings, Inc. (A) | 35,004 | 934,257 | |||
CRISPR Therapeutics AG (A) | 7,107 | 350,517 | |||
CureVac NV (A) | 35,420 | 306,029 | |||
Cytokinetics, Inc. (A) | 10,328 | 447,822 | |||
Day One Biopharmaceuticals, Inc. (A) | 14,310 | 263,590 | |||
Deciphera Pharmaceuticals, Inc. (A) | 14,003 | 203,044 | |||
Denali Therapeutics, Inc. (A) | 22,086 | 599,635 | |||
Dyne Therapeutics, Inc. (A) | 4,600 | 59,248 | |||
Enanta Pharmaceuticals, Inc. (A) | 3,435 | 166,598 | |||
Entrada Therapeutics, Inc. (A) | 15,167 | 193,379 | |||
Exact Sciences Corp. (A) | 23,743 | 1,479,901 | |||
Exelixis, Inc. (A) | 44,567 | 761,204 | |||
Exscientia PLC, ADR (A) | 8,984 | 58,486 | |||
Fate Therapeutics, Inc. (A) | 22,456 | 137,431 | |||
FibroGen, Inc. (A) | 12,925 | 286,935 | |||
F-star Therapeutics, Inc. (A) | 1,835 | 9,817 | |||
Galapagos NV, ADR (A) | 3,633 | 136,183 | |||
Generation Bio Company (A) | 45,593 | 180,548 | |||
Genmab A/S (A) | 4,936 | 1,857,165 | |||
Gossamer Bio, Inc. (A) | 15,631 | 27,042 |
The accompanying notes are an integral part of the financial statements. | 28 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Biotechnology (continued) | |||||
IGM Biosciences, Inc. (A) | 11,067 | $ | 232,628 | ||
Immatics NV (A) | 18,386 | 155,729 | |||
Immuneering Corp., Class A (A) | 37,514 | 183,443 | |||
Immunocore Holdings PLC, ADR (A) | 21,647 | 1,187,338 | |||
Immunovant, Inc. (A) | 11,104 | 193,987 | |||
Incyte Corp. (A) | 18,705 | 1,439,911 | |||
Insmed, Inc. (A) | 51,103 | 1,041,479 | |||
Intellia Therapeutics, Inc. (A) | 8,896 | 357,352 | |||
Ionis Pharmaceuticals, Inc. (A) | 22,709 | 815,253 | |||
Iovance Biotherapeutics, Inc. (A) | 39,305 | 286,533 | |||
IVERIC bio, Inc. (A) | 54,190 | 1,126,068 | |||
Karuna Therapeutics, Inc. (A) | 12,305 | 2,453,863 | |||
Keros Therapeutics, Inc. (A) | 5,007 | 266,473 | |||
Kodiak Sciences, Inc. (A) | 17,745 | 115,343 | |||
Kronos Bio, Inc. (A) | 2,694 | 4,688 | |||
Kymera Therapeutics, Inc. (A) | 19,426 | 609,588 | |||
Legend Biotech Corp., ADR (A) | 15,067 | 695,794 | |||
LianBio, ADR (A) | 47,800 | 88,430 | |||
Lyell Immunopharma, Inc. (A) | 45,207 | 97,195 | |||
MeiraGTx Holdings PLC (A) | 12,164 | 93,906 | |||
Mirati Therapeutics, Inc. (A) | 15,322 | 702,360 | |||
Moderna, Inc. (A) | 12,363 | 1,716,108 | |||
Monte Rosa Therapeutics, Inc. (A) | 35,064 | 213,189 | |||
MoonLake Immunotherapeutics (A) | 17,736 | 340,354 | |||
Morphic Holding, Inc. (A) | 6,757 | 287,308 | |||
Neurocrine Biosciences, Inc. (A) | 7,567 | 780,158 | |||
Nuvalent, Inc., Class A (A) | 5,692 | 172,411 | |||
Prelude Therapeutics, Inc. (A) | 5,546 | 31,390 | |||
Prime Medicine, Inc. (A) | 14,441 | 237,266 | |||
Progenics Pharmaceuticals, Inc. (A)(B) | 33,200 | 38,210 | |||
Prometheus Biosciences, Inc. (A) | 8,566 | 1,048,393 | |||
Protagonist Therapeutics, Inc. (A) | 9,483 | 153,814 | |||
Prothena Corp. PLC (A) | 14,058 | 783,874 | |||
PTC Therapeutics, Inc. (A) | 7,083 | 309,315 | |||
RAPT Therapeutics, Inc. (A) | 18,326 | 539,701 | |||
Regeneron Pharmaceuticals, Inc. (A) | 14,260 | 10,843,589 | |||
REGENXBIO, Inc. (A) | 5,547 | 123,421 | |||
Relay Therapeutics, Inc. (A) | 41,209 | 665,525 | |||
Replimune Group, Inc. (A) | 31,946 | 699,617 | |||
REVOLUTION Medicines, Inc. (A) | 31,521 | 843,502 | |||
Rocket Pharmaceuticals, Inc. (A) | 14,022 | 269,363 | |||
Sage Therapeutics, Inc. (A) | 12,334 | 513,588 | |||
Sana Biotechnology, Inc. (A) | 51,869 | 190,359 | |||
Sarepta Therapeutics, Inc. (A) | 11,476 | 1,401,564 | |||
Scholar Rock Holding Corp. (A) | 43,766 | 375,512 | |||
Seagen, Inc. (A) | 16,659 | 2,993,456 | |||
Senti Biosciences, Inc. (A) | 26,772 | 40,158 | |||
SpringWorks Therapeutics, Inc. (A) | 3,743 | 119,402 | |||
Stoke Therapeutics, Inc. (A) | 11,180 | 99,390 | |||
Tenaya Therapeutics, Inc. (A) | 33,831 | 103,861 | |||
Twist Bioscience Corp. (A) | 8,301 | 161,537 | |||
Ultragenyx Pharmaceutical, Inc. (A) | 28,464 | 1,266,363 | |||
Vertex Pharmaceuticals, Inc. (A) | 24,591 | 7,138,521 | |||
Voyager Therapeutics, Inc. (A) | 18,592 | 133,491 | |||
Xencor, Inc. (A) | 18,574 | 596,783 | |||
Zai Lab, Ltd., ADR (A) | 14,388 | 534,514 | |||
Zentalis Pharmaceuticals, Inc. (A) | 15,693 | 297,068 | |||
89,166,600 | |||||
Health care equipment and supplies – 15.2% | |||||
Becton, Dickinson and Company | 23,430 | 5,495,507 | |||
DexCom, Inc. (A) | 23,008 | 2,554,118 | |||
GE HealthCare Technologies, Inc. (A) | 13,507 | 1,026,532 | |||
Hologic, Inc. (A) | 37,299 | 2,970,492 | |||
Inari Medical, Inc. (A) | 9,166 | 515,679 | |||
Insulet Corp. (A) | 8,605 | 2,378,078 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care equipment and supplies (continued) | |||||
Intuitive Surgical, Inc. (A) | 33,921 | $ | 7,781,138 | ||
iRhythm Technologies, Inc. (A) | 4,701 | 553,214 | |||
Lantheus Holdings, Inc. (A) | 4,549 | 336,444 | |||
Nevro Corp. (A) | 5,273 | 165,783 | |||
Novocure, Ltd. (A) | 28,959 | 2,228,974 | |||
Orchestra Biomed Holdings, Inc. (A) | 19,166 | 179,202 | |||
Paragon 28, Inc. (A) | 10,136 | 178,495 | |||
Penumbra, Inc. (A) | 13,358 | 3,472,946 | |||
PROCEPT BioRobotics Corp. (A) | 15,266 | 571,712 | |||
QuidelOrtho Corp. (A) | 8,168 | 710,126 | |||
Shockwave Medical, Inc. (A) | 11,330 | 2,155,419 | |||
STERIS PLC | 4,487 | 843,691 | |||
Stryker Corp. | 28,931 | 7,605,381 | |||
Teleflex, Inc. | 6,209 | 1,479,170 | |||
The Cooper Companies, Inc. | 2,509 | 820,368 | |||
Zimmer Biomet Holdings, Inc. | 12,032 | 1,490,404 | |||
45,512,873 | |||||
Health care providers and services – 19.6% | |||||
agilon health, Inc. (A) | 22,905 | 485,815 | |||
Alignment Healthcare, Inc. (A) | 31,904 | 317,126 | |||
AmerisourceBergen Corp. | 4,766 | 741,399 | |||
Centene Corp. (A) | 44,484 | 3,042,706 | |||
Elevance Health, Inc. | 20,794 | 9,766,318 | |||
GeneDx Holdings Corp. (A) | 32,652 | 16,326 | |||
Guardant Health, Inc. (A) | 23,074 | 712,756 | |||
HCA Healthcare, Inc. | 12,766 | 3,107,883 | |||
Humana, Inc. | 12,813 | 6,342,691 | |||
McKesson Corp. | 2,492 | 871,727 | |||
Molina Healthcare, Inc. (A) | 15,284 | 4,208,144 | |||
Option Care Health, Inc. (A) | 14,779 | 453,272 | |||
Surgery Partners, Inc. (A) | 15,276 | 510,982 | |||
The Cigna Group | 14,077 | 4,111,892 | |||
UnitedHealth Group, Inc. | 50,560 | 24,063,524 | |||
58,752,561 | |||||
Health care technology – 1.0% | |||||
Certara, Inc. (A) | 11,909 | 215,791 | |||
Doximity, Inc., Class A (A) | 26,843 | 902,730 | |||
Schrodinger, Inc. (A) | 4,300 | 93,439 | |||
Sophia Genetics SA (A) | 31,768 | 82,597 | |||
Veeva Systems, Inc., Class A (A) | 11,112 | 1,840,814 | |||
3,135,371 | |||||
Life sciences tools and services – 16.1% | |||||
10X Genomics, Inc., Class A (A) | 26,056 | 1,238,181 | |||
Adaptive Biotechnologies Corp. (A) | 23,474 | 200,703 | |||
Agilent Technologies, Inc. | 42,616 | 6,050,194 | |||
Avantor, Inc. (A) | 83,298 | 2,029,972 | |||
Bio-Techne Corp. | 7,676 | 557,585 | |||
Bruker Corp. | 36,440 | 2,511,445 | |||
Charles River Laboratories International, Inc. (A) | 7,715 | 1,692,208 | |||
Danaher Corp. | 36,777 | 9,103,411 | |||
Evotec SE (A) | 13,450 | 241,172 | |||
Illumina, Inc. (A) | 6,354 | 1,265,717 | |||
IQVIA Holdings, Inc. (A) | 4,137 | 862,440 | |||
Mettler-Toledo International, Inc. (A) | 997 | 1,429,409 | |||
Olink Holding AB, ADR (A) | 43,234 | 1,013,405 | |||
Pacific Biosciences of California, Inc. (A) | 60,892 | 552,899 | |||
Rapid Micro Biosystems, Inc., Class A (A) | 18,669 | 19,976 | |||
Repligen Corp. (A) | 4,395 | 766,356 | |||
Seer, Inc. (A) | 31,895 | 130,451 | |||
Thermo Fisher Scientific, Inc. | 29,328 | 15,888,737 | |||
West Pharmaceutical Services, Inc. | 7,320 | 2,320,660 |
The accompanying notes are an integral part of the financial statements. | 29 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Life sciences tools and services (continued) | |||||
WuXi Biologics Cayman, Inc. (A)(C) | 68,000 | $ | 476,010 | ||
48,350,931 | |||||
Pharmaceuticals – 16.6% | |||||
Amylyx Pharmaceuticals, Inc. (A) | 800 | 27,856 | |||
Arvinas, Inc. (A) | 11,764 | 360,567 | |||
AstraZeneca PLC, ADR | 155,872 | 10,159,737 | |||
Axsome Therapeutics, Inc. (A) | 2,013 | 137,266 | |||
Catalent, Inc. (A) | 19,222 | 1,311,325 | |||
Daiichi Sankyo Company, Ltd. | 71,100 | 2,239,390 | |||
DICE Therapeutics, Inc. (A) | 16,049 | 478,902 | |||
Eisai Company, Ltd. | 8,100 | 437,503 | |||
Eli Lilly & Company | 31,501 | 9,803,741 | |||
Johnson & Johnson | 3,900 | 597,714 | |||
Longboard Pharmaceuticals, Inc. (A) | 9,431 | 49,041 | |||
Merck & Company, Inc. | 100,731 | 10,701,661 | |||
Novo Nordisk A/S, ADR | 4,548 | 641,223 | |||
Nuvation Bio, Inc. (A) | 11,900 | 23,086 | |||
Pfizer, Inc. | 144,881 | 5,877,822 | |||
Pliant Therapeutics, Inc. (A) | 13,397 | 426,828 | |||
Reata Pharmaceuticals, Inc., Class A (A) | 1,692 | 52,740 | |||
Relmada Therapeutics, Inc. (A) | 2,900 | 10,440 | |||
Roche Holding AG | 7,399 | 2,133,419 | |||
Royalty Pharma PLC, Class A | 34,291 | 1,229,332 | |||
Structure Therapeutics, Inc. (A) | 7,815 | 199,751 | |||
Theseus Pharmaceuticals, Inc. (A) | 25,222 | 234,060 | |||
Third Harmonic Bio, Inc. (A) | 7,369 | 31,245 | |||
Ventyx Biosciences, Inc. (A) | 16,363 | 707,700 | |||
Viatris, Inc. | 38,121 | 434,579 | |||
Zoetis, Inc. | 8,268 | 1,380,756 | |||
49,687,684 | |||||
294,606,020 | |||||
Materials – 0.1% | |||||
Chemicals – 0.1% | |||||
Ginkgo Bioworks Holdings, Inc. (A) | 91,101 | 133,918 | |||
TOTAL COMMON STOCKS (Cost $215,770,476) | $ | 295,144,068 | |||
PREFERRED SECURITIES – 0.7% | |||||
Health care – 0.7% | |||||
Life sciences tools and services – 0.7% | |||||
Sartorius AG | 4,817 | 2,046,107 | |||
TOTAL PREFERRED SECURITIES (Cost $892,110) | $ | 2,046,107 | |||
WARRANTS – 0.0% | |||||
EQRx, Inc. (Expiration Date: 12-20-26; Strike Price: $11.50) (A) | 6,524 | 1,621 | |||
GeneDx Holdings Corp. (Expiration Date: 7-22-26; Strike Price: $11.50) (A) | 7,150 | 187 | |||
SomaLogic, Inc. (Expiration Date: 8-31-26; Strike Price: $11.50) (A) | 2,900 | 1,015 | |||
TOTAL WARRANTS (Cost $42,435) | $ | 2,823 | |||
SHORT-TERM INVESTMENTS – 0.5% | |||||
Short-term funds – 0.5% | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.4192% (D) | 1,409,590 | 1,409,590 | |||
T. Rowe Price Government Reserve Fund, 4.5920% (D) | 34,138 | 34,138 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,443,728) | $ | 1,443,728 | |||
Total Investments (Health Sciences Fund) (Cost $218,148,749) – 99.6% | $ | 298,636,726 | |||
Other assets and liabilities, net – 0.4% | 1,276,900 | ||||
TOTAL NET ASSETS – 100.0% | $ | 299,913,626 |
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 2-28-23. |
Shares or Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS – 0.4% | |||||
Argentina – 0.4% | |||||
Provincia de Buenos Aires 5.250%, (5.250% to 9-1-23, then 6.375% to 9-1-24, then 6.625% thereafter), 09/01/2037 (A) | $ | 968,484 | $ | 370,445 | |
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 | 231,908 | |||
1.000%, 07/09/2029 | 54,775 | 16,991 | |||
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 | 135,580 | |||
754,924 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $1,233,385) | $ | 754,924 | |||
CORPORATE BONDS – 82.4% | |||||
Communication services – 10.8% | |||||
Accelerate360 Holdings LLC 8.000%, 03/01/2028 (A) | 873,000 | 916,650 | |||
Allen Media LLC 10.500%, 02/15/2028 (A) | 1,860,000 | 799,800 | |||
Altice Financing SA 5.750%, 08/15/2029 (A) | 1,050,000 | 858,701 | |||
Altice France Holding SA 10.500%, 05/15/2027 (A) | 770,000 | 635,966 | |||
Altice France SA 5.125%, 07/15/2029 (A) | 630,000 | 487,973 | |||
AMC Entertainment Holdings, Inc. | |||||
7.500%, 02/15/2029 (A) | 930,000 | 557,321 | |||
10.000%, 06/15/2026 (A) | 420,000 | 216,434 | |||
CCO Holdings LLC | |||||
4.250%, 01/15/2034 (A) | 1,440,000 | 1,077,916 | |||
4.500%, 05/01/2032 | 1,740,000 | 1,377,123 | |||
4.750%, 02/01/2032 (A) | 500,000 | 405,000 | |||
Clear Channel Outdoor Holdings, Inc. 7.500%, 06/01/2029 (A)(B) | 700,000 | 567,000 | |||
CSC Holdings LLC | |||||
4.500%, 11/15/2031 (A) | 330,000 | 234,293 | |||
5.000%, 11/15/2031 (A) | 430,000 | 228,975 | |||
5.750%, 01/15/2030 (A) | 660,000 | 378,002 | |||
6.500%, 02/01/2029 (A) | 900,000 | 762,840 | |||
Directv Financing LLC 5.875%, 08/15/2027 (A) | 800,000 | 715,215 | |||
DISH DBS Corp. | |||||
5.125%, 06/01/2029 | 1,020,000 | 602,703 | |||
5.750%, 12/01/2028 (A) | 1,210,000 | 966,548 | |||
7.750%, 07/01/2026 | 1,800,000 | 1,397,250 |
The accompanying notes are an integral part of the financial statements. | 30 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Communication services (continued) | |||||
Gannett Holdings LLC 6.000%, 11/01/2026 (A) | $ | 860,000 | $ | 722,452 | |
iHeartCommunications, Inc. | |||||
4.750%, 01/15/2028 (A) | 30,000 | 25,228 | |||
5.250%, 08/15/2027 (A) | 780,000 | 678,772 | |||
Match Group Holdings II LLC | |||||
3.625%, 10/01/2031 (A)(B) | 260,000 | 203,450 | |||
4.625%, 06/01/2028 (A) | 440,000 | 390,833 | |||
Playtika Holding Corp. 4.250%, 03/15/2029 (A) | 700,000 | 567,000 | |||
Sabre GLBL, Inc. 11.250%, 12/15/2027 (A) | 690,000 | 689,565 | |||
Sprint Capital Corp. 8.750%, 03/15/2032 | 450,000 | 535,721 | |||
Telecom Italia Capital SA 6.000%, 09/30/2034 | 570,000 | 476,235 | |||
Time Warner Cable LLC 7.300%, 07/01/2038 | 400,000 | 400,898 | |||
UPC Holding BV 5.500%, 01/15/2028 (A) | 400,000 | 354,000 | |||
Urban One, Inc. 7.375%, 02/01/2028 (A) | 400,000 | 356,956 | |||
Virgin Media Secured Finance PLC 5.500%, 05/15/2029 (A) | 550,000 | 498,388 | |||
Virgin Media Vendor Financing Notes IV DAC 5.000%, 07/15/2028 (A) | 510,000 | 442,641 | |||
Vmed O2 UK Financing I PLC 4.750%, 07/15/2031 (A) | 500,000 | 414,100 | |||
ZipRecruiter, Inc. 5.000%, 01/15/2030 (A) | 430,000 | 361,200 | |||
ZoomInfo Technologies LLC 3.875%, 02/01/2029 (A) | 600,000 | 498,734 | |||
20,801,883 | |||||
Consumer discretionary – 19.2% | |||||
Academy, Ltd. 6.000%, 11/15/2027 (A) | 650,000 | 614,250 | |||
Adtalem Global Education, Inc. 5.500%, 03/01/2028 (A) | 609,000 | 560,603 | |||
American Axle & Manufacturing, Inc. 5.000%, 10/01/2029 | 1,000,000 | 806,807 | |||
American News Company LLC 8.500%, (8.500% Cash or 10.000% PIK), 09/01/2026 (A) | 684,486 | 782,025 | |||
Bath & Body Works, Inc. | |||||
5.250%, 02/01/2028 | 850,000 | 791,563 | |||
6.625%, 10/01/2030 (A) | 340,000 | 322,058 | |||
9.375%, 07/01/2025 (A) | 370,000 | 391,275 | |||
Boyne USA, Inc. 4.750%, 05/15/2029 (A) | 480,000 | 424,830 | |||
Caesars Entertainment, Inc. | |||||
4.625%, 10/15/2029 (A)(B) | 530,000 | 453,309 | |||
7.000%, 02/15/2030 (A) | 680,000 | 685,100 | |||
8.125%, 07/01/2027 (A) | 240,000 | 242,400 | |||
Carnival Corp. | |||||
7.625%, 03/01/2026 (A) | 500,000 | 448,863 | |||
10.500%, 06/01/2030 (A)(B) | 490,000 | 474,492 | |||
Carnival Holdings Bermuda, Ltd. 10.375%, 05/01/2028 (A) | 620,000 | 663,400 | |||
Carriage Purchaser, Inc. 7.875%, 10/15/2029 (A) | 980,000 | 732,952 | |||
Carriage Services, Inc. 4.250%, 05/15/2029 (A) | 720,000 | 578,837 | |||
Carrols Restaurant Group, Inc. 5.875%, 07/01/2029 (A) | 470,000 | 357,200 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer discretionary (continued) | |||||
Dornoch Debt Merger Sub, Inc. 6.625%, 10/15/2029 (A) | $ | 550,000 | $ | 415,250 | |
Empire Communities Corp. 7.000%, 12/15/2025 (A) | 900,000 | 803,250 | |||
Fertitta Entertainment LLC 4.625%, 01/15/2029 (A) | 560,000 | 484,344 | |||
Fontainebleau Las Vegas Holdings LLC 11.000%, 06/15/2015 (A)(C) | 2,983,778 | 298 | |||
Foot Locker, Inc. 4.000%, 10/01/2029 (A) | 760,000 | 624,797 | |||
Ford Motor Company | |||||
3.250%, 02/12/2032 | 530,000 | 401,797 | |||
6.100%, 08/19/2032 | 1,270,000 | 1,182,080 | |||
Ford Motor Credit Company LLC | |||||
4.000%, 11/13/2030 | 1,430,000 | 1,191,834 | |||
4.950%, 05/28/2027 | 430,000 | 400,627 | |||
5.113%, 05/03/2029 | 1,160,000 | 1,060,356 | |||
7.350%, 03/06/2030 | 520,000 | 526,583 | |||
Full House Resorts, Inc. 8.250%, 02/15/2028 (A) | 1,110,000 | 1,065,519 | |||
Marston's Issuer PLC 6.338%, (SONIA + 2.669%), 07/16/2035 (D) | GBP | 380,000 | 351,148 | ||
Melco Resorts Finance, Ltd. 5.375%, 12/04/2029 (A) | $ | 650,000 | 537,231 | ||
Mohegan Tribal Gaming Authority 13.250%, 12/15/2027 (A) | 650,000 | 693,518 | |||
NCL Corp., Ltd. | |||||
5.875%, 02/15/2027 (A) | 2,000,000 | 1,855,000 | |||
7.750%, 02/15/2029 (A) | 800,000 | 696,400 | |||
8.375%, 02/01/2028 (A) | 1,240,000 | 1,259,809 | |||
NMG Holding Company, Inc. 7.125%, 04/01/2026 (A) | 680,000 | 656,200 | |||
PetSmart, Inc. 7.750%, 02/15/2029 (A) | 250,000 | 243,875 | |||
Royal Caribbean Cruises, Ltd. | |||||
5.500%, 08/31/2026 (A) | 840,000 | 771,809 | |||
7.250%, 01/15/2030 (A) | 970,000 | 972,425 | |||
11.625%, 08/15/2027 (A) | 660,000 | 702,926 | |||
Sands China, Ltd. 5.900%, 08/08/2028 | 200,000 | 189,397 | |||
Sizzling Platter LLC 8.500%, 11/28/2025 (A) | 460,000 | 419,750 | |||
Speedway Motorsports LLC 4.875%, 11/01/2027 (A) | 590,000 | 544,263 | |||
StoneMor, Inc. 8.500%, 05/15/2029 (A) | 1,060,000 | 766,369 | |||
Sugarhouse HSP Gaming Prop Mezz LP 5.875%, 05/15/2025 (A) | 280,000 | 264,007 | |||
The Michaels Companies, Inc. | |||||
5.250%, 05/01/2028 (A) | 540,000 | 449,404 | |||
7.875%, 05/01/2029 (A) | 1,140,000 | 857,850 | |||
TopBuild Corp. 3.625%, 03/15/2029 (A) | 400,000 | 333,393 | |||
Upbound Group, Inc. 6.375%, 02/15/2029 (A)(B) | 930,000 | 797,819 | |||
Viking Cruises, Ltd. | |||||
5.875%, 09/15/2027 (A) | 310,000 | 265,837 | |||
7.000%, 02/15/2029 (A)(B) | 1,590,000 | 1,367,153 | |||
13.000%, 05/15/2025 (A) | 1,000,000 | 1,062,945 | |||
VOC Escrow, Ltd. 5.000%, 02/15/2028 (A) | 700,000 | 616,665 | |||
WW International, Inc. 4.500%, 04/15/2029 (A) | 1,000,000 | 510,000 |
The accompanying notes are an integral part of the financial statements. | 31 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Consumer discretionary (continued) | |||||
Wynn Macau, Ltd. | |||||
5.125%, 12/15/2029 (A) | $ | 300,000 | $ | 246,000 | |
5.625%, 08/26/2028 (A) | 1,690,000 | 1,446,598 | |||
Wynn Resorts Finance LLC 7.125%, 02/15/2031 (A) | 690,000 | 688,620 | |||
37,053,110 | |||||
Consumer staples – 0.8% | |||||
Darling Ingredients, Inc. 6.000%, 06/15/2030 (A) | 250,000 | 241,561 | |||
Simmons Foods, Inc. 4.625%, 03/01/2029 (A) | 700,000 | 570,500 | |||
Triton Water Holdings, Inc. 6.250%, 04/01/2029 (A) | 820,000 | 653,581 | |||
1,465,642 | |||||
Energy – 11.2% | |||||
Berry Petroleum Company LLC 7.000%, 02/15/2026 (A) | 1,100,000 | 1,036,750 | |||
Blue Racer Midstream LLC 6.625%, 07/15/2026 (A) | 1,100,000 | 1,072,357 | |||
Chord Energy Corp. 6.375%, 06/01/2026 (A) | 900,000 | 867,906 | |||
CNX Midstream Partners LP 4.750%, 04/15/2030 (A) | 990,000 | 811,635 | |||
Crescent Energy Finance LLC 9.250%, 02/15/2028 (A) | 660,000 | 643,401 | |||
Earthstone Energy Holdings LLC 8.000%, 04/15/2027 (A) | 180,000 | 172,406 | |||
Endeavor Energy Resources LP 5.750%, 01/30/2028 (A) | 490,000 | 472,850 | |||
Energy Transfer LP 6.500%, (6.500% to 11-15-26, then 5 Year CMT + 5.694%), 11/15/2026 (E) | 230,000 | 211,995 | |||
EQM Midstream Partners LP | |||||
5.500%, 07/15/2028 | 400,000 | 357,000 | |||
6.500%, 07/15/2048 | 1,750,000 | 1,303,540 | |||
Genesis Energy LP 8.875%, 04/15/2030 | 610,000 | 612,996 | |||
Hilcorp Energy I LP 6.250%, 04/15/2032 (A) | 670,000 | 607,549 | |||
Howard Midstream Energy Partners LLC 6.750%, 01/15/2027 (A) | 810,000 | 771,306 | |||
MEG Energy Corp. | |||||
5.875%, 02/01/2029 (A) | 350,000 | 326,435 | |||
7.125%, 02/01/2027 (A) | 630,000 | 639,450 | |||
Nabors Industries, Ltd. 7.250%, 01/15/2026 (A) | 750,000 | 713,910 | |||
Neptune Energy Bondco PLC 6.625%, 05/15/2025 (A) | 340,000 | 330,543 | |||
Northern Oil and Gas, Inc. 8.125%, 03/01/2028 (A) | 700,000 | 675,500 | |||
Occidental Petroleum Corp. | |||||
4.100%, 02/15/2047 | 160,000 | 120,000 | |||
4.400%, 04/15/2046 | 240,000 | 184,134 | |||
6.450%, 09/15/2036 | 330,000 | 331,650 | |||
6.600%, 03/15/2046 | 520,000 | 529,168 | |||
8.875%, 07/15/2030 | 600,000 | 681,510 | |||
Permian Resources Operating LLC 5.875%, 07/01/2029 (A) | 1,100,000 | 986,249 | |||
Range Resources Corp. 8.250%, 01/15/2029 | 800,000 | 821,000 | |||
ROCC Holdings LLC 9.250%, 08/15/2026 (A) | 1,200,000 | 1,266,000 | |||
Southwestern Energy Company 4.750%, 02/01/2032 | 1,080,000 | 928,076 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Energy (continued) | |||||
Summit Midstream Holdings LLC 8.500%, 10/15/2026 (A) | $ | 430,000 | $ | 408,284 | |
Tallgrass Energy Partners LP 6.000%, 12/31/2030 (A) | 670,000 | 577,768 | |||
Transocean, Inc. 8.750%, 02/15/2030 (A) | 790,000 | 803,825 | |||
Venture Global Calcasieu Pass LLC | |||||
3.875%, 11/01/2033 (A) | 700,000 | 570,780 | |||
6.250%, 01/15/2030 (A) | 500,000 | 493,125 | |||
Western Midstream Operating LP | |||||
5.450%, 04/01/2044 | 860,000 | 724,550 | |||
5.500%, 02/01/2050 | 720,000 | 587,803 | |||
21,641,451 | |||||
Financials – 9.5% | |||||
Acuris Finance U.S., Inc. 5.000%, 05/01/2028 (A) | 350,000 | 278,688 | |||
AFC Gamma, Inc. 5.750%, 05/01/2027 (A) | 720,000 | 571,619 | |||
Apollo Commercial Real Estate Finance, Inc. 4.625%, 06/15/2029 (A) | 530,000 | 408,797 | |||
Barclays PLC 8.000%, (8.000% to 6-15-24, then 5 Year CMT + 5.672%), 06/15/2024 (E) | 400,000 | 396,000 | |||
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 | 815,785 | |||
Bread Financial Holdings, Inc. 4.750%, 12/15/2024 (A) | 600,000 | 556,194 | |||
Burford Capital Global Finance LLC | |||||
6.250%, 04/15/2028 (A) | 700,000 | 610,325 | |||
6.875%, 04/15/2030 (A) | 630,000 | 543,564 | |||
Coinbase Global, Inc. 3.625%, 10/01/2031 (A) | 720,000 | 434,218 | |||
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 | 997,209 | |||
6.537%, (6.537% to 8-12-32, then SOFR + 3.920%), 08/12/2033 (A) | 580,000 | 520,834 | |||
9.750%, (9.750% to 6-23-27, then 5 Year CMT + 6.383%), 06/23/2027 (A)(E) | 1,030,000 | 932,047 | |||
FirstCash, Inc. | |||||
4.625%, 09/01/2028 (A) | 530,000 | 460,422 | |||
5.625%, 01/01/2030 (A) | 170,000 | 150,372 | |||
Global Aircraft Leasing Company, Ltd. 6.500%, (6.500% Cash or 7.250% PIK), 09/15/2024 (A) | 2,464,665 | 2,228,082 | |||
Highlands Holdings Bond Issuer, Ltd. 7.625%, (7.625% Cash or 8.375% PIK), 10/15/2025 (A) | 977,637 | 899,218 | |||
Intesa Sanpaolo SpA 4.198%, (4.198% to 6-1-31, then 1 Year CMT + 2.600%), 06/01/2032 (A) | 640,000 | 482,207 | |||
Jane Street Group 4.500%, 11/15/2029 (A) | 440,000 | 386,184 | |||
Ladder Capital Finance Holdings LLLP | |||||
4.250%, 02/01/2027 (A) | 230,000 | 195,515 | |||
4.750%, 06/15/2029 (A) | 490,000 | 398,455 | |||
Midcap Financial Issuer Trust | |||||
5.625%, 01/15/2030 (A) | 450,000 | 353,605 | |||
6.500%, 05/01/2028 (A) | 590,000 | 508,875 |
The accompanying notes are an integral part of the financial statements. | 32 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Financials (continued) | |||||
NMI Holdings, Inc. 7.375%, 06/01/2025 (A) | $ | 800,000 | $ | 796,000 | |
Rocket Mortgage LLC | |||||
3.875%, 03/01/2031 (A) | 860,000 | 670,233 | |||
4.000%, 10/15/2033 (A) | 890,000 | 657,975 | |||
Ryan Specialty Group LLC 4.375%, 02/01/2030 (A) | 670,000 | 572,824 | |||
StoneX Group, Inc. 8.625%, 06/15/2025 (A) | 640,000 | 643,702 | |||
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 | 1,164,364 | |||
UniCredit SpA 5.459%, (5.459% to 6-30-30, then 5 Year CMT + 4.750%), 06/30/2035 (A) | 790,000 | 670,199 | |||
18,303,512 | |||||
Health care – 5.0% | |||||
AdaptHealth LLC | |||||
4.625%, 08/01/2029 (A) | 500,000 | 419,700 | |||
5.125%, 03/01/2030 (A) | 800,000 | 692,000 | |||
Akumin, Inc. 7.000%, 11/01/2025 (A) | 1,000,000 | 795,395 | |||
AthenaHealth Group, Inc. 6.500%, 02/15/2030 (A) | 890,000 | 703,940 | |||
Bausch Health Companies, Inc. | |||||
6.125%, 02/01/2027 (A) | 460,000 | 317,400 | |||
6.250%, 02/15/2029 (A) | 2,081,000 | 914,088 | |||
Cano Health LLC 6.250%, 10/01/2028 (A) | 570,000 | 370,500 | |||
Community Health Systems, Inc. | |||||
5.250%, 05/15/2030 (A) | 420,000 | 336,050 | |||
6.125%, 04/01/2030 (A) | 70,000 | 47,936 | |||
6.875%, 04/15/2029 (A) | 1,240,000 | 867,260 | |||
Legacy LifePoint Health LLC 6.750%, 04/15/2025 (A) | 510,000 | 487,427 | |||
Medline Borrower LP | |||||
3.875%, 04/01/2029 (A) | 280,000 | 233,373 | |||
5.250%, 10/01/2029 (A)(B) | 740,000 | 607,307 | |||
Par Pharmaceutical, Inc. 7.500%, 04/01/2027 (A)(C) | 1,870,000 | 1,407,493 | |||
Teva Pharmaceutical Finance Company LLC 6.150%, 02/01/2036 | 760,000 | 685,900 | |||
Teva Pharmaceutical Finance Netherlands III BV 5.125%, 05/09/2029 (B) | 500,000 | 442,580 | |||
U.S. Renal Care, Inc. 10.625%, 07/15/2027 (A) | 1,230,000 | 391,168 | |||
9,719,517 | |||||
Industrials – 14.3% | |||||
Advanced Drainage Systems, Inc. 6.375%, 06/15/2030 (A) | 430,000 | 410,666 | |||
Allied Universal Holdco LLC 6.625%, 07/15/2026 (A) | 770,000 | 731,315 | |||
Alta Equipment Group, Inc. 5.625%, 04/15/2026 (A) | 800,000 | 748,451 | |||
American Airlines, Inc. | |||||
5.750%, 04/20/2029 (A) | 1,670,000 | 1,588,362 | |||
7.250%, 02/15/2028 (A) | 490,000 | 478,534 | |||
11.750%, 07/15/2025 (A) | 270,000 | 296,131 | |||
Anagram International, Inc. 10.000%, (0.000% Cash and 10.000% PIK), 08/15/2026 (A) | 96,061 | 76,609 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
ATS Corp. 4.125%, 12/15/2028 (A) | $ | 460,000 | $ | 401,595 | |
Bombardier, Inc. | |||||
7.500%, 02/01/2029 (A) | 620,000 | 607,626 | |||
7.875%, 04/15/2027 (A) | 940,000 | 934,181 | |||
Brundage-Bone Concrete Pumping Holdings, Inc. 6.000%, 02/01/2026 (A) | 680,000 | 632,166 | |||
Clean Harbors, Inc. 6.375%, 02/01/2031 (A) | 360,000 | 357,438 | |||
CoreCivic, Inc. 8.250%, 04/15/2026 | 1,000,000 | 1,012,370 | |||
Covanta Holding Corp. 4.875%, 12/01/2029 (A) | 570,000 | 481,454 | |||
Doman Building Materials Group, Ltd. 5.250%, 05/15/2026 (A) | CAD | 340,000 | 225,504 | ||
GEO Group, Inc. 10.500%, 06/30/2028 | $ | 360,000 | 366,300 | ||
H&E Equipment Services, Inc. 3.875%, 12/15/2028 (A) | 600,000 | 515,988 | |||
Hawaiian Brand Intellectual Property, Ltd. 5.750%, 01/20/2026 (A) | 600,000 | 557,949 | |||
Legends Hospitality Holding Company LLC 5.000%, 02/01/2026 (A) | 1,000,000 | 910,000 | |||
Madison IAQ LLC | |||||
4.125%, 06/30/2028 (A) | 140,000 | 119,434 | |||
5.875%, 06/30/2029 (A) | 850,000 | 676,709 | |||
Mileage Plus Holdings LLC 6.500%, 06/20/2027 (A) | 495,032 | 495,032 | |||
MIWD Holdco II LLC 5.500%, 02/01/2030 (A) | 1,230,000 | 998,623 | |||
Park-Ohio Industries, Inc. 6.625%, 04/15/2027 | 360,000 | 273,567 | |||
PGT Innovations, Inc. 4.375%, 10/01/2029 (A) | 470,000 | 394,583 | |||
PM General Purchaser LLC 9.500%, 10/01/2028 (A) | 710,000 | 648,471 | |||
Prime Security Services Borrower LLC 6.250%, 01/15/2028 (A) | 1,000,000 | 927,600 | |||
Resideo Funding, Inc. 4.000%, 09/01/2029 (A) | 700,000 | 573,587 | |||
Roller Bearing Company of America, Inc. 4.375%, 10/15/2029 (A) | 980,000 | 847,063 | |||
Smyrna Ready Mix Concrete LLC 6.000%, 11/01/2028 (A) | 1,000,000 | 887,600 | |||
Spirit Loyalty Cayman, Ltd. 8.000%, 09/20/2025 (A) | 902,000 | 905,383 | |||
The GEO Group, Inc. 9.500%, 12/31/2028 (A) | 1,500,000 | 1,433,127 | |||
Titan International, Inc. 7.000%, 04/30/2028 | 520,000 | 492,700 | |||
TransDigm, Inc. | |||||
4.625%, 01/15/2029 | 680,000 | 584,462 | |||
5.500%, 11/15/2027 | 40,000 | 36,832 | |||
6.750%, 08/15/2028 (A) | 820,000 | 815,900 | |||
United Airlines 2020-1 Class B Pass Through Trust 4.875%, 01/15/2026 | 224,285 | 215,314 | |||
United Airlines, Inc. 4.625%, 04/15/2029 (A) | 900,000 | 797,882 | |||
United Rentals North America, Inc. | |||||
3.875%, 02/15/2031 | 360,000 | 308,122 | |||
5.250%, 01/15/2030 | 1,000,000 | 942,500 | |||
6.000%, 12/15/2029 (A) | 570,000 | 570,000 |
The accompanying notes are an integral part of the financial statements. | 33 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Industrials (continued) | |||||
Vertiv Group Corp. 4.125%, 11/15/2028 (A) | $ | 920,000 | $ | 799,287 | |
VistaJet Malta Finance PLC 6.375%, 02/01/2030 (A)(B) | 880,000 | 770,233 | |||
XPO CNW, Inc. 6.700%, 05/01/2034 | 740,000 | 672,112 | |||
XPO Escrow Sub LLC 7.500%, 11/15/2027 (A) | 200,000 | 202,912 | |||
27,721,674 | |||||
Information technology – 3.6% | |||||
CA Magnum Holdings 5.375%, 10/31/2026 (A) | 430,000 | 396,008 | |||
Central Parent, Inc. 7.250%, 06/15/2029 (A)(B) | 500,000 | 488,910 | |||
Clarivate Science Holdings Corp. 4.875%, 07/01/2029 (A) | 320,000 | 276,480 | |||
CommScope, Inc. | |||||
4.750%, 09/01/2029 (A) | 1,400,000 | 1,141,000 | |||
8.250%, 03/01/2027 (A) | 910,000 | 773,500 | |||
Elastic NV 4.125%, 07/15/2029 (A) | 750,000 | 615,520 | |||
Gen Digital, Inc. 7.125%, 09/30/2030 (A) | 410,000 | 399,750 | |||
Helios Software Holdings, Inc. 4.625%, 05/01/2028 (A) | 400,000 | 324,516 | |||
Open Text Corp. 6.900%, 12/01/2027 (A) | 430,000 | 434,300 | |||
Paysafe Finance PLC 4.000%, 06/15/2029 (A) | 900,000 | 716,170 | |||
Rackspace Technology Global, Inc. 3.500%, 02/15/2028 (A) | 900,000 | 547,875 | |||
Vericast Corp. 11.000%, 09/15/2026 (A) | 860,000 | 922,350 | |||
7,036,379 | |||||
Materials – 4.5% | |||||
ARD Finance SA 6.500%, (6.500% Cash or 7.250% PIK), 06/30/2027 (A) | 1,220,000 | 997,570 | |||
Ardagh Metal Packaging Finance USA LLC 4.000%, 09/01/2029 (A)(B) | 1,000,000 | 801,250 | |||
Canpack SA 3.875%, 11/15/2029 (A) | 750,000 | 596,171 | |||
Cascades, Inc. 5.375%, 01/15/2028 (A) | 400,000 | 362,000 | |||
First Quantum Minerals, Ltd. 6.875%, 03/01/2026 to 10/15/2027 (A) | 2,470,000 | 2,324,493 | |||
Freeport-McMoRan, Inc. 5.450%, 03/15/2043 | 1,320,000 | 1,191,741 | |||
Hudbay Minerals, Inc. 6.125%, 04/01/2029 (A) | 770,000 | 679,725 | |||
LSF11 A5 HoldCo LLC 6.625%, 10/15/2029 (A) | 700,000 | 591,526 | |||
Midwest Vanadium Proprietary, Ltd. 11.500%, 02/15/2018 (A)(C) | 1,951,648 | 4,430 | |||
Northwest Acquisitions ULC 7.125%, 11/01/2022 (A)(C) | 1,140,000 | 11 | |||
Olin Corp. 5.000%, 02/01/2030 (B) | 360,000 | 327,584 | |||
Pactiv LLC 8.375%, 04/15/2027 | 30,000 | 30,034 | |||
Summit Materials LLC 5.250%, 01/15/2029 (A) | 870,000 | 800,400 | |||
8,706,935 |
Shares or Principal Amount | Value | ||||
CORPORATE BONDS (continued) | |||||
Real estate – 2.6% | |||||
Diversified Healthcare Trust | |||||
4.375%, 03/01/2031 | $ | 500,000 | $ | 346,583 | |
4.750%, 02/15/2028 | 800,000 | 520,432 | |||
9.750%, 06/15/2025 | 340,000 | 329,457 | |||
Five Point Operating Company LP 7.875%, 11/15/2025 (A) | 640,000 | 577,745 | |||
Forestar Group, Inc. | |||||
3.850%, 05/15/2026 (A) | 580,000 | 507,574 | |||
5.000%, 03/01/2028 (A) | 420,000 | 362,161 | |||
IIP Operating Partnership LP 5.500%, 05/25/2026 | 1,160,000 | 1,005,071 | |||
Iron Mountain Information Management Services, Inc. 5.000%, 07/15/2032 (A) | 470,000 | 387,628 | |||
MPT Operating Partnership LP | |||||
3.500%, 03/15/2031 | 300,000 | 205,638 | |||
4.625%, 08/01/2029 | 250,000 | 186,875 | |||
Service Properties Trust 5.500%, 12/15/2027 | 640,000 | 576,776 | |||
5,005,940 | |||||
Utilities – 0.9% | |||||
Suburban Propane Partners LP 5.000%, 06/01/2031 (A) | 460,000 | 382,771 | |||
Sunnova Energy Corp. 5.875%, 09/01/2026 (A) | 1,100,000 | 958,540 | |||
TransAlta Corp. 7.750%, 11/15/2029 | 380,000 | 388,438 | |||
1,729,749 | |||||
TOTAL CORPORATE BONDS (Cost $187,358,594) | $ | 159,185,792 | |||
CONVERTIBLE BONDS – 0.7% | |||||
Communication services – 0.2% | |||||
DISH Network Corp. 3.375%, 08/15/2026 | 700,000 | 447,356 | |||
Consumer discretionary – 0.2% | |||||
DraftKings Holdings, Inc. 7.430%, 03/15/2028 (F) | 530,000 | 367,290 | |||
Industrials – 0.2% | |||||
Spirit Airlines, Inc. 1.000%, 05/15/2026 | 440,000 | 359,260 | |||
Utilities – 0.1% | |||||
NextEra Energy Partners LP 2.500%, 06/15/2026 (A) | 220,000 | 199,430 | |||
TOTAL CONVERTIBLE BONDS (Cost $1,746,947) | $ | 1,373,336 | |||
TERM LOANS (G) – 5.8% | |||||
Consumer discretionary – 1.5% | |||||
Adtalem Global Education, Inc., 2021 Term Loan B (1 month LIBOR + 4.000%) 8.635%, 08/12/2028 | 300,953 | 300,147 | |||
Equinox Holdings, Inc. , 2020 Term Loan B2 (3 month LIBOR + 9.000%) 13.730%, 03/08/2024 | 409,500 | 345,004 | |||
First Brands Group LLC, 2021 Term Loan (3 month SOFR + 5.000%) 10.252%, 03/30/2027 | 363,525 | 351,823 | |||
Great Outdoors Group LLC, 2021 Term Loan B1 (1 month LIBOR + 3.750%) 8.385%, 03/06/2028 | 352,834 | 347,210 | |||
Spencer Spirit IH LLC, Term Loan B (1 month LIBOR + 6.000%) 10.617%, 06/19/2026 | 710,099 | 699,298 |
The accompanying notes are an integral part of the financial statements. | 34 |
Shares or Principal Amount | Value | ||||
TERM LOANS (G) (continued) | |||||
Consumer discretionary (continued) | |||||
Truck Hero, Inc., 2021 Term Loan B (1 month LIBOR + 3.750%) 8.385%, 01/31/2028 | $ | 353,700 | $ | 319,437 | |
Upbound Group, Inc., 2021 First Lien Term Loan B (3 month LIBOR + 3.250%) 8.125%, 02/17/2028 | 618,975 | 603,891 | |||
2,966,810 | |||||
Financials – 1.0% | |||||
Acrisure LLC, 2020 Term Loan B (1 month LIBOR + 3.500%) 8.104%, 02/15/2027 | 525,150 | 500,956 | |||
Asurion LLC, 2021 Term Loan B9 (1 month LIBOR + 3.250%) 7.885%, 07/31/2027 | 786,000 | 731,797 | |||
Asurion LLC, 2022 Term Loan B10 (3 month SOFR + 4.000%) 8.680%, 08/19/2028 | 468,825 | 438,684 | |||
Deerfield Dakota Holding LLC, 2021 USD 2nd Lien Term Loan (1 month LIBOR + 6.750%) 11.385%, 04/07/2028 | 250,000 | 233,283 | |||
1,904,720 | |||||
Health care – 0.7% | |||||
Eyecare Partners LLC, 2020 Term Loan (3 month LIBOR + 3.750%) 8.480%, 02/18/2027 | 564,944 | 470,140 | |||
Eyecare Partners LLC, 2022 Incremental Term Loan (3 month SOFR + 4.500%) 9.180%, 11/15/2028 | 440,000 | 362,265 | |||
U.S. Renal Care, Inc., 2019 Term Loan B (1 month LIBOR + 5.000%) 9.688%, 06/26/2026 | 801,828 | 531,780 | |||
1,364,185 | |||||
Industrials – 0.6% | |||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B (1 month SOFR + 3.750%) 8.468%, 05/12/2028 | 790,000 | 760,162 | |||
Mileage Plus Holdings LLC, 2020 Term Loan B (3 month LIBOR + 5.250%) 9.996%, 06/21/2027 | 432,000 | 449,388 | |||
1,209,550 | |||||
Information technology – 1.7% | |||||
Dcert Buyer, Inc., 2019 Term Loan B (3 month SOFR + 4.000%) 8.696%, 10/16/2026 | 687,626 | 676,624 | |||
Dcert Buyer, Inc., 2021 2nd Lien Term Loan (3 month LIBOR + 7.000%) 11.696%, 02/19/2029 | 880,000 | 815,100 | |||
Global Tel*Link Corp., 2018 1st Lien Term Loan (3 month LIBOR + 4.250%) 9.076%, 11/29/2025 | 551,077 | 488,651 | |||
Neptune Bidco US, Inc., 2022 USD Term Loan B 04/11/2029 TBD (H) | 240,000 | 220,200 | |||
Peraton Corp., Term Loan B (1 month LIBOR + 3.750%) 8.385%, 02/01/2028 | 434,076 | 429,396 | |||
Redstone Holdco 2 LP, 2021 Term Loan (3 month LIBOR + 4.750%) 9.568%, 04/27/2028 | 493,750 | 401,942 | |||
Redstone Holdco 2 LP , 2021 2nd Lien Term Loan (3 month LIBOR + 7.750%) 12.565%, 04/27/2029 | 510,000 | 292,398 | |||
3,324,311 |
Shares or Principal Amount | Value | ||||
TERM LOANS (G) (continued) | |||||
Materials – 0.3% | |||||
Arctic Canadian Diamond Company, Ltd., 2nd Lien PIK Term Loan (3 month LIBOR + 4.000% or 12.500% PIK) 5.000%, 12/31/2027 (I) | $ | 558,058 | $ | 463,077 | |
TOTAL TERM LOANS (Cost $12,394,692) | $ | 11,232,653 | |||
ASSET BACKED SECURITIES – 7.4% | |||||
AIG CLO, Ltd. Series 2018-1A, Class DR (3 month LIBOR + 3.100%) 7.908%, 04/20/2032 (A)(D) | 320,000 | 296,199 | |||
Aimco CLO, Ltd. Series 2020-12A, Class DR (3 month CME Term SOFR + 2.900%) 7.558%, 01/17/2032 (A)(D) | 440,000 | 417,006 | |||
AMMC CLO, Ltd. Series 2017-20A, Class E (3 month LIBOR + 5.810%) 10.602%, 04/17/2029 (A)(D) | 700,000 | 642,331 | |||
Ares CLO, Ltd. Series 2017-44A, Class CR (3 month LIBOR + 3.400%) 8.192%, 04/15/2034 (A)(D) | 410,000 | 389,166 | |||
Ballyrock CLO, Ltd. Series 2022-19A, Class D (3 month CME Term SOFR + 7.110%) 11.749%, 04/20/2035 (A)(D) | 900,000 | 815,427 | |||
Barings CLO, Ltd. | |||||
Series 2018-3A, Class D (3 month LIBOR + 2.900%) 7.708%, 07/20/2029 (A)(D) | 250,000 | 235,968 | |||
Series 2020-4A, Class E (3 month LIBOR + 5.680%) 10.488%, 01/20/2032 (A)(D) | 350,000 | 304,174 | |||
Battalion CLO, Ltd. Series 2021-20A, Class D (3 month LIBOR + 3.100%) 7.892%, 07/15/2034 (A)(D) | 250,000 | 225,245 | |||
BlueMountain CLO XXXI, Ltd. Series 2021-31A, Class E (3 month LIBOR + 6.530%) 11.328%, 04/19/2034 (A)(D) | 170,000 | 148,598 | |||
BlueMountain CLO, Ltd. Series 2016-2A, Class DR (3 month LIBOR + 7.790%) 12.705%, 08/20/2032 (A)(D) | 375,000 | 333,261 | |||
Bristol Park CLO, Ltd. Series 2016-1A, Class ER (3 month LIBOR + 7.000%) 11.792%, 04/15/2029 (A)(D) | 400,000 | 352,057 | |||
Cathedral Lake VI, Ltd. Series 2021-6A, Class E (3 month LIBOR + 7.210%) 12.028%, 04/25/2034 (A)(D) | 125,000 | 109,125 | |||
Cook Park CLO, Ltd. Series 2018-1A, Class E (3 month LIBOR + 5.400%) 10.192%, 04/17/2030 (A)(D) | 750,000 | 612,314 | |||
Dryden CLO, Ltd. Series 2018-70A, Class E (3 month LIBOR + 6.050%) 10.880%, 01/16/2032 (A)(D) | 750,000 | 654,335 | |||
Dryden Senior Loan Fund Series 2015-40A, Class DR (3 month LIBOR + 3.100%) 7.964%, 08/15/2031 (A)(D) | 250,000 | 234,391 |
The accompanying notes are an integral part of the financial statements. | 35 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
Greenwood Park CLO, Ltd. | |||||
Series 2018-1A, Class D (3 month LIBOR + 2.500%) 7.292%, 04/15/2031 (A)(D) | $ | 530,000 | $ | 483,333 | |
Series 2018-1A, Class E (3 month LIBOR + 4.950%) 9.742%, 04/15/2031 (A)(D) | 750,000 | 625,094 | |||
Greywolf CLO IV, Ltd. Series 2019-1A, Class CR (3 month CME Term SOFR + 3.910%) 8.542%, 04/17/2034 (A)(D) | 390,000 | 361,730 | |||
Grippen Park CLO, Ltd. Series 2017-1A, Class E (3 month LIBOR + 5.700%) 10.508%, 01/20/2030 (A)(D) | 440,000 | 380,764 | |||
Halsey Point CLO I, Ltd. Series 2019-1A, Class E (3 month LIBOR + 7.700%) 11.943%, 01/20/2033 (A)(D) | 600,000 | 552,752 | |||
Jay Park CLO, Ltd. Series 2016-1A, Class DR (3 month LIBOR + 5.200%) 9.443%, 10/20/2027 (A)(D) | 450,000 | 409,002 | |||
Madison Park Funding XIII, Ltd. Series 2014-13A, Class DR2 (3 month LIBOR + 2.850%) 7.077%, 04/19/2030 (A)(D) | 1,000,000 | 952,728 | |||
Magnetite XXIV, Ltd. Series 2019-24A, Class ER (3 month CME Term SOFR + 6.400%) 11.058%, 04/15/2035 (A)(D) | 250,000 | 223,409 | |||
Mountain View CLO IX, Ltd. Series 2015-9A, Class CR (3 month LIBOR + 3.120%) 7.912%, 07/15/2031 (A)(D) | 670,000 | 568,632 | |||
Neuberger Berman Loan Advisers CLO, Ltd. Series 2017-25A, Class DR (3 month LIBOR + 2.850%) 7.645%, 10/18/2029 (A)(D) | 250,000 | 232,620 | |||
OZLM XI, Ltd. Series 2015-11A, Class CR (3 month LIBOR + 3.600%) 8.402%, 10/30/2030 (A)(D) | 1,000,000 | 917,590 | |||
Palmer Square Loan Funding, Ltd. Series 2022-3A, Class C (3 month CME Term SOFR + 5.400%) 9.405%, 04/15/2031 (A)(D) | 470,000 | 466,387 | |||
Rockland Park CLO, Ltd. Series 2021-1A, Class E (3 month LIBOR + 6.250%) 11.058%, 04/20/2034 (A)(D) | 200,000 | 178,140 | |||
Sculptor CLO XXVI, Ltd. Series 2026-A, Class E (3 month LIBOR + 7.250%) 12.058%, 07/20/2034 (A)(D) | 390,000 | 340,707 | |||
Shackleton CLO, Ltd. Series 2013-3A, Class DR (3 month LIBOR + 3.020%) 7.812%, 07/15/2030 (A)(D) | 500,000 | 426,260 | |||
Symphony CLO XXII, Ltd. Series 2020-22A, Class D (3 month LIBOR + 3.150%) 7.945%, 04/18/2033 (A)(D) | 500,000 | 470,947 |
Shares or Principal Amount | Value | ||||
ASSET BACKED SECURITIES (continued) | |||||
TCI-Symphony CLO, Ltd. Series 2016-1A, Class DR2 (3 month LIBOR + 3.100%) 7.915%, 10/13/2032 (A)(D) | $ | 600,000 | $ | 546,018 | |
Voya CLO, Ltd. Series 2017-1A, Class C (3 month LIBOR + 3.330%) 8.122%, 04/17/2030 (A)(D) | 500,000 | 457,039 | |||
TOTAL ASSET BACKED SECURITIES (Cost $15,644,307) | $ | 14,362,749 | |||
COMMON STOCKS – 0.6% | |||||
Communication services – 0.0% | |||||
New Cotai, Inc., Class B (I)(J)(K) | 11 | 0 | |||
Energy – 0.6% | |||||
Berry Corp. | 75,327 | 710,327 | |||
Chord Energy Corp. | 3,199 | 430,649 | |||
KCAD Holdings I, Ltd. (I)(J)(K) | 752,218,031 | 752 | |||
MWO Holdings LLC (I)(J)(K) | 1,134 | 7,053 | |||
Permian Production (I)(K) | 35,417 | 21,250 | |||
1,170,031 | |||||
TOTAL COMMON STOCKS (Cost $8,212,129) | $ | 1,170,031 | |||
PREFERRED SECURITIES – 0.3% | |||||
Energy – 0.3% | |||||
MPLX LP, 8.461% (I) | 17,615 | 576,891 | |||
TOTAL PREFERRED SECURITIES (Cost $572,488) | $ | 576,891 | |||
ESCROW CERTIFICATES – 0.0% | |||||
Magellan Health, Inc. (I)(K) | $ | 4,380,000 | 0 | ||
TOTAL ESCROW CERTIFICATES (Cost $0) | $ | 0 | |||
SHORT-TERM INVESTMENTS – 3.0% | |||||
Short-term funds – 3.0% | |||||
John Hancock Collateral Trust, 4.5832% (L)(M) | 549,412 | 5,491,650 | |||
State Street Institutional Treasury Plus Money Market Fund, Premier Class, 4.4536% (L) | 344,961 | 344,961 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,836,898) | $ | 5,836,611 | |||
Total Investments (High Yield Fund) (Cost $232,999,440) – 100.6% | $ | 194,492,987 | |||
Other assets and liabilities, net – (0.6%) | (1,117,837) | ||||
TOTAL NET ASSETS – 100.0% | $ | 193,375,150 |
Currency Abbreviations | |
CAD | Canadian Dollar |
GBP | Pound Sterling |
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 $143,495,484 or 74.2% of the fund's net assets as of 2-28-23. |
(B) | All or a portion of this security is on loan as of 2-28-23. |
(C) | Non-income producing - Issuer is in default. |
The accompanying notes are an integral part of the financial statements. | 36 |
(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) | 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) | 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. |
(J) | Restricted security as to resale, excluding 144A securities. For more information on this security refer to the Notes to financial statements. |
(K) | Non-income producing security. |
(L) | The rate shown is the annualized seven-day yield as of 2-28-23. |
(M) | 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 | Jun 2023 | $12,572,576 | $12,525,398 | $(47,178) |
$(47,178) |
Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
GBP | 587,667 | USD | 717,806 | MSCS | 4/18/2023 | — | $(10,319) |
MXN | 1,466,420 | USD | 75,521 | MSCS | 4/18/2023 | $3,915 | — |
USD | 150,178 | CAD | 200,571 | JPM | 4/18/2023 | 3,117 | — |
USD | 274,939 | EUR | 254,004 | BNP | 4/18/2023 | 5,534 | — |
$12,566 | $(10,319) |
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 | NOVA Chemicals Corp. | 441,000 | USD | $441,000 | 5.000% | Quarterly | Jun 2027 | $(9,500) | $(17,440) | $(26,940) |
Centrally cleared | The Goodyear Tire & Rubber Company | 590,000 | USD | 590,000 | 5.000% | Quarterly | Jun 2027 | (9,200) | (20,991) | (30,191) |
Centrally cleared | Xerox Holdings Corp. | 237,000 | USD | 237,000 | 1.000% | Quarterly | Jun 2027 | 28,924 | (7,869) | 21,055 |
Centrally cleared | Beazer Homes USA, Inc. | 590,000 | USD | 590,000 | 5.000% | Quarterly | Dec 2027 | 67,659 | (61,863) | 5,796 |
Centrally cleared | KB Home | 830,000 | USD | 830,000 | 5.000% | Quarterly | Dec 2027 | (7,920) | (70,620) | (78,540) |
$2,688,000 | $69,963 | $(178,783) | $(108,820) |
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. | 1.039% | 810,000 | USD | $810,000 | 1.000% | Quarterly | Jun 2026 | $(24,629) | $25,269 | $640 |
Centrally cleared | Ford Motor Credit Company LLC | 3.944% | 1,000,000 | USD | 1,000,000 | 5.000% | Quarterly | Dec 2026 | 117,672 | (77,581) | 40,091 |
$1,810,000 | $93,043 | $(52,312) | $40,731 |
Derivatives Currency Abbreviations | |
CAD | Canadian Dollar |
EUR | Euro |
GBP | Pound Sterling |
MXN | Mexican Peso |
The accompanying notes are an integral part of the financial statements. | 37 |
USD | U.S. Dollar |
Derivatives Abbreviations | |
BNP | BNP Paribas |
JPM | JPMorgan Chase Bank, N.A. |
MSCS | Morgan Stanley Capital Services LLC |
OTC | Over-the-counter |
Shares or Principal Amount | Value | ||||
COMMON STOCKS - 92.5% | |||||
Australia - 5.5% | |||||
Ampol, Ltd. | 47,013 | $ | 1,036,490 | ||
ANZ Group Holdings, Ltd. | 593,552 | 9,818,262 | |||
APA Group | 233,462 | 1,682,044 | |||
Aristocrat Leisure, Ltd. | 120,053 | 2,941,820 | |||
ASX, Ltd. | 38,951 | 1,779,145 | |||
Aurizon Holdings, Ltd. | 368,590 | 819,063 | |||
BHP Group, Ltd. | 1,007,560 | 30,493,972 | |||
BlueScope Steel, Ltd. | 98,498 | 1,260,256 | |||
Brambles, Ltd. | 285,265 | 2,464,897 | |||
Cochlear, Ltd. | 13,061 | 1,947,724 | |||
Coles Group, Ltd. | 264,731 | 3,233,332 | |||
Commonwealth Bank of Australia | 339,979 | 22,968,664 | |||
Computershare, Ltd. | 108,246 | 1,800,474 | |||
CSL, Ltd. | 95,927 | 19,086,395 | |||
Dexus | 216,087 | 1,221,017 | |||
Domino's Pizza Enterprises, Ltd. | 11,943 | 399,985 | |||
Endeavour Group, Ltd. | 266,400 | 1,222,363 | |||
Evolution Mining, Ltd. | 359,977 | 659,001 | |||
Fortescue Metals Group, Ltd. | 336,599 | 4,823,454 | |||
Goodman Group | 335,635 | 4,464,988 | |||
IDP Education, Ltd. | 41,506 | 798,213 | |||
Insurance Australia Group, Ltd. | 500,555 | 1,562,315 | |||
Lendlease Corp., Ltd. | 136,109 | 697,019 | |||
Macquarie Group, Ltd. | 73,021 | 9,272,422 | |||
Medibank Private, Ltd. | 554,285 | 1,242,416 | |||
Mineral Resources, Ltd. | 33,692 | 1,860,769 | |||
Mirvac Group | 789,615 | 1,202,255 | |||
MMG, Ltd. (A) | 528,000 | 148,923 | |||
National Australia Bank, Ltd. | 644,397 | 12,970,649 | |||
Newcrest Mining, Ltd. | 176,255 | 2,698,252 | |||
Northern Star Resources, Ltd. | 229,519 | 1,601,894 | |||
Orica, Ltd. | 81,687 | 887,497 | |||
Origin Energy, Ltd. | 348,013 | 1,866,897 | |||
Qantas Airways, Ltd. (A) | 185,242 | 796,730 | |||
QBE Insurance Group, Ltd. | 301,984 | 3,054,953 | |||
Ramsay Health Care, Ltd. | 36,442 | 1,652,172 | |||
REA Group, Ltd. | 10,455 | 860,916 | |||
Reece, Ltd. | 44,643 | 494,353 | |||
Rio Tinto, Ltd. | 74,180 | 5,797,495 | |||
Santos, Ltd. | 634,822 | 2,964,255 | |||
Scentre Group | 1,037,175 | 2,071,511 | |||
SEEK, Ltd. | 66,710 | 1,080,885 | |||
Sonic Healthcare, Ltd. | 90,641 | 1,960,855 | |||
South32, Ltd. | 926,499 | 2,691,883 | |||
Stockland | 476,426 | 1,227,253 | |||
Suncorp Group, Ltd. | 256,860 | 2,215,687 | |||
Telstra Corp., Ltd. | 819,888 | 2,290,766 | |||
The GPT Group | 385,498 | 1,216,907 | |||
The Lottery Corp., Ltd. (A) | 443,449 | 1,544,605 | |||
Transurban Group | 610,063 | 5,805,209 | |||
Treasury Wine Estates, Ltd. | 143,896 | 1,353,424 | |||
Vicinity, Ltd. | 773,049 | 1,057,682 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Australia (continued) | |||||
Washington H. Soul Pattinson & Company, Ltd. | 42,247 | $ | 826,410 | ||
Wesfarmers, Ltd. | 225,626 | 7,303,977 | |||
Westpac Banking Corp. | 696,041 | 10,525,174 | |||
WiseTech Global, Ltd. | 29,184 | 1,233,285 | |||
Woodside Energy Group, Ltd. | 374,721 | 9,079,518 | |||
Woolworths Group, Ltd. | 240,666 | 5,968,852 | |||
226,007,624 | |||||
Austria - 0.2% | |||||
Erste Group Bank AG | 74,634 | 2,929,604 | |||
OMV AG | 31,522 | 1,535,354 | |||
Verbund AG | 14,594 | 1,262,122 | |||
voestalpine AG | 25,206 | 930,984 | |||
6,658,064 | |||||
Belgium - 0.3% | |||||
Ageas SA/NV | 15,337 | 692,143 | |||
Anheuser-Busch InBev SA/NV | 73,195 | 4,439,897 | |||
D'ieteren Group | 2,108 | 408,556 | |||
Elia Group SA/NV | 2,577 | 339,463 | |||
Groupe Bruxelles Lambert NV | 8,524 | 715,554 | |||
KBC Group NV | 20,281 | 1,514,493 | |||
Proximus SADP | 12,216 | 112,495 | |||
Sofina SA | 1,345 | 335,071 | |||
Solvay SA | 6,339 | 724,089 | |||
UCB SA | 10,721 | 921,664 | |||
Umicore SA | 17,303 | 576,684 | |||
Warehouses De Pauw CVA | 12,301 | 375,402 | |||
11,155,511 | |||||
Brazil - 1.1% | |||||
Ambev SA | 868,900 | 2,222,268 | |||
Americanas SA (A) | 118,910 | 22,712 | |||
Atacadao SA | 90,900 | 233,524 | |||
B3 SA - Brasil Bolsa Balcao | 1,131,860 | 2,280,821 | |||
Banco Bradesco SA | 269,838 | 599,932 | |||
Banco BTG Pactual SA | 219,200 | 845,742 | |||
Banco do Brasil SA | 158,800 | 1,222,367 | |||
Banco Santander Brasil SA | 66,700 | 360,926 | |||
BB Seguridade Participacoes SA | 131,900 | 861,874 | |||
BRF SA (A) | 110,000 | 129,425 | |||
CCR SA | 219,700 | 461,183 | |||
Centrais Eletricas Brasileiras SA | 188,100 | 1,233,054 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 62,500 | 617,784 | |||
Cia Siderurgica Nacional SA | 126,000 | 401,192 | |||
Cosan SA | 220,800 | 631,767 | |||
CPFL Energia SA | 41,600 | 240,679 | |||
Energisa SA | 34,900 | 257,911 | |||
Engie Brasil Energia SA | 34,025 | 255,279 | |||
Equatorial Energia SA | 184,500 | 896,167 |
The accompanying notes are an integral part of the financial statements. | 38 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Brazil (continued) | |||||
Hapvida Participacoes e Investimentos SA (A)(B) | 850,509 | $ | 729,409 | ||
Hypera SA | 76,400 | 607,791 | |||
JBS SA | 153,100 | 561,172 | |||
Klabin SA | 136,500 | 507,366 | |||
Localiza Rent a Car SA | 135,045 | 1,431,328 | |||
Lojas Renner SA | 181,642 | 647,055 | |||
Magazine Luiza SA (A) | 561,400 | 384,958 | |||
Natura & Company Holding SA | 164,600 | 481,653 | |||
Petro Rio SA (A) | 126,000 | 811,048 | |||
Petroleo Brasileiro SA | 675,900 | 3,711,644 | |||
Raia Drogasil SA | 195,600 | 847,340 | |||
Rede D'Or Sao Luiz SA (B) | 73,400 | 358,206 | |||
Rumo SA | 236,200 | 810,275 | |||
Suzano SA | 136,427 | 1,244,024 | |||
Telefonica Brasil SA | 92,400 | 687,249 | |||
TIM SA | 157,900 | 369,759 | |||
TOTVS SA | 96,000 | 500,404 | |||
Ultrapar Participacoes SA | 132,000 | 332,304 | |||
Vale SA | 732,738 | 11,941,133 | |||
Vibra Energia SA | 213,500 | 603,132 | |||
WEG SA | 307,140 | 2,297,339 | |||
43,639,196 | |||||
Canada - 9.4% | |||||
Agnico Eagle Mines, Ltd. | 100,025 | 4,605,035 | |||
Air Canada (A) | 42,067 | 620,292 | |||
Algonquin Power & Utilities Corp. | 154,296 | 1,178,281 | |||
Alimentation Couche-Tard, Inc. | 185,507 | 8,702,311 | |||
AltaGas, Ltd. | 62,527 | 1,073,201 | |||
ARC Resources, Ltd. | 150,816 | 1,642,452 | |||
Atco, Ltd., Class I | 1,218 | 37,767 | |||
Bank of Montreal | 142,830 | 13,536,662 | |||
Barrick Gold Corp. (C) | 389,700 | 6,297,461 | |||
BCE, Inc. | 19,594 | 866,903 | |||
BlackBerry, Ltd. (A) | 120,294 | 467,247 | |||
Brookfield Asset Management, Ltd., Class A | 77,771 | 2,616,685 | |||
Brookfield Corp. (A) | 310,104 | 10,317,861 | |||
Brookfield Reinsurance, Ltd. (A) | 986 | 33,009 | |||
BRP, Inc. | 8,606 | 745,685 | |||
CAE, Inc. (A) | 70,609 | 1,592,260 | |||
Cameco Corp. | 87,244 | 2,384,904 | |||
Canadian Apartment Properties REIT | 21,144 | 765,802 | |||
Canadian Imperial Bank of Commerce | 199,104 | 9,105,232 | |||
Canadian National Railway Company | 130,050 | 14,812,071 | |||
Canadian Natural Resources, Ltd. | 257,372 | 14,544,489 | |||
Canadian Pacific Railway, Ltd. | 203,299 | 15,439,997 | |||
Canadian Tire Corp., Ltd., Class A | 12,891 | 1,606,911 | |||
Canadian Utilities, Ltd., Class A | 30,486 | 799,629 | |||
CCL Industries, Inc., Class B | 34,464 | 1,657,657 | |||
Cenovus Energy, Inc. | 305,637 | 5,635,637 | |||
CGI, Inc. (A) | 48,596 | 4,357,079 | |||
CI Financial Corp. | 3,338 | 36,621 | |||
Constellation Software, Inc. | 4,465 | 7,677,248 | |||
Dollarama, Inc. | 62,420 | 3,605,676 | |||
Emera, Inc. | 59,077 | 2,340,133 | |||
Empire Company, Ltd., Class A | 37,814 | 1,002,923 | |||
Enbridge, Inc. | 445,035 | 16,695,743 | |||
Fairfax Financial Holdings, Ltd. | 5,621 | 3,929,839 | |||
First Capital Real Estate Investment Trust | 2,383 | 31,156 | |||
First Quantum Minerals, Ltd. | 129,866 | 2,837,160 | |||
FirstService Corp. | 8,896 | 1,219,557 | |||
Fortis, Inc. | 105,533 | 4,176,462 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Canada (continued) | |||||
Franco-Nevada Corp. | 41,900 | $ | 5,348,276 | ||
George Weston, Ltd. | 16,480 | 2,064,680 | |||
GFL Environmental, Inc. | 40,022 | 1,216,645 | |||
Gildan Activewear, Inc. | 44,147 | 1,402,868 | |||
Great-West Lifeco, Inc. | 71,750 | 1,957,679 | |||
Hydro One, Ltd. (B) | 75,119 | 1,949,405 | |||
iA Financial Corp., Inc. | 26,591 | 1,785,076 | |||
IGM Financial, Inc. | 24,072 | 732,480 | |||
Imperial Oil, Ltd. | 51,914 | 2,567,736 | |||
Intact Financial Corp. | 39,272 | 5,641,411 | |||
Ivanhoe Mines, Ltd., Class A (A) | 133,986 | 1,119,414 | |||
Keyera Corp. (C) | 49,585 | 1,094,177 | |||
Kinross Gold Corp. | 278,878 | 1,030,081 | |||
Lightspeed Commerce, Inc. (A) | 29,752 | 454,838 | |||
Loblaw Companies, Ltd. | 37,096 | 3,170,220 | |||
Lumine Group, Inc. (A)(D) | 13,397 | 137,138 | |||
Lundin Mining Corp. | 149,661 | 931,200 | |||
Magna International, Inc. | 63,273 | 3,526,502 | |||
Metro, Inc. | 53,963 | 2,802,754 | |||
National Bank of Canada | 75,297 | 5,530,425 | |||
Northland Power, Inc. (C) | 50,815 | 1,234,531 | |||
Nutrien, Ltd. | 120,579 | 9,395,353 | |||
Nuvei Corp. (A)(B) | 14,964 | 458,187 | |||
Onex Corp. | 18,660 | 997,753 | |||
Open Text Corp. | 61,530 | 2,118,039 | |||
Pan American Silver Corp. | 47,009 | 700,742 | |||
Parkland Corp. | 34,725 | 759,395 | |||
Pembina Pipeline Corp. | 121,545 | 3,990,631 | |||
Power Corp. of Canada | 130,682 | 3,488,046 | |||
Quebecor, Inc., Class B | 37,040 | 876,256 | |||
Restaurant Brands International, Inc. | 65,501 | 4,226,723 | |||
RioCan Real Estate Investment Trust | 39,811 | 630,499 | |||
Ritchie Brothers Auctioneers, Inc. | 24,348 | 1,489,609 | |||
Rogers Communications, Inc., Class B | 79,409 | 3,793,242 | |||
Royal Bank of Canada | 310,756 | 31,551,584 | |||
Saputo, Inc. | 55,915 | 1,497,350 | |||
Shaw Communications, Inc., Class B | 105,728 | 3,062,974 | |||
Shopify, Inc., Class A (A) | 248,823 | 10,244,688 | |||
SmartCentres Real Estate Investment Trust | 2,277 | 46,191 | |||
Sun Life Financial, Inc. (C) | 135,190 | 6,533,110 | |||
Suncor Energy, Inc. | 313,509 | 10,536,843 | |||
TC Energy Corp. | 215,250 | 8,567,407 | |||
Teck Resources, Ltd., Class B | 104,408 | 4,167,903 | |||
TELUS Corp. | 105,013 | 2,087,946 | |||
TFI International, Inc. | 18,367 | 2,241,326 | |||
The Bank of Nova Scotia | 267,013 | 13,197,037 | |||
The Toronto-Dominion Bank | 398,589 | 26,538,520 | |||
Thomson Reuters Corp. | 37,922 | 4,592,884 | |||
TMX Group, Ltd. | 12,911 | 1,287,504 | |||
Toromont Industries, Ltd. | 18,592 | 1,533,414 | |||
Tourmaline Oil Corp. | 68,626 | 3,007,574 | |||
West Fraser Timber Company, Ltd. | 13,643 | 1,024,850 | |||
Wheaton Precious Metals Corp. | 99,298 | 4,137,113 | |||
WSP Global, Inc. | 25,982 | 3,263,888 | |||
386,737,155 | |||||
Chile - 0.2% | |||||
Antofagasta PLC | 93,147 | 1,757,103 | |||
Banco de Chile | 8,485,973 | 882,027 | |||
Banco de Credito e Inversiones SA | 11,046 | 345,638 | |||
Banco Santander Chile | 11,846,346 | 502,218 | |||
Cencosud SA | 266,273 | 503,309 | |||
Cia Cervecerias Unidas SA | 23,818 | 181,776 | |||
Cia Sud Americana de Vapores SA | 2,903,881 | 279,784 |
The accompanying notes are an integral part of the financial statements. | 39 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Chile (continued) | |||||
Empresas CMPC SA | 213,664 | $ | 354,952 | ||
Empresas COPEC SA | 72,699 | 525,023 | |||
Enel Americas SA | 3,983,127 | 495,929 | |||
Enel Chile SA | 5,198,144 | 234,011 | |||
Falabella SA | 142,746 | 314,130 | |||
6,375,900 | |||||
China - 8.4% | |||||
360 DigiTech, Inc., ADR | 16,300 | 331,868 | |||
360 Security Technology, Inc., Class A | 69,700 | 108,314 | |||
37 Interactive Entertainment Network Technology Group Company, Ltd., Class A | 24,500 | 77,412 | |||
3SBio, Inc. (B) | 273,400 | 271,115 | |||
AAC Technologies Holdings, Inc. (A) | 131,700 | 294,342 | |||
Advanced Micro-Fabrication Equipment, Inc., Class A (A) | 6,619 | 100,423 | |||
AECC Aero-Engine Control Company, Ltd., Class A | 14,500 | 52,852 | |||
AECC Aviation Power Company, Ltd., Class A | 29,600 | 195,668 | |||
Agricultural Bank of China, Ltd., Class A | 973,700 | 411,085 | |||
Agricultural Bank of China, Ltd., H Shares | 5,456,600 | 1,891,789 | |||
Aier Eye Hospital Group Company, Ltd., Class A | 76,863 | 345,596 | |||
Air China, Ltd., Class A (A) | 75,000 | 120,056 | |||
Air China, Ltd., H Shares (A) | 314,266 | 289,764 | |||
Airtac International Group | 15,000 | 523,617 | |||
Alibaba Group Holding, Ltd. (A) | 2,784,300 | 30,603,455 | |||
A-Living Smart City Services Company, Ltd. (B) | 116,750 | 119,692 | |||
Aluminum Corp. of China, Ltd., A Shares | 133,000 | 105,985 | |||
Aluminum Corp. of China, Ltd., H Shares | 729,480 | 372,497 | |||
Amlogic Shanghai Company, Ltd., Class A (A) | 4,190 | 48,057 | |||
Angel Yeast Company, Ltd., Class A | 9,000 | 52,447 | |||
Anhui Conch Cement Company, Ltd., Class A | 46,100 | 203,853 | |||
Anhui Conch Cement Company, Ltd., H Shares | 227,210 | 834,159 | |||
Anhui Gujing Distillery Company, Ltd., B Shares | 18,200 | 312,859 | |||
Anhui Gujing Distillery Company, Ltd., Class A | 4,700 | 185,149 | |||
Anhui Honglu Steel Construction Group Company, Ltd., Class A | 5,640 | 28,680 | |||
Anhui Kouzi Distillery Company, Ltd., Class A | 6,700 | 66,554 | |||
Anhui Yingjia Distillery Company, Ltd., Class A | 7,200 | 72,792 | |||
Anjoy Foods Group Company, Ltd., Class A | 3,200 | 75,486 | |||
ANTA Sports Products, Ltd. | 222,100 | 2,932,882 | |||
Apeloa Pharmaceutical Company, Ltd., Class A | 12,200 | 42,149 | |||
Asia - Potash International Investment Guangzhou Company, Ltd., Class A (A) | 6,700 | 27,497 | |||
Asymchem Laboratories Tianjin Company, Ltd., Class A | 3,740 | 77,051 | |||
Autohome, Inc., ADR | 13,900 | 423,950 | |||
Avary Holding Shenzhen Company, Ltd., Class A | 21,500 | 88,001 | |||
AVIC Electromechanical Systems Company, Ltd., Class A (D) | 43,600 | 67,730 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
AVIC Industry-Finance Holdings Company, Ltd., Class A | 107,000 | $ | 67,079 | ||
AviChina Industry & Technology Company, Ltd., H Shares | 463,300 | 220,895 | |||
AVICOPTER PLC, Class A | 7,400 | 48,426 | |||
Baidu, Inc., Class A (A) | 409,600 | 7,042,386 | |||
Bank of Beijing Company, Ltd., Class A | 258,100 | 161,033 | |||
Bank of Changsha Company, Ltd., Class A | 51,000 | 59,155 | |||
Bank of Chengdu Company, Ltd., Class A | 41,800 | 86,580 | |||
Bank of China, Ltd., Class A | 375,500 | 174,789 | |||
Bank of China, Ltd., H Shares | 14,691,722 | 5,388,219 | |||
Bank of Communications Company, Ltd., Class A | 490,200 | 346,130 | |||
Bank of Communications Company, Ltd., H Shares | 1,577,876 | 932,932 | |||
Bank of Hangzhou Company, Ltd., Class A | 65,100 | 113,844 | |||
Bank of Jiangsu Company, Ltd., Class A | 171,200 | 177,387 | |||
Bank of Nanjing Company, Ltd., Class A | 114,500 | 163,514 | |||
Bank of Ningbo Company, Ltd., Class A | 72,100 | 306,432 | |||
Bank of Shanghai Company, Ltd., Class A | 166,000 | 143,045 | |||
Baoshan Iron & Steel Company, Ltd., Class A | 247,800 | 234,935 | |||
BBMG Corp., Class A | 76,600 | 28,814 | |||
Beijing Capital International Airport Company, Ltd., H Shares (A) | 325,111 | 237,976 | |||
Beijing Dabeinong Technology Group Company, Ltd., Class A (A) | 45,800 | 54,345 | |||
Beijing Easpring Material Technology Company, Ltd., Class A | 5,500 | 47,252 | |||
Beijing Enlight Media Company, Ltd., Class A | 31,200 | 34,128 | |||
Beijing Kingsoft Office Software, Inc., Class A | 4,911 | 205,999 | |||
Beijing New Building Materials PLC, Class A | 18,600 | 80,533 | |||
Beijing Originwater Technology Company, Ltd., Class A | 27,000 | 19,515 | |||
Beijing Roborock Technology Company, Ltd., Class A | 945 | 49,025 | |||
Beijing Shiji Information Technology Company, Ltd., Class A | 17,200 | 41,146 | |||
Beijing Shunxin Agriculture Company, Ltd., Class A | 8,800 | 42,646 | |||
Beijing Sinnet Technology Company, Ltd., Class A | 19,200 | 28,348 | |||
Beijing Tiantan Biological Products Corp., Ltd., Class A | 16,880 | 56,787 | |||
Beijing United Information Technology Company, Ltd., Class A | 4,930 | 57,384 | |||
Beijing Wantai Biological Pharmacy Enterprise Company, Ltd., Class A | 6,035 | 110,334 | |||
Beijing Yuanliu Hongyuan Electronic Technology Company, Ltd., Class A | 2,100 | 27,233 | |||
Beijing-Shanghai High Speed Railway Company, Ltd., Class A | 432,200 | 308,493 | |||
Betta Pharmaceuticals Company, Ltd., Class A | 4,300 | 36,105 | |||
BGI Genomics Company, Ltd., Class A | 4,300 | 34,471 | |||
Bilibili, Inc., Class Z (A) | 33,460 | 647,628 | |||
Bloomage Biotechnology Corp., Ltd., Class A | 3,396 | 62,089 | |||
BOC International China Company, Ltd., Class A | 33,100 | 54,138 |
The accompanying notes are an integral part of the financial statements. | 40 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
BOE Technology Group Company, Ltd., Class A | 416,500 | $ | 249,966 | ||
BTG Hotels Group Company, Ltd., Class A | 13,100 | 46,383 | |||
BYD Company, Ltd., Class A | 20,000 | 749,401 | |||
BYD Company, Ltd., H Shares | 150,694 | 4,051,296 | |||
BYD Electronic International Company, Ltd. | 123,700 | 360,696 | |||
By-health Company, Ltd., Class A | 17,900 | 59,154 | |||
Caitong Securities Company, Ltd., Class A | 64,000 | 71,069 | |||
CanSino Biologics, Inc., Class A | 1,263 | 23,386 | |||
CanSino Biologics, Inc., H Shares (B) | 17,000 | 129,172 | |||
CECEP Solar Energy Company, Ltd., Class A | 32,400 | 33,094 | |||
CECEP Wind-Power Corp., Class A | 50,700 | 28,918 | |||
CETC Cyberspace Security Technology Company, Ltd., Class A | 9,400 | 42,403 | |||
CGN Power Company, Ltd., H Shares (B) | 1,943,000 | 435,798 | |||
Chacha Food Company, Ltd., Class A | 5,600 | 36,918 | |||
Changchun High & New Technology Industry Group, Inc., Class A | 4,400 | 124,924 | |||
Changjiang Securities Company, Ltd., Class A | 80,900 | 65,889 | |||
Changzhou Xingyu Automotive Lighting Systems Company, Ltd., Class A | 3,000 | 65,224 | |||
Chaozhou Three-Circle Group Company, Ltd., Class A | 20,800 | 95,354 | |||
Chengtun Mining Group Company, Ltd., Class A | 25,700 | 23,112 | |||
Chengxin Lithium Group Company, Ltd., Class A | 9,200 | 50,253 | |||
Chifeng Jilong Gold Mining Company, Ltd., Class A (A) | 13,700 | 36,578 | |||
China Baoan Group Company, Ltd., Class A | 28,000 | 51,555 | |||
China Cinda Asset Management Company, Ltd., H Shares | 1,804,300 | 234,511 | |||
China CITIC Bank Corp., Ltd., H Shares | 1,651,400 | 764,034 | |||
China Coal Energy Company, Ltd., H Shares | 372,000 | 287,868 | |||
China Communications Services Corp., Ltd., H Shares | 458,400 | 178,224 | |||
China Conch Venture Holdings, Ltd. | 307,200 | 618,233 | |||
China Construction Bank Corp., Class A | 147,300 | 119,733 | |||
China Construction Bank Corp., H Shares | 17,679,796 | 10,807,264 | |||
China CSSC Holdings, Ltd., Class A | 49,500 | 170,311 | |||
China Eastern Airlines Corp., Ltd., Class A (A) | 80,500 | 63,000 | |||
China Energy Engineering Corp., Ltd., Class A | 360,800 | 123,738 | |||
China Everbright Bank Company, Ltd., Class A | 519,900 | 223,255 | |||
China Everbright Bank Company, Ltd., H Shares | 588,595 | 169,499 | |||
China Evergrande Group (A) | 667,935 | 938 | |||
China Feihe, Ltd. (B) | 653,000 | 523,385 | |||
China Galaxy Securities Company, Ltd., Class A | 54,500 | 75,528 | |||
China Galaxy Securities Company, Ltd., H Shares | 693,600 | 345,719 | |||
China Great Wall Securities Company, Ltd., Class A | 37,100 | 46,427 | |||
China Greatwall Technology Group Company, Ltd., Class A | 32,500 | 60,900 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
China Hongqiao Group, Ltd. | �� | 418,300 | $ | 447,415 | |
China Huishan Dairy Holdings Company, Ltd. (A)(D) | 175,000 | 0 | |||
China International Capital Corp., Ltd., Class A | 12,800 | 77,281 | |||
China International Capital Corp., Ltd., H Shares (B) | 287,800 | 619,655 | |||
China Jushi Company, Ltd., Class A | 44,700 | 97,602 | |||
China Lesso Group Holdings, Ltd. | 193,000 | 203,574 | |||
China Life Insurance Company, Ltd., Class A | 30,400 | 156,678 | |||
China Life Insurance Company, Ltd., H Shares | 1,405,276 | 2,383,787 | |||
China Literature, Ltd. (A)(B) | 73,200 | 313,417 | |||
China Longyuan Power Group Corp., Ltd., H Shares | 611,000 | 749,505 | |||
China Medical System Holdings, Ltd. | 247,800 | 373,051 | |||
China Meheco Company, Ltd., Class A | 17,860 | 40,565 | |||
China Meidong Auto Holdings, Ltd. | 102,000 | 219,588 | |||
China Merchants Bank Company, Ltd., Class A | 229,300 | 1,233,469 | |||
China Merchants Bank Company, Ltd., H Shares | 714,874 | 3,879,265 | |||
China Merchants Securities Company, Ltd., Class A | 89,600 | 180,515 | |||
China Merchants Shekou Industrial Zone Holdings Company, Ltd., Class A | 89,000 | 189,952 | |||
China Minsheng Banking Corp., Ltd., Class A | 391,700 | 192,467 | |||
China Minsheng Banking Corp., Ltd., H Shares | 1,140,720 | 393,952 | |||
China National Building Material Company, Ltd., H Shares | 714,600 | 633,581 | |||
China National Chemical Engineering Company, Ltd., Class A | 69,900 | 90,846 | |||
China National Nuclear Power Company, Ltd., Class A | 198,300 | 173,218 | |||
China Northern Rare Earth Group High-Tech Company, Ltd., Class A | 38,900 | 162,842 | |||
China Oilfield Services, Ltd., H Shares | 330,000 | 352,141 | |||
China Pacific Insurance Group Company, Ltd., Class A | 83,100 | 330,882 | |||
China Pacific Insurance Group Company, Ltd., H Shares | 499,979 | 1,326,225 | |||
China Petroleum & Chemical Corp., Class A | 348,700 | 233,953 | |||
China Petroleum & Chemical Corp., H Shares | 4,717,439 | 2,406,730 | |||
China Railway Group, Ltd., Class A | 233,400 | 203,193 | |||
China Railway Group, Ltd., H Shares | 781,800 | 407,464 | |||
China Railway Signal & Communication Corp., Ltd., Class A | 56,465 | 41,574 | |||
China Rare Earth Resources and Technology Company, Ltd., Class A (A) | 10,300 | 59,753 | |||
China Resources Microelectronics, Ltd., Class A | 11,508 | 89,833 | |||
China Resources Mixc Lifestyle Services, Ltd. (B) | 124,000 | 680,767 | |||
China Resources Sanjiu Medical & Pharmaceutical Company, Ltd., Class A | 11,300 | 82,895 | |||
China Shenhua Energy Company, Ltd., Class A | 72,700 | 293,391 | |||
China Shenhua Energy Company, Ltd., H Shares | 620,900 | 1,867,592 |
The accompanying notes are an integral part of the financial statements. | 41 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
China Southern Airlines Company, Ltd., Class A (A) | 121,500 | $ | 138,306 | ||
China Southern Airlines Company, Ltd., H Shares (A) | 323,700 | 236,031 | |||
China State Construction Engineering Corp., Ltd., Class A | 487,700 | 395,113 | |||
China Suntien Green Energy Corp., Ltd., H Shares | 312,000 | 136,794 | |||
China Three Gorges Renewables Group Company, Ltd., Class A | 312,200 | 251,546 | |||
China Tourism Group Duty Free Corp., Ltd., Class A | 21,500 | 612,480 | |||
China Tower Corp., Ltd., H Shares (B) | 8,140,400 | 881,612 | |||
China United Network Communications, Ltd., Class A | 339,900 | 258,692 | |||
China Vanke Company, Ltd., Class A | 112,400 | 277,233 | |||
China Vanke Company, Ltd., H Shares | 310,700 | 543,224 | |||
China Yangtze Power Company, Ltd., Class A | 249,600 | 761,376 | |||
China Zhenhua Group Science & Technology Company, Ltd., Class A | 5,400 | 80,837 | |||
China Zheshang Bank Company, Ltd., Class A (A) | 198,800 | 83,661 | |||
Chinasoft International, Ltd. (A) | 506,000 | 363,405 | |||
Chongqing Brewery Company, Ltd., Class A | 5,200 | 103,053 | |||
Chongqing Changan Automobile Company, Ltd., Class A | 90,410 | 174,517 | |||
Chongqing Fuling Zhacai Group Company, Ltd., Class A | 10,400 | 38,338 | |||
Chongqing Rural Commercial Bank Company, Ltd., Class A | 141,400 | 73,764 | |||
Chongqing Zhifei Biological Products Company, Ltd., Class A | 17,500 | 225,862 | |||
CIFI Ever Sunshine Services Group, Ltd. | 136,000 | 54,972 | |||
CIFI Holdings Group Company, Ltd. (C) | 757,848 | 81,386 | |||
CITIC Securities Company, Ltd., Class A | 144,000 | 428,421 | |||
CITIC Securities Company, Ltd., H Shares | 388,800 | 823,681 | |||
CITIC, Ltd. | 1,083,933 | 1,195,968 | |||
CMOC Group, Ltd., Class A | 192,900 | 164,266 | |||
CMOC Group, Ltd., H Shares | 640,600 | 360,721 | |||
CNGR Advanced Material Company, Ltd., Class A | 4,400 | 44,529 | |||
CNNC Hua Yuan Titanium Dioxide Company, Ltd., Class A | 32,955 | 34,861 | |||
Contemporary Amperex Technology Company, Ltd., Class A | 25,600 | 1,485,458 | |||
COSCO SHIPPING Development Company, Ltd., Class A | 111,900 | 40,475 | |||
COSCO SHIPPING Energy Transportation Company, Ltd., Class A (A) | 35,700 | 74,428 | |||
COSCO SHIPPING Holdings Company, Ltd., Class A | 140,200 | 217,747 | |||
COSCO SHIPPING Holdings Company, Ltd., H Shares | 585,889 | 607,698 | |||
Country Garden Holdings Company, Ltd. | 1,504,467 | 461,364 | |||
Country Garden Services Holdings Company, Ltd. | 369,400 | 687,807 | |||
CRRC Corp., Ltd., Class A | 264,200 | 217,019 | |||
CRRC Corp., Ltd., H Shares | 834,000 | 381,590 | |||
CSC Financial Company, Ltd., Class A | 50,000 | 192,893 | |||
CSPC Pharmaceutical Group, Ltd. | 1,645,888 | 1,768,176 | |||
Daan Gene Company, Ltd., Class A | 16,000 | 36,961 | |||
Dali Foods Group Company, Ltd. (B) | 355,800 | 143,910 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Daqin Railway Company, Ltd., Class A | 182,700 | $ | 178,740 | ||
Daqo New Energy Corp., ADR (A) | 10,800 | 477,144 | |||
DaShenLin Pharmaceutical Group Company, Ltd., Class A | 9,920 | 55,212 | |||
DHC Software Company, Ltd., Class A | 27,300 | 25,859 | |||
Do-Fluoride New Materials Company, Ltd., Class A | 8,100 | 42,537 | |||
Dong-E-E-Jiao Company, Ltd., Class A | 7,400 | 50,956 | |||
Dongfang Electric Corp., Ltd., Class A | 30,700 | 87,252 | |||
Dongfeng Motor Group Company, Ltd., H Shares | 540,980 | 276,369 | |||
Dongxing Securities Company, Ltd., Class A | 56,900 | 70,435 | |||
Dongyue Group, Ltd. | 271,000 | 306,904 | |||
East Money Information Company, Ltd., Class A | 147,080 | 442,278 | |||
Ecovacs Robotics Company, Ltd., Class A | 4,900 | 63,863 | |||
ENN Energy Holdings, Ltd. | 144,800 | 2,061,337 | |||
ENN Natural Gas Company, Ltd., Class A | 26,200 | 72,891 | |||
Eve Energy Company, Ltd., Class A | 20,800 | 217,459 | |||
Everbright Securities Company, Ltd., Class A | 44,900 | 101,179 | |||
Fangda Carbon New Material Company, Ltd., Class A (A) | 41,000 | 39,522 | |||
FAW Jiefang Group Company, Ltd., Class A | 27,200 | 33,398 | |||
Fiberhome Telecommunication Technologies Company, Ltd., Class A | 10,300 | 24,756 | |||
First Capital Securities Company, Ltd., Class A | 56,000 | 48,267 | |||
Flat Glass Group Company, Ltd., Class A | 18,000 | 89,555 | |||
Flat Glass Group Company, Ltd., H Shares | 79,000 | 209,267 | |||
Focus Media Information Technology Company, Ltd., Class A | 158,800 | 149,355 | |||
Foshan Haitian Flavouring & Food Company, Ltd., Class A | 42,270 | 500,882 | |||
Fosun International, Ltd. | 463,000 | 378,800 | |||
Founder Securities Company, Ltd., Class A | 98,100 | 98,511 | |||
Foxconn Industrial Internet Company, Ltd., Class A | 113,200 | 156,614 | |||
Fujian Sunner Development Company, Ltd., Class A | 13,400 | 47,913 | |||
Fuyao Glass Industry Group Company, Ltd., Class A | 22,200 | 118,638 | |||
Fuyao Glass Industry Group Company, Ltd., H Shares (B) | 109,600 | 491,156 | |||
Ganfeng Lithium Group Company, Ltd., Class A | 17,660 | 184,000 | |||
Ganfeng Lithium Group Company, Ltd., H Shares (B) | 66,240 | 462,706 | |||
G-bits Network Technology Xiamen Company, Ltd., Class A | 700 | 35,632 | |||
GCL System Integration Technology Company, Ltd., Class A (A) | 57,100 | 26,059 | |||
GD Power Development Company, Ltd., Class A (A) | 188,000 | 106,422 | |||
GDS Holdings, Ltd., Class A (A) | 157,900 | 381,971 | |||
GEM Company, Ltd., Class A | 50,600 | 57,461 | |||
Gemdale Corp., Class A | 54,000 | 75,264 | |||
Genscript Biotech Corp. (A) | 211,400 | 578,644 | |||
GF Securities Company, Ltd., Class A | 68,600 | 161,099 | |||
GF Securities Company, Ltd., H Shares | 213,800 | 303,556 | |||
Giant Network Group Company, Ltd., Class A | 22,600 | 32,977 |
The accompanying notes are an integral part of the financial statements. | 42 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
GigaDevice Semiconductor, Inc., Class A | 7,100 | $ | 107,192 | ||
Ginlong Technologies Company, Ltd., Class A (A) | 4,000 | 91,348 | |||
GoerTek, Inc., Class A | 37,500 | 116,252 | |||
Gotion High-tech Company, Ltd., Class A | 18,100 | 76,950 | |||
Great Wall Motor Company, Ltd., Class A | 23,800 | 118,256 | |||
Great Wall Motor Company, Ltd., H Shares | 569,650 | 755,959 | |||
Gree Electric Appliances, Inc. of Zhuhai, Class A | 36,100 | 184,527 | |||
Greentown China Holdings, Ltd. | 159,500 | 218,087 | |||
Greentown Service Group Company, Ltd. | 263,000 | 175,491 | |||
GRG Banking Equipment Company, Ltd., Class A | 22,200 | 34,204 | |||
Guangdong Haid Group Company, Ltd., Class A | 18,000 | 164,672 | |||
Guangdong Kinlong Hardware Products Company, Ltd., Class A | 3,300 | 45,663 | |||
Guanghui Energy Company, Ltd., Class A | 74,200 | 115,122 | |||
Guangzhou Automobile Group Company, Ltd., Class A | 52,100 | 86,129 | |||
Guangzhou Automobile Group Company, Ltd., H Shares | 548,426 | 349,690 | |||
Guangzhou Baiyunshan Pharmaceutical Holdings Company, Ltd., Class A | 17,000 | 77,352 | |||
Guangzhou Haige Communications Group, Inc. Company, Class A | 26,100 | 35,815 | |||
Guangzhou Kingmed Diagnostics Group Company, Ltd., Class A | 4,900 | 59,528 | |||
Guangzhou Shiyuan Electronic Technology Company, Ltd., Class A | 6,800 | 67,277 | |||
Guangzhou Tinci Materials Technology Company, Ltd., Class A | 20,800 | 134,575 | |||
Guangzhou Yuexiu Capital Holdings Group Company, Ltd., Class A | 47,445 | 44,840 | |||
Guolian Securities Company, Ltd., Class A | 27,800 | 45,456 | |||
Guosen Securities Company, Ltd., Class A | 84,900 | 118,042 | |||
Guotai Junan Securities Company, Ltd., Class A | 99,300 | 204,426 | |||
Guoyuan Securities Company, Ltd., Class A | 62,800 | 63,698 | |||
H World Group, Ltd., ADR | 35,700 | 1,691,109 | |||
Haidilao International Holding, Ltd. (A)(B) | 203,000 | 562,255 | |||
Haier Smart Home Company, Ltd., Class A | 70,400 | 267,035 | |||
Haier Smart Home Company, Ltd., H Shares | 419,440 | 1,484,430 | |||
Haitian International Holdings, Ltd. | 115,600 | 302,152 | |||
Haitong Securities Company, Ltd., Class A | 120,900 | 159,362 | |||
Haitong Securities Company, Ltd., H Shares | 554,800 | 357,042 | |||
Hangzhou First Applied Material Company, Ltd., Class A | 14,420 | 142,691 | |||
Hangzhou Lion Electronics Company, Ltd., Class A | 7,200 | 46,255 | |||
Hangzhou Oxygen Plant Group Company, Ltd., Class A | 10,400 | 58,389 | |||
Hangzhou Robam Appliances Company, Ltd., Class A | 10,700 | 47,419 | |||
Hangzhou Silan Microelectronics Company, Ltd., Class A | 14,800 | 71,845 | |||
Hangzhou Tigermed Consulting Company, Ltd., A Shares | 4,200 | 69,733 | |||
Hangzhou Tigermed Consulting Company, Ltd., H Shares (B) | 22,700 | 260,695 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Hansoh Pharmaceutical Group Company, Ltd. (B) | 216,000 | $ | 388,311 | ||
Heilongjiang Agriculture Company, Ltd., Class A | 18,900 | 38,763 | |||
Henan Shenhuo Coal & Power Company, Ltd., Class A | 24,600 | 66,194 | |||
Henan Shuanghui Investment & Development Company, Ltd., Class A | 38,500 | 146,800 | |||
Hengan International Group Company, Ltd. | 117,200 | 539,036 | |||
Hengli Petrochemical Company, Ltd., Class A | 64,900 | 165,117 | |||
Hengtong Optic-electric Company, Ltd., Class A | 27,900 | 59,200 | |||
Hengyi Petrochemical Company, Ltd., Class A | 40,000 | 46,772 | |||
Hesteel Company, Ltd., Class A | 116,900 | 42,443 | |||
Hithink RoyalFlush Information Network Company, Ltd., Class A | 6,300 | 107,295 | |||
Hongfa Technology Company, Ltd., Class A | 11,320 | 57,165 | |||
Hoshine Silicon Industry Company, Ltd., Class A | 5,300 | 74,840 | |||
Hua Hong Semiconductor, Ltd. (A)(B) | 107,100 | 410,694 | |||
Huadian Power International Corp., Ltd., Class A | 84,400 | 69,732 | |||
Huadong Medicine Company, Ltd., Class A | 19,400 | 134,155 | |||
Huafon Chemical Company, Ltd., Class A | 54,400 | 63,906 | |||
Huagong Tech Company, Ltd., Class A | 10,300 | 29,515 | |||
Huaibei Mining Holdings Company, Ltd., Class A | 25,500 | 53,391 | |||
Hualan Biological Engineering, Inc., Class A | 20,500 | 65,486 | |||
Huaneng Power International, Inc., Class A (A) | 102,300 | 120,381 | |||
Huaneng Power International, Inc., H Shares (A) | 725,564 | 357,076 | |||
Huatai Securities Company, Ltd., Class A | 92,400 | 167,748 | |||
Huatai Securities Company, Ltd., H Shares (B) | 289,000 | 325,324 | |||
Huaxi Securities Company, Ltd., Class A | 40,400 | 48,067 | |||
Huaxia Bank Company, Ltd., Class A | 155,600 | 117,041 | |||
Huaxin Cement Company, Ltd., Class A | 15,400 | 38,719 | |||
Huayu Automotive Systems Company, Ltd., Class A | 36,600 | 99,724 | |||
Hubei Xingfa Chemicals Group Company, Ltd., Class A | 12,300 | 62,208 | |||
Huizhou Desay Sv Automotive Company, Ltd., Class A | 6,000 | 98,450 | |||
Humanwell Healthcare Group Company, Ltd., Class A | 18,500 | 71,116 | |||
Hunan Valin Steel Company, Ltd., Class A | 81,600 | 65,984 | |||
Hundsun Technologies, Inc., Class A | 20,000 | 128,001 | |||
Hygeia Healthcare Holdings Company, Ltd. (A)(B) | 62,200 | 453,165 | |||
Iflytek Company, Ltd., Class A | 24,700 | 171,838 | |||
Imeik Technology Development Company, Ltd., Class A | 2,000 | 169,335 | |||
Industrial & Commercial Bank of China, Ltd., Class A | 708,600 | 439,036 | |||
Industrial & Commercial Bank of China, Ltd., H Shares | 10,378,423 | 5,178,440 | |||
Industrial Bank Company, Ltd., Class A | 230,800 | 562,304 |
The accompanying notes are an integral part of the financial statements. | 43 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Industrial Securities Company, Ltd., Class A | 83,900 | $ | 77,720 | ||
Ingenic Semiconductor Company, Ltd., Class A | 5,100 | 55,502 | |||
Inner Mongolia BaoTou Steel Union Company, Ltd., Class A | 494,900 | 146,319 | |||
Inner Mongolia Dian Tou Energy Corp., Ltd., Class A | 20,700 | 39,746 | |||
Inner Mongolia ERDOS Resources Company, Ltd., Class A | 12,900 | 31,120 | |||
Inner Mongolia Junzheng Energy & Chemical Industry Group Company, Ltd., Class A | 95,400 | 60,764 | |||
Inner Mongolia Yili Industrial Group Company, Ltd., Class A | 71,400 | 313,543 | |||
Inner Mongolia Yitai Coal Company, Ltd., Class B | 197,173 | 265,870 | |||
Inner Mongolia Yuan Xing Energy Company, Ltd., Class A | 42,200 | 57,381 | |||
Innovent Biologics, Inc. (A)(B) | 187,500 | 911,930 | |||
Inspur Electronic Information Industry Company, Ltd., Class A | 15,700 | 88,085 | |||
Intco Medical Technology Company, Ltd., Class A | 7,360 | 27,212 | |||
iQIYI, Inc., ADR (A) | 62,500 | 483,125 | |||
JA Solar Technology Company, Ltd., Class A | 24,420 | 214,519 | |||
Jafron Biomedical Company, Ltd., Class A | 7,700 | 35,935 | |||
Jason Furniture Hangzhou Company, Ltd., Class A | 8,430 | 57,226 | |||
JCET Group Company, Ltd., Class A | 17,700 | 71,746 | |||
JD Health International, Inc. (A)(B) | 204,350 | 1,430,501 | |||
JD.com, Inc., Class A | 367,587 | 8,171,434 | |||
Jiangsu Eastern Shenghong Company, Ltd., Class A | 42,400 | 94,742 | |||
Jiangsu Expressway Company, Ltd., H Shares | 220,955 | 211,226 | |||
Jiangsu Hengli Hydraulic Company, Ltd., Class A | 13,500 | 134,069 | |||
Jiangsu Hengrui Medicine Company, Ltd., Class A | 70,600 | 442,565 | |||
Jiangsu King's Luck Brewery JSC, Ltd., Class A | 13,600 | 125,670 | |||
Jiangsu Yanghe Brewery Joint-Stock Company, Ltd., Class A | 16,600 | 405,951 | |||
Jiangsu Yangnong Chemical Company, Ltd., Class A | 3,100 | 47,952 | |||
Jiangsu Yoke Technology Company, Ltd., Class A | 4,900 | 34,907 | |||
Jiangsu Yuyue Medical Equipment & Supply Company, Ltd., Class A | 10,600 | 48,133 | |||
Jiangsu Zhongtian Technology Company, Ltd., Class A | 38,300 | 88,612 | |||
Jiangxi Copper Company, Ltd., Class A | 21,400 | 60,530 | |||
Jiangxi Copper Company, Ltd., H Shares | 198,225 | 312,615 | |||
Jiangxi Special Electric Motor Company, Ltd., Class A (A) | 17,900 | 46,061 | |||
Jiangxi Zhengbang Technology Company, Ltd., Class A (A) | 25,600 | 12,978 | |||
Jinke Properties Group Company, Ltd., Class A (A) | 77,800 | 21,267 | |||
Jinxin Fertility Group, Ltd. (B) | 276,500 | 220,106 | |||
JiuGui Liquor Company, Ltd., Class A | 3,500 | 76,494 | |||
Jiumaojiu International Holdings, Ltd. (B) | 132,000 | 318,966 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Jizhong Energy Resources Company, Ltd., Class A | 37,900 | $ | 38,892 | ||
Joincare Pharmaceutical Group Industry Company, Ltd., Class A | 21,300 | 40,485 | |||
Joinn Laboratories China Company, Ltd., Class A | 4,840 | 40,983 | |||
Jointown Pharmaceutical Group Company, Ltd., Class A | 20,600 | 42,955 | |||
Jonjee Hi-Tech Industrial And Commercial Holding Company, Ltd., Class A | 9,600 | 52,686 | |||
Juewei Food Company, Ltd., Class A | 7,000 | 52,876 | |||
Kanzhun, Ltd., ADR (A) | 15,500 | 312,325 | |||
KE Holdings, Inc., ADR (A) | 57,500 | 1,049,375 | |||
Keda Industrial Group Company, Ltd., Class A | 20,400 | 48,172 | |||
Kingdee International Software Group Company, Ltd. (A) | 472,800 | 883,410 | |||
Kingfa Sci & Tech Company, Ltd., Class A | 25,300 | 36,496 | |||
Kingsoft Corp., Ltd. | 174,000 | 574,482 | |||
Kuaishou Technology (A)(B) | 319,400 | 2,140,448 | |||
Kuang-Chi Technologies Company, Ltd., Class A | 23,400 | 58,999 | |||
Kunlun Tech Company, Ltd., Class A | 13,000 | 41,531 | |||
Kweichow Moutai Company, Ltd., Class A | 13,800 | 3,610,308 | |||
LB Group Company, Ltd., Class A | 27,100 | 85,436 | |||
Lenovo Group, Ltd. | 1,325,764 | 1,193,058 | |||
Lens Technology Company, Ltd., Class A | 52,700 | 96,660 | |||
Lepu Medical Technology Beijing Company, Ltd., Class A | 19,500 | 65,926 | |||
Li Auto, Inc., ADR (A) | 100,200 | 2,365,722 | |||
Li Ning Company, Ltd. | 430,500 | 3,673,330 | |||
Liaoning Port Company, Ltd., Class A | 173,200 | 40,429 | |||
Lingyi iTech Guangdong Company, Class A (A) | 68,800 | 56,748 | |||
Livzon Pharmaceutical Group, Inc., Class A | 7,400 | 38,155 | |||
Logan Group Company, Ltd. (A) | 236,500 | 34,512 | |||
Longfor Group Holdings, Ltd. (B) | 334,700 | 958,124 | |||
LONGi Green Energy Technology Company, Ltd., Class A | 83,040 | 529,607 | |||
Lufax Holding, Ltd., ADR | 155,500 | 335,880 | |||
Luoyang Xinqianglian Slewing Bearing Company, Ltd., Class A | 3,690 | 29,659 | |||
Luxi Chemical Group Company, Ltd., Class A | 22,900 | 47,823 | |||
Luxshare Precision Industry Company, Ltd., Class A | 78,000 | 335,730 | |||
Luzhou Laojiao Company, Ltd., Class A | 16,200 | 582,548 | |||
Maanshan Iron & Steel Company, Ltd., Class A | 57,800 | 25,733 | |||
Mango Excellent Media Company, Ltd., Class A | 19,900 | 95,992 | |||
Maxscend Microelectronics Company, Ltd., Class A | 5,600 | 94,444 | |||
Meinian Onehealth Healthcare Holdings Company, Ltd., Class A (A) | 38,600 | 36,507 | |||
Meituan, Class B (A)(B) | 865,161 | 15,014,815 | |||
Metallurgical Corp. of China, Ltd., Class A | 203,800 | 100,168 | |||
Microport Scientific Corp. (A) | 113,100 | 320,869 | |||
Ming Yang Smart Energy Group, Ltd., Class A | 22,900 | 83,772 | |||
Ming Yuan Cloud Group Holdings, Ltd. | 116,000 | 79,209 | |||
Minth Group, Ltd. | 138,000 | 358,606 |
The accompanying notes are an integral part of the financial statements. | 44 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Montage Technology Company, Ltd., Class A | 12,392 | $ | 103,091 | ||
Muyuan Foods Company, Ltd., Class A | 58,200 | 414,900 | |||
Nanjing King-Friend Biochemical Pharmaceutical Company, Ltd., Class A | 15,960 | 39,722 | |||
Nanjing Securities Company, Ltd., Class A | 46,600 | 60,815 | |||
NARI Technology Company, Ltd., Class A | 73,840 | 279,380 | |||
National Silicon Industry Group Company, Ltd., Class A (A) | 22,454 | 64,985 | |||
NAURA Technology Group Company, Ltd., Class A | 5,800 | 194,384 | |||
NavInfo Company, Ltd., Class A | 26,400 | 49,541 | |||
NetEase, Inc. | 380,000 | 5,905,374 | |||
New China Life Insurance Company, Ltd., Class A | 27,100 | 121,725 | |||
New China Life Insurance Company, Ltd., H Shares | 176,200 | 427,031 | |||
New Hope Liuhe Company, Ltd., Class A (A) | 48,400 | 91,963 | |||
New Oriental Education & Technology Group, Inc. (A) | 278,200 | 1,072,817 | |||
Ninestar Corp., Class A | 14,800 | 114,986 | |||
Ningbo Deye Technology Company, Ltd., Class A | 2,200 | 104,761 | |||
Ningbo Joyson Electronic Corp., Class A (A) | 13,700 | 31,047 | |||
Ningbo Orient Wires & Cables Company, Ltd., Class A | 7,600 | 60,235 | |||
Ningbo Ronbay New Energy Technology Company, Ltd., Class A | 4,934 | 51,254 | |||
Ningbo Shanshan Company, Ltd., Class A | 23,300 | 60,012 | |||
Ningbo Tuopu Group Company, Ltd., Class A | 11,900 | 114,772 | |||
Ningxia Baofeng Energy Group Company, Ltd., Class A | 67,000 | 152,576 | |||
NIO, Inc., ADR (A)(C) | 241,000 | 2,262,990 | |||
Nongfu Spring Company, Ltd., H Shares (B) | 322,800 | 1,811,931 | |||
North Industries Group Red Arrow Company, Ltd., Class A | 15,800 | 51,543 | |||
Northeast Securities Company, Ltd., Class A | 48,700 | 48,001 | |||
Offshore Oil Engineering Company, Ltd., Class A | 37,300 | 36,617 | |||
OFILM Group Company, Ltd., Class A (A) | 27,500 | 20,374 | |||
Oppein Home Group, Inc., Class A | 5,500 | 112,231 | |||
Orient Securities Company, Ltd., Class A | 93,100 | 136,826 | |||
Ovctek China, Inc., Class A | 8,800 | 43,631 | |||
Pangang Group Vanadium Titanium & Resources Company, Ltd., Class A (A) | 94,900 | 76,338 | |||
PDD Holdings, Inc., ADR (A) | 80,400 | 7,053,492 | |||
Perfect World Company, Ltd., Class A | 22,400 | 45,884 | |||
PetroChina Company, Ltd., Class A | 221,200 | 166,396 | |||
PetroChina Company, Ltd., H Shares | 3,881,939 | 1,980,325 | |||
Pharmaron Beijing Company, Ltd., Class A | 11,150 | 95,905 | |||
Pharmaron Beijing Company, Ltd., H Shares (B) | 36,450 | 204,397 | |||
PICC Property & Casualty Company, Ltd., H Shares | 1,298,798 | 1,140,801 | |||
Ping An Bank Company, Ltd., Class A | 211,500 | 419,299 | |||
Ping An Healthcare and Technology Company, Ltd. (A)(B) | 91,200 | 209,002 | |||
Ping An Insurance Group Company of China, Ltd., Class A | 122,500 | 851,483 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Ping An Insurance Group Company of China, Ltd., H Shares | 1,164,910 | $ | 7,952,300 | ||
Pingdingshan Tianan Coal Mining Company, Ltd., Class A | 21,800 | 37,700 | |||
Poly Developments and Holdings Group Company, Ltd., Class A | 135,600 | 294,941 | |||
Pop Mart International Group, Ltd. (B)(C) | 101,200 | 281,945 | |||
Postal Savings Bank of China Company, Ltd., Class A | 307,000 | 199,992 | |||
Postal Savings Bank of China Company, Ltd., H Shares (B) | 1,467,300 | 881,558 | |||
Power Construction Corp. of China, Ltd., Class A | 169,400 | 175,276 | |||
Proya Cosmetics Company, Ltd., Class A | 1,360 | 35,766 | |||
Qingdao Rural Commercial Bank Corp., Class A | 77,400 | 32,991 | |||
Raytron Technology Company, Ltd., Class A | 3,863 | 25,739 | |||
Riyue Heavy Industry Company, Ltd., Class A | 10,600 | 38,359 | |||
RLX Technology, Inc., ADR (A) | 86,600 | 168,870 | |||
Rongsheng Petrochemical Company, Ltd., Class A | 110,600 | 215,392 | |||
SAIC Motor Corp., Ltd., Class A | 89,500 | 193,815 | |||
Sailun Group Company, Ltd., Class A | 32,500 | 52,058 | |||
Sangfor Technologies, Inc., Class A | 4,000 | 82,251 | |||
Sany Heavy Equipment International Holdings Company, Ltd. | 195,000 | 194,606 | |||
Sany Heavy Industry Company, Ltd., Class A | 94,000 | 253,725 | |||
Satellite Chemical Company, Ltd., Class A | 36,643 | 91,788 | |||
SDIC Power Holdings Company, Ltd., Class A | 75,900 | 118,477 | |||
Sealand Securities Company, Ltd., Class A | 84,400 | 42,398 | |||
Seazen Group, Ltd. (A) | 358,800 | 120,782 | |||
Seazen Holdings Company, Ltd., Class A (A) | 27,400 | 77,224 | |||
SF Holding Company, Ltd., Class A | 53,800 | 417,253 | |||
SG Micro Corp., Class A | 3,600 | 81,303 | |||
Shaanxi Coal Industry Company, Ltd., Class A | 105,600 | 304,350 | |||
Shan Xi Hua Yang Group New Energy Company, Ltd., Class A | 25,300 | 58,020 | |||
Shandong Buchang Pharmaceuticals Company, Ltd., Class A | 14,200 | 41,884 | |||
Shandong Gold Mining Company, Ltd., Class A | 37,800 | 103,439 | |||
Shandong Gold Mining Company, Ltd., H Shares (B) | 125,750 | 215,640 | |||
Shandong Hualu Hengsheng Chemical Company, Ltd., Class A | 22,600 | 117,645 | |||
Shandong Linglong Tyre Company, Ltd., Class A | 15,900 | 51,628 | |||
Shandong Nanshan Aluminum Company, Ltd., Class A | 129,500 | 67,369 | |||
Shandong Sun Paper Industry JSC, Ltd., Class A | 27,400 | 50,962 | |||
Shandong Weigao Group Medical Polymer Company, Ltd., H Shares | 454,000 | 732,832 | |||
Shanghai Bairun Investment Holding Group Company, Ltd., Class A | 11,020 | 66,620 | |||
Shanghai Baosight Software Company, Ltd., Class A | 15,550 | 110,886 |
The accompanying notes are an integral part of the financial statements. | 45 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Shanghai Baosight Software Company, Ltd., Class B | 89,823 | $ | 292,792 | ||
Shanghai Construction Group Company, Ltd., Class A | 101,000 | 39,447 | |||
Shanghai Electric Group Company, Ltd., Class A (A) | 130,100 | 78,516 | |||
Shanghai Fosun Pharmaceutical Group Company, Ltd., Class A | 24,200 | 117,520 | |||
Shanghai Fosun Pharmaceutical Group Company, Ltd., H Shares | 90,100 | 263,598 | |||
Shanghai Friendess Electronic Technology Corp., Ltd., Class A | 1,111 | 33,669 | |||
Shanghai International Airport Company, Ltd., Class A (A) | 10,700 | 90,489 | |||
Shanghai International Port Group Company, Ltd., Class A | 106,200 | 81,405 | |||
Shanghai Jinjiang International Hotels Company, Ltd., Class A | 10,300 | 92,083 | |||
Shanghai Junshi Biosciences Company, Ltd., Class A (A) | 7,371 | 56,109 | |||
Shanghai Lingang Holdings Corp., Ltd., Class A | 16,400 | 28,873 | |||
Shanghai Lujiazui Finance & Trade Zone Development Company, Ltd., B Shares | 176,180 | 137,480 | |||
Shanghai M&G Stationery, Inc., Class A | 9,300 | 72,604 | |||
Shanghai Medicilon, Inc., Class A | 872 | 23,758 | |||
Shanghai Pharmaceuticals Holding Company, Ltd., Class A | 32,500 | 92,519 | |||
Shanghai Pharmaceuticals Holding Company, Ltd., H Shares | 142,400 | 251,121 | |||
Shanghai Pudong Development Bank Company, Ltd., Class A | 334,200 | 345,761 | |||
Shanghai Putailai New Energy Technology Company, Ltd., Class A | 15,000 | 108,601 | |||
Shanghai RAAS Blood Products Company, Ltd., Class A | 70,300 | 62,795 | |||
Shanghai Yuyuan Tourist Mart Group Company, Ltd., Class A | 41,800 | 47,229 | |||
Shanghai Zhangjiang High-Tech Park Development Company, Ltd., Class A | 11,400 | 20,660 | |||
Shanxi Coking Coal Energy Group Company, Ltd., Class A | 43,800 | 82,140 | |||
Shanxi Lu'an Environmental Energy Development Company, Ltd., Class A | 31,000 | 99,672 | |||
Shanxi Meijin Energy Company, Ltd., Class A | 46,100 | 62,412 | |||
Shanxi Securities Company, Ltd., Class A | 54,800 | 45,737 | |||
Shanxi Taigang Stainless Steel Company, Ltd., Class A | 62,600 | 43,108 | |||
Shanxi Xinghuacun Fen Wine Factory Company, Ltd., Class A | 13,300 | 542,218 | |||
Shenghe Resources Holding Company, Ltd., Class A | 18,000 | 41,554 | |||
Shengyi Technology Company, Ltd., Class A | 23,900 | 62,431 | |||
Shennan Circuits Company, Ltd., Class A | 5,400 | 62,052 | |||
Shenwan Hongyuan Group Company, Ltd., Class A | 264,000 | 160,386 | |||
Shenzhen Capchem Technology Company, Ltd., Class A | 7,640 | 51,064 | |||
Shenzhen Dynanonic Company, Ltd., Class A | 1,800 | 58,624 | |||
Shenzhen Energy Group Company, Ltd., Class A | 46,600 | 41,811 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Shenzhen Inovance Technology Company, Ltd., Class A | 28,700 | $ | 302,803 | ||
Shenzhen Kangtai Biological Products Company, Ltd., Class A | 11,820 | 59,033 | |||
Shenzhen Kedali Industry Company, Ltd., Class A | 2,400 | 42,309 | |||
Shenzhen Mindray Bio-Medical Electronics Company, Ltd., Class A | 13,200 | 596,424 | |||
Shenzhen New Industries Biomedical Engineering Company, Ltd., Class A | 6,300 | 55,607 | |||
Shenzhen Overseas Chinese Town Company, Ltd., Class A | 93,800 | 71,679 | |||
Shenzhen Salubris Pharmaceuticals Company, Ltd., Class A | 9,900 | 52,882 | |||
Shenzhen SC New Energy Technology Corp., Class A | 3,800 | 70,565 | |||
Shenzhen Senior Technology Material Company, Ltd., Class A | 13,885 | 42,440 | |||
Shenzhen Sunlord Electronics Company, Ltd., Class A | 8,200 | 30,074 | |||
Shenzhen Transsion Holdings Company, Ltd., Class A | 6,984 | 81,163 | |||
Shenzhou International Group Holdings, Ltd. | 151,800 | 1,660,929 | |||
Shijiazhuang Yiling Pharmaceutical Company, Ltd., Class A | 19,000 | 82,139 | |||
Sichuan Chuantou Energy Company, Ltd., Class A | 37,500 | 70,144 | |||
Sichuan Hebang Biotechnology Company, Ltd., Class A | 98,800 | 44,831 | |||
Sichuan Kelun Pharmaceutical Company, Ltd., Class A | 16,300 | 67,759 | |||
Sichuan New Energy Power Company, Ltd. (A) | 15,200 | 39,811 | |||
Sichuan Road & Bridge Group Company, Ltd., Class A | 51,500 | 94,308 | |||
Sichuan Swellfun Company, Ltd., Class A | 5,000 | 59,653 | |||
Sichuan Yahua Industrial Group Company, Ltd., Class A | 12,200 | 43,007 | |||
Sieyuan Electric Company, Ltd., Class A | 8,300 | 56,165 | |||
Silergy Corp. | 35,000 | 658,563 | |||
Sinolink Securities Company, Ltd., Class A | 52,800 | 71,189 | |||
Sinoma Science & Technology Company, Ltd., Class A | 18,600 | 61,662 | |||
Sinomine Resource Group Company, Ltd., Class A | 4,900 | 52,861 | |||
Sinopec Shanghai Petrochemical Company, Ltd., Class A | 67,400 | 31,732 | |||
Sinopharm Group Company, Ltd., H Shares | 249,400 | 667,972 | |||
Sinotrans, Ltd., Class A | 49,000 | 27,756 | |||
Sinotruk Hong Kong, Ltd. | 129,600 | 204,265 | |||
Skshu Paint Company, Ltd., Class A (A) | 3,900 | 68,784 | |||
Smoore International Holdings, Ltd. (B)(C) | 329,000 | 407,903 | |||
Songcheng Performance Development Company, Ltd., Class A | 31,500 | 71,177 | |||
SooChow Securities Company, Ltd., Class A | 64,300 | 65,214 | |||
Southwest Securities Company, Ltd., Class A | 96,200 | 56,543 | |||
StarPower Semiconductor, Ltd., Class A | 1,800 | 76,491 | |||
Sunac China Holdings, Ltd. (A)(D) | 599,000 | 314,556 | |||
Sungrow Power Supply Company, Ltd., Class A | 16,000 | 275,120 |
The accompanying notes are an integral part of the financial statements. | 46 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Sunny Optical Technology Group Company, Ltd. | 130,350 | $ | 1,482,318 | ||
Sunwoda Electronic Company, Ltd., Class A | 19,200 | 59,697 | |||
Suzhou Dongshan Precision Manufacturing Company, Ltd., Class A | 19,900 | 83,538 | |||
Suzhou Maxwell Technologies Company, Ltd., Class A | 1,840 | 97,184 | |||
Suzhou TA&A Ultra Clean Technology Company, Ltd., Class A | 6,200 | 51,265 | |||
TAL Education Group, ADR (A) | 77,162 | 542,449 | |||
Tangshan Jidong Cement Company, Ltd., Class A | 29,100 | 37,823 | |||
TBEA Company, Ltd., Class A | 42,000 | 130,484 | |||
TCL Technology Group Corp., Class A | 156,000 | 99,694 | |||
TCL Zhonghuan Renewable Energy Technology Company, Ltd., Class A | 34,900 | 219,099 | |||
Tencent Holdings, Ltd. | 1,144,712 | 50,285,374 | |||
Tencent Music Entertainment Group, ADR (A) | 130,400 | 983,216 | |||
The People's Insurance Company Group of China, Ltd., Class A | 78,700 | 59,194 | |||
The People's Insurance Company Group of China, Ltd., H Shares | 1,607,100 | 508,118 | |||
Thunder Software Technology Company, Ltd., Class A | 4,500 | 61,875 | |||
Tianjin 712 Communication & Broadcasting Company, Ltd., Class A | 7,600 | 37,275 | |||
Tianma Microelectronics Company, Ltd., Class A | 11,000 | 15,155 | |||
Tianshan Aluminum Group Company, Ltd., Class A | 40,900 | 48,829 | |||
Tianshui Huatian Technology Company, Ltd., Class A | 26,700 | 36,816 | |||
Tibet Summit Resources Company, Ltd., Class A (A) | 9,200 | 34,671 | |||
Tingyi Cayman Islands Holding Corp. | 357,800 | 578,056 | |||
Titan Wind Energy Suzhou Company, Ltd., Class A | 20,100 | 44,308 | |||
Toly Bread Company, Ltd., Class A | 13,740 | 34,899 | |||
Tongcheng Travel Holdings, Ltd. (A) | 222,400 | 441,459 | |||
TongFu Microelectronics Company, Ltd., Class A (A) | 10,900 | 35,032 | |||
Tongkun Group Company, Ltd., Class A | 29,500 | 69,493 | |||
Tongling Nonferrous Metals Group Company, Ltd., Class A | 106,900 | 51,992 | |||
Tongwei Company, Ltd., Class A | 49,300 | 297,774 | |||
Topchoice Medical Corp., Class A (A) | 3,500 | 73,672 | |||
Topsports International Holdings, Ltd. (B) | 330,000 | 288,640 | |||
Transfar Zhilian Company, Ltd., Class A | 36,500 | 31,294 | |||
TravelSky Technology, Ltd., H Shares | 169,400 | 334,380 | |||
Trina Solar Company, Ltd., Class A | 23,880 | 212,379 | |||
Trip.com Group, Ltd., ADR (A) | 99,600 | 3,540,780 | |||
Tsingtao Brewery Company, Ltd., Class A | 8,100 | 130,144 | |||
Tsingtao Brewery Company, Ltd., H Shares | 114,700 | 1,132,064 | |||
Unigroup Guoxin Microelectronics Company, Ltd., Class A | 8,979 | 143,193 | |||
Uni-President China Holdings, Ltd. | 234,900 | 205,956 | |||
Unisplendour Corp., Ltd., Class A | 31,000 | 113,293 | |||
Vipshop Holdings, Ltd., ADR (A) | 82,900 | 1,234,382 | |||
Walvax Biotechnology Company, Ltd., Class A | 17,400 | 95,786 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Wanhua Chemical Group Company, Ltd., Class A | 34,400 | $ | 516,990 | ||
Want Want China Holdings, Ltd. | 867,412 | 545,699 | |||
Weibo Corp., ADR (A) | 12,880 | 266,358 | |||
Weichai Power Company, Ltd., Class A | 81,000 | 144,950 | |||
Weichai Power Company, Ltd., H Shares | 348,980 | 517,972 | |||
Weihai Guangwei Composites Company, Ltd., Class A | 5,600 | 53,730 | |||
Wens Foodstuffs Group Company, Ltd., Class A | 70,500 | 200,830 | |||
Western Mining Company, Ltd., Class A | 25,400 | 42,041 | |||
Western Securities Company, Ltd., Class A | 60,300 | 57,536 | |||
Western Superconducting Technologies Company, Ltd., Class A | 5,005 | 65,354 | |||
Will Semiconductor Company, Ltd., Class A | 12,745 | 157,822 | |||
Wingtech Technology Company, Ltd., Class A | 13,500 | 104,731 | |||
Winning Health Technology Group Company, Ltd., Class A | 19,000 | 27,801 | |||
Wuchan Zhongda Group Company, Ltd., Class A | 60,100 | 42,343 | |||
Wuhan Guide Infrared Company, Ltd., Class A | 32,360 | 55,547 | |||
Wuliangye Yibin Company, Ltd., Class A | 42,800 | 1,257,885 | |||
WUS Printed Circuit Kunshan Company, Ltd., Class A | 20,700 | 48,862 | |||
WuXi AppTec Company, Ltd., Class A | 28,800 | 343,516 | |||
WuXi AppTec Company, Ltd., H Shares (B) | 64,229 | 685,256 | |||
WuXi Biologics Cayman, Inc. (A)(B) | 657,600 | 4,603,302 | |||
Wuxi Shangji Automation Company, Ltd., Class A | 4,160 | 66,570 | |||
XCMG Construction Machinery Company, Ltd., Class A | 95,200 | 97,318 | |||
Xiamen C & D, Inc., Class A | 36,200 | 68,877 | |||
Xiamen Faratronic Company, Ltd., Class A | 2,400 | 52,669 | |||
Xiamen Intretech, Inc., Class A | 7,100 | 19,907 | |||
Xiamen Tungsten Company, Ltd., Class A | 15,000 | 49,460 | |||
Xiaomi Corp., Class B (A)(B) | 2,801,500 | 4,244,224 | |||
Xinjiang Goldwind Science & Technology Company, Ltd., Class A | 40,000 | 65,417 | |||
Xinjiang Goldwind Science & Technology Company, Ltd., H Shares | 141,000 | 127,188 | |||
Xinjiang Zhongtai Chemical Company, Ltd., Class A | 31,100 | 37,872 | |||
Xinyi Solar Holdings, Ltd. | 895,000 | 957,001 | |||
XPeng, Inc., ADR (A)(C) | 77,600 | 692,192 | |||
Xtep International Holdings, Ltd. | 238,500 | 269,775 | |||
Yadea Group Holdings, Ltd. (B) | 216,000 | 463,578 | |||
Yangzhou Yangjie Electronic Technology Company, Ltd., Class A | 5,500 | 43,294 | |||
Yankuang Energy Group Company, Ltd., Class A | 28,100 | 144,466 | |||
Yankuang Energy Group Company, Ltd., H Shares | 276,710 | 834,652 | |||
Yantai Jereh Oilfield Services Group Company, Ltd., Class A | 10,500 | 46,671 | |||
Yealink Network Technology Corp., Ltd., Class A | 9,300 | 89,253 | |||
Yifeng Pharmacy Chain Company, Ltd., Class A | 7,600 | 66,228 | |||
Yihai International Holding, Ltd. (A) | 85,500 | 248,911 |
The accompanying notes are an integral part of the financial statements. | 47 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Yihai Kerry Arawana Holdings Company, Ltd., Class A | 16,300 | $ | 107,934 | ||
Yintai Gold Company, Ltd., Class A | 27,400 | 45,759 | |||
YongXing Special Materials Technology Company, Ltd., Class A | 4,300 | 56,797 | |||
Yonyou Network Technology Company, Ltd., Class A | 36,400 | 122,137 | |||
Youngor Group Company, Ltd., Class A | 62,900 | 59,652 | |||
Youngy Company, Ltd., Class A (A) | 2,700 | 38,613 | |||
YTO Express Group Company, Ltd., Class A | 39,100 | 102,286 | |||
Yuan Longping High-tech Agriculture Company, Ltd., Class A (A) | 14,200 | 34,985 | |||
Yum China Holdings, Inc. (New York Stock Exchange) | 78,192 | 4,592,216 | |||
Yunda Holding Company, Ltd., Class A | 32,500 | 59,688 | |||
Yunnan Aluminium Company, Ltd., Class A | 36,200 | 69,439 | |||
Yunnan Baiyao Group Company, Ltd., Class A | 20,140 | 165,012 | |||
Yunnan Botanee Bio-Technology Group Company, Ltd., Class A | 3,100 | 61,794 | |||
Yunnan Energy New Material Company, Ltd., Class A | 9,800 | 177,131 | |||
Yunnan Tin Company, Ltd., Class A | 17,500 | 38,981 | |||
Zai Lab, Ltd., ADR (A) | 15,900 | 590,685 | |||
Zhangzhou Pientzehuang Pharmaceutical Company, Ltd., Class A | 6,500 | 289,327 | |||
Zhaojin Mining Industry Company, Ltd., H Shares (A) | 202,500 | 212,648 | |||
Zhefu Holding Group Company, Ltd., Class A | 54,900 | 33,062 | |||
Zhejiang Century Huatong Group Company, Ltd., Class A (A) | 85,100 | 53,878 | |||
Zhejiang China Commodities City Group Company, Ltd., Class A | 57,600 | 43,986 | |||
Zhejiang Chint Electrics Company, Ltd., Class A | 24,300 | 105,050 | |||
Zhejiang Dahua Technology Company, Ltd., Class A | 33,800 | 70,489 | |||
Zhejiang Dingli Machinery Company, Ltd., Class A | 5,500 | 46,400 | |||
Zhejiang Expressway Company, Ltd., H Shares | 254,782 | 205,487 | |||
Zhejiang HangKe Technology, Inc., Company, Class A | 4,121 | 29,852 | |||
Zhejiang Huahai Pharmaceutical Company, Ltd., Class A | 15,400 | 46,000 | |||
Zhejiang Huayou Cobalt Company, Ltd., Class A | 17,210 | 146,667 | |||
Zhejiang Jingsheng Mechanical & Electrical Company, Ltd., Class A | 13,800 | 136,227 | |||
Zhejiang Jiuzhou Pharmaceutical Company, Ltd., Class A | 8,500 | 48,259 | |||
Zhejiang Juhua Company, Ltd., Class A | 29,900 | 81,139 | |||
Zhejiang NHU Company, Ltd., Class A | 33,780 | 92,289 | |||
Zhejiang Orient Gene Biotech Company, Ltd., Class A | 1,976 | 21,025 | |||
Zhejiang Semir Garment Company, Ltd., Class A | 24,800 | 21,754 | |||
Zhejiang Supor Company, Ltd., Class A | 5,800 | 47,524 | |||
Zhejiang Weiming Environment Protection Company, Ltd., Class A | 18,080 | 51,105 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
China (continued) | |||||
Zhejiang Weixing New Building Materials Company, Ltd., Class A | 15,700 | $ | 58,011 | ||
Zhejiang Wolwo Bio-Pharmaceutical Company, Ltd., Class A | 5,100 | 38,717 | |||
Zhejiang Yongtai Technology Company, Ltd., Class A | 9,600 | 32,127 | |||
Zheshang Securities Company, Ltd., Class A | 49,500 | 73,585 | |||
ZhongAn Online P&C Insurance Company, Ltd., H Shares (A)(B) | 129,500 | 372,860 | |||
Zhongji Innolight Company, Ltd., Class A | 8,800 | 44,957 | |||
Zhongsheng Group Holdings, Ltd. | 109,600 | 547,477 | |||
Zhongtai Securities Company, Ltd., Class A | 63,500 | 63,739 | |||
Zhuzhou CRRC Times Electric Company, Ltd. | 99,600 | 453,862 | |||
Zhuzhou CRRC Times Electric Company, Ltd., Class A | 6,951 | 51,818 | |||
Zhuzhou Hongda Electronics Corp., Ltd., Class A | 3,900 | 25,629 | |||
Zhuzhou Kibing Group Company, Ltd., Class A | 29,400 | 46,364 | |||
Zibo Qixiang Tengda Chemical Company, Ltd., Class A (A) | 30,200 | 31,297 | |||
Zijin Mining Group Company, Ltd., Class A | 231,900 | 381,639 | |||
Zijin Mining Group Company, Ltd., H Shares | 1,041,529 | 1,576,211 | |||
Zoomlion Heavy Industry Science and Technology Company, Ltd., Class A | 73,900 | 71,385 | |||
Zoomlion Heavy Industry Science and Technology Company, Ltd., H Shares | 275,000 | 158,875 | |||
ZTE Corp., Class A | 44,600 | 206,873 | |||
ZTE Corp., H Shares | 137,415 | 408,275 | |||
ZTO Express Cayman, Inc., ADR | 77,400 | 1,862,244 | |||
345,865,573 | |||||
Colombia - 0.1% | |||||
Bancolombia SA | 88,552 | 654,195 | |||
Ecopetrol SA | 1,733,817 | 962,631 | |||
Interconexion Electrica SA ESP | 155,807 | 551,801 | |||
2,168,627 | |||||
Czech Republic - 0.0% | |||||
CEZ AS | 23,078 | 1,076,033 | |||
Komercni banka AS | 10,967 | 369,440 | |||
Moneta Money Bank AS (B) | 47,558 | 181,170 | |||
1,626,643 | |||||
Denmark - 2.0% | |||||
A.P. Moller - Maersk A/S, Series A | 534 | 1,220,560 | |||
A.P. Moller - Maersk A/S, Series B | 997 | 2,322,360 | |||
Carlsberg A/S, Class B | 18,077 | 2,554,479 | |||
Chr. Hansen Holding A/S | 18,850 | 1,306,796 | |||
Coloplast A/S, B Shares | 21,340 | 2,465,754 | |||
Danske Bank A/S | 125,172 | 2,906,903 | |||
Demant A/S (A) | 17,052 | 509,940 | |||
DSV A/S | 34,524 | 6,273,227 | |||
Genmab A/S (A) | 11,850 | 4,458,551 | |||
GN Store Nord A/S (C) | 23,632 | 510,207 | |||
Novo Nordisk A/S, B Shares | 303,217 | 42,831,000 | |||
Novozymes A/S, B Shares | 36,746 | 1,769,831 | |||
Orsted A/S (B) | 33,930 | 2,953,371 | |||
Pandora A/S | 17,085 | 1,618,354 | |||
ROCKWOOL A/S, B Shares | 1,609 | 365,305 | |||
Tryg A/S | 66,641 | 1,476,329 |
The accompanying notes are an integral part of the financial statements. | 48 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Denmark (continued) | |||||
Vestas Wind Systems A/S | 181,690 | $ | 5,184,517 | ||
80,727,484 | |||||
Finland - 0.5% | |||||
Elisa OYJ | 17,015 | 966,249 | |||
Fortum OYJ | 53,863 | 823,211 | |||
Kesko OYJ, B Shares | 32,857 | 713,517 | |||
Kone OYJ, B Shares | 41,513 | 2,155,834 | |||
Neste OYJ | 51,631 | 2,490,222 | |||
Nokia OYJ | 666,777 | 3,084,871 | |||
Nordea Bank ABP | 370,644 | 4,696,887 | |||
Orion OYJ, Class B | 13,035 | 614,223 | |||
Sampo OYJ, A Shares | 63,380 | 3,085,344 | |||
Stora Enso OYJ, R Shares | 68,411 | 967,180 | |||
UPM-Kymmene OYJ | 65,625 | 2,378,012 | |||
Wartsila OYJ ABP | 58,322 | 563,310 | |||
22,538,860 | |||||
France - 7.7% | |||||
Accor SA (A) | 29,520 | 979,747 | |||
Aeroports de Paris | 5,106 | 739,815 | |||
Air Liquide SA | 92,112 | 14,634,391 | |||
Airbus SE | 103,843 | 13,600,342 | |||
Alstom SA | 55,737 | 1,635,779 | |||
Amundi SA (B) | 11,654 | 766,519 | |||
Arkema SA | 10,572 | 1,071,778 | |||
AXA SA | 346,418 | 10,916,121 | |||
BioMerieux | 7,282 | 713,056 | |||
BNP Paribas SA | 196,186 | 13,715,563 | |||
Bollore SE | 152,744 | 853,219 | |||
Bouygues SA | 40,004 | 1,353,601 | |||
Bureau Veritas SA | 51,284 | 1,465,004 | |||
Capgemini SE | 28,799 | 5,400,842 | |||
Carrefour SA | 108,782 | 2,150,556 | |||
Cie de Saint-Gobain | 87,948 | 5,226,095 | |||
Cie Generale des Etablissements Michelin SCA | 119,280 | 3,747,298 | |||
Covivio | 7,962 | 509,925 | |||
Credit Agricole SA | 223,161 | 2,719,775 | |||
Danone SA | 114,891 | 6,458,280 | |||
Dassault Aviation SA | 4,365 | 750,389 | |||
Dassault Systemes SE | 117,378 | 4,529,631 | |||
Edenred | 43,571 | 2,452,444 | |||
Eiffage SA | 14,481 | 1,589,274 | |||
Electricite de France SA | 98,552 | 1,228,539 | |||
Engie SA | 322,016 | 4,699,289 | |||
EssilorLuxottica SA | 50,634 | 8,777,557 | |||
Eurazeo SE | 7,739 | 520,758 | |||
Gecina SA | 7,920 | 911,191 | |||
Getlink SE | 75,767 | 1,272,492 | |||
Hermes International | 5,576 | 10,093,286 | |||
Ipsen SA | 6,645 | 759,247 | |||
Kering SA | 13,187 | 7,731,799 | |||
Klepierre SA (A) | 37,528 | 935,934 | |||
La Francaise des Jeux SAEM (B) | 17,944 | 708,293 | |||
Legrand SA | 47,041 | 4,345,035 | |||
L'Oreal SA | 42,450 | 16,779,295 | |||
LVMH Moet Hennessy Louis Vuitton SE | 48,903 | 40,654,295 | |||
Orange SA | 350,785 | 4,004,658 | |||
Pernod Ricard SA | 36,963 | 7,710,885 | |||
Publicis Groupe SA | 40,148 | 3,187,230 | |||
Remy Cointreau SA | 4,043 | 709,732 | |||
Renault SA (A) | 33,921 | 1,518,195 | |||
Safran SA | 60,165 | 8,495,366 | |||
Sanofi | 200,479 | 18,744,406 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
France (continued) | |||||
Sartorius Stedim Biotech | 4,866 | $ | 1,584,837 | ||
Schneider Electric SE | 93,874 | 15,062,717 | |||
Schneider Electric SE (Euronext London Exchange) | 1,474 | 236,402 | |||
SEB SA | 4,285 | 494,304 | |||
Societe Generale SA | 141,590 | 4,080,553 | |||
Sodexo SA | 15,468 | 1,432,608 | |||
Teleperformance | 10,309 | 2,676,084 | |||
Thales SA | 18,791 | 2,627,048 | |||
TotalEnergies SE | 436,525 | 26,935,370 | |||
Ubisoft Entertainment SA (A) | 16,445 | 360,556 | |||
Unibail-Rodamco-Westfield (A) | 16,892 | 1,067,361 | |||
Unibail-Rodamco-Westfield (Euronext Amsterdam Exchange) (A) | 3,763 | 237,774 | |||
Valeo | 36,095 | 749,863 | |||
Veolia Environnement SA | 116,684 | 3,482,347 | |||
Vinci SA | 93,984 | 10,686,693 | |||
Vivendi SE | 125,679 | 1,293,320 | |||
Wendel SE | 4,722 | 535,528 | |||
Worldline SA (A)(B) | 41,948 | 1,747,235 | |||
317,057,526 | |||||
Germany - 4.4% | |||||
adidas AG | 26,340 | 3,933,787 | |||
Allianz SE | 62,968 | 14,785,698 | |||
BASF SE | 140,119 | 7,174,397 | |||
Bayer AG | 149,921 | 8,902,475 | |||
Bayerische Motoren Werke AG | 50,773 | 5,238,007 | |||
Bechtle AG | 12,354 | 520,262 | |||
Beiersdorf AG | 15,316 | 1,827,893 | |||
Brenntag SE | 23,309 | 1,755,705 | |||
Carl Zeiss Meditec AG, Bearer Shares | 6,129 | 816,964 | |||
Commerzbank AG (A) | 158,876 | 1,935,979 | |||
Continental AG | 16,683 | 1,197,705 | |||
Covestro AG (B) | 29,753 | 1,307,952 | |||
Daimler Truck Holding AG (A) | 68,937 | 2,183,513 | |||
Delivery Hero SE (A)(B) | 24,930 | 1,001,827 | |||
Deutsche Bank AG | 319,085 | 3,978,125 | |||
Deutsche Boerse AG | 29,010 | 5,058,579 | |||
Deutsche Lufthansa AG (A) | 89,557 | 927,877 | |||
Deutsche Post AG | 150,887 | 6,381,143 | |||
Deutsche Telekom AG | 493,601 | 11,077,895 | |||
E.ON SE | 340,768 | 3,718,068 | |||
Evonik Industries AG | 31,454 | 671,596 | |||
Fresenius Medical Care AG & Company KGaA | 31,225 | 1,220,132 | |||
Fresenius SE & Company KGaA | 64,050 | 1,762,472 | |||
GEA Group AG | 22,939 | 1,008,394 | |||
Hannover Rueck SE | 9,552 | 1,854,982 | |||
HeidelbergCement AG | 22,212 | 1,524,906 | |||
HelloFresh SE (A) | 25,049 | 561,159 | |||
Henkel AG & Company KGaA | 14,090 | 974,250 | |||
Infineon Technologies AG | 199,451 | 7,055,845 | |||
KION Group AG | 10,973 | 429,768 | |||
Knorr-Bremse AG | 10,708 | 727,767 | |||
LEG Immobilien SE | 11,079 | 802,312 | |||
Mercedes-Benz Group AG | 122,416 | 9,382,278 | |||
Merck KGaA | 19,748 | 3,742,102 | |||
MTU Aero Engines AG | 8,129 | 1,961,713 | |||
Muenchener Rueckversicherungs-Gesellschaft AG | 21,762 | 7,496,497 | |||
Nemetschek SE | 8,709 | 493,189 | |||
Puma SE | 15,908 | 1,012,613 | |||
Rational AG | 768 | 509,407 |
The accompanying notes are an integral part of the financial statements. | 49 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Germany (continued) | |||||
Rheinmetall AG | 6,652 | $ | 1,690,785 | ||
RWE AG | 97,450 | 4,136,475 | |||
SAP SE | 159,102 | 18,075,691 | |||
Scout24 SE (B) | 12,031 | 659,372 | |||
Siemens AG | 116,694 | 17,783,182 | |||
Siemens Energy AG (A)(C) | 66,462 | 1,331,788 | |||
Siemens Healthineers AG (B) | 42,973 | 2,242,763 | |||
Symrise AG | 20,223 | 2,066,166 | |||
Telefonica Deutschland Holding AG | 147,844 | 448,475 | |||
Uniper SE (C) | 13,326 | 38,600 | |||
United Internet AG | 13,805 | 301,680 | |||
Volkswagen AG | 4,432 | 787,388 | |||
Vonovia SE | 106,394 | 2,675,704 | |||
Zalando SE (A)(B) | 33,774 | 1,338,125 | |||
180,491,427 | |||||
Hong Kong - 2.2% | |||||
AIA Group, Ltd. | 1,918,509 | 20,389,947 | |||
Alibaba Health Information Technology, Ltd. (A) | 858,200 | 614,495 | |||
Alibaba Pictures Group, Ltd. (A) | 2,116,100 | 133,380 | |||
Beijing Enterprises Holdings, Ltd. | 97,214 | 318,441 | |||
Beijing Enterprises Water Group, Ltd. | 746,200 | 187,366 | |||
BOC Hong Kong Holdings, Ltd. | 586,500 | 1,984,919 | |||
Bosideng International Holdings, Ltd. | 586,000 | 325,067 | |||
Brilliance China Automotive Holdings, Ltd. | 489,800 | 245,026 | |||
Budweiser Brewing Company APAC, Ltd. (B) | 272,600 | 817,419 | |||
China Everbright Environment Group, Ltd. | 695,700 | 282,153 | |||
China Gas Holdings, Ltd. | 559,400 | 782,246 | |||
China Jinmao Holdings Group, Ltd. | 1,059,300 | 205,559 | |||
China Mengniu Dairy Company, Ltd. (A) | 580,253 | 2,554,085 | |||
China Merchants Port Holdings Company, Ltd. | 246,331 | 345,311 | |||
China Overseas Land & Investment, Ltd. | 708,797 | 1,759,580 | |||
China Overseas Property Holdings, Ltd. | 235,000 | 274,221 | |||
China Power International Development, Ltd. | 986,900 | 391,358 | |||
China Resources Beer Holdings Company, Ltd. | 296,899 | 2,196,481 | |||
China Resources Cement Holdings, Ltd. | 453,900 | 244,235 | |||
China Resources Gas Group, Ltd. | 168,400 | 710,593 | |||
China Resources Land, Ltd. | 592,405 | 2,632,215 | |||
China Resources Power Holdings Company, Ltd. | 353,432 | 721,682 | |||
China Ruyi Holdings, Ltd. (A) | 840,000 | 208,758 | |||
China State Construction International Holdings, Ltd. | 371,400 | 422,976 | |||
China Taiping Insurance Holdings Company, Ltd. | 295,800 | 349,618 | |||
China Traditional Chinese Medicine Holdings Company, Ltd. | 514,400 | 266,900 | |||
Chow Tai Fook Jewellery Group, Ltd. | 311,600 | 603,928 | |||
CK Asset Holdings, Ltd. | 317,198 | 1,989,477 | |||
CK Hutchison Holdings, Ltd. | 427,472 | 2,552,543 | |||
CK Infrastructure Holdings, Ltd. | 98,000 | 516,938 | |||
CLP Holdings, Ltd. | 257,500 | 1,820,993 | |||
COSCO SHIPPING Ports, Ltd. | 336,808 | 219,255 | |||
ESR Group, Ltd. (B) | 315,000 | 535,828 | |||
Far East Horizon, Ltd. | 279,100 | 246,884 | |||
Futu Holdings, Ltd., ADR (A)(C) | 9,500 | 467,495 | |||
Galaxy Entertainment Group, Ltd. | 345,000 | 2,296,886 | |||
Geely Automobile Holdings, Ltd. | 1,103,300 | 1,433,384 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hong Kong (continued) | |||||
Guangdong Investment, Ltd. | 538,880 | $ | 544,560 | ||
Hang Lung Properties, Ltd. | 317,000 | 611,392 | |||
Hang Seng Bank, Ltd. | 119,195 | 1,938,890 | |||
Henderson Land Development Company, Ltd. | 228,417 | 801,786 | |||
HK Electric Investments, Ltd. | 357,500 | 228,600 | |||
HKT Trust & HKT, Ltd. | 580,322 | 754,476 | |||
Hong Kong & China Gas Company, Ltd. | 1,751,863 | 1,646,756 | |||
Hong Kong Exchanges & Clearing, Ltd. | 190,577 | 7,633,117 | |||
Hongkong Land Holdings, Ltd. | 180,100 | 823,879 | |||
Hopson Development Holdings, Ltd. | 151,906 | 155,030 | |||
HUTCHMED China, Ltd., ADR (A)(C) | 15,800 | 261,490 | |||
Jardine Matheson Holdings, Ltd. | 33,932 | 1,681,997 | |||
Kingboard Holdings, Ltd. | 123,800 | 441,983 | |||
Kingboard Laminates Holdings, Ltd. | 172,000 | 214,495 | |||
Kunlun Energy Company, Ltd. | 717,390 | 574,805 | |||
Link REIT | 331,025 | 2,178,637 | |||
MTR Corp., Ltd. | 239,368 | 1,206,240 | |||
New World Development Company, Ltd. | 236,314 | 643,286 | |||
Nine Dragons Paper Holdings, Ltd. | 303,100 | 246,990 | |||
Orient Overseas International, Ltd. | 24,500 | 393,549 | |||
Power Assets Holdings, Ltd. | 216,500 | 1,158,011 | |||
Shenzhen International Holdings, Ltd. | 235,500 | 204,683 | |||
Shimao Group Holdings, Ltd. (A)(D) | 245,100 | 124,214 | |||
Sino Biopharmaceutical, Ltd. | 1,898,875 | 980,374 | |||
Sino Land Company, Ltd. | 533,075 | 683,590 | |||
SITC International Holdings Company, Ltd. | 211,000 | 441,401 | |||
Sun Hung Kai Properties, Ltd. | 230,500 | 3,150,109 | |||
Swire Pacific, Ltd., Class A | 80,000 | 652,857 | |||
Swire Properties, Ltd. | 181,200 | 476,828 | |||
Techtronic Industries Company, Ltd. | 217,500 | 2,166,140 | |||
The Wharf Holdings, Ltd. | 221,125 | 489,635 | |||
Vinda International Holdings, Ltd. | 65,000 | 179,032 | |||
WH Group, Ltd. (B) | 1,324,770 | 770,922 | |||
Wharf Real Estate Investment Company, Ltd. | 264,125 | 1,448,152 | |||
Xinyi Glass Holdings, Ltd. | 282,000 | 527,268 | |||
Yuexiu Property Company, Ltd. | 253,700 | 373,636 | |||
88,856,452 | |||||
Hungary - 0.1% | |||||
MOL Hungarian Oil & Gas PLC | 76,878 | 583,787 | |||
OTP Bank NYRT | 41,119 | 1,245,613 | |||
Richter Gedeon NYRT | 26,056 | 546,177 | |||
2,375,577 | |||||
India - 2.8% | |||||
ACC, Ltd. | 10,291 | 215,203 | |||
Adani Enterprises, Ltd. | 38,945 | 645,449 | |||
Adani Green Energy, Ltd. (A) | 44,312 | 259,507 | |||
Adani Ports & Special Economic Zone, Ltd. | 72,510 | 517,581 | |||
Adani Power, Ltd. (A) | 109,970 | 194,234 | |||
Adani Total Gas, Ltd. | 39,090 | 320,421 | |||
Adani Transmission, Ltd. (A) | 39,078 | 303,221 | |||
Ambuja Cements, Ltd. | 83,681 | 346,143 | |||
Apollo Hospitals Enterprise, Ltd. | 14,316 | 758,451 | |||
Asian Paints, Ltd. | 54,571 | 1,867,956 | |||
AU Small Finance Bank, Ltd. (B) | 22,329 | 160,021 | |||
Aurobindo Pharma, Ltd. | 38,644 | 215,355 | |||
Avenue Supermarts, Ltd. (A)(B) | 23,022 | 956,571 | |||
Axis Bank, Ltd. | 324,451 | 3,312,567 | |||
Bajaj Auto, Ltd. | 9,980 | 440,188 | |||
Bajaj Finance, Ltd. | 38,727 | 2,859,586 |
The accompanying notes are an integral part of the financial statements. | 50 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
India (continued) | |||||
Bajaj Finserv, Ltd. | 55,076 | $ | 888,266 | ||
Balkrishna Industries, Ltd. | 10,724 | 260,201 | |||
Bandhan Bank, Ltd. (A)(B) | 93,939 | 261,747 | |||
Berger Paints India, Ltd. | 32,389 | 227,776 | |||
Bharat Electronics, Ltd. | 521,160 | 596,622 | |||
Bharat Forge, Ltd. | 35,395 | 348,403 | |||
Bharat Petroleum Corp., Ltd. | 123,485 | 472,631 | |||
Bharti Airtel, Ltd. | 313,055 | 2,815,435 | |||
Biocon, Ltd. | 59,574 | 165,278 | |||
Britannia Industries, Ltd. | 15,255 | 824,224 | |||
Cholamandalam Investment and Finance Company, Ltd. | 58,520 | 535,477 | |||
Cipla, Ltd. | 69,273 | 758,462 | |||
Coal India, Ltd. | 216,664 | 562,586 | |||
Colgate-Palmolive India, Ltd. | 16,348 | 292,137 | |||
Container Corp. of India, Ltd. | 38,969 | 278,371 | |||
Dabur India, Ltd. | 87,852 | 566,481 | |||
Divi's Laboratories, Ltd. | 18,806 | 644,434 | |||
DLF, Ltd. | 88,237 | 374,939 | |||
Dr. Reddy's Laboratories, Ltd. | 16,697 | 869,642 | |||
Eicher Motors, Ltd. | 19,397 | 727,772 | |||
GAIL India, Ltd. | 339,429 | 421,969 | |||
Godrej Consumer Products, Ltd. (A) | 58,357 | 652,072 | |||
Godrej Properties, Ltd. (A) | 17,780 | 237,411 | |||
Grasim Industries, Ltd. | 37,377 | 709,570 | |||
Havells India, Ltd. | 35,431 | 513,508 | |||
HCL Technologies, Ltd. | 154,591 | 2,026,821 | |||
HDFC Life Insurance Company, Ltd. (B) | 140,618 | 831,018 | |||
Hero MotoCorp, Ltd. | 15,611 | 457,644 | |||
Hindalco Industries, Ltd. | 193,376 | 933,426 | |||
Hindustan Petroleum Corp., Ltd. | 90,435 | 235,830 | |||
Hindustan Unilever, Ltd. | 117,393 | 3,487,930 | |||
Housing Development Finance Corp., Ltd. | 246,047 | 7,758,098 | |||
ICICI Bank, Ltd. | 734,869 | 7,595,200 | |||
ICICI Lombard General Insurance Company, Ltd. (B) | 35,775 | 477,972 | |||
ICICI Prudential Life Insurance Company, Ltd. (B) | 54,239 | 267,989 | |||
Indian Oil Corp., Ltd. | 399,386 | 367,207 | |||
Indian Railway Catering & Tourism Corp., Ltd. | 33,529 | 246,679 | |||
Indraprastha Gas, Ltd. | 43,798 | 232,149 | |||
Indus Towers, Ltd. | 96,067 | 200,291 | |||
Info Edge India, Ltd. | 10,150 | 428,697 | |||
Infosys, Ltd. | 479,740 | 8,631,700 | |||
InterGlobe Aviation, Ltd. (A)(B) | 13,724 | 307,865 | |||
ITC, Ltd. | 424,210 | 1,931,121 | |||
Jindal Steel & Power, Ltd. | 58,180 | 386,671 | |||
JSW Steel, Ltd. | 101,966 | 822,959 | |||
Jubilant Foodworks, Ltd. | 55,669 | 297,993 | |||
Kotak Mahindra Bank, Ltd. | 79,669 | 1,667,195 | |||
Larsen & Toubro, Ltd. | 98,599 | 2,511,431 | |||
LTIMindtree, Ltd. (B) | 14,319 | 813,789 | |||
Lupin, Ltd. | 28,813 | 229,233 | |||
Mahindra & Mahindra, Ltd. | 124,269 | 1,915,301 | |||
Marico, Ltd. | 71,427 | 425,691 | |||
Maruti Suzuki India, Ltd. | 17,202 | 1,798,889 | |||
Mphasis, Ltd. | 11,904 | 294,977 | |||
MRF, Ltd. | 267 | 274,351 | |||
Muthoot Finance, Ltd. | 16,719 | 196,646 | |||
Nestle India, Ltd. | 4,733 | 1,066,150 | |||
NTPC, Ltd. | 555,155 | 1,141,695 | |||
Oil & Natural Gas Corp., Ltd. | 360,159 | 660,620 | |||
Page Industries, Ltd. | 865 | 396,811 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
India (continued) | |||||
Petronet LNG, Ltd. | 102,472 | $ | 274,928 | ||
PI Industries, Ltd. | 10,525 | 393,725 | |||
Pidilite Industries, Ltd. | 21,269 | 590,158 | |||
Piramal Enterprises, Ltd. | 17,319 | 161,254 | |||
Piramal Pharma, Ltd. (A) | 69,271 | 66,132 | |||
Power Grid Corp. of India, Ltd. | 446,356 | 1,197,701 | |||
Reliance Industries, Ltd. | 433,867 | 12,155,536 | |||
Samvardhana Motherson International, Ltd. | 265,812 | 256,854 | |||
SBI Cards & Payment Services, Ltd. | 33,483 | 303,921 | |||
SBI Life Insurance Company, Ltd. (B) | 65,159 | 879,051 | |||
Shree Cement, Ltd. | 1,522 | 474,240 | |||
Shriram Finance, Ltd. | 27,215 | 397,853 | |||
Siemens, Ltd. | 9,941 | 389,864 | |||
SRF, Ltd. | 21,132 | 553,361 | |||
State Bank of India | 256,942 | 1,622,102 | |||
Sun Pharmaceutical Industries, Ltd. | 137,996 | 1,598,905 | |||
Tata Consultancy Services, Ltd. | 131,683 | 5,297,128 | |||
Tata Consumer Products, Ltd. | 78,081 | 675,792 | |||
Tata Elxsi, Ltd. | 4,835 | 356,409 | |||
Tata Motors, Ltd. (A) | 236,439 | 1,200,987 | |||
Tata Steel, Ltd. | 1,047,291 | 1,319,045 | |||
Tech Mahindra, Ltd. | 83,460 | 1,108,186 | |||
The Tata Power Company, Ltd. | 204,224 | 499,574 | |||
Titan Company, Ltd. | 50,643 | 1,450,801 | |||
Torrent Pharmaceuticals, Ltd. | 14,296 | 253,146 | |||
Trent, Ltd. | 25,422 | 391,427 | |||
UltraTech Cement, Ltd. | 14,385 | 1,262,003 | |||
United Spirits, Ltd. (A) | 41,782 | 373,341 | |||
UPL, Ltd. | 70,024 | 589,846 | |||
Vedanta, Ltd. | 105,962 | 343,611 | |||
Wipro, Ltd. | 195,702 | 915,777 | |||
Yes Bank, Ltd. (A) | 1,573,893 | 334,835 | |||
Zomato, Ltd. (A) | 225,955 | 145,461 | |||
117,528,861 | |||||
Indonesia - 0.5% | |||||
Adaro Energy Indonesia Tbk PT | 2,571,145 | 503,746 | |||
Adaro Minerals Indonesia Tbk PT (A) | 1,458,800 | 124,324 | |||
Aneka Tambang Tbk | 1,485,600 | 193,860 | |||
Astra International Tbk PT | 3,661,308 | 1,464,552 | |||
Bank Central Asia Tbk PT | 9,856,850 | 5,653,287 | |||
Bank Jago Tbk PT (A) | 736,600 | 121,170 | |||
Bank Mandiri Persero Tbk PT | 3,345,556 | 2,193,181 | |||
Bank Negara Indonesia Persero Tbk PT | 1,375,353 | 791,002 | |||
Bank Rakyat Indonesia Persero Tbk PT | 12,166,210 | 3,723,657 | |||
Barito Pacific Tbk PT | 5,075,860 | 311,164 | |||
Charoen Pokphand Indonesia Tbk PT | 1,317,003 | 464,141 | |||
Gudang Garam Tbk PT | 89,982 | 147,523 | |||
Indah Kiat Pulp & Paper Tbk PT | 504,400 | 262,020 | |||
Indofood CBP Sukses Makmur Tbk PT | 418,900 | 278,184 | |||
Indofood Sukses Makmur Tbk PT | 812,417 | 344,919 | |||
Kalbe Farma Tbk PT | 3,797,110 | 525,275 | |||
Merdeka Copper Gold Tbk PT (A) | 2,137,000 | 636,095 | |||
Sarana Menara Nusantara Tbk PT | 4,067,900 | 280,037 | |||
Semen Indonesia Persero Tbk PT | 546,892 | 259,041 | |||
Sumber Alfaria Trijaya Tbk PT | 2,969,000 | 564,620 | |||
Telkom Indonesia Persero Tbk PT | 8,896,060 | 2,266,146 | |||
Tower Bersama Infrastructure Tbk PT | 1,372,200 | 188,040 | |||
Unilever Indonesia Tbk PT | 1,360,625 | 372,830 | |||
United Tractors Tbk PT | 299,937 | 548,600 | |||
Vale Indonesia Tbk PT (A) | 436,000 | 195,031 | |||
22,412,445 | |||||
Ireland - 0.7% | |||||
AerCap Holdings NV (A) | 16,500 | 1,030,260 |
The accompanying notes are an integral part of the financial statements. | 51 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Ireland (continued) | |||||
CRH PLC | 120,421 | $ | 5,656,583 | ||
DCC PLC | 23,572 | 1,309,106 | |||
Experian PLC | 221,463 | 7,466,423 | |||
Flutter Entertainment PLC (A) | 26,135 | 4,196,185 | |||
James Hardie Industries PLC, CHESS Depositary Interest | 88,280 | 1,839,288 | |||
Kerry Group PLC, Class A | 24,952 | 2,389,020 | |||
Kingspan Group PLC | 24,120 | 1,565,579 | |||
Smurfit Kappa Group PLC | 30,885 | 1,152,217 | |||
Smurfit Kappa Group PLC | 8,098 | 301,227 | |||
26,905,888 | |||||
Israel - 0.4% | |||||
Azrieli Group, Ltd. | 6,405 | 359,455 | |||
Bank Hapoalim BM | 191,846 | 1,604,643 | |||
Bank Leumi Le-Israel BM | 233,842 | 1,818,011 | |||
Check Point Software Technologies, Ltd. (A) | 15,600 | 1,930,032 | |||
CyberArk Software, Ltd. (A) | 6,000 | 868,620 | |||
Elbit Systems, Ltd. | 4,020 | 680,646 | |||
ICL Group, Ltd. | 106,148 | 770,355 | |||
Israel Discount Bank, Ltd., Class A | 187,420 | 889,024 | |||
Kornit Digital, Ltd. (A) | 7,700 | 157,850 | |||
Mizrahi Tefahot Bank, Ltd. | 23,146 | 688,291 | |||
Nice, Ltd. (A) | 9,545 | 1,984,073 | |||
Teva Pharmaceutical Industries, Ltd., ADR (A) | 168,036 | 1,665,237 | |||
Tower Semiconductor, Ltd. (A) | 16,513 | 675,480 | |||
Wix.com, Ltd. (A) | 8,600 | 778,558 | |||
ZIM Integrated Shipping Services, Ltd. (C) | 12,900 | 305,214 | |||
15,175,489 | |||||
Italy - 0.9% | |||||
Amplifon SpA | 15,128 | 437,427 | |||
Assicurazioni Generali SpA | 140,760 | 2,784,141 | |||
Davide Campari-Milano NV | 62,004 | 694,173 | |||
DiaSorin SpA | 3,036 | 365,982 | |||
Enel SpA | 981,715 | 5,506,978 | |||
Eni SpA | 304,139 | 4,295,658 | |||
Ferrari NV | 15,186 | 3,939,942 | |||
FinecoBank Banca Fineco SpA | 71,363 | 1,233,184 | |||
Infrastrutture Wireless Italiane SpA (B) | 38,561 | 424,405 | |||
Intesa Sanpaolo SpA | 1,990,359 | 5,376,513 | |||
Mediobanca Banca di Credito Finanziario SpA | 72,608 | 774,836 | |||
Moncler SpA | 24,817 | 1,512,742 | |||
Nexi SpA (A)(B) | 62,984 | 508,322 | |||
Poste Italiane SpA (B) | 65,923 | 710,831 | |||
Prysmian SpA | 30,613 | 1,176,914 | |||
Recordati Industria Chimica e Farmaceutica SpA | 12,308 | 521,939 | |||
Snam SpA | 232,757 | 1,143,527 | |||
Telecom Italia SpA (A) | 1,174,697 | 383,565 | |||
Terna - Rete Elettrica Nazionale | 165,731 | 1,245,871 | |||
UniCredit SpA | 254,296 | 5,202,513 | |||
38,239,463 | |||||
Japan - 9.6% | |||||
Advantest Corp. | 23,600 | 1,870,743 | |||
Aeon Company, Ltd. | 80,300 | 1,497,745 | |||
AGC, Inc. | 24,284 | 898,428 | |||
Aisin Corp. | 18,300 | 501,485 | |||
Ajinomoto Company, Inc. | 57,900 | 1,708,464 | |||
ANA Holdings, Inc. (A) | 19,200 | 389,540 | |||
Asahi Group Holdings, Ltd. | 56,861 | 2,010,852 | |||
Asahi Intecc Company, Ltd. | 27,100 | 461,406 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Asahi Kasei Corp. | 156,700 | $ | 1,091,418 | ||
Astellas Pharma, Inc. | 231,500 | 3,250,859 | |||
Azbil Corp. | 14,200 | 369,284 | |||
Bandai Namco Holdings, Inc. | 24,800 | 1,532,421 | |||
Bridgestone Corp. | 70,600 | 2,701,005 | |||
Brother Industries, Ltd. | 29,100 | 428,030 | |||
Canon, Inc. | 124,296 | 2,675,129 | |||
Capcom Company, Ltd. | 21,500 | 676,614 | |||
Central Japan Railway Company | 17,788 | 1,997,146 | |||
Chubu Electric Power Company, Inc. | 77,300 | 800,384 | |||
Chugai Pharmaceutical Company, Ltd. | 83,500 | 2,077,270 | |||
Concordia Financial Group, Ltd. | 135,500 | 582,143 | |||
CyberAgent, Inc. | 52,600 | 449,721 | |||
Dai Nippon Printing Company, Ltd. | 27,500 | 737,269 | |||
Daifuku Company, Ltd. | 12,600 | 687,132 | |||
Dai-ichi Life Holdings, Inc. | 128,200 | 2,735,060 | |||
Daiichi Sankyo Company, Ltd. | 217,900 | 6,863,052 | |||
Daikin Industries, Ltd. | 31,000 | 5,300,835 | |||
Daito Trust Construction Company, Ltd. | 7,700 | 725,330 | |||
Daiwa House Industry Company, Ltd. | 74,700 | 1,724,165 | |||
Daiwa House REIT Investment Corp. | 260 | 536,688 | |||
Daiwa Securities Group, Inc. | 173,418 | 828,929 | |||
Denso Corp. | 53,816 | 2,861,326 | |||
Dentsu Group, Inc. | 26,744 | 857,642 | |||
Disco Corp. | 3,600 | 1,128,822 | |||
East Japan Railway Company | 37,200 | 1,878,758 | |||
Eisai Company, Ltd. | 31,254 | 1,688,115 | |||
ENEOS Holdings, Inc. | 377,450 | 1,297,628 | |||
FANUC Corp. | 23,900 | 4,062,306 | |||
Fast Retailing Company, Ltd. | 21,900 | 4,323,407 | |||
Fuji Electric Company, Ltd. | 15,800 | 610,036 | |||
FUJIFILM Holdings Corp. | 44,715 | 2,086,039 | |||
Fujitsu, Ltd. | 24,400 | 3,133,650 | |||
GLP J-REIT | 509 | 534,498 | |||
GMO Payment Gateway, Inc. | 5,300 | 435,319 | |||
Hakuhodo DY Holdings, Inc. | 28,400 | 316,607 | |||
Hamamatsu Photonics KK | 17,200 | 844,015 | |||
Hankyu Hanshin Holdings, Inc. | 27,600 | 785,417 | |||
Hikari Tsushin, Inc. | 2,600 | 377,387 | |||
Hirose Electric Company, Ltd. | 3,630 | 443,818 | |||
Hitachi Construction Machinery Company, Ltd. | 13,500 | 301,925 | |||
Hitachi, Ltd. | 120,400 | 6,094,400 | |||
Honda Motor Company, Ltd. | 203,027 | 5,279,347 | |||
Hoshizaki Corp. | 13,200 | 467,949 | |||
Hoya Corp. | 46,000 | 4,554,124 | |||
Hulic Company, Ltd. | 46,200 | 367,693 | |||
Ibiden Company, Ltd. | 13,900 | 476,792 | |||
Idemitsu Kosan Company, Ltd. | 25,125 | 556,054 | |||
Iida Group Holdings Company, Ltd. | 18,700 | 310,757 | |||
Inpex Corp. | 129,100 | 1,353,535 | |||
Isuzu Motors, Ltd. | 72,500 | 866,986 | |||
Ito En, Ltd. | 6,400 | 215,533 | |||
ITOCHU Corp. | 147,937 | 4,421,940 | |||
Itochu Techno-Solutions Corp. | 11,300 | 251,467 | |||
Japan Airlines Company, Ltd. (A) | 17,500 | 329,524 | |||
Japan Exchange Group, Inc. | 63,498 | 947,048 | |||
Japan Metropolitan Fund Investment Corp. | 844 | 633,643 | |||
Japan Post Bank Company, Ltd. (C) | 48,100 | 415,523 | |||
Japan Post Holdings Company, Ltd. | 311,700 | 2,770,761 | |||
Japan Post Insurance Company, Ltd. | 27,400 | 475,728 | |||
Japan Real Estate Investment Corp. | 149 | 617,062 | |||
Japan Tobacco, Inc. | 149,800 | 3,046,243 | |||
JFE Holdings, Inc. | 62,200 | 771,777 |
The accompanying notes are an integral part of the financial statements. | 52 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
JSR Corp. | 22,700 | $ | 515,738 | ||
Kajima Corp. | 53,200 | 635,794 | |||
Kakaku.com, Inc. | 16,500 | 245,779 | |||
Kao Corp. | 59,100 | 2,201,592 | |||
KDDI Corp. | 200,567 | 5,868,165 | |||
Keio Corp. | 12,420 | 432,740 | |||
Keisei Electric Railway Company, Ltd. | 16,735 | 483,746 | |||
Keyence Corp. | 24,206 | 10,462,495 | |||
Kikkoman Corp. | 18,000 | 841,579 | |||
Kintetsu Group Holdings Company, Ltd. | 20,700 | 627,092 | |||
Kirin Holdings Company, Ltd. | 102,227 | 1,530,184 | |||
Kobayashi Pharmaceutical Company, Ltd. | 6,500 | 391,316 | |||
Kobe Bussan Company, Ltd. | 18,500 | 505,721 | |||
Koei Tecmo Holdings Company, Ltd. | 13,740 | 230,160 | |||
Koito Manufacturing Company, Ltd. | 25,652 | 431,110 | |||
Komatsu, Ltd. | 115,500 | 2,763,383 | |||
Konami Group Corp. | 11,600 | 511,647 | |||
Kose Corp. | 4,100 | 463,530 | |||
Kubota Corp. | 127,400 | 1,922,946 | |||
Kurita Water Industries, Ltd. | 12,889 | 582,328 | |||
Kyocera Corp. | 39,900 | 1,963,716 | |||
Kyowa Kirin Company, Ltd. | 33,128 | 708,953 | |||
Lasertec Corp. | 9,400 | 1,528,397 | |||
Lixil Corp. | 36,800 | 586,675 | |||
M3, Inc. | 54,900 | 1,309,212 | |||
Makita Corp. | 27,800 | 679,857 | |||
Marubeni Corp. | 194,700 | 2,485,552 | |||
Mazda Motor Corp. | 70,680 | 632,377 | |||
McDonald's Holdings Company Japan, Ltd. | 10,000 | 395,877 | |||
MEIJI Holdings Company, Ltd. | 14,100 | 645,720 | |||
MINEBEA MITSUMI, Inc. | 45,400 | 786,828 | |||
MISUMI Group, Inc. | 35,300 | 839,417 | |||
Mitsubishi Chemical Group Corp. | 159,150 | 927,027 | |||
Mitsubishi Corp. | 157,200 | 5,340,253 | |||
Mitsubishi Electric Corp. | 241,018 | 2,708,372 | |||
Mitsubishi Estate Company, Ltd. | 146,900 | 1,825,998 | |||
Mitsubishi HC Capital, Inc. | 80,100 | 418,167 | |||
Mitsubishi Heavy Industries, Ltd. | 40,040 | 1,475,461 | |||
Mitsubishi UFJ Financial Group, Inc. | 1,478,600 | 10,482,525 | |||
Mitsui & Company, Ltd. | 173,500 | 4,869,428 | |||
Mitsui Chemicals, Inc. | 23,400 | 564,528 | |||
Mitsui Fudosan Company, Ltd. | 113,304 | 2,159,419 | |||
Mitsui OSK Lines, Ltd. | 43,100 | 1,125,777 | |||
Mizuho Financial Group, Inc. | 298,660 | 4,655,305 | |||
MonotaRO Company, Ltd. | 30,900 | 420,282 | |||
MS&AD Insurance Group Holdings, Inc. | 57,268 | 1,874,046 | |||
Murata Manufacturing Company, Ltd. | 71,397 | 3,821,695 | |||
NEC Corp. | 30,400 | 1,087,964 | |||
Nexon Company, Ltd. | 61,400 | 1,331,907 | |||
NGK Insulators, Ltd. | 30,100 | 399,546 | |||
Nidec Corp. | 58,000 | 2,943,470 | |||
Nihon M&A Center Holdings, Inc. | 37,700 | 314,329 | |||
Nintendo Company, Ltd. | 136,690 | 5,117,274 | |||
Nippon Building Fund, Inc. | 185 | 780,857 | |||
Nippon Express Holdings, Inc. | 9,580 | 534,421 | |||
Nippon Paint Holdings Company, Ltd. | 103,000 | 900,067 | |||
Nippon Prologis REIT, Inc. | 255 | 543,937 | |||
Nippon Sanso Holdings Corp. | 21,100 | 376,171 | |||
Nippon Shinyaku Company, Ltd. | 6,000 | 268,705 | |||
Nippon Steel Corp. | 101,278 | 2,263,337 | |||
Nippon Telegraph & Telephone Corp. | 148,300 | 4,297,262 | |||
Nippon Yusen KK | 60,800 | 1,580,374 | |||
Nissan Chemical Corp. | 16,000 | 702,620 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Nissan Motor Company, Ltd. | 289,325 | $ | 1,123,270 | ||
Nisshin Seifun Group, Inc. | 23,700 | 273,856 | |||
Nissin Foods Holdings Company, Ltd. | 7,617 | 634,346 | |||
Nitori Holdings Company, Ltd. | 10,000 | 1,130,062 | |||
Nitto Denko Corp. | 17,744 | 1,068,285 | |||
Nomura Holdings, Inc. | 371,700 | 1,531,890 | |||
Nomura Real Estate Holdings, Inc. | 14,400 | 321,040 | |||
Nomura Real Estate Master Fund, Inc. | 508 | 563,095 | |||
Nomura Research Institute, Ltd. | 41,500 | 927,188 | |||
NTT Data Corp. | 78,100 | 1,083,610 | |||
Obayashi Corp. | 81,100 | 599,898 | |||
Obic Company, Ltd. | 8,500 | 1,245,330 | |||
Odakyu Electric Railway Company, Ltd. | 35,100 | 425,511 | |||
Oji Holdings Corp. | 99,900 | 405,362 | |||
Olympus Corp. | 153,424 | 2,584,535 | |||
Omron Corp. | 23,067 | 1,238,311 | |||
Ono Pharmaceutical Company, Ltd. | 46,200 | 941,000 | |||
Open House Group Company, Ltd. | 10,200 | 367,123 | |||
Oracle Corp. | 4,600 | 313,409 | |||
Oriental Land Company, Ltd. | 24,900 | 3,976,155 | |||
ORIX Corp. | 150,700 | 2,700,997 | |||
Osaka Gas Company, Ltd. | 45,800 | 743,945 | |||
Otsuka Corp. | 13,900 | 468,572 | |||
Otsuka Holdings Company, Ltd. | 48,500 | 1,469,353 | |||
Pan Pacific International Holdings Corp. | 47,100 | 860,930 | |||
Panasonic Holdings Corp. | 275,320 | 2,404,102 | |||
Persol Holdings Company, Ltd. | 22,100 | 442,629 | |||
Rakuten Group, Inc. | 105,842 | 521,715 | |||
Recruit Holdings Company, Ltd. | 179,300 | 4,808,079 | |||
Renesas Electronics Corp. (A) | 146,100 | 1,887,246 | |||
Resona Holdings, Inc. | 269,900 | 1,486,577 | |||
Ricoh Company, Ltd. | 71,000 | 551,594 | |||
Rohm Company, Ltd. | 11,000 | 847,140 | |||
SBI Holdings, Inc. | 31,964 | 688,993 | |||
SCSK Corp. | 18,400 | 266,985 | |||
Secom Company, Ltd. | 25,994 | 1,511,667 | |||
Seiko Epson Corp. | 34,569 | 476,627 | |||
Sekisui Chemical Company, Ltd. | 46,600 | 624,729 | |||
Sekisui House, Ltd. | 76,700 | 1,452,180 | |||
Seven & i Holdings Company, Ltd. | 93,646 | 4,186,610 | |||
SG Holdings Company, Ltd. | 35,200 | 507,526 | |||
Sharp Corp. | 30,040 | 207,264 | |||
Shimadzu Corp. | 29,200 | 843,267 | |||
Shimano, Inc. | 9,100 | 1,415,050 | |||
Shimizu Corp. | 67,900 | 366,516 | |||
Shin-Etsu Chemical Company, Ltd. | 46,637 | 6,465,341 | |||
Shionogi & Company, Ltd. | 33,063 | 1,464,758 | |||
Shiseido Company, Ltd. | 49,800 | 2,294,663 | |||
Shizuoka Financial Group, Inc. | 52,400 | 418,702 | |||
SMC Corp. | 7,096 | 3,606,942 | |||
SoftBank Corp. | 354,900 | 4,003,617 | |||
SoftBank Group Corp. | 149,952 | 6,064,252 | |||
Sompo Holdings, Inc. | 39,960 | 1,715,527 | |||
Sony Group Corp. | 156,800 | 13,111,065 | |||
Square Enix Holdings Company, Ltd. | 10,600 | 472,488 | |||
Subaru Corp. | 76,500 | 1,225,625 | |||
SUMCO Corp. | 43,900 | 605,751 | |||
Sumitomo Chemical Company, Ltd. | 186,700 | 654,196 | |||
Sumitomo Corp. | 141,455 | 2,410,787 | |||
Sumitomo Electric Industries, Ltd. | 89,400 | 1,100,153 | |||
Sumitomo Metal Mining Company, Ltd. | 30,900 | 1,150,261 | |||
Sumitomo Mitsui Financial Group, Inc. | 161,379 | 7,048,044 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 41,838 | 1,550,099 |
The accompanying notes are an integral part of the financial statements. | 53 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Japan (continued) | |||||
Sumitomo Realty & Development Company, Ltd. | 38,383 | $ | 906,152 | ||
Suntory Beverage & Food, Ltd. | 17,100 | 599,852 | |||
Suzuki Motor Corp. | 45,800 | 1,607,172 | |||
Sysmex Corp. | 20,800 | 1,245,941 | |||
T&D Holdings, Inc. | 69,700 | 1,055,551 | |||
Taisei Corp. | 24,000 | 782,477 | |||
Takeda Pharmaceutical Company, Ltd. | 186,824 | 5,758,719 | |||
TDK Corp. | 48,600 | 1,627,197 | |||
Terumo Corp. | 80,346 | 2,159,972 | |||
The Chiba Bank, Ltd. | 65,300 | 478,122 | |||
The Kansai Electric Power Company, Inc. | 84,800 | 796,590 | |||
TIS, Inc. | 27,700 | 687,631 | |||
Tobu Railway Company, Ltd. | 22,200 | 495,638 | |||
Toho Company, Ltd. | 13,500 | 469,933 | |||
Tokio Marine Holdings, Inc. | 238,142 | 5,055,905 | |||
Tokyo Electric Power Company Holdings, Inc. (A) | 190,200 | 630,192 | |||
Tokyo Electron, Ltd. | 18,615 | 6,386,845 | |||
Tokyo Gas Company, Ltd. | 48,900 | 943,157 | |||
Tokyu Corp. | 64,493 | 776,946 | |||
Toppan, Inc. | 32,900 | 594,979 | |||
Toray Industries, Inc. | 173,300 | 992,214 | |||
Toshiba Corp. | 48,400 | 1,497,868 | |||
Tosoh Corp. | 33,200 | 451,825 | |||
TOTO, Ltd. | 17,700 | 591,505 | |||
Toyota Industries Corp. | 18,229 | 1,069,499 | |||
Toyota Motor Corp. | 1,317,700 | 17,959,695 | |||
Toyota Tsusho Corp. | 26,693 | 1,088,635 | |||
Trend Micro, Inc. | 16,400 | 771,139 | |||
Unicharm Corp. | 50,188 | 1,857,576 | |||
USS Company, Ltd. | 26,900 | 436,416 | |||
Welcia Holdings Company, Ltd. | 11,200 | 245,181 | |||
West Japan Railway Company | 27,000 | 1,047,953 | |||
Yakult Honsha Company, Ltd. | 15,700 | 1,070,208 | |||
Yamaha Corp. | 17,400 | 660,206 | |||
Yamaha Motor Company, Ltd. | 37,500 | 959,446 | |||
Yamato Holdings Company, Ltd. | 35,700 | 602,999 | |||
Yaskawa Electric Corp. | 30,000 | 1,180,321 | |||
Yokogawa Electric Corp. | 28,500 | 425,655 | |||
Z Holdings Corp. | 331,007 | 888,638 | |||
ZOZO, Inc. | 15,500 | 344,498 | |||
396,675,586 | |||||
Jordan - 0.0% | |||||
Hikma Pharmaceuticals PLC | 41,733 | 870,701 | |||
Luxembourg - 0.2% | |||||
ArcelorMittal SA | 107,950 | 3,239,510 | |||
Aroundtown SA | 150,506 | 389,916 | |||
Eurofins Scientific SE | 23,690 | 1,651,063 | |||
Reinet Investments SCA | 23,211 | 459,468 | |||
Tenaris SA | 57,028 | 938,231 | |||
6,678,188 | |||||
Macau - 0.0% | |||||
Sands China, Ltd. (A) | 381,252 | 1,323,178 | |||
Malaysia - 0.6% | |||||
AMMB Holdings BHD | 520,100 | 464,635 | |||
Axiata Group BHD | 777,800 | 549,330 | |||
CIMB Group Holdings BHD | 1,898,000 | 2,372,754 | |||
Dialog Group BHD | 1,035,900 | 519,462 | |||
DiGi.Com BHD | 871,600 | 834,976 | |||
Genting BHD | 609,000 | 632,305 | |||
Genting Malaysia BHD | 836,900 | 503,447 | |||
HAP Seng Consolidated BHD | 176,900 | 240,411 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Malaysia (continued) | |||||
Hartalega Holdings BHD | 494,800 | $ | 162,058 | ||
Hong Leong Bank BHD | 186,800 | 854,985 | |||
Hong Leong Financial Group BHD | 64,200 | 260,641 | |||
IHH Healthcare BHD | 502,000 | 647,639 | |||
Inari Amertron BHD | 798,300 | 435,534 | |||
IOI Corp. BHD | 717,100 | 612,023 | |||
Kuala Lumpur Kepong BHD | 123,800 | 573,646 | |||
Malayan Banking BHD | 1,351,800 | 2,650,750 | |||
Malaysia Airports Holdings BHD (A) | 178,300 | 269,806 | |||
Maxis BHD | 669,300 | 583,063 | |||
MISC BHD | 376,700 | 634,357 | |||
Mr. D.I.Y Group M BHD (B) | 659,100 | 249,607 | |||
Nestle Malaysia BHD | 18,300 | 551,003 | |||
Petronas Chemicals Group BHD | 687,600 | 1,096,860 | |||
Petronas Dagangan BHD | 81,000 | 379,605 | |||
Petronas Gas BHD | 219,300 | 814,046 | |||
PPB Group BHD | 182,700 | 712,349 | |||
Press Metal Aluminium Holdings BHD | 1,029,100 | 1,182,930 | |||
Public Bank BHD | 4,150,100 | 3,819,370 | |||
QL Resources BHD | 307,150 | 397,729 | |||
RHB Bank BHD | 412,400 | 521,967 | |||
Sime Darby BHD | 788,700 | 398,965 | |||
Sime Darby Plantation BHD | 595,200 | 561,231 | |||
Telekom Malaysia BHD | 319,100 | 357,671 | |||
Tenaga Nasional BHD | 736,500 | 1,537,930 | |||
Top Glove Corp. BHD (A) | 1,524,100 | 256,363 | |||
26,639,448 | |||||
Mexico - 0.8% | |||||
Alfa SAB de CV, Class A | 569,300 | 373,383 | |||
America Movil SAB de CV, Series L | 5,471,000 | 5,618,566 | |||
Arca Continental SAB de CV | 85,942 | 727,922 | |||
Cemex SAB de CV, Series CPO (A) | 2,950,436 | 1,467,437 | |||
Coca-Cola Femsa SAB de CV | 103,058 | 744,863 | |||
Fibra Uno Administracion SA de CV | 617,800 | 881,293 | |||
Fomento Economico Mexicano SAB de CV | 377,386 | 3,475,503 | |||
Gruma SAB de CV, Class B | 40,488 | 596,350 | |||
Grupo Aeroportuario del Pacifico SAB de CV, B Shares | 70,600 | 1,339,303 | |||
Grupo Aeroportuario del Sureste SAB de CV, B Shares | 37,885 | 1,084,712 | |||
Grupo Bimbo SAB de CV, Series A | 260,500 | 1,241,954 | |||
Grupo Carso SAB de CV, Series A1 | 86,800 | 416,103 | |||
Grupo Financiero Banorte SAB de CV, Series O | 502,350 | 4,252,396 | |||
Grupo Financiero Inbursa SAB de CV, Series O (A) | 421,200 | 880,315 | |||
Grupo Mexico SAB de CV, Series B | 601,300 | 2,704,396 | |||
Grupo Televisa SAB, Series CPO | 470,597 | 470,173 | |||
Industrias Penoles SAB de CV (A) | 25,050 | 299,713 | |||
Kimberly-Clark de Mexico SAB de CV, Class A | 294,335 | 588,783 | |||
Operadora de Sites Mexicanos SAB de CV, Class A1 | 244,400 | 243,378 | |||
Orbia Advance Corp. SAB de CV | 197,015 | 409,288 | |||
Promotora y Operadora de Infraestructura SAB de CV | 44,855 | 437,506 | |||
Sitios Latinoamerica SAB de CV (A)(C) | 273,555 | 110,639 | |||
Wal-Mart de Mexico SAB de CV | 1,013,100 | 3,992,267 | |||
32,356,243 | |||||
Netherlands - 2.1% | |||||
ABN AMRO Bank NV (B) | 50,517 | 891,430 | |||
Adyen NV (A)(B) | 2,615 | 3,706,571 |
The accompanying notes are an integral part of the financial statements. | 54 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Netherlands (continued) | |||||
Aegon NV | 235,313 | $ | 1,224,388 | ||
Akzo Nobel NV | 21,905 | 1,602,455 | |||
Argenx SE (A) | 4,060 | 1,477,858 | |||
ASM International NV | 5,661 | 1,929,639 | |||
ASML Holding NV | 49,047 | 30,230,367 | |||
Euronext NV (B) | 15,252 | 1,112,479 | |||
EXOR NV (A) | 13,262 | 1,094,303 | |||
Heineken Holding NV | 11,929 | 1,020,513 | |||
Heineken NV | 31,290 | 3,189,336 | |||
IMCD NV | 6,806 | 1,077,328 | |||
ING Groep NV | 467,686 | 6,545,306 | |||
JDE Peet's NV | 11,773 | 346,562 | |||
Just Eat Takeaway.com NV (A)(B) | 22,029 | 479,137 | |||
Koninklijke Ahold Delhaize NV | 125,812 | 3,994,761 | |||
Koninklijke DSM NV | 21,085 | 2,598,300 | |||
Koninklijke KPN NV | 394,841 | 1,353,516 | |||
Koninklijke Philips NV | 107,231 | 1,750,734 | |||
NEPI Rockcastle NV | 72,849 | 436,412 | |||
NN Group NV | 36,268 | 1,468,001 | |||
OCI NV | 12,229 | 406,218 | |||
Prosus NV (A) | 100,162 | 7,180,519 | |||
QIAGEN NV (A) | 35,217 | 1,621,019 | |||
Randstad NV | 14,427 | 885,242 | |||
Stellantis NV | 266,869 | 4,668,674 | |||
Universal Music Group NV | 87,118 | 2,052,612 | |||
Wolters Kluwer NV | 31,488 | 3,645,282 | |||
87,988,962 | |||||
New Zealand - 0.2% | |||||
Auckland International Airport, Ltd. (A) | 273,325 | 1,476,905 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 124,391 | 1,991,054 | |||
Mercury NZ, Ltd. | 145,051 | 562,220 | |||
Meridian Energy, Ltd. | 278,245 | 913,295 | |||
Spark New Zealand, Ltd. | 406,702 | 1,255,720 | |||
Xero, Ltd. (A) | 26,709 | 1,391,111 | |||
7,590,305 | |||||
Norway - 0.4% | |||||
Adevinta ASA (A) | 46,514 | 347,575 | |||
Aker BP ASA | 49,347 | 1,324,504 | |||
DNB Bank ASA | 148,480 | 2,962,951 | |||
Equinor ASA | 155,123 | 4,748,835 | |||
Gjensidige Forsikring ASA | 34,441 | 610,463 | |||
Kongsberg Gruppen ASA | 14,061 | 584,317 | |||
Mowi ASA | 65,939 | 1,138,421 | |||
Norsk Hydro ASA | 215,364 | 1,567,584 | |||
Orkla ASA | 120,201 | 809,045 | |||
Salmar ASA | 9,265 | 384,082 | |||
Telenor ASA | 110,223 | 1,235,914 | |||
Yara International ASA | 26,443 | 1,257,069 | |||
16,970,760 | |||||
Peru - 0.1% | |||||
Cia de Minas Buenaventura SAA, ADR | 59,500 | 451,010 | |||
Credicorp, Ltd. | 20,353 | 2,593,379 | |||
3,044,389 | |||||
Philippines - 0.2% | |||||
Aboitiz Equity Ventures, Inc. | 299,510 | 292,146 | |||
ACEN Corp. | 1,292,060 | 147,853 | |||
Ayala Corp. | 43,710 | 492,813 | |||
Ayala Land, Inc. | 1,316,580 | 676,728 | |||
Bank of the Philippine Islands | 321,900 | 638,297 | |||
BDO Unibank, Inc. | 414,990 | 924,255 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Philippines (continued) | |||||
Converge Information and Communications Technology Solutions, Inc. (A) | 397,100 | $ | 116,512 | ||
Globe Telecom, Inc. | 4,655 | 149,149 | |||
GT Capital Holdings, Inc. | 15,743 | 147,528 | |||
International Container Terminal Services, Inc. | 177,250 | 639,407 | |||
JG Summit Holdings, Inc. | 522,932 | 465,164 | |||
Jollibee Foods Corp. | 75,410 | 326,776 | |||
Manila Electric Company | 39,080 | 224,349 | |||
Metro Pacific Investments Corp. | 1,801,200 | 132,732 | |||
Metropolitan Bank & Trust Company | 335,029 | 351,935 | |||
Monde Nissin Corp. (B) | 1,110,500 | 241,801 | |||
PLDT, Inc. | 15,235 | 353,479 | |||
SM Investments Corp. | 42,855 | 658,793 | |||
SM Prime Holdings, Inc. | 2,030,600 | 1,248,070 | |||
Universal Robina Corp. | 157,830 | 389,201 | |||
8,616,988 | |||||
Poland - 0.2% | |||||
Allegro.eu SA (A)(B) | 59,535 | 388,042 | |||
Bank Polska Kasa Opieki SA | 30,215 | 608,022 | |||
CD Projekt SA | 10,605 | 315,499 | |||
Cyfrowy Polsat SA | 41,568 | 161,017 | |||
Dino Polska SA (A)(B) | 8,015 | 669,120 | |||
KGHM Polska Miedz SA | 23,311 | 664,806 | |||
LPP SA | 183 | 386,540 | |||
mBank SA (A) | 2,350 | 173,065 | |||
Orange Polska SA | 109,748 | 165,722 | |||
PGE Polska Grupa Energetyczna SA (A) | 149,528 | 224,341 | |||
Polski Koncern Naftowy ORLEN SA | 94,022 | 1,404,273 | |||
Powszechna Kasa Oszczednosci Bank Polski SA | 148,643 | 1,037,269 | |||
Powszechny Zaklad Ubezpieczen SA | 105,863 | 870,402 | |||
Santander Bank Polska SA | 5,765 | 386,858 | |||
7,454,976 | |||||
Portugal - 0.1% | |||||
EDP - Energias de Portugal SA | 330,243 | 1,663,009 | |||
Galp Energia SGPS SA | 58,486 | 713,500 | |||
Jeronimo Martins SGPS SA | 33,620 | 690,081 | |||
3,066,590 | |||||
Qatar - 0.2% | |||||
Barwa Real Estate Company | 298,286 | 225,092 | |||
Commercial Bank PSQC | 301,346 | 508,479 | |||
Industries Qatar QSC | 238,558 | 912,389 | |||
Masraf Al Rayan QSC | 862,850 | 639,126 | |||
Mesaieed Petrochemical Holding Company | 702,909 | 405,311 | |||
Ooredoo QPSC | 124,560 | 314,774 | |||
Qatar Electricity & Water Company QSC | 68,919 | 329,977 | |||
Qatar Fuel QSC | 72,288 | 322,202 | |||
Qatar Gas Transport Company, Ltd. | 377,389 | 378,102 | |||
Qatar International Islamic Bank QSC | 107,570 | 309,576 | |||
Qatar Islamic Bank SAQ | 258,204 | 1,318,312 | |||
Qatar National Bank QPSC | 718,626 | 3,325,379 | |||
8,988,719 | |||||
Saudi Arabia - 1.1% | |||||
ACWA Power Company | 15,465 | 573,904 | |||
Advanced Petrochemical Company | 24,516 | 315,497 | |||
Al Rajhi Bank (A) | 376,617 | 7,043,015 | |||
Alinma Bank | 187,279 | 1,467,373 | |||
Almarai Company JSC | 47,407 | 662,452 | |||
Arab National Bank | 115,773 | 709,192 | |||
Bank AlBilad (A) | 94,309 | 894,695 |
The accompanying notes are an integral part of the financial statements. | 55 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Saudi Arabia (continued) | |||||
Bank Al-Jazira | 78,268 | $ | 377,096 | ||
Banque Saudi Fransi | 113,923 | 990,864 | |||
Bupa Arabia for Cooperative Insurance Company | 14,648 | 602,471 | |||
Dar Al Arkan Real Estate Development Company (A) | 101,972 | 389,854 | |||
Dr Sulaiman Al Habib Medical Services Group Company | 16,700 | 1,030,600 | |||
Elm Company | 4,672 | 471,349 | |||
Emaar Economic City (A) | 71,719 | 144,154 | |||
Etihad Etisalat Company | 72,520 | 754,870 | |||
Jarir Marketing Company | 11,099 | 436,976 | |||
Mobile Telecommunications Company Saudi Arabia (A) | 82,592 | 228,165 | |||
Mouwasat Medical Services Company | 9,335 | 449,010 | |||
National Industrialization Company (A) | 63,682 | 204,391 | |||
Rabigh Refining & Petrochemical Company (A) | 78,245 | 210,930 | |||
Riyad Bank | 259,648 | 1,799,514 | |||
SABIC Agri-Nutrients Company | 41,026 | 1,459,389 | |||
Sahara International Petrochemical Company | 69,263 | 652,615 | |||
Saudi Arabian Mining Company (A) | 165,010 | 2,790,994 | |||
Saudi Arabian Oil Company (B) | 463,400 | 3,914,710 | |||
Saudi Basic Industries Corp. | 173,146 | 4,080,230 | |||
Saudi Electricity Company | 159,033 | 939,921 | |||
Saudi Industrial Investment Group | 71,603 | 426,349 | |||
Saudi Kayan Petrochemical Company (A) | 141,177 | 476,835 | |||
Saudi Research & Media Group (A) | 6,819 | 338,068 | |||
Saudi Tadawul Group Holding Company | 7,088 | 269,336 | |||
Saudi Telecom Company | 288,163 | 2,696,558 | |||
The Saudi British Bank | 177,207 | 1,563,435 | |||
The Saudi Investment Bank | 94,599 | 398,139 | |||
The Saudi National Bank | 420,962 | 5,294,698 | |||
The Savola Group | 49,980 | 361,872 | |||
Yanbu National Petrochemical Company | 48,688 | 544,436 | |||
45,963,957 | |||||
Singapore - 0.6% | |||||
BOC Aviation, Ltd. (B) | 37,800 | 273,086 | |||
CapitaLand Ascendas REIT | 404,500 | 830,787 | |||
CapitaLand Integrated Commercial Trust | 636,021 | 914,917 | |||
CapitaLand Investment, Ltd. | 313,000 | 863,253 | |||
City Developments, Ltd. | 48,600 | 278,009 | |||
DBS Group Holdings, Ltd. | 217,472 | 5,517,512 | |||
Genting Singapore, Ltd. | 744,100 | 562,891 | |||
Grab Holdings, Ltd., Class A (A) | 130,700 | 419,547 | |||
JOYY, Inc., ADR | 10,300 | 323,420 | |||
Keppel Corp., Ltd. | 178,531 | 724,981 | |||
Mapletree Logistics Trust | 387,000 | 484,900 | |||
Mapletree Pan Asia Commercial Trust | 277,500 | 353,982 | |||
Oversea-Chinese Banking Corp., Ltd. | 415,078 | 3,901,108 | |||
Sea, Ltd., ADR (A) | 43,400 | 2,712,066 | |||
Sembcorp Marine, Ltd. (A) | 3,409,942 | 320,902 | |||
Singapore Airlines, Ltd. | 159,340 | 672,744 | |||
Singapore Exchange, Ltd. | 102,800 | 663,919 | |||
Singapore Technologies Engineering, Ltd. | 183,600 | 486,168 | |||
Singapore Telecommunications, Ltd. | 1,004,248 | 1,764,341 | |||
Super Hi International Holding, Ltd. (A) | 20,100 | 44,812 | |||
United Overseas Bank, Ltd. | 143,857 | 3,188,682 | |||
UOL Group, Ltd. | 56,800 | 287,651 | |||
Venture Corp., Ltd. | 33,900 | 431,703 | |||
Wilmar International, Ltd. | 236,200 | 690,095 | |||
26,711,476 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
South Africa - 0.8% | |||||
Absa Group, Ltd. | 131,106 | $ | 1,415,500 | ||
African Rainbow Minerals, Ltd. | 18,348 | 253,952 | |||
Anglo American Platinum, Ltd. | 8,317 | 459,901 | |||
AngloGold Ashanti, Ltd. | 65,306 | 1,099,918 | |||
Aspen Pharmacare Holdings, Ltd. | 62,753 | 484,568 | |||
Bid Corp., Ltd. | 53,499 | 1,170,104 | |||
Capitec Bank Holdings, Ltd. | 13,806 | 1,317,152 | |||
Clicks Group, Ltd. | 38,105 | 555,118 | |||
Discovery, Ltd. (A) | 85,524 | 696,949 | |||
Exxaro Resources, Ltd. | 38,906 | 425,838 | |||
FirstRand, Ltd. | 814,416 | 2,904,829 | |||
Gold Fields, Ltd. | 140,629 | 1,276,226 | |||
Grindrod, Ltd. | 26,393 | 14,762 | |||
Growthpoint Properties, Ltd. | 550,537 | 402,678 | |||
Harmony Gold Mining Company, Ltd. | 83,833 | 257,506 | |||
Impala Platinum Holdings, Ltd. | 135,624 | 1,266,306 | |||
Kumba Iron Ore, Ltd. | 10,152 | 264,743 | |||
Momentum Metropolitan Holdings | 34,197 | 36,978 | |||
Mr. Price Group, Ltd. | 40,690 | 337,446 | |||
MTN Group, Ltd. | 272,309 | 2,145,645 | |||
MultiChoice Group (C) | 58,448 | 450,453 | |||
Naspers, Ltd., N Shares | 35,044 | 6,162,265 | |||
Nedbank Group, Ltd. | 73,866 | 926,836 | |||
Northam Platinum Holdings, Ltd. (A) | 53,203 | 438,391 | |||
Old Mutual, Ltd. | 790,574 | 512,801 | |||
Pepkor Holdings, Ltd. (B) | 265,157 | 270,835 | |||
Remgro, Ltd. | 85,875 | 653,639 | |||
Sanlam, Ltd. | 295,980 | 963,231 | |||
Sasol, Ltd. | 91,248 | 1,338,010 | |||
Shoprite Holdings, Ltd. | 79,772 | 965,975 | |||
Sibanye Stillwater, Ltd. | 449,415 | 907,399 | |||
Standard Bank Group, Ltd. | 218,252 | 2,180,124 | |||
The Bidvest Group, Ltd. | 45,830 | 584,418 | |||
The Foschini Group, Ltd. | 52,650 | 290,809 | |||
The SPAR Group, Ltd. | 29,658 | 232,572 | |||
Vodacom Group, Ltd. | 101,897 | 702,240 | |||
Woolworths Holdings, Ltd. | 156,013 | 654,171 | |||
35,020,288 | |||||
South Korea - 3.3% | |||||
Alteogen, Inc. (A) | 6,304 | 178,965 | |||
Amorepacific Corp. | 5,557 | 580,895 | |||
AMOREPACIFIC Group | 5,359 | 162,087 | |||
BGF retail Company, Ltd. | 1,413 | 193,262 | |||
Celltrion Healthcare Company, Ltd. | 16,890 | 694,656 | |||
Celltrion Pharm, Inc. (A) | 3,221 | 139,301 | |||
Celltrion, Inc. | 19,551 | 2,144,172 | |||
Cheil Worldwide, Inc. | 12,373 | 187,070 | |||
CJ CheilJedang Corp. | 1,568 | 380,486 | |||
CJ Corp. | 2,668 | 175,157 | |||
CJ ENM Company, Ltd. (A) | 1,957 | 136,948 | |||
CJ Logistics Corp. | 1,618 | 99,901 | |||
Coway Company, Ltd. | 10,437 | 421,089 | |||
DB Insurance Company, Ltd. | 9,515 | 553,716 | |||
Doosan Bobcat, Inc. | 9,655 | 276,406 | |||
Doosan Enerbility Company, Ltd. (A) | 76,304 | 936,594 | |||
Ecopro BM Company, Ltd. | 9,230 | 1,159,119 | |||
E-MART, Inc. | 4,111 | 347,749 | |||
F&F Company, Ltd. | 3,271 | 342,779 | |||
Green Cross Corp. | 1,103 | 99,780 | |||
GS Engineering & Construction Corp. | 12,489 | 209,647 | |||
GS Holdings Corp. | 9,124 | 280,429 | |||
Hana Financial Group, Inc. | 57,679 | 1,978,233 |
The accompanying notes are an integral part of the financial statements. | 56 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
South Korea (continued) | |||||
Hankook Tire & Technology Company, Ltd. | 14,216 | $ | 399,890 | ||
Hanmi Pharm Company, Ltd. (A) | 1,301 | 254,588 | |||
Hanon Systems | 33,640 | 229,342 | |||
Hanwha Solutions Corp. (A) | 21,905 | 688,584 | |||
HD Hyundai Company, Ltd. | 8,704 | 390,909 | |||
HLB, Inc. (A) | 19,110 | 465,791 | |||
HMM Company, Ltd. (A) | 51,202 | 871,104 | |||
Hotel Shilla Company, Ltd. | 5,612 | 339,824 | |||
HYBE Company, Ltd. (A) | 3,145 | 439,441 | |||
Hyundai Engineering & Construction Company, Ltd. | 14,868 | 408,584 | |||
Hyundai Glovis Company, Ltd. | 3,601 | 431,264 | |||
Hyundai Heavy Industries Company, Ltd. | 3,366 | 270,145 | |||
Hyundai Mobis Company, Ltd. | 11,783 | 1,892,631 | |||
Hyundai Motor Company | 26,570 | 3,536,281 | |||
Hyundai Steel Company | 16,622 | 439,615 | |||
Iljin Materials Company, Ltd. (A) | 4,376 | 210,099 | |||
Industrial Bank of Korea | 52,379 | 410,736 | |||
Kakao Corp. | 59,482 | 2,799,952 | |||
Kakao Games Corp. (A) | 6,614 | 244,843 | |||
KakaoBank Corp. (A) | 22,340 | 449,364 | |||
Kangwon Land, Inc. (A) | 18,073 | 275,698 | |||
KB Financial Group, Inc. | 76,016 | 2,944,030 | |||
Kia Corp. | 50,304 | 2,858,783 | |||
Korea Aerospace Industries, Ltd. (A) | 13,954 | 475,127 | |||
Korea Electric Power Corp. | 47,367 | 644,229 | |||
Korea Investment Holdings Company, Ltd. (A) | 8,593 | 402,275 | |||
Korea Shipbuilding & Offshore Engineering Company, Ltd. | 7,959 | 488,533 | |||
Korea Zinc Company, Ltd. | 1,598 | 705,590 | |||
Korean Air Lines Company, Ltd. | 32,918 | 565,620 | |||
Krafton, Inc. (A) | 4,668 | 597,870 | |||
KT&G Corp. | 20,986 | 1,408,245 | |||
Kumho Petrochemical Company, Ltd. (A) | 3,514 | 417,834 | |||
L&F Company, Ltd. | 4,304 | 851,622 | |||
LG Chem, Ltd. | 9,452 | 4,852,114 | |||
LG Corp. | 18,234 | 1,134,485 | |||
LG Display Company, Ltd. | 43,963 | 508,159 | |||
LG Electronics, Inc. | 20,335 | 1,705,614 | |||
LG Energy Solution, Ltd. (A) | 4,018 | 1,587,161 | |||
LG H&H Company, Ltd. | 1,796 | 906,274 | |||
LG Innotek Company, Ltd. | 2,715 | 567,313 | |||
LG Uplus Corp. | 39,525 | 330,626 | |||
Lotte Chemical Corp. | 3,298 | 444,023 | |||
Lotte Shopping Company, Ltd. | 2,112 | 138,813 | |||
Meritz Financial Group, Inc. | 15,830 | 538,153 | |||
Meritz Securities Company, Ltd. | 55,106 | 292,421 | |||
Mirae Asset Securities Company, Ltd. | 58,068 | 313,538 | |||
NAVER Corp. | 25,035 | 3,935,553 | |||
NCSoft Corp. | 3,140 | 1,030,275 | |||
Netmarble Corp. (A)(B) | 3,956 | 184,395 | |||
NH Investment & Securities Company, Ltd. (A) | 32,696 | 234,688 | |||
Orion Corp. | 4,507 | 426,021 | |||
Pan Ocean Company, Ltd. | 50,839 | 242,902 | |||
Pearl Abyss Corp. (A) | 5,604 | 189,490 | |||
POSCO Chemical Company, Ltd. | 5,110 | 852,589 | |||
POSCO Holdings, Inc. | 15,049 | 3,627,162 | |||
S-1 Corp. | 2,897 | 123,511 | |||
Samsung Biologics Company, Ltd. (A)(B) | 3,353 | 1,958,953 | |||
Samsung C&T Corp. | 16,164 | 1,344,576 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
South Korea (continued) | |||||
Samsung Electro-Mechanics Company, Ltd. | 10,700 | $ | 1,163,369 | ||
Samsung Electronics Company, Ltd. | 912,458 | 41,749,448 | |||
Samsung Engineering Company, Ltd. (A) | 29,709 | 589,047 | |||
Samsung Fire & Marine Insurance Company, Ltd. | 6,200 | 1,005,554 | |||
Samsung Heavy Industries Company, Ltd. (A) | 114,736 | 476,431 | |||
Samsung Life Insurance Company, Ltd. | 15,998 | 823,870 | |||
Samsung SDI Company, Ltd. | 10,494 | 5,513,296 | |||
Samsung SDS Company, Ltd. | 6,562 | 620,603 | |||
Samsung Securities Company, Ltd. | 13,328 | 337,301 | |||
SD Biosensor, Inc. | 7,019 | 121,879 | |||
Seegene, Inc. | 7,043 | 129,608 | |||
Shinhan Financial Group Company, Ltd. | 88,651 | 2,603,239 | |||
SK Biopharmaceuticals Company, Ltd. (A) | 5,819 | 293,201 | |||
SK Bioscience Company, Ltd. (A) | 4,403 | 231,662 | |||
SK Chemicals Company, Ltd. | 2,187 | 129,329 | |||
SK Hynix, Inc. | 104,350 | 7,052,472 | |||
SK IE Technology Company, Ltd. (A)(B) | 4,730 | 233,188 | |||
SK Innovation Company, Ltd. (A) | 10,541 | 1,192,245 | |||
SK Square Company, Ltd. (A) | 19,030 | 551,010 | |||
SK Telecom Company, Ltd. | 4,914 | 167,533 | |||
SK, Inc. | 7,033 | 948,542 | |||
SKC Company, Ltd. | 3,922 | 290,087 | |||
S-Oil Corp. | 8,491 | 514,838 | |||
Woori Financial Group, Inc. | 98,257 | 905,829 | |||
Yuhan Corp. | 9,964 | 396,833 | |||
134,996,107 | |||||
Spain - 1.2% | |||||
Acciona SA | 2,997 | 564,649 | |||
ACS Actividades de Construccion y Servicios SA | 29,757 | 902,099 | |||
Aena SME SA (A)(B) | 9,075 | 1,403,959 | |||
Amadeus IT Group SA (A) | 55,138 | 3,467,229 | |||
Banco Bilbao Vizcaya Argentaria SA | 817,882 | 6,357,410 | |||
Banco Santander SA (C) | 2,124,853 | 8,366,392 | |||
CaixaBank SA | 536,396 | 2,303,210 | |||
Cellnex Telecom SA (A)(B) | 66,366 | 2,489,966 | |||
EDP Renovaveis SA | 34,230 | 700,507 | |||
Enagas SA | 28,255 | 506,793 | |||
Endesa SA (C) | 38,233 | 749,748 | |||
Ferrovial SA | 58,973 | 1,636,843 | |||
Grifols SA (A) | 36,604 | 445,919 | |||
Iberdrola SA | 729,747 | 8,365,385 | |||
Industria de Diseno Textil SA (C) | 133,915 | 4,125,478 | |||
Mapfre SA | 16,181 | 34,715 | |||
Naturgy Energy Group SA | 17,147 | 471,707 | |||
Red Electrica Corp. SA | 48,487 | 804,330 | |||
Repsol SA | 178,471 | 2,822,484 | |||
Siemens Gamesa Renewable Energy SA (A)(C) | 28,976 | 553,194 | |||
Telefonica SA | 660,940 | 2,696,284 | |||
49,768,301 | |||||
Sweden - 1.3% | |||||
Alfa Laval AB | 33,305 | 1,095,494 | |||
Alleima AB (A) | 24,130 | 130,459 | |||
Assa Abloy AB, B Shares | 113,705 | 2,766,871 | |||
Atlas Copco AB, A Shares | 299,537 | 3,556,171 | |||
Atlas Copco AB, B Shares | 181,600 | 1,913,065 | |||
Boliden AB | 31,003 | 1,269,168 | |||
Electrolux AB, Series B | 25,572 | 309,440 | |||
Embracer Group AB (A)(C) | 70,817 | 341,374 |
The accompanying notes are an integral part of the financial statements. | 57 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Sweden (continued) | |||||
Epiroc AB, A Shares | 74,091 | $ | 1,423,872 | ||
Epiroc AB, B Shares | 44,071 | 725,053 | |||
EQT AB | 34,081 | 762,202 | |||
Essity AB, B Shares | 68,768 | 1,854,851 | |||
Evolution AB (B) | 20,679 | 2,495,267 | |||
Fastighets AB Balder, B Shares (A) | 71,706 | 354,720 | |||
Getinge AB, B Shares | 26,031 | 559,490 | |||
Hennes & Mauritz AB, B Shares | 82,710 | 1,042,178 | |||
Hexagon AB, B Shares | 220,379 | 2,442,368 | |||
Holmen AB, B Shares | 10,509 | 424,324 | |||
Husqvarna AB, B Shares | 47,510 | 420,656 | |||
Industrivarden AB, A Shares | 19,090 | 524,737 | |||
Industrivarden AB, C Shares | 13,080 | 358,610 | |||
Indutrade AB | 29,954 | 637,135 | |||
Investment AB Latour, B Shares | 16,318 | 337,598 | |||
Investor AB, A Shares | 51,150 | 1,048,517 | |||
Investor AB, B Shares | 212,880 | 4,112,070 | |||
Kinnevik AB, B Shares (A) | 27,517 | 409,229 | |||
L.E. Lundbergforetagen AB, B Shares | 8,569 | 397,544 | |||
Lifco AB, B Shares | 26,018 | 519,762 | |||
Nibe Industrier AB, B Shares | 171,285 | 1,771,041 | |||
Sagax AB, B Shares | 21,356 | 525,384 | |||
Sandvik AB | 120,674 | 2,482,497 | |||
Securitas AB, B Shares | 35,990 | 309,930 | |||
Sinch AB (A)(B) | 62,800 | 214,297 | |||
Skandinaviska Enskilda Banken AB, A Shares | 184,087 | 2,303,205 | |||
Skanska AB, B Shares (C) | 38,668 | 702,753 | |||
SKF AB, B Shares | 43,445 | 825,156 | |||
Svenska Cellulosa AB SCA, B Shares | 68,227 | 952,135 | |||
Svenska Handelsbanken AB, A Shares | 162,107 | 1,719,463 | |||
Swedbank AB, A Shares | 100,969 | 2,063,053 | |||
Swedish Orphan Biovitrum AB (A) | 19,179 | 441,831 | |||
Tele2 AB, B Shares | 63,052 | 579,562 | |||
Telefonaktiebolaget LM Ericsson, B Shares | 329,948 | 1,827,121 | |||
Telia Company AB | 297,602 | 768,523 | |||
Volvo AB, A Shares | 10,565 | 219,940 | |||
Volvo AB, B Shares | 183,636 | 3,674,396 | |||
Volvo Car AB, B Shares (A) | 67,234 | 316,996 | |||
53,929,508 | |||||
Switzerland - 5.5% | |||||
ABB, Ltd. | 229,766 | 7,645,940 | |||
Accelleron Industries AG (A) | 11,488 | 283,173 | |||
Adecco Group AG | 22,482 | 801,625 | |||
Alcon, Inc. | 70,127 | 4,781,456 | |||
Bachem Holding AG | 4,320 | 430,575 | |||
Baloise Holding AG | 7,105 | 1,183,173 | |||
Barry Callebaut AG | 486 | 967,696 | |||
Chocoladefabriken Lindt & Spruengli AG | 14 | 1,550,805 | |||
Chocoladefabriken Lindt & Spruengli AG, Participation Certificates | 152 | 1,665,258 | |||
Cie Financiere Richemont SA, A Shares | 73,185 | 11,057,986 | |||
Clariant AG (A) | 29,782 | 481,713 | |||
Coca-Cola HBC AG (A) | 48,183 | 1,233,937 | |||
Credit Suisse Group AG | 373,820 | 1,126,947 | |||
EMS-Chemie Holding AG | 933 | 706,952 | |||
Geberit AG | 4,958 | 2,675,822 | |||
Givaudan SA | 1,288 | 3,882,393 | |||
Glencore PLC | 2,377,306 | 14,173,159 | |||
Holcim, Ltd. (A) | 77,686 | 4,795,169 | |||
Julius Baer Group, Ltd. | 31,618 | 2,096,206 | |||
Kuehne + Nagel International AG | 7,541 | 1,930,778 | |||
Logitech International SA | 24,025 | 1,312,257 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Switzerland (continued) | |||||
Lonza Group AG | 10,444 | $ | 6,220,882 | ||
Nestle SA | 394,270 | 44,422,655 | |||
Novartis AG | 307,135 | 25,848,520 | |||
Partners Group Holding AG | 3,201 | 3,031,136 | |||
Roche Holding AG | 98,547 | 28,414,941 | |||
Roche Holding AG, Bearer Shares (C) | 3,632 | 1,125,124 | |||
Schindler Holding AG | 2,554 | 550,404 | |||
Schindler Holding AG, Participation Certificates | 6,289 | 1,414,418 | |||
SGS SA | 868 | 1,989,748 | |||
Sika AG | 20,345 | 5,705,250 | |||
Sonova Holding AG | 7,517 | 1,848,706 | |||
STMicroelectronics NV | 120,513 | 5,772,753 | |||
Straumann Holding AG | 15,623 | 2,071,231 | |||
Swiss Life Holding AG | 4,583 | 2,757,829 | |||
Swiss Prime Site AG | 10,339 | 871,229 | |||
Swiss Re AG | 43,432 | 4,537,240 | |||
Swisscom AG | 3,553 | 2,192,354 | |||
Temenos AG | 8,830 | 649,465 | |||
The Swatch Group AG | 3,571 | 227,478 | |||
The Swatch Group AG, Bearer Shares | 4,725 | 1,644,277 | |||
UBS Group AG | 495,482 | 10,769,423 | |||
VAT Group AG (B) | 3,738 | 1,128,303 | |||
Zurich Insurance Group AG | 21,432 | 10,166,340 | |||
228,142,726 | |||||
Taiwan - 2.4% | |||||
Accton Technology Corp. | 54,000 | 494,544 | |||
Acer, Inc. | 309,000 | 256,234 | |||
Advantech Company, Ltd. | 44,265 | 513,476 | |||
ASE Technology Holding Company, Ltd. | 357,000 | 1,229,321 | |||
Asia Cement Corp. | 244,000 | 357,738 | |||
ASMedia Technology, Inc. | 3,000 | 96,306 | |||
Asustek Computer, Inc. | 77,000 | 697,416 | |||
AUO Corp. | 691,800 | 420,995 | |||
Catcher Technology Company, Ltd. | 74,000 | 447,185 | |||
Cathay Financial Holding Company, Ltd. | 882,000 | 1,250,756 | |||
Chailease Holding Company, Ltd. | 146,760 | 1,075,706 | |||
Chang Hwa Commercial Bank, Ltd. | 501,061 | 285,952 | |||
Cheng Shin Rubber Industry Company, Ltd. | 179,000 | 200,592 | |||
China Airlines, Ltd. | 299,000 | 197,888 | |||
China Development Financial Holding Corp. | 1,727,548 | 743,837 | |||
China Steel Corp. | 1,252,000 | 1,287,970 | |||
Chunghwa Telecom Company, Ltd. | 409,000 | 1,546,369 | |||
Compal Electronics, Inc. | 442,000 | 349,555 | |||
CTBC Financial Holding Company, Ltd. | 1,868,000 | 1,386,867 | |||
Delta Electronics, Inc. | 208,000 | 1,945,990 | |||
E Ink Holdings, Inc. | 92,000 | 582,168 | |||
E.Sun Financial Holding Company, Ltd. | 1,350,684 | 1,102,331 | |||
Eclat Textile Company, Ltd. | 20,340 | 319,748 | |||
eMemory Technology, Inc. | 7,000 | 420,695 | |||
Eva Airways Corp. | 275,000 | 254,692 | |||
Evergreen Marine Corp. Taiwan, Ltd. | 108,560 | 554,767 | |||
Far Eastern New Century Corp. | 329,000 | 349,753 | |||
Far EasTone Telecommunications Company, Ltd. | 164,000 | 370,058 | |||
Feng TAY Enterprise Company, Ltd. | 45,920 | 276,622 | |||
First Financial Holding Company, Ltd. | 1,104,876 | 968,238 | |||
Formosa Chemicals & Fibre Corp. | 374,000 | 867,921 | |||
Formosa Petrochemical Corp. | 112,000 | 311,567 | |||
Formosa Plastics Corp. | 444,000 | 1,318,045 | |||
Fubon Financial Holding Company, Ltd. | 809,255 | 1,582,429 |
The accompanying notes are an integral part of the financial statements. | 58 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Taiwan (continued) | |||||
Giant Manufacturing Company, Ltd. | 32,000 | $ | 212,902 | ||
Globalwafers Company, Ltd. | 23,000 | 380,305 | |||
Hon Hai Precision Industry Company, Ltd. | 1,336,800 | 4,422,139 | |||
Hotai Motor Company, Ltd. | 32,000 | 644,981 | |||
Hua Nan Financial Holdings Company, Ltd. | 911,104 | 680,926 | |||
Innolux Corp. | 964,550 | 462,048 | |||
Inventec Corp. | 249,000 | 216,309 | |||
Largan Precision Company, Ltd. | 11,000 | 790,791 | |||
Lite-On Technology Corp. | 212,000 | 482,413 | |||
MediaTek, Inc. | 162,000 | 3,803,603 | |||
Mega Financial Holding Company, Ltd. | 1,189,225 | 1,297,340 | |||
Micro-Star International Company, Ltd. | 73,000 | 325,659 | |||
momo.com, Inc. | 7,200 | 185,045 | |||
Nan Ya Plastics Corp. | 512,000 | 1,259,739 | |||
Nan Ya Printed Circuit Board Corp. | 24,000 | 181,918 | |||
Nanya Technology Corp. | 135,000 | 256,975 | |||
Nien Made Enterprise Company, Ltd. | 18,000 | 191,649 | |||
Novatek Microelectronics Corp. | 62,000 | 819,368 | |||
Pegatron Corp. | 212,000 | 469,705 | |||
Pou Chen Corp. | 246,000 | 269,554 | |||
Powerchip Semiconductor Manufacturing Corp. | 281,000 | 305,672 | |||
President Chain Store Corp. | 59,000 | 515,526 | |||
Quanta Computer, Inc. | 287,000 | 751,213 | |||
Realtek Semiconductor Corp. | 48,000 | 591,742 | |||
Ruentex Development Company, Ltd. | 185,464 | 268,679 | |||
Shin Kong Financial Holding Company, Ltd. | 1,508,988 | 438,091 | |||
SinoPac Financial Holdings Company, Ltd. | 1,083,777 | 606,729 | |||
Synnex Technology International Corp. | 148,000 | 301,980 | |||
Taishin Financial Holding Company, Ltd. | 1,130,172 | 606,963 | |||
Taiwan Cement Corp. | 643,442 | 824,874 | |||
Taiwan Cooperative Financial Holding Company, Ltd. | 1,014,840 | 882,801 | |||
Taiwan High Speed Rail Corp. | 172,000 | 165,380 | |||
Taiwan Mobile Company, Ltd. | 177,000 | 560,721 | |||
Taiwan Semiconductor Manufacturing Company, Ltd. | 2,630,816 | 43,523,945 | |||
The Shanghai Commercial & Savings Bank, Ltd. | 370,000 | 574,370 | |||
Unimicron Technology Corp. | 134,000 | 553,448 | |||
Uni-President Enterprises Corp. | 511,000 | 1,128,062 | |||
United Microelectronics Corp. | 1,270,000 | 2,068,455 | |||
Vanguard International Semiconductor Corp. | 96,000 | 289,224 | |||
Voltronic Power Technology Corp. | 7,000 | 365,497 | |||
Walsin Lihwa Corp. | 278,000 | 512,023 | |||
Wan Hai Lines, Ltd. | 76,545 | 198,100 | |||
Win Semiconductors Corp. | 36,000 | 197,589 | |||
Winbond Electronics Corp. | 322,000 | 241,063 | |||
Wiwynn Corp. | 10,000 | 313,575 | |||
WPG Holdings, Ltd. | 164,960 | 266,644 | |||
Yageo Corp. | 36,646 | 642,243 | |||
Yang Ming Marine Transport Corp. | 187,000 | 393,592 | |||
Yuanta Financial Holding Company, Ltd. | 1,065,834 | 792,502 | |||
Zhen Ding Technology Holding, Ltd. | 74,000 | 270,891 | |||
100,568,694 | |||||
Thailand - 0.6% | |||||
Advanced Info Service PCL, NVDR | 215,200 | 1,229,714 | |||
Airports of Thailand PCL, NVDR (A) | 772,700 | 1,590,198 | |||
Asset World Corp. PCL | 96,000 | 16,019 | |||
Asset World Corp. PCL, NVDR | 1,377,500 | 229,854 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Thailand (continued) | |||||
B. Grimm Power PCL, NVDR | 163,500 | $ | 180,503 | ||
Bangkok Commercial Asset Management PCL, NVDR | 318,900 | 133,530 | |||
Bangkok Dusit Medical Services PCL, NVDR | 1,872,600 | 1,483,274 | |||
Bangkok Expressway & Metro PCL, NVDR | 1,313,300 | 343,746 | |||
Berli Jucker PCL, NVDR | 214,700 | 233,801 | |||
BTS Group Holdings PCL, NVDR | 1,376,000 | 313,343 | |||
Bumrungrad Hospital PCL, NVDR | 86,500 | 516,319 | |||
Carabao Group PCL, NVDR | 52,900 | 151,182 | |||
Central Pattana PCL, NVDR | 366,500 | 728,168 | |||
Central Retail Corp. PCL, NVDR | 315,533 | 399,245 | |||
Charoen Pokphand Foods PCL, NVDR | 706,400 | 443,681 | |||
CP ALL PCL, NVDR | 1,055,000 | 1,850,353 | |||
Delta Electronics Thailand PCL, NVDR | 56,300 | 1,451,528 | |||
Electricity Generating PCL, NVDR | 49,300 | 238,495 | |||
Energy Absolute PCL, NVDR | 303,200 | 671,443 | |||
Global Power Synergy PCL, NVDR | 128,300 | 246,818 | |||
Gulf Energy Development PCL, NVDR | 525,100 | 780,342 | |||
Home Product Center PCL, NVDR | 1,048,600 | 415,135 | |||
Indorama Ventures PCL, NVDR | 308,600 | 320,719 | |||
Intouch Holdings PCL, NVDR | 201,800 | 403,891 | |||
JMT Network Services PCL, NVDR | 116,100 | 152,681 | |||
Krung Thai Bank PCL, NVDR | 674,000 | 329,894 | |||
Krungthai Card PCL, NVDR | 159,400 | 264,872 | |||
Land & Houses PCL, NVDR | 1,565,100 | 433,957 | |||
Minor International PCL, NVDR (A) | 554,100 | 524,933 | |||
Muangthai Capital PCL, NVDR | 135,400 | 133,990 | |||
Osotspa PCL, NVDR | 249,600 | 227,699 | |||
PTT Exploration & Production PCL, NVDR | 246,900 | 1,044,991 | |||
PTT Global Chemical PCL, NVDR | 425,600 | 568,710 | |||
PTT Oil & Retail Business PCL, NVDR | 533,500 | 330,589 | |||
PTT PCL, NVDR | 1,816,200 | 1,630,551 | |||
Ratch Group PCL, NVDR | 222,400 | 256,463 | |||
SCB X PCL, NVDR | 155,100 | 456,257 | |||
SCG Packaging PCL, NVDR | 248,300 | 365,226 | |||
Srisawad Corp. PCL, NVDR | 128,200 | 195,740 | |||
Thai Oil PCL, NVDR | 194,800 | 277,797 | |||
Thai Union Group PCL, NVDR | 519,400 | 233,643 | |||
The Siam Cement PCL, NVDR | 142,200 | 1,315,427 | |||
True Corp. PCL, NVDR (D) | 2,094,300 | 300,310 | |||
23,415,031 | |||||
Turkey - 0.1% | |||||
Akbank TAS | 374,755 | 346,527 | |||
Aselsan Elektronik Sanayi Ve Ticaret AS | 81,750 | 238,637 | |||
BIM Birlesik Magazalar AS | 50,934 | 367,351 | |||
Eregli Demir ve Celik Fabrikalari TAS | 162,670 | 379,161 | |||
Ford Otomotiv Sanayi AS | 7,735 | 225,635 | |||
Haci Omer Sabanci Holding AS | 121,332 | 279,947 | |||
KOC Holding AS | 92,725 | 379,805 | |||
Petkim Petrokimya Holding AS (A) | 1 | 1 | |||
Turk Hava Yollari AO (A) | 67,594 | 513,589 | |||
Turkcell Iletisim Hizmetleri AS | 142,114 | 239,569 | |||
Turkiye Is Bankasi AS, Class C | 451,883 | 271,192 | |||
Turkiye Petrol Rafinerileri AS (A) | 13,457 | 421,982 | |||
Turkiye Sise ve Cam Fabrikalari AS | 162,781 | 407,283 | |||
4,070,679 | |||||
United Arab Emirates - 0.3% | |||||
Abu Dhabi Commercial Bank PJSC | 507,736 | 1,157,570 | |||
Abu Dhabi Islamic Bank PJSC | 263,772 | 749,300 |
The accompanying notes are an integral part of the financial statements. | 59 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
United Arab Emirates (continued) | |||||
Abu Dhabi National Oil Company for Distribution PJSC | 556,954 | $ | 654,406 | ||
Aldar Properties PJSC | 704,786 | 900,657 | |||
Dubai Islamic Bank PJSC | 530,047 | 827,893 | |||
Emaar Properties PJSC | 744,577 | 1,133,993 | |||
Emirates NBD Bank PJSC | 344,365 | 1,273,570 | |||
Emirates Telecommunications Group Company PJSC | 634,247 | 4,400,711 | |||
First Abu Dhabi Bank PJSC | 803,729 | 3,079,307 | |||
NMC Health PLC (A) | 5,577 | 11 | |||
14,177,418 | |||||
United Kingdom - 13.1% | |||||
3i Group PLC | 237,295 | 4,642,493 | |||
abrdn PLC | 557,705 | 1,502,577 | |||
Admiral Group PLC | 43,835 | 1,159,961 | |||
Anglo American PLC | 305,524 | 10,557,286 | |||
Ashtead Group PLC | 107,011 | 7,080,836 | |||
Associated British Foods PLC | 85,435 | 2,059,478 | |||
AstraZeneca PLC | 372,516 | 48,530,606 | |||
Auto Trader Group PLC (B) | 226,140 | 1,617,370 | |||
Aviva PLC | 698,911 | 3,754,832 | |||
BAE Systems PLC | 756,754 | 8,173,086 | |||
Barclays PLC | 4,012,702 | 8,420,997 | |||
Barratt Developments PLC | 247,817 | 1,393,344 | |||
BP PLC | 4,675,908 | 30,727,840 | |||
British American Tobacco PLC | 523,778 | 19,822,767 | |||
BT Group PLC | 1,668,369 | 2,796,945 | |||
Bunzl PLC | 80,808 | 2,879,259 | |||
Burberry Group PLC | 95,971 | 2,849,814 | |||
CNH Industrial NV | 124,427 | 2,039,648 | |||
Coca-Cola Europacific Partners PLC | 24,878 | 1,368,290 | |||
Compass Group PLC | 428,926 | 9,908,952 | |||
Croda International PLC | 33,538 | 2,644,871 | |||
Diageo PLC | 556,723 | 23,625,326 | |||
Entain PLC | 140,966 | 2,302,070 | |||
Ferguson PLC | 52,557 | 7,566,143 | |||
GSK PLC | 978,123 | 16,756,124 | |||
Haleon PLC (A) | 1,220,737 | 4,723,826 | |||
Halma PLC | 91,311 | 2,376,504 | |||
Hargreaves Lansdown PLC | 85,741 | 854,319 | |||
HSBC Holdings PLC | 4,872,569 | 37,324,060 | |||
Imperial Brands PLC | 217,380 | 5,236,955 | |||
Informa PLC | 358,299 | 2,878,231 | |||
InterContinental Hotels Group PLC | 44,332 | 2,988,473 | |||
Intertek Group PLC | 38,543 | 1,934,566 | |||
J Sainsbury PLC | 416,334 | 1,342,703 | |||
JD Sports Fashion PLC | 618,140 | 1,345,793 | |||
Johnson Matthey PLC | 44,736 | 1,173,643 | |||
Kingfisher PLC | 492,378 | 1,702,818 | |||
Land Securities Group PLC | 168,075 | 1,387,829 | |||
Legal & General Group PLC | 1,464,539 | 4,507,990 | |||
Lloyds Banking Group PLC | 17,090,103 | 10,792,909 | |||
London Stock Exchange Group PLC | 79,174 | 7,064,038 | |||
M&G PLC | 617,163 | 1,589,547 | |||
Melrose Industries PLC | 1,049,325 | 1,889,655 | |||
Mondi PLC | 116,855 | 1,963,784 | |||
National Grid PLC | 874,053 | 10,969,106 | |||
NatWest Group PLC | 1,255,917 | 4,411,959 | |||
Next PLC | 31,625 | 2,601,528 | |||
Ocado Group PLC (A) | 138,372 | 914,364 | |||
Pearson PLC | 162,880 | 1,801,723 | |||
Persimmon PLC | 76,982 | 1,342,462 | |||
Phoenix Group Holdings PLC | 181,064 | 1,379,339 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
United Kingdom (continued) | |||||
Prudential PLC | 665,409 | $ | 10,169,398 | ||
Reckitt Benckiser Group PLC | 171,687 | 11,912,489 | |||
RELX PLC | 464,429 | 14,005,067 | |||
Rentokil Initial PLC | 445,950 | 2,743,095 | |||
Rio Tinto PLC | 270,078 | 18,533,958 | |||
Rolls-Royce Holdings PLC (A) | 2,005,621 | 3,494,387 | |||
Schroders PLC | 186,801 | 1,115,008 | |||
Segro PLC | 289,544 | 2,859,848 | |||
Severn Trent PLC | 58,823 | 1,942,877 | |||
Shell PLC | 1,829,401 | 55,409,518 | |||
Smith & Nephew PLC | 211,354 | 3,015,713 | |||
Smiths Group PLC | 92,663 | 1,965,013 | |||
Spirax-Sarco Engineering PLC | 17,666 | 2,481,030 | |||
SSE PLC | 255,829 | 5,354,229 | |||
St. James's Place PLC | 132,381 | 2,037,947 | |||
Standard Chartered PLC | 624,574 | 5,909,839 | |||
Taylor Wimpey PLC | 886,861 | 1,311,877 | |||
Tesco PLC | 1,832,088 | 5,612,387 | |||
The Berkeley Group Holdings PLC | 26,958 | 1,357,028 | |||
The British Land Company PLC | 209,276 | 1,122,499 | |||
The Sage Group PLC | 242,901 | 2,188,565 | |||
Unilever PLC | 615,685 | 30,653,385 | |||
United Utilities Group PLC | 160,664 | 1,961,767 | |||
Vodafone Group PLC | 6,483,409 | 7,763,061 | |||
Whitbread PLC | 48,268 | 1,790,186 | |||
WPP PLC | 274,215 | 3,372,617 | |||
540,761,827 | |||||
United States - 0.1% | |||||
Bausch Health Companies, Inc. (A) | 62,338 | 580,664 | |||
BeiGene, Ltd., ADR (A) | 8,564 | 1,923,731 | |||
Brookfield Renewable Corp., Class A (C) | 28,682 | 798,766 | |||
International Flavors & Fragrances, Inc. | 0 | 0 | |||
Legend Biotech Corp., ADR (A) | 8,940 | 412,849 | |||
Parade Technologies, Ltd. | 7,924 | 246,405 | |||
Southern Copper Corp. | 24,000 | 1,768,560 | |||
5,730,975 | |||||
TOTAL COMMON STOCKS (Cost $4,050,051,784) | $ | 3,814,065,785 | |||
PREFERRED SECURITIES - 0.9% | |||||
Brazil - 0.4% | |||||
Banco Bradesco SA | 999,087 | 2,496,072 | |||
Braskem SA, A Shares | 35,300 | 135,659 | |||
Centrais Eletricas Brasileiras SA, B Shares | 50,600 | 347,646 | |||
Cia Energetica de Minas Gerais | 256,594 | 513,634 | |||
Gerdau SA | 210,400 | 1,150,570 | |||
Itau Unibanco Holding SA | 887,900 | 4,312,771 | |||
Itausa SA | 944,040 | 1,484,008 | |||
Petroleo Brasileiro SA | 880,600 | 4,245,355 | |||
14,685,715 | |||||
Chile - 0.1% | |||||
Sociedad Quimica y Minera de Chile SA, B Shares | 26,613 | 2,375,228 | |||
Colombia - 0.0% | |||||
Bancolombia SA | 160,116 | 1,015,505 | |||
Germany - 0.2% | |||||
Bayerische Motoren Werke AG | 8,651 | 819,386 | |||
Henkel AG & Company KGaA | 28,488 | 2,072,450 | |||
Porsche Automobil Holding SE | 23,490 | 1,333,261 | |||
Sartorius AG | 3,712 | 1,576,735 | |||
Volkswagen AG | 28,435 | 3,870,723 | |||
9,672,555 |
The accompanying notes are an integral part of the financial statements. | 60 |
Shares or Principal Amount | Value | ||||
PREFERRED SECURITIES (continued) | |||||
South Korea - 0.2% | |||||
Hyundai Motor Company | 4,277 | $ | 297,778 | ||
Hyundai Motor Company, 2nd Preferred | 6,920 | 491,632 | |||
LG Chem, Ltd. (A) | 1,443 | 320,097 | |||
LG H&H Company, Ltd. (A) | 382 | 82,548 | |||
Samsung Electronics Company, Ltd. | 156,595 | 6,314,546 | |||
7,506,601 | |||||
TOTAL PREFERRED SECURITIES (Cost $43,024,183) | $ | 35,255,604 | |||
RIGHTS - 0.0% | |||||
Link REIT (Expiration Date: 3-22-23; Strike Price: HKD 44.20) (A) | 66,205 | 62,415 | |||
Shell PLC (Expiration Date: 3-3-23) (A)(E) | 1,829,401 | 525,319 | |||
SinoPac Financial Holdings Company, Ltd. (Expiration Date: 3-8-23; Strike Price: TWD 15.00) (A) | 57,115 | 4,124 | |||
TOTAL RIGHTS (Cost $525,953) | $ | 591,858 | |||
WARRANTS - 0.0% | |||||
BTS Group Holdings PCL (Expiration Date: 11-20-26; Strike Price: THB 14.90) (A) | 100,920 | 770 | |||
BTS Group Holdings PCL (Expiration Date: 11-7-24; Strike Price: THB 11.90) (A) | 50,460 | 285 | |||
Cie Financiere Richemont SA (Expiration Date: 11-22-23; Strike Price: CHF 67.00) (A) | 72,322 | 84,466 | |||
Minor International PCL (Expiration Date: 2-15-24; Strike Price: THB 31.00) (A) | 5,503 | 666 | |||
Minor International PCL (Expiration Date: 5-5-23; Strike Price: THB 28.00) (A) | 6,072 | 919 | |||
Minor International PCL (Expiration Date: 7-31-23; Strike Price: THB 21.60) (A) | 12,759 | 4,259 | |||
Srisawad Corp. PCL (Expiration Date: 8-29-25; Strike Price: THB 100.00) (A) | 2,652 | 315 | |||
TOTAL WARRANTS (Cost $0) | $ | 91,680 | |||
SHORT-TERM INVESTMENTS - 6.9% | |||||
U.S. Government Agency - 6.0% | |||||
Federal Home Loan Mortgage Corp. Discount Note | |||||
4.305%, 03/01/2023 * | $ | 126,400,000 | $ | 126,400,000 | |
4.320%, 03/06/2023 * | 76,000,000 | 75,953,481 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS (continued) | |||||
U.S. Government Agency (continued) | |||||
Federal National Mortgage Association Discount Note 4.480%, 04/03/2023 * | $ | 45,000,000 | $ | 44,808,667 | |
247,162,148 | |||||
Short-term funds - 0.9% | |||||
John Hancock Collateral Trust, 4.5832% (F)(G) | 3,793,806 | 37,920,984 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $285,092,815) | $ | 285,083,132 | |||
Total Investments (International Strategic Equity Allocation Fund) (Cost $4,378,694,735) - 100.3% | $ | 4,135,088,059 | |||
Other assets and liabilities, net - (0.3%) | (11,491,452) | ||||
TOTAL NET ASSETS - 100.0% | $ | 4,123,596,607 |
Currency Abbreviations | |
CHF | Swiss Franc |
HKD | Hong Kong Dollar |
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 2-28-23. |
(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) | Strike price and/or expiration date not available. |
(F) | The rate shown is the annualized seven-day yield as of 2-28-23. |
(G) | 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. |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
Canadian Dollar Currency Futures | 355 | Long | Mar 2023 | $26,315,315 | $26,016,175 | $(299,140) |
Mini MSCI EAFE Index Futures | 1,650 | Long | Mar 2023 | 169,497,246 | 168,786,750 | (710,496) |
Mini MSCI Emerging Markets Index Futures | 1,471 | Long | Mar 2023 | 73,609,391 | 70,777,165 | (2,832,226) |
S&P/TSX 60 Index Futures | 150 | Long | Mar 2023 | 26,929,546 | 26,779,040 | (150,506) |
$(3,992,368) |
The accompanying notes are an integral part of the financial statements. | 61 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 95.4% | |||||
Communication services – 4.9% | |||||
Entertainment – 1.0% | |||||
Madison Square Garden Entertainment Corp. (A) | 131,596 | $ | 7,965,506 | ||
Madison Square Garden Sports Corp. | 32,059 | 6,127,757 | |||
14,093,263 | |||||
Media – 3.9% | |||||
DISH Network Corp., Class A (A) | 321,841 | 3,672,206 | |||
News Corp., Class A | 1,556,321 | 26,690,905 | |||
News Corp., Class B | 124,474 | 2,148,421 | |||
Paramount Global, Class B (B) | 536,038 | 11,481,934 | |||
Scholastic Corp. | 262,295 | 11,963,275 | |||
55,956,741 | |||||
70,050,004 | |||||
Consumer discretionary – 8.8% | |||||
Automobiles – 1.0% | |||||
General Motors Company | 373,000 | 14,450,020 | |||
Diversified consumer services – 1.7% | |||||
Bright Horizons Family Solutions, Inc. (A) | 165,858 | 13,076,245 | |||
Strategic Education, Inc. | 127,955 | 10,908,164 | |||
23,984,409 | |||||
Hotels, restaurants and leisure – 0.9% | |||||
Compass Group PLC | 552,726 | 12,768,956 | |||
Household durables – 0.7% | |||||
Mohawk Industries, Inc. (A) | 96,447 | 9,919,574 | |||
Specialty retail – 2.4% | |||||
Bath & Body Works, Inc. | 211,023 | 8,624,510 | |||
Best Buy Company, Inc. | 137,662 | 11,441,089 | |||
Burlington Stores, Inc. (A) | 69,788 | 14,952,079 | |||
35,017,678 | |||||
Textiles, apparel and luxury goods – 2.1% | |||||
adidas AG | 39,704 | 5,929,664 | |||
Ralph Lauren Corp. | 206,498 | 24,405,999 | |||
30,335,663 | |||||
126,476,300 | |||||
Consumer staples – 7.2% | |||||
Beverages – 2.4% | |||||
Carlsberg A/S, Class B | 63,717 | 9,003,906 | |||
Constellation Brands, Inc., Class A | 67,703 | 15,145,161 | |||
Monster Beverage Corp. (A) | 106,238 | 10,810,779 | |||
34,959,846 | |||||
Food and staples retailing – 1.4% | |||||
Sysco Corp. | 267,030 | 19,912,427 | |||
Food products – 2.9% | |||||
Bunge, Ltd. | 118,659 | 11,331,935 | |||
Flowers Foods, Inc. | 904,579 | 25,219,663 | |||
Tyson Foods, Inc., Class A | 84,200 | 4,988,008 | |||
41,539,606 | |||||
Household products – 0.5% | |||||
Kimberly-Clark Corp. | 52,918 | 6,617,396 | |||
103,029,275 | |||||
Energy – 8.6% | |||||
Energy equipment and services – 6.0% | |||||
Expro Group Holdings NV (A) | 595,930 | 13,545,489 | |||
NOV, Inc. | 483,639 | 10,582,021 | |||
SEACOR Marine Holdings, Inc. (A) | 358,073 | 3,720,378 | |||
TechnipFMC PLC (A) | 2,298,014 | 35,136,634 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Energy equipment and services (continued) | |||||
Tidewater, Inc. (A)(B) | 465,380 | $ | 22,729,159 | ||
85,713,681 | |||||
Oil, gas and consumable fuels – 2.6% | |||||
Cameco Corp. | 504,131 | 13,782,942 | |||
Equitrans Midstream Corp. | 1,161,926 | 7,006,414 | |||
Imperial Oil, Ltd. | 144,443 | 7,129,706 | |||
Suncor Energy, Inc. | 280,600 | 9,428,160 | |||
37,347,222 | |||||
123,060,903 | |||||
Financials – 14.9% | |||||
Banks – 5.2% | |||||
Fifth Third Bancorp | 842,621 | 30,587,142 | |||
Popular, Inc. | 226,682 | 16,185,095 | |||
Signature Bank | 81,336 | 9,357,707 | |||
Webster Financial Corp. | 349,098 | 18,544,086 | |||
74,674,030 | |||||
Capital markets – 2.5% | |||||
Main Street Capital Corp. (B) | 214,783 | 9,126,130 | |||
Open Lending Corp., Class A (A) | 709,566 | 5,023,727 | |||
State Street Corp. | 241,955 | 21,456,569 | |||
35,606,426 | |||||
Consumer finance – 0.8% | |||||
OneMain Holdings, Inc. | 259,926 | 11,200,211 | |||
Diversified financial services – 1.9% | |||||
Apollo Global Management, Inc. | 172,992 | 12,265,133 | |||
Corebridge Financial, Inc. | 174,456 | 3,527,500 | |||
Jackson Financial, Inc., Class A (B) | 264,730 | 12,013,447 | |||
27,806,080 | |||||
Insurance – 4.5% | |||||
Brown & Brown, Inc. | 213,769 | 11,986,028 | |||
CNA Financial Corp. | 296,428 | 12,977,618 | |||
Kemper Corp. | 284,723 | 17,538,937 | |||
RenaissanceRe Holdings, Ltd. | 100,569 | 21,612,278 | |||
64,114,861 | |||||
213,401,608 | |||||
Health care – 10.4% | |||||
Health care equipment and supplies – 3.5% | |||||
Baxter International, Inc. | 72,300 | 2,888,385 | |||
Dentsply Sirona, Inc. | 362,724 | 13,808,903 | |||
Koninklijke Philips NV | 795,637 | 12,990,193 | |||
Zimmer Biomet Holdings, Inc. | 166,867 | 20,669,815 | |||
50,357,296 | |||||
Health care providers and services – 4.9% | |||||
Cardinal Health, Inc. | 141,857 | 10,739,993 | |||
Centene Corp. (A) | 148,386 | 10,149,602 | |||
Fresenius SE & Company KGaA | 251,237 | 6,913,336 | |||
Patterson Companies, Inc. | 264,461 | 7,013,506 | |||
Select Medical Holdings Corp. | 1,302,731 | 35,421,253 | |||
70,237,690 | |||||
Life sciences tools and services – 1.2% | |||||
Charles River Laboratories International, Inc. (A) | 77,664 | 17,034,822 | |||
Pharmaceuticals – 0.8% | |||||
Elanco Animal Health, Inc. (A) | 445,280 | 5,107,362 | |||
Viatris, Inc. | 645,437 | 7,357,982 | |||
12,465,344 | |||||
150,095,152 | |||||
Industrials – 14.4% | |||||
Aerospace and defense – 4.0% | |||||
Rolls-Royce Holdings PLC (A) | 10,061,254 | 17,529,701 |
The accompanying notes are an integral part of the financial statements. | 62 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Aerospace and defense (continued) | |||||
Spirit AeroSystems Holdings, Inc., Class A (B) | 433,955 | $ | 14,832,582 | ||
Textron, Inc. | 339,305 | 24,609,792 | |||
56,972,075 | |||||
Air freight and logistics – 0.7% | |||||
CH Robinson Worldwide, Inc. | 101,326 | 10,128,547 | |||
Airlines – 0.9% | |||||
Southwest Airlines Company (A) | 393,966 | 13,229,378 | |||
Building products – 1.4% | |||||
Armstrong World Industries, Inc. | 36,800 | 2,901,680 | |||
Fortune Brands Innovations, Inc. | 94,632 | 5,862,452 | |||
Trane Technologies PLC | 63,806 | 11,802,196 | |||
20,566,328 | |||||
Electrical equipment – 0.7% | |||||
Rockwell Automation, Inc. | 34,107 | 10,059,178 | |||
Machinery – 4.8% | |||||
Alstom SA (B) | 355,453 | 10,431,909 | |||
Esab Corp. | 56,842 | 3,333,783 | |||
PACCAR, Inc. | 176,604 | 12,750,809 | |||
Stanley Black & Decker, Inc. | 337,389 | 28,883,872 | |||
The Middleby Corp. (A) | 90,418 | 14,059,095 | |||
69,459,468 | |||||
Road and rail – 1.2% | |||||
JB Hunt Transport Services, Inc. | 91,483 | 16,539,212 | |||
Trading companies and distributors – 0.7% | |||||
Ashtead Group PLC | 147,108 | 9,734,027 | |||
206,688,213 | |||||
Information technology – 8.4% | |||||
Communications equipment – 1.6% | |||||
Arista Networks, Inc. (A) | 93,910 | 13,025,317 | |||
Motorola Solutions, Inc. | 39,354 | 10,342,625 | |||
23,367,942 | |||||
Electronic equipment, instruments and components – 1.0% | |||||
Corning, Inc. | 401,005 | 13,614,120 | |||
IT services – 2.0% | |||||
FleetCor Technologies, Inc. (A) | 35,660 | 7,659,411 | |||
Global Payments, Inc. | 125,799 | 14,114,648 | |||
SS&C Technologies Holdings, Inc. | 115,400 | 6,773,980 | |||
28,548,039 | |||||
Semiconductors and semiconductor equipment – 1.7% | |||||
Marvell Technology, Inc. | 348,525 | 15,735,904 | |||
MKS Instruments, Inc. | 85,985 | 8,334,526 | |||
24,070,430 | |||||
Technology hardware, storage and peripherals – 2.1% | |||||
Western Digital Corp. (A) | 796,637 | 30,654,592 | |||
120,255,123 | |||||
Materials – 6.6% | |||||
Chemicals – 1.5% | |||||
Corteva, Inc. | 66,128 | 4,119,113 | |||
PPG Industries, Inc. | 25,995 | 3,432,900 | |||
The Scotts Miracle-Gro Company (B) | 173,705 | 14,330,663 | |||
21,882,676 | |||||
Construction materials – 1.8% | |||||
Summit Materials, Inc., Class A (A) | 540,232 | 15,958,453 | |||
Vulcan Materials Company | 52,797 | 9,551,505 | |||
25,509,958 | |||||
Containers and packaging – 1.5% | |||||
Ball Corp. | 170,015 | 9,556,543 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Containers and packaging (continued) | |||||
Westrock Company | 384,180 | $ | 12,063,252 | ||
21,619,795 | |||||
Metals and mining – 1.8% | |||||
Franco-Nevada Corp. | 80,616 | 10,290,135 | |||
Freeport-McMoRan, Inc. | 157,236 | 6,441,959 | |||
Fresnillo PLC | 983,143 | 9,027,530 | |||
25,759,624 | |||||
94,772,053 | |||||
Real estate – 5.9% | |||||
Equity real estate investment trusts – 5.9% | |||||
Apartment Investment and Management Company, Class A | 1,018,891 | 7,641,683 | |||
Digital Realty Trust, Inc. | 65,013 | 6,776,305 | |||
Equity Residential | 123,110 | 7,696,837 | |||
Omega Healthcare Investors, Inc. | 64,100 | 1,717,239 | |||
Rayonier, Inc. | 365,527 | 12,274,397 | |||
Regency Centers Corp. | 189,604 | 11,926,092 | |||
Rexford Industrial Realty, Inc. | 197,235 | 11,924,828 | |||
SBA Communications Corp. | 17,900 | 4,642,365 | |||
Simon Property Group, Inc. | 28,600 | 3,491,774 | |||
Vornado Realty Trust | 234,707 | 4,642,504 | |||
Weyerhaeuser Company | 390,959 | 12,217,469 | |||
84,951,493 | |||||
Utilities – 5.3% | |||||
Electric utilities – 4.2% | |||||
Evergy, Inc. | 133,400 | 7,845,254 | |||
FirstEnergy Corp. | 681,197 | 26,934,529 | |||
PG&E Corp. (A) | 1,632,732 | 25,503,274 | |||
60,283,057 | |||||
Multi-utilities – 1.1% | |||||
Ameren Corp. | 118,600 | 9,809,406 | |||
CenterPoint Energy, Inc. | 236,143 | 6,569,498 | |||
16,378,904 | |||||
76,661,961 | |||||
TOTAL COMMON STOCKS (Cost $1,081,788,637) | $ | 1,369,442,085 | |||
SHORT-TERM INVESTMENTS – 6.7% | |||||
Short-term funds – 6.7% | |||||
John Hancock Collateral Trust, 4.5832% (C)(D) | 2,834,190 | 28,329,148 | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.4192% (C) | 2,008,910 | 2,008,910 | |||
T. Rowe Price Government Reserve Fund, 4.5920% (C) | 66,148,640 | 66,148,640 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $96,480,107) | $ | 96,486,698 | |||
Total Investments (Mid Value Fund) (Cost $1,178,268,744) – 102.1% | $ | 1,465,928,783 | |||
Other assets and liabilities, net – (2.1%) | (30,200,896) | ||||
TOTAL NET ASSETS – 100.0% | $ | 1,435,727,887 |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 2-28-23. |
(C) | The rate shown is the annualized seven-day yield as of 2-28-23. |
(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. |
The accompanying notes are an integral part of the financial statements. | 63 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 96.1% | |||||
Communication services – 14.3% | |||||
Entertainment – 1.1% | |||||
Activision Blizzard, Inc. | 18,300 | $ | 1,395,375 | ||
Interactive media and services – 13.2% | |||||
Alphabet, Inc., Class A (A) | 86,006 | 7,745,700 | |||
Baidu, Inc., ADR (A) | 15,740 | 2,167,241 | |||
Meta Platforms, Inc., Class A (A) | 31,827 | 5,567,815 | |||
Pinterest, Inc., Class A (A) | 53,099 | 1,333,316 | |||
VK Company, Ltd., GDR (A)(B) | 159,991 | 29,438 | |||
16,843,510 | |||||
18,238,885 | |||||
Consumer discretionary – 22.2% | |||||
Automobiles – 0.1% | |||||
Rivian Automotive, Inc., Class A (A)(C) | 9,137 | 176,344 | |||
Hotels, restaurants and leisure – 2.9% | |||||
Booking Holdings, Inc. (A) | 1,248 | 3,149,952 | |||
Tongcheng Travel Holdings, Ltd. (A) | 253,200 | 502,596 | |||
3,652,548 | |||||
Internet and direct marketing retail – 18.3% | |||||
Alibaba Group Holding, Ltd., ADR (A) | 31,335 | 2,750,900 | |||
Amazon.com, Inc. (A) | 70,416 | 6,635,300 | |||
Coupang, Inc. (A) | 50,810 | 788,063 | |||
Deliveroo PLC (A)(D) | 585,423 | 580,942 | |||
Delivery Hero SE (A)(D) | 52,325 | 2,102,714 | |||
D-Market Elektronik Hizmetler ve Ticaret AS, ADR (A) | 56,458 | 50,129 | |||
DoorDash, Inc., Class A (A) | 12,689 | 693,581 | |||
Etsy, Inc. (A) | 11,475 | 1,393,180 | |||
JD.com, Inc., ADR | 28,458 | 1,264,674 | |||
MercadoLibre, Inc. (A) | 278 | 339,160 | |||
Naspers, Ltd., N Shares | 3,852 | 677,350 | |||
Wayfair, Inc., Class A (A)(C) | 4,598 | 186,173 | |||
Zalando SE (A)(D) | 146,063 | 5,787,024 | |||
23,249,190 | |||||
Specialty retail – 0.9% | |||||
Auto1 Group SE (A)(D) | 94,148 | 715,318 | |||
Warby Parker, Inc., Class A (A)(C) | 34,397 | 447,505 | |||
1,162,823 | |||||
28,240,905 | |||||
Health care – 0.3% | |||||
Health care technology – 0.3% | |||||
Veeva Systems, Inc., Class A (A) | 2,364 | 391,620 | |||
Information technology – 59.0% | |||||
Communications equipment – 1.7% | |||||
Arista Networks, Inc. (A) | 15,128 | 2,098,254 | |||
IT services – 4.1% | |||||
Accenture PLC, Class A | 17,955 | 4,767,950 | |||
MongoDB, Inc. (A) | 1,862 | 390,126 | |||
5,158,076 | |||||
Semiconductors and semiconductor equipment – 18.4% | |||||
Advanced Micro Devices, Inc. (A) | 52,404 | 4,117,906 | |||
ASML Holding NV, NYRS | 1,014 | 626,378 | |||
Lam Research Corp. | 4,330 | 2,104,423 | |||
Marvell Technology, Inc. | 31,194 | 1,408,409 | |||
Micron Technology, Inc. | 24,075 | 1,392,017 | |||
NVIDIA Corp. | 21,790 | 5,058,766 | |||
Qualcomm, Inc. | 31,068 | 3,837,830 | |||
Texas Instruments, Inc. | 28,400 | 4,869,180 | |||
23,414,909 | |||||
Software – 28.6% | |||||
Adobe, Inc. (A) | 2,022 | 655,027 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Software (continued) | |||||
Fortinet, Inc. (A) | 49,159 | $ | 2,922,011 | ||
Gen Digital, Inc. | 43,128 | 841,427 | |||
HubSpot, Inc. (A) | 685 | 264,999 | |||
Intuit, Inc. | 2,933 | 1,194,259 | |||
Microsoft Corp. | 51,384 | 12,816,199 | |||
Qualtrics International, Inc., Class A (A) | 59,421 | 1,005,403 | |||
salesforce.com, Inc. (A) | 81,387 | 13,315,727 | |||
TeamViewer AG (A)(D) | 41,736 | 672,808 | |||
Workday, Inc., Class A (A) | 7,604 | 1,410,314 | |||
Zoom Video Communications, Inc., Class A (A) | 18,104 | 1,350,377 | |||
36,448,551 | |||||
Technology hardware, storage and peripherals – 6.2% | |||||
Apple, Inc. | 21,647 | 3,190,984 | |||
Pure Storage, Inc., Class A (A) | 104,395 | 2,979,433 | |||
Samsung Electronics Company, Ltd. | 25,641 | 1,173,201 | |||
Western Digital Corp. (A) | 15,405 | 592,784 | |||
7,936,402 | |||||
75,056,192 | |||||
Real estate – 0.3% | |||||
Real estate management and development – 0.3% | |||||
KE Holdings, Inc., ADR (A) | 20,747 | 378,633 | |||
Opendoor Technologies, Inc. (A) | 34,006 | 48,969 | |||
427,602 | |||||
TOTAL COMMON STOCKS (Cost $117,375,119) | $ | 122,355,204 | |||
SHORT-TERM INVESTMENTS – 5.2% | |||||
Short-term funds – 5.2% | |||||
John Hancock Collateral Trust, 4.5832% (E)(F) | 63,572 | 635,436 | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.4192% (E) | 2,006,757 | 2,006,757 | |||
T. Rowe Price Government Reserve Fund, 4.5920% (E) | 3,951,391 | 3,951,391 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,593,612) | $ | 6,593,584 | |||
Total Investments (Science & Technology Fund) (Cost $123,968,731) – 101.3% | $ | 128,948,788 | |||
Other assets and liabilities, net – (1.3%) | (1,613,456) | ||||
TOTAL NET ASSETS – 100.0% | $ | 127,335,332 |
Security Abbreviations and Legend | |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
NYRS | New York Registry Shares |
(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 2-28-23. |
(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 2-28-23. |
(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. |
The accompanying notes are an integral part of the financial statements. | 64 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS – 98.1% | |||||
Communication services – 7.5% | |||||
Diversified telecommunication services – 0.9% | |||||
AT&T, Inc. | 895,307 | $ | 16,930,255 | ||
Lumen Technologies, Inc. | 125,382 | 426,299 | |||
Verizon Communications, Inc. | 533,862 | 20,719,184 | |||
38,075,738 | |||||
Entertainment – 1.4% | |||||
Activision Blizzard, Inc. | 88,844 | 6,774,355 | |||
Electronic Arts, Inc. | 32,494 | 3,604,884 | |||
Live Nation Entertainment, Inc. (A) | 17,946 | 1,293,189 | |||
Netflix, Inc. (A) | 56,802 | 18,297,628 | |||
Take-Two Interactive Software, Inc. (A) | 19,528 | 2,139,292 | |||
The Walt Disney Company (A) | 232,454 | 23,154,743 | |||
Warner Brothers Discovery, Inc. (A) | 282,331 | 4,410,010 | |||
59,674,101 | |||||
Interactive media and services – 4.2% | |||||
Alphabet, Inc., Class A (A) | 758,809 | 68,338,339 | |||
Alphabet, Inc., Class C (A) | 672,581 | 60,734,064 | |||
Match Group, Inc. (A) | 35,474 | 1,469,333 | |||
Meta Platforms, Inc., Class A (A) | 278,496 | 48,720,090 | |||
179,261,826 | |||||
Media – 0.8% | |||||
Charter Communications, Inc., Class A (A) | 13,846 | 5,089,928 | |||
Comcast Corp., Class A (B) | 551,061 | 20,482,937 | |||
DISH Network Corp., Class A (A) | 33,418 | 381,299 | |||
Fox Corp., Class A | 38,225 | 1,338,640 | |||
Fox Corp., Class B | 17,677 | 570,083 | |||
News Corp., Class A | 49,205 | 843,866 | |||
News Corp., Class B | 15,135 | 261,230 | |||
Omnicom Group, Inc. | 25,787 | 2,335,529 | |||
Paramount Global, Class B (B) | 64,546 | 1,382,575 | |||
The Interpublic Group of Companies, Inc. | 48,979 | 1,740,714 | |||
34,426,801 | |||||
Wireless telecommunication services – 0.2% | |||||
T-Mobile US, Inc. (A) | 75,207 | 10,692,931 | |||
322,131,397 | |||||
Consumer discretionary – 10.3% | |||||
Auto components – 0.1% | |||||
Aptiv PLC (A) | 33,826 | 3,933,287 | |||
BorgWarner, Inc. | 29,077 | 1,461,992 | |||
5,395,279 | |||||
Automobiles – 1.9% | |||||
Ford Motor Company | 506,267 | 6,110,643 | |||
General Motors Company | 180,910 | 7,008,453 | |||
Tesla, Inc. (A) | 341,009 | 70,148,961 | |||
83,268,057 | |||||
Distributors – 0.2% | |||||
Genuine Parts Company | 17,607 | 3,113,974 | |||
LKQ Corp. | 32,130 | 1,840,728 | |||
Pool Corp. | 4,999 | 1,783,943 | |||
6,738,645 | |||||
Hotels, restaurants and leisure – 2.0% | |||||
Booking Holdings, Inc. (A) | 4,772 | 12,044,528 | |||
Caesars Entertainment, Inc. (A) | 26,859 | 1,363,363 | |||
Carnival Corp. (A)(B) | 123,968 | 1,316,540 | |||
Chipotle Mexican Grill, Inc. (A) | 3,471 | 5,175,539 | |||
Darden Restaurants, Inc. | 14,787 | 2,114,393 | |||
Domino's Pizza, Inc. | 4,384 | 1,288,940 | |||
Expedia Group, Inc. (A) | 18,383 | 2,003,196 | |||
Hilton Worldwide Holdings, Inc. | 33,298 | 4,811,894 | |||
Las Vegas Sands Corp. (A) | 39,803 | 2,287,478 | |||
Marriott International, Inc., Class A | 33,046 | 5,592,705 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Hotels, restaurants and leisure (continued) | |||||
McDonald's Corp. | 89,483 | $ | 23,615,459 | ||
MGM Resorts International | 39,246 | 1,687,970 | |||
Norwegian Cruise Line Holdings, Ltd. (A)(B) | 53,782 | 797,049 | |||
Royal Caribbean Cruises, Ltd. (A) | 27,176 | 1,919,713 | |||
Starbucks Corp. | 142,710 | 14,569,264 | |||
Wynn Resorts, Ltd. (A) | 12,756 | 1,382,368 | |||
Yum! Brands, Inc. | 34,632 | 4,403,805 | |||
86,374,204 | |||||
Household durables – 0.3% | |||||
D.R. Horton, Inc. | 39,541 | 3,656,752 | |||
Garmin, Ltd. | 19,327 | 1,896,559 | |||
Hamilton Beach Brands Holding Company, Class B | 294 | 3,822 | |||
Lennar Corp., A Shares | 31,968 | 3,092,584 | |||
Mohawk Industries, Inc. (A) | 6,780 | 697,323 | |||
Newell Brands, Inc. | 47,642 | 699,861 | |||
NVR, Inc. (A) | 371 | 1,919,413 | |||
PulteGroup, Inc. | 28,381 | 1,551,589 | |||
Whirlpool Corp. | 6,799 | 938,126 | |||
14,456,029 | |||||
Internet and direct marketing retail – 2.6% | |||||
Amazon.com, Inc. (A) | 1,106,296 | 104,246,272 | |||
eBay, Inc. | 66,254 | 3,041,059 | |||
Etsy, Inc. (A) | 15,785 | 1,916,457 | |||
109,203,788 | |||||
Leisure products – 0.0% | |||||
Hasbro, Inc. | 16,462 | 905,575 | |||
Multiline retail – 0.5% | |||||
Dollar General Corp. | 27,417 | 5,930,297 | |||
Dollar Tree, Inc. (A) | 25,774 | 3,744,447 | |||
Target Corp. | 57,964 | 9,766,934 | |||
19,441,678 | |||||
Specialty retail – 2.2% | |||||
Advance Auto Parts, Inc. | 7,538 | 1,092,708 | |||
AutoZone, Inc. (A) | 2,344 | 5,828,450 | |||
Bath & Body Works, Inc. | 29,137 | 1,190,829 | |||
Best Buy Company, Inc. | 25,407 | 2,111,576 | |||
CarMax, Inc. (A) | 20,494 | 1,414,906 | |||
Lowe's Companies, Inc. | 79,310 | 16,318,033 | |||
O'Reilly Automotive, Inc. (A) | 7,668 | 6,365,207 | |||
Ross Stores, Inc. | 43,130 | 4,767,590 | |||
The Home Depot, Inc. | 133,141 | 39,481,632 | |||
The TJX Companies, Inc. | 143,168 | 10,966,669 | |||
Tractor Supply Company | 13,635 | 3,180,500 | |||
Ulta Beauty, Inc. (A) | 6,284 | 3,260,139 | |||
95,978,239 | |||||
Textiles, apparel and luxury goods – 0.5% | |||||
NIKE, Inc., Class B | 157,830 | 18,748,626 | |||
Ralph Lauren Corp. | 5,161 | 609,979 | |||
Tapestry, Inc. | 30,277 | 1,317,352 | |||
VF Corp. | 41,980 | 1,041,944 | |||
21,717,901 | |||||
443,479,395 | |||||
Consumer staples – 7.0% | |||||
Beverages – 1.9% | |||||
Brown-Forman Corp., Class B | 24,654 | 1,599,305 | |||
Constellation Brands, Inc., Class A | 22,033 | 4,928,782 | |||
Keurig Dr. Pepper, Inc. | 113,532 | 3,922,531 | |||
Molson Coors Beverage Company, Class B | 24,336 | 1,294,432 | |||
Monster Beverage Corp. (A) | 51,572 | 5,247,967 | |||
PepsiCo, Inc. | 183,659 | 31,870,346 |
The accompanying notes are an integral part of the financial statements. | 65 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Beverages (continued) | |||||
The Coca-Cola Company | 520,938 | $ | 31,001,020 | ||
79,864,383 | |||||
Food and staples retailing – 1.6% | |||||
Costco Wholesale Corp. | 59,699 | 28,905,062 | |||
Sysco Corp. | 69,149 | 5,156,441 | |||
The Kroger Company | 85,851 | 3,703,612 | |||
Walgreens Boots Alliance, Inc. | 97,569 | 3,466,627 | |||
Walmart, Inc. | 187,533 | 26,654,065 | |||
67,885,807 | |||||
Food products – 1.1% | |||||
Archer-Daniels-Midland Company | 73,419 | 5,844,152 | |||
Campbell Soup Company | 26,293 | 1,380,908 | |||
Conagra Brands, Inc. | 63,836 | 2,324,269 | |||
General Mills, Inc. | 75,558 | 6,007,617 | |||
Hormel Foods Corp. | 38,772 | 1,720,701 | |||
Kellogg Company | 33,858 | 2,232,597 | |||
Lamb Weston Holdings, Inc. | 19,224 | 1,934,703 | |||
McCormick & Company, Inc. | 33,504 | 2,490,017 | |||
Mondelez International, Inc., Class A | 182,803 | 11,915,100 | |||
The Hershey Company | 19,508 | 4,649,147 | |||
The J.M. Smucker Company | 14,189 | 2,098,411 | |||
The Kraft Heinz Company | 106,451 | 4,145,202 | |||
Tyson Foods, Inc., Class A | 39,017 | 2,311,367 | |||
49,054,191 | |||||
Household products – 1.5% | |||||
Church & Dwight Company, Inc. | 32,468 | 2,720,169 | |||
Colgate-Palmolive Company | 111,707 | 8,188,123 | |||
Kimberly-Clark Corp. | 44,193 | 5,526,335 | |||
The Clorox Company | 16,363 | 2,543,465 | |||
The Procter & Gamble Company | 315,865 | 43,450,389 | |||
62,428,481 | |||||
Personal products – 0.2% | |||||
The Estee Lauder Companies, Inc., Class A | 31,118 | 7,563,230 | |||
Tobacco – 0.7% | |||||
Altria Group, Inc. | 242,763 | 11,271,486 | |||
Philip Morris International, Inc. | 210,378 | 20,469,779 | |||
31,741,265 | |||||
298,537,357 | |||||
Energy – 5.6% | |||||
Energy equipment and services – 0.5% | |||||
Baker Hughes Company | 153,271 | 4,690,093 | |||
Halliburton Company | 137,115 | 4,967,676 | |||
Schlumberger, Ltd. | 211,994 | 11,280,201 | |||
20,937,970 | |||||
Oil, gas and consumable fuels – 5.1% | |||||
APA Corp. | 48,642 | 1,866,880 | |||
Chevron Corp. | 270,125 | 43,427,996 | |||
ConocoPhillips | 185,209 | 19,141,350 | |||
Coterra Energy, Inc. (B) | 120,810 | 3,016,626 | |||
Devon Energy Corp. | 97,285 | 5,245,607 | |||
Diamondback Energy, Inc. | 26,535 | 3,730,290 | |||
EOG Resources, Inc. | 88,099 | 9,956,949 | |||
EQT Corp. | 56,780 | 1,883,960 | |||
Exxon Mobil Corp. | 618,531 | 67,982,742 | |||
Hess Corp. | 41,746 | 5,623,186 | |||
Kinder Morgan, Inc. | 303,126 | 5,171,330 | |||
Marathon Oil Corp. | 96,921 | 2,437,563 | |||
Marathon Petroleum Corp. | 69,740 | 8,619,864 | |||
Occidental Petroleum Corp. | 110,737 | 6,484,759 | |||
ONEOK, Inc. | 68,543 | 4,486,139 | |||
Phillips 66 | 70,643 | 7,245,146 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Oil, gas and consumable fuels (continued) | |||||
Pioneer Natural Resources Company | 36,199 | $ | 7,254,642 | ||
Targa Resources Corp. | 34,503 | 2,556,672 | |||
The Williams Companies, Inc. | 186,464 | 5,612,566 | |||
Valero Energy Corp. | 56,667 | 7,464,744 | |||
219,209,011 | |||||
240,146,981 | |||||
Financials – 10.7% | |||||
Banks – 3.6% | |||||
Bank of America Corp. | 824,751 | 28,288,959 | |||
Citigroup, Inc. | 231,017 | 11,710,252 | |||
Citizens Financial Group, Inc. | 58,255 | 2,432,729 | |||
Comerica, Inc. | 15,622 | 1,095,102 | |||
Fifth Third Bancorp | 81,133 | 2,945,128 | |||
First Republic Bank | 22,194 | 2,730,084 | |||
Huntington Bancshares, Inc. | 170,315 | 2,609,226 | |||
JPMorgan Chase & Co. | 346,117 | 49,615,872 | |||
KeyCorp | 111,375 | 2,037,049 | |||
M&T Bank Corp. | 20,423 | 3,171,488 | |||
Regions Financial Corp. | 110,881 | 2,585,745 | |||
Signature Bank | 7,659 | 881,168 | |||
SVB Financial Group (A) | 7,014 | 2,020,804 | |||
The PNC Financial Services Group, Inc. | 47,396 | 7,484,776 | |||
Truist Financial Corp. | 157,357 | 7,387,911 | |||
U.S. Bancorp | 159,059 | 7,591,886 | |||
Wells Fargo & Company | 450,696 | 21,079,052 | |||
Zions Bancorp NA | 17,777 | 899,872 | |||
156,567,103 | |||||
Capital markets – 2.9% | |||||
Ameriprise Financial, Inc. | 12,710 | 4,357,878 | |||
BlackRock, Inc. | 17,866 | 12,317,356 | |||
Cboe Global Markets, Inc. | 12,224 | 1,542,302 | |||
CME Group, Inc. | 41,630 | 7,716,537 | |||
FactSet Research Systems, Inc. | 4,462 | 1,849,722 | |||
Franklin Resources, Inc. | 34,407 | 1,013,974 | |||
Intercontinental Exchange, Inc. | 66,227 | 6,741,909 | |||
Invesco, Ltd. | 55,410 | 978,541 | |||
MarketAxess Holdings, Inc. | 4,341 | 1,482,234 | |||
Moody's Corp. | 18,550 | 5,382,283 | |||
Morgan Stanley | 155,392 | 14,995,328 | |||
MSCI, Inc. | 9,546 | 4,984,444 | |||
Nasdaq, Inc. | 40,320 | 2,260,339 | |||
Northern Trust Corp. | 24,718 | 2,354,884 | |||
Raymond James Financial, Inc. | 22,737 | 2,466,055 | |||
S&P Global, Inc. | 39,390 | 13,439,868 | |||
State Street Corp. | 43,676 | 3,873,188 | |||
T. Rowe Price Group, Inc. | 27,086 | 3,041,216 | |||
The Bank of New York Mellon Corp. | 86,546 | 4,403,460 | |||
The Charles Schwab Corp. | 176,592 | 13,760,049 | |||
The Goldman Sachs Group, Inc. | 39,882 | 14,024,505 | |||
122,986,072 | |||||
Consumer finance – 0.5% | |||||
American Express Company | 70,371 | 12,243,850 | |||
Capital One Financial Corp. | 45,093 | 4,918,744 | |||
Discover Financial Services | 32,042 | 3,588,704 | |||
Synchrony Financial | 52,884 | 1,888,488 | |||
22,639,786 | |||||
Diversified financial services – 1.5% | |||||
Berkshire Hathaway, Inc., Class B (A) | 212,170 | 64,750,041 | |||
Insurance – 2.2% | |||||
Aflac, Inc. | 66,477 | 4,530,408 | |||
American International Group, Inc. | 87,313 | 5,335,697 | |||
Aon PLC, Class A | 24,369 | 7,409,394 | |||
Arch Capital Group, Ltd. (A) | 42,796 | 2,995,720 |
The accompanying notes are an integral part of the financial statements. | 66 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Insurance (continued) | |||||
Arthur J. Gallagher & Company | 24,602 | $ | 4,609,185 | ||
Assurant, Inc. | 6,145 | 782,812 | |||
Brown & Brown, Inc. | 27,763 | 1,556,671 | |||
Chubb, Ltd. | 48,407 | 10,214,845 | |||
Cincinnati Financial Corp. | 18,439 | 2,225,587 | |||
Everest Re Group, Ltd. | 4,577 | 1,757,431 | |||
Globe Life, Inc. | 10,603 | 1,290,279 | |||
Lincoln National Corp. | 18,988 | 602,299 | |||
Loews Corp. | 22,978 | 1,403,726 | |||
Marsh & McLennan Companies, Inc. | 58,081 | 9,417,253 | |||
MetLife, Inc. | 77,809 | 5,581,240 | |||
Principal Financial Group, Inc. | 27,231 | 2,438,808 | |||
Prudential Financial, Inc. | 43,929 | 4,392,900 | |||
The Allstate Corp. | 30,731 | 3,957,538 | |||
The Hartford Financial Services Group, Inc. | 37,167 | 2,909,433 | |||
The Progressive Corp. | 66,962 | 9,610,386 | |||
The Travelers Companies, Inc. | 27,139 | 5,023,972 | |||
W.R. Berkley Corp. | 23,725 | 1,570,358 | |||
Willis Towers Watson PLC | 12,687 | 2,973,325 | |||
92,589,267 | |||||
459,532,269 | |||||
Health care – 15.0% | |||||
Biotechnology – 2.3% | |||||
AbbVie, Inc. | 232,627 | 35,801,295 | |||
Amgen, Inc. | 71,252 | 16,506,238 | |||
Biogen, Inc. (A) | 19,487 | 5,258,762 | |||
Gilead Sciences, Inc. | 165,862 | 13,356,867 | |||
Incyte Corp. (A) | 24,668 | 1,898,943 | |||
Moderna, Inc. (A) | 45,420 | 6,304,750 | |||
Regeneron Pharmaceuticals, Inc. (A) | 14,246 | 10,832,943 | |||
Vertex Pharmaceuticals, Inc. (A) | 34,116 | 9,903,534 | |||
99,863,332 | |||||
Health care equipment and supplies – 2.9% | |||||
Abbott Laboratories | 238,714 | 24,281,988 | |||
ABIOMED, Inc. (A)(C) | 6,547 | 6,678 | |||
Align Technology, Inc. (A) | 10,020 | 3,101,190 | |||
Baxter International, Inc. | 67,655 | 2,702,817 | |||
Becton, Dickinson and Company | 38,594 | 9,052,223 | |||
Boston Scientific Corp. (A) | 192,529 | 8,994,955 | |||
Dentsply Sirona, Inc. | 29,003 | 1,104,144 | |||
DexCom, Inc. (A) | 51,599 | 5,728,005 | |||
Edwards Lifesciences Corp. (A) | 85,415 | 6,870,783 | |||
GE HealthCare Technologies, Inc. (A) | 48,824 | 3,710,624 | |||
Hologic, Inc. (A) | 33,759 | 2,688,567 | |||
IDEXX Laboratories, Inc. (A) | 11,448 | 5,417,652 | |||
Intuitive Surgical, Inc. (A) | 47,988 | 11,007,967 | |||
Medtronic PLC | 175,494 | 14,530,903 | |||
ResMed, Inc. | 19,569 | 4,168,197 | |||
STERIS PLC | 13,590 | 2,555,328 | |||
Stryker Corp. | 45,159 | 11,871,398 | |||
Teleflex, Inc. | 6,375 | 1,518,716 | |||
The Cooper Companies, Inc. | 6,725 | 2,198,873 | |||
Zimmer Biomet Holdings, Inc. | 28,289 | 3,504,158 | |||
125,015,166 | |||||
Health care providers and services – 3.4% | |||||
AmerisourceBergen Corp. | 21,557 | 3,353,407 | |||
Cardinal Health, Inc. | 35,031 | 2,652,197 | |||
Centene Corp. (A) | 75,835 | 5,187,114 | |||
CVS Health Corp. | 176,496 | 14,744,476 | |||
DaVita, Inc. (A) | 7,372 | 606,421 | |||
Elevance Health, Inc. | 32,659 | 15,338,953 | |||
HCA Healthcare, Inc. | 28,889 | 7,033,027 | |||
Henry Schein, Inc. (A) | 18,212 | 1,426,182 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Health care providers and services (continued) | |||||
Humana, Inc. | 16,973 | $ | 8,401,974 | ||
Laboratory Corp. of America Holdings | 12,138 | 2,905,352 | |||
McKesson Corp. | 19,041 | 6,660,732 | |||
Molina Healthcare, Inc. (A) | 7,853 | 2,162,166 | |||
Quest Diagnostics, Inc. | 15,594 | 2,157,586 | |||
The Cigna Group | 41,425 | 12,100,243 | |||
UnitedHealth Group, Inc. | 125,825 | 59,885,151 | |||
Universal Health Services, Inc., Class B | 8,632 | 1,152,976 | |||
145,767,957 | |||||
Life sciences tools and services – 2.0% | |||||
Agilent Technologies, Inc. | 40,830 | 5,796,635 | |||
Bio-Rad Laboratories, Inc., Class A (A) | 2,950 | 1,409,628 | |||
Bio-Techne Corp. | 21,371 | 1,552,389 | |||
Charles River Laboratories International, Inc. (A) | 6,925 | 1,518,930 | |||
Danaher Corp. | 89,150 | 22,067,300 | |||
Illumina, Inc. (A) | 21,880 | 4,358,496 | |||
IQVIA Holdings, Inc. (A) | 25,503 | 5,316,610 | |||
Mettler-Toledo International, Inc. (A) | 3,081 | 4,417,261 | |||
PerkinElmer, Inc. | 17,335 | 2,159,421 | |||
Thermo Fisher Scientific, Inc. | 53,202 | 28,822,716 | |||
Waters Corp. (A) | 8,116 | 2,523,183 | |||
West Pharmaceutical Services, Inc. | 10,065 | 3,190,907 | |||
83,133,476 | |||||
Pharmaceuticals – 4.4% | |||||
Bristol-Myers Squibb Company | 282,318 | 19,468,649 | |||
Catalent, Inc. (A) | 24,876 | 1,697,041 | |||
Eli Lilly & Company | 104,647 | 32,568,239 | |||
Johnson & Johnson | 351,962 | 53,941,696 | |||
Merck & Company, Inc. | 337,649 | 35,871,830 | |||
Organon & Company | 32,669 | 800,064 | |||
Pfizer, Inc. | 752,910 | 30,545,559 | |||
Viatris, Inc. | 163,876 | 1,868,186 | |||
Zoetis, Inc. | 62,772 | 10,482,924 | |||
187,244,188 | |||||
641,024,119 | |||||
Industrials – 7.7% | |||||
Aerospace and defense – 1.6% | |||||
General Dynamics Corp. | 26,046 | 5,936,144 | |||
Howmet Aerospace, Inc. | 43,168 | 1,820,826 | |||
Huntington Ingalls Industries, Inc. | 4,610 | 992,072 | |||
L3Harris Technologies, Inc. | 21,958 | 4,637,310 | |||
Lockheed Martin Corp. | 26,536 | 12,584,963 | |||
Northrop Grumman Corp. | 16,461 | 7,639,715 | |||
Raytheon Technologies Corp. | 170,002 | 16,675,496 | |||
Textron, Inc. | 24,533 | 1,779,378 | |||
The Boeing Company (A) | 66,142 | 13,330,920 | |||
TransDigm Group, Inc. | 5,968 | 4,439,416 | |||
69,836,240 | |||||
Air freight and logistics – 0.6% | |||||
CH Robinson Worldwide, Inc. | 13,618 | 1,361,255 | |||
Expeditors International of Washington, Inc. | 19,353 | 2,023,550 | |||
FedEx Corp. | 28,089 | 5,708,247 | |||
United Parcel Service, Inc., Class B | 85,971 | 15,688,848 | |||
24,781,900 | |||||
Airlines – 0.2% | |||||
Alaska Air Group, Inc. (A) | 14,940 | 714,580 | |||
American Airlines Group, Inc. (A)(B) | 77,893 | 1,244,730 | |||
Delta Air Lines, Inc. (A) | 76,498 | 2,932,933 | |||
Southwest Airlines Company (A) | 71,338 | 2,395,530 |
The accompanying notes are an integral part of the financial statements. | 67 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Airlines (continued) | |||||
United Airlines Holdings, Inc. (A) | 38,740 | $ | 2,012,930 | ||
9,300,703 | |||||
Building products – 0.4% | |||||
A.O. Smith Corp. | 14,935 | 980,184 | |||
Allegion PLC | 10,383 | 1,170,268 | |||
Carrier Global Corp. | 99,115 | 4,463,148 | |||
Johnson Controls International PLC | 81,716 | 5,125,228 | |||
Masco Corp. | 27,025 | 1,416,921 | |||
Trane Technologies PLC | 27,094 | 5,011,577 | |||
18,167,326 | |||||
Commercial services and supplies – 0.4% | |||||
Cintas Corp. | 10,094 | 4,425,916 | |||
Copart, Inc. (A) | 48,936 | 3,448,031 | |||
Republic Services, Inc. | 23,907 | 3,082,330 | |||
Rollins, Inc. | 27,353 | 962,826 | |||
Waste Management, Inc. | 43,537 | 6,520,101 | |||
18,439,204 | |||||
Construction and engineering – 0.1% | |||||
Quanta Services, Inc. | 17,004 | 2,744,446 | |||
Electrical equipment – 0.5% | |||||
AMETEK, Inc. | 27,049 | 3,829,056 | |||
Eaton Corp. PLC | 46,920 | 8,207,716 | |||
Emerson Electric Company | 70,520 | 5,832,709 | |||
Generac Holdings, Inc. (A) | 7,868 | 944,239 | |||
Rockwell Automation, Inc. | 13,592 | 4,008,689 | |||
22,822,409 | |||||
Industrial conglomerates – 0.8% | |||||
3M Company | 65,519 | 7,059,017 | |||
General Electric Company | 126,681 | 10,731,148 | |||
Honeywell International, Inc. | 78,923 | 15,112,176 | |||
32,902,341 | |||||
Machinery – 1.7% | |||||
Caterpillar, Inc. | 61,428 | 14,715,077 | |||
Cummins, Inc. | 16,548 | 4,022,488 | |||
Deere & Company | 32,069 | 13,444,608 | |||
Dover Corp. | 16,879 | 2,530,162 | |||
Fortive Corp. | 42,163 | 2,810,586 | |||
IDEX Corp. | 8,907 | 2,003,897 | |||
Illinois Tool Works, Inc. | 32,967 | 7,686,586 | |||
Ingersoll Rand, Inc. | 47,454 | 2,755,654 | |||
Nordson Corp. | 7,151 | 1,570,646 | |||
Otis Worldwide Corp. | 48,712 | 4,122,009 | |||
PACCAR, Inc. | 61,379 | 4,431,564 | |||
Parker-Hannifin Corp. | 15,226 | 5,357,268 | |||
Pentair PLC | 19,636 | 1,098,438 | |||
Snap-on, Inc. | 6,255 | 1,555,493 | |||
Stanley Black & Decker, Inc. | 18,041 | 1,544,490 | |||
Wabtec Corp. | 21,239 | 2,215,865 | |||
Xylem, Inc. | 21,451 | 2,201,945 | |||
74,066,776 | |||||
Professional services – 0.3% | |||||
CoStar Group, Inc. (A) | 47,710 | 3,371,189 | |||
Equifax, Inc. | 14,589 | 2,954,710 | |||
Jacobs Solutions, Inc. | 14,973 | 1,789,274 | |||
Leidos Holdings, Inc. | 15,825 | 1,536,133 | |||
Robert Half International, Inc. | 12,806 | 1,032,420 | |||
Verisk Analytics, Inc. | 18,224 | 3,118,309 | |||
13,802,035 | |||||
Road and rail – 0.8% | |||||
CSX Corp. | 245,040 | 7,471,270 | |||
JB Hunt Transport Services, Inc. | 9,708 | 1,755,109 | |||
Norfolk Southern Corp. | 27,097 | 6,091,948 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Road and rail (continued) | |||||
Old Dominion Freight Line, Inc. | 10,755 | $ | 3,648,741 | ||
Union Pacific Corp. | 73,188 | 15,170,409 | |||
34,137,477 | |||||
Trading companies and distributors – 0.3% | |||||
Fastenal Company | 68,394 | 3,526,395 | |||
United Rentals, Inc. | 8,201 | 3,842,415 | |||
W.W. Grainger, Inc. | 5,315 | 3,552,705 | |||
10,921,515 | |||||
331,922,372 | |||||
Information technology – 26.7% | |||||
Communications equipment – 0.9% | |||||
Arista Networks, Inc. (A) | 31,317 | 4,343,668 | |||
Cisco Systems, Inc. | 516,905 | 25,028,540 | |||
F5, Inc. (A) | 7,622 | 1,089,794 | |||
Juniper Networks, Inc. | 40,307 | 1,240,649 | |||
Motorola Solutions, Inc. | 20,733 | 5,448,840 | |||
37,151,491 | |||||
Electronic equipment, instruments and components – 0.6% | |||||
Amphenol Corp., Class A | 76,223 | 5,908,807 | |||
CDW Corp. | 17,392 | 3,520,489 | |||
Corning, Inc. | 96,702 | 3,283,033 | |||
Keysight Technologies, Inc. (A) | 22,336 | 3,572,867 | |||
TE Connectivity, Ltd. | 40,852 | 5,201,277 | |||
Teledyne Technologies, Inc. (A) | 5,915 | 2,543,864 | |||
Trimble, Inc. (A) | 31,704 | 1,650,510 | |||
Zebra Technologies Corp., Class A (A) | 6,685 | 2,007,171 | |||
27,688,018 | |||||
IT services – 4.3% | |||||
Accenture PLC, Class A | 80,000 | 21,244,000 | |||
Akamai Technologies, Inc. (A) | 19,611 | 1,423,759 | |||
Automatic Data Processing, Inc. | 52,113 | 11,455,480 | |||
Broadridge Financial Solutions, Inc. | 14,686 | 2,067,495 | |||
Cognizant Technology Solutions Corp., Class A | 64,472 | 4,037,881 | |||
DXC Technology Company (A) | 28,927 | 802,435 | |||
EPAM Systems, Inc. (A) | 7,499 | 2,307,067 | |||
Fidelity National Information Services, Inc. | 76,188 | 4,828,034 | |||
Fiserv, Inc. (A) | 79,303 | 9,126,982 | |||
FleetCor Technologies, Inc. (A) | 9,312 | 2,000,124 | |||
Gartner, Inc. (A) | 9,946 | 3,260,398 | |||
Global Payments, Inc. | 34,336 | 3,852,499 | |||
IBM Corp. | 114,359 | 14,786,619 | |||
Jack Henry & Associates, Inc. | 9,116 | 1,497,212 | |||
Mastercard, Inc., Class A | 106,515 | 37,843,714 | |||
Paychex, Inc. | 40,791 | 4,503,326 | |||
PayPal Holdings, Inc. (A) | 139,860 | 10,293,696 | |||
VeriSign, Inc. (A) | 11,440 | 2,251,735 | |||
Visa, Inc., Class A | 205,133 | 45,116,952 | |||
182,699,408 | |||||
Semiconductors and semiconductor equipment – 5.8% | |||||
Advanced Micro Devices, Inc. (A) | 203,171 | 15,965,177 | |||
Analog Devices, Inc. | 65,847 | 12,080,949 | |||
Applied Materials, Inc. | 109,996 | 12,776,035 | |||
Broadcom, Inc. | 51,252 | 30,458,551 | |||
Enphase Energy, Inc. (A) | 16,892 | 3,556,273 | |||
First Solar, Inc. (A) | 12,469 | 2,109,007 | |||
Intel Corp. | 536,631 | 13,378,211 | |||
KLA Corp. | 17,901 | 6,791,281 | |||
Lam Research Corp. | 17,457 | 8,484,277 | |||
Microchip Technology, Inc. | 69,998 | 5,671,938 | |||
Micron Technology, Inc. | 137,155 | 7,930,302 | |||
Monolithic Power Systems, Inc. | 5,718 | 2,769,170 | |||
NVIDIA Corp. | 317,522 | 73,715,908 |
The accompanying notes are an integral part of the financial statements. | 68 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Semiconductors and semiconductor equipment (continued) | |||||
NXP Semiconductors NV | 33,104 | $ | 5,908,402 | ||
ON Semiconductor Corp. (A) | 55,053 | 4,261,653 | |||
Qorvo, Inc. (A) | 12,823 | 1,293,712 | |||
Qualcomm, Inc. | 142,323 | 17,581,160 | |||
Skyworks Solutions, Inc. | 20,279 | 2,262,528 | |||
SolarEdge Technologies, Inc. (A) | 7,149 | 2,272,810 | |||
Teradyne, Inc. | 19,916 | 2,014,304 | |||
Texas Instruments, Inc. | 114,862 | 19,693,090 | |||
250,974,738 | |||||
Software – 8.3% | |||||
Adobe, Inc. (A) | 59,116 | 19,150,628 | |||
ANSYS, Inc. (A) | 10,978 | 3,333,031 | |||
Autodesk, Inc. (A) | 27,258 | 5,415,892 | |||
Cadence Design Systems, Inc. (A) | 34,128 | 6,584,656 | |||
Ceridian HCM Holding, Inc. (A) | 19,249 | 1,403,830 | |||
Fortinet, Inc. (A) | 81,159 | 4,824,091 | |||
Gen Digital, Inc. | 72,954 | 1,423,333 | |||
Intuit, Inc. | 35,631 | 14,508,231 | |||
Microsoft Corp. | 942,225 | 235,009,760 | |||
Oracle Corp. | 191,807 | 16,763,932 | |||
Paycom Software, Inc. (A) | 6,134 | 1,773,094 | |||
PTC, Inc. (A) | 13,208 | 1,655,359 | |||
Roper Technologies, Inc. | 13,276 | 5,711,335 | |||
salesforce.com, Inc. (A) | 125,432 | 20,521,930 | |||
ServiceNow, Inc. (A) | 25,415 | 10,983,601 | |||
Synopsys, Inc. (A) | 19,048 | 6,928,900 | |||
Tyler Technologies, Inc. (A) | 5,288 | 1,698,770 | |||
357,690,373 | |||||
Technology hardware, storage and peripherals – 6.8% | |||||
Apple, Inc. | 1,895,837 | 279,465,325 | |||
Hewlett Packard Enterprise Company | 161,903 | 2,527,306 | |||
HP, Inc. | 113,494 | 3,350,343 | |||
NetApp, Inc. | 27,356 | 1,765,830 | |||
Seagate Technology Holdings PLC | 24,704 | 1,594,890 | |||
Western Digital Corp. (A) | 40,519 | 1,559,171 | |||
290,262,865 | |||||
1,146,466,893 | |||||
Materials – 2.5% | |||||
Chemicals – 1.7% | |||||
Air Products & Chemicals, Inc. | 25,675 | 7,342,537 | |||
Albemarle Corp. | 14,314 | 3,640,193 | |||
Celanese Corp. | 12,033 | 1,398,596 | |||
CF Industries Holdings, Inc. | 22,125 | 1,900,316 | |||
Corteva, Inc. | 84,317 | 5,252,106 | |||
Dow, Inc. | 82,469 | 4,717,227 | |||
DuPont de Nemours, Inc. | 58,773 | 4,292,192 | |||
Eastman Chemical Company | 14,562 | 1,240,682 | |||
Ecolab, Inc. | 29,230 | 4,658,385 | |||
FMC Corp. | 14,680 | 1,895,922 | |||
International Flavors & Fragrances, Inc. | 30,180 | 2,812,776 | |||
Linde PLC | 56,195 | 19,576,652 | |||
LyondellBasell Industries NV, Class A | 29,920 | 2,872,021 | |||
PPG Industries, Inc. | 27,754 | 3,665,193 | |||
The Mosaic Company | 39,670 | 2,110,047 | |||
The Sherwin-Williams Company | 27,651 | 6,120,549 | |||
73,495,394 | |||||
Construction materials – 0.1% | |||||
Martin Marietta Materials, Inc. | 7,358 | 2,647,923 | |||
Vulcan Materials Company | 15,721 | 2,844,086 | |||
5,492,009 | |||||
Containers and packaging – 0.3% | |||||
Amcor PLC | 175,897 | 1,959,493 | |||
Avery Dennison Corp. | 9,521 | 1,734,631 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Containers and packaging (continued) | |||||
Ball Corp. | 36,416 | $ | 2,046,943 | ||
International Paper Company | 43,567 | 1,585,403 | |||
Packaging Corp. of America | 11,173 | 1,527,573 | |||
Sealed Air Corp. | 17,160 | 834,319 | |||
Westrock Company | 30,633 | 961,876 | |||
10,650,238 | |||||
Metals and mining – 0.4% | |||||
Ferroglobe PLC (A)(C) | 4,538 | 0 | |||
Freeport-McMoRan, Inc. | 161,015 | 6,596,785 | |||
Newmont Corp. | 92,056 | 4,014,562 | |||
Nucor Corp. | 30,310 | 5,075,106 | |||
Steel Dynamics, Inc. | 19,673 | 2,480,962 | |||
18,167,415 | |||||
107,805,056 | |||||
Real estate – 2.5% | |||||
Equity real estate investment trusts – 2.4% | |||||
Alexandria Real Estate Equities, Inc. | 17,689 | 2,649,458 | |||
American Tower Corp. | 55,264 | 10,942,825 | |||
AvalonBay Communities, Inc. | 16,467 | 2,840,887 | |||
Boston Properties, Inc. | 16,924 | 1,108,184 | |||
Camden Property Trust | 12,569 | 1,442,418 | |||
Crown Castle, Inc. | 51,529 | 6,737,417 | |||
Digital Realty Trust, Inc. | 34,123 | 3,556,640 | |||
Equinix, Inc. | 10,903 | 7,504,208 | |||
Equity Residential | 40,244 | 2,516,055 | |||
Essex Property Trust, Inc. | 7,649 | 1,744,431 | |||
Extra Space Storage, Inc. | 15,504 | 2,552,734 | |||
Federal Realty Investment Trust | 8,681 | 926,957 | |||
Healthpeak Properties, Inc. | 63,344 | 1,524,057 | |||
Host Hotels & Resorts, Inc. | 82,684 | 1,389,091 | |||
Invitation Homes, Inc. | 67,885 | 2,122,085 | |||
Iron Mountain, Inc. | 34,782 | 1,834,751 | |||
Kimco Realty Corp. | 73,872 | 1,522,502 | |||
Mid-America Apartment Communities, Inc. | 13,638 | 2,183,444 | |||
Prologis, Inc. | 108,448 | 13,382,483 | |||
Public Storage | 18,315 | 5,475,269 | |||
Realty Income Corp. | 73,556 | 4,703,906 | |||
Regency Centers Corp. | 18,204 | 1,145,032 | |||
SBA Communications Corp. | 12,879 | 3,340,169 | |||
Simon Property Group, Inc. | 38,802 | 4,737,336 | |||
UDR, Inc. | 36,141 | 1,548,280 | |||
Ventas, Inc. | 46,769 | 2,275,312 | |||
VICI Properties, Inc. | 111,729 | 3,746,273 | |||
Welltower, Inc. | 55,161 | 4,088,533 | |||
Weyerhaeuser Company | 89,020 | 2,781,875 | |||
102,322,612 | |||||
Real estate management and development – 0.1% | |||||
CBRE Group, Inc., Class A (A) | 37,759 | 3,214,801 | |||
105,537,413 | |||||
Utilities – 2.6% | |||||
Electric utilities – 1.7% | |||||
Alliant Energy Corp. | 29,224 | 1,498,314 | |||
American Electric Power Company, Inc. | 60,265 | 5,301,512 | |||
Constellation Energy Corp. | 39,787 | 2,979,648 | |||
Duke Energy Corp. | 90,050 | 8,488,113 | |||
Edison International | 44,485 | 2,945,352 | |||
Entergy Corp. | 23,801 | 2,448,409 | |||
Evergy, Inc. | 26,925 | 1,583,459 | |||
Eversource Energy | 40,951 | 3,086,067 | |||
Exelon Corp. | 116,711 | 4,713,957 | |||
FirstEnergy Corp. | 63,462 | 2,509,287 | |||
NextEra Energy, Inc. | 234,553 | 16,660,300 | |||
NRG Energy, Inc. | 26,562 | 870,968 |
The accompanying notes are an integral part of the financial statements. | 69 |
Shares or Principal Amount | Value | ||||
COMMON STOCKS (continued) | |||||
Electric utilities (continued) | |||||
PG&E Corp. (A) | 186,430 | $ | 2,912,037 | ||
Pinnacle West Capital Corp. | 13,161 | 969,702 | |||
PPL Corp. | 87,354 | 2,364,673 | |||
The Southern Company | 127,240 | 8,023,754 | |||
Xcel Energy, Inc. | 63,606 | 4,107,039 | |||
71,462,591 | |||||
Gas utilities – 0.0% | |||||
Atmos Energy Corp. | 16,206 | 1,828,199 | |||
Independent power and renewable electricity producers – 0.1% | |||||
The AES Corp. | 78,585 | 1,939,478 | |||
Multi-utilities – 0.7% | |||||
Ameren Corp. | 30,156 | 2,494,203 | |||
CenterPoint Energy, Inc. | 73,179 | 2,035,840 | |||
CMS Energy Corp. | 33,813 | 1,993,953 | |||
Consolidated Edison, Inc. | 41,144 | 3,676,216 | |||
Dominion Energy, Inc. | 96,873 | 5,388,076 | |||
DTE Energy Company | 22,687 | 2,488,991 | |||
NiSource, Inc. | 47,025 | 1,289,896 | |||
Public Service Enterprise Group, Inc. | 58,510 | 3,535,759 | |||
Sempra Energy | 36,784 | 5,516,129 | |||
WEC Energy Group, Inc. | 36,830 | 3,265,348 | |||
31,684,411 | |||||
Water utilities – 0.1% | |||||
American Water Works Company, Inc. | 21,222 | 2,979,144 | |||
109,893,823 | |||||
TOTAL COMMON STOCKS (Cost $4,303,256,509) | $ | 4,206,477,075 |
Shares or Principal Amount | Value | ||||
SHORT-TERM INVESTMENTS – 1.7% | |||||
Short-term funds – 1.7% | |||||
John Hancock Collateral Trust, 4.5832% (D)(E) | 7,412,268 | $ | 74,089,322 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $74,074,706) | $ | 74,089,322 | |||
Total Investments (U.S. Sector Rotation Fund) (Cost $4,377,331,215) – 99.8% | $ | 4,280,566,397 | |||
Other assets and liabilities, net – 0.2% | 10,370,196 | ||||
TOTAL NET ASSETS – 100.0% | $ | 4,290,936,593 |
Security Abbreviations and Legend | |
(A) | Non-income producing security. |
(B) | All or a portion of this security is on loan as of 2-28-23. |
(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 2-28-23. |
(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. Market value of this investment amounted to $4,401,401. |
Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
S&P 500 E-Mini Index Futures | 426 | Long | Mar 2023 | $88,458,480 | $84,678,150 | $(3,780,330) |
$(3,780,330) |
The accompanying notes are an integral part of the financial statements. | 70 |
United States | 84.9% |
France | 4.3% |
Netherlands | 2.5% |
Denmark | 2.2% |
Uruguay | 1.9% |
Canada | 1.5% |
Australia | 1.0% |
United Kingdom | 1.0% |
Other countries | 0.7% |
TOTAL | 100.0% |
United States | 88.1% |
United Kingdom | 3.9% |
Netherlands | 1.7% |
Denmark | 1.5% |
Germany | 1.2% |
Switzerland | 1.0% |
Other countries | 2.6% |
TOTAL | 100.0% |
United States | 76.5% |
Cayman Islands | 8.6% |
Canada | 4.2% |
Switzerland | 1.8% |
United Kingdom | 1.4% |
Luxembourg | 1.3% |
Macau | 1.0% |
Other countries | 5.2% |
TOTAL | 100.0% |
United States | 84.7% |
United Kingdom | 5.3% |
Canada | 2.9% |
Bermuda | 1.5% |
Puerto Rico | 1.1% |
Other countries | 4.5% |
TOTAL | 100.0% |
United States | 80.1% |
Germany | 7.3% |
China | 5.6% |
Ireland | 3.7% |
South Korea | 1.5% |
Other countries | 1.8% |
TOTAL | 100.0% |
The accompanying notes are an integral part of the financial statements. | 71 |
Assets | Capital Appreciation Fund | Capital Appreciation Value Fund | Core Bond Fund | Health Sciences Fund |
Unaffiliated investments, at value (including securities loaned) | $1,308,760,624 | $1,209,599,477 | $1,780,364,733 | $298,636,726 |
Affiliated investments, at value | 2,799,807 | 1,685,493 | 1,164,452 | — |
Total investments, at value | 1,311,560,431 | 1,211,284,970 | 1,781,529,185 | 298,636,726 |
Cash | — | 2,572,912 | — | — |
Foreign currency, at value | — | 8,762 | — | 34,987 |
Cash collateral at broker for sale commitments | — | — | 410,000 | — |
Dividends and interest receivable | 1,116,151 | 4,595,496 | 8,975,460 | 322,403 |
Receivable for fund shares sold | 35,666 | 13,109 | 106,846 | 92,578 |
Receivable for investments sold | — | 3,516,339 | 36,763,416 | 2,012,577 |
Receivable for delayed delivery securities sold | — | — | 44,077,822 | — |
Receivable for securities lending income | 882 | 1,072 | 239 | — |
Other assets | 70,564 | 55,435 | 85,808 | 240,094 |
Total assets | 1,312,783,694 | 1,222,048,095 | 1,871,948,776 | 301,339,365 |
Liabilities | ||||
Payable for sale commitments outstanding, at value | — | — | 10,379,351 | — |
Written options, at value | — | 8,324,189 | — | — |
Payable for collateral on sale commitments | — | — | 150,000 | — |
Payable for investments purchased | 8,059 | 12,445,088 | 54,759,801 | 1,328,899 |
Payable for delayed delivery securities purchased | — | — | 144,636,102 | — |
Payable for fund shares repurchased | 127,543 | 1,424,842 | 371,107 | — |
Payable upon return of securities loaned | 2,799,834 | 1,685,260 | 1,164,869 | — |
Payable to affiliates | ||||
Accounting and legal services fees | 112,231 | 104,738 | 138,961 | 26,849 |
Trustees' fees | 656 | 629 | 892 | 168 |
Other liabilities and accrued expenses | 116,010 | 100,009 | 130,760 | 69,823 |
Total liabilities | 3,164,333 | 24,084,755 | 211,731,843 | 1,425,739 |
Net assets | $1,309,619,361 | $1,197,963,340 | $1,660,216,933 | $299,913,626 |
Net assets consist of | ||||
Paid-in capital | $768,603,625 | $1,176,387,826 | $1,940,650,781 | $224,032,004 |
Total distributable earnings (loss) | 541,015,736 | 21,575,514 | (280,433,848) | 75,881,622 |
Net assets | $1,309,619,361 | $1,197,963,340 | $1,660,216,933 | $299,913,626 |
Unaffiliated investments, including repurchase agreements, at cost | $724,071,664 | $1,180,094,984 | $1,897,690,986 | $218,148,749 |
Affiliated investments, at cost | $2,799,834 | $1,684,951 | $1,164,581 | — |
Foreign currency, at cost | — | $9,041 | — | $35,803 |
Proceeds received on sale commitments outstanding | — | — | $10,541,422 | — |
Premiums received on written options | — | $9,333,717 | — | — |
Securities loaned, at value | $9,093,357 | $1,630,069 | $1,142,128 | — |
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 | $474,331,735 | — | $124,316,987 | — |
Shares outstanding | 45,917,415 | — | 11,369,934 | — |
Net asset value, offering price and redemption price per share | $10.33 | — | $10.93 | — |
Class NAV | ||||
Net assets | $835,287,626 | $1,197,963,340 | $1,535,899,946 | $299,913,626 |
Shares outstanding | 80,146,903 | 144,459,680 | 140,721,941 | 64,704,582 |
Net asset value, offering price and redemption price per share | $10.42 | $8.29 | $10.91 | $4.64 |
The accompanying notes are an integral part of the financial statements. | 72 |
Assets | High Yield Fund | International Strategic Equity Allocation Fund | Mid Value Fund | Science & Technology Fund |
Unaffiliated investments, at value (including securities loaned) | $189,001,337 | $4,097,167,075 | $1,437,599,635 | $128,313,352 |
Affiliated investments, at value | 5,491,650 | 37,920,984 | 28,329,148 | 635,436 |
Total investments, at value | 194,492,987 | 4,135,088,059 | 1,465,928,783 | 128,948,788 |
Receivable for centrally cleared swaps | 971,375 | — | — | — |
Unrealized appreciation on forward foreign currency contracts | 12,566 | — | — | — |
Cash | — | 213,276 | — | 190 |
Foreign currency, at value | 386,450 | 4,114,351 | 84,339 | 823 |
Collateral held at broker for futures contracts | 194,142 | 9,765,000 | — | — |
Dividends and interest receivable | 3,036,904 | 9,973,709 | 2,371,960 | 78,674 |
Receivable for fund shares sold | — | 3,134,977 | 894 | 14,792 |
Receivable for investments sold | 1,718,407 | 2,082,837 | 7,974,797 | 107,585 |
Receivable for securities lending income | 3,905 | 30,267 | 24,849 | 176 |
Other assets | 9,583 | 179,854 | 64,715 | 9,945 |
Total assets | 200,826,319 | 4,164,582,330 | 1,476,450,337 | 129,160,973 |
Liabilities | ||||
Unrealized depreciation on forward foreign currency contracts | 10,319 | — | — | — |
Payable for futures variation margin | 844 | 2,010,805 | — | — |
Due to custodian | 125,985 | — | — | — |
Payable for investments purchased | 1,539,329 | — | 10,393,188 | 1,109,476 |
Payable for fund shares repurchased | 189,529 | 30,992 | 1,754,827 | 3,043 |
Payable upon return of securities loaned | 5,496,274 | 37,998,358 | 28,347,988 | 635,781 |
Payable to affiliates | ||||
Accounting and legal services fees | 17,140 | 343,128 | 119,766 | 12,663 |
Trustees' fees | 111 | 1,800 | 647 | 70 |
Other liabilities and accrued expenses | 71,638 | 600,640 | 106,034 | 64,608 |
Total liabilities | 7,451,169 | 40,985,723 | 40,722,450 | 1,825,641 |
Net assets | $193,375,150 | $4,123,596,607 | $1,435,727,887 | $127,335,332 |
Net assets consist of | ||||
Paid-in capital | $338,344,582 | $4,440,285,524 | $1,115,108,550 | $156,553,860 |
Total distributable earnings (loss) | (144,969,432) | (316,688,917) | 320,619,337 | (29,218,528) |
Net assets | $193,375,150 | $4,123,596,607 | $1,435,727,887 | $127,335,332 |
Unaffiliated investments, including repurchase agreements, at cost | $227,507,503 | $4,340,771,362 | $1,149,946,187 | $123,333,267 |
Affiliated investments, at cost | $5,491,937 | $37,923,373 | $28,322,557 | $635,464 |
Foreign currency, at cost | $390,950 | $4,215,941 | $86,170 | $848 |
Collateral held at broker for centrally cleared swaps | $1,016,397 | — | — | — |
Securities loaned, at value | $5,342,331 | $35,319,336 | $27,575,921 | $622,517 |
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 | $193,375,150 | — | — | — |
Shares outstanding | 28,365,061 | — | — | — |
Net asset value, offering price and redemption price per share | $6.82 | — | — | — |
Class NAV | ||||
Net assets | — | $4,123,596,607 | $1,435,727,887 | $127,335,332 |
Shares outstanding | — | 460,593,837 | 89,541,860 | 96,864,023 |
Net asset value, offering price and redemption price per share | — | $8.95 | $16.03 | $1.31 |
The accompanying notes are an integral part of the financial statements. | 73 |
Assets | U.S. Sector Rotation Fund |
Unaffiliated investments, at value (including securities loaned) | $4,206,477,075 |
Affiliated investments, at value | 74,089,322 |
Total investments, at value | 4,280,566,397 |
Cash | 35,042 |
Collateral held at broker for futures contracts | 7,950,000 |
Dividends and interest receivable | 7,463,898 |
Receivable for securities lending income | 1,654 |
Other assets | 151,432 |
Total assets | 4,296,168,423 |
Liabilities | |
Payable for futures variation margin | 266,291 |
Payable upon return of securities loaned | 4,400,547 |
Payable to affiliates | |
Accounting and legal services fees | 381,015 |
Trustees' fees | 2,190 |
Other liabilities and accrued expenses | 181,787 |
Total liabilities | 5,231,830 |
Net assets | $4,290,936,593 |
Net assets consist of | |
Paid-in capital | $4,790,084,060 |
Total distributable earnings (loss) | (499,147,467) |
Net assets | $4,290,936,593 |
Unaffiliated investments, including repurchase agreements, at cost | $4,303,256,509 |
Affiliated investments, at cost | $74,074,706 |
Securities loaned, at value | $4,311,755 |
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 | $4,290,936,593 |
Shares outstanding | 512,021,608 |
Net asset value, offering price and redemption price per share | $8.38 |
The accompanying notes are an integral part of the financial statements. | 74 |
Investment income | Capital Appreciation Fund | Capital Appreciation Value Fund | Core Bond Fund | Health Sciences Fund |
Dividends | $4,349,728 | $6,083,663 | $1,099,582 | $1,063,556 |
Interest | 155,692 | 11,329,071 | 27,606,998 | 33,442 |
Securities lending | 3,598 | 7,007 | 343 | — |
Less foreign taxes withheld | (65,588) | (44,293) | — | (1,759) |
Total investment income | 4,443,430 | 17,375,448 | 28,706,923 | 1,095,239 |
Expenses | ||||
Investment management fees | 4,607,754 | 4,987,541 | 4,607,980 | 1,415,151 |
Distribution and service fees | 119,638 | — | 31,388 | — |
Accounting and legal services fees | 123,345 | 114,710 | 151,342 | 29,407 |
Trustees' fees | 15,907 | 15,464 | 19,830 | 3,930 |
Custodian fees | 65,478 | 72,310 | 98,748 | 26,666 |
Printing and postage | 10,375 | 10,286 | 10,451 | 9,744 |
Professional fees | 44,286 | 48,245 | 83,315 | 39,963 |
Other | 32,012 | 29,963 | 44,599 | 12,490 |
Total expenses | 5,018,795 | 5,278,519 | 5,047,653 | 1,537,351 |
Less expense reductions | (45,753) | (260,565) | (56,636) | (79,807) |
Net expenses | 4,973,042 | 5,017,954 | 4,991,017 | 1,457,544 |
Net investment income (loss) | (529,612) | 12,357,494 | 23,715,906 | (362,305) |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | 35,463,644 | (5,446,352) | (60,690,045) | 662,753 |
Affiliated investments | (69) | 116 | (281) | — |
Written options | — | 4,978,485 | — | — |
35,463,575 | (467,751) | (60,690,326) | 662,753 | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | (60,808,465) | 9,044,892 | 5,413,538 | 1,184,566 |
Affiliated investments | (27) | 872 | (129) | — |
Written options | — | (3,084,268) | — | — |
(60,808,492) | 5,961,496 | 5,413,409 | 1,184,566 | |
Net realized and unrealized gain (loss) | (25,344,917) | 5,493,745 | (55,276,917) | 1,847,319 |
Increase (decrease) in net assets from operations | $(25,874,529) | $17,851,239 | $(31,561,011) | $1,485,014 |
The accompanying notes are an integral part of the financial statements. | 75 |
Investment income | High Yield Fund | International Strategic Equity Allocation Fund | Mid Value Fund | Science & Technology Fund |
Dividends | $89,427 | $42,618,852 | $14,978,147 | $325,418 |
Interest | 7,531,137 | 2,868,952 | 12,997 | 835 |
Securities lending | 22,609 | 104,308 | 133,044 | 8,193 |
Less foreign taxes withheld | (25) | (3,750,292) | (102,569) | (7,076) |
Total investment income | 7,643,148 | 41,841,820 | 15,021,619 | 327,370 |
Expenses | ||||
Investment management fees | 687,885 | 12,440,172 | 6,009,333 | 689,548 |
Distribution and service fees | 49,135 | — | — | — |
Accounting and legal services fees | 18,809 | 374,880 | 131,079 | 13,879 |
Trustees' fees | 2,433 | 53,742 | 16,634 | 1,816 |
Custodian fees | 17,322 | 806,078 | 78,404 | 27,178 |
Printing and postage | 9,683 | 12,125 | 10,350 | 18,037 |
Professional fees | 46,536 | 105,207 | 46,955 | 33,341 |
Other | 10,653 | 54,722 | 27,311 | 9,180 |
Total expenses | 842,456 | 13,846,926 | 6,320,066 | 792,979 |
Less expense reductions | (6,980) | (2,742,916) | (327,214) | (39,752) |
Net expenses | 835,476 | 11,104,010 | 5,992,852 | 753,227 |
Net investment income (loss) | 6,807,672 | 30,737,810 | 9,028,767 | (425,857) |
Realized and unrealized gain (loss) | ||||
Net realized gain (loss) on | ||||
Unaffiliated investments and foreign currency transactions | (7,046,402) | (11,373,533) | 76,687,317 | (5,271,584) |
Affiliated investments | (1,459) | (6,847) | (8,097) | 145 |
Futures contracts | (556,355) | 9,400,818 | — | — |
Forward foreign currency contracts | 10,766 | — | — | — |
Swap contracts | 19,078 | — | — | — |
(7,574,372) | (1,979,562) | 76,679,220 | (5,271,439) | |
Change in net unrealized appreciation (depreciation) of | ||||
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 5,360,501 | 260,447,334 | 64,851,643 | 15,867,041 |
Affiliated investments | 685 | (2,262) | 6,853 | (23) |
Futures contracts | 22,568 | 2,134,643 | — | — |
Forward foreign currency contracts | 18,279 | — | — | — |
Swap contracts | (189,718) | — | — | — |
5,212,315 | 262,579,715 | 64,858,496 | 15,867,018 | |
Net realized and unrealized gain (loss) | (2,362,057) | 260,600,153 | 141,537,716 | 10,595,579 |
Increase in net assets from operations | $4,445,615 | $291,337,963 | $150,566,483 | $10,169,722 |
The accompanying notes are an integral part of the financial statements. | 76 |
Investment income | U.S. Sector Rotation Fund |
Dividends | $38,431,170 |
Income distributions received from affiliated investments | 2,872,144 |
Interest | 176,910 |
Securities lending | 22,957 |
Less foreign taxes withheld | (7,211) |
Total investment income | 41,495,970 |
Expenses | |
Investment management fees | 13,814,342 |
Accounting and legal services fees | 411,190 |
Trustees' fees | 61,169 |
Custodian fees | 354,962 |
Printing and postage | 12,103 |
Professional fees | 105,030 |
Other | 56,202 |
Total expenses | 14,814,998 |
Less expense reductions | (3,078,272) |
Net expenses | 11,736,726 |
Net investment income | 29,759,244 |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on | |
Unaffiliated investments and foreign currency transactions | (186,625,958) |
Affiliated investments | 8,031 |
Futures contracts | (4,858,780) |
(191,476,707) | |
Change in net unrealized appreciation (depreciation) of | |
Unaffiliated investments and translation of assets and liabilities in foreign currencies | 197,450,851 |
Affiliated investments | 16,702 |
Futures contracts | 661,263 |
198,128,816 | |
Net realized and unrealized gain (loss) | 6,652,109 |
Increase in net assets from operations | $36,411,353 |
The accompanying notes are an integral part of the financial statements. | 77 |
Capital Appreciation Fund | Capital Appreciation Value Fund | Core Bond Fund | ||||
Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | |
Increase (decrease) in net assets | ||||||
From operations | ||||||
Net investment income (loss) | $(529,612) | $(5,532,826) | $12,357,494 | $13,314,402 | $23,715,906 | $23,348,292 |
Net realized gain (loss) | 35,463,575 | 145,464,507 | (467,751) | 168,016,116 | (60,690,326) | (95,229,555) |
Change in net unrealized appreciation (depreciation) | (60,808,492) | (777,331,675) | 5,961,496 | (279,577,687) | 5,413,409 | (145,383,408) |
Increase (decrease) in net assets resulting from operations | (25,874,529) | (637,399,994) | 17,851,239 | (98,247,169) | (31,561,011) | (217,264,671) |
Distributions to shareholders | ||||||
From earnings | ||||||
Class 1 | (51,623,538) | (234,037,715) | — | — | (2,272,908) | (3,151,517) |
Class NAV | (87,259,196) | (310,779,087) | (152,535,808) | (259,582,767) | (26,383,562) | (29,676,464) |
Total distributions | (138,882,734) | (544,816,802) | (152,535,808) | (259,582,767) | (28,656,470) | (32,827,981) |
From fund share transactions | ||||||
From fund share transactions | 88,374,174 | 431,644,019 | 79,412,120 | 215,270,220 | 108,539,700 | 73,687,525 |
Total increase (decrease) | (76,383,089) | (750,572,777) | (55,272,449) | (142,559,716) | 48,322,219 | (176,405,127) |
Net assets | ||||||
Beginning of period | 1,386,002,450 | 2,136,575,227 | 1,253,235,789 | 1,395,795,505 | 1,611,894,714 | 1,788,299,841 |
End of period | $1,309,619,361 | $1,386,002,450 | $1,197,963,340 | $1,253,235,789 | $1,660,216,933 | $1,611,894,714 |
Health Sciences Fund | High Yield Fund | International Strategic Equity Allocation Fund | ||||
Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | |
Increase (decrease) in net assets | ||||||
From operations | ||||||
Net investment income (loss) | $(362,305) | $(1,160,190) | $6,807,672 | $13,246,359 | $30,737,810 | $83,982,226 |
Net realized gain (loss) | 662,753 | 15,163,654 | (7,574,372) | (16,047,579) | (1,979,562) | (22,483,103) |
Change in net unrealized appreciation (depreciation) | 1,184,566 | (98,141,793) | 5,212,315 | (28,694,226) | 262,579,715 | (832,140,487) |
Increase (decrease) in net assets resulting from operations | 1,485,014 | (84,138,329) | 4,445,615 | (31,495,446) | 291,337,963 | (770,641,364) |
Distributions to shareholders | ||||||
From earnings | ||||||
Class 1 | — | — | (7,517,007) | (13,647,917) | — | — |
Class NAV | (8,653,037) | (56,448,788) | — | — | (92,213,840) | (91,427,800) |
Total distributions | (8,653,037) | (56,448,788) | (7,517,007) | (13,647,917) | (92,213,840) | (91,427,800) |
From fund share transactions | ||||||
From fund share transactions | (9,852,118) | 30,275,300 | (11,448,619) | (26,315,847) | (37,780,139) | 3,095,643,495 |
Total increase (decrease) | (17,020,141) | (110,311,817) | (14,520,011) | (71,459,210) | 161,343,984 | 2,233,574,331 |
Net assets | ||||||
Beginning of period | 316,933,767 | 427,245,584 | 207,895,161 | 279,354,371 | 3,962,252,623 | 1,728,678,292 |
End of period | $299,913,626 | $316,933,767 | $193,375,150 | $207,895,161 | $4,123,596,607 | $3,962,252,623 |
The accompanying notes are an integral part of the financial statements. | 78 |
Mid Value Fund | Science & Technology Fund | U.S. Sector Rotation Fund | ||||
Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | Six months ended 2-28-23 (unaudited) | Year ended 8-31-22 | |
Increase (decrease) in net assets | ||||||
From operations | ||||||
Net investment income (loss) | $9,028,767 | $12,842,933 | $(425,857) | $(1,281,095) | $29,759,244 | $26,620,084 |
Net realized gain (loss) | 76,679,220 | 230,707,565 | (5,271,439) | (393,314) | (191,476,707) | (60,403,371) |
Change in net unrealized appreciation (depreciation) | 64,858,496 | (236,462,700) | 15,867,018 | (68,569,495) | 198,128,816 | (589,584,401) |
Increase (decrease) in net assets resulting from operations | 150,566,483 | 7,087,798 | 10,169,722 | (70,243,904) | 36,411,353 | (623,367,688) |
Distributions to shareholders | ||||||
From earnings | ||||||
Class NAV | (228,179,709) | (149,119,105) | (18,119,628) | (121,883,322) | (117,724,841) | (259,017,769) |
Total distributions | (228,179,709) | (149,119,105) | (18,119,628) | (121,883,322) | (117,724,841) | (259,017,769) |
From fund share transactions | ||||||
From fund share transactions | 136,752,014 | (328,074,061) | (18,864,196) | 129,167,856 | (39,211,843) | 4,085,740,784 |
Total increase (decrease) | 59,138,788 | (470,105,368) | (26,814,102) | (62,959,370) | (120,525,331) | 3,203,355,327 |
Net assets | ||||||
Beginning of period | 1,376,589,099 | 1,846,694,467 | 154,149,434 | 217,108,804 | 4,411,461,924 | 1,208,106,597 |
End of period | $1,435,727,887 | $1,376,589,099 | $127,335,332 | $154,149,434 | $4,290,936,593 | $4,411,461,924 |
The accompanying notes are an integral part of the financial statements. | 79 |
Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | |||||||||||||||||
Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||
Period ended | Net asset value, beginning of period ($) | 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 | ||||||||||||||||||
02-28-20233 | 11.86 | (0.01) | (0.30) | (0.31) | — | (1.22) | (1.22) | 10.33 | (1.77)4 | 0.815 | 0.805 | (0.12)5 | 474 | 18 | ||||
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 | —6 | (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 | ||||||||||||||||||
02-28-20233 | 11.95 | —6 | (0.31) | (0.31) | — | (1.22) | (1.22) | 10.42 | (1.75)4 | 0.765 | 0.755 | (0.06)5 | 835 | 18 | ||||
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 | —6 | (1.70) | (1.70) | 23.10 | 63.00 | 0.75 | 0.74 | (0.18) | 1,373 | 47 | ||||
08-31-2019 | 18.85 | —6 | (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. Six months ended 2-28-23. Unaudited. 4. Not annualized. 5. Annualized. 6. Less than $0.005 per share. | ||||||||||||||||||
Capital Appreciation Value Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
02-28-20233 | 9.36 | 0.09 | 0.01 | 0.10 | (0.14) | (1.03) | (1.17) | 8.29 | 1.474 | 0.885 | 0.845 | 2.065 | 1,198 | 51 | ||||
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. 3. Six months ended 2-28-23. Unaudited. 4. Not annualized. 5. Annualized. | ||||||||||||||||||
Core Bond Fund | ||||||||||||||||||
Class 1 | ||||||||||||||||||
02-28-20233 | 11.35 | 0.16 | (0.38) | (0.22) | (0.20) | — | (0.20) | 10.93 | (1.97)4 | 0.685 | 0.675 | 2.925 | 124 | 115 | ||||
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 | ||||||||||||||||||
02-28-20233 | 11.33 | 0.16 | (0.38) | (0.22) | (0.20) | — | (0.20) | 10.91 | (1.94)4 | 0.635 | 0.625 | 2.985 | 1,536 | 115 | ||||
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. 3. Six months ended 2-28-23. Unaudited. 4. Not annualized. 5. Annualized. | ||||||||||||||||||
Health Sciences Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
02-28-20233 | 4.75 | (0.01) | 0.04 | 0.03 | — | (0.14) | (0.14) | 4.64 | 0.534 | 1.005 | 0.955 | (0.24)5 | 300 | 15 | ||||
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. 3. Six months ended 2-28-23. Unaudited. 4. Not annualized. 5. Annualized. |
The accompanying notes are an integral part of the financial statements. | 80 |
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 (%) | ||||
High Yield Fund | ||||||||||||||||||
Class 1 | ||||||||||||||||||
02-28-20233 | 6.91 | 0.23 | (0.07) | 0.16 | (0.25) | — | (0.25) | 6.82 | 2.534 | 0.865 | 0.855 | 6.935 | 193 | 16 | ||||
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. 3. Six months ended 2-28-23. Unaudited. 4. Not annualized. 5. Annualized. | ||||||||||||||||||
International Strategic Equity Allocation Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
02-28-20233 | 8.54 | 0.07 | 0.54 | 0.61 | (0.20) | — | (0.20) | 8.95 | 7.304 | 0.705 | 0.565 | 1.565 | 4,124 | —6 | ||||
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 | 787 | ||||
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. Six months ended 2-28-23. Unaudited. 4. Not annualized. 5. Annualized. 6. Less than 1%. 7. Excludes in-kind transactions. | ||||||||||||||||||
Mid Value Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
02-28-20233 | 17.35 | 0.11 | 1.52 | 1.63 | (0.10) | (2.85) | (2.95) | 16.03 | 11.114 | 0.925 | 0.875 | 1.315 | 1,436 | 26 | ||||
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. 3. Six months ended 2-28-23. Unaudited. 4. Not annualized. 5. Annualized. | ||||||||||||||||||
Science & Technology Fund | ||||||||||||||||||
Class NAV | ||||||||||||||||||
02-28-20233 | 1.38 | —4 | 0.08 | 0.08 | — | (0.15) | (0.15) | 1.31 | 7.705 | 1.096 | 1.046 | (0.59)6 | 127 | 53 | ||||
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 | 0.027 | 1.69 | 1.71 | — | (0.36) | (0.36) | 5.22 | 47.55 | 1.10 | 1.06 | 0.407 | 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. Six months ended 2-28-23. Unaudited. 4. Less than $0.005 per share. 5. Not annualized. 6. Annualized. 7. 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 | ||||||||||||||||||
02-28-20233 | 8.56 | 0.06 | (0.01) | 0.05 | (0.08) | (0.15) | (0.23) | 8.38 | 0.624 | 0.685 | 0.545 | 1.365 | 4,291 | 37 | ||||
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 | 1186 | ||||
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. Six months ended 2-28-23. Unaudited. 4. Not annualized. 5. Annualized. 6. Excludes in-kind transactions. |
The accompanying notes are an integral part of the financial statements. | 81 |
The following is a summary of the values by input classification of the funds' investments as of February 28, 2023, by major security category or type:
Total value at 2-28-23 | 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 | $120,540,255 | $120,540,255 | — | — |
Consumer discretionary | 320,474,368 | 279,130,018 | $41,344,350 | — |
Consumer staples | 52,257,248 | 36,520,252 | 15,736,996 | — |
Energy | 21,953,063 | 21,953,063 | — | — |
Financials | 38,451,188 | 38,451,188 | — | — |
Health care | 179,610,444 | 179,610,444 | — | — |
Industrials | 33,485,944 | 33,485,944 | — | — |
Information technology | 509,541,893 | 494,578,092 | 14,963,801 | — |
Real estate | 18,122,667 | 18,122,667 | — | — |
Preferred securities | 9,313,820 | — | 9,313,820 | — |
Short-term investments | 7,809,541 | 7,809,541 | — | — |
Total investments in securities | $1,311,560,431 | $1,230,201,464 | $81,358,967 | — |
Capital Appreciation Value Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | $787,975,193 | $776,810,334 | $11,164,859 | — |
Preferred securities | 5,651,262 | 5,651,262 | — | — |
U.S. Government and Agency obligations | 107,597,203 | — | 107,597,203 | — |
Corporate bonds | 113,656,476 | — | 113,656,476 | — |
Convertible bonds | 924,140 | — | 924,140 | — |
Term loans | 147,339,044 | — | 147,339,044 | — |
Short-term investments | 48,141,652 | 48,141,652 | — | — |
Total investments in securities | $1,211,284,970 | $830,603,248 | $380,681,722 | — |
Derivatives: | ||||
Liabilities | ||||
Written options | $(8,324,189) | — | $(8,324,189) | — |
Core Bond Fund | ||||
Investments in securities: | ||||
Assets | ||||
U.S. Government and Agency obligations | $938,850,393 | — | $938,850,393 | — |
Foreign government obligations | 14,528,256 | — | 14,528,256 | — |
Corporate bonds | 431,394,388 | — | 431,394,388 | — |
Municipal bonds | 3,790,310 | — | 3,790,310 | — |
Collateralized mortgage obligations | 154,352,596 | — | 154,352,596 | — |
Asset backed securities | 179,079,745 | — | 179,079,745 | — |
Short-term investments | 59,533,497 | $59,533,497 | — | — |
Total investments in securities | $1,781,529,185 | $59,533,497 | $1,721,995,688 | — |
Liabilities | ||||
Sale commitments outstanding | $(10,379,351) | — | $(10,379,351) | — |
Health Sciences Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Consumer discretionary | $404,130 | $404,130 | — | — |
Health care | 294,606,020 | 287,183,151 | $7,384,659 | $38,210 |
Materials | 133,918 | 133,918 | — | — |
Preferred securities | 2,046,107 | — | 2,046,107 | — |
Total value at 2-28-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Health Sciences Fund (continued) | ||||
Warrants | $2,823 | $2,823 | — | — |
Short-term investments | 1,443,728 | 1,443,728 | — | — |
Total investments in securities | $298,636,726 | $289,167,750 | $9,430,766 | $38,210 |
High Yield Fund | ||||
Investments in securities: | ||||
Assets | ||||
Foreign government obligations | $754,924 | — | $754,924 | — |
Corporate bonds | 159,185,792 | — | 159,185,792 | — |
Convertible bonds | 1,373,336 | — | 1,373,336 | — |
Term loans | 11,232,653 | — | 10,769,576 | $463,077 |
Asset backed securities | 14,362,749 | — | 14,362,749 | — |
Common stocks | 1,170,031 | $1,140,976 | — | 29,055 |
Preferred securities | 576,891 | — | — | 576,891 |
Short-term investments | 5,836,611 | 5,836,611 | — | — |
Total investments in securities | $194,492,987 | $6,977,587 | $186,446,377 | $1,069,023 |
Derivatives: | ||||
Assets | ||||
Forward foreign currency contracts | $12,566 | — | $12,566 | — |
Swap contracts | 67,582 | — | 67,582 | — |
Liabilities | ||||
Futures | (47,178) | $(47,178) | — | — |
Forward foreign currency contracts | (10,319) | — | (10,319) | — |
Swap contracts | (135,671) | — | (135,671) | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
International Strategic Equity Allocation Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Australia | $226,007,624 | — | $226,007,624 | — |
Austria | 6,658,064 | — | 6,658,064 | — |
Belgium | 11,155,511 | — | 11,155,511 | — |
Brazil | 43,639,196 | $43,639,196 | — | — |
Canada | 386,737,155 | 386,600,017 | — | $137,138 |
Chile | 6,375,900 | — | 6,375,900 | — |
China | 345,865,573 | 31,260,372 | 314,222,915 | 382,286 |
Colombia | 2,168,627 | 2,168,627 | — | — |
Czech Republic | 1,626,643 | — | 1,626,643 | — |
Denmark | 80,727,484 | — | 80,727,484 | — |
Finland | 22,538,860 | — | 22,538,860 | — |
France | 317,057,526 | — | 317,057,526 | — |
Germany | 180,491,427 | — | 180,491,427 | — |
Hong Kong | 88,856,452 | 728,985 | 88,003,253 | 124,214 |
Hungary | 2,375,577 | — | 2,375,577 | — |
India | 117,528,861 | — | 117,528,861 | — |
Indonesia | 22,412,445 | — | 22,412,445 | — |
Ireland | 26,905,888 | 1,030,260 | 25,875,628 | — |
Israel | 15,175,489 | 5,705,511 | 9,469,978 | — |
Italy | 38,239,463 | — | 38,239,463 | — |
Japan | 396,675,586 | — | 396,675,586 | — |
Jordan | 870,701 | — | 870,701 | — |
Luxembourg | 6,678,188 | — | 6,678,188 | — |
Macau | 1,323,178 | — | 1,323,178 | — |
Total value at 2-28-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
International Strategic Equity Allocation Fund (continued) | ||||
Malaysia | $26,639,448 | — | $26,639,448 | — |
Mexico | 32,356,243 | $32,356,243 | — | — |
Netherlands | 87,988,962 | — | 87,988,962 | — |
New Zealand | 7,590,305 | — | 7,590,305 | — |
Norway | 16,970,760 | — | 16,970,760 | — |
Peru | 3,044,389 | 3,044,389 | — | — |
Philippines | 8,616,988 | — | 8,616,988 | — |
Poland | 7,454,976 | — | 7,454,976 | — |
Portugal | 3,066,590 | — | 3,066,590 | — |
Qatar | 8,988,719 | — | 8,988,719 | — |
Saudi Arabia | 45,963,957 | — | 45,963,957 | — |
Singapore | 26,711,476 | 3,455,033 | 23,256,443 | — |
South Africa | 35,020,288 | — | 35,020,288 | — |
South Korea | 134,996,107 | — | 134,996,107 | — |
Spain | 49,768,301 | — | 49,768,301 | — |
Sweden | 53,929,508 | — | 53,929,508 | — |
Switzerland | 228,142,726 | — | 228,142,726 | — |
Taiwan | 100,568,694 | — | 100,568,694 | — |
Thailand | 23,415,031 | — | 23,114,721 | $300,310 |
Turkey | 4,070,679 | — | 4,070,679 | — |
United Arab Emirates | 14,177,418 | — | 14,177,418 | — |
United Kingdom | 540,761,827 | 1,368,290 | 539,393,537 | — |
United States | 5,730,975 | 5,484,570 | 246,405 | — |
Preferred securities | ||||
Brazil | 14,685,715 | 14,685,715 | — | — |
Chile | 2,375,228 | — | 2,375,228 | — |
Colombia | 1,015,505 | 1,015,505 | — | — |
Germany | 9,672,555 | — | 9,672,555 | — |
South Korea | 7,506,601 | — | 7,506,601 | — |
Rights | 591,858 | — | 591,858 | — |
Warrants | 91,680 | 91,680 | — | — |
Short-term investments | 285,083,132 | 37,920,984 | 247,162,148 | — |
Total investments in securities | $4,135,088,059 | $570,555,377 | $3,563,588,734 | $943,948 |
Derivatives: | ||||
Liabilities | ||||
Futures | $(3,992,368) | $(3,992,368) | — | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
Mid Value Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $70,050,004 | $70,050,004 | — | — |
Consumer discretionary | 126,476,300 | 107,777,680 | $18,698,620 | — |
Consumer staples | 103,029,275 | 94,025,369 | 9,003,906 | — |
Energy | 123,060,903 | 123,060,903 | — | — |
Financials | 213,401,608 | 213,401,608 | — | — |
Health care | 150,095,152 | 130,191,623 | 19,903,529 | — |
Industrials | 206,688,213 | 168,992,576 | 37,695,637 | — |
Information technology | 120,255,123 | 120,255,123 | — | — |
Materials | 94,772,053 | 85,744,523 | 9,027,530 | — |
Real estate | 84,951,493 | 84,951,493 | — | — |
Utilities | 76,661,961 | 76,661,961 | — | — |
Total value at 2-28-23 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Mid Value Fund (continued) | ||||
Short-term investments | $96,486,698 | $96,486,698 | — | — |
Total investments in securities | $1,465,928,783 | $1,371,599,561 | $94,329,222 | — |
Science & Technology Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $18,238,885 | $18,209,447 | — | $29,438 |
Consumer discretionary | 28,240,905 | 17,874,961 | $10,365,944 | — |
Health care | 391,620 | 391,620 | — | — |
Information technology | 75,056,192 | 73,210,183 | 1,846,009 | — |
Real estate | 427,602 | 427,602 | — | — |
Short-term investments | 6,593,584 | 6,593,584 | — | — |
Total investments in securities | $128,948,788 | $116,707,397 | $12,211,953 | $29,438 |
U.S. Sector Rotation Fund | ||||
Investments in securities: | ||||
Assets | ||||
Common stocks | ||||
Communication services | $322,131,397 | $322,131,397 | — | — |
Consumer discretionary | 443,479,395 | 443,475,573 | $3,822 | — |
Consumer staples | 298,537,357 | 298,537,357 | — | — |
Energy | 240,146,981 | 240,146,981 | — | — |
Financials | 459,532,269 | 459,532,269 | — | — |
Health care | 641,024,119 | 641,017,441 | — | $6,678 |
Industrials | 331,922,372 | 331,922,372 | — | — |
Information technology | 1,146,466,893 | 1,146,466,893 | — | — |
Materials | 107,805,056 | 107,805,056 | — | — |
Real estate | 105,537,413 | 105,537,413 | — | — |
Utilities | 109,893,823 | 109,893,823 | — | — |
Short-term investments | 74,089,322 | 74,089,322 | — | — |
Total investments in securities | $4,280,566,397 | $4,280,555,897 | $3,822 | $6,678 |
Derivatives: | ||||
Liabilities | ||||
Futures | $(3,780,330) | $(3,780,330) | — | — |
Level 3 includes securities valued at $0. Refer to Portfolio of Investments. |
Fund | Counterparty | Collateral Paid/ (Received) |
Core Bond Fund | Barclays PLC | $300,000 |
Fund | Counterparty | Collateral Paid/ (Received) |
Morgan Stanley | $110,000 | |
Total | $410,000 | |
Citibank | $(150,000) |
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 Fund | $9,093,357 | $2,799,834 | $6,773,181 |
Capital Appreciation Value Fund | 1,630,069 | 1,685,260 | — |
Core Bond Fund | 1,142,128 | 1,164,869 | — |
High Yield Fund | 5,342,331 | 5,496,274 | — |
International Strategic Equity Allocation Fund | 35,319,336 | 37,998,358 | — |
Mid Value Fund | 27,575,921 | 28,347,988 | — |
Science & Technology Fund | 622,517 | 635,781 | — |
U.S. Sector Rotation Fund | 4,311,755 | 4,400,547 | — |
Fund | Commitment fee |
Capital Appreciation Fund | $3,571 |
Capital Appreciation Value Fund | 3,392 |
Core Bond Fund | 14,116 |
Health Sciences Fund | 1,970 |
High Yield Fund | 1,806 |
International Strategic Equity Allocation Fund | 7,622 |
Fund | Commitment fee |
Mid Value Fund | $3,624 |
Science & Technology Fund | 1,713 |
U.S. Sector Rotation Fund | 8,269 |
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 | $743,106,216 | $593,332,157 | $(24,877,942) | $568,454,215 |
Capital Appreciation Value Fund | 1,184,285,416 | 58,954,243 | (40,278,878) | 18,675,365 |
Core Bond Fund | 1,900,395,894 | 4,568,899 | (133,814,959) | (129,246,060) |
Health Sciences Fund | 222,479,741 | 97,585,444 | (21,428,459) | 76,156,985 |
High Yield Fund | 233,999,924 | 1,517,825 | (41,137,782) | (39,619,957) |
International Strategic Equity Allocation Fund | 4,407,078,674 | 197,269,902 | (473,252,885) | (275,982,983) |
Mid Value Fund | 1,207,938,626 | 320,854,172 | (62,864,015) | 257,990,157 |
Science & Technology Fund | 139,463,286 | 13,645,838 | (24,160,336) | (10,514,498) |
U.S. Sector Rotation Fund | 4,598,776,076 | 202,713,259 | (524,703,268) | (321,990,009) |
Derivatives which are typically traded through the OTC market are regulated by the Commodity Futures Trading Commission (the CFTC). Derivative counterparty risk is managed through an ongoing evaluation of the creditworthiness of all potential counterparties and, if applicable, designated clearing organizations. The funds attempt to reduce their exposure to counterparty risk for derivatives traded in the OTC market, whenever possible, by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement with each of their OTC counterparties. The ISDA gives each party to the agreement the right to terminate all transactions traded under the agreement if there is certain deterioration in the credit quality or contractual default of the other party, as defined in the ISDA. Upon an event of default or a termination of the ISDA, the non-defaulting party has the right to close out all transactions and to net amounts owed.
Fund | Reason | USD Notional range |
High Yield Fund | To manage duration of the fund. | From $12.5 million to $13.0 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 $208.9 million to $292.4 million |
U.S. Sector Rotation Fund | To manage against change in certain securities markets and gain exposure to certain securities markets. | From $84.7 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 $1.1 million to $1.3 million |
Options. There are two types of options, put options and call options. Options are traded either OTC or on an exchange. A call option gives the purchaser of the option the right to buy (and the seller the obligation to sell) the underlying asset at the exercise price. A put option gives the purchaser of the option the right to sell (and the writer the obligation to buy) the underlying asset at the exercise price. Writing puts and buying calls may increase the funds' exposure to changes in the value of the underlying instrument. Buying puts and writing calls may decrease the funds' exposure to such changes. Risks related to the use of options include the loss of premiums on purchased options, possible illiquidity of the options markets, trading restrictions imposed by an exchange and movements in underlying security values, and for written options, potential losses in excess of the amounts recognized on the Statements of assets and liabilities. In addition, OTC options are subject to the risks of all OTC derivatives contracts.
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 $1.0 million to $8.3 million |
Fund | Reason | USD Notional range |
High Yield Fund | To manage against potential credit events. | From $2.7 million to $3.3 million |
Fund | Reason | USD Notional range |
High Yield Fund | To gain credit exposure to an issuer or index. | Up to $1.8 million |
Fair value of derivative instruments by risk category
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 | — | $(8,324,189) |
High Yield Fund | Interest rate | Receivable/payable for futures variation margin1 | Futures | — | $(47,178) |
Currency | Unrealized appreciation (depreciation) on forward foreign currency contracts | Forward foreign currency contracts | $12,566 | (10,319) | |
Credit | Swap contracts, at value2 | Credit default swaps | 67,582 | (135,671) | |
$80,148 | $(193,168) | ||||
International Strategic Equity Allocation Fund | Currency | Receivable/payable for futures variation margin1 | Futures | — | $(299,140) |
Equity | Receivable/payable for futures variation margin1 | Futures | — | (3,693,228) | |
— | $(3,992,368) | ||||
U.S. Sector Rotation Fund | Equity | Receivable/payable for futures variation margin1 | Futures | — | $(3,780,330) |
1 | Reflects cumulative appreciation/depreciation on open futures as disclosed in the Derivatives section of the Portfolio of investments. Only the period 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. |
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 | — | — | $4,978,485 | — | $4,978,485 |
High Yield Fund | Interest rate | $(556,355) | — | — | — | $(556,355) |
Currency | — | $10,766 | — | — | 10,766 | |
Credit | — | — | — | $19,078 | 19,078 | |
Total | $(556,355) | $10,766 | — | $19,078 | $(526,511) | |
International Strategic Equity Allocation Fund | Currency | $(1,032,963) | — | — | — | $(1,032,963) |
Equity | 10,433,781 | — | — | — | 10,433,781 | |
Total | $9,400,818 | — | — | — | $9,400,818 | |
U.S. Sector Rotation Fund | Interest rate | $(4,858,780) | — | — | — | $(4,858,780) |
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 | — | — | $(3,084,268) | — | $(3,084,268) |
High Yield Fund | Interest rate | $22,568 | — | — | — | $22,568 |
Currency | — | $18,279 | — | — | 18,279 | |
Credit | — | — | — | $(189,718) | (189,718) | |
Total | $22,568 | $18,279 | — | $(189,718) | $(148,871) | |
International Strategic Equity Allocation Fund | Currency | $93,155 | — | — | — | $93,155 |
Equity | 2,041,488 | — | — | — | 2,041,488 | |
Total | $2,134,643 | — | — | — | $2,134,643 | |
U.S. Sector Rotation Fund | Equity | $661,263 | — | — | — | $661,263 |
Fund | Subadvisor(s) |
Core Bond Fund | Allspring Global Investments, LLC |
Capital Appreciation Fund | Jennison Associates LLC |
International Strategic Equity Allocation Fund U.S. Sector Rotation Fund | Manulife Investment Management (US) LLC1 |
Capital Appreciation Value Fund Health Sciences Fund Mid Value Fund Science & Technology Fund2 | T. Rowe Price Associates, Inc. |
High Yield Fund | Western Asset Management Company, LLC |
Expense reimbursements. The Advisor has voluntarily agreed to reduce its management fee or if necessary make payment to each fund in an amount by which certain expenses of the respective funds exceed the percentage of average net assets as detailed below. Expenses excluded from this waiver are taxes, brokerage commissions, interest expense, litigation and indemnification expenses and other extraordinary expenses not incurred in the ordinary course of the funds’ business, management fees, class specific expenses, acquired fund fees and short dividend expenses. The Advisor may terminate this voluntary waiver at any time upon notice to the funds.
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% |
Expense Reimbursement by Class | |||
Fund | Class 1 | Class NAV | Total |
Capital Appreciation Fund | $16,995 | $28,758 | $45,753 |
Capital Appreciation Value Fund | — | 260,565 | 260,565 |
Core Bond Fund | 4,456 | 52,180 | 56,636 |
Health Sciences Fund | — | 79,807 | 79,807 |
High Yield Fund | 6,980 | — | 6,980 |
International Strategic Equity Allocation Fund | — | 2,742,916 | 2,742,916 |
Mid Value Fund | — | 327,214 | 327,214 |
Science & Technology Fund | — | 39,752 | 39,752 |
U.S. Sector Rotation Fund | — | 3,078,272 | 3,078,272 |
Fund | Net Annual Effective Rate |
Capital Appreciation Fund | 0.71% |
Capital Appreciation Value Fund | 0.79% |
Core Bond Fund | 0.57% |
Health Sciences Fund | 0.87% |
High Yield Fund | 0.69% |
Fund | Net Annual Effective Rate |
International Strategic Equity Allocation Fund | 0.49% |
Mid Value Fund | 0.83% |
Science & Technology Fund | 0.90% |
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 | $119,638 |
Core Bond Fund | Class 1 | $31,388 |
High Yield Fund | Class 1 | $49,135 |
Fund | Borrower or Lender | Weighted Average Loan Balance | Days Outstanding | Weighted Average Interest Rate | Interest Income (Expense) |
International Strategic Equity Allocation | Borrower | $9,300,000 | 1 | 3.305% | $(854) |
Capital Appreciation Fund | Lender | 12,883,333 | 6 | 2.977% | 6,392 |
Capital Appreciation Value Fund | Lender | 34,100,000 | 8 | 3.173% | 24,045 |
Health Sciences Fund | Lender | 3,100,000 | 1 | 3.305% | 285 |
Mid Value Fund | Lender | 27,640,000 | 5 | 3.063% | 11,759 |
Science & Technology Fund | Lender | 7,000,000 | 1 | 2.980% | 579 |
Capital Appreciation Fund | Six Months Ended 2-28-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class 1 shares | ||||
Sold | 690,805 | $7,508,143 | 1,885,863 | $30,321,585 |
Distributions reinvested | 5,428,343 | 51,623,538 | 14,158,361 | 234,037,715 |
Repurchased | (5,510,515) | (58,436,708) | (8,463,197) | (134,999,393) |
Net increase | 608,633 | $694,973 | 7,581,027 | $129,359,907 |
Class NAV shares | ||||
Sold | 2,796,914 | $29,304,211 | 11,002,434 | $154,959,479 |
Distributions reinvested | 9,098,978 | 87,259,196 | 18,665,411 | 310,779,087 |
Repurchased | (2,724,275) | (28,884,206) | (9,511,301) | (163,454,454) |
Net increase | 9,171,617 | $87,679,201 | 20,156,544 | $302,284,112 |
Total net increase | 9,780,250 | $88,374,174 | 27,737,571 | $431,644,019 |
Capital Appreciation Value Fund | Six Months Ended 2-28-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 585,193 | $5,095,568 | 13,228,207 | $126,631,864 |
Distributions reinvested | 19,043,172 | 152,535,808 | 25,226,702 | 259,582,767 |
Repurchased | (9,060,637) | (78,219,256) | (15,660,719) | (170,944,411) |
Net increase | 10,567,728 | $79,412,120 | 22,794,190 | $215,270,220 |
Total net increase | 10,567,728 | $79,412,120 | 22,794,190 | $215,270,220 |
Core Bond Fund | Six Months Ended 2-28-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class 1 shares | ||||
Sold | 500,458 | $5,536,990 | 558,554 | $6,802,255 |
Distributions reinvested | 207,419 | 2,272,908 | 249,654 | 3,151,517 |
Repurchased | (1,117,510) | (12,223,212) | (3,026,217) | (37,190,897) |
Net decrease | (409,633) | $(4,413,314) | (2,218,009) | $(27,237,125) |
Core Bond Fund, Cont'd | Six Months Ended 2-28-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 12,837,775 | $141,265,588 | 19,803,959 | $236,047,635 |
Distributions reinvested | 2,411,725 | 26,383,562 | 2,365,347 | 29,676,464 |
Repurchased | (4,976,615) | (54,696,136) | (13,461,470) | (164,799,449) |
Net increase | 10,272,885 | $112,953,014 | 8,707,836 | $100,924,650 |
Total net increase | 9,863,252 | $108,539,700 | 6,489,827 | $73,687,525 |
Health Sciences Fund | Six Months Ended 2-28-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 1,072,168 | $5,173,573 | 4,345,622 | $24,191,656 |
Distributions reinvested | 1,817,865 | 8,653,037 | 10,044,268 | 56,448,788 |
Repurchased | (4,865,792) | (23,678,728) | (9,504,977) | (50,365,144) |
Net increase (decrease) | (1,975,759) | $(9,852,118) | 4,884,913 | $30,275,300 |
Total net increase (decrease) | (1,975,759) | $(9,852,118) | 4,884,913 | $30,275,300 |
High Yield Fund | Six Months Ended 2-28-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class 1 shares | ||||
Sold | 767,584 | $5,218,121 | 2,402,969 | $19,413,419 |
Distributions reinvested | 1,137,418 | 7,517,007 | 1,776,613 | 13,647,917 |
Repurchased | (3,618,026) | (24,183,747) | (7,708,801) | (59,377,183) |
Net decrease | (1,713,024) | $(11,448,619) | (3,529,219) | $(26,315,847) |
Total net decrease | (1,713,024) | $(11,448,619) | (3,529,219) | $(26,315,847) |
International Strategic Equity Allocation Fund | Six Months Ended 2-28-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 30,166,512 | $265,755,643 | 323,192,115 | $3,176,965,2421 |
Distributions reinvested | 10,797,874 | 92,213,840 | 8,825,077 | 91,427,800 |
Repurchased | (44,427,100) | (395,749,622) | (18,584,550) | (172,749,547) |
Net increase (decrease) | (3,462,714) | $(37,780,139) | 313,432,642 | $3,095,643,495 |
Total net increase (decrease) | (3,462,714) | $(37,780,139) | 313,432,642 | $3,095,643,495 |
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 | Six Months Ended 2-28-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 426,352 | $7,273,464 | 1,401,916 | $26,684,322 |
Distributions reinvested | 15,671,683 | 228,179,709 | 8,266,026 | 149,119,105 |
Repurchased | (5,919,900) | (98,701,159) | (26,750,313) | (503,877,488) |
Net increase (decrease) | 10,178,135 | $136,752,014 | (17,082,371) | $(328,074,061) |
Total net increase (decrease) | 10,178,135 | $136,752,014 | (17,082,371) | $(328,074,061) |
Science & Technology Fund | Six Months Ended 2-28-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 9,919,143 | $12,832,438 | 15,490,826 | $27,266,486 |
Distributions reinvested | 15,894,410 | 18,119,628 | 63,151,980 | 121,883,322 |
Repurchased | (40,918,463) | (49,816,262) | (5,966,442) | (19,981,952) |
Net increase (decrease) | (15,104,910) | $(18,864,196) | 72,676,364 | $129,167,856 |
Total net increase (decrease) | (15,104,910) | $(18,864,196) | 72,676,364 | $129,167,856 |
U.S. Sector Rotation Fund | Six Months Ended 2-28-23 | Year Ended 8-31-22 | ||
Shares | Amount | Shares | Amount | |
Class NAV shares | ||||
Sold | 19,003,717 | $158,451,836 | 430,266,464 | $4,186,145,6351 |
Distributions reinvested | 14,533,931 | 117,724,841 | 25,953,684 | 259,017,769 |
Repurchased | (37,033,307) | (315,388,520) | (36,414,422) | (359,422,620) |
Net increase (decrease) | (3,495,659) | $(39,211,843) | 419,805,726 | $4,085,740,784 |
Total net increase (decrease) | (3,495,659) | $(39,211,843) | 419,805,726 | $4,085,740,784 |
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 | — | $233,772,413 | — | $275,140,027 |
Capital Appreciation Value Fund | $186,470,496 | 426,464,390 | $173,563,010 | 408,865,311 |
Core Bond Fund | 1,254,116,667 | 813,959,293 | 1,248,295,914 | 641,838,501 |
Health Sciences Fund | — | 45,060,857 | — | 64,371,872 |
High Yield Fund | — | 31,022,717 | — | 43,703,543 |
International Strategic Equity Allocation Fund | — | 254,656 | — | 167,146,494 |
Mid Value Fund | — | 340,190,447 | — | 397,834,387 |
Science & Technology Fund | — | 73,846,531 | — | 107,563,830 |
U.S. Sector Rotation Fund | — | 1,580,493,977 | — | 1,590,363,588 |
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* | 280,107 | — | $45,882,018 | $(43,082,115) | $(69) | $(27) | $3,598 | — | $2,799,807 |
Capital Appreciation Value Fund | |||||||||
John Hancock Collateral Trust* | 168,625 | $2,077,345 | $26,270,960 | $(26,663,800) | $116 | $872 | $7,007 | — | $1,685,493 |
Core Bond Fund | |||||||||
John Hancock Collateral Trust* | 116,498 | — | $6,638,290 | $(5,473,428) | $(281) | $(129) | $343 | — | $1,164,452 |
High Yield Fund | |||||||||
John Hancock Collateral Trust* | 549,412 | $2,375,359 | $9,043,696 | $(5,926,631) | $(1,459) | $685 | $22,609 | — | $5,491,650 |
International Strategic Equity Allocation Fund | |||||||||
John Hancock Collateral Trust* | 3,793,806 | $26,922,715 | $183,014,200 | $(172,006,822) | $(6,847) | $(2,262) | $104,308 | — | $37,920,984 |
Mid Value Fund |
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* | 2,834,190 | $22,095,028 | $164,204,875 | $(157,969,511) | $(8,097) | $6,853 | $133,044 | — | $28,329,148 |
Science & Technology Fund | |||||||||
John Hancock Collateral Trust* | 63,572 | $1,229,283 | $15,668,858 | $(16,262,827) | $145 | $(23) | $8,193 | — | $635,436 |
U.S. Sector Rotation Fund | |||||||||
John Hancock Collateral Trust* | 7,412,268 | $180,838,338 | $533,489,965 | $(640,263,714) | $8,031 | $16,702 | $2,895,101 | — | $74,089,322 |
* | Refer to the Securities lending note within Note 2 for details regarding this investment. |
Fund | Affiliated Concentration |
Capital Appreciation Fund | 43.9% |
Capital Appreciation Value Fund | 98.4% |
Core Bond Fund | 60.5% |
Health Sciences Fund | 100% |
International Strategic Equity Allocation Fund | 100% |
Mid Value Fund | 100% |
Science &Technology Fund | 99.7% |
U.S. Sector Rotation Fund | 100% |
Fund | Purchases |
Capital Appreciation Value Fund | $265,496 |
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%. |
Total votes for the nominee | Total votes withheld from the nominee | ||
Independent Trustees | |||
James R. Boyle | 4,554,825,588.937 | 109,369,198.953 | |
Noni L. Ellison | 4,545,310,789.674 | 118,883,998.216 | |
Dean C. Garfield | 4,542,518,756.422 | 121,676,031.468 | |
Patricia Lizarraga | 4,547,597,042.403 | 116,597,745.487 | |
Frances G. Rathke | 4,553,474,902.143 | 110,719,885.747 | |
Non-Independent Trustees | |||
Andrew G. Arnott | 4,548,263,383.010 | 115,931,404.880 | |
Marianne Harrison | 4,552,282,391.834 | 111,912,396.056 | |
Paul Lorentz | 4,546,227,532.263 | 117,967,255.627 |
Shares voted | % Of shares voted | % Of outstanding shares | |||
For | 4,061,202,897.967 | 87.072% | 64.635% | ||
Against | 75,620,339.593 | 1.622% | 1.203% | ||
Abstain/Withheld | 92,916,059.460 | 1.992% | 1.478% | ||
Broker Non-Vote | 434,455,490.870 | 9.314% | 6.914% |
Steven R. Pruchansky, Vice Chairperson
Andrew G. Arnott†
James R. Boyle
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
JHF2SA | 2/23 4/23 |
ITEM 2. CODE OF ETHICS.
Not Applicable
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not Applicable
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not Applicable
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not Applicable
ITEM 6. 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.
(a)(1) Not Applicable
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 G. Arnott
__________________
Andrew G. Arnott President
Date: April 17, 2023
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 G. Arnott
__________________
Andrew G. Arnott President
Date: April 17, 2023
/s/ Charles A. Rizzo
___________________
Charles A. Rizzo Chief Financial Officer
Date: April 17, 2023