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 |
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Date of reporting period: | May 31, 2015 |
ITEM 1. REPORT TO SHAREHOLDERS.
John Hancock
Bond Fund
Annual report 5/31/15
A message to shareholders
Dear fellow shareholder,
Despite improving economic conditions in many developed countries and continued central bank stimulus, global market volatility recently crept up. European markets were shaken by the ongoing debt crisis in Greece, including that country's default on debt payments and subsequent vote to reject the terms of a bailout package from European creditors.
In the bond market, yields rose from recent lows as the U.S. labor market showed some signs of strength. The low levels of returns currently offered by most bond markets mean there is little cushion against falling prices, and, as a result, many fixed-income investors have experienced negative total returns for the first time since 2013. A stronger domestic economy has increased the chances that the U.S. Federal Reserve will raise short-term interest rates.
While the economic picture in many developed countries is improving—and many central banks continue to apply stimulus—we may be in for a period of rising market volatility as investors adjust to the idea of a more normalized monetary policy in the United States. Unpleasant as they are, these pullbacks can ultimately be beneficial to the long-term health of the markets, resetting valuations and investor expectations on a more realistic trajectory.
The near-term challenge, particularly for fixed-income investors, will be maintaining the discipline to stick to a well-constructed long-term financial plan in the face of short-term market dynamics. As always, we recommend that your first course of action be a conversation with your financial advisor. We also believe investors can be well served by owning broadly diversified asset allocation funds or by adding alternative strategies such as absolute return funds to a diversified portfolio.
On behalf of everyone at John Hancock Investments, I'd like to take this opportunity to welcome new shareholders and thank existing shareholders for the continued trust you've placed in us.
Sincerely,
Andrew G. Arnott
President and Chief Executive Officer
John Hancock Investments
This commentary reflects the CEO's views as of May 31, 2015. They are subject to change at any time. For more up-to-date information, you can visit our website at jhinvestments.com.
John Hancock
Bond Fund
1
INVESTMENT OBJECTIVE
The fund seeks a high level of current income consistent with prudent investment risk.
AVERAGE ANNUAL TOTAL RETURNS AS OF 5/31/15 (%)
The Barclays Government/Credit Bond 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 expenses or sales charges, which would result in lower values.
Figures from Morningstar, Inc. include reinvested distributions and do not take into account sales charges. Actual load-adjusted performance is lower.
The past performance shown here reflects reinvested distributions and the beneficial effect of any expense reductions, and does not guarantee future results. Returns for periods shorter than one year are cumulative, and results for other share classes will vary. Shares will fluctuate in value and, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance cited, and can be found at jhinvestments.com or by calling 800-225-5291. For further information on the fund's objectives, risks, and strategy, see the fund's prospectuses.
2
PERFORMANCE HIGHLIGHTS OVER THE LAST TWELVE MONTHS
Bonds had mixed results
Slow global growth helped the performance of higher-quality, rate-sensitive asset classes, but high-yield bonds and market segments exposed to falling oil prices lagged.
The fund slightly outperformed its benchmark
Strong security selection and effective yield curve positioning helped fund performance.
Two factors dampened performance
The fund's duration positioning and its allocation to energy issuers within the high-yield space detracted from its 12-month results.
PORTFOLIO COMPOSITION AS OF 5/31/15 (%)
A note about risks
Fixed-income investments are subject to interest-rate and credit risk; their value will normally decline as interest rates rise or if a creditor, grantor, or counterparty is unable or unwilling to make principal, interest, or settlement payments. Investments in higher-yielding, lower-rated securities include a higher risk of default. 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, and investments focused in one sector may fluctuate more widely than investments diversified across sectors. Foreign investing, especially in emerging markets, has additional risks, such as currency and market volatility and political and social instability. Mortgage- and asset-backed securities may be sensitive to changes in interest rates, and may be subject to early repayment and the market's perception of issuer creditworthiness. Certain market conditions, including reduced trading volume, heightened volatility, and rising interest rates, may impair liquidity, the ability of the fund to sell securities or close derivative positions at advantageous prices. The use of hedging and derivatives could produce disproportionate gains or losses and may increase costs. Fund distributions generally depend on income from underlying investments and may vary or cease altogether in the future. Please see the fund's prospectuses for additional risks.
3
An interview with Portfolio Managers Howard C. Greene, CFA, and Jeffrey N. Given, CFA, John Hancock Asset Management a division of Manulife Asset Management (US) LLC
Howard C. Greene, CFA
Portfolio Manager
John Hancock Asset Management
Jeffrey N. Given, CFA
Portfolio Manager
John Hancock Asset Management
Can you describe the market environment of the past 12 months?
The U.S. investment-grade bond market delivered a positive return of 2.92% during the past year, as gauged by the fund's benchmark, the Barclays Government/Credit Bond Index. Given that bond yields fell in the period (as prices rose), market segments most sensitive to movements in interest rates—including government bonds and longer-term debt—generated the best performance. The primary reason for the downtrend in yields was the backdrop of low inflation, slow global growth, and the benign U.S. Federal Reserve (Fed) policy that characterized the first half of the reporting period.
At the same time, areas of the market with a higher sensitivity to energy prices lagged due to the sharp decline in the price of oil late in 2014. This resulted in pressure on the high-yield market, particularly among energy and energy-related issuers. Emerging-market debt also lagged due to the weakness in the price of oil and other commodities. In addition, the asset class was negatively impacted by concerns about slowing economic growth and volatile currency market performance.
Mortgage-backed securities closed the 12-month period with a gain, thanks to both the broader decline in interest rates and homeowners' slow pace of mortgage refinancings. Corporate bonds also posted a positive return, but the asset class finished behind the overall bond market due to its underperformance in the final month of the fund's fiscal year.
How did the fund's duration and yield curve positioning impact performance?
We positioned the fund in anticipation of a flattening yield curve (outperformance for longer-term bonds relative to intermediate-term debt). We accomplished this by reducing exposure to five- and ten-year bonds in favor of longer-dated securities. This aspect of the fund's positioning made a strong contribution through the end of February, but the positive impact waned once longer-term yields began to rise from March onward. The fund remained geared toward a flatter yield curve at
4
While this yield curve positioning added value, the fund lost some performance by maintaining a duration (interest-rate sensitivity) below that of the benchmark. This positioning reflected our view that U.S. Treasury yields would gradually move higher over the longer term. Since yields in fact fell during the past year, the fund's defensive posture detracted from performance.
How is the fund positioned among the various sectors of the bond market?
The fund remained focused on market segments that offer a yield advantage over U.S. Treasuries, such as corporate bonds, high-yield bonds, asset-backed securities (ABS), and the international
QUALITY COMPOSITION AS OF 5/31/15 (%)
5
In the investment-grade corporate segment, our security selection had a positive impact on performance. Our overweight allocation to financials, which outperformed the industrials and utilities sectors during the period, helped the fund generate favorable relative returns within its corporate bond allocation. Financials face tighter regulation regarding capital requirements and permissible leverage than companies in other sectors, which we believe has created a more favorable trade-off of risk and return in the group. We continue to find attractive opportunities in the corporate space, and it remained the fund's largest allocation at period end. Positions in certain ABS that outperformed the broader market were also helpful to performance.
The fund's allocation to high-yield was a modest detractor, as the asset class lagged the investment-grade bond market during the period. In addition, the fund holds positions in a handful of energy producers whose bonds fell sharply in the sell-off of late 2014. While these positions weren't large, the extent of the downturn had a negative impact on the fund's 12-month performance.
The fund also holds a small position in the emerging markets debt. Here, we focus on corporate bonds that we believe offer a compelling opportunity relative to the associated risks, and whose underlying businesses are experiencing positive trends. Although this approach has worked well over time, emerging market corporates underperformed the U.S. bond market due to heightened investor caution regarding economic growth in the developing world.
What is your overall view of the bond market, and how was that reflected in the fund's positioning?
We took steps to reduce credit risk in the fund throughout the course of the year. We lowered the fund's weighting in corporate bonds by selling positions where we no longer saw a favorable trade-off of risk and return. We redeployed the majority of the proceeds of these sales into ABS, where we found a large representation of bonds with the combination of attractive yields, high credit ratings, and short maturity structures that satisfy our yield curve outlook. As a result, our decision to increase the weighting in ABS enabled us to boost the fund's overall credit quality without sacrificing a significant amount of yield. We believe that searching for this type of value, rather than
6
trying to reach for yield in lower-rated securities, is the prudent course at this stage of the credit cycle.
The fund is also positioned somewhat defensively with respect to its duration. At the close of the fiscal year, the fund's duration stood at 5.2 years, which compares with 6.2 years for the benchmark. This isn't a significant part of our overall strategy, however, as individual security selection is our primary emphasis. With that said, the fund holds a meaningful position in floating-rate securities, primarily mortgage-backed securities that hold adjustable-rate loans. These investments can benefit if interest rates begin to move higher, and we believe they provide an element of diversification to the fund.
Given the backdrop of low prevailing yields and the likelihood that Fed policy will begin to play a greater role in bond market performance, we believe that individual security selection will become increasingly important in the months and years ahead. In this environment, we believe our active, research-based approach can continue to add value for the fund.
MANAGED BY
Howard C. Greene, CFA On the fund since 2002 Investing since 1979 | |
Jeffrey N. Given, CFA On the fund since 2006 Investing since 1993 |
7
TOTAL RETURNS FOR THE PERIOD ENDED MAY 31, 2015
Average annual total returns (%) with maximum sales charge | Cumulative total returns (%) with maximum sales charge | SEC 30-day yield (%) subsidized | SEC 30-day yield (%) unsubsidized1 | ||||||||
1-year | 5-year | 10-year | 5-year | 10-year | as of 5-31-15 | as of 5-31-15 | |||||
Class A | -1.11 | 5.48 | 5.54 | 30.60 | 71.50 | 2.58 | 2.52 | ||||
Class B | -2.63 | 5.29 | 5.38 | 29.42 | 68.96 | 1.98 | 1.92 | ||||
Class C | 1.32 | 5.61 | 5.24 | 31.41 | 66.64 | 1.99 | 1.93 | ||||
Class I2 | 3.35 | 6.76 | 6.40 | 38.69 | 85.99 | 3.00 | 2.95 | ||||
Class R22,3 | 2.97 | 6.38 | 5.97 | 36.22 | 78.62 | 2.53 | 2.47 | ||||
Class R42,3 | 3.09 | 6.47 | 6.12 | 36.85 | 81.15 | 2.93 | 2.78 | ||||
Class R62,3 | 3.45 | 6.86 | 6.48 | 39.35 | 87.33 | 3.10 | 3.02 | ||||
Index† | 2.92 | 4.14 | 4.58 | 22.52 | 56.52 | — | — |
Performance figures assume all distributions have been reinvested. Figures reflect maximum sales charges on Class A shares of 4.0% and the applicable contingent deferred sales charge (CDSC) on Class B and Class C shares. The returns for Class A shares have been adjusted to reflect the reduction in the maximum sales charge from 4.5% to 4.0%, effective 2-3-14. 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 sold within one year of purchase are subject to a 1% CDSC. Sales charges are not applicable to Class I, Class R2, Class R4, and Class R6 shares.
The expense ratios of the fund, both net (including any fee waivers and/or expense limitations) and gross (excluding any fee waivers and/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. 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 R2 | Class R4* | Class R6 | |
Gross (%) | 0.98 | 1.68 | 1.68 | 0.66 | 1.06 | 0.91 | 0.56 |
Net (%) | 0.93 | 1.63 | 1.63 | 0.61 | 1.01 | 0.76 | 0.49 |
*Expenses have been estimated for the fund's first year of operations.
Please refer to the most recent prospectus and annual or semiannual report for more information on expenses and any expense limitation arrangements for each class.
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 and other factors, 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 800-225-5291 or visit the fund's website at jhinvestments.com.
The performance table above and the chart on the next page do not reflect the deduction of taxes that a shareholder would pay on fund distributions or 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.
† | Index is the Barclays Government/Credit Bond Index. |
See the following page for footnotes.
8
This chart and table show what happened to a hypothetical $10,000 investment in John Hancock Bond Fund for the share classes and periods indicated, assuming all distributions were reinvested. For comparison, we've shown the same investment in the Barclays Government/Credit Bond Index.
Start date | With maximum sales charge ($) | Without sales charge ($) | Index ($) | |
Class B4 | 5-31-05 | 16,896 | 16,896 | 15,652 |
Class C4 | 5-31-05 | 16,664 | 16,664 | 15,652 |
Class I2,3 | 5-31-05 | 18,599 | 18,599 | 15,652 |
Class R22,3 | 5-31-05 | 17,862 | 17,862 | 15,652 |
Class R42,3 | 5-31-05 | 18,115 | 18,115 | 15,652 |
Class R62,3 | 5-31-05 | 18,733 | 18,733 | 15,652 |
The values shown in the chart for Class A shares with maximum sales charge have been adjusted to reflect the reduction in the Class A shares' maximum sales charge from 4.5% to 4.0%, which became effective on 2-3-14.
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 Barclays Government/Credit Bond 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 expenses or sales charges, which would result in lower values.
Footnotes related to performance pages
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 | Class R6 shares were first offered 9-1-11; Class R2 shares were first offered 3-1-12; Class R4 shares were first offered 3-27-15. Returns prior to these dates are those of Class A shares that have been recalculated to apply the gross fees and expenses of Class R6, Class R2, and Class R4 shares, as applicable. |
4 | The contingent deferred sales charge is not applicable. |
9
These examples are intended to help you understand your ongoing operating expenses of investing in the fund so you can compare these costs with the ongoing costs of investing in other mutual funds.
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 presenting 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 December 1, 2014, with the same investment held until May 31, 2015.
Account value on 12-1-2014 | Ending value on 5-31-2015 | Expenses paid during period ended 5-31-20151 | Annualized expense ratio | |
Class A | $1,000.00 | $1,013.20 | $4.42 | 0.88% |
Class B | 1,000.00 | 1,010.30 | 7.92 | 1.58% |
Class C | 1,000.00 | 1,009.70 | 7.92 | 1.58% |
Class I | 1,000.00 | 1,014.80 | 2.81 | 0.56% |
Class R2 | 1,000.00 | 1,013.10 | 4.62 | 0.92% |
Class R42 | 1,000.00 | 1,001.80 | 1.14 | 0.64% |
Class R6 | 1,000.00 | 1,015.90 | 2.31 | 0.46% |
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 May 31, 2015, 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:
10
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 December 1, 2014, with the same investment held until May 31, 2015. Look in any other fund shareholder report to find its hypothetical example and you will be able to compare these expenses. Please remember that these hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Account value on 12-1-2014 | Ending value on 5-31-2015 | Expenses paid during period ended 5-31-20151 | Annualized expense ratio | |
Class A | $1,000.00 | $1,020.50 | $4.43 | 0.88% |
Class B | 1,000.00 | 1,017.10 | 7.95 | 1.58% |
Class C | 1,000.00 | 1,017.10 | 7.95 | 1.58% |
Class I | 1,000.00 | 1,022.30 | 2.82 | 0.56% |
Class R2 | 1,000.00 | 1,020.30 | 4.63 | 0.92% |
Class R4 | 1,000.00 | 1,021.70 | 3.23 | 0.64% |
Class R6 | 1,000.00 | 1,022.60 | 2.32 | 0.46% |
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 prospectuses for details regarding transaction costs.
1 | Expenses are equal to the fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
2 | The inception date for Class R4 shares is 3-27-15. Expenses are equal to the fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 65/365 (to reflect the period). |
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Fund's investments
As of 5-31-15 | |||||||||||||||||||||||||||||
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Corporate bonds 41.8% | $1,229,999,391 | ||||||||||||||||||||||||||||
(Cost $1,204,649,420) | |||||||||||||||||||||||||||||
Consumer discretionary 4.8% | 140,160,038 | ||||||||||||||||||||||||||||
Auto components 0.7% | |||||||||||||||||||||||||||||
Dana Holding Corp. | 6.000 | 09-15-23 | 3,905,000 | 4,129,538 | |||||||||||||||||||||||||
Delphi Corp. | 5.000 | 02-15-23 | 9,060,000 | 9,756,488 | |||||||||||||||||||||||||
Stackpole International Intermediate Company SA (S) | 7.750 | 10-15-21 | 2,420,000 | 2,410,925 | |||||||||||||||||||||||||
ZF North America Capital, Inc. (S) | 4.750 | 04-29-25 | 2,840,000 | 2,843,550 | |||||||||||||||||||||||||
Automobiles 1.5% | |||||||||||||||||||||||||||||
Fiat Chrysler Automobiles NV (S) | 5.250 | 04-15-23 | 2,310,000 | 2,321,550 | |||||||||||||||||||||||||
Ford Motor Company | 4.750 | 01-15-43 | 1,415,000 | 1,432,689 | |||||||||||||||||||||||||
Ford Motor Credit Company LLC | 5.875 | 08-02-21 | 16,540,000 | 19,155,983 | |||||||||||||||||||||||||
General Motors Company | 4.875 | 10-02-23 | 3,720,000 | 3,957,176 | |||||||||||||||||||||||||
General Motors Company | 6.250 | 10-02-43 | 3,570,000 | 4,111,266 | |||||||||||||||||||||||||
General Motors Financial Company, Inc. | 3.450 | 04-10-22 | 4,390,000 | 4,317,951 | |||||||||||||||||||||||||
General Motors Financial Company, Inc. | 4.000 | 01-15-25 | 5,225,000 | 5,180,363 | |||||||||||||||||||||||||
General Motors Financial Company, Inc. | 4.375 | 09-25-21 | 3,030,000 | 3,155,818 | |||||||||||||||||||||||||
Hotels, restaurants and leisure 0.5% | |||||||||||||||||||||||||||||
Boyd Gaming Corp. | 6.875 | 05-15-23 | 2,440,000 | 2,482,700 | |||||||||||||||||||||||||
CCM Merger, Inc. (S) | 9.125 | 05-01-19 | 2,540,000 | 2,755,900 | |||||||||||||||||||||||||
International Game Technology PLC (S) | 6.500 | 02-15-25 | 2,115,000 | 1,982,813 | |||||||||||||||||||||||||
MGM Resorts International | 6.000 | 03-15-23 | 4,440,000 | 4,600,950 | |||||||||||||||||||||||||
Seminole Tribe of Florida, Inc. (S) | 6.535 | 10-01-20 | 2,289,000 | 2,472,120 | |||||||||||||||||||||||||
Waterford Gaming LLC (H)(S) | 8.625 | 09-15-49 | 372,111 | 0 | |||||||||||||||||||||||||
Household durables 0.1% | |||||||||||||||||||||||||||||
Argos Merger Sub, Inc. (S) | 7.125 | 03-15-23 | 1,165,000 | 1,234,900 | |||||||||||||||||||||||||
Harman International Industries, Inc. | 4.150 | 05-15-25 | 1,775,000 | 1,790,847 | |||||||||||||||||||||||||
Internet and catalog retail 0.5% | |||||||||||||||||||||||||||||
Amazon.com, Inc. | 4.950 | 12-05-44 | 5,295,000 | 5,394,689 | |||||||||||||||||||||||||
QVC, Inc. | 4.375 | 03-15-23 | 3,880,000 | 3,899,377 | |||||||||||||||||||||||||
QVC, Inc. | 5.125 | 07-02-22 | 1,840,000 | 1,927,411 | |||||||||||||||||||||||||
QVC, Inc. | 5.450 | 08-15-34 | 3,005,000 | 2,864,270 | |||||||||||||||||||||||||
Media 0.6% | |||||||||||||||||||||||||||||
21st Century Fox America, Inc. | 6.150 | 03-01-37 | 1,330,000 | 1,597,178 | |||||||||||||||||||||||||
21st Century Fox America, Inc. | 6.400 | 12-15-35 | 1,735,000 | 2,160,030 | |||||||||||||||||||||||||
Altice Financing SA (S) | 6.500 | 01-15-22 | 1,485,000 | 1,525,838 | |||||||||||||||||||||||||
Altice Financing SA (S) | 6.625 | 02-15-23 | 1,890,000 | 1,958,513 | |||||||||||||||||||||||||
AMC Entertainment, Inc. | 5.875 | 02-15-22 | 3,745,000 | 3,904,163 | |||||||||||||||||||||||||
Scripps Networks Interactive, Inc. (C) | 3.950 | 06-15-25 | 3,925,000 | 3,935,209 | |||||||||||||||||||||||||
Time Warner Cable, Inc. | 8.250 | 04-01-19 | 3,290,000 | 3,898,755 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Consumer discretionary (continued) | |||||||||||||||||||||||||||||
Multiline retail 0.3% | |||||||||||||||||||||||||||||
Family Tree Escrow LLC (S) | 5.750 | 03-01-23 | 2,645,000 | $2,787,169 | |||||||||||||||||||||||||
Macy's Retail Holdings, Inc. | 7.875 | 08-15-36 | 3,420,000 | 3,672,129 | |||||||||||||||||||||||||
Tops Holding II Corp. | 8.750 | 06-15-18 | 1,680,000 | 1,680,000 | |||||||||||||||||||||||||
Specialty retail 0.5% | |||||||||||||||||||||||||||||
AutoNation, Inc. | 5.500 | 02-01-20 | 5,364,000 | 5,873,580 | |||||||||||||||||||||||||
Jo-Ann Stores Holdings, Inc., PIK (S) | 9.750 | 10-15-19 | 4,075,000 | 3,891,625 | |||||||||||||||||||||||||
L Brands, Inc. | 6.625 | 04-01-21 | 4,975,000 | 5,621,750 | |||||||||||||||||||||||||
Textiles, apparel and luxury goods 0.1% | |||||||||||||||||||||||||||||
Hot Topic, Inc. (S) | 9.250 | 06-15-21 | 3,210,000 | 3,474,825 | |||||||||||||||||||||||||
Consumer staples 1.2% | 34,429,707 | ||||||||||||||||||||||||||||
Beverages 0.2% | |||||||||||||||||||||||||||||
Constellation Brands, Inc. | 4.250 | 05-01-23 | 3,025,000 | 3,055,250 | |||||||||||||||||||||||||
Constellation Brands, Inc. | 4.750 | 11-15-24 | 1,950,000 | 2,020,688 | |||||||||||||||||||||||||
Food and staples retailing 0.2% | |||||||||||||||||||||||||||||
Rite Aid Corp. (S) | 6.125 | 04-01-23 | 635,000 | 660,400 | |||||||||||||||||||||||||
Tops Holding Corp. | 8.875 | 12-15-17 | 1,475,000 | 1,545,063 | |||||||||||||||||||||||||
Tops Holding LLC (S) | 8.000 | 06-15-22 | 4,225,000 | 4,225,000 | |||||||||||||||||||||||||
Food products 0.3% | |||||||||||||||||||||||||||||
Bunge, Ltd. Finance Corp. | 8.500 | 06-15-19 | 2,286,000 | 2,789,633 | |||||||||||||||||||||||||
HJ Heinz Company (S) | 4.875 | 02-15-25 | 4,370,000 | 4,708,675 | |||||||||||||||||||||||||
Household products 0.1% | |||||||||||||||||||||||||||||
HRG Group, Inc. | 7.875 | 07-15-19 | 2,805,000 | 2,970,495 | |||||||||||||||||||||||||
Personal products 0.1% | |||||||||||||||||||||||||||||
Prestige Brands, Inc. (S) | 5.375 | 12-15-21 | 1,690,000 | 1,717,378 | |||||||||||||||||||||||||
Revlon Consumer Products Corp. | 5.750 | 02-15-21 | 2,600,000 | 2,606,500 | |||||||||||||||||||||||||
Tobacco 0.3% | |||||||||||||||||||||||||||||
Alliance One International, Inc. | 9.875 | 07-15-21 | 6,275,000 | 5,459,250 | |||||||||||||||||||||||||
Vector Group, Ltd. | 7.750 | 02-15-21 | 2,485,000 | 2,671,375 | |||||||||||||||||||||||||
Energy 4.9% | 145,477,250 | ||||||||||||||||||||||||||||
Energy equipment and services 0.4% | |||||||||||||||||||||||||||||
Nostrum Oil & Gas Finance BV (S) | 6.375 | 02-14-19 | 2,500,000 | 2,362,500 | |||||||||||||||||||||||||
RKI Exploration & Production LLC (S) | 8.500 | 08-01-21 | 1,875,000 | 1,865,625 | |||||||||||||||||||||||||
Rowan Companies, Inc. | 4.875 | 06-01-22 | 2,570,000 | 2,559,021 | |||||||||||||||||||||||||
Teine Energy, Ltd. (S) | 6.875 | 09-30-22 | 1,805,000 | 1,773,413 | |||||||||||||||||||||||||
TerraForm Power Operating LLC (S) | 5.875 | 02-01-23 | 2,955,000 | 3,051,038 | |||||||||||||||||||||||||
Oil, gas and consumable fuels 4.5% | |||||||||||||||||||||||||||||
California Resources Corp. | 5.500 | 09-15-21 | 1,955,000 | 1,852,363 | |||||||||||||||||||||||||
California Resources Corp. | 6.000 | 11-15-24 | 5,510,000 | 5,069,200 | |||||||||||||||||||||||||
Chesapeake Energy Corp. | 5.750 | 03-15-23 | 4,735,000 | 4,675,813 | |||||||||||||||||||||||||
Cimarex Energy Company | 4.375 | 06-01-24 | 5,085,000 | 5,208,947 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Energy (continued) | |||||||||||||||||||||||||||||
Oil, gas and consumable fuels (continued) | |||||||||||||||||||||||||||||
CNOOC Finance 2013, Ltd. | 3.000 | 05-09-23 | 4,540,000 | $4,378,381 | |||||||||||||||||||||||||
Continental Resources, Inc. | 5.000 | 09-15-22 | 7,935,000 | 7,915,163 | |||||||||||||||||||||||||
CSI Compressco LP (S) | 7.250 | 08-15-22 | 1,730,000 | 1,643,500 | |||||||||||||||||||||||||
DCP Midstream LLC (S) | 9.750 | 03-15-19 | 3,710,000 | 4,323,538 | |||||||||||||||||||||||||
DCP Midstream LLC (5.850% to 5-21-23, then 3 month LIBOR + 3.850%) (S) | 5.850 | 05-21-43 | 2,990,000 | 2,481,700 | |||||||||||||||||||||||||
DCP Midstream Operating LP | 3.875 | 03-15-23 | 1,945,000 | 1,856,215 | |||||||||||||||||||||||||
Ecopetrol SA | 5.875 | 09-18-23 | 1,300,000 | 1,396,850 | |||||||||||||||||||||||||
Energy Transfer Partners LP | 5.150 | 03-15-45 | 3,445,000 | 3,217,189 | |||||||||||||||||||||||||
Energy Transfer Partners LP | 9.700 | 03-15-19 | 2,525,000 | 3,127,553 | |||||||||||||||||||||||||
Enterprise Products Operating LLC (7.000% to 6-1-17, then 3 month LIBOR + 2.778%) | 7.000 | 06-01-67 | 4,735,000 | 4,770,513 | |||||||||||||||||||||||||
Enterprise Products Operating LLC (8.375% to 8-1-16, then 3 month LIBOR + 3.708%) | 8.375 | 08-01-66 | 3,835,000 | 4,045,925 | |||||||||||||||||||||||||
EP Energy LLC | 7.750 | 09-01-22 | 1,800,000 | 1,890,000 | |||||||||||||||||||||||||
EV Energy Partners LP | 8.000 | 04-15-19 | 2,470,000 | 2,383,550 | |||||||||||||||||||||||||
Freeport-McMoran Oil & Gas LLC | 6.750 | 02-01-22 | 4,122,000 | 4,389,930 | |||||||||||||||||||||||||
Freeport-McMoran Oil & Gas LLC | 6.875 | 02-15-23 | 1,069,000 | 1,147,839 | |||||||||||||||||||||||||
FTS International, Inc. | 6.250 | 05-01-22 | 1,240,000 | 988,900 | |||||||||||||||||||||||||
Jones Energy Holdings LLC | 6.750 | 04-01-22 | 1,095,000 | 1,082,681 | |||||||||||||||||||||||||
Kerr-McGee Corp. | 6.950 | 07-01-24 | 2,930,000 | 3,646,177 | |||||||||||||||||||||||||
Kinder Morgan Energy Partners LP | 7.750 | 03-15-32 | 1,795,000 | 2,126,061 | |||||||||||||||||||||||||
Kinder Morgan, Inc. | 5.550 | 06-01-45 | 3,700,000 | 3,616,151 | |||||||||||||||||||||||||
Kosmos Energy, Ltd. (S) | 7.875 | 08-01-21 | 1,570,000 | 1,542,525 | |||||||||||||||||||||||||
Lukoil International Finance BV (S) | 3.416 | 04-24-18 | 4,925,000 | 4,728,000 | |||||||||||||||||||||||||
MarkWest Energy Partners LP | 4.875 | 12-01-24 | 1,565,000 | 1,580,650 | |||||||||||||||||||||||||
MarkWest Energy Partners LP | 6.500 | 08-15-21 | 2,659,000 | 2,851,778 | |||||||||||||||||||||||||
MPLX LP | 4.000 | 02-15-25 | 1,425,000 | 1,422,890 | |||||||||||||||||||||||||
Newfield Exploration Company | 5.750 | 01-30-22 | 2,670,000 | 2,816,850 | |||||||||||||||||||||||||
Pacific Rubiales Energy Corp. (S) | 5.125 | 03-28-23 | 1,920,000 | 1,545,600 | |||||||||||||||||||||||||
Pacific Rubiales Energy Corp. (S) | 5.375 | 01-26-19 | 2,475,000 | 2,236,781 | |||||||||||||||||||||||||
Petroleos Mexicanos (S) | 4.250 | 01-15-25 | 1,445,000 | 1,437,053 | |||||||||||||||||||||||||
Petroleos Mexicanos | 4.875 | 01-24-22 | 2,125,000 | 2,233,375 | |||||||||||||||||||||||||
Regency Energy Partners LP | 5.000 | 10-01-22 | 930,000 | 972,408 | |||||||||||||||||||||||||
Regency Energy Partners LP | 5.500 | 04-15-23 | 4,785,000 | 4,952,475 | |||||||||||||||||||||||||
Regency Energy Partners LP | 5.875 | 03-01-22 | 855,000 | 936,225 | |||||||||||||||||||||||||
Shell International Finance BV | 4.375 | 05-11-45 | 7,580,000 | 7,715,303 | |||||||||||||||||||||||||
Summit Midstream Holdings LLC | 7.500 | 07-01-21 | 1,565,000 | 1,635,425 | |||||||||||||||||||||||||
Tullow Oil PLC (S) | 6.000 | 11-01-20 | 1,550,000 | 1,422,125 | |||||||||||||||||||||||||
Tullow Oil PLC (S) | 6.250 | 04-15-22 | 1,720,000 | 1,569,500 | |||||||||||||||||||||||||
Whiting Petroleum Corp. (S) | 6.250 | 04-01-23 | 2,665,000 | 2,731,625 | |||||||||||||||||||||||||
Williams Partners LP | 4.875 | 05-15-23 | 2,190,000 | 2,236,538 | |||||||||||||||||||||||||
Williams Partners LP | 4.875 | 03-15-24 | 6,905,000 | 7,008,575 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Energy (continued) | |||||||||||||||||||||||||||||
Oil, gas and consumable fuels (continued) | |||||||||||||||||||||||||||||
WPX Energy, Inc. | 5.250 | 09-15-24 | 910,000 | $864,500 | |||||||||||||||||||||||||
WPX Energy, Inc. | 6.000 | 01-15-22 | 2,175,000 | 2,191,313 | |||||||||||||||||||||||||
Financials 16.7% | 490,592,404 | ||||||||||||||||||||||||||||
Banks 6.5% | |||||||||||||||||||||||||||||
Banco do Brasil SA (6.250% to 4-15-24, then 10 Year U.S. Treasury + 4.398%) (Q)(S) | 6.250 | 04-15-24 | 3,300,000 | 2,409,000 | |||||||||||||||||||||||||
Banco Santander Brasil SA (S) | 8.000 | 03-18-16 | BRL | 4,600,000 | 1,371,497 | ||||||||||||||||||||||||
Bank of America Corp. | 3.300 | 01-11-23 | 2,980,000 | 2,980,340 | |||||||||||||||||||||||||
Bank of America Corp. | 3.950 | 04-21-25 | 1,395,000 | 1,379,432 | |||||||||||||||||||||||||
Bank of America Corp. | 4.200 | 08-26-24 | 3,125,000 | 3,168,353 | |||||||||||||||||||||||||
Bank of America Corp. | 4.250 | 10-22-26 | 3,560,000 | 3,574,895 | |||||||||||||||||||||||||
Bank of America Corp. | 5.000 | 05-13-21 | 5,165,000 | 5,750,034 | |||||||||||||||||||||||||
Bank of America Corp. | 6.875 | 04-25-18 | 5,715,000 | 6,508,413 | |||||||||||||||||||||||||
Bank of America Corp. (6.250% to 9-5-24, then 3 month LIBOR + 3.705%) (Q) | 6.250 | 09-05-24 | 4,575,000 | 4,660,781 | |||||||||||||||||||||||||
Bank of America Corp. (8.000% to 1-30-18, then 3 month LIBOR + 3.630%) (Q) | 8.000 | 01-30-18 | 4,275,000 | 4,552,875 | |||||||||||||||||||||||||
Barclays Bank PLC (S) | 10.179 | 06-12-21 | 4,620,000 | 6,206,808 | |||||||||||||||||||||||||
BPCE SA (S) | 4.500 | 03-15-25 | 4,360,000 | 4,326,380 | |||||||||||||||||||||||||
BPCE SA (S) | 5.700 | 10-22-23 | 4,440,000 | 4,817,569 | |||||||||||||||||||||||||
Commerzbank AG (S) | 8.125 | 09-19-23 | 5,575,000 | 6,659,561 | |||||||||||||||||||||||||
Credit Agricole SA (6.625% to 9-23-19, then 5 Year U.S. Swap Rate + 4.697%) (Q)(S) | 6.625 | 09-23-19 | 4,300,000 | 4,310,750 | |||||||||||||||||||||||||
Credit Agricole SA (7.875% to 1-23-24, then 5 Year U.S. Swap Rate + 4.898%) (Q)(S) | 7.875 | 01-23-24 | 4,840,000 | 5,151,773 | |||||||||||||||||||||||||
Credit Agricole SA (8.125% to 9-19-18, then 5 Year U.S. Swap Rate + 6.283%) (S) | 8.125 | 09-19-33 | 3,300,000 | 3,702,930 | |||||||||||||||||||||||||
Fifth Third Bancorp (5.100% to 6-30-23, then 3 month LIBOR + 3.033%) (Q) | 5.100 | 06-30-23 | 3,665,000 | 3,463,425 | |||||||||||||||||||||||||
HBOS PLC (S) | 6.000 | 11-01-33 | 3,820,000 | 4,294,918 | |||||||||||||||||||||||||
HBOS PLC (S) | 6.750 | 05-21-18 | 8,130,000 | 9,067,478 | |||||||||||||||||||||||||
HSBC Holdings PLC (6.375% to 9-17-24, then 5 Year U.S. ISDAFIX + 3.705%) (Q) | 6.375 | 09-17-24 | 1,455,000 | 1,495,013 | |||||||||||||||||||||||||
ING Bank NV (S) | 5.800 | 09-25-23 | 4,779,000 | 5,386,191 | |||||||||||||||||||||||||
ING Groep NV (6.500% to 4-16-25, then 5 Year U.S. Swap Rate + 4.446%) (Q) | 6.500 | 04-16-25 | 1,385,000 | 1,384,134 | |||||||||||||||||||||||||
JPMorgan Chase & Co. | 4.625 | 05-10-21 | 10,440,000 | 11,489,690 | |||||||||||||||||||||||||
JPMorgan Chase & Co. (5.000% to 7-1-19, then 3 month LIBOR + 3.320%) (Q) | 5.000 | 07-01-19 | 4,515,000 | 4,452,919 | |||||||||||||||||||||||||
JPMorgan Chase & Co. (5.150% to 5-1-23, then 3 month LIBOR + 3.250%) (Q) | 5.150 | 05-01-23 | 3,705,000 | 3,619,322 | |||||||||||||||||||||||||
JPMorgan Chase & Co. (6.750% to 2-1-24, then 3 month LIBOR + 3.780%) (Q) | 6.750 | 02-01-24 | 7,335,000 | 7,995,150 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Financials (continued) | |||||||||||||||||||||||||||||
Banks (continued) | |||||||||||||||||||||||||||||
JPMorgan Chase & Co. (7.900% to 4-30-18, then 3 month LIBOR + 3.470%) (Q) | 7.900 | 04-30-18 | 6,115,000 | $6,521,648 | |||||||||||||||||||||||||
Lloyds Banking Group PLC (7.500% to 6-27-24, then 5 Year U.S. Swap Rate + 4.760%) (Q) | 7.500 | 06-27-24 | 3,480,000 | 3,701,850 | |||||||||||||||||||||||||
Manufacturers & Traders Trust Company (5.629% to 12-1-16, then 3 month LIBOR + 6.400%) | 5.629 | 12-01-21 | 5,215,000 | 5,410,563 | |||||||||||||||||||||||||
Mizuho Financial Group Cayman 3, Ltd. (S) | 4.600 | 03-27-24 | 3,275,000 | 3,467,563 | |||||||||||||||||||||||||
Rabobank Nederland NV | 3.875 | 02-08-22 | 3,931,000 | 4,179,836 | |||||||||||||||||||||||||
Rabobank Nederland NV (11.000% to 6-30-19, then 3 month LIBOR + 10.868%) (Q)(S) | 11.000 | 06-30-19 | 5,392,000 | 6,901,760 | |||||||||||||||||||||||||
Societe Generale SA (8.250% to 11-29-18, then 5 Year U.S. Swap Rate + 6.394%) (Q) | 8.250 | 11-29-18 | 3,000,000 | 3,191,250 | |||||||||||||||||||||||||
Synovus Financial Corp. | 7.875 | 02-15-19 | 1,600,000 | 1,808,000 | |||||||||||||||||||||||||
The PNC Financial Services Group, Inc. (4.850% to 6-1-23, then 3 month LIBOR + 3.040%) (Q) | 4.850 | 06-01-23 | 3,765,000 | 3,661,463 | |||||||||||||||||||||||||
The PNC Financial Services Group, Inc. (6.750% to 8-1-21, then 3 month LIBOR + 3.678%) (Q) | 6.750 | 08-01-21 | 4,580,000 | 5,100,975 | |||||||||||||||||||||||||
Wells Fargo & Company (5.875% to 6-15-25, then 3 month LIBOR + 3.990%) (Q) | 5.875 | 06-15-25 | 3,440,000 | 3,616,300 | |||||||||||||||||||||||||
Wells Fargo & Company (5.900% to 6-15-24, then 3 month LIBOR + 3.110%) (Q) | 5.900 | 06-15-24 | 6,945,000 | 7,153,350 | |||||||||||||||||||||||||
Wells Fargo & Company, Series K (7.980% to 3-15-18, then 3 month LIBOR + 3.770%) (Q) | 7.980 | 03-15-18 | 7,937,000 | 8,730,700 | |||||||||||||||||||||||||
Wells Fargo Bank NA | 5.850 | 02-01-37 | 3,035,000 | 3,718,552 | |||||||||||||||||||||||||
Capital markets 2.8% | |||||||||||||||||||||||||||||
Ares Capital Corp. | 3.875 | 01-15-20 | 4,425,000 | 4,497,420 | |||||||||||||||||||||||||
Credit Suisse Group AG (7.500% to 12-11-23, then 5 Year U.S. Swap Rate + 4.598%) (Q)(S) | 7.500 | 12-11-23 | 2,975,000 | 3,164,656 | |||||||||||||||||||||||||
Doric Nimrod Air Alpha 2013-1 Class A Pass Through Trust (S) | 5.250 | 05-30-25 | 3,154,515 | 3,343,786 | |||||||||||||||||||||||||
Doric Nimrod Air Alpha 2013-1 Class B Pass Through Trust (S) | 6.125 | 11-30-21 | 1,653,705 | 1,765,330 | |||||||||||||||||||||||||
Doric Nimrod Air Finance Alpha, Ltd. 2012-1 Class A Pass Through Trust (S) | 5.125 | 11-30-24 | 2,893,221 | 3,073,469 | |||||||||||||||||||||||||
FS Investment Corp. | 4.000 | 07-15-19 | 4,140,000 | 4,228,828 | |||||||||||||||||||||||||
Jefferies Group LLC | 6.875 | 04-15-21 | 5,310,000 | 6,121,681 | |||||||||||||||||||||||||
Jefferies Group LLC | 8.500 | 07-15-19 | 2,205,000 | 2,644,662 | |||||||||||||||||||||||||
Morgan Stanley | 4.100 | 05-22-23 | 7,060,000 | 7,239,592 | |||||||||||||||||||||||||
Morgan Stanley | 4.300 | 01-27-45 | 2,150,000 | 2,073,505 | |||||||||||||||||||||||||
Morgan Stanley | 5.500 | 01-26-20 | 4,195,000 | 4,733,793 | |||||||||||||||||||||||||
Morgan Stanley | 5.550 | 04-27-17 | 2,480,000 | 2,671,674 | |||||||||||||||||||||||||
Morgan Stanley | 7.300 | 05-13-19 | 8,285,000 | 9,817,452 | |||||||||||||||||||||||||
Morgan Stanley (5.550% to 7-15-20, then 3 month LIBOR + 3.810%) (Q) | 5.550 | 07-15-20 | 3,345,000 | 3,357,544 | |||||||||||||||||||||||||
Stifel Financial Corp. | 4.250 | 07-18-24 | 3,300,000 | 3,312,774 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Financials (continued) | |||||||||||||||||||||||||||||
Capital markets (continued) | |||||||||||||||||||||||||||||
The Bear Stearns Companies LLC | 7.250 | 02-01-18 | 3,080,000 | $3,517,603 | |||||||||||||||||||||||||
The Goldman Sachs Group, Inc. | 5.250 | 07-27-21 | 12,015,000 | 13,550,637 | |||||||||||||||||||||||||
The Goldman Sachs Group, Inc. | 5.750 | 01-24-22 | 1,775,000 | 2,044,047 | |||||||||||||||||||||||||
Consumer finance 1.3% | |||||||||||||||||||||||||||||
Ally Financial, Inc. | 5.125 | 09-30-24 | 6,670,000 | 6,820,075 | |||||||||||||||||||||||||
Capital One Financial Corp. | 2.450 | 04-24-19 | 4,125,000 | 4,162,340 | |||||||||||||||||||||||||
Capital One Financial Corp. (5.550% to 06-01-2020, then 3 month LIBOR + 3.800%) (Q) | 5.550 | 06-01-20 | 3,710,000 | 3,714,638 | |||||||||||||||||||||||||
Credit Acceptance Corp. | 6.125 | 02-15-21 | 4,280,000 | 4,333,500 | |||||||||||||||||||||||||
Credito Real SAB de CV (S) | 7.500 | 03-13-19 | 4,135,000 | 4,391,370 | |||||||||||||||||||||||||
Discover Financial Services | 3.950 | 11-06-24 | 4,170,000 | 4,184,979 | |||||||||||||||||||||||||
Discover Financial Services | 5.200 | 04-27-22 | 4,760,000 | 5,207,021 | |||||||||||||||||||||||||
Enova International, Inc. | 9.750 | 06-01-21 | 4,270,000 | 4,120,550 | |||||||||||||||||||||||||
Diversified financial services 1.5% | |||||||||||||||||||||||||||||
General Electric Capital Corp. (P) | 0.754 | 08-15-36 | 3,180,000 | 2,884,699 | |||||||||||||||||||||||||
General Electric Capital Corp. | 4.375 | 09-16-20 | 2,640,000 | 2,920,014 | |||||||||||||||||||||||||
General Electric Capital Corp. | 5.550 | 05-04-20 | 5,315,000 | 6,159,383 | |||||||||||||||||||||||||
General Electric Capital Corp. (7.125% until 6-15-22, then 3 month LIBOR + 5.296%) (Q) | 7.125 | 06-15-22 | 4,820,000 | 5,627,350 | |||||||||||||||||||||||||
Leucadia National Corp. | 5.500 | 10-18-23 | 5,540,000 | 5,742,958 | |||||||||||||||||||||||||
McGraw Hill Financial, Inc. (S) | 4.000 | 06-15-25 | 2,255,000 | 2,277,239 | |||||||||||||||||||||||||
Nationstar Mortgage LLC | 6.500 | 07-01-21 | 3,290,000 | 3,162,513 | |||||||||||||||||||||||||
Nationstar Mortgage LLC | 7.875 | 10-01-20 | 3,343,000 | 3,393,145 | |||||||||||||||||||||||||
Nationstar Mortgage LLC | 9.625 | 05-01-19 | 1,785,000 | 1,901,025 | |||||||||||||||||||||||||
NewStar Financial, Inc. (S) | 7.250 | 05-01-20 | 3,610,000 | 3,691,225 | |||||||||||||||||||||||||
Voya Financial, Inc. (5.650% to 5-15-23, then 3 month LIBOR + 3.580%) | 5.650 | 05-15-53 | 6,450,000 | 6,691,875 | |||||||||||||||||||||||||
Insurance 1.9% | |||||||||||||||||||||||||||||
Aquarius + Investments PLC (6.375% to 9-1-19, then 5 Year U.S. Swap Rate + 5.210%) | 6.375 | 09-01-24 | 1,570,000 | 1,660,011 | |||||||||||||||||||||||||
Assured Guaranty US Holdings, Inc. | 5.000 | 07-01-24 | 5,110,000 | 5,400,744 | |||||||||||||||||||||||||
AXA SA | 8.600 | 12-15-30 | 1,695,000 | 2,351,813 | |||||||||||||||||||||||||
AXA SA (6.379% to 12-14-36, then 3 month LIBOR + 2.256%) (Q)(S) | 6.379 | 12-14-36 | 1,575,000 | 1,751,211 | |||||||||||||||||||||||||
CNA Financial Corp. | 7.250 | 11-15-23 | 2,320,000 | 2,837,042 | |||||||||||||||||||||||||
CNO Financial Group, Inc. | 5.250 | 05-30-25 | 1,070,000 | 1,110,125 | |||||||||||||||||||||||||
Hartford Financial Services Group, Inc. (8.125% to 6-15-18, then 3 month LIBOR + 4.6025%) | 8.125 | 06-15-68 | 4,630,000 | 5,220,325 | |||||||||||||||||||||||||
Liberty Mutual Group, Inc. (7.800% to 03-15-2037, then 3 month LIBOR +3.576%) (S) | 7.800 | 03-07-87 | 3,800,000 | 4,607,500 | |||||||||||||||||||||||||
MetLife, Inc. | 6.400 | 12-15-66 | 3,130,000 | 3,577,590 | |||||||||||||||||||||||||
Nippon Life Insurance Company (5.000% to 10-18-22, then 3 month LIBOR + 4.240%) (S) | 5.000 | 10-18-42 | 1,795,000 | 1,916,163 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Financials (continued) | |||||||||||||||||||||||||||||
Insurance (continued) | |||||||||||||||||||||||||||||
Nippon Life Insurance Company (5.100% to 10-16-24, then 5 Year U.S. ISDAFIX + 3.650%) (S) | 5.100 | 10-16-44 | 3,450,000 | $3,682,875 | |||||||||||||||||||||||||
Pacific LifeCorp. (S) | 6.000 | 02-10-20 | 1,775,000 | 2,020,165 | |||||||||||||||||||||||||
Prudential Financial, Inc. (5.200% to 3-15-24, then 3 month LIBOR + 3.040%) | 5.200 | 03-15-44 | 760,000 | 764,750 | |||||||||||||||||||||||||
Prudential Financial, Inc. (5.875% to 9-1-22, then 3 month LIBOR + 4.175%) | 5.875 | 09-15-42 | 1,223,000 | 1,317,171 | |||||||||||||||||||||||||
Sirius International Group, Ltd. (7.506% to 6-30-17, then 3 month LIBOR + 3.200%) (Q)(S) | 7.506 | 06-30-17 | 6,770,000 | 7,108,500 | |||||||||||||||||||||||||
Teachers Insurance & Annuity Association of America (S) | 6.850 | 12-16-39 | 5,200,000 | 6,871,810 | |||||||||||||||||||||||||
USI, Inc. (S) | 7.750 | 01-15-21 | 2,585,000 | 2,636,700 | |||||||||||||||||||||||||
XLIT, Ltd. | 4.450 | 03-31-25 | 1,190,000 | 1,197,667 | |||||||||||||||||||||||||
Real estate investment trusts 2.5% | |||||||||||||||||||||||||||||
American Tower Corp. | 3.400 | 02-15-19 | 2,350,000 | 2,425,014 | |||||||||||||||||||||||||
American Tower Corp. | 4.700 | 03-15-22 | 2,970,000 | 3,139,649 | |||||||||||||||||||||||||
ARC Properties Operating Partnership LP | 4.600 | 02-06-24 | 5,090,000 | 5,039,100 | |||||||||||||||||||||||||
AvalonBay Communities, Inc. | 3.450 | 06-01-25 | 3,000,000 | 3,030,249 | |||||||||||||||||||||||||
Corrections Corp. of America | 4.625 | 05-01-23 | 2,615,000 | 2,608,463 | |||||||||||||||||||||||||
Crown Castle Towers LLC (S) | 4.883 | 08-15-40 | 3,660,000 | 3,998,356 | |||||||||||||||||||||||||
Crown Castle Towers LLC (S) | 6.113 | 01-15-40 | 5,659,000 | 6,493,108 | |||||||||||||||||||||||||
DDR Corp. | 7.500 | 04-01-17 | 5,360,000 | 5,912,235 | |||||||||||||||||||||||||
Education Realty Operating Partnership LP | 4.600 | 12-01-24 | 3,100,000 | 3,149,637 | |||||||||||||||||||||||||
Goodman Funding Pty, Ltd. (S) | 6.375 | 04-15-21 | 3,220,000 | 3,719,503 | |||||||||||||||||||||||||
Health Care REIT, Inc. | 4.950 | 01-15-21 | 1,820,000 | 2,014,995 | |||||||||||||||||||||||||
Highwoods Realty LP | 5.850 | 03-15-17 | 3,130,000 | 3,366,769 | |||||||||||||||||||||||||
Iron Mountain, Inc. | 5.750 | 08-15-24 | 3,810,000 | 3,905,250 | |||||||||||||||||||||||||
Iron Mountain, Inc. | 6.000 | 08-15-23 | 3,715,000 | 3,937,900 | |||||||||||||||||||||||||
iStar Financial, Inc. | 5.000 | 07-01-19 | 980,000 | 968,975 | |||||||||||||||||||||||||
MPT Operating Partnership LP | 6.375 | 02-15-22 | 2,515,000 | 2,716,200 | |||||||||||||||||||||||||
MPT Operating Partnership LP | 6.875 | 05-01-21 | 1,835,000 | 1,965,744 | |||||||||||||||||||||||||
Omega Healthcare Investors, Inc. (S) | 4.500 | 01-15-25 | 2,865,000 | 2,862,880 | |||||||||||||||||||||||||
Omega Healthcare Investors, Inc. | 4.950 | 04-01-24 | 3,205,000 | 3,341,334 | |||||||||||||||||||||||||
USB Realty Corp. (P)(Q)(S) | 1.422 | 01-15-17 | 2,900,000 | 2,649,875 | |||||||||||||||||||||||||
Ventas Realty LP | 3.750 | 05-01-24 | 1,795,000 | 1,812,501 | |||||||||||||||||||||||||
Ventas Realty LP | 4.750 | 06-01-21 | 5,095,000 | 5,590,412 | |||||||||||||||||||||||||
Real estate management and development 0.1% | |||||||||||||||||||||||||||||
NANA Development Corp. (S) | 9.500 | 03-15-19 | 1,685,000 | 1,600,750 | |||||||||||||||||||||||||
Thrifts and mortgage finance 0.1% | |||||||||||||||||||||||||||||
Quicken Loans, Inc. (S) | 5.750 | 05-01-25 | 2,840,000 | 2,843,550 | |||||||||||||||||||||||||
Stearns Holdings, Inc. (S) | 9.375 | 08-15-20 | 1,580,000 | 1,580,000 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Health care 2.0% | $59,366,186 | ||||||||||||||||||||||||||||
Health care equipment and supplies 0.4% | |||||||||||||||||||||||||||||
Alere, Inc. | 7.250 | 07-01-18 | 2,065,000 | 2,191,481 | |||||||||||||||||||||||||
Medtronic, Inc. (S) | 4.625 | 03-15-45 | 4,720,000 | 4,896,108 | |||||||||||||||||||||||||
Zimmer Holdings, Inc. | 3.550 | 04-01-25 | 4,200,000 | 4,138,727 | |||||||||||||||||||||||||
Health care providers and services 0.6% | |||||||||||||||||||||||||||||
Covenant Surgical Partners, Inc. (S) | 8.750 | 08-01-19 | 1,650,000 | 1,658,250 | |||||||||||||||||||||||||
HCA, Inc. | 5.250 | 04-15-25 | 3,690,000 | 3,917,858 | |||||||||||||||||||||||||
HCA, Inc. | 7.500 | 02-15-22 | 2,885,000 | 3,375,450 | |||||||||||||||||||||||||
Medco Health Solutions, Inc. | 7.125 | 03-15-18 | 2,575,000 | 2,945,136 | |||||||||||||||||||||||||
Select Medical Corp. | 6.375 | 06-01-21 | 2,955,000 | 2,969,775 | |||||||||||||||||||||||||
WellCare Health Plans, Inc. | 5.750 | 11-15-20 | 3,195,000 | 3,360,741 | |||||||||||||||||||||||||
Pharmaceuticals 1.0% | |||||||||||||||||||||||||||||
AbbVie, Inc. | 3.600 | 05-14-25 | 5,600,000 | 5,632,967 | |||||||||||||||||||||||||
Actavis Funding SCS | 3.800 | 03-15-25 | 3,270,000 | 3,286,095 | |||||||||||||||||||||||||
Endo Finance LLC (S) | 6.000 | 02-01-25 | 1,340,000 | 1,356,750 | |||||||||||||||||||||||||
Endo Finance LLC (S) | 7.250 | 01-15-22 | 3,020,000 | 3,208,750 | |||||||||||||||||||||||||
Mallinckrodt International Finance SA (S) | 5.500 | 04-15-25 | 660,000 | 663,795 | |||||||||||||||||||||||||
Mallinckrodt International Finance SA (S) | 5.750 | 08-01-22 | 2,725,000 | 2,854,438 | |||||||||||||||||||||||||
Mylan, Inc. (S) | 7.875 | 07-15-20 | 3,900,000 | 4,085,289 | |||||||||||||||||||||||||
Quintiles Transnational Corp. (S) | 4.875 | 05-15-23 | 1,170,000 | 1,187,550 | |||||||||||||||||||||||||
Valeant Pharmaceuticals International, Inc. (S) | 5.500 | 03-01-23 | 1,025,000 | 1,045,500 | |||||||||||||||||||||||||
Valeant Pharmaceuticals International, Inc. (S) | 5.625 | 12-01-21 | 1,860,000 | 1,929,750 | |||||||||||||||||||||||||
Valeant Pharmaceuticals International, Inc. (S) | 6.125 | 04-15-25 | 2,733,000 | 2,845,736 | |||||||||||||||||||||||||
Valeant Pharmaceuticals International, Inc. (S) | 7.500 | 07-15-21 | 1,660,000 | 1,816,040 | |||||||||||||||||||||||||
Industrials 5.8% | 171,985,871 | ||||||||||||||||||||||||||||
Aerospace and defense 1.0% | |||||||||||||||||||||||||||||
Embraer Overseas, Ltd. (S) | 5.696 | 09-16-23 | 1,548,000 | 1,656,360 | |||||||||||||||||||||||||
Huntington Ingalls Industries, Inc. (S) | 5.000 | 12-15-21 | 3,490,000 | 3,629,600 | |||||||||||||||||||||||||
Huntington Ingalls Industries, Inc. | 7.125 | 03-15-21 | 2,550,000 | 2,728,500 | |||||||||||||||||||||||||
Lockheed Martin Corp. | 2.900 | 03-01-25 | 6,297,000 | 6,192,627 | |||||||||||||||||||||||||
Textron Financial Corp. (6.000% to 2-15-17, then 3 month LIBOR + 1.735%) (S) | 6.000 | 02-15-67 | 9,550,000 | 8,439,813 | |||||||||||||||||||||||||
Textron, Inc. | 3.875 | 03-01-25 | 2,155,000 | 2,190,476 | |||||||||||||||||||||||||
Textron, Inc. | 5.600 | 12-01-17 | 2,195,000 | 2,392,943 | |||||||||||||||||||||||||
Textron, Inc. | 7.250 | 10-01-19 | 2,110,000 | 2,497,569 | |||||||||||||||||||||||||
Airlines 2.3% | |||||||||||||||||||||||||||||
America West Airlines 2000-1 Pass Through Trust | 8.057 | 01-02-22 | 488,458 | 559,285 | |||||||||||||||||||||||||
American Airlines 2011-1 Class B Pass Through Trust (S) | 7.000 | 07-31-19 | 5,922,722 | 6,366,926 | |||||||||||||||||||||||||
American Airlines 2013-2 Class A Pass Through Trust | 4.950 | 07-15-24 | 4,038,852 | 4,341,766 | |||||||||||||||||||||||||
American Airlines 2013-2 Class B Pass Through Trust (S) | 5.600 | 01-15-22 | 1,130,008 | 1,178,033 | |||||||||||||||||||||||||
American Airlines 2015-1 Class B Pass Through Trust | 3.700 | 11-01-24 | 6,120,000 | 6,058,800 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Industrials (continued) | |||||||||||||||||||||||||||||
Airlines (continued) | |||||||||||||||||||||||||||||
British Airways PLC 2013-1 Class A Pass Through Trust (S) | 4.625 | 06-20-24 | 6,870,389 | $7,351,317 | |||||||||||||||||||||||||
British Airways PLC 2013-1 Class B Pass Through Trust (S) | 5.625 | 12-20-21 | 1,891,280 | 2,004,757 | |||||||||||||||||||||||||
Continental Airlines 1997-4 Class A Pass Through Trust | 6.900 | 07-02-19 | 1,021,679 | 1,076,543 | |||||||||||||||||||||||||
Continental Airlines 1998-1 Class A Pass Through Trust | 6.648 | 03-15-19 | 228,963 | 237,389 | |||||||||||||||||||||||||
Continental Airlines 1999-1 Class A Pass Through Trust | 6.545 | 08-02-20 | 868,440 | 942,258 | |||||||||||||||||||||||||
Continental Airlines 2000-2 Class B Pass Through Trust | 8.307 | 10-02-19 | 169,459 | 184,287 | |||||||||||||||||||||||||
Continental Airlines 2007-1 Class A Pass Through Trust | 5.983 | 10-19-23 | 3,597,871 | 4,047,605 | |||||||||||||||||||||||||
Continental Airlines 2012-1 Class B Pass Through Trust | 6.250 | 10-11-21 | 1,104,253 | 1,181,551 | |||||||||||||||||||||||||
Delta Air Lines 2002-1 Class G-1 Pass Through Trust | 6.718 | 07-02-24 | 3,872,403 | 4,491,987 | |||||||||||||||||||||||||
Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821 | 02-10-24 | 5,290,597 | 6,210,103 | |||||||||||||||||||||||||
Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200 | 01-02-20 | 770,029 | 841,256 | |||||||||||||||||||||||||
Delta Air Lines 2011-1 Class A Pass Through Trust | 5.300 | 10-15-20 | 1,206,014 | 1,305,510 | |||||||||||||||||||||||||
Northwest Airlines 2007-1 Class A Pass Through Trust | 7.027 | 05-01-21 | 2,293,469 | 2,628,774 | |||||||||||||||||||||||||
UAL 2009-1 Pass Through Trust | 10.400 | 05-01-18 | 228,110 | 250,921 | |||||||||||||||||||||||||
UAL 2009-2A Pass Through Trust | 9.750 | 07-15-18 | 1,018,613 | 1,112,834 | |||||||||||||||||||||||||
United Airlines 2014-2 Class A Pass Through Trust | 3.750 | 03-03-28 | 3,950,000 | 4,038,875 | |||||||||||||||||||||||||
United Airlines 2014-2 Class B Pass Through Trust | 4.625 | 03-03-24 | 5,240,000 | 5,390,650 | |||||||||||||||||||||||||
US Airways 2010-1 Class A Pass Through Trust | 6.250 | 10-22-24 | 3,375,029 | 3,788,470 | |||||||||||||||||||||||||
US Airways 2012-1 Class A Pass Through Trust | 5.900 | 04-01-26 | 1,168,159 | 1,320,020 | |||||||||||||||||||||||||
US Airways 2012-1 Class C Pass Through Trust | 9.125 | 10-01-15 | 606,424 | 618,553 | |||||||||||||||||||||||||
Building products 0.3% | |||||||||||||||||||||||||||||
Masco Corp. | 4.450 | 04-01-25 | 1,330,000 | 1,364,913 | |||||||||||||||||||||||||
Masco Corp. | 7.125 | 03-15-20 | 2,380,000 | 2,813,160 | |||||||||||||||||||||||||
Owens Corning | 4.200 | 12-15-22 | 4,295,000 | 4,410,969 | |||||||||||||||||||||||||
Commercial services and supplies 0.1% | |||||||||||||||||||||||||||||
Casella Waste Systems, Inc. | 7.750 | 02-15-19 | 2,610,000 | 2,681,775 | |||||||||||||||||||||||||
Safway Group Holding LLC (S) | 7.000 | 05-15-18 | 1,225,000 | 1,255,625 | |||||||||||||||||||||||||
Construction and engineering 0.1% | |||||||||||||||||||||||||||||
Tutor Perini Corp. | 7.625 | 11-01-18 | 3,640,000 | 3,767,400 | |||||||||||||||||||||||||
Electrical equipment 0.0% | |||||||||||||||||||||||||||||
EnerSys (S) | 5.000 | 04-30-23 | 995,000 | 1,007,438 | |||||||||||||||||||||||||
Industrial conglomerates 0.3% | |||||||||||||||||||||||||||||
Odebrecht Finance, Ltd. (S) | 7.125 | 06-26-42 | 2,585,000 | 2,381,431 | |||||||||||||||||||||||||
Odebrecht Finance, Ltd. (Q)(S) | 7.500 | 09-14-15 | 970,000 | 897,250 | |||||||||||||||||||||||||
Odebrecht Finance, Ltd. (S) | 8.250 | 04-25-18 | BRL | 2,850,000 | 708,005 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Industrials (continued) | |||||||||||||||||||||||||||||
Industrial conglomerates (continued) | |||||||||||||||||||||||||||||
Odebrecht Offshore Drilling Finance, Ltd. (S) | 6.625 | 10-01-23 | 854,100 | $762,711 | |||||||||||||||||||||||||
Tenedora Nemak SA de CV (S) | 5.500 | 02-28-23 | 2,780,000 | 2,932,066 | |||||||||||||||||||||||||
Machinery 0.2% | |||||||||||||||||||||||||||||
Optimas OE Solutions Holding LLC (S) | 8.625 | 06-01-21 | 1,425,000 | 1,467,750 | |||||||||||||||||||||||||
SPL Logistics Escrow LLC (S) | 8.875 | 08-01-20 | 1,751,000 | 1,864,815 | |||||||||||||||||||||||||
Trinity Industries, Inc. | 4.550 | 10-01-24 | 3,540,000 | 3,456,198 | |||||||||||||||||||||||||
Marine 0.1% | |||||||||||||||||||||||||||||
Global Ship Lease, Inc. (S) | 10.000 | 04-01-19 | 1,300,000 | 1,374,750 | |||||||||||||||||||||||||
Navios South American Logistics, Inc. (S) | 7.250 | 05-01-22 | 2,585,000 | 2,500,988 | |||||||||||||||||||||||||
Road and rail 0.2% | |||||||||||||||||||||||||||||
Penske Truck Leasing Company LP (S) | 3.375 | 02-01-22 | 5,895,000 | 5,824,449 | |||||||||||||||||||||||||
Trading companies and distributors 1.1% | |||||||||||||||||||||||||||||
Ahern Rentals, Inc. (S) | 7.375 | 05-15-23 | 4,135,000 | 4,145,338 | |||||||||||||||||||||||||
Air Lease Corp. | 3.375 | 01-15-19 | 3,760,000 | 3,854,000 | |||||||||||||||||||||||||
Air Lease Corp. | 3.875 | 04-01-21 | 2,320,000 | 2,389,600 | |||||||||||||||||||||||||
Air Lease Corp. | 4.750 | 03-01-20 | 2,105,000 | 2,247,088 | |||||||||||||||||||||||||
Air Lease Corp. | 5.625 | 04-01-17 | 1,780,000 | 1,900,150 | |||||||||||||||||||||||||
Aircastle, Ltd. | 5.500 | 02-15-22 | 2,130,000 | 2,252,475 | |||||||||||||||||||||||||
Aircastle, Ltd. | 6.250 | 12-01-19 | 1,745,000 | 1,921,681 | |||||||||||||||||||||||||
Aircastle, Ltd. | 7.625 | 04-15-20 | 1,370,000 | 1,585,775 | |||||||||||||||||||||||||
Ashtead Capital, Inc. (S) | 5.625 | 10-01-24 | 1,605,000 | 1,673,213 | |||||||||||||||||||||||||
International Lease Finance Corp. (S) | 7.125 | 09-01-18 | 2,700,000 | 3,037,500 | |||||||||||||||||||||||||
United Rentals North America, Inc. | 5.500 | 07-15-25 | 2,545,000 | 2,535,456 | |||||||||||||||||||||||||
United Rentals North America, Inc. | 5.750 | 11-15-24 | 3,185,000 | 3,236,756 | |||||||||||||||||||||||||
Transportation infrastructure 0.1% | |||||||||||||||||||||||||||||
Florida East Coast Holdings Corp. (S) | 6.750 | 05-01-19 | 2,485,000 | 2,478,788 | |||||||||||||||||||||||||
Information technology 0.6% | 16,984,122 | ||||||||||||||||||||||||||||
Electronic equipment, instruments and components 0.1% | |||||||||||||||||||||||||||||
Zebra Technologies Corp. (S) | 7.250 | 10-15-22 | 2,325,000 | 2,522,625 | |||||||||||||||||||||||||
Internet software and services 0.3% | |||||||||||||||||||||||||||||
Ancestry.com Holdings LLC, PIK (S) | 9.625 | 10-15-18 | 1,745,000 | 1,801,713 | |||||||||||||||||||||||||
Ancestry.com, Inc. | 11.000 | 12-15-20 | 2,505,000 | 2,855,700 | |||||||||||||||||||||||||
VeriSign, Inc. (S) | 5.250 | 04-01-25 | 2,620,000 | 2,672,400 | |||||||||||||||||||||||||
IT services 0.1% | |||||||||||||||||||||||||||||
Sixsigma Networks Mexico SA de CV (S) | 8.250 | 11-07-21 | 2,495,000 | 2,657,175 | |||||||||||||||||||||||||
Semiconductors and semiconductor equipment 0.1% | |||||||||||||||||||||||||||||
Micron Technology, Inc. | 5.875 | 02-15-22 | 3,460,000 | 3,633,000 | |||||||||||||||||||||||||
Software 0.0% | |||||||||||||||||||||||||||||
Infor US, Inc. (S) | 6.500 | 05-15-22 | 810,000 | 841,509 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Materials 2.5% | $73,077,197 | ||||||||||||||||||||||||||||
Chemicals 0.8% | |||||||||||||||||||||||||||||
Braskem Finance, Ltd. (S) | 7.000 | 05-07-20 | 3,350,000 | 3,517,500 | |||||||||||||||||||||||||
Incitec Pivot Finance LLC (S) | 6.000 | 12-10-19 | 1,920,000 | 2,153,140 | |||||||||||||||||||||||||
NOVA Chemicals Corp. (S) | 5.000 | 05-01-25 | 5,185,000 | 5,314,625 | |||||||||||||||||||||||||
Platform Specialty Products Corp. (S) | 6.500 | 02-01-22 | 5,300,000 | 5,565,000 | |||||||||||||||||||||||||
Rain CII Carbon LLC (S) | 8.250 | 01-15-21 | 1,325,000 | 1,285,250 | |||||||||||||||||||||||||
Rockwood Specialties Group, Inc. | 4.625 | 10-15-20 | 5,545,000 | 5,787,594 | |||||||||||||||||||||||||
Construction materials 0.5% | |||||||||||||||||||||||||||||
American Gilsonite Company (S) | 11.500 | 09-01-17 | 3,035,000 | 2,663,213 | |||||||||||||||||||||||||
Cemex SAB de CV (S) | 6.125 | 05-05-25 | 3,400,000 | 3,430,600 | |||||||||||||||||||||||||
Cemex SAB de CV (S) | 6.500 | 12-10-19 | 3,500,000 | 3,736,600 | |||||||||||||||||||||||||
Norbord, Inc. (S) | 6.250 | 04-15-23 | 2,195,000 | 2,229,999 | |||||||||||||||||||||||||
Vulcan Materials Company | 4.500 | 04-01-25 | 2,600,000 | 2,626,000 | |||||||||||||||||||||||||
Containers and packaging 0.2% | |||||||||||||||||||||||||||||
Ardagh Finance Holdings SA, PIK (S) | 8.625 | 06-15-19 | 2,426,936 | 2,587,721 | |||||||||||||||||||||||||
Tekni-Plex, Inc. (S) | 9.750 | 06-01-19 | 1,266,000 | 1,358,583 | |||||||||||||||||||||||||
Wise Metals Group LLC (S) | 8.750 | 12-15-18 | 2,330,000 | 2,487,298 | |||||||||||||||||||||||||
Metals and mining 1.0% | |||||||||||||||||||||||||||||
Alcoa, Inc. | 5.125 | 10-01-24 | 3,190,000 | 3,405,325 | |||||||||||||||||||||||||
Allegheny Technologies, Inc. | 9.375 | 06-01-19 | 5,935,000 | 7,047,813 | |||||||||||||||||||||||||
ArcelorMittal | 10.600 | 06-01-19 | 1,845,000 | 2,237,063 | |||||||||||||||||||||||||
Commercial Metals Company | 7.350 | 08-15-18 | 2,520,000 | 2,734,200 | |||||||||||||||||||||||||
Glencore Finance Canada, Ltd. (S) | 4.250 | 10-25-22 | 2,195,000 | 2,234,264 | |||||||||||||||||||||||||
Glencore Funding LLC (S) | 4.125 | 05-30-23 | 4,465,000 | 4,451,551 | |||||||||||||||||||||||||
MMC Norilsk Nickel OJSC (S) | 5.550 | 10-28-20 | 1,615,000 | 1,612,578 | |||||||||||||||||||||||||
Rain CII Carbon LLC (S) | 8.000 | 12-01-18 | 2,870,000 | 2,812,600 | |||||||||||||||||||||||||
Vedanta Resources PLC (S) | 7.125 | 05-31-23 | 1,950,000 | 1,798,680 | |||||||||||||||||||||||||
Telecommunication services 1.8% | 54,349,333 | ||||||||||||||||||||||||||||
Diversified telecommunication services 0.9% | |||||||||||||||||||||||||||||
AT&T, Inc. | 4.750 | 05-15-46 | 3,320,000 | 3,145,497 | |||||||||||||||||||||||||
Columbus International, Inc. (S) | 7.375 | 03-30-21 | 1,525,000 | 1,652,719 | |||||||||||||||||||||||||
GCI, Inc. | 6.875 | 04-15-25 | 2,325,000 | 2,388,938 | |||||||||||||||||||||||||
T-Mobile USA, Inc. | 6.125 | 01-15-22 | 1,530,000 | 1,604,588 | |||||||||||||||||||||||||
T-Mobile USA, Inc. | 6.250 | 04-01-21 | 1,750,000 | 1,854,125 | |||||||||||||||||||||||||
Telecom Italia Capital SA | 6.999 | 06-04-18 | 2,205,000 | 2,457,252 | |||||||||||||||||||||||||
Telecom Italia Capital SA | 7.200 | 07-18-36 | 2,190,000 | 2,419,950 | |||||||||||||||||||||||||
Verizon Communications, Inc. | 4.400 | 11-01-34 | 2,985,000 | 2,861,158 | |||||||||||||||||||||||||
Verizon Communications, Inc. | 5.012 | 08-21-54 | 2,259,000 | 2,136,330 | |||||||||||||||||||||||||
Verizon Communications, Inc. | 6.550 | 09-15-43 | 2,620,000 | 3,167,973 | |||||||||||||||||||||||||
Wind Acquisition Finance SA (S) | 7.375 | 04-23-21 | 2,495,000 | 2,601,038 | |||||||||||||||||||||||||
Wireless telecommunication services 0.9% | |||||||||||||||||||||||||||||
Comcel Trust (S) | 6.875 | 02-06-24 | 3,320,000 | 3,560,700 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Telecommunication services (continued) | |||||||||||||||||||||||||||||
Wireless telecommunication services (continued) | |||||||||||||||||||||||||||||
Digicel Group, Ltd. (S) | 8.250 | 09-30-20 | 3,035,000 | $3,147,295 | |||||||||||||||||||||||||
Digicel, Ltd. (S) | 6.750 | 03-01-23 | 2,000,000 | 1,985,000 | |||||||||||||||||||||||||
Millicom International Cellular SA (S) | 4.750 | 05-22-20 | 3,530,000 | 3,503,666 | |||||||||||||||||||||||||
Millicom International Cellular SA (S) | 6.625 | 10-15-21 | 3,165,000 | 3,362,813 | |||||||||||||||||||||||||
MTN Mauritius Investments, Ltd. (S) | 4.755 | 11-11-24 | 1,255,000 | 1,276,963 | |||||||||||||||||||||||||
SBA Tower Trust (S) | 2.933 | 12-15-42 | 2,555,000 | 2,595,783 | |||||||||||||||||||||||||
SBA Tower Trust (S) | 3.598 | 04-15-43 | 2,770,000 | 2,766,959 | |||||||||||||||||||||||||
SBA Tower Trust (S) | 5.101 | 04-15-42 | 2,830,000 | 2,937,348 | |||||||||||||||||||||||||
SoftBank Corp. (S) | 4.500 | 04-15-20 | 2,845,000 | 2,923,238 | |||||||||||||||||||||||||
Utilities 1.5% | 43,577,283 | ||||||||||||||||||||||||||||
Electric utilities 1.0% | |||||||||||||||||||||||||||||
Beaver Valley II Funding Corp. | 9.000 | 06-01-17 | 371,000 | 400,680 | |||||||||||||||||||||||||
BVPS II Funding Corp. | 8.890 | 06-01-17 | 790,000 | 827,525 | |||||||||||||||||||||||||
Electricite de France SA (5.250% to 1-29-23, then 10 Year Swap Rate + 3.709%) (Q)(S) | 5.250 | 01-29-23 | 3,415,000 | 3,548,527 | |||||||||||||||||||||||||
Empresa Electrica Angamos SA (S) | 4.875 | 05-25-29 | 3,370,000 | 3,399,488 | |||||||||||||||||||||||||
Israel Electric Corp., Ltd. (S) | 5.625 | 06-21-18 | 2,940,000 | 3,154,620 | |||||||||||||||||||||||||
Israel Electric Corp., Ltd. (S) | 6.875 | 06-21-23 | 1,570,000 | 1,836,900 | |||||||||||||||||||||||||
Israel Electric Corp., Ltd. (S) | 7.250 | 01-15-19 | 2,720,000 | 3,090,600 | |||||||||||||||||||||||||
NextEra Energy Capital Holdings, Inc. (6.650% to 6-15-17, then 3 month LIBOR + 2.125%) | 6.650 | 06-15-67 | 955,000 | 892,925 | |||||||||||||||||||||||||
NRG Yield Operating LLC (S) | 5.375 | 08-15-24 | 2,655,000 | 2,734,650 | |||||||||||||||||||||||||
PNPP II Funding Corp. | 9.120 | 05-30-16 | 104,000 | 107,120 | |||||||||||||||||||||||||
PPL Capital Funding, Inc. (6.700% to 3-30-17, then 3 month LIBOR + 2.665%) | 6.700 | 03-30-67 | 2,860,000 | 2,629,018 | |||||||||||||||||||||||||
PPL Energy Supply LLC (S) | 6.500 | 06-01-25 | 2,165,000 | 2,204,962 | |||||||||||||||||||||||||
Southern California Edison Company (6.250% to 2-1-22, then 3 month LIBOR + 4.199%) (Q) | 6.250 | 02-01-22 | 1,955,000 | 2,196,931 | |||||||||||||||||||||||||
W3A Funding Corp. | 8.090 | 01-02-17 | 832,045 | 832,045 | |||||||||||||||||||||||||
Independent power and renewable electricity producers 0.2% | |||||||||||||||||||||||||||||
Dynegy, Inc. (S) | 6.750 | 11-01-19 | 1,135,000 | 1,200,263 | |||||||||||||||||||||||||
Dynegy, Inc. (S) | 7.625 | 11-01-24 | 5,050,000 | 5,416,125 | |||||||||||||||||||||||||
Multi-utilities 0.3% | |||||||||||||||||||||||||||||
Columbia Pipeline Group, Inc. (S) | 4.500 | 06-01-25 | 3,405,000 | 3,448,516 | |||||||||||||||||||||||||
Integrys Energy Group, Inc. (6.110% to 12-1-16, then 3 month LIBOR + 2.120%) | 6.110 | 12-01-66 | 3,915,000 | 3,719,250 | |||||||||||||||||||||||||
Wisconsin Energy Corp. (6.250% to 5-15-17, then 3 month LIBOR + 2.113%) | 6.250 | 05-15-67 | 2,010,000 | 1,937,138 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
U.S. Government and Agency obligations 25.7% | $756,633,902 | ||||||||||||||||||||||||||||
(Cost $747,855,967) | |||||||||||||||||||||||||||||
U.S. Government 9.0% | 265,203,111 | ||||||||||||||||||||||||||||
U.S. Treasury | |||||||||||||||||||||||||||||
Bond | 2.500 | 02-15-45 | 157,151,000 | 144,726,328 | |||||||||||||||||||||||||
Bond | 3.125 | 02-15-42 | 62,550,000 | 65,477,152 | |||||||||||||||||||||||||
Note | 0.750 | 04-15-18 | 26,470,000 | 26,345,909 | |||||||||||||||||||||||||
Note | 2.125 | 05-15-25 | 14,577,000 | 14,586,111 | |||||||||||||||||||||||||
Treasury Inflation Protected Security | 0.250 | 01-15-25 | 14,148,298 | 14,067,611 | |||||||||||||||||||||||||
U.S. Government Agency 16.7% | 491,430,791 | ||||||||||||||||||||||||||||
Federal Home Loan Bank | |||||||||||||||||||||||||||||
15 Yr Pass Thru | 2.900 | 09-05-25 | 1,390,476 | 1,388,169 | |||||||||||||||||||||||||
15 Yr Pass Thru | 3.170 | 10-04-27 | 1,425,000 | 1,405,955 | |||||||||||||||||||||||||
15 Yr Pass Thru | 3.250 | 06-21-27 | 1,915,152 | 1,915,460 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 03-01-42 | 14,469,011 | 15,534,406 | |||||||||||||||||||||||||
Federal Home Loan Mortgage Corp. | |||||||||||||||||||||||||||||
30 Yr Pass Thru (P) | 2.558 | 06-01-44 | 3,415,606 | 3,527,665 | |||||||||||||||||||||||||
30 Yr Pass Thru (P) | 2.677 | 05-01-44 | 3,111,623 | 3,217,347 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 03-01-43 | 6,575,180 | 6,686,136 | |||||||||||||||||||||||||
30 Yr Pass Thru (P) | 3.018 | 03-01-44 | 830,391 | 865,061 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 05-01-42 | 4,548,161 | 4,759,046 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 06-01-42 | 10,872,971 | 11,377,119 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 09-01-42 | 3,581,678 | 3,742,714 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 04-01-44 | 11,132,143 | 11,693,533 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 11-01-43 | 8,267,639 | 8,912,580 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 02-01-44 | 2,256,803 | 2,423,330 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 11-01-39 | 5,884,363 | 6,403,263 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 02-01-41 | 8,864,789 | 9,657,592 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 03-01-41 | 4,608,798 | 5,077,146 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 07-01-37 | 162,633 | 184,285 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 05-01-38 | 602,607 | 682,928 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 11-01-39 | 12,405,211 | 14,054,819 | |||||||||||||||||||||||||
Federal National Mortgage Association | |||||||||||||||||||||||||||||
15 Yr Pass Thru | 3.000 | 09-01-27 | 7,030,331 | 7,363,173 | |||||||||||||||||||||||||
15 Yr Pass Thru | 3.500 | 02-01-26 | 1,057,705 | 1,122,541 | |||||||||||||||||||||||||
15 Yr Pass Thru | 3.500 | 03-01-26 | 8,795,328 | 9,334,478 | |||||||||||||||||||||||||
15 Yr Pass Thru | 4.000 | 12-01-24 | 4,983,104 | 5,333,558 | |||||||||||||||||||||||||
30 Yr Pass Thru (P) | 2.513 | 06-01-44 | 5,600,470 | 5,784,087 | |||||||||||||||||||||||||
30 Yr Pass Thru (P) | 2.551 | 04-01-44 | 5,478,721 | 5,664,608 | |||||||||||||||||||||||||
30 Yr Pass Thru (P) | 2.919 | 03-01-44 | 785,016 | 816,582 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 10-01-42 | 7,237,055 | 7,353,527 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 12-01-42 | 3,734,228 | 3,794,326 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 01-01-43 | 2,681,621 | 2,724,778 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 03-01-43 | 1,858,673 | 1,891,490 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
U.S. Government Agency (continued) | |||||||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 05-01-43 | 2,566,760 | $2,612,480 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 06-01-43 | 4,442,692 | 4,511,415 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 11-01-40 | 6,729,314 | 7,057,894 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 06-01-42 | 6,243,502 | 6,538,605 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 08-01-42 | 10,484,431 | 10,981,622 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 01-01-43 | 28,379,097 | 29,717,718 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 07-01-43 | 10,564,370 | 11,090,112 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 11-01-40 | 2,309,998 | 2,491,369 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 01-01-41 | 12,123,407 | 13,004,905 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 09-01-41 | 12,060,092 | 13,024,502 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 10-01-41 | 12,032,690 | 12,938,088 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 01-01-42 | 6,786,118 | 7,315,753 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 09-01-43 | 13,920,311 | 15,100,274 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 10-01-43 | 17,678,510 | 19,107,984 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 01-01-44 | 6,271,832 | 6,778,969 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 08-01-40 | 12,544,795 | 13,682,647 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 02-01-41 | 12,301,544 | 13,409,644 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 05-01-41 | 10,360,482 | 11,309,923 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 06-01-41 | 12,796,468 | 14,001,135 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 07-01-41 | 5,656,881 | 6,189,423 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 08-01-41 | 7,776,703 | 8,508,806 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 05-01-42 | 14,493,688 | 15,858,132 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 01-01-43 | 3,532,270 | 3,850,450 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 08-01-40 | 8,635,848 | 9,614,466 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 09-01-40 | 7,712,999 | 8,587,039 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 02-01-41 | 5,795,282 | 6,469,210 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 03-01-41 | 6,565,726 | 7,347,715 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 04-01-41 | 2,193,187 | 2,490,724 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 07-01-42 | 4,462,957 | 4,968,701 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 05-01-35 | 2,696,124 | 3,062,755 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 04-01-36 | 690,306 | 782,964 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 05-01-36 | 3,080,093 | 3,496,412 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 01-01-39 | 2,530,431 | 2,877,991 | |||||||||||||||||||||||||
30 Yr Pass Thru | 6.000 | 02-01-37 | 705,771 | 808,291 | |||||||||||||||||||||||||
30 Yr Pass Thru | 6.500 | 01-01-39 | 3,186,334 | 3,676,849 | |||||||||||||||||||||||||
30 Yr Pass Thru | 6.500 | 06-01-39 | 1,108,288 | 1,277,779 | |||||||||||||||||||||||||
Fannie Mae Pool | 3.500 | 04-01-45 | 21,197,730 | 22,196,343 | |||||||||||||||||||||||||
Foreign government obligations 0.2% | $5,233,956 | ||||||||||||||||||||||||||||
(Cost $4,745,253) | |||||||||||||||||||||||||||||
Argentina 0.2% | 5,233,956 | ||||||||||||||||||||||||||||
City of Buenos Aires (S) | 9.950 | 03-01-17 | 2,645,000 | 2,737,575 | |||||||||||||||||||||||||
Republic of Argentina (H) | 8.280 | 12-31-33 | 2,502,638 | 2,496,381 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Municipal bonds 0.2% | $5,972,967 | ||||||||||||||||||||||||||||
(Cost $5,949,597) | |||||||||||||||||||||||||||||
State of Hawaii Department of Business Economic Development & Tourism | 1.467 | 07-01-22 | 5,950,000 | 5,972,967 | |||||||||||||||||||||||||
Term loans (M) 0.5% | $14,516,071 | ||||||||||||||||||||||||||||
(Cost $14,874,469) | |||||||||||||||||||||||||||||
Consumer discretionary 0.1% | 2,042,902 | ||||||||||||||||||||||||||||
Hotels, restaurants and leisure 0.1% | |||||||||||||||||||||||||||||
Marina District Finance Company, Inc. | 6.500 | 08-15-18 | 2,026,616 | 2,042,902 | |||||||||||||||||||||||||
Consumer staples 0.1% | 2,510,691 | ||||||||||||||||||||||||||||
Household products 0.1% | |||||||||||||||||||||||||||||
The Sun Products Corp. | 5.500 | 03-23-20 | 2,564,109 | 2,510,691 | |||||||||||||||||||||||||
Energy 0.0% | 1,188,684 | ||||||||||||||||||||||||||||
Oil, gas and consumable fuels 0.0% | |||||||||||||||||||||||||||||
Templar Energy LLC | 8.500 | 11-25-20 | 1,545,000 | 1,188,684 | |||||||||||||||||||||||||
Financials 0.1% | 1,554,151 | ||||||||||||||||||||||||||||
Capital markets 0.1% | |||||||||||||||||||||||||||||
Walter Investment Management Corp. | 4.750 | 12-19-20 | 1,647,510 | 1,554,151 | |||||||||||||||||||||||||
Health care 0.0% | 899,994 | ||||||||||||||||||||||||||||
Health care providers and services 0.0% | |||||||||||||||||||||||||||||
Surgery Center Holdings, Inc. | 5.250 | 11-03-20 | 897,750 | 899,994 | |||||||||||||||||||||||||
Industrials 0.1% | 2,645,114 | ||||||||||||||||||||||||||||
Aerospace and defense 0.0% | |||||||||||||||||||||||||||||
WP CPP Holdings LLC | 4.750 | 12-28-19 | 977,500 | 980,921 | |||||||||||||||||||||||||
Airlines 0.1% | |||||||||||||||||||||||||||||
Delta Air Lines, Inc. | 3.250 | 10-18-18 | 1,664,712 | 1,664,193 | |||||||||||||||||||||||||
Information technology 0.0% | 420,954 | ||||||||||||||||||||||||||||
Software 0.0% | |||||||||||||||||||||||||||||
BMC Software Finance, Inc. | 5.000 | 09-10-20 | 428,750 | 420,954 | |||||||||||||||||||||||||
Utilities 0.1% | 3,253,581 | ||||||||||||||||||||||||||||
Electric utilities 0.1% | |||||||||||||||||||||||||||||
ExGen Texas Power LLC | 5.750 | 09-16-21 | 2,054,101 | 2,060,093 | |||||||||||||||||||||||||
La Frontera Generation LLC | 4.500 | 09-30-20 | 1,192,891 | 1,193,488 | |||||||||||||||||||||||||
Capital preferred securities 1.0% | $29,709,964 | ||||||||||||||||||||||||||||
(Cost $28,840,934) | |||||||||||||||||||||||||||||
Financials 1.0% | 29,709,964 | ||||||||||||||||||||||||||||
Banks 0.2% | |||||||||||||||||||||||||||||
BAC Capital Trust XIV, Series G (P)(Q) | 4.000 | 09-29-49 | 4,683,000 | 3,758,108 | |||||||||||||||||||||||||
Sovereign Capital Trust VI | 7.908 | 06-13-36 | 2,613,000 | 2,721,011 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Financials (continued) | |||||||||||||||||||||||||||||
Capital markets 0.3% | |||||||||||||||||||||||||||||
Goldman Sachs Capital II (P)(Q) | 4.000 | 12-31-49 | 6,375,000 | $4,924,688 | |||||||||||||||||||||||||
State Street Capital Trust IV (P) | 1.271 | 06-01-67 | 5,720,000 | 4,883,450 | |||||||||||||||||||||||||
Insurance 0.5% | |||||||||||||||||||||||||||||
MetLife Capital Trust IV (7.875% to 12-15-32, then 3 month LIBOR + 3.960%) (S) | 7.875 | 12-15-67 | 960,000 | 1,245,600 | |||||||||||||||||||||||||
MetLife Capital Trust X (9.250% to 4-8-33 then 3 month LIBOR + 5.540%) (S) | 9.250 | 04-08-68 | 2,795,000 | 4,101,663 | |||||||||||||||||||||||||
ZFS Finance USA Trust II (6.450% to 6-15-16 then 3 month LIBOR + 2.000%) (S) | 6.450 | 12-15-65 | 6,235,000 | 6,453,225 | |||||||||||||||||||||||||
ZFS Finance USA Trust V (6.500% to 5-9-17, then 3 month LIBOR + 2.285%) (S) | 6.500 | 05-09-67 | 1,525,000 | 1,622,219 | |||||||||||||||||||||||||
Collateralized mortgage obligations 12.5% | $368,091,494 | ||||||||||||||||||||||||||||
(Cost $351,034,490) | |||||||||||||||||||||||||||||
Commercial and residential 11.3% | 331,609,311 | ||||||||||||||||||||||||||||
Adjustable Rate Mortgage Trust Series 2005-4, Class 7A12 (P) | 0.765 | 08-25-35 | 1,767,483 | 1,699,465 | |||||||||||||||||||||||||
American Home Mortgage Assets Trust Series 2006-6, Class XP IO | 2.220 | 12-25-46 | 17,512,812 | 1,827,427 | |||||||||||||||||||||||||
American Home Mortgage Investment Trust | |||||||||||||||||||||||||||||
Series 2005-1, Class 1A1 (P) | 0.405 | 06-25-45 | 3,754,829 | 3,489,648 | |||||||||||||||||||||||||
Series 2005-1, Class AHM (P) | 2.402 | 06-25-45 | 2,857,141 | 2,833,732 | |||||||||||||||||||||||||
Americold 2010 LLC Trust Series 2010-ARTA, Class D (S) | 7.443 | 01-14-29 | 4,545,000 | 5,257,138 | |||||||||||||||||||||||||
AOA Mortgage Trust Series 2015-1177, Class C (P) (S) | 3.010 | 12-13-29 | 3,277,000 | 3,266,494 | |||||||||||||||||||||||||
BAMLL Commercial Mortgage Securities Trust | |||||||||||||||||||||||||||||
Series 2013-DSNY, Class E (P) (S) | 2.786 | 09-15-26 | 2,300,000 | 2,293,813 | |||||||||||||||||||||||||
Series 2014-ICTS, Class D (P) (S) | 2.086 | 06-15-28 | 710,000 | 709,171 | |||||||||||||||||||||||||
Series 2014-ICTS, Class E (P) (S) | 3.136 | 06-15-28 | 1,425,000 | 1,423,336 | |||||||||||||||||||||||||
Series 2015-200P, Class F (P) (S) | 3.596 | 04-14-33 | 4,200,000 | 3,859,565 | |||||||||||||||||||||||||
BBCMS Trust Series 2015, Class C (P) (S) | 2.186 | 02-15-28 | 2,145,000 | 2,146,532 | |||||||||||||||||||||||||
Bear Stearns Adjustable Rate Mortgage Trust | |||||||||||||||||||||||||||||
Series 2005-2, Class A1 (P) | 2.680 | 03-25-35 | 3,693,062 | 3,724,852 | |||||||||||||||||||||||||
Series 2005-5, Class A2 (P) | 2.260 | 08-25-35 | 4,303,213 | 4,321,811 | |||||||||||||||||||||||||
Bear Stearns ALT-A Trust | |||||||||||||||||||||||||||||
Series 2004-12, Class 1A1 (P) | 0.885 | 01-25-35 | 6,032,710 | 5,856,639 | |||||||||||||||||||||||||
Series 2005-5, Class 1A4 (P) | 0.745 | 07-25-35 | 3,358,915 | 3,025,959 | |||||||||||||||||||||||||
Series 2005-7, Class 11A1 (P) | 0.725 | 08-25-35 | 4,685,359 | 4,456,863 | |||||||||||||||||||||||||
Bear Stearns Asset Backed Securities Trust Series 2004-AC5, Class A1 (P) | 5.750 | 10-25-34 | 4,762,704 | 4,860,197 | |||||||||||||||||||||||||
BHMS Mortgage Trust Series 2014-ATLS, Class DFL (P) (S) | 3.181 | 07-05-33 | 4,675,000 | 4,582,234 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Commercial and residential (continued) | |||||||||||||||||||||||||||||
BLCP Hotel Trust Series 2014-CLRN, Class D (P) (S) | 2.686 | 08-15-29 | 5,015,000 | $5,014,995 | |||||||||||||||||||||||||
BWAY Mortgage Trust | |||||||||||||||||||||||||||||
Series 2013-1515, Class F (P) (S) | 3.927 | 03-10-33 | 4,915,000 | 4,653,733 | |||||||||||||||||||||||||
Series 2015-1740, Class D (P) (S) | 3.787 | 01-13-35 | 3,765,000 | 3,712,651 | |||||||||||||||||||||||||
CDGJ Commercial Mortgage Trust Series 2014-BXCH, Class D (P) (S) | 3.186 | 12-15-27 | 5,155,000 | 5,165,619 | |||||||||||||||||||||||||
CGBAM Commercial Mortgage Series 2015-SMRT, Class F | 3.912 | 04-10-28 | 3,345,000 | 3,241,914 | |||||||||||||||||||||||||
Commercial Mortgage Trust (Deutsche Bank) | |||||||||||||||||||||||||||||
Series 2012-CR3, Class XA IO (P) | 2.160 | 10-15-45 | 43,923,108 | 4,610,828 | |||||||||||||||||||||||||
Series 2012-LC4, Class B (P) | 4.934 | 12-10-44 | 2,145,000 | 2,398,447 | |||||||||||||||||||||||||
Series 2013-300P, Class D (P) (S) | 4.394 | 08-10-30 | 4,685,000 | 4,919,995 | |||||||||||||||||||||||||
Series 2013-CR11, Class B (P) | 5.163 | 10-10-46 | 6,764,000 | 7,646,648 | |||||||||||||||||||||||||
Series 2013-CR13, Class C (P) | 4.755 | 12-10-23 | 3,160,000 | 3,399,342 | |||||||||||||||||||||||||
Series 2013-CR6, Class XA IO | 1.519 | 03-10-46 | 37,653,294 | 2,288,944 | |||||||||||||||||||||||||
Series 2013-LC13, Class B (P) (S) | 5.009 | 08-10-46 | 4,015,000 | 4,492,689 | |||||||||||||||||||||||||
Series 2014-FL4, Class D (P) (S) | 2.630 | 07-13-31 | 4,410,000 | 4,388,060 | |||||||||||||||||||||||||
Series 2014-TWC, Class D (P) (S) | 2.430 | 02-13-32 | 4,170,000 | 4,167,836 | |||||||||||||||||||||||||
Commercial Mortgage Trust (Deutsche Bank/Morgan Stanley) Series 2014-PAT, Class D (P) (S) | 2.336 | 08-13-27 | 5,785,000 | 5,836,527 | |||||||||||||||||||||||||
Commercial Mortgage Trust (Wells Fargo) | |||||||||||||||||||||||||||||
Series 2012-CR2, Class XA IO | 1.892 | 08-15-45 | 21,459,193 | 2,014,439 | |||||||||||||||||||||||||
Series 2014-CR15, Class XA IO | 1.340 | 02-10-47 | 40,044,328 | 2,630,432 | |||||||||||||||||||||||||
Series 2014-CR16, Class C (P) | 4.906 | 04-10-47 | 3,740,000 | 4,027,752 | |||||||||||||||||||||||||
Core Industrial Trust Series 2015-CALW, Class F (P) (S) | 3.850 | 02-10-34 | 4,740,000 | 4,623,609 | |||||||||||||||||||||||||
Credit Suisse Mortgage Trust Series 2014-ICE, Class D (P) (S) | 2.336 | 04-15-27 | 6,350,000 | 6,325,991 | |||||||||||||||||||||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust Series 2004-4, Class 2AR1 (P) | 0.455 | 06-25-34 | 3,103,047 | 2,936,640 | |||||||||||||||||||||||||
Extended Stay America Trust Series 2013-ESFL, Class DFL (P) (S) | 3.321 | 12-05-31 | 3,965,000 | 3,961,467 | |||||||||||||||||||||||||
GAHR Commercial Mortgage Trust | |||||||||||||||||||||||||||||
Series 2015-NRF, Class DFX (P) (S) | 3.382 | 12-15-19 | 2,115,000 | 2,092,336 | |||||||||||||||||||||||||
Series 2015-NRF, Class EFX (P) (S) | 3.382 | 12-15-19 | 4,580,000 | 4,338,799 | |||||||||||||||||||||||||
GMAC Mortgage Loan Trust Series 2004-AR2, Class 3A (P) | 2.941 | 08-19-34 | 2,289,781 | 2,212,911 | |||||||||||||||||||||||||
HarborView Mortgage Loan Trust | |||||||||||||||||||||||||||||
Series 2005-11, Class X IO | 2.430 | 08-19-45 | 8,041,054 | 482,740 | |||||||||||||||||||||||||
Series 2005-2, Class IX IO | 2.136 | 05-19-35 | 36,933,640 | 2,500,045 | |||||||||||||||||||||||||
Series 2005-9, Class 2A1C (P) | 0.631 | 06-20-35 | 4,211,633 | 3,859,343 | |||||||||||||||||||||||||
Series 2005-8, Class 1X IO | 2.037 | 09-19-35 | 9,736,837 | 500,288 | |||||||||||||||||||||||||
Series 2007-3, Class ES IO (S) | 0.350 | 05-19-47 | 52,700,107 | 559,939 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Commercial and residential (continued) | |||||||||||||||||||||||||||||
Series 2007-4, Class ES IO | 0.350 | 07-19-47 | 55,137,477 | $551,375 | |||||||||||||||||||||||||
Series 2007-6, Class ES IO (S) | 0.343 | 08-19-37 | 42,725,718 | 453,961 | |||||||||||||||||||||||||
HILT Mortgage Trust Series 2014-ORL, Class D (P) (S) | 2.336 | 07-15-29 | 4,445,000 | 4,371,177 | |||||||||||||||||||||||||
Hilton USA Trust | |||||||||||||||||||||||||||||
Series 2013-HLF, Class EFL (P) (S) | 3.931 | 11-05-30 | 3,764,477 | 3,763,415 | |||||||||||||||||||||||||
Series 2013-HLT, Class DFX (S) | 4.407 | 11-05-30 | 4,077,000 | 4,141,502 | |||||||||||||||||||||||||
IndyMac Index Mortgage Loan Trust | |||||||||||||||||||||||||||||
Series 2005-AR12, Class AX2 IO | 2.281 | 07-25-35 | 61,598,515 | 4,424,868 | |||||||||||||||||||||||||
Series 2005-AR8, Class AX2 IO | 2.301 | 04-25-35 | 52,831,714 | 4,198,589 | |||||||||||||||||||||||||
Series 2005-AR18, Class 1X IO | 2.028 | 10-25-36 | 23,288,506 | 2,011,435 | |||||||||||||||||||||||||
Series 2005-AR18, Class 2X IO | 1.697 | 10-25-36 | 35,509,542 | 1,353,766 | |||||||||||||||||||||||||
JPMBB Commercial Mortgage Securities Trust Series 2014-C19, Class C (P) | 4.677 | 04-15-47 | 6,980,000 | 7,396,141 | �� | ||||||||||||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | |||||||||||||||||||||||||||||
Series 2012-HSBC, Class XA IO (S) | 1.431 | 07-05-32 | 20,100,000 | 1,797,161 | |||||||||||||||||||||||||
Series 2014-FBLU, Class D (P) (S) | 2.782 | 12-15-28 | 4,830,000 | 4,840,998 | |||||||||||||||||||||||||
Series 2014-FBLU, Class E (P) (S) | 3.682 | 12-15-28 | 3,925,000 | 3,925,840 | |||||||||||||||||||||||||
Series 2014-FL5, Class C (P) (S) | 2.286 | 07-15-31 | 7,785,000 | 7,753,961 | |||||||||||||||||||||||||
Series 2014-INN, Class F (P) (S) | 4.186 | 06-15-29 | 3,495,000 | 3,461,081 | |||||||||||||||||||||||||
Series 2014-PHH, Class C (P) (S) | 2.286 | 08-15-27 | 6,320,000 | 6,364,518 | |||||||||||||||||||||||||
MASTR Adjustable Rate Mortgages Trust Series 2004-11, Class M2 (P) | 1.285 | 11-25-34 | 3,370,000 | 3,258,642 | |||||||||||||||||||||||||
Merrill Lynch Mortgage Investors Trust Series 2005-2, Class 1A (P) | 1.582 | 10-25-35 | 4,235,408 | 4,098,482 | |||||||||||||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust | |||||||||||||||||||||||||||||
Series 2013-C7, Class C (P) | 4.182 | 02-15-46 | 2,528,000 | 2,613,224 | |||||||||||||||||||||||||
Series 2014-C18, Class 300D | 5.279 | 08-15-31 | 2,795,000 | 2,929,308 | |||||||||||||||||||||||||
Morgan Stanley Capital I Trust | |||||||||||||||||||||||||||||
Series 2014-150E, Class D (P) (S) | 4.295 | 09-09-32 | 10,800,000 | 11,280,686 | |||||||||||||||||||||||||
Series 2015-XLF1 | 2.350 | 08-13-16 | 4,775,000 | 4,778,619 | |||||||||||||||||||||||||
Morgan Stanley Mortgage Loan Trust Series 2004-6AR, Class 2A2 (P) | 2.661 | 08-25-34 | 4,047,032 | 4,000,964 | |||||||||||||||||||||||||
MortgageIT Trust Series 2005-2, Class 1A2 (P) | 0.515 | 05-25-35 | 2,602,238 | 2,423,529 | |||||||||||||||||||||||||
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates | |||||||||||||||||||||||||||||
Series 2005-2, Class M2 (P) | 0.635 | 04-25-35 | 2,952,672 | 2,693,171 | |||||||||||||||||||||||||
Series 2005-3, Class APT (P) | 0.475 | 07-25-35 | 3,327,484 | 3,242,470 | |||||||||||||||||||||||||
Residential Accredit Loans, Inc. Series 2005-QO4, Class XIO IO | 2.320 | 12-25-45 | 20,340,437 | 2,575,354 | |||||||||||||||||||||||||
Springleaf Mortgage Loan Trust Series 2012-3A, Class M1 (P) (S) | 2.660 | 12-25-59 | 1,520,000 | 1,527,404 | |||||||||||||||||||||||||
Thornburg Mortgage Securities Trust Series 2004-1, Class II2A (P) | 1.620 | 03-25-44 | 4,018,829 | 3,925,697 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Commercial and residential (continued) | |||||||||||||||||||||||||||||
TMSQ Mortgage Trust Series 2011-1500, Class D (P) (S) | 3.835 | 10-10-36 | 2,770,000 | $2,752,380 | |||||||||||||||||||||||||
UBS Commercial Mortgage Trust Series 2012-C1, Class B | 4.822 | 05-10-45 | 2,445,000 | 2,671,016 | |||||||||||||||||||||||||
UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class XA IO (S) | 1.739 | 05-10-63 | 38,398,199 | 2,786,596 | |||||||||||||||||||||||||
VNDO Mortgage Trust Series 2013-PENN, Class D (P) (S) | 3.947 | 12-13-29 | 5,923,000 | 6,148,844 | |||||||||||||||||||||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C31, Class AM (P) | 5.591 | 04-15-47 | 1,810,000 | 1,927,333 | |||||||||||||||||||||||||
WaMu Mortgage Pass Through Certificates | |||||||||||||||||||||||||||||
Series 2005-AR13, Class X IO | 1.441 | 10-25-45 | 86,746,849 | 5,796,077 | |||||||||||||||||||||||||
Series 2005-AR19, Class A1A2 (P) | 0.475 | 12-25-45 | 3,943,452 | 3,598,250 | |||||||||||||||||||||||||
Series 2005-AR2, Class 2A1B (P) | 0.555 | 01-25-45 | 1,435,978 | 1,295,436 | |||||||||||||||||||||||||
Series 2005-AR2, Class 2A3 (P) | 0.535 | 01-25-45 | 2,167,286 | 1,995,817 | |||||||||||||||||||||||||
Series 2005-AR8, Class 2AB2 (P) | 0.605 | 07-25-45 | 4,090,938 | 3,779,499 | |||||||||||||||||||||||||
Wells Fargo Commercial Mortgage Trust | |||||||||||||||||||||||||||||
Series 2013-120B, Class C (P) (S) | 2.710 | 03-18-28 | 8,325,000 | 8,231,877 | |||||||||||||||||||||||||
Series 2013-BTC, Class E (P) (S) | 3.550 | 04-16-35 | 4,630,000 | 4,307,946 | |||||||||||||||||||||||||
WF-RBS Commercial Mortgage Trust | |||||||||||||||||||||||||||||
Series 2012-C9, Class XA IO (S) | 2.195 | 11-15-45 | 32,675,976 | 3,456,857 | |||||||||||||||||||||||||
Series 2013-C15, Class B (P) | 4.482 | 08-15-46 | 1,132,000 | 1,225,169 | |||||||||||||||||||||||||
Series 2013-C16, Class B (P) | 4.983 | 09-15-46 | 1,885,000 | 2,114,708 | |||||||||||||||||||||||||
WFCG Commercial Mortgage Trust Series 2015-BXRP, Class D (P) (S) | 2.771 | 11-15-29 | 725,000 | 724,333 | |||||||||||||||||||||||||
U.S. Government Agency 1.2% | 36,482,183 | ||||||||||||||||||||||||||||
Federal Home Loan Mortgage Corp. | |||||||||||||||||||||||||||||
Series 2015-DNA1, Class M2 (P) | 2.030 | 10-25-27 | 3,890,000 | 3,886,822 | |||||||||||||||||||||||||
Series 2015-DNA1, Class M3 (P) | 3.480 | 10-25-27 | 1,325,000 | 1,319,324 | |||||||||||||||||||||||||
Series 290, Class IO | 3.500 | 11-15-32 | 10,078,573 | 1,865,597 | |||||||||||||||||||||||||
Series 4136, Class IH IO | 3.500 | 09-15-27 | 13,088,798 | 1,383,386 | |||||||||||||||||||||||||
Series K017, Class X1 IO | 1.427 | 12-25-21 | 20,374,780 | 1,522,363 | |||||||||||||||||||||||||
Series K018, Class X1 IO | 1.436 | 01-25-22 | 19,350,597 | 1,456,964 | |||||||||||||||||||||||||
Series K021, Class X1 IO | 1.500 | 06-25-22 | 4,602,783 | 389,962 | |||||||||||||||||||||||||
Series K022, Class X1 IO | 1.295 | 07-25-22 | 92,791,889 | 6,896,293 | |||||||||||||||||||||||||
Series K709, Class X1 IO | 1.533 | 03-25-19 | 16,929,708 | 852,479 | |||||||||||||||||||||||||
Series K710, Class X1 IO | 1.776 | 05-25-19 | 33,792,026 | 2,020,966 | |||||||||||||||||||||||||
Series K711, Class X1 IO | 1.704 | 07-25-19 | 49,035,894 | 2,856,341 | |||||||||||||||||||||||||
Federal National Mortgage Association | |||||||||||||||||||||||||||||
Series 2012-137, Class QI IO | 3.000 | 12-25-27 | 14,541,433 | 1,886,867 | |||||||||||||||||||||||||
Series 2012-137, Class WI IO | 3.500 | 12-25-32 | 10,764,117 | 1,875,861 | |||||||||||||||||||||||||
Series 402, Class 3 IO | 4.000 | 11-25-39 | 3,477,800 | 636,120 | |||||||||||||||||||||||||
Series 402, Class 4 IO | 4.000 | 10-25-39 | 2,116,825 | 343,817 | |||||||||||||||||||||||||
Series 402, Class 7 IO | 4.500 | 11-25-39 | 1,968,587 | 347,196 | |||||||||||||||||||||||||
Series 407, Class 15 IO | 5.000 | 01-25-40 | 2,300,396 | 425,828 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
U.S. Government Agency (continued) | |||||||||||||||||||||||||||||
Series 407, Class 21 IO | 5.000 | 01-25-39 | 1,056,023 | $220,397 | |||||||||||||||||||||||||
Series 407, Class 7 IO | 5.000 | 03-25-41 | 1,931,564 | 376,774 | |||||||||||||||||||||||||
Series 407, Class 8 IO | 5.000 | 03-25-41 | 968,362 | 186,038 | |||||||||||||||||||||||||
Series 407, Class C6 IO | 5.500 | 01-25-40 | 4,571,873 | 982,791 | |||||||||||||||||||||||||
Government National Mortgage Association | |||||||||||||||||||||||||||||
Series 2012-114, Class IO | 0.965 | 01-16-53 | 10,257,391 | 794,137 | |||||||||||||||||||||||||
Series 2013-42, Class IA IO | 3.500 | 03-20-43 | 12,965,446 | 1,738,443 | |||||||||||||||||||||||||
Series 2013-42, Class YI IO | 3.500 | 03-20-43 | 17,004,770 | 2,217,417 | |||||||||||||||||||||||||
Asset backed securities 13.8% | 405,943,017 | ||||||||||||||||||||||||||||
(Cost $402,105,697) | |||||||||||||||||||||||||||||
Asset Backed Securities 13.8% | 405,943,017 | ||||||||||||||||||||||||||||
ACE Securities Corp. Home Equity Loan Trust Series 2005-HE3, Class M2 (P) | 0.860 | 05-25-35 | 2,419,980 | 2,319,568 | |||||||||||||||||||||||||
Aegis Asset Backed Securities Trust Series 2005-4, Class M1 (P) | 0.635 | 10-25-35 | 7,805,000 | 7,073,578 | |||||||||||||||||||||||||
Ally Auto Receivables Trust Series 2014-2, Class A4 | 1.840 | 01-15-20 | 5,635,000 | 5,683,855 | |||||||||||||||||||||||||
Ally Master Owner Trust | |||||||||||||||||||||||||||||
Series 2012-4, Class A | 1.720 | 07-15-19 | 2,315,000 | 2,336,185 | |||||||||||||||||||||||||
Series 2015-3, Class A | 1.630 | 05-15-20 | 7,910,000 | 7,919,888 | |||||||||||||||||||||||||
American Express Credit Account Master Trust | |||||||||||||||||||||||||||||
Series 2014-1, Class A4 | 1.490 | 04-15-20 | 5,700,000 | 5,742,710 | |||||||||||||||||||||||||
Series 2014-4, Class A | 1.430 | 06-15-20 | 6,846,000 | 6,878,840 | |||||||||||||||||||||||||
Ameriquest Mortgage Securities, Inc. Series 2005-R3, Class M2 (P) | 0.655 | 05-25-35 | 3,320,000 | 3,139,140 | |||||||||||||||||||||||||
Applebee's/IHOP Funding LLC Series 2014-1, Class A2 (S) | 4.277 | 09-05-44 | 9,640,000 | 9,929,412 | |||||||||||||||||||||||||
Argent Securities, Inc. | |||||||||||||||||||||||||||||
Series 2003-W10, Class M1 (P) | 1.261 | 01-25-34 | 1,585,140 | 1,463,246 | |||||||||||||||||||||||||
Series 2004-W6, Class M1 (P) | 1.010 | 05-25-34 | 1,399,654 | 1,333,978 | |||||||||||||||||||||||||
BA Credit Card Trust Series 2015-A2, Class A | 1.360 | 09-15-20 | 11,280,000 | 11,280,936 | |||||||||||||||||||||||||
Bank of The West Auto Trust | |||||||||||||||||||||||||||||
Series 2014-1, Class A4 (S) | 1.650 | 03-16-20 | 5,185,000 | 5,207,881 | |||||||||||||||||||||||||
Series 2015-1, Class A4 (S) | 1.660 | 09-15-20 | 6,445,000 | 6,445,883 | |||||||||||||||||||||||||
Bravo Mortgage Asset Trust | |||||||||||||||||||||||||||||
Series 2006-1A, Class A2 (P) (S) | 0.425 | 07-25-36 | 7,747,690 | 7,274,817 | |||||||||||||||||||||||||
Series 2006-1A, Class A3 (P) (S) | 0.535 | 07-25-36 | 3,855,000 | 3,285,840 | |||||||||||||||||||||||||
California Republic Auto Receivables Trust | |||||||||||||||||||||||||||||
Series 2014-4, Class A4 | 1.840 | 06-15-20 | 3,165,000 | 3,191,241 | |||||||||||||||||||||||||
Series 2015-2, Class A4 (C) | 1.820 | 01-15-21 | 6,345,000 | 6,348,966 | |||||||||||||||||||||||||
Capital One Multi-Asset Execution Trust Series 2014-A5, Class A | 1.480 | 07-15-20 | 11,950,000 | 12,029,169 | |||||||||||||||||||||||||
CarMax Auto Owner Trust | |||||||||||||||||||||||||||||
Series 2014-3, Class A3 | 1.160 | 06-17-19 | 6,440,000 | 6,455,050 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Asset Backed Securities (continued) | |||||||||||||||||||||||||||||
Series 2015-2, Class A4 | 1.800 | 03-15-21 | 3,040,000 | $3,049,290 | |||||||||||||||||||||||||
Chase Issuance Trust | |||||||||||||||||||||||||||||
Series 2014-A6, Class A | 1.260 | 07-15-19 | 3,959,000 | 3,966,950 | |||||||||||||||||||||||||
Series 2014-A7, Class A | 1.380 | 11-15-19 | 7,425,000 | 7,451,693 | |||||||||||||||||||||||||
Series 2015, Class A2A | 1.590 | 02-18-20 | 7,480,000 | 7,535,629 | |||||||||||||||||||||||||
Series 2015-A5, Class A | 1.360 | 04-15-20 | 13,205,000 | 13,195,889 | |||||||||||||||||||||||||
Chrysler Capital Auto Receivables Trust Series 2014-BA, Class A4 (S) | 1.760 | 12-16-19 | 2,565,000 | 2,582,893 | |||||||||||||||||||||||||
Citibank Credit Card Issuance Trust | |||||||||||||||||||||||||||||
Series 2007-A8, Class A8 | 5.650 | 09-20-19 | 4,415,000 | 4,857,886 | |||||||||||||||||||||||||
Series 2014-A8, Class A8 | 1.730 | 04-09-20 | 8,560,000 | 8,647,440 | |||||||||||||||||||||||||
Citicorp Residential Mortgage Securities, Inc. Series 2007-2, Class A6 (P) | 6.265 | 06-25-37 | 1,216,201 | 1,260,912 | |||||||||||||||||||||||||
CKE Restaurant Holdings, Inc. Series 2013-1A, Class A2 (S) | 4.474 | 03-20-43 | 9,248,950 | 9,496,665 | |||||||||||||||||||||||||
ContiMortgage Home Equity Loan Trust Series 1995-2, Class A5 | 8.100 | 08-15-25 | 119,584 | 114,209 | |||||||||||||||||||||||||
Countrywide Asset-Backed Certificates Series 2004-10, Class AF5B (P) | 5.613 | 02-25-35 | 2,602,493 | 2,647,344 | |||||||||||||||||||||||||
Credit Suisse Mortgage Trust Series 2006-CF2, Class M1 (P) (S) | 0.655 | 05-25-36 | 4,910,000 | 4,760,004 | |||||||||||||||||||||||||
Credit-Based Asset Servicing and Securitization LLC Series 2005-CB4, Class M1 (P) | 0.594 | 07-25-35 | 1,680,000 | 1,618,870 | |||||||||||||||||||||||||
DB Master Finance LLC (S) Series 2015-1A, Class A2II | 3.980 | 02-20-45 | 7,945,088 | 8,021,638 | |||||||||||||||||||||||||
Discover Card Execution Note Trust Series 2014-A5, Class A | 1.390 | 04-15-20 | 9,755,000 | 9,796,732 | |||||||||||||||||||||||||
Encore Credit Receivables Trust Series 2005-2, Class M2 (P) | 0.875 | 11-25-35 | 3,715,000 | 3,623,696 | |||||||||||||||||||||||||
EquiFirst Mortgage Loan Trust Series 2004-3, Class M3 (P) | 1.160 | 12-25-34 | 2,262,448 | 2,024,389 | |||||||||||||||||||||||||
Ford Credit Auto Owner Trust | |||||||||||||||||||||||||||||
Series 2014-1, Class B (S) | 2.410 | 11-15-25 | 3,225,000 | 3,246,582 | |||||||||||||||||||||||||
Series 2015, Class AA4 | 1.640 | 06-15-20 | 3,515,000 | 3,532,104 | |||||||||||||||||||||||||
Series 2015-B, Class A4 | 1.580 | 08-15-20 | 3,880,000 | 3,885,739 | |||||||||||||||||||||||||
Ford Credit Floorplan Master Owner Trust | |||||||||||||||||||||||||||||
Series 2012-5, Class A | 1.490 | 09-15-19 | 5,840,000 | 5,863,097 | |||||||||||||||||||||||||
Series 2014-4, Class A1 | 1.400 | 08-15-19 | 7,725,000 | 7,745,471 | |||||||||||||||||||||||||
Series 2015-1, Class A1 | 1.420 | 01-15-20 | 7,490,000 | 7,494,134 | |||||||||||||||||||||||||
GE Equipment Midticket LLC Series 2014-1, Class A4 | 1.590 | 08-22-23 | 1,565,000 | 1,574,614 | |||||||||||||||||||||||||
GM Financial Automobile Leasing Trust Series 2015-1, Class A4 | 1.730 | 06-20-19 | 2,030,000 | 2,039,549 | |||||||||||||||||||||||||
GMF Floorplan Owner Revolving Trust (S) Series 2015-1, Class A1 | 1.650 | 05-15-20 | 4,370,000 | 4,373,719 | |||||||||||||||||||||||||
GSAA Home Equity Trust Series 2005-11, Class 3A1 (P) | 0.455 | 10-25-35 | 3,737,874 | 3,516,618 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Asset Backed Securities (continued) | |||||||||||||||||||||||||||||
GSAA Trust Series 2005-10, Class M3 (P) | 0.735 | 06-25-35 | 4,265,000 | $4,090,084 | |||||||||||||||||||||||||
Home Equity Asset Trust Series 2005-1, Class M4 (P) | 1.205 | 05-25-35 | 2,085,000 | 2,004,565 | |||||||||||||||||||||||||
Home Equity Mortgage Loan Asset-Backed Trust Series 2005-C, Class AII3 (P) | 0.555 | 10-25-25 | 2,791,363 | 2,690,274 | |||||||||||||||||||||||||
Honda Auto Receivables Owner Trust | |||||||||||||||||||||||||||||
Series 2014-3, Class A4 | 1.310 | 10-15-20 | 10,925,000 | 10,958,911 | |||||||||||||||||||||||||
Series 2015-2, Class A4 | 1.470 | 08-23-21 | 5,615,000 | 5,620,351 | |||||||||||||||||||||||||
John Deere Owner Trust | |||||||||||||||||||||||||||||
Series 2014-B, Class A4 | 1.500 | 06-15-21 | 4,245,000 | 4,262,642 | |||||||||||||||||||||||||
Series 2015, Class AA4 | 1.650 | 12-15-21 | 2,695,000 | 2,709,235 | |||||||||||||||||||||||||
Merrill Lynch Mortgage Investors Trust | |||||||||||||||||||||||||||||
Series 2004-OPT1, Class A1A (P) | 0.705 | 06-25-35 | 3,789,136 | 3,633,470 | |||||||||||||||||||||||||
Series 2005-WMC1, Class M1 (P) | 0.935 | 09-25-35 | 2,074,762 | 1,880,519 | |||||||||||||||||||||||||
MVW Owner Trust Series 2014-1A, Class A (S) | 2.250 | 09-20-31 | 1,368,213 | 1,368,589 | |||||||||||||||||||||||||
Nationstar Home Equity Loan Trust Series 2006, Class BAV4 (P) | 0.465 | 09-25-36 | 6,110,000 | 5,603,512 | |||||||||||||||||||||||||
New Century Home Equity Loan Trust | |||||||||||||||||||||||||||||
Series 2005-1, Class M1 (P) | 0.860 | 03-25-35 | 6,690,000 | 6,344,502 | |||||||||||||||||||||||||
Series 2005-2, Class M2 (P) | 0.635 | 06-25-35 | 7,515,000 | 7,106,274 | |||||||||||||||||||||||||
Nissan Master Owner Trust Receivables Trust Series 2015-A, Class A2 | 1.440 | 01-15-20 | 7,090,000 | 7,099,607 | |||||||||||||||||||||||||
Porsche Innovative Lease Owner Trust Series 2014-1, Class A4 (S) | 1.260 | 09-21-20 | 3,280,000 | 3,286,288 | |||||||||||||||||||||||||
RAMP Trust Series 2005-RS3, Class M1 (P) | 0.605 | 03-25-35 | 2,355,000 | 2,265,661 | |||||||||||||||||||||||||
Renaissance Home Equity Loan Trust Series 2005-2, Class AF4 (P) | 4.934 | 08-25-35 | 2,830,000 | 2,843,392 | |||||||||||||||||||||||||
Saxon Asset Securities Trust Series 2006-2, Class A3C (P) | 0.335 | 09-25-36 | 7,317,044 | 6,757,392 | |||||||||||||||||||||||||
Sierra Timeshare Receivables Funding LLC Series 2014-2A, Class A (S) | 2.050 | 06-20-31 | 3,357,809 | 3,382,194 | |||||||||||||||||||||||||
Sonic Capital LLC Series 2011-1A, Class A2 (S) | 5.438 | 05-20-41 | 2,980,187 | 3,158,772 | |||||||||||||||||||||||||
Soundview Home Loan Trust Series 2005-CTX1, Class M2 (P) | 0.621 | 11-25-35 | 2,648,500 | 2,488,931 | |||||||||||||||||||||||||
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Class A2D (P) | 0.485 | 12-25-36 | 6,930,000 | 6,713,638 | |||||||||||||||||||||||||
Structured Asset Investment Loan Trust | |||||||||||||||||||||||||||||
Series 2005-1, Class M2 (P) (S) | 0.905 | 02-25-35 | 4,785,000 | 4,479,033 | |||||||||||||||||||||||||
Series 2005-2, Class M2 (P) | 0.920 | 03-25-35 | 6,030,000 | 5,615,546 | |||||||||||||||||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2005-2XS, Class 2A2 (P) | 1.680 | 02-25-35 | 4,062,038 | 3,904,609 | |||||||||||||||||||||||||
TAL Advantage V LLC Series 2014-1A, Class A (S) | 3.510 | 02-22-39 | 2,056,250 | 2,074,995 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Asset Backed Securities (continued) | |||||||||||||||||||||||||||||
Toyota Auto Receivables Owner Trust Series 2014-C, Class A4 | 1.440 | 04-15-20 | 3,590,000 | $3,604,321 | |||||||||||||||||||||||||
Volkswagen Credit Auto Master Trust Series 2014-1A, Class A2 (S) | 1.400 | 07-22-19 | 4,215,000 | 4,233,057 | |||||||||||||||||||||||||
Wendys Funding LLC Series 2015-1A, Class A2I (S) | 3.371 | 06-15-45 | 8,740,000 | 8,774,086 | |||||||||||||||||||||||||
Westgate Resorts LLC | |||||||||||||||||||||||||||||
Series 2012-2A, Class B (S) | 4.500 | 01-20-25 | 3,396,545 | 3,413,952 | |||||||||||||||||||||||||
Series 2012-3A, Class B (S) | 4.500 | 03-20-25 | 1,978,248 | 1,993,928 | |||||||||||||||||||||||||
Series 2013-1A, Class B (S) | 3.750 | 08-20-25 | 773,335 | 777,810 | |||||||||||||||||||||||||
Series 2014-1A, Class A (S) | 2.150 | 12-20-26 | 5,744,298 | 5,715,949 | |||||||||||||||||||||||||
Series 2014-1A, Class B (S) | 3.250 | 12-20-26 | 3,825,567 | 3,830,789 | |||||||||||||||||||||||||
Series 2014-AA, Class A (S) | 6.250 | 10-20-26 | 2,247,717 | 2,253,471 | |||||||||||||||||||||||||
Series 2015-1A, Class A (S) | 2.750 | 05-20-27 | 3,664,364 | 3,668,314 | |||||||||||||||||||||||||
World Omni Automobile Lease Securitization Trust Series 2014-A, Class A4 | 1.370 | 01-15-20 | 2,060,000 | 2,070,415 | |||||||||||||||||||||||||
Shares | Value | ||||||||||||||||||||||||||||
Preferred securities 1.0% | $29,126,026 | ||||||||||||||||||||||||||||
(Cost $28,710,312) | |||||||||||||||||||||||||||||
Consumer staples 0.1% | 2,151,353 | ||||||||||||||||||||||||||||
Food and staples retailing 0.1% | |||||||||||||||||||||||||||||
Ocean Spray Cranberries, Inc., Series A, 6.250% (S) | 23,250 | 2,151,353 | |||||||||||||||||||||||||||
Financials 0.7% | 20,126,775 | ||||||||||||||||||||||||||||
Banks 0.2% | |||||||||||||||||||||||||||||
FNB Corp. (7.250% to 2-15-24, then 3 month LIBOR + 4.600%) | 62,350 | 1,750,165 | |||||||||||||||||||||||||||
Regions Financial Corp., 6.375% | 115,690 | 2,909,604 | |||||||||||||||||||||||||||
Wells Fargo & Company, Series L, 7.500% | 1,342 | 1,622,250 | |||||||||||||||||||||||||||
Capital markets 0.1% | |||||||||||||||||||||||||||||
The Goldman Sachs Group, Inc. (5.500% to 5-10-23, then 3 month LIBOR + 3.640%) | 89,525 | 2,225,592 | |||||||||||||||||||||||||||
Consumer finance 0.2% | |||||||||||||||||||||||||||||
Ally Financial, Inc., 7.000% (S) | 3,476 | 3,510,760 | |||||||||||||||||||||||||||
Discover Financial Services, 6.500% | 69,600 | 1,772,712 | |||||||||||||||||||||||||||
Diversified financial services 0.2% | |||||||||||||||||||||||||||||
GMAC Capital Trust I (8.125% to 2-15-16, then 3 month LIBOR + 5.785%) | 216,156 | 5,633,025 | |||||||||||||||||||||||||||
Real estate investment trusts 0.0% | |||||||||||||||||||||||||||||
Weyerhaeuser Company, 6.375% | 12,950 | 702,667 | |||||||||||||||||||||||||||
Industrials 0.1% | 1,904,664 | ||||||||||||||||||||||||||||
Aerospace and defense 0.1% | |||||||||||||||||||||||||||||
United Technologies Corp., 7.500% | 31,265 | 1,904,664 |
Shares | Value | ||||||||||||||||||||||||||||
Utilities 0.1% | $4,943,234 | ||||||||||||||||||||||||||||
Electric utilities 0.0% | |||||||||||||||||||||||||||||
Exelon Corp., 6.500% | 31,056 | 1,500,315 | |||||||||||||||||||||||||||
Multi-utilities 0.1% | |||||||||||||||||||||||||||||
Dominion Resources, Inc., 6.375% | 68,339 | 3,442,919 | |||||||||||||||||||||||||||
Par value | Value | ||||||||||||||||||||||||||||
Short-term investments 2.7% | $81,285,000 | ||||||||||||||||||||||||||||
(Cost $81,285,000) | |||||||||||||||||||||||||||||
Repurchase agreement 2.7% | 81,285,000 | ||||||||||||||||||||||||||||
Barclays Tri-Party Repurchase Agreement dated 5-29-15 at 0.060% to be repurchased at $57,870,289 on 6-1-15, collateralized by $23,943,700 U.S. Treasury Inflation Indexed Notes, 0.125% due 7-15-22 (valued at $24,539,041, including interest) and $16,682,700 U.S. Treasury Inflation Indexed Bonds, 3.875% due 4-15-29 (valued at $34,488,674, including interest) | 57,870,000 | 57,870,000 | |||||||||||||||||||||||||||
Repurchase Agreement with State Street Corp. dated 5-29-15 at 0.000% to be repurchased at $23,415,000 on 6-1-15, collateralized by $23,885,000 Federal National Mortgage Association, 1.670% due 2-10-20 (valued at $23,885,000, including interest) | 23,415,000 | 23,415,000 | |||||||||||||||||||||||||||
Total investments (Cost $2,870,051,139)† 99.4% | $2,926,511,788 | ||||||||||||||||||||||||||||
Other assets and liabilities, net 0.6% | $16,664,150 | ||||||||||||||||||||||||||||
Total net assets 100.0% | $2,943,175,938 |
The percentage shown for each investment category is the total value of the category as a percentage of the net assets of the fund. | |||||||||
^All par values are denominated in U.S. dollars unless otherwise indicated. | |||||||||
Key to Currency Abbreviation | |||||||||
BRL | Brazilian Real | ||||||||
Key to Security Abbreviations and Legend | |||||||||
IO | Interest Only Security — (Interest Tranche of Stripped Mortgage Pool). Rate shown is the effective yield at period end. | ||||||||
ISDAFIX | International Swaps and Derivatives Association Fixed Interest Rate Swap Rate | ||||||||
LIBOR | London Interbank Offered Rate | ||||||||
PIK | Payment-in-kind | ||||||||
(C) | Security purchased on a when-issued or delayed delivery basis. | ||||||||
(H) | Non-income producing - Issuer is in default. | ||||||||
(M) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. | ||||||||
(P) | Variable rate obligation. The coupon rate shown represents the rate at period end. | ||||||||
(Q) | Perpetual bonds have no stated maturity date. Date shown as maturity date 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 $745,121,601 or 25.3% of the fund's net assets as of 5-31-15. | ||||||||
† | At 5-31-15, the aggregate cost of investment securities for federal income tax purposes was $2,878,549,142. Net unrealized appreciation aggregated $47,962,646, of which $71,422,619 related to appreciated investment securities and $23,459,973 related to depreciated investment securities. |
Financial statements
STATEMENT OF ASSETS AND LIABILITIES 5-31-15
Assets | ||||||||||||||||||||||||||||||||||||||||
Investments, at value (Cost $2,870,051,139) | $2,926,511,788 | |||||||||||||||||||||||||||||||||||||||
Cash | 22,839,533 | |||||||||||||||||||||||||||||||||||||||
Receivable for investments sold | 6,507,067 | |||||||||||||||||||||||||||||||||||||||
Receivable for fund shares sold | 11,819,654 | |||||||||||||||||||||||||||||||||||||||
Dividends and interest receivable | 25,028,130 | |||||||||||||||||||||||||||||||||||||||
Other receivables and prepaid expenses | 135,955 | |||||||||||||||||||||||||||||||||||||||
Total assets | 2,992,842,127 | |||||||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||
Payable for investments purchased | 32,999,667 | |||||||||||||||||||||||||||||||||||||||
Payable for delayed delivery securities purchased | 10,262,209 | |||||||||||||||||||||||||||||||||||||||
Payable for fund shares repurchased | 4,620,420 | |||||||||||||||||||||||||||||||||||||||
Distributions payable | 534,558 | |||||||||||||||||||||||||||||||||||||||
Payable to affiliates | ||||||||||||||||||||||||||||||||||||||||
Accounting and legal services fees | 77,434 | |||||||||||||||||||||||||||||||||||||||
Transfer agent fees | 549,519 | |||||||||||||||||||||||||||||||||||||||
Distribution and service fees | 221,218 | |||||||||||||||||||||||||||||||||||||||
Trustees' fees | 2,513 | |||||||||||||||||||||||||||||||||||||||
Other liabilities and accrued expenses | 398,651 | |||||||||||||||||||||||||||||||||||||||
Total liabilities | 49,666,189 | |||||||||||||||||||||||||||||||||||||||
Net assets | $2,943,175,938 | |||||||||||||||||||||||||||||||||||||||
Net assets consist of | ||||||||||||||||||||||||||||||||||||||||
Paid-in capital | $2,905,939,643 | |||||||||||||||||||||||||||||||||||||||
Accumulated distributions in excess of net investment income | (570,403 | ) | ||||||||||||||||||||||||||||||||||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | (18,652,733 | ) | ||||||||||||||||||||||||||||||||||||||
Net unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies | 56,459,431 | |||||||||||||||||||||||||||||||||||||||
Net assets | $2,943,175,938 | |||||||||||||||||||||||||||||||||||||||
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 ($1,739,611,038 ÷ 108,329,250 shares)1 | $16.06 | |||||||||||||||||
Class B ($27,971,998 ÷ 1,742,026 shares)1 | $16.06 | |||||||||||||||||
Class C ($250,172,584 ÷ 15,577,601 shares)1 | $16.06 | |||||||||||||||||
Class I ($793,469,684 ÷ 49,404,841 shares) | $16.06 | |||||||||||||||||
Class R2 ($38,888,282 ÷ 2,419,093 shares) | $16.08 | |||||||||||||||||
Class R4 ($99,585 ÷ 6,192 shares) | $16.08 | |||||||||||||||||
Class R6 ($92,962,767 ÷ 5,782,173 shares) | $16.08 | |||||||||||||||||
Maximum offering price per share | ||||||||||||||||||
Class A (net asset value per share ÷ 96%)2 | $16.73 |
1 | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. | |||||||
2 | On single retail sales of less than $100,000. On sales of $100,000 or more and on group sales the offering price is reduced. |
STATEMENT OF OPERATIONS For the year ended 5-31-15
Investment income | ||||||||||||||||||||||||||||||||||||||||
Interest | $96,477,261 | |||||||||||||||||||||||||||||||||||||||
Dividends | 1,874,301 | |||||||||||||||||||||||||||||||||||||||
Total investment income | 98,351,562 | |||||||||||||||||||||||||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||||||||||
Investment management fees | 10,866,381 | |||||||||||||||||||||||||||||||||||||||
Distribution and service fees | 6,976,645 | |||||||||||||||||||||||||||||||||||||||
Accounting and legal services fees | 398,334 | |||||||||||||||||||||||||||||||||||||||
Transfer agent fees | 2,797,609 | |||||||||||||||||||||||||||||||||||||||
Trustees' fees | 36,043 | |||||||||||||||||||||||||||||||||||||||
State registration fees | 222,958 | |||||||||||||||||||||||||||||||||||||||
Printing and postage | 211,806 | |||||||||||||||||||||||||||||||||||||||
Professional fees | 137,758 | |||||||||||||||||||||||||||||||||||||||
Custodian fees | 329,344 | |||||||||||||||||||||||||||||||||||||||
Registration and filing fees | 159,953 | |||||||||||||||||||||||||||||||||||||||
Other | 37,234 | |||||||||||||||||||||||||||||||||||||||
Total expenses | 22,174,065 | |||||||||||||||||||||||||||||||||||||||
Less expense reductions | (1,384,997 | ) | ||||||||||||||||||||||||||||||||||||||
Net expenses | 20,789,068 | |||||||||||||||||||||||||||||||||||||||
Net investment income | 77,562,494 | |||||||||||||||||||||||||||||||||||||||
Realized and unrealized gain (loss) | ||||||||||||||||||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||||||||||||||||||
Investments and foreign currency transactions | 11,460,974 | |||||||||||||||||||||||||||||||||||||||
11,460,974 | ||||||||||||||||||||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) of | ||||||||||||||||||||||||||||||||||||||||
Investments and translation of assets and liabilities in foreign currencies | (19,212,687 | ) | ||||||||||||||||||||||||||||||||||||||
(19,212,687 | ) | |||||||||||||||||||||||||||||||||||||||
Net realized and unrealized loss | (7,751,713 | ) | ||||||||||||||||||||||||||||||||||||||
Increase in net assets from operations | $69,810,781 |
STATEMENTS OF CHANGES IN NET ASSETS
Year ended 5-31-15 | Year ended 5-31-14 | |||||||||||||||||||||||||||||||||||||||||||||||
Increase (decrease) in net assets | ||||||||||||||||||||||||||||||||||||||||||||||||
From operations | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | $77,562,494 | $69,407,967 | ||||||||||||||||||||||||||||||||||||||||||||||
Net realized gain (loss) | 11,460,974 | (1,245,911 | ) | |||||||||||||||||||||||||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (19,212,687 | ) | 2,708,701 | |||||||||||||||||||||||||||||||||||||||||||||
Increase in net assets resulting from operations | 69,810,781 | 70,870,757 | ||||||||||||||||||||||||||||||||||||||||||||||
Distributions to shareholders | ||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | ||||||||||||||||||||||||||||||||||||||||||||||||
Class A | (59,394,153 | ) | (57,110,614 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class B | (977,676 | ) | (1,268,051 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class C | (6,417,954 | ) | (5,772,362 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class I | (22,879,954 | ) | (10,994,882 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class R2 | (749,133 | ) | (190,232 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class R41 | (613 | ) | — | |||||||||||||||||||||||||||||||||||||||||||||
Class R6 | (2,793,534 | ) | (1,713,305 | ) | ||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | ||||||||||||||||||||||||||||||||||||||||||||||||
Class A | (4,597,085 | ) | (5,785,899 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class B | (90,887 | ) | (150,431 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class C | (621,883 | ) | (679,388 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class I | (1,722,915 | ) | (1,012,012 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class R2 | (50,371 | ) | (21,658 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class R6 | (196,277 | ) | (173,447 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (100,492,435 | ) | (84,872,281 | ) | ||||||||||||||||||||||||||||||||||||||||||||
From fund share transactions | 1,016,221,197 | 17,661,786 | ||||||||||||||||||||||||||||||||||||||||||||||
Total increase | 985,539,543 | 3,660,262 | ||||||||||||||||||||||||||||||||||||||||||||||
Net assets | ||||||||||||||||||||||||||||||||||||||||||||||||
Beginning of year | 1,957,636,395 | 1,953,976,133 | ||||||||||||||||||||||||||||||||||||||||||||||
End of year | $2,943,175,938 | $1,957,636,395 | ||||||||||||||||||||||||||||||||||||||||||||||
Undistributed (accumulated distributions in excess of) net investment income | ($570,403 | ) | $5,266,114 |
1 | The inception date for Class R4 shares is 3-27-15. |
Financial highlights
Class A Shares Period ended | 5-31-15 | 5-31-14 | 5-31-13 | 5-31-12 | 5-31-11 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.26 | $16.37 | $15.86 | $15.86 | $15.00 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income1 | 0.53 | 0.61 | 0.63 | 0.72 | 0.81 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.05 | ) | 0.02 | 0.61 | 0.08 | 0.92 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.48 | 0.63 | 1.24 | 0.80 | 1.73 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.63 | ) | (0.67 | ) | (0.70 | ) | (0.79 | ) | (0.87 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | (0.05 | ) | (0.07 | ) | (0.03 | ) | (0.01 | ) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.68 | ) | (0.74 | ) | (0.73 | ) | (0.80 | ) | (0.87 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $16.06 | $16.26 | $16.37 | $15.86 | $15.86 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)2,3 | 3.02 | 4.06 | 7.93 | 5.21 | 11.78 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $1,740 | $1,411 | $1,434 | $1,061 | $912 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 0.94 | 0.98 | 1.03 | 1.06 | 1.05 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 0.89 | 0.92 | 0.98 | 1.02 | 1.05 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 3.25 | 3.80 | 3.84 | 4.63 | 5.24 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 66 | 77 | 72 | 76 | 73 |
1 | Based on average daily shares outstanding. | |||||||||||||||||||||||||||||||||||
2 | Does not reflect the effect of sales charges, if any. | |||||||||||||||||||||||||||||||||||
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
Class B Shares Period ended | 5-31-15 | 5-31-14 | 5-31-13 | 5-31-12 | 5-31-11 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.26 | $16.37 | $15.86 | $15.86 | $15.00 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income1 | 0.42 | 0.50 | 0.51 | 0.61 | 0.70 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.05 | ) | 0.02 | 0.61 | 0.08 | 0.92 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.37 | 0.52 | 1.12 | 0.69 | 1.62 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.52 | ) | (0.56 | ) | (0.58 | ) | (0.68 | ) | (0.76 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | (0.05 | ) | (0.07 | ) | (0.03 | ) | (0.01 | ) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.57 | ) | (0.63 | ) | (0.61 | ) | (0.69 | ) | (0.76 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $16.06 | $16.26 | $16.37 | $15.86 | $15.86 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)2,3 | 2.31 | 3.34 | 7.18 | 4.48 | 11.00 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $28 | $33 | $44 | $37 | $28 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 1.64 | 1.68 | 1.73 | 1.76 | 1.75 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 1.59 | 1.62 | 1.68 | 1.72 | 1.75 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 2.57 | 3.11 | 3.15 | 3.92 | 4.53 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 66 | 77 | 72 | 76 | 73 |
1 | Based on average daily shares outstanding. | |||||||||||||||||||||||||||||||||||
2 | Does not reflect the effect of sales charges, if any. | |||||||||||||||||||||||||||||||||||
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
Class C Shares Period ended | 5-31-15 | 5-31-14 | 5-31-13 | 5-31-12 | 5-31-11 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.26 | $16.37 | $15.87 | $15.86 | $15.00 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income1 | 0.41 | 0.49 | 0.51 | 0.61 | 0.70 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.04 | ) | 0.03 | 0.60 | 0.09 | 0.92 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.37 | 0.52 | 1.11 | 0.70 | 1.62 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.52 | ) | (0.56 | ) | (0.58 | ) | (0.68 | ) | (0.76 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | (0.05 | ) | (0.07 | ) | (0.03 | ) | (0.01 | ) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.57 | ) | (0.63 | ) | (0.61 | ) | (0.69 | ) | (0.76 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $16.06 | $16.26 | $16.37 | $15.87 | $15.86 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)2,3 | 2.31 | 3.34 | 7.11 | 4.55 | 11.00 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $250 | $162 | $195 | $116 | $71 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 1.64 | 1.68 | 1.72 | 1.77 | 1.75 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 1.59 | 1.62 | 1.67 | 1.72 | 1.75 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 2.53 | 3.10 | 3.12 | 3.91 | 4.50 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 66 | 77 | 72 | 76 | 73 |
1 | Based on average daily shares outstanding. | |||||||||||||||||||||||||||||||||||
2 | Does not reflect the effect of sales charges, if any. | |||||||||||||||||||||||||||||||||||
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
Class I Shares Period ended | 5-31-15 | 5-31-14 | 5-31-13 | 5-31-12 | 5-31-11 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.26 | $16.37 | $15.87 | $15.86 | $14.99 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income1 | 0.57 | 0.66 | 0.68 | 0.78 | 0.88 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.04 | ) | 0.02 | 0.61 | 0.09 | 0.92 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.53 | 0.68 | 1.29 | 0.87 | 1.80 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.68 | ) | (0.72 | ) | (0.76 | ) | (0.85 | ) | (0.93 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | (0.05 | ) | (0.07 | ) | (0.03 | ) | (0.01 | ) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.73 | ) | (0.79 | ) | (0.79 | ) | (0.86 | ) | (0.93 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $16.06 | $16.26 | $16.37 | $15.87 | $15.86 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)2 | 3.35 | 4.40 | 8.27 | 5.70 | 12.33 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $793 | $302 | $277 | $123 | $74 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 0.63 | 0.66 | 0.65 | 0.67 | 0.62 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 0.57 | 0.60 | 0.60 | 0.62 | 0.62 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 3.53 | 4.11 | 4.19 | 4.99 | 5.64 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 66 | 77 | 72 | 76 | 73 |
1 | Based on average daily shares outstanding. | |||||||||||||||||||||||||||||||||||
2 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
Class R2 Shares Period ended | 5-31-15 | 5-31-14 | 5-31-13 | 5-31-12 | 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.27 | $16.38 | $15.87 | $15.80 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.51 | 0.60 | 0.62 | 0.17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.02 | ) | 0.02 | 0.64 | 0.09 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.49 | 0.62 | 1.26 | 0.26 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.63 | ) | (0.66 | ) | (0.72 | ) | (0.19 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | (0.05 | ) | (0.07 | ) | (0.03 | ) | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.68 | ) | (0.73 | ) | (0.75 | ) | (0.19 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $16.08 | $16.27 | $16.38 | $15.87 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)3 | 2.97 | 4.01 | 8.09 | 1.68 | 4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $39 | $7 | $2 | — | 5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 0.98 | 1.05 | 1.03 | 0.86 | 6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 0.93 | 0.99 | 0.98 | 0.80 | 6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 3.16 | 3.76 | 3.88 | 4.28 | 6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 66 | 77 | 72 | 76 | 7 |
1 | The inception date for Class R2 shares is 3-1-12. | |||||||||||||||||||||||||||||||
2 | Based on average daily shares outstanding. | |||||||||||||||||||||||||||||||
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. | |||||||||||||||||||||||||||||||
4 | Not annualized. | |||||||||||||||||||||||||||||||
5 | Less than $500,000. | |||||||||||||||||||||||||||||||
6 | Annualized. | |||||||||||||||||||||||||||||||
7 | The portfolio turnover is shown for the period from 6-1-11 to 5-31-12. |
Class R4 Shares Period ended | 5-31-15 | 1 | |||||||||||||||||||||||||||||||||||
Per share operating performance | |||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.15 | ||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.06 | ||||||||||||||||||||||||||||||||||||
Net realized and unrealized loss on investments | (0.03 | ) | |||||||||||||||||||||||||||||||||||
Total from investment operations | 0.03 | ||||||||||||||||||||||||||||||||||||
Less distributions | |||||||||||||||||||||||||||||||||||||
From net investment income | (0.10 | ) | |||||||||||||||||||||||||||||||||||
Total distributions | (0.10 | ) | |||||||||||||||||||||||||||||||||||
Net asset value, end of period | $16.08 | ||||||||||||||||||||||||||||||||||||
Total return (%)3 | 0.18 | 4 | |||||||||||||||||||||||||||||||||||
Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | — | 5 | |||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | |||||||||||||||||||||||||||||||||||||
Expenses before reductions | 0.80 | 6 | |||||||||||||||||||||||||||||||||||
Expenses including reductions | 0.64 | 6 | |||||||||||||||||||||||||||||||||||
Net investment income | 2.21 | 6 | |||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 66 | 7 |
1 | The inception date for Class R4 shares is 3-27-15. | ||||||||||||||
2 | Based on average daily shares outstanding. | ||||||||||||||
3 | Total returns would have been lower had certain expenses not been reduced during the period. | ||||||||||||||
4 | Not annualized. | ||||||||||||||
5 | Less than $500,000. | ||||||||||||||
6 | Annualized. | ||||||||||||||
7 | The portfolio turnover is shown for the period from 6-1-14 to 5-31-15. |
Class R6 Shares Period ended | 5-31-15 | 5-31-14 | 5-31-13 | 5-31-12 | 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.28 | $16.38 | $15.87 | $15.55 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.59 | 0.68 | 0.70 | 0.57 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.04 | ) | 0.03 | 0.61 | 0.40 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.55 | 0.71 | 1.31 | 0.97 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.70 | ) | (0.74 | ) | (0.77 | ) | (0.64 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | (0.05 | ) | (0.07 | ) | (0.03 | ) | (0.01 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.75 | ) | (0.81 | ) | (0.80 | ) | (0.65 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $16.08 | $16.28 | $16.38 | $15.87 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)3 | 3.45 | 4.58 | 8.42 | 6.38 | 4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $93 | $43 | $3 | $2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 0.54 | 0.56 | 0.57 | 0.63 | 5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 0.46 | 0.50 | 0.52 | 0.57 | 5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 3.66 | 4.26 | 4.30 | 5.04 | 5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 66 | 77 | 72 | 76 | 6 |
1 | The inception date for Class R6 shares is 9-1-11. | |||||||||||||||||||||||||||||||
2 | Based on average daily shares outstanding. | |||||||||||||||||||||||||||||||
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. | |||||||||||||||||||||||||||||||
4 | Not annualized. | |||||||||||||||||||||||||||||||
5 | Annualized. | |||||||||||||||||||||||||||||||
6 | The portfolio turnover is shown for the period from 6-1-11 to 5-31-12. |
Note 1 — Organization
John Hancock Bond Fund (the fund) is a 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 and Class C shares are offered to all investors. Class B shares are closed to new investors. Class I shares are offered to institutions and certain investors. Class R2 and Class R4 shares are available only to certain retirement plans. 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.
Note 2 — Significant accounting policies
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (US GAAP), which require management to make certain estimates and assumptions as of the date of the financial statements. Actual results could differ from those estimates and those differences could be significant. The fund qualifies as an investment company under Topic 946 of Accounting Standards Codification of US GAAP.
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. In order to value the securities, the fund uses the following valuation techniques: Equity securities held by the fund are valued at the last sale price or official closing price on the exchange where the security was acquired or most likely will be sold. In the event there were no sales during the day or closing prices are not available, the securities are valued using the last available bid price. Debt obligations are valued based on the evaluated prices provided by an independent pricing vendor or from broker-dealers. Independent pricing vendors utilize matrix pricing which takes into account factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data, as well as broker supplied prices. Foreign securities are valued in U.S. dollars, based on foreign currency exchange rates supplied by an independent pricing vendor. Securities that trade only in the over-the-counter (OTC) market are valued using bid prices. Other portfolio securities and assets, for which reliable 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. The frequency with which these fair valuation procedures are used cannot be predicted and fair value of securities may differ significantly from the value that would have been used had a ready market for such securities existed.
The fund uses a three-tier hierarchy to prioritize the pricing assumptions, referred to as inputs, used in valuation techniques to measure fair value. Level 1 includes securities valued using quoted prices in active markets for identical securities. Level 2 includes securities valued using other significant observable inputs. Observable inputs may include quoted prices for similar securities, interest rates, prepayment speeds and credit risk. Prices for securities valued using these inputs are received from independent pricing vendors and brokers and are based on an evaluation of the inputs described. Level 3 includes securities valued using significant unobservable inputs when market prices are not readily available or reliable, including the fund's own assumptions in determining the fair value of investments. Factors used in determining value may include market or issuer specific events or trends, changes in interest rates and credit quality. The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy.
The following is a summary of the values by input classification of the fund's investments as of May 31, 2015, by major security category or type:
47
Total market value at 5-31-15 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Corporate bonds | $1,229,999,391 | — | $1,229,999,391 | — |
U.S. Government and Agency obligations | 756,633,902 | — | 756,633,902 | — |
Foreign government obligations | 5,233,956 | — | 5,233,956 | — |
Municipal bonds | 5,972,967 | — | 5,972,967 | — |
Term loans | 14,516,071 | — | 14,516,071 | — |
Capital preferred securities | 29,709,964 | — | 29,709,964 | — |
Collateralized mortgage obligations | 368,091,494 | — | 361,747,600 | $6,343,894 |
Asset backed securities | 405,943,017 | — | 405,943,017 | — |
Preferred securities | 29,126,026 | $21,713,748 | 7,412,278 | — |
Short-term investments | 81,285,000 | — | 81,285,000 | — |
Total investments in securities | $2,926,511,788 | $21,713,748 | $2,898,454,146 | $6,343,894 |
Repurchase agreements. The fund may enter into repurchase agreements. When the fund enters into a repurchase agreement, it receives collateral that is held in a segregated account by the fund's custodian, or for tri-party repurchase agreements, collateral is held at a third-party custodian bank in a segregated account for the benefit of the fund. The collateral amount is marked-to-market and monitored on a daily basis to ensure that the collateral held is in an amount not less than the principal amount of the repurchase agreement plus any accrued interest. Collateral received by the fund for repurchase agreements is disclosed in the Fund's investments as part of the caption related to the repurchase agreement.
Repurchase agreements are typically governed by the terms and conditions of the Master Repurchase Agreement and/or Global Master Repurchase Agreement (collectively, MRA). Upon an event of default, the non-defaulting party may close out all transactions traded under the MRA and net amounts owed. Absent an event of default, assets and liabilities resulting from repurchase agreements are not offset in the Statement of assets and liabilities. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the collateral value may decline or the counterparty may have insufficient assets to pay back claims resulting from close-out of the transactions.
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, net of withholding taxes, 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.
Stripped securities. Stripped securities are financial instruments structured to separate principal and interest cash flows so that one class receives principal payments from the underlying 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 security. If the underlying 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 or prepayments on the underlying securities. 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 fund's custodian agreement, the
48
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 may have a lien, security interest or security entitlement in any fund property that is not otherwise segregated or pledged, to the extent of any overdraft, and to the maximum extent permitted by law.
In addition, the fund and other affiliated funds have entered into an agreement with Citibank N.A. that enables them to participate in a $300 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. Commitment fees for the year ended May 31, 2015 were $1,265. For the year ended May 31, 2015, the fund had no borrowings under the line of credit.
Expenses. Within the John Hancock group of funds complex, expenses that are directly attributable to an individual fund are allocated to such 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, transfer agent fees, for all classes, are calculated daily at the class level based on the appropriate net assets of each class and the specific expense rates applicable to each class.
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.
Net capital losses of $10,190,574, that are a result of security transactions occurring after October 31, 2014, are treated as occurring on June 1, 2015, the first day of the fund's next taxable year.
As of May 31, 2015, 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. The tax character of distributions for the years ended May 31, 2015 and 2014 was as follows:
May 31, 2015 | May 31, 2014 | |
Ordinary Income | $94,787,378 | $80,720,514 |
Long-Term Capital Gain | 5,705,057 | 4,151,767 |
Total | $100,492,435 | $84,872,281 |
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. As of May 31, 2015, the fund has no distributable earnings on a tax basis.
Such distributions and distributable earnings, on a tax basis, are determined in conformity with income tax regulations, which may differ from US GAAP. Distributions in excess of tax basis earnings and profits, if any, are reported in the fund's financial statements as a return of capital.
Capital accounts within the 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
49
period. Book-tax differences are primarily attributable to foreign currency transactions and amortization and accretion on debt securities.
Note 3 — Derivative instruments
The fund may invest in derivatives in order to meet its investment objective. Derivatives include a variety of different instruments that may be traded in the OTC, on a regulated exchange or through a clearing facility. The risks in using derivatives vary depending upon the structure of the instruments, including the use of leverage, optionality, the liquidity or lack of liquidity of the contract, the creditworthiness of the counterparty or clearing organization and the volatility of the position. Some derivatives involve risks that are potentially greater than the risks associated with investing directly in the referenced securities or other referenced underlying instrument. Specifically, the fund is exposed to the risk that the counterparty to an 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.
For financial reporting purposes, the fund does not offset OTC derivative assets or liabilities that are subject to master netting arrangements, as defined by the ISDAs, in the Statement of assets and liabilities. In the event of default by the counterparty or a termination of the agreement, the ISDA allows an offset of amounts across the various transactions between the fund and the applicable counterparty.
Certain options are traded or cleared on an exchange or central clearinghouse. Exchange-traded or cleared transactions generally present less counterparty risk to a fund than OTC transactions. The exchange or clearinghouse stands between the fund and the broker to the contract and therefore, credit risk is generally limited to the failure of the exchange or clearinghouse and the clearing member.
Options. There are two types of options, put options and call options. Options are traded either OTC or on an exchange. A call option gives the purchaser of the option the right to buy (and the seller the obligation to sell) the underlying instrument at the exercise price. A put option gives the purchaser of the option the right to sell (and the writer the obligation to buy) the underlying instrument at the exercise price. Writing puts and buying calls may increase the fund's exposure to changes in the value of the underlying instrument. Buying puts and writing calls may decrease the fund's exposure to such changes. Risks related to the use of options include the loss of premiums, possible illiquidity of the options markets, trading restrictions imposed by an exchange and movements in underlying security values, and for written options, potential losses in excess of the amounts recognized on the Statement of assets and liabilities. In addition, OTC options are subject to the risks of all OTC derivatives contracts.
When the fund purchases an option, the premium paid by the fund is included in the fund's investments and subsequently "marked-to-market" to reflect current market value. If the purchased option expires, the fund realizes a loss equal to the cost of the option. If the fund exercises a call option, the cost of the securities acquired by exercising the call is increased by the premium paid to buy the call. If the fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale are decreased by the premium paid. If the fund enters into a closing sale transaction, the fund realizes a gain or loss, depending on whether proceeds from the closing sale are greater or less than the original cost.
During the year ended May 31, 2015, the fund used purchased options to manage the duration of the fund and held purchased options with market values ranging from up to $125,000, as measured at each quarter end. There were no open purchased option contracts as of May 31, 2015.
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 year ended May 31, 2015:
Risk | Statement of operations location | Investments and foreign currency translations* | ||||||
Interest rate contracts | Net realized gain (loss) | ($1,027,992 | ) |
50
Risk | Statement of operations location | Investments and foreign currency translations* | ||||||
Total | ($1,027,992 | ) |
* Realized gain/loss associated with purchase option contracts is included in the caption Investments and foreign transactions 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 year ended May 31, 2015:
Risk | Statement of operations location | Investments and translation of assets and liabilities in foreign currencies* |
Interest rate contracts | Change in unrealized appreciation (depreciation) | $902,992 |
Total | $902,992 |
* Change in unrealized appreciation/depreciation associated with purchase option contracts is included in the caption Investment and translation of assets and liabilities in foreign currencies on the Statement of operations.
Note 4 — Guarantees and indemnifications
Under the Trust's organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust, including 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 Advisor) serves as investment advisor for the fund. John Hancock Funds, LLC (the Distributor), an affiliate of the Advisor, serves as principal underwriter of the fund. The Advisor and the Distributor are indirect, wholly owned subsidiaries of Manulife Financial Corporation (MFC).
Management fee. The fund has an investment management agreement with the Advisor under which the fund pays a daily management fee to the Advisor equivalent, on an annual basis, to the sum of: (a) 0.500% of the first $500 million of the fund's average daily net assets, (b) 0.475% of the next $500 million of the fund's average daily net assets, (c) 0.450% of the next $500 million of the fund's average daily net assets, (d) 0.450% of the next $500 million of the fund's average daily net assets, (e) 0.400% of the next $500 million of the fund's average daily net assets, and (f) 0.350% of the fund's average daily net assets in excess of $2.5 billion. The Advisor 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 Advisor. The fund is not responsible for payment of the subadvisory fees.
The Advisor has contractually agreed to waive a portion of its management fee and/or reimburse expenses for certain funds of the John Hancock group of funds complex, including the fund (the participating portfolios). This waiver is based upon aggregate net assets of all the participating portfolios. The amount of the reimbursement is calculated daily and allocated among all the participating portfolios in proportion to the daily net assets of each fund. During the year ended May 31, 2015, this waiver amounted to 0.01% of the fund's average net assets on an annualized basis. This arrangement may be amended or terminated at any time by the Advisor upon notice to the fund and with the approval of the Board of Trustees.
The Advisor 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, Class R2, Class R4 and Class R6 shares by 0.05% of the fund's average daily net assets. These fee waivers and/or reimbursements expire on September 30, 2016, unless renewed by mutual agreement of the fund and the Advisor based upon a determination that this is appropriate under the circumstances at that time.
The Advisor has contractually agreed to waive and/or reimburse all class-specific expenses for Class R6 shares of the fund to the extent they exceed 0.00% of average annual net assets, on an annual basis. The fee waiver and/or reimbursement
51
expires on September 30, 2015, unless renewed by mutual agreement of the fund and Advisor based upon a determination that this is appropriate under the circumstances at that time.
For the year ended May 31, 2015, these expense reductions described above amounted to the following:
Class | Expense reduction | Class | Expense reduction | |
Class A | $876,689 | Class R2 | $11,646 | |
Class B | 17,468 | Class R4 | 10 | |
Class C | 115,800 | Class R6 | 48,397 | |
Class I | 314,969 | Total | $1,384,979 |
The investment management fees incurred for the for the year ended May 31, 2015 were equivalent to a net annual effective rate of 0.40% of the fund's average daily net assets.
Accounting and legal services. Pursuant to a service agreement, the fund reimburses the Advisor 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 year ended May 31, 2015 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, Class C, Class R2 and Class R4 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. In addition, under a service plan for Class R2 and Class R4 shares, the fund pays for certain other services. 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 | Rule 12b-1 fee | Service fee |
Class A | 0.30% | — |
Class B | 1.00% | — |
Class C | 1.00% | — |
Class R2 | 0.25% | 0.25% |
Class R4 | 0.25% | 0.10% |
The fund's Distributor has contractually agreed to waive 0.10% of Rule 12b-1 fees for Class R4 shares. The current waiver agreement expires on September 30, 2016, unless renewed by mutual agreement of the fund and the Distributor based upon a determination that this is appropriate under the circumstances at the time. This contractual waiver amounted to $18 for Class R4 shares for the year ended May 31, 2015.
Sales charges. Class A shares are assessed up-front sales charges, which resulted in payments to the Distributor amounting to $6,486,406 for the year ended May 31, 2015. Of this amount, $898,274 was retained and used for printing prospectuses, advertising, sales literature and other purposes, $5,417,014 was paid as sales commissions to broker-dealers and $171,118 was paid as sales commissions to sales personnel of Signator Investors, Inc., a broker-dealer affiliate of the Advisor.
Class A, Class B and Class C shares may be subject to contingent deferred sales charges (CDSCs). Certain Class A shares that are acquired through purchases of $1 million or more and are redeemed within one year of purchase are subject to a 1.00% sales charge. Class B shares that are redeemed within six years of purchase are subject to CDSCs, at declining rates, beginning at 5.00%. Class C shares that are redeemed within one year of purchase are subject to a 1.00% CDSC. CDSCs are applied to 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
52
connection with the sale of these shares. During the year ended May 31, 2015, CDSCs received by the Distributor amounted to $4,748, $56,959 and $34,419 for Class A, 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 Advisor. 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. It also includes out-of-pocket expenses, including 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 five categories of share classes: Retail Share and Institutional Share Classes of Non-Municipal Bond Funds, Class R6 Shares, Retirement Share Classes and Municipal Bond 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 year ended May 31, 2015 were:
Class | Distribution and service fees | Transfer agent fees |
Class A | $4,569,591 | $1,894,332 |
Class B | 303,104 | 37,737 |
Class C | 2,014,479 | 250,312 |
Class I | — | 601,224 |
Class R2 | 89,426 | 3,291 |
Class R4 | 45 | 3 |
Class R6 | — | 10,710 |
Total | $6,976,645 | $2,797,609 |
Trustee expenses. The fund compensates each Trustee who is not an employee of the Advisor or its affiliates. The costs of paying Trustee compensation and expenses are allocated to each fund based on its net assets relative to other funds within the John Hancock group of funds complex.
Interfund lending program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the fund, along with certain other funds advised by the Advisor, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. Any open loans at period end are presented under the caption Payable for interfund lending in the Statement of assets and liabilities. At period end, no interfund loans were outstanding. The fund's activity in this program during the period for which loans were outstanding was as follows:
Borrower or lender | Average loan balance | Days outstanding | Weighted average interest rate | Interest |
Lender | $2,800,000 | 3 | 0.46% | $107 |
Note 6 — Fund share transactions
Transactions in fund shares for the years ended May 31, 2015 and 2014 were as follows:
Year ended 5-31-15 | Year ended 5-31-14 | |||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||
Class A shares | ||||||||||||||||||||||||||
Sold | 36,489,446 | $589,787,612 | 21,003,026 | $334,911,089 | ||||||||||||||||||||||
Distributions reinvested | 3,713,667 | 60,005,892 | 3,661,005 | 58,309,591 | ||||||||||||||||||||||
Repurchased | (18,665,985 | ) | (302,037,248 | ) | (25,475,061 | ) | (405,398,526 | ) | ||||||||||||||||||
Net increase (decrease) | 21,537,128 | $347,756,256 | (811,030 | ) | ($12,177,846 | ) |
53
Year ended 5-31-15 | Year ended 5-31-14 | |||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||
Class B shares | ||||||||||||||||||||||||||
Sold | 82,022 | $1,327,241 | 93,597 | $1,492,900 | ||||||||||||||||||||||
Distributions reinvested | 52,585 | 849,537 | 69,938 | 1,113,162 | ||||||||||||||||||||||
Repurchased | (397,112 | ) | (6,418,691 | ) | (820,777 | ) | (13,043,733 | ) | ||||||||||||||||||
Net decrease | (262,505 | ) | ($4,241,913 | ) | (657,242 | ) | ($10,437,671 | ) | ||||||||||||||||||
Class C shares | ||||||||||||||||||||||||||
Sold | 7,668,246 | $123,946,031 | 2,656,856 | $42,448,897 | ||||||||||||||||||||||
Distributions reinvested | 389,803 | 6,295,754 | 351,321 | 5,593,733 | ||||||||||||||||||||||
Repurchased | (2,461,115 | ) | (39,792,491 | ) | (4,941,509 | ) | (78,536,001 | ) | ||||||||||||||||||
Net increase (decrease) | 5,596,934 | $90,449,294 | (1,933,332 | ) | ($30,493,371 | ) | ||||||||||||||||||||
Class I shares | ||||||||||||||||||||||||||
Sold | 36,713,562 | $593,720,458 | 11,124,193 | $177,539,637 | ||||||||||||||||||||||
Distributions reinvested | 1,375,684 | 22,220,847 | 645,255 | 10,285,774 | ||||||||||||||||||||||
Repurchased | (7,262,983 | ) | (117,301,758 | ) | (10,089,977 | ) | (160,700,623 | ) | ||||||||||||||||||
Net increase | 30,826,263 | $498,639,547 | 1,679,471 | $27,124,788 | ||||||||||||||||||||||
Class R2 shares | ||||||||||||||||||||||||||
Sold | 2,295,718 | $37,088,850 | 406,327 | $6,474,215 | ||||||||||||||||||||||
Distributions reinvested | 48,223 | 779,202 | 12,971 | 206,978 | ||||||||||||||||||||||
Repurchased | (342,641 | ) | (5,541,369 | ) | (127,569 | ) | (2,029,219 | ) | ||||||||||||||||||
Net increase | 2,001,300 | $32,326,683 | 291,729 | $4,651,974 | ||||||||||||||||||||||
Class R4 shares1 | ||||||||||||||||||||||||||
Sold | 6,192 | $100,000 | — | — | ||||||||||||||||||||||
Net increase | 6,192 | $100,000 | — | — | ||||||||||||||||||||||
Class R6 shares | ||||||||||||||||||||||||||
Sold | 3,289,778 | $53,125,238 | 2,429,478 | $38,642,406 | ||||||||||||||||||||||
Distributions reinvested | 184,830 | 2,988,651 | 118,016 | 1,882,264 | ||||||||||||||||||||||
Repurchased | (304,508 | ) | (4,922,559 | ) | (95,569 | ) | (1,530,758 | ) | ||||||||||||||||||
Net increase | 3,170,100 | $51,191,330 | 2,451,925 | $38,993,912 | ||||||||||||||||||||||
Total net increase | 62,875,412 | $1,016,221,197 | 1,021,521 | $17,661,786 |
1 The inception date for Class R4 shares is 3-27-15.
Affiliates of the fund owned 100% of shares of beneficial interest of Class R4, on May 31, 2015.
Note 7 — Purchase and sale of securities
Purchases and sales of securities, other than short-term securities and U.S. Treasury obligations, amounted to $1,523,404,036 and $626,371,507, respectively, for the year ended May 31, 2015. Purchases and sales of U.S. Treasury obligations aggregated $995,619,158 and $913,520,723, respectively, for the year ended May 31, 2015.
54
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of John Hancock Sovereign Bond Fund and Shareholders of John Hancock Bond Fund:
In our opinion, the accompanying statement of assets and liabilities, including the fund's investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of John Hancock Bond Fund (the "Fund") at May 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at May 31, 2015 by correspondence with the custodian and brokers, and the application of alternative auditing procedures where securities purchased confirmations had not been received, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
July 17, 2015
55
Unaudited
For federal income tax purposes, the following information is furnished with respect to the distributions of the fund, if any, paid during its taxable year ended May 31, 2015.
The fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends-received deduction.
The fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.
The fund paid $5,705,057 in capital gain dividends.
Eligible shareholders will be mailed a 2015 Form 1099-DIV in early 2016. This will reflect the tax character of all distributions paid in calendar year 2015.
Please consult a tax advisor regarding the tax consequences of your investment in the fund.
56
This chart provides information about the Trustees and Officers who oversee your John Hancock fund. Officers elected by the Trustees manage the day-to-day operations of the fund and execute policies formulated by the Trustees.
Independent Trustees
Name, year of birth Position(s) held with fund Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
James M. Oates, Born: 1946 | 2012 | 222 |
Trustee and Chairperson of the Board Managing Director, Wydown Group (financial consulting firm) (since 1994); Chairman and Director, Emerson Investment Management, Inc. (since 2000); Independent Chairman, Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services company) (1997-2011); Director, Stifel Financial (since 1996); Director, Investor Financial Services Corporation (1995-2007); Director, Connecticut River Bancorp (since 1998); Director, Virtus Funds (formerly Phoenix Mutual Funds) (since 1988). Trustee and Chairperson of the Board, John Hancock Collateral Trust (since 2015); Trustee and Chairperson of the Board, John Hancock retail funds3 (since 2012); Trustee (2005-2006 and since 2012) and Chairperson of the Board (since 2012), John Hancock Funds III; Trustee (since 2004) and Chairperson of the Board (since 2005), John Hancock Variable Insurance Trust; Trustee and Chairperson of the Board, John Hancock Funds II (since 2005). | ||
Charles L. Bardelis,2 Born: 1941 | 2012 | 222 |
Trustee Director, Island Commuter Corp. (marine transport). Trustee, John Hancock Collateral Trust (since 2015); Trustee, John Hancock retail funds3 (since 2012); Trustee, John Hancock Funds III (2005-2006 and since 2012); Trustee, John Hancock Variable Insurance Trust (since 1988); Trustee, John Hancock Funds II (since 2005). | ||
Peter S. Burgess,2 Born: 1942 | 2012 | 222 |
Trustee Consultant (financial, accounting, and auditing matters) (since 1999); Certified Public Accountant; Partner, Arthur Andersen (independent public accounting firm) (prior to 1999); Director, Lincoln Educational Services Corporation (since 2004); Director, Symetra Financial Corporation (since 2010); Director, PMA Capital Corporation (2004-2010). Trustee, John Hancock Collateral Trust (since 2015); Trustee, John Hancock retail funds3 (since 2012); Trustee, John Hancock Funds III (2005-2006 and since 2012); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2005). | ||
William H. Cunningham, Born: 1944 | 2005 | 222 |
Trustee Professor, University of Texas, Austin, Texas (since 1971); former Chancellor, University of Texas System and former President of the University of Texas, Austin, Texas; Director, Chairman (since 2009) and Director (since 2006), Lincoln National Corporation (insurance); Director, Southwest Airlines (since 2000); former Director, Introgen (manufacturer of biopharmaceuticals) (until 2008); former Director, Hicks Acquisition Company I, Inc. (until 2007); former Director, Texas Exchange Bank, SSB (formerly Bank of Crowley) (until 2009); former Advisory Director, JP Morgan Chase Bank (formerly Texas Commerce Bank-Austin) (until 2009); former Director, LIN Television (2009-2014). Trustee, John Hancock retail funds3 (since 1986); Trustee, John Hancock Variable Insurance Trust (since 2012); Trustee, John Hancock Funds II (2005-2006 and since 2012); Trustee, John Hancock Collateral Trust (since 2015). | ||
Grace K. Fey, Born: 1946 | 2012 | 222 |
Trustee Chief Executive Officer, Grace Fey Advisors (since 2007); Director and Executive Vice President, Frontier Capital Management Company (1988-2007); Director, Fiduciary Trust (since 2009). Trustee, John Hancock Collateral Trust (since 2015); Trustee, John Hancock retail funds3 (since 2012); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2008). |
57
Independent Trustees (continued)
Name, year of birth Position(s) held with fund Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Theron S. Hoffman,2 Born: 1947 | 2012 | 222 |
Trustee Chief Executive Officer, T. Hoffman Associates, LLC (consulting firm) (since 2003); Director, The Todd Organization (consulting firm) (2003-2010); President, Westport Resources Management (investment management consulting firm) (2006-2008); Senior Managing Director, Partner, and Operating Head, Putnam Investments (2000-2003); Executive Vice President, The Thomson Corp. (financial and legal information publishing) (1997-2000). Trustee, John Hancock Collateral Trust (since 2015); Trustee, John Hancock retail funds3 (since 2012); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2008). | ||
Deborah C. Jackson, Born: 1952 | 2008 | 222 |
Trustee President, Cambridge College, Cambridge, Massachusetts (since 2011); Chief Executive Officer, American Red Cross of Massachusetts Bay (2002-2011); Board of Directors of Eastern Bank Corporation (since 2001); Board of Directors of Eastern Bank Charitable Foundation (since 2001); Board of Directors of American Student Assistance Corporation (1996-2009); Board of Directors of Boston Stock Exchange (2002-2008); Board of Directors of Harvard Pilgrim Healthcare (health benefits company) (2007-2011). Trustee, John Hancock retail funds3 (since 2008); Trustee of John Hancock Variable Insurance Trust and John Hancock Funds II (since 2012); Trustee, John Hancock Collateral Trust (since 2015). | ||
Hassell H. McClellan, Born: 1945 | 2012 | 222 |
Trustee Trustee, Virtus Variable Insurance Trust (formerly Phoenix Edge Series Funds) (since 2008); Director, The Barnes Group (since 2010); Associate Professor, The Wallace E. Carroll School of Management, Boston College (retired 2013). Trustee, John Hancock Collateral Trust (since 2015); Trustee, John Hancock retail funds3 (since 2012); Trustee, John Hancock Funds III (2005-2006 and since 2012); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2005). | ||
Steven R. Pruchansky, Born: 1944 | 2005 | 222 |
Trustee and Vice Chairperson of the Board Chairman and Chief Executive Officer, Greenscapes of Southwest Florida, Inc. (since 2000); Director and President, Greenscapes of Southwest Florida, Inc. (until 2000); Member, Board of Advisors, First American Bank (until 2010); Managing Director, Jon James, LLC (real estate) (since 2000); Partner, Right Funding, LLC (since 2014); Director, First Signature Bank & Trust Company (until 1991); Director, Mast Realty Trust (until 1994); President, Maxwell Building Corp. (until 1991). Trustee (since 1992) and Chairperson of the Board (2011-2012), John Hancock retail funds3; Trustee and Vice Chairperson of the Board, John Hancock retail funds3 John Hancock Variable Insurance Trust, and John Hancock Funds II (since 2012); Trustee, and Vice Chairperson of the Board, John Hancock Collateral Trust (since 2015). |
58
Independent Trustees (continued)
Name, year of birth Position(s) held with fund Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Gregory A. Russo, Born: 1949 | 2009 | 222 |
Trustee Director and Audit Committee Chairman (since 2012), and Member, Audit Committee and Finance Committee (since 2011), NCH Healthcare System, Inc. (holding company for multi-entity healthcare system); Chairman (since 2014) and Director and Member (since 2012) of Finance Committee, The Moorings, Inc. (nonprofit continuing care community); Vice Chairman, Risk & Regulatory Matters, KPMG LLP (KPMG) (2002-2006); Vice Chairman, Industrial Markets, KPMG (1998-2002); Chairman and Treasurer, Westchester County, New York, Chamber of Commerce (1986-1992); Director, Treasurer, and Chairman of Audit and Finance Committees, Putnam Hospital Center (1989-1995); Director and Chairman of Fundraising Campaign, United Way of Westchester and Putnam Counties, New York (1990-1995). Trustee, John Hancock retail funds3 (since 2008); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2012); Trustee, John Hancock Collateral Trust (since 2015). |
Non-Independent Trustees4
Name, year of birth Position(s) held with fund Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
James R. Boyle, Born: 1959 | 2015 | 222 |
Non-Independent Trustee* Chairman, HealthFleet, Inc. (healthcare) (since 2014); Executive Vice President and Chief Executive Officer, U.S. Life Insurance Division of Genworth Financial, Inc. (insurance) (January 2014-July 2014); Senior Executive Vice President, Manulife Financial, president and Chief Executive Officer, John Hancock (1999-2012); Chairman and Director, John Hancock Advisers, LLC, John Hancock Funds, LLC, and John Hancock Investment Management Services, LLC (2005-2010); Trustee, John Hancock Collateral Trust (since 2015); Trustee, John Hancock retail funds3 (2005-2010; 2012-2014 and since 2015); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (2005-2014 and since 2015). *Effective 3-10-15. | ||
Craig Bromley, Born: 1966 | 2012 | 222 |
Non-Independent Trustee President, John Hancock Financial Service (since 2012); Senior Executive Vice President and General Manager, U.S. Division, Manulife Corporation (since 2012); President and Chief Executive Officer, Manulife Insurance Company (Manulife Japan) (2005-2012, including prior positions). Trustee, John Hancock retail funds,3 John Hancock Variable Insurance Trust, and John Hancock Funds II (since 2012); Trustee, John Hancock Collateral Trust (since 2015). | ||
Warren A. Thomson, Born: 1955 | 2012 | 222 |
Non-Independent Trustee Senior Executive Vice President and Chief Investment Officer, Manulife Financial Corporation and The Manufacturers Life Insurance Company (since 2009); Chairman, Manulife Asset Management (since 2001, including prior positions); Director and Chairman, Manulife Asset Management Limited (since 2006); Director and Chairman, Hancock Natural Resources Group, Inc. (since 2013). Trustee, John Hancock retail funds,3 John Hancock Variable Insurance Trust, and John Hancock Funds II (since 2012); Trustee, John Hancock Collateral Trust (since 2015). |
59
Principal officers who are not Trustees
Name, year of birth Position(s) held with fund Principal occupation(s) and other directorships during past 5 years | Officer of the Trust since |
Andrew G. Arnott, Born: 1971 | 2009 |
Executive Vice President President Senior Vice President, John Hancock Financial Services (since 2009); Director and Executive Vice President, John Hancock Advisers, LLC (since 2005, including prior positions); Director and Executive Vice President, John Hancock Investment Management Services, LLC (since 2006, including prior positions); President, John Hancock Funds, LLC (since 2004, including prior positions); President (effective 3-13-14) and Executive Vice President, John Hancock retail funds,3 John Hancock Variable Insurance Trust, and John Hancock Funds II (since 2007, including prior positions); President, John Hancock Collateral Trust (since 2015). | |
John J. Danello, Born: 1955 | 2006 |
Senior Vice President, Secretary, and Chief Legal Officer Vice President and Chief Counsel, John Hancock Wealth Management (since 2005); Senior Vice President (since 2007) and Chief Legal Counsel (2007-2010), John Hancock Funds, LLC and The Berkeley Financial Group, LLC; Senior Vice President (since 2006, including prior positions) and Chief Legal Officer and Secretary (since 2014), John Hancock retail funds 3 and John Hancock Variable Insurance Trust; Senior Vice President, Chief Legal Officer and Secretary (since 2015), John Hancock Collateral Trust; Vice President, John Hancock Life & Health Insurance Company (since 2009); Vice President, John Hancock Life Insurance Company (USA) and John Hancock Life Insurance Company of New York (since 2010); and Senior Vice President, Secretary, and Chief Legal Counsel (2007-2014, including prior positions) of John Hancock Advisers, LLC and John Hancock Investment Management Services, LLC. | |
Francis V. Knox, Jr., Born: 1947 | 2005 |
Chief Compliance Officer Vice President, John Hancock Financial Services (since 2005); Chief Compliance Officer, John Hancock retail funds,3 John Hancock Variable Insurance Trust, John Hancock Funds II, John Hancock Advisers, LLC, and John Hancock Investment Management Services, LLC (since 2005); Chief Compliance Officer, John Hancock Collateral Trust (since 2015). | |
Charles A. Rizzo, Born: 1957 | 2007 |
Chief Financial Officer Vice President, John Hancock Financial Services (since 2008); Senior Vice President, John Hancock Advisers, LLC and John Hancock Investment Management Services, LLC (since 2008); Chief Financial Officer, John Hancock retail funds,3 John Hancock Variable Insurance Trust and John Hancock Funds II (since 2007); Chief Financial Officer, John Hancock Collateral Trust (since 2015). | |
Salvatore Schiavone, Born: 1965 | 2010 |
Treasurer Assistant Vice President, John Hancock Financial Services (since 2007); Vice President, John Hancock Advisers, LLC and John Hancock Investment Management Services, LLC (since 2007); Treasurer, John Hancock retail funds3 (since 2007, including prior positions); Treasurer, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2010 and 2007-2009, including prior positions); Treasurer, John Hancock Collateral Trust (since 2015). |
The business address for all Trustees and Officers is 601 Congress Street, Boston, Massachusetts 02210-2805.
The Statement of Additional Information of the fund includes additional information about members of the Board of Trustees of the Trust and is available without charge, upon request, by calling 800-225-5291.
1 | Each Trustee holds office until his or her successor is elected and qualified, or until the Trustee's death, retirement, resignation, or removal. |
2 | Member of the Audit Committee. |
3 | "John Hancock retail funds" comprises John Hancock Funds III and 36 other John Hancock funds consisting of 26 series of other John Hancock trusts and 10 closed-end funds. |
4 | The Trustee is a Non-Independent Trustee due to current or former positions with the Advisor and certain affiliates. |
60
Trustees James M. Oates, Chairperson Officers Andrew G. Arnott John J. Danello Francis V. Knox, Jr. Charles A. Rizzo Salvatore Schiavone | Investment advisor John Hancock Advisers, LLC Subadvisor John Hancock Asset Management a division of Manulife Asset Management (US) LLC Principal distributor John Hancock Funds, LLC Custodian State Street Bank and Trust Company Transfer agent John Hancock Signature Services, Inc. Legal counsel K&L Gates LLP Independent registered public accounting firm PricewaterhouseCoopers LLP |
*Member of the Audit Committee
†Non-Independent Trustee
#Effective 3-10-15
The fund's proxy voting policies and procedures, as well as the fund 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) website at sec.gov or on our website.
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 website and the SEC's website, sec.gov, and can be reviewed and copied (for a fee) at the SEC's Public Reference Room in Washington, DC. Call 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 website at jhinvestments.com or by calling 800-225-5291.
You can also contact us: | |||
800-225-5291 jhinvestments.com | Regular mail: John Hancock Signature Services, Inc. | Express mail: John Hancock Signature Services, Inc. |
61
Family of funds
DOMESTIC EQUITY FUNDS Balanced Blue Chip Growth Classic Value Disciplined Value Disciplined Value Mid Cap Equity Income Fundamental All Cap Core Fundamental Large Cap Core Fundamental Large Cap Value Large Cap Equity New Opportunities Select Growth Small Cap Equity Small Cap Value Small Company Strategic Growth U.S. Equity U.S. Global Leaders Growth Value Equity GLOBAL AND INTERNATIONAL EQUITY FUNDS Disciplined Value International Emerging Markets Emerging Markets Equity Global Equity Global Opportunities Global Shareholder Yield Greater China Opportunities International Core International Growth International Small Company International Value Equity INCOME FUNDS Bond California Tax-Free Income Core High Yield Emerging Markets Debt Floating Rate Income Focused High Yield Global Income Government Income High Yield Municipal Bond | INCOME FUNDS (continued) Income Investment Grade Bond Money Market Short Duration Credit Opportunities Spectrum Income Strategic Income Opportunities Tax-Free Bond ALTERNATIVE AND SPECIALTY FUNDS Absolute Return Currency Alternative Asset Allocation Enduring Equity Financial Industries Global Absolute Return Strategies Global Conservative Absolute Return Natural Resources Redwood Regional Bank Seaport Technical Opportunities ASSET ALLOCATION Income Allocation Fund Lifestyle Aggressive Portfolio Lifestyle Balanced Portfolio Lifestyle Conservative Portfolio Lifestyle Growth Portfolio Lifestyle Moderate Portfolio Retirement Choices Portfolios (2010-2055) Retirement Living Portfolios (2010-2055) Retirement Living II Portfolios (2010-2055) CLOSED-END FUNDS Financial Opportunities Hedged Equity & Income Income Securities Trust Investors Trust Preferred Income Preferred Income II Preferred Income III Premium Dividend Tax-Advantaged Dividend Income Tax-Advantaged Global Shareholder Yield |
The fund's investment objectives, risks, charges, and expenses are included in the prospectus and should be considered carefully before investing. For a prospectus, contact your financial professional, call John Hancock Investments at 800-225-5291, or visit the fund's website at jhinvestments.com. Please read the prospectus carefully before investing or sending money.
John Hancock Investments
A trusted brand
John Hancock has helped individuals and institutions build and
protect wealth since 1862. Today, we are one of America's strongest
and most-recognized brands.
A better way to invest
As a manager of managers, we search the world to find proven
portfolio teams with specialized expertise for every fund we offer,
then apply vigorous investment oversight to ensure they continue
to meet our uncompromising standards.
Results for investors
Our unique approach to asset management has led to a diverse set
of investments deeply rooted in investor needs, along with strong
risk-adjusted returns across asset classes.
| John Hancock Funds, LLC n Member FINRA, SIPC 601 Congress Street n Boston, MA 02210-2805 800-225-5291 n jhinvestments.com | |
This report is for the information of the shareholders of John Hancock Bond Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. | ||
MF235772 | 21A 5/15 7/15 |
ITEM 2. CODE OF ETHICS.
As of the end of the year, May 31, 2015, the registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its Chief Executive Officer, Chief Financial Officer and Treasurer (respectively, the principal executive officer, the principal financial officer and the principal accounting officer, the “Covered Officers”). A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Peter S. Burgess is the audit committee financial expert and is “independent”, pursuant to general instructions on Form N-CSR Item 3.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
The aggregate fees billed for professional services rendered by the principal accountant for the audits of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements amounted to the following for the fiscal years ended May 31, 2015 and 2014. These fees were billed to the registrant and were approved by the registrant’s audit committee.
Fund | May 31, 2015 | May 31, 2014 |
John Hancock Bond Fund | $ 52,423 | $ 47,189 |
(b) Audit-Related Services
Audit-related fees for assurance and related services by the principal accountant are billed to the registrant or to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser ("control affiliates") that provides ongoing services to the registrant. The nature of the services provided was affiliated service provider internal controls reviews. Additionally, amounts billed to control affiliates were $103,940 and $98,642 for the fiscal years ended May 31, 2015 and 2014, respectively.
Fund | May 31, 2015 | May 31, 2014 |
John Hancock Bond Fund | $ 5,220 | $ 558 |
(c) Tax Fees
The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning (“tax fees”) amounted to the following for the fiscal years ended May 31, 2015 and 2014. The nature of the services comprising the tax fees was the review of the registrant’s tax returns and tax distribution requirements. These fees were billed to the registrant and were approved by the registrant’s audit committee.
Fund | May 31, 2015 | May 31, 2014 |
John Hancock Bond Fund | $ 3,450 | $ 2,941 |
(d) All Other Fees
Other fees billed for professional services rendered by the principal accountant to the registrant or to the control affiliates for the fiscal years ended May 31, 2015 and 2014 amounted to the following:
Fund | May 31, 2015 | May 31, 2014 |
John Hancock Bond Fund | $5,116 | $382 |
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by the independent registered public accounting firm (the “Auditor”) relating to the operations or financial reporting of the funds. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The trust’s Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of audit-related and non-audit services by the Auditor. The policies and procedures require that any audit-related and non-audit service provided by the Auditor and any non-audit service provided by the Auditor to a fund service provider that relates directly to the operations and financial reporting of a fund are subject to approval by the Audit Committee before such service is provided. Audit-related services provided by the Auditor that are expected to exceed $25,000 per year/per fund are subject to specific pre-approval by the Audit Committee. Tax services provided by the Auditor that are expected to exceed $30,000 per year/per fund are subject to specific pre-approval by the Audit Committee.
All audit services, as well as the audit-related and non-audit services that are expected to exceed the amounts stated above, must be approved in advance of provision of the service by formal resolution of the Audit Committee. At the regularly scheduled Audit Committee meetings, the Committee reviews a report summarizing the services, including fees, provided by the Auditor.
(e)(2) Services approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:
Audit-Related Fees, Tax Fees and All Other Fees:
There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception under Rule 2-01 of Regulation S-X.
(f) According to the registrant’s principal accountant for the fiscal year ended May 31, 2015, the percentage of hours spent on the audit of the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons who were not full-time, permanent employees of principal accountant was less than 50%.
(g) The aggregate non-audit fees billed by the registrant’s principal accountant for non-audit services rendered to the registrant and rendered to the registrant's control affiliates for the fiscal years ended May 31, 2015 and 2014 amounted to the following:
Trust | May 31, 2015 | May 31, 2014 |
John Hancock Sovereign Bond Fund | $6,620,316 | $6,108,879 |
(h) The audit committee of the registrant has considered the non-audit services provided by the registrant’s principal accountant to the control affiliates and has determined that the services that were not pre-approved are compatible with maintaining the principal accountant’s independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant has a separately-designated standing audit committee comprised of independent trustees. The members of the audit committee are as follows:
Peter S. Burgess - Chairman
Charles L. Bardelis
Theron S. Hoffman
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.
The registrant has adopted procedures by which shareholders may recommend nominees to the registrant's Board of Trustees. A copy of the procedures is filed as an exhibit to this Form N-CSR. See attached “John Hancock Funds – Nominating, Governance and Administration Committee Charter”.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based upon their evaluation of the registrant's disclosure controls and procedures as conducted within 90 days of the filing date of this Form N-CSR, the registrant's principal executive officer and principal financial officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.
(b) There were no changes in the registrant's internal control over financial reporting that occurred during the 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)(1) Code of Ethics for Covered Officers is attached.
(a)(2) 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)(1) 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) Submission of Matters to a Vote of Security Holders is attached. See attached “John Hancock Funds – Nominating, Governance and Administration Committee Charter”.
(c)(2) 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/ Andrew Arnott |
| Andrew Arnott |
| President |
Date: July 17, 2015
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/ Andrew Arnott |
| Andrew Arnott |
| President |
Date: July 17, 2015
By: | /s/ Charles A. Rizzo |
| Charles A. Rizzo |
| Chief Financial Officer |
Date: July 17, 2015