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: | November 30, 2015 |
ITEM 1. REPORT TO STOCKHOLDERS.
John Hancock
Bond Fund
Semiannual report 11/30/15
A message to shareholders
Dear shareholder,
Many bond indexes were down for the last six months, as investors grappled with mixed economic data and uncertainty over the timing of a looming change in policy from the U.S. Federal Reserve (Fed). Against this backdrop, longer-term interest rates were volatile, as were the more rate-sensitive segments of the bond market. High-yield bonds and emerging-market debt, meanwhile, struggled in the face of the precipitous drop in commodity prices, particularly energy prices. Some clarity was achieved on December 16, when the Fed announced its first interest-rate increase in more than nine years.
Market volatility is naturally unnerving, which is why we recommend that investors maintain a regular dialogue with their financial advisors. Your advisor can help put market events into context and determine whether your portfolio is sufficiently diversified and continues to match your long-term financial goals.
Introducing John Hancock Multifactor Exchange-Traded Funds (ETFs)
We believe investors benefit from a combination of active and passive strategies in their portfolios. That's why, for years, we've offered actively managed funds to our shareholders, alongside asset allocation portfolios that employ a mix of active and passive strategies. That same thinking is what led us to team up with Dimensional Fund Advisors LP—a company regarded as one of the pioneers in strategic beta investing*—for the launch of the passively managed John Hancock Multifactor ETFs. Each ETF seeks to track a custom index built upon decades of academic research into the factors that drive higher expected returns: smaller capitalizations, lower valuations, and higher profitability. For nearly 30 years, it's just the kind of time-tested approach we have looked for as a manager of managers. For more information, visit our website at jhinvestments.com/etf.
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 November 30, 2015. They are subject to change at any time. All investments entail risks, including the possible loss of principal. There is no guarantee that the funds' investment strategies will be successful. Please see the funds' prospectuses for information about the specific risks involved. For more up-to-date information, you can visit our website at jhinvestments.com.
* | Strategic beta investing ETFs seek to improve upon cap-weighted strategies by tracking a custom index that combines active management insight with the discipline of a rules-based approach. |
John Hancock
Bond Fund
INVESTMENT OBJECTIVE
The fund seeks a high level of current income consistent with prudent investment risk.
AVERAGE ANNUAL TOTAL RETURNS AS OF 11/30/15 (%)
The Barclays U.S. Government/Credit Bond Index is an unmanaged index of U.S. government bonds, U.S. corporate bonds, and Yankee bonds.
The Barclays U.S. Aggregate Bond Index is an unmanaged index of dollar-denominated and non-convertible investment-grade debt issues.
It is not possible to invest directly in an index. Index figures do not reflect expenses or sales charges, which would result in lower returns.
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. Performance of the other share classes will vary based on the difference in the fees and expenses of those classes. Shares will fluctuate in value and, when redeemed, may be worth more or less than their original cost. Current month-end 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.
PERFORMANCE HIGHLIGHTS OVER THE LAST SIX MONTHS
Interest-rate increase became a reality
Just after the end of the fund's semiannual period, the U.S. Federal Reserve finally moved to raise short-term interest rates for the first time in nine years.
Spread sectors struggled
In this environment, and amid a continued slide in oil prices, investors sold out of high-yield (generally, bonds rated BB and lower) and emerging-market debt.
Fund lagged its benchmark
While the fund's longer-term track record remained solid, its exposure to some of the weaker segments of the market weighed on relative performance.
PORTFOLIO COMPOSITION AS OF 11/30/15 (%)
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 are subject to a higher risk of default. A fund concentrated in one sector or that holds a limited number of securities may fluctuate more than a fund that invests in a wider variety of sectors. Foreign investing 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. Liquidity—the extent to which a security may be sold or a derivative position closed without negatively affecting its market value, if at all—may be impaired by reduced trading volume, heightened volatility, rising interest rates, and other market conditions. Hedging, derivatives, and other strategic transactions 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 prospectus for additional risks.
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
![howardcgreene.jpg](https://capedge.com/proxy/N-CSRS/0001145443-16-001437/howardcgreene.jpg)
Howard C. Greene, CFA
Portfolio Manager
John Hancock Asset Management
![jeffreyngiven.jpg](https://capedge.com/proxy/N-CSRS/0001145443-16-001437/jeffreyngiven.jpg)
Jeffrey N. Given, CFA
Portfolio Manager
John Hancock Asset Management
The six months ended November 30 represented a challenging period for fixed-income investors. What were some of the key themes weighing on the market?
Investors' biggest concerns over the past six months were the same issues that have been weighing on the bond markets all year. Oil prices, which had rebounded somewhat early in the year, began the reporting period above $60 a barrel; by early December, just after the end of the fund's semiannual period, they had sunk to below $40 a barrel. Low energy prices have been a particular headwind to the high-yield bond market, given the large number of smaller energy companies issuing debt to expand operations. While today's oil prices look depressed, it's impossible to predict how long they'll stay this low or when they might stabilize. For that reason, it's entirely possible that the volatility and weakness we've seen this year in the high-yield market will continue for the near term.
The other area of the market that's been hurt by low energy prices is emerging-market debt. China's economic slowdown has been in the news for some time, and the general deterioration in economic fundamentals in developing nations has only been exacerbated by the recent weakness in commodity prices. Many emerging markets are commodity exporters, and the low prices and weak demand have negatively impacted their financial health. While the fund only had a limited exposure to high-yield and emerging-market debt, the net result has been a widespread risk aversion in the bond markets.
Beyond oil prices, the other big factor in the bond markets in recent months has been the prospect of rising interest rates. After back-to-back months of solid jobs reports, the U.S. Federal Reserve (Fed) finally raised interest rates in its December meeting, its first policy change since 2008 and first rate increase since 2006. The move, not surprisingly, was a small one, increasing the target range for the federal funds rate by 25 basis points, to 0.25% to 0.50%. Leading into the Fed meeting, longer-term
What positions were the primary detractors from the fund's performance versus the benchmark?
It's worth noting that on October 1 the fund's benchmark changed from the Barclays U.S. Government/Credit Bond Index to the Barclays U.S. Aggregate Bond Index. The new benchmark is a much more widely followed proxy for the broad-based U.S. bond markets and includes a somewhat broader mix of securities that better reflects the investment opportunities available to the fund. The fund's investment process and objective have not changed.
QUALITY COMPOSITION AS OF 11/30/15 (%)
That said, the biggest detractors, not surprisingly, were the fund's modest positions in high-yield and emerging-market debt.
The other big detractor from relative returns was the fund's significant underweight in U.S. Treasuries. Although Treasury debt was essentially flat during the period, in a difficult environment where investors shied away from riskier assets, the fund's lack of exposure detracted from relative results.
What positions helped relative performance?
We've held the fund's allocations to highly rated corporate debt in the financials sector for some time now, and those positions fared relatively well during the past six months. A small and gradual uptick in interest rates would actually be quite beneficial for the profitability of financial companies, so that sector has seen some increased demand in the run up to the Fed's opening effort as it seeks to normalize monetary policy.
Mortgage-backed securities also performed well for the fund. The housing market has been one of the more consistent bright spots for the economy over the past several years, and defaults in the mortgage-backed securities market have continued to be low, while yields have been fairly attractive. The fund's holdings in asset-backed securities, which include credit card and automobile financing receivables, also helped overall performance. We have found that the credit risks in this segment of the bond market, against the backdrop of a steadily improving economy, have generally been fairly low, presenting an attractive investment opportunity.
With additional rate hikes a near certainty in 2016, how are you positioning the portfolio?
We're taking a fairly conservative stance in general as we head into 2016. We don't believe now is the time to be making big bets on either interest rates or credit. To that end, we held a modestly defensive stance with respect to the fund's duration. At the close of the fiscal period, it stood at 5.47 years, which was slightly lower than the 5.67 years for the benchmark index. Managing interest-rate exposure 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. With regard to credit, we have been focused on high-quality securities within both the investment-grade space and the high-yield area. While we are focused on offering a
well-diversified portfolio, in general we prefer credit-driven holdings over rate-sensitive securities, given the incremental yields offered and the opportunity for some spread tightening as rates rise and the economy continues to improve.
The reality for investors, however, is that for the foreseeable future, we are likely to be in an environment of coupon-like returns. There are not a lot of opportunities in the market for meaningful price appreciation, and given the headwinds of rising interest rates and sluggish global economic growth, we prefer a more conservative tilt to the portfolio. As the Fed continues to navigate normalizing monetary policy, individual security selection will become increasingly important. In such an environment, we believe our active, research-based approach can continue to add value for the fund and for our shareholders.
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 |
TOTAL RETURNS FOR THE PERIOD ENDED NOVEMBER 30, 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 | 6-month | 5-year | 10-year | as of 11-30-15 | as of 11-30-15 | ||||
Class A | -3.78 | 3.94 | 5.48 | -5.02 | 21.31 | 70.43 | 2.97 | 2.92 | |||
Class B | -5.20 | 3.72 | 5.32 | -6.27 | 20.05 | 67.87 | 2.39 | 2.33 | |||
Class C | -1.35 | 4.08 | 5.18 | -2.31 | 22.11 | 65.68 | 2.41 | 2.35 | |||
Class I2 | 0.63 | 5.18 | 6.33 | -0.84 | 28.71 | 84.81 | 3.42 | 3.36 | |||
Class R22,3 | 0.25 | 4.82 | 5.91 | -1.05 | 26.51 | 77.53 | 3.00 | 2.94 | |||
Class R42,3 | 0.45 | 4.93 | 6.06 | -0.89 | 27.19 | 80.16 | 3.36 | 3.20 | |||
Class R62,3 | 0.74 | 5.29 | 6.41 | -0.84 | 29.38 | 86.11 | 3.52 | 3.44 | |||
Class NAV2,3 | 0.75 | 5.30 | 6.45 | -0.78 | 29.45 | 86.78 | 3.52 | 3.46 | |||
Index 1† | 0.66 | 3.19 | 4.61 | -0.37 | 17.00 | 56.99 | — | — | |||
Index 2 | 0.97 | 3.09 | 4.65 | -0.12 | 16.43 | 57.50 | — | — |
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, Class R6, and Class NAV 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 | Class NAV* | |
Gross (%) | 0.94 | 1.64 | 1.64 | 0.63 | 1.04 | 0.89 | 0.54 | 0.52 |
Net (%) | 0.89 | 1.59 | 1.59 | 0.58 | 0.99 | 0.74 | 0.47 | 0.47 |
*Expenses have been estimated for the first year of operations for Class NAV shares.
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 1 is the Barclays U.S. Government/Credit Bond Index; Index 2 is the Barclays U.S. Aggregate Bond Index. |
See the following page for footnotes.
This chart and table show what happened to a hypothetical $10,000 investment in John Hancock Bond Fund for the share classes and periods indicated, assuming all distributions were reinvested. For comparison, we've shown the same investment in two separate indexes.
Start date | With maximum sales charge ($) | Without sales charge ($) | Index 1 ($) | Index 2 ($) | |
Class B4 | 11-30-05 | 16,787 | 16,787 | 15,699 | 15,750 |
Class C4 | 11-30-05 | 16,568 | 16,568 | 15,699 | 15,750 |
Class I2,3 | 11-30-05 | 18,481 | 18,481 | 15,699 | 15,750 |
Class R22,3 | 11-30-05 | 17,753 | 17,753 | 15,699 | 15,750 |
Class R42,3 | 11-30-05 | 18,016 | 18,016 | 15,699 | 15,750 |
Class R62,3 | 11-30-05 | 18,611 | 18,611 | 15,699 | 15,750 |
Class NAV2,3 | 11-30-05 | 18,678 | 18,678 | 15,699 | 15,750 |
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 U.S. Government/Credit Bond Index is an unmanaged index of U.S. government bonds, U.S. corporate bonds, and Yankee bonds.
The Barclays U.S. Aggregate Bond Index is an unmanaged index of dollar-denominated and non-convertible investment-grade debt issues.
Prior to October 1, 2015, the fund compared its performance to the Barclays U.S. Government/Credit Bond Index. Effective October 1, 2015, to better reflect the universe of investment opportunities based on the fund's investment strategy, the fund has replaced the Barclays U.S. Government/Credit Bond Index with the Barclays U.S. Aggregate Bond Index.
It is not possible to invest directly in an index. Index figures do not reflect expenses or sales charges, which would result in lower returns.
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; Class NAV shares were first offered 8-29-15. 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, Class R4, and Class NAV shares, as applicable. |
4 | The contingent deferred sales charge is not applicable. |
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 June 1, 2015, with the same investment held until November 30, 2015.
Account value on 6-1-2015 | Ending value on 11-30-2015 | Expenses paid during period ended11-30-20151 | Annualized expense ratio | |
Class A | $1,000.00 | $989.50 | $4.28 | 0.86% |
Class B | 1,000.00 | 986.00 | 7.80 | 1.57% |
Class C | 1,000.00 | 986.60 | 7.75 | 1.56% |
Class I | 1,000.00 | 991.60 | 2.74 | 0.55% |
Class R2 | 1,000.00 | 989.50 | 4.87 | 0.98% |
Class R4 | 1,000.00 | 991.10 | 2.99 | 0.60% |
Class R6 | 1,000.00 | 991.60 | 2.19 | 0.44% |
Class NAV2 | 1,000.00 | 998.00 | 1.09 | 0.44% |
Together with the value of your account, you may use this information to estimate the operating expenses that you paid over the period. Simply divide your account value at November 30, 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:
Hypothetical example for comparison purposes
This table allows you to compare the fund's ongoing operating expenses with those of any other fund. It provides an example of the fund's hypothetical account values and hypothetical expenses based on each class's actual expense ratio and an assumed 5% annualized return before expenses (which is not the fund's actual return). It assumes an account value of $1,000.00 on June 1, 2015, with the same investment held until November 30, 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 6-1-2015 | Ending value on 11-30-2015 | Expenses paid during period ended 11-30-20151 | Annualized expense ratio | |
Class A | $1,000.00 | $1,020.72 | $4.34 | 0.86% |
Class B | 1,000.00 | 1,017.20 | 7.92 | 1.57% |
Class C | 1,000.00 | 1,017.20 | 7.87 | 1.56% |
Class I | 1,000.00 | 1,022.30 | 2.78 | 0.55% |
Class R2 | 1,000.00 | 1,020.10 | 4.95 | 0.98% |
Class R4 | 1,000.00 | 1,022.00 | 3.03 | 0.60% |
Class R6 | 1,000.00 | 1,022.80 | 2.23 | 0.44% |
Class NAV | 1,000.00 | 1,022.80 | 2.23 | 0.44% |
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 183/366 (to reflect the one-half year period). |
2 | The inception date for Class NAV shares is 8-31-15. Expenses are equal to the fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 91/366 (to reflect the period). |
Fund's investments
As of 11-30-15 (unaudited) | |||||||||||||||||||||||||||||
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Corporate bonds 42.0% | $1,334,459,852 | ||||||||||||||||||||||||||||
(Cost $1,352,700,081) | |||||||||||||||||||||||||||||
Consumer discretionary 5.8% | 185,354,734 | ||||||||||||||||||||||||||||
Auto components 0.8% | |||||||||||||||||||||||||||||
Dana Holding Corp. | 6.000 | 09-15-23 | $4,055,000 | 4,146,208 | |||||||||||||||||||||||||
Delphi Automotive PLC | 4.250 | 01-15-26 | 4,040,000 | 4,084,052 | |||||||||||||||||||||||||
Delphi Corp. | 5.000 | 02-15-23 | 9,450,000 | 9,937,715 | |||||||||||||||||||||||||
Magna International, Inc. | 4.150 | 10-01-25 | 2,985,000 | 2,989,883 | |||||||||||||||||||||||||
Nemak SAB de CV (S) | 5.500 | 02-28-23 | 2,780,000 | 2,835,600 | |||||||||||||||||||||||||
ZF North America Capital, Inc. (S) | 4.750 | 04-29-25 | 2,840,000 | 2,743,270 | |||||||||||||||||||||||||
Automobiles 1.7% | |||||||||||||||||||||||||||||
Fiat Chrysler Automobiles NV | 5.250 | 04-15-23 | 2,310,000 | 2,286,900 | |||||||||||||||||||||||||
Ford Motor Company | 4.750 | 01-15-43 | 2,030,000 | 1,947,521 | |||||||||||||||||||||||||
Ford Motor Credit Company LLC | 2.551 | 10-05-18 | 3,680,000 | 3,688,177 | |||||||||||||||||||||||||
Ford Motor Credit Company LLC | 5.875 | 08-02-21 | 10,680,000 | 12,000,069 | |||||||||||||||||||||||||
General Motors Company | 4.875 | 10-02-23 | 7,375,000 | 7,633,184 | |||||||||||||||||||||||||
General Motors Company | 6.250 | 10-02-43 | 4,555,000 | 4,876,460 | |||||||||||||||||||||||||
General Motors Financial Company, Inc. | 3.450 | 04-10-22 | 5,030,000 | 4,859,624 | |||||||||||||||||||||||||
General Motors Financial Company, Inc. | 4.000 | 01-15-25 | 5,710,000 | 5,512,885 | |||||||||||||||||||||||||
General Motors Financial Company, Inc. | 4.375 | 09-25-21 | 7,300,000 | 7,458,527 | |||||||||||||||||||||||||
Hyundai Capital America (S) | 2.400 | 10-30-18 | 5,010,000 | 4,999,299 | |||||||||||||||||||||||||
Diversified consumer services 0.1% | |||||||||||||||||||||||||||||
Service Corp. International | 5.375 | 05-15-24 | 3,505,000 | 3,671,488 | |||||||||||||||||||||||||
Hotels, restaurants and leisure 0.4% | |||||||||||||||||||||||||||||
CCM Merger, Inc. (S) | 9.125 | 05-01-19 | 2,775,000 | 2,913,750 | |||||||||||||||||||||||||
Eldorado Resorts, Inc. (S) | 7.000 | 08-01-23 | 1,465,000 | 1,476,903 | |||||||||||||||||||||||||
International Game Technology PLC (S) | 6.500 | 02-15-25 | 2,115,000 | 1,945,800 | |||||||||||||||||||||||||
Mohegan Tribal Gaming Authority | 9.750 | 09-01-21 | 115,000 | 117,875 | |||||||||||||||||||||||||
Mohegan Tribal Gaming Authority (S) | 9.750 | 09-01-21 | 2,825,000 | 2,895,625 | |||||||||||||||||||||||||
Seminole Tribe of Florida, Inc. (S) | 6.535 | 10-01-20 | 1,964,000 | 2,003,280 | |||||||||||||||||||||||||
Waterford Gaming LLC (H)(S) | 8.625 | 09-15-49 | 372,111 | 0 | |||||||||||||||||||||||||
Household durables 0.1% | |||||||||||||||||||||||||||||
Newell Rubbermaid, Inc. | 2.150 | 10-15-18 | 1,975,000 | 1,965,127 | |||||||||||||||||||||||||
Internet and catalog retail 0.5% | |||||||||||||||||||||||||||||
Amazon.com, Inc. | 4.950 | 12-05-44 | 5,910,000 | 6,303,086 | |||||||||||||||||||||||||
QVC, Inc. | 4.375 | 03-15-23 | 3,920,000 | 3,745,944 | |||||||||||||||||||||||||
QVC, Inc. | 5.125 | 07-02-22 | 3,060,000 | 3,117,758 | |||||||||||||||||||||||||
QVC, Inc. | 5.450 | 08-15-34 | 3,500,000 | 3,056,141 | |||||||||||||||||||||||||
Leisure products 0.0% | |||||||||||||||||||||||||||||
Vista Outdoor, Inc. (S) | 5.875 | 10-01-23 | 870,000 | 893,925 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Consumer discretionary (continued) | |||||||||||||||||||||||||||||
Media 1.5% | |||||||||||||||||||||||||||||
21st Century Fox America, Inc. | 6.150 | 03-01-37 | $2,315,000 | $2,626,307 | |||||||||||||||||||||||||
21st Century Fox America, Inc. | 6.400 | 12-15-35 | 2,250,000 | 2,665,179 | |||||||||||||||||||||||||
Altice Financing SA (S) | 6.500 | 01-15-22 | 1,485,000 | 1,492,425 | |||||||||||||||||||||||||
Altice Financing SA (S) | 6.625 | 02-15-23 | 1,890,000 | 1,874,634 | |||||||||||||||||||||||||
AMC Entertainment, Inc. | 5.875 | 02-15-22 | 4,490,000 | 4,658,375 | |||||||||||||||||||||||||
Carmike Cinemas, Inc. (S) | 6.000 | 06-15-23 | 1,640,000 | 1,689,200 | |||||||||||||||||||||||||
CCO Safari II LLC (S) | 6.484 | 10-23-45 | 4,640,000 | 4,833,145 | |||||||||||||||||||||||||
Clear Channel Worldwide Holdings, Inc. | 6.500 | 11-15-22 | 2,785,000 | 2,739,744 | |||||||||||||||||||||||||
Midcontinent Communications (S) | 6.875 | 08-15-23 | 1,695,000 | 1,724,663 | |||||||||||||||||||||||||
Myriad International Holdings BV (S) | 5.500 | 07-21-25 | 2,020,000 | 2,013,940 | |||||||||||||||||||||||||
Radio One, Inc. (S) | 9.250 | 02-15-20 | 3,070,000 | 2,517,400 | |||||||||||||||||||||||||
Scripps Networks Interactive, Inc. | 3.950 | 06-15-25 | 4,975,000 | 4,774,358 | |||||||||||||||||||||||||
Time Warner Cable, Inc. | 8.250 | 04-01-19 | 3,420,000 | 3,959,638 | |||||||||||||||||||||||||
Time Warner, Inc. | 3.600 | 07-15-25 | 3,185,000 | 3,152,908 | |||||||||||||||||||||||||
Time Warner, Inc. | 3.875 | 01-15-26 | 7,820,000 | 7,838,541 | |||||||||||||||||||||||||
Multiline retail 0.1% | |||||||||||||||||||||||||||||
Macy's Retail Holdings, Inc. | 7.875 | 08-15-36 | 3,420,000 | 3,561,598 | |||||||||||||||||||||||||
Specialty retail 0.5% | |||||||||||||||||||||||||||||
AutoNation, Inc. | 4.500 | 10-01-25 | 1,940,000 | 1,984,077 | |||||||||||||||||||||||||
AutoNation, Inc. | 5.500 | 02-01-20 | 2,812,000 | 3,064,568 | |||||||||||||||||||||||||
Jo-Ann Stores Holdings, Inc., PIK (S) | 9.750 | 10-15-19 | 4,378,000 | 3,020,820 | |||||||||||||||||||||||||
L Brands, Inc. | 6.625 | 04-01-21 | 5,360,000 | 6,016,600 | |||||||||||||||||||||||||
Textiles, apparel and luxury goods 0.1% | |||||||||||||||||||||||||||||
Hot Topic, Inc. (S) | 9.250 | 06-15-21 | 3,465,000 | 3,040,538 | |||||||||||||||||||||||||
Consumer staples 1.8% | 56,694,917 | ||||||||||||||||||||||||||||
Beverages 0.2% | |||||||||||||||||||||||||||||
Constellation Brands, Inc. | 4.250 | 05-01-23 | 3,315,000 | 3,339,863 | |||||||||||||||||||||||||
Constellation Brands, Inc. | 4.750 | 11-15-24 | 1,975,000 | 2,029,313 | |||||||||||||||||||||||||
Food and staples retailing 0.6% | |||||||||||||||||||||||||||||
CVS Health Corp. | 5.125 | 07-20-45 | 5,035,000 | 5,374,329 | |||||||||||||||||||||||||
SUPERVALU, Inc. | 7.750 | 11-15-22 | 4,065,000 | 3,780,450 | |||||||||||||||||||||||||
Tops Holding II Corp. | 8.750 | 06-15-18 | 1,000,000 | 987,500 | |||||||||||||||||||||||||
Tops Holding LLC (S) | 8.000 | 06-15-22 | 5,655,000 | 5,655,000 | |||||||||||||||||||||||||
Whole Foods Market, Inc. (S) | 5.200 | 12-03-25 | 3,150,000 | 3,145,622 | |||||||||||||||||||||||||
Food products 0.6% | |||||||||||||||||||||||||||||
Bunge, Ltd. Finance Corp. | 8.500 | 06-15-19 | 3,211,000 | 3,752,339 | |||||||||||||||||||||||||
Kraft Heinz Foods Company (S) | 2.000 | 07-02-18 | 5,605,000 | 5,608,688 | |||||||||||||||||||||||||
Kraft Heinz Foods Company (S) | 4.875 | 02-15-25 | 2,927,000 | 3,119,746 | |||||||||||||||||||||||||
Kraft Heinz Foods Company (S) | 5.200 | 07-15-45 | 3,590,000 | 3,763,968 | |||||||||||||||||||||||||
Post Holdings, Inc. (S) | 7.750 | 03-15-24 | 1,620,000 | 1,684,800 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Consumer staples (continued) | |||||||||||||||||||||||||||||
Household products 0.1% | |||||||||||||||||||||||||||||
Central Garden & Pet Company | 6.125 | 11-15-23 | $775,000 | $788,563 | |||||||||||||||||||||||||
HRG Group, Inc. | 7.875 | 07-15-19 | 2,830,000 | 3,002,998 | |||||||||||||||||||||||||
Personal products 0.1% | |||||||||||||||||||||||||||||
Revlon Consumer Products Corp. | 5.750 | 02-15-21 | 2,820,000 | 2,791,800 | |||||||||||||||||||||||||
Tobacco 0.2% | |||||||||||||||||||||||||||||
Alliance One International, Inc. | 9.875 | 07-15-21 | 6,450,000 | 5,208,375 | |||||||||||||||||||||||||
Vector Group, Ltd. | 7.750 | 02-15-21 | 2,505,000 | 2,661,563 | |||||||||||||||||||||||||
Energy 3.9% | 124,035,098 | ||||||||||||||||||||||||||||
Energy equipment and services 0.4% | |||||||||||||||||||||||||||||
CSI Compressco LP | 7.250 | 08-15-22 | 2,100,000 | 1,689,188 | |||||||||||||||||||||||||
Rowan Companies, Inc. | 4.875 | 06-01-22 | 2,590,000 | 2,099,003 | |||||||||||||||||||||||||
Teine Energy, Ltd. (S) | 6.875 | 09-30-22 | 2,125,000 | 1,912,500 | |||||||||||||||||||||||||
TerraForm Power Operating LLC (S) | 5.875 | 02-01-23 | 5,440,000 | 4,052,800 | |||||||||||||||||||||||||
Zhaikmunai LLP (S) | 6.375 | 02-14-19 | 2,625,000 | 2,219,438 | |||||||||||||||||||||||||
Oil, gas and consumable fuels 3.5% | |||||||||||||||||||||||||||||
Cimarex Energy Company | 4.375 | 06-01-24 | 5,420,000 | 5,355,215 | |||||||||||||||||||||||||
CNOOC Finance 2013, Ltd. | 3.000 | 05-09-23 | 4,540,000 | 4,319,697 | |||||||||||||||||||||||||
Columbia Pipeline Group, Inc. (S) | 4.500 | 06-01-25 | 4,060,000 | 3,888,534 | |||||||||||||||||||||||||
Continental Resources, Inc. | 5.000 | 09-15-22 | 7,933,000 | 6,961,208 | |||||||||||||||||||||||||
DCP Midstream LLC (S) | 9.750 | 03-15-19 | 3,840,000 | 4,097,683 | |||||||||||||||||||||||||
DCP Midstream LLC (5.850% to 5-21-23, then 3 month LIBOR + 3.850%) (S) | 5.850 | 05-21-43 | 3,375,000 | 2,666,250 | |||||||||||||||||||||||||
DCP Midstream Operating LP | 3.875 | 03-15-23 | 1,960,000 | 1,608,231 | |||||||||||||||||||||||||
Enbridge Energy Partners LP | 4.375 | 10-15-20 | 3,100,000 | 3,116,948 | |||||||||||||||||||||||||
Energy Transfer Partners LP | 5.150 | 03-15-45 | 3,845,000 | 2,911,442 | |||||||||||||||||||||||||
Energy Transfer Partners LP | 9.700 | 03-15-19 | 2,620,000 | 3,048,635 | |||||||||||||||||||||||||
Enterprise Products Operating LLC (7.000% to 6-1-17, then 3 month LIBOR + 2.778%) | 7.000 | 06-01-67 | 4,775,000 | 4,249,750 | |||||||||||||||||||||||||
Enterprise Products Operating LLC (8.375% to 8-1-16, then 3 month LIBOR + 3.708%) | 8.375 | 08-01-66 | 5,865,000 | 5,733,976 | |||||||||||||||||||||||||
EP Energy LLC | 7.750 | 09-01-22 | 1,840,000 | 1,444,400 | |||||||||||||||||||||||||
Freeport-McMoran Oil & Gas LLC | 6.750 | 02-01-22 | 4,272,000 | 3,460,320 | |||||||||||||||||||||||||
Freeport-McMoran Oil & Gas LLC | 6.875 | 02-15-23 | 1,179,000 | 954,990 | |||||||||||||||||||||||||
Kerr-McGee Corp. | 6.950 | 07-01-24 | 3,055,000 | 3,565,359 | |||||||||||||||||||||||||
Kinder Morgan Energy Partners LP | 7.750 | 03-15-32 | 2,130,000 | 2,079,960 | |||||||||||||||||||||||||
Kinder Morgan, Inc. | 5.550 | 06-01-45 | 4,080,000 | 3,113,758 | |||||||||||||||||||||||||
Lukoil International Finance BV (S) | 3.416 | 04-24-18 | 4,925,000 | 4,811,627 | |||||||||||||||||||||||||
MarkWest Energy Partners LP | 4.875 | 12-01-24 | 1,575,000 | 1,396,828 | |||||||||||||||||||||||||
MPLX LP | 4.000 | 02-15-25 | 1,435,000 | 1,299,430 | |||||||||||||||||||||||||
Newfield Exploration Company | 5.750 | 01-30-22 | 2,385,000 | 2,337,539 | |||||||||||||||||||||||||
Petroleos Mexicanos | 4.875 | 01-24-22 | 2,975,000 | 2,983,925 | |||||||||||||||||||||||||
Regency Energy Partners LP | 5.000 | 10-01-22 | 940,000 | 899,162 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Energy (continued) | |||||||||||||||||||||||||||||
Oil, gas and consumable fuels (continued) | |||||||||||||||||||||||||||||
Regency Energy Partners LP | 5.500 | 04-15-23 | $5,895,000 | $5,596,566 | |||||||||||||||||||||||||
Regency Energy Partners LP | 5.875 | 03-01-22 | 865,000 | 869,834 | |||||||||||||||||||||||||
Shell International Finance BV | 4.375 | 05-11-45 | 8,520,000 | 8,472,663 | |||||||||||||||||||||||||
Summit Midstream Holdings LLC | 7.500 | 07-01-21 | 1,585,000 | 1,505,750 | |||||||||||||||||||||||||
Sunoco Logistics Partners Operations LP | 4.400 | 04-01-21 | 4,055,000 | 4,045,515 | |||||||||||||||||||||||||
Whiting Petroleum Corp. | 6.250 | 04-01-23 | 3,875,000 | 3,623,125 | |||||||||||||||||||||||||
Williams Partners LP | 4.875 | 05-15-23 | 2,900,000 | 2,552,473 | |||||||||||||||||||||||||
Williams Partners LP | 4.875 | 03-15-24 | 7,440,000 | 6,495,038 | |||||||||||||||||||||||||
WPX Energy, Inc. | 5.250 | 09-15-24 | 910,000 | 753,025 | |||||||||||||||||||||||||
WPX Energy, Inc. | 6.000 | 01-15-22 | 2,175,000 | 1,843,313 | |||||||||||||||||||||||||
Financials 16.9% | 537,015,401 | ||||||||||||||||||||||||||||
Banks 6.6% | |||||||||||||||||||||||||||||
Banco Santander Brasil SA (S) | 8.000 | 03-18-16 | BRL | 4,600,000 | 1,156,480 | ||||||||||||||||||||||||
Bank of America Corp. | 3.300 | 01-11-23 | 3,000,000 | 2,998,239 | |||||||||||||||||||||||||
Bank of America Corp. | 3.950 | 04-21-25 | 1,430,000 | 1,414,503 | |||||||||||||||||||||||||
Bank of America Corp. | 4.200 | 08-26-24 | 3,175,000 | 3,206,217 | |||||||||||||||||||||||||
Bank of America Corp. | 4.250 | 10-22-26 | 3,580,000 | 3,592,290 | |||||||||||||||||||||||||
Bank of America Corp. | 6.875 | 04-25-18 | 6,320,000 | 7,034,166 | |||||||||||||||||||||||||
Bank of America Corp. (6.250% to 9-5-24, then 3 month LIBOR + 3.705%) (Q) | 6.250 | 09-05-24 | 5,655,000 | 5,738,129 | |||||||||||||||||||||||||
Bank of America Corp. (8.000% to 1-30-18, then 3 month LIBOR + 3.630%) (Q) | 8.000 | 01-30-18 | 5,550,000 | 5,737,313 | |||||||||||||||||||||||||
BankUnited, Inc. | 4.875 | 11-17-25 | 5,330,000 | 5,300,163 | |||||||||||||||||||||||||
Barclays Bank PLC (S) | 10.179 | 06-12-21 | 4,710,000 | 6,170,166 | |||||||||||||||||||||||||
BNP Paribas SA (7.375% to 8-19-25, then 5 Year U.S. Swap Rate + 5.150%) (Q)(S) | 7.375 | 08-19-25 | 1,115,000 | 1,145,663 | |||||||||||||||||||||||||
BPCE SA (S) | 4.500 | 03-15-25 | 4,360,000 | 4,296,039 | |||||||||||||||||||||||||
BPCE SA (S) | 5.700 | 10-22-23 | 4,630,000 | 4,950,336 | |||||||||||||||||||||||||
Citigroup, Inc. (5.950% to 8-15-20, then 3 month LIBOR + 4.095%) (Q) | 5.950 | 08-15-20 | 3,585,000 | 3,554,976 | |||||||||||||||||||||||||
Commerzbank AG (S) | 8.125 | 09-19-23 | 5,975,000 | 6,957,888 | |||||||||||||||||||||||||
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 | 4,420,000 | 4,360,993 | |||||||||||||||||||||||||
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 | 5,265,000 | 5,390,044 | |||||||||||||||||||||||||
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 | 3,663,997 | |||||||||||||||||||||||||
Fifth Third Bancorp (5.100% to 6-30-23, then 3 month LIBOR + 3.033%) (Q) | 5.100 | 06-30-23 | 3,980,000 | 3,586,975 | |||||||||||||||||||||||||
HBOS PLC (S) | 6.000 | 11-01-33 | 4,165,000 | 4,590,367 | |||||||||||||||||||||||||
HBOS PLC (S) | 6.750 | 05-21-18 | 8,895,000 | 9,766,843 | |||||||||||||||||||||||||
HSBC Holdings PLC (6.375% to 9-17-24, then 5 Year U.S. ISDAFIX + 3.705%) (Q) | 6.375 | 09-17-24 | 1,570,000 | 1,552,416 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Financials (continued) | |||||||||||||||||||||||||||||
Banks (continued) | |||||||||||||||||||||||||||||
ING Bank NV (S) | 5.800 | 09-25-23 | $5,184,000 | $5,683,494 | |||||||||||||||||||||||||
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 | 1,357,300 | |||||||||||||||||||||||||
JPMorgan Chase & Co. | 4.625 | 05-10-21 | 8,335,000 | 9,102,503 | |||||||||||||||||||||||||
JPMorgan Chase & Co. (5.000% to 7-1-19, then 3 month LIBOR + 3.320%) (Q) | 5.000 | 07-01-19 | 5,915,000 | 5,678,400 | |||||||||||||||||||||||||
JPMorgan Chase & Co. (5.150% to 5-1-23, then 3 month LIBOR + 3.250%) (Q) | 5.150 | 05-01-23 | 4,055,000 | 3,892,800 | |||||||||||||||||||||||||
JPMorgan Chase & Co. (6.750% to 2-1-24, then 3 month LIBOR + 3.780%) (Q) | 6.750 | 02-01-24 | 7,940,000 | 8,602,990 | |||||||||||||||||||||||||
JPMorgan Chase & Co. (7.900% to 4-30-18, then 3 month LIBOR + 3.470%) (Q) | 7.900 | 04-30-18 | 6,890,000 | 7,096,700 | |||||||||||||||||||||||||
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 | 3,595,000 | 3,860,131 | |||||||||||||||||||||||||
Manufacturers & Traders Trust Company (5.629% to 12-1-16, then 3 month LIBOR + 6.400%) | 5.629 | 12-01-21 | 5,255,000 | 5,215,588 | |||||||||||||||||||||||||
Mizuho Financial Group Cayman 3, Ltd. (S) | 4.600 | 03-27-24 | 3,525,000 | 3,626,520 | |||||||||||||||||||||||||
Rabobank Nederland NV (11.000% to 6-30-19, then 3 month LIBOR + 10.868%) (Q)(S) | 11.000 | 06-30-19 | 5,937,000 | 7,361,880 | |||||||||||||||||||||||||
Royal Bank of Scotland Group PLC (8.000% to 8-10-25, then 5 Year U.S. Swap Rate + 5.720%) (Q) | 8.000 | 08-10-25 | 2,400,000 | 2,532,000 | |||||||||||||||||||||||||
Santander UK Group Holdings PLC (S) | 4.750 | 09-15-25 | 4,125,000 | 4,128,160 | |||||||||||||||||||||||||
Societe Generale SA (8.000% to 9-29-25, then 5 Year U.S. ISDAFIX + 5.873%) (Q)(S) | 8.000 | 09-29-25 | 4,730,000 | 4,818,688 | |||||||||||||||||||||||||
Societe Generale SA (8.250% to 11-29-18, then 5 Year U.S. Swap Rate + 6.394%) (Q) | 8.250 | 11-29-18 | 3,390,000 | 3,583,338 | |||||||||||||||||||||||||
Synovus Financial Corp. | 7.875 | 02-15-19 | 1,620,000 | 1,819,908 | |||||||||||||||||||||||||
The PNC Financial Services Group, Inc. (4.850% to 6-1-23, then 3 month LIBOR + 3.040%) (Q) | 4.850 | 06-01-23 | 4,115,000 | 3,904,106 | |||||||||||||||||||||||||
The PNC Financial Services Group, Inc. (6.750% to 8-1-21, then 3 month LIBOR + 3.678%) (Q) | 6.750 | 08-01-21 | 5,565,000 | 6,044,981 | |||||||||||||||||||||||||
Wells Fargo & Company (5.875% to 6-15-25, then 3 month LIBOR + 3.990%) (Q) | 5.875 | 06-15-25 | 5,945,000 | 6,264,544 | |||||||||||||||||||||||||
Wells Fargo & Company (5.900% to 6-15-24, then 3 month LIBOR + 3.110%) (Q) | 5.900 | 06-15-24 | 5,895,000 | 6,005,531 | |||||||||||||||||||||||||
Wells Fargo & Company, Series K (7.980% to 3-15-18, then 3 month LIBOR + 3.770%) (Q) | 7.980 | 03-15-18 | 7,802,000 | 8,192,100 | |||||||||||||||||||||||||
Wells Fargo Bank NA | 5.850 | 02-01-37 | 3,055,000 | 3,676,839 | |||||||||||||||||||||||||
Capital markets 2.3% | |||||||||||||||||||||||||||||
Ares Capital Corp. | 3.875 | 01-15-20 | 4,760,000 | 4,860,217 | |||||||||||||||||||||||||
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 | 3,135,650 | |||||||||||||||||||||||||
FS Investment Corp. | 4.000 | 07-15-19 | 5,040,000 | 5,047,308 | |||||||||||||||||||||||||
Jefferies Group LLC | 6.875 | 04-15-21 | 6,225,000 | 7,019,914 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Financials (continued) | |||||||||||||||||||||||||||||
Capital markets (continued) | |||||||||||||||||||||||||||||
Jefferies Group LLC | 8.500 | 07-15-19 | $2,660,000 | $3,120,430 | |||||||||||||||||||||||||
Macquarie Bank, Ltd. (S) | 4.875 | 06-10-25 | 5,565,000 | 5,566,497 | |||||||||||||||||||||||||
Morgan Stanley | 4.300 | 01-27-45 | 2,885,000 | 2,813,013 | |||||||||||||||||||||||||
Morgan Stanley | 5.500 | 01-26-20 | 4,735,000 | 5,290,600 | |||||||||||||||||||||||||
Morgan Stanley | 5.550 | 04-27-17 | 2,955,000 | 3,118,772 | |||||||||||||||||||||||||
Morgan Stanley | 7.300 | 05-13-19 | 9,090,000 | 10,587,914 | |||||||||||||||||||||||||
Morgan Stanley (5.550% to 7-15-20, then 3 month LIBOR + 3.810%) (Q) | 5.550 | 07-15-20 | 3,370,000 | 3,357,363 | |||||||||||||||||||||||||
Stifel Financial Corp. | 4.250 | 07-18-24 | 3,325,000 | 3,346,965 | |||||||||||||||||||||||||
The Bear Stearns Companies LLC | 7.250 | 02-01-18 | 3,640,000 | 4,054,891 | |||||||||||||||||||||||||
The Goldman Sachs Group, Inc. | 3.750 | 05-22-25 | 5,520,000 | 5,597,114 | |||||||||||||||||||||||||
The Goldman Sachs Group, Inc. | 5.250 | 07-27-21 | 4,650,000 | 5,199,783 | |||||||||||||||||||||||||
The Goldman Sachs Group, Inc. | 5.750 | 01-24-22 | 1,800,000 | 2,064,955 | |||||||||||||||||||||||||
Consumer finance 1.8% | |||||||||||||||||||||||||||||
Ally Financial, Inc. | 3.250 | 11-05-18 | 3,775,000 | 3,769,111 | |||||||||||||||||||||||||
Ally Financial, Inc. | 5.125 | 09-30-24 | 8,440,000 | 8,745,528 | |||||||||||||||||||||||||
American Express Company | 3.625 | 12-05-24 | 20,000 | 19,843 | |||||||||||||||||||||||||
Capital One Financial Corp. | 2.450 | 04-24-19 | 3,220,000 | 3,246,974 | |||||||||||||||||||||||||
Capital One Financial Corp. | 4.200 | 10-29-25 | 4,945,000 | 4,929,779 | |||||||||||||||||||||||||
Capital One Financial Corp. (5.550% to 6-1-20, then 3 month LIBOR + 3.800%) (Q) | 5.550 | 06-01-20 | 4,210,000 | 4,241,575 | |||||||||||||||||||||||||
Capital One NA | 2.350 | 08-17-18 | 3,820,000 | 3,821,845 | |||||||||||||||||||||||||
Credit Acceptance Corp. | 6.125 | 02-15-21 | 4,420,000 | 4,342,650 | |||||||||||||||||||||||||
Credito Real SAB de CV (S) | 7.500 | 03-13-19 | 4,310,000 | 4,396,200 | |||||||||||||||||||||||||
Discover Bank | 2.600 | 11-13-18 | 5,530,000 | 5,550,190 | |||||||||||||||||||||||||
Discover Financial Services | 3.950 | 11-06-24 | 4,810,000 | 4,765,046 | |||||||||||||||||||||||||
Discover Financial Services | 5.200 | 04-27-22 | 4,795,000 | 5,162,235 | |||||||||||||||||||||||||
Enova International, Inc. | 9.750 | 06-01-21 | 4,300,000 | 3,332,500 | |||||||||||||||||||||||||
Diversified financial services 1.5% | |||||||||||||||||||||||||||||
Doric Nimrod Air Alpha 2013-1 Class A Pass Through Trust (S) | 5.250 | 05-30-23 | 2,947,628 | 3,087,640 | |||||||||||||||||||||||||
Doric Nimrod Air Alpha 2013-1 Class B Pass Through Trust (S) | 6.125 | 11-30-19 | 1,357,088 | 1,380,837 | |||||||||||||||||||||||||
Doric Nimrod Air Finance Alpha, Ltd. 2012-1 Class A Pass Through Trust (S) | 5.125 | 11-30-22 | 2,830,139 | 2,902,573 | |||||||||||||||||||||||||
General Electric Capital Corp. (P) | 0.842 | 08-15-36 | 3,180,000 | 2,695,349 | |||||||||||||||||||||||||
General Electric Capital Corp. (6.250% to 12-15-22, then 3 month LIBOR + 4.704%) (Q) | 6.250 | 12-15-22 | 3,885,000 | 4,424,044 | |||||||||||||||||||||||||
General Electric Capital Corp. (7.125% until 6-15-22, then 3 month LIBOR + 5.296%) (Q) | 7.125 | 06-15-22 | 4,870,000 | 5,778,255 | |||||||||||||||||||||||||
Leucadia National Corp. | 5.500 | 10-18-23 | 6,320,000 | 6,336,451 | |||||||||||||||||||||||||
McGraw Hill Financial, Inc. (S) | 4.000 | 06-15-25 | 5,655,000 | 5,662,889 | |||||||||||||||||||||||||
McGraw Hill Financial, Inc. (S) | 4.400 | 02-15-26 | 3,725,000 | 3,810,463 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Financials (continued) | |||||||||||||||||||||||||||||
Diversified financial services (continued) | |||||||||||||||||||||||||||||
NewStar Financial, Inc. | 7.250 | 05-01-20 | $5,145,000 | $5,093,550 | |||||||||||||||||||||||||
Voya Financial, Inc. (5.650% to 5-15-23, then 3 month LIBOR + 3.580%) | 5.650 | 05-15-53 | 7,178,000 | 7,231,835 | |||||||||||||||||||||||||
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 | 1,885,000 | 1,964,752 | |||||||||||||||||||||||||
Assured Guaranty US Holdings, Inc. | 5.000 | 07-01-24 | 6,030,000 | 6,267,281 | |||||||||||||||||||||||||
AXA SA | 8.600 | 12-15-30 | 2,905,000 | 4,016,163 | |||||||||||||||||||||||||
AXA SA (6.379% to 12-14-36, then 3 month LIBOR + 2.256%) (Q)(S) | 6.379 | 12-14-36 | 1,725,000 | 1,848,993 | |||||||||||||||||||||||||
CNA Financial Corp. | 7.250 | 11-15-23 | 2,320,000 | 2,739,203 | |||||||||||||||||||||||||
CNO Financial Group, Inc. | 5.250 | 05-30-25 | 3,530,000 | 3,591,775 | |||||||||||||||||||||||||
Liberty Mutual Group, Inc. (7.800% to 3-15-37, then 3 month LIBOR + 3.576%) (S) | 7.800 | 03-07-87 | 4,830,000 | 5,651,100 | |||||||||||||||||||||||||
MetLife, Inc. | 6.400 | 12-15-36 | 3,710,000 | 4,085,638 | |||||||||||||||||||||||||
Nippon Life Insurance Company (5.100% to 10-16-24, then 5 Year U.S. ISDAFIX + 3.650%) (S) | 5.100 | 10-16-44 | 3,770,000 | 3,916,088 | |||||||||||||||||||||||||
Pacific LifeCorp. (S) | 6.000 | 02-10-20 | 2,795,000 | 3,128,030 | |||||||||||||||||||||||||
Prudential Financial, Inc. (5.200% to 3-15-24, then 3 month LIBOR + 3.040%) | 5.200 | 03-15-44 | 3,120,000 | 3,096,600 | |||||||||||||||||||||||||
Prudential Financial, Inc. (5.875% to 9-1-22, then 3 month LIBOR + 4.175%) | 5.875 | 09-15-42 | 3,085,000 | 3,276,270 | |||||||||||||||||||||||||
Sirius International Group, Ltd. (7.506% to 6-30-17, then 3 month LIBOR + 3.200%) (Q)(S) | 7.506 | 06-30-17 | 3,930,000 | 3,988,950 | |||||||||||||||||||||||||
Teachers Insurance & Annuity Association of America (S) | 6.850 | 12-16-39 | 5,675,000 | 7,071,856 | |||||||||||||||||||||||||
The Hartford Financial Services Group, Inc. (8.125% to 6-15-18, then 3 month LIBOR + 4.603%) | 8.125 | 06-15-38 | 5,820,000 | 6,445,650 | |||||||||||||||||||||||||
Real estate investment trusts 2.4% | |||||||||||||||||||||||||||||
American Tower Corp. | 3.400 | 02-15-19 | 3,335,000 | 3,431,008 | |||||||||||||||||||||||||
American Tower Corp. | 4.700 | 03-15-22 | 3,420,000 | 3,613,569 | |||||||||||||||||||||||||
Corrections Corp. of America | 4.625 | 05-01-23 | 2,635,000 | 2,499,956 | |||||||||||||||||||||||||
Corrections Corp. of America | 5.000 | 10-15-22 | 1,330,000 | 1,318,363 | |||||||||||||||||||||||||
Crown Castle Towers LLC (S) | 4.883 | 08-15-20 | 4,330,000 | 4,660,576 | |||||||||||||||||||||||||
Crown Castle Towers LLC (S) | 6.113 | 01-15-20 | 5,842,000 | 6,424,415 | |||||||||||||||||||||||||
DDR Corp. | 7.500 | 04-01-17 | 5,575,000 | 5,973,886 | |||||||||||||||||||||||||
Highwoods Realty LP | 5.850 | 03-15-17 | 3,130,000 | 3,280,046 | |||||||||||||||||||||||||
Iron Mountain, Inc. | 5.750 | 08-15-24 | 4,230,000 | 4,198,275 | |||||||||||||||||||||||||
Iron Mountain, Inc. | 6.000 | 08-15-23 | 4,095,000 | 4,297,211 | |||||||||||||||||||||||||
iStar, Inc. | 5.000 | 07-01-19 | 1,250,000 | 1,214,063 | |||||||||||||||||||||||||
MPT Operating Partnership LP | 6.375 | 02-15-22 | 2,750,000 | 2,860,000 | |||||||||||||||||||||||||
MPT Operating Partnership LP | 6.875 | 05-01-21 | 2,175,000 | 2,267,438 | |||||||||||||||||||||||||
Omega Healthcare Investors, Inc. | 4.500 | 01-15-25 | 3,430,000 | 3,363,029 | |||||||||||||||||||||||||
Omega Healthcare Investors, Inc. | 4.950 | 04-01-24 | 3,530,000 | 3,569,476 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Financials (continued) | |||||||||||||||||||||||||||||
Real estate investment trusts (continued) | |||||||||||||||||||||||||||||
Omega Healthcare Investors, Inc. (S) | 5.250 | 01-15-26 | $2,015,000 | $2,070,513 | |||||||||||||||||||||||||
USB Realty Corp. (P)(Q)(S) | 1.468 | 01-15-17 | 2,900,000 | 2,608,188 | |||||||||||||||||||||||||
Ventas Realty LP | 3.500 | 02-01-25 | 2,350,000 | 2,251,688 | |||||||||||||||||||||||||
Ventas Realty LP | 3.750 | 05-01-24 | 2,595,000 | 2,558,273 | |||||||||||||||||||||||||
Ventas Realty LP | 4.750 | 06-01-21 | 5,005,000 | 5,323,528 | |||||||||||||||||||||||||
Vereit Operating Partnership LP | 4.600 | 02-06-24 | 5,895,000 | 5,706,737 | |||||||||||||||||||||||||
Welltower, Inc. | 3.750 | 03-15-23 | 1,995,000 | 1,960,502 | |||||||||||||||||||||||||
Thrifts and mortgage finance 0.4% | |||||||||||||||||||||||||||||
Nationstar Mortgage LLC | 6.500 | 07-01-21 | 3,315,000 | 3,000,075 | |||||||||||||||||||||||||
Nationstar Mortgage LLC | 7.875 | 10-01-20 | 3,478,000 | 3,373,660 | |||||||||||||||||||||||||
Nationstar Mortgage LLC | 9.625 | 05-01-19 | 2,160,000 | 2,235,600 | |||||||||||||||||||||||||
Quicken Loans, Inc. (S) | 5.750 | 05-01-25 | 2,860,000 | 2,763,475 | |||||||||||||||||||||||||
Stearns Holdings, Inc. (S) | 9.375 | 08-15-20 | 1,590,000 | 1,582,050 | |||||||||||||||||||||||||
Health care 2.3% | 74,345,562 | ||||||||||||||||||||||||||||
Biotechnology 0.4% | |||||||||||||||||||||||||||||
AbbVie, Inc. | 3.600 | 05-14-25 | 6,565,000 | 6,505,718 | |||||||||||||||||||||||||
Celgene Corp. | 5.000 | 08-15-45 | 6,185,000 | 6,195,230 | |||||||||||||||||||||||||
Health care equipment and supplies 0.4% | |||||||||||||||||||||||||||||
Alere, Inc. | 7.250 | 07-01-18 | 2,345,000 | 2,424,519 | |||||||||||||||||||||||||
Medtronic, Inc. | 4.625 | 03-15-45 | 4,750,000 | 4,916,036 | |||||||||||||||||||||||||
Zimmer Biomet Holdings, Inc. | 3.550 | 04-01-25 | 4,970,000 | 4,856,957 | |||||||||||||||||||||||||
Health care providers and services 1.0% | |||||||||||||||||||||||||||||
Covenant Surgical Partners, Inc. (S) | 8.750 | 08-01-19 | 1,663,000 | 1,629,740 | |||||||||||||||||||||||||
Fresenius US Finance II, Inc. (S) | 4.500 | 01-15-23 | 1,880,000 | 1,924,650 | |||||||||||||||||||||||||
HCA, Inc. | 5.250 | 04-15-25 | 4,030,000 | 4,075,338 | |||||||||||||||||||||||||
HCA, Inc. | 7.500 | 02-15-22 | 3,260,000 | 3,643,050 | |||||||||||||||||||||||||
Medco Health Solutions, Inc. | 7.125 | 03-15-18 | 2,880,000 | 3,198,116 | |||||||||||||||||||||||||
Molina Healthcare, Inc. (S) | 5.375 | 11-15-22 | 3,545,000 | 3,562,725 | |||||||||||||||||||||||||
Select Medical Corp. | 6.375 | 06-01-21 | 3,245,000 | 2,620,338 | |||||||||||||||||||||||||
UnitedHealth Group, Inc. | 1.450 | 07-17-17 | 4,965,000 | 4,980,938 | |||||||||||||||||||||||||
UnitedHealth Group, Inc. | 3.750 | 07-15-25 | 5,170,000 | 5,362,029 | |||||||||||||||||||||||||
WellCare Health Plans, Inc. | 5.750 | 11-15-20 | 1,945,000 | 2,022,003 | |||||||||||||||||||||||||
Pharmaceuticals 0.5% | |||||||||||||||||||||||||||||
Actavis Funding SCS | 3.800 | 03-15-25 | 3,915,000 | 3,950,016 | |||||||||||||||||||||||||
Endo Finance LLC (S) | 7.750 | 01-15-22 | 1,394,000 | 1,404,455 | |||||||||||||||||||||||||
Mallinckrodt International Finance SA (S) | 5.500 | 04-15-25 | 660,000 | 559,350 | |||||||||||||||||||||||||
Mallinckrodt International Finance SA (S) | 5.750 | 08-01-22 | 3,490,000 | 3,088,650 | |||||||||||||||||||||||||
Quintiles Transnational Corp. (S) | 4.875 | 05-15-23 | 1,335,000 | 1,338,338 | |||||||||||||||||||||||||
Zoetis, Inc. | 4.500 | 11-13-25 | 6,000,000 | 6,087,366 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Industrials 5.7% | $182,330,096 | ||||||||||||||||||||||||||||
Aerospace and defense 1.0% | |||||||||||||||||||||||||||||
AerCap Ireland Capital, Ltd. | 4.625 | 10-30-20 | $1,225,000 | 1,258,688 | |||||||||||||||||||||||||
Embraer Overseas, Ltd. (S) | 5.696 | 09-16-23 | 1,658,000 | 1,670,435 | |||||||||||||||||||||||||
Huntington Ingalls Industries, Inc. (S) | 5.000 | 12-15-21 | 4,055,000 | 4,146,238 | |||||||||||||||||||||||||
Huntington Ingalls Industries, Inc. (S) | 5.000 | 11-15-25 | 850,000 | 862,750 | |||||||||||||||||||||||||
Lockheed Martin Corp. | 2.900 | 03-01-25 | 4,771,000 | 4,619,731 | |||||||||||||||||||||||||
Lockheed Martin Corp. | 4.700 | 05-15-46 | 3,480,000 | 3,569,857 | |||||||||||||||||||||||||
Textron Financial Corp. (6.000% to 2-15-17, then 3 month LIBOR + 1.735%) (S) | 6.000 | 02-15-67 | 9,625,000 | 7,074,375 | |||||||||||||||||||||||||
Textron, Inc. | 3.875 | 03-01-25 | 2,465,000 | 2,431,409 | |||||||||||||||||||||||||
Textron, Inc. | 5.600 | 12-01-17 | 2,195,000 | 2,341,795 | |||||||||||||||||||||||||
Textron, Inc. | 7.250 | 10-01-19 | 2,230,000 | 2,559,204 | |||||||||||||||||||||||||
Air freight and logistics 0.2% | |||||||||||||||||||||||||||||
XPO Logistics, Inc. (S) | 6.500 | 06-15-22 | 6,235,000 | 5,705,025 | |||||||||||||||||||||||||
Airlines 2.1% | |||||||||||||||||||||||||||||
America West Airlines 2000-1 Pass Through Trust | 8.057 | 07-02-20 | 412,856 | 463,431 | |||||||||||||||||||||||||
American Airlines 2011-1 Class B Pass Through Trust (S) | 7.000 | 01-31-18 | 5,811,948 | 6,131,605 | |||||||||||||||||||||||||
American Airlines 2013-2 Class A Pass Through Trust | 4.950 | 01-15-23 | 3,853,164 | 4,108,436 | |||||||||||||||||||||||||
American Airlines 2013-2 Class B Pass Through Trust (S) | 5.600 | 07-15-20 | 1,462,632 | 1,506,511 | |||||||||||||||||||||||||
American Airlines 2015-1 Class B Pass Through Trust | 3.700 | 05-01-23 | 5,917,503 | 5,769,565 | |||||||||||||||||||||||||
British Airways 2013-1 Class A Pass Through Trust (S) | 4.625 | 06-20-24 | 6,721,967 | 7,041,260 | |||||||||||||||||||||||||
British Airways 2013-1 Class B Pass Through Trust (S) | 5.625 | 06-20-20 | 1,711,158 | 1,779,604 | |||||||||||||||||||||||||
Continental Airlines 1997-4 Class A Pass Through Trust | 6.900 | 01-02-18 | 1,136,610 | 1,172,754 | |||||||||||||||||||||||||
Continental Airlines 1998-1 Class A Pass Through Trust | 6.648 | 09-15-17 | 228,672 | 234,960 | |||||||||||||||||||||||||
Continental Airlines 1999-1 Class A Pass Through Trust | 6.545 | 02-02-19 | 862,310 | 922,672 | |||||||||||||||||||||||||
Continental Airlines 2000-2 Class B Pass Through Trust | 8.307 | 04-02-18 | 80,605 | 85,442 | |||||||||||||||||||||||||
Continental Airlines 2007-1 Class A Pass Through Trust | 5.983 | 04-19-22 | 3,564,625 | 3,956,733 | |||||||||||||||||||||||||
Continental Airlines 2012-1 Class B Pass Through Trust | 6.250 | 04-11-20 | 1,306,582 | 1,371,911 | |||||||||||||||||||||||||
Delta Air Lines 2002-1 Class G-1 Pass Through Trust | 6.718 | 01-02-23 | 4,395,760 | 5,011,167 | |||||||||||||||||||||||||
Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821 | 08-10-22 | 3,354,808 | 3,860,109 | |||||||||||||||||||||||||
Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200 | 07-02-18 | 713,561 | 768,862 | |||||||||||||||||||||||||
Delta Air Lines 2011-1 Class A Pass Through Trust | 5.300 | 04-15-19 | 1,128,746 | 1,204,937 | |||||||||||||||||||||||||
Northwest Airlines 2007-1 Class A Pass Through Trust | 7.027 | 11-01-19 | 2,329,920 | 2,600,820 | |||||||||||||||||||||||||
UAL 2009-1 Pass Through Trust | 10.400 | 11-01-16 | 191,106 | 203,642 | |||||||||||||||||||||||||
UAL 2009-2A Pass Through Trust | 9.750 | 01-15-17 | 934,656 | 990,735 | |||||||||||||||||||||||||
United Airlines 2014-2 Class A Pass Through Trust | 3.750 | 09-03-26 | 4,810,000 | 4,870,125 | |||||||||||||||||||||||||
United Airlines 2014-2 Class B Pass Through Trust | 4.625 | 09-03-22 | 5,280,000 | 5,280,000 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Industrials (continued) | |||||||||||||||||||||||||||||
Airlines (continued) | |||||||||||||||||||||||||||||
US Airways 2010-1 Class A Pass Through Trust | 6.250 | 04-22-23 | $3,536,496 | $3,957,339 | |||||||||||||||||||||||||
US Airways 2012-1 Class A Pass Through Trust | 5.900 | 10-01-24 | 2,906,704 | 3,226,442 | |||||||||||||||||||||||||
Building products 0.4% | |||||||||||||||||||||||||||||
Builders FirstSource, Inc. (S) | 10.750 | 08-15-23 | 2,510,000 | 2,572,750 | |||||||||||||||||||||||||
Masco Corp. | 4.450 | 04-01-25 | 3,230,000 | 3,169,438 | |||||||||||||||||||||||||
Masco Corp. | 7.125 | 03-15-20 | 2,480,000 | 2,874,320 | |||||||||||||||||||||||||
Owens Corning | 4.200 | 12-15-22 | 4,330,000 | 4,367,346 | |||||||||||||||||||||||||
Commercial services and supplies 0.1% | |||||||||||||||||||||||||||||
Casella Waste Systems, Inc. | 7.750 | 02-15-19 | 2,945,000 | 2,959,725 | |||||||||||||||||||||||||
Safway Group Holding LLC (S) | 7.000 | 05-15-18 | 1,905,000 | 1,924,050 | |||||||||||||||||||||||||
Construction and engineering 0.1% | |||||||||||||||||||||||||||||
Tutor Perini Corp. | 7.625 | 11-01-18 | 3,835,000 | 3,897,319 | |||||||||||||||||||||||||
Electrical equipment 0.0% | |||||||||||||||||||||||||||||
EnerSys (S) | 5.000 | 04-30-23 | 1,095,000 | 1,092,263 | |||||||||||||||||||||||||
Industrial conglomerates 0.1% | |||||||||||||||||||||||||||||
Odebrecht Finance, Ltd. (S) | 7.125 | 06-26-42 | 2,720,000 | 1,604,800 | |||||||||||||||||||||||||
Odebrecht Finance, Ltd. (Q)(S) | 7.500 | 01-04-16 | 1,105,000 | 712,725 | |||||||||||||||||||||||||
Machinery 0.3% | |||||||||||||||||||||||||||||
Optimas OE Solutions Holding LLC (S) | 8.625 | 06-01-21 | 1,435,000 | 1,356,075 | |||||||||||||||||||||||||
SPL Logistics Escrow LLC (S) | 8.875 | 08-01-20 | 1,871,000 | 1,936,485 | |||||||||||||||||||||||||
Trinity Industries, Inc. | 4.550 | 10-01-24 | 6,475,000 | 6,120,157 | |||||||||||||||||||||||||
Marine 0.1% | |||||||||||||||||||||||||||||
Navios South American Logistics, Inc. (S) | 7.250 | 05-01-22 | 3,060,000 | 2,448,000 | |||||||||||||||||||||||||
Road and rail 0.2% | |||||||||||||||||||||||||||||
Penske Truck Leasing Company LP (S) | 3.375 | 02-01-22 | 6,395,000 | 6,250,614 | |||||||||||||||||||||||||
Trading companies and distributors 1.0% | |||||||||||||||||||||||||||||
Ahern Rentals, Inc. (S) | 7.375 | 05-15-23 | 4,675,000 | 3,927,000 | |||||||||||||||||||||||||
Air Lease Corp. | 3.375 | 01-15-19 | 4,515,000 | 4,571,438 | |||||||||||||||||||||||||
Air Lease Corp. | 3.875 | 04-01-21 | 2,950,000 | 2,979,500 | |||||||||||||||||||||||||
Air Lease Corp. | 4.750 | 03-01-20 | 2,125,000 | 2,240,558 | |||||||||||||||||||||||||
Air Lease Corp. | 5.625 | 04-01-17 | 2,625,000 | 2,736,563 | |||||||||||||||||||||||||
Aircastle, Ltd. | 5.500 | 02-15-22 | 2,485,000 | 2,603,038 | |||||||||||||||||||||||||
Aircastle, Ltd. | 6.250 | 12-01-19 | 1,760,000 | 1,900,800 | |||||||||||||||||||||||||
Aircastle, Ltd. | 7.625 | 04-15-20 | 1,440,000 | 1,634,400 | |||||||||||||||||||||||||
Ashtead Capital, Inc. (S) | 5.625 | 10-01-24 | 1,855,000 | 1,887,463 | |||||||||||||||||||||||||
International Lease Finance Corp. (S) | 7.125 | 09-01-18 | 2,720,000 | 2,985,200 | |||||||||||||||||||||||||
United Rentals North America, Inc. | 5.500 | 07-15-25 | 2,910,000 | 2,910,000 | |||||||||||||||||||||||||
United Rentals North America, Inc. | 5.750 | 11-15-24 | 3,270,000 | 3,302,700 | |||||||||||||||||||||||||
Transportation infrastructure 0.1% | |||||||||||||||||||||||||||||
Florida East Coast Holdings Corp. (S) | 6.750 | 05-01-19 | 2,660,000 | 2,606,800 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Information technology 0.9% | $29,198,279 | ||||||||||||||||||||||||||||
Electronic equipment, instruments and components 0.1% | |||||||||||||||||||||||||||||
Zebra Technologies Corp. | 7.250 | 10-15-22 | $2,705,000 | 2,894,350 | |||||||||||||||||||||||||
Internet software and services 0.4% | |||||||||||||||||||||||||||||
Ancestry.com Holdings LLC, PIK (S) | 9.625 | 10-15-18 | 1,985,000 | 1,989,963 | |||||||||||||||||||||||||
Ancestry.com, Inc. | 11.000 | 12-15-20 | 2,680,000 | 2,907,800 | |||||||||||||||||||||||||
Rackspace Hosting, Inc. (S) | 6.500 | 01-15-24 | 4,375,000 | 4,375,000 | |||||||||||||||||||||||||
VeriSign, Inc. | 5.250 | 04-01-25 | 3,145,000 | 3,203,749 | |||||||||||||||||||||||||
IT services 0.2% | |||||||||||||||||||||||||||||
Fidelity National Information Services, Inc. | 5.000 | 10-15-25 | 4,110,000 | 4,259,892 | |||||||||||||||||||||||||
Sixsigma Networks Mexico SA de CV (S) | 8.250 | 11-07-21 | 2,870,000 | 2,740,850 | |||||||||||||||||||||||||
Semiconductors and semiconductor equipment 0.2% | |||||||||||||||||||||||||||||
Micron Technology, Inc. | 5.875 | 02-15-22 | 3,150,000 | 3,168,050 | |||||||||||||||||||||||||
Qorvo, Inc. (S) | 6.750 | 12-01-23 | 1,910,000 | 1,952,975 | |||||||||||||||||||||||||
Qorvo, Inc. (S) | 7.000 | 12-01-25 | 1,660,000 | 1,705,650 | |||||||||||||||||||||||||
Materials 1.8% | 56,292,571 | ||||||||||||||||||||||||||||
Chemicals 0.6% | |||||||||||||||||||||||||||||
Braskem Finance, Ltd. (S) | 7.000 | 05-07-20 | 5,150,000 | 5,317,890 | |||||||||||||||||||||||||
Incitec Pivot Finance LLC (S) | 6.000 | 12-10-19 | 2,025,000 | 2,209,652 | |||||||||||||||||||||||||
NOVA Chemicals Corp. (S) | 5.000 | 05-01-25 | 5,525,000 | 5,414,500 | |||||||||||||||||||||||||
Platform Specialty Products Corp. (S) | 6.500 | 02-01-22 | 5,665,000 | 4,928,550 | |||||||||||||||||||||||||
Rain CII Carbon LLC (S) | 8.250 | 01-15-21 | 1,445,000 | 1,112,650 | |||||||||||||||||||||||||
Construction materials 0.3% | |||||||||||||||||||||||||||||
American Gilsonite Company (S) | 11.500 | 09-01-17 | 3,035,000 | 2,139,675 | |||||||||||||||||||||||||
Cemex SAB de CV (S) | 6.125 | 05-05-25 | 3,400,000 | 3,118,480 | |||||||||||||||||||||||||
Cemex SAB de CV (S) | 6.500 | 12-10-19 | 3,500,000 | 3,517,500 | |||||||||||||||||||||||||
Vulcan Materials Company | 4.500 | 04-01-25 | 1,407,000 | 1,403,483 | |||||||||||||||||||||||||
Containers and packaging 0.2% | |||||||||||||||||||||||||||||
Ardagh Finance Holdings SA, PIK (S) | 8.625 | 06-15-19 | 2,531,597 | 2,639,190 | |||||||||||||||||||||||||
Wise Metals Group LLC (S) | 8.750 | 12-15-18 | 2,510,000 | 1,982,900 | |||||||||||||||||||||||||
Metals and mining 0.6% | |||||||||||||||||||||||||||||
Allegheny Technologies, Inc. | 9.375 | 06-01-19 | 6,195,000 | 6,171,769 | |||||||||||||||||||||||||
ArcelorMittal | 10.850 | 06-01-19 | 3,005,000 | 3,185,300 | |||||||||||||||||||||||||
Commercial Metals Company | 7.350 | 08-15-18 | 2,540,000 | 2,692,400 | |||||||||||||||||||||||||
MMC Norilsk Nickel OJSC (S) | 5.550 | 10-28-20 | 1,775,000 | 1,788,313 | |||||||||||||||||||||||||
MMC Norilsk Nickel OJSC (S) | 6.625 | 10-14-22 | 3,880,000 | 3,987,631 | |||||||||||||||||||||||||
Rain CII Carbon LLC (S) | 8.000 | 12-01-18 | 2,900,000 | 2,363,500 | |||||||||||||||||||||||||
Paper and forest products 0.1% | |||||||||||||||||||||||||||||
Norbord, Inc. (S) | 6.250 | 04-15-23 | 2,325,000 | 2,319,188 | |||||||||||||||||||||||||
Telecommunication services 1.8% | 55,318,506 | ||||||||||||||||||||||||||||
Diversified telecommunication services 0.8% | |||||||||||||||||||||||||||||
AT&T, Inc. | 4.750 | 05-15-46 | 3,260,000 | 3,059,184 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Telecommunication services (continued) | |||||||||||||||||||||||||||||
Diversified telecommunication services (continued) | |||||||||||||||||||||||||||||
Columbus International, Inc. (S) | 7.375 | 03-30-21 | $1,525,000 | $1,593,625 | |||||||||||||||||||||||||
GCI, Inc. | 6.875 | 04-15-25 | 2,610,000 | 2,701,350 | |||||||||||||||||||||||||
T-Mobile USA, Inc. | 6.125 | 01-15-22 | 1,530,000 | 1,561,380 | |||||||||||||||||||||||||
T-Mobile USA, Inc. | 6.250 | 04-01-21 | 1,770,000 | 1,814,250 | |||||||||||||||||||||||||
Telecom Italia Capital SA | 7.200 | 07-18-36 | 2,650,000 | 2,729,500 | |||||||||||||||||||||||||
Verizon Communications, Inc. | 4.400 | 11-01-34 | 3,320,000 | 3,148,887 | |||||||||||||||||||||||||
Verizon Communications, Inc. | 5.012 | 08-21-54 | 2,884,000 | 2,733,478 | |||||||||||||||||||||||||
Verizon Communications, Inc. | 6.550 | 09-15-43 | 3,275,000 | 3,955,349 | |||||||||||||||||||||||||
Wind Acquisition Finance SA (S) | 7.375 | 04-23-21 | 2,845,000 | 2,745,425 | |||||||||||||||||||||||||
Wireless telecommunication services 1.0% | |||||||||||||||||||||||||||||
CC Holdings GS V LLC | 3.849 | 04-15-23 | 3,960,000 | 3,918,757 | |||||||||||||||||||||||||
Comcel Trust (S) | 6.875 | 02-06-24 | 1,720,000 | 1,440,844 | |||||||||||||||||||||||||
Digicel Group, Ltd. (S) | 8.250 | 09-30-20 | 3,385,000 | 2,940,719 | |||||||||||||||||||||||||
Digicel, Ltd. (S) | 6.750 | 03-01-23 | 2,000,000 | 1,764,400 | |||||||||||||||||||||||||
Millicom International Cellular SA (S) | 4.750 | 05-22-20 | 3,530,000 | 3,265,250 | |||||||||||||||||||||||||
Millicom International Cellular SA (S) | 6.625 | 10-15-21 | 3,165,000 | 3,062,138 | |||||||||||||||||||||||||
MTN Mauritius Investments, Ltd. (S) | 4.755 | 11-11-24 | 1,375,000 | 1,278,750 | |||||||||||||||||||||||||
SBA Tower Trust (S) | 2.933 | 12-15-42 | 2,805,000 | 2,829,058 | |||||||||||||||||||||||||
SBA Tower Trust (S) | 3.598 | 04-15-43 | 2,770,000 | 2,769,665 | |||||||||||||||||||||||||
SBA Tower Trust (S) | 5.101 | 04-15-42 | 2,855,000 | 2,904,272 | |||||||||||||||||||||||||
SoftBank Group Corp. (S) | 4.500 | 04-15-20 | 3,110,000 | 3,102,225 | |||||||||||||||||||||||||
Utilities 1.1% | 33,874,688 | ||||||||||||||||||||||||||||
Electric utilities 0.8% | |||||||||||||||||||||||||||||
Beaver Valley II Funding Corp. | 9.000 | 06-01-17 | 209,000 | 223,630 | |||||||||||||||||||||||||
BVPS II Funding Corp. | 8.890 | 06-01-17 | 563,000 | 586,381 | |||||||||||||||||||||||||
Electricite de France SA (S) | 3.625 | 10-13-25 | 2,940,000 | 2,910,844 | |||||||||||||||||||||||||
Electricite de France SA (5.250% to 1-29-23, then 10 Year Swap Rate + 3.709%) (Q)(S) | 5.250 | 01-29-23 | 3,830,000 | 3,700,738 | |||||||||||||||||||||||||
Empresa Electrica Angamos SA (S) | 4.875 | 05-25-29 | 3,490,000 | 3,142,899 | |||||||||||||||||||||||||
Israel Electric Corp., Ltd. (S) | 5.625 | 06-21-18 | 3,295,000 | 3,491,481 | |||||||||||||||||||||||||
Israel Electric Corp., Ltd. (S) | 6.875 | 06-21-23 | 1,825,000 | 2,097,655 | |||||||||||||||||||||||||
Israel Electric Corp., Ltd. (S) | 7.250 | 01-15-19 | 2,890,000 | 3,220,818 | |||||||||||||||||||||||||
PNPP II Funding Corp. | 9.120 | 05-30-16 | 38,000 | 38,778 | |||||||||||||||||||||||||
Southern California Edison Company (6.250% to 2-1-22, then 3 month LIBOR + 4.199%) (Q) | 6.250 | 02-01-22 | 2,215,000 | 2,458,650 | |||||||||||||||||||||||||
Talen Energy Supply LLC (S) | 6.500 | 06-01-25 | 2,450,000 | 2,094,750 | |||||||||||||||||||||||||
W3A Funding Corp. | 8.090 | 01-02-17 | 948,668 | 947,143 | |||||||||||||||||||||||||
Independent power and renewable electricity producers 0.3% | |||||||||||||||||||||||||||||
Dynegy, Inc. | 6.750 | 11-01-19 | 1,145,000 | 1,118,528 | |||||||||||||||||||||||||
Dynegy, Inc. | 7.625 | 11-01-24 | 5,445,000 | 5,172,750 | |||||||||||||||||||||||||
NRG Yield Operating LLC | 5.375 | 08-15-24 | 2,945,000 | 2,669,643 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
U.S. Government and Agency obligations 23.4% | $742,625,325 | ||||||||||||||||||||||||||||
(Cost $743,166,455) | |||||||||||||||||||||||||||||
U.S. Government 8.4% | 265,158,786 | ||||||||||||||||||||||||||||
U.S. Treasury | |||||||||||||||||||||||||||||
Bond | 2.500 | 02-15-45 | $129,073,000 | 116,437,915 | |||||||||||||||||||||||||
Bond | 2.750 | 11-15-42 | 63,050,000 | 60,340,805 | |||||||||||||||||||||||||
Bond | 2.875 | 08-15-45 | 36,979,000 | 36,154,183 | |||||||||||||||||||||||||
Note | 2.250 | 11-15-25 | 20,403,000 | 20,469,942 | |||||||||||||||||||||||||
Treasury Inflation Protected Securities | 0.375 | 07-15-25 | 32,460,961 | 31,755,941 | |||||||||||||||||||||||||
U.S. Government Agency 15.0% | 477,466,539 | ||||||||||||||||||||||||||||
Federal Home Loan Bank | |||||||||||||||||||||||||||||
15 Yr Pass Thru | 2.900 | 09-05-25 | 1,390,476 | 1,380,951 | |||||||||||||||||||||||||
15 Yr Pass Thru | 3.250 | 06-21-27 | 1,915,152 | 1,915,724 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 03-01-42 | 13,440,434 | 14,284,533 | |||||||||||||||||||||||||
Federal Home Loan Mortgage Corp. | |||||||||||||||||||||||||||||
30 Yr Pass Thru (P) | 2.545 | 06-01-44 | 3,055,333 | 3,134,179 | |||||||||||||||||||||||||
30 Yr Pass Thru (P) | 2.664 | 05-01-44 | 2,898,725 | 2,980,973 | |||||||||||||||||||||||||
30 Yr Pass Thru (P) | 2.986 | 03-01-44 | 725,702 | 749,016 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 03-01-43 | 6,186,474 | 6,258,259 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 06-01-42 | 10,194,126 | 10,582,144 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 09-01-42 | 3,324,114 | 3,443,368 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 04-01-44 | 11,045,840 | 11,497,343 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 11-01-43 | 7,798,557 | 8,330,978 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 02-01-44 | 2,082,513 | 2,214,277 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 11-01-39 | 5,070,711 | 5,485,883 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 02-01-41 | 7,881,490 | 8,532,955 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 03-01-41 | 4,292,590 | 4,691,673 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 05-01-38 | 487,622 | 546,523 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 12-01-38 | 276,189 | 309,033 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 11-01-39 | 10,713,573 | 11,997,660 | |||||||||||||||||||||||||
Federal National Mortgage Association | |||||||||||||||||||||||||||||
15 Yr Pass Thru | 2.500 | 06-01-27 | 376,049 | 383,790 | |||||||||||||||||||||||||
15 Yr Pass Thru | 3.000 | 09-01-27 | 6,353,227 | 6,593,611 | |||||||||||||||||||||||||
15 Yr Pass Thru | 3.500 | 02-01-26 | 965,556 | 1,017,687 | |||||||||||||||||||||||||
15 Yr Pass Thru | 3.500 | 03-01-26 | 7,937,859 | 8,366,430 | |||||||||||||||||||||||||
15 Yr Pass Thru | 4.000 | 12-01-24 | 4,297,408 | 4,587,695 | |||||||||||||||||||||||||
30 Yr Pass Thru (P) | 2.518 | 06-01-44 | 5,184,893 | 5,319,529 | |||||||||||||||||||||||||
30 Yr Pass Thru (P) | 2.546 | 04-01-44 | 4,784,932 | 4,917,402 | |||||||||||||||||||||||||
30 Yr Pass Thru (P) | 2.918 | 03-01-44 | 718,182 | 741,380 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 08-01-42 | 269,789 | 272,835 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 10-01-42 | 6,854,434 | 6,906,123 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 12-01-42 | 3,467,181 | 3,494,952 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 01-01-43 | 2,488,738 | 2,504,395 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 03-01-43 | 1,735,670 | 1,756,353 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 05-01-43 | 2,440,323 | 2,469,402 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
U.S. Government Agency (continued) | |||||||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 06-01-43 | $4,136,084 | $4,162,104 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 11-01-40 | 6,319,276 | 6,564,249 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 06-01-42 | 5,881,936 | 6,117,308 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 08-01-42 | 9,852,355 | 10,246,607 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 01-01-43 | 26,499,574 | 27,494,595 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 07-01-43 | 19,381,618 | 20,169,381 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 01-01-45 | 6,897,953 | 7,180,448 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 04-01-45 | 20,539,962 | 21,323,377 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 11-01-40 | 2,166,878 | 2,320,824 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 01-01-41 | 11,280,565 | 12,008,580 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 09-01-41 | 10,912,442 | 11,666,613 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 10-01-41 | 10,835,894 | 11,538,135 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 01-01-42 | 6,252,262 | 6,664,218 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 07-01-42 | 819,420 | 873,539 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 09-01-43 | 13,194,992 | 14,161,298 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 10-01-43 | 23,690,350 | 25,334,191 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 01-01-44 | 5,873,382 | 6,290,659 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 11-01-39 | 8,934,105 | 9,679,905 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 08-01-40 | 10,931,522 | 11,861,143 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 02-01-41 | 10,941,604 | 11,865,244 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 05-01-41 | 9,418,600 | 10,223,977 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 06-01-41 | 11,635,222 | 12,686,498 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 07-01-41 | 5,067,024 | 5,524,844 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 08-01-41 | 6,870,227 | 7,490,972 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 05-01-42 | 13,953,462 | 15,214,198 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 01-01-43 | 3,074,625 | 3,333,210 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 08-01-40 | 7,442,133 | 8,224,621 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 09-01-40 | 6,429,100 | 7,105,074 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 02-01-41 | 4,937,432 | 5,468,141 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 03-01-41 | 5,453,450 | 6,051,553 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 04-01-41 | 1,966,180 | 2,198,408 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 07-01-42 | 4,350,876 | 4,808,340 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 05-01-35 | 2,452,843 | 2,769,032 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 04-01-36 | 601,151 | 677,758 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 05-01-36 | 2,647,807 | 2,991,848 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 01-01-39 | 2,273,543 | 2,549,061 | |||||||||||||||||||||||||
30 Yr Pass Thru | 6.000 | 02-01-37 | 599,898 | 683,341 | |||||||||||||||||||||||||
30 Yr Pass Thru | 6.500 | 01-01-39 | 2,789,254 | 3,194,991 | |||||||||||||||||||||||||
30 Yr Pass Thru | 6.500 | 06-01-39 | 940,867 | 1,081,198 | |||||||||||||||||||||||||
Foreign government obligations 0.2% | $5,537,223 | ||||||||||||||||||||||||||||
(Cost $4,767,211) | |||||||||||||||||||||||||||||
Argentina 0.2% | 5,537,223 | ||||||||||||||||||||||||||||
City of Buenos Aires (S) | 9.950 | 03-01-17 | 2,645,000 | 2,734,269 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Argentina (continued) | |||||||||||||||||||||||||||||
Republic of Argentina (H) | 8.280 | 12-31-33 | $2,502,638 | $2,802,954 | |||||||||||||||||||||||||
Municipal bonds 0.1% | $5,442,107 | ||||||||||||||||||||||||||||
(Cost $5,460,515) | |||||||||||||||||||||||||||||
State of Hawaii Department of Business Economic Development & Tourism | 1.467 | 07-01-22 | 5,460,947 | 5,442,107 | |||||||||||||||||||||||||
Term loans (M) 0.4% | $12,766,168 | ||||||||||||||||||||||||||||
(Cost $13,650,252) | |||||||||||||||||||||||||||||
Consumer staples 0.1% | 2,433,767 | ||||||||||||||||||||||||||||
Household products 0.1% | |||||||||||||||||||||||||||||
The Sun Products Corp. | 5.500 | 03-23-20 | 2,564,109 | 2,433,767 | |||||||||||||||||||||||||
Financials 0.0% | 1,369,776 | ||||||||||||||||||||||||||||
Thrifts and mortgage finance 0.0% | |||||||||||||||||||||||||||||
Walter Investment Management Corp. | 4.750 | 12-19-20 | 1,583,556 | 1,369,776 | |||||||||||||||||||||||||
Health care 0.0% | 888,040 | ||||||||||||||||||||||||||||
Health care providers and services 0.0% | |||||||||||||||||||||||||||||
Surgery Center Holdings, Inc. | 5.250 | 11-03-20 | 893,250 | 888,040 | |||||||||||||||||||||||||
Industrials 0.2% | 5,416,114 | ||||||||||||||||||||||||||||
Aerospace and defense 0.0% | |||||||||||||||||||||||||||||
WP CPP Holdings LLC | 4.500 | 12-28-19 | 972,500 | 946,566 | |||||||||||||||||||||||||
Airlines 0.2% | |||||||||||||||||||||||||||||
Delta Air Lines, Inc. | 3.250 | 10-18-18 | 1,656,197 | 1,651,798 | |||||||||||||||||||||||||
GOL LuxCo SA | 6.500 | 08-31-20 | 2,890,000 | 2,817,750 | |||||||||||||||||||||||||
Utilities 0.1% | 2,658,471 | ||||||||||||||||||||||||||||
Electric utilities 0.1% | |||||||||||||||||||||||||||||
ExGen Texas Power LLC | 5.750 | 09-16-21 | 2,043,776 | 1,553,270 | |||||||||||||||||||||||||
La Frontera Generation LLC | 4.500 | 09-30-20 | 1,163,370 | 1,105,201 | |||||||||||||||||||||||||
Capital preferred securities 0.9% | $30,194,093 | ||||||||||||||||||||||||||||
(Cost $30,761,023) | |||||||||||||||||||||||||||||
Financials 0.9% | 30,194,093 | ||||||||||||||||||||||||||||
Banks 0.2% | |||||||||||||||||||||||||||||
BAC Capital Trust XIV, Series G (P)(Q) | 4.000 | 12-21-15 | 4,938,000 | 3,722,018 | |||||||||||||||||||||||||
Sovereign Capital Trust VI | 7.908 | 06-13-36 | 3,068,000 | 3,132,069 | |||||||||||||||||||||||||
Capital markets 0.3% | |||||||||||||||||||||||||||||
Goldman Sachs Capital II (P)(Q) | 4.000 | 01-04-16 | 6,880,000 | 4,919,200 | |||||||||||||||||||||||||
State Street Capital Trust IV (P) | 1.337 | 06-15-37 | 5,935,000 | 4,807,350 | |||||||||||||||||||||||||
Insurance 0.4% | |||||||||||||||||||||||||||||
MetLife Capital Trust IV (7.875% to 12-15-32, then 3 month LIBOR + 3.960%) (S) | 7.875 | 12-15-67 | 960,000 | 1,195,200 | |||||||||||||||||||||||||
MetLife Capital Trust X (9.250% to 4-8-33 then 3 month LIBOR + 5.540%) (S) | 9.250 | 04-08-68 | 2,820,000 | 3,933,900 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Financials (continued) | |||||||||||||||||||||||||||||
Insurance (continued) | |||||||||||||||||||||||||||||
ZFS Finance USA Trust II (6.450% to 6-15-16 then 3 month LIBOR + 2.000%) (S) | 6.450 | 12-15-65 | $6,740,000 | $6,803,356 | |||||||||||||||||||||||||
ZFS Finance USA Trust V (6.500% to 5-9-17, then 3 month LIBOR + 2.285%) (S) | 6.500 | 05-09-67 | 1,640,000 | 1,681,000 | |||||||||||||||||||||||||
Collateralized mortgage obligations 13.4% | $424,958,928 | ||||||||||||||||||||||||||||
(Cost $415,190,010) | |||||||||||||||||||||||||||||
Commercial and residential 12.5% | 397,071,373 | ||||||||||||||||||||||||||||
Adjustable Rate Mortgage Trust Series 2005-4, Class 7A12 (P) | 0.801 | 08-25-35 | 2,078,490 | 1,999,887 | |||||||||||||||||||||||||
American Home Mortgage Investment Trust | |||||||||||||||||||||||||||||
Series 2005-1, Class 1A1 (P) | 0.441 | 06-25-45 | 4,046,355 | 3,770,153 | |||||||||||||||||||||||||
Series 2005-1, Class AHM (P) | 2.549 | 06-25-45 | 2,538,689 | 2,517,385 | |||||||||||||||||||||||||
Americold 2010 LLC Trust Series 2010-ARTA, Class D (S) | 7.443 | 01-14-29 | 4,915,000 | 5,579,672 | |||||||||||||||||||||||||
AOA Mortgage Trust Series 2015-1177, Class C (P) (S) | 3.110 | 12-13-29 | 5,021,000 | 4,899,610 | |||||||||||||||||||||||||
BAMLL Commercial Mortgage Securities Trust | |||||||||||||||||||||||||||||
Series 2013-DSNY, Class E (P) (S) | 2.797 | 09-15-26 | 2,645,000 | 2,614,964 | |||||||||||||||||||||||||
Series 2014-ICTS, Class D (P) (S) | 2.097 | 06-15-28 | 2,295,000 | 2,276,116 | |||||||||||||||||||||||||
Series 2014-ICTS, Class E (P) (S) | 3.147 | 06-15-28 | 1,425,000 | 1,420,315 | |||||||||||||||||||||||||
Series 2015-200P, Class F (P) (S) | 3.716 | 04-14-33 | 4,230,000 | 3,701,813 | |||||||||||||||||||||||||
BBCMS Trust | |||||||||||||||||||||||||||||
Series 2015, Class C (P) (S) | 2.197 | 02-15-28 | 2,145,000 | 2,118,845 | |||||||||||||||||||||||||
Series 2015-MSQ, Class D (P) (S) | 4.123 | 09-15-32 | 5,335,000 | 5,322,467 | |||||||||||||||||||||||||
Bear Stearns Adjustable Rate Mortgage Trust | |||||||||||||||||||||||||||||
Series 2005-2, Class A1 (P) | 2.680 | 03-25-35 | 3,284,964 | 3,292,190 | |||||||||||||||||||||||||
Series 2005-5, Class A2 (P) | 2.480 | 08-25-35 | 5,070,046 | 5,081,320 | |||||||||||||||||||||||||
Bear Stearns ALT-A Trust | |||||||||||||||||||||||||||||
Series 2004-12, Class 1A1 (P) | 0.921 | 01-25-35 | 5,466,777 | 5,332,494 | |||||||||||||||||||||||||
Series 2004-12, Class A3 (P) | 0.921 | 01-25-35 | 1,367,856 | 1,325,954 | |||||||||||||||||||||||||
Series 2005-5, Class 1A4 (P) | 0.781 | 07-25-35 | 3,002,333 | 2,856,585 | |||||||||||||||||||||||||
Series 2005-7, Class 11A1 (P) | 0.761 | 08-25-35 | 4,588,838 | 4,373,862 | |||||||||||||||||||||||||
Bear Stearns Asset Backed Securities Trust Series 2004-AC5, Class A1 (P) | 5.750 | 10-25-34 | 4,325,303 | 4,394,176 | |||||||||||||||||||||||||
BHMS Mortgage Trust Series 2014-ATLS, Class DFL (P) (S) | 3.192 | 07-05-33 | 5,100,000 | 5,042,651 | |||||||||||||||||||||||||
BLCP Hotel Trust Series 2014-CLRN, Class D (P) (S) | 2.697 | 08-15-29 | 6,475,000 | 6,347,201 | |||||||||||||||||||||||||
BWAY Mortgage Trust | |||||||||||||||||||||||||||||
Series 2013-1515, Class F (P) (S) | 4.058 | 03-10-33 | 6,165,000 | 5,701,666 | |||||||||||||||||||||||||
Series 2015-1740, Class D (P) (S) | 3.787 | 01-13-35 | 3,795,000 | 3,613,721 | |||||||||||||||||||||||||
BXHTL Mortgage Trust | |||||||||||||||||||||||||||||
Series 2015-JWRZ, Class DR2 (P) (S) | 3.950 | 05-15-29 | 4,625,000 | 4,406,830 | |||||||||||||||||||||||||
Series 2015-JWRZ, Class GL2 (P) (S) | 3.885 | 05-15-29 | 4,175,000 | 4,068,171 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Commercial and residential (continued) | |||||||||||||||||||||||||||||
CDGJ Commercial Mortgage Trust Series 2014-BXCH, Class D (P) (S) | 3.197 | 12-15-27 | $6,335,000 | $6,285,819 | |||||||||||||||||||||||||
CGBAM Commercial Mortgage Trust Series 2015-SMRT, Class F (P) (S) | 3.912 | 04-10-28 | 3,345,000 | 3,203,845 | |||||||||||||||||||||||||
Citigroup Commercial Mortgage Trust Series 2014-388G, Class E (P) (S) | 2.547 | 06-15-33 | 3,245,000 | 3,189,149 | |||||||||||||||||||||||||
Commercial Mortgage Trust (Cantor Fitzgerald/Deutsche Bank) | |||||||||||||||||||||||||||||
Series 2013-CR8, Class XA IO | 0.825 | 06-10-46 | 43,597,314 | 1,339,205 | |||||||||||||||||||||||||
Series 2015-CR27, Class B (P) | 4.510 | 10-10-48 | 2,570,000 | 2,680,734 | |||||||||||||||||||||||||
Commercial Mortgage Trust (Deutsche Bank) | |||||||||||||||||||||||||||||
Series 2012-CR3, Class XA IO | 2.274 | 10-15-45 | 55,960,457 | 5,285,997 | |||||||||||||||||||||||||
Series 2012-LC4, Class B (P) | 4.934 | 12-10-44 | 2,145,000 | 2,367,135 | |||||||||||||||||||||||||
Series 2013-300P, Class D (P) (S) | 4.540 | 08-10-30 | 5,125,000 | 5,164,890 | |||||||||||||||||||||||||
Series 2013-CR11, Class B (P) | 5.331 | 10-10-46 | 8,094,000 | 9,028,396 | |||||||||||||||||||||||||
Series 2013-CR13, Class C (P) | 4.911 | 12-10-23 | 3,505,000 | 3,610,599 | |||||||||||||||||||||||||
Series 2013-CR6, Class XA IO | 1.643 | 03-10-46 | 37,734,458 | 2,031,691 | |||||||||||||||||||||||||
Series 2013-LC13, Class B (P) (S) | 5.009 | 08-10-46 | 4,015,000 | 4,435,554 | |||||||||||||||||||||||||
Series 2014-FL4, Class D (P) (S) | 2.646 | 07-13-31 | 6,605,000 | 6,517,099 | |||||||||||||||||||||||||
Series 2014-TWC, Class D (P) (S) | 2.447 | 02-13-32 | 4,270,000 | 4,218,374 | |||||||||||||||||||||||||
Commercial Mortgage Trust (Deutsche Bank/Morgan Stanley) Series 2014-PAT, Class D (P) (S) | 2.346 | 08-13-27 | 6,190,000 | 6,028,560 | |||||||||||||||||||||||||
Commercial Mortgage Trust (Wells Fargo) | |||||||||||||||||||||||||||||
Series 2012-CR2, Class XA IO | 1.993 | 08-15-45 | 34,114,597 | 2,989,820 | |||||||||||||||||||||||||
Series 2014-CR15, Class XA IO | 1.479 | 02-10-47 | 51,892,670 | 3,082,975 | |||||||||||||||||||||||||
Series 2014-CR16, Class C (P) | 5.069 | 04-10-47 | 4,850,000 | 4,949,139 | |||||||||||||||||||||||||
Core Industrial Trust Series 2015-CALW, Class F (P) (S) | 3.979 | 02-10-34 | 4,740,000 | 4,443,373 | |||||||||||||||||||||||||
Credit Suisse Mortgage Trust Series 2014-ICE, Class D (P) (S) | 2.347 | 04-15-27 | 6,965,000 | 6,878,797 | |||||||||||||||||||||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust Series 2004-4, Class 2AR1 (P) | 0.491 | 06-25-34 | 2,998,335 | 2,846,314 | |||||||||||||||||||||||||
Extended Stay America Trust Series 2013-ESFL, Class DFL (P) (S) | 3.333 | 12-05-31 | 690,859 | 689,222 | |||||||||||||||||||||||||
GAHR Commercial Mortgage Trust | |||||||||||||||||||||||||||||
Series 2015-NRF, Class DFX (P) (S) | 3.495 | 12-15-19 | 2,345,000 | 2,273,002 | |||||||||||||||||||||||||
Series 2015-NRF, Class EFX (P) (S) | 3.495 | 12-15-19 | 5,210,000 | 4,910,316 | |||||||||||||||||||||||||
GMAC Mortgage Loan Trust Series 2004-AR2, Class 3A (P) | 3.154 | 08-19-34 | 1,962,849 | 1,894,551 | |||||||||||||||||||||||||
Great Wolf Trust Series 2015-WOLF, Class D (P) (S) | 3.697 | 05-15-34 | 7,102,000 | 7,035,177 | |||||||||||||||||||||||||
GS Mortgage Securities Trust Series 2015-590M, Class C (P) (S) | 3.805 | 10-10-35 | 5,490,000 | 5,476,929 | |||||||||||||||||||||||||
HarborView Mortgage Loan Trust | |||||||||||||||||||||||||||||
Series 2005-11, Class X IO | 2.418 | 08-19-45 | 7,475,184 | 529,191 | |||||||||||||||||||||||||
Series 2005-2, Class IX IO | 2.188 | 05-19-35 | 34,244,399 | 2,589,075 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Commercial and residential (continued) | |||||||||||||||||||||||||||||
Series 2005-9, Class 2A1C (P) | 0.657 | 06-20-35 | $4,689,390 | $4,300,473 | |||||||||||||||||||||||||
Series 2007-3, Class ES IO (S) | 0.350 | 05-19-47 | 50,798,723 | 828,019 | |||||||||||||||||||||||||
Series 2007-4, Class ES IO | 0.350 | 07-19-47 | 52,639,259 | 794,853 | |||||||||||||||||||||||||
Series 2007-6, Class ES IO (S) | 0.342 | 08-19-37 | 40,823,839 | 538,875 | |||||||||||||||||||||||||
HILT Mortgage Trust Series 2014-ORL, Class D (P) (S) | 2.201 | 07-15-29 | 4,795,000 | 4,735,764 | |||||||||||||||||||||||||
Hilton USA Trust | |||||||||||||||||||||||||||||
Series 2013-HLF, Class EFL (P) (S) | 3.942 | 11-05-30 | 4,025,625 | 4,025,198 | |||||||||||||||||||||||||
Series 2013-HLT, Class DFX (S) | 4.407 | 11-05-30 | 6,127,000 | 6,120,967 | |||||||||||||||||||||||||
Hudsons Bay Simon JV Trust Series 2015-HBFL, Class DFL (P) (S) | 3.864 | 08-05-34 | 3,470,000 | 3,470,027 | |||||||||||||||||||||||||
Impac Mortgage Holdings, Inc. Series 2004-4, Class M2 (P) | 1.031 | 02-25-35 | 3,395,000 | 3,103,061 | |||||||||||||||||||||||||
IndyMac Index Mortgage Loan Trust | |||||||||||||||||||||||||||||
Series 2005-AR12, Class AX2 IO | 2.372 | 07-25-35 | 57,746,081 | 4,086,973 | |||||||||||||||||||||||||
Series 2005-AR8, Class AX2 IO | 2.406 | 05-25-35 | 52,724,181 | 3,714,371 | |||||||||||||||||||||||||
Series 2005-AR18, Class 1X IO | 2.160 | 10-25-36 | 22,092,459 | 2,016,368 | |||||||||||||||||||||||||
Series 2005-AR18, Class 2X IO | 1.877 | 10-25-36 | 33,970,538 | 1,391,331 | |||||||||||||||||||||||||
JPMBB Commercial Mortgage Securities Trust Series 2014-C19, Class C (P) | 4.832 | 04-15-47 | 7,040,000 | 7,069,736 | |||||||||||||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | |||||||||||||||||||||||||||||
Series 2012-HSBC, Class XA IO (S) | 1.582 | 07-05-32 | 23,665,000 | 1,934,221 | |||||||||||||||||||||||||
Series 2014-FBLU, Class D (P) (S) | 2.797 | 12-15-28 | 5,425,000 | 5,425,086 | |||||||||||||||||||||||||
Series 2014-FBLU, Class E (P) (S) | 3.697 | 12-15-28 | 3,965,000 | 3,964,538 | |||||||||||||||||||||||||
Series 2014-FL5, Class C (P) (S) | 2.297 | 07-15-31 | 8,370,000 | 8,335,259 | |||||||||||||||||||||||||
Series 2014-INN, Class F (P) (S) | 4.197 | 06-15-29 | 4,130,000 | 4,084,067 | |||||||||||||||||||||||||
Series 2014-PHH, Class C (P) (S) | 2.297 | 08-15-27 | 6,740,000 | 6,794,831 | |||||||||||||||||||||||||
Series 2015-MAR7, Class C (S) | 4.490 | 06-05-32 | 5,135,000 | 5,144,546 | |||||||||||||||||||||||||
Series 2015-SG, Class B (P) (S) | 2.947 | 07-15-36 | 4,275,000 | 4,282,737 | |||||||||||||||||||||||||
MASTR Adjustable Rate Mortgages Trust Series 2004-11, Class M2 (P) | 1.321 | 11-25-34 | 4,255,000 | 4,115,339 | |||||||||||||||||||||||||
Merrill Lynch Mortgage Investors Trust Series 2005-2, Class 1A (P) | 1.673 | 10-25-35 | 4,060,103 | 3,938,353 | |||||||||||||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust | |||||||||||||||||||||||||||||
Series 2013-C7, Class C (P) | 4.321 | 02-15-46 | 2,768,000 | 2,785,883 | |||||||||||||||||||||||||
Series 2014-C18, Class 300D | 5.279 | 08-15-31 | 2,795,000 | 2,821,802 | |||||||||||||||||||||||||
Morgan Stanley Capital I Trust | |||||||||||||||||||||||||||||
Series 2014-150E, Class D (P) (S) | 4.438 | 09-09-32 | 11,110,000 | 11,367,842 | |||||||||||||||||||||||||
Series 2015, Class XLF1 C (P) (S) | 2.397 | 08-14-31 | 4,775,000 | 4,745,189 | |||||||||||||||||||||||||
Morgan Stanley Mortgage Loan Trust Series 2004-6AR, Class 2A2 (P) | 2.851 | 08-25-34 | 4,197,446 | 4,152,672 | |||||||||||||||||||||||||
MortgageIT Trust Series 2005-2, Class 1A2 (P) | 0.551 | 05-25-35 | 2,892,112 | 2,700,037 | |||||||||||||||||||||||||
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates | |||||||||||||||||||||||||||||
Series 2005-2, Class M2 (P) | 0.671 | 04-25-35 | 4,222,672 | 3,843,895 | |||||||||||||||||||||||||
Series 2005-3, Class APT (P) | 0.511 | 07-25-35 | 4,483,617 | 4,369,150 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Commercial and residential (continued) | |||||||||||||||||||||||||||||
Residential Accredit Loans, Inc. Series 2005-QO4, Class XIO IO | 2.409 | 12-25-45 | $18,805,597 | $2,572,207 | |||||||||||||||||||||||||
Thornburg Mortgage Securities Trust Series 2004-1, Class II2A (P) | 1.646 | 03-25-44 | 3,624,755 | 3,544,181 | |||||||||||||||||||||||||
TMSQ Mortgage Trust Series 2011-1500, Class D (P) (S) | 3.963 | 10-10-36 | 3,010,000 | 2,948,010 | |||||||||||||||||||||||||
UBS Commercial Mortgage Trust Series 2012-C1, Class B | 4.822 | 05-10-45 | 2,745,000 | 2,937,640 | |||||||||||||||||||||||||
UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class XA IO (S) | 1.874 | 05-10-63 | 38,314,464 | 2,493,444 | |||||||||||||||||||||||||
VNDO Mortgage Trust Series 2013-PENN, Class D (P) (S) | 4.079 | 12-13-29 | 5,963,000 | 6,056,914 | |||||||||||||||||||||||||
WaMu Mortgage Pass Through Certificates | |||||||||||||||||||||||||||||
Series 2005-AR2, Class 2A1B (P) | 0.591 | 01-25-45 | 1,620,522 | 1,470,445 | |||||||||||||||||||||||||
Series 2005-AR2, Class 2A3 (P) | 0.571 | 01-25-45 | 2,440,458 | 2,259,285 | |||||||||||||||||||||||||
WaMu Mortgage Pass-Through Certificates | |||||||||||||||||||||||||||||
Series 2005-AR19, Class A1A2 (P) | 0.511 | 12-25-45 | 4,434,450 | 4,079,994 | |||||||||||||||||||||||||
Series 2005-AR8, Class 2AB2 (P) | 0.641 | 07-25-45 | 4,333,162 | 3,938,325 | |||||||||||||||||||||||||
Wells Fargo Commercial Mortgage Trust | |||||||||||||||||||||||||||||
Series 2013-120B, Class C (P) (S) | 2.800 | 03-18-28 | 8,550,000 | 8,417,608 | |||||||||||||||||||||||||
Series 2013-BTC, Class E (P) (S) | 3.668 | 04-16-35 | 5,005,000 | 4,671,413 | |||||||||||||||||||||||||
Series 2015-LC22, Class B (P) | 4.690 | 09-15-58 | 3,540,000 | 3,702,132 | |||||||||||||||||||||||||
WF-RBS Commercial Mortgage Trust | |||||||||||||||||||||||||||||
Series 2012-C9, Class XA IO (S) | 2.332 | 11-15-45 | 50,501,228 | 4,775,740 | |||||||||||||||||||||||||
Series 2013-C15, Class B (P) | 4.630 | 08-15-46 | 1,132,000 | 1,193,496 | |||||||||||||||||||||||||
Series 2013-C16, Class B (P) | 5.148 | 09-15-46 | 2,200,000 | 2,399,225 | |||||||||||||||||||||||||
WFCG Commercial Mortgage Trust Series 2015-BXRP, Class D (P) (S) | 2.768 | 11-15-29 | 582,485 | 576,875 | |||||||||||||||||||||||||
U.S. Government Agency 0.9% | 27,887,555 | ||||||||||||||||||||||||||||
Federal Home Loan Mortgage Corp. | |||||||||||||||||||||||||||||
Series 2015-DNA1, Class M2 (P) | 2.046 | 10-25-27 | 3,890,000 | 3,846,023 | |||||||||||||||||||||||||
Series 2015-DNA1, Class M3 (P) | 3.496 | 10-25-27 | 1,325,000 | 1,265,657 | |||||||||||||||||||||||||
Series 290, Class IO | 3.500 | 11-15-32 | 9,502,839 | 1,603,291 | |||||||||||||||||||||||||
Series 4136, Class IH IO | 3.500 | 09-15-27 | 11,691,142 | 1,313,714 | |||||||||||||||||||||||||
Series K017, Class X1 IO | 1.568 | 12-25-21 | 20,205,350 | 1,371,505 | |||||||||||||||||||||||||
Series K018, Class X1 IO | 1.557 | 01-25-22 | 19,037,473 | 1,307,153 | |||||||||||||||||||||||||
Series K021, Class X1 IO | 1.627 | 06-25-22 | 4,564,811 | 360,779 | |||||||||||||||||||||||||
Series K022, Class X1 IO | 1.415 | 07-25-22 | 105,960,470 | 7,223,813 | |||||||||||||||||||||||||
Series K709, Class X1 IO | 1.660 | 03-25-19 | 16,766,184 | 724,197 | |||||||||||||||||||||||||
Series K710, Class X1 IO | 1.903 | 05-25-19 | 33,747,829 | 1,734,541 | |||||||||||||||||||||||||
Series K711, Class X1 IO | 1.823 | 07-25-19 | 62,026,048 | 3,145,849 | |||||||||||||||||||||||||
Federal National Mortgage Association | |||||||||||||||||||||||||||||
Series 2012-137, Class QI IO | 3.000 | 12-25-27 | 13,483,880 | 1,504,290 | |||||||||||||||||||||||||
Series 2012-137, Class WI IO | 3.500 | 12-25-32 | 10,177,345 | 1,781,843 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
U.S. Government Agency (continued) | |||||||||||||||||||||||||||||
Government National Mortgage Association Series 2012-114, Class IO | 0.931 | 01-16-53 | $9,751,745 | $704,900 | |||||||||||||||||||||||||
Asset backed securities 16.5% | $524,223,121 | ||||||||||||||||||||||||||||
(Cost $522,531,910) | |||||||||||||||||||||||||||||
ACE Securities Corp. Home Equity Loan Trust Series 2005-HE3, Class M2 (P) | 0.896 | 05-25-35 | 2,709,980 | 2,606,060 | |||||||||||||||||||||||||
Aegis Asset Backed Securities Trust | |||||||||||||||||||||||||||||
Series 2005-1, Class M3 (P) | 0.771 | 03-25-35 | 55,000 | 51,926 | |||||||||||||||||||||||||
Series 2005-4, Class M1 (P) | 0.671 | 10-25-35 | 9,530,000 | 8,670,875 | |||||||||||||||||||||||||
Ally Auto Receivables Trust | |||||||||||||||||||||||||||||
Series 2014-2, Class A4 | 1.840 | 01-15-20 | 8,344,000 | 8,345,105 | |||||||||||||||||||||||||
Series 2015-1, Class A4 | 1.750 | 05-15-20 | 5,980,000 | 5,974,111 | |||||||||||||||||||||||||
Ally Master Owner Trust | |||||||||||||||||||||||||||||
Series 2012-4, Class A | 1.720 | 07-15-19 | 4,830,000 | 4,847,132 | |||||||||||||||||||||||||
Series 2015-3, Class A | 1.630 | 05-15-20 | 7,970,000 | 7,923,032 | |||||||||||||||||||||||||
American Express Credit Account Master Trust | |||||||||||||||||||||||||||||
Series 2014-3, Class A | 1.490 | 04-15-20 | 7,661,000 | 7,686,458 | |||||||||||||||||||||||||
Series 2014-4, Class A | 1.430 | 06-15-20 | 9,020,000 | 9,036,342 | |||||||||||||||||||||||||
Ameriquest Mortgage Securities, Inc. | |||||||||||||||||||||||||||||
Series 2005-R10, Class M1 (P) | 0.631 | 01-25-36 | 3,100,000 | 2,917,811 | |||||||||||||||||||||||||
Series 2005-R3, Class M2 (P) | 0.691 | 05-25-35 | 3,680,000 | 3,487,932 | |||||||||||||||||||||||||
Applebee's Funding LLC Series 2014-1, Class A2 (S) | 4.277 | 09-05-44 | 12,225,000 | 12,472,278 | |||||||||||||||||||||||||
Arby's Funding LLC Series 2015-1A, Class A2 (S) | 4.969 | 10-30-45 | 7,535,000 | 7,550,872 | |||||||||||||||||||||||||
Argent Securities, Inc. | |||||||||||||||||||||||||||||
Series 2003-W10, Class M1 (P) | 1.301 | 01-25-34 | 1,873,348 | 1,733,198 | |||||||||||||||||||||||||
Series 2004-W6, Class M1 (P) | 1.046 | 05-25-34 | 1,085,170 | 1,033,999 | |||||||||||||||||||||||||
BA Credit Card Trust Series 2015-A2, Class A | 1.360 | 09-15-20 | 12,480,000 | 12,447,357 | |||||||||||||||||||||||||
Bank of the West Auto Trust | |||||||||||||||||||||||||||||
Series 2014-1, Class A4 (S) | 1.650 | 03-16-20 | 6,400,000 | 6,377,439 | |||||||||||||||||||||||||
Series 2015-1, Class A4 (S) | 1.660 | 09-15-20 | 6,545,000 | 6,507,908 | |||||||||||||||||||||||||
Bravo Mortgage Asset Trust | |||||||||||||||||||||||||||||
Series 2006-1A, Class A2 (P) (S) | 0.461 | 07-25-36 | 7,185,959 | 6,762,035 | |||||||||||||||||||||||||
Series 2006-1A, Class A3 (P) (S) | 0.571 | 07-25-36 | 3,885,000 | 3,326,674 | |||||||||||||||||||||||||
California Republic Auto Receivables Trust | |||||||||||||||||||||||||||||
Series 2014-4, Class A4 | 1.840 | 06-15-20 | 6,240,000 | 6,251,935 | |||||||||||||||||||||||||
Series 2015-2, Class A4 | 1.750 | 01-15-21 | 6,395,000 | 6,325,924 | |||||||||||||||||||||||||
Capital One Multi-Asset Execution Trust | |||||||||||||||||||||||||||||
Series 2014-A5, Class A | 1.480 | 07-15-20 | 12,785,000 | 12,813,821 | |||||||||||||||||||||||||
Series 2015-A5, Class A5 | 1.600 | 05-17-21 | 7,762,000 | 7,768,104 | |||||||||||||||||||||||||
CarMax Auto Owner Trust | |||||||||||||||||||||||||||||
Series 2014-3, Class A3 | 1.160 | 06-17-19 | 8,205,000 | 8,195,496 | |||||||||||||||||||||||||
Series 2015-2, Class A4 | 1.800 | 03-15-21 | 3,145,000 | 3,134,587 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Chase Issuance Trust | |||||||||||||||||||||||||||||
Series 2014-A6, Class A | 1.260 | 07-15-19 | $5,424,000 | $5,427,758 | |||||||||||||||||||||||||
Series 2014-A7, Class A | 1.380 | 11-15-19 | 9,340,000 | 9,338,930 | |||||||||||||||||||||||||
Series 2015, Class A2A | 1.590 | 02-18-20 | 9,336,000 | 9,361,695 | |||||||||||||||||||||||||
Series 2015-A5, Class A | 1.360 | 04-15-20 | 13,310,000 | 13,256,530 | |||||||||||||||||||||||||
Chrysler Capital Auto Receivables Trust | |||||||||||||||||||||||||||||
Series 2014-BA, Class A4 (S) | 1.760 | 12-16-19 | 2,585,000 | 2,578,055 | |||||||||||||||||||||||||
Series 2015-AA, Class A4 (S) | 1.550 | 02-18-20 | 90,000 | 89,539 | |||||||||||||||||||||||||
Citibank Credit Card Issuance Trust | |||||||||||||||||||||||||||||
Series 2007-A8, Class A8 | 5.650 | 09-20-19 | 4,455,000 | 4,790,270 | |||||||||||||||||||||||||
Series 2014-A8, Class A8 | 1.730 | 04-09-20 | 9,245,000 | 9,287,158 | |||||||||||||||||||||||||
Citicorp Residential Mortgage Securities, Inc. Series 2007-2, Class A6 (P) | 6.265 | 06-25-37 | 884,704 | 913,582 | |||||||||||||||||||||||||
CKE Restaurant Holdings, Inc. Series 2013-1A, Class A2 (S) | 4.474 | 03-20-43 | 10,356,500 | 10,505,305 | |||||||||||||||||||||||||
CNH Equipment Trust Series 2015-C, Class A3 | 1.660 | 11-16-20 | 9,430,000 | 9,440,908 | |||||||||||||||||||||||||
ContiMortgage Home Equity Loan Trust Series 1995-2, Class A5 | 8.100 | 08-15-25 | 118,455 | 105,476 | |||||||||||||||||||||||||
Countrywide Asset-Backed Certificates Series 2004-10, Class AF5B (P) | 5.613 | 02-25-35 | 2,369,922 | 2,400,957 | |||||||||||||||||||||||||
Credit Suisse Mortgage Trust Series 2006-CF2, Class M1 (P) (S) | 0.691 | 05-25-36 | 5,110,114 | 4,994,373 | |||||||||||||||||||||||||
Credit-Based Asset Servicing and Securitization LLC Series 2005-CB4, Class M1 (P) | 0.641 | 07-25-35 | 1,955,000 | 1,892,139 | |||||||||||||||||||||||||
DB Master Finance LLC Series 2015-1A, Class A2II (S) | 3.980 | 02-20-45 | 9,413,863 | 9,452,770 | |||||||||||||||||||||||||
Discover Card Execution Note Trust Series 2014-A5, Class A | 1.390 | 04-15-20 | 12,515,000 | 12,526,713 | |||||||||||||||||||||||||
Driven Brands Funding LLC Series 2015-1A, Class A2 (S) | 5.216 | 07-20-45 | 5,270,000 | 5,169,104 | |||||||||||||||||||||||||
Encore Credit Receivables Trust Series 2005-2, Class M2 (P) | 0.911 | 11-25-35 | 4,235,000 | 4,137,402 | |||||||||||||||||||||||||
EquiFirst Mortgage Loan Trust Series 2004-3, Class M3 (P) | 1.196 | 12-25-34 | 2,943,453 | 2,641,431 | |||||||||||||||||||||||||
Ford Credit Auto Owner Trust | |||||||||||||||||||||||||||||
Series 2014-1, Class B (S) | 2.410 | 11-15-25 | 3,225,000 | 3,230,559 | |||||||||||||||||||||||||
Series 2015-A, Class A4 | 1.640 | 06-15-20 | 3,682,000 | 3,683,570 | |||||||||||||||||||||||||
Series 2015-B, Class A4 | 1.580 | 08-15-20 | 3,910,000 | 3,898,596 | |||||||||||||||||||||||||
Ford Credit Floorplan Master Owner Trust | |||||||||||||||||||||||||||||
Series 2012-5, Class A | 1.490 | 09-15-19 | 7,965,000 | 7,938,238 | |||||||||||||||||||||||||
Series 2014-4, Class A1 | 1.400 | 08-15-19 | 10,425,000 | 10,398,596 | |||||||||||||||||||||||||
Series 2015-1, Class A1 | 1.420 | 01-15-20 | 8,485,000 | 8,449,489 | |||||||||||||||||||||||||
GE Equipment Midticket LLC Series 2014-1, Class A4 | 1.590 | 08-22-23 | 1,580,000 | 1,588,805 | |||||||||||||||||||||||||
GM Financial Automobile Leasing Trust | |||||||||||||||||||||||||||||
Series 2015-1, Class A4 | 1.730 | 06-20-19 | 2,045,000 | 2,038,332 | |||||||||||||||||||||||||
Series 2015-2, Class A4 | 1.850 | 07-22-19 | 7,012,000 | 6,987,316 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
GMF Floorplan Owner Revolving Trust Series 2015-1, Class A1 (S) | 1.650 | 05-15-20 | $4,370,000 | $4,337,927 | |||||||||||||||||||||||||
GSAA Home Equity Trust Series 2005-11, Class 3A1 (P) | 0.491 | 10-25-35 | 3,625,286 | 3,418,176 | |||||||||||||||||||||||||
GSAA Trust Series 2005-10, Class M3 (P) | 0.771 | 06-25-35 | 4,965,000 | 4,777,405 | |||||||||||||||||||||||||
Home Equity Asset Trust Series 2005-1, Class M4 (P) | 1.241 | 05-25-35 | 2,085,000 | 2,003,672 | |||||||||||||||||||||||||
Honda Auto Receivables Owner Trust | |||||||||||||||||||||||||||||
Series 2014-3, Class A4 | 1.310 | 10-15-20 | 11,010,000 | 10,995,628 | |||||||||||||||||||||||||
Series 2015-1, Class A4 | 1.320 | 11-16-20 | 45,000 | 44,803 | |||||||||||||||||||||||||
Series 2015-2, Class A4 | 1.470 | 08-23-21 | 5,660,000 | 5,633,554 | |||||||||||||||||||||||||
Series 2015-3, Class A4 | 1.560 | 10-18-21 | 6,075,000 | 6,060,616 | |||||||||||||||||||||||||
Hyundai Auto Receivables Trust Series 2015-A, Class A4 | 1.370 | 07-15-20 | 40,000 | 39,735 | |||||||||||||||||||||||||
John Deere Owner Trust | |||||||||||||||||||||||||||||
Series 2014-B, Class A4 | 1.500 | 06-15-21 | 5,170,000 | 5,164,456 | |||||||||||||||||||||||||
Series 2015, Class AA4 | 1.650 | 12-15-21 | 2,720,000 | 2,718,947 | |||||||||||||||||||||||||
Merrill Lynch Mortgage Investors Trust | |||||||||||||||||||||||||||||
Series 2004-OPT1, Class A1A (P) | 0.741 | 06-25-35 | 3,438,986 | 3,297,105 | |||||||||||||||||||||||||
Series 2005-WMC1, Class M1 (P) | 0.971 | 09-25-35 | 2,086,424 | 1,974,775 | |||||||||||||||||||||||||
MVW Owner Trust | |||||||||||||||||||||||||||||
Series 2014-1A, Class A (S) | 2.250 | 09-22-31 | 1,193,639 | 1,186,403 | |||||||||||||||||||||||||
Series 2015-1A, Class A (S) | 2.520 | 12-20-32 | 4,202,868 | 4,177,043 | |||||||||||||||||||||||||
Nationstar Home Equity Loan Trust Series 2006-B, Class AV4 (P) | 0.501 | 09-25-36 | 6,160,000 | 5,729,171 | |||||||||||||||||||||||||
New Century Home Equity Loan Trust | |||||||||||||||||||||||||||||
Series 2005-1, Class M1 (P) | 0.896 | 03-25-35 | 7,315,000 | 6,777,523 | |||||||||||||||||||||||||
Series 2005-2, Class M2 (P) | 0.671 | 06-25-35 | 7,570,000 | 7,172,393 | |||||||||||||||||||||||||
Nissan Auto Receivables Owner Trust Series 2015-A, Class A4 | 1.500 | 09-15-21 | 90,000 | 89,852 | |||||||||||||||||||||||||
Nissan Master Owner Trust Receivables Trust Series 2015-A, Class A2 | 1.440 | 01-15-20 | 7,150,000 | 7,117,698 | |||||||||||||||||||||||||
Porsche Innovative Lease Owner Trust Series 2014-1, Class A4 (S) | 1.260 | 09-21-20 | 4,137,000 | 4,133,928 | |||||||||||||||||||||||||
Renaissance Home Equity Loan Trust Series 2005-2, Class AF4 (P) | 4.934 | 08-25-35 | 6,645,000 | 6,672,157 | |||||||||||||||||||||||||
Saxon Asset Securities Trust Series 2006-2, Class A3C (P) | 0.371 | 09-25-36 | 6,890,721 | 6,382,915 | |||||||||||||||||||||||||
Sierra Timeshare Receivables Funding LLC Series 2014-2A, Class A (S) | 2.050 | 06-20-31 | 2,561,416 | 2,569,251 | |||||||||||||||||||||||||
Sonic Capital LLC Series 2011-1A, Class A2 (S) | 5.438 | 05-20-41 | 3,310,813 | 3,395,051 | |||||||||||||||||||||||||
Soundview Home Loan Trust Series 2005-CTX1, Class M2 (P) | 0.661 | 11-25-35 | 3,073,500 | 2,904,332 | |||||||||||||||||||||||||
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Class A2D (P) | 0.521 | 12-25-36 | 7,690,000 | 7,471,421 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Structured Asset Investment Loan Trust | |||||||||||||||||||||||||||||
Series 2005-1, Class M2 (P) (S) | 0.941 | 02-25-35 | $5,285,000 | $4,969,778 | |||||||||||||||||||||||||
Series 2005-2, Class M2 (P) | 0.956 | 03-25-35 | 7,250,000 | 6,779,929 | |||||||||||||||||||||||||
Structured Asset Securities Company Series 2005-AR1, Class M1 (P) | 0.651 | 09-25-35 | 2,735,000 | 2,592,359 | |||||||||||||||||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2005-2XS, Class 2A2 (P) | 1.693 | 02-25-35 | 3,689,112 | 3,543,941 | |||||||||||||||||||||||||
SunTrust Auto Receivables Trust Series 2015-1, Class A4 (S) | 1.780 | 01-15-21 | 6,555,000 | 6,528,731 | |||||||||||||||||||||||||
TAL Advantage V LLC Series 2014-1A, Class A (S) | 3.510 | 02-22-39 | 1,938,750 | 1,937,846 | |||||||||||||||||||||||||
Toyota Auto Receivables Owner Trust | |||||||||||||||||||||||||||||
Series 2014-C, Class A4 | 1.440 | 04-15-20 | 3,590,000 | 3,593,162 | |||||||||||||||||||||||||
Series 2015-B, Class A4 | 1.740 | 09-15-20 | 5,540,000 | 5,565,653 | |||||||||||||||||||||||||
Volkswagen Credit Auto Master Trust Series 2014-1A, Class A2 (S) | 1.400 | 07-22-19 | 4,245,000 | 4,195,485 | |||||||||||||||||||||||||
Wendys Funding LLC Series 2015-1A, Class A2I (S) | 3.371 | 06-15-45 | 10,716,000 | 10,766,324 | |||||||||||||||||||||||||
Westgate Resorts LLC | |||||||||||||||||||||||||||||
Series 2012-3A, Class B (S) | 4.500 | 03-20-25 | 1,256,177 | 1,262,458 | |||||||||||||||||||||||||
Series 2013-1A, Class B (S) | 3.750 | 08-20-25 | 590,170 | 594,816 | |||||||||||||||||||||||||
Series 2014-1A, Class A (S) | 2.150 | 12-20-26 | 7,136,912 | 7,056,622 | |||||||||||||||||||||||||
Series 2014-1A, Class B (S) | 3.250 | 12-20-26 | 3,278,020 | 3,247,862 | |||||||||||||||||||||||||
Series 2014-AA, Class A (S) | 6.250 | 10-20-26 | 1,743,192 | 1,737,091 | |||||||||||||||||||||||||
Series 2015-1A, Class A (S) | 2.750 | 05-20-27 | 3,093,831 | 3,069,316 | |||||||||||||||||||||||||
Series 2015-2A, Class B (S) | 4.000 | 07-20-28 | 5,210,000 | 5,201,859 | |||||||||||||||||||||||||
World Omni Automobile Lease Securitization Trust Series 2014-A, Class A4 | 1.370 | 01-15-20 | 4,565,000 | 4,561,945 | |||||||||||||||||||||||||
Shares | Value | ||||||||||||||||||||||||||||
Preferred securities 0.9% | $30,197,141 | ||||||||||||||||||||||||||||
(Cost $30,674,794) | |||||||||||||||||||||||||||||
Consumer staples 0.1% | 2,085,234 | ||||||||||||||||||||||||||||
Food and staples retailing 0.1% | |||||||||||||||||||||||||||||
Ocean Spray Cranberries, Inc., Series A, 6.250% (S) | 23,250 | 2,085,234 | |||||||||||||||||||||||||||
Financials 0.7% | 23,112,017 | ||||||||||||||||||||||||||||
Banks 0.2% | |||||||||||||||||||||||||||||
FNB Corp. (7.250% to 2-15-24, then 3 month LIBOR + 4.600%) | 62,350 | 1,776,975 | |||||||||||||||||||||||||||
Regions Financial Corp., 6.375% | 116,890 | 2,990,046 | |||||||||||||||||||||||||||
Wells Fargo & Company, Series L, 7.500% | 1,572 | 1,835,310 | |||||||||||||||||||||||||||
Capital markets 0.1% | |||||||||||||||||||||||||||||
The Goldman Sachs Group, Inc. (5.500% to 5-10-23, then 3 month LIBOR + 3.640%) | 95,285 | 2,402,135 | |||||||||||||||||||||||||||
Consumer finance 0.2% | |||||||||||||||||||||||||||||
Ally Financial, Inc., 7.000% (S) | 4,809 | 4,842,362 | |||||||||||||||||||||||||||
Discover Financial Services, 6.500% | 69,600 | 1,820,040 |
Shares | Value | ||||||||||||||||||||||||||||
Financials (continued) | |||||||||||||||||||||||||||||
Diversified financial services 0.2% | |||||||||||||||||||||||||||||
GMAC Capital Trust I (8.125% to 2-15-16, then 3 month LIBOR + 5.785%) | 265,056 | $6,758,928 | |||||||||||||||||||||||||||
Real estate investment trusts 0.0% | |||||||||||||||||||||||||||||
Weyerhaeuser Company, 6.375% | 12,950 | 686,221 | |||||||||||||||||||||||||||
Utilities 0.1% | 4,999,890 | ||||||||||||||||||||||||||||
Electric utilities 0.0% | |||||||||||||||||||||||||||||
Exelon Corp., 6.500% | 42,281 | 1,689,549 | |||||||||||||||||||||||||||
Multi-utilities 0.1% | |||||||||||||||||||||||||||||
Dominion Resources, Inc., 6.375% | 68,339 | 3,310,341 | |||||||||||||||||||||||||||
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Convertible bonds 0.1% | $2,340,563 | ||||||||||||||||||||||||||||
(Cost $2,697,713) | |||||||||||||||||||||||||||||
Utilities 0.1% | 2,340,563 | ||||||||||||||||||||||||||||
NRG Yield, Inc. | 3.250 | 06-01-20 | $2,700,000 | 2,340,563 | |||||||||||||||||||||||||
Par value | Value | ||||||||||||||||||||||||||||
Short-term investments 0.9% | $27,816,000 | ||||||||||||||||||||||||||||
(Cost $27,816,000) | |||||||||||||||||||||||||||||
Repurchase agreement 0.9% | 27,816,000 | ||||||||||||||||||||||||||||
Barclays Tri-Party Repurchase Agreement dated 11-30-15 at 0.100% to be repurchased at $26,255,073 on 12-1-15, collateralized by $26,089,300 U.S. Treasury Notes, 2.125% due 8-31-20 (valued at $26,780,210, including interest) | $26,255,000 | 26,255,000 | |||||||||||||||||||||||||||
Repurchase Agreement with State Street Corp. dated 11-30-15 at 0.000% to be repurchased at $1,561,000 on 12-1-15, collateralized by $1,575,000 U.S. Treasury Notes, 1.500% due 12-31-18 (valued at $1,594,688, including interest) | 1,561,000 | 1,561,000 | |||||||||||||||||||||||||||
Total investments (Cost $3,149,415,964)† 98.8% | $3,140,560,521 | ||||||||||||||||||||||||||||
Other assets and liabilities, net 1.2% | $36,934,186 | ||||||||||||||||||||||||||||
Total net assets 100.0% | $3,177,494,707 |
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 | ||||||||||||||||||||||||||||
(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 $840,556,867 or 26.5% of the fund's net assets as of 11-30-15. | ||||||||||||||||||||||||||||
† | At 11-30-15, the aggregate cost of investment securities for federal income tax purposes was $3,159,194,481. Net unrealized depreciation aggregated $18,633,960, of which $41,001,555 related to appreciated investment securities and $59,635,515 related to depreciated investment securities. |
Financial statements
STATEMENT OF ASSETS AND LIABILITIES 11-30-15 (unaudited)
Assets | ||||||||||||||||||||||||||||||||||||||||
Investments, at value (Cost $3,149,415,964) | $3,140,560,521 | |||||||||||||||||||||||||||||||||||||||
Cash | 2,678,293 | |||||||||||||||||||||||||||||||||||||||
Cash held at broker for futures contracts | 1,063,125 | |||||||||||||||||||||||||||||||||||||||
Receivable for investments sold | 8,609,441 | |||||||||||||||||||||||||||||||||||||||
Receivable for fund shares sold | 10,357,222 | |||||||||||||||||||||||||||||||||||||||
Dividends and interest receivable | 26,366,755 | |||||||||||||||||||||||||||||||||||||||
Other receivables and prepaid expenses | 171,488 | |||||||||||||||||||||||||||||||||||||||
Total assets | 3,189,806,845 | |||||||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||||
Payable for investments purchased | 5,163,263 | |||||||||||||||||||||||||||||||||||||||
Payable for fund shares repurchased | 5,809,061 | |||||||||||||||||||||||||||||||||||||||
Payable for futures variation margin | 32,813 | |||||||||||||||||||||||||||||||||||||||
Distributions payable | 560,098 | |||||||||||||||||||||||||||||||||||||||
Payable to affiliates | ||||||||||||||||||||||||||||||||||||||||
Accounting and legal services fees | 25,305 | |||||||||||||||||||||||||||||||||||||||
Transfer agent fees | 315,222 | |||||||||||||||||||||||||||||||||||||||
Distribution and service fees | 230,022 | |||||||||||||||||||||||||||||||||||||||
Trustees' fees | 6,801 | |||||||||||||||||||||||||||||||||||||||
Other liabilities and accrued expenses | 169,553 | |||||||||||||||||||||||||||||||||||||||
Total liabilities | 12,312,138 | |||||||||||||||||||||||||||||||||||||||
Net assets | $3,177,494,707 | |||||||||||||||||||||||||||||||||||||||
Net assets consist of | ||||||||||||||||||||||||||||||||||||||||
Paid-in capital | $3,220,686,817 | |||||||||||||||||||||||||||||||||||||||
Accumulated distributions in excess of net investment income | (4,979,874 | ) | ||||||||||||||||||||||||||||||||||||||
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions | (29,544,262 | ) | ||||||||||||||||||||||||||||||||||||||
Net unrealized appreciation (depreciation) on investments, futures contracts and translation of assets and liabilities in foreign currencies | (8,667,974 | ) | ||||||||||||||||||||||||||||||||||||||
Net assets | $3,177,494,707 | |||||||||||||||||||||||||||||||||||||||
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 ($1,773,950,736 ÷ 113,460,751 shares)1 | $15.63 | |||||||||||||||||
Class B ($23,824,233 ÷ 1,523,916 shares)1 | $15.63 | |||||||||||||||||
Class C ($272,924,851 ÷ 17,454,739 shares)1 | $15.64 | |||||||||||||||||
Class I ($957,253,547 ÷ 61,217,069 shares) | $15.64 | |||||||||||||||||
Class R2 ($45,667,703 ÷ 2,917,657 shares) | $15.65 | |||||||||||||||||
Class R4 ($177,190 ÷ 11,320 shares) | $15.65 | |||||||||||||||||
Class R6 ($102,211,130 ÷ 6,529,629 shares) | $15.65 | |||||||||||||||||
Class NAV ($1,485,317 ÷ 94,861 shares) | $15.66 | |||||||||||||||||
Maximum offering price per share | ||||||||||||||||||
Class A (net asset value per share ÷ 96%)2 | $16.28 |
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 six months ended 11-30-15 (unaudited)
Investment income | ||||||||||||||||||||||||||||||||||||||||
Interest | $57,840,877 | |||||||||||||||||||||||||||||||||||||||
Dividends | 1,031,711 | |||||||||||||||||||||||||||||||||||||||
Total investment income | 58,872,588 | |||||||||||||||||||||||||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||||||||||
Investment management fees | 6,623,907 | |||||||||||||||||||||||||||||||||||||||
Distribution and service fees | 4,148,314 | |||||||||||||||||||||||||||||||||||||||
Accounting and legal services fees | 279,371 | |||||||||||||||||||||||||||||||||||||||
Transfer agent fees | 1,817,329 | |||||||||||||||||||||||||||||||||||||||
Trustees' fees | 25,215 | |||||||||||||||||||||||||||||||||||||||
State registration fees | 133,401 | |||||||||||||||||||||||||||||||||||||||
Printing and postage | 109,217 | |||||||||||||||||||||||||||||||||||||||
Professional fees | 70,041 | |||||||||||||||||||||||||||||||||||||||
Custodian fees | 176,301 | |||||||||||||||||||||||||||||||||||||||
Registration and filing fees | 55,187 | |||||||||||||||||||||||||||||||||||||||
Other | 30,642 | |||||||||||||||||||||||||||||||||||||||
Total expenses | 13,468,925 | |||||||||||||||||||||||||||||||||||||||
Less expense reductions | (883,006 | ) | ||||||||||||||||||||||||||||||||||||||
Net expenses | 12,585,919 | |||||||||||||||||||||||||||||||||||||||
Net investment income | 46,286,669 | |||||||||||||||||||||||||||||||||||||||
Realized and unrealized gain (loss) | ||||||||||||||||||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||||||||||||||||||
Investments and foreign currency transactions | (10,891,465 | ) | ||||||||||||||||||||||||||||||||||||||
Futures contracts | (64 | ) | ||||||||||||||||||||||||||||||||||||||
(10,891,529 | ) | |||||||||||||||||||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) of | ||||||||||||||||||||||||||||||||||||||||
Investments and translation of assets and liabilities in foreign currencies | (65,314,937 | ) | ||||||||||||||||||||||||||||||||||||||
Futures contracts | 187,532 | |||||||||||||||||||||||||||||||||||||||
(65,127,405 | ) | |||||||||||||||||||||||||||||||||||||||
Net realized and unrealized loss | (76,018,934 | ) | ||||||||||||||||||||||||||||||||||||||
Decrease in net assets from operations | ($29,732,265 | ) |
STATEMENTS OF CHANGES IN NET ASSETS
Six months ended 11-30-15 | Year ended 5-31-15 | |||||||||||||||||||||||||||||||||||||||||||||||
(unaudited) | ||||||||||||||||||||||||||||||||||||||||||||||||
Increase (decrease) in net assets | ||||||||||||||||||||||||||||||||||||||||||||||||
From operations | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | $46,286,669 | $77,562,494 | ||||||||||||||||||||||||||||||||||||||||||||||
Net realized gain (loss) | (10,891,529 | ) | 11,460,974 | |||||||||||||||||||||||||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (65,127,405 | ) | (19,212,687 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Increase (decrease) in net assets resulting from operations | (29,732,265 | ) | 69,810,781 | |||||||||||||||||||||||||||||||||||||||||||||
Distributions to shareholders | ||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | ||||||||||||||||||||||||||||||||||||||||||||||||
Class A | (28,847,547 | ) | (59,394,153 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class B | (337,588 | ) | (977,676 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class C | (3,359,029 | ) | (6,417,954 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class I | (15,692,098 | ) | (22,879,954 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class R2 | (641,921 | ) | (749,133 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class R4 | (1,807 | ) | (613 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class R6 | (1,801,903 | ) | (2,793,534 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class NAV1 | (14,247 | ) | — | |||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | ||||||||||||||||||||||||||||||||||||||||||||||||
Class A | — | (4,597,085 | ) | |||||||||||||||||||||||||||||||||||||||||||||
Class B | — | (90,887 | ) | |||||||||||||||||||||||||||||||||||||||||||||
Class C | — | (621,883 | ) | |||||||||||||||||||||||||||||||||||||||||||||
Class I | — | (1,722,915 | ) | |||||||||||||||||||||||||||||||||||||||||||||
Class R2 | — | (50,371 | ) | |||||||||||||||||||||||||||||||||||||||||||||
Class R6 | — | (196,277 | ) | |||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (50,696,140 | ) | (100,492,435 | ) | ||||||||||||||||||||||||||||||||||||||||||||
From fund share transactions | 314,747,174 | 1,016,221,197 | ||||||||||||||||||||||||||||||||||||||||||||||
Total increase | 234,318,769 | 985,539,543 | ||||||||||||||||||||||||||||||||||||||||||||||
Net assets | ||||||||||||||||||||||||||||||||||||||||||||||||
Beginning of period | 2,943,175,938 | 1,957,636,395 | ||||||||||||||||||||||||||||||||||||||||||||||
End of period | $3,177,494,707 | $2,943,175,938 | ||||||||||||||||||||||||||||||||||||||||||||||
Accumulated distributions in excess of net investment income | ($4,979,874 | ) | ($570,403 | ) |
1 | The inception date for Class NAV shares is 8-31-15. |
Financial highlights
Class A Shares Period ended | 11-30-15 | 1 | 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 | $16.06 | $16.26 | $16.37 | $15.86 | $15.86 | $15.00 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.24 | 0.53 | 0.61 | 0.63 | 0.72 | 0.81 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.41 | ) | (0.05 | ) | 0.02 | 0.61 | 0.08 | 0.92 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | (0.17 | ) | 0.48 | 0.63 | 1.24 | 0.80 | 1.73 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.26 | ) | (0.63 | ) | (0.67 | ) | (0.70 | ) | (0.79 | ) | (0.87 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | — | (0.05 | ) | (0.07 | ) | (0.03 | ) | (0.01 | ) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.26 | ) | (0.68 | ) | (0.74 | ) | (0.73 | ) | (0.80 | ) | (0.87 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $15.63 | $16.06 | $16.26 | $16.37 | $15.86 | $15.86 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)3,4 | (1.05 | ) 5 | 3.02 | 4.06 | 7.93 | 5.21 | 11.78 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $1,774 | $1,740 | $1,411 | $1,434 | $1,061 | $912 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 0.92 | 6 | 0.94 | 0.98 | 1.03 | 1.06 | 1.05 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 0.86 | 6 | 0.89 | 0.92 | 0.98 | 1.02 | 1.05 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 3.01 | 6 | 3.25 | 3.80 | 3.84 | 4.63 | 5.24 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 21 | 66 | 77 | 72 | 76 | 73 |
1 | Six months ended 11-30-15. Unaudited. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | Based on average daily shares outstanding. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3 | Does not reflect the effect of sales charges, if any. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
5 | Not annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6 | Annualized. |
Class B Shares Period ended | 11-30-15 | 1 | 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 | $16.06 | $16.26 | $16.37 | $15.86 | $15.86 | $15.00 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.18 | 0.42 | 0.50 | 0.51 | 0.61 | 0.70 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.40 | ) | (0.05 | ) | 0.02 | 0.61 | 0.08 | 0.92 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | (0.22 | ) | 0.37 | 0.52 | 1.12 | 0.69 | 1.62 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.21 | ) | (0.52 | ) | (0.56 | ) | (0.58 | ) | (0.68 | ) | (0.76 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | — | (0.05 | ) | (0.07 | ) | (0.03 | ) | (0.01 | ) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.21 | ) | (0.57 | ) | (0.63 | ) | (0.61 | ) | (0.69 | ) | (0.76 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $15.63 | $16.06 | $16.26 | $16.37 | $15.86 | $15.86 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)3,4 | (1.40 | ) 5 | 2.31 | 3.34 | 7.18 | 4.48 | 11.00 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $24 | $28 | $33 | $44 | $37 | $28 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 1.62 | 6 | 1.64 | 1.68 | 1.73 | 1.76 | 1.75 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 1.57 | 6 | 1.59 | 1.62 | 1.68 | 1.72 | 1.75 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 2.32 | 6 | 2.57 | 3.11 | 3.15 | 3.92 | 4.53 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 21 | 66 | 77 | 72 | 76 | 73 |
1 | Six months ended 11-30-15. Unaudited. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | Based on average daily shares outstanding. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3 | Does not reflect the effect of sales charges, if any. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
5 | Not annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6 | Annualized. |
Class C Shares Period ended | 11-30-15 | 1 | 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 | $16.06 | $16.26 | $16.37 | $15.87 | $15.86 | $15.00 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.18 | 0.41 | 0.49 | 0.51 | 0.61 | 0.70 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.39 | ) | (0.04 | ) | 0.03 | 0.60 | 0.09 | 0.92 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | (0.21 | ) | 0.37 | 0.52 | 1.11 | 0.70 | 1.62 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.21 | ) | (0.52 | ) | (0.56 | ) | (0.58 | ) | (0.68 | ) | (0.76 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | — | (0.05 | ) | (0.07 | ) | (0.03 | ) | (0.01 | ) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.21 | ) | (0.57 | ) | (0.63 | ) | (0.61 | ) | (0.69 | ) | (0.76 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $15.64 | $16.06 | $16.26 | $16.37 | $15.87 | $15.86 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)3,4 | (1.34 | ) 5 | 2.31 | 3.34 | 7.11 | 4.55 | 11.00 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $273 | $250 | $162 | $195 | $116 | $71 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 1.62 | 6 | 1.64 | 1.68 | 1.72 | 1.77 | 1.75 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 1.56 | 6 | 1.59 | 1.62 | 1.67 | 1.72 | 1.75 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 2.31 | 6 | 2.53 | 3.10 | 3.12 | 3.91 | 4.50 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 21 | 66 | 77 | 72 | 76 | 73 |
1 | Six months ended 11-30-15. Unaudited. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | Based on average daily shares outstanding. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3 | Does not reflect the effect of sales charges, if any. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
5 | Not annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6 | Annualized. |
Class I Shares Period ended | 11-30-15 | 1 | 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 | $16.06 | $16.26 | $16.37 | $15.87 | $15.86 | $14.99 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.26 | 0.57 | 0.66 | 0.68 | 0.78 | 0.88 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.39 | ) | (0.04 | ) | 0.02 | 0.61 | 0.09 | 0.92 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | (0.13 | ) | 0.53 | 0.68 | 1.29 | 0.87 | 1.80 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.29 | ) | (0.68 | ) | (0.72 | ) | (0.76 | ) | (0.85 | ) | (0.93 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | — | (0.05 | ) | (0.07 | ) | (0.03 | ) | (0.01 | ) | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.29 | ) | (0.73 | ) | (0.79 | ) | (0.79 | ) | (0.86 | ) | (0.93 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $15.64 | $16.06 | $16.26 | $16.37 | $15.87 | $15.86 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)3 | (0.84 | ) 4 | 3.35 | 4.40 | 8.27 | 5.70 | 12.33 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $957 | $793 | $302 | $277 | $123 | $74 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 0.61 | 5 | 0.63 | 0.66 | 0.65 | 0.67 | 0.62 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 0.55 | 5 | 0.57 | 0.60 | 0.60 | 0.62 | 0.62 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 3.32 | 5 | 3.53 | 4.11 | 4.19 | 4.99 | 5.64 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 21 | 66 | 77 | 72 | 76 | 73 |
1 | Six months ended 11-30-15. Unaudited. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | Based on average daily shares outstanding. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4 | Not annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
5 | Annualized. |
Class R2 Shares Period ended | 11-30-15 | 1 | 5-31-15 | 5-31-14 | 5-31-13 | 5-31-12 | 2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.08 | $16.27 | $16.38 | $15.87 | $15.80 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income3 | 0.23 | 0.51 | 0.60 | 0.62 | 0.17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.41 | ) | (0.02 | ) | 0.02 | 0.64 | 0.09 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | (0.18 | ) | 0.49 | 0.62 | 1.26 | 0.26 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.25 | ) | (0.63 | ) | (0.66 | ) | (0.72 | ) | (0.19 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | — | (0.05 | ) | (0.07 | ) | (0.03 | ) | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.25 | ) | (0.68 | ) | (0.73 | ) | (0.75 | ) | (0.19 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $15.65 | $16.08 | $16.27 | $16.38 | $15.87 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)4 | (1.05 | ) 5 | 2.97 | 4.01 | 8.09 | 1.68 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $46 | $39 | $7 | $2 | — | 6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 1.04 | 7 | 0.98 | 1.05 | 1.03 | 0.86 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 0.98 | 7 | 0.93 | 0.99 | 0.98 | 0.80 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 2.90 | 7 | 3.16 | 3.76 | 3.88 | 4.28 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 21 | 66 | 77 | 72 | 76 | 8 |
1 | Six months ended 11-30-15. Unaudited. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | The inception date for Class R2 shares is 3-1-12. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3 | Based on average daily shares outstanding. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
5 | Not annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6 | Less than $500,000. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
7 | Annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
8 | The portfolio turnover is shown for the period from 6-1-11 to 5-31-12. |
Class R4 Shares Period ended | 11-30-15 | 1 | 5-31-15 | 2 | ||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.08 | $16.15 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income3 | 0.26 | 0.06 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized loss on investments | (0.35 | ) | (0.03 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | (0.09 | ) | 0.03 | |||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | ||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.34 | ) | (0.10 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.34 | ) | (0.10 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $15.65 | $16.08 | ||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)4 | (0.89 | ) 5 | 0.18 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | — | 6 | — | 6 | ||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | ||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 0.76 | 7 | 0.80 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 0.60 | 7 | 0.64 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 3.28 | 7 | 2.21 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 21 | 66 | 8 |
1 | Six months ended 11-30-15. Unaudited. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | The inception date for Class R4 shares is 3-27-15. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3 | Based on average daily shares outstanding. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
5 | Not annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6 | Less than $500,000. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
7 | Annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
8 | The portfolio turnover is shown for the period from 6-1-14 to 5-31-15. |
Class R6 Shares Period ended | 11-30-15 | 1 | 5-31-15 | 5-31-14 | 5-31-13 | 5-31-12 | 2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.08 | $16.28 | $16.38 | $15.87 | $15.55 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income3 | 0.27 | 0.59 | 0.68 | 0.70 | 0.57 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.36 | ) | (0.04 | ) | 0.03 | 0.61 | 0.40 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | (0.09 | ) | 0.55 | 0.71 | 1.31 | 0.97 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.34 | ) | (0.70 | ) | (0.74 | ) | (0.77 | ) | (0.64 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | — | (0.05 | ) | (0.07 | ) | (0.03 | ) | (0.01 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.34 | ) | (0.75 | ) | (0.81 | ) | (0.80 | ) | (0.65 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $15.65 | $16.08 | $16.28 | $16.38 | $15.87 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)4 | (0.84 | ) 5 | 3.45 | 4.58 | 8.42 | 6.38 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $102 | $93 | $43 | $3 | $2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 0.51 | 6 | 0.54 | 0.56 | 0.57 | 0.63 | 6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 0.44 | 6 | 0.46 | 0.50 | 0.52 | 0.57 | 6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 3.45 | 6 | 3.66 | 4.26 | 4.30 | 5.04 | 6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 21 | 66 | 77 | 72 | 76 | 7 |
1 | Six months ended 11-30-15. Unaudited. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | The inception date for Class R6 shares is 9-1-11. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3 | Based on average daily shares outstanding. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
5 | Not annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6 | Annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
7 | The portfolio turnover is shown for the period from 6-1-11 to 5-31-12. |
Class NAV Shares Period ended | 11-30-15 | 1,2 | |||||||||||||||||||||||||||
Per share operating performance | |||||||||||||||||||||||||||||
Net asset value, beginning of period | $15.78 | ||||||||||||||||||||||||||||
Net investment income3 | 0.14 | ||||||||||||||||||||||||||||
Net realized and unrealized loss on investments | (0.11 | ) | |||||||||||||||||||||||||||
Total from investment operations | 0.03 | ||||||||||||||||||||||||||||
Less distributions | |||||||||||||||||||||||||||||
From net investment income | (0.15 | ) | |||||||||||||||||||||||||||
From net realized gain | — | ||||||||||||||||||||||||||||
Total distributions | (0.15 | ) | |||||||||||||||||||||||||||
Net asset value, end of period | $15.66 | ||||||||||||||||||||||||||||
Total return (%)4 | (0.20 | ) 5 | |||||||||||||||||||||||||||
Ratios and supplemental data | |||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $1 | ||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | |||||||||||||||||||||||||||||
Expenses before reductions | 0.50 | 6 | |||||||||||||||||||||||||||
Expenses including reductions | 0.44 | 6 | |||||||||||||||||||||||||||
Net investment income | 3.43 | 6 | |||||||||||||||||||||||||||
Portfolio turnover (%) | 21 | 7 |
1 | Six months ended 11-30-15. Unaudited. | |||||||||||||||||||||||||||||||||||||
2 | The inception date for Class NAV shares is 8-31-15. | |||||||||||||||||||||||||||||||||||||
3 | Based on average daily shares outstanding. | |||||||||||||||||||||||||||||||||||||
4 | Total returns would have been lower had certain expenses not been reduced during the period. | |||||||||||||||||||||||||||||||||||||
5 | Not annualized. | |||||||||||||||||||||||||||||||||||||
6 | Annualized. | |||||||||||||||||||||||||||||||||||||
7 | The portfolio turnover is shown for the period from 6-1-15 to 11-30-15. |
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. Class NAV shares are offered to John Hancock affiliated funds of funds and certain 529 plans. 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. Futures contracts are valued at settlement prices, which are the official closing prices published by the exchange on which they trade. Foreign securities and currencies 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 and related inputs 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 November 30, 2015, by major security category or type:
Total value at 11-30-15 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Corporate bonds | $1,334,459,852 | — | $1,334,459,852 | — |
U.S. Government and Agency obligations | 742,625,325 | — | 742,625,325 | — |
Foreign government obligations | 5,537,223 | — | 5,537,223 | — |
Municipal bonds | 5,442,107 | — | 5,442,107 | — |
Term loans | 12,766,168 | — | 12,766,168 | — |
Capital preferred securities | 30,194,093 | — | 30,194,093 | — |
Collateralized mortgage obligations | 424,958,928 | — | 424,958,928 | — |
Asset backed securities | 524,223,121 | — | 524,223,121 | — |
Preferred securities | 30,197,141 | $21,492,570 | 8,704,571 | — |
Convertible bonds | 2,340,563 | — | 2,340,563 | — |
Short-term investments | 27,816,000 | — | 27,816,000 | — |
Total investments in securities | $3,140,560,521 | $21,492,570 | $3,119,067,951 | — |
Other financial instruments: | ||||
Futures | $187,532 | $187,532 | — | — |
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.
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 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.
The fund and other affiliated funds have entered into a syndicated line of credit agreement, with Citibank, N.A. (Citibank) as the administrative agent, that enables them to participate in a $750 million unsecured committed line of credit. Prior to June 30, 2015, the fund and other affiliated funds had an agreement with Citibank that enabled 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 effective 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 six months ended November 30, 2015 were $2,925. For the six months ended November 30, 2015, the fund had no borrowings under either 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, and transfer agent fees, are calculated daily for each class, based on the net asset value of the class and the applicable specific expense rates.
Federal income taxes. The fund intends to continue to qualify as a regulated investment company by complying with the applicable provisions of the Internal Revenue Code and will not be subject to federal income tax on taxable income that is distributed to shareholders. Therefore, no federal income tax provision is required.
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.
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.
Such distributions, on a tax basis, are determined in conformity with income tax regulations, which may differ from US GAAP.
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 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 market, 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.
Futures are traded or cleared on an exchange. Exchange-traded generally present less counterparty risk to a fund than OTC transactions. The exchange 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.
Margin requirements for exchange-traded derivatives are set by the broker. Margin for exchange-traded transactions are detailed in the Statement of assets and liabilities as Cash held at broker for futures contracts.
Futures. A futures contract is a contractual agreement to buy or sell a particular currency or financial instrument at a pre-determined price in the future. Risks related to the use of futures contracts include possible illiquidity of the futures markets, contract prices that can be highly volatile and imperfectly correlated to movements in the underlying financial instrument and potential losses in excess of the amounts recognized on the Statement of assets and liabilities. Use of long futures contracts subjects the fund to the risk of loss up to the notional value of the futures contracts. Use of short futures contracts subjects the fund to unlimited risk of loss.
Upon entering into a futures contract, the fund is required to deposit initial margin with the broker in the form of cash or securities. The amount of required margin is generally based on a percentage of the contract value; this amount is the initial margin for the trade. The margin deposit must then be maintained at the established level over the life of the contract. Futures margin receivable / payable is included on the Statement of assets and liabilities. Futures contracts are marked-to-market daily and an appropriate payable or receivable for the change in value (variation margin) and unrealized gain or loss is recorded by the fund. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
During the six months ended November 30, 2015, the fund used futures contracts to manage duration of the fund. The fund held futures contracts with notional values ranging up to $66.4 million. The following table summarizes the contracts held at November 30, 2015:
Open contracts | Number of contracts | Position | Expiration date | Notional basis* | Notional value | Unrealized appreciation (depreciation) |
10-Year U.S. Treasury Note Futures | 525 | Long | Mar 2016 | $66,192,156 | $66,379,688 | $187,532 |
* Notional basis refers to the contractual amount agreed upon at inception of open contracts; notional value represents the current value of the open contract.
Fair value of derivative instruments by risk category
The table below summarizes the fair value of derivatives held by the fund at November 30, 2015 by risk category:
Risk | Statement of assets and liabilities location | Financial instruments location | Asset derivatives fair value | Liabilities derivatives fair value |
Interest rate | Receivable/payable for futures | Futures† | $187,532 | — |
† Reflects cumulative appreciation/depreciation on futures as disclosed in Note 3. Only the period end variation margin is separately disclosed on the Statement of assets and liabilities.
Effect of derivative instruments on the Statement of operations
The table below summarizes the net realized gain (loss) included in the net increase (decrease) in net assets from operations, classified by derivative instrument and risk category, for the six months ended November 30, 2015:
Risk | Statement of operations location | Futures contracts | ||||||
Interest rate | Net realized gain (loss) | ($64 | ) |
The table below summarizes the net change in unrealized appreciation (depreciation) included in the net increase (decrease) in net assets from operations, classified by derivative instrument and risk category, for the six months ended November 30, 2015:
Risk | Statement of operations location | Futures contracts |
Interest rate | Change in unrealized appreciation (depreciation) | $187,532 |
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 six months ended November 30, 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 by 0.05% of the fund's average daily net assets. This waiver expires 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 expires on September 30, 2016, 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 six months ended November 30, 2015, these expense reductions described above amounted to the following:
Class | Expense reduction | Class | Expense reduction | |
Class A | $503,380 | Class R4 | $28 | |
Class B | 7,471 | Class R6 | 35,587 | |
Class C | 74,396 | Class NAV | 213 | |
Class I | 250,246 | Total | $882,956 | |
Class R2 | 11,635 |
The investment management fees, including the impact of the waivers and reimbursements as described above, incurred for the six months ended November 30, 2015 were equivalent to a net annual effective rate of 0.38% 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 six months ended November 30, 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 $50 for Class R4 shares for the six months ended November 30, 2015.
Sales charges. Class A shares are assessed up-front sales charges, which resulted in payments to the Distributor amounting to $3,752,334 for the six months ended November 30, 2015. Of this amount, $532,359 was retained and used for printing prospectuses, advertising, sales literature and other purposes, $3,174,632 was paid as sales commissions to broker-dealers and $45,343 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 connection with the sale of these shares. During the six months ended November 30, 2015, CDSCs received by the Distributor amounted to $1,240, $43,506 and $38,306 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. 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 six months ended November 30, 2015 were:
Class | Distribution and service fees | Transfer agent fees |
Class A | $2,619,947 | $1,118,941 |
Class B | 129,396 | 16,584 |
Class C | 1,291,955 | 165,525 |
Class I | — | 505,318 |
Class R2 | 106,892 | 3,225 |
Class R4 | 124 | 8 |
Class R6 | — | 7,728 |
Total | $4,148,314 | $1,817,329 |
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.
Note 6 — Fund share transactions
Transactions in fund shares for the six months ended November 30, 2015 and the year ended May 31, 2015 were as follows:
Six months ended 11-30-15 | Year ended 5-31-15 | |||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||
Class A shares | ||||||||||||||||||||||||||
Sold | 16,326,522 | $257,644,361 | 36,489,446 | $589,787,612 | ||||||||||||||||||||||
Distributions reinvested | 1,727,722 | 27,215,268 | 3,713,667 | 60,005,892 | ||||||||||||||||||||||
Repurchased | (12,922,743 | ) | (203,904,025 | ) | (18,665,985 | ) | (302,037,248 | ) | ||||||||||||||||||
Net increase | 5,131,501 | $80,955,604 | 21,537,128 | $347,756,256 | ||||||||||||||||||||||
Class B shares | ||||||||||||||||||||||||||
Sold | 19,480 | $307,148 | 82,022 | $1,327,241 | ||||||||||||||||||||||
Distributions reinvested | 17,387 | 273,874 | 52,585 | 849,537 | ||||||||||||||||||||||
Repurchased | (254,977 | ) | (4,020,494 | ) | (397,112 | ) | (6,418,691 | ) | ||||||||||||||||||
Net decrease | (218,110 | ) | ($3,439,472 | ) | (262,505 | ) | ($4,241,913 | ) | ||||||||||||||||||
Class C shares | ||||||||||||||||||||||||||
Sold | 3,277,823 | $51,705,209 | 7,668,246 | $123,946,031 | ||||||||||||||||||||||
Distributions reinvested | 194,494 | 3,063,664 | 389,803 | 6,295,754 | ||||||||||||||||||||||
Repurchased | (1,595,179 | ) | (25,180,836 | ) | (2,461,115 | ) | (39,792,491 | ) | ||||||||||||||||||
Net increase | 1,877,138 | $29,588,037 | 5,596,934 | $90,449,294 | ||||||||||||||||||||||
Class I shares | ||||||||||||||||||||||||||
Sold | 18,213,365 | $287,442,584 | 36,713,562 | $593,720,458 | ||||||||||||||||||||||
Distributions reinvested | 913,060 | 14,381,279 | 1,375,684 | 22,220,847 | ||||||||||||||||||||||
Repurchased | (7,314,197 | ) | (115,377,523 | ) | (7,262,983 | ) | (117,301,758 | ) | ||||||||||||||||||
Net increase | 11,812,228 | $186,446,340 | 30,826,263 | $498,639,547 | ||||||||||||||||||||||
Class R2 shares | ||||||||||||||||||||||||||
Sold | 736,311 | $11,602,803 | 2,295,718 | $37,088,850 | ||||||||||||||||||||||
Distributions reinvested | 39,138 | 616,999 | 48,223 | 779,202 | ||||||||||||||||||||||
Repurchased | (276,885 | ) | (4,383,883 | ) | (342,641 | ) | (5,541,369 | ) | ||||||||||||||||||
Net increase | 498,564 | $7,835,919 | 2,001,300 | $32,326,683 |
Six months ended 11-30-15 | Year ended 5-31-15 | |||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||
Class R4 shares | ||||||||||||||||||||||||||
Sold | 5,126 | $80,180 | 6,192 | $100,000 | ||||||||||||||||||||||
Distributions reinvested | 2 | 27 | — | — | ||||||||||||||||||||||
Net increase | 5,128 | $80,207 | 6,192 | $100,000 | ||||||||||||||||||||||
Class R6 shares | ||||||||||||||||||||||||||
Sold | 921,523 | $14,539,877 | 3,289,778 | $53,125,238 | ||||||||||||||||||||||
Distributions reinvested | 114,280 | 1,801,888 | 184,830 | 2,988,651 | ||||||||||||||||||||||
Repurchased | (288,347 | ) | (4,558,089 | ) | (304,508 | ) | (4,922,559 | ) | ||||||||||||||||||
Net increase | 747,456 | $11,783,676 | 3,170,100 | $51,191,330 | ||||||||||||||||||||||
Class NAV shares1 | ||||||||||||||||||||||||||
Sold | 94,693 | $1,494,246 | — | — | ||||||||||||||||||||||
Distributions reinvested | 907 | 14,247 | — | — | ||||||||||||||||||||||
Repurchased | (739 | ) | (11,630 | ) | — | — | ||||||||||||||||||||
Net increase | 94,861 | $1,496,863 | — | — | ||||||||||||||||||||||
Total net increase | 19,948,766 | $314,747,174 | 62,875,412 | $1,016,221,197 |
1 The inception date for Class NAV shares is 8-31-15.
Affiliates of the fund owned 55% and 100% of shares of beneficial interest of Class R4 and Class NAV shares, respectively, on November 30, 2015.
Note 7 — Purchase and sale of securities
Purchases and sales of securities, other than short-term investments and U.S. Treasury obligations, amounted to $595,905,700 and $266,120,682, respectively, for the six months ended November 30, 2015. Purchases and sales of U.S. Treasury obligations aggregated $351,225,549 and $346,465,156, respectively, for the six months ended November 30, 2015.
Continuation of Investment Advisory and Subadvisory Agreements
Evaluation of Advisory and Subadvisory Agreements by the Board of Trustees
This section describes the evaluation by the Board of Trustees (the Board) of John Hancock Sovereign Bond Fund (the Trust) of the Advisory Agreement (the Advisory Agreement) with John Hancock Advisers, LLC (the Advisor) and the Subadvisory Agreement (the Subadvisory Agreement) with John Hancock Asset Management a division of Manulife Asset Management (US) LLC (the Subadvisor) for John Hancock Bond Fund (the fund). The Advisory Agreement and Subadvisory Agreement are collectively referred to as the Agreements. Prior to the June 23-25, 2015 meeting at which the Agreements were approved, the Board also discussed and considered information regarding the proposed continuation of the Agreements at an in-person meeting held on May 21-22, 2015.
Approval of Advisory and Subadvisory Agreements
At in-person meetings held on June 23-25, 2015, the Board, including the Trustees who are not considered to be interested persons of the Trust under the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees), reapproved for an annual period the continuation of the Advisory Agreement between the Trust and the Advisor and the Subadvisory Agreement between the Advisor and the Subadvisor with respect to the fund.
In considering the Advisory Agreement and the Subadvisory Agreement, the Board received in advance of the meetings a variety of materials relating to the fund, the Advisor and the Subadvisor, including comparative performance, fee and expense information for a peer group of similar funds prepared by an independent third-party provider of mutual fund data, performance information for an applicable benchmark index; and, with respect to the Subadvisor, comparative performance information for comparably managed accounts, as applicable, and other information provided by the Advisor and the Subadvisor regarding the nature, extent and quality of services provided by the Advisor and the Subadvisor under their respective Agreements, as well as information regarding the Advisor's revenues and costs of providing services to the fund and any compensation paid to affiliates of the Advisor. At the meetings at which the renewal of the Advisory Agreement and Subadvisory Agreement are considered, particular focus is given to information concerning fund performance, comparability of fees and total expenses, and profitability. However, the Board notes that the evaluation process with respect to the Advisor and the Subadvisor is an ongoing one. In this regard, the Board also took into account discussions with management and information provided to the Board at prior meetings with respect to the services provided by the Advisor and the Subadvisor to the fund, including quarterly performance reports prepared by management containing reviews of investment results and prior presentations from the Subadvisor with respect to the fund. The Board noted the affiliation of the Subadvisor with the Advisor, noting any potential conflicts of interest. The Board also considered the nature, quality, and extent of non-advisory services, if any, to be provided to the fund by the Advisor's affiliates, including distribution services.
Throughout the process, the Board asked questions of and requested additional information from management. The Board is assisted by counsel for the Trust and the Independent Trustees are also separately assisted by independent legal counsel throughout the process. The Independent Trustees also received a memorandum from their independent legal counsel discussing the legal standards for their consideration of the proposed continuation of the Agreements and discussed the proposed continuation of the Agreements in private sessions with their independent legal counsel at which no representatives of management were present.
Approval of Advisory Agreement
In approving the Advisory Agreement with respect to the fund, the Board, including the Independent Trustees, considered a variety of factors, including those discussed below. The Board also considered other factors (including conditions and trends prevailing generally in the economy, the securities markets, and the industry) and does not treat any single factor as determinative, and each Trustee may attribute different weights to different factors. The Board's conclusions may be based in part on its consideration of the advisory and subadvisory arrangements in prior years and on the Board's ongoing regular review of fund performance and operations throughout the year.
Nature, extent, and quality of services. Among the information received by the Board from the Advisor relating to the nature, extent, and quality of services provided to the fund, the Board reviewed information provided by the Advisor relating to its operations and personnel, descriptions of its organizational and management structure, and information regarding the Advisor's compliance and regulatory history, including its Form ADV. The Board also noted that on a regular basis it receives and reviews information from the Trust's Chief Compliance Officer (CCO) regarding the fund's compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act. The Board also considered the Advisor's risk management processes. The Board considered that the Advisor is responsible for the management of the day-to-day operations of the fund, including, but not limited to, general supervision of and coordination of the services provided by the Subadvisor, and is also responsible for monitoring and reviewing the activities of the Subadvisor and third-party service providers.
In considering the nature, extent, and quality of the services provided by the Advisor, the Trustees also took into account their knowledge of the Advisor's management and the quality of the performance of the Advisor's duties, through Board meetings, discussions and reports during the preceding year and through each Trustee's experience as a Trustee of the Trust and of the other trusts in the John Hancock group of funds complex (the John Hancock Fund Complex).
In the course of their deliberations regarding the Advisory Agreement, the Board considered, among other things:
(a) | the skills and competency with which the Advisor has in the past managed the Trust's affairs and its subadvisory relationship, the Advisor's oversight and monitoring of the Subadvisor's investment performance and compliance programs, such as the Subadvisor's compliance with fund policies and objectives, review of brokerage matters, including with respect to trade allocation and best execution and the Advisor's timeliness in responding to performance issues; | |
(b) | the background, qualifications and skills of the Advisor's personnel; | |
(c) | the Advisor's compliance policies and procedures and its responsiveness to regulatory changes and mutual fund industry developments; | |
(d) | the Advisor's administrative capabilities, including its ability to supervise the other service providers for the fund; | |
(e) | the financial condition of the Advisor and whether it has the financial wherewithal to provide a high level and quality of services to the fund; and | |
(f) | the Advisor's reputation and experience in serving as an investment advisor to the Trust and the benefit to shareholders of investing in funds that are part of a family of funds offering a variety of investments. |
The Board concluded that the Advisor may reasonably be expected to continue to provide a high quality of services under the Advisory Agreement with respect to the fund.
Investment performance. In considering the fund's performance, the Board noted that it reviews at its regularly scheduled meetings information about the fund's performance results. In connection with the consideration of the Advisory Agreement, the Board:
(a) | reviewed information prepared by management regarding the fund's performance; | |
(b) | considered the comparative performance of an applicable benchmark index; | |
(c) | considered the performance of comparable funds, if any, as included in the report prepared by an independent third-party provider of fund data; and | |
(d) | took into account the Advisor's analysis of the fund's performance and its plans and recommendations regarding the Trust's subadvisory arrangements generally. |
The Board noted that the fund outperformed its benchmark index for the one-, three- and five-year periods ended December 31, 2014. The Board noted that the fund underperformed its peer group average for the one-year period ended December
31, 2014 and outperformed its peer group average for the three- and five-year periods ended December 31, 2014. The Board noted the fund's favorable performance relative to the benchmark index for the one-, three- and five-year periods and peer group for the three- and five-year periods. The Board concluded that the fund's performance has generally been in line with or outperformed the historical performance of comparable funds and the fund's benchmark index.
Fees and expenses. The Board reviewed comparative information prepared by an independent third-party provider of mutual fund data, including, among other data, the fund's contractual and net management fees (and subadvisory fees, to the extent available) and total expenses as compared to similarly situated investment companies deemed to be comparable to the fund. The Board considered the fund's ranking within a smaller group of peer funds chosen by the independent third-party provider, as well as the fund's ranking within a broader group of funds. In comparing the fund's contractual and net management fees to those of comparable funds, the Board noted that such fees include both advisory and administrative costs. The Board noted that net management fees for the fund are lower than the peer group median and total expenses for the fund are higher than the peer group median.
The Board took into account management's discussion of the fund's expenses. The Board also took into account management's discussion with respect to the advisory/subadvisory fee structure, including the amount of the advisory fee retained by the Advisor after payment of the subadvisory fee. The Board also noted that the Advisor pays the subadvisory fee. In addition, the Board took into account that management had agreed to implement an overall fee waiver across the complex, including the fund, which is discussed further below. The Board also noted actions taken over the past several years to reduce the fund's operating expenses. The Board also noted that, in addition, the Advisor is currently waiving fees and/or reimbursing expenses with respect to the fund and that the fund has breakpoints in its contractual management fee schedule that reduces management fees as assets increase. The Board reviewed information provided by the Advisor concerning the investment advisory fee charged by the Advisor or one of its advisory affiliates to other clients (including other funds in the John Hancock Fund Complex) having similar investment mandates, if any. The Board considered any differences between the Advisor's and Subadvisor's services to the fund and the services they provide to other comparable clients or funds. The Board concluded that the advisory fee paid with respect to the fund is reasonable.
Profitability/indirect benefits. In considering the costs of the services to be provided and the profits to be realized by the Advisor and its affiliates (including the Subadvisor) from the Advisor's relationship with the Trust, the Board:
(a) | reviewed financial information of the Advisor; | |||||||
(b) | reviewed and considered information presented by the Advisor regarding the net profitability to the Advisor and its affiliates with respect to the fund; | |||||||
(c) | received and reviewed profitability information with respect to the John Hancock Fund Complex as a whole; | |||||||
(d) | received information with respect to the Advisor's allocation methodologies used in preparing the profitability data; | |||||||
(e) | considered that the John Hancock insurance companies that are affiliates of the Advisor, as shareholders of the Trust directly or through their separate accounts, receive certain tax credits or deductions relating to foreign taxes paid and dividends received by certain funds of the Trust and noted that these tax benefits, which are not available to participants in qualified retirement plans under applicable income tax law, are reflected in the profitability information reviewed by the Board; | |||||||
(f) | considered that the Advisor also provides administrative services to the fund on a cost basis pursuant to an administrative services agreement; | |||||||
(g) | noted that affiliates of the Advisor provide transfer agency services and distribution services to the fund, and that the fund's distributor also receives Rule 12b-1 payments to support distribution of the fund; | |||||||
(h) | noted that the fund's Subadvisor is an affiliate of the Advisor; | |||||||
(i) | noted that the Advisor also derives reputational and other indirect benefits from providing advisory services to the fund; |
(j) | noted that the subadvisory fee for the fund is paid by the Advisor; and | |||||||
(k) | considered that the Advisor should be entitled to earn a reasonable level of profits in exchange for the level of services it provides to the fund and the entrepreneurial risk that it assumes as Advisor. |
Based upon its review, the Board concluded that the level of profitability, if any, of the Advisor and its affiliates (including the Subadvisor) from their relationship with the fund was reasonable and not excessive.
Economies of scale. In considering the extent to which economies of scale would be realized as the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders, the Board:
(a) | considered that the Advisor has contractually agreed to waive a portion of its management fee for certain funds of the John Hancock Fund Complex, including the fund (the participating portfolios) or otherwise reimburse the expenses of the participating portfolios (the reimbursement). This waiver is based upon aggregate net assets of all the participating portfolios. The amount of the reimbursement is calculated daily and allocated among all the participating portfolios in proportion to the daily net assets of each fund; | |
(b) | reviewed the fund's advisory fee structure and concluded that: (i) the fund's fee structure contains breakpoints at the subadvisory fee level and that such breakpoints are reflected as breakpoints in the advisory fees for the fund; and (ii) although economies of scale cannot be measured with precision, these arrangements permit shareholders of the fund to benefit from economies of scale if the fund grows. The Board also took into account management's discussion of the fund's advisory fee structure; and | |
(c) | the Board also considered the effect of the fund's growth in size on its performance and fees. The Board also noted that if the fund's assets increase over time, the fund may realize other economies of scale. |
Approval of Subadvisory Agreement
In making its determination with respect to approval of the Subadvisory Agreement, the Board reviewed:
(1) | information relating to the Subadvisor's business, including current subadvisory services to the Trust (and other funds in the John Hancock Fund Complex); | |
(2) | the historical and current performance of the fund and comparative performance information relating to an applicable benchmark index and comparable funds; and | |
(3) | the subadvisory fee for the fund, including any breakpoints, and to the extent available, comparable fee information prepared by an independent third party provider of fund data. |
Nature, extent, and quality of services. With respect to the services provided by the Subadvisor, the Board received information provided to the Board by the Subadvisor, including the Subadvisor's Form ADV, as well as took into account information presented throughout the past year. The Board considered the Subadvisor's current level of staffing and its overall resources, as well as received information relating to the Subadvisor's compensation program. The Board reviewed the Subadvisor's history and investment experience, as well as information regarding the qualifications, background, and responsibilities of the Subadvisor's investment and compliance personnel who provide services to the fund. The Board also considered, among other things, the Subadvisor's compliance program and any disciplinary history. The Board also considered the Subadvisor's risk assessment and monitoring process. The Board reviewed the Subadvisor's regulatory history, including whether it was involved in any regulatory actions or investigations as well as material litigation, and any settlements and amelioratory actions undertaken, as appropriate. The Board noted that the Advisor conducts regular, periodic reviews of the Subadvisor and its operations, including regarding investment processes and organizational and staffing matters. The Board also noted that the Trust's CCO and his staff conduct regular, periodic compliance reviews with the Subadvisor and present reports to the Independent Trustees regarding the same, which includes evaluating the
regulatory compliance systems of the Subadvisor and procedures reasonably designed to assure compliance with the federal securities laws. The Board also took into account the financial condition of the Subadvisor.
The Board considered the Subadvisor's investment process and philosophy. The Board took into account that the Subadvisor's responsibilities include the development and maintenance of an investment program for the fund that is consistent with the fund's investment objective, the selection of investment securities and the placement of orders for the purchase and sale of such securities, as well as the implementation of compliance controls related to performance of these services. The Board also received information with respect to the Subadvisor's brokerage policies and practices, including with respect to best execution and soft dollars.
Subadvisor compensation. In considering the cost of services to be provided by the Subadvisor and the profitability to the Subadvisor of its relationship with the fund, the Board noted that the fees under the Subadvisory Agreement are paid by the Advisor and not the fund. The Board also received information and took into account any other potential conflicts of interest the Advisor might have in connection with the Subadvisory Agreement.
In addition, the Board considered other potential indirect benefits that the Subadvisor and its affiliates may receive from the Subadvisor's relationship with the fund, such as the opportunity to provide advisory services to additional funds in the John Hancock Fund Complex and reputational benefits.
Subadvisory fees. The Board considered that the fund pays an advisory fee to the Advisor and that, in turn, the Advisor pays a subadvisory fee to the Subadvisor. As noted above, the Board also considered the fund's subadvisory fees as compared to similarly situated investment companies deemed to be comparable to the fund as included in the report prepared by the independent third party provider of fund data, to the extent available. The Board noted that the limited size of the Lipper peer group was not sufficient for comparative purposes. The Board also took into account the subadvisory fees paid by the Advisor to the Subadvisor with respect to the fund and compared them to fees charged by the Subadvisor to manage other subadvised portfolios and portfolios not subject to regulation under the 1940 Act, as applicable.
Subadvisor performance. As noted above, the Board considered the fund's performance as compared to the fund's peer group and the benchmark index and noted that the Board reviews information about the fund's performance results at its regularly scheduled meetings. The Board noted the Advisor's expertise and resources in monitoring the performance, investment style and risk-adjusted performance of the Subadvisor. The Board was mindful of the Advisor's focus on the Subadvisor's performance. The Board also noted the Subadvisor's long-term performance record for similar accounts, as applicable.
The Board's decision to approve the Subadvisory Agreement was based on a number of determinations, including the following:
(1) | the Subadvisor has extensive experience and demonstrated skills as a manager; | |
(2) | the performance of the fund has generally been in line with or outperformed the historical performance of comparable funds and the fund's benchmark index; | |
(3) | the subadvisory fee is reasonable in relation to the level and quality of services being provided; and | |
(4) | noted that the subadvisory fees are paid by the Advisor not the fund and that the subadvisory fee breakpoints are reflected as breakpoints in the advisory fees for the fund in order to permit shareholders to benefit from economies of scale if the fund grows. | |
* * * |
Based on the Board's evaluation of all factors that the Board deemed to be material, including those factors described above, the Board, including the Independent Trustees, concluded that renewal of the Advisory Agreement and the Subadvisory Agreement would be in the best interest of the fund and its shareholders. Accordingly, the Board, and the Independent Trustees voting separately, approved the Advisory Agreement and Subadvisory Agreement for an additional one-year period.
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 |
*Member of the Audit Committee
†Non-Independent Trustee
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. |
John Hancock 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 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 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 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 Assets Financial Industries Global Absolute Return Strategies Global Conservative Absolute Return Global Real Estate Natural Resources Redwood Regional Bank Seaport Technical Opportunities |
A fund's investment objectives, risks, charges, and expenses should be considered carefully before investing. The prospectus contains this and other important information about the fund. To obtain a prospectus, contact your financial professional, call John Hancock Investments at 800-225-5291, or visit our website at jhinvestments.com. Please read the prospectus carefully before investing or sending money.
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) EXCHANGE-TRADED FUNDS John Hancock Multifactor Consumer Discretionary ETF John Hancock Multifactor Financials ETF John Hancock Multifactor Healthcare ETF John Hancock Multifactor Large Cap ETF John Hancock Multifactor Mid Cap ETF John Hancock Multifactor Technology ETF 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 |
"As an investment firm,
upholding the proud
tradition of John Hancock
comes down to one thing:
putting shareholders
first. We believe that if
our shareholders are
successful, then we will
be successful."
Andrew G. Arnott
President and Chief Executive Officer
John Hancock Investments
John Hancock Multifactor ETF shares are bought and sold at market price (not NAV), and are not individually redeemed
from the fund. Brokerage commissions will reduce returns.
John Hancock ETFs are distributed by Foreside Fund Services, LLC, and are subadvised by Dimensional Fund Advisors LP.
Foreside is not affiliated with John Hancock Funds, LLC or Dimensional Fund Advisors LP.
Dimensional Fund Advisors LP receives compensation from John Hancock in connection with licensing rights to the
John Hancock Dimensional indexes. Dimensional Fund Advisors LP does not sponsor, endorse, or sell, and makes no
representation as to the advisability of investing in, John Hancock Multifactor ETFs.
John Hancock Investments
A trusted brand
John Hancock Investments is a premier asset manager representing
one of America's most trusted brands, with a heritage of financial
stewardship dating back to 1862. Helping our shareholders pursue
their financial goals is at the core of everything we do. It's why we
support the role of professional financial advice and operate with the
highest standards of conduct and integrity.
A better way to invest
We build funds based on investor needs, then search the world to find
proven portfolio teams with specialized expertise in those strategies.
As a manager of managers, we apply vigorous oversight to ensure that
they continue to meet our uncompromising standards and serve the
best interests of our shareholders.
Results for investors
Our unique approach to asset management enables us to provide
a diverse set of investments backed by some of the world's best
managers, 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 | 21SA 11/15 1/16 |
ITEM 2. CODE OF ETHICS.
Not applicable at this time.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable at this time.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable at this time.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable at this time.
ITEM 6. SCHEDULE OF INVESTMENTS.
(a)
Not applicable.
(b)
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based upon their evaluation of the registrant's disclosure controls and procedures as conducted within 90 days of the filing date of this Form N-CSR, the registrant's principal executive officer and principal financial officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.
(b) There were no changes in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) Separate certifications for the registrant's principal executive officer and principal financial officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are attached.
(b) Separate certifications for the registrant's principal executive officer and principal financial officer, as required by 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, and Rule 30a-2(b) under the Investment Company Act of 1940, are attached. The certifications furnished pursuant to this paragraph are not deemed to be "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certifications are not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically incorporates them by reference.
(c)(1) Submission of Matters to a Vote of Security Holders is attached. See attached “John Hancock Funds – Nominating and Governance 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: January 15, 2016
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: January 15, 2016
By:
/s/ Charles A. Rizzo
_____________________________
Charles A. Rizzo
Chief Financial Officer
Date: January 15, 2016