John Hancock GA Mortgage Trust
Portfolio of investments 3-31-23 (unaudited)
Portfolio of investments 3-31-23 (unaudited)
Rate (%) | Maturity date | Par value^ | Value | ||
Commercial mortgage loans (A) 92.0% | $1,664,427,276 | ||||
(Cost $1,891,363,562) | |||||
11 West Partners LLC | 3.770 | 05-01-32 | 9,600,000 | 8,491,555 | |
1131 Wilshire Boulevard LLC | 3.520 | 05-01-31 | 4,532,746 | 3,705,560 | |
1360 Summitridge RS LLC | 3.500 | 09-01-30 | 4,500,000 | 3,878,267 | |
1419 Potrero LLC | 3.660 | 09-01-30 | 5,521,622 | 4,693,042 | |
1600 Dove LP + GS 1600 Dove LLC | 3.670 | 06-01-31 | 4,351,146 | 3,644,285 | |
1635 Divisadero Medical Building LLC | 3.950 | 06-01-30 | 4,841,883 | 4,585,878 | |
1635 Divisadero Medical Building LLC | 6.000 | 06-01-30 | 9,583,891 | 10,148,344 | |
192 Investors LLC | 3.750 | 08-01-29 | 16,819,078 | 15,761,764 | |
257 Ridgewood Ave LLC | 3.560 | 04-01-32 | 10,100,000 | 8,832,389 | |
5021 St. LLC | 4.390 | 09-01-40 | 32,198,711 | 30,534,746 | |
655 Kelton LLC | 2.270 | 04-01-31 | 4,962,960 | 4,192,465 | |
701 Cottontail Lane Associates LLC | 3.680 | 04-01-46 | 4,281,944 | 3,342,438 | |
801 West End Avenue Corp. | 2.440 | 04-01-31 | 5,500,000 | 4,601,432 | |
8421 Lyndale Avenue South LLC | 2.580 | 11-01-28 | 5,103,235 | 4,418,912 | |
900 Wilshire Boulevard LLC | 3.080 | 07-01-31 | 11,600,000 | 9,837,960 | |
955 995 Stewart Drive LLC | 2.360 | 01-01-32 | 20,000,000 | 16,409,920 | |
Accord/Pac Members LLC | 3.500 | 09-01-40 | 8,187,851 | 6,877,320 | |
Aman, Inc. | 5.170 | 12-01-29 | 22,000,000 | 21,880,804 | |
American Fork OW LLC | 2.900 | 02-10-36 | 5,490,399 | 4,312,632 | |
Americana Lakewood V LLC | 3.110 | 09-01-32 | 17,500,000 | 15,456,315 | |
Americana on the River LLC | 2.970 | 05-01-36 | 5,381,880 | 4,372,971 | |
Arboretum LLC | 2.800 | 01-01-29 | 5,900,000 | 5,143,508 | |
Arow Fremont Boulevard LLC | 4.420 | 11-05-27 | 5,000,000 | 4,888,955 | |
Artesia Capital II LLC | 2.470 | 01-01-29 | 5,000,000 | 4,338,210 | |
Avamer 57 Fee LLC | 2.310 | 11-01-26 | 10,000,000 | 8,957,620 | |
Aventura at Mid Rivers LLC | 2.390 | 02-01-31 | 4,471,020 | 3,754,861 | |
Aventura at Richmond LLC | 2.210 | 01-01-31 | 3,886,136 | 3,243,459 | |
Avondale Siesta Pointe Apartments LP | 2.550 | 03-01-33 | 3,435,993 | 2,778,114 | |
Bandicoot LLC | 2.950 | 06-01-30 | 15,000,000 | 13,171,785 | |
Bayside Square Investments LLC | 3.480 | 02-01-42 | 11,900,000 | 9,130,049 | |
Bel Bridgeport LLC | 2.840 | 03-01-29 | 19,300,000 | 17,083,144 | |
Berkshire Apartments LLC | 2.660 | 03-01-46 | 5,841,182 | 4,699,377 | |
Beverly West Square Associates LP | 5.560 | 12-01-30 | 7,383,379 | 7,739,966 | |
BGN Properties Palm Gate LP | 2.860 | 06-01-32 | 7,000,000 | 5,989,165 | |
Bigos Cedars Lakeside LLC | 2.530 | 11-01-31 | 6,400,000 | 5,235,462 | |
Bref-Masters Cove LLC | 3.070 | 06-01-29 | 6,100,000 | 5,346,894 | |
Burroughs LPM LP | 2.980 | 01-01-36 | 12,215,981 | 9,689,435 | |
BW Logan LLC | 6.370 | 04-01-28 | 2,647,324 | 2,758,814 | |
BWP Crown Valley 1 LLC | 3.020 | 04-01-37 | 15,000,000 | 11,386,020 | |
Canton R2g Owner LLC | 2.810 | 03-01-29 | 7,300,000 | 6,356,271 | |
Capri Apartments LLC | 3.360 | 04-01-30 | 6,500,000 | 5,860,517 | |
Carriage Way LLC | 3.520 | 08-01-31 | 3,877,611 | 3,317,160 | |
Castlewood Associates LLC | 2.870 | 04-01-31 | 5,000,000 | 4,173,650 | |
Caton House Apartments LLC | 2.740 | 09-01-36 | 3,868,310 | 3,079,001 | |
CE Enterprise Partners LLC | 4.700 | 07-01-32 | 4,140,191 | 3,973,627 | |
Central Way Plaza LLC | 2.910 | 03-01-32 | 9,788,069 | 8,390,362 | |
Chandler Property Development Associates LP | 2.550 | 03-01-33 | 7,444,650 | 6,019,246 | |
Chimney Top LLC | 2.910 | 02-01-29 | 6,800,000 | 5,970,794 |
See notes to Portfolio of investments
1
John Hancock GA Mortgage Trust
Portfolio of investments 3-31-23 (unaudited)
Portfolio of investments 3-31-23 (unaudited)
Rate (%) | Maturity date | Par value^ | Value | ||
CIP Group of Homestead LLC | 3.060 | 06-01-33 | 6,551,173 | $5,403,270 | |
CJ's Pinemeadows Apartments LP | 3.380 | 07-01-41 | 9,669,840 | 7,671,306 | |
CLAGB LLC | 2.680 | 02-01-36 | 5,720,775 | 4,525,035 | |
Colt Street Partners LLC | 3.290 | 01-01-35 | 9,767,349 | 7,945,123 | |
Columbia Cochran Commons LLC | 5.790 | 03-01-24 | 3,264,691 | 3,276,904 | |
Commerce Industrial Park LLC | 2.750 | 12-01-31 | 15,000,000 | 12,576,615 | |
Congressional Properties LP | 3.210 | 04-01-47 | 5,854,377 | 4,913,614 | |
Continental Plaza LLC | 5.490 | 01-01-33 | 4,989,009 | 5,242,206 | |
Copperstone Apartments LP | 2.880 | 04-01-39 | 5,618,607 | 4,723,276 | |
Corp. Center West Associates LLC | 3.650 | 04-01-35 | 12,500,000 | 10,623,738 | |
CR Ballantyne LLC | 3.290 | 06-01-36 | 6,200,000 | 5,129,062 | |
Creekside at Amherst Apartments LLC | 3.380 | 09-01-31 | 11,141,466 | 10,036,210 | |
Creekwood Centre Denton LLC | 3.400 | 04-01-32 | 11,000,000 | 9,608,874 | |
Cross Keys Development Company | 2.550 | 10-01-33 | 13,000,000 | 10,528,050 | |
Crossing Company LP | 2.780 | 10-01-31 | 6,600,000 | 5,474,198 | |
Deer Chase Housing Partners LP | 2.630 | 04-01-27 | 4,000,000 | 3,655,088 | |
Delphi Investors LLC | 2.520 | 01-01-31 | 9,509,389 | 7,901,902 | |
DNP Regio LLC | 3.110 | 10-01-36 | 12,134,649 | 9,549,180 | |
Downtown Woodinville LLC | 3.830 | 06-01-29 | 65,000,000 | 62,234,510 | |
Draper Southpoint Apartments LLC | 2.520 | 04-01-31 | 5,737,075 | 4,752,472 | |
DTN Waters House LLC | 3.300 | 08-01-31 | 5,239,043 | 4,467,012 | |
Eastwood Apartments of Springdale LP | 2.490 | 01-01-36 | 2,457,171 | 2,069,818 | |
Edgewater Park Real Estate Associates LLC | 2.890 | 08-01-36 | 8,400,000 | 7,013,320 | |
Edgewater Partnership LP | 5.200 | 04-01-25 | 2,461,395 | 1,985,132 | |
Edina Crosstown Medical LLC | 3.230 | 06-01-41 | 12,822,090 | 10,765,068 | |
Elizabeth Lake Estates LLC | 2.920 | 05-01-31 | 4,995,812 | 4,234,970 | |
Fairfield 35 Pinelawn LLC | 3.450 | 01-01-42 | 7,036,946 | 5,509,387 | |
Fairgrounds Apartments LP | 2.490 | 01-01-36 | 2,808,195 | 2,365,506 | |
Forest Meadows Villas, Ltd. | 2.770 | 12-01-35 | 2,183,446 | 1,772,972 | |
Fountainview Terrace Apartments | 2.900 | 07-01-41 | 4,216,400 | 3,473,078 | |
FPACP3 Greenville LLC | 3.440 | 03-01-30 | 8,950,000 | 7,970,968 | |
Fredwood LLLP | 2.740 | 09-01-36 | 3,965,018 | 3,186,070 | |
Gadberry Courts LP | 3.330 | 05-01-32 | 6,690,209 | 5,774,607 | |
Gateway MHP, Ltd. | 3.950 | 07-01-29 | 9,312,944 | 8,882,807 | |
Gateway Village Plaza LP | 3.420 | 07-01-31 | 5,800,000 | 5,042,822 | |
Georgetown Mews Owners Corp. | 2.870 | 01-01-36 | 6,854,540 | 5,698,748 | |
Grande Apartments LP | 3.380 | 07-01-41 | 8,412,761 | 6,680,472 | |
Greenhouse Apartments LP | 3.380 | 07-01-41 | 9,669,840 | 7,671,306 | |
Harbor Breeze LP | 2.400 | 11-01-31 | 5,000,000 | 4,193,655 | |
Harbor Center Partners LP | 4.720 | 09-01-32 | 18,100,000 | 17,888,447 | |
Harborgate LLC | 2.610 | 01-01-31 | 9,510,064 | 7,969,206 | |
Hunters Price LP | 3.360 | 04-01-32 | 11,500,000 | 9,843,310 | |
Industry West Commerce Center LLC | 2.810 | 03-01-41 | 9,562,921 | 7,406,540 | |
J J Carson LLC | 2.950 | 11-01-31 | 12,000,000 | 9,951,912 | |
JB IV V LLC | 4.580 | 12-01-32 | 5,000,000 | 4,877,855 | |
JGK Garden Grove LP | 2.790 | 02-01-32 | 3,500,000 | 2,985,539 | |
Joliet Hillcrest Shopping Center LLC | 3.700 | 06-01-25 | 9,770,734 | 9,401,156 | |
Kimberly Partners of Albany LP | 2.920 | 12-01-30 | 4,777,717 | 4,016,216 | |
Kingswick Apartments LP | 3.310 | 04-01-42 | 12,764,143 | 10,646,993 | |
L&B Depp-Ucepp 5500 Preston Road, Inc. | 4.490 | 07-01-29 | 18,500,000 | 17,827,433 |
See notes to Portfolio of investments
2
John Hancock GA Mortgage Trust
Portfolio of investments 3-31-23 (unaudited)
Portfolio of investments 3-31-23 (unaudited)
Rate (%) | Maturity date | Par value^ | Value | ||
La Costa Vista LLC | 2.610 | 04-01-31 | 4,784,009 | $3,991,916 | |
Ladera Corporate Terrace South LLC | 3.870 | 06-01-32 | 7,399,177 | 6,526,740 | |
Lassen Associates LLC | 3.020 | 07-01-31 | 5,300,000 | 4,569,512 | |
LB PCH Associates LLC | 3.870 | 05-01-32 | 18,026,215 | 15,902,060 | |
LN Bear Creek LLC | 5.490 | 01-01-33 | 4,989,009 | 5,242,206 | |
Manoa Shopping Center Associates LP | 7.060 | 03-01-30 | 5,665,874 | 6,194,426 | |
McCue Ventures LLC | 5.570 | 05-01-58 | 11,500,000 | 11,751,704 | |
Meadow and Central LP | 3.100 | 01-01-32 | 3,903,935 | 3,278,958 | |
Medical Oaks Pavilion PH III, Ltd. | 3.000 | 11-01-40 | 9,573,594 | 7,688,563 | |
Meramec Station Big Bend Investors LLC | 2.780 | 05-01-41 | 4,462,407 | 3,629,602 | |
Mesa Broadway Property LP | 2.550 | 03-01-33 | 4,581,324 | 3,704,151 | |
Midway Manor Apartments LP | 2.400 | 11-01-31 | 3,200,000 | 2,683,939 | |
Mill Pond, Ltd. | 2.870 | 06-01-36 | 6,928,265 | 5,709,389 | |
Montrose Manor Apartments LLC | 2.740 | 09-01-36 | 5,512,342 | 4,387,576 | |
Nat City SPE LLC | 3.980 | 02-01-35 | 1,964,657 | 1,606,148 | |
National City Plaza | 4.110 | 03-01-35 | 8,438,764 | 7,318,349 | |
NCHC 3 LLC | 3.390 | 02-01-32 | 18,205,444 | 15,663,946 | |
Newton Executive Park LP | 2.570 | 10-01-33 | 4,724,022 | 4,025,726 | |
Niederst Portage Towers LLC | 2.670 | 12-01-31 | 6,611,942 | 5,523,610 | |
Northbridge Park Company OP, Inc. | 3.640 | 06-01-51 | 9,377,520 | 7,729,580 | |
Northland Monterra LLC | 2.890 | 07-01-31 | 13,500,000 | 11,388,060 | |
Northridge Garden Associates LLC | 3.020 | 07-01-31 | 5,300,000 | 4,569,512 | |
Nostalgia Properties LLC | 3.040 | 05-01-31 | 16,600,000 | 13,954,475 | |
Ocean Pointe Venture Fund LP | 4.840 | 08-01-47 | 7,408,615 | 6,852,709 | |
Olympic Mills Commerce Center LLC | 4.060 | 03-01-36 | 10,692,426 | 10,041,770 | |
Orangewood Properties, Ltd. | 2.940 | 07-01-31 | 8,600,000 | 7,305,829 | |
Pademelon LLC | 3.000 | 06-01-30 | 6,000,000 | 5,154,048 | |
Parc Center Drive Joint Venture | 5.480 | 02-01-32 | 2,200,882 | 2,247,127 | |
Peace Ranch Madison LLC | 5.570 | 09-01-27 | 5,000,000 | 4,930,170 | |
Penndel Apartments LP | 3.270 | 06-01-31 | 5,594,954 | 4,793,270 | |
Pepperward Apartments LLC | 2.180 | 01-01-27 | 3,985,566 | 3,620,927 | |
Pepperwood Apartments LLC | 2.890 | 10-01-30 | 3,500,000 | 2,888,008 | |
Plantation Crossing Apartments LLC | 3.040 | 09-01-31 | 4,940,129 | 4,191,339 | |
Platt Partners LP | 3.390 | 05-05-37 | 14,000,000 | 11,786,222 | |
Platypus LLC | 2.950 | 06-01-30 | 4,000,000 | 3,534,400 | |
Plaza Inv. LP | 3.910 | 05-01-26 | 27,604,254 | 26,924,472 | |
Plum Grove Rolling Meadows LLC | 2.920 | 03-01-36 | 3,500,000 | 2,675,670 | |
POP 3 Ravinia LLC | 4.460 | 01-01-42 | 113,302,540 | 109,828,565 | |
Price Greenbriar Plano LLC | 3.240 | 05-01-31 | 8,000,000 | 6,784,856 | |
Prime/Scrc SPE LLC | 2.650 | 12-01-31 | 10,000,000 | 8,271,780 | |
PRTC LP | 3.130 | 05-01-32 | 11,403,035 | 10,206,206 | |
Quay Works LLC | 2.790 | 12-01-36 | 12,000,000 | 9,583,404 | |
Raamco Broadwater LLC | 3.090 | 07-01-31 | 4,400,000 | 3,736,022 | |
Regency Apartments Vancouver LLC | 2.250 | 04-01-31 | 4,771,362 | 4,093,380 | |
Regent Garden Associates LLC | 3.250 | 03-10-35 | 117,467,500 | 99,863,703 | |
Rehco Loan LLC | 3.000 | 11-01-51 | 5,054,517 | 3,978,188 | |
Rep 2035 LLC | 3.260 | 12-01-35 | 16,916,087 | 13,217,926 | |
Richmar II Apartments LLC | 2.930 | 08-01-36 | 9,662,672 | 7,970,477 | |
RLIF International Parkway SPE LLC | 2.890 | 12-01-33 | 11,100,000 | 8,866,969 | |
Rollins Park Apartments Section 2 LP | 3.210 | 04-01-47 | 9,854,868 | 8,271,240 |
See notes to Portfolio of investments
3
John Hancock GA Mortgage Trust
Portfolio of investments 3-31-23 (unaudited)
Portfolio of investments 3-31-23 (unaudited)
Rate (%) | Maturity date | Par value^ | Value | ||
Rollins Park Apartments Section 3 LP | 3.210 | 04-01-47 | 4,195,637 | $3,521,423 | |
Rose Gardens Senior LP | 3.330 | 05-01-32 | 8,386,318 | 7,158,033 | |
S/K 53 Brunswick Associates LLC | 3.160 | 04-01-31 | 6,243,047 | 5,232,610 | |
Sebring Associates/Excelsior Two LLC | 2.950 | 03-08-51 | 9,572,653 | 7,249,188 | |
SF Lynnwood Crossroads LLC | 4.780 | 09-01-32 | 3,854,000 | 3,823,472 | |
SF Mansfield LLC | 2.990 | 04-01-33 | 5,000,000 | 4,060,395 | |
SF Stapleton LLC | 2.850 | 03-01-31 | 4,680,000 | 3,843,750 | |
Silverado Ranch Centre LLC | 7.500 | 06-01-30 | 5,555,412 | 6,004,944 | |
Skotdal Mutual LLC | 2.860 | 06-15-31 | 6,275,453 | 5,470,438 | |
Spring Park Apartments | 3.440 | 10-01-31 | 17,100,000 | 14,855,864 | |
St. Indian Ridge LLC | 6.590 | 08-01-29 | 4,628,269 | 4,862,533 | |
Stony Island Plaza | 3.620 | 10-01-34 | 5,641,102 | 4,828,564 | |
Styertowne Shopping Center LLC | 6.060 | 03-01-24 | 10,928,875 | 10,975,749 | |
Sunnyside Marketplace LLC | 3.420 | 04-01-30 | 7,060,126 | 6,302,271 | |
Switch Building Investors II LP | 2.690 | 06-01-36 | 4,515,034 | 3,941,670 | |
Tanecap 1 LP | 2.690 | 09-01-31 | 4,834,047 | 4,007,899 | |
The Enclave LLC | 2.940 | 05-01-31 | 5,000,000 | 4,163,615 | |
The Fairways at Derby Apartments, Ltd. | 2.560 | 01-01-37 | 5,944,977 | 4,983,645 | |
The Links at Columbia LP | 2.720 | 05-01-41 | 17,376,909 | 13,908,808 | |
The Links at Rainbow Curve LP | 2.630 | 07-01-32 | 7,529,552 | 6,873,826 | |
The Trails at the Crossings Apartments, Ltd. | 2.800 | 01-01-42 | 17,394,649 | 14,089,701 | |
THF Greengate Development LP | 6.320 | 10-01-25 | 26,196,913 | 26,905,671 | |
Tivoli Orlando Associates, Ltd. | 6.750 | 10-01-27 | 10,801,987 | 11,628,901 | |
Topaz House, Ltd. | 3.300 | 04-01-47 | 17,568,475 | 14,688,756 | |
Town Center Associates | 2.790 | 03-01-29 | 4,444,057 | 4,039,376 | |
Trail Horse Partners LLC | 2.690 | 04-01-31 | 6,222,775 | 5,166,396 | |
Valley Square I LP | 5.490 | 02-01-26 | 15,501,358 | 15,232,317 | |
Villages at Clear Springs Apartments | 3.340 | 10-01-29 | 15,000,000 | 13,389,750 | |
Volunteer Parkridge LLC | 3.020 | 05-01-31 | 5,500,000 | 4,619,769 | |
Voyager RV Resort MHC | 4.100 | 06-01-29 | 39,113,774 | 37,042,308 | |
Warehouse Associates Corp. Centre Shepherd, Ltd. | 3.140 | 02-01-31 | 8,685,425 | 7,268,528 | |
Warwick Devco LP | 2.880 | 07-01-33 | 6,864,095 | 5,957,561 | |
West Linn Shopping Center Associates LLC | 3.160 | 01-01-32 | 7,907,405 | 6,687,285 | |
West Valley Properties, Inc. | 2.780 | 12-01-36 | 7,000,000 | 5,514,187 | |
WG Opelousas LA LLC | 7.290 | 05-01-28 | 1,173,860 | 1,271,593 | |
White Oak Subsidiary LLC | 4.900 | 07-01-24 | 7,532,885 | 7,513,518 | |
White Oak Subsidiary LLC | 8.110 | 07-01-24 | 12,215,041 | 12,648,394 | |
Willow Creek Court LLC | 4.530 | 07-01-52 | 7,222,496 | 6,355,803 | |
Windsor Place Apartments | 3.530 | 02-01-32 | 9,200,000 | 8,037,451 | |
Woodlane Place Townhomes LLC | 2.900 | 05-05-35 | 9,382,197 | 7,630,700 | |
Woods I LLC | 3.100 | 07-01-30 | 7,078,523 | 6,302,894 | |
Woods Mill Park Apartments LLC | 2.610 | 02-01-41 | 4,684,080 | 3,751,152 | |
WPC Triad LLC | 2.960 | 04-01-31 | 5,000,000 | 4,160,320 | |
U.S. Government and Agency obligations 5.6% | $100,587,297 | ||||
(Cost $100,981,073) | |||||
U.S. Government 5.6% | 100,587,297 | ||||
U.S. Treasury | |||||
Note | 1.875 | 02-15-32 | 18,100,000 | 15,885,578 | |
Note | 2.750 | 08-15-32 | 9,500,000 | 8,940,391 |
See notes to Portfolio of investments
4
John Hancock GA Mortgage Trust
Portfolio of investments 3-31-23 (unaudited)
Portfolio of investments 3-31-23 (unaudited)
Rate (%) | Maturity date | Par value^ | Value | ||
U.S. Government (continued) | |||||
Note | 4.125 | 11-15-32 | 72,100,000 | $75,761,328 |
Yield (%) | Shares | Value | |||
Short-term investments 2.8% | $50,959,287 | ||||
(Cost $50,959,287) | |||||
Short-term funds 2.8% | 50,959,287 | ||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 4.6799(B) | 50,959,287 | 50,959,287 |
Total investments (Cost $2,043,303,922) 100.4% | $1,815,973,860 | ||||
Other assets and liabilities, net (0.4%) | (7,248,448) | ||||
Total net assets 100.0% | $1,808,725,412 |
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. | |
Security Abbreviations and Legend | |
(A) | Securities are valued using significant unobservable inputs and are classified as Level 3 in the fair value hierarchy. |
(B) | The rate shown is the annualized seven-day yield as of 3-31-23. |
See notes to Portfolio of investments
5
John Hancock GA Mortgage Trust
Notes to Portfolio of investments 3-31-23 (unaudited)
Notes to Portfolio of investments 3-31-23 (unaudited)
Security valuation. Investments are valued at the end of each month at a minimum. The fund invests primarily in mortgage loans that do not have readily ascertainable market prices. The Advisor, assisted by its Pricing Committee (composed of officers of the Advisor and its affiliates), determines the fair value of the fund’s securities that are not publicly traded or whose market prices are not readily available pursuant to procedures established by the Advisor and adopted by the Board of Trustees. In connection with that determination, portfolio valuations will be prepared in accordance with the Advisor's valuation policy using proprietary models. In certain instances, valuations may be obtained from independent valuation firms.
Valuation techniques include net present value and discounted cash flow models, comparison with similar instruments for which observable market prices exist and other valuation models. Assumptions and inputs used in valuation techniques include risk-free and benchmark interest rates, credit spreads and other inputs used in estimating discount rates.
For mortgage investments, the fund uses proprietary valuation models, which are developed from recognized accounting principles generally accepted in the United States of America valuation approaches under ASC 820. Some or all of the significant inputs into these models may be unobservable and are derived either from observable market prices or rates or are estimated based on unobservable assumptions. Valuation models that employ significant unobservable inputs require a higher degree of management judgment and estimation in the determination of fair value. Management judgment and estimation are usually required for the selection of the appropriate valuation model to be used, determination of expected future cash flows on the financial instrument being valued, determination of the probability of counterparty default and prepayments and selection of appropriate discount rates.
The fund uses a three-tier hierarchy to prioritize the pricing assumptions, referred to as inputs, used in valuation techniques to measure fair value. Level 1 includes securities valued using quoted prices in active markets for identical securities. Level 2 includes securities valued using other significant observable inputs. Observable inputs may include quoted prices for similar securities, interest rates, prepayment speeds and credit risk. Prices for securities valued using these inputs are received from independent pricing vendors and brokers and are based on an evaluation of the inputs described. Level 3 includes securities valued using significant unobservable inputs when market prices are not readily available or reliable, including the Advisor’s own assumptions in determining the fair value of investments. Factors used in determining value may include market or issuer specific events or trends, changes in interest rates and credit quality. The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Changes in valuation techniques and related inputs may result in transfers into or out of an assigned level within the disclosure hierarchy.
Mortgage investments are measured at fair value based on the present value of the expected cash flows of the mortgage. There are no quoted prices in active markets. Assumptions and inputs used in the valuation of mortgage investments include prepayment estimates, determination of the discount rate based on the risk-free interest rate adjusted for credit risk (including estimation of probability of default), liquidity and any other adjustments that the manager believes that a third-party market participant would take into account in pricing a transaction. Mortgage investment valuations rely primarily on the use of significant unobservable inputs, including credit assumptions, which require significant judgment and, accordingly, are classified as Level 3.
Other debt obligations are typically valued based on the evaluated prices provided by an independent pricing vendor. Independent pricing vendors utilize matrix pricing which takes into account factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data, as well as broker supplied prices. Other debt obligations are generally classified as Level 2.
Investments in open-end mutual funds are valued at their respective net asset values each business day and are generally classified as Level 1.
6
John Hancock GA Mortgage Trust
Notes to Portfolio of investments 3-31-23 (unaudited)
Notes to Portfolio of investments 3-31-23 (unaudited)
The following is a summary of the values by input classification of the fund’s investments as of March 31, 2023 by major security category or type:
Total value at 3-31-23 | Level 1 quoted price | Level 2 Significant observable inputs | Level 3 Significant unobservable inputs | |
Investments in securities: | ||||
Assets | ||||
Commercial mortgage loans | $1,664,427,276 | — | — | $1,664,427,276 |
U.S. Government and Agency obligations | 100,587,297 | — | $100,587,297 | — |
Short-term investments | 50,959,287 | $50,959,287 | — | — |
Total investments in securities | $1,815,973,860 | $50,959,287 | $100,587,297 | $1,664,427,276 |
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. There were no transfers into or out of Level 3 during the period.
Commercial mortgage loans | |
Balance as of 12-31-22 | $1,630,201,297 |
Purchases | — |
Sales | (9,368,214) |
Realized gain (loss) | (135,309) |
Net amortization of (premium) discount | (486,446) |
Change in unrealized appreciation (depreciation) | 44,215,948 |
Balance as of 3-31-23 | $1,664,427,276 |
Change in unrealized appreciation (depreciation) at period end* | $44,215,948 |
*Change in unrealized appreciation (depreciation) attributable to Level 3 securities held at period end.
The valuation techniques and significant amounts of unobservable inputs used in the fair value measurement of the fund’s Level 3 securities are outlined in the table below.
Fair Value at 3-31-23 | Valuation technique | Significant unobservable inputs | Input/range | Input weighted average* | |
Commercial mortgage loans | $1,664,427,276 | Discounted cash flow | Discount rate | 4.28% - 17.91% | 5.30% |
*A weighted average is an average in which each input in the grouping is assigned a weighting before summing to a single average value. The weighting of the input is determined based on a security’s fair value as a percentage of the total fair value.
A change to unobservable inputs of the fund’s Level 3 securities as of March 31, 2023 could have resulted in changes to the fair value measurement, as follows:
Significant Unobservable Input | Impact to Valuation if input had increased | Impact to Valuation if input had decreased |
Discount rate | Decrease | Increase |
Due to the inherent uncertainty of determining the fair value of Level 3 investments, the fair value of the investments may differ significantly from the values that would have been used had a ready market for such securities existed and may differ materially from the values that may ultimately be received or settled. Further, such investments will generally be subject to legal and other restrictions, or otherwise will be less liquid than publicly traded instruments. If the fund is required to liquidate a portfolio investment in a forced or liquidation sale, the fund might realize significantly less than the value at which such investment will have
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John Hancock GA Mortgage Trust
Notes to Portfolio of investments 3-31-23 (unaudited)
Notes to Portfolio of investments 3-31-23 (unaudited)
been previously been recorded. The fund’s investments will be subject to market risk. Market risk is the potential for changes in the value due to market changes. Market risk is directly impacted by the volatility and liquidity in the markets in which the investments are traded.
For additional information on the fund’s significant accounting policies and risks, please refer to the fund’s most recent semiannual or annual shareholder report and prospectus.
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