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 811-2402 | |
John Hancock Sovereign Bond Fund | |
(Exact name of registrant as specified in charter) | |
601 Congress Street, Boston, Massachusetts 02210 | |
(Address of principal executive offices) (Zip code) | |
Salvatore Schiavone | |
Treasurer | |
601 Congress Street | |
Boston, Massachusetts 02210 | |
(Name and address of agent for service) | |
Registrant's telephone number, including area code: 617-663-4497 | |
Date of fiscal year end: | May 31 |
Date of reporting period: | November 30, 2011 |
Item 1. Schedule of Investments.
![](https://capedge.com/proxy/N-CSRS/0000928816-12-000201/bondfundx1x1.jpg)
A look at performance
Total returns for the period ended November 30, 2011
SEC 30-day | |||||||||
Average annual total returns (%) | Cumulative total returns (%) | SEC 30-day | yield (%) | ||||||
with maximum sales charge | with maximum sales charge | yield (%) | unsubsidized1 | ||||||
as of | as of | ||||||||
1-year | 5-year | 10-year | 6-months | 1-year | 5-year | 10-year | 11-30-11 | 11-30-11 | |
Class A | –0.64 | 5.68 | 5.43 | –5.32 | –0.64 | 31.81 | 69.75 | 4.96 | 4.91 |
Class B | –1.62 | 5.60 | 5.33 | –6.02 | –1.62 | 31.32 | 68.05 | 4.48 | 4.43 |
Class C | 2.32 | 5.92 | 5.18 | –2.16 | 2.32 | 33.35 | 65.74 | 4.48 | 4.43 |
Class I2,3 | 4.45 | 7.13 | 6.38 | –0.65 | 4.45 | 41.08 | 85.59 | 5.59 | 5.54 |
Class R62,3 | 4.51 | 7.17 | 6.43 | –0.61 | 4.51 | 41.38 | 86.44 | 5.69 | 5.64 |
Performance figures assume all distributions are reinvested. Figures reflect maximum sales charges on Class A shares of 4.5% and the applicable contingent deferred sales charge (CDSC) on Class B and Class C shares. The returns for Class C shares have been adjusted to reflect the elimination of the front-end sales charge effective 7-15-04. The Class B shares’ CDSC declines annually between years 1 to 6 according to the following schedule: 5, 4, 3, 3, 2, 1%. No sales charge will be assessed after the sixth year. Class C shares held for less than one year are subject to a 1% CDSC. Sales charges are not applicable for Class I and Class R6 shares.
The expense ratios of the Fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to the most recent publicly available prospectuses for the Fund and may differ from those disclosed in the Financial highlights tables in this report. The fee waivers and expense limitations are contractual at least until 9-30-12 for Class A, Class B, Class C, Class I and Class R6 shares. Had the fee waivers and expense limitations not been in place gross expenses would apply. The expense ratios are as follows:
Class A | Class B | Class C | Class I | Class R6 | |
Net (%) | 1.00 | 1.70 | 1.70 | 0.60 | 0.54 |
Gross (%) | 1.05 | 1.75 | 1.75 | 0.65 | 0.59 |
The returns reflect past results and should not be considered indicative of future performance. The return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Due to market volatility, the Fund’s current performance may be higher or lower than the performance shown. For current to the most recent month-end performance data, please call 1–800–225–5291 or visit the Fund’s Web site at www.jhfunds.com.
The performance table above and the chart on the next page do not reflect the deduction of taxes that a shareholder may pay on fund distributions or on the redemption of fund shares. The Fund’s performance results reflect any applicable fee waivers or expense reductions, without which the expenses would increase and results would have been less favorable.
6 Bond Fund | Semiannual report |
![](https://capedge.com/proxy/N-CSRS/0000928816-12-000201/bondfundx3x1.jpg)
Without | With maximum | |||
Start date | sales charge | sales charge | Index | |
Class B 4 | 11-30-01 | $16,805 | $16,805 | $17,302 |
Class C4 | 11-30-01 | 16,574 | 16,574 | 17,302 |
Class I 2,3 | 11-30-01 | 18,559 | 18,559 | 17,302 |
Class R6 2,3 | 11-30-01 | 18,644 | 18,644 | 17,302 |
Performance of the classes will vary based on the difference in sales charges paid by shareholders investing in the different classes and the fee structure of those classes.
The Class C shares investment with maximum sales charge has been adjusted to reflect the elimination of the front-end sales charge effective 7-15-04.
Barclays Capital Government/Credit Index is an unmanaged index of U.S. government bonds, U.S. corporate bonds and Yankee bonds.
It is not possible to invest directly in an index. Index figures do not reflect sales charges or direct expenses, which would have resulted in lower values if they did.
1 Unsubsidized yield reflects what the yield would have been without the effect of reimbursements and waivers.
2 For certain types of investors as described in the Fund’s prospectuses.
3 11-9-73 is the inception date for the oldest class of shares, Class A shares. The inception dates for Class I and Class R6 shares are 9-4-01 and 9-1-11, respectively. The returns prior to these dates are those of Class A shares that have been recalculated to apply the gross fees and expenses of Class I and Class R6 shares, respectively.
4 No contingent deferred sales charge is applicable.
Semiannual report | Bond Fund 7 |
Your expenses
These examples are intended to help you understand your ongoing operating expenses.
Understanding fund expenses
As a shareholder of the Fund, you incur two types of costs:
■ Transaction costs which include sales charges (loads) on purchases or redemptions (varies by share class), minimum account fee charge, etc.
■ Ongoing operating expenses including management fees, distribution and service fees (if applicable), and other fund expenses.
We are going to present only your ongoing operating expenses here.
Actual expenses/actual returns
This example is intended to provide information about the Fund’s actual ongoing operating expenses, and is based on the Fund’s actual return. It assumes an account value of $1,000.00 on June 1, 2011 with the same investment held until November 30, 2011.
Account value | Ending value | Expenses paid during | |
on 6-1-11 | on 11-30-11 | period ended 11-30-111 | |
Class A | $1,000.00 | $991.60 | $5.08 |
Class B | 1,000.00 | 988.10 | 8.55 |
Class C | 1,000.00 | 988.10 | 8.55 |
Class I | 1,000.00 | 993.50 | 3.09 |
For the class noted below, the example assumes an account value of $1,000 on September 1, 2011, with the same investment held until November 30, 2011.
Account value | Ending value | Expenses paid during | |
on 9-1-11 | on 11-30-11 | period ended 11-30-112 | |
Class R6 | $1,000.00 | $999.60 | $1.39 |
Together with the value of your account, you may use this information to estimate the operating expenses that you paid over the period. Simply divide your account value at November 30, 2011, by $1,000.00, then multiply it by the “expenses paid” for your share class from the table above. For example, for an account value of $8,600.00, the operating expenses should be calculated as follows:
8 Bond Fund | Semiannual report |
Hypothetical example for comparison purposes
This table allows you to compare the Fund’s ongoing operating expenses with those of any other fund. It provides an example of the Fund’s hypothetical account values and hypothetical expenses based on each class’s actual expense ratio and an assumed 5% annualized return before expenses (which is not the Fund’s actual return). It assumes an account value of $1,000.00 on June 1, 2011, with the same investment held until November 30, 2011. Look in any other fund shareholder report to find its hypothetical example and you will be able to compare these expenses.
Account value | Ending value | Expenses paid during | |
on 6-1-11 | on 11-30-11 | period ended 11-30-113 | |
Class A | $1,000.00 | $1,019.90 | $5.15 |
Class B | 1,000.00 | 1,016.40 | 8.67 |
Class C | 1,000.00 | 1,016.40 | 8.67 |
Class I | 1,000.00 | 1,021.90 | 3.13 |
Class R6 | 1,000.00 | 1,022.20 | 2.83 |
Remember, these examples do not include any transaction costs, therefore, these examples will not help you to determine the relative total costs of owning different funds. If transaction costs were included, your expenses would have been higher. See the prospectus for details regarding transaction costs.
1 Expenses are equal to the Fund’s annualized expense ratio of 1.02%, 1.72%, 1.72% and 0.62% for Class A, Class B, Class C and Class I shares, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
2 Expenses are equal to the Fund’s annualized expense ratio of 0.55% for Class R6 shares, multiplied by the average account value over the period, multiplied by 91/366 (to reflect the period).
3 Expenses are equal to the Fund’s annualized expense ratios multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
Semiannual report | Bond Fund 9 |
Portfolio summary
Portfolio Composition1 | ||||
Corporate Bonds | 46.0% | Preferred Securities | 0.8% | |
U.S. Government Agency | 23.3% | Term Loans | 0.7% | |
Collateralized Mortgage Obligations | 11.8% | Municipal Bonds | 0.2% | |
U.S. Government | 6.7% | Convertible Bonds | 0.1% | |
Asset-Backed Securities | 5.1% | Short-Term Investments & Other | 3.4% | |
Capital Preferred Securities | 1.9% | |||
Sector Composition1,2 | ||||
U.S. Government Agency | 23.3% | Utilities | 3.6% | |
Financials | 18.6% | Telecommunication Services | 2.5% | |
Collateralized Mortgage Obligations | 10.7% | Consumer Staples | 2.1% | |
Consumer Discretionary | 6.7% | Health Care | 1.3% | |
U.S. Government | 6.7% | U.S. Government Agency | ||
Collateralized Mortgage Obligations | 1.1% | |||
Industrials | 5.5% | |||
Information Technology | 0.4% | |||
Asset-Backed Securities | 5.1% | |||
Municipal Bonds | 0.2% | |||
Materials | 4.5% | |||
Short-Term Investments & Other | 3.4% | |||
Energy | 4.3% | |||
Quality Composition1,3 | ||||
U.S. Government Agency | 23.3% | BB | 11.7% | |
U.S. Government | 6.7% | B | 9.1% | |
AAA | 5.0% | CCC & Below | 5.4% | |
AA | 3.4% | Equity | 0.8% | |
A | 9.4% | Short-Term Investments & Other | 3.4% | |
BBB | 21.8% | |||
1 As a percentage of net assets on 11-30-11.
2 Sector investing is subject to greater risks than the market as a whole. Because the Fund may focus on particular sectors of the economy, its performance may depend on the performance of those sectors.
3 Ratings are from Moody’s Investors Service, Inc. If not available, we have used Standard &Poor’s Corporation ratings. In the absence of ratings from these agencies, we have used Fitch, Inc. ratings. “Not Rated” securities are those with no ratings available from these agencies. All ratings are as of 11-30-11 and do not reflect subsequent downgrades or upgrades, if any.
10 Bond Fund | Semiannual report |
Fund’s investments
As of 11-30-11 (unaudited)
Maturity | |||||
Rate (%) | date | Par value | Value | ||
Corporate Bonds 46.05% | $524,958,352 | ||||
(Cost $525,197,365) | |||||
Consumer Discretionary 6.00% | 68,426,369 | ||||
Auto Components 0.44% | |||||
Allison Transmission, Inc. (S) | 7.125 | 05-15-19 | $1,575,000 | 1,484,438 | |
Exide Technologies | 8.625 | 02-01-18 | 2,070,000 | 1,656,000 | |
Hyva Global BV (S) | 8.625 | 03-24-16 | 1,155,000 | 993,300 | |
Visteon Corp. (S) | 6.750 | 04-15-19 | 990,000 | 935,550 | |
Automobiles 0.78% | |||||
Ford Motor Credit Company LLC | 5.000 | 05-15-18 | 1,925,000 | 1,891,699 | |
Ford Motor Credit Company LLC | 5.875 | 08-02-21 | 1,930,000 | 1,971,898 | |
Harley-Davidson Funding Corp. (S) | 5.750 | 12-15-14 | 690,000 | 745,645 | |
Hyundai Capital Services, Inc. (S) | 4.375 | 07-27-16 | 1,235,000 | 1,253,561 | |
Hyundai Capital Services, Inc. (S) | 6.000 | 05-05-15 | 1,615,000 | 1,734,959 | |
Kia Motors Corp. (S) | 3.625 | 06-14-16 | 1,315,000 | 1,283,274 | |
Food Products 0.07% | |||||
Simmons Foods, Inc. (S) | 10.500 | 11-01-17 | 1,060,000 | 826,800 | |
Hotels, Restaurants & Leisure 1.50% | |||||
Arcos Dorados Holdings, Inc. (BRL) (D)(S) | 10.250 | 07-13-16 | 1,025,000 | 572,483 | |
CCM Merger, Inc. (S) | 8.000 | 08-01-13 | 2,050,000 | 1,921,875 | |
Downstream Development Authority of the | |||||
Quapaw Tribe of Oklahoma (S) | 10.500 | 07-01-19 | 1,175,000 | 1,110,375 | |
Greektown Superholdings, Inc. | 13.000 | 07-01-15 | 1,965,000 | 2,014,125 | |
Jacobs Entertainment, Inc. | 9.750 | 06-15-14 | 2,435,000 | 2,288,900 | |
Landry’s Acquisition Company (S) | 11.625 | 12-01-15 | 660,000 | 681,450 | |
Little Traverse Bay Bands of Odawa Indians (S) | 9.000 | 08-31-20 | 1,315,000 | 1,091,450 | |
Mohegan Tribal Gaming Authority | 7.125 | 08-15-14 | 1,425,000 | 719,625 | |
Palace Entertainment Holdings LLC (S) | 8.875 | 04-15-17 | 950,000 | 928,625 | |
ROC Finance LLC (S) | 12.125 | 09-01-18 | 1,665,000 | 1,748,250 | |
Seminole Indian Tribe of Florida (S) | 6.535 | 10-01-20 | 2,260,000 | 2,188,200 | |
Seminole Indian Tribe of Florida (S) | 7.750 | 10-01-17 | 1,455,000 | 1,498,650 | |
Waterford Gaming LLC (S) | 8.625 | 09-15-14 | 823,705 | 296,469 | |
Household Durables 0.02% | |||||
American Standard Americas (S) | 10.750 | 01-15-16 | 335,000 | 221,100 | |
Internet & Catalog Retail 0.18% | |||||
Expedia, Inc. | 5.950 | 08-15-20 | 2,125,000 | 2,106,332 |
See notes to financial statements | Semiannual report | Bond Fund 11 |
Maturity | |||||
Rate (%) | date | Par value | Value | ||
Media 2.22% | |||||
AMC Entertainment, Inc. | 8.000 | 03-01-14 | $1,995,000 | $1,930,163 | |
AMC Entertainment, Inc. | 8.750 | 06-01-19 | 720,000 | 727,200 | |
Cablevision Systems Corp. | 8.625 | 09-15-17 | 610,000 | 637,450 | |
CBS Corp. | 7.875 | 07-30-30 | 2,480,000 | 3,096,635 | |
CCH II LLC | 13.500 | 11-30-16 | 1,150,089 | 1,325,478 | |
CCO Holdings LLC | 8.125 | 04-30-20 | 590,000 | 622,450 | |
Cinemark USA, Inc. | 7.375 | 06-15-21 | 800,000 | 798,000 | |
Cinemark USA, Inc. | 8.625 | 06-15-19 | 750,000 | 806,250 | |
CSC Holdings, Inc. | 7.875 | 02-15-18 | 1,675,000 | 1,825,750 | |
DIRECTV Holdings LLC | 6.350 | 03-15-40 | 1,155,000 | 1,257,468 | |
Grupo Televisa SAB | 6.625 | 01-15-40 | 1,295,000 | 1,396,216 | |
Kabel BW Erste Beteiligungs GmbH (S) | 7.500 | 03-15-19 | 1,250,000 | 1,250,000 | |
News America, Inc. | 6.150 | 03-01-37 | 775,000 | 811,375 | |
News America, Inc. | 6.150 | 02-15-41 | 1,400,000 | 1,498,766 | |
News America, Inc. | 6.400 | 12-15-35 | 645,000 | 692,805 | |
Regal Cinemas Corp. | 8.625 | 07-15-19 | 465,000 | 491,738 | |
Regal Entertainment Group | 9.125 | 08-15-18 | 455,000 | 475,475 | |
Time Warner Cable, Inc. | 6.750 | 07-01-18 | 1,950,000 | 2,265,715 | |
UBM PLC (S) | 5.750 | 11-03-20 | 1,145,000 | 1,138,635 | |
XM Satellite Radio, Inc. (S) | 7.625 | 11-01-18 | 2,195,000 | 2,260,850 | |
Multiline Retail 0.08% | |||||
Macy’s Retail Holdings, Inc. | 7.875 | 08-15-36 | 223,000 | 232,436 | |
Sears Holdings Corp. | 6.625 | 10-15-18 | 785,000 | 621,131 | |
Specialty Retail 0.28% | |||||
Hillman Group, Inc. | 10.875 | 06-01-18 | 820,000 | 828,200 | |
Hillman Group, Inc. (S) | 10.875 | 06-01-18 | 385,000 | 388,850 | |
Limited Brands, Inc. | 6.625 | 04-01-21 | 1,320,000 | 1,376,100 | |
Toys R Us Property Company II LLC | 8.500 | 12-01-17 | 570,000 | 582,825 | |
Textiles, Apparel & Luxury Goods 0.43% | |||||
Burlington Coat Factory Warehouse Corp. (S) | 10.000 | 02-15-19 | 2,980,000 | 2,868,250 | |
Levi Strauss & Company | 7.625 | 05-15-20 | 2,050,000 | 2,055,125 | |
Consumer Staples 1.88% | 21,420,656 | ||||
Beverages 0.05% | |||||
Corp. Lindley SA (S) | 6.750 | 11-23-21 | 540,000 | 544,050 | |
Commercial Services & Supplies 0.16% | |||||
ARAMARK Corp. | 8.500 | 02-01-15 | 1,740,000 | 1,783,500 | |
Food & Staples Retailing 0.18% | |||||
CVS Caremark Corp. (6.302% to 6-1-12, then | |||||
3 month LIBOR + 2.065%) | 6.302 | 06-01-37 | 2,075,000 | 2,069,813 | |
Food Products 0.62% | |||||
B&G Foods, Inc. | 7.625 | 01-15-18 | 990,000 | 1,028,363 | |
Bunge Ltd. Finance Corp. | 4.100 | 03-15-16 | 815,000 | 827,235 | |
Bunge Ltd. Finance Corp. | 8.500 | 06-15-19 | 1,726,000 | 2,069,899 | |
Corp. Pesquera Inca SAC (S) | 9.000 | 02-10-17 | 1,355,000 | 1,371,938 | |
Del Monte Foods Company (S) | 7.625 | 02-15-19 | 945,000 | 845,775 | |
Reddy Ice Corp. | 11.250 | 03-15-15 | 1,045,000 | 961,400 |
12 Bond Fund | Semiannual report | See notes to financial statements |
Maturity | |||||
Rate (%) | date | Par value | Value | ||
Household Products 0.33% | |||||
Reynolds Group Issuer, Inc. (S) | 9.000 | 04-15-19 | $1,890,000 | $1,701,000 | |
Yankee Candle Company, Inc. | 8.500 | 02-15-15 | 2,025,000 | 2,019,938 | |
Personal Products 0.19% | |||||
Hypermarcas SA (S) | 6.500 | 04-20-21 | 530,000 | 461,100 | |
Revlon Consumer Products Corp. | 9.750 | 11-15-15 | 1,635,000 | 1,741,275 | |
Tobacco 0.35% | |||||
Alliance One International, Inc. | 10.000 | 07-15-16 | 2,335,000 | 2,060,638 | |
Lorillard Tobacco Company | 3.500 | 08-04-16 | 640,000 | 642,279 | |
Lorillard Tobacco Company | 6.875 | 05-01-20 | 1,175,000 | 1,292,453 | |
Energy 4.22% | 48,137,238 | ||||
Energy Equipment & Services 0.54% | |||||
Astoria Depositor Corp., Series B (S) | 8.144 | 05-01-21 | 3,790,000 | 3,335,200 | |
Precision Drilling Corp. | 6.625 | 11-15-20 | 1,205,000 | 1,211,025 | |
Trinidad Drilling, Ltd. (S) | 7.875 | 01-15-19 | 1,045,000 | 1,065,900 | |
Weatherford International, Inc. | 6.800 | 06-15-37 | 480,000 | 520,368 | |
Gas Utilities 0.19% | |||||
DCP Midstream LLC (S) | 9.750 | 03-15-19 | 1,705,000 | 2,220,491 | |
Oil, Gas & Consumable Fuels 3.49% | |||||
Alpha Natural Resources, Inc. | 6.000 | 06-01-19 | 520,000 | 496,600 | |
Alpha Natural Resources, Inc. | 6.250 | 06-01-21 | 1,130,000 | 1,079,150 | |
Arch Coal, Inc. (S) | 7.000 | 06-15-19 | 675,000 | 658,125 | |
Arch Coal, Inc. (S) | 7.250 | 06-15-21 | 1,190,000 | 1,154,300 | |
Chesapeake Energy Corp. | 6.125 | 02-15-21 | 1,110,000 | 1,112,775 | |
El Paso Pipeline Partners Operating | |||||
Company LLC | 6.500 | 04-01-20 | 1,045,000 | 1,148,318 | |
Energy Transfer Partners LP | 9.700 | 03-15-19 | 1,380,000 | 1,670,053 | |
Enterprise Products Operating LLC (7.000% to | |||||
6-1-17, then 3 month LIBOR + 2.778%) (P) | 7.000 | 06-01-67 | 2,585,000 | 2,523,606 | |
EV Energy Partners LP | 8.000 | 04-15-19 | 1,730,000 | 1,712,700 | |
Kerr-McGee Corp. | 6.950 | 07-01-24 | 3,210,000 | 3,795,482 | |
Kinder Morgan Energy Partners LP | 7.750 | 03-15-32 | 840,000 | 1,014,023 | |
Kinder Morgan Finance Company LLC | 5.700 | 01-05-16 | 2,515,000 | 2,552,725 | |
Linn Energy LLC | 8.625 | 04-15-20 | 830,000 | 867,350 | |
Marathon Petroleum Corp. | 6.500 | 03-01-41 | 1,415,000 | 1,543,541 | |
MarkWest Energy Partners LP | 6.500 | 08-15-21 | 1,975,000 | 2,014,500 | |
McMoRan Exploration Company | 11.875 | 11-15-14 | 1,230,000 | 1,291,500 | |
Newfield Exploration Company | 5.750 | 01-30-22 | 1,140,000 | 1,201,275 | |
Niska Gas Storage US LLC | 8.875 | 03-15-18 | 1,600,000 | 1,560,000 | |
NuStar Logistics LP | 7.650 | 04-15-18 | 2,025,000 | 2,400,125 | |
Peabody Energy Corp. (S) | 6.250 | 11-15-21 | 1,490,000 | 1,501,175 | |
Spectra Energy Capital LLC | 6.200 | 04-15-18 | 1,440,000 | 1,626,640 | |
TransCanada Pipelines, Ltd. (6.350% to | |||||
5-15-17, then 3 month LIBOR + 2.210%) | 6.350 | 05-15-67 | 2,995,000 | 2,989,968 | |
Williams Partners LP | 7.250 | 02-01-17 | 3,295,000 | 3,870,323 |
See notes to financial statements | Semiannual report | Bond Fund 13 |
Maturity | |||||
Rate (%) | date | Par value | Value | ||
Financials 15.60% | $177,876,184 | ||||
Capital Markets 1.76% | |||||
Affinion Group Holdings, Inc. | 11.625 | 11-15-15 | $1,055,000 | 880,925 | |
Credit Suisse New York | 4.375 | 08-05-20 | 2,265,000 | 2,184,812 | |
Credit Suisse New York | 5.400 | 01-14-20 | 1,605,000 | 1,464,707 | |
Jefferies Group, Inc. | 6.875 | 04-15-21 | 1,240,000 | 1,047,800 | |
Jefferies Group, Inc. | 8.500 | 07-15-19 | 665,000 | 618,450 | |
Macquarie Bank, Ltd. (S) | 6.625 | 04-07-21 | 1,055,000 | 984,950 | |
Macquarie Group, Ltd. (S) | 6.000 | 01-14-20 | 1,345,000 | 1,272,256 | |
Morgan Stanley | 5.500 | 07-28-21 | 640,000 | 557,928 | |
Morgan Stanley | 5.750 | 01-25-21 | 670,000 | 598,257 | |
Morgan Stanley | 7.300 | 05-13-19 | 2,270,000 | 2,234,195 | |
The Goldman Sachs Group, Inc. | 5.250 | 07-27-21 | 1,285,000 | 1,185,848 | |
The Goldman Sachs Group, Inc. | 6.150 | 04-01-18 | 3,130,000 | 3,124,810 | |
The Goldman Sachs Group, Inc. | 6.750 | 10-01-37 | 4,450,000 | 3,958,911 | |
Commercial Banks 2.41% | |||||
Abbey National Treasury Services PLC | 4.000 | 04-27-16 | 1,660,000 | 1,480,873 | |
Banco de Credito del Peru (S) | 4.750 | 03-16-16 | 700,000 | 693,770 | |
Barclays Bank PLC | 5.140 | 10-14-20 | 1,160,000 | 950,250 | |
Barclays Bank PLC (S) | 6.050 | 12-04-17 | 1,185,000 | 1,052,496 | |
BBVA Bancomer SA (S) | 6.500 | 03-10-21 | 2,225,000 | 2,169,375 | |
BPCE SA (12.500% to 9-30-19, then 3 month | |||||
LIBOR + 12.980%) (Q)(S) | 12.500 | 09-30-19 | 1,239,000 | 1,164,474 | |
First Tennessee Bank NA | 5.050 | 01-15-15 | 1,620,000 | 1,600,861 | |
ICICI Bank, Ltd. (S) | 5.750 | 11-16-20 | 1,910,000 | 1,767,476 | |
Lloyds TSB Bank PLC | 6.375 | 01-21-21 | 2,190,000 | 2,166,718 | |
Lloyds TSB Group PLC (6.413% to 10-1-35, | |||||
then 3 month LIBOR + 1.496%) (Q)(S) | 6.413 | 10-01-35 | 2,410,000 | 1,277,300 | |
National City Bank | 0.897 | 06-07-17 | 2,300,000 | 2,107,842 | |
Regions Financial Corp. | 0.528 | 06-26-12 | 1,060,000 | 1,030,472 | |
Regions Financial Corp. | 7.750 | 11-10-14 | 1,825,000 | 1,847,813 | |
Santander Holdings USA, Inc. | 4.625 | 04-19-16 | 480,000 | 454,632 | |
Santander Issuances SA (6.500% to 11-15-14, | |||||
then 3 month LIBOR + 3.920%) (S) | 6.500 | 08-11-19 | 1,400,000 | 1,274,000 | |
The Royal Bank of Scotland PLC | 4.875 | 03-16-15 | 1,275,000 | 1,236,200 | |
Wachovia Bank NA | 5.850 | 02-01-37 | 1,665,000 | 1,686,185 | |
Wachovia Bank NA | 6.600 | 01-15-38 | 1,465,000 | 1,597,919 | |
Wachovia Corp. | 5.750 | 06-15-17 | 1,715,000 | 1,933,464 | |
Consumer Finance 0.97% | |||||
American Express Company | 7.000 | 03-19-18 | 1,705,000 | 1,995,055 | |
Capital One Financial Corp. | 6.150 | 09-01-16 | 2,655,000 | 2,724,083 | |
Discover Bank | 7.000 | 04-15-20 | 1,090,000 | 1,115,446 | |
Discover Financial Services | 10.250 | 07-15-19 | 2,495,000 | 2,952,276 | |
Nelnet, Inc. (7.400% to 9-29-11, then 3 month | |||||
LIBOR + 3.375%) | 3.740 | 09-29-36 | 2,595,000 | 2,212,058 | |
Diversified Financial Services 4.04% | |||||
Alfa Bank OJSC (S) | 7.750 | 04-28-21 | 585,000 | 508,950 | |
Bank of America Corp. | 6.500 | 08-01-16 | 1,245,000 | 1,202,992 | |
Bank of America NA | 5.300 | 03-15-17 | 595,000 | 521,813 |
14 Bond Fund | Semiannual report | See notes to financial statements |
Maturity | |||||
Rate (%) | date | Par value | Value | ||
Diversified Financial Services (continued) | |||||
Bank of America NA | 6.000 | 10-15-36 | $1,555,000 | $1,294,752 | |
Bosphorus Financial Services, Ltd. (S) | 2.257 | 02-15-12 | 166,250 | 166,045 | |
Citigroup, Inc. | 5.850 | 12-11-34 | 1,590,000 | 1,499,419 | |
Citigroup, Inc. | 6.125 | 11-21-17 | 3,045,000 | 3,169,367 | |
Credit Suisse AG (3 month LIBOR + 0.690% to | |||||
5-15-17, then 3 month LIBOR + 1.690%) (Q) | 1.147 | 05-15-17 | 3,300,000 | 2,181,531 | |
General Electric Capital Corp. (P) | 0.937 | 08-15-36 | 2,245,000 | 1,671,310 | |
General Electric Capital Corp. | 4.375 | 09-16-20 | 1,510,000 | 1,494,186 | |
General Electric Capital Corp. | 5.300 | 02-11-21 | 880,000 | 900,486 | |
General Electric Capital Corp. | 5.625 | 05-01-18 | 2,190,000 | 2,391,846 | |
General Electric Capital Corp. | 5.875 | 01-14-38 | 1,650,000 | 1,624,344 | |
General Electric Capital Corp. | 6.000 | 08-07-19 | 1,505,000 | 1,668,518 | |
Intercorp Retail Trust (S) | 8.875 | 11-14-18 | 750,000 | 759,375 | |
JPMorgan Chase & Company | 3.700 | 01-20-15 | 1,170,000 | 1,193,316 | |
JPMorgan Chase & Company | 5.600 | 07-15-41 | 2,440,000 | 2,562,544 | |
JPMorgan Chase & Company | 6.000 | 01-15-18 | 3,760,000 | 4,125,510 | |
JPMorgan Chase & Company (7.900% to | |||||
4-30-18, then 3 month LIBOR + 3.470%) (Q) | 7.900 | 04-30-18 | 2,240,000 | 2,369,405 | |
Merrill Lynch & Company, Inc. | 6.220 | 09-15-26 | 760,000 | 611,349 | |
Merrill Lynch & Company, Inc. | 6.875 | 04-25-18 | 3,010,000 | 2,847,108 | |
Merrill Lynch & Company, Inc. | 7.750 | 05-14-38 | 980,000 | 875,617 | |
Nationstar Mortgage | 10.875 | 04-01-15 | 2,455,000 | 2,467,275 | |
Rabobank Nederland NV (11.000% to 6-30-19, | |||||
then 3 month LIBOR + 10.868%) (Q)(S) | 11.000 | 06-30-19 | 3,204,000 | 3,708,630 | |
The Bear Stearns Companies LLC | 7.250 | 02-01-18 | 1,950,000 | 2,246,683 | |
USB Realty Corp. (6.091% to 1-15-12, then | |||||
3 month LIBOR + 1.147%) (Q)(S) | 6.091 | 01-15-12 | 2,900,000 | 2,015,500 | |
Insurance 2.93% | |||||
Aflac, Inc. | 6.900 | 12-17-39 | 1,005,000 | 1,054,779 | |
Aflac, Inc. | 8.500 | 05-15-19 | 1,705,000 | 2,054,421 | |
AXA SA (6.379% to 12-14-36, then 3 month | |||||
LIBOR + 2.256%) (Q)(S) | 6.379 | 12-14-36 | 1,170,000 | 772,200 | |
Chubb Corp. (6.375% until 4-15-17, then | |||||
3 month LIBOR + 2.250%) | 6.375 | 04-15-17 | 1,270,000 | 1,244,600 | |
CNA Financial Corp. | 6.500 | 08-15-16 | 1,110,000 | 1,189,530 | |
CNA Financial Corp. | 7.250 | 11-15-23 | 2,190,000 | 2,338,018 | |
CNO Financial Group, Inc. (S) | 9.000 | 01-15-18 | 1,500,000 | 1,575,000 | |
Glen Meadow Pass-Through Trust (6.505% to | |||||
2-15-17, then 3 month LIBOR +2.125%) (S) | 6.505 | 02-12-67 | 3,490,000 | 2,552,063 | |
Hartford Financial Services Group, Inc. | 6.625 | 03-30-40 | 980,000 | 907,399 | |
Liberty Mutual Group, Inc. (S) | 7.800 | 03-15-37 | 2,635,000 | 2,279,275 | |
Lincoln National Corp. | 8.750 | 07-01-19 | 1,295,000 | 1,514,244 | |
Lincoln National Corp. (6.050% to 4-20-17, | |||||
then 3 month LIBOR + 2.040%) | 6.050 | 04-20-67 | 2,455,000 | 2,000,825 | |
Teachers Insurance & Annuity Association of | |||||
America (S) | 6.850 | 12-16-39 | 2,745,000 | 3,342,565 | |
The Hanover Insurance Group, Inc. | 6.375 | 06-15-21 | 635,000 | 673,349 | |
Unum Group | 7.125 | 09-30-16 | 1,585,000 | 1,817,537 | |
UnumProvident Finance Company PLC (S) | 6.850 | 11-15-15 | 2,395,000 | 2,691,336 | |
W.R. Berkley Corp. | 5.600 | 05-15-15 | 1,345,000 | 1,440,566 |
See notes to financial statements | Semiannual report | Bond Fund 15 |
Maturity | |||||
Rate (%) | date | Par value | Value | ||
Insurance (continued) | |||||
Willis Group Holdings PLC | 5.750 | 03-15-21 | $1,595,000 | $1,652,838 | |
Willis North America, Inc. | 7.000 | 09-29-19 | 2,060,000 | 2,277,406 | |
Real Estate Investment Trusts 3.43% | |||||
Boston Properties LP | 3.700 | 11-15-18 | 880,000 | 879,444 | |
Brandywine Operating Partnership LP | 7.500 | 05-15-15 | 1,505,000 | 1,642,118 | |
CommonWealth REIT | 6.650 | 01-15-18 | 1,800,000 | 1,915,663 | |
DDR Corp. | 7.500 | 04-01-17 | 2,600,000 | 2,822,370 | |
Dexus Property Group (S) | 7.125 | 10-15-14 | 1,945,000 | 2,118,860 | |
Duke Realty LP | 6.750 | 03-15-20 | 2,095,000 | 2,229,794 | |
Duke Realty LP | 8.250 | 08-15-19 | 1,120,000 | 1,301,817 | |
Goodman Funding Pty, Ltd. (S) | 6.375 | 04-15-21 | 2,620,000 | 2,646,386 | |
Health Care REIT, Inc. | 4.950 | 01-15-21 | 1,610,000 | 1,505,440 | |
Health Care REIT, Inc. | 6.125 | 04-15-20 | 2,910,000 | 2,975,577 | |
Health Care REIT, Inc. | 6.200 | 06-01-16 | 1,835,000 | 1,962,355 | |
Healthcare Realty Trust, Inc. | 6.500 | 01-17-17 | 2,120,000 | 2,266,197 | |
Mack-Cali Realty LP | 7.750 | 08-15-19 | 1,410,000 | 1,661,906 | |
MPT Operating Partnership LP | 6.875 | 05-01-21 | 935,000 | 925,650 | |
Post Apartment Homes LP | 4.750 | 10-15-17 | 735,000 | 740,718 | |
ProLogis LP | 6.250 | 03-15-17 | 1,900,000 | 2,048,401 | |
SL Green Realty Corp. | 7.750 | 03-15-20 | 735,000 | 796,418 | |
Ventas Realty LP | 4.750 | 06-01-21 | 1,645,000 | 1,580,569 | |
Vornado Realty LP | 4.250 | 04-01-15 | 2,715,000 | 2,796,632 | |
WEA Finance LLC (S) | 6.750 | 09-02-19 | 1,180,000 | 1,294,435 | |
Weyerhaeuser Company | 7.375 | 03-15-32 | 2,960,000 | 2,969,425 | |
Real Estate Management & Development 0.06% | |||||
Realogy Corp. (S) | 7.875 | 02-15-19 | 855,000 | 735,300 | |
Health Care 1.29% | 14,676,512 | ||||
Biotechnology 0.06% | |||||
Kinetic Concepts, Inc. (S) | 10.500 | 11-01-18 | 740,000 | 710,400 | |
Health Care Equipment & Supplies 0.21% | |||||
Alere, Inc. | 7.875 | 02-01-16 | 1,595,000 | 1,575,063 | |
Alere, Inc. | 8.625 | 10-01-18 | 815,000 | 784,438 | |
Health Care Providers & Services 0.58% | |||||
BioScrip, Inc. | 10.250 | 10-01-15 | 1,160,000 | 1,136,800 | |
Community Health Systems, Inc. | 8.875 | 07-15-15 | 1,084,000 | 1,113,810 | |
Gentiva Health Services, Inc. | 11.500 | 09-01-18 | 280,000 | 219,100 | |
HCA, Inc. | 7.500 | 02-15-22 | 1,605,000 | 1,580,925 | |
Medco Health Solutions, Inc. | 7.125 | 03-15-18 | 2,225,000 | 2,570,064 | |
Pharmaceuticals 0.44% | |||||
Catalent Pharma Solutions, Inc., PIK | 9.500 | 04-15-15 | 1,657,387 | 1,657,387 | |
Endo Pharmaceuticals Holdings, Inc. (S) | 7.250 | 01-15-22 | 1,625,000 | 1,669,687 | |
Valeant Pharmaceuticals International, Inc. (S) | 6.750 | 10-01-17 | 385,000 | 370,563 | |
Valeant Pharmaceuticals International, Inc. (S) | 6.875 | 12-01-18 | 1,335,000 | 1,288,275 | |
Industrials 5.46% | 62,252,639 | ||||
Aerospace & Defense 1.33% | |||||
Bombardier, Inc. (S) | 7.750 | 03-15-20 | 1,015,000 | 1,086,050 | |
Colt Defense LLC | 8.750 | 11-15-17 | 950,000 | 693,500 |
16 Bond Fund | Semiannual report | See notes to financial statements |
Maturity | |||||
Rate (%) | date | Par value | Value | ||
Aerospace & Defense (continued) | |||||
Ducommun, Inc. (S) | 9.750 | 07-15-18 | $295,000 | $303,850 | |
Embraer Overseas, Ltd. | 6.375 | 01-15-20 | 1,485,000 | 1,614,938 | |
Huntington Ingalls Industries, Inc. (S) | 7.125 | 03-15-21 | 1,245,000 | 1,220,100 | |
Kratos Defense & Security Solutions, Inc. | 10.000 | 06-01-17 | 1,055,000 | 1,062,913 | |
Lockheed Martin Corp. | 3.350 | 09-15-21 | 2,650,000 | 2,568,009 | |
Textron Financial Corp. (6.000% to 2-15-17, | |||||
then 3 month LIBOR + 1.735%) (S) | 6.000 | 02-15-67 | 3,140,000 | 2,260,800 | |
Textron, Inc. | 5.600 | 12-01-17 | 1,945,000 | 2,028,641 | |
TransDigm, Inc. | 7.750 | 12-15-18 | 2,220,000 | 2,286,600 | |
Airlines 2.24% | |||||
America West Airlines 2000-1 Pass | |||||
Through Trust | 8.057 | 07-02-20 | 769,090 | 769,090 | |
Continental Airlines 1997-4 Class A Pass | |||||
Through Trust | 6.900 | 01-02-18 | 1,556,781 | 1,597,569 | |
Continental Airlines 1998-1 Class A Pass | |||||
Through Trust | 6.648 | 09-15-17 | 787,107 | 799,858 | |
Continental Airlines 1999-1 Class A Pass | |||||
Through Trust | 6.545 | 02-02-19 | 554,305 | 574,371 | |
Continental Airlines 2000-2 Class B Pass | |||||
Through Trust | 8.307 | 04-02-18 | 491,843 | 477,678 | |
Continental Airlines 2007-1 Class A Pass | |||||
Through Trust | 5.983 | 04-19-22 | 1,989,081 | 2,043,781 | |
Continental Airlines 2010-1 Class A Pass | |||||
Through Trust | 4.750 | 01-12-21 | 665,000 | 661,675 | |
Delta Air Lines 2002-1 Class G-1 Pass | |||||
Through Trust | 6.718 | 01-02-23 | 2,594,961 | 2,569,011 | |
Delta Air Lines 2007-1 Class A Pass | |||||
Through Trust | 6.821 | 08-10-22 | 2,458,107 | 2,501,123 | |
Delta Air Lines 2010-1 Class A Pass | |||||
Through Trust | 6.200 | 07-02-18 | 858,372 | 892,707 | |
Delta Air Lines 2011-1 Class A Pass | |||||
Through Trust | 5.300 | 04-15-19 | 1,655,000 | 1,655,000 | |
Delta Air Lines, Inc. (S) | 9.500 | 09-15-14 | 1,289,000 | 1,314,780 | |
Northwest Airlines 2002-1 Class G-2 Pass | |||||
Through Trust | 6.264 | 11-20-21 | 2,172,121 | 2,131,285 | |
Northwest Airlines 2007-1 Class A Pass | |||||
Through Trust | 7.027 | 11-01-19 | 1,520,782 | 1,513,178 | |
U.S. Airways 2010-1 Class A Pass | |||||
Through Trust | 6.250 | 04-22-23 | 1,591,904 | 1,432,713 | |
UAL 2009-2A Pass Through Trust | 9.750 | 01-15-17 | 1,707,537 | 1,869,753 | |
United Air Lines 2007-1 Class C Pass | |||||
Through Trust | |||||
Series 2007-1 Class C | 2.647 | 07-02-14 | 2,265,286 | 2,084,063 | |
United Air Lines 2009-1 Pass Through Trust | 10.400 | 11-01-16 | 610,446 | 665,386 | |
Building Products 0.45% | |||||
Masco Corp. | 7.125 | 03-15-20 | 1,280,000 | 1,269,970 | |
Voto-Votorantim Overseas Trading Operations | |||||
NV (S) | 6.625 | 09-25-19 | 1,800,000 | 1,894,500 | |
Voto-Votorantim, Ltd. (S) | 6.750 | 04-05-21 | 1,840,000 | 1,932,000 |
See notes to financial statements | Semiannual report | Bond Fund 17 |
Maturity | |||||
Rate (%) | date | Par value | Value | ||
Commercial Services & Supplies 0.36% | |||||
Garda World Security Corp. (S) | 9.750 | 03-15-17 | $410,000 | $410,000 | |
International Lease Finance Corp. (S) | 7.125 | 09-01-18 | 1,260,000 | 1,285,200 | |
Steelcase, Inc. | 6.375 | 02-15-21 | 2,285,000 | 2,395,087 | |
Construction & Engineering 0.12% | |||||
Tutor Perini Corp. | 7.625 | 11-01-18 | 1,430,000 | 1,322,750 | |
Electrical Equipment 0.08% | |||||
Coleman Cable, Inc. | 9.000 | 02-15-18 | 905,000 | 905,000 | |
Industrial Conglomerates 0.18% | |||||
Odebrecht Finance, Ltd. (S) | 7.000 | 04-21-20 | 1,120,000 | 1,195,600 | |
Odebrecht Finance, Ltd. (Q)(S) | 7.500 | 09-14-15 | 355,000 | 346,125 | |
Tomkins LLC | 9.000 | 10-01-18 | 509,000 | 549,720 | |
Machinery 0.11% | |||||
Pentair, Inc. | 5.000 | 05-15-21 | 1,240,000 | 1,303,810 | |
Marine 0.16% | |||||
Navios Maritime Holdings, Inc. | 8.125 | 02-15-19 | 945,000 | 727,650 | |
Navios South American Logistics, Inc. (S) | 9.250 | 04-15-19 | 1,295,000 | 1,128,269 | |
Road & Rail 0.28% | |||||
The Hertz Corp. | 6.750 | 04-15-19 | 2,505,000 | 2,429,850 | |
Western Express, Inc. (S) | 12.500 | 04-15-15 | 1,930,000 | 714,100 | |
Trading Companies & Distributors 0.09% | |||||
Aircastle, Ltd. | 9.750 | 08-01-18 | 990,000 | 1,034,550 | |
Transportation Infrastructure 0.06% | |||||
Asciano Finance, Ltd. (S) | 4.625 | 09-23-20 | 765,000 | 730,036 | |
Information Technology 0.40% | 4,539,053 | ||||
Computers & Peripherals 0.12% | |||||
Hewlett-Packard Company | 4.375 | 09-15-21 | 1,355,000 | 1,384,703 | |
IT Services 0.28% | |||||
Brightstar Corp. (S) | 9.500 | 12-01-16 | 2,275,000 | 2,286,375 | |
Equinix, Inc. | 8.125 | 03-01-18 | 815,000 | 867,975 | |
Materials 4.48% | 51,046,487 | ||||
Chemicals 0.79% | |||||
American Pacific Corp. | 9.000 | 02-01-15 | 1,000,000 | 968,750 | |
Braskem America Finance Company (S) | 7.125 | 07-22-41 | 1,545,000 | 1,487,063 | |
Braskem Finance, Ltd. (S) | 7.000 | 05-07-20 | 3,780,000 | 3,969,000 | |
Fufeng Group, Ltd. (S) | 7.625 | 04-13-16 | 1,375,000 | 1,127,500 | |
Incitec Pivot Finance LLC (S) | 6.000 | 12-10-19 | 1,370,000 | 1,483,026 | |
Construction Materials 0.32% | |||||
Building Materials Corp. of America (S) | 6.750 | 05-01-21 | 995,000 | 990,025 | |
Cemex SAB de CV (S) | 9.000 | 01-11-18 | 2,305,000 | 1,671,125 | |
Severstal Columbus LLC | 10.250 | 02-15-18 | 370,000 | 381,100 | |
Vulcan Materials Company | 7.500 | 06-15-21 | 530,000 | 523,375 | |
Containers & Packaging 0.62% | |||||
Graphic Packaging International, Inc. | 7.875 | 10-01-18 | 435,000 | 463,275 | |
Graphic Packaging International, Inc. | 9.500 | 06-15-17 | 835,000 | 910,150 | |
Polymer Group, Inc. (S) | 7.750 | 02-01-19 | 465,000 | 470,813 |
18 Bond Fund | Semiannual report | See notes to financial statements |
Maturity | |||||
Rate (%) | date | Par value | Value | ||
Containers & Packaging (continued) | |||||
Pretium Packaging LLC (S) | 11.500 | 04-01-16 | $650,000 | $643,500 | |
Solo Cup Company | 10.500 | 11-01-13 | 1,130,000 | 1,141,300 | |
Temple-Inland, Inc. | 6.625 | 01-15-18 | 3,085,000 | 3,438,652 | |
Metals & Mining 1.83% | |||||
Alcoa, Inc. | 5.400 | 04-15-21 | 1,575,000 | 1,499,272 | |
Allegheny Technologies, Inc. | 5.950 | 01-15-21 | 570,000 | 597,303 | |
Allegheny Technologies, Inc. | 9.375 | 06-01-19 | 1,205,000 | 1,506,973 | |
ArcelorMittal | 6.750 | 03-01-41 | 1,410,000 | 1,201,539 | |
ArcelorMittal | 9.850 | 06-01-19 | 1,470,000 | 1,594,330 | |
Cliffs Natural Resources, Inc. | 6.250 | 10-01-40 | 1,230,000 | 1,180,318 | |
Commercial Metals Company | 7.350 | 08-15-18 | 1,395,000 | 1,302,015 | |
FMG Resources August 2006 Pty, Ltd. (S) | 8.250 | 11-01-19 | 765,000 | 750,656 | |
Gerdau Trade, Inc. (S) | 5.750 | 01-30-21 | 1,345,000 | 1,291,200 | |
JMC Steel Group (S) | 8.250 | 03-15-18 | 775,000 | 728,500 | |
Metinvest BV (S) | 8.750 | 02-14-18 | 1,755,000 | 1,509,300 | |
Rain CII Carbon LLC (S) | 8.000 | 12-01-18 | 2,225,000 | 2,199,969 | |
SunCoke Energy, Inc. (S) | 7.625 | 08-01-19 | 1,125,000 | 1,102,500 | |
Taseko Mines, Ltd. | 7.750 | 04-15-19 | 495,000 | 447,975 | |
Teck Resources, Ltd. | 6.250 | 07-15-41 | 670,000 | 728,141 | |
Teck Resources, Ltd. | 10.750 | 05-15-19 | 936,000 | 1,151,280 | |
Thompson Creek Metals Company, Inc. (S) | 7.375 | 06-01-18 | 630,000 | 529,200 | |
Vale Overseas, Ltd. | 6.875 | 11-10-39 | 1,415,000 | 1,552,411 | |
Paper & Forest Products 0.92% | |||||
Georgia-Pacific LLC (S) | 5.400 | 11-01-20 | 3,320,000 | 3,567,360 | |
Georgia-Pacific LLC | 7.250 | 06-01-28 | 750,000 | 887,200 | |
International Paper Company | 9.375 | 05-15-19 | 1,650,000 | 2,111,817 | |
Mercer International, Inc. | 9.500 | 12-01-17 | 273,000 | 274,365 | |
Verso Paper Holdings LLC | 8.750 | 02-01-19 | 410,000 | 266,500 | |
Westvaco Corp. | 7.950 | 02-15-31 | 3,200,000 | 3,397,709 | |
Telecommunication Services 3.12% | 35,534,269 | ||||
Diversified Telecommunication Services 2.44% | |||||
AT&T, Inc. | 5.550 | 08-15-41 | 2,760,000 | 2,991,981 | |
Axtel SAB de CV (S) | 9.000 | 09-22-19 | 705,000 | 514,650 | |
Brasil Telecom SA (BRL) (D)(S) | 9.750 | 09-15-16 | 3,440,000 | 1,864,241 | |
CenturyLink, Inc. | 6.450 | 06-15-21 | 1,265,000 | 1,218,869 | |
CenturyLink, Inc. | 7.600 | 09-15-39 | 1,275,000 | 1,199,001 | |
Crown Castle Towers LLC (S) | 4.883 | 08-15-20 | 3,075,000 | 3,164,098 | |
Crown Castle Towers LLC (S) | 6.113 | 01-15-20 | 1,710,000 | 1,899,612 | |
Frontier Communications Corp. | 8.500 | 04-15-20 | 2,390,000 | 2,270,500 | |
GTP Acquisition Partners I LLC (S) | 4.347 | 06-15-16 | 1,805,000 | 1,817,596 | |
GTP Acquisition Partners I LLC (S) | 7.628 | 06-15-16 | 1,345,000 | 1,308,234 | |
GTP Towers Issuer LLC (S) | 8.112 | 02-15-15 | 3,740,000 | 3,848,341 | |
PAETEC Holding Corp. | 9.875 | 12-01-18 | 1,619,000 | 1,752,568 | |
Telecom Italia Capital SA | 7.200 | 07-18-36 | 1,490,000 | 1,178,209 | |
Telecom Italia Capital SA | 7.721 | 06-04-38 | 1,030,000 | 858,459 | |
West Corp. | 11.000 | 10-15-16 | 1,780,000 | 1,875,675 |
See notes to financial statements | Semiannual report | Bond Fund 19 |
Maturity | |||||
Rate (%) | date | Par value | Value | ||
Wireless Telecommunication Services 0.68% | |||||
America Movil SAB de CV | 5.000 | 03-30-20 | $2,280,000 | $2,434,885 | |
NII Capital Corp. | 8.875 | 12-15-19 | 1,655,000 | 1,754,300 | |
NII Capital Corp. | 10.000 | 08-15-16 | 940,000 | 1,066,900 | |
SBA Telecommunications, Inc. | 8.000 | 08-15-16 | 595,000 | 636,650 | |
SBA Tower Trust (S) | 5.101 | 04-15-17 | 1,790,000 | 1,879,500 | |
Utilities 3.60% | 41,048,945 | ||||
Electric Utilities 1.53% | |||||
Beaver Valley II Funding | 9.000 | 06-01-17 | 2,111,000 | 2,235,950 | |
BVPS II Funding Corp. | 8.890 | 06-01-17 | 1,700,000 | 1,877,411 | |
Commonwealth Edison Company | 5.800 | 03-15-18 | 1,955,000 | 2,286,726 | |
Israel Electric Corp., Ltd. (S) | 7.250 | 01-15-19 | 2,395,000 | 2,466,948 | |
ITC Holdings Corp. (S) | 5.500 | 01-15-20 | 1,670,000 | 1,875,178 | |
NV Energy, Inc. | 6.250 | 11-15-20 | 1,055,000 | 1,081,375 | |
PNM Resources, Inc. | 9.250 | 05-15-15 | 1,125,000 | 1,245,938 | |
PNPP II Funding Corp. | 9.120 | 05-30-16 | 674,000 | 728,345 | |
PPL Capital Funding, Inc. (6.700% to 3-30-17, | |||||
then 3 month LIBOR + 2.665%) (P) | 6.700 | 03-30-67 | 2,210,000 | 2,132,650 | |
W3A Funding Corp. | 8.090 | 01-02-17 | 1,548,591 | 1,545,122 | |
Independent Power Producers & Energy Traders 1.07% | |||||
Allegheny Energy Supply Company LLC (S) | 5.750 | 10-15-19 | 1,826,000 | 1,998,752 | |
DPL, Inc. (S) | 7.250 | 10-15-21 | 2,535,000 | 2,668,088 | |
Exelon Generation Company LLC | 6.250 | 10-01-39 | 1,810,000 | 2,149,967 | |
Ipalco Enterprises, Inc. (S) | 5.000 | 05-01-18 | 2,320,000 | 2,203,418 | |
NRG Energy, Inc. | 7.625 | 01-15-18 | 1,620,000 | 1,595,700 | |
NRG Energy, Inc. | 8.250 | 09-01-20 | 1,550,000 | 1,526,750 | |
Multi-Utilities 0.68% | |||||
CMS Energy Corp. | 6.250 | 02-01-20 | 2,885,000 | 2,971,919 | |
Integrys Energy Group, Inc. (6.110% to | |||||
12-1-16, then 3 month LIBOR + 2.120%) | 6.110 | 12-01-66 | 3,175,000 | 3,048,000 | |
Wisconsin Energy Corp. (6.250% to 5-15-17, | |||||
then 3 month LIBOR + 2.113%) | 6.250 | 05-15-67 | 1,710,000 | 1,710,000 | |
Water Utilities 0.32% | |||||
Cia de Saneamento Basico do Estado de | |||||
Sao Paulo (S) | 6.250 | 12-16-20 | 1,215,000 | 1,242,338 | |
Midwest Generation LLC, Series B | 8.560 | 01-02-16 | 1,680,555 | 1,684,756 | |
Salton Sea Funding Corp., Series F | 7.475 | 11-30-18 | 704,394 | 773,614 | |
U.S. Government & Agency Obligations 29.97% | $341,688,788 | ||||
(Cost $338,221,672) | |||||
U.S. Government 6.73% | 76,774,247 | ||||
U.S. Treasury | |||||
Strip, PO | 2.907 | 11-15-30 | $7,940,000 | 4,409,900 | |
U.S. Treasury Bonds | 3.750 | 08-15-41 | 16,955,000 | 19,286,313 | |
U.S. Treasury Notes | |||||
Note | 1.000 | 08-31-16 | 5,210,000 | 5,234,424 | |
Note | 2.000 | 11-15-21 | 48,190,000 | 47,843,610 |
20 Bond Fund | Semiannual report | See notes to financial statements |
Maturity | |||||
Rate (%) | date | Par value | Value | ||
U.S. Government Agency 23.24% | $264,914,541 | ||||
Federal Home Loan Mortgage Corp. | |||||
30 yr pass thru | 4.000 | 09-01-40 | $12,135,581 | 12,616,884 | |
30 yr pass thru | 5.000 | 07-01-35 | 1,445,605 | 1,547,042 | |
30 yr pass thru | 6.500 | 06-01-37 | 189,038 | 208,976 | |
30 yr pass thru | 6.500 | 10-01-37 | 395,339 | 435,799 | |
30 yr pass thru | 6.500 | 11-01-37 | 819,704 | 903,596 | |
30 yr pass thru | 6.500 | 12-01-37 | 363,687 | 400,908 | |
30 yr pass thru | 6.500 | 02-01-38 | 184,804 | 203,718 | |
Federal National Mortgage Association | |||||
15 Yr Pass Thru | 4.000 | 06-01-24 | 15,860,870 | 16,637,642 | |
30 Yr Pass Thru | 4.000 | 03-01-39 | 12,931,762 | 13,478,991 | |
30 Yr Pass Thru | 4.000 | 10-01-40 | 8,196,858 | 8,577,022 | |
30 Yr Pass Thru | 4.000 | 11-01-40 | 3,824,937 | 3,995,163 | |
30 Yr Pass Thru | 4.000 | 09-01-41 | 10,841,097 | 11,387,940 | |
30 Yr Pass Thru | 4.000 | 09-01-41 | 9,010,656 | 9,465,169 | |
30 Yr Pass Thru | 4.000 | 09-01-41 | 20,928,215 | 21,911,929 | |
30 Yr Pass Thru | 4.000 | 10-01-41 | 5,482,481 | 5,740,180 | |
30 Yr Pass Thru | 4.000 | 11-01-41 | 5,500,000 | 5,733,601 | |
30 Yr Pass Thru | 4.500 | 07-01-41 | 10,486,544 | 11,123,394 | |
30 Yr Pass Thru | 5.000 | 11-01-33 | 2,184,235 | 2,346,544 | |
30 Yr Pass Thru | 5.000 | 09-01-40 | 14,667,359 | 15,754,990 | |
30 Yr Pass Thru | 5.000 | 09-01-40 | 14,915,544 | 16,021,579 | |
30 Yr Pass Thru | 5.000 | 02-01-41 | 8,916,579 | 9,580,558 | |
30 Yr Pass Thru | 5.000 | 03-01-41 | 10,430,153 | 11,206,842 | |
30 Yr Pass Thru | 5.000 | 04-01-41 | 4,033,876 | 4,412,418 | |
30 Yr Pass Thru | 5.500 | 09-01-34 | 7,332,400 | 7,979,531 | |
30 Yr Pass Thru | 5.500 | 05-01-35 | 11,130,504 | 12,112,843 | |
30 Yr Pass Thru | 5.500 | 12-01-36 | 4,606,697 | 4,996,713 | |
30 Yr Pass Thru | 5.500 | 01-01-39 | 8,824,655 | 9,624,171 | |
30 Yr Pass Thru | 5.500 | 06-01-39 | 3,385,259 | 3,688,791 | |
30 Yr Pass Thru | 6.000 | 05-01-37 | 9,022,074 | 9,908,030 | |
30 Yr Pass Thru | 6.000 | 07-01-38 | 10,149,139 | 11,174,316 | |
30 Yr Pass Thru | 6.500 | 01-01-39 | 14,009,201 | 15,522,852 | |
30 Yr Pass Thru | 6.500 | 03-01-39 | 692,777 | 768,712 | |
30 Yr Pass Thru | 6.500 | 06-01-39 | 4,908,180 | 5,447,697 | |
Convertible Bonds 0.13% | $1,449,010 | ||||
(Cost $1,207,911) | |||||
Consumer Discretionary 0.06% | 624,510 | ||||
Media 0.06% | |||||
XM Satellite Radio, Inc. (S) | 7.000 | 12-01-14 | $486,000 | 624,510 | |
Industrials 0.07% | 824,500 | ||||
Airlines 0.07% | |||||
US Airways Group, Inc. | 7.250 | 05-15-14 | 680,000 | 824,500 | |
Municipal Bonds 0.17% | $1,992,963 | ||||
(Cost $1,821,185) | |||||
State of California | 7.600 | 11-01-40 | $905,000 | 1,085,502 | |
State of Illinois | 5.100 | 06-01-33 | 1,015,000 | 907,461 |
See notes to financial statements | Semiannual report | Bond Fund 21 |
Maturity | |||||
Rate (%) | date | Par value | Value | ||
Term Loans (M) 0.70% | $7,979,578 | ||||
(Cost $9,003,573) | |||||
Consumer Discretionary 0.56% | 6,352,778 | ||||
Automobiles 0.16% | |||||
Chrysler Group LLC | 6.000 | 05-24-17 | $1,995,000 | 1,829,415 | |
Hotels, Restaurants & Leisure 0.32% | |||||
CCM Merger, Inc. | 7.000 | 03-01-17 | 769,984 | 763,246 | |
East Valley Tourist Development Authority | 12.000 | 08-06-12 | 851,732 | 596,212 | |
Kalispel Tribal Economic Authority | 7.500 | 02-22-17 | 2,496,089 | 2,296,402 | |
Media 0.08% | |||||
Vertis, Inc. | 11.750 | 12-31-15 | 1,321,909 | 867,503 | |
Financials 0.14% | 1,626,800 | ||||
Real Estate Investment Trusts 0.07% | |||||
iStar Financial, Inc. | 7.000 | 06-30-14 | 880,000 | 844,800 | |
Real Estate Management & Development 0.07% | |||||
Realogy Corp. | 13.500 | 10-15-17 | 800,000 | 782,000 | |
Capital Preferred Securities 1.87% | $21,272,475 | ||||
(Cost $22,272,191) | |||||
Financials 1.87% | 21,272,475 | ||||
Capital Markets 0.52% | |||||
State Street Capital Trust III (Q) | 5.337 | 01-12-12 | $3,275,000 | 3,190,603 | |
State Street Capital Trust IV | 1.347 | 06-15-37 | 4,005,000 | 2,729,119 | |
Commercial Banks 0.95% | |||||
Allfirst Preferred Capital Trust | 1.903 | 07-15-29 | 1,305,000 | 976,858 | |
Fifth Third Capital Trust IV (6.500% to 4-15-17 | �� | ||||
then 3 month LIBOR + 1.368%) | 6.500 | 04-15-37 | 3,425,000 | 3,305,125 | |
PNC Financial Services Group, Inc. (Q) | 6.750 | 08-01-21 | 900,000 | 873,873 | |
PNC Preferred Funding Trust III (8.700% to | |||||
3-15-13, then 3 month LIBOR + 5.226%) (Q)(S) | 8.700 | 03-15-13 | 3,330,000 | 3,387,909 | |
Regions Financing Trust II (6.625% to 5-15-27, | |||||
then 3 month LIBOR + 1.290%) | 6.625 | 05-15-47 | 685,000 | 548,000 | |
Sovereign Capital Trust VI | 7.908 | 06-13-36 | 1,840,000 | 1,729,600 | |
Insurance 0.40% | |||||
Aon Corp. | 8.205 | 01-01-27 | 1,380,000 | 1,554,925 | |
MetLife Capital Trust X (9.250% to 4-8-38, | |||||
then 3 month LIBOR + 5.540%) (S) | 9.250 | 04-08-38 | 1,450,000 | 1,618,563 | |
ZFS Finance USA Trust II (6.450% to 6-15-16, | |||||
then 3 month LIBOR + 2.000%) (S) | 6.450 | 12-15-65 | 1,480,000 | 1,357,900 | |
Collateralized Mortgage Obligations 11.80% | $134,499,672 | ||||
(Cost $140,669,889) | |||||
Commercial & Residential 10.72% | 122,206,155 | ||||
American Home Mortgage Assets | |||||
Series 2006-6, Class A1A | 0.447 | 12-25-46 | $2,173,932 | 894,453 | |
Series 2006-6, Class XP IO | 1.280 | 12-25-46 | 23,186,791 | 1,426,389 | |
American Tower Trust | |||||
Series 2007-1A, Class D (S) | 5.957 | 04-15-37 | 3,175,000 | 3,376,038 | |
Series 2007-1A, Class C (S) | 5.615 | 04-15-37 | 2,875,000 | 3,037,938 |
22 Bond Fund | Semiannual report | See notes to financial statements |
Maturity | |||||
Rate (%) | date | Par value | Value | ||
Commercial & Residential (continued) | |||||
Banc of America Commercial Mortgage, Inc. | |||||
Series 2006-2, Class AM | 5.956 | 05-10-45 | $2,380,000 | $2,451,850 | |
Series 2006-4, Class AM | 5.675 | 07-10-46 | 2,375,000 | 2,295,984 | |
Series 2006-3, Class A4 | 5.889 | 07-10-44 | 3,485,000 | 3,770,338 | |
Bear Stearns Alt-A Trust | |||||
Series 2004-12 1A1 | 0.607 | 01-25-35 | 3,077,206 | 2,560,383 | |
Series 2005-3, Class B2 | 2.487 | 04-25-35 | 1,130,143 | 27,575 | |
Bear Stearns Commercial Mortgage | |||||
Securities, Inc. | |||||
Series 2006-PW14, Class D (S) | 5.412 | 12-11-38 | 2,480,000 | 1,065,564 | |
Citigroup Commercial Mortgage Trust | |||||
Series 2006-C4, Class A3 (P) | 5.922 | 03-15-49 | 3,725,000 | 4,104,280 | |
Citigroup/Deutsche Bank Commercial | |||||
Mortgage Trust | |||||
Series 2005-CD1, Class C (P) | 5.400 | 07-15-44 | 1,030,000 | 700,948 | |
Commercial Mortgage Pass Through | |||||
Certificates (P) | |||||
Series 2007-C9, Class A4 | 6.008 | 12-10-49 | 5,595,000 | 6,115,497 | |
First Horizon Alternative Mortgage Securities | |||||
Series 2004-AA5, Class B1 | 2.326 | 12-25-34 | 1,165,044 | 132,740 | |
GMAC Mortgage Loan Trust | |||||
Series 2004-AR2, Class 3A (P) | 3.168 | 08-19-34 | 3,380,432 | 2,918,273 | |
Greenwich Capital Commercial Funding Corp. | |||||
Series 2006-GG7, Class AM (P) | 6.073 | 07-10-38 | 2,375,000 | 2,356,321 | |
Series 2007-GG9, Class C (P) | 5.554 | 03-10-39 | 1,810,000 | 497,750 | |
GSR Mortgage Loan Trust | |||||
Series 2005-AR6, Class 3A1 | 2.722 | 09-25-35 | 2,895,233 | 2,422,522 | |
Series 2004-9, Class B1 | 3.101 | 08-25-34 | 1,630,409 | 600,545 | |
Series 2006-AR1, Class 3A1 | 5.029 | 01-25-36 | 3,266,746 | 2,675,814 | |
Harborview Mortgage Loan Trust | |||||
Series 2004-11, Class X1 IO | 2.030 | 01-19-35 | 18,983,684 | 1,340,768 | |
Series 2005-11, Class X IO | 2.070 | 08-19-45 | 12,101,588 | 533,502 | |
Series 2005-8, Class 1X IO | 2.185 | 09-19-35 | 18,416,542 | 875,377 | |
Series 2007-3, Class ES IO | 0.349 | 05-19-47 | 77,339,348 | 510,440 | |
Series 2007-4, Class ES IO | 0.349 | 07-19-47 | 96,415,047 | 520,641 | |
Series 2007-6, Class ES IO (S) | 0.342 | 08-19-37 | 64,654,522 | 409,910 | |
IndyMac Index Mortgage Loan Trust | |||||
Series 2004-AR13, Class B1 | 5.296 | 01-25-35 | 1,097,795 | 94,731 | |
Series 2005-AR18, Class 1X IO | 2.083 | 10-25-36 | 29,930,923 | 1,608,787 | |
Series 2005-AR18, Class 2X IO | 1.747 | 10-25-36 | 49,199,139 | 2,542,120 | |
Series 2005-AR5, Class B1 | 2.600 | 05-25-35 | 905,875 | 8,921 | |
JPMorgan Chase Commercial Mortgage | |||||
Securities Corp. | |||||
Series 2006-LDP7, Class AM | 6.072 | 04-15-45 | 3,345,000 | 3,426,120 | |
Series 2007-CB18, Class A4 | 5.440 | 06-12-47 | 4,610,000 | 4,874,384 | |
Series 2005-LDP3, Class A4B | 4.996 | 08-15-42 | 3,635,000 | 3,796,405 | |
JPMorgan Mortgage Trust | |||||
Series 2006-A7, Class 2A5 (P) | 3.023 | 01-25-37 | 248,858 | 4,670 | |
LB-UBS Commercial Mortgage Trust | |||||
Series 2006-C6, Class AM | 5.413 | 09-15-39 | 4,715,000 | 4,703,849 | |
Series 2007-C1, Class AM | 5.455 | 02-15-40 | 3,515,000 | 3,362,685 | |
Series 2006-C4, Class A4 | 6.067 | 06-15-38 | 4,165,000 | 4,611,775 | |
Series 2007-C2, Class A3 | 5.430 | 02-15-40 | 4,910,000 | 5,153,904 | |
Merrill Lynch | |||||
Series 2006-2, Class A4 (P) | 6.097 | 06-12-46 | 4,535,000 | 5,025,750 |
See notes to financial statements | Semiannual report | Bond Fund 23 |
Maturity | |||||
Rate (%) | date | Par value | Value | ||
Commercial & Residential (continued) | |||||
MLCC Mortgage Investors, Inc. | |||||
Series 2006-3, Class 2A1 (P) | 2.377 | 10-25-36 | $2,967,853 | $2,658,887 | |
Series 2007-3, Class M1 (P) | 5.327 | 09-25-37 | 1,056,892 | 645,793 | |
Series 2007-3, Class M2 (P) | 5.327 | 09-25-37 | 395,223 | 221,662 | |
Series 2007-3, Class M3 (P) | 5.327 | 09-25-37 | 281,018 | 89,154 | |
Morgan Stanley Capital I | |||||
Series 2007-IQ13, Class A4 | 5.364 | 03-15-44 | 4,875,000 | 5,077,956 | |
Series 2008-HQ8, Class AM | 5.647 | 03-12-44 | 4,600,000 | 4,672,961 | |
Provident Funding Mortgage Loan Trust | |||||
Series 2005-1, Class B1 (P) | 2.644 | 05-25-35 | 1,484,725 | 221,277 | |
Residential Accredit Loans, Inc. | |||||
Series 2005-QO4, Class X IO | 2.494 | 12-25-45 | 29,231,684 | 1,424,507 | |
Structured Asset Securities Corp. | |||||
Series 2003-6A, Class B1 (P) | 2.655 | 03-25-33 | 1,817,722 | 1,206,168 | |
Thornburg Mortgage Securities Trust | |||||
Series 2004-1, Class II2A (P) | 1.747 | 03-25-44 | 3,319,197 | 2,792,653 | |
WaMu Mortgage Pass Through Certificates | |||||
Series 2005-AR1, Class X IO | 1.509 | 01-25-45 | 42,445,830 | 1,884,892 | |
Series 2005-AR12, Class 1A2 | 2.485 | 10-25-35 | 889,134 | 830,767 | |
Series 2005-AR13, Class X IO | 1.498 | 10-25-45 | 111,652,665 | 5,517,551 | |
Series 2005-AR19, Class B1 | 0.957 | 12-25-45 | 2,229,256 | 294,494 | |
Series 2005-AR6, Class X IO | 1.666 | 04-25-45 | 35,612,931 | 1,726,917 | |
Series 2005-AR8, Class X IO | 1.646 | 07-25-45 | 30,107,630 | 1,486,212 | |
Series 2006-AR4, Class 1A1B | 1.158 | 05-25-46 | 2,057,632 | 991,902 | |
Series 2005-AR13, Class B1 | 0.857 | 10-25-45 | 3,818,963 | 551,997 | |
Series 2005-AR6, Class B1 | 0.857 | 04-25-45 | 4,267,218 | 527,142 | |
Wells Fargo Mortgage Backed Securities Trust | |||||
Series 2005-AR5, Class 1A1 | 5.115 | 04-25-35 | 2,407,561 | 2,030,758 | |
Series 2006-AR15, Class A3 | 5.302 | 10-25-36 | 2,386,056 | 516,564 | |
U.S. Government Agency 1.08% | 12,293,517 | ||||
Federal Home Loan Mortgage Corp. | |||||
Series 3581, Class IO | 6.000 | 10-15-39 | 2,433,264 | 359,796 | |
Series 3623, Class LI IO | 4.500 | 01-15-25 | 2,305,903 | 199,513 | |
Series 3630, Class BI IO | 4.000 | 05-15-27 | 1,557,106 | 101,160 | |
Series 3794, Class PI IO | 4.500 | 02-15-38 | 3,614,346 | 454,311 | |
Federal National Mortgage Association | |||||
Series 2009-109, Class IW IO | 4.500 | 04-25-38 | 3,716,118 | 376,504 | |
Series 2009-47, Class EI IO | 5.000 | 08-25-19 | 3,250,412 | 342,851 | |
Series 2009-50, Class GI IO | 5.000 | 05-25-39 | 6,460,297 | 992,941 | |
Series 2009-78, Class IB IO | 5.000 | 06-25-39 | 8,718,701 | 1,224,578 | |
Series 2010-14, Class AI IO | 4.000 | 08-25-27 | 4,626,095 | 368,540 | |
Series 2010-36, Class BI IO | 4.000 | 03-25-28 | 4,719,774 | 376,928 | |
Series 398, Class C3 IO | 4.500 | 05-25-39 | 5,131,088 | 724,794 | |
Series 401, Class C2 IO | 4.500 | 06-25-39 | 3,389,899 | 381,418 | |
Series 402, Class 3 IO | 4.000 | 11-25-39 | 4,121,380 | 610,213 | |
Series 402, Class 4 IO | 4.000 | 10-25-39 | 7,168,689 | 1,113,745 | |
Series 402, Class 7 IO | 4.500 | 11-25-39 | 6,436,779 | 876,256 | |
Series 407, Class 15 IO | 5.000 | 01-25-40 | 6,046,681 | 967,759 | |
Series 407, Class 16 IO | 5.000 | 01-25-40 | 1,493,113 | 210,074 | |
Series 407, Class 17 IO | 5.000 | 01-25-40 | 1,266,842 | 180,734 | |
Series 407, Class 21 IO | 5.000 | 01-25-39 | 5,286,596 | 619,670 | |
Series 407, Class 7 IO | 5.000 | 03-25-41 | 4,078,409 | 719,772 | |
Series 407, Class 8 IO | 5.000 | 03-25-41 | 1,901,907 | 339,064 | |
Government National Mortgage Association | |||||
Series 2010-78, Class AI IO | 4.500 | 04-20-39 | 6,266,717 | 752,896 |
24 Bond Fund | Semiannual report | See notes to financial statements |
Maturity | |||||
Rate (%) | date | Par value | Value | ||
Asset Backed Securities 5.06% | $57,685,091 | ||||
(Cost $59,453,244) | |||||
Aegis Asset Backed Securities Trust | |||||
Series 2004-3, Class A1 (P) | 0.617 | 09-25-34 | $1,597,882 | 1,441,389 | |
Asset Backed Funding Certificates | |||||
Series 2005-HE1, Class M1 (P) | 0.677 | 03-25-35 | 1,652,918 | 1,276,645 | |
Bayview Financial Acquisition Trust | |||||
Series 2006-A, Class 2A3 (P) | 0.607 | 02-28-41 | 1,507,444 | 1,310,167 | |
Bravo Mortgage Asset Trust | |||||
Series 2006-1A, Class A2 (P)(S) | 0.497 | 07-25-36 | 2,444,280 | 1,886,091 | |
Carrington Mortgage Loan Trust | |||||
Series 2005-OPT2, Class M2 (P) | 0.707 | 05-25-35 | 1,725,000 | 1,525,074 | |
Series 2006-NC4, Class A5 (P) | 0.317 | 10-25-36 | 580,263 | 448,493 | |
Citigroup Mortgage Loan Trust | |||||
Series 2006-WFH3, Class A3 | 0.407 | 10-25-36 | 2,770,808 | 2,503,946 | |
ContiMortgage Home Equity Loan Trust | |||||
Series 1995-2, Class A–5 | 8.100 | 08-15-25 | 171,854 | 170,621 | |
Countrywide Asset-Backed Certificates | |||||
Series 2006-3, Class 2A2 (P) | 0.437 | 06-25-36 | 2,569,135 | 2,012,408 | |
Credit-Based Asset Servicing and | |||||
Securitization LLC | |||||
Series 2005-CB2, Class M1 | 0.697 | 04-25-36 | 3,073,905 | 2,678,622 | |
Dominos Pizza Master Issuer LLC | |||||
Series 2007-1, Class M1 (S) | 7.629 | 04-25-37 | 3,715,000 | 3,789,300 | |
Series 2007-1, Class A2 (S) | 5.261 | 04-25-37 | 3,180,000 | 3,201,847 | |
Fremont Home Loan Trust | |||||
Series 2005-1, Class M3 | 0.767 | 06-25-35 | 1,300,000 | 1,154,462 | |
FUEL Trust | |||||
Series 2011-1 (S) | 4.207 | 04-15-16 | 2,765,000 | 2,719,582 | |
Home Equity Asset Trust | |||||
Series 2005-5, Class M1 | 0.737 | 11-25-35 | 2,035,000 | 1,533,676 | |
Series 2007-3, Class 2A2 | 0.437 | 08-25-37 | 8,050,000 | 5,486,679 | |
Leaf Capital Funding SPE A LLC | |||||
Series 2010-A, Class C (S) | 7.249 | 12-15-20 | 362,000 | 362,000 | |
Series 2010-A, Class D (S) | 10.249 | 12-15-20 | 277,623 | 277,623 | |
Series 2010-A, Class E1 (S) | 14.749 | 12-15-20 | 324,000 | 324,000 | |
Leaf II Receivables Funding LLC | |||||
Series 2011-1, Class A (S) | 1.700 | 12-20-18 | 1,401,777 | 1,374,021 | |
Master Asset Backed Securities Trust | |||||
Series 2007-HE2, Class A2 | 0.957 | 08-25-37 | 2,541,422 | 2,215,383 | |
Merrill Lynch Mortgage Investors, Inc. | |||||
Series 2005-HE2, Class A2C | 0.627 | 09-25-36 | 2,615,000 | 2,252,642 | |
Series 2005-WMC1, Class M1 | 1.007 | 09-25-35 | 1,190,449 | 1,095,719 | |
New Century Home Equity Loan Trust | |||||
Series 2005-1, Class M1 | 0.707 | 03-25-35 | 1,495,000 | 1,008,847 | |
Series 2005-3, Class M1 | 0.737 | 07-25-35 | 1,265,000 | 1,081,493 | |
Novastar Home Equity Loan | |||||
Series 2004-4, Class M3 (P) | 1.337 | 03-25-35 | 2,720,000 | 2,426,711 | |
Park Place Securities, Inc. | |||||
Series 2004-WHQ2, Class M2 (P) | 0.887 | 02-25-35 | 3,650,000 | 2,801,324 | |
Series 2005-WCH1, Class M2 (P) | 0.777 | 01-25-36 | 3,580,000 | 3,059,575 | |
Renaissance Home Equity Loan Trust | |||||
Series 2005-2, Class AF3 | 4.499 | 08-25-35 | 405,735 | 393,814 | |
Series 2005-2, Class AF4 | 4.934 | 08-25-35 | 2,365,000 | 1,813,217 |
See notes to financial statements | Semiannual report | Bond Fund 25 |
Maturity | |||||
Rate (%) | date | Par value | Value | ||
Asset Backed Securities (continued) | |||||
Residential Asset Securities Corp. | |||||
Series 2005-KS4, Class M1 (P) | 0.667 | 05-25-35 | $1,665,133 | $1,478,400 | |
Sonic Capital LLC | |||||
Series 2011-1A, Class A2 (S) | 5.438 | 05-20-41 | 2,531,450 | 2,581,320 | |
Shares | Value | ||||
Preferred Securities 0.80% | $9,116,934 | ||||
(Cost $10,285,132) | |||||
Consumer Discretionary 0.11% | 1,204,654 | ||||
Hotels, Restaurants & Leisure 0.11% | |||||
Greektown Superholdings, Inc., Series A (I) | 17,280 | 1,204,654 | |||
Consumer Staples 0.18% | 2,025,656 | ||||
Food & Staples Retailing 0.18% | |||||
Ocean Spray Cranberries, Inc., Series A, | |||||
6.250% (S) | 23,250 | 2,025,656 | |||
Energy 0.09% | 1,081,914 | ||||
Oil, Gas & Consumable Fuels 0.09% | |||||
Apache Corp., Series D, 6.000% (L) | 19,021 | 1,081,914 | |||
Financials 0.40% | 4,612,280 | ||||
Consumer Finance 0.08% | |||||
Ally Financial, Inc., 7.300% | 48,470 | 981,518 | |||
Diversified Financial Services 0.32% | |||||
Bank of America Corp., Series MER, 8.625% | 89,220 | 1,980,672 | |||
Citigroup Capital XIII (7.875% to 10-30-15, | |||||
then 3 month LIBOR + 6.370%), 7.875% | 16,000 | 410,720 | |||
GMAC Capital Trust I (8.125% to 2-15-16, | |||||
then 3 month LIBOR + 5.785%), 8.125% | 65,230 | 1,239,370 | |||
Utilities 0.02% | 192,430 | ||||
Electric Utilities 0.02% | |||||
PPL Corp., 8.750% | 3,500 | 192,430 | |||
Shares | Value | ||||
Common Stocks 0.01% | $61,697 | ||||
(Cost $97,862) | |||||
Consumer Discretionary 0.01% | 61,697 | ||||
Greektown Superholdings, Inc. (I) | 885 | 61,697 | |||
Yield (%) | Shares | Value | |||
Securities Lending Collateral 0.09% | $998,906 | ||||
(Cost $999,073) | |||||
John Hancock Collateral Investment Trust (W) | 0.3328 (Y) | 99,820 | 998,906 |
26 Bond Fund | Semiannual report | See notes to financial statements |
Maturity | |||||
Yield (%) | date | Par value | Value | ||
Short-Term Investments 0.72% | $8,216,000 | ||||
(Cost $8,216,000) | |||||
Repurchase Agreement 0.72% | 8,216,000 | ||||
Repurchase Agreement with State Street | |||||
Corp. dated 11-30-11 at 0.010% to be | |||||
repurchased at $8,216,002 on 12-1-11, | |||||
collateralized by $8,190,000 Federal Home | |||||
Loan Bank, 1.750% due 12-14-12 (valued at | |||||
$8,384,513, including interest). | 0.010 | 12-02-11 | $8,216,000 | 8,216,000 | |
Total investments (Cost $1,117,445,097)† 97.37% | $1,109,919,466 | ||||
Other assets and liabilities, net 2.63% | $30,001,682 | ||||
Total net assets 100.00% | $1,139,921,148 | ||||
The percentage shown for each investment category is the total value of that category as a percentage of the net assets applicable of the Fund.
BRL Brazilian Real
IO Interest Only Security — Interest Tranche of Stripped Mortgage Pool. Rate shown is the annualized yield at the end of the period.
LIBOR London Interbank Offered Rate
PIK Payment-in-kind
PO Principal-Only Security — Principal Tranche of Stripped Mortgage Pool. Rate shown is the annualized yield on date of purchase.
(D) Par value of foreign bonds is expressed in local currency as shown parenthetically in security description.
(I) Non-income producing security.
(L) All or a portion of this security is on loan as of 11-30-11.
(M) All or a portion of this security represents unsettled loan commitment. The coupon rate will be determined at time of settlement.
(P) Variable rate obligation. The coupon rate shown represents the rate at period end.
(Q) Perpetual bonds have no stated maturity date. Date shown is next call date.
(S) 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 $190,942,323 or 16.75% of the Fund’s net assets as of 11-30-11.
(W) Investment is an affiliate of the Fund, the adviser and/or subadviser. Also, it represents the investment of securities lending collateral received.
(Y) The rate shown is the annualized seven-day yield as of 11-30-11.
† At 11-30-11, the aggregate cost of investment securities for federal income tax purposes was $1,119,033,603. Net unrealized depreciation aggregated $9,114,137, of which $45,167,051 related to appreciated investment securities and $54,281,188 related to depreciated investment securities.
See notes to financial statements | Semiannual report | Bond Fund 27 |
F I N A N C I A L S T A T E M E N T S
Financial statements
Statement of assets and liabilities 11-30-11 (unaudited)
This Statement of assets and liabilities is the Fund’s balance sheet. It shows the value of what the Fund owns, is due and owes. You’ll also find the net asset value and the maximum offering price per share.
Assets | |
Investments in unaffiliated issuers, at value (Cost $1,116,446,024) | |
including $979,200 of securities loaned (Note 2) | $1,108,920,560 |
Investments in affiliated issuers, at value (Cost $999,073) (Note 2) | 998,906 |
Total investments, at value (Cost $1,117,445,097) | 1,109,919,466 |
Cash | 16,927,010 |
Cash held at broker for futures contracts | 306,075 |
Receivable for investments sold | 3,038,116 |
Receivable for fund shares sold | 2,949,740 |
Dividends and interest receivable | 12,679,709 |
Other receivables and prepaid expenses | 130,175 |
Total assets | 1,145,950,291 |
Liabilities | |
Payable for investments purchased | 1,595,888 |
Payable for delayed delivery securities purchased | 689,171 |
Payable for fund shares repurchased | 1,341,762 |
Payable upon return of securities loaned (Note 2) | 999,000 |
Payable for futures variation margin (Note 3) | 155,265 |
Distributions payable | 747,637 |
Payable to affiliates | |
Accounting and legal services fees | 31,872 |
Transfer agent fees | 197,464 |
Distribution and service fees | 74,508 |
Trustees’ fees | 57,530 |
Other liabilities and accrued expenses | 139,046 |
Total liabilities | 6,029,143 |
Net assets | |
Paid-in capital | $1,143,136,967 |
Accumulated distributions in excess of net investment income | (218,687) |
Accumulated net realized gain on investments, futures contracts and | |
foreign currency transactions | 4,735,671 |
Net unrealized appreciation (depreciation) on investments, futures | |
contracts and translation of assets and liabilities in foreign currencies | (7,732,803) |
Net assets | $1,139,921,148 |
28 Bond Fund | Semiannual report | See notes to financial statements |
F I N A N C I A L S T A T E M E N T S
Statement of assets and liabilities (continued)
Net asset value per share | |
Based on net asset values and shares outstanding — the Fund has an | |
unlimited number of shares authorized with no par value | |
Class A ($945,180,515 ÷ 61,644,115 shares) | $15.33 |
Class B ($31,019,941 ÷ 2,023,294 shares)1 | $15.33 |
Class C ($91,262,347 ÷ 5,951,787 shares)1 | $15.33 |
Class I ($72,359,732 ÷ 4,719,061 shares) | $15.33 |
Class R6 ($98,613 ÷ 6,431 shares) | $15.33 |
Maximum offering price per share | |
Class A (net asset value per share ÷ 95.5%)2 | $16.05 |
1 Redemption price per share is equal to the 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 | Bond Fund 29 |
F I N A N C I A L S T A T E M E N T S
Statement of operations For the six-month period ended 11-30-11
(unaudited)
This Statement of operations summarizes the Fund’s investment income earned and expenses incurred in operating the Fund. It also shows net gains (losses) for the period stated.
Investment income | |
Interest | $32,144,763 |
Dividends | 356,971 |
Securities lending | 2,138 |
Less foreign taxes withheld | (568) |
Total investment income | 32,503,304 |
Expenses | |
Investment management fees (Note 5) | 2,687,311 |
Distribution and service fees (Note 5) | 1,939,213 |
Accounting and legal services fees (Note 5) | 93,735 |
Transfer agent fees (Note 5) | 1,085,077 |
Trustees’ fees (Note 5) | 38,674 |
State registration fees | 47,719 |
Printing and postage | 62,895 |
Professional fees | 52,722 |
Custodian fees | 75,228 |
Registration and filing fees | 16,595 |
Other | 21,461 |
Total expenses | 6,120,630 |
Less expense reductions (Note 5) | (231,956) |
Net expenses | 5,888,674 |
Net investment income | 26,614,630 |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on | |
Investments in unaffiliated issuers | 15,232,138 |
Investments in affiliated issuers | (441) |
Futures contracts (Note 3) | 819,875 |
Foreign currency transactions | 482,773 |
16,534,345 | |
Change in net unrealized appreciation (depreciation) of | |
Investments in unaffiliated issuers | (52,735,008) |
Investments in affiliated issuers | (68) |
Futures contracts (Note 3) | (149,991) |
Translation of assets and liabilities in foreign currencies | 45,539 |
(52,839,528) | |
Net realized and unrealized loss | (36,305,183) |
Decrease in net assets from operations | ($9,690,553) |
30 Bond Fund | Semiannual report | See notes to financial statements |
F I N A N C I A L S T A T E M E N T S
Statements of changes in net assets
These Statements of changes in net assets show how the value of the Fund’s net assets has changed during the last two periods. The difference reflects earnings less expenses, any investment gains and losses, distributions, if any, paid to shareholders and the net of Fund share transactions.
Six months | ||
ended | Year | |
11-30-11 | ended | |
(Unaudited) | 5-31-11 | |
Increase (decrease) in net assets | ||
From operations | ||
Net investment income | $26,614,630 | $52,425,624 |
Net realized gain | 16,534,345 | 13,852,969 |
Change in net unrealized appreciation (depreciation) | (52,839,528) | 44,909,856 |
Increase (decrease) in net assets resulting from operations | (9,690,553) | 111,188,449 |
Distributions to shareholders | ||
From net investment income | ||
Class A | (23,609,573) | (48,723,911) |
Class B | (637,315) | (1,335,131) |
Class C | (1,773,972) | (2,798,851) |
Class I | (1,885,553) | (3,056,347) |
Class R6 | (1,374) | — |
Total distributions | (27,907,787) | (55,914,240) |
From Fund share transactions (Note 6) | 92,830,241 | 114,659,284 |
Total increase | 55,231,901 | 169,933,493 |
Net assets | ||
Beginning of period | 1,084,689,247 | 914,755,754 |
End of period | $1,139,921,148 | $1,084,689,247 |
Undistributed/(Accumulated distributions in excess of) | ||
net investment income | ($218,687) | $1,074,470 |
See notes to financial statements | Semiannual report | Bond Fund 31 |
Financial highlights
The Financial highlights show how the Fund’s net asset value for a share has changed since the end of the previous period.
CLASS A SHARES Period ended | 11-30-111 | 5-31-11 | 5-31-10 | 5-31-09 | 5-31-08 | 5-31-07 |
Per share operating performance | ||||||
Net asset value, beginning of period | $15.86 | $15.00 | $12.96 | $14.31 | $14.75 | $14.51 |
Net investment income2 | 0.38 | 0.81 | 0.97 | 0.87 | 0.81 | 0.75 |
Net realized and unrealized gain (loss) | ||||||
on investments | (0.51) | 0.92 | 2.05 | (1.34) | (0.43) | 0.26 |
Total from investment operations | (0.13) | 1.73 | 3.02 | (0.47) | 0.38 | 1.01 |
Less distributions | ||||||
From net investment income | (0.40) | (0.87) | (0.98) | (0.88) | (0.82) | (0.77) |
Net asset value, end of period | $15.33 | $15.86 | $15.00 | $12.96 | $14.31 | $14.75 |
Total return (%)3 | (0.84)4,5 | 11.78 | 23.835 | (3.02) | 2.57 | 7.08 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $945 | $912 | $819 | $686 | $824 | $870 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.066 | 1.05 | 1.08 | 1.167 | 1.05 | 1.05 |
Expenses net of fee waivers and credits | 1.026 | 1.05 | 1.07 | 1.167 | 1.05 | 1.05 |
Net investment income | 4.866 | 5.24 | 6.71 | 6.71 | 5.54 | 5.11 |
Portfolio turnover (%) | 36 | 73 | 88 | 90 | 90 | 106 |
1 Semiannual period from 6-1-11 to 11-30-11. Unaudited.
2 Based on the average daily shares outstanding.
3 Does not reflect the effect of sales charges, if any.
4 Not annualized.
5 Total returns would have been lower had certain expenses not been reduced during the periods shown.
6 Annualized.
7 Includes the impact of proxy expenses, which amounted to 0.03% of average net assets.
CLASS B SHARES Period ended | 11-30-111 | 5-31-11 | 5-31-10 | 5-31-09 | 5-31-08 | 5-31-07 |
Per share operating performance | ||||||
Net asset value, beginning of period | $15.86 | $15.00 | $12.95 | $14.31 | $14.75 | $14.51 |
Net investment income2 | 0.32 | 0.70 | 0.86 | 0.77 | 0.71 | 0.65 |
Net realized and unrealized gain (loss) | ||||||
on investments | (0.51) | 0.92 | 2.07 | (1.34) | (0.43) | 0.26 |
Total from investment operations | (0.19) | 1.62 | 2.93 | (0.57) | 0.28 | 0.91 |
Less distributions | ||||||
From net investment income | (0.34) | (0.76) | (0.88) | (0.79) | (0.72) | (0.67) |
Net asset value, end of period | $15.33 | $15.86 | $15.00 | $12.95 | $14.31 | $14.75 |
Total return (%)3 | (1.19)4,5 | 11.00 | 23.055 | (3.77) | 1.865 | 6.33 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $31 | $28 | $25 | $28 | $42 | $59 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.766 | 1.75 | 1.78 | 1.867 | 1.76 | 1.75 |
Expenses net of fee waivers and credits | 1.726 | 1.75 | 1.77 | 1.867 | 1.75 | 1.75 |
Net investment income | 4.166 | 4.53 | 6.01 | 5.96 | 4.82 | 4.40 |
Portfolio turnover (%) | 36 | 73 | 88 | 90 | 90 | 106 |
1 Semiannual period from 6-1-11 to 11-30-11. Unaudited.
2 Based on the average daily shares outstanding.
3 Does not reflect the effect of sales charges, if any.
4 Not annualized.
5 Total returns would have been lower had certain expenses not been reduced during the periods shown.
6 Annualized.
7 Includes the impact of proxy expenses, which amounted to 0.03% of average net assets.
32 Bond Fund | Semiannual report | See notes to financial statements |
CLASS C SHARES Period ended | 11-30-111 | 5-31-11 | 5-31-10 | 5-31-09 | 5-31-08 | 5-31-07 |
Per share operating performance | ||||||
Net asset value, beginning of period | $15.86 | $15.00 | $12.96 | $14.31 | $14.75 | $14.51 |
Net investment income2 | 0.32 | 0.70 | 0.86 | 0.78 | 0.71 | 0.65 |
Net realized and unrealized gain (loss) | ||||||
on investments | (0.51) | 0.92 | 2.06 | (1.34) | (0.43) | 0.26 |
Total from investment operations | (0.19) | 1.62 | 2.92 | (0.56) | 0.28 | 0.91 |
Less distributions | ||||||
From net investment income | (0.34) | (0.76) | (0.88) | (0.79) | (0.72) | (0.67) |
Net asset value, end of period | $15.33 | $15.86 | $15.00 | $12.96 | $14.31 | $14.75 |
Total return (%)3 | (1.19)4,5 | 11.00 | 22.985 | (3.70) | 1.86 | 6.33 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $91 | $71 | $40 | $26 | $29 | $23 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 1.766 | 1.75 | 1.78 | 1.867 | 1.75 | 1.75 |
Expenses net of fee waivers and credits | 1.726 | 1.75 | 1.77 | 1.867 | 1.75 | 1.75 |
Net investment income | 4.166 | 4.50 | 5.98 | 6.02 | 4.86 | 4.41 |
Portfolio turnover (%) | 36 | 73 | 88 | 90 | 90 | 106 |
1 Semiannual period from 6-1-11 to 11-30-11. Unaudited.
2 Based on the average daily shares outstanding.
3 Does not reflect the effect of sales charges, if any.
4 Not annualized.
5 Total returns would have been lower had certain expenses not been reduced during the periods shown.
6 Annualized.
7 Includes the impact of proxy expenses, which amounted to 0.03% of average net assets.
CLASS I SHARES Period ended | 11-30-111 | 5-31-11 | 5-31-10 | 5-31-09 | 5-31-08 | 5-31-07 |
Per share operating performance | ||||||
Net asset value, beginning of period | $15.86 | $14.99 | $12.96 | $14.31 | $14.74 | $14.51 |
Net investment income2 | 0.41 | 0.88 | 1.03 | 0.93 | 0.88 | 0.81 |
Net realized and unrealized gain (loss) | ||||||
on investments | (0.51) | 0.92 | 2.05 | (1.35) | (0.43) | 0.25 |
Total from investment operations | (0.10) | 1.80 | 3.08 | (0.42) | 0.45 | 1.06 |
Less distributions | ||||||
From net investment income | (0.43) | (0.93) | (1.05) | (0.93) | (0.88) | (0.83) |
Net asset value, end of period | $15.33 | $15.86 | $14.99 | $12.96 | $14.31 | $14.74 |
Total return (%) | (0.65)3,4 | 12.33 | 24.31 | (2.60) | 3.01 | 7.53 |
Ratios and supplemental data | ||||||
Net assets, end of period (in millions) | $72 | $74 | $30 | $19 | $22 | $5 |
Ratios (as a percentage of average net assets): | ||||||
Expenses before reductions | 0.675 | 0.62 | 0.63 | 0.706 | 0.62 | 0.62 |
Expenses net of fee waivers and credits | 0.625 | 0.62 | 0.63 | 0.706 | 0.62 | 0.62 |
Net investment income | 5.265 | 5.64 | 7.13 | 7.22 | 6.08 | 5.54 |
Portfolio turnover (%) | 36 | 73 | 88 | 90 | 90 | 106 |
1 Semiannual period from 6-1-11 to 11-30-11. Unaudited.
2 Based on the average daily shares outstanding.
3 Not annualized.
4 Total returns would have been lower had certain expenses not been reduced during the periods shown.
5 Annualized.
6 Includes the impact of proxy expenses, which amounted to 0.03% of average net assets.
See notes to financial statements | Semiannual report | Bond Fund 33 |
CLASS R6 SHARES Period ended | 11-30-111,2 |
Per share operating performance | |
Net asset value, beginning of period | $15.55 |
Net investment income3 | 0.20 |
Net realized and unrealized gain on investments | (0.21) |
Total from investment operations | (0.01) |
Less distributions | |
From net investment income | (0.21) |
Net asset value, end of period | $15.33 |
Total return (%) | (0.04)4,5 |
Ratios and supplemental data | |
Net assets, end of period (in millions) | —6 |
Ratios (as a percentage of average net assets): | |
Expenses before reductions | 0.617 |
Expenses net of fee waivers and credits | 0.567 |
Net investment income | 5.307 |
Portfolio turnover (%) | 36 |
1 Period from 9-1-11 (inception date) to 11-30-11.
2 Semiannual period from 6-1-11 to 11-30-11. Unaudited.
3 Based on the average daily shares outstanding.
4 Not annualized.
5 Total returns would have been lower had certain expenses not been reduced during the periods shown.
6 Less than $500,000.
7 Annualized.
34 Bond Fund | Semiannual report | See notes to financial statements |
Notes to financial statements
(unaudited)
Note 1 — Organization
John Hancock Bond Fund (the Fund) is a diversified series of John Hancock Sovereign Bond Fund (the Trust), an open-end management investment company organized as a Massachusetts business trust and registered under the Investment Company Act of 1940, as amended (the 1940 Act). The investment objective of the Fund is to seek a high level of current income consistent with prudent investment risk.
The Fund may offer multiple classes of shares. The shares currently offered are detailed in the Statement of assets and liabilities. Class A, Class B and Class C shares are offered to all investors. Class I shares are offered to institutions and certain investors. Class R6 shares are available only to certain retirement plans, institutions and other investors. Shareholders of each class have exclusive voting rights to matters that affect that class. The distribution and service fees, if any, and transfer agent fees for each class may differ. Class B shares convert to Class A shares eight years after purchase. Certain Class I shares may be exchanged for Class R6 shares within one year after the commencement of operations of Class R6 shares.
Note 2 — Significant accounting policies
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Events or transactions occurring after the end of the fiscal period through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security valuation. Investments are stated at value as of the close of regular trading on the New York Stock Exchange (NYSE), normally at 4:00 P.M., Eastern Time. 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 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 Fund’s own assumptions in determining the fair value of investments. Factors used in determining value may include market or issuer specific events, 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.
Semiannual report | Bond Fund 35 |
The following is a summary of the values by input classification of the Fund’s investments as of November 30, 2011, by major security category or type:
LEVEL 3 | ||||
LEVEL 2 | SIGNIFICANT | |||
TOTAL MARKET | LEVEL 1 | SIGNIFICANT | UNOBSERVABLE | |
VALUE AT 11-30-11 | QUOTED PRICE | OBSERVABLE INPUTS | INPUTS | |
Corporate Bonds | $524,958,352 | — | $523,570,433 | $1,387,919 |
U.S. Government & Agency | ||||
Obligations | 341,688,788 | — | 341,688,788 | — |
Convertible Bonds | 1,449,010 | — | 1,449,010 | — |
Municipal Bonds | 1,992,963 | — | 1,992,963 | — |
Term Loans | 7,979,578 | — | 7,979,578 | — |
Capital Preferred Securities | 21,272,475 | — | 21,272,475 | — |
Collateralized Mortgage | ||||
Obligations | 134,499,672 | — | 133,989,232 | 510,440 |
Asset Backed Securities | 57,685,091 | — | 56,721,468 | 963,623 |
Preferred Securities | 9,116,934 | $5,886,624 | 2,025,656 | 1,204,654 |
Common Stocks | 61,697 | — | — | 61,697 |
Securities Lending Collateral | 998,906 | 998,906 | — | — |
Short-Term Investments | 8,216,000 | — | 8,216,000 | — |
Total Investments in | ||||
Securities | $1,109,919,466 | $6,885,530 | $1,098,905,603 | $4,128,333 |
Other Financial Instruments | ||||
Futures | ($205,299) | ($205,299) | — | — |
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. During the six months ended November 30, 2011, there were no significant transfers into or out of Level 1 assets.
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. Transfers into or out of Level 3 represent the beginning value of any security or instrument where a change in the level has occurred from the beginning to the end of the period.
COLLATERALIZED | ||||||
CORPORATE | MORTGAGE | ASSET BACKED | PREFERRED | |||
BONDS | OBLIGATIONS | SECURITIES | SECURITIES | COMMON STOCKS | TOTALS | |
Balance as of 5-31-11 | $2,202,254 | $9,807,309 | $5,865,818 | — | — | $17,875,381 |
Realized gain (loss) | 15,302 | — | — | — | — | 15,302 |
Change in unrealized | ||||||
appreciation (depreciation) | (142,217) | 19,439 | — | ($334,476) | ($17,130) | (474,384) |
Purchases | — | 804 | 3,131,359 | — | — | 3,132,163 |
Sales | (687,420) | (60,304) | (5,444,279) | — | — | (6,192,003) |
Transfers into Level 3 | — | — | — | 1,539,130 | 78,827 | 1,617,957 |
Transfers out of Level 3 | — | (9,256,808) | (2,589,275) | — | — | (11,846,083) |
Balance as | ||||||
of 11-30-11 | $1,387,919 | $510,440 | $963,623 | $1,204,654 | $61,697 | $4,128,333 |
Change in unrealized at | ||||||
period end* | ($151,292) | $19,439 | — | ($334,476) | ($17,130) | ($483,459) |
*Change in unrealized appreciation (depreciation) attributable to Level 3 securities held at the period end. This balance is included in the change in unrealized appreciation (depreciation) on the Statement of operations.
In order to value the securities, the Fund uses the following valuation techniques. Equity securities, including exchange-traded funds, held by the Fund are valued at the last sale price or official closing price on the principal securities exchange on which they trade. In the event there were no sales during the day or closing prices are not available, then securities are valued using the last quoted bid or evaluated price. Investments by the Fund in open-end mutual funds, including John Hancock Collateral Investment Trust (JHCIT), are valued at their respective net asset values
36 Bond Fund | Semiannual report |
each business day. Debt obligations are valued based on the evaluated prices provided by an independent pricing service, which utilizes both dealer-supplied and electronic data processing techniques, taking 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. Foreign securities and currencies, including forward foreign currency contracts, are valued in U.S. dollars, based on foreign currency exchange rates supplied by an independent pricing service. Certain securities and forward foreign currency contracts traded only in the over-the-counter market are valued at the last bid price quoted by brokers making markets in the securities at the close of trading. Certain short-term securities are valued at amortized cost. Other portfolio securities and assets, where market quotations are not readily available, are valued at fair value, as determined in good faith by the Fund’s Pricing Committee, following procedures established by the Board of Trustees.
Security transactions and related investment income. Investment security transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment transactions are reported on trade date. Interest income is accrued as earned. Interest income includes coupon interest and amortization/accretion of premiums/discounts on debt securities. Debt obligations may be placed in a non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivable when the collection of all or a portion of interest has become doubtful. Dividend income is recorded on the ex-date, except for dividends of foreign securities where the dividend may not be known until after the ex-date. In those cases, dividend income is recorded when the Fund becomes aware of the dividends. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds from litigation.
Securities lending. The Fund may lend its securities to earn additional income. It receives cash collateral from the borrower in an amount not less than the market value of the loaned securities. The Fund will invest its collateral in JHCIT, an affiliate of the Fund, and as a result, the Fund will receive the benefit of any gains and bear any losses generated by JHCIT. Although risk of the loss of the securities lent is mitigated by holding the collateral, the Fund could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities or if collateral investments decline in value. The Fund may receive compensation for lending its securities by retaining a portion of the return on the investment of the collateral and compensation from fees earned from borrowers of the securities. Net income received from JHCIT is a component of securities lending income as recorded on the Statement of operations.
Stripped securities. Stripped mortgage-backed securities are financial instruments structured to separate principal and interest cash flows so that one class receives the entire principal from the underlying mortgage-assets (PO or principal only), while the other class receives the interest cash flows (IO or interest only). Both PO and IO investments represent an interest in the cash flows of an underlying stripped mortgage-backed security. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may fail to fully recover its initial investment in an IO security. The market value of these securities can be extremely volatile in response to changes in interest rates. In addition, these securities present additional credit risk such that the Fund may not receive all or part of its principal or interest payments because the borrower or issuer has defaulted on its obligation.
Line of credit. The Fund may borrow from banks for temporary or emergency purposes, including meeting redemption requests that otherwise might require the untimely sale of securities. Pursuant to the custodian agreement, the custodian may loan money to the Fund to make properly authorized payments. The Fund is obligated to repay the custodian for any overdraft, including any related costs or expenses. The custodian has a lien, security interest or security entitlement in any Fund property that is not segregated, to the maximum extent permitted by law for any overdraft.
Semiannual report | Bond Fund 37 |
In addition, the Fund and other affiliated funds have entered into an agreement with Citibank N.A. which enables them to participate in a $100 million unsecured committed line of credit. A commitment fee, payable at the end of each calendar quarter, based on the average daily unused portion of the line of credit, is charged to each participating fund on a pro rata basis and is reflected in other expenses on the Statement of operations. For the six months ended November 30, 2011, the Fund had no borrowings under the line of credit.
Expenses. The majority of expenses are directly attributable to an individual fund. Expenses that are not readily attributable to a specific fund are allocated among all funds in an equitable manner, taking into consideration, among other things, the nature and type of expense and the fund’s relative net assets. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Class allocations. Income, common expenses and realized and unrealized gains (losses) are determined at the fund level and allocated daily to each class of shares based on the net assets of the class. Class-specific expenses, such as distribution and service fees, if any, and transfer agent fees, are calculated daily for each class, based on the net asset value of the class and the applicable specific expense rates.
Federal income taxes. The Fund intends to continue to qualify as a regulated investment company by complying with the applicable provisions of the Internal Revenue Code and will not be subject to federal income tax on taxable income that is distributed to shareholders. Therefore, no federal income tax provision is required.
For federal income tax purposes, the Fund has a capital loss carryforward of $7,201,777 available to offset future net realized capital gains as of May 31, 2011. The following table details the capital loss carryforward available as of May 31, 2011:
CAPITAL LOSS CARRYFORWARD EXPIRING AT MAY 31 | ||||
2015 | 2017 | 2018 | ||
$5,290,107 | $939,453 | $972,217 |
Under the Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
As of May 31, 2011, the Fund had no uncertain tax positions that would require financial statement recognition, derecognition or disclosure. The Fund’s federal tax returns are subject to examination by the Internal Revenue Service for a period of three years.
Distribution of income and gains. Distributions to shareholders from net investment income and net realized gains, if any, are recorded on the ex-date. The Fund generally declares dividends daily and pays them monthly. Capital gain distributions, if any, are distributed annually.
Distributions paid by the Fund with respect to each class of shares are calculated in the same manner, at the same time and in the same amount, except for the effect of class level expenses that may be applied differently to each class.
38 Bond Fund | Semiannual report |
Such distributions, on a tax basis, are determined in conformity with income tax regulations, which may differ from accounting principles generally accepted in the United States of America.
Capital accounts within financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences, if any, will reverse in a subsequent period. Book-tax differences are primarily attributable to amortization and accretion on debt securities and distributions payable.
New accounting pronouncement. In May 2011, Accounting Standards Update 2011-04 (ASU 2011-04), Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs, was issued and is effective during interim and annual periods beginning after December 15, 2011. ASU 2011-04 amends Financial Accounting Standards Board (FASB) Topic 820, Fair Value Measurement. The amendments are the result of the work by the FASB and the International Accounting Standards Board to develop common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with GAAP. Management is currently evaluating the application of ASU 2011-04 and its impact, if any, on the Fund’s financial statement disclosure.
Note 3 — Derivative instruments
The Fund may invest in derivatives in order to meet its investment objective. The use of derivatives may involve risks different from, or potentially greater than, the risks associated with investing directly in securities. Specifically, the Fund is exposed to the risk that the counterparty to an over-the-counter (OTC) derivatives contract will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. OTC derivatives transactions typically can only be closed out with the other party to the transaction. If the counterparty defaults, the Fund will have contractual remedies, but there is no assurance that the counterparty will meet its contractual obligations or that the Fund will succeed in enforcing them.
Futures. A futures contract is a contractual agreement to buy or sell a particular commodity, currency or financial instrument at a pre-determined price in the future. Risks related to the use of futures contracts include possible illiquidity of the futures markets, contract prices that can be highly volatile and imperfectly correlated to movements in hedged security values and/or interest rates and potential losses in excess of the amounts recognized on the Statement of assets and liabilities. Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade.
Upon entering into a futures contract, the Fund is required to deposit initial margin with the broker in the form of cash or securities. The amount of required margin is generally based on a percentage of the contract value; this amount is the initial margin for the trade. The margin deposit must then be maintained at the established level over the life of the contract. Futures contracts are marked-to-market daily and an appropriate payable or receivable for the change in value (variation margin) is recorded by the Fund.
During the six months ended November 30, 2011, the Fund used futures contracts to manage duration of the portfolio. The following table summarizes the contracts held at November 30, 2011. During the six months ended November 30, 2011, the Fund held futures contracts with USD absolute notional values ranging from $22.4 million to $46.7 million as measured at each quarter end.
Semiannual report | Bond Fund 39 |
UNREALIZED | |||||
OPEN | NUMBER OF | APPRECIATION | |||
CONTRACTS | CONTRACTS | POSITION | EXPIRATION DATE | NOTIONAL VALUE | (DEPRECIATION) |
U.S. Treasury Ultra | 47 | Long | Mar 2012 | $7,305,563 | ($174,180) |
Long Bond Futures | |||||
U.S. Treasury 30-Year | 50 | Long | Mar 2012 | 7,068,750 | (114,985) |
Bond Futures | |||||
U.S. Treasury 10-Year | 121 | Short | Mar 2012 | (15,650,594) | 71,501 |
Note Futures | |||||
U.S. Treasury 5-Year | 136 | Short | Mar 2012 | (16,679,125) | 12,365 |
Note Futures | |||||
Total | ($205,299) |
Forward foreign currency contracts. A forward foreign currency contract is an agreement between two parties to buy and sell a specific currency at a price that is set on the date of the contract. The forward contract calls for delivery of the currency on a future date that is specified in the contract. Risks related to the use of forwards include the possible failure of counterparties to meet the terms of the forward agreement, the failure of the counterparties to timely post collateral, the risk that currency movements will not occur thereby reducing the Fund’s total return, and the potential for losses in excess of the amounts recognized on the Statement of assets and liabilities.
The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. Realized gains or losses, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, are recorded upon delivery or receipt of the currency or settlement with the counterparty.
During the six months ended November 30, 2011, the Fund used forward foreign currency contracts to manage against anticipated currency exchange rates. The following table summarizes the contracts held at November 30, 2011. During the six months ended November 30, 2011, the Fund held forward foreign currency contracts with USD absolute values ranging from $6.2 million to $8.7 million, as measured at each quarter end. There were no open forward foreign currency contracts at November 30, 2011.
Fair value of derivative instruments by risk category
The table below summarizes the fair value of derivatives held by the Fund at November 30, 2011 by risk category:
FINANCIAL | ASSET | LIABILITY | ||
STATEMENT OF ASSETS AND | INSTRUMENTS | DERIVATIVES | DERIVATIVES | |
RISK | LIABILITIES LOCATION | LOCATION | FAIR VALUE | FAIR VALUE |
Interest rate | Payable for futures | Futures* | $83,866 | ($289,165) |
contracts | variation margin |
* Reflects cumulative appreciation/depreciation on futures as disclosed in Note 3. Only the year-end variation margin is seperately disclosed on the Statement of assets and liabilities.
40 Bond Fund | Semiannual report |
Effect of derivative instruments on the Statement of operations
The table below summarizes the net realized gain (loss) included in the net increase (decrease) in net assets from operations, classified by derivative instrument and risk category, for the six months ended November 30, 2011:
STATEMENT OF | FOREIGN | |||
OPERATIONS | FUTURES | CURRENCY | ||
RISK | LOCATION | CONTRACTS | TRANSACTIONS* | TOTAL |
Foreign exchange | Net realized loss on | — | ($22,397) | ($22,397) |
contracts | ||||
Interest rate | Net realized gain on | $819,875 | — | 819,875 |
contracts | ||||
Total | $819,875 | ($22,397) | $797,478 |
* Realized gain/loss associated with forward foreign currency contracts is included in the caption on the Statement of operations.
The table below summarizes the net change in unrealized appreciation (depreciation) included in the net increase (decrease) in net assets from operations, classified by derivative instrument and risk category, for the six months ended November 30, 2011:
TRANSLATION | ||||
OF ASSETS | ||||
STATEMENT OF | AND LIABILITIES | |||
OPERATIONS | FUTURES | IN FOREIGN | ||
RISK | LOCATION | CONTRACTS | CURRENCIES* | TOTAL |
Foreign exchange | Change in | — | $48,712 | $48,712 |
contracts | unrealized | |||
appreciation | ||||
(depreciation) of | ||||
Interest rate | Change in | ($149,991) | — | (149,991) |
contracts | unrealized | |||
appreciation | ||||
(depreciation) of | ||||
Total | ($149,991) | $48,712 | ($101,279) |
* Change in unrealized appreciation/depreciation associated with forward foreign currency contracts is included in the caption on the Statement of operations.
Note 4 — Guarantees and indemnifications
Under the Fund’s organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss from such claims is considered remote.
Note 5 — Fees and transactions with affiliates
John Hancock Advisers, LLC (the Adviser) serves as investment adviser for the Fund. John Hancock Funds, LLC (the Distributor), an affiliate of the Adviser, serves as principal underwriter of the Fund. The Adviser and the Distributor are indirect, wholly owned subsidiaries of Manulife Financial Corporation (MFC).
Semiannual report | Bond Fund 41 |
Management fee. The Fund has an investment management contract with the Adviser. Effective July 1, 2011, under the investment management contract, the Fund pays a daily management fee to the Adviser equivalent, on an annual basis, to the sum of: (a) 0.500% of the first $500,000,000 of the Fund’s average daily net assets, (b) 0.475% of the next $500,000,000, (c) 0.450% of the next $500,000,000, (d) 0.450% of the next $500,000,000, (e) 0.400% of the next $500,000,000 and (f) 0.350% of the Fund’s average daily net assets in excess of $2,500,000,000. The Adviser has a subadvisory agreement with John Hancock Asset Management a division of Manulife Asset Management (US) LLC, an indirectly owned subsidiary of MFC and an affiliate of the Adviser. The Fund is not responsible for payment of the subadvisory fees.
The gross investment management fees incurred for the six months ended November 30, 2011 were equivalent to an annual effective rate of 0.486% of the Fund’s average daily net assets.
The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse or pay operating expenses of the Fund in order to reduce the total annual Fund operating expenses for Class A, Class B, Class C, Class I and Class R6 shares by 0.05% of the Fund’s average daily net assets. Accordingly, these expense reductions amounted to $231,956 for the six months ended November 30, 2011. These fee waivers and/or expense reimbursements expire on September 30, 2012, unless renewed by mutual agreement of the Fund and the Adviser based upon a determination that this is appropriate under the circumstances at the time.
The Adviser has contractually agreed to waive fees and/or reimburse certain expenses for Class R6 shares of the Fund. This agreement excludes taxes, brokerage commissions, interest, litigation and extraordinary expenses not incurred in the ordinary course of the Fund’s business. The fee waivers and/or expense reimbursements were such that these expenses would not exceed 0.57% for Class R6 shares. The fee waivers and/or expense reimbursements will continue in effect until September 30, 2012.
The net investment management fees, including the impact of the waiver, incurred for the six months ended November 30, 2011 were equivalent to a net annual effective rate of 0.444% of the Fund’s average daily net assets.
Accounting and legal services. Pursuant to a service agreement, the Fund reimburses the Adviser for all expenses associated with providing the administrative, financial, legal, accounting and recordkeeping services to the Fund, including the preparation of all tax returns, periodic reports to shareholders and regulatory reports, among other services. These expenses are allocated to each share class based on its relative net assets at the time the expense was incurred. These accounting and legal services fees incurred for the six months ended November 30, 2011, amounted to an annual rate of 0.02% of the Fund’s average daily net assets.
Distribution and service plans. The Fund has a distribution agreement with the Distributor. The Fund has adopted distribution and service plans with respect to Class A, Class B and Class C shares pursuant to Rule 12b-1 under the 1940 Act, to pay the Distributor for services provided as the distributor of shares of the Fund. The Fund may pay up to the following contractual rates of distribution and service fees under these arrangements, expressed as an annual percentage of average daily net assets for each class of the Fund’s shares.
CLASS | 12b-1 FEE | |
A | 0.30% | |
B | 1.00% | |
C | 1.00% |
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Sales charges. Class A shares are assessed up-front sales charges, which resulted in payments to the Distributor amounting to $707,379 for the six months ended November 30, 2011. Of this amount, $13,987 was retained and used for printing prospectuses, advertising, sales literature and other purposes, $591,124 was paid as sales commissions to broker-dealers and $102,268 was paid as sales commissions to sales personnel of Signator Investors, Inc., a broker-dealer affiliate of the Adviser.
Class B and Class C shares are subject to contingent deferred sales charges (CDSCs). Class B shares that are redeemed within six years of purchase are subject to CDSCs, at declining rates, beginning at 5.00% of the lesser of the current market value at the time of redemption or the original purchase cost of the shares being redeemed. Class C shares that are redeemed within one year of purchase are subject to a 1.00% CDSC on the lesser of the current market value at the time of redemption or the original purchase cost of the shares being redeemed. Proceeds from CDSCs are used to compensate the Distributor for providing distribution-related services in connection with the sale of these shares. During the six months ended November 30, 2011, CDSCs received by the Distributor amounted to $28,784 and $11,969 for Class B and Class C shares, respectively.
Transfer agent fees. The Fund has a transfer agent agreement with John Hancock Signature Services, Inc. (Signature Services), an affiliate of the Adviser. The transfer agent fees paid to Signature Services are determined based on the cost to Signature Services (Signature Services Cost) of providing recordkeeping services. The Signature Services Cost includes a component of allocated John Hancock corporate overhead for providing transfer agent services to the Fund and to all other John Hancock affiliated funds. It also includes out-of-pocket expenses that are comprised of payments made to third-parties for recordkeeping services provided to their clients who invest in one or more John Hancock funds. In addition, Signature Services Cost may be reduced by certain fees that Signature Services receives in connection with retirement and small accounts. Signature Services Cost is calculated monthly and allocated, as applicable, to four categories of share classes: Institutional Share Classes, Retirement Share Classes, Municipal Bond Classes and all other Retail Share Classes. Within each of these categories, the applicable costs are allocated to the affected John Hancock affiliated funds and/or classes, based on the relative average daily net assets.
Class level expenses. Class level expenses for the six months ended November 30, 2011 were:
DISTRIBUTION AND | TRANSFER | |||
CLASS | SERVICE FEES | AGENT FEES | ||
A | $1,389,690 | $937,121 | ||
B | 145,221 | 29,464 | ||
C | 404,302 | 82,326 | ||
I | — | 36,157 | ||
R6 | — | 9 | ||
Total | $1,939,213 | $1,085,077 |
Trustee expenses. The Fund compensates each Trustee who is not an employee of the Adviser or its affiliates. These Trustees may, for tax purposes, elect to defer receipt of this compensation under the John Hancock Group of Funds Deferred Compensation Plan (the Plan). Deferred amounts are invested in various John Hancock funds and remain in the funds until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting liability are included within Other receivables and prepaid expenses and Payable to affiliates — Trustees’ fees, respectively, in the accompanying Statement of assets and liabilities.
Semiannual report | Bond Fund 43 |
Note 6 — Fund share transactions
Transactions in Fund shares for the six months ended November 30, 2011 and year ended May 31, 2011 were as follows:
Six months ended 11-30-11 | Year ended 5-31-11 | |||
Shares | Amount | Shares | Amount | |
Class A shares | ||||
Sold | 7,897,772 | $123,044,232 | 9,889,295 | $153,458,680 |
Distributions reinvested | 1,300,264 | 20,209,103 | 2,588,938 | 40,333,248 |
Repurchased | (5,029,131) | (78,331,948) | (9,620,544) | (149,583,699) |
Net increase | 4,168,905 | $64,921,387 | 2,857,689 | $44,208,229 |
Class B shares | ||||
Sold | 510,351 | $7,947,846 | 697,978 | $10,825,552 |
Distributions reinvested | 28,196 | 438,053 | 59,738 | 930,072 |
Repurchased | (267,413) | (4,168,103) | (667,963) | (10,357,462) |
Net increase | 271,134 | $4,217,796 | 89,753 | $1,398,162 |
Class C shares | ||||
Sold | 2,036,505 | $31,692,315 | 2,603,193 | $40,414,359 |
Distributions reinvested | 74,805 | 1,161,471 | 103,551 | 1,615,160 |
Repurchased | (661,400) | (10,287,979) | (889,822) | (13,842,555) |
Net increase | 1,449,910 | $22,565,807 | 1,816,922 | $28,186,964 |
Class I shares | ||||
Sold | 2,403,421 | $37,262,589 | 4,029,728 | $62,449,472 |
Distributions reinvested | 76,602 | 1,190,847 | 132,047 | 2,060,159 |
Repurchased | (2,413,169) | (37,428,185) | (1,531,779) | (23,643,702) |
Net increase | 66,854 | $1,025,251 | 2,629,996 | $40,865,929 |
Class R6 shares1 | ||||
Sold | 6,431 | $100,000 | — | — |
Net increase | 6,431 | $100,000 | — | — |
Net increase | 5,963,234 | $92,830,241 | — | — |
1 Period from 9-1-11 (inception date) to 11-30-11.
Affiliates of the Fund owned 100% of shares of beneficial interest of Class R6 on November 30, 2011.
Note 7 — Purchase and sale of securities
Purchases and sales of securities, other than short-term securities and U.S. Treasury obligations, aggregated $302,817,265 and $220,028,324, respectively, for the six months ended November 30, 2011. Purchases and sales of U.S. Treasury obligations aggregated $187,239,223 and $168,268,420, respectively, for the six months ended November 30, 2011.
44 Bond Fund | Semiannual report |
Board Consideration of and Continuation of Investment Advisory Agreement and Subadvisory Agreement
The Board of Trustees (the Board, the members of which are referred to as Trustees) of John Hancock Bond Fund (the Fund), a series of John Hancock Sovereign Bond Fund (the Trust), met in-person on May 1–3 and June 5–7, 2011 to consider the approval of the Fund’s investment advisory agreement (the Advisory Agreement) with John Hancock Advisers, LLC (the Adviser), the Fund’s investment adviser. The Board also considered the approval of the investment subadvisory agreement (the Subadvisory Agreement) among the Adviser, Manulife Asset Management (US) LLC (the Subadviser) and the Trust on behalf of the Fund. The Advisory Agreement and the Subadvisory Agreement are referred to as the Agreements.
Activities and composition of the Board
The Board consists of eleven individuals, nine of whom are Independent Trustees. Independent Trustees are generally those individuals who are not employed by or have any significant business or professional relationship with the Adviser or the Subadviser. The Trustees are responsible for the oversight of operations of the Fund and perform various duties required of directors of investment companies by the Investment Company Act of 1940, as amended (the 1940 Act). The Independent Trustees have hired independent legal counsel to assist them in connection with their duties. The Board has appointed an Independent Trustee as Chairperson. The Board has established four standing committees that are composed entirely of Independent Trustees: the Audit Committee; the Compliance Committee; the Nominating, Governance and Administration Committee; and the Contracts/Operations Committee. Additionally, Investment Performance Committee A is a standing committee of the Board that is composed of Independent Trustees and one Trustee who is affiliated with the Adviser. Investment Performance Committee A oversees and monitors matters relating to the investment performance of the Fund. The Board has also designated an Independent Trustee as Vice Chairperson to serve in the absence of the Chairperson. The Board also designates working groups or ad hoc committees as it deems appropriate.
The approval process
Under the 1940 Act, the Board is required to consider the continuation of the Agreements each year. Throughout the year, the Board, acting directly and through its committees, regularly reviews and assesses the quality of the services that the Fund receives under these Agreements. The Board reviews reports of the Adviser at least quarterly, which include Fund performance reports and compliance reports. In addition, the Board meets with portfolio managers and senior investment officers at various times throughout the year. The Board considers at each of its meetings factors that are relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by the Adviser and Subadviser to the Fund and its shareholders.
Prior to the May 1–3, 2011 meeting, the Board requested and received materials specifically relating to the Agreements. The materials provided in connection with the May meeting included information compiled and prepared by Morningstar, Inc. (Morningstar) on Fund fees and expenses, and the investment performance of the Fund. This Fund information is assembled in a format that permits comparison with similar information from a Category and a subset of the Category referred to as the Peer Group, each as determined by Morningstar, and with the Fund’s benchmark index. The Category includes all funds that invest similarly to the way the Fund invests. The Peer Group represents funds of similar size, excluding passively managed funds and funds-of-funds. The Fund’s benchmark index is an unmanaged index of securities that is provided as a basis for comparison with the Fund’s performance. Other material provided for the Fund review included (a) information on the profitability of the Agreements to the Adviser and a discussion of any additional benefits to the Adviser or Subadviser or their affiliates that result from being the Adviser or Subadviser to the Fund; (b) a general analysis provided by the Adviser and the Subadviser concerning investment advisory fees charged to other clients, such as institutional clients and other investment companies, having similar investment mandates, as well as the performance of those other clients and a
Semiannual report | Bond Fund 45 |
comparison of the services provided to those other clients and the services provided to the Fund; (c) the impact of economies of scale; (d) a summary of aggregate amounts paid by the Fund to the Adviser; and (e) sales and redemption data regarding the Fund’s shares.
At an in-person meeting held on May 1–3, 2011, the Board reviewed materials relevant to its consideration of the Agreements. As a result of the discussions that occurred during the May 1–3, 2011 meeting, the Board asked the Adviser for additional information on certain matters. The Adviser provided the additional information and the Board also considered this information as part of its consideration of the Agreements.
At an in-person meeting held on June 5–7, 2011, the Board, including the Independent Trustees, formally considered the continuation of the Advisory Agreement between the Adviser and the Fund and the Subadvisory Agreement among the Fund, the Adviser and the Subadviser, each for an additional one-year term. The Board considered what it believed were key relevant factors that are described under separate headings presented below.
The Board also considered other matters important to the approval process, such as payments made to and by the Adviser or its affiliates relating to the distribution of Fund shares and other services. The Board reviewed services related to the valuation and pricing of Fund portfolio holdings. Other important matters considered by the Board were the direct and indirect benefits to the Adviser, the Subadviser and their affiliates from their relationship with the Fund and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review.
Nature, extent and quality of services
The Board reviewed the nature, extent and quality of services provided by the Adviser and the Subadviser, including the investment advisory services and the resulting performance of the Fund.
The Board considered the ability of the Adviser and the Subadviser, based on their resources, reputation and other attributes, to attract and retain qualified investment professionals, including research, advisory and supervisory personnel. It considered the background and experience of senior management and investment professionals responsible for managing the Fund. The Board considered the investment philosophy, research and investment decision-making processes of the Adviser and the Subadviser responsible for the daily investment activities of the Fund, including, among other things, portfolio trading capabilities, use of technology, commitment to compliance and approach to training and retaining portfolio managers and other research, advisory and management personnel.
The Board considered the Subadviser’s history and experience providing investment services to the Fund. The Board considered the Adviser’s execution of its oversight responsibilities. The Board further considered the culture of compliance, resources dedicated to compliance, compliance programs, record of compliance with applicable laws and regulation, with the Fund’s investment policies and restrictions and with the applicable Code of Ethics, and the responsibilities of the Adviser’s and Subadviser’s compliance departments.
In addition to advisory services, the Board considered the quality of the administrative and non-investment advisory services provided to the Fund by the Adviser under a separate agreement. The Board noted that the Adviser and its affiliates provide the Fund with certain administrative, transfer agency, shareholder and other services (in addition to any such services provided to the Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund. The Board reviewed the structure and duties of the Adviser’s administration, accounting, legal and compliance departments and its affiliate’s transfer agency operations and considered the Adviser’s and its affiliate’s policies and procedures for assuring compliance with applicable laws and regulations.
46 Bond Fund | Semiannual report |
The Board also received information about the nature, extent and quality of services provided by and fee rates charged by the Adviser and Subadviser to their other clients, including other registered investment companies, institutional investors and separate accounts. The Board reviewed a general analysis provided by the Adviser and the Subadviser concerning investment advisory fees charged to other clients having similar investment mandates, the services provided to those other clients as compared to the services provided to the Fund, the performance of those other clients as compared to the performance by the Fund and other factors relating to those other clients. The Board considered the significant differences between the Adviser’s and Subadviser’s services to the Fund and the services they provide to other clients. For other clients that are not mutual funds, the differences in services relate to the greater share purchase and redemption activity in a mutual fund, the generally higher turnover of mutual fund portfolio holdings, the more burdensome regulatory and legal obligations of mutual funds and the higher marketing costs for mutual funds. When compared to all clients including mutual funds, the Adviser has greater oversight and supervisory responsibility for the Fund and undertakes greater entrepreneurial risk as the sponsor of the Fund.
Fund performance
The Board was provided with reports, independently prepared by Morningstar, which included a comprehensive analysis of the Fund’s performance. The Board also examined materials provided by the Fund’s portfolio management team discussing Fund performance and the Fund’s investment objective, strategies and outlook. The Board also reviewed a narrative and statistical analysis of the Morningstar data that was prepared by the Adviser, which analyzed various factors that may affect the Morningstar rankings. The Board reviewed information regarding the investment performance of the Fund as compared to its Morningstar Category as well as its benchmark index (see chart below). The Board was provided with a description of the methodology used by Morningstar to select the funds in the Category. The Board also considered updated performance information provided by the Adviser at its May and June 2011 meetings. The Board regularly reviews the performance of the Fund throughout the year and attaches more importance to performance over relatively longer periods of time, typically three to five years.
Set forth below is the performance of the Fund over certain time periods ended December 31, 2010 and that of its Category and benchmark index over the same periods:
1 YEAR | 3 YEAR | 5 YEAR | 10 YEAR | |
Bond Fund Class A | 12.84% | 8.48% | 6.94% | 6.35% |
Intermediate-Term Bond Category Average | 7.85% | 5.91% | 5.42% | 5.50% |
BarCap US Govt/Credit TR Index | 6.59% | 5.60% | 5.56% | 5.83% |
The Board noted that the Fund’s performance compared favorably to the average performance of its Category and its benchmark index’s performance for all periods shown.
Expenses and fees
The Board, including the Independent Trustees, reviewed the Fund’s contractual advisory fee rate payable by the Fund to the Adviser as compared with the other funds in its Peer Group. The Board also received information about the investment subadvisory fee rate payable by the Adviser to the Subadviser for investment subadvisory services. The Board considered the services provided and the fees charged by the Adviser and the Subadviser to other clients with similar investment mandates, including separately managed institutional accounts.
In addition, the Board considered the cost of the services provided to the Fund by the Adviser. The Board received and considered expense information regarding the Fund’s various components, including advisory fees, distribution fees and fees other than advisory and distribution fees, including transfer agent fees, custodian fees, administration fees and other miscellaneous fees (e.g., fees for accounting and legal services). The Board considered comparisons of these expenses to the Peer Group median. The Board also considered expense information regarding the Fund’s
Semiannual report | Bond Fund 47 |
total operating expense ratio (Gross Expense Ratio). The Board considered information comparing the Gross Expense Ratio and Net Expense Ratio of the Fund to that of the Peer Group median. As part of its analysis, the Board reviewed the Adviser’s methodology in allocating its costs to the management of the Fund and the Fund complex.
The Board noted that the Fund’s advisory fee ratio was four basis points above the Peer Group median advisory fee ratio. The Board noted the following information about the Fund’s Gross and Net Expense Ratios for Class A shares contained in the Fund’s financial statements in relation with the Fund’s Peer Group median provided by Morningstar in April 2011:
FUND (CLASS A) | PEER GROUP MEDIAN | |
Advisory Fee Ratio | 0.50% | 0.46% |
Gross Expense Ratio | 1.05% | 1.02% |
Net Expense Ratio | 1.05% | 0.89% |
The Board viewed favorably the Adviser’s contractual agreement to waive all or a portion of its advisory fees to reduce total operating expenses for all classes by 0.05% from July 1, 2011 until September 30, 2012. The Board favorably considered the impact of fee waivers towards ultimately lowering the Fund’s Gross Expense Ratio. The Board also received and considered information relating to the Fund’s Gross Expense Ratio and Net Expense Ratio that reflected a new methodology for calculating transfer agent fees that was approved by the Trustees at the June 2010 meeting.
The Board received and reviewed statements relating to the Adviser’s financial condition and was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by the Adviser for services under the Advisory Agreement, as well as from other relationships between the Fund and the Adviser and its affiliates. The Board reviewed the Adviser’s profitability with respect to the Fund and other funds the Board currently oversees for the year ended December 31, 2010 compared to available aggregate profitability data provided for the year ended December 31, 2009. The Board reviewed the Adviser’s profitability with respect to other fund complexes managed by the Adviser and/or its affiliates. The Board reviewed the Adviser’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products.
The Board also considered a comparison of the Adviser’s profitability to that of other similar investment advisers whose profitability information is publicly available. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.
The Board considered the profitability information with respect to the Subadviser, which is affiliated with the Adviser. In addition, as noted above, the Board considered the assumptions and methodology for allocating expenses in the Subadviser’s profitability analysis.
Economies of scale
The Board, including the Independent Trustees, considered the extent to which economies of scale might be realized as the assets of the Fund increase. Possible changes in the advisory fee rate or structure in order to enable the Fund to participate in these economies of scale (e.g., through the use of breakpoints in the advisory fee at higher asset levels) are periodically discussed. New advisory and subadvisory breakpoint schedules were presented at the June meeting. The Board also considered the Adviser’s overall operations and its ongoing investment in its business in order to expand the scale of, and improve the quality of, its operations that benefit the Fund.
48 Bond Fund | Semiannual report |
The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of the Adviser’s costs are not specific to individual funds, but rather are incurred across a variety of products and services. To ensure that any economies are reasonably shared with the Fund as its assets increase, the Adviser and the Board agreed to new breakpoints to the contractual advisory fee rate.
Other benefits to the Adviser and the Subadviser
The Board understands that the Adviser, the Subadviser or their affiliates may derive other ancillary benefits from their relationship with the Fund, both tangible and intangible, such as their ability to leverage investment professionals who manage other portfolios, an increase in their profile in the investment advisory community and the engagement of their affiliates and/or significant shareholders as service providers to the Fund, including for administrative, transfer agency and distribution services. The Board believes that certain of these benefits are difficult to quantify. The Board also was informed that the Subadviser may use third-party research obtained by soft dollars generated by certain mutual fund transactions to assist itself in managing all or a number of its other client accounts.
Board determination
The Board unanimously approved the continuation of the Advisory Agreement between the Adviser and the Fund for an additional one-year term. The Subadvisory Agreement among the Fund, the Adviser and the Subadviser was also approved for an additional one-year term. Based upon its evaluation of relevant factors in their totality, the Board was satisfied that the terms of the Agreements, including the advisory and subadvisory fee rates, were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or any group of factors as all-important or controlling, but considered all factors together. Different Trustees may have attributed different weights to the various factors considered. The Independent Trustees were also assisted by independent legal counsel in making this determination. The Trustees’ conclusions may be based in part on their consideration of these arrangements in prior years and on their ongoing regular review of Fund performance and operations throughout the year.
Semiannual report | Bond Fund 49 |
More information
Trustees | Investment adviser |
Steven R. Pruchansky, Chairman | John Hancock Advisers, LLC |
James F. Carlin* | |
William H. Cunningham | Subadviser |
Deborah C. Jackson | John Hancock Asset Management a division of |
Charles L. Ladner,* Vice Chairman# | Manulife Asset Management (US) LLC |
Stanley Martin* | |
Hugh McHaffie† | Principal distributor |
Dr. John A. Moore,* Vice Chairman^ | John Hancock Funds, LLC |
Patti McGill Peterson* | |
Gregory A. Russo | Custodian |
John G. Vrysen† | State Street Bank and Trust Company |
Officers | Transfer agent |
Keith F. Hartstein | John Hancock Signature Services, Inc. |
President and Chief Executive Officer | |
Legal counsel | |
Andrew G. Arnott | K&L Gates LLP |
Senior Vice President and Chief Operating Officer | |
Thomas M. Kinzler | |
Secretary and Chief Legal Officer | |
Francis V. Knox, Jr. | |
Chief Compliance Officer | |
Charles A. Rizzo | |
Chief Financial Officer | |
Salvatore Schiavone | |
Treasurer | |
*Member of the Audit Committee | |
†Non-Independent Trustee | |
#Retired, effective 12-31-11 | |
^Effective 1-1-12 |
The Fund’s proxy voting policies and procedures, as well as the Fund’s proxy voting record for the most recent twelve-month period ended June 30, are available free of charge on the Securities and Exchange Commission (SEC) Web site at www.sec.gov or on our Web site.
The Fund’s complete list of portfolio holdings, for the first and third fiscal quarters, is filed with the SEC on Form N-Q. The Fund’s Form N-Q is available on our Web site and the SEC’s Web site, www.sec.gov, and can be reviewed and copied (for a fee) at the SEC’s Public Reference Room in Washington, DC. Call 1-800-SEC-0330 to receive information on the operation of the SEC’s Public Reference Room.
We make this information on your fund, as well as monthly portfolio holdings, and other fund details available on our Web site at www.jhfunds.com or by calling 1-800-225-5291.
You can also contact us: | ||
1-800-225-5291 | Regular mail: | Express mail: |
jhfunds.com | John Hancock Signature Services, Inc. | John Hancock Signature Services, Inc. |
P.O. Box 55913 | Mutual Fund Image Operations | |
Boston, MA 02205-5913 | 30 Dan Road | |
Canton, MA 02021 |
50 Bond Fund | Semiannual report |
![](https://capedge.com/proxy/N-CSRS/0000928816-12-000201/bondfundx47x1.jpg)
1-800-225-5291
1-800-554-6713 TDD
1-800-338-8080 EASI-Line
www.jhfunds.com
Now available: electronic delivery
www.jhfunds.com/edelivery
This report is for the information of the shareholders of John Hancock Bond Fund. | 210SA 11/11 |
It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. | 1/12 |
ITEM 2. CODE OF ETHICS.
Not applicable at this time.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable at this time.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable at this time.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable at this time.
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. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
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 registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) Separate certifications for the registrant's principal executive officer and principal financial officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are attached.
(b) Separate certifications for the registrant's principal executive officer and principal financial officer, as required by 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, and Rule 30a-2(b) under the Investment Company Act of 1940, are attached. The certifications furnished pursuant to this paragraph are not deemed to be "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certifications are not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically incorporates them by reference.
(c)(1) Contact person at the registrant.
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 Sovereign Bond Fund
By: /s/ Keith F. Hartstein
Keith F. Hartstein
President and
Chief Executive Officer
Date: January 23, 2012
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.
By: /s/ Keith F. Hartstein
Keith F. Hartstein
President and
Chief Executive Officer
Date: January 23, 2012
By: /s/ Charles A. Rizzo
Charles A. Rizzo
Chief Financial Officer
Date: January 23, 2012